@reyaxyz/common 0.323.0 → 0.324.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
package/README.md
CHANGED
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@@ -6,5 +6,5 @@
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| Statements | Branches | Functions | Lines |
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| --------------------------- | ----------------------- | ------------------------- | ----------------- |
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@@ -7,7 +7,14 @@ export declare const calculateMaxExposure: ({ poolBalance, riskFactor, poolIMR,
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poolIMR?: number | undefined;
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riskFactor: number;
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}) => number;
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export declare const calculateEstimatedExecutionPrice: (poolPrice
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export declare const calculateEstimatedExecutionPrice: ({ poolPrice, oraclePrice, tradeBaseSize, poolMaxExposure, marketDepthFactor, marketSpread, }: {
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poolPrice: number;
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oraclePrice: number;
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tradeBaseSize: number;
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poolMaxExposure: number;
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marketDepthFactor: number;
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marketSpread: number;
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}) => number;
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export declare const calculateTradeFee: ({ feeRate, tradeNotional, }: {
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feeRate: number;
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tradeNotional: number;
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@@ -1 +1 @@
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package/dist/utils/calculate.js
CHANGED
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@@ -12,8 +12,15 @@ var calculateMaxExposure = function (_a) {
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return poolBalance / (poolIMR * Math.sqrt(riskFactor));
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};
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exports.calculateMaxExposure = calculateMaxExposure;
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var calculateEstimatedExecutionPrice = function (
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var calculateEstimatedExecutionPrice = function (_a) {
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var poolPrice = _a.poolPrice, oraclePrice = _a.oraclePrice, tradeBaseSize = _a.tradeBaseSize, poolMaxExposure = _a.poolMaxExposure, marketDepthFactor = _a.marketDepthFactor, marketSpread = _a.marketSpread;
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if (tradeBaseSize === 0) {
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return poolPrice;
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}
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var poolDeviation = (tradeBaseSize * oraclePrice) / (marketDepthFactor * poolMaxExposure);
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var appliedSpread = tradeBaseSize > 0 ? marketSpread : -marketSpread;
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var estExecutionPrice = poolPrice * (1 + poolDeviation + appliedSpread);
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return Math.max(0, estExecutionPrice);
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};
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exports.calculateEstimatedExecutionPrice = calculateEstimatedExecutionPrice;
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var calculateTradeFee = function (_a) {
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@@ -1 +1 @@
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-
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{ mergeMap } from './struct';\nimport BigNumber from 'bignumber.js';\n\nexport const POOL_IMR = 9.1;\n\ntype MarketId = string;\ntype Address = string;\n\nexport const calculateMaxExposure = ({\n poolBalance,\n riskFactor,\n poolIMR = POOL_IMR,\n}: {\n poolBalance: number;\n poolIMR?: number;\n riskFactor: number;\n}) => poolBalance / (poolIMR * Math.sqrt(riskFactor));\n\nexport const calculateEstimatedExecutionPrice = (\n poolPrice: number,\n size: number,\n oraclePrice: number,\n maxExposure: number,\n depth: number,\n) =>\n Math.max(0, poolPrice * (1 + (size * oraclePrice) / (depth * maxExposure)));\n\nexport const calculateTradeFee = ({\n feeRate,\n tradeNotional,\n}: {\n feeRate: number;\n tradeNotional: number;\n}) => feeRate * Math.abs(tradeNotional);\n\nexport const calculateSpread = ({\n depthFactor,\n maxExposure,\n oraclePrice,\n poolPrice,\n tradeNotional,\n}: {\n depthFactor: number;\n maxExposure: number;\n oraclePrice: number;\n poolPrice: number;\n tradeNotional: number;\n}) =>\n (poolPrice / oraclePrice) *\n (1 + tradeNotional / (depthFactor * maxExposure) - 1) *\n tradeNotional;\n\nexport const calculateEstimatedLiquidationPrice = ({\n LMR,\n accountBalance,\n isShort,\n notional,\n oraclePrice,\n}: {\n LMR: number;\n accountBalance: number;\n isShort: boolean;\n notional: number;\n oraclePrice: number;\n}) =>\n Math.max(\n 0,\n oraclePrice *\n (1 - ((accountBalance - LMR) / notional) * (isShort ? -1 : 1)),\n );\n\nexport const calculateLeverage = ({\n imrMultiplier,\n riskFactor,\n}: {\n imrMultiplier: number;\n riskFactor: number;\n}) => 1 / (imrMultiplier * Math.sqrt(riskFactor));\n\nexport const calculateRequiredMargin = ({\n currIMR,\n currentNotional,\n leverage,\n tradeNotional,\n}: {\n currIMR: number;\n currentNotional: number;\n leverage: number;\n tradeNotional: number;\n}) =>\n currIMR +\n (Math.abs(currentNotional + tradeNotional) - Math.abs(currentNotional)) /\n leverage;\n\nexport const calculateMaxOrderSize = ({\n currIMR,\n currNodeBalance,\n currNotional,\n depthFactor,\n extendingPosition,\n feeRate,\n isShortTrade,\n leverage,\n maxExposure,\n oraclePrice,\n poolPrice,\n}: {\n currIMR: number;\n currNodeBalance: number;\n currNotional: number;\n depthFactor: number;\n extendingPosition: boolean;\n feeRate: number;\n isShortTrade: boolean;\n leverage: number;\n maxExposure: number;\n oraclePrice: number;\n poolPrice: number;\n}) => {\n const a = poolPrice / oraclePrice;\n const c = 1 / (depthFactor * maxExposure);\n const R = a - 1 - feeRate * (isShortTrade ? -1 : 1);\n const SN = currNotional < 0 ? -1 : 1;\n const Q = R - (SN / leverage) * (extendingPosition ? 1 : -1);\n return Math.abs(\n (-1 * Q +\n Math.sqrt(\n Math.pow(Q, 2) -\n 4 *\n a *\n c *\n (currNodeBalance -\n currIMR +\n (extendingPosition ? 0 : ((2 * SN) / leverage) * currNotional)),\n ) *\n (isShortTrade ? 1 : -1)) /\n (2 * a * c),\n );\n};\n\nexport const calculateIMR = ({\n marketLeverages,\n marketPrices,\n positions,\n}: {\n marketLeverages: Map<MarketId, number>;\n marketPrices: Map<MarketId, number>;\n positions: Map<MarketId, number>;\n}) => {\n return Array.from(positions.entries()).reduce(\n (sum, [marketId, positionSize]) => {\n const leverage = marketLeverages.get(marketId);\n return leverage\n ? sum +\n (Math.abs(positionSize) * (marketPrices.get(marketId) ?? 0)) /\n leverage\n : sum;\n },\n 0,\n );\n};\n\nexport const calculateLMR = ({\n marketPrices,\n positions,\n riskFactors,\n marketId,\n tradeSize,\n}: {\n marketId?: string;\n marketPrices: Map<MarketId, number>;\n positions: Map<MarketId, number>;\n riskFactors: Map<MarketId, number>;\n tradeSize?: number;\n}) =>\n Array.from(\n (marketId && tradeSize\n ? mergeMap(positions, [\n [marketId, (positions.get(marketId) ?? 0) + tradeSize],\n ])\n : positions\n ).entries(),\n ).reduce((sum, [marketId, positionSize]) => {\n const riskFactor = riskFactors.get(marketId);\n return riskFactor\n ? sum +\n Math.abs(positionSize) *\n (marketPrices.get(marketId) ?? 0) *\n Math.sqrt(riskFactor)\n : sum;\n }, 0);\n\n// if account balance is below LMR position is liquidable\n\nexport const calculateMarginRatio = ({\n LMR,\n totalBalance,\n tradeCost,\n}: {\n LMR: number;\n totalBalance: number;\n tradeCost: number;\n}) => {\n if (LMR === 0) {\n return 0;\n }\n if (tradeCost > totalBalance) {\n return 1;\n }\n if (totalBalance === tradeCost) {\n return Infinity;\n }\n return Math.min(1, LMR / (totalBalance - tradeCost));\n};\n\nexport const calculateTotalMargin = ({\n marketsTrackers,\n accountBalances,\n assetPrices,\n marketsTokenInfo,\n positions,\n rUSDAddress,\n}: {\n accountBalances: Map<Address, number>;\n assetPrices: Map<Address, number>;\n marketsTokenInfo: Map<\n MarketId,\n {\n quoteTokenId: string;\n underlyingAssetId: string;\n }\n >;\n marketsTrackers: Map<\n MarketId,\n {\n longADLUnwindPrice: number;\n longBaseMultiplier: number;\n longFundingValue: number;\n shortADLUnwindPrice: number;\n shortBaseMultiplier: number;\n shortFundingValue: number;\n }\n >;\n positions: {\n adlUnwindPrice: number;\n base: number;\n baseMultiplier: number;\n fundingValue: number;\n lastPrice: number;\n marketId: string;\n realizedPnl: number;\n }[];\n rUSDAddress?: string;\n}) => {\n const pnl = new Map<Address, number>();\n const rUSDPrice = (rUSDAddress && assetPrices.get(rUSDAddress)) ?? 1;\n positions.forEach((position) => {\n const marketTracker = marketsTrackers?.get(position.marketId);\n const tokenInfo = marketsTokenInfo.get(position.marketId);\n if (!tokenInfo) return;\n let fundingCashFlow = 0;\n let adlCashFlow = 0;\n\n if (marketTracker) {\n // fundingCashFlow\n const marketTrackerFundingValue =\n position.base < 0\n ? marketTracker.shortFundingValue\n : marketTracker.longFundingValue;\n const trackerDelta = marketTrackerFundingValue - position.fundingValue;\n fundingCashFlow =\n (trackerDelta / position.baseMultiplier) * -1 * position.base;\n\n // adlCashFlow\n const adlUnwindPrice =\n ((position.base < 0\n ? marketTracker.shortADLUnwindPrice\n : marketTracker.longADLUnwindPrice) -\n position.adlUnwindPrice) /\n position.baseMultiplier;\n const baseMultiplier =\n (position.base < 0\n ? marketTracker.shortBaseMultiplier\n : marketTracker.longBaseMultiplier) / position.baseMultiplier;\n const lastPriceCoefficient = 1 - baseMultiplier;\n const initialPrice = lastPriceCoefficient * position.lastPrice;\n adlCashFlow = (adlUnwindPrice - initialPrice) * position.base;\n }\n\n const unrealizedPnl =\n ((assetPrices.get(tokenInfo.quoteTokenId) ?? 0) - position.lastPrice) *\n position.base;\n\n pnl.set(\n tokenInfo.underlyingAssetId,\n (pnl.get(tokenInfo.underlyingAssetId) ?? 0) +\n position.realizedPnl +\n fundingCashFlow +\n adlCashFlow +\n unrealizedPnl,\n );\n });\n\n return Array.from(accountBalances.entries()).reduce(\n (sum, [address, balance]) =>\n sum +\n (balance + (pnl.get(address) ?? 0)) *\n (address === rUSDAddress\n ? 1\n : (assetPrices.get(address) ?? 0) / (rUSDPrice || 1)),\n 0,\n );\n};\n\nexport const calculateFundingPnl = ({\n marketFundingValue,\n marketBaseMultiplier,\n positionAvgEntryFundingValue,\n positionAdjustedBase,\n}: {\n marketFundingValue: number;\n marketBaseMultiplier: number;\n positionAvgEntryFundingValue: number;\n positionAdjustedBase: number;\n}): number => {\n return (\n -1 *\n (((marketFundingValue - positionAvgEntryFundingValue) *\n positionAdjustedBase) /\n marketBaseMultiplier)\n );\n};\n\nexport const calculatePricePnl = ({\n price,\n positionAvgEntryPrice,\n positionAdjustedBase,\n}: {\n price: number;\n positionAvgEntryPrice: number;\n positionAdjustedBase: number;\n}): number => {\n return (price - positionAvgEntryPrice) * positionAdjustedBase;\n};\n\nexport const calculateRealBalance = (\n netDeposits: BigNumber,\n realized_pnl: BigNumber,\n) => {\n return netDeposits.plus(realized_pnl);\n};\n\nexport const calculatePositionAdjustedQty = (\n origQty: BigNumber,\n marketBaseMultiplier: BigNumber,\n positionBaseMultiplier: BigNumber,\n): BigNumber => {\n return origQty.times(marketBaseMultiplier).div(positionBaseMultiplier);\n};\n\n/**\n * Note: This function assumes all the inputs are scaled by 10^18.\n */\nexport const calculatePositionAdlPnL = ({\n marketTrackerAdlUnwindPrice,\n marketTrackerBaseMultiplier,\n positionBase,\n positionAvgEntryPrice,\n positionTrackerBaseMultiplier,\n positionTrackerAdlUnwindPrice,\n}: {\n marketTrackerAdlUnwindPrice: BigNumber;\n marketTrackerBaseMultiplier: BigNumber;\n positionBase: BigNumber;\n positionAvgEntryPrice: BigNumber;\n positionTrackerBaseMultiplier: BigNumber;\n positionTrackerAdlUnwindPrice: BigNumber;\n}): BigNumber => {\n const currentAdlUnwindPrice = marketTrackerAdlUnwindPrice\n .minus(positionTrackerAdlUnwindPrice)\n .multipliedBy(1e18)\n .div(positionTrackerBaseMultiplier);\n\n const initialPrice = positionAvgEntryPrice\n .times(\n BigNumber(1e18).minus(\n marketTrackerBaseMultiplier\n .multipliedBy(1e18)\n .div(positionTrackerBaseMultiplier),\n ),\n )\n .div(1e18);\n\n const adlPnL = positionBase\n .times(currentAdlUnwindPrice.minus(initialPrice))\n .div(1e18);\n\n return adlPnL;\n};\n"]}
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{ mergeMap } from './struct';\nimport BigNumber from 'bignumber.js';\n\nexport const POOL_IMR = 9.1;\n\ntype MarketId = string;\ntype Address = string;\n\nexport const calculateMaxExposure = ({\n poolBalance,\n riskFactor,\n poolIMR = POOL_IMR,\n}: {\n poolBalance: number;\n poolIMR?: number;\n riskFactor: number;\n}) => poolBalance / (poolIMR * Math.sqrt(riskFactor));\n\nexport const calculateEstimatedExecutionPrice = ({\n poolPrice,\n oraclePrice,\n tradeBaseSize,\n poolMaxExposure,\n marketDepthFactor,\n marketSpread,\n}: {\n poolPrice: number;\n oraclePrice: number;\n tradeBaseSize: number;\n poolMaxExposure: number;\n marketDepthFactor: number;\n marketSpread: number;\n}): number => {\n if (tradeBaseSize === 0) {\n return poolPrice;\n }\n\n const poolDeviation =\n (tradeBaseSize * oraclePrice) / (marketDepthFactor * poolMaxExposure);\n const appliedSpread = tradeBaseSize > 0 ? marketSpread : -marketSpread;\n const estExecutionPrice = poolPrice * (1 + poolDeviation + appliedSpread);\n\n return Math.max(0, estExecutionPrice);\n};\n\nexport const calculateTradeFee = ({\n feeRate,\n tradeNotional,\n}: {\n feeRate: number;\n tradeNotional: number;\n}) => feeRate * Math.abs(tradeNotional);\n\nexport const calculateSpread = ({\n depthFactor,\n maxExposure,\n oraclePrice,\n poolPrice,\n tradeNotional,\n}: {\n depthFactor: number;\n maxExposure: number;\n oraclePrice: number;\n poolPrice: number;\n tradeNotional: number;\n}) =>\n (poolPrice / oraclePrice) *\n (1 + tradeNotional / (depthFactor * maxExposure) - 1) *\n tradeNotional;\n\nexport const calculateEstimatedLiquidationPrice = ({\n LMR,\n accountBalance,\n isShort,\n notional,\n oraclePrice,\n}: {\n LMR: number;\n accountBalance: number;\n isShort: boolean;\n notional: number;\n oraclePrice: number;\n}) =>\n Math.max(\n 0,\n oraclePrice *\n (1 - ((accountBalance - LMR) / notional) * (isShort ? -1 : 1)),\n );\n\nexport const calculateLeverage = ({\n imrMultiplier,\n riskFactor,\n}: {\n imrMultiplier: number;\n riskFactor: number;\n}) => 1 / (imrMultiplier * Math.sqrt(riskFactor));\n\nexport const calculateRequiredMargin = ({\n currIMR,\n currentNotional,\n leverage,\n tradeNotional,\n}: {\n currIMR: number;\n currentNotional: number;\n leverage: number;\n tradeNotional: number;\n}) =>\n currIMR +\n (Math.abs(currentNotional + tradeNotional) - Math.abs(currentNotional)) /\n leverage;\n\nexport const calculateMaxOrderSize = ({\n currIMR,\n currNodeBalance,\n currNotional,\n depthFactor,\n extendingPosition,\n feeRate,\n isShortTrade,\n leverage,\n maxExposure,\n oraclePrice,\n poolPrice,\n}: {\n currIMR: number;\n currNodeBalance: number;\n currNotional: number;\n depthFactor: number;\n extendingPosition: boolean;\n feeRate: number;\n isShortTrade: boolean;\n leverage: number;\n maxExposure: number;\n oraclePrice: number;\n poolPrice: number;\n}) => {\n const a = poolPrice / oraclePrice;\n const c = 1 / (depthFactor * maxExposure);\n const R = a - 1 - feeRate * (isShortTrade ? -1 : 1);\n const SN = currNotional < 0 ? -1 : 1;\n const Q = R - (SN / leverage) * (extendingPosition ? 1 : -1);\n return Math.abs(\n (-1 * Q +\n Math.sqrt(\n Math.pow(Q, 2) -\n 4 *\n a *\n c *\n (currNodeBalance -\n currIMR +\n (extendingPosition ? 0 : ((2 * SN) / leverage) * currNotional)),\n ) *\n (isShortTrade ? 1 : -1)) /\n (2 * a * c),\n );\n};\n\nexport const calculateIMR = ({\n marketLeverages,\n marketPrices,\n positions,\n}: {\n marketLeverages: Map<MarketId, number>;\n marketPrices: Map<MarketId, number>;\n positions: Map<MarketId, number>;\n}) => {\n return Array.from(positions.entries()).reduce(\n (sum, [marketId, positionSize]) => {\n const leverage = marketLeverages.get(marketId);\n return leverage\n ? sum +\n (Math.abs(positionSize) * (marketPrices.get(marketId) ?? 0)) /\n leverage\n : sum;\n },\n 0,\n );\n};\n\nexport const calculateLMR = ({\n marketPrices,\n positions,\n riskFactors,\n marketId,\n tradeSize,\n}: {\n marketId?: string;\n marketPrices: Map<MarketId, number>;\n positions: Map<MarketId, number>;\n riskFactors: Map<MarketId, number>;\n tradeSize?: number;\n}) =>\n Array.from(\n (marketId && tradeSize\n ? mergeMap(positions, [\n [marketId, (positions.get(marketId) ?? 0) + tradeSize],\n ])\n : positions\n ).entries(),\n ).reduce((sum, [marketId, positionSize]) => {\n const riskFactor = riskFactors.get(marketId);\n return riskFactor\n ? sum +\n Math.abs(positionSize) *\n (marketPrices.get(marketId) ?? 0) *\n Math.sqrt(riskFactor)\n : sum;\n }, 0);\n\n// if account balance is below LMR position is liquidable\n\nexport const calculateMarginRatio = ({\n LMR,\n totalBalance,\n tradeCost,\n}: {\n LMR: number;\n totalBalance: number;\n tradeCost: number;\n}) => {\n if (LMR === 0) {\n return 0;\n }\n if (tradeCost > totalBalance) {\n return 1;\n }\n if (totalBalance === tradeCost) {\n return Infinity;\n }\n return Math.min(1, LMR / (totalBalance - tradeCost));\n};\n\nexport const calculateTotalMargin = ({\n marketsTrackers,\n accountBalances,\n assetPrices,\n marketsTokenInfo,\n positions,\n rUSDAddress,\n}: {\n accountBalances: Map<Address, number>;\n assetPrices: Map<Address, number>;\n marketsTokenInfo: Map<\n MarketId,\n {\n quoteTokenId: string;\n underlyingAssetId: string;\n }\n >;\n marketsTrackers: Map<\n MarketId,\n {\n longADLUnwindPrice: number;\n longBaseMultiplier: number;\n longFundingValue: number;\n shortADLUnwindPrice: number;\n shortBaseMultiplier: number;\n shortFundingValue: number;\n }\n >;\n positions: {\n adlUnwindPrice: number;\n base: number;\n baseMultiplier: number;\n fundingValue: number;\n lastPrice: number;\n marketId: string;\n realizedPnl: number;\n }[];\n rUSDAddress?: string;\n}) => {\n const pnl = new Map<Address, number>();\n const rUSDPrice = (rUSDAddress && assetPrices.get(rUSDAddress)) ?? 1;\n positions.forEach((position) => {\n const marketTracker = marketsTrackers?.get(position.marketId);\n const tokenInfo = marketsTokenInfo.get(position.marketId);\n if (!tokenInfo) return;\n let fundingCashFlow = 0;\n let adlCashFlow = 0;\n\n if (marketTracker) {\n // fundingCashFlow\n const marketTrackerFundingValue =\n position.base < 0\n ? marketTracker.shortFundingValue\n : marketTracker.longFundingValue;\n const trackerDelta = marketTrackerFundingValue - position.fundingValue;\n fundingCashFlow =\n (trackerDelta / position.baseMultiplier) * -1 * position.base;\n\n // adlCashFlow\n const adlUnwindPrice =\n ((position.base < 0\n ? marketTracker.shortADLUnwindPrice\n : marketTracker.longADLUnwindPrice) -\n position.adlUnwindPrice) /\n position.baseMultiplier;\n const baseMultiplier =\n (position.base < 0\n ? marketTracker.shortBaseMultiplier\n : marketTracker.longBaseMultiplier) / position.baseMultiplier;\n const lastPriceCoefficient = 1 - baseMultiplier;\n const initialPrice = lastPriceCoefficient * position.lastPrice;\n adlCashFlow = (adlUnwindPrice - initialPrice) * position.base;\n }\n\n const unrealizedPnl =\n ((assetPrices.get(tokenInfo.quoteTokenId) ?? 0) - position.lastPrice) *\n position.base;\n\n pnl.set(\n tokenInfo.underlyingAssetId,\n (pnl.get(tokenInfo.underlyingAssetId) ?? 0) +\n position.realizedPnl +\n fundingCashFlow +\n adlCashFlow +\n unrealizedPnl,\n );\n });\n\n return Array.from(accountBalances.entries()).reduce(\n (sum, [address, balance]) =>\n sum +\n (balance + (pnl.get(address) ?? 0)) *\n (address === rUSDAddress\n ? 1\n : (assetPrices.get(address) ?? 0) / (rUSDPrice || 1)),\n 0,\n );\n};\n\nexport const calculateFundingPnl = ({\n marketFundingValue,\n marketBaseMultiplier,\n positionAvgEntryFundingValue,\n positionAdjustedBase,\n}: {\n marketFundingValue: number;\n marketBaseMultiplier: number;\n positionAvgEntryFundingValue: number;\n positionAdjustedBase: number;\n}): number => {\n return (\n -1 *\n (((marketFundingValue - positionAvgEntryFundingValue) *\n positionAdjustedBase) /\n marketBaseMultiplier)\n );\n};\n\nexport const calculatePricePnl = ({\n price,\n positionAvgEntryPrice,\n positionAdjustedBase,\n}: {\n price: number;\n positionAvgEntryPrice: number;\n positionAdjustedBase: number;\n}): number => {\n return (price - positionAvgEntryPrice) * positionAdjustedBase;\n};\n\nexport const calculateRealBalance = (\n netDeposits: BigNumber,\n realized_pnl: BigNumber,\n) => {\n return netDeposits.plus(realized_pnl);\n};\n\nexport const calculatePositionAdjustedQty = (\n origQty: BigNumber,\n marketBaseMultiplier: BigNumber,\n positionBaseMultiplier: BigNumber,\n): BigNumber => {\n return origQty.times(marketBaseMultiplier).div(positionBaseMultiplier);\n};\n\n/**\n * Note: This function assumes all the inputs are scaled by 10^18.\n */\nexport const calculatePositionAdlPnL = ({\n marketTrackerAdlUnwindPrice,\n marketTrackerBaseMultiplier,\n positionBase,\n positionAvgEntryPrice,\n positionTrackerBaseMultiplier,\n positionTrackerAdlUnwindPrice,\n}: {\n marketTrackerAdlUnwindPrice: BigNumber;\n marketTrackerBaseMultiplier: BigNumber;\n positionBase: BigNumber;\n positionAvgEntryPrice: BigNumber;\n positionTrackerBaseMultiplier: BigNumber;\n positionTrackerAdlUnwindPrice: BigNumber;\n}): BigNumber => {\n const currentAdlUnwindPrice = marketTrackerAdlUnwindPrice\n .minus(positionTrackerAdlUnwindPrice)\n .multipliedBy(1e18)\n .div(positionTrackerBaseMultiplier);\n\n const initialPrice = positionAvgEntryPrice\n .times(\n BigNumber(1e18).minus(\n marketTrackerBaseMultiplier\n .multipliedBy(1e18)\n .div(positionTrackerBaseMultiplier),\n ),\n )\n .div(1e18);\n\n const adlPnL = positionBase\n .times(currentAdlUnwindPrice.minus(initialPrice))\n .div(1e18);\n\n return adlPnL;\n};\n"]}
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package/package.json
CHANGED
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{
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"name": "@reyaxyz/common",
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"version": "0.
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"version": "0.324.0",
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"publishConfig": {
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"access": "public",
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"registry": "https://registry.npmjs.org"
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"generate:coverage-badges": "npx istanbul-badges-readme --silent"
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},
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"packageManager": "pnpm@8.3.1",
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"gitHead": "
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"gitHead": "e15017f58699786807cde9dacb018929f9636f7c"
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}
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package/src/utils/calculate.ts
CHANGED
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@@ -16,14 +16,32 @@ export const calculateMaxExposure = ({
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16
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riskFactor: number;
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17
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}) => poolBalance / (poolIMR * Math.sqrt(riskFactor));
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export const calculateEstimatedExecutionPrice = (
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poolPrice
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export const calculateEstimatedExecutionPrice = ({
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20
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poolPrice,
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oraclePrice,
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tradeBaseSize,
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poolMaxExposure,
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24
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marketDepthFactor,
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marketSpread,
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}: {
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+
poolPrice: number;
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+
oraclePrice: number;
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29
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tradeBaseSize: number;
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30
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poolMaxExposure: number;
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31
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+
marketDepthFactor: number;
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32
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+
marketSpread: number;
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33
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+
}): number => {
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|
34
|
+
if (tradeBaseSize === 0) {
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35
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+
return poolPrice;
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36
|
+
}
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37
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+
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38
|
+
const poolDeviation =
|
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39
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+
(tradeBaseSize * oraclePrice) / (marketDepthFactor * poolMaxExposure);
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40
|
+
const appliedSpread = tradeBaseSize > 0 ? marketSpread : -marketSpread;
|
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41
|
+
const estExecutionPrice = poolPrice * (1 + poolDeviation + appliedSpread);
|
|
42
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+
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43
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+
return Math.max(0, estExecutionPrice);
|
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};
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27
45
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28
46
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export const calculateTradeFee = ({
|
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29
47
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feeRate,
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