@reyaxyz/common 0.344.0 → 0.344.1

package/README.md

@@ -6,5 +6,5 @@
 
 | Statements                  | Branches                | Functions                 | Lines             |
 | --------------------------- | ----------------------- | ------------------------- | ----------------- |
-| ![Statements](https://img.shields.io/badge/statements-28.69%25-red.svg?style=flat) | ![Branches](https://img.shields.io/badge/branches-25.14%25-red.svg?style=flat) | ![Functions](https://img.shields.io/badge/functions-17.24%25-red.svg?style=flat) | ![Lines](https://img.shields.io/badge/lines-29.88%25-red.svg?style=flat) |
+| ![Statements](https://img.shields.io/badge/statements-32.57%25-red.svg?style=flat) | ![Branches](https://img.shields.io/badge/branches-30.62%25-red.svg?style=flat) | ![Functions](https://img.shields.io/badge/functions-18.37%25-red.svg?style=flat) | ![Lines](https://img.shields.io/badge/lines-33.86%25-red.svg?style=flat) |
 

package/dist/types/utils/calculate.d.ts

@@ -99,18 +99,30 @@ export declare const calculateRequiredMargin: ({ currIMR, currentNotional, lever
     leverage: number;
     tradeNotional: number;
 }) => number;
-export declare const calculateMaxOrderSize: ({ currIMR, currNodeBalance, currNotional, depthFactor, extendingPosition, feeRate, isShortTrade, leverage, maxExposure, oraclePrice, poolPrice, }: {
+/**
+ * Calculates the maximum notional trade size (unsigned, always ≥ 0).
+ *
+ * Implements the UI quant spec v2 ("Maximum trade") with two cases:
+ *   Case 1 — Extending: trade same direction as existing position.
+ *   Case 2 — Reverting: decompose into (a) close position exactly, then
+ *            (b) extend from zero in the opposite direction.
+ *
+ * All quadratics use the unsigned convention (t = |tradeNotional|) so the
+ * positive root always corresponds to the correct direction.
+ */
+export declare const calculateMaxOrderSize: ({ currIMR, currNodeBalance, currNotional, depthFactor, feeRate, isShortTrade, leverage, maxExposure, oraclePrice, poolPrice, currentLogF, netExposure, }: {
     currIMR: number;
     currNodeBalance: number;
     currNotional: number;
     depthFactor: number;
-    extendingPosition: boolean;
     feeRate: number;
     isShortTrade: boolean;
     leverage: number;
     maxExposure: number;
     oraclePrice: number;
     poolPrice: number;
+    currentLogF: number;
+    netExposure: number;
 }) => number;
 export declare const calculateIMR: ({ marketLeverages, marketPrices, positions, }: {
     marketLeverages: Map<MarketId, number>;

package/dist/types/utils/calculate.d.ts.map

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package/dist/utils/calculate.js

@@ -159,23 +159,126 @@ var calculateRequiredMargin = function (_a) {
             leverage;
 };
 exports.calculateRequiredMargin = calculateRequiredMargin;
+/**
+ * Calculates the maximum notional trade size (unsigned, always ≥ 0).
+ *
+ * Implements the UI quant spec v2 ("Maximum trade") with two cases:
+ *   Case 1 — Extending: trade same direction as existing position.
+ *   Case 2 — Reverting: decompose into (a) close position exactly, then
+ *            (b) extend from zero in the opposite direction.
+ *
+ * All quadratics use the unsigned convention (t = |tradeNotional|) so the
+ * positive root always corresponds to the correct direction.
+ */
 var calculateMaxOrderSize = function (_a) {
-    var currIMR = _a.currIMR, currNodeBalance = _a.currNodeBalance, currNotional = _a.currNotional, depthFactor = _a.depthFactor, extendingPosition = _a.extendingPosition, feeRate = _a.feeRate, isShortTrade = _a.isShortTrade, leverage = _a.leverage, maxExposure = _a.maxExposure, oraclePrice = _a.oraclePrice, poolPrice = _a.poolPrice;
-    var a = poolPrice / oraclePrice;
-    var c = 1 / (depthFactor * maxExposure);
-    var R = a - 1 - feeRate * (isShortTrade ? -1 : 1);
-    var SN = currNotional < 0 ? -1 : 1;
-    var Q = R - (SN / leverage) * (extendingPosition ? 1 : -1);
-    return Math.abs((-1 * Q +
-        Math.sqrt(Math.pow(Q, 2) -
-            4 *
-                a *
-                c *
-                (currNodeBalance -
-                    currIMR +
-                    (extendingPosition ? 0 : ((2 * SN) / leverage) * currNotional))) *
-            (isShortTrade ? 1 : -1)) /
-        (2 * a * c));
+    var currIMR = _a.currIMR, currNodeBalance = _a.currNodeBalance, currNotional = _a.currNotional, depthFactor = _a.depthFactor, feeRate = _a.feeRate, isShortTrade = _a.isShortTrade, leverage = _a.leverage, maxExposure = _a.maxExposure, oraclePrice = _a.oraclePrice, poolPrice = _a.poolPrice, currentLogF = _a.currentLogF, netExposure = _a.netExposure;
+    var D = depthFactor * maxExposure;
+    var rho = poolPrice / oraclePrice;
+    var tradeSign = isShortTrade ? -1 : 1;
+    var s0 = currNotional > 0 ? 1 : currNotional < 0 ? -1 : tradeSign;
+    var absN0 = Math.abs(currNotional);
+    /**
+     * Solve the extending quadratic (spec §Case 1) for max trade size.
+     * a·t² + b·t + c = 0  where a = ρ·γ, b = s₀·(1/lev + fee) + (ρ−1), c = −surplus.
+     * Root selection: pick the root whose sign matches s₀ (dir).
+     * For rebalancing (a < 0), caps at |NE| (beyond which γ switches to unbalancing).
+     */
+    var solveExtending = function (dir, surplus, // aka, IMRDelta
+    rho_, gamma_, isRebal, absNE) {
+        if (surplus <= 0)
+            return 0;
+        var a = rho_ * gamma_;
+        var b = dir * (1 / leverage + feeRate) + (rho_ - 1);
+        var c = -surplus;
+        // Degenerate: γ = 0 → linear equation b·t + c = 0 (rebalancing with f = 0)
+        if (a === 0) {
+            if (b === 0)
+                return isRebal ? absNE : 0;
+            var t_1 = -c / b;
+            if (t_1 * dir <= 0)
+                return isRebal ? absNE : 0;
+            return isRebal ? Math.min(Math.abs(t_1), absNE) : Math.abs(t_1);
+        }
+        var disc = b * b - 4 * a * c;
+        if (isRebal) {
+            if (disc < 0)
+                return absNE;
+            var t_2 = (-b + dir * Math.sqrt(disc)) / (2 * a);
+            return t_2 * dir <= 0 ? absNE : Math.min(Math.abs(t_2), absNE);
+        }
+        if (disc < 0)
+            throw new Error("calculateMaxOrderSize: negative discriminant (".concat(disc, ")"));
+        var t = (-b + dir * Math.sqrt(disc)) / (2 * a);
+        if (t * dir <= 0)
+            throw new Error("calculateMaxOrderSize: no valid root (".concat(t, ")"));
+        return Math.abs(t);
+    };
+    // Determine γ for a trade of given direction against the current pool state
+    var getGamma = function (dir, logF, ne) {
+        var isRebal = ne !== 0 && dir === Math.sign(ne);
+        var gamma = isRebal ? -logF / ne : 1 / D;
+        return { gamma: gamma, isRebal: isRebal };
+    };
+    // ── Case 1: Extending ──────────────────────────────────────────────────
+    if (tradeSign === s0) {
+        var _b = getGamma(tradeSign, currentLogF, netExposure), gamma = _b.gamma, isRebal = _b.isRebal;
+        return solveExtending(s0, currNodeBalance - currIMR, rho, gamma, isRebal, Math.abs(netExposure));
+    }
+    // ── Case 2: Reverting — close N₀, then re-extend ──────────────────────
+    // Step 1: Close N₀ entirely (spec §Case 2, Step 1)
+    var closeTrade = -currNotional;
+    var closeDir = -s0;
+    var _c = getGamma(closeDir, currentLogF, netExposure), gammaC = _c.gamma, closeIsRebal = _c.isRebal;
+    var closeFlipsPool = closeIsRebal && absN0 > Math.abs(netExposure);
+    // Exec price ratio: ρ·exp(γ_c·closeTrade) for non-flip, dedicated formula for flip
+    var closeExecRatio = closeFlipsPool
+        ? Math.exp((closeTrade - netExposure) / D)
+        : rho * Math.exp(gammaC * closeTrade);
+    var balClose = currNodeBalance - feeRate * absN0 + closeTrade * (1 - closeExecRatio);
+    var imrClose = currIMR - absN0 / leverage;
+    var surplusClose = balClose - imrClose;
+    // Insolvency: can't fully close without going under margin.
+    // Solve partial-close quadratic (spec appendix): b has flipped feeRate sign.
+    // Falls back to full close (|N₀|) when no valid partial-close root exists.
+    if (surplusClose <= 0) {
+        var IMRDelta = currNodeBalance - currIMR;
+        var gammaP = getGamma(closeDir, currentLogF, netExposure).gamma;
+        var a = rho * gammaP;
+        var b = s0 * (1 / leverage - feeRate) + (rho - 1);
+        var c = -IMRDelta;
+        if (a === 0) {
+            if (b === 0)
+                return absN0;
+            var t_3 = -c / b;
+            if (t_3 * closeDir <= 0)
+                return absN0;
+            return Math.min(Math.abs(t_3), absN0);
+        }
+        var disc = b * b - 4 * a * c;
+        if (disc < 0)
+            return absN0;
+        var t = (-b + closeDir * Math.sqrt(disc)) / (2 * a);
+        if (t * closeDir <= 0)
+            return absN0;
+        return Math.min(Math.abs(t), absN0);
+    }
+    // Step 2: Extend from zero in -s₀ direction with post-close pool state
+    var neAfter = netExposure + currNotional;
+    var fPrime;
+    if (closeFlipsPool) {
+        fPrime = (closeTrade - netExposure) / D;
+    }
+    else if (closeIsRebal) {
+        fPrime = currentLogF * (1 + currNotional / netExposure);
+    }
+    else {
+        fPrime = currentLogF + closeTrade / D;
+    }
+    var rhoPrime = Math.exp(fPrime);
+    var extDir = -s0;
+    var _d = getGamma(extDir, fPrime, neAfter), gammaPrime = _d.gamma, isExtRebal = _d.isRebal;
+    return (absN0 +
+        solveExtending(extDir, surplusClose, rhoPrime, gammaPrime, isExtRebal, Math.abs(neAfter)));
 };
 exports.calculateMaxOrderSize = calculateMaxOrderSize;
 var calculateIMR = function (_a) {

package/dist/utils/calculate.js.map

@@ -1 +1 @@
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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\n/**\n * Calculates the maximum amount that can be withdrawn in terms of the token\n * (e.g., if rUSD then in rUSD terms, if WETH then in WETH terms)\n */\nexport const calculateMaxWithdraw = ({\n  currentIMR,\n  marginBalance,\n  realBalance,\n  haircut,\n  price,\n}: {\n  /** Current Initial Margin Requirement of the account in rUSD terms */\n  currentIMR: number;\n  /** Current margin balance of the account (expected to already include haircuts) in rUSD terms */\n  marginBalance: number;\n  /**\n   * Current real balance of the token the user wants to withdraw in token terms.\n   * For rUSD: this equals net deposits (balanceDeprecated from v2 endpoints + realized PnL).\n   * For all other tokens: this equals balanceDeprecated (since realized PnL is 0 for them).\n   */\n  realBalance: number;\n  /**\n   * Haircut parameter of the token.\n   * Note: haircut for rUSD is always expected to be 0.\n   */\n  haircut: number;\n  /** Price of the token in rUSD terms */\n  price: number;\n}): number => {\n  if (currentIMR < 0 || price < 0 || haircut < 0) {\n    throw new Error('currentIMR, price, and haircut cannot be negative');\n  }\n\n  if (currentIMR === 0) {\n    return realBalance;\n  }\n\n  if (haircut === 1 || price === 0) {\n    return 0;\n  }\n\n  const availableMargin = marginBalance - currentIMR;\n  const maxFromMargin = availableMargin / (price * (1 - haircut));\n\n  return Math.max(0, Math.min(realBalance, maxFromMargin));\n};\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\n/**\n * Splits a trade exposure into rebalancing and unbalancing portions relative to pool net exposure.\n * Rebalancing reduces pool's absolute exposure; unbalancing increases it.\n */\nexport const splitTradeExposure = (\n  tradeExposure: number,\n  poolNetExposure: number,\n): { rebalancing: number; unbalancing: number } => {\n  if (tradeExposure === 0) {\n    return { rebalancing: 0, unbalancing: 0 };\n  }\n\n  // If pool has no exposure, entire trade is unbalancing\n  if (poolNetExposure === 0) {\n    return { rebalancing: 0, unbalancing: tradeExposure };\n  }\n\n  // Opposite sign means trade increases pool exposure → pure unbalancing\n  const sameSign =\n    (poolNetExposure > 0 && tradeExposure > 0) ||\n    (poolNetExposure < 0 && tradeExposure < 0);\n  if (!sameSign) {\n    return { rebalancing: 0, unbalancing: tradeExposure };\n  }\n\n  // Same sign: trade reduces pool exposure (pool takes opposite side)\n  const absPool = Math.abs(poolNetExposure);\n  const absTrade = Math.abs(tradeExposure);\n\n  if (absTrade <= absPool) {\n    // Pure rebalancing — trade doesn't cross zero\n    return { rebalancing: tradeExposure, unbalancing: 0 };\n  }\n\n  // Mixed: rebalance up to pool exposure, then unbalance the rest\n  const rebalancing = poolNetExposure;\n  const unbalancing = tradeExposure - rebalancing;\n  return { rebalancing, unbalancing };\n};\n\n/**\n * Computes the new log price multiplier (logF) after a trade, handling both\n * rebalancing and unbalancing portions.\n *\n * Mirrors on-chain logic in PriceMultiplier.sol:computeNewLogPriceMultiplier.\n */\nexport const computeNewLogF = ({\n  currentLogF,\n  tradeExposure,\n  poolNetExposure,\n  depthFactor,\n  maxExposure,\n}: {\n  currentLogF: number;\n  tradeExposure: number;\n  poolNetExposure: number;\n  depthFactor: number;\n  maxExposure: number;\n}): number => {\n  if (tradeExposure === 0) return currentLogF;\n\n  const { rebalancing, unbalancing } = splitTradeExposure(\n    tradeExposure,\n    poolNetExposure,\n  );\n\n  // Case 1: Has unbalancing portion (includes mixed trades)\n  if (unbalancing !== 0) {\n    // If also rebalancing, it brings logF to 0 by definition (trade crosses zero)\n    const startLogF = rebalancing === 0 ? currentLogF : 0;\n    return startLogF + unbalancing / (depthFactor * maxExposure);\n  }\n\n  // Case 2: Only rebalancing\n  // Both rebalancing and poolNetExposure have the same sign, so ratio is in [0, 1]\n  if (rebalancing !== 0 && poolNetExposure !== 0) {\n    const ratio = rebalancing / poolNetExposure;\n    return currentLogF * (1 - ratio);\n  }\n\n  return currentLogF;\n};\n\n/**\n * Estimates the execution price for a trade using the exponential logPriceMultiplier formula.\n *\n * Mirrors on-chain logic:\n * 1. computeNewLogPriceMultiplier (PriceMultiplier.sol)\n * 2. computeAmmPrice: ammPrice = oraclePrice * exp(logF)\n * 3. computeSignedSpread: executionPrice = ammPrice * (1 + signedSpread)\n *\n * @audit spreadDiscount not applied — known limitation, to be addressed later\n * @audit priceSpacing rounding not applied\n */\nexport const calculateEstimatedExecutionPrice = ({\n  oraclePrice,\n  currentLogF,\n  tradeExposure,\n  poolNetExposure,\n  depthFactor,\n  maxExposure,\n  priceSpread,\n}: {\n  oraclePrice: number;\n  currentLogF: number;\n  tradeExposure: number;\n  poolNetExposure: number;\n  depthFactor: number;\n  maxExposure: number;\n  priceSpread: number;\n}): number => {\n  if (tradeExposure === 0) {\n    return oraclePrice * Math.exp(currentLogF);\n  }\n\n  // 1. Compute new logF after trade impact\n  const newLogF = computeNewLogF({\n    currentLogF,\n    tradeExposure,\n    poolNetExposure,\n    depthFactor,\n    maxExposure,\n  });\n\n  // 2. Compute AMM price: oraclePrice * exp(newLogF)\n  const ammPrice = oraclePrice * Math.exp(newLogF);\n\n  // 3. Apply signed spread\n  const signedSpread = tradeExposure > 0 ? priceSpread : -priceSpread;\n  return Math.max(0, ammPrice * (1 + signedSpread));\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  markPrices,\n  marketsTokenInfo,\n  positions,\n  rUSDAddress,\n}: {\n  accountBalances: Map<Address, number>;\n  assetPrices: Map<Address, number>;\n  markPrices: 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      ((markPrices.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 * Linearly interpolate a depth ratio from a (thresholds, ratios) curve.\n * The curve implicitly starts at (exposure=0, ratio=1.0).\n * - Between thresholds: linear interpolation\n * - Above last threshold: last ratio (flat extrapolation)\n *\n * @param thresholds - Sorted ascending exposure thresholds in notional USD (must be non-empty)\n * @param ratios - Depth ratio at each threshold (same length as thresholds, must be non-empty)\n * @param exposure - Absolute exposure notional (must be >= 0)\n * @throws if thresholds or ratios are empty, or if they have different lengths\n */\nexport const interpolateDepthRatio = (\n  thresholds: number[],\n  ratios: number[],\n  exposure: number,\n): number => {\n  if (exposure < 0) {\n    throw new Error('interpolateDepthRatio: exposure must be >= 0');\n  }\n  if (thresholds.length === 0 || ratios.length === 0) {\n    throw new Error(\n      'interpolateDepthRatio: thresholds and ratios must be non-empty',\n    );\n  }\n  if (thresholds.length !== ratios.length) {\n    throw new Error(\n      'interpolateDepthRatio: thresholds and ratios must have equal length',\n    );\n  }\n\n  const allThresholds = [0, ...thresholds];\n  const allRatios = [1.0, ...ratios];\n\n  if (exposure === 0) return 1.0;\n  if (exposure >= allThresholds[allThresholds.length - 1]) {\n    return allRatios[allRatios.length - 1];\n  }\n\n  for (let i = 0; i < allThresholds.length - 1; i++) {\n    if (exposure <= allThresholds[i + 1]) {\n      const t =\n        (exposure - allThresholds[i]) /\n        (allThresholds[i + 1] - allThresholds[i]);\n      return allRatios[i] + t * (allRatios[i + 1] - allRatios[i]);\n    }\n  }\n\n  throw new Error('interpolateDepthRatio: unreachable');\n};\n\n/**\n * Calculate the dynamic depth factor for a trade given pool state and config.\n *\n * The pool takes the opposite side of the trade, so:\n *   poolNotionalAfterTrade = currentPoolNotional - signedTradeNotional\n *\n * The depth ratio is interpolated from the exposure curve, then multiplied\n * by baseDepth to produce the final depth factor.\n *\n * @param baseDepth - Base depth multiplier for this market\n * @param thresholds - Sorted ascending exposure thresholds (notional USD)\n * @param ratios - Depth ratio at each threshold\n * @param currentPoolNotional - Pool's current notional in this market (signed)\n * @param signedTradeNotional - Trade notional (positive=buy, negative=sell)\n */\nexport const calculateDynamicDepthFactor = ({\n  baseDepth,\n  thresholds,\n  ratios,\n  currentPoolNotional,\n  signedTradeNotional,\n}: {\n  baseDepth: number;\n  thresholds: number[];\n  ratios: number[];\n  currentPoolNotional: number;\n  signedTradeNotional: number;\n}): number => {\n  const poolNotionalAfterTrade = currentPoolNotional - signedTradeNotional;\n  const absExposureNotional = Math.abs(poolNotionalAfterTrade);\n  const depthRatio = interpolateDepthRatio(\n    thresholds,\n    ratios,\n    absExposureNotional,\n  );\n  return depthRatio * baseDepth;\n};\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\n/**\n * Calculates the maximum amount that can be withdrawn in terms of the token\n * (e.g., if rUSD then in rUSD terms, if WETH then in WETH terms)\n */\nexport const calculateMaxWithdraw = ({\n  currentIMR,\n  marginBalance,\n  realBalance,\n  haircut,\n  price,\n}: {\n  /** Current Initial Margin Requirement of the account in rUSD terms */\n  currentIMR: number;\n  /** Current margin balance of the account (expected to already include haircuts) in rUSD terms */\n  marginBalance: number;\n  /**\n   * Current real balance of the token the user wants to withdraw in token terms.\n   * For rUSD: this equals net deposits (balanceDeprecated from v2 endpoints + realized PnL).\n   * For all other tokens: this equals balanceDeprecated (since realized PnL is 0 for them).\n   */\n  realBalance: number;\n  /**\n   * Haircut parameter of the token.\n   * Note: haircut for rUSD is always expected to be 0.\n   */\n  haircut: number;\n  /** Price of the token in rUSD terms */\n  price: number;\n}): number => {\n  if (currentIMR < 0 || price < 0 || haircut < 0) {\n    throw new Error('currentIMR, price, and haircut cannot be negative');\n  }\n\n  if (currentIMR === 0) {\n    return realBalance;\n  }\n\n  if (haircut === 1 || price === 0) {\n    return 0;\n  }\n\n  const availableMargin = marginBalance - currentIMR;\n  const maxFromMargin = availableMargin / (price * (1 - haircut));\n\n  return Math.max(0, Math.min(realBalance, maxFromMargin));\n};\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\n/**\n * Splits a trade exposure into rebalancing and unbalancing portions relative to pool net exposure.\n * Rebalancing reduces pool's absolute exposure; unbalancing increases it.\n */\nexport const splitTradeExposure = (\n  tradeExposure: number,\n  poolNetExposure: number,\n): { rebalancing: number; unbalancing: number } => {\n  if (tradeExposure === 0) {\n    return { rebalancing: 0, unbalancing: 0 };\n  }\n\n  // If pool has no exposure, entire trade is unbalancing\n  if (poolNetExposure === 0) {\n    return { rebalancing: 0, unbalancing: tradeExposure };\n  }\n\n  // Opposite sign means trade increases pool exposure → pure unbalancing\n  const sameSign =\n    (poolNetExposure > 0 && tradeExposure > 0) ||\n    (poolNetExposure < 0 && tradeExposure < 0);\n  if (!sameSign) {\n    return { rebalancing: 0, unbalancing: tradeExposure };\n  }\n\n  // Same sign: trade reduces pool exposure (pool takes opposite side)\n  const absPool = Math.abs(poolNetExposure);\n  const absTrade = Math.abs(tradeExposure);\n\n  if (absTrade <= absPool) {\n    // Pure rebalancing — trade doesn't cross zero\n    return { rebalancing: tradeExposure, unbalancing: 0 };\n  }\n\n  // Mixed: rebalance up to pool exposure, then unbalance the rest\n  const rebalancing = poolNetExposure;\n  const unbalancing = tradeExposure - rebalancing;\n  return { rebalancing, unbalancing };\n};\n\n/**\n * Computes the new log price multiplier (logF) after a trade, handling both\n * rebalancing and unbalancing portions.\n *\n * Mirrors on-chain logic in PriceMultiplier.sol:computeNewLogPriceMultiplier.\n */\nexport const computeNewLogF = ({\n  currentLogF,\n  tradeExposure,\n  poolNetExposure,\n  depthFactor,\n  maxExposure,\n}: {\n  currentLogF: number;\n  tradeExposure: number;\n  poolNetExposure: number;\n  depthFactor: number;\n  maxExposure: number;\n}): number => {\n  if (tradeExposure === 0) return currentLogF;\n\n  const { rebalancing, unbalancing } = splitTradeExposure(\n    tradeExposure,\n    poolNetExposure,\n  );\n\n  // Case 1: Has unbalancing portion (includes mixed trades)\n  if (unbalancing !== 0) {\n    // If also rebalancing, it brings logF to 0 by definition (trade crosses zero)\n    const startLogF = rebalancing === 0 ? currentLogF : 0;\n    return startLogF + unbalancing / (depthFactor * maxExposure);\n  }\n\n  // Case 2: Only rebalancing\n  // Both rebalancing and poolNetExposure have the same sign, so ratio is in [0, 1]\n  if (rebalancing !== 0 && poolNetExposure !== 0) {\n    const ratio = rebalancing / poolNetExposure;\n    return currentLogF * (1 - ratio);\n  }\n\n  return currentLogF;\n};\n\n/**\n * Estimates the execution price for a trade using the exponential logPriceMultiplier formula.\n *\n * Mirrors on-chain logic:\n * 1. computeNewLogPriceMultiplier (PriceMultiplier.sol)\n * 2. computeAmmPrice: ammPrice = oraclePrice * exp(logF)\n * 3. computeSignedSpread: executionPrice = ammPrice * (1 + signedSpread)\n *\n * @audit spreadDiscount not applied — known limitation, to be addressed later\n * @audit priceSpacing rounding not applied\n */\nexport const calculateEstimatedExecutionPrice = ({\n  oraclePrice,\n  currentLogF,\n  tradeExposure,\n  poolNetExposure,\n  depthFactor,\n  maxExposure,\n  priceSpread,\n}: {\n  oraclePrice: number;\n  currentLogF: number;\n  tradeExposure: number;\n  poolNetExposure: number;\n  depthFactor: number;\n  maxExposure: number;\n  priceSpread: number;\n}): number => {\n  if (tradeExposure === 0) {\n    return oraclePrice * Math.exp(currentLogF);\n  }\n\n  // 1. Compute new logF after trade impact\n  const newLogF = computeNewLogF({\n    currentLogF,\n    tradeExposure,\n    poolNetExposure,\n    depthFactor,\n    maxExposure,\n  });\n\n  // 2. Compute AMM price: oraclePrice * exp(newLogF)\n  const ammPrice = oraclePrice * Math.exp(newLogF);\n\n  // 3. Apply signed spread\n  const signedSpread = tradeExposure > 0 ? priceSpread : -priceSpread;\n  return Math.max(0, ammPrice * (1 + signedSpread));\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\n/**\n * Calculates the maximum notional trade size (unsigned, always ≥ 0).\n *\n * Implements the UI quant spec v2 (\"Maximum trade\") with two cases:\n *   Case 1 — Extending: trade same direction as existing position.\n *   Case 2 — Reverting: decompose into (a) close position exactly, then\n *            (b) extend from zero in the opposite direction.\n *\n * All quadratics use the unsigned convention (t = |tradeNotional|) so the\n * positive root always corresponds to the correct direction.\n */\nexport const calculateMaxOrderSize = ({\n  currIMR,\n  currNodeBalance,\n  currNotional,\n  depthFactor,\n  feeRate,\n  isShortTrade,\n  leverage,\n  maxExposure,\n  oraclePrice,\n  poolPrice,\n  currentLogF,\n  netExposure,\n}: {\n  currIMR: number;\n  currNodeBalance: number;\n  currNotional: number;\n  depthFactor: number;\n  feeRate: number;\n  isShortTrade: boolean;\n  leverage: number;\n  maxExposure: number;\n  oraclePrice: number;\n  poolPrice: number;\n  currentLogF: number;\n  netExposure: number;\n}): number => {\n  const D = depthFactor * maxExposure;\n  const rho = poolPrice / oraclePrice;\n  const tradeSign = isShortTrade ? -1 : 1;\n  const s0 = currNotional > 0 ? 1 : currNotional < 0 ? -1 : tradeSign;\n  const absN0 = Math.abs(currNotional);\n\n  /**\n   * Solve the extending quadratic (spec §Case 1) for max trade size.\n   * a·t² + b·t + c = 0  where a = ρ·γ, b = s₀·(1/lev + fee) + (ρ−1), c = −surplus.\n   * Root selection: pick the root whose sign matches s₀ (dir).\n   * For rebalancing (a < 0), caps at |NE| (beyond which γ switches to unbalancing).\n   */\n  const solveExtending = (\n    dir: number,\n    surplus: number, // aka, IMRDelta\n    rho_: number,\n    gamma_: number,\n    isRebal: boolean,\n    absNE: number,\n  ): number => {\n    if (surplus <= 0) return 0;\n    const a = rho_ * gamma_;\n    const b = dir * (1 / leverage + feeRate) + (rho_ - 1);\n    const c = -surplus;\n    // Degenerate: γ = 0 → linear equation b·t + c = 0 (rebalancing with f = 0)\n    if (a === 0) {\n      if (b === 0) return isRebal ? absNE : 0;\n      const t = -c / b;\n      if (t * dir <= 0) return isRebal ? absNE : 0;\n      return isRebal ? Math.min(Math.abs(t), absNE) : Math.abs(t);\n    }\n    const disc = b * b - 4 * a * c;\n    if (isRebal) {\n      if (disc < 0) return absNE;\n      const t = (-b + dir * Math.sqrt(disc)) / (2 * a);\n      return t * dir <= 0 ? absNE : Math.min(Math.abs(t), absNE);\n    }\n    if (disc < 0)\n      throw new Error(`calculateMaxOrderSize: negative discriminant (${disc})`);\n    const t = (-b + dir * Math.sqrt(disc)) / (2 * a);\n    if (t * dir <= 0)\n      throw new Error(`calculateMaxOrderSize: no valid root (${t})`);\n    return Math.abs(t);\n  };\n\n  // Determine γ for a trade of given direction against the current pool state\n  const getGamma = (dir: number, logF: number, ne: number) => {\n    const isRebal = ne !== 0 && dir === Math.sign(ne);\n    const gamma = isRebal ? -logF / ne : 1 / D;\n    return { gamma, isRebal };\n  };\n\n  // ── Case 1: Extending ──────────────────────────────────────────────────\n  if (tradeSign === s0) {\n    const { gamma, isRebal } = getGamma(tradeSign, currentLogF, netExposure);\n    return solveExtending(\n      s0,\n      currNodeBalance - currIMR,\n      rho,\n      gamma,\n      isRebal,\n      Math.abs(netExposure),\n    );\n  }\n\n  // ── Case 2: Reverting — close N₀, then re-extend ──────────────────────\n\n  // Step 1: Close N₀ entirely (spec §Case 2, Step 1)\n  const closeTrade = -currNotional;\n  const closeDir = -s0;\n  const { gamma: gammaC, isRebal: closeIsRebal } = getGamma(\n    closeDir,\n    currentLogF,\n    netExposure,\n  );\n  const closeFlipsPool = closeIsRebal && absN0 > Math.abs(netExposure);\n\n  // Exec price ratio: ρ·exp(γ_c·closeTrade) for non-flip, dedicated formula for flip\n  const closeExecRatio = closeFlipsPool\n    ? Math.exp((closeTrade - netExposure) / D)\n    : rho * Math.exp(gammaC * closeTrade);\n\n  const balClose =\n    currNodeBalance - feeRate * absN0 + closeTrade * (1 - closeExecRatio);\n  const imrClose = currIMR - absN0 / leverage;\n  const surplusClose = balClose - imrClose;\n\n  // Insolvency: can't fully close without going under margin.\n  // Solve partial-close quadratic (spec appendix): b has flipped feeRate sign.\n  // Falls back to full close (|N₀|) when no valid partial-close root exists.\n  if (surplusClose <= 0) {\n    const IMRDelta = currNodeBalance - currIMR;\n    const { gamma: gammaP } = getGamma(closeDir, currentLogF, netExposure);\n    const a = rho * gammaP;\n    const b = s0 * (1 / leverage - feeRate) + (rho - 1);\n    const c = -IMRDelta;\n\n    if (a === 0) {\n      if (b === 0) return absN0;\n      const t = -c / b;\n      if (t * closeDir <= 0) return absN0;\n      return Math.min(Math.abs(t), absN0);\n    }\n\n    const disc = b * b - 4 * a * c;\n    if (disc < 0) return absN0;\n    const t = (-b + closeDir * Math.sqrt(disc)) / (2 * a);\n    if (t * closeDir <= 0) return absN0;\n    return Math.min(Math.abs(t), absN0);\n  }\n\n  // Step 2: Extend from zero in -s₀ direction with post-close pool state\n  const neAfter = netExposure + currNotional;\n  let fPrime: number;\n  if (closeFlipsPool) {\n    fPrime = (closeTrade - netExposure) / D;\n  } else if (closeIsRebal) {\n    fPrime = currentLogF * (1 + currNotional / netExposure);\n  } else {\n    fPrime = currentLogF + closeTrade / D;\n  }\n  const rhoPrime = Math.exp(fPrime);\n\n  const extDir = -s0;\n  const { gamma: gammaPrime, isRebal: isExtRebal } = getGamma(\n    extDir,\n    fPrime,\n    neAfter,\n  );\n\n  return (\n    absN0 +\n    solveExtending(\n      extDir,\n      surplusClose,\n      rhoPrime,\n      gammaPrime,\n      isExtRebal,\n      Math.abs(neAfter),\n    )\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  markPrices,\n  marketsTokenInfo,\n  positions,\n  rUSDAddress,\n}: {\n  accountBalances: Map<Address, number>;\n  assetPrices: Map<Address, number>;\n  markPrices: 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      ((markPrices.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 * Linearly interpolate a depth ratio from a (thresholds, ratios) curve.\n * The curve implicitly starts at (exposure=0, ratio=1.0).\n * - Between thresholds: linear interpolation\n * - Above last threshold: last ratio (flat extrapolation)\n *\n * @param thresholds - Sorted ascending exposure thresholds in notional USD (must be non-empty)\n * @param ratios - Depth ratio at each threshold (same length as thresholds, must be non-empty)\n * @param exposure - Absolute exposure notional (must be >= 0)\n * @throws if thresholds or ratios are empty, or if they have different lengths\n */\nexport const interpolateDepthRatio = (\n  thresholds: number[],\n  ratios: number[],\n  exposure: number,\n): number => {\n  if (exposure < 0) {\n    throw new Error('interpolateDepthRatio: exposure must be >= 0');\n  }\n  if (thresholds.length === 0 || ratios.length === 0) {\n    throw new Error(\n      'interpolateDepthRatio: thresholds and ratios must be non-empty',\n    );\n  }\n  if (thresholds.length !== ratios.length) {\n    throw new Error(\n      'interpolateDepthRatio: thresholds and ratios must have equal length',\n    );\n  }\n\n  const allThresholds = [0, ...thresholds];\n  const allRatios = [1.0, ...ratios];\n\n  if (exposure === 0) return 1.0;\n  if (exposure >= allThresholds[allThresholds.length - 1]) {\n    return allRatios[allRatios.length - 1];\n  }\n\n  for (let i = 0; i < allThresholds.length - 1; i++) {\n    if (exposure <= allThresholds[i + 1]) {\n      const t =\n        (exposure - allThresholds[i]) /\n        (allThresholds[i + 1] - allThresholds[i]);\n      return allRatios[i] + t * (allRatios[i + 1] - allRatios[i]);\n    }\n  }\n\n  throw new Error('interpolateDepthRatio: unreachable');\n};\n\n/**\n * Calculate the dynamic depth factor for a trade given pool state and config.\n *\n * The pool takes the opposite side of the trade, so:\n *   poolNotionalAfterTrade = currentPoolNotional - signedTradeNotional\n *\n * The depth ratio is interpolated from the exposure curve, then multiplied\n * by baseDepth to produce the final depth factor.\n *\n * @param baseDepth - Base depth multiplier for this market\n * @param thresholds - Sorted ascending exposure thresholds (notional USD)\n * @param ratios - Depth ratio at each threshold\n * @param currentPoolNotional - Pool's current notional in this market (signed)\n * @param signedTradeNotional - Trade notional (positive=buy, negative=sell)\n */\nexport const calculateDynamicDepthFactor = ({\n  baseDepth,\n  thresholds,\n  ratios,\n  currentPoolNotional,\n  signedTradeNotional,\n}: {\n  baseDepth: number;\n  thresholds: number[];\n  ratios: number[];\n  currentPoolNotional: number;\n  signedTradeNotional: number;\n}): number => {\n  const poolNotionalAfterTrade = currentPoolNotional - signedTradeNotional;\n  const absExposureNotional = Math.abs(poolNotionalAfterTrade);\n  const depthRatio = interpolateDepthRatio(\n    thresholds,\n    ratios,\n    absExposureNotional,\n  );\n  return depthRatio * baseDepth;\n};\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"]}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reyaxyz/common",
-  "version": "0.344.0",
+  "version": "0.344.1",
   "publishConfig": {
     "access": "public",
     "registry": "https://registry.npmjs.org"
@@ -45,5 +45,5 @@
     "generate:coverage-badges": "npx istanbul-badges-readme --silent"
   },
   "packageManager": "pnpm@8.3.1",
-  "gitHead": "0f003607f48dc02a100ec21e460d1485fa3d7e80"
+  "gitHead": "d053c2a017e7831f3c4dfcb8351bf1f963ea6f9d"
 }

package/src/utils/calculate.ts

@@ -262,49 +262,184 @@ export const calculateRequiredMargin = ({
   (Math.abs(currentNotional + tradeNotional) - Math.abs(currentNotional)) /
     leverage;
 
+/**
+ * Calculates the maximum notional trade size (unsigned, always ≥ 0).
+ *
+ * Implements the UI quant spec v2 ("Maximum trade") with two cases:
+ *   Case 1 — Extending: trade same direction as existing position.
+ *   Case 2 — Reverting: decompose into (a) close position exactly, then
+ *            (b) extend from zero in the opposite direction.
+ *
+ * All quadratics use the unsigned convention (t = |tradeNotional|) so the
+ * positive root always corresponds to the correct direction.
+ */
 export const calculateMaxOrderSize = ({
   currIMR,
   currNodeBalance,
   currNotional,
   depthFactor,
-  extendingPosition,
   feeRate,
   isShortTrade,
   leverage,
   maxExposure,
   oraclePrice,
   poolPrice,
+  currentLogF,
+  netExposure,
 }: {
   currIMR: number;
   currNodeBalance: number;
   currNotional: number;
   depthFactor: number;
-  extendingPosition: boolean;
   feeRate: number;
   isShortTrade: boolean;
   leverage: number;
   maxExposure: number;
   oraclePrice: number;
   poolPrice: number;
-}) => {
-  const a = poolPrice / oraclePrice;
-  const c = 1 / (depthFactor * maxExposure);
-  const R = a - 1 - feeRate * (isShortTrade ? -1 : 1);
-  const SN = currNotional < 0 ? -1 : 1;
-  const Q = R - (SN / leverage) * (extendingPosition ? 1 : -1);
-  return Math.abs(
-    (-1 * Q +
-      Math.sqrt(
-        Math.pow(Q, 2) -
-          4 *
-            a *
-            c *
-            (currNodeBalance -
-              currIMR +
-              (extendingPosition ? 0 : ((2 * SN) / leverage) * currNotional)),
-      ) *
-        (isShortTrade ? 1 : -1)) /
-      (2 * a * c),
+  currentLogF: number;
+  netExposure: number;
+}): number => {
+  const D = depthFactor * maxExposure;
+  const rho = poolPrice / oraclePrice;
+  const tradeSign = isShortTrade ? -1 : 1;
+  const s0 = currNotional > 0 ? 1 : currNotional < 0 ? -1 : tradeSign;
+  const absN0 = Math.abs(currNotional);
+
+  /**
+   * Solve the extending quadratic (spec §Case 1) for max trade size.
+   * a·t² + b·t + c = 0  where a = ρ·γ, b = s₀·(1/lev + fee) + (ρ−1), c = −surplus.
+   * Root selection: pick the root whose sign matches s₀ (dir).
+   * For rebalancing (a < 0), caps at |NE| (beyond which γ switches to unbalancing).
+   */
+  const solveExtending = (
+    dir: number,
+    surplus: number, // aka, IMRDelta
+    rho_: number,
+    gamma_: number,
+    isRebal: boolean,
+    absNE: number,
+  ): number => {
+    if (surplus <= 0) return 0;
+    const a = rho_ * gamma_;
+    const b = dir * (1 / leverage + feeRate) + (rho_ - 1);
+    const c = -surplus;
+    // Degenerate: γ = 0 → linear equation b·t + c = 0 (rebalancing with f = 0)
+    if (a === 0) {
+      if (b === 0) return isRebal ? absNE : 0;
+      const t = -c / b;
+      if (t * dir <= 0) return isRebal ? absNE : 0;
+      return isRebal ? Math.min(Math.abs(t), absNE) : Math.abs(t);
+    }
+    const disc = b * b - 4 * a * c;
+    if (isRebal) {
+      if (disc < 0) return absNE;
+      const t = (-b + dir * Math.sqrt(disc)) / (2 * a);
+      return t * dir <= 0 ? absNE : Math.min(Math.abs(t), absNE);
+    }
+    if (disc < 0)
+      throw new Error(`calculateMaxOrderSize: negative discriminant (${disc})`);
+    const t = (-b + dir * Math.sqrt(disc)) / (2 * a);
+    if (t * dir <= 0)
+      throw new Error(`calculateMaxOrderSize: no valid root (${t})`);
+    return Math.abs(t);
+  };
+
+  // Determine γ for a trade of given direction against the current pool state
+  const getGamma = (dir: number, logF: number, ne: number) => {
+    const isRebal = ne !== 0 && dir === Math.sign(ne);
+    const gamma = isRebal ? -logF / ne : 1 / D;
+    return { gamma, isRebal };
+  };
+
+  // ── Case 1: Extending ──────────────────────────────────────────────────
+  if (tradeSign === s0) {
+    const { gamma, isRebal } = getGamma(tradeSign, currentLogF, netExposure);
+    return solveExtending(
+      s0,
+      currNodeBalance - currIMR,
+      rho,
+      gamma,
+      isRebal,
+      Math.abs(netExposure),
+    );
+  }
+
+  // ── Case 2: Reverting — close N₀, then re-extend ──────────────────────
+
+  // Step 1: Close N₀ entirely (spec §Case 2, Step 1)
+  const closeTrade = -currNotional;
+  const closeDir = -s0;
+  const { gamma: gammaC, isRebal: closeIsRebal } = getGamma(
+    closeDir,
+    currentLogF,
+    netExposure,
+  );
+  const closeFlipsPool = closeIsRebal && absN0 > Math.abs(netExposure);
+
+  // Exec price ratio: ρ·exp(γ_c·closeTrade) for non-flip, dedicated formula for flip
+  const closeExecRatio = closeFlipsPool
+    ? Math.exp((closeTrade - netExposure) / D)
+    : rho * Math.exp(gammaC * closeTrade);
+
+  const balClose =
+    currNodeBalance - feeRate * absN0 + closeTrade * (1 - closeExecRatio);
+  const imrClose = currIMR - absN0 / leverage;
+  const surplusClose = balClose - imrClose;
+
+  // Insolvency: can't fully close without going under margin.
+  // Solve partial-close quadratic (spec appendix): b has flipped feeRate sign.
+  // Falls back to full close (|N₀|) when no valid partial-close root exists.
+  if (surplusClose <= 0) {
+    const IMRDelta = currNodeBalance - currIMR;
+    const { gamma: gammaP } = getGamma(closeDir, currentLogF, netExposure);
+    const a = rho * gammaP;
+    const b = s0 * (1 / leverage - feeRate) + (rho - 1);
+    const c = -IMRDelta;
+
+    if (a === 0) {
+      if (b === 0) return absN0;
+      const t = -c / b;
+      if (t * closeDir <= 0) return absN0;
+      return Math.min(Math.abs(t), absN0);
+    }
+
+    const disc = b * b - 4 * a * c;
+    if (disc < 0) return absN0;
+    const t = (-b + closeDir * Math.sqrt(disc)) / (2 * a);
+    if (t * closeDir <= 0) return absN0;
+    return Math.min(Math.abs(t), absN0);
+  }
+
+  // Step 2: Extend from zero in -s₀ direction with post-close pool state
+  const neAfter = netExposure + currNotional;
+  let fPrime: number;
+  if (closeFlipsPool) {
+    fPrime = (closeTrade - netExposure) / D;
+  } else if (closeIsRebal) {
+    fPrime = currentLogF * (1 + currNotional / netExposure);
+  } else {
+    fPrime = currentLogF + closeTrade / D;
+  }
+  const rhoPrime = Math.exp(fPrime);
+
+  const extDir = -s0;
+  const { gamma: gammaPrime, isRebal: isExtRebal } = getGamma(
+    extDir,
+    fPrime,
+    neAfter,
+  );
+
+  return (
+    absN0 +
+    solveExtending(
+      extDir,
+      surplusClose,
+      rhoPrime,
+      gammaPrime,
+      isExtRebal,
+      Math.abs(neAfter),
+    )
   );
 };