@varla/polymarket 3.0.0 → 3.0.3

package/CHANGELOG.md

@@ -1,5 +1,34 @@
 # @varla/polymarket
 
+## 3.0.3
+
+### Patch Changes
+
+- c0b2c17: Adjusted order price validation to use tick-size-based bounds for more accurate market limits.
+
+  - Enforce minimum and maximum prices based on the market tick size in order validation
+  - Tightened isValidPrice to reject prices outside tick-size-derived bounds
+
+## 3.0.2
+
+### Patch Changes
+
+- eeb2d28: No functional changes; package metadata formatting adjusted.
+
+  - No runtime or API changes in this release.
+
+- 99e25e5: Minor formatting and import cleanup across trade impact and leverage adapter code and tests.
+
+  - Cleaned up formatting and import ordering in trade impact and leverage adapter modules and related tests.
+
+## 3.0.1
+
+### Patch Changes
+
+- a0cf69f: Refined package.json formatting without changing functionality.
+
+  - Reformat the files list in package metadata for consistency.
+
 ## 3.0.0
 
 ### Major Changes

package/dist/clob-orders.d.ts.map

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package/dist/index.d.ts

@@ -20,5 +20,7 @@ export { parseDecimalToBigint } from "./utils/decimal.js";
 export { twapFromHistory } from "./utils/twap.js";
 export { probToE8, collateralPriceFromMarkets } from "./utils/pricing.js";
 export { polymarketEventUrl } from "./utils/url.js";
+export * from "./trade-impact.js";
+export * from "./leverage-adapter.js";
 export * from "./bridge-client.js";
 //# sourceMappingURL=index.d.ts.map

package/dist/index.d.ts.map

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package/dist/index.js

@@ -2056,13 +2056,15 @@ class OrderValidationError extends Error {
   }
 }
 function validateOrderParams(params, options) {
-  if (params.price < 0.01 || params.price > 0.99) {
-    throw new OrderValidationError(`Price must be between 0.01 and 0.99, got ${params.price}`);
-  }
   const tickSize = Number.parseFloat(options.tickSize);
   if (Number.isNaN(tickSize) || tickSize <= 0) {
     throw new OrderValidationError(`Invalid tick size: ${options.tickSize}`);
   }
+  const minPrice = tickSize;
+  const maxPrice = 1 - tickSize;
+  if (params.price < minPrice || params.price > maxPrice) {
+    throw new OrderValidationError(`Price must be between ${minPrice} and ${maxPrice} for tick size ${options.tickSize}, got ${params.price}`);
+  }
   const priceInTicks = Math.round(params.price / tickSize);
   const alignedPrice = priceInTicks * tickSize;
   if (Math.abs(alignedPrice - params.price) > 0.000000001) {
@@ -2202,6 +2204,8 @@ function isValidPrice(price, tickSize) {
   const tick = Number.parseFloat(tickSize);
   if (Number.isNaN(tick) || tick <= 0)
     return false;
+  if (price < tick || price > 1 - tick)
+    return false;
   const rounded = roundToTickSize(price, tickSize);
   return Math.abs(rounded - price) < 0.000000001;
 }
@@ -3306,6 +3310,180 @@ function collateralPriceFromMarkets(params) {
     return bestBid;
   return Math.min(bestBid, twap);
 }
+// src/trade-impact.ts
+function parseLevel(level) {
+  return {
+    price: Number.parseFloat(level.price),
+    size: Number.parseFloat(level.size)
+  };
+}
+function computeMidPrice(book) {
+  const bestBid = book.bids.length > 0 ? Number.parseFloat(book.bids[0].price) : null;
+  const bestAsk = book.asks.length > 0 ? Number.parseFloat(book.asks[0].price) : null;
+  if (bestBid !== null && bestAsk !== null)
+    return (bestBid + bestAsk) / 2;
+  if (bestBid !== null)
+    return bestBid;
+  if (bestAsk !== null)
+    return bestAsk;
+  return 0;
+}
+function computeSlippageBps(midPrice, fillPrice, side) {
+  if (midPrice <= 0)
+    return 0;
+  if (side === "buy") {
+    return (fillPrice - midPrice) / midPrice * 1e4;
+  }
+  return (midPrice - fillPrice) / midPrice * 1e4;
+}
+function estimateBuyImpact(book, collateralAmount) {
+  const midPrice = computeMidPrice(book);
+  const fills = [];
+  let remaining = collateralAmount;
+  let totalTokens = 0;
+  let totalSpent = 0;
+  for (const rawLevel of book.asks) {
+    if (remaining <= 0)
+      break;
+    const { price, size } = parseLevel(rawLevel);
+    if (price <= 0 || size <= 0)
+      continue;
+    const levelCost = price * size;
+    const spend = Math.min(remaining, levelCost);
+    const tokensBought = spend / price;
+    totalSpent += spend;
+    totalTokens += tokensBought;
+    remaining -= spend;
+    fills.push({
+      price,
+      size: tokensBought,
+      cumulative: totalTokens
+    });
+  }
+  const avgFillPrice = totalTokens > 0 ? totalSpent / totalTokens : 0;
+  const worstPrice = fills.length > 0 ? fills[fills.length - 1].price : 0;
+  const slippageBps = computeSlippageBps(midPrice, avgFillPrice, "buy");
+  return {
+    side: "buy",
+    avgFillPrice,
+    worstPrice,
+    midPrice,
+    slippageBps,
+    outputAmount: totalTokens,
+    inputAmount: totalSpent,
+    isFilled: remaining <= 0.000000001,
+    levelsConsumed: fills.length,
+    fills
+  };
+}
+function estimateSellImpact(book, tokenAmount) {
+  const midPrice = computeMidPrice(book);
+  const fills = [];
+  let remaining = tokenAmount;
+  let totalCollateral = 0;
+  let totalSold = 0;
+  for (const rawLevel of book.bids) {
+    if (remaining <= 0)
+      break;
+    const { price, size } = parseLevel(rawLevel);
+    if (price <= 0 || size <= 0)
+      continue;
+    const sellSize = Math.min(remaining, size);
+    const proceeds = sellSize * price;
+    totalSold += sellSize;
+    totalCollateral += proceeds;
+    remaining -= sellSize;
+    fills.push({
+      price,
+      size: sellSize,
+      cumulative: totalSold
+    });
+  }
+  const avgFillPrice = totalSold > 0 ? totalCollateral / totalSold : 0;
+  const worstPrice = fills.length > 0 ? fills[fills.length - 1].price : 0;
+  const slippageBps = computeSlippageBps(midPrice, avgFillPrice, "sell");
+  return {
+    side: "sell",
+    avgFillPrice,
+    worstPrice,
+    midPrice,
+    slippageBps,
+    outputAmount: totalCollateral,
+    inputAmount: totalSold,
+    isFilled: remaining <= 0.000000001,
+    levelsConsumed: fills.length,
+    fills
+  };
+}
+function estimateTradeImpact(book, side, amount) {
+  return side === "buy" ? estimateBuyImpact(book, amount) : estimateSellImpact(book, amount);
+}
+function bookDepth(book, side) {
+  const levels = book[side];
+  if (levels.length === 0) {
+    return {
+      totalLiquidity: 0,
+      totalShares: 0,
+      levels: 0,
+      bestPrice: 0,
+      worstPrice: 0,
+      weightedAvgPrice: 0
+    };
+  }
+  let totalLiquidity = 0;
+  let totalShares = 0;
+  for (const rawLevel of levels) {
+    const { price, size } = parseLevel(rawLevel);
+    totalShares += size;
+    totalLiquidity += price * size;
+  }
+  const first = parseLevel(levels[0]);
+  const last = parseLevel(levels[levels.length - 1]);
+  const weightedAvgPrice = totalShares > 0 ? totalLiquidity / totalShares : 0;
+  return {
+    totalLiquidity,
+    totalShares,
+    levels: levels.length,
+    bestPrice: first.price,
+    worstPrice: last.price,
+    weightedAvgPrice
+  };
+}
+// src/leverage-adapter.ts
+function toSdkSlippageBps(estimate) {
+  const clamped = Math.max(0, Math.min(9999, Math.ceil(estimate.slippageBps)));
+  return BigInt(clamped);
+}
+function slippageBpsToSdk(slippageBps) {
+  if (!Number.isFinite(slippageBps))
+    return slippageBps > 0 ? 9999n : 0n;
+  const clamped = Math.max(0, Math.min(9999, Math.ceil(slippageBps)));
+  return BigInt(clamped);
+}
+async function estimateLeverageBuySlippage(params) {
+  const book = await getBook(params.tokenId);
+  return estimateLeverageBuySlippageFromBook(book, params.collateralAmount);
+}
+function estimateLeverageBuySlippageFromBook(book, collateralAmount) {
+  const estimate = estimateBuyImpact(book, collateralAmount);
+  return {
+    slippageBps: toSdkSlippageBps(estimate),
+    rawSlippageBps: estimate.slippageBps,
+    estimate
+  };
+}
+async function estimateLeverageSellSlippage(params) {
+  const book = await getBook(params.tokenId);
+  return estimateLeverageSellSlippageFromBook(book, params.tokenAmount);
+}
+function estimateLeverageSellSlippageFromBook(book, tokenAmount) {
+  const estimate = estimateSellImpact(book, tokenAmount);
+  return {
+    slippageBps: toSdkSlippageBps(estimate),
+    rawSlippageBps: estimate.slippageBps,
+    estimate
+  };
+}
 // src/bridge-client.ts
 function buildQuery3(params) {
   const q = new URLSearchParams;
@@ -3434,6 +3612,8 @@ export {
   validateOrderParams,
   twapFromHistory,
   toTokenUnits,
+  toSdkSlippageBps,
+  slippageBpsToSdk,
   roundUp,
   roundToTickSize,
   roundNormal,
@@ -3464,6 +3644,13 @@ export {
   fromTokenUnits,
   fetchJsonWithMeta,
   fetchJson,
+  estimateTradeImpact,
+  estimateSellImpact,
+  estimateLeverageSellSlippageFromBook,
+  estimateLeverageSellSlippage,
+  estimateLeverageBuySlippageFromBook,
+  estimateLeverageBuySlippage,
+  estimateBuyImpact,
   erc20Abi,
   decimalPlaces,
   ctfExchangeAbi,
@@ -3475,8 +3662,10 @@ export {
   createClobOrderBuilder,
   createClobAuthManager,
   configureClobClient,
+  computeSlippageBps,
   computePnlSummary,
   computeOpenPnl,
+  computeMidPrice,
   computeClosedPnl,
   collateralPriceFromMarkets,
   classifyHttpStatus,
@@ -3484,6 +3673,7 @@ export {
   classifyEndpoint,
   chunk,
   calculateAmounts,
+  bookDepth,
   VALIDATE_READONLY_API_KEY,
   USER_PNL_LIMIT_PER_10S,
   UPDATE_BALANCE_ALLOWANCE,

package/dist/leverage-adapter.d.ts

@@ -0,0 +1,68 @@
+/**
+ * Bridge between `@varla/polymarket` trade impact estimates and
+ * `@varla/sdk/leverage` planner conventions (bigint bps).
+ *
+ * These helpers convert floating-point slippage estimates from the CLOB
+ * orderbook walker into the bigint `slippageBps` parameter expected by
+ * `planLeverageLoop()` and `planDeleverage()`.
+ */
+import type { TradeImpactEstimate } from "./trade-impact.js";
+import type { ClobBookResponse } from "./types.js";
+/**
+ * Convert a `TradeImpactEstimate.slippageBps` (float) to the bigint bps
+ * expected by `@varla/sdk/leverage` planners.
+ *
+ * - Rounds UP to be conservative (user assumes worst case).
+ * - Clamps to [0, 9999] — the SDK rejects >= 10_000.
+ * - Negative slippage (price improvement) is clamped to 0 because the
+ *   planner models worst-case; positive slippage flows through at runtime.
+ */
+export declare function toSdkSlippageBps(estimate: TradeImpactEstimate): bigint;
+/**
+ * Convert a raw float slippage bps value to SDK-compatible bigint.
+ * Same clamping rules as `toSdkSlippageBps`.
+ */
+export declare function slippageBpsToSdk(slippageBps: number): bigint;
+export type LeverageSlippageEstimate = {
+    /** Slippage in bigint bps, ready to pass to `planLeverageLoop({ slippageBps })`. */
+    slippageBps: bigint;
+    /** Raw float slippage bps (may be negative for price improvement). */
+    rawSlippageBps: number;
+    /** Full trade impact estimate for inspection / UI display. */
+    estimate: TradeImpactEstimate;
+};
+/**
+ * Fetch the live orderbook and estimate buy slippage for a leverage loop.
+ *
+ * Use this to dynamically compute `slippageBps` from real market depth
+ * before calling `planLeverageLoop()`.
+ *
+ * @param tokenId - Polymarket position token ID.
+ * @param collateralAmount - Total collateral the leverage loop will spend buying tokens.
+ * @returns Slippage estimate with SDK-compatible bigint bps.
+ */
+export declare function estimateLeverageBuySlippage(params: {
+    tokenId: string;
+    collateralAmount: number;
+}): Promise<LeverageSlippageEstimate>;
+/**
+ * Same as `estimateLeverageBuySlippage` but accepts a pre-fetched book.
+ * Useful when you already have the book (e.g., from a WebSocket subscription).
+ */
+export declare function estimateLeverageBuySlippageFromBook(book: ClobBookResponse, collateralAmount: number): LeverageSlippageEstimate;
+/**
+ * Fetch the live orderbook and estimate sell slippage for a deleverage loop.
+ *
+ * @param tokenId - Polymarket position token ID.
+ * @param tokenAmount - Total tokens the deleverage loop will sell.
+ * @returns Slippage estimate with SDK-compatible bigint bps.
+ */
+export declare function estimateLeverageSellSlippage(params: {
+    tokenId: string;
+    tokenAmount: number;
+}): Promise<LeverageSlippageEstimate>;
+/**
+ * Same as `estimateLeverageSellSlippage` but accepts a pre-fetched book.
+ */
+export declare function estimateLeverageSellSlippageFromBook(book: ClobBookResponse, tokenAmount: number): LeverageSlippageEstimate;
+//# sourceMappingURL=leverage-adapter.d.ts.map

package/dist/leverage-adapter.d.ts.map

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package/dist/trade-impact.d.ts

@@ -0,0 +1,124 @@
+/**
+ * Trade impact & slippage estimation for Polymarket CLOB orderbooks.
+ *
+ * Pure functions — zero I/O, zero side-effects. They accept a `ClobBookResponse`
+ * (from `ClobClient.getBook()`) and return rich fill estimates including weighted
+ * average fill price, slippage in bps, per-level breakdown, and depth summaries.
+ *
+ * Slippage sign convention:
+ * - **Positive** = adverse (user pays more on buy / receives less on sell)
+ * - **Negative** = favorable (price improvement — user gets a better deal than mid)
+ * - **Zero** = fill exactly at mid
+ */
+import type { ClobBookResponse } from "./types.js";
+/** A single fill at one price level. */
+export type FillLevel = {
+    /** Price at this level. */
+    price: number;
+    /** Amount filled at this level (collateral for buys, tokens for sells). */
+    size: number;
+    /** Cumulative filled amount up to and including this level. */
+    cumulative: number;
+};
+/** Full trade impact estimate from walking the orderbook. */
+export type TradeImpactEstimate = {
+    /** Trade direction. */
+    side: "buy" | "sell";
+    /** Weighted average fill price across all levels consumed. */
+    avgFillPrice: number;
+    /** Worst (furthest from mid) price level touched. */
+    worstPrice: number;
+    /** Mid price at time of estimation: (bestBid + bestAsk) / 2. */
+    midPrice: number;
+    /**
+     * Slippage from mid to avgFillPrice in basis points.
+     *
+     * - Positive = adverse (user loses value vs mid)
+     * - Negative = favorable (price improvement)
+     */
+    slippageBps: number;
+    /** Total tokens acquired (buy) or collateral received (sell). */
+    outputAmount: number;
+    /** Total collateral spent (buy) or tokens sold (sell). */
+    inputAmount: number;
+    /** Whether the full requested amount can be filled from the book. */
+    isFilled: boolean;
+    /** Number of price levels consumed. */
+    levelsConsumed: number;
+    /** Per-level fill breakdown. */
+    fills: FillLevel[];
+};
+/** Summary of one side of the orderbook. */
+export type BookDepthSummary = {
+    /** Total notional liquidity (collateral value). */
+    totalLiquidity: number;
+    /** Total share volume available. */
+    totalShares: number;
+    /** Number of price levels. */
+    levels: number;
+    /** Best (closest to mid) price. */
+    bestPrice: number;
+    /** Worst (furthest from mid) price. */
+    worstPrice: number;
+    /** Volume-weighted average price across all levels. */
+    weightedAvgPrice: number;
+};
+/**
+ * Compute the mid price from a CLOB book response.
+ *
+ * - If both sides have orders: `(bestBid + bestAsk) / 2`
+ * - If only one side: returns that side's best price
+ * - If empty: returns 0
+ */
+export declare function computeMidPrice(book: ClobBookResponse): number;
+/**
+ * Compute slippage in basis points between a mid price and a fill price.
+ *
+ * For buys:  slippage = (fillPrice - midPrice) / midPrice * 10_000
+ *   → positive when you pay more than mid (adverse)
+ *   → negative when you pay less than mid (favorable / price improvement)
+ *
+ * For sells: slippage = (midPrice - fillPrice) / midPrice * 10_000
+ *   → positive when you receive less than mid (adverse)
+ *   → negative when you receive more than mid (favorable)
+ */
+export declare function computeSlippageBps(midPrice: number, fillPrice: number, side: "buy" | "sell"): number;
+/**
+ * Estimate the impact of buying tokens by spending a given collateral amount.
+ *
+ * Walks the ask side of the book (sorted ascending — best ask first).
+ * For each level, the collateral cost is `price × size`. The function consumes
+ * levels until `collateralAmount` is exhausted or the book runs out.
+ *
+ * @param book - CLOB book response (from `getBook()`).
+ * @param collateralAmount - Total collateral (e.g., USDC) to spend.
+ * @returns Full trade impact estimate.
+ */
+export declare function estimateBuyImpact(book: ClobBookResponse, collateralAmount: number): TradeImpactEstimate;
+/**
+ * Estimate the impact of selling a given token amount.
+ *
+ * Walks the bid side of the book (sorted descending — best bid first).
+ * For each level, the function sells tokens until `tokenAmount` is exhausted.
+ *
+ * @param book - CLOB book response.
+ * @param tokenAmount - Total tokens to sell.
+ * @returns Full trade impact estimate.
+ */
+export declare function estimateSellImpact(book: ClobBookResponse, tokenAmount: number): TradeImpactEstimate;
+/**
+ * Estimate trade impact for a buy or sell.
+ *
+ * @param book - CLOB book response.
+ * @param side - "buy" or "sell".
+ * @param amount - Collateral to spend (buy) or tokens to sell (sell).
+ */
+export declare function estimateTradeImpact(book: ClobBookResponse, side: "buy" | "sell", amount: number): TradeImpactEstimate;
+/**
+ * Compute a summary of depth on one side of the book.
+ *
+ * @param book - CLOB book response.
+ * @param side - "bids" or "asks".
+ */
+export declare function bookDepth(book: ClobBookResponse, side: "bids" | "asks"): BookDepthSummary;
+//# sourceMappingURL=trade-impact.d.ts.map

package/dist/trade-impact.d.ts.map

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package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@varla/polymarket",
-  "version": "3.0.0",
+  "version": "3.0.3",
   "description": "High-performance Polymarket SDK",
   "type": "module",
   "main": "./dist/index.js",