flash-sdk 1.0.21 → 1.0.23

package/src/PoolAccount.ts

@@ -1,491 +0,0 @@
-
-import { BN_ZERO, BPS_DECIMALS, BPS_POWER, PERCENTAGE_DECIMALS, PRICE_DECIMALS, USD_DECIMALS } from "./constants";
-import { BN } from "@coral-xyz/anchor";
-import { Mint } from "@solana/spl-token";
-import { AumCalcMode, Custody, FeesMode, Pool, Side, TokenRatios, isVariant } from "./types";
-import { PublicKey } from "@solana/web3.js";
-import {CustodyAccount} from "./CustodyAccount";
-import { OraclePrice } from "./OraclePrice";
-import { PositionAccount } from "./PositionAccount";
-import { checkedCeilDiv, checkedDecimalCeilMul, checkedDecimalMul, scaleToExponent } from "./utils";
-
-
-
-export class PoolAccount implements Pool {
-
-    publicKey: PublicKey;
-
-    //  all Pool Type data IMP:: SHOULD MATCH NAMES 
-    name: string;
-    custodies: PublicKey[];
-    ratios: TokenRatios[];
-    aumUsd: BN;
-    bump: number;
-    lpTokenBump: number;
-    inceptionTime: BN;
-
-
-    constructor(publicKey: PublicKey, parseData: Pool) {
-        this.publicKey = publicKey;
-        Object.assign(this, parseData);
-    }
-
-    static from(publicKey: PublicKey, parseData: Pool): PoolAccount {
-        return new PoolAccount(publicKey, parseData);
-    }
-
-
-    updatePoolData(parseData: Pool) {
-        Object.assign(this, parseData);
-    }
-
-    getTokenId(custodyKey: PublicKey) : number {
-        return this.custodies.findIndex(i => i.toBase58()==custodyKey.toBase58())
-    }
-
-
-    getAddLiquidityFee(
-        tokenId: number,
-        amount: BN,
-        custody: CustodyAccount,
-        tokenPrice: OraclePrice,
-    ) : BN {
-        return this.getFee(
-                    tokenId,
-                    custody.fees.addLiquidity,
-                    amount,
-                    new BN(0),
-                    custody,
-                    tokenPrice,
-                )
-    }
-
-    // TODO 
-    getFee(
-        tokenId: number,
-        baseFee: BN,
-        amountAdd: BN,
-        amountRemove: BN,
-        custody: CustodyAccount,
-        tokenPrice: OraclePrice,
-    ) : BN {
-        if (custody.fees.mode === FeesMode.Fixed) {
-            // return Self::get_fee_amount(base_fee, std::cmp::max(amount_add, amount_remove));
-           return this.getFeeAmount(baseFee,BN.max(amountAdd, amountRemove))
-        }
-        // === NOW FEE MODE IS FeesMode.Linear
-        // if token ratio is improved:
-        //    fee = base_fee / ratio_fee
-        // otherwise:
-        //    fee = base_fee * ratio_fee
-        // where:
-        //   if new_ratio < ratios.target:
-        //     ratio_fee = 1 + custody.fees.ratio_mult * (ratios.target - new_ratio) / (ratios.target - ratios.min);
-        //   otherwise:
-        //     ratio_fee = 1 + custody.fees.ratio_mult * (new_ratio - ratios.target) / (ratios.max - ratios.target);
-
-         let ratios = this.ratios[tokenId];
-        let current_ratio = this.getCurrentRatio(custody, tokenPrice);
-        throw Error("TODODO");
-
-        return new BN(0);    
-    }
-
-    getFeeAmount(fee: BN, amount: BN) : BN {
-        if (fee.isZero() || amount.isZero() ){
-            return new BN(0);
-        }
-
-        return checkedCeilDiv(
-            (amount.mul(fee)),
-            new BN(BPS_POWER)
-        )
-    }
-
-    getExitFee( size: BN, custody: CustodyAccount) : BN {
-       return this.getFeeAmount(custody.fees.closePosition, size)
-    }
-
-    getLiquidationFee( size: BN, custody: CustodyAccount) : BN {
-        return this.getFeeAmount(custody.fees.closePosition, size);
-    }
-
-    getCurrentRatio(
-        custody : CustodyAccount,
-         tokenPrice : OraclePrice
-    ) :BN {
-        if (this.aumUsd.isZero()) {
-            return new BN(0);
-        }
-        // let ratio = math::checked_as_u64(math::checked_div(
-        //     math::checked_mul(
-        //         token_price.get_asset_amount_usd(custody.assets.owned, custody.decimals)? as u128,
-        //         Perpetuals::BPS_POWER,
-        //     )?,
-        //     self.aum_usd,
-        // )?)?;
-
-        // Ok(std::cmp::min(ratio, Perpetuals::BPS_POWER as u64))
-    }
-
-    static getEntryPrice(
-        token_price: OraclePrice,
-        token_ema_price: OraclePrice,
-        side: Side,
-        custody: CustodyAccount,
-    ) : BN {
-        let price = PoolAccount.getPrice(
-            token_price,
-            token_ema_price,
-            (isVariant(side, 'long')) ?  Side.Long : Side.Short,
-            (isVariant(side, 'long')) ?  custody.pricing.tradeSpreadLong : custody.pricing.tradeSpreadShort,
-        );
-        return price.scale_to_exponent(new BN(-1*PRICE_DECIMALS)).price
-    }
-
-    static getExitPrice(
-        token_price: OraclePrice,
-        token_ema_price: OraclePrice,
-        side: Side,
-        custody: CustodyAccount,
-    ) : BN {
-        let price = PoolAccount.getPrice(
-            token_price,
-            token_ema_price,
-            (isVariant(side, 'long')) ? Side.Short : Side.Long,
-            (isVariant(side, 'long')) ? custody.pricing.tradeSpreadShort : custody.pricing.tradeSpreadLong,
-        );
-        return price.scale_to_exponent(new BN(-1*PRICE_DECIMALS)).price
-    }
-    
-    static getPriceAfterSlippage (
-        isEntry : boolean,
-        slippageBps : BN,
-        token_price: OraclePrice,
-        token_ema_price: OraclePrice,
-        side: Side,
-        custody: CustodyAccount,
-    ) : BN {
-        if(isEntry){
-            const current_price = this.getEntryPrice(token_price, token_ema_price, side, custody);
-            // console.log("getEntryPrice current_price:",current_price.toString())
-            // TODO:: checked USE
-            let spread_i = checkedDecimalCeilMul(
-                current_price,
-                new BN(-1*PRICE_DECIMALS),
-                slippageBps,
-                new BN(-1 * BPS_DECIMALS),
-                new BN(-1*PRICE_DECIMALS),
-            );
-            // console.log("getPriceAfterSlippage spread_i:",spread_i.toString());
-
-            if (isVariant(side, 'long')) {
-                return current_price.add(spread_i);
-            } else {
-                if (spread_i.lt(current_price) ){
-                    return current_price.sub(spread_i)
-                } else {
-                    return BN_ZERO;
-                };
-            }
-        } else {
-            // Opp in during close
-            const current_price = this.getExitPrice(token_price, token_ema_price, side, custody);
-            // console.log("getExitPrice current_price:",current_price.toString())
-            // TODO:: checked USE
-            let spread_i = checkedDecimalCeilMul(
-                current_price,
-                new BN(-1*PRICE_DECIMALS),
-                slippageBps,
-                new BN(-1 * BPS_DECIMALS),
-                new BN(-1*PRICE_DECIMALS),
-            );
-            // console.log("spread_i:",spread_i);
-            if (isVariant(side, 'long')) {
-                if (spread_i.lt(current_price) ){
-                    return current_price.sub(spread_i)
-                } else {
-                    return BN_ZERO;
-                };
-            } else {
-                return current_price.add(spread_i);
-            }
-
-        }
-    }
-
-   static getPrice(
-        token_price: OraclePrice,
-        token_ema_price: OraclePrice,
-        side: Side,
-        spread: BN,
-     ) : OraclePrice {
-        if (isVariant(side, 'long')) {
-            // console.log("inside long")
-            let max_price : OraclePrice;
-             if (token_price.cmp(token_ema_price))  {
-                max_price = token_price;
-            } else {
-                max_price = token_ema_price;
-            };
-
-            let spread_i = checkedDecimalCeilMul(
-                max_price.price,
-                max_price.exponent,
-                spread,
-                new BN(-1 * BPS_DECIMALS),
-                max_price.exponent,
-            );
-            // console.log("getPrice spread_i:",spread_i.toString());
-
-            return new OraclePrice({
-                price : max_price.price.add(spread_i),
-                exponent : max_price.exponent,
-            })
-        } else {
-            // console.log("inside short ")
-            let min_price:OraclePrice;
-            if (token_price.cmp(token_ema_price) ) {
-                min_price = token_ema_price;
-            } else {
-                min_price = token_price;
-            };
-
-            let spread_i = checkedDecimalMul(
-                min_price.price,
-                min_price.exponent,
-                spread,
-                new BN(-1 * BPS_DECIMALS),
-                min_price.exponent,
-            );
-            // console.log("spread_i:",spread_i.toString())
-
-            let price : BN;
-            if (spread_i.lt(min_price.price) ){
-                price = min_price.price.sub(spread_i)
-            } else {
-                price = BN_ZERO;
-            };
-
-            return new OraclePrice({
-                price : price,
-                exponent : min_price.exponent
-            })
-
-        }
-    }
-
-    getPnlUsd(
-        position: PositionAccount,
-        token_price: OraclePrice,
-        token_ema_price: OraclePrice,
-        custody: CustodyAccount,
-        curtime: BN,
-        liquidation: boolean,
-    ) {
-
-        if (position.sizeUsd.isZero() || position.price.isZero()){
-            return { 
-                profit: BN_ZERO,
-                loss: BN_ZERO,
-                exitFee:  BN_ZERO
-            }
-        }   
-        let min_price: OraclePrice;
-        if (token_price.cmp(token_ema_price)) {
-            min_price = token_price
-        } else {
-            min_price = token_ema_price
-        };
-
-
-        let exit_price = PoolAccount.getExitPrice(token_price, token_ema_price, position.side, custody);
-        // console.log("exit_price:",exit_price, exit_price?.toString())
-
-
-        let size = token_ema_price.getTokenAmount(position.sizeUsd, custody.decimals);
-        // console.log("size:",size, size?.toString())
-
-        let exit_fee :BN; 
-        if (liquidation) {
-            exit_fee = this.getLiquidationFee(size, custody)
-        } else {
-            exit_fee = this.getExitFee(size, custody)
-        };
-        // console.log("exit_fee:",exit_fee.toString())
-
-        let exit_fee_usd = token_ema_price.getAssetAmountUsd(exit_fee, custody.decimals);
-        // console.log("exit_fee_usd:",exit_fee_usd.toString())
-
-        let interest_usd = custody.getInterestAmountUsd(position, curtime);
-        // console.log("interest_usd:",interest_usd.toString())
-
-        let unrealized_loss_usd =  (exit_fee_usd.add(interest_usd)).add(position.unrealizedLossUsd);
-        // console.log("unrealized_loss_usd:",unrealized_loss_usd.toString())
-
-        let price_diff_profit, price_diff_loss ;
-        if (isVariant(position.side, 'long'))  {
-            if (exit_price.gt(position.price))  {
-                price_diff_profit =  exit_price.sub(position.price)
-                price_diff_loss = BN_ZERO
-            } else {
-                price_diff_profit = BN_ZERO;
-                price_diff_loss =  position.price.sub(exit_price);
-            }
-        } else if (exit_price.lt(position.price) ){
-            price_diff_profit =  position.price.sub(exit_price);
-            price_diff_loss = BN_ZERO
-        } else {
-            price_diff_profit = BN_ZERO;
-            price_diff_loss = exit_price.sub(position.price);
-        };
-        // console.log("1 price_diff_profit:",price_diff_profit.toString())
-        // console.log("2 price_diff_loss:",price_diff_loss.toString())
-
-
-        let position_price = scaleToExponent(
-            position.price,
-            new BN(-1 * PRICE_DECIMALS),
-            new BN(-1 * USD_DECIMALS ),
-        );
-        // console.log("position_price:",position_price.toString())
-
-        if (price_diff_profit.gt(BN_ZERO)) {
-            
-            let potential_profit_usd = (position.sizeUsd.mul(price_diff_profit)).div(position_price);
-
-            potential_profit_usd = potential_profit_usd.add(position.unrealizedProfitUsd);
-            // console.log("potential_profit_usd:",potential_profit_usd.toString())
-
-
-            if (potential_profit_usd.gte(unrealized_loss_usd))  {
-                let cur_profit_usd = potential_profit_usd.sub(unrealized_loss_usd);
-                let max_profit_usd =
-                    min_price.getAssetAmountUsd(position.lockedAmount, custody.decimals);
-
-                // console.log("cur_profit_usd:",cur_profit_usd.toString())
-                // console.log("max_profit_usd:",max_profit_usd.toString())
-
-                return { 
-                    profit: BN.min(max_profit_usd, cur_profit_usd),
-                    loss: BN_ZERO,
-                    exitFee:  exit_fee
-                }
-            } else {
-                // console.log(" -- unrealized_loss_usd:",unrealized_loss_usd.toString())
-                // console.log(" -- potential_profit_usd:",potential_profit_usd.toString())
-
-                return { 
-                    profit: BN_ZERO,
-                    loss: unrealized_loss_usd.sub(potential_profit_usd),
-                    exitFee:  exit_fee
-                }
-            }
-        } else {
-            let potential_loss_usd = checkedCeilDiv(
-                position.sizeUsd.mul(price_diff_loss),
-                position_price,
-            );
-
-             potential_loss_usd = potential_loss_usd.add(unrealized_loss_usd);
-            //  console.log("potential_loss_usd:",potential_loss_usd.toString())
-
-
-            if ( potential_loss_usd.gte(position.unrealizedProfitUsd) ) {
-            //  console.log("position.unrealizedProfitUsd:",position.unrealizedProfitUsd.toString())
-
-                return { 
-                    profit: BN_ZERO,
-                    loss: potential_loss_usd.sub(position.unrealizedProfitUsd),
-                    exitFee:  exit_fee
-                }
-            } else {
-                let cur_profit_usd = position.unrealizedProfitUsd.sub(potential_loss_usd);
-                let max_profit_usd = min_price.getAssetAmountUsd(position.lockedAmount, custody.decimals);
-            //  console.log("cur_profit_usd:",cur_profit_usd.toString())
-            //  console.log("max_profit_usd:",max_profit_usd.toString())
-                
-                return { 
-                    profit: BN.min(max_profit_usd, cur_profit_usd),
-                    loss: BN_ZERO,
-                    exitFee:  exit_fee
-                }
-            }
-        }
-    } //getPnlUsd
-    
-    getAssetsUnderManagementUsd(
-        token_prices: OraclePrice[],
-        token_ema_prices: OraclePrice[],
-        custodyAccounts : CustodyAccount[],
-        aum_calc_mode: AumCalcMode,
-        currentTime : BN
-    ) : BN  {
-
-        let  pool_amount_usd: BN = BN_ZERO;
-        
-        for (let index=0;index<custodyAccounts.length;index++) {
-
-            if( token_prices.length != custodyAccounts.length || token_prices.length != token_ema_prices.length ){
-                throw Error("token prices length incorrect");
-            }
-
-            let aum_token_price : OraclePrice;
-            //  switch unable to match enum
-            if(isVariant(aum_calc_mode,"last")){
-                aum_token_price = token_prices[index];
-            } else if( isVariant(aum_calc_mode, "ema") ){
-                aum_token_price = token_ema_prices[index];
-            } else if( isVariant(aum_calc_mode, "min") ) {
-                if (token_prices[index].cmp(token_ema_prices[index])) {
-                    aum_token_price = token_prices[index];
-                } else {
-                    aum_token_price = token_ema_prices[index];
-                }
-            } else if( isVariant(aum_calc_mode, "max") ) {
-                if (token_ema_prices[index].cmp(token_prices[index])) {
-                    aum_token_price = token_prices[index];
-                } else {
-                    aum_token_price = token_ema_prices[index];
-                }
-            }
-
-            let token_amount_usd :BN =
-                aum_token_price.getAssetAmountUsd(custodyAccounts[index].assets.owned, custodyAccounts[index].decimals);
-
-            pool_amount_usd = pool_amount_usd.add(token_amount_usd);
-
-            if (custodyAccounts[index].pricing.useUnrealizedPnlInAum) {
-                // compute aggregate unrealized pnl
-                // console.log("long_pos:",custodyAccounts[index].longPositions)
-                let {  profit : long_profit , loss : long_loss  } = this.getPnlUsd(
-                    custodyAccounts[index].getCollectivePosition(Side.Long),
-                    token_prices[index],
-                    token_ema_prices[index],
-                    custodyAccounts[index],
-                    currentTime,
-                    false,
-                );
-                // console.log("long_pos:",custodyAccounts[index].shortPositions)
-
-                let {  profit : short_profit , loss : short_loss  } =  this.getPnlUsd(
-                    custodyAccounts[index].getCollectivePosition(Side.Short),
-                    token_prices[index],
-                    token_ema_prices[index],
-                    custodyAccounts[index],
-                    currentTime,
-                    false,
-                );
-
-                // adjust pool amount by collective profit/loss
-                pool_amount_usd = pool_amount_usd.add(long_profit);
-                pool_amount_usd = pool_amount_usd.add(short_profit); 
-                pool_amount_usd = pool_amount_usd.sub(long_loss); // check overflow - saturating_sub
-                pool_amount_usd = pool_amount_usd.sub(short_loss);
-            }
-        }
-
-        return pool_amount_usd;
-    }
-
-} // Pool