impermax-sdk 2.1.134 → 2.1.136

package/lib/utils/nftlpMath/uniswapV3Position.d.ts

@@ -30,16 +30,22 @@ export default class UniswapV3Position {
     private getInitialRealY;
     private getValueGivenPriceAndAmounts;
     private getValueGivenAmounts;
+    private getAmountXGivenValue;
+    private getAmountYGivenValue;
     private getDebtValueGivenPrice;
     private getCollateralValueGivenPrice;
     private getEquityValueGivenPrice;
     private getDebtValue;
     private getCollateralValue;
     private getEquityValue;
+    private getLiquidityPostLiquidationValueGivenPriceAndDebt;
+    private isLiquidatableGivenPriceAndDebt;
+    private isLiquidatableGivenDebt;
     private isLiquidatableGivenPrice;
     private isUnderwaterGivenPrice;
     private getLiquidityGivenAmounts;
     private getLiquidationPriceInRange;
+    private getMaxDeltaDebtInRange;
     /**
      * PUBLIC SETTERS
      */
@@ -70,10 +76,18 @@ export default class UniswapV3Position {
         priceA: number;
         priceB: number;
     } | undefined;
-    leverage(): number;
+    getLeverage(): number;
     getOptimalLiquidity(amountX: number, amountY: number): {
         liquidity: number;
         amountX: number;
         amountY: number;
     };
+    getMaxLeverage(): number;
+    getMinLeverage(): number;
+    getMaxWithdrawable(): {
+        amountX: number;
+        amountY: number;
+    };
+    getMaxBorrowableX(): number;
+    getMaxBorrowableY(): number;
 }

package/lib/utils/nftlpMath/uniswapV3Position.js

@@ -72,6 +72,12 @@ class UniswapV3Position {
     getValueGivenAmounts(amountX, amountY) {
         return amountX * this.marketPrice + amountY;
     }
+    getAmountXGivenValue(value) {
+        return value / this.marketPrice;
+    }
+    getAmountYGivenValue(value) {
+        return value;
+    }
     getDebtValueGivenPrice(price) {
         return this.getValueGivenPriceAndAmounts(price, this.debtX, this.debtY);
     }
@@ -90,11 +96,24 @@ class UniswapV3Position {
     getEquityValue() {
         return this.getEquityValueGivenPrice(this.marketPrice);
     }
+    getLiquidityPostLiquidationValueGivenPriceAndDebt(price, debtX, debtY) {
+        const debtValue = this.getValueGivenPriceAndAmounts(price, debtX, debtY);
+        const collateralValue = this.getCollateralValueGivenPrice(price);
+        const collateralNeeded = debtValue * this.liquidationPenalty;
+        return collateralValue - collateralNeeded;
+    }
+    isLiquidatableGivenPriceAndDebt(price, debtX, debtY) {
+        return this.getLiquidityPostLiquidationValueGivenPriceAndDebt(price / this.safetyMargin, debtX, debtY) < 0
+            || this.getLiquidityPostLiquidationValueGivenPriceAndDebt(price * this.safetyMargin, debtX, debtY) < 0;
+    }
+    isLiquidatableGivenDebt(debtX, debtY) {
+        return this.isLiquidatableGivenPriceAndDebt(this.marketPrice, debtX, debtY);
+    }
     isLiquidatableGivenPrice(price) {
-        return this.getEquityValueGivenPrice(price / this.safetyMargin) < 0 || this.getEquityValueGivenPrice(price * this.safetyMargin) < 0;
+        return this.isLiquidatableGivenPriceAndDebt(price, this.debtX, this.debtY);
     }
     isUnderwaterGivenPrice(price) {
-        return this.getEquityValueGivenPrice(price) < 0;
+        return this.getLiquidityPostLiquidationValueGivenPriceAndDebt(price, this.debtX, this.debtY) < 0;
     }
     getLiquidityGivenAmounts(amountX, amountY) {
         if (amountX == 0) {
@@ -105,6 +124,7 @@ class UniswapV3Position {
         }
         return amountX / (1 / Math.sqrt(this.marketPrice) - 1 / Math.sqrt(this.priceB));
     }
+    // divide and conquer  implementation
     getLiquidationPriceInRange(lowPrice, highPrice, lowIsLiquidatable, highIsLiquidatable) {
         var _a;
         if (lowIsLiquidatable == highIsLiquidatable)
@@ -115,6 +135,17 @@ class UniswapV3Position {
         const avgIsLiquidatable = this.isLiquidatableGivenPrice(avgPrice);
         return (_a = this.getLiquidationPriceInRange(lowPrice, avgPrice, lowIsLiquidatable, avgIsLiquidatable)) !== null && _a !== void 0 ? _a : this.getLiquidationPriceInRange(avgPrice, highPrice, avgIsLiquidatable, highIsLiquidatable);
     }
+    // divide and conquer implementation
+    getMaxDeltaDebtInRange(lowDeltaX, lowDeltaY, highDeltaX, highDeltaY) {
+        if (Math.abs(highDeltaX / lowDeltaX) < 1.001 || Math.abs(highDeltaY / lowDeltaY) < 1.001)
+            return [lowDeltaX, lowDeltaY];
+        const avgDeltaX = (lowDeltaX + highDeltaX) / 2;
+        const avgDeltaY = (lowDeltaY + highDeltaY) / 2;
+        if (this.isLiquidatableGivenDebt(this.debtX + avgDeltaX, this.debtY + avgDeltaY))
+            return this.getMaxDeltaDebtInRange(lowDeltaX, lowDeltaY, avgDeltaX, avgDeltaY);
+        else
+            return this.getMaxDeltaDebtInRange(avgDeltaX, avgDeltaY, highDeltaX, highDeltaY);
+    }
     /**
      * PUBLIC SETTERS
      */
@@ -205,7 +236,7 @@ class UniswapV3Position {
             priceB: priceB ? priceB : Infinity,
         };
     }
-    leverage() {
+    getLeverage() {
         return this.getCollateralValue() / this.getEquityValue();
     }
     // amountX and amountY are expected to have the same sign
@@ -227,5 +258,66 @@ class UniswapV3Position {
         const liquidity = this.getLiquidityGivenAmounts(amountX, amountY);
         return { liquidity, amountX, amountY };
     }
+    getMaxLeverage() {
+        const currentLeverage = this.getLeverage();
+        if (this.isLiquidatable())
+            return currentLeverage;
+        const highLeverage = 100; // we assume the position is liquidatable with this leverage
+        const realX = this.getRealX();
+        const realY = this.getRealY();
+        const projectedRealX = realX * highLeverage / currentLeverage;
+        const projectedRealY = realY * highLeverage / currentLeverage;
+        const projectedDebtX = this.debtX + projectedRealX - realX;
+        const projectedDebtY = this.debtY + projectedRealY - realY;
+        const normalizedDeltaDebtX = projectedDebtX * currentLeverage / highLeverage - this.debtX;
+        const normalizedDeltaDebtY = projectedDebtY * currentLeverage / highLeverage - this.debtY;
+        const [deltaDebtX, deltaDebtY] = this.getMaxDeltaDebtInRange(0, 0, normalizedDeltaDebtX, normalizedDeltaDebtY);
+        const ratio = realX > 0 ? deltaDebtX / normalizedDeltaDebtX : deltaDebtY / normalizedDeltaDebtY;
+        return currentLeverage + (highLeverage - currentLeverage) * ratio;
+    }
+    getMinLeverage() {
+        const realX = this.getRealX();
+        const realY = this.getRealY();
+        if (realX > this.debtX && realY > this.debtY)
+            return 0;
+        // TODO binary search
+        return 0;
+    }
+    getMaxWithdrawable() {
+        const realX = this.getRealX();
+        const realY = this.getRealY();
+        let percentage = 0;
+        if (!this.isLiquidatable()) {
+            if (this.debtX == 0 && this.debtY == 0) {
+                percentage = 1;
+            }
+            else {
+                const highRatio = this.getEquityValue() / this.getDebtValue();
+                const [deltaDebtX, deltaDebtY] = this.getMaxDeltaDebtInRange(0, 0, this.debtX * highRatio, this.debtY * highRatio);
+                const ratio = this.debtX > 0 ? deltaDebtX / this.debtX : deltaDebtY / this.debtY;
+                percentage = 1 / (1 / ratio + 1);
+            }
+        }
+        return {
+            amountX: realX * percentage,
+            amountY: realY * percentage,
+        };
+    }
+    getMaxBorrowableX() {
+        if (this.isLiquidatable())
+            return 0;
+        const equityValue = this.getEquityValue();
+        const highDebtX = this.getAmountXGivenValue(equityValue);
+        const [debtX,] = this.getMaxDeltaDebtInRange(0, 0, highDebtX, 0);
+        return debtX;
+    }
+    getMaxBorrowableY() {
+        if (this.isLiquidatable())
+            return 0;
+        const equityValue = this.getEquityValue();
+        const highDebtY = this.getAmountYGivenValue(equityValue);
+        const [, debtY] = this.getMaxDeltaDebtInRange(0, 0, 0, highDebtY);
+        return debtY;
+    }
 }
 exports.default = UniswapV3Position;

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "impermax-sdk",
-  "version": "2.1.134",
+  "version": "2.1.136",
   "description": "",
   "main": "./lib/index.js",
   "module": "./lib/index.js",