impermax-sdk 2.1.169 → 2.1.170

package/lib/offchain/account/lendingPool/nftlp/offchainAccountNftlpUniswapV3.js

@@ -46,11 +46,12 @@ class OffchainAccountNftlpUniswapV3 extends offchainAccountNftlp_1.default {
         return (0, uniswapV3General_1.formatUniV3Liquidity)(liquidity, decimalsA, decimalsB);
     }
     async createPositionObject(tokenId, lockStateChange = true) {
-        return new uniswapV3_1.default(await this.getLiquidity(tokenId), await this.getLendingPool().getBorrowableA().getBorrowedAmount(tokenId), await this.getLendingPool().getBorrowableB().getBorrowedAmount(tokenId), await this.getNftlp().getMarketPrice(), await this.getNftlp().getOraclePrice(), await this.getPriceA(tokenId), await this.getPriceB(tokenId), await this.getLendingPool().getSafetyMargin(), await this.getLendingPool().getLiquidationPenalty(), lockStateChange);
+        return new uniswapV3_1.default(await this.getLiquidity(tokenId), 0, // TODO uncollectedFees
+        0, await this.getLendingPool().getBorrowableA().getBorrowedAmount(tokenId), await this.getLendingPool().getBorrowableB().getBorrowedAmount(tokenId), await this.getNftlp().getMarketPrice(), await this.getNftlp().getOraclePrice(), await this.getPriceA(tokenId), await this.getPriceB(tokenId), await this.getLendingPool().getSafetyMargin(), await this.getLendingPool().getLiquidationPenalty(), lockStateChange);
     }
     async createNewPositionObject(fee, priceA, priceB, lockStateChange = false) {
         // TODO check for priceA/priceB sanity
-        return new uniswapV3_1.default(0, 0, 0, await this.getNftlp().getMarketPrice(), await this.getNftlp().getOraclePrice(), priceA, priceB, await this.getLendingPool().getSafetyMargin(), await this.getLendingPool().getLiquidationPenalty(), lockStateChange);
+        return new uniswapV3_1.default(0, 0, 0, 0, 0, await this.getNftlp().getMarketPrice(), await this.getNftlp().getOraclePrice(), priceA, priceB, await this.getLendingPool().getSafetyMargin(), await this.getLendingPool().getLiquidationPenalty(), lockStateChange);
     }
     async getPositionObject(tokenId) {
         if (!this.cache.positionsObject)

package/lib/onchain/account/lendingPool/nftlp/onchainAccountNftlpUniswapV3.js

@@ -45,11 +45,12 @@ class OnchainAccountNftlpUniswapV3 extends onchainAccountNftlp_1.default {
         return (0, uniswapV3General_1.formatUniV3Liquidity)(liquidity, decimalsA, decimalsB);
     }
     async createPositionObject(tokenId, lockStateChange = true) {
-        return new uniswapV3_1.default(await this.getLiquidity(tokenId), await this.getLendingPool().getBorrowableA().getBorrowed(tokenId), await this.getLendingPool().getBorrowableB().getBorrowed(tokenId), await this.getNftlp().getMarketPrice(), await this.getNftlp().getOraclePrice(), await this.getPriceA(tokenId), await this.getPriceB(tokenId), await this.getLendingPool().getSafetyMargin(), await this.getLendingPool().getLiquidationPenalty(), lockStateChange);
+        return new uniswapV3_1.default(await this.getLiquidity(tokenId), 0, // TODO uncollectedFees
+        0, await this.getLendingPool().getBorrowableA().getBorrowed(tokenId), await this.getLendingPool().getBorrowableB().getBorrowed(tokenId), await this.getNftlp().getMarketPrice(), await this.getNftlp().getOraclePrice(), await this.getPriceA(tokenId), await this.getPriceB(tokenId), await this.getLendingPool().getSafetyMargin(), await this.getLendingPool().getLiquidationPenalty(), lockStateChange);
     }
     async createNewPositionObject(fee, priceA, priceB, lockStateChange = false) {
         // TODO check for priceA/priceB sanity
-        return new uniswapV3_1.default(0, 0, 0, await this.getNftlp().getMarketPrice(), await this.getNftlp().getOraclePrice(), priceA, priceB, await this.getLendingPool().getSafetyMargin(), await this.getLendingPool().getLiquidationPenalty(), lockStateChange);
+        return new uniswapV3_1.default(0, 0, 0, 0, 0, await this.getNftlp().getMarketPrice(), await this.getNftlp().getOraclePrice(), priceA, priceB, await this.getLendingPool().getSafetyMargin(), await this.getLendingPool().getLiquidationPenalty(), lockStateChange);
     }
     async getPositionObject(tokenId) {
         if (!this.cache.positionsObject)

package/lib/utils/position/interface.d.ts

@@ -12,11 +12,6 @@ export interface Position {
     readonly liquidationPenalty: number;
     debtX: number;
     debtY: number;
-    setRealX(amountX: number): void;
-    setRealY(amountY: number): void;
-    setDebtX(debtX: number): void;
-    setDebtY(debtY: number): void;
-    setRealXRealY(amountX: number, amountY: number): void;
     depositX(amount: number): void;
     depositY(amount: number): void;
     withdrawX(amount: number): void;
@@ -27,8 +22,8 @@ export interface Position {
     repayY(amount: number): void;
     isUnderwater(): boolean;
     isLiquidatable(): boolean;
-    getRealX(): number;
-    getRealY(): number;
+    getDepositedX(): number;
+    getDepositedY(): number;
     getNetX(): number;
     getNetY(): number;
     getLeverage(): number;

package/lib/utils/position/uniswapV3/index.d.ts

@@ -6,9 +6,13 @@ export declare class UniswapV3Position implements Position {
      * NOTICE all values inside this class are normalized (no decimals or mantissa to take into account)
      */
     liquidity: number;
+    uncollectedFeesX: number;
+    uncollectedFeesY: number;
     debtX: number;
     debtY: number;
     initialLiquidity: number;
+    initialUncollectedFeesX: number;
+    initialUncollectedFeesY: number;
     initialDebtX: number;
     initialDebtY: number;
     marketPrice: number;
@@ -17,10 +21,18 @@ export declare class UniswapV3Position implements Position {
     priceB: number;
     safetyMargin: number;
     liquidationPenalty: number;
-    constructor(_liquidity: number, _debtX: number, _debtY: number, _marketPrice: number, _oraclePrice: number, _priceA: number, _priceB: number, _safetyMargin: number, _liquidationPenalty: number, _lockStateChange: boolean);
+    constructor(_liquidity: number, _uncollectedFeesX: number, _uncollectedFeesY: number, _debtX: number, _debtY: number, _marketPrice: number, _oraclePrice: number, _priceA: number, _priceB: number, _safetyMargin: number, _liquidationPenalty: number, _lockStateChange: boolean);
     private checkLock;
     /**
-     * PRIVATE
+     * PRIVATE SETTERS
+     */
+    private setRealXRealY;
+    private setRealX;
+    private setRealY;
+    private setDebtX;
+    private setDebtY;
+    /**
+     * PRIVATE GETTERS
      */
     private getRealXGivenLiquidityAndPrice;
     private getRealYGivenLiquidityAndPrice;
@@ -28,6 +40,8 @@ export declare class UniswapV3Position implements Position {
     private getRealYGivenLiquidity;
     private getRealXGivenPrice;
     private getRealYGivenPrice;
+    private getRealX;
+    private getRealY;
     private getInitialRealX;
     private getInitialRealY;
     private getValueGivenPriceAndAmounts;
@@ -36,26 +50,27 @@ export declare class UniswapV3Position implements Position {
     private getAmountYGivenValue;
     private getDebtValueGivenPrice;
     private getCollateralValueGivenPrice;
+    private getWeightedCollateralValueGivenPrice;
     private getEquityValueGivenPrice;
     private getDebtValue;
     private getCollateralValue;
     private getEquityValue;
     private getLiquidityPostLiquidationValueGivenPriceAndDebt;
+    private getWeightedLiquidityPostLiquidationValueGivenPriceAndDebt;
+    private getWeightedLiquidityPostLiquidationValueGivenPriceAndDeltaLeverage;
     private isLiquidatableGivenPriceAndDebt;
+    private isLiquidatableGivenPriceAndDeltaLeverage;
     private isLiquidatableGivenDebt;
+    private isLiquidatableGivenDeltaLeverage;
     private isLiquidatableGivenPrice;
     private isUnderwaterGivenPrice;
     private getLiquidityGivenAmounts;
     private getLiquidationPriceInRange;
     private getMaxDeltaDebtInRange;
+    private getMaxDeltaLeverageInRange;
     /**
      * PUBLIC SETTERS
      */
-    setRealXRealY(amountX: number, amountY: number): void;
-    setRealX(amountX: number): void;
-    setRealY(amountY: number): void;
-    setDebtX(_debtX: number): void;
-    setDebtY(_debtY: number): void;
     depositX(amount: number): void;
     depositY(amount: number): void;
     withdrawX(amount: number): void;
@@ -67,8 +82,8 @@ export declare class UniswapV3Position implements Position {
     /**
      * PUBLIC GETTERS
      */
-    getRealX(): number;
-    getRealY(): number;
+    getDepositedX(): number;
+    getDepositedY(): number;
     getNetX(): number;
     getNetY(): number;
     isLiquidatable(): boolean;

package/lib/utils/position/uniswapV3/index.js

@@ -19,13 +19,18 @@ function getRealY(liquidity, price, priceA, priceB) {
 }
 const LOWEST_PRICE = 1 / 1e18;
 const HIGHEST_PRICE = 1e18;
+const FEE_COLLECTED_WEIGHT = 0.95;
 class UniswapV3Position {
     // TODO add fee logic
-    constructor(_liquidity, _debtX, _debtY, _marketPrice, _oraclePrice, _priceA, _priceB, _safetyMargin, _liquidationPenalty, _lockStateChange) {
+    constructor(_liquidity, _uncollectedFeesX, _uncollectedFeesY, _debtX, _debtY, _marketPrice, _oraclePrice, _priceA, _priceB, _safetyMargin, _liquidationPenalty, _lockStateChange) {
         this.liquidity = _liquidity;
+        this.uncollectedFeesX = _uncollectedFeesX;
+        this.uncollectedFeesY = _uncollectedFeesY;
         this.debtX = _debtX;
         this.debtY = _debtY;
         this.initialLiquidity = _liquidity;
+        this.initialUncollectedFeesX = _uncollectedFeesX;
+        this.initialUncollectedFeesY = _uncollectedFeesY;
         this.initialDebtX = _debtX;
         this.initialDebtY = _debtY;
         this.marketPrice = _marketPrice;
@@ -44,7 +49,45 @@ class UniswapV3Position {
             this.state++;
     }
     /**
-     * PRIVATE
+     * PRIVATE SETTERS
+     */
+    setRealXRealY(amountX, amountY) {
+        if (Number.isNaN(amountX))
+            return;
+        if (Number.isNaN(amountY))
+            return;
+        this.checkLock();
+        const { liquidity } = this.getOptimalLiquidity(amountX, amountY);
+        this.liquidity = liquidity;
+    }
+    setRealX(amountX) {
+        if (Number.isNaN(amountX))
+            return;
+        this.checkLock();
+        const { liquidity } = this.getOptimalLiquidity(amountX, Infinity);
+        this.liquidity = liquidity;
+    }
+    setRealY(amountY) {
+        if (Number.isNaN(amountY))
+            return;
+        this.checkLock();
+        const { liquidity } = this.getOptimalLiquidity(Infinity, amountY);
+        this.liquidity = liquidity;
+    }
+    setDebtX(_debtX) {
+        if (Number.isNaN(_debtX))
+            return;
+        this.checkLock();
+        this.debtX = _debtX;
+    }
+    setDebtY(_debtY) {
+        if (Number.isNaN(_debtY))
+            return;
+        this.checkLock();
+        this.debtY = _debtY;
+    }
+    /**
+     * PRIVATE GETTERS
      */
     getRealXGivenLiquidityAndPrice(liquidity, price) {
         return getRealX(liquidity, price, this.priceA, this.priceB);
@@ -64,6 +107,12 @@ class UniswapV3Position {
     getRealYGivenPrice(price) {
         return this.getRealYGivenLiquidityAndPrice(this.liquidity, price);
     }
+    getRealX() {
+        return this.getRealXGivenLiquidityAndPrice(this.liquidity, this.marketPrice);
+    }
+    getRealY() {
+        return this.getRealYGivenLiquidityAndPrice(this.liquidity, this.marketPrice);
+    }
     getInitialRealX() {
         return this.getRealXGivenLiquidityAndPrice(this.initialLiquidity, this.marketPrice);
     }
@@ -86,7 +135,10 @@ class UniswapV3Position {
         return this.getValueGivenPriceAndAmounts(price, this.debtX, this.debtY);
     }
     getCollateralValueGivenPrice(price) {
-        return this.getValueGivenPriceAndAmounts(price, this.getRealXGivenPrice(price), this.getRealYGivenPrice(price));
+        return this.getValueGivenPriceAndAmounts(price, this.getRealXGivenPrice(price) + this.uncollectedFeesX, this.getRealYGivenPrice(price) + this.uncollectedFeesY);
+    }
+    getWeightedCollateralValueGivenPrice(price) {
+        return this.getValueGivenPriceAndAmounts(price, this.getRealXGivenPrice(price) + this.uncollectedFeesX * FEE_COLLECTED_WEIGHT, this.getRealYGivenPrice(price) + this.uncollectedFeesY * FEE_COLLECTED_WEIGHT);
     }
     getEquityValueGivenPrice(price) {
         return this.getCollateralValueGivenPrice(price) - this.getDebtValueGivenPrice(price);
@@ -106,13 +158,33 @@ class UniswapV3Position {
         const collateralNeeded = debtValue * this.liquidationPenalty;
         return collateralValue - collateralNeeded;
     }
+    getWeightedLiquidityPostLiquidationValueGivenPriceAndDebt(price, debtX, debtY) {
+        const debtValue = this.getValueGivenPriceAndAmounts(price, debtX, debtY);
+        const collateralValue = this.getWeightedCollateralValueGivenPrice(price);
+        const collateralNeeded = debtValue * this.liquidationPenalty;
+        return collateralValue - collateralNeeded;
+    }
+    getWeightedLiquidityPostLiquidationValueGivenPriceAndDeltaLeverage(price, deltaX, deltaY) {
+        const deltaValue = this.getValueGivenPriceAndAmounts(price, deltaX, deltaY);
+        const debtValue = this.getDebtValueGivenPrice(price) + deltaValue;
+        const collateralValue = this.getWeightedCollateralValueGivenPrice(price) + deltaValue;
+        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;
+        return this.getWeightedLiquidityPostLiquidationValueGivenPriceAndDebt(price / this.safetyMargin, debtX, debtY) < 0
+            || this.getWeightedLiquidityPostLiquidationValueGivenPriceAndDebt(price * this.safetyMargin, debtX, debtY) < 0;
+    }
+    isLiquidatableGivenPriceAndDeltaLeverage(price, deltaX, deltaY) {
+        return this.getWeightedLiquidityPostLiquidationValueGivenPriceAndDeltaLeverage(price / this.safetyMargin, deltaX, deltaY) < 0
+            || this.getWeightedLiquidityPostLiquidationValueGivenPriceAndDeltaLeverage(price * this.safetyMargin, deltaX, deltaY) < 0;
     }
     isLiquidatableGivenDebt(debtX, debtY) {
         return this.isLiquidatableGivenPriceAndDebt(this.marketPrice, debtX, debtY);
     }
+    isLiquidatableGivenDeltaLeverage(deltaX, deltaY) {
+        return this.isLiquidatableGivenPriceAndDeltaLeverage(this.marketPrice, deltaX, deltaY);
+    }
     isLiquidatableGivenPrice(price) {
         return this.isLiquidatableGivenPriceAndDebt(price, this.debtX, this.debtY);
     }
@@ -138,7 +210,6 @@ class UniswapV3Position {
         return this.getLiquidationPriceInRange(lowPrice, avgPrice, lowIsLiquidatable, avgIsLiquidatable)
             ?? this.getLiquidationPriceInRange(avgPrice, highPrice, avgIsLiquidatable, highIsLiquidatable);
     }
-    // divide and conquer implementation
     getMaxDeltaDebtInRange(lowDeltaX, lowDeltaY, highDeltaX, highDeltaY) {
         if (Number.isNaN(lowDeltaX) || Number.isNaN(lowDeltaY) || Number.isNaN(highDeltaX) || Number.isNaN(highDeltaY))
             return [0, 0];
@@ -153,50 +224,23 @@ class UniswapV3Position {
         else
             return this.getMaxDeltaDebtInRange(avgDeltaX, avgDeltaY, highDeltaX, highDeltaY);
     }
+    getMaxDeltaLeverageInRange(lowDeltaX, lowDeltaY, highDeltaX, highDeltaY) {
+        if (Number.isNaN(lowDeltaX) || Number.isNaN(lowDeltaY) || Number.isNaN(highDeltaX) || Number.isNaN(highDeltaY))
+            return [0, 0];
+        if (highDeltaX == 0 && highDeltaY == 0)
+            return [0, 0];
+        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.isLiquidatableGivenDeltaLeverage(this.debtX + avgDeltaX, this.debtY + avgDeltaY))
+            return this.getMaxDeltaLeverageInRange(lowDeltaX, lowDeltaY, avgDeltaX, avgDeltaY);
+        else
+            return this.getMaxDeltaLeverageInRange(avgDeltaX, avgDeltaY, highDeltaX, highDeltaY);
+    }
     /**
      * PUBLIC SETTERS
      */
-    // Setters
-    /*public setLiquidity(_liquidity: number) {
-      this.checkLock();
-      this.liquidity = _liquidity;
-    }*/
-    setRealXRealY(amountX, amountY) {
-        if (Number.isNaN(amountX))
-            return;
-        if (Number.isNaN(amountY))
-            return;
-        this.checkLock();
-        const { liquidity } = this.getOptimalLiquidity(amountX, amountY);
-        this.liquidity = liquidity;
-    }
-    setRealX(amountX) {
-        if (Number.isNaN(amountX))
-            return;
-        this.checkLock();
-        const { liquidity } = this.getOptimalLiquidity(amountX, Infinity);
-        this.liquidity = liquidity;
-    }
-    setRealY(amountY) {
-        if (Number.isNaN(amountY))
-            return;
-        this.checkLock();
-        const { liquidity } = this.getOptimalLiquidity(Infinity, amountY);
-        this.liquidity = liquidity;
-    }
-    setDebtX(_debtX) {
-        if (Number.isNaN(_debtX))
-            return;
-        this.checkLock();
-        this.debtX = _debtX;
-    }
-    setDebtY(_debtY) {
-        if (Number.isNaN(_debtY))
-            return;
-        this.checkLock();
-        this.debtY = _debtY;
-    }
-    // Actions
     depositX(amount) {
         this.setRealX(this.getInitialRealX() + amount);
     }
@@ -205,6 +249,7 @@ class UniswapV3Position {
     }
     withdrawX(amount) {
         this.setRealX(Math.max(this.getInitialRealX() - amount, 0));
+        // TODO set uncollected fees in proportion
     }
     withdrawY(amount) {
         this.setRealY(Math.max(this.getInitialRealY() - amount, 0));
@@ -224,17 +269,17 @@ class UniswapV3Position {
     /**
      * PUBLIC GETTERS
      */
-    getRealX() {
-        return this.getRealXGivenLiquidityAndPrice(this.liquidity, this.marketPrice);
+    getDepositedX() {
+        return this.getRealX() + this.uncollectedFeesX;
     }
-    getRealY() {
-        return this.getRealYGivenLiquidityAndPrice(this.liquidity, this.marketPrice);
+    getDepositedY() {
+        return this.getRealY() + this.uncollectedFeesY;
     }
     getNetX() {
-        return this.getRealX() - this.debtX;
+        return this.getDepositedX() - this.debtX;
     }
     getNetY() {
-        return this.getRealY() - this.debtY;
+        return this.getDepositedY() - this.debtY;
     }
     isLiquidatable() {
         return this.isLiquidatableGivenPrice(this.oraclePrice);
@@ -300,31 +345,26 @@ class UniswapV3Position {
         }
         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 maxDeltaX = realX * highLeverage / currentLeverage;
+        const maxDeltaY = realY * highLeverage / currentLeverage;
+        const [deltaX, deltaY] = this.getMaxDeltaLeverageInRange(0, 0, maxDeltaX, maxDeltaY);
         const collateralValue = this.getCollateralValue();
-        const debtValue = this.getValueGivenAmounts(this.debtX + deltaDebtX, this.debtY + deltaDebtY);
-        const equityValue = collateralValue - debtValue;
+        const additionalValue = this.getValueGivenAmounts(deltaX, deltaY);
         if (setLiquidityToZero)
             this.liquidity = 0;
-        return collateralValue / equityValue;
+        return (collateralValue + additionalValue) / collateralValue * currentLeverage;
     }
     getMinLeverage() {
-        const realX = this.getRealX();
-        const realY = this.getRealY();
-        if (realX > this.debtX && realY > this.debtY)
+        const depositedX = this.getDepositedX();
+        const depositedY = this.getDepositedY();
+        if (depositedX >= this.debtX && depositedY >= this.debtY)
             return 0;
         // TODO binary search
         return 0;
     }
     getMaxWithdrawable() {
-        const realX = this.getRealX();
-        const realY = this.getRealY();
+        const depositedX = this.getDepositedX();
+        const depositedY = this.getDepositedY();
         let percentage = 0;
         if (!this.isLiquidatable()) {
             if (this.debtX == 0 && this.debtY == 0) {
@@ -338,8 +378,8 @@ class UniswapV3Position {
             }
         }
         return {
-            amountX: realX * percentage,
-            amountY: realY * percentage,
+            amountX: depositedX * percentage,
+            amountY: depositedY * percentage,
         };
     }
     getMaxBorrowableX() {

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "impermax-sdk",
-  "version": "2.1.169",
+  "version": "2.1.170",
   "description": "",
   "main": "./lib/index.js",
   "module": "./lib/index.js",