1281 lines
43 KiB
TypeScript
1281 lines
43 KiB
TypeScript
import { BN } from '@project-serum/anchor';
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import { OpenOrders } from '@project-serum/serum';
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import { PublicKey } from '@solana/web3.js';
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import _ from 'lodash';
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import { Bank, BankForHealth, TokenIndex } from './bank';
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import { Group } from './group';
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import {
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HUNDRED_I80F48,
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I80F48,
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I80F48Dto,
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MAX_I80F48,
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ZERO_I80F48,
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} from './I80F48';
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import { HealthType, MangoAccount, PerpPosition } from './mangoAccount';
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import { PerpMarket, PerpOrderSide } from './perp';
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import { MarketIndex, Serum3Market, Serum3Side } from './serum3';
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// ░░░░
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//
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// ██
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// ██░░██
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// ░░ ░░ ██░░░░░░██ ░░░░
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// ██░░░░░░░░░░██
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// ██░░░░░░░░░░██
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// ██░░░░░░░░░░░░░░██
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// ██░░░░░░██████░░░░░░██
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// ██░░░░░░██████░░░░░░██
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// ██░░░░░░░░██████░░░░░░░░██
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// ██░░░░░░░░██████░░░░░░░░██
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// ██░░░░░░░░░░██████░░░░░░░░░░██
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// ██░░░░░░░░░░░░██████░░░░░░░░░░░░██
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// ██░░░░░░░░░░░░██████░░░░░░░░░░░░██
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// ██░░░░░░░░░░░░░░██████░░░░░░░░░░░░░░██
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// ██░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░██
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// ██░░░░░░░░░░░░░░░░██████░░░░░░░░░░░░░░░░██
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// ██░░░░░░░░░░░░░░░░██████░░░░░░░░░░░░░░░░██
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// ██░░░░░░░░░░░░░░░░░░██████░░░░░░░░░░░░░░░░░░██
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// ░░ ██░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░░██
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// ██████████████████████████████████████████
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// warning: this code is copy pasta from rust, keep in sync with health.rs
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export class HealthCache {
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constructor(
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public tokenInfos: TokenInfo[],
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public serum3Infos: Serum3Info[],
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public perpInfos: PerpInfo[],
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) {}
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static fromMangoAccount(
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group: Group,
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mangoAccount: MangoAccount,
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): HealthCache {
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// token contribution from token accounts
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const tokenInfos = mangoAccount.tokensActive().map((tokenPosition) => {
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const bank = group.getFirstBankByTokenIndex(tokenPosition.tokenIndex);
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return TokenInfo.fromBank(bank, tokenPosition.balance(bank));
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});
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// Fill the TokenInfo balance with free funds in serum3 oo accounts, and fill
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// the serum3MaxReserved with their reserved funds. Also build Serum3Infos.
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const serum3Infos = mangoAccount.serum3Active().map((serum3) => {
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const oo = mangoAccount.getSerum3OoAccount(serum3.marketIndex);
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// find the TokenInfos for the market's base and quote tokens
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const baseIndex = tokenInfos.findIndex(
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(tokenInfo) => tokenInfo.tokenIndex === serum3.baseTokenIndex,
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);
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const baseInfo = tokenInfos[baseIndex];
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if (!baseInfo) {
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throw new Error(
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`BaseInfo not found for market with marketIndex ${serum3.marketIndex}!`,
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);
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}
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const quoteIndex = tokenInfos.findIndex(
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(tokenInfo) => tokenInfo.tokenIndex === serum3.quoteTokenIndex,
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);
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const quoteInfo = tokenInfos[quoteIndex];
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if (!quoteInfo) {
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throw new Error(
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`QuoteInfo not found for market with marketIndex ${serum3.marketIndex}!`,
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);
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}
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return Serum3Info.fromOoModifyingTokenInfos(
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baseIndex,
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baseInfo,
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quoteIndex,
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quoteInfo,
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serum3.marketIndex,
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oo,
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);
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});
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// health contribution from perp accounts
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const perpInfos = mangoAccount.perpActive().map((perpPosition) => {
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const perpMarket = group.getPerpMarketByMarketIndex(
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perpPosition.marketIndex,
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);
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return PerpInfo.fromPerpPosition(perpMarket, perpPosition);
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});
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return new HealthCache(tokenInfos, serum3Infos, perpInfos);
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}
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static fromDto(dto): HealthCache {
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return new HealthCache(
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dto.tokenInfos.map((dto) => TokenInfo.fromDto(dto)),
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dto.serum3Infos.map((dto) => Serum3Info.fromDto(dto)),
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dto.perpInfos.map((dto) => PerpInfo.fromDto(dto)),
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);
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}
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public health(healthType: HealthType): I80F48 {
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const health = ZERO_I80F48();
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for (const tokenInfo of this.tokenInfos) {
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const contrib = tokenInfo.healthContribution(healthType);
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// console.log(` - ti ${contrib}`);
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health.iadd(contrib);
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}
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for (const serum3Info of this.serum3Infos) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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);
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// console.log(` - si ${contrib}`);
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health.iadd(contrib);
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}
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for (const perpInfo of this.perpInfos) {
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const contrib = perpInfo.healthContribution(healthType);
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// console.log(` - pi ${contrib}`);
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health.iadd(contrib);
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}
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return health;
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}
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public assets(healthType: HealthType): I80F48 {
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const assets = ZERO_I80F48();
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for (const tokenInfo of this.tokenInfos) {
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const contrib = tokenInfo.healthContribution(healthType);
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if (contrib.isPos()) {
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assets.iadd(contrib);
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}
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}
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for (const serum3Info of this.serum3Infos) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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);
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if (contrib.isPos()) {
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assets.iadd(contrib);
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}
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}
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for (const perpInfo of this.perpInfos) {
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const contrib = perpInfo.healthContribution(healthType);
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if (contrib.isPos()) {
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assets.iadd(contrib);
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}
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}
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return assets;
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}
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public liabs(healthType: HealthType): I80F48 {
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const liabs = ZERO_I80F48();
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for (const tokenInfo of this.tokenInfos) {
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const contrib = tokenInfo.healthContribution(healthType);
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if (contrib.isNeg()) {
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liabs.isub(contrib);
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}
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}
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for (const serum3Info of this.serum3Infos) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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);
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if (contrib.isNeg()) {
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liabs.isub(contrib);
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}
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}
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for (const perpInfo of this.perpInfos) {
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const contrib = perpInfo.healthContribution(healthType);
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if (contrib.isNeg()) {
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liabs.isub(contrib);
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}
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}
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return liabs;
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}
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public healthRatio(healthType: HealthType): I80F48 {
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const assets = ZERO_I80F48();
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const liabs = ZERO_I80F48();
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for (const tokenInfo of this.tokenInfos) {
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const contrib = tokenInfo.healthContribution(healthType);
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if (contrib.isPos()) {
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assets.iadd(contrib);
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} else {
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liabs.isub(contrib);
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}
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}
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for (const serum3Info of this.serum3Infos) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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);
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if (contrib.isPos()) {
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assets.iadd(contrib);
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} else {
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liabs.isub(contrib);
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}
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}
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for (const perpInfo of this.perpInfos) {
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const contrib = perpInfo.healthContribution(healthType);
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if (contrib.isPos()) {
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assets.iadd(contrib);
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} else {
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liabs.isub(contrib);
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}
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}
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if (liabs.gt(I80F48.fromNumber(0.001))) {
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return HUNDRED_I80F48().mul(assets.sub(liabs).div(liabs));
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} else {
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return MAX_I80F48();
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}
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}
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findTokenInfoIndex(tokenIndex: TokenIndex): number {
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return this.tokenInfos.findIndex(
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(tokenInfo) => tokenInfo.tokenIndex === tokenIndex,
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);
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}
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getOrCreateTokenInfoIndex(bank: BankForHealth): number {
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const index = this.findTokenInfoIndex(bank.tokenIndex);
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if (index == -1) {
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this.tokenInfos.push(TokenInfo.fromBank(bank));
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}
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return this.findTokenInfoIndex(bank.tokenIndex);
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}
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findSerum3InfoIndex(marketIndex: MarketIndex): number {
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return this.serum3Infos.findIndex(
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(serum3Info) => serum3Info.marketIndex === marketIndex,
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);
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}
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getOrCreateSerum3InfoIndex(
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baseBank: BankForHealth,
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quoteBank: BankForHealth,
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serum3Market: Serum3Market,
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): number {
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const index = this.findSerum3InfoIndex(serum3Market.marketIndex);
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const baseEntryIndex = this.getOrCreateTokenInfoIndex(baseBank);
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const quoteEntryIndex = this.getOrCreateTokenInfoIndex(quoteBank);
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if (index == -1) {
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this.serum3Infos.push(
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Serum3Info.emptyFromSerum3Market(
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serum3Market,
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baseEntryIndex,
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quoteEntryIndex,
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),
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);
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}
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return this.findSerum3InfoIndex(serum3Market.marketIndex);
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}
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adjustSerum3Reserved(
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// todo change indices to types from numbers
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baseBank: BankForHealth,
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quoteBank: BankForHealth,
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serum3Market: Serum3Market,
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reservedBaseChange: I80F48,
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freeBaseChange: I80F48,
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reservedQuoteChange: I80F48,
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freeQuoteChange: I80F48,
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): void {
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const baseEntryIndex = this.getOrCreateTokenInfoIndex(baseBank);
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const quoteEntryIndex = this.getOrCreateTokenInfoIndex(quoteBank);
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const baseEntry = this.tokenInfos[baseEntryIndex];
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const reservedAmount = reservedBaseChange.mul(baseEntry.oraclePrice);
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const quoteEntry = this.tokenInfos[quoteEntryIndex];
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reservedAmount.iadd(reservedQuoteChange.mul(quoteEntry.oraclePrice));
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// Apply it to the tokens
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baseEntry.serum3MaxReserved.iadd(reservedAmount);
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baseEntry.balance.iadd(freeBaseChange.mul(baseEntry.oraclePrice));
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quoteEntry.serum3MaxReserved.iadd(reservedAmount);
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quoteEntry.balance.iadd(freeQuoteChange.mul(quoteEntry.oraclePrice));
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// Apply it to the serum3 info
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const index = this.getOrCreateSerum3InfoIndex(
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baseBank,
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quoteBank,
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serum3Market,
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);
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const serum3Info = this.serum3Infos[index];
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serum3Info.reserved = serum3Info.reserved.add(reservedAmount);
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}
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findPerpInfoIndex(perpMarketIndex: number): number {
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return this.perpInfos.findIndex(
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(perpInfo) => perpInfo.perpMarketIndex === perpMarketIndex,
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);
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}
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getOrCreatePerpInfoIndex(perpMarket: PerpMarket): number {
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const index = this.findPerpInfoIndex(perpMarket.perpMarketIndex);
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if (index == -1) {
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this.perpInfos.push(PerpInfo.emptyFromPerpMarket(perpMarket));
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}
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return this.findPerpInfoIndex(perpMarket.perpMarketIndex);
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}
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public static logHealthCache(debug: string, healthCache: HealthCache): void {
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if (debug) console.log(debug);
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for (const token of healthCache.tokenInfos) {
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console.log(` ${token.toString()}`);
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}
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for (const serum3Info of healthCache.serum3Infos) {
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console.log(` ${serum3Info.toString(healthCache.tokenInfos)}`);
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}
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console.log(
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` assets ${healthCache.assets(
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HealthType.init,
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)}, liabs ${healthCache.liabs(HealthType.init)}, `,
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);
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console.log(
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` health(HealthType.init) ${healthCache.health(HealthType.init)}`,
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);
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console.log(
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` healthRatio(HealthType.init) ${healthCache.healthRatio(
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HealthType.init,
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)}`,
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);
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}
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simHealthRatioWithTokenPositionChanges(
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group: Group,
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nativeTokenChanges: {
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nativeTokenAmount: I80F48;
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mintPk: PublicKey;
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}[],
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healthType: HealthType = HealthType.init,
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): I80F48 {
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const adjustedCache: HealthCache = _.cloneDeep(this);
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// HealthCache.logHealthCache('beforeChange', adjustedCache);
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for (const change of nativeTokenChanges) {
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const bank: Bank = group.getFirstBankByMint(change.mintPk);
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const changeIndex = adjustedCache.getOrCreateTokenInfoIndex(bank);
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adjustedCache.tokenInfos[changeIndex].balance.iadd(
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change.nativeTokenAmount.mul(bank.price),
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);
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}
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// HealthCache.logHealthCache('afterChange', adjustedCache);
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return adjustedCache.healthRatio(healthType);
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}
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simHealthRatioWithSerum3BidChanges(
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baseBank: BankForHealth,
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quoteBank: BankForHealth,
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bidNativeQuoteAmount: I80F48,
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serum3Market: Serum3Market,
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healthType: HealthType = HealthType.init,
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): I80F48 {
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const adjustedCache: HealthCache = _.cloneDeep(this);
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const quoteIndex = adjustedCache.getOrCreateTokenInfoIndex(quoteBank);
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const quote = adjustedCache.tokenInfos[quoteIndex];
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// Move token balance to reserved funds in open orders,
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// essentially simulating a place order
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// Reduce token balance for quote
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adjustedCache.tokenInfos[quoteIndex].balance.isub(
|
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bidNativeQuoteAmount.mul(quote.oraclePrice),
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);
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|
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// Increase reserved in Serum3Info for quote
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adjustedCache.adjustSerum3Reserved(
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baseBank,
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quoteBank,
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serum3Market,
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ZERO_I80F48(),
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ZERO_I80F48(),
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bidNativeQuoteAmount,
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ZERO_I80F48(),
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);
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return adjustedCache.healthRatio(healthType);
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}
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|
|
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simHealthRatioWithSerum3AskChanges(
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baseBank: BankForHealth,
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quoteBank: BankForHealth,
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|
askNativeBaseAmount: I80F48,
|
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serum3Market: Serum3Market,
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healthType: HealthType = HealthType.init,
|
|
): I80F48 {
|
|
const adjustedCache: HealthCache = _.cloneDeep(this);
|
|
const baseIndex = adjustedCache.getOrCreateTokenInfoIndex(baseBank);
|
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const base = adjustedCache.tokenInfos[baseIndex];
|
|
|
|
// Move token balance to reserved funds in open orders,
|
|
// essentially simulating a place order
|
|
|
|
// Reduce token balance for base
|
|
adjustedCache.tokenInfos[baseIndex].balance.isub(
|
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askNativeBaseAmount.mul(base.oraclePrice),
|
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);
|
|
|
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// Increase reserved in Serum3Info for base
|
|
adjustedCache.adjustSerum3Reserved(
|
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baseBank,
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quoteBank,
|
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serum3Market,
|
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askNativeBaseAmount,
|
|
ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
);
|
|
return adjustedCache.healthRatio(healthType);
|
|
}
|
|
|
|
private static binaryApproximationSearch(
|
|
left: I80F48,
|
|
leftRatio: I80F48,
|
|
right: I80F48,
|
|
rightRatio: I80F48,
|
|
targetRatio: I80F48,
|
|
healthRatioAfterActionFn: (I80F48) => I80F48,
|
|
): I80F48 {
|
|
const maxIterations = 40;
|
|
// TODO: make relative to health ratio decimals? Might be over engineering
|
|
const targetError = I80F48.fromNumber(0.001);
|
|
|
|
if (
|
|
(leftRatio.sub(targetRatio).isPos() &&
|
|
rightRatio.sub(targetRatio).isPos()) ||
|
|
(leftRatio.sub(targetRatio).isNeg() &&
|
|
rightRatio.sub(targetRatio).isNeg())
|
|
) {
|
|
throw new Error(
|
|
`Internal error: left ${leftRatio.toNumber()} and right ${rightRatio.toNumber()} don't contain the target value ${targetRatio.toNumber()}, likely reason is the zeroAmount not been tight enough!`,
|
|
);
|
|
}
|
|
|
|
let newAmount;
|
|
// eslint-disable-next-line @typescript-eslint/no-unused-vars
|
|
for (const key of Array(maxIterations).fill(0).keys()) {
|
|
newAmount = left.add(right).mul(I80F48.fromNumber(0.5));
|
|
const newAmountRatio = healthRatioAfterActionFn(newAmount);
|
|
const error = newAmountRatio.sub(targetRatio);
|
|
if (error.isPos() && error.lt(targetError)) {
|
|
return newAmount;
|
|
}
|
|
if (newAmountRatio.gt(targetRatio) != rightRatio.gt(targetRatio)) {
|
|
left = newAmount;
|
|
} else {
|
|
right = newAmount;
|
|
rightRatio = newAmountRatio;
|
|
}
|
|
}
|
|
console.error(
|
|
`Unable to get targetRatio within ${maxIterations} iterations`,
|
|
);
|
|
return newAmount;
|
|
}
|
|
|
|
getMaxSourceForTokenSwap(
|
|
sourceBank: BankForHealth,
|
|
targetBank: BankForHealth,
|
|
minRatio: I80F48,
|
|
priceFactor: I80F48,
|
|
): I80F48 {
|
|
if (
|
|
sourceBank.initLiabWeight
|
|
.sub(targetBank.initAssetWeight)
|
|
.abs()
|
|
.lte(ZERO_I80F48())
|
|
) {
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
// The health_ratio is a nonlinear based on swap amount.
|
|
// For large swap amounts the slope is guaranteed to be negative, but small amounts
|
|
// can have positive slope (e.g. using source deposits to pay back target borrows).
|
|
//
|
|
// That means:
|
|
// - even if the initial ratio is < minRatio it can be useful to swap to *increase* health
|
|
// - be careful about finding the minRatio point: the function isn't convex
|
|
|
|
const initialRatio = this.healthRatio(HealthType.init);
|
|
// eslint-disable-next-line @typescript-eslint/no-unused-vars
|
|
const initialHealth = this.health(HealthType.init);
|
|
if (initialRatio.lte(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
// If the price is sufficiently good, then health will just increase from swapping:
|
|
// once we've swapped enough, swapping x reduces health by x * source_liab_weight and
|
|
// increases it by x * target_asset_weight * price_factor.
|
|
const finalHealthSlope = sourceBank.initLiabWeight
|
|
.neg()
|
|
.add(targetBank.initAssetWeight.mul(priceFactor));
|
|
if (finalHealthSlope.gte(ZERO_I80F48())) {
|
|
return MAX_I80F48();
|
|
}
|
|
|
|
const healthCacheClone: HealthCache = _.cloneDeep(this);
|
|
const sourceIndex = healthCacheClone.getOrCreateTokenInfoIndex(sourceBank);
|
|
const targetIndex = healthCacheClone.getOrCreateTokenInfoIndex(targetBank);
|
|
const source = healthCacheClone.tokenInfos[sourceIndex];
|
|
const target = healthCacheClone.tokenInfos[targetIndex];
|
|
|
|
// There are two key slope changes: Assume source.balance > 0 and target.balance < 0. Then
|
|
// initially health ratio goes up. When one of balances flips sign, the health ratio slope
|
|
// may be positive or negative for a bit, until both balances have flipped and the slope is
|
|
// negative.
|
|
// The maximum will be at one of these points (ignoring serum3 effects).
|
|
|
|
function cacheAfterSwap(amount: I80F48): HealthCache {
|
|
const adjustedCache: HealthCache = _.cloneDeep(healthCacheClone);
|
|
// HealthCache.logHealthCache('beforeSwap', adjustedCache);
|
|
adjustedCache.tokenInfos[sourceIndex].balance.isub(amount);
|
|
adjustedCache.tokenInfos[targetIndex].balance.iadd(
|
|
amount.mul(priceFactor),
|
|
);
|
|
// HealthCache.logHealthCache('afterSwap', adjustedCache);
|
|
return adjustedCache;
|
|
}
|
|
|
|
function healthRatioAfterSwap(amount: I80F48): I80F48 {
|
|
return cacheAfterSwap(amount).healthRatio(HealthType.init);
|
|
}
|
|
|
|
// There are two key slope changes: Assume source.balance > 0 and target.balance < 0.
|
|
// When these values flip sign, the health slope decreases, but could still be positive.
|
|
// After point1 it's definitely negative (due to finalHealthSlope check above).
|
|
// The maximum health ratio will be at 0 or at one of these points (ignoring serum3 effects).
|
|
const sourceForZeroTargetBalance = target.balance.neg().div(priceFactor);
|
|
const point0Amount = source.balance
|
|
.min(sourceForZeroTargetBalance)
|
|
.max(ZERO_I80F48());
|
|
const point1Amount = source.balance
|
|
.max(sourceForZeroTargetBalance)
|
|
.max(ZERO_I80F48());
|
|
const cache0 = cacheAfterSwap(point0Amount);
|
|
const point0Ratio = cache0.healthRatio(HealthType.init);
|
|
const cache1 = cacheAfterSwap(point1Amount);
|
|
const point1Ratio = cache1.healthRatio(HealthType.init);
|
|
const point1Health = cache1.health(HealthType.init);
|
|
|
|
let amount: I80F48;
|
|
|
|
if (
|
|
initialRatio.lte(minRatio) &&
|
|
point0Ratio.lt(minRatio) &&
|
|
point1Ratio.lt(minRatio)
|
|
) {
|
|
// If we have to stay below the target ratio, pick the highest one
|
|
if (point0Ratio.gt(initialRatio)) {
|
|
if (point1Ratio.gt(point0Ratio)) {
|
|
amount = point1Amount;
|
|
} else {
|
|
amount = point0Amount;
|
|
}
|
|
} else if (point1Ratio.gt(initialRatio)) {
|
|
amount = point1Amount;
|
|
} else {
|
|
amount = ZERO_I80F48();
|
|
}
|
|
} else if (point1Ratio.gte(minRatio)) {
|
|
// If point1Ratio is still bigger than minRatio, the target amount must be >point1Amount
|
|
// search to the right of point1Amount: but how far?
|
|
// At point1, source.balance < 0 and target.balance > 0, so use a simple estimation for
|
|
// zero health: health - source_liab_weight * a + target_asset_weight * a * priceFactor = 0.
|
|
if (point1Health.lte(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
const zeroHealthAmount = point1Amount.sub(
|
|
point1Health.div(finalHealthSlope),
|
|
);
|
|
const zeroHealthRatio = healthRatioAfterSwap(zeroHealthAmount);
|
|
amount = HealthCache.binaryApproximationSearch(
|
|
point1Amount,
|
|
point1Ratio,
|
|
zeroHealthAmount,
|
|
zeroHealthRatio,
|
|
minRatio,
|
|
healthRatioAfterSwap,
|
|
);
|
|
} else if (point0Ratio.gte(minRatio)) {
|
|
// Must be between point0Amount and point1Amount.
|
|
amount = HealthCache.binaryApproximationSearch(
|
|
point0Amount,
|
|
point0Ratio,
|
|
point1Amount,
|
|
point1Ratio,
|
|
minRatio,
|
|
healthRatioAfterSwap,
|
|
);
|
|
} else {
|
|
// Must be between 0 and point0_amount
|
|
amount = HealthCache.binaryApproximationSearch(
|
|
ZERO_I80F48(),
|
|
initialRatio,
|
|
point0Amount,
|
|
point0Ratio,
|
|
minRatio,
|
|
healthRatioAfterSwap,
|
|
);
|
|
}
|
|
|
|
return amount.div(source.oraclePrice);
|
|
}
|
|
|
|
getMaxSerum3OrderForHealthRatio(
|
|
baseBank: BankForHealth,
|
|
quoteBank: BankForHealth,
|
|
serum3Market: Serum3Market,
|
|
side: Serum3Side,
|
|
minRatio: I80F48,
|
|
): I80F48 {
|
|
const healthCacheClone: HealthCache = _.cloneDeep(this);
|
|
|
|
const baseIndex = healthCacheClone.getOrCreateTokenInfoIndex(baseBank);
|
|
const quoteIndex = healthCacheClone.getOrCreateTokenInfoIndex(quoteBank);
|
|
const base = healthCacheClone.tokenInfos[baseIndex];
|
|
const quote = healthCacheClone.tokenInfos[quoteIndex];
|
|
|
|
// Binary search between current health (0 sized new order) and
|
|
// an amount to trade which will bring health to 0.
|
|
|
|
// Current health and amount i.e. 0
|
|
const initialAmount = ZERO_I80F48();
|
|
const initialHealth = this.health(HealthType.init);
|
|
const initialRatio = this.healthRatio(HealthType.init);
|
|
if (initialRatio.lte(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
// Amount which would bring health to 0
|
|
// where M = max(A_deposits, B_borrows)
|
|
// amount = M + (init_health + M * (B_init_liab - A_init_asset)) / (A_init_liab - B_init_asset);
|
|
// A is what we would be essentially swapping for B
|
|
// So when its an ask, then base->quote,
|
|
// and when its a bid, then quote->bid
|
|
let zeroAmount;
|
|
if (side == Serum3Side.ask) {
|
|
const quoteBorrows = quote.balance.lt(ZERO_I80F48())
|
|
? quote.balance.abs()
|
|
: ZERO_I80F48();
|
|
const max = base.balance.max(quoteBorrows);
|
|
zeroAmount = max.add(
|
|
initialHealth
|
|
.add(max.mul(quote.initLiabWeight.sub(base.initAssetWeight)))
|
|
.div(
|
|
base
|
|
.liabWeight(HealthType.init)
|
|
.sub(quote.assetWeight(HealthType.init)),
|
|
),
|
|
);
|
|
} else {
|
|
const baseBorrows = base.balance.lt(ZERO_I80F48())
|
|
? base.balance.abs()
|
|
: ZERO_I80F48();
|
|
const max = quote.balance.max(baseBorrows);
|
|
zeroAmount = max.add(
|
|
initialHealth
|
|
.add(max.mul(base.initLiabWeight.sub(quote.initAssetWeight)))
|
|
.div(
|
|
quote
|
|
.liabWeight(HealthType.init)
|
|
.sub(base.assetWeight(HealthType.init)),
|
|
),
|
|
);
|
|
}
|
|
|
|
const cache = cacheAfterPlacingOrder(zeroAmount);
|
|
// eslint-disable-next-line @typescript-eslint/no-unused-vars
|
|
const zeroAmountHealth = cache.health(HealthType.init);
|
|
const zeroAmountRatio = cache.healthRatio(HealthType.init);
|
|
|
|
function cacheAfterPlacingOrder(amount: I80F48): HealthCache {
|
|
const adjustedCache: HealthCache = _.cloneDeep(healthCacheClone);
|
|
|
|
side === Serum3Side.ask
|
|
? adjustedCache.tokenInfos[baseIndex].balance.isub(amount)
|
|
: adjustedCache.tokenInfos[quoteIndex].balance.isub(amount);
|
|
|
|
adjustedCache.adjustSerum3Reserved(
|
|
baseBank,
|
|
quoteBank,
|
|
serum3Market,
|
|
side === Serum3Side.ask ? amount.div(base.oraclePrice) : ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
side === Serum3Side.bid ? amount.div(quote.oraclePrice) : ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
);
|
|
|
|
return adjustedCache;
|
|
}
|
|
|
|
function healthRatioAfterPlacingOrder(amount: I80F48): I80F48 {
|
|
return cacheAfterPlacingOrder(amount).healthRatio(HealthType.init);
|
|
}
|
|
|
|
const amount = HealthCache.binaryApproximationSearch(
|
|
initialAmount,
|
|
initialRatio,
|
|
zeroAmount,
|
|
zeroAmountRatio,
|
|
minRatio,
|
|
healthRatioAfterPlacingOrder,
|
|
);
|
|
|
|
return amount;
|
|
}
|
|
|
|
getMaxPerpForHealthRatio(
|
|
perpMarket: PerpMarket,
|
|
side: PerpOrderSide,
|
|
minRatio: I80F48,
|
|
price: I80F48,
|
|
): I80F48 {
|
|
const healthCacheClone: HealthCache = _.cloneDeep(this);
|
|
|
|
const initialRatio = this.healthRatio(HealthType.init);
|
|
if (initialRatio.lt(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
const direction = side == PerpOrderSide.bid ? 1 : -1;
|
|
|
|
const perpInfoIndex = this.getOrCreatePerpInfoIndex(perpMarket);
|
|
const perpInfo = this.perpInfos[perpInfoIndex];
|
|
const oraclePrice = perpInfo.oraclePrice;
|
|
const baseLotSize = I80F48.fromString(perpMarket.baseLotSize.toString());
|
|
|
|
// If the price is sufficiently good then health will just increase from trading
|
|
const finalHealthSlope =
|
|
direction == 1
|
|
? perpInfo.initAssetWeight.mul(oraclePrice).sub(price)
|
|
: price.sub(perpInfo.initLiabWeight.mul(oraclePrice));
|
|
if (finalHealthSlope.gte(ZERO_I80F48())) {
|
|
return MAX_I80F48();
|
|
}
|
|
|
|
function cacheAfterTrade(baseLots: I80F48): HealthCache {
|
|
const adjustedCache: HealthCache = _.cloneDeep(healthCacheClone);
|
|
const d = I80F48.fromNumber(direction);
|
|
adjustedCache.perpInfos[perpInfoIndex].base.iadd(
|
|
d.mul(baseLots.mul(baseLotSize.mul(oraclePrice))),
|
|
);
|
|
adjustedCache.perpInfos[perpInfoIndex].quote.isub(
|
|
d.mul(baseLots.mul(baseLotSize.mul(price))),
|
|
);
|
|
return adjustedCache;
|
|
}
|
|
|
|
function healthAfterTrade(baseLots: I80F48): I80F48 {
|
|
return cacheAfterTrade(baseLots).health(HealthType.init);
|
|
}
|
|
function healthRatioAfterTrade(baseLots: I80F48): I80F48 {
|
|
return cacheAfterTrade(baseLots).healthRatio(HealthType.init);
|
|
}
|
|
|
|
const initialBaseLots = perpInfo.base
|
|
.div(perpInfo.oraclePrice)
|
|
.div(baseLotSize);
|
|
|
|
// There are two cases:
|
|
// 1. We are increasing abs(baseLots)
|
|
// 2. We are bringing the base position to 0, and then going to case 1.
|
|
const hasCase2 =
|
|
(initialBaseLots.gt(ZERO_I80F48()) && direction == -1) ||
|
|
(initialBaseLots.lt(ZERO_I80F48()) && direction == 1);
|
|
|
|
let case1Start: I80F48, case1StartRatio: I80F48;
|
|
if (hasCase2) {
|
|
case1Start = initialBaseLots.abs();
|
|
case1StartRatio = healthRatioAfterTrade(case1Start);
|
|
} else {
|
|
case1Start = ZERO_I80F48();
|
|
case1StartRatio = initialRatio;
|
|
}
|
|
|
|
// If we start out below minRatio and can't go above, pick the best case
|
|
let baseLots: I80F48;
|
|
if (initialRatio.lte(minRatio) && case1StartRatio.lt(minRatio)) {
|
|
if (case1StartRatio.gte(initialRatio)) {
|
|
baseLots = case1Start;
|
|
} else {
|
|
baseLots = ZERO_I80F48();
|
|
}
|
|
} else if (case1StartRatio.gte(minRatio)) {
|
|
// Must reach minRatio to the right of case1Start
|
|
const case1StartHealth = healthAfterTrade(case1Start);
|
|
if (case1StartHealth.lte(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
const zeroHealthAmount = case1Start.sub(
|
|
case1StartHealth.div(finalHealthSlope).div(baseLotSize),
|
|
);
|
|
const zeroHealthRatio = healthRatioAfterTrade(zeroHealthAmount);
|
|
baseLots = HealthCache.binaryApproximationSearch(
|
|
case1Start,
|
|
case1StartRatio,
|
|
zeroHealthAmount,
|
|
zeroHealthRatio,
|
|
minRatio,
|
|
healthRatioAfterTrade,
|
|
);
|
|
} else {
|
|
// Between 0 and case1Start
|
|
baseLots = HealthCache.binaryApproximationSearch(
|
|
ZERO_I80F48(),
|
|
initialRatio,
|
|
case1Start,
|
|
case1StartRatio,
|
|
minRatio,
|
|
healthRatioAfterTrade,
|
|
);
|
|
}
|
|
|
|
return baseLots.floor();
|
|
}
|
|
}
|
|
|
|
export class TokenInfo {
|
|
constructor(
|
|
public tokenIndex: TokenIndex,
|
|
public maintAssetWeight: I80F48,
|
|
public initAssetWeight: I80F48,
|
|
public maintLiabWeight: I80F48,
|
|
public initLiabWeight: I80F48,
|
|
// native/native
|
|
public oraclePrice: I80F48,
|
|
// in health-reference-token native units
|
|
public balance: I80F48,
|
|
// in health-reference-token native units
|
|
public serum3MaxReserved: I80F48,
|
|
) {}
|
|
|
|
static fromDto(dto: TokenInfoDto): TokenInfo {
|
|
return new TokenInfo(
|
|
dto.tokenIndex as TokenIndex,
|
|
I80F48.from(dto.maintAssetWeight),
|
|
I80F48.from(dto.initAssetWeight),
|
|
I80F48.from(dto.maintLiabWeight),
|
|
I80F48.from(dto.initLiabWeight),
|
|
I80F48.from(dto.oraclePrice),
|
|
I80F48.from(dto.balance),
|
|
I80F48.from(dto.serum3MaxReserved),
|
|
);
|
|
}
|
|
|
|
static fromBank(
|
|
bank: BankForHealth,
|
|
nativeBalance?: I80F48,
|
|
serum3MaxReserved?: I80F48,
|
|
): TokenInfo {
|
|
return new TokenInfo(
|
|
bank.tokenIndex,
|
|
bank.maintAssetWeight,
|
|
bank.initAssetWeight,
|
|
bank.maintLiabWeight,
|
|
bank.initLiabWeight,
|
|
bank.price,
|
|
nativeBalance ? nativeBalance.mul(bank.price) : ZERO_I80F48(),
|
|
serum3MaxReserved ? serum3MaxReserved : ZERO_I80F48(),
|
|
);
|
|
}
|
|
|
|
assetWeight(healthType: HealthType): I80F48 {
|
|
return healthType == HealthType.init
|
|
? this.initAssetWeight
|
|
: this.maintAssetWeight;
|
|
}
|
|
|
|
liabWeight(healthType: HealthType): I80F48 {
|
|
return healthType == HealthType.init
|
|
? this.initLiabWeight
|
|
: this.maintLiabWeight;
|
|
}
|
|
|
|
healthContribution(healthType: HealthType): I80F48 {
|
|
return (
|
|
this.balance.isNeg()
|
|
? this.liabWeight(healthType)
|
|
: this.assetWeight(healthType)
|
|
).mul(this.balance);
|
|
}
|
|
|
|
toString(): string {
|
|
return ` tokenIndex: ${this.tokenIndex}, balance: ${
|
|
this.balance
|
|
}, serum3MaxReserved: ${
|
|
this.serum3MaxReserved
|
|
}, initHealth ${this.healthContribution(HealthType.init)}`;
|
|
}
|
|
}
|
|
|
|
export class Serum3Info {
|
|
constructor(
|
|
public reserved: I80F48,
|
|
public baseIndex: number,
|
|
public quoteIndex: number,
|
|
public marketIndex: MarketIndex,
|
|
) {}
|
|
|
|
static fromDto(dto: Serum3InfoDto): Serum3Info {
|
|
return new Serum3Info(
|
|
I80F48.from(dto.reserved),
|
|
dto.baseIndex,
|
|
dto.quoteIndex,
|
|
dto.marketIndex as MarketIndex,
|
|
);
|
|
}
|
|
|
|
static emptyFromSerum3Market(
|
|
serum3Market: Serum3Market,
|
|
baseEntryIndex: number,
|
|
quoteEntryIndex: number,
|
|
): Serum3Info {
|
|
return new Serum3Info(
|
|
ZERO_I80F48(),
|
|
baseEntryIndex,
|
|
quoteEntryIndex,
|
|
serum3Market.marketIndex,
|
|
);
|
|
}
|
|
|
|
static fromOoModifyingTokenInfos(
|
|
baseIndex: number,
|
|
baseInfo: TokenInfo,
|
|
quoteIndex: number,
|
|
quoteInfo: TokenInfo,
|
|
marketIndex: MarketIndex,
|
|
oo: OpenOrders,
|
|
): Serum3Info {
|
|
// add the amounts that are freely settleable
|
|
const baseFree = I80F48.fromString(oo.baseTokenFree.toString());
|
|
// NOTE: referrerRebatesAccrued is not declared on oo class, but the layout
|
|
// is aware of it
|
|
const quoteFree = I80F48.fromString(
|
|
oo.quoteTokenFree.add((oo as any).referrerRebatesAccrued).toString(),
|
|
);
|
|
baseInfo.balance.iadd(baseFree.mul(baseInfo.oraclePrice));
|
|
quoteInfo.balance.iadd(quoteFree.mul(quoteInfo.oraclePrice));
|
|
|
|
// add the reserved amount to both sides, to have the worst-case covered
|
|
const reservedBase = I80F48.fromString(
|
|
oo.baseTokenTotal.sub(oo.baseTokenFree).toString(),
|
|
);
|
|
const reservedQuote = I80F48.fromString(
|
|
oo.quoteTokenTotal.sub(oo.quoteTokenFree).toString(),
|
|
);
|
|
const reservedBalance = reservedBase
|
|
.mul(baseInfo.oraclePrice)
|
|
.add(reservedQuote.mul(quoteInfo.oraclePrice));
|
|
baseInfo.serum3MaxReserved.iadd(reservedBalance);
|
|
quoteInfo.serum3MaxReserved.iadd(reservedBalance);
|
|
|
|
return new Serum3Info(reservedBalance, baseIndex, quoteIndex, marketIndex);
|
|
}
|
|
|
|
healthContribution(healthType: HealthType, tokenInfos: TokenInfo[]): I80F48 {
|
|
const baseInfo = tokenInfos[this.baseIndex];
|
|
const quoteInfo = tokenInfos[this.quoteIndex];
|
|
const reserved = this.reserved;
|
|
// console.log(` - reserved ${reserved}`);
|
|
// console.log(` - this.baseIndex ${this.baseIndex}`);
|
|
// console.log(` - this.quoteIndex ${this.quoteIndex}`);
|
|
|
|
if (reserved.isZero()) {
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
// How much the health would increase if the reserved balance were applied to the passed
|
|
// token info?
|
|
const computeHealthEffect = function (tokenInfo: TokenInfo): I80F48 {
|
|
// This balance includes all possible reserved funds from markets that relate to the
|
|
// token, including this market itself: `reserved` is already included in `max_balance`.
|
|
const maxBalance = tokenInfo.balance.add(tokenInfo.serum3MaxReserved);
|
|
|
|
// Assuming `reserved` was added to `max_balance` last (because that gives the smallest
|
|
// health effects): how much did health change because of it?
|
|
let assetPart, liabPart;
|
|
if (maxBalance.gte(reserved)) {
|
|
assetPart = reserved;
|
|
liabPart = ZERO_I80F48();
|
|
} else if (maxBalance.isNeg()) {
|
|
assetPart = ZERO_I80F48();
|
|
liabPart = reserved;
|
|
} else {
|
|
assetPart = maxBalance;
|
|
liabPart = reserved.sub(maxBalance);
|
|
}
|
|
const assetWeight = tokenInfo.assetWeight(healthType);
|
|
const liabWeight = tokenInfo.liabWeight(healthType);
|
|
|
|
// console.log(` - tokenInfo.index ${tokenInfo.tokenIndex}`);
|
|
// console.log(` - tokenInfo.balance ${tokenInfo.balance}`);
|
|
// console.log(
|
|
// ` - tokenInfo.serum3MaxReserved ${tokenInfo.serum3MaxReserved}`,
|
|
// );
|
|
// console.log(` - assetPart ${assetPart}`);
|
|
// console.log(` - liabPart ${liabPart}`);
|
|
return assetWeight.mul(assetPart).add(liabWeight.mul(liabPart));
|
|
};
|
|
|
|
const reservedAsBase = computeHealthEffect(baseInfo);
|
|
const reservedAsQuote = computeHealthEffect(quoteInfo);
|
|
// console.log(` - reservedAsBase ${reservedAsBase}`);
|
|
// console.log(` - reservedAsQuote ${reservedAsQuote}`);
|
|
return reservedAsBase.min(reservedAsQuote);
|
|
}
|
|
|
|
toString(tokenInfos: TokenInfo[]): string {
|
|
return ` marketIndex: ${this.marketIndex}, baseIndex: ${
|
|
this.baseIndex
|
|
}, quoteIndex: ${this.quoteIndex}, reserved: ${
|
|
this.reserved
|
|
}, initHealth ${this.healthContribution(HealthType.init, tokenInfos)}`;
|
|
}
|
|
}
|
|
|
|
export class PerpInfo {
|
|
constructor(
|
|
public perpMarketIndex: number,
|
|
public maintAssetWeight: I80F48,
|
|
public initAssetWeight: I80F48,
|
|
public maintLiabWeight: I80F48,
|
|
public initLiabWeight: I80F48,
|
|
public base: I80F48,
|
|
public quote: I80F48,
|
|
public oraclePrice: I80F48,
|
|
public hasOpenOrders: boolean,
|
|
public trustedMarket: boolean,
|
|
) {}
|
|
|
|
static fromDto(dto: PerpInfoDto): PerpInfo {
|
|
return new PerpInfo(
|
|
dto.perpMarketIndex,
|
|
I80F48.from(dto.maintAssetWeight),
|
|
I80F48.from(dto.initAssetWeight),
|
|
I80F48.from(dto.maintLiabWeight),
|
|
I80F48.from(dto.initLiabWeight),
|
|
I80F48.from(dto.base),
|
|
I80F48.from(dto.quote),
|
|
I80F48.from(dto.oraclePrice),
|
|
dto.hasOpenOrders,
|
|
dto.trustedMarket,
|
|
);
|
|
}
|
|
|
|
static fromPerpPosition(
|
|
perpMarket: PerpMarket,
|
|
perpPosition: PerpPosition,
|
|
): PerpInfo {
|
|
const baseLotSize = I80F48.fromString(perpMarket.baseLotSize.toString());
|
|
const baseLots = I80F48.fromNumber(
|
|
perpPosition.basePositionLots + perpPosition.takerBaseLots,
|
|
);
|
|
|
|
const unsettledFunding = perpPosition.unsettledFunding(perpMarket);
|
|
|
|
const takerQuote = I80F48.fromString(
|
|
new BN(perpPosition.takerQuoteLots)
|
|
.mul(perpMarket.quoteLotSize)
|
|
.toString(),
|
|
);
|
|
const quoteCurrent = I80F48.fromString(
|
|
perpPosition.quotePositionNative.toString(),
|
|
)
|
|
.sub(unsettledFunding)
|
|
.add(takerQuote);
|
|
|
|
// Two scenarios:
|
|
// 1. The price goes low and all bids execute, converting to base.
|
|
// That means the perp position is increased by `bids` and the quote position
|
|
// is decreased by `bids * baseLotSize * price`.
|
|
// The health for this case is:
|
|
// (weighted(baseLots + bids) - bids) * baseLotSize * price + quote
|
|
// 2. The price goes high and all asks execute, converting to quote.
|
|
// The health for this case is:
|
|
// (weighted(baseLots - asks) + asks) * baseLotSize * price + quote
|
|
//
|
|
// Comparing these makes it clear we need to pick the worse subfactor
|
|
// weighted(baseLots + bids) - bids =: scenario1
|
|
// or
|
|
// weighted(baseLots - asks) + asks =: scenario2
|
|
//
|
|
// Additionally, we want this scenario choice to be the same no matter whether we're
|
|
// computing init or maint health. This can be guaranteed by requiring the weights
|
|
// to satisfy the property (P):
|
|
//
|
|
// (1 - initAssetWeight) / (initLiabWeight - 1)
|
|
// == (1 - maintAssetWeight) / (maintLiabWeight - 1)
|
|
//
|
|
// Derivation:
|
|
// Set asksNetLots := baseLots - asks, bidsNetLots := baseLots + bids.
|
|
// Now
|
|
// scenario1 = weighted(bidsNetLots) - bidsNetLots + baseLots and
|
|
// scenario2 = weighted(asksNetLots) - asksNetLots + baseLots
|
|
// So with expanding weigthed(a) = weightFactorForA * a, the question
|
|
// scenario1 < scenario2
|
|
// becomes:
|
|
// (weightFactorForBidsNetLots - 1) * bidsNetLots
|
|
// < (weightFactorForAsksNetLots - 1) * asksNetLots
|
|
// Since asksNetLots < 0 and bidsNetLots > 0 is the only interesting case, (P) follows.
|
|
//
|
|
// We satisfy (P) by requiring
|
|
// assetWeight = 1 - x and liabWeight = 1 + x
|
|
//
|
|
// And with that assumption the scenario choice condition further simplifies to:
|
|
// scenario1 < scenario2
|
|
// iff abs(bidsNetLots) > abs(asksNetLots)
|
|
|
|
const bidsNetLots = baseLots.add(
|
|
I80F48.fromNumber(perpPosition.bidsBaseLots),
|
|
);
|
|
const asksNetLots = baseLots.sub(
|
|
I80F48.fromNumber(perpPosition.asksBaseLots),
|
|
);
|
|
|
|
const lotsToQuote = baseLotSize.mul(perpMarket.price);
|
|
|
|
let base, quote;
|
|
if (bidsNetLots.abs().gt(asksNetLots.abs())) {
|
|
const bidsBaseLots = I80F48.fromString(
|
|
perpPosition.bidsBaseLots.toString(),
|
|
);
|
|
base = bidsNetLots.mul(lotsToQuote);
|
|
quote = quoteCurrent.sub(bidsBaseLots.mul(lotsToQuote));
|
|
} else {
|
|
const asksBaseLots = I80F48.fromString(
|
|
perpPosition.asksBaseLots.toString(),
|
|
);
|
|
base = asksNetLots.mul(lotsToQuote);
|
|
quote = quoteCurrent.add(asksBaseLots.mul(lotsToQuote));
|
|
}
|
|
|
|
// console.log(`bidsNetLots ${bidsNetLots}`);
|
|
// console.log(`asksNetLots ${asksNetLots}`);
|
|
// console.log(`quoteCurrent ${quoteCurrent}`);
|
|
// console.log(`base ${base}`);
|
|
// console.log(`quote ${quote}`);
|
|
|
|
return new PerpInfo(
|
|
perpMarket.perpMarketIndex,
|
|
perpMarket.maintAssetWeight,
|
|
perpMarket.initAssetWeight,
|
|
perpMarket.maintLiabWeight,
|
|
perpMarket.initLiabWeight,
|
|
base,
|
|
quote,
|
|
perpMarket.price,
|
|
perpPosition.hasOpenOrders(),
|
|
perpMarket.trustedMarket,
|
|
);
|
|
}
|
|
|
|
healthContribution(healthType: HealthType): I80F48 {
|
|
let weight;
|
|
if (healthType == HealthType.init && this.base.isNeg()) {
|
|
weight = this.initLiabWeight;
|
|
} else if (healthType == HealthType.init && !this.base.isNeg()) {
|
|
weight = this.initAssetWeight;
|
|
}
|
|
if (healthType == HealthType.maint && this.base.isNeg()) {
|
|
weight = this.maintLiabWeight;
|
|
}
|
|
if (healthType == HealthType.maint && !this.base.isNeg()) {
|
|
weight = this.maintAssetWeight;
|
|
}
|
|
|
|
// console.log(`initLiabWeight ${this.initLiabWeight}`);
|
|
// console.log(`initAssetWeight ${this.initAssetWeight}`);
|
|
// console.log(`weight ${weight}`);
|
|
// console.log(`this.quote ${this.quote}`);
|
|
// console.log(`this.base ${this.base}`);
|
|
|
|
const uncappedHealthContribution = this.quote.add(weight.mul(this.base));
|
|
if (this.trustedMarket) {
|
|
return uncappedHealthContribution;
|
|
} else {
|
|
return uncappedHealthContribution.min(ZERO_I80F48());
|
|
}
|
|
}
|
|
|
|
static emptyFromPerpMarket(perpMarket: PerpMarket): PerpInfo {
|
|
return new PerpInfo(
|
|
perpMarket.perpMarketIndex,
|
|
perpMarket.maintAssetWeight,
|
|
perpMarket.initAssetWeight,
|
|
perpMarket.maintLiabWeight,
|
|
perpMarket.initLiabWeight,
|
|
ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
perpMarket.price,
|
|
false,
|
|
perpMarket.trustedMarket,
|
|
);
|
|
}
|
|
|
|
toString(): string {
|
|
return ` perpMarketIndex: ${this.perpMarketIndex}, base: ${
|
|
this.base
|
|
}, quote: ${this.quote}, oraclePrice: ${
|
|
this.oraclePrice
|
|
}, initHealth ${this.healthContribution(HealthType.init)}`;
|
|
}
|
|
}
|
|
|
|
export class HealthCacheDto {
|
|
tokenInfos: TokenInfoDto[];
|
|
serum3Infos: Serum3InfoDto[];
|
|
perpInfos: PerpInfoDto[];
|
|
}
|
|
export class TokenInfoDto {
|
|
tokenIndex: number;
|
|
maintAssetWeight: I80F48Dto;
|
|
initAssetWeight: I80F48Dto;
|
|
maintLiabWeight: I80F48Dto;
|
|
initLiabWeight: I80F48Dto;
|
|
oraclePrice: I80F48Dto; // native/native
|
|
// in health-reference-token native units
|
|
balance: I80F48Dto;
|
|
// in health-reference-token native units
|
|
serum3MaxReserved: I80F48Dto;
|
|
|
|
constructor(
|
|
tokenIndex: number,
|
|
maintAssetWeight: I80F48Dto,
|
|
initAssetWeight: I80F48Dto,
|
|
maintLiabWeight: I80F48Dto,
|
|
initLiabWeight: I80F48Dto,
|
|
oraclePrice: I80F48Dto,
|
|
balance: I80F48Dto,
|
|
serum3MaxReserved: I80F48Dto,
|
|
) {
|
|
this.tokenIndex = tokenIndex;
|
|
this.maintAssetWeight = maintAssetWeight;
|
|
this.initAssetWeight = initAssetWeight;
|
|
this.maintLiabWeight = maintLiabWeight;
|
|
this.initLiabWeight = initLiabWeight;
|
|
this.oraclePrice = oraclePrice;
|
|
this.balance = balance;
|
|
this.serum3MaxReserved = serum3MaxReserved;
|
|
}
|
|
}
|
|
|
|
export class Serum3InfoDto {
|
|
reserved: I80F48Dto;
|
|
baseIndex: number;
|
|
quoteIndex: number;
|
|
marketIndex: number;
|
|
|
|
constructor(reserved: I80F48Dto, baseIndex: number, quoteIndex: number) {
|
|
this.reserved = reserved;
|
|
this.baseIndex = baseIndex;
|
|
this.quoteIndex = quoteIndex;
|
|
}
|
|
}
|
|
|
|
export class PerpInfoDto {
|
|
perpMarketIndex: number;
|
|
maintAssetWeight: I80F48Dto;
|
|
initAssetWeight: I80F48Dto;
|
|
maintLiabWeight: I80F48Dto;
|
|
initLiabWeight: I80F48Dto;
|
|
base: I80F48Dto;
|
|
quote: I80F48Dto;
|
|
oraclePrice: I80F48Dto;
|
|
hasOpenOrders: boolean;
|
|
trustedMarket: boolean;
|
|
}
|