From f75188202608555028c36bb6ae8ad8a6bc5aca3b Mon Sep 17 00:00:00 2001
From: Riordan Panayides <riordan@panayid.es>
Date: Mon, 24 Apr 2023 19:03:11 +0100
Subject: [PATCH] Compute funding rate from L2 data

---
 components/trade/PerpFundingRate.tsx | 82 +++++++++++++++++++++++++---
 1 file changed, 74 insertions(+), 8 deletions(-)

diff --git a/components/trade/PerpFundingRate.tsx b/components/trade/PerpFundingRate.tsx
index 8911fd67..ba6a5bf0 100644
--- a/components/trade/PerpFundingRate.tsx
+++ b/components/trade/PerpFundingRate.tsx
@@ -8,6 +8,7 @@ import { MANGO_DATA_API_URL } from 'utils/constants'
 import Tooltip from '@components/shared/Tooltip'
 import { useTranslation } from 'next-i18next'
 import mangoStore from '@store/mangoStore'
+import { OrderbookL2 } from 'types'
 
 const fetchFundingRate = async (groupPk: string | undefined) => {
   const res = await fetch(
@@ -38,6 +39,57 @@ export const formatFunding = Intl.NumberFormat('en', {
   style: 'percent',
 })
 
+function getImpactPriceL2(
+  bookside: number[][],
+  baseDepth: number
+): number | undefined {
+  let total = 0
+  for (const level of bookside) {
+    total += level[1]
+    if (total >= baseDepth) {
+      return level[0]
+    }
+  }
+  return undefined
+}
+
+function getInstantaneousFundingRateL2(
+  market: PerpMarket,
+  orderbook: OrderbookL2
+) {
+  const MIN_FUNDING = market.minFunding.toNumber()
+  const MAX_FUNDING = market.maxFunding.toNumber()
+
+  const bid = getImpactPriceL2(
+    orderbook.bids,
+    market.baseLotsToUi(market.impactQuantity)
+  )
+  console.log(bid)
+  const ask = getImpactPriceL2(
+    orderbook.asks,
+    market.baseLotsToUi(market.impactQuantity)
+  )
+  console.log(ask)
+  const indexPrice = market._uiPrice
+
+  let funding
+  if (bid !== undefined && ask !== undefined) {
+    const bookPrice = (bid + ask) / 2
+    funding = Math.min(
+      Math.max(bookPrice / indexPrice - 1, MIN_FUNDING),
+      MAX_FUNDING
+    )
+  } else if (bid !== undefined) {
+    funding = MAX_FUNDING
+  } else if (ask !== undefined) {
+    funding = MIN_FUNDING
+  } else {
+    funding = 0
+  }
+
+  return funding
+}
+
 const PerpFundingRate = () => {
   const { selectedMarket } = useSelectedMarket()
   const rate = usePerpFundingRate()
@@ -45,6 +97,7 @@ const PerpFundingRate = () => {
 
   const bids = mangoStore((s) => s.selectedMarket.bidsAccount)
   const asks = mangoStore((s) => s.selectedMarket.asksAccount)
+  const orderbook = mangoStore((s) => s.selectedMarket.orderbook)
 
   const fundingRate = useMemo(() => {
     if (rate.isSuccess && selectedMarket instanceof PerpMarket) {
@@ -56,6 +109,25 @@ const PerpFundingRate = () => {
     }
   }, [rate, selectedMarket])
 
+  const instantaneousRate = useMemo(() => {
+    if (!(selectedMarket instanceof PerpMarket)) return undefined
+    if (bids instanceof BookSide && asks instanceof BookSide) {
+      return selectedMarket.getInstantaneousFundingRateUi(bids, asks).toFixed(4)
+    }
+
+    console.log(orderbook.bids.length, orderbook.asks.length)
+    if (orderbook.asks.length && orderbook.bids.length) {
+      console.log(
+        getInstantaneousFundingRateL2(selectedMarket, orderbook).toFixed(4)
+      )
+      return (
+        getInstantaneousFundingRateL2(selectedMarket, orderbook) * 100
+      ).toFixed(4)
+    }
+
+    return undefined
+  }, [orderbook, bids, asks, selectedMarket])
+
   return (
     <>
       <div className="ml-6 flex-col whitespace-nowrap">
@@ -76,15 +148,9 @@ const PerpFundingRate = () => {
                   {formatFunding.format(fundingRate * 8760)}.
                 </div>
               ) : null}
-              {selectedMarket instanceof PerpMarket &&
-              bids instanceof BookSide &&
-              asks instanceof BookSide ? (
+              {instantaneousRate ? (
                 <div className="mt-1">
-                  The latest instantaneous rate is{' '}
-                  {selectedMarket
-                    .getInstantaneousFundingRateUi(bids, asks)
-                    .toFixed(4)}
-                  %
+                  The latest instantaneous rate is {instantaneousRate}%
                 </div>
               ) : null}
             </>