441 lines
14 KiB
TypeScript
441 lines
14 KiB
TypeScript
import { AnchorProvider, BN, Wallet } from '@coral-xyz/anchor';
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import { Connection, Keypair, PublicKey } from '@solana/web3.js';
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import { Table } from 'console-table-printer';
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import cloneDeep from 'lodash/cloneDeep';
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import fetch from 'node-fetch';
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import { Group } from '../src/accounts/group';
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import { HealthType, MangoAccount } from '../src/accounts/mangoAccount';
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import { MangoClient } from '../src/client';
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import { MANGO_V4_ID } from '../src/constants';
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import { I80F48, ONE_I80F48, ZERO_I80F48 } from '../src/numbers/I80F48';
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import { toUiDecimals, toUiDecimalsForQuote } from '../src/utils';
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const { MB_CLUSTER_URL } = process.env;
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const GROUP_PK = '78b8f4cGCwmZ9ysPFMWLaLTkkaYnUjwMJYStWe5RTSSX';
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async function buildClient(): Promise<MangoClient> {
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const clientKeypair = new Keypair();
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const options = AnchorProvider.defaultOptions();
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const connection = new Connection(MB_CLUSTER_URL!, options);
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const clientWallet = new Wallet(clientKeypair);
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const clientProvider = new AnchorProvider(connection, clientWallet, options);
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return await MangoClient.connect(
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clientProvider,
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'mainnet-beta',
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MANGO_V4_ID['mainnet-beta'],
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{
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idsSource: 'get-program-accounts',
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},
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);
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}
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async function computePriceImpactOnJup(
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amount: string,
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inputMint: string,
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outputMint: string,
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): Promise<{ outAmount: number; priceImpactPct: number }> {
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const url = `https://quote-api.jup.ag/v4/quote?inputMint=${inputMint}&outputMint=${outputMint}&amount=${amount}&swapMode=ExactIn&slippageBps=10000&onlyDirectRoutes=false&asLegacyTransaction=false`;
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const response = await fetch(url);
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try {
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let res = await response.json();
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res = res.data[0];
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return {
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outAmount: parseFloat(res.outAmount),
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priceImpactPct: parseFloat(res.priceImpactPct),
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};
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} catch (e) {
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console.log(url);
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console.log(e);
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throw e;
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}
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}
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async function computePriceImpactForLiqor(
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group: Group,
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mangoAccounts: MangoAccount[],
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healthThresh: number,
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title: string,
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): Promise<void> {
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// Filter mango accounts below a certain health ration threshold
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const mangoAccountsWithHealth = mangoAccounts
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.map((a: MangoAccount) => {
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return {
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account: a,
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health: a.getHealth(group, HealthType.liquidationEnd),
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healthRatio: a.getHealthRatioUi(group, HealthType.liquidationEnd),
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liabs: toUiDecimalsForQuote(
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a.getLiabsValue(group, HealthType.liquidationEnd),
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),
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};
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})
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.filter((a) => a.healthRatio < healthThresh);
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const table = new Table({
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columns: [
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{ name: 'Coin', alignment: 'right' },
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{ name: 'Oracle Price', alignment: 'right' },
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{ name: 'On-Chain Price', alignment: 'right' },
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{ name: 'Future Price', alignment: 'right' },
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{ name: 'V4 Liq Fee', alignment: 'right' },
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{ name: 'Liabs', alignment: 'right' },
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{ name: 'Liabs slippage', alignment: 'right' },
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{ name: 'Assets Sum', alignment: 'right' },
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{ name: 'Assets Slippage', alignment: 'right' },
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],
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});
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const USDC_MINT = 'EPjFWdd5AufqSSqeM2qN1xzybapC8G4wEGGkZwyTDt1v';
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const usdcBank = group.getFirstBankByMint(new PublicKey(USDC_MINT));
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// For each token
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for (const banks of group.banksMapByMint.values()) {
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const bank = banks[0];
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const onChainPrice = (
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await (
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await fetch(`https://price.jup.ag/v4/price?ids=${bank.mint}`)
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).json()
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)['data'][bank.mint.toBase58()]['price'];
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if (bank.tokenIndex === usdcBank.tokenIndex) {
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continue;
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}
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// Sum of all liabs, these liabs would be acquired by liqor,
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// who would immediately want to reduce them to 0
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// Assuming liabs need to be bought using USDC
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const liabs =
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// Max liab of a particular token that would be liquidated to bring health above 0
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mangoAccountsWithHealth.reduce((sum, a) => {
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// How much would health increase for every unit liab moved to liqor
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// liabprice * (liabweight - (1+fee)*assetweight)
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const tokenLiabHealthContrib = bank.price.mul(
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bank.initLiabWeight.sub(
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ONE_I80F48().add(bank.liquidationFee).mul(usdcBank.initAssetWeight),
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),
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);
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// Abs liab/borrow
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const maxTokenLiab = a.account
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.getEffectiveTokenBalance(group, bank)
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.min(ZERO_I80F48())
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.abs();
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// Health under 0
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const maxLiab = a.health
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.min(ZERO_I80F48())
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.abs()
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.div(tokenLiabHealthContrib)
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.min(maxTokenLiab);
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return sum.add(maxLiab);
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}, ZERO_I80F48());
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const liabsInUsdc =
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// convert to usdc, this is an approximation
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liabs
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.mul(bank.price)
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.floor()
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// jup oddity
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.min(I80F48.fromNumber(99999999999));
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const pi1 = !liabsInUsdc.eq(ZERO_I80F48())
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? await computePriceImpactOnJup(
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liabsInUsdc.toString(),
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USDC_MINT,
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bank.mint.toBase58(),
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)
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: { priceImpactPct: 0, outAmount: 0 };
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// Sum of all assets which would be acquired in exchange for also acquiring
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// liabs by the liqor, who would immediately want to reduce to 0
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// Assuming assets need to be sold to USDC
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const assets = mangoAccountsWithHealth.reduce((sum, a) => {
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// How much would health increase for every unit liab moved to liqor
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// assetprice * (liabweight/(1+liabliqfee) - assetweight)
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const liabBank = Array.from(group.banksMapByTokenIndex.values())
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.flat()
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.reduce((prev, curr) =>
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prev.initLiabWeight.lt(curr.initLiabWeight) ? prev : curr,
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);
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const tokenAssetHealthContrib = bank.price.mul(
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liabBank.initLiabWeight
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.div(ONE_I80F48().add(liabBank.liquidationFee))
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.sub(bank.initAssetWeight),
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);
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// Abs collateral/asset
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const maxTokenHealthAsset = a.account
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.getEffectiveTokenBalance(group, bank)
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.max(ZERO_I80F48());
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const maxAsset = a.health
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.min(ZERO_I80F48())
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.abs()
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.div(tokenAssetHealthContrib)
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.min(maxTokenHealthAsset);
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return sum.add(maxAsset);
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}, ZERO_I80F48());
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const pi2 = !assets.eq(ZERO_I80F48())
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? await computePriceImpactOnJup(
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assets.floor().toString(),
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bank.mint.toBase58(),
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USDC_MINT,
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)
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: { priceImpactPct: 0 };
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table.addRow({
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Coin: bank.name,
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'Oracle Price':
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bank['oldUiPrice'] < 0.1
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? bank['oldUiPrice']
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: bank['oldUiPrice'].toFixed(2),
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'On-Chain Price':
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onChainPrice < 0.1 ? onChainPrice : onChainPrice.toFixed(2),
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'Future Price':
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bank._uiPrice! < 0.1 ? bank._uiPrice! : bank._uiPrice!.toFixed(2),
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'V4 Liq Fee': (bank.liquidationFee.toNumber() * 100).toFixed(2) + '%',
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Liabs: toUiDecimalsForQuote(liabsInUsdc).toLocaleString() + '$',
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'Liabs slippage': (pi1.priceImpactPct * 100).toFixed(2) + '%',
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'Assets Sum':
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(
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toUiDecimals(assets, bank.mintDecimals) * bank.uiPrice
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).toLocaleString() + '$',
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'Assets Slippage': (pi2.priceImpactPct * 100).toFixed(2) + '%',
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});
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}
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const msg = title + '\n```\n' + table.render() + '\n```';
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console.log(msg);
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console.log();
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}
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async function computePerpPositionsToBeLiquidated(
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group: Group,
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mangoAccounts: MangoAccount[],
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healthThresh: number,
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title: string,
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): Promise<void> {
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const mangoAccountsWithHealth = mangoAccounts
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.map((a: MangoAccount) => {
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return {
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account: a,
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health: a.getHealth(group, HealthType.liquidationEnd),
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healthRatio: a.getHealthRatioUi(group, HealthType.liquidationEnd),
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liabs: toUiDecimalsForQuote(
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a.getLiabsValue(group, HealthType.liquidationEnd),
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),
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};
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})
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.filter((a) => a.healthRatio < healthThresh);
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const table = new Table({
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columns: [
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{ name: 'Market', alignment: 'right' },
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{ name: 'Price', alignment: 'right' },
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{ name: 'Future Price', alignment: 'right' },
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{ name: 'Notional Position', alignment: 'right' },
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],
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});
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for (const pm of Array.from(
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group.perpMarketsMapByMarketIndex.values(),
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).filter((pm) => !pm.name.includes('OLD'))) {
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const baseLots = mangoAccountsWithHealth
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.filter((a) => a.account.getPerpPosition(pm.perpMarketIndex))
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.reduce((sum, a) => {
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const baseLots = a.account.getPerpPosition(
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pm.perpMarketIndex,
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)!.basePositionLots;
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const unweightedHealthPerLot = baseLots.gt(new BN(0))
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? I80F48.fromNumber(-1)
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.mul(pm.price)
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.mul(I80F48.fromU64(pm.baseLotSize))
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.mul(pm.initBaseAssetWeight)
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.add(
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I80F48.fromU64(pm.baseLotSize)
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.mul(pm.price)
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.mul(
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ONE_I80F48() // quoteInitAssetWeight
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.mul(ONE_I80F48().sub(pm.baseLiquidationFee)),
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),
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)
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: pm.price
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.mul(I80F48.fromU64(pm.baseLotSize))
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.mul(pm.initBaseLiabWeight)
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.sub(
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I80F48.fromU64(pm.baseLotSize)
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.mul(pm.price)
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.mul(ONE_I80F48()) // quoteInitLiabWeight
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.mul(ONE_I80F48().add(pm.baseLiquidationFee)),
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);
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const maxBaseLots = a.health
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.min(ZERO_I80F48())
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.abs()
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.div(unweightedHealthPerLot.abs())
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.min(I80F48.fromU64(baseLots).abs());
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return sum.add(maxBaseLots);
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}, ONE_I80F48());
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const notionalPositionUi = toUiDecimalsForQuote(
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baseLots.mul(I80F48.fromU64(pm.baseLotSize).mul(pm.price)),
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);
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table.addRow({
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Market: pm.name,
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Price:
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pm['oldUiPrice'] < 0.1 ? pm['oldUiPrice'] : pm['oldUiPrice'].toFixed(2),
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'Future Price':
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pm._uiPrice! < 0.1 ? pm._uiPrice! : pm._uiPrice!.toFixed(2),
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'Notional Position': notionalPositionUi.toLocaleString() + '$',
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});
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}
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const msg = title + '\n```\n' + table.render() + '\n```';
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console.log(msg);
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console.log();
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}
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async function logLiqorEquity(
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client: MangoClient,
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group: Group,
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mangoAccounts: PublicKey[],
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title: string,
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): Promise<void> {
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const table = new Table({
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columns: [
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{ name: 'Account', alignment: 'right' },
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{ name: 'Equity', alignment: 'right' },
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],
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});
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// Filter mango accounts which might be closed
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const liqors = (
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await client.connection.getMultipleAccountsInfo(mangoAccounts)
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)
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.map((ai, i) => {
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return { ai: ai, pk: mangoAccounts[i] };
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})
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.filter((val) => val.ai)
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.map((val) => val.pk);
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const liqorMangoAccounts = await Promise.all(
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liqors.map((liqor) => client.getMangoAccount(liqor, true)),
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);
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liqorMangoAccounts.forEach((a: MangoAccount) => {
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table.addRow({
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Account: a.publicKey.toBase58(),
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Equity: toUiDecimalsForQuote(a.getEquity(group)).toLocaleString() + '$',
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});
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});
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const msg = title + '\n```\n' + table.render() + '\n```';
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console.log(msg);
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console.log();
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}
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async function main(): Promise<void> {
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const client = await buildClient();
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const group = await client.getGroup(new PublicKey(GROUP_PK));
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const mangoAccounts = await client.getAllMangoAccounts(group, true);
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const change = 0.4;
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const drop = 1 - change;
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const groupBear: Group = cloneDeep(group);
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Array.from(groupBear.banksMapByTokenIndex.values())
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.flat()
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.forEach((b) => {
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b['oldUiPrice'] = b._uiPrice;
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b._uiPrice = b._uiPrice! * drop;
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b._price = b._price?.mul(I80F48.fromNumber(drop));
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});
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Array.from(groupBear.perpMarketsMapByMarketIndex.values()).forEach((p) => {
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p['oldUiPrice'] = p._uiPrice;
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p._uiPrice = p._uiPrice! * drop;
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p._price = p._price?.mul(I80F48.fromNumber(drop));
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});
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const rally = 1 + change;
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const groupBull: Group = cloneDeep(group);
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Array.from(groupBull.banksMapByTokenIndex.values())
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.flat()
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.forEach((b) => {
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b['oldUiPrice'] = b._uiPrice;
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b._uiPrice = b._uiPrice! * rally;
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b._price = b._price?.mul(I80F48.fromNumber(rally));
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});
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Array.from(groupBull.perpMarketsMapByMarketIndex.values()).forEach((p) => {
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p['oldUiPrice'] = p._uiPrice;
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p._uiPrice = p._uiPrice! * rally;
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p._price = p._price?.mul(I80F48.fromNumber(rally));
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});
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const healthThresh = 0;
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let tableName = `Liqors acquire liabs and assets. The assets and liabs are sum of max assets and max
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liabs for any token which would be liquidated to fix the health of a mango account.
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This would be the slippage they would face on buying-liabs/offloading-assets tokens acquired from unhealth accounts after a`;
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await computePriceImpactForLiqor(
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groupBear,
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mangoAccounts,
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healthThresh,
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`Table 1a: ${tableName} 20% drop`,
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);
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await computePriceImpactForLiqor(
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groupBull,
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mangoAccounts,
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healthThresh,
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`Table 1b: ${tableName} 20% rally`,
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);
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tableName = 'Perp notional that liqor need to liquidate after a ';
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await computePerpPositionsToBeLiquidated(
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groupBear,
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mangoAccounts,
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healthThresh,
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`Table 2a: ${tableName} 20% drop`,
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);
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await computePerpPositionsToBeLiquidated(
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groupBull,
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mangoAccounts,
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healthThresh,
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`Table 2b: ${tableName} 20% rally`,
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);
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await logLiqorEquity(
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client,
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group,
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(
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await (
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await fetch(
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`https://api.mngo.cloud/data/v4/stats/liqors-over_period?over_period=1MONTH`, // alternative - 1WEEK,
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)
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).json()
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).map((data) => new PublicKey(data['liqor'])),
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`Table 3: Equity of known liqors from last month`,
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);
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await logLiqorEquity(
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client,
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group,
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[
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new PublicKey('CtHuPg2ctVVV7nqmvVEcMtcWyJAgtZw9YcNHFQidjPgF'),
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new PublicKey('F1SZxEDxxCSLVjEBbMEjDYqajWRJQRCZBwPQnmcVvTLV'),
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new PublicKey('BGYWnqfaauCeebFQXEfYuDCktiVG8pqpprrsD4qfqL53'),
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new PublicKey('9XJt2tvSZghsMAhWto1VuPBrwXsiimPtsTR8XwGgDxK2'),
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],
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`Table 4: Equity of known makers from last month`,
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);
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// TODO warning when wrapper asset on chain price has too much difference to oracle
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// TODO warning when slippage is higher than liquidation fee
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// TODO warning when liqors equity is too low
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// TODO warning when mm equity is too low
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// TODO all awaits are linear, should be parallelised to speed up script
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}
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main();
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