1717 lines
55 KiB
TypeScript
1717 lines
55 KiB
TypeScript
import { BN } from '@coral-xyz/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 cloneDeep from 'lodash/cloneDeep';
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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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ONE_I80F48,
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ZERO_I80F48,
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} from '../numbers/I80F48';
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import { toNativeI80F48ForQuote } from '../utils';
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import { Bank, BankForHealth, TokenIndex } from './bank';
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import { Group } from './group';
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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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computeSerum3Reservations(healthType: HealthType): {
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tokenMaxReserved: I80F48[];
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serum3Reserved: Serum3Reserved[];
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} {
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// For each token, compute the sum of serum-reserved amounts over all markets.
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const tokenMaxReserved = new Array(this.tokenInfos.length)
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.fill(null)
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.map((ignored) => ZERO_I80F48());
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// For each serum market, compute what happened if reserved_base was converted to quote
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// or reserved_quote was converted to base.
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const serum3Reserved: Serum3Reserved[] = [];
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for (const info of this.serum3Infos) {
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const quote = this.tokenInfos[info.quoteIndex];
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const base = this.tokenInfos[info.baseIndex];
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const reservedBase = info.reservedBase;
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const reservedQuote = info.reservedQuote;
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const quoteAsset = quote.prices.asset(healthType);
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const baseLiab = base.prices.liab(healthType);
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const allReservedAsBase = reservedBase.add(
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reservedQuote.mul(quoteAsset).div(baseLiab),
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);
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const baseAsset = base.prices.asset(healthType);
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const quoteLiab = quote.prices.liab(healthType);
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const allReservedAsQuote = reservedQuote.add(
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reservedBase.mul(baseAsset).div(quoteLiab),
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);
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const baseMaxReserved = tokenMaxReserved[info.baseIndex];
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baseMaxReserved.iadd(allReservedAsBase);
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const quoteMaxReserved = tokenMaxReserved[info.quoteIndex];
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quoteMaxReserved.iadd(allReservedAsQuote);
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serum3Reserved.push(
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new Serum3Reserved(allReservedAsBase, allReservedAsQuote),
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);
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}
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return {
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tokenMaxReserved: tokenMaxReserved,
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serum3Reserved: serum3Reserved,
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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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const res = this.computeSerum3Reservations(healthType);
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for (const [index, serum3Info] of this.serum3Infos.entries()) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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res.tokenMaxReserved,
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res.serum3Reserved[index],
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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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// Note: only considers positive perp pnl contributions, see program code for more reasoning
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public perpSettleHealth(): 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.maint);
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// console.log(` - ti ${contrib}`);
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health.iadd(contrib);
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}
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const res = this.computeSerum3Reservations(HealthType.maint);
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for (const [index, serum3Info] of this.serum3Infos.entries()) {
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const contrib = serum3Info.healthContribution(
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HealthType.maint,
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this.tokenInfos,
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res.tokenMaxReserved,
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res.serum3Reserved[index],
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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 positiveContrib = perpInfo
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.healthContribution(HealthType.maint)
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.max(ZERO_I80F48());
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// console.log(` - pi ${positiveContrib}`);
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health.iadd(positiveContrib);
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}
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return health;
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}
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// An undefined HealthType will use an asset and liab weight of 1
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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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const res = this.computeSerum3Reservations(HealthType.maint);
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for (const [index, serum3Info] of this.serum3Infos.entries()) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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res.tokenMaxReserved,
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res.serum3Reserved[index],
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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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// An undefined HealthType will use an asset and liab weight of 1
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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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const res = this.computeSerum3Reservations(HealthType.maint);
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for (const [index, serum3Info] of this.serum3Infos.entries()) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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res.tokenMaxReserved,
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res.serum3Reserved[index],
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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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// console.log(` - ti contrib ${contrib.toLocaleString()}`);
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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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const res = this.computeSerum3Reservations(HealthType.maint);
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for (const [index, serum3Info] of this.serum3Infos.entries()) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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res.tokenMaxReserved,
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res.serum3Reserved[index],
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);
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// console.log(` - si contrib ${contrib.toLocaleString()}`);
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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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// console.log(` - pi contrib ${contrib.toLocaleString()}`);
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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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// console.log(
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// ` - assets ${assets.toLocaleString()}, liabs ${liabs.toLocaleString()}`,
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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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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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// TODO: this will no longer work as easily because of the health weight changes
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adjustedCache.tokenInfos[changeIndex].balanceNative.iadd(
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change.nativeTokenAmount,
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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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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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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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|
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const baseEntry = this.tokenInfos[baseEntryIndex];
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const quoteEntry = this.tokenInfos[quoteEntryIndex];
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|
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// Apply it to the tokens
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baseEntry.balanceNative.iadd(freeBaseChange);
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quoteEntry.balanceNative.iadd(freeQuoteChange);
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|
|
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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.reservedBase.iadd(reservedBaseChange);
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serum3Info.reservedQuote.iadd(reservedQuoteChange);
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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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|
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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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|
|
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// Reduce token balance for quote
|
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adjustedCache.tokenInfos[quoteIndex].balanceNative.isub(
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bidNativeQuoteAmount,
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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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}
|
|
|
|
simHealthRatioWithSerum3AskChanges(
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baseBank: BankForHealth,
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quoteBank: BankForHealth,
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askNativeBaseAmount: I80F48,
|
|
serum3Market: Serum3Market,
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healthType: HealthType = HealthType.init,
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): I80F48 {
|
|
const adjustedCache: HealthCache = cloneDeep(this);
|
|
const baseIndex = adjustedCache.getOrCreateTokenInfoIndex(baseBank);
|
|
|
|
// Move token balance to reserved funds in open orders,
|
|
// essentially simulating a place order
|
|
|
|
// Reduce token balance for base
|
|
adjustedCache.tokenInfos[baseIndex].balanceNative.isub(askNativeBaseAmount);
|
|
|
|
// Increase reserved in Serum3Info for base
|
|
adjustedCache.adjustSerum3Reserved(
|
|
baseBank,
|
|
quoteBank,
|
|
serum3Market,
|
|
askNativeBaseAmount,
|
|
ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
);
|
|
return adjustedCache.healthRatio(healthType);
|
|
}
|
|
|
|
findPerpInfoIndex(perpMarketIndex: number): number {
|
|
return this.perpInfos.findIndex(
|
|
(perpInfo) => perpInfo.perpMarketIndex === perpMarketIndex,
|
|
);
|
|
}
|
|
|
|
getOrCreatePerpInfoIndex(perpMarket: PerpMarket): number {
|
|
const index = this.findPerpInfoIndex(perpMarket.perpMarketIndex);
|
|
if (index == -1) {
|
|
this.perpInfos.push(PerpInfo.emptyFromPerpMarket(perpMarket));
|
|
}
|
|
return this.findPerpInfoIndex(perpMarket.perpMarketIndex);
|
|
}
|
|
|
|
adjustPerpInfo(
|
|
perpInfoIndex: number,
|
|
price: I80F48,
|
|
side: PerpOrderSide,
|
|
newOrderBaseLots: BN,
|
|
): void {
|
|
if (side == PerpOrderSide.bid) {
|
|
this.perpInfos[perpInfoIndex].baseLots.iadd(newOrderBaseLots);
|
|
this.perpInfos[perpInfoIndex].quote.isub(
|
|
I80F48.fromI64(newOrderBaseLots)
|
|
.mul(I80F48.fromI64(this.perpInfos[perpInfoIndex].baseLotSize))
|
|
.mul(price),
|
|
);
|
|
} else {
|
|
this.perpInfos[perpInfoIndex].baseLots.isub(newOrderBaseLots);
|
|
this.perpInfos[perpInfoIndex].quote.iadd(
|
|
I80F48.fromI64(newOrderBaseLots)
|
|
.mul(I80F48.fromI64(this.perpInfos[perpInfoIndex].baseLotSize))
|
|
.mul(price),
|
|
);
|
|
}
|
|
}
|
|
|
|
simHealthRatioWithPerpOrderChanges(
|
|
perpMarket: PerpMarket,
|
|
existingPerpPosition: PerpPosition,
|
|
side: PerpOrderSide,
|
|
baseLots: BN,
|
|
price: I80F48,
|
|
healthType: HealthType = HealthType.init,
|
|
): I80F48 {
|
|
const clonedHealthCache: HealthCache = cloneDeep(this);
|
|
const perpInfoIndex =
|
|
clonedHealthCache.getOrCreatePerpInfoIndex(perpMarket);
|
|
clonedHealthCache.adjustPerpInfo(perpInfoIndex, price, side, baseLots);
|
|
return clonedHealthCache.healthRatio(healthType);
|
|
}
|
|
|
|
public logHealthCache(debug: string): void {
|
|
if (debug) console.log(debug);
|
|
for (const token of this.tokenInfos) {
|
|
console.log(` ${token.toString()}`);
|
|
}
|
|
const res = this.computeSerum3Reservations(HealthType.maint);
|
|
for (const [index, serum3Info] of this.serum3Infos.entries()) {
|
|
console.log(
|
|
` ${serum3Info.toString(
|
|
this.tokenInfos,
|
|
res.tokenMaxReserved,
|
|
res.serum3Reserved[index],
|
|
)}`,
|
|
);
|
|
}
|
|
console.log(
|
|
` assets ${this.assets(HealthType.init)}, liabs ${this.liabs(
|
|
HealthType.init,
|
|
)}, `,
|
|
);
|
|
console.log(` health(HealthType.init) ${this.health(HealthType.init)}`);
|
|
console.log(
|
|
` healthRatio(HealthType.init) ${this.healthRatio(HealthType.init)}`,
|
|
);
|
|
}
|
|
|
|
private static scanRightUntilLessThan(
|
|
start: I80F48,
|
|
target: I80F48,
|
|
fun: (amount: I80F48) => I80F48,
|
|
): I80F48 {
|
|
const maxIterations = 20;
|
|
let current = start;
|
|
// console.log(`scanRightUntilLessThan, start ${start.toLocaleString()}`);
|
|
for (const key of Array(maxIterations).fill(0).keys()) {
|
|
const value = fun(current);
|
|
if (value.lt(target)) {
|
|
return current;
|
|
}
|
|
// console.log(
|
|
// ` - current ${current.toLocaleString()}, value ${value.toLocaleString()}, target ${target.toLocaleString()}`,
|
|
// );
|
|
current = current.max(ONE_I80F48()).mul(I80F48.fromNumber(2));
|
|
}
|
|
throw new Error('Could not find amount that led to health ratio <=0');
|
|
}
|
|
|
|
/// This is not a generic function. It assumes there is a unique maximum between left and right.
|
|
private static findMaximum(
|
|
left: I80F48,
|
|
right: I80F48,
|
|
minStep: I80F48,
|
|
fun: (I80F48) => I80F48,
|
|
): I80F48[] {
|
|
const half = I80F48.fromNumber(0.5);
|
|
let mid = half.mul(left.add(right));
|
|
let leftValue = fun(left);
|
|
let rightValue = fun(right);
|
|
let midValue = fun(mid);
|
|
while (right.sub(left).gt(minStep)) {
|
|
if (leftValue.gte(midValue)) {
|
|
// max must be between left and mid
|
|
right = mid;
|
|
rightValue = midValue;
|
|
mid = half.mul(left.add(mid));
|
|
midValue = fun(mid);
|
|
} else if (midValue.lte(rightValue)) {
|
|
// max must be between mid and right
|
|
left = mid;
|
|
leftValue = midValue;
|
|
mid = half.mul(mid.add(right));
|
|
midValue = fun(mid);
|
|
} else {
|
|
// mid is larger than both left and right, max could be on either side
|
|
const leftmid = half.mul(left.add(mid));
|
|
const leftMidValue = fun(leftmid);
|
|
if (leftMidValue.gte(midValue)) {
|
|
// max between left and mid
|
|
right = mid;
|
|
rightValue = midValue;
|
|
mid = leftmid;
|
|
midValue = leftMidValue;
|
|
continue;
|
|
}
|
|
|
|
const rightmid = half.mul(mid.add(right));
|
|
const rightMidValue = fun(rightmid);
|
|
if (rightMidValue.gte(midValue)) {
|
|
// max between mid and right
|
|
left = mid;
|
|
leftValue = midValue;
|
|
mid = rightmid;
|
|
midValue = rightMidValue;
|
|
continue;
|
|
}
|
|
|
|
// max between leftmid and rightmid
|
|
left = leftmid;
|
|
leftValue = leftMidValue;
|
|
right = rightmid;
|
|
rightValue = rightMidValue;
|
|
}
|
|
}
|
|
|
|
if (leftValue.gte(midValue)) {
|
|
return [left, leftValue];
|
|
} else if (midValue.gte(rightValue)) {
|
|
return [mid, midValue];
|
|
} else {
|
|
return [right, rightValue];
|
|
}
|
|
}
|
|
|
|
private static binaryApproximationSearch(
|
|
left: I80F48,
|
|
leftValue: I80F48,
|
|
right: I80F48,
|
|
targetValue: I80F48,
|
|
minStep: I80F48,
|
|
fun: (I80F48) => I80F48,
|
|
): I80F48 {
|
|
const maxIterations = 50;
|
|
const targetError = I80F48.fromNumber(0.1);
|
|
const rightValue = fun(right);
|
|
|
|
// console.log(
|
|
// ` - binaryApproximationSearch left ${left.toLocaleString()}, leftValue ${leftValue.toLocaleString()}, right ${right.toLocaleString()}, rightValue ${rightValue.toLocaleString()}, targetValue ${targetValue.toLocaleString()}`,
|
|
// );
|
|
|
|
if (
|
|
(leftValue.sub(targetValue).isPos() &&
|
|
rightValue.sub(targetValue).isPos()) ||
|
|
(leftValue.sub(targetValue).isNeg() &&
|
|
rightValue.sub(targetValue).isNeg())
|
|
) {
|
|
throw new Error(
|
|
`Internal error: left ${leftValue.toNumber()} and right ${rightValue.toNumber()} don't contain the target value ${targetValue.toNumber()}!`,
|
|
);
|
|
}
|
|
|
|
let newAmount, newAmountValue;
|
|
// eslint-disable-next-line @typescript-eslint/no-unused-vars
|
|
for (const key of Array(maxIterations).fill(0).keys()) {
|
|
if (right.sub(left).abs().lt(minStep)) {
|
|
return left;
|
|
}
|
|
newAmount = left.add(right).mul(I80F48.fromNumber(0.5));
|
|
newAmountValue = fun(newAmount);
|
|
// console.log(
|
|
// ` - left ${left.toLocaleString()}, right ${right.toLocaleString()}, newAmount ${newAmount.toLocaleString()}, newAmountValue ${newAmountValue.toLocaleString()}, targetValue ${targetValue.toLocaleString()}`,
|
|
// );
|
|
const error = newAmountValue.sub(targetValue);
|
|
if (error.isPos() && error.lt(targetError)) {
|
|
return newAmount;
|
|
}
|
|
if (newAmountValue.gt(targetValue) != rightValue.gt(targetValue)) {
|
|
left = newAmount;
|
|
} else {
|
|
right = newAmount;
|
|
}
|
|
}
|
|
|
|
console.error(
|
|
`Unable to get targetValue within ${maxIterations} iterations, newAmount ${newAmount}, newAmountValue ${newAmountValue}, target ${targetValue}`,
|
|
);
|
|
|
|
return newAmount;
|
|
}
|
|
|
|
getMaxSwapSource(
|
|
sourceBank: BankForHealth,
|
|
targetBank: BankForHealth,
|
|
price: I80F48,
|
|
): I80F48 {
|
|
const health = this.health(HealthType.init);
|
|
if (health.isNeg()) {
|
|
return this.getMaxSwapSourceForHealth(
|
|
sourceBank,
|
|
targetBank,
|
|
price,
|
|
toNativeI80F48ForQuote(1), // target 1 ui usd worth health
|
|
);
|
|
}
|
|
return this.getMaxSwapSourceForHealthRatio(
|
|
sourceBank,
|
|
targetBank,
|
|
price,
|
|
I80F48.fromNumber(2), // target 2% health
|
|
);
|
|
}
|
|
|
|
getMaxSwapSourceForHealthRatio(
|
|
sourceBank: BankForHealth,
|
|
targetBank: BankForHealth,
|
|
price: I80F48,
|
|
minRatio: I80F48,
|
|
): I80F48 {
|
|
return this.getMaxSwapSourceForHealthFn(
|
|
sourceBank,
|
|
targetBank,
|
|
price,
|
|
minRatio,
|
|
function (hc: HealthCache): I80F48 {
|
|
return hc.healthRatio(HealthType.init);
|
|
},
|
|
);
|
|
}
|
|
|
|
getMaxSwapSourceForHealth(
|
|
sourceBank: BankForHealth,
|
|
targetBank: BankForHealth,
|
|
price: I80F48,
|
|
minHealth: I80F48,
|
|
): I80F48 {
|
|
return this.getMaxSwapSourceForHealthFn(
|
|
sourceBank,
|
|
targetBank,
|
|
price,
|
|
minHealth,
|
|
function (hc: HealthCache): I80F48 {
|
|
return hc.health(HealthType.init);
|
|
},
|
|
);
|
|
}
|
|
|
|
getMaxSwapSourceForHealthFn(
|
|
sourceBank: BankForHealth,
|
|
targetBank: BankForHealth,
|
|
price: I80F48,
|
|
minFnValue: I80F48,
|
|
targetFn: (cache) => I80F48,
|
|
): I80F48 {
|
|
if (
|
|
sourceBank.initLiabWeight
|
|
.sub(targetBank.initAssetWeight)
|
|
.abs()
|
|
.lte(ZERO_I80F48())
|
|
) {
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
// The health and health_ratio are 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 value is < minRatio it can be useful to swap to *increase* health
|
|
// - even if initial value is < 0, swapping can increase health (maybe above 0)
|
|
// - be careful about finding the minFnValue: the function isn't convex
|
|
|
|
const initialRatio = this.healthRatio(HealthType.init);
|
|
// eslint-disable-next-line @typescript-eslint/no-unused-vars
|
|
|
|
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];
|
|
|
|
const res = healthCacheClone.computeSerum3Reservations(HealthType.init);
|
|
const sourceReserved = res.tokenMaxReserved[sourceIndex];
|
|
const targetReserved = res.tokenMaxReserved[targetIndex];
|
|
|
|
// 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 = source.initLiabWeight
|
|
.neg()
|
|
.mul(source.prices.liab(HealthType.init))
|
|
.add(
|
|
target.initAssetWeight
|
|
.mul(target.prices.asset(HealthType.init))
|
|
.mul(price),
|
|
);
|
|
|
|
if (finalHealthSlope.gte(ZERO_I80F48())) {
|
|
return MAX_I80F48();
|
|
}
|
|
|
|
// 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);
|
|
// adjustedCache.logHealthCache('beforeSwap', adjustedCache);
|
|
// TODO: make a copy of the bank, apply amount, recompute weights,
|
|
// and set the new weights on the tokenInfos
|
|
adjustedCache.tokenInfos[sourceIndex].balanceNative.isub(amount);
|
|
adjustedCache.tokenInfos[targetIndex].balanceNative.iadd(
|
|
amount.mul(price),
|
|
);
|
|
// adjustedCache.logHealthCache('afterSwap', adjustedCache);
|
|
return adjustedCache;
|
|
}
|
|
|
|
function fnValueAfterSwap(amount: I80F48): I80F48 {
|
|
return targetFn(cacheAfterSwap(amount));
|
|
}
|
|
|
|
// The function we're looking at has a unique maximum.
|
|
//
|
|
// If we discount serum3 reservations, 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.
|
|
//
|
|
// The first thing we do is to find this maximum.
|
|
|
|
// The largest amount that the maximum could be at
|
|
const rightmost = source.balanceNative
|
|
.abs()
|
|
.add(sourceReserved)
|
|
.max(target.balanceNative.abs().add(targetReserved).div(price));
|
|
const [amountForMaxValue, maxValue] = HealthCache.findMaximum(
|
|
ZERO_I80F48(),
|
|
rightmost,
|
|
I80F48.fromNumber(0.1),
|
|
fnValueAfterSwap,
|
|
);
|
|
|
|
if (maxValue.lte(minFnValue)) {
|
|
// We cannot reach min_ratio, just return the max
|
|
return amountForMaxValue;
|
|
}
|
|
|
|
let amount: I80F48;
|
|
|
|
// Now max_value is bigger than minFnValue, the target amount must be >amountForMaxValue.
|
|
// Search to the right of amountForMaxValue: but how far?
|
|
// Use a simple estimation for the amount that would lead to zero health:
|
|
// health
|
|
// - source_liab_weight * source_liab_price * a
|
|
// + target_asset_weight * target_asset_price * price * a = 0.
|
|
// where a is the source token native amount.
|
|
// Note that this is just an estimate. Swapping can increase the amount that serum3
|
|
// reserved contributions offset, moving the actual zero point further to the right.
|
|
const healthAtMaxValue = cacheAfterSwap(amountForMaxValue).health(
|
|
HealthType.init,
|
|
);
|
|
if (healthAtMaxValue.lte(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
const zeroHealthEstimate = amountForMaxValue.sub(
|
|
healthAtMaxValue.div(finalHealthSlope),
|
|
);
|
|
const rightBound = HealthCache.scanRightUntilLessThan(
|
|
zeroHealthEstimate,
|
|
minFnValue,
|
|
fnValueAfterSwap,
|
|
);
|
|
if (rightBound.eq(zeroHealthEstimate)) {
|
|
amount = HealthCache.binaryApproximationSearch(
|
|
amountForMaxValue,
|
|
maxValue,
|
|
rightBound,
|
|
minFnValue,
|
|
I80F48.fromNumber(0.1),
|
|
fnValueAfterSwap,
|
|
);
|
|
} else {
|
|
// Must be between 0 and point0_amount
|
|
amount = HealthCache.binaryApproximationSearch(
|
|
zeroHealthEstimate,
|
|
fnValueAfterSwap(zeroHealthEstimate),
|
|
rightBound,
|
|
minFnValue,
|
|
I80F48.fromNumber(0.1),
|
|
fnValueAfterSwap,
|
|
);
|
|
}
|
|
|
|
return amount;
|
|
}
|
|
|
|
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();
|
|
}
|
|
|
|
// console.log(`getMaxSerum3OrderForHealthRatio`);
|
|
|
|
// 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.balanceNative.lt(ZERO_I80F48())
|
|
? quote.balanceNative.abs().mul(quote.prices.liab(HealthType.init))
|
|
: ZERO_I80F48();
|
|
const max = base.balanceNative
|
|
.mul(base.prices.asset(HealthType.init))
|
|
.max(quoteBorrows);
|
|
zeroAmount = max.add(
|
|
initialHealth
|
|
.add(max.mul(quote.initLiabWeight.sub(base.initAssetWeight)))
|
|
.div(
|
|
base
|
|
.liabWeight(HealthType.init)
|
|
.sub(quote.assetWeight(HealthType.init)),
|
|
),
|
|
);
|
|
// console.log(` - quoteBorrows ${quoteBorrows.toLocaleString()}`);
|
|
// console.log(` - max ${max.toLocaleString()}`);
|
|
} else {
|
|
const baseBorrows = base.balanceNative.lt(ZERO_I80F48())
|
|
? base.balanceNative.abs().mul(base.prices.liab(HealthType.init))
|
|
: ZERO_I80F48();
|
|
const max = quote.balanceNative
|
|
.mul(quote.prices.asset(HealthType.init))
|
|
.max(baseBorrows);
|
|
zeroAmount = max.add(
|
|
initialHealth
|
|
.add(max.mul(base.initLiabWeight.sub(quote.initAssetWeight)))
|
|
.div(
|
|
quote
|
|
.liabWeight(HealthType.init)
|
|
.sub(base.assetWeight(HealthType.init)),
|
|
),
|
|
);
|
|
// console.log(` - baseBorrows ${baseBorrows.toLocaleString()}`);
|
|
// console.log(` - max ${max.toLocaleString()}`);
|
|
}
|
|
|
|
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);
|
|
|
|
// console.log(` - zeroAmount ${zeroAmount.toLocaleString()}`);
|
|
// console.log(` - zeroAmountHealth ${zeroAmountHealth.toLocaleString()}`);
|
|
// console.log(` - zeroAmountRatio ${zeroAmountRatio.toLocaleString()}`);
|
|
|
|
function cacheAfterPlacingOrder(amount: I80F48): HealthCache {
|
|
const adjustedCache: HealthCache = cloneDeep(healthCacheClone);
|
|
// adjustedCache.logHealthCache(` before placing order ${amount}`);
|
|
// TODO: there should also be some issue with oracle vs stable price here;
|
|
// probably better to pass in not the quote amount but the base or quote native amount
|
|
side === Serum3Side.ask
|
|
? adjustedCache.tokenInfos[baseIndex].balanceNative.isub(
|
|
amount.div(base.prices.oracle),
|
|
)
|
|
: adjustedCache.tokenInfos[quoteIndex].balanceNative.isub(
|
|
amount.div(quote.prices.oracle),
|
|
);
|
|
adjustedCache.adjustSerum3Reserved(
|
|
baseBank,
|
|
quoteBank,
|
|
serum3Market,
|
|
side === Serum3Side.ask
|
|
? amount.div(base.prices.oracle)
|
|
: ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
side === Serum3Side.bid
|
|
? amount.div(quote.prices.oracle)
|
|
: ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
);
|
|
// adjustedCache.logHealthCache(' after placing order');
|
|
|
|
return adjustedCache;
|
|
}
|
|
|
|
function healthRatioAfterPlacingOrder(amount: I80F48): I80F48 {
|
|
return cacheAfterPlacingOrder(amount).healthRatio(HealthType.init);
|
|
}
|
|
|
|
const amount = HealthCache.binaryApproximationSearch(
|
|
initialAmount,
|
|
initialRatio,
|
|
zeroAmount,
|
|
minRatio,
|
|
ONE_I80F48(),
|
|
healthRatioAfterPlacingOrder,
|
|
);
|
|
|
|
return amount;
|
|
}
|
|
|
|
getMaxPerpForHealthRatio(
|
|
perpMarket: PerpMarket,
|
|
price,
|
|
side: PerpOrderSide,
|
|
minRatio: 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 = healthCacheClone.getOrCreatePerpInfoIndex(perpMarket);
|
|
const perpInfo = healthCacheClone.perpInfos[perpInfoIndex];
|
|
const prices = perpInfo.prices;
|
|
const baseLotSize = I80F48.fromI64(perpMarket.baseLotSize);
|
|
|
|
// If the price is sufficiently good then health will just increase from trading
|
|
const finalHealthSlope =
|
|
direction == 1
|
|
? perpInfo.initBaseAssetWeight
|
|
.mul(prices.asset(HealthType.init))
|
|
.sub(price)
|
|
: price.sub(
|
|
perpInfo.initBaseLiabWeight.mul(prices.liab(HealthType.init)),
|
|
);
|
|
if (finalHealthSlope.gte(ZERO_I80F48())) {
|
|
return MAX_I80F48();
|
|
}
|
|
|
|
function cacheAfterTrade(baseLots: BN): HealthCache {
|
|
const adjustedCache: HealthCache = cloneDeep(healthCacheClone);
|
|
// adjustedCache.logHealthCache(' -- before trade');
|
|
adjustedCache.adjustPerpInfo(perpInfoIndex, price, side, baseLots);
|
|
// adjustedCache.logHealthCache(' -- after trade');
|
|
return adjustedCache;
|
|
}
|
|
|
|
function healthAfterTrade(baseLots: I80F48): I80F48 {
|
|
return cacheAfterTrade(new BN(baseLots.toNumber())).health(
|
|
HealthType.init,
|
|
);
|
|
}
|
|
function healthRatioAfterTrade(baseLots: I80F48): I80F48 {
|
|
return cacheAfterTrade(new BN(baseLots.toNumber())).healthRatio(
|
|
HealthType.init,
|
|
);
|
|
}
|
|
function healthRatioAfterTradeTrunc(baseLots: I80F48): I80F48 {
|
|
return healthRatioAfterTrade(baseLots.floor());
|
|
}
|
|
|
|
const initialBaseLots = I80F48.fromU64(perpInfo.baseLots);
|
|
|
|
// 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
|
|
|
|
// Need to figure out how many lots to trade to reach zero health (zero_health_amount).
|
|
// We do this by looking at the starting health and the health slope per
|
|
// traded base lot (finalHealthSlope).
|
|
const startCache = cacheAfterTrade(new BN(case1Start.toNumber()));
|
|
const startHealth = startCache.health(HealthType.init);
|
|
if (startHealth.lte(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
// The perp market's contribution to the health above may be capped. But we need to trade
|
|
// enough to fully reduce any positive-pnl buffer. Thus get the uncapped health:
|
|
const perpInfo = startCache.perpInfos[perpInfoIndex];
|
|
const startHealthUncapped = startHealth
|
|
.sub(perpInfo.healthContribution(HealthType.init))
|
|
.add(perpInfo.unweightedHealthContribution(HealthType.init));
|
|
|
|
const zeroHealthAmount = case1Start
|
|
.sub(startHealthUncapped.div(finalHealthSlope).div(baseLotSize))
|
|
.add(ONE_I80F48());
|
|
const zeroHealthRatio = healthRatioAfterTradeTrunc(zeroHealthAmount);
|
|
|
|
baseLots = HealthCache.binaryApproximationSearch(
|
|
case1Start,
|
|
case1StartRatio,
|
|
zeroHealthAmount,
|
|
minRatio,
|
|
ONE_I80F48(),
|
|
healthRatioAfterTradeTrunc,
|
|
);
|
|
} else {
|
|
// Between 0 and case1Start
|
|
baseLots = HealthCache.binaryApproximationSearch(
|
|
ZERO_I80F48(),
|
|
initialRatio,
|
|
case1Start,
|
|
minRatio,
|
|
ONE_I80F48(),
|
|
healthRatioAfterTradeTrunc,
|
|
);
|
|
}
|
|
|
|
return baseLots.floor();
|
|
}
|
|
}
|
|
|
|
export class Prices {
|
|
constructor(public oracle: I80F48, public stable: I80F48) {}
|
|
|
|
public liab(healthType: HealthType | undefined): I80F48 {
|
|
if (
|
|
healthType === HealthType.maint ||
|
|
healthType === HealthType.liquidationEnd ||
|
|
healthType === undefined
|
|
) {
|
|
return this.oracle;
|
|
}
|
|
return this.oracle.max(this.stable);
|
|
}
|
|
|
|
public asset(healthType: HealthType | undefined): I80F48 {
|
|
if (
|
|
healthType === HealthType.maint ||
|
|
healthType === HealthType.liquidationEnd ||
|
|
healthType === undefined
|
|
) {
|
|
return this.oracle;
|
|
}
|
|
return this.oracle.min(this.stable);
|
|
}
|
|
}
|
|
|
|
export class TokenInfo {
|
|
constructor(
|
|
public tokenIndex: TokenIndex,
|
|
public maintAssetWeight: I80F48,
|
|
public initAssetWeight: I80F48,
|
|
public initScaledAssetWeight: I80F48,
|
|
public maintLiabWeight: I80F48,
|
|
public initLiabWeight: I80F48,
|
|
public initScaledLiabWeight: I80F48,
|
|
public prices: Prices,
|
|
public balanceNative: I80F48,
|
|
) {}
|
|
|
|
static fromDto(dto: TokenInfoDto): TokenInfo {
|
|
return new TokenInfo(
|
|
dto.tokenIndex as TokenIndex,
|
|
I80F48.from(dto.maintAssetWeight),
|
|
I80F48.from(dto.initAssetWeight),
|
|
I80F48.from(dto.initScaledAssetWeight),
|
|
I80F48.from(dto.maintLiabWeight),
|
|
I80F48.from(dto.initLiabWeight),
|
|
I80F48.from(dto.initScaledLiabWeight),
|
|
new Prices(
|
|
I80F48.from(dto.prices.oracle),
|
|
I80F48.from(dto.prices.stable),
|
|
),
|
|
I80F48.from(dto.balanceNative),
|
|
);
|
|
}
|
|
|
|
static fromBank(bank: BankForHealth, nativeBalance?: I80F48): TokenInfo {
|
|
const p = new Prices(
|
|
bank.price,
|
|
I80F48.fromNumber(bank.stablePriceModel.stablePrice),
|
|
);
|
|
// Use the liab price for computing weight scaling, because it's pessimistic and
|
|
// causes the most unfavorable scaling.
|
|
const liabPrice = p.liab(HealthType.init);
|
|
return new TokenInfo(
|
|
bank.tokenIndex,
|
|
bank.maintAssetWeight,
|
|
bank.initAssetWeight,
|
|
bank.scaledInitAssetWeight(liabPrice),
|
|
bank.maintLiabWeight,
|
|
bank.initLiabWeight,
|
|
bank.scaledInitLiabWeight(liabPrice),
|
|
p,
|
|
nativeBalance ? nativeBalance : ZERO_I80F48(),
|
|
);
|
|
}
|
|
|
|
assetWeight(healthType: HealthType): I80F48 {
|
|
if (healthType == HealthType.init) {
|
|
return this.initScaledAssetWeight;
|
|
} else if (healthType == HealthType.liquidationEnd) {
|
|
return this.initAssetWeight;
|
|
}
|
|
// healthType == HealthType.maint
|
|
return this.maintAssetWeight;
|
|
}
|
|
|
|
liabWeight(healthType: HealthType): I80F48 {
|
|
if (healthType == HealthType.init) {
|
|
return this.initScaledLiabWeight;
|
|
} else if (healthType == HealthType.liquidationEnd) {
|
|
return this.initLiabWeight;
|
|
}
|
|
// healthType == HealthType.maint
|
|
return this.maintLiabWeight;
|
|
}
|
|
|
|
healthContribution(healthType?: HealthType): I80F48 {
|
|
let weight, price;
|
|
if (healthType === undefined) {
|
|
return this.balanceNative.mul(this.prices.oracle);
|
|
}
|
|
if (this.balanceNative.isNeg()) {
|
|
weight = this.liabWeight(healthType);
|
|
price = this.prices.liab(healthType);
|
|
} else {
|
|
weight = this.assetWeight(healthType);
|
|
price = this.prices.asset(healthType);
|
|
}
|
|
return this.balanceNative.mul(weight).mul(price);
|
|
}
|
|
|
|
toString(): string {
|
|
return ` tokenIndex: ${this.tokenIndex}, balanceNative: ${
|
|
this.balanceNative
|
|
}, initHealth ${this.healthContribution(HealthType.init)}`;
|
|
}
|
|
}
|
|
|
|
export class Serum3Reserved {
|
|
constructor(
|
|
public allReservedAsBase: I80F48,
|
|
public allReservedAsQuote: I80F48,
|
|
) {}
|
|
}
|
|
|
|
export class Serum3Info {
|
|
constructor(
|
|
public reservedBase: I80F48,
|
|
public reservedQuote: I80F48,
|
|
public baseIndex: number,
|
|
public quoteIndex: number,
|
|
public marketIndex: MarketIndex,
|
|
) {}
|
|
|
|
static fromDto(dto: Serum3InfoDto): Serum3Info {
|
|
return new Serum3Info(
|
|
I80F48.from(dto.reservedBase),
|
|
I80F48.from(dto.reservedQuote),
|
|
dto.baseIndex,
|
|
dto.quoteIndex,
|
|
dto.marketIndex as MarketIndex,
|
|
);
|
|
}
|
|
|
|
static emptyFromSerum3Market(
|
|
serum3Market: Serum3Market,
|
|
baseEntryIndex: number,
|
|
quoteEntryIndex: number,
|
|
): Serum3Info {
|
|
return new Serum3Info(
|
|
ZERO_I80F48(),
|
|
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 immediately to token balances
|
|
const baseFree = I80F48.fromI64(oo.baseTokenFree);
|
|
// NOTE: referrerRebatesAccrued is not declared on oo class, but the layout
|
|
// is aware of it
|
|
const quoteFree = I80F48.fromI64(
|
|
oo.quoteTokenFree.add((oo as any).referrerRebatesAccrued),
|
|
);
|
|
baseInfo.balanceNative.iadd(baseFree);
|
|
quoteInfo.balanceNative.iadd(quoteFree);
|
|
|
|
// track the reserved amounts
|
|
const reservedBase = I80F48.fromI64(
|
|
oo.baseTokenTotal.sub(oo.baseTokenFree),
|
|
);
|
|
const reservedQuote = I80F48.fromI64(
|
|
oo.quoteTokenTotal.sub(oo.quoteTokenFree),
|
|
);
|
|
|
|
return new Serum3Info(
|
|
reservedBase,
|
|
reservedQuote,
|
|
baseIndex,
|
|
quoteIndex,
|
|
marketIndex,
|
|
);
|
|
}
|
|
|
|
// An undefined HealthType will use an asset and liab weight of 1
|
|
healthContribution(
|
|
healthType: HealthType | undefined,
|
|
tokenInfos: TokenInfo[],
|
|
tokenMaxReserved: I80F48[],
|
|
marketReserved: Serum3Reserved,
|
|
): I80F48 {
|
|
if (
|
|
marketReserved.allReservedAsBase.isZero() ||
|
|
marketReserved.allReservedAsQuote.isZero()
|
|
) {
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
const baseInfo = tokenInfos[this.baseIndex];
|
|
const quoteInfo = tokenInfos[this.quoteIndex];
|
|
const baseMaxReserved = tokenMaxReserved[this.baseIndex];
|
|
const quoteMaxReserved = tokenMaxReserved[this.quoteIndex];
|
|
|
|
// How much the health would increase if the reserved balance were applied to the passed
|
|
// token info?
|
|
const computeHealthEffect = function (
|
|
tokenInfo: TokenInfo,
|
|
tokenMaxReserved: I80F48,
|
|
marketReserved: I80F48,
|
|
): I80F48 {
|
|
// This balance includes all possible reserved funds from markets that relate to the
|
|
// token, including this market itself: `tokenMaxReserved` is already included in `maxBalance`.
|
|
const maxBalance = tokenInfo.balanceNative.add(tokenMaxReserved);
|
|
|
|
// 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(marketReserved)) {
|
|
assetPart = marketReserved;
|
|
liabPart = ZERO_I80F48();
|
|
} else if (maxBalance.isNeg()) {
|
|
assetPart = ZERO_I80F48();
|
|
liabPart = marketReserved;
|
|
} else {
|
|
assetPart = maxBalance;
|
|
liabPart = marketReserved.sub(maxBalance);
|
|
}
|
|
|
|
if (healthType === undefined) {
|
|
return assetPart
|
|
.mul(tokenInfo.prices.oracle)
|
|
.add(liabPart.mul(tokenInfo.prices.oracle));
|
|
}
|
|
|
|
const assetWeight = tokenInfo.assetWeight(healthType);
|
|
const liabWeight = tokenInfo.liabWeight(healthType);
|
|
const assetPrice = tokenInfo.prices.asset(healthType);
|
|
const liabPrice = tokenInfo.prices.liab(healthType);
|
|
|
|
return assetWeight
|
|
.mul(assetPart)
|
|
.mul(assetPrice)
|
|
.add(liabWeight.mul(liabPart).mul(liabPrice));
|
|
};
|
|
|
|
const healthBase = computeHealthEffect(
|
|
baseInfo,
|
|
baseMaxReserved,
|
|
marketReserved.allReservedAsBase,
|
|
);
|
|
const healthQuote = computeHealthEffect(
|
|
quoteInfo,
|
|
quoteMaxReserved,
|
|
marketReserved.allReservedAsQuote,
|
|
);
|
|
|
|
// console.log(` - healthBase ${healthBase.toLocaleString()}`);
|
|
// console.log(` - healthQuote ${healthQuote.toLocaleString()}`);
|
|
|
|
return healthBase.min(healthQuote);
|
|
}
|
|
|
|
toString(
|
|
tokenInfos: TokenInfo[],
|
|
tokenMaxReserved: I80F48[],
|
|
marketReserved: Serum3Reserved,
|
|
): string {
|
|
return ` marketIndex: ${this.marketIndex}, baseIndex: ${
|
|
this.baseIndex
|
|
}, quoteIndex: ${this.quoteIndex}, reservedBase: ${
|
|
this.reservedBase
|
|
}, reservedQuote: ${
|
|
this.reservedQuote
|
|
}, initHealth ${this.healthContribution(
|
|
HealthType.init,
|
|
tokenInfos,
|
|
tokenMaxReserved,
|
|
marketReserved,
|
|
)}`;
|
|
}
|
|
}
|
|
|
|
export class PerpInfo {
|
|
constructor(
|
|
public perpMarketIndex: number,
|
|
public maintBaseAssetWeight: I80F48,
|
|
public initBaseAssetWeight: I80F48,
|
|
public maintBaseLiabWeight: I80F48,
|
|
public initBaseLiabWeight: I80F48,
|
|
public maintOverallAssetWeight: I80F48,
|
|
public initOverallAssetWeight: I80F48,
|
|
public baseLotSize: BN,
|
|
public baseLots: BN,
|
|
public bidsBaseLots: BN,
|
|
public asksBaseLots: BN,
|
|
public quote: I80F48,
|
|
public prices: Prices,
|
|
public hasOpenOrders: boolean,
|
|
) {}
|
|
|
|
static fromDto(dto: PerpInfoDto): PerpInfo {
|
|
return new PerpInfo(
|
|
dto.perpMarketIndex,
|
|
I80F48.from(dto.maintBaseAssetWeight),
|
|
I80F48.from(dto.initBaseAssetWeight),
|
|
I80F48.from(dto.maintBaseLiabWeight),
|
|
I80F48.from(dto.initBaseLiabWeight),
|
|
I80F48.from(dto.maintOverallAssetWeight),
|
|
I80F48.from(dto.initOverallAssetWeight),
|
|
dto.baseLotSize,
|
|
dto.baseLots,
|
|
dto.bidsBaseLots,
|
|
dto.asksBaseLots,
|
|
I80F48.from(dto.quote),
|
|
new Prices(
|
|
I80F48.from(dto.prices.oracle),
|
|
I80F48.from(dto.prices.stable),
|
|
),
|
|
dto.hasOpenOrders,
|
|
);
|
|
}
|
|
|
|
static fromPerpPosition(
|
|
perpMarket: PerpMarket,
|
|
perpPosition: PerpPosition,
|
|
): PerpInfo {
|
|
const baseLots = perpPosition.basePositionLots.add(
|
|
perpPosition.takerBaseLots,
|
|
);
|
|
const unsettledFunding = perpPosition.getUnsettledFunding(perpMarket);
|
|
|
|
const takerQuote = I80F48.fromI64(
|
|
new BN(perpPosition.takerQuoteLots).mul(perpMarket.quoteLotSize),
|
|
);
|
|
const quoteCurrent = perpPosition.quotePositionNative
|
|
.sub(unsettledFunding)
|
|
.add(takerQuote);
|
|
|
|
return new PerpInfo(
|
|
perpMarket.perpMarketIndex,
|
|
perpMarket.maintBaseAssetWeight,
|
|
perpMarket.initBaseAssetWeight,
|
|
perpMarket.maintBaseLiabWeight,
|
|
perpMarket.initBaseLiabWeight,
|
|
perpMarket.maintOverallAssetWeight,
|
|
perpMarket.initOverallAssetWeight,
|
|
perpMarket.baseLotSize,
|
|
baseLots,
|
|
perpPosition.bidsBaseLots,
|
|
perpPosition.asksBaseLots,
|
|
quoteCurrent,
|
|
new Prices(
|
|
perpMarket.price,
|
|
I80F48.fromNumber(perpMarket.stablePriceModel.stablePrice),
|
|
),
|
|
perpPosition.hasOpenOrders(),
|
|
);
|
|
}
|
|
|
|
healthContribution(healthType: HealthType | undefined): I80F48 {
|
|
const contrib = this.unweightedHealthContribution(healthType);
|
|
if (contrib.gt(ZERO_I80F48())) {
|
|
const assetWeight =
|
|
healthType == HealthType.init || healthType == HealthType.liquidationEnd
|
|
? this.initOverallAssetWeight
|
|
: this.maintOverallAssetWeight;
|
|
return assetWeight.mul(contrib);
|
|
}
|
|
return contrib;
|
|
}
|
|
|
|
unweightedHealthContribution(healthType: HealthType | undefined): I80F48 {
|
|
function orderExecutionCase(
|
|
pi: PerpInfo,
|
|
ordersBaseLots: BN,
|
|
orderPrice: I80F48,
|
|
): I80F48 {
|
|
const netBaseNative = I80F48.fromU64(
|
|
pi.baseLots.add(ordersBaseLots).mul(pi.baseLotSize),
|
|
);
|
|
|
|
let weight, basePrice;
|
|
if (
|
|
healthType == HealthType.init ||
|
|
healthType == HealthType.liquidationEnd
|
|
) {
|
|
if (netBaseNative.isNeg()) {
|
|
weight = pi.initBaseLiabWeight;
|
|
} else {
|
|
weight = pi.initBaseAssetWeight;
|
|
}
|
|
}
|
|
// healthType == HealthType.maint
|
|
else {
|
|
if (netBaseNative.isNeg()) {
|
|
weight = pi.maintBaseLiabWeight;
|
|
} else {
|
|
weight = pi.maintBaseAssetWeight;
|
|
}
|
|
}
|
|
|
|
if (netBaseNative.isNeg()) {
|
|
basePrice = pi.prices.liab(healthType);
|
|
} else {
|
|
basePrice = pi.prices.asset(healthType);
|
|
}
|
|
|
|
// Total value of the order-execution adjusted base position
|
|
const baseHealth = netBaseNative.mul(weight).mul(basePrice);
|
|
|
|
const ordersBaseNative = I80F48.fromU64(
|
|
ordersBaseLots.mul(pi.baseLotSize),
|
|
);
|
|
// The quote change from executing the bids/asks
|
|
const orderQuote = ordersBaseNative.neg().mul(orderPrice);
|
|
|
|
return baseHealth.add(orderQuote);
|
|
}
|
|
|
|
// What is worse: Executing all bids at oracle_price.liab, or executing all asks at oracle_price.asset?
|
|
const bidsCase = orderExecutionCase(
|
|
this,
|
|
this.bidsBaseLots,
|
|
this.prices.liab(healthType),
|
|
);
|
|
const asksCase = orderExecutionCase(
|
|
this,
|
|
this.asksBaseLots.neg(),
|
|
this.prices.asset(healthType),
|
|
);
|
|
const worstCase = bidsCase.min(asksCase);
|
|
|
|
return this.quote.add(worstCase);
|
|
}
|
|
|
|
static emptyFromPerpMarket(perpMarket: PerpMarket): PerpInfo {
|
|
return new PerpInfo(
|
|
perpMarket.perpMarketIndex,
|
|
perpMarket.maintBaseAssetWeight,
|
|
perpMarket.initBaseAssetWeight,
|
|
perpMarket.maintBaseLiabWeight,
|
|
perpMarket.initBaseLiabWeight,
|
|
perpMarket.maintOverallAssetWeight,
|
|
perpMarket.initOverallAssetWeight,
|
|
perpMarket.baseLotSize,
|
|
new BN(0),
|
|
new BN(0),
|
|
new BN(0),
|
|
ZERO_I80F48(),
|
|
new Prices(
|
|
perpMarket.price,
|
|
I80F48.fromNumber(perpMarket.stablePriceModel.stablePrice),
|
|
),
|
|
false,
|
|
);
|
|
}
|
|
|
|
toString(): string {
|
|
return ` perpMarketIndex: ${this.perpMarketIndex}, base: ${
|
|
this.baseLots
|
|
}, quote: ${this.quote}, oraclePrice: ${
|
|
this.prices.oracle
|
|
}, uncapped health contribution ${this.unweightedHealthContribution(
|
|
HealthType.init,
|
|
)}`;
|
|
}
|
|
}
|
|
|
|
export class HealthCacheDto {
|
|
tokenInfos: TokenInfoDto[];
|
|
serum3Infos: Serum3InfoDto[];
|
|
perpInfos: PerpInfoDto[];
|
|
}
|
|
export class TokenInfoDto {
|
|
tokenIndex: number;
|
|
maintAssetWeight: I80F48Dto;
|
|
initAssetWeight: I80F48Dto;
|
|
initScaledAssetWeight: I80F48Dto;
|
|
maintLiabWeight: I80F48Dto;
|
|
initLiabWeight: I80F48Dto;
|
|
initScaledLiabWeight: I80F48Dto;
|
|
prices: { oracle: I80F48Dto; stable: I80F48Dto };
|
|
balanceNative: I80F48Dto;
|
|
|
|
constructor(
|
|
tokenIndex: number,
|
|
maintAssetWeight: I80F48Dto,
|
|
initAssetWeight: I80F48Dto,
|
|
initScaledAssetWeight: I80F48Dto,
|
|
maintLiabWeight: I80F48Dto,
|
|
initLiabWeight: I80F48Dto,
|
|
initScaledLiabWeight: I80F48Dto,
|
|
prices: { oracle: I80F48Dto; stable: I80F48Dto },
|
|
balanceNative: I80F48Dto,
|
|
) {
|
|
this.tokenIndex = tokenIndex;
|
|
this.maintAssetWeight = maintAssetWeight;
|
|
this.initAssetWeight = initAssetWeight;
|
|
this.initScaledAssetWeight = initScaledAssetWeight;
|
|
this.maintLiabWeight = maintLiabWeight;
|
|
this.initLiabWeight = initLiabWeight;
|
|
this.initScaledLiabWeight = initScaledLiabWeight;
|
|
this.prices = prices;
|
|
this.balanceNative = balanceNative;
|
|
}
|
|
}
|
|
|
|
export class Serum3InfoDto {
|
|
reservedBase: I80F48Dto;
|
|
reservedQuote: I80F48Dto;
|
|
baseIndex: number;
|
|
quoteIndex: number;
|
|
marketIndex: number;
|
|
|
|
constructor(
|
|
reservedBase: I80F48Dto,
|
|
reservedQuote: I80F48Dto,
|
|
baseIndex: number,
|
|
quoteIndex: number,
|
|
) {
|
|
this.reservedBase = reservedBase;
|
|
this.reservedQuote = reservedQuote;
|
|
this.baseIndex = baseIndex;
|
|
this.quoteIndex = quoteIndex;
|
|
}
|
|
}
|
|
|
|
export class PerpInfoDto {
|
|
perpMarketIndex: number;
|
|
maintBaseAssetWeight: I80F48Dto;
|
|
initBaseAssetWeight: I80F48Dto;
|
|
maintBaseLiabWeight: I80F48Dto;
|
|
initBaseLiabWeight: I80F48Dto;
|
|
maintOverallAssetWeight: I80F48Dto;
|
|
initOverallAssetWeight: I80F48Dto;
|
|
public baseLotSize: BN;
|
|
public baseLots: BN;
|
|
public bidsBaseLots: BN;
|
|
public asksBaseLots: BN;
|
|
quote: I80F48Dto;
|
|
prices: { oracle: I80F48Dto; stable: I80F48Dto };
|
|
hasOpenOrders: boolean;
|
|
}
|