1594 lines
48 KiB
TypeScript
1594 lines
48 KiB
TypeScript
import { AnchorProvider, BN } from '@coral-xyz/anchor';
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import { utf8 } from '@coral-xyz/anchor/dist/cjs/utils/bytes';
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import { OpenOrders, Order, Orderbook } from '@project-serum/serum/lib/market';
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import { AccountInfo, PublicKey, TransactionSignature } from '@solana/web3.js';
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import { MangoClient } from '../client';
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import { OPENBOOK_PROGRAM_ID, RUST_I64_MAX, RUST_I64_MIN } from '../constants';
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import { I80F48, I80F48Dto, ONE_I80F48, ZERO_I80F48 } from '../numbers/I80F48';
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import { toNativeI80F48, toUiDecimals, toUiDecimalsForQuote } from '../utils';
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import { Bank, TokenIndex } from './bank';
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import { Group } from './group';
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import { HealthCache } from './healthCache';
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import {
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BookSide,
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PerpMarket,
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PerpMarketIndex,
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PerpOrder,
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PerpOrderSide,
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} from './perp';
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import { MarketIndex, Serum3Side } from './serum3';
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export class MangoAccount {
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public name: string;
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public tokens: TokenPosition[];
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public serum3: Serum3Orders[];
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public perps: PerpPosition[];
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public perpOpenOrders: PerpOo[];
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static from(
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publicKey: PublicKey,
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obj: {
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group: PublicKey;
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owner: PublicKey;
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name: number[];
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delegate: PublicKey;
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accountNum: number;
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beingLiquidated: number;
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inHealthRegion: number;
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netDeposits: BN;
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perpSpotTransfers: BN;
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healthRegionBeginInitHealth: BN;
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frozenUntil: BN;
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headerVersion: number;
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tokens: unknown;
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serum3: unknown;
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perps: unknown;
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perpOpenOrders: unknown;
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},
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): MangoAccount {
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return new MangoAccount(
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publicKey,
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obj.group,
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obj.owner,
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obj.name,
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obj.delegate,
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obj.accountNum,
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obj.beingLiquidated == 1,
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obj.inHealthRegion == 1,
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obj.netDeposits,
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obj.perpSpotTransfers,
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obj.healthRegionBeginInitHealth,
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obj.frozenUntil,
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obj.headerVersion,
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obj.tokens as TokenPositionDto[],
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obj.serum3 as Serum3PositionDto[],
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obj.perps as PerpPositionDto[],
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obj.perpOpenOrders as PerpOoDto[],
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new Map(), // serum3OosMapByMarketIndex
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);
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}
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constructor(
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public publicKey: PublicKey,
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public group: PublicKey,
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public owner: PublicKey,
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name: number[],
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public delegate: PublicKey,
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public accountNum: number,
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public beingLiquidated: boolean,
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public inHealthRegion: boolean,
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public netDeposits: BN,
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public perpSpotTransfers: BN,
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public healthRegionBeginInitHealth: BN,
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public frozenUntil: BN,
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public headerVersion: number,
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tokens: TokenPositionDto[],
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serum3: Serum3PositionDto[],
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perps: PerpPositionDto[],
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perpOpenOrders: PerpOoDto[],
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public serum3OosMapByMarketIndex: Map<number, OpenOrders>,
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) {
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this.name = utf8.decode(new Uint8Array(name)).split('\x00')[0];
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this.tokens = tokens.map((dto) => TokenPosition.from(dto));
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this.serum3 = serum3.map((dto) => Serum3Orders.from(dto));
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this.perps = perps.map((dto) => PerpPosition.from(dto));
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this.perpOpenOrders = perpOpenOrders.map((dto) => PerpOo.from(dto));
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}
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public async reload(client: MangoClient): Promise<MangoAccount> {
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const mangoAccount = await client.getMangoAccount(this);
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await mangoAccount.reloadSerum3OpenOrders(client);
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Object.assign(this, mangoAccount);
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return mangoAccount;
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}
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public async reloadWithSlot(
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client: MangoClient,
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): Promise<{ value: MangoAccount; slot: number }> {
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const resp = await client.getMangoAccountWithSlot(this.publicKey);
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await resp?.value.reloadSerum3OpenOrders(client);
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Object.assign(this, resp?.value);
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return { value: resp!.value, slot: resp!.slot };
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}
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async reloadSerum3OpenOrders(client: MangoClient): Promise<MangoAccount> {
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const serum3Active = this.serum3Active();
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const ais =
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await client.program.provider.connection.getMultipleAccountsInfo(
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serum3Active.map((serum3) => serum3.openOrders),
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);
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this.serum3OosMapByMarketIndex = new Map(
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Array.from(
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ais.map((ai, i) => {
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if (!ai) {
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throw new Error(
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`Undefined AI for open orders ${serum3Active[i].openOrders} and market ${serum3Active[i].marketIndex}!`,
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);
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}
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const oo = OpenOrders.fromAccountInfo(
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serum3Active[i].openOrders,
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ai,
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OPENBOOK_PROGRAM_ID[client.cluster],
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);
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return [serum3Active[i].marketIndex, oo];
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}),
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),
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);
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return this;
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}
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public isDelegate(client: MangoClient): boolean {
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return this.delegate.equals(
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(client.program.provider as AnchorProvider).wallet.publicKey,
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);
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}
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public isOperational(): boolean {
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return this.frozenUntil.lt(new BN(Date.now() / 1000));
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}
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public tokensActive(): TokenPosition[] {
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return this.tokens.filter((token) => token.isActive());
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}
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public serum3Active(): Serum3Orders[] {
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return this.serum3.filter((serum3) => serum3.isActive());
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}
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public perpPositionExistsForMarket(perpMarket: PerpMarket): boolean {
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return this.perps.some(
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(pp) => pp.isActive() && pp.marketIndex == perpMarket.perpMarketIndex,
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);
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}
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public perpOrderExistsForMarket(perpMarket: PerpMarket): boolean {
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return this.perpOpenOrders.some(
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(poo) => poo.isActive() && poo.orderMarket == perpMarket.perpMarketIndex,
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);
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}
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public perpActive(): PerpPosition[] {
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return this.perps.filter((perp) => perp.isActive());
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}
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public perpOrdersActive(): PerpOo[] {
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return this.perpOpenOrders.filter(
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(oo) => oo.orderMarket !== PerpOo.OrderMarketUnset,
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);
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}
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public getToken(tokenIndex: TokenIndex): TokenPosition | undefined {
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return this.tokens.find((ta) => ta.tokenIndex == tokenIndex);
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}
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public getSerum3Account(marketIndex: MarketIndex): Serum3Orders | undefined {
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return this.serum3.find((sa) => sa.marketIndex == marketIndex);
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}
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public getPerpPosition(
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perpMarketIndex: PerpMarketIndex,
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): PerpPosition | undefined {
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return this.perps.find((pp) => pp.marketIndex == perpMarketIndex);
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}
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public getPerpPositionUi(
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group: Group,
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perpMarketIndex: PerpMarketIndex,
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useEventQueue?: boolean,
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): number {
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const pp = this.perps.find((pp) => pp.marketIndex == perpMarketIndex);
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if (!pp) {
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throw new Error(`No position found for PerpMarket ${perpMarketIndex}!`);
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}
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const perpMarket = group.getPerpMarketByMarketIndex(perpMarketIndex);
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return pp.getBasePositionUi(perpMarket, useEventQueue);
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}
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public getSerum3OoAccount(marketIndex: MarketIndex): OpenOrders {
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const oo: OpenOrders | undefined =
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this.serum3OosMapByMarketIndex.get(marketIndex);
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if (!oo) {
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throw new Error(
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`Open orders account not loaded for market with marketIndex ${marketIndex}!`,
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);
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}
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return oo;
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}
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// How to navigate
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// * if a function is returning a I80F48, then usually the return value is in native quote or native token, unless specified
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// * if a function is returning a number, then usually the return value is in ui tokens, unless specified
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// * functions try to be explicit by having native or ui in the name to better reflect the value
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// * some values might appear unexpected large or small, usually the doc contains a "note"
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/**
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*
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* @param bank
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* @returns native balance for a token, is signed
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*/
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public getTokenBalance(bank: Bank): I80F48 {
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const tp = this.getToken(bank.tokenIndex);
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return tp ? tp.balance(bank) : ZERO_I80F48();
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}
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/**
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*
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* @param bank
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* @returns native deposits for a token, 0 if position has borrows
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*/
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public getTokenDeposits(bank: Bank): I80F48 {
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const tp = this.getToken(bank.tokenIndex);
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return tp ? tp.deposits(bank) : ZERO_I80F48();
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}
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/**
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*
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* @param bank
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* @returns native borrows for a token, 0 if position has deposits
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*/
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public getTokenBorrows(bank: Bank): I80F48 {
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const tp = this.getToken(bank.tokenIndex);
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return tp ? tp.borrows(bank) : ZERO_I80F48();
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}
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/**
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*
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* @param bank
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* @returns UI balance for a token, is signed
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*/
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public getTokenBalanceUi(bank: Bank): number {
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const tp = this.getToken(bank.tokenIndex);
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return tp ? tp.balanceUi(bank) : 0;
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}
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/**
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*
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* @param bank
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* @returns UI deposits for a token, 0 or more
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*/
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public getTokenDepositsUi(bank: Bank): number {
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const ta = this.getToken(bank.tokenIndex);
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return ta ? ta.depositsUi(bank) : 0;
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}
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/**
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*
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* @param bank
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* @returns UI borrows for a token, 0 or less
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*/
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public getTokenBorrowsUi(bank: Bank): number {
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const ta = this.getToken(bank.tokenIndex);
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return ta ? ta.borrowsUi(bank) : 0;
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}
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/**
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* Health, see health.rs or https://docs.mango.markets/mango-markets/health-overview
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* @param healthType
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* @returns raw health number, in native quote
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*/
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public getHealth(group: Group, healthType: HealthType): I80F48 {
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const hc = HealthCache.fromMangoAccount(group, this);
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return hc.health(healthType);
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}
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public getPerpSettleHealth(group: Group): I80F48 {
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const hc = HealthCache.fromMangoAccount(group, this);
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return hc.perpSettleHealth();
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}
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/**
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* Health ratio, which is computed so `100 * (assets-liabs)/liabs`
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* Note: health ratio is technically ∞ if liabs are 0
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* @param healthType
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* @returns health ratio, in percentage form
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*/
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public getHealthRatio(group: Group, healthType: HealthType): I80F48 {
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const hc = HealthCache.fromMangoAccount(group, this);
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return hc.healthRatio(healthType);
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}
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/**
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* Health ratio
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* @param healthType
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* @returns health ratio, in percentage form, capped to 100
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*/
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public getHealthRatioUi(group: Group, healthType: HealthType): number {
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const ratio = this.getHealthRatio(group, healthType).toNumber();
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return ratio > 100 ? 100 : Math.trunc(ratio);
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}
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/**
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* Sum of all the assets i.e. token deposits, borrows, total assets in spot open orders, and perps positions.
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* @returns equity, in native quote
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*/
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public getEquity(group: Group): I80F48 {
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const tokensMap = new Map<number, I80F48>();
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for (const tp of this.tokensActive()) {
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const bank = group.getFirstBankByTokenIndex(tp.tokenIndex);
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tokensMap.set(tp.tokenIndex, tp.balance(bank).mul(bank.price));
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}
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for (const sp of this.serum3Active()) {
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const oo = this.getSerum3OoAccount(sp.marketIndex);
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const baseBank = group.getFirstBankByTokenIndex(sp.baseTokenIndex);
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tokensMap
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.get(baseBank.tokenIndex)!
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.iadd(I80F48.fromI64(oo.baseTokenTotal).mul(baseBank.price));
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const quoteBank = group.getFirstBankByTokenIndex(sp.quoteTokenIndex);
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// NOTE: referrerRebatesAccrued is not declared on oo class, but the layout
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// is aware of it
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tokensMap
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.get(baseBank.tokenIndex)!
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.iadd(
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I80F48.fromI64(
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oo.quoteTokenTotal.add((oo as any).referrerRebatesAccrued),
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).mul(quoteBank.price),
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);
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}
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const tokenEquity = Array.from(tokensMap.values()).reduce(
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(a, b) => a.add(b),
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ZERO_I80F48(),
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);
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const perpEquity = this.perpActive().reduce(
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(a, b) =>
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a.add(b.getEquity(group.getPerpMarketByMarketIndex(b.marketIndex))),
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ZERO_I80F48(),
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);
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return tokenEquity.add(perpEquity);
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}
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/**
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* The amount of native quote you could withdraw against your existing assets.
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* @returns collateral value, in native quote
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*/
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public getCollateralValue(group: Group): I80F48 {
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return this.getHealth(group, HealthType.init);
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}
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/**
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* Sum of all positive assets.
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* @returns assets, in native quote
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*/
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public getAssetsValue(group: Group, healthType?: HealthType): I80F48 {
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const hc = HealthCache.fromMangoAccount(group, this);
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return hc.assets(healthType);
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}
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/**
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* Sum of all negative assets.
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* @returns liabs, in native quote
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*/
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public getLiabsValue(group: Group, healthType?: HealthType): I80F48 {
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const hc = HealthCache.fromMangoAccount(group, this);
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return hc.liabs(healthType);
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}
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/**
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* @returns Overall PNL, in native quote
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* PNL is defined here as spot value + serum3 open orders value + perp value - net deposits value (evaluated at native quote price at the time of the deposit/withdraw)
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* spot value + serum3 open orders value + perp value is returned by getEquity (open orders values are added to spot token values implicitly)
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*/
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public getPnl(group: Group): I80F48 {
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return this.getEquity(group)?.add(
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I80F48.fromI64(this.netDeposits).mul(I80F48.fromNumber(-1)),
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);
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}
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/**
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* @returns token cumulative interest, in native token units. Sum of deposit and borrow interest.
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* Caveat: This will only return cumulative interest since the tokenPosition was last opened.
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* If the tokenPosition was closed and reopened multiple times it is necessary to add this result to
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* cumulative interest at each of the prior tokenPosition closings (from mango API) to get the all time
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* cumulative interest.
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*/
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getCumulativeInterest(bank: Bank): number {
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const token = this.getToken(bank.tokenIndex);
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if (token === undefined) {
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// tokenPosition does not exist on mangoAccount so no cumulative interest
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return 0;
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} else {
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if (token.indexedPosition.isPos()) {
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const interest = bank.depositIndex
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.sub(token.previousIndex)
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.mul(token.indexedPosition)
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.toNumber();
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return (
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interest +
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token.cumulativeDepositInterest +
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token.cumulativeBorrowInterest
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);
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} else {
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const interest = bank.borrowIndex
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.sub(token.previousIndex)
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.mul(token.indexedPosition)
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.toNumber();
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return (
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interest +
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token.cumulativeDepositInterest +
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token.cumulativeBorrowInterest
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);
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}
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}
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}
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/**
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* The amount of given native token you can withdraw including borrows, considering all existing assets as collateral.
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* @returns amount of given native token you can borrow, considering all existing assets as collateral, in native token
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*
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* TODO: take into account net_borrow_limit and min_vault_to_deposits_ratio
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*/
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public getMaxWithdrawWithBorrowForToken(
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group: Group,
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mintPk: PublicKey,
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): I80F48 {
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const tokenBank: Bank = group.getFirstBankByMint(mintPk);
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const initHealth = this.getHealth(group, HealthType.init);
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// Case 1:
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// Cannot withdraw if init health is below 0
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if (initHealth.lte(ZERO_I80F48())) {
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return ZERO_I80F48();
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}
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// Deposits need special treatment since they would neither count towards liabilities
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// nor would be charged loanOriginationFeeRate when withdrawn
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const tp = this.getToken(tokenBank.tokenIndex);
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const existingTokenDeposits = tp ? tp.deposits(tokenBank) : ZERO_I80F48();
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let existingPositionHealthContrib = ZERO_I80F48();
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if (existingTokenDeposits.gt(ZERO_I80F48())) {
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existingPositionHealthContrib = existingTokenDeposits
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.mul(tokenBank.price)
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.imul(tokenBank.initAssetWeight);
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}
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// Case 2: token deposits have higher contribution than initHealth,
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// can withdraw without borrowing until initHealth reaches 0
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if (existingPositionHealthContrib.gt(initHealth)) {
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const withdrawAbleExistingPositionHealthContrib = initHealth;
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return withdrawAbleExistingPositionHealthContrib
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.div(tokenBank.initAssetWeight)
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.div(tokenBank.price);
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}
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// Case 3: withdraw = withdraw existing deposits + borrows until initHealth reaches 0
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const initHealthWithoutExistingPosition = initHealth.sub(
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existingPositionHealthContrib,
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);
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let maxBorrowNative = initHealthWithoutExistingPosition
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.div(tokenBank.initLiabWeight)
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.div(tokenBank.price);
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// Cap maxBorrow to maintain minVaultToDepositsRatio on the bank
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const vaultAmount = group.vaultAmountsMap.get(tokenBank.vault.toBase58());
|
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if (!vaultAmount) {
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throw new Error(
|
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`No vault amount found for ${tokenBank.name} vault ${tokenBank.vault}!`,
|
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);
|
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}
|
|
const vaultAmountAfterWithdrawingDeposits = I80F48.fromU64(vaultAmount).sub(
|
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existingTokenDeposits,
|
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);
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const expectedVaultMinAmount = tokenBank
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.nativeDeposits()
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.mul(I80F48.fromNumber(tokenBank.minVaultToDepositsRatio));
|
|
if (vaultAmountAfterWithdrawingDeposits.gt(expectedVaultMinAmount)) {
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maxBorrowNative = maxBorrowNative.min(
|
|
vaultAmountAfterWithdrawingDeposits.sub(expectedVaultMinAmount),
|
|
);
|
|
}
|
|
|
|
const maxBorrowNativeWithoutFees = maxBorrowNative.div(
|
|
ONE_I80F48().add(tokenBank.loanOriginationFeeRate),
|
|
);
|
|
|
|
return maxBorrowNativeWithoutFees.add(existingTokenDeposits);
|
|
}
|
|
|
|
public getMaxWithdrawWithBorrowForTokenUi(
|
|
group: Group,
|
|
mintPk: PublicKey,
|
|
): number {
|
|
const maxWithdrawWithBorrow = this.getMaxWithdrawWithBorrowForToken(
|
|
group,
|
|
mintPk,
|
|
);
|
|
return toUiDecimals(maxWithdrawWithBorrow, group.getMintDecimals(mintPk));
|
|
}
|
|
|
|
/**
|
|
* The max amount of given source ui token you can swap to a target token.
|
|
* @returns max amount of given source ui token you can swap to a target token, in ui token
|
|
*/
|
|
getMaxSourceUiForTokenSwap(
|
|
group: Group,
|
|
sourceMintPk: PublicKey,
|
|
targetMintPk: PublicKey,
|
|
slippageAndFeesFactor = 1,
|
|
): number {
|
|
if (sourceMintPk.equals(targetMintPk)) {
|
|
return 0;
|
|
}
|
|
const sourceBank = group.getFirstBankByMint(sourceMintPk);
|
|
const targetBank = group.getFirstBankByMint(targetMintPk);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
let maxSource = hc.getMaxSwapSource(
|
|
sourceBank,
|
|
targetBank,
|
|
I80F48.fromNumber(
|
|
slippageAndFeesFactor *
|
|
((sourceBank.uiPrice / targetBank.uiPrice) *
|
|
Math.pow(10, targetBank.mintDecimals - sourceBank.mintDecimals)),
|
|
),
|
|
);
|
|
const sourceBalance = this.getTokenBalance(sourceBank);
|
|
if (maxSource.gt(sourceBalance)) {
|
|
const sourceBorrow = maxSource.sub(sourceBalance);
|
|
maxSource = sourceBalance.add(
|
|
sourceBorrow.div(ONE_I80F48().add(sourceBank.loanOriginationFeeRate)),
|
|
);
|
|
}
|
|
return toUiDecimals(maxSource, group.getMintDecimals(sourceMintPk));
|
|
}
|
|
|
|
/**
|
|
* Simulates new health ratio after applying tokenChanges to the token positions.
|
|
* Note: token changes are expected in ui amounts
|
|
*
|
|
* e.g. useful to simulate health after a potential swap.
|
|
* Note: health ratio is technically ∞ if liabs are 0
|
|
* @returns health ratio, in percentage form
|
|
*/
|
|
public simHealthRatioWithTokenPositionUiChanges(
|
|
group: Group,
|
|
uiTokenChanges: {
|
|
uiTokenAmount: number;
|
|
mintPk: PublicKey;
|
|
}[],
|
|
healthType: HealthType = HealthType.init,
|
|
): number {
|
|
const nativeTokenChanges = uiTokenChanges.map((tokenChange) => {
|
|
return {
|
|
nativeTokenAmount: toNativeI80F48(
|
|
tokenChange.uiTokenAmount,
|
|
group.getMintDecimals(tokenChange.mintPk),
|
|
),
|
|
mintPk: tokenChange.mintPk,
|
|
};
|
|
});
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
return hc
|
|
.simHealthRatioWithTokenPositionChanges(
|
|
group,
|
|
nativeTokenChanges,
|
|
healthType,
|
|
)
|
|
.toNumber();
|
|
}
|
|
|
|
public async loadSerum3OpenOrdersAccounts(
|
|
client: MangoClient,
|
|
): Promise<OpenOrders[]> {
|
|
const openOrderPks = this.serum3Active().map((s) => s.openOrders);
|
|
if (!openOrderPks.length) return [];
|
|
const response =
|
|
await client.program.provider.connection.getMultipleAccountsInfo(
|
|
openOrderPks,
|
|
);
|
|
const accounts = response.filter((a): a is AccountInfo<Buffer> =>
|
|
Boolean(a),
|
|
);
|
|
|
|
return accounts.map((acc, index) => {
|
|
return OpenOrders.fromAccountInfo(
|
|
this.serum3[index].openOrders,
|
|
acc,
|
|
OPENBOOK_PROGRAM_ID[client.cluster],
|
|
);
|
|
});
|
|
}
|
|
|
|
public async loadSerum3OpenOrdersForMarket(
|
|
client: MangoClient,
|
|
group: Group,
|
|
externalMarketPk: PublicKey,
|
|
): Promise<Order[]> {
|
|
const serum3Market =
|
|
group.getSerum3MarketByExternalMarket(externalMarketPk);
|
|
const serum3OO = this.serum3Active().find(
|
|
(s) => s.marketIndex === serum3Market.marketIndex,
|
|
);
|
|
if (!serum3OO) {
|
|
throw new Error(`No open orders account found for ${externalMarketPk}`);
|
|
}
|
|
|
|
const serum3MarketExternal = group.serum3ExternalMarketsMap.get(
|
|
externalMarketPk.toBase58(),
|
|
)!;
|
|
const [bidsInfo, asksInfo] =
|
|
await client.program.provider.connection.getMultipleAccountsInfo([
|
|
serum3MarketExternal.bidsAddress,
|
|
serum3MarketExternal.asksAddress,
|
|
]);
|
|
if (!bidsInfo) {
|
|
throw new Error(
|
|
`Undefined bidsInfo for serum3Market with externalMarket ${externalMarketPk.toString()!}`,
|
|
);
|
|
}
|
|
if (!asksInfo) {
|
|
throw new Error(
|
|
`Undefined asksInfo for serum3Market with externalMarket ${externalMarketPk.toString()!}`,
|
|
);
|
|
}
|
|
const bids = Orderbook.decode(serum3MarketExternal, bidsInfo.data);
|
|
const asks = Orderbook.decode(serum3MarketExternal, asksInfo.data);
|
|
return [...bids, ...asks].filter((o) =>
|
|
o.openOrdersAddress.equals(serum3OO.openOrders),
|
|
);
|
|
}
|
|
|
|
/**
|
|
* TODO REWORK, know to break in binary search, also make work for limit orders
|
|
*
|
|
* @param group
|
|
* @param externalMarketPk
|
|
* @returns maximum ui quote which can be traded at oracle price for base token given current health
|
|
*/
|
|
public getMaxQuoteForSerum3BidUi(
|
|
group: Group,
|
|
externalMarketPk: PublicKey,
|
|
): number {
|
|
const serum3Market =
|
|
group.getSerum3MarketByExternalMarket(externalMarketPk);
|
|
const baseBank = group.getFirstBankByTokenIndex(
|
|
serum3Market.baseTokenIndex,
|
|
);
|
|
const quoteBank = group.getFirstBankByTokenIndex(
|
|
serum3Market.quoteTokenIndex,
|
|
);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
const nativeAmount = hc.getMaxSerum3OrderForHealthRatio(
|
|
baseBank,
|
|
quoteBank,
|
|
serum3Market,
|
|
Serum3Side.bid,
|
|
I80F48.fromNumber(2),
|
|
);
|
|
let quoteAmount = nativeAmount.div(quoteBank.price);
|
|
// If its a bid then the reserved fund and potential loan is in base
|
|
// also keep some buffer for fees, use taker fees for worst case simulation.
|
|
const quoteBalance = this.getTokenBalance(quoteBank);
|
|
if (quoteAmount.gt(quoteBalance)) {
|
|
const quoteBorrow = quoteAmount.sub(quoteBalance);
|
|
quoteAmount = quoteBalance.add(
|
|
quoteBorrow.div(ONE_I80F48().add(quoteBank.loanOriginationFeeRate)),
|
|
);
|
|
}
|
|
quoteAmount = quoteAmount.div(
|
|
ONE_I80F48().add(I80F48.fromNumber(serum3Market.getFeeRates(true))),
|
|
);
|
|
return toUiDecimals(nativeAmount, quoteBank.mintDecimals);
|
|
}
|
|
|
|
/**
|
|
* TODO REWORK, know to break in binary search, also make work for limit orders
|
|
* @param group
|
|
* @param externalMarketPk
|
|
* @returns maximum ui base which can be traded at oracle price for quote token given current health
|
|
*/
|
|
public getMaxBaseForSerum3AskUi(
|
|
group: Group,
|
|
externalMarketPk: PublicKey,
|
|
): number {
|
|
const serum3Market =
|
|
group.getSerum3MarketByExternalMarket(externalMarketPk);
|
|
const baseBank = group.getFirstBankByTokenIndex(
|
|
serum3Market.baseTokenIndex,
|
|
);
|
|
const quoteBank = group.getFirstBankByTokenIndex(
|
|
serum3Market.quoteTokenIndex,
|
|
);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
const nativeAmount = hc.getMaxSerum3OrderForHealthRatio(
|
|
baseBank,
|
|
quoteBank,
|
|
serum3Market,
|
|
Serum3Side.ask,
|
|
I80F48.fromNumber(2),
|
|
);
|
|
let baseAmount = nativeAmount.div(baseBank.price);
|
|
// If its a ask then the reserved fund and potential loan is in base
|
|
// also keep some buffer for fees, use taker fees for worst case simulation.
|
|
const baseBalance = this.getTokenBalance(baseBank);
|
|
if (baseAmount.gt(baseBalance)) {
|
|
const baseBorrow = baseAmount.sub(baseBalance);
|
|
baseAmount = baseBalance.add(
|
|
baseBorrow.div(ONE_I80F48().add(baseBank.loanOriginationFeeRate)),
|
|
);
|
|
}
|
|
baseAmount = baseAmount.div(
|
|
ONE_I80F48().add(I80F48.fromNumber(serum3Market.getFeeRates(true))),
|
|
);
|
|
return toUiDecimals(baseAmount, baseBank.mintDecimals);
|
|
}
|
|
|
|
/**
|
|
*
|
|
* @param group
|
|
* @param uiQuoteAmount
|
|
* @param externalMarketPk
|
|
* @param healthType
|
|
* @returns health ratio after a bid with uiQuoteAmount is placed
|
|
*/
|
|
public simHealthRatioWithSerum3BidUiChanges(
|
|
group: Group,
|
|
uiQuoteAmount: number,
|
|
externalMarketPk: PublicKey,
|
|
healthType: HealthType = HealthType.init,
|
|
): number {
|
|
const serum3Market =
|
|
group.getSerum3MarketByExternalMarket(externalMarketPk);
|
|
const baseBank = group.getFirstBankByTokenIndex(
|
|
serum3Market.baseTokenIndex,
|
|
);
|
|
const quoteBank = group.getFirstBankByTokenIndex(
|
|
serum3Market.quoteTokenIndex,
|
|
);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
return hc
|
|
.simHealthRatioWithSerum3BidChanges(
|
|
baseBank,
|
|
quoteBank,
|
|
toNativeI80F48(
|
|
uiQuoteAmount,
|
|
group.getFirstBankByTokenIndex(serum3Market.quoteTokenIndex)
|
|
.mintDecimals,
|
|
),
|
|
serum3Market,
|
|
healthType,
|
|
)
|
|
.toNumber();
|
|
}
|
|
|
|
/**
|
|
*
|
|
* @param group
|
|
* @param uiBaseAmount
|
|
* @param externalMarketPk
|
|
* @param healthType
|
|
* @returns health ratio after an ask with uiBaseAmount is placed
|
|
*/
|
|
public simHealthRatioWithSerum3AskUiChanges(
|
|
group: Group,
|
|
uiBaseAmount: number,
|
|
externalMarketPk: PublicKey,
|
|
healthType: HealthType = HealthType.init,
|
|
): number {
|
|
const serum3Market =
|
|
group.getSerum3MarketByExternalMarket(externalMarketPk);
|
|
const baseBank = group.getFirstBankByTokenIndex(
|
|
serum3Market.baseTokenIndex,
|
|
);
|
|
const quoteBank = group.getFirstBankByTokenIndex(
|
|
serum3Market.quoteTokenIndex,
|
|
);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
return hc
|
|
.simHealthRatioWithSerum3AskChanges(
|
|
baseBank,
|
|
quoteBank,
|
|
toNativeI80F48(
|
|
uiBaseAmount,
|
|
group.getFirstBankByTokenIndex(serum3Market.baseTokenIndex)
|
|
.mintDecimals,
|
|
),
|
|
serum3Market,
|
|
healthType,
|
|
)
|
|
.toNumber();
|
|
}
|
|
|
|
// TODO: don't send a settle instruction if there's nothing to settle
|
|
public async serum3SettleFundsForAllMarkets(
|
|
client: MangoClient,
|
|
group: Group,
|
|
): Promise<TransactionSignature[]> {
|
|
// Future: collect ixs, batch them, and send them in fewer txs
|
|
return await Promise.all(
|
|
this.serum3Active().map((s) => {
|
|
const serum3Market = group.getSerum3MarketByMarketIndex(s.marketIndex);
|
|
return client.serum3SettleFunds(
|
|
group,
|
|
this,
|
|
serum3Market.serumMarketExternal,
|
|
);
|
|
}),
|
|
);
|
|
}
|
|
|
|
// TODO: cancel until all are cancelled
|
|
public async serum3CancelAllOrdersForAllMarkets(
|
|
client: MangoClient,
|
|
group: Group,
|
|
): Promise<TransactionSignature[]> {
|
|
// Future: collect ixs, batch them, and send them in in fewer txs
|
|
return await Promise.all(
|
|
this.serum3Active().map((s) => {
|
|
const serum3Market = group.getSerum3MarketByMarketIndex(s.marketIndex);
|
|
return client.serum3CancelAllOrders(
|
|
group,
|
|
this,
|
|
serum3Market.serumMarketExternal,
|
|
);
|
|
}),
|
|
);
|
|
}
|
|
|
|
/**
|
|
* TODO: also think about limit orders
|
|
*
|
|
* The max ui quote you can place a market/ioc bid on the market,
|
|
* price is the ui price at which you think the order would materialiase.
|
|
* @param group
|
|
* @param perpMarketName
|
|
* @returns maximum ui quote which can be traded at oracle price for quote token given current health
|
|
*/
|
|
public getMaxQuoteForPerpBidUi(
|
|
group: Group,
|
|
perpMarketIndex: PerpMarketIndex,
|
|
): number {
|
|
const perpMarket = group.getPerpMarketByMarketIndex(perpMarketIndex);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
const baseLots = hc.getMaxPerpForHealthRatio(
|
|
perpMarket,
|
|
I80F48.fromNumber(perpMarket.uiPrice),
|
|
PerpOrderSide.bid,
|
|
I80F48.fromNumber(2),
|
|
);
|
|
const nativeBase = baseLots.mul(I80F48.fromI64(perpMarket.baseLotSize));
|
|
const nativeQuote = nativeBase.mul(perpMarket.price);
|
|
return toUiDecimalsForQuote(nativeQuote);
|
|
}
|
|
|
|
/**
|
|
* TODO: also think about limit orders
|
|
*
|
|
* The max ui base you can place a market/ioc ask on the market,
|
|
* price is the ui price at which you think the order would materialiase.
|
|
* @param group
|
|
* @param perpMarketName
|
|
* @param uiPrice ui price at which ask would be placed at
|
|
* @returns max ui base ask
|
|
*/
|
|
public getMaxBaseForPerpAskUi(
|
|
group: Group,
|
|
perpMarketIndex: PerpMarketIndex,
|
|
): number {
|
|
const perpMarket = group.getPerpMarketByMarketIndex(perpMarketIndex);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
const baseLots = hc.getMaxPerpForHealthRatio(
|
|
perpMarket,
|
|
I80F48.fromNumber(perpMarket.uiPrice),
|
|
PerpOrderSide.ask,
|
|
I80F48.fromNumber(2),
|
|
);
|
|
return perpMarket.baseLotsToUi(new BN(baseLots.toString()));
|
|
}
|
|
|
|
public simHealthRatioWithPerpBidUiChanges(
|
|
group: Group,
|
|
perpMarketIndex: PerpMarketIndex,
|
|
size: number,
|
|
): number {
|
|
const perpMarket = group.getPerpMarketByMarketIndex(perpMarketIndex);
|
|
const pp = this.getPerpPosition(perpMarket.perpMarketIndex);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
return hc
|
|
.simHealthRatioWithPerpOrderChanges(
|
|
perpMarket,
|
|
pp
|
|
? pp
|
|
: PerpPosition.emptyFromPerpMarketIndex(perpMarket.perpMarketIndex),
|
|
PerpOrderSide.bid,
|
|
perpMarket.uiBaseToLots(size),
|
|
I80F48.fromNumber(perpMarket.uiPrice),
|
|
HealthType.init,
|
|
)
|
|
.toNumber();
|
|
}
|
|
|
|
public simHealthRatioWithPerpAskUiChanges(
|
|
group: Group,
|
|
perpMarketIndex: PerpMarketIndex,
|
|
size: number,
|
|
): number {
|
|
const perpMarket = group.getPerpMarketByMarketIndex(perpMarketIndex);
|
|
const pp = this.getPerpPosition(perpMarket.perpMarketIndex);
|
|
const hc = HealthCache.fromMangoAccount(group, this);
|
|
return hc
|
|
.simHealthRatioWithPerpOrderChanges(
|
|
perpMarket,
|
|
pp
|
|
? pp
|
|
: PerpPosition.emptyFromPerpMarketIndex(perpMarket.perpMarketIndex),
|
|
PerpOrderSide.ask,
|
|
perpMarket.uiBaseToLots(size),
|
|
I80F48.fromNumber(perpMarket.uiPrice),
|
|
HealthType.init,
|
|
)
|
|
.toNumber();
|
|
}
|
|
|
|
public async loadPerpOpenOrdersForMarket(
|
|
client: MangoClient,
|
|
group: Group,
|
|
perpMarketIndex: PerpMarketIndex,
|
|
forceReload?: boolean,
|
|
): Promise<PerpOrder[]> {
|
|
const perpMarket = group.getPerpMarketByMarketIndex(perpMarketIndex);
|
|
const [bids, asks] = await Promise.all([
|
|
perpMarket.loadBids(client, forceReload),
|
|
perpMarket.loadAsks(client, forceReload),
|
|
]);
|
|
|
|
return [...bids.items(), ...asks.items()].filter((order) =>
|
|
order.owner.equals(this.publicKey),
|
|
);
|
|
}
|
|
|
|
toString(group?: Group, onlyTokens = false): string {
|
|
let res = 'MangoAccount';
|
|
res = res + '\n pk: ' + this.publicKey.toString();
|
|
res = res + '\n name: ' + this.name;
|
|
res = res + '\n accountNum: ' + this.accountNum;
|
|
res = res + '\n owner: ' + this.owner;
|
|
res = res + '\n delegate: ' + this.delegate;
|
|
|
|
res =
|
|
res +
|
|
`\n max token slots ${this.tokens.length}, max serum3 slots ${this.serum3.length}, max perp slots ${this.perps.length}, max perp oo slots ${this.perpOpenOrders.length}`;
|
|
res =
|
|
this.tokensActive().length > 0
|
|
? res +
|
|
'\n tokens:' +
|
|
JSON.stringify(
|
|
this.tokens
|
|
.filter((token, i) => token.isActive())
|
|
.map((token, i) => token.toString(group, i)),
|
|
null,
|
|
4,
|
|
)
|
|
: res + '';
|
|
|
|
if (onlyTokens) {
|
|
return res;
|
|
}
|
|
|
|
res =
|
|
this.serum3Active().length > 0
|
|
? res + '\n serum:' + JSON.stringify(this.serum3Active(), null, 4)
|
|
: res + '';
|
|
|
|
res =
|
|
this.perpActive().length > 0
|
|
? res +
|
|
'\n perps:' +
|
|
JSON.stringify(
|
|
this.perpActive().map((p) =>
|
|
p.toString(group?.getPerpMarketByMarketIndex(p.marketIndex)),
|
|
),
|
|
null,
|
|
4,
|
|
)
|
|
: res + '';
|
|
|
|
res =
|
|
this.perpOrdersActive().length > 0
|
|
? res +
|
|
'\n perps oo:' +
|
|
JSON.stringify(this.perpOrdersActive(), null, 4)
|
|
: res + '';
|
|
|
|
return res;
|
|
}
|
|
}
|
|
|
|
export class TokenPosition {
|
|
static TokenIndexUnset = 65535;
|
|
static from(dto: TokenPositionDto): TokenPosition {
|
|
return new TokenPosition(
|
|
I80F48.from(dto.indexedPosition),
|
|
dto.tokenIndex as TokenIndex,
|
|
dto.inUseCount,
|
|
I80F48.from(dto.previousIndex),
|
|
dto.cumulativeDepositInterest,
|
|
dto.cumulativeBorrowInterest,
|
|
);
|
|
}
|
|
|
|
constructor(
|
|
public indexedPosition: I80F48,
|
|
public tokenIndex: TokenIndex,
|
|
public inUseCount: number,
|
|
public previousIndex: I80F48,
|
|
public cumulativeDepositInterest: number,
|
|
public cumulativeBorrowInterest: number,
|
|
) {}
|
|
|
|
public isActive(): boolean {
|
|
return this.tokenIndex !== TokenPosition.TokenIndexUnset;
|
|
}
|
|
|
|
/**
|
|
*
|
|
* @param bank
|
|
* @returns native balance
|
|
*/
|
|
public balance(bank: Bank): I80F48 {
|
|
if (this.indexedPosition.isPos()) {
|
|
return bank.depositIndex.mul(this.indexedPosition);
|
|
} else {
|
|
return bank.borrowIndex.mul(this.indexedPosition);
|
|
}
|
|
}
|
|
|
|
/**
|
|
*
|
|
* @param bank
|
|
* @returns native deposits, 0 if position has borrows
|
|
*/
|
|
public deposits(bank: Bank): I80F48 {
|
|
if (this.indexedPosition && this.indexedPosition.lt(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
return this.balance(bank);
|
|
}
|
|
|
|
/**
|
|
*
|
|
* @param bank
|
|
* @returns native borrows, 0 if position has deposits
|
|
*/
|
|
public borrows(bank: Bank): I80F48 {
|
|
if (this.indexedPosition && this.indexedPosition.gt(ZERO_I80F48())) {
|
|
return ZERO_I80F48();
|
|
}
|
|
return this.balance(bank).abs();
|
|
}
|
|
|
|
/**
|
|
* @param bank
|
|
* @returns UI balance, is signed
|
|
*/
|
|
public balanceUi(bank: Bank): number {
|
|
return toUiDecimals(this.balance(bank), bank.mintDecimals);
|
|
}
|
|
|
|
/**
|
|
* @param bank
|
|
* @returns UI deposits, 0 if position has borrows
|
|
*/
|
|
public depositsUi(bank: Bank): number {
|
|
return toUiDecimals(this.deposits(bank), bank.mintDecimals);
|
|
}
|
|
|
|
/**
|
|
* @param bank
|
|
* @returns UI borrows, 0 if position has deposits
|
|
*/
|
|
public borrowsUi(bank: Bank): number {
|
|
return toUiDecimals(this.borrows(bank), bank.mintDecimals);
|
|
}
|
|
|
|
public toString(group?: Group, index?: number): string {
|
|
let extra = '';
|
|
if (group) {
|
|
const bank: Bank = group.getFirstBankByTokenIndex(this.tokenIndex);
|
|
if (bank) {
|
|
const native = this.balance(bank);
|
|
extra += ', native: ' + native.toNumber();
|
|
extra += ', ui: ' + this.balanceUi(bank);
|
|
extra += ', tokenName: ' + bank.name;
|
|
}
|
|
}
|
|
|
|
return (
|
|
(index !== undefined ? 'index: ' + index : '') +
|
|
', tokenIndex: ' +
|
|
this.tokenIndex +
|
|
', inUseCount: ' +
|
|
this.inUseCount +
|
|
', indexedValue: ' +
|
|
this.indexedPosition.toNumber() +
|
|
extra
|
|
);
|
|
}
|
|
}
|
|
|
|
export class TokenPositionDto {
|
|
constructor(
|
|
public indexedPosition: I80F48Dto,
|
|
public tokenIndex: number,
|
|
public inUseCount: number,
|
|
public reserved: number[],
|
|
public previousIndex: I80F48Dto,
|
|
public cumulativeDepositInterest: number,
|
|
public cumulativeBorrowInterest: number,
|
|
) {}
|
|
}
|
|
|
|
export class Serum3Orders {
|
|
static Serum3MarketIndexUnset = 65535;
|
|
static from(dto: Serum3PositionDto): Serum3Orders {
|
|
return new Serum3Orders(
|
|
dto.openOrders,
|
|
dto.marketIndex as MarketIndex,
|
|
dto.baseTokenIndex as TokenIndex,
|
|
dto.quoteTokenIndex as TokenIndex,
|
|
);
|
|
}
|
|
|
|
constructor(
|
|
public openOrders: PublicKey,
|
|
public marketIndex: MarketIndex,
|
|
public baseTokenIndex: TokenIndex,
|
|
public quoteTokenIndex: TokenIndex,
|
|
) {}
|
|
|
|
public isActive(): boolean {
|
|
return this.marketIndex !== Serum3Orders.Serum3MarketIndexUnset;
|
|
}
|
|
}
|
|
|
|
export class Serum3PositionDto {
|
|
constructor(
|
|
public openOrders: PublicKey,
|
|
public marketIndex: number,
|
|
public baseBorrowsWithoutFee: BN,
|
|
public quoteBorrowsWithoutFee: BN,
|
|
public baseTokenIndex: number,
|
|
public quoteTokenIndex: number,
|
|
public reserved: number[],
|
|
) {}
|
|
}
|
|
|
|
export class PerpPosition {
|
|
static PerpMarketIndexUnset = 65535;
|
|
static from(dto: PerpPositionDto): PerpPosition {
|
|
return new PerpPosition(
|
|
dto.marketIndex as PerpMarketIndex,
|
|
dto.settlePnlLimitWindow,
|
|
dto.settlePnlLimitSettledInCurrentWindowNative,
|
|
dto.basePositionLots,
|
|
I80F48.from(dto.quotePositionNative),
|
|
dto.quoteRunningNative,
|
|
I80F48.from(dto.longSettledFunding),
|
|
I80F48.from(dto.shortSettledFunding),
|
|
dto.bidsBaseLots,
|
|
dto.asksBaseLots,
|
|
dto.takerBaseLots,
|
|
dto.takerQuoteLots,
|
|
dto.cumulativeLongFunding,
|
|
dto.cumulativeShortFunding,
|
|
dto.makerVolume,
|
|
dto.takerVolume,
|
|
dto.perpSpotTransfers,
|
|
dto.avgEntryPricePerBaseLot,
|
|
I80F48.from(dto.realizedTradePnlNative),
|
|
I80F48.from(dto.realizedOtherPnlNative),
|
|
dto.settlePnlLimitRealizedTrade,
|
|
I80F48.from(dto.realizedPnlForPositionNative),
|
|
);
|
|
}
|
|
|
|
static emptyFromPerpMarketIndex(
|
|
perpMarketIndex: PerpMarketIndex,
|
|
): PerpPosition {
|
|
return new PerpPosition(
|
|
perpMarketIndex,
|
|
0,
|
|
new BN(0),
|
|
new BN(0),
|
|
ZERO_I80F48(),
|
|
new BN(0),
|
|
ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
new BN(0),
|
|
new BN(0),
|
|
new BN(0),
|
|
new BN(0),
|
|
0,
|
|
0,
|
|
new BN(0),
|
|
new BN(0),
|
|
new BN(0),
|
|
0,
|
|
ZERO_I80F48(),
|
|
ZERO_I80F48(),
|
|
new BN(0),
|
|
ZERO_I80F48(),
|
|
);
|
|
}
|
|
|
|
constructor(
|
|
public marketIndex: PerpMarketIndex,
|
|
public settlePnlLimitWindow: number,
|
|
public settlePnlLimitSettledInCurrentWindowNative: BN,
|
|
public basePositionLots: BN,
|
|
public quotePositionNative: I80F48,
|
|
public quoteRunningNative: BN,
|
|
public longSettledFunding: I80F48,
|
|
public shortSettledFunding: I80F48,
|
|
public bidsBaseLots: BN,
|
|
public asksBaseLots: BN,
|
|
public takerBaseLots: BN,
|
|
public takerQuoteLots: BN,
|
|
public cumulativeLongFunding: number,
|
|
public cumulativeShortFunding: number,
|
|
public makerVolume: BN,
|
|
public takerVolume: BN,
|
|
public perpSpotTransfers: BN,
|
|
public avgEntryPricePerBaseLot: number,
|
|
public realizedTradePnlNative: I80F48,
|
|
public realizedOtherPnlNative: I80F48,
|
|
public settlePnlLimitRealizedTrade: BN,
|
|
public realizedPnlForPositionNative: I80F48,
|
|
) {}
|
|
|
|
isActive(): boolean {
|
|
return this.marketIndex !== PerpPosition.PerpMarketIndexUnset;
|
|
}
|
|
|
|
public getBasePositionNative(perpMarket: PerpMarket): I80F48 {
|
|
return I80F48.fromI64(this.basePositionLots.mul(perpMarket.baseLotSize));
|
|
}
|
|
|
|
public getBasePositionUi(
|
|
perpMarket: PerpMarket,
|
|
useEventQueue?: boolean,
|
|
): number {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
return perpMarket.baseLotsToUi(
|
|
useEventQueue
|
|
? this.basePositionLots.add(this.takerBaseLots)
|
|
: this.basePositionLots,
|
|
);
|
|
}
|
|
|
|
public getUnsettledFunding(perpMarket: PerpMarket): I80F48 {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
if (this.basePositionLots.gt(new BN(0))) {
|
|
return perpMarket.longFunding
|
|
.sub(this.longSettledFunding)
|
|
.mul(I80F48.fromI64(this.basePositionLots));
|
|
} else if (this.basePositionLots.lt(new BN(0))) {
|
|
return perpMarket.shortFunding
|
|
.sub(this.shortSettledFunding)
|
|
.mul(I80F48.fromI64(this.basePositionLots));
|
|
}
|
|
return ZERO_I80F48();
|
|
}
|
|
|
|
public getEquityUi(perpMarket: PerpMarket): number {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
return toUiDecimalsForQuote(this.getEquity(perpMarket));
|
|
}
|
|
|
|
public getEquity(perpMarket: PerpMarket): I80F48 {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
const lotsToQuote = I80F48.fromI64(perpMarket.baseLotSize).mul(
|
|
perpMarket.price,
|
|
);
|
|
|
|
const baseLots = I80F48.fromI64(
|
|
this.basePositionLots.add(this.takerBaseLots),
|
|
);
|
|
|
|
const unsettledFunding = this.getUnsettledFunding(perpMarket);
|
|
const takerQuote = I80F48.fromI64(
|
|
new BN(this.takerQuoteLots).mul(perpMarket.quoteLotSize),
|
|
);
|
|
const quoteCurrent = this.quotePositionNative
|
|
.sub(unsettledFunding)
|
|
.add(takerQuote);
|
|
|
|
return baseLots.mul(lotsToQuote).add(quoteCurrent);
|
|
}
|
|
|
|
public hasOpenOrders(): boolean {
|
|
const zero = new BN(0);
|
|
return (
|
|
!this.asksBaseLots.eq(zero) ||
|
|
!this.bidsBaseLots.eq(zero) ||
|
|
!this.takerBaseLots.eq(zero) ||
|
|
!this.takerQuoteLots.eq(zero)
|
|
);
|
|
}
|
|
|
|
public getAverageEntryPrice(perpMarket: PerpMarket): I80F48 {
|
|
return I80F48.fromNumber(this.avgEntryPricePerBaseLot).div(
|
|
I80F48.fromI64(perpMarket.baseLotSize),
|
|
);
|
|
}
|
|
|
|
public getAverageEntryPriceUi(perpMarket: PerpMarket): number {
|
|
return perpMarket.priceNativeToUi(
|
|
this.getAverageEntryPrice(perpMarket).toNumber(),
|
|
);
|
|
}
|
|
|
|
public getBreakEvenPriceUi(perpMarket: PerpMarket): number {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
if (this.basePositionLots.eq(new BN(0))) {
|
|
return 0;
|
|
}
|
|
return perpMarket.priceNativeToUi(
|
|
-this.quoteRunningNative.toNumber() /
|
|
this.basePositionLots.mul(perpMarket.baseLotSize).toNumber(),
|
|
);
|
|
}
|
|
|
|
public cumulativePnlOverPositionLifetimeUi(perpMarket: PerpMarket): number {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
const priceChange = perpMarket.price.sub(
|
|
this.getAverageEntryPrice(perpMarket),
|
|
);
|
|
|
|
return toUiDecimalsForQuote(
|
|
this.realizedPnlForPositionNative.add(
|
|
this.getBasePositionNative(perpMarket).mul(priceChange),
|
|
),
|
|
);
|
|
}
|
|
|
|
public getUnsettledPnl(perpMarket: PerpMarket): I80F48 {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
return this.quotePositionNative.add(
|
|
this.getBasePositionNative(perpMarket).mul(perpMarket.price),
|
|
);
|
|
}
|
|
|
|
public getUnsettledPnlUi(perpMarket: PerpMarket): number {
|
|
return toUiDecimalsForQuote(this.getUnsettledPnl(perpMarket));
|
|
}
|
|
|
|
public updateSettleLimit(perpMarket: PerpMarket): void {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
const windowSize = perpMarket.settlePnlLimitWindowSizeTs;
|
|
const windowStart = new BN(this.settlePnlLimitWindow).mul(windowSize);
|
|
const windowEnd = windowStart.add(windowSize);
|
|
const nowTs = new BN(Date.now() / 1000);
|
|
const newWindow = nowTs.gte(windowEnd) || nowTs.lt(windowStart);
|
|
if (newWindow) {
|
|
this.settlePnlLimitWindow = nowTs.div(windowSize).toNumber();
|
|
this.settlePnlLimitSettledInCurrentWindowNative = new BN(0);
|
|
}
|
|
}
|
|
|
|
public availableSettleLimit(perpMarket: PerpMarket): [BN, BN] {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
if (perpMarket.settlePnlLimitFactor < 0) {
|
|
return [RUST_I64_MIN(), RUST_I64_MAX()];
|
|
}
|
|
|
|
const baseNative = I80F48.fromI64(
|
|
this.basePositionLots.mul(perpMarket.baseLotSize),
|
|
);
|
|
const positionValue = I80F48.fromNumber(
|
|
perpMarket.stablePriceModel.stablePrice,
|
|
)
|
|
.mul(baseNative)
|
|
.toNumber();
|
|
const unrealized = new BN(perpMarket.settlePnlLimitFactor * positionValue);
|
|
const used = new BN(
|
|
this.settlePnlLimitSettledInCurrentWindowNative.toNumber(),
|
|
);
|
|
|
|
let minPnl = unrealized.neg().sub(used);
|
|
let maxPnl = unrealized.sub(used);
|
|
|
|
const realizedTrade = this.settlePnlLimitRealizedTrade;
|
|
if (realizedTrade.gte(new BN(0))) {
|
|
maxPnl = maxPnl.add(realizedTrade);
|
|
} else {
|
|
minPnl = minPnl.add(realizedTrade);
|
|
}
|
|
|
|
const realizedOther = new BN(this.realizedOtherPnlNative.toNumber());
|
|
if (realizedOther.gte(new BN(0))) {
|
|
maxPnl = maxPnl.add(realizedOther);
|
|
} else {
|
|
minPnl = minPnl.add(realizedOther);
|
|
}
|
|
|
|
return [BN.min(minPnl, new BN(0)), BN.max(maxPnl, new BN(0))];
|
|
}
|
|
|
|
public applyPnlSettleLimit(pnl: I80F48, perpMarket: PerpMarket): I80F48 {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
|
|
if (perpMarket.settlePnlLimitFactor < 0) {
|
|
return pnl;
|
|
}
|
|
|
|
const [minPnl, maxPnl] = this.availableSettleLimit(perpMarket);
|
|
if (pnl.lt(ZERO_I80F48())) {
|
|
return pnl.max(I80F48.fromI64(minPnl));
|
|
} else {
|
|
return pnl.min(I80F48.fromI64(maxPnl));
|
|
}
|
|
}
|
|
|
|
public getSettleablePnl(
|
|
group: Group,
|
|
perpMarket: PerpMarket,
|
|
account: MangoAccount,
|
|
): I80F48 {
|
|
if (perpMarket.perpMarketIndex !== this.marketIndex) {
|
|
throw new Error("PerpPosition doesn't belong to the given market!");
|
|
}
|
|
this.updateSettleLimit(perpMarket);
|
|
const perpSettleHealth = account.getPerpSettleHealth(group);
|
|
const limitedUnsettled = this.applyPnlSettleLimit(
|
|
this.getUnsettledPnl(perpMarket),
|
|
perpMarket,
|
|
);
|
|
if (limitedUnsettled.lt(ZERO_I80F48())) {
|
|
return limitedUnsettled.max(perpSettleHealth.max(ZERO_I80F48()).neg());
|
|
}
|
|
return limitedUnsettled;
|
|
}
|
|
|
|
getSettleablePnlUi(
|
|
group: Group,
|
|
perpMarket: PerpMarket,
|
|
account: MangoAccount,
|
|
): number {
|
|
return toUiDecimalsForQuote(
|
|
this.getSettleablePnl(group, perpMarket, account),
|
|
);
|
|
}
|
|
|
|
public canSettlePnl(
|
|
group: Group,
|
|
perpMarket: PerpMarket,
|
|
account: MangoAccount,
|
|
): boolean {
|
|
return !this.getSettleablePnl(group, perpMarket, account).eq(ZERO_I80F48());
|
|
}
|
|
|
|
toString(perpMarket?: PerpMarket): string {
|
|
return perpMarket
|
|
? 'market - ' +
|
|
perpMarket.name +
|
|
', basePositionLots - ' +
|
|
perpMarket.baseLotsToUi(this.basePositionLots) +
|
|
', quotePositive - ' +
|
|
toUiDecimalsForQuote(this.quotePositionNative.toNumber()) +
|
|
', bidsBaseLots - ' +
|
|
perpMarket.baseLotsToUi(this.bidsBaseLots) +
|
|
', asksBaseLots - ' +
|
|
perpMarket.baseLotsToUi(this.asksBaseLots) +
|
|
', takerBaseLots - ' +
|
|
perpMarket.baseLotsToUi(this.takerBaseLots) +
|
|
', takerQuoteLots - ' +
|
|
perpMarket.quoteLotsToUi(this.takerQuoteLots) +
|
|
', unsettled pnl - ' +
|
|
this.getUnsettledPnlUi(perpMarket!).toString()
|
|
: '';
|
|
}
|
|
}
|
|
|
|
export class PerpPositionDto {
|
|
constructor(
|
|
public marketIndex: number,
|
|
public settlePnlLimitWindow: number,
|
|
public settlePnlLimitSettledInCurrentWindowNative: BN,
|
|
public basePositionLots: BN,
|
|
public quotePositionNative: { val: BN },
|
|
public quoteRunningNative: BN,
|
|
public longSettledFunding: I80F48Dto,
|
|
public shortSettledFunding: I80F48Dto,
|
|
public bidsBaseLots: BN,
|
|
public asksBaseLots: BN,
|
|
public takerBaseLots: BN,
|
|
public takerQuoteLots: BN,
|
|
public cumulativeLongFunding: number,
|
|
public cumulativeShortFunding: number,
|
|
public makerVolume: BN,
|
|
public takerVolume: BN,
|
|
public perpSpotTransfers: BN,
|
|
public avgEntryPricePerBaseLot: number,
|
|
public realizedTradePnlNative: I80F48Dto,
|
|
public realizedOtherPnlNative: I80F48Dto,
|
|
public settlePnlLimitRealizedTrade: BN,
|
|
public realizedPnlForPositionNative: I80F48Dto,
|
|
) {}
|
|
}
|
|
|
|
export class PerpOo {
|
|
static OrderMarketUnset = 65535;
|
|
static from(dto: PerpOoDto): PerpOo {
|
|
return new PerpOo(dto.sideAndTree, dto.market, dto.clientId, dto.id);
|
|
}
|
|
|
|
constructor(
|
|
public sideAndTree: any,
|
|
public orderMarket: number,
|
|
public clientId: BN,
|
|
public id: BN,
|
|
) {}
|
|
|
|
isActive(): boolean {
|
|
return this.orderMarket !== PerpOo.OrderMarketUnset;
|
|
}
|
|
}
|
|
export class PerpOoDto {
|
|
constructor(
|
|
public sideAndTree: any,
|
|
public market: number,
|
|
public clientId: BN,
|
|
public id: BN,
|
|
) {}
|
|
}
|
|
|
|
export class HealthType {
|
|
static maint = { maint: {} };
|
|
static init = { init: {} };
|
|
static liquidationEnd = { liquidationEnd: {} };
|
|
}
|