870 lines
29 KiB
TypeScript
870 lines
29 KiB
TypeScript
import { PublicKey } from '@solana/web3.js';
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import _ from 'lodash';
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import { Bank } from './bank';
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import { Group } from './group';
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import {
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HUNDRED_I80F48,
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I80F48,
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I80F48Dto,
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MAX_I80F48,
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ONE_I80F48,
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ZERO_I80F48,
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} from './I80F48';
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import { HealthType } from './mangoAccount';
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import { 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 fromDto(dto) {
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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) => new PerpInfo(dto)),
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);
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}
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public health(healthType: HealthType): I80F48 {
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let 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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health = health.add(contrib);
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}
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for (const serum3Info of this.serum3Infos) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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);
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health = health.add(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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health = health.add(contrib);
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}
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return health;
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}
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public assets(healthType: HealthType): I80F48 {
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let 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 = assets.add(contrib);
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}
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}
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for (const serum3Info of this.serum3Infos) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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);
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if (contrib.isPos()) {
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assets = assets.add(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 = assets.add(contrib);
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}
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}
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return assets;
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}
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public liabs(healthType: HealthType): I80F48 {
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let 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 = liabs.sub(contrib);
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}
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}
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for (const serum3Info of this.serum3Infos) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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);
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if (contrib.isNeg()) {
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liabs = liabs.sub(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 = liabs.sub(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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let assets = ZERO_I80F48;
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let liabs = ZERO_I80F48;
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for (const tokenInfo of this.tokenInfos) {
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const contrib = tokenInfo.healthContribution(healthType);
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if (contrib.isPos()) {
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assets = assets.add(contrib);
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} else {
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liabs = liabs.sub(contrib);
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}
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}
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for (const serum3Info of this.serum3Infos) {
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const contrib = serum3Info.healthContribution(
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healthType,
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this.tokenInfos,
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);
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if (contrib.isPos()) {
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assets = assets.add(contrib);
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} else {
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liabs = liabs.sub(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 = assets.add(contrib);
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} else {
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liabs = liabs.sub(contrib);
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}
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}
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if (liabs.isPos()) {
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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: number): 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: Bank): 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.emptyFromBank(bank));
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}
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return this.findTokenInfoIndex(bank.tokenIndex);
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}
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adjustSerum3Reserved(
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// todo change indices to types from numbers
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marketIndex: number,
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baseTokenIndex: number,
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reservedBaseChange: I80F48,
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freeBaseChange: I80F48,
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quoteTokenIndex: number,
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reservedQuoteChange: I80F48,
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freeQuoteChange: I80F48,
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) {
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const baseEntryIndex = this.findTokenInfoIndex(baseTokenIndex);
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const quoteEntryIndex = this.findTokenInfoIndex(quoteTokenIndex);
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let reservedAmount = ZERO_I80F48;
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const baseEntry = this.tokenInfos[baseEntryIndex];
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reservedAmount = reservedBaseChange.mul(baseEntry.oraclePrice);
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const quoteEntry = this.tokenInfos[quoteEntryIndex];
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reservedAmount = reservedAmount.add(
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reservedQuoteChange.mul(quoteEntry.oraclePrice),
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);
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// Apply it to the tokens
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baseEntry.serum3MaxReserved =
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baseEntry.serum3MaxReserved.add(reservedAmount);
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baseEntry.balance = baseEntry.balance.add(
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freeBaseChange.mul(baseEntry.oraclePrice),
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);
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quoteEntry.serum3MaxReserved =
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quoteEntry.serum3MaxReserved.add(reservedAmount);
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quoteEntry.balance = quoteEntry.balance.add(
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freeQuoteChange.mul(quoteEntry.oraclePrice),
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);
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// Apply it to the serum3 info
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const serum3Info = this.serum3Infos.find(
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(serum3Info) => serum3Info.marketIndex === marketIndex,
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);
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serum3Info.reserved = serum3Info.reserved.add(reservedAmount);
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}
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public static logHealthCache(debug: string, healthCache: HealthCache) {
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if (debug) console.log(debug);
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for (const token of healthCache.tokenInfos) {
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console.log(` {token.toString()}`);
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}
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for (const serum3Info of healthCache.serum3Infos) {
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console.log(` {serum3Info.toString(healthCache.tokenInfos)}`);
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}
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console.log(
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` assets ${healthCache.assets(
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HealthType.init,
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)}, liabs ${healthCache.liabs(HealthType.init)}, `,
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);
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console.log(
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` health(HealthType.init) ${healthCache.health(HealthType.init)}`,
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);
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console.log(
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` healthRatio(HealthType.init) ${healthCache.healthRatio(
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HealthType.init,
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)}`,
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);
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}
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simHealthRatioWithTokenPositionChanges(
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group: Group,
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nativeTokenChanges: {
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nativeTokenAmount: I80F48;
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mintPk: PublicKey;
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}[],
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healthType: HealthType = HealthType.init,
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): I80F48 {
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const adjustedCache: HealthCache = _.cloneDeep(this);
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// HealthCache.logHealthCache('beforeChange', adjustedCache);
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for (const change of nativeTokenChanges) {
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const bank: Bank = group.getFirstBankByMint(change.mintPk);
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const changeIndex = adjustedCache.getOrCreateTokenInfoIndex(bank);
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adjustedCache.tokenInfos[changeIndex].balance = adjustedCache.tokenInfos[
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changeIndex
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].balance.add(change.nativeTokenAmount.mul(bank.price));
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}
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// HealthCache.logHealthCache('afterChange', adjustedCache);
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return adjustedCache.healthRatio(healthType);
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}
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simHealthRatioWithSerum3BidChanges(
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group: Group,
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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 quoteBank = group.banksMapByTokenIndex.get(
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serum3Market.quoteTokenIndex,
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)[0];
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const quoteIndex = adjustedCache.getOrCreateTokenInfoIndex(quoteBank);
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const quote = adjustedCache.tokenInfos[quoteIndex];
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// Move token balance to reserved funds in open orders,
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// essentially simulating a place order
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// Reduce token balance for quote
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adjustedCache.tokenInfos[quoteIndex].balance = adjustedCache.tokenInfos[
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quoteIndex
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].balance.sub(bidNativeQuoteAmount.mul(quote.oraclePrice));
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// Increase reserved in Serum3Info for quote
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adjustedCache.adjustSerum3Reserved(
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serum3Market.marketIndex,
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serum3Market.baseTokenIndex,
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ZERO_I80F48,
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ZERO_I80F48,
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serum3Market.quoteTokenIndex,
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bidNativeQuoteAmount,
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ZERO_I80F48,
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);
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return adjustedCache.healthRatio(healthType);
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}
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simHealthRatioWithSerum3AskChanges(
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group: Group,
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askNativeBaseAmount: 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 baseBank = group.banksMapByTokenIndex.get(
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serum3Market.baseTokenIndex,
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)[0];
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const baseIndex = adjustedCache.getOrCreateTokenInfoIndex(baseBank);
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const base = adjustedCache.tokenInfos[baseIndex];
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// Move token balance to reserved funds in open orders,
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// essentially simulating a place order
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// Reduce token balance for base
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adjustedCache.tokenInfos[baseIndex].balance = adjustedCache.tokenInfos[
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baseIndex
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].balance.sub(askNativeBaseAmount.mul(base.oraclePrice));
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// Increase reserved in Serum3Info for base
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adjustedCache.adjustSerum3Reserved(
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serum3Market.marketIndex,
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serum3Market.baseTokenIndex,
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askNativeBaseAmount,
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ZERO_I80F48,
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serum3Market.quoteTokenIndex,
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ZERO_I80F48,
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ZERO_I80F48,
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);
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return adjustedCache.healthRatio(healthType);
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}
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private static binaryApproximationSearch(
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left: I80F48,
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leftRatio: I80F48,
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right: I80F48,
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rightRatio: I80F48,
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targetRatio: I80F48,
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healthRatioAfterActionFn: (I80F48) => I80F48,
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) {
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const maxIterations = 40;
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// TODO: make relative to health ratio decimals? Might be over engineering
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const targetError = I80F48.fromNumber(0.001);
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if (
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(leftRatio.sub(targetRatio).isPos() &&
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rightRatio.sub(targetRatio).isPos()) ||
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(leftRatio.sub(targetRatio).isNeg() &&
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rightRatio.sub(targetRatio).isNeg())
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) {
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throw new Error(
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`internal error: left ${leftRatio.toNumber()} and right ${rightRatio.toNumber()} don't contain the target value ${targetRatio.toNumber()}`,
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);
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}
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let newAmount;
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for (const key of Array(maxIterations).fill(0).keys()) {
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newAmount = left.add(right).mul(I80F48.fromNumber(0.5));
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const newAmountRatio = healthRatioAfterActionFn(newAmount);
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const error = newAmountRatio.sub(targetRatio);
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if (error.isPos() && error.lt(targetError)) {
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return newAmount;
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}
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if (newAmountRatio.gt(targetRatio) != rightRatio.gt(targetRatio)) {
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left = newAmount;
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} else {
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right = newAmount;
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rightRatio = newAmountRatio;
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}
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}
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console.error(
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`Unable to get targetRatio within ${maxIterations} iterations`,
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);
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return newAmount;
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}
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getMaxSourceForTokenSwap(
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group: Group,
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sourceMintPk: PublicKey,
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targetMintPk: PublicKey,
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minRatio: I80F48,
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): I80F48 {
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const sourceBank: Bank = group.getFirstBankByMint(sourceMintPk);
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const targetBank: Bank = group.getFirstBankByMint(targetMintPk);
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if (sourceMintPk.equals(targetMintPk)) {
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return ZERO_I80F48;
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}
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if (!sourceBank.price || sourceBank.price.lte(ZERO_I80F48)) {
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return ZERO_I80F48;
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}
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if (
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sourceBank.initLiabWeight
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.sub(targetBank.initAssetWeight)
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.abs()
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.lte(ZERO_I80F48)
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) {
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return ZERO_I80F48;
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}
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// The health_ratio is a nonlinear based on swap amount.
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// For large swap amounts the slope is guaranteed to be negative, but small amounts
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// can have positive slope (e.g. using source deposits to pay back target borrows).
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//
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// That means:
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// - even if the initial ratio is < minRatio it can be useful to swap to *increase* health
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// - be careful about finding the minRatio point: the function isn't convex
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const initialRatio = this.healthRatio(HealthType.init);
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if (initialRatio.lte(ZERO_I80F48)) {
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return ZERO_I80F48;
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}
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const healthCacheClone: HealthCache = _.cloneDeep(this);
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const sourceIndex = healthCacheClone.getOrCreateTokenInfoIndex(sourceBank);
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const targetIndex = healthCacheClone.getOrCreateTokenInfoIndex(targetBank);
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const source = healthCacheClone.tokenInfos[sourceIndex];
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const target = healthCacheClone.tokenInfos[targetIndex];
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// There are two key slope changes: Assume source.balance > 0 and target.balance < 0. Then
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// initially health ratio goes up. When one of balances flips sign, the health ratio slope
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// may be positive or negative for a bit, until both balances have flipped and the slope is
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// negative.
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// The maximum will be at one of these points (ignoring serum3 effects).
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function cacheAfterSwap(amount: I80F48) {
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const adjustedCache: HealthCache = _.cloneDeep(healthCacheClone);
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// HealthCache.logHealthCache('beforeSwap', adjustedCache);
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adjustedCache.tokenInfos[sourceIndex].balance =
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adjustedCache.tokenInfos[sourceIndex].balance.sub(amount);
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adjustedCache.tokenInfos[targetIndex].balance =
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adjustedCache.tokenInfos[targetIndex].balance.add(amount);
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// HealthCache.logHealthCache('afterSwap', adjustedCache);
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return adjustedCache;
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}
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function healthRatioAfterSwap(amount: I80F48): I80F48 {
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return cacheAfterSwap(amount).healthRatio(HealthType.init);
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}
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const point0Amount = source.balance
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.min(target.balance.neg())
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.max(ZERO_I80F48);
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const point1Amount = source.balance
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.max(target.balance.neg())
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.max(ZERO_I80F48);
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const cache0 = cacheAfterSwap(point0Amount);
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const point0Ratio = cache0.healthRatio(HealthType.init);
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const cache1 = cacheAfterSwap(point1Amount);
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const point1Ratio = cache1.healthRatio(HealthType.init);
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const point1Health = cache1.health(HealthType.init);
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let amount: I80F48;
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if (
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initialRatio.lte(minRatio) &&
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point0Ratio.lt(minRatio) &&
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point1Ratio.lt(minRatio)
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) {
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// If we have to stay below the target ratio, pick the highest one
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if (point0Ratio.gt(initialRatio)) {
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if (point1Ratio.gt(point0Ratio)) {
|
|
amount = point1Amount;
|
|
} else {
|
|
amount = point0Amount;
|
|
}
|
|
} else if (point1Ratio.gt(initialRatio)) {
|
|
amount = point1Amount;
|
|
} else {
|
|
amount = ZERO_I80F48;
|
|
}
|
|
} else if (point1Ratio.gte(minRatio)) {
|
|
// If point1Ratio is still bigger than minRatio, the target amount must be >point1Amount
|
|
// search to the right of point1Amount: but how far?
|
|
// At point1, source.balance < 0 and target.balance > 0, so use a simple estimation for
|
|
// zero health: health - source_liab_weight * a + target_asset_weight * a = 0.
|
|
if (point1Health.lte(ZERO_I80F48)) {
|
|
return ZERO_I80F48;
|
|
}
|
|
const zeroHealthAmount = point1Amount.add(
|
|
point1Health.div(source.initLiabWeight.sub(target.initAssetWeight)),
|
|
);
|
|
const zeroHealthRatio = healthRatioAfterSwap(zeroHealthAmount);
|
|
amount = HealthCache.binaryApproximationSearch(
|
|
point1Amount,
|
|
point1Ratio,
|
|
zeroHealthAmount,
|
|
zeroHealthRatio,
|
|
minRatio,
|
|
healthRatioAfterSwap,
|
|
);
|
|
} else if (point0Ratio.gte(minRatio)) {
|
|
// Must be between point0Amount and point1Amount.
|
|
amount = HealthCache.binaryApproximationSearch(
|
|
point0Amount,
|
|
point0Ratio,
|
|
point1Amount,
|
|
point1Ratio,
|
|
minRatio,
|
|
healthRatioAfterSwap,
|
|
);
|
|
} else {
|
|
throw new Error(
|
|
`internal error: assert that init ratio ${initialRatio.toNumber()} <= point0 ratio ${point0Ratio.toNumber()}`,
|
|
);
|
|
}
|
|
|
|
return amount
|
|
.div(source.oraclePrice)
|
|
.div(
|
|
ONE_I80F48.add(
|
|
group.getFirstBankByMint(sourceMintPk).loanOriginationFeeRate,
|
|
),
|
|
);
|
|
}
|
|
|
|
getMaxForSerum3Order(
|
|
group: Group,
|
|
serum3Market: Serum3Market,
|
|
side: Serum3Side,
|
|
minRatio: I80F48,
|
|
) {
|
|
const baseBank = group.banksMapByTokenIndex.get(
|
|
serum3Market.baseTokenIndex,
|
|
)[0];
|
|
const quoteBank = group.banksMapByTokenIndex.get(
|
|
serum3Market.quoteTokenIndex,
|
|
)[0];
|
|
|
|
const healthCacheClone: HealthCache = _.cloneDeep(this);
|
|
|
|
const baseIndex = healthCacheClone.getOrCreateTokenInfoIndex(baseBank);
|
|
const quoteIndex = healthCacheClone.getOrCreateTokenInfoIndex(quoteBank);
|
|
const base = healthCacheClone.tokenInfos[baseIndex];
|
|
const quote = healthCacheClone.tokenInfos[quoteIndex];
|
|
|
|
// Binary search between current health (0 sized new order) and
|
|
// an amount to trade which will bring health to 0.
|
|
|
|
// Current health and amount i.e. 0
|
|
const initialAmount = ZERO_I80F48;
|
|
const initialHealth = this.health(HealthType.init);
|
|
const initialRatio = this.healthRatio(HealthType.init);
|
|
if (initialRatio.lte(ZERO_I80F48)) {
|
|
return ZERO_I80F48;
|
|
}
|
|
|
|
// Amount which would bring health to 0
|
|
// amount = max(A_deposits, B_borrows) + init_health / (A_liab_weight - B_asset_weight)
|
|
// A is what we would be essentially swapping for B
|
|
// So when its an ask, then base->quote,
|
|
// and when its a bid, then quote->bid
|
|
let zeroAmount;
|
|
if (side == Serum3Side.ask) {
|
|
const quoteBorrows = quote.balance.lt(ZERO_I80F48)
|
|
? quote.balance.abs()
|
|
: ZERO_I80F48;
|
|
zeroAmount = base.balance
|
|
.max(quoteBorrows)
|
|
.add(
|
|
initialHealth.div(
|
|
base
|
|
.liabWeight(HealthType.init)
|
|
.sub(quote.assetWeight(HealthType.init)),
|
|
),
|
|
);
|
|
} else {
|
|
const baseBorrows = base.balance.lt(ZERO_I80F48)
|
|
? base.balance.abs()
|
|
: ZERO_I80F48;
|
|
zeroAmount = quote.balance
|
|
.max(baseBorrows)
|
|
.add(
|
|
initialHealth.div(
|
|
quote
|
|
.liabWeight(HealthType.init)
|
|
.sub(base.assetWeight(HealthType.init)),
|
|
),
|
|
);
|
|
}
|
|
const cache = cacheAfterPlacingOrder(zeroAmount);
|
|
const zeroAmountRatio = cache.healthRatio(HealthType.init);
|
|
|
|
function cacheAfterPlacingOrder(amount: I80F48) {
|
|
const adjustedCache: HealthCache = _.cloneDeep(healthCacheClone);
|
|
|
|
side === Serum3Side.ask
|
|
? (adjustedCache.tokenInfos[baseIndex].balance =
|
|
adjustedCache.tokenInfos[baseIndex].balance.sub(amount))
|
|
: (adjustedCache.tokenInfos[quoteIndex].balance =
|
|
adjustedCache.tokenInfos[quoteIndex].balance.sub(amount));
|
|
|
|
adjustedCache.adjustSerum3Reserved(
|
|
serum3Market.marketIndex,
|
|
serum3Market.baseTokenIndex,
|
|
side === Serum3Side.ask ? amount.div(base.oraclePrice) : ZERO_I80F48,
|
|
ZERO_I80F48,
|
|
serum3Market.quoteTokenIndex,
|
|
side === Serum3Side.bid ? amount.div(quote.oraclePrice) : ZERO_I80F48,
|
|
ZERO_I80F48,
|
|
);
|
|
|
|
return adjustedCache;
|
|
}
|
|
|
|
function healthRatioAfterPlacingOrder(amount: I80F48): I80F48 {
|
|
return cacheAfterPlacingOrder(amount).healthRatio(HealthType.init);
|
|
}
|
|
|
|
const amount = HealthCache.binaryApproximationSearch(
|
|
initialAmount,
|
|
initialRatio,
|
|
zeroAmount,
|
|
zeroAmountRatio,
|
|
minRatio,
|
|
healthRatioAfterPlacingOrder,
|
|
);
|
|
|
|
// If its a bid then the reserved fund and potential loan is in quote,
|
|
// 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.
|
|
return side === Serum3Side.bid
|
|
? amount
|
|
.div(quote.oraclePrice)
|
|
.div(ONE_I80F48.add(baseBank.loanOriginationFeeRate))
|
|
.div(ONE_I80F48.add(I80F48.fromNumber(group.getFeeRate(false))))
|
|
: amount
|
|
.div(base.oraclePrice)
|
|
.div(ONE_I80F48.add(quoteBank.loanOriginationFeeRate))
|
|
.div(ONE_I80F48.add(I80F48.fromNumber(group.getFeeRate(false))));
|
|
}
|
|
}
|
|
|
|
export class TokenInfo {
|
|
constructor(
|
|
public tokenIndex: number,
|
|
public maintAssetWeight: I80F48,
|
|
public initAssetWeight: I80F48,
|
|
public maintLiabWeight: I80F48,
|
|
public initLiabWeight: I80F48,
|
|
// native/native
|
|
public oraclePrice: I80F48,
|
|
// in health-reference-token native units
|
|
public balance: I80F48,
|
|
// in health-reference-token native units
|
|
public serum3MaxReserved: I80F48,
|
|
) {}
|
|
|
|
static fromDto(dto: TokenInfoDto): TokenInfo {
|
|
return new TokenInfo(
|
|
dto.tokenIndex,
|
|
I80F48.from(dto.maintAssetWeight),
|
|
I80F48.from(dto.initAssetWeight),
|
|
I80F48.from(dto.maintLiabWeight),
|
|
I80F48.from(dto.initLiabWeight),
|
|
I80F48.from(dto.oraclePrice),
|
|
I80F48.from(dto.balance),
|
|
I80F48.from(dto.serum3MaxReserved),
|
|
);
|
|
}
|
|
|
|
static emptyFromBank(bank: Bank): TokenInfo {
|
|
return new TokenInfo(
|
|
bank.tokenIndex,
|
|
bank.maintAssetWeight,
|
|
bank.initAssetWeight,
|
|
bank.maintLiabWeight,
|
|
bank.initLiabWeight,
|
|
bank.price,
|
|
ZERO_I80F48,
|
|
ZERO_I80F48,
|
|
);
|
|
}
|
|
|
|
assetWeight(healthType: HealthType): I80F48 {
|
|
return healthType == HealthType.init
|
|
? this.initAssetWeight
|
|
: this.maintAssetWeight;
|
|
}
|
|
|
|
liabWeight(healthType: HealthType): I80F48 {
|
|
return healthType == HealthType.init
|
|
? this.initLiabWeight
|
|
: this.maintLiabWeight;
|
|
}
|
|
|
|
healthContribution(healthType: HealthType): I80F48 {
|
|
return (
|
|
this.balance.isNeg()
|
|
? this.liabWeight(healthType)
|
|
: this.assetWeight(healthType)
|
|
).mul(this.balance);
|
|
}
|
|
|
|
toString() {
|
|
return ` tokenIndex: ${this.tokenIndex}, balance: ${
|
|
this.balance
|
|
}, serum3MaxReserved: ${
|
|
this.serum3MaxReserved
|
|
}, initHealth ${this.healthContribution(HealthType.init)}`;
|
|
}
|
|
}
|
|
|
|
export class Serum3Info {
|
|
constructor(
|
|
public reserved: I80F48,
|
|
public baseIndex: number,
|
|
public quoteIndex: number,
|
|
public marketIndex: number,
|
|
) {}
|
|
|
|
static fromDto(dto: Serum3InfoDto) {
|
|
return new Serum3Info(
|
|
I80F48.from(dto.reserved),
|
|
dto.baseIndex,
|
|
dto.quoteIndex,
|
|
dto.marketIndex,
|
|
);
|
|
}
|
|
|
|
healthContribution(healthType: HealthType, tokenInfos: TokenInfo[]): I80F48 {
|
|
const baseInfo = tokenInfos[this.baseIndex];
|
|
const quoteInfo = tokenInfos[this.quoteIndex];
|
|
const reserved = this.reserved;
|
|
|
|
if (reserved.isZero()) {
|
|
return ZERO_I80F48;
|
|
}
|
|
|
|
// How much the health would increase if the reserved balance were applied to the passed
|
|
// token info?
|
|
const computeHealthEffect = function (tokenInfo: TokenInfo) {
|
|
// This balance includes all possible reserved funds from markets that relate to the
|
|
// token, including this market itself: `reserved` is already included in `max_balance`.
|
|
const maxBalance = tokenInfo.balance.add(tokenInfo.serum3MaxReserved);
|
|
|
|
// Assuming `reserved` was added to `max_balance` last (because that gives the smallest
|
|
// health effects): how much did health change because of it?
|
|
let assetPart, liabPart;
|
|
if (maxBalance.gte(reserved)) {
|
|
assetPart = reserved;
|
|
liabPart = ZERO_I80F48;
|
|
} else if (maxBalance.isNeg()) {
|
|
assetPart = ZERO_I80F48;
|
|
liabPart = reserved;
|
|
} else {
|
|
assetPart = maxBalance;
|
|
liabPart = reserved.sub(maxBalance);
|
|
}
|
|
const assetWeight = tokenInfo.assetWeight(healthType);
|
|
const liabWeight = tokenInfo.liabWeight(healthType);
|
|
return assetWeight.mul(assetPart).add(liabWeight.mul(liabPart));
|
|
};
|
|
|
|
const reservedAsBase = computeHealthEffect(baseInfo);
|
|
const reservedAsQuote = computeHealthEffect(quoteInfo);
|
|
return reservedAsBase.min(reservedAsQuote);
|
|
}
|
|
|
|
toString(tokenInfos: TokenInfo[]) {
|
|
return ` marketIndex: ${this.marketIndex}, baseIndex: ${
|
|
this.baseIndex
|
|
}, quoteIndex: ${this.quoteIndex}, reserved: ${
|
|
this.reserved
|
|
}, initHealth ${this.healthContribution(HealthType.init, tokenInfos)}`;
|
|
}
|
|
}
|
|
|
|
export class PerpInfo {
|
|
constructor(dto: PerpInfoDto) {
|
|
this.maintAssetWeight = I80F48.from(dto.maintAssetWeight);
|
|
this.initAssetWeight = I80F48.from(dto.initAssetWeight);
|
|
this.maintLiabWeight = I80F48.from(dto.maintLiabWeight);
|
|
this.initLiabWeight = I80F48.from(dto.initLiabWeight);
|
|
this.base = I80F48.from(dto.base);
|
|
this.quote = I80F48.from(dto.quote);
|
|
}
|
|
maintAssetWeight: I80F48;
|
|
initAssetWeight: I80F48;
|
|
maintLiabWeight: I80F48;
|
|
initLiabWeight: I80F48;
|
|
// in health-reference-token native units, needs scaling by asset/liab
|
|
base: I80F48;
|
|
// in health-reference-token native units, no asset/liab factor needed
|
|
quote: I80F48;
|
|
|
|
healthContribution(healthType: HealthType): I80F48 {
|
|
let weight;
|
|
if (healthType == HealthType.init && this.base.isNeg()) {
|
|
weight = this.initLiabWeight;
|
|
} else if (healthType == HealthType.init && !this.base.isNeg()) {
|
|
weight = this.initAssetWeight;
|
|
}
|
|
if (healthType == HealthType.maint && this.base.isNeg()) {
|
|
weight = this.maintLiabWeight;
|
|
}
|
|
if (healthType == HealthType.maint && !this.base.isNeg()) {
|
|
weight = this.maintAssetWeight;
|
|
}
|
|
|
|
// FUTURE: Allow v3-style "reliable" markets where we can return
|
|
// `self.quote + weight * self.base` here
|
|
return this.quote.add(weight.mul(this.base)).min(ZERO_I80F48);
|
|
}
|
|
}
|
|
|
|
export class HealthCacheDto {
|
|
tokenInfos: TokenInfoDto[];
|
|
serum3Infos: Serum3InfoDto[];
|
|
perpInfos: PerpInfoDto[];
|
|
}
|
|
export class TokenInfoDto {
|
|
tokenIndex: number;
|
|
maintAssetWeight: I80F48Dto;
|
|
initAssetWeight: I80F48Dto;
|
|
maintLiabWeight: I80F48Dto;
|
|
initLiabWeight: I80F48Dto;
|
|
oraclePrice: I80F48Dto; // native/native
|
|
// in health-reference-token native units
|
|
balance: I80F48Dto;
|
|
// in health-reference-token native units
|
|
serum3MaxReserved: I80F48Dto;
|
|
|
|
constructor(
|
|
tokenIndex: number,
|
|
maintAssetWeight: I80F48Dto,
|
|
initAssetWeight: I80F48Dto,
|
|
maintLiabWeight: I80F48Dto,
|
|
initLiabWeight: I80F48Dto,
|
|
oraclePrice: I80F48Dto,
|
|
balance: I80F48Dto,
|
|
serum3MaxReserved: I80F48Dto,
|
|
) {
|
|
this.tokenIndex = tokenIndex;
|
|
this.maintAssetWeight = maintAssetWeight;
|
|
this.initAssetWeight = initAssetWeight;
|
|
this.maintLiabWeight = maintLiabWeight;
|
|
this.initLiabWeight = initLiabWeight;
|
|
this.oraclePrice = oraclePrice;
|
|
this.balance = balance;
|
|
this.serum3MaxReserved = serum3MaxReserved;
|
|
}
|
|
}
|
|
|
|
export class Serum3InfoDto {
|
|
reserved: I80F48Dto;
|
|
baseIndex: number;
|
|
quoteIndex: number;
|
|
marketIndex: number;
|
|
|
|
constructor(reserved: I80F48Dto, baseIndex: number, quoteIndex: number) {
|
|
this.reserved = reserved;
|
|
this.baseIndex = baseIndex;
|
|
this.quoteIndex = quoteIndex;
|
|
}
|
|
}
|
|
|
|
export class PerpInfoDto {
|
|
maintAssetWeight: I80F48Dto;
|
|
initAssetWeight: I80F48Dto;
|
|
maintLiabWeight: I80F48Dto;
|
|
initLiabWeight: I80F48Dto;
|
|
// in health-reference-token native units, needs scaling by asset/liab
|
|
base: I80F48Dto;
|
|
// in health-reference-token native units, no asset/liab factor needed
|
|
quote: I80F48Dto;
|
|
}
|