Merge branch 'main' into feature/trade_4

# Conflicts: # build.gradle.kts # src/commonMain/kotlin/exchange.dydx.abacus/validator/AccountInputValidator.kt # src/commonMain/kotlin/exchange.dydx.abacus/validator/TradeInputValidator.kt # v4_abacus.podspec
dydxprotocol · Aug 22, 2024 · 1469a14 · 1469a14
2 parents 270b53b + f3bc02f
commit 1469a14
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Showing 12 changed files with 383 additions and 71 deletions.
diff --git a/build.gradle.kts b/build.gradle.kts
@@ -52,7 +52,7 @@ allprojects {
 }
 
 group = "exchange.dydx.abacus"
-version = "1.8.95"
+version = "1.8.97"
 
 repositories {
     google()

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/calculator/TradeInputCalculator.kt b/src/commonMain/kotlin/exchange.dydx.abacus/calculator/TradeInputCalculator.kt
@@ -61,7 +61,7 @@ internal class TradeInputCalculator(
         val account = parser.asNativeMap(state["account"])
 
         val crossMarginSubaccount = parser.asNativeMap(parser.value(account, "subaccounts.$subaccountNumber"))
-        val subaccount = parser.asMap(parser.value(account, "groupedSubaccounts.$subaccountNumber"))
+        val groupedSubaccount = parser.asMap(parser.value(account, "groupedSubaccounts.$subaccountNumber"))
             ?: crossMarginSubaccount
 
         val user = parser.asNativeMap(state["user"]) ?: mapOf()
@@ -75,6 +75,12 @@ internal class TradeInputCalculator(
         )
 
         val marginMode = parser.asString(parser.value(trade, "marginMode"))?.let { MarginMode.invoke(it) }
+        val subaccount = if (marginMode == MarginMode.Cross) {
+            crossMarginSubaccount
+        } else {
+            // TODO: incorrect for isolated trades; fix CT-1092
+            groupedSubaccount
+        }
 
         val marketId = parser.asString(trade?.get("marketId"))
         val type = parser.asString(trade?.get("type"))
@@ -90,11 +96,7 @@ internal class TradeInputCalculator(
                         calculateMarketOrderTrade(
                             trade,
                             market,
-                            if (marginMode == MarginMode.Isolated) {
-                                subaccount
-                            } else {
-                                crossMarginSubaccount
-                            }, // TODO: incorrect for isolated trades; fix CT-1092
+                            subaccount,
                             user,
                             isBuying,
                             input,
@@ -854,22 +856,11 @@ internal class TradeInputCalculator(
         feeTiers: List<Any>?,
         type: String,
     ): Map<String, Any> {
-        val marketId = parser.asString(market?.get("id"))
-        val position = if (marketId != null) {
-            parser.asNativeMap(
-                parser.value(
-                    subaccount,
-                    "openPositions.$marketId",
-                ),
-            )
-        } else {
-            null
-        }
         var modified = trade.mutable()
         val fields = requiredFields(account, subaccount, trade, market)
         modified.safeSet("fields", fields)
-        modified.safeSet("options", calculatedOptionsFromFields(fields, trade, position, market))
-        modified = defaultOptions(account, subaccount, modified, position, market)
+        modified.safeSet("options", calculatedOptionsFromFields(fields, trade, market, subaccount))
+        modified = defaultOptions(account, subaccount, modified, market)
         modified.safeSet(
             "summary",
             summaryForType(trade, subaccount, user, market, rewardsParams, feeTiers, type),
@@ -1148,8 +1139,8 @@ internal class TradeInputCalculator(
     private fun calculatedOptionsFromFields(
         fields: List<Any>?,
         trade: Map<String, Any>,
-        position: Map<String, Any>?,
         market: Map<String, Any>?,
+        subaccount: Map<String, Any>?,
     ): Map<String, Any>? {
         fields?.let { fields ->
             val options = mutableMapOf<String, Any>(
@@ -1217,7 +1208,7 @@ internal class TradeInputCalculator(
                 }
             }
             if (parser.asBool(options["needsLeverage"]) == true) {
-                options.safeSet("maxLeverage", maxLeverageFromPosition(position, market))
+                options.safeSet("maxLeverage", maxLeverage(subaccount, market))
             } else {
                 options.safeSet("maxLeverage", null)
             }
@@ -1241,20 +1232,6 @@ internal class TradeInputCalculator(
         return null
     }
 
-    private fun maxLeverageFromPosition(
-        position: Map<String, Any>?,
-        market: Map<String, Any>?,
-    ): Double? {
-        if (position != null) {
-            return parser.asDouble(parser.value(position, "maxLeverage.current"))
-        } else {
-            val initialMarginFraction =
-                parser.asDouble(parser.value(market, "configs.effectiveInitialMarginFraction"))
-                    ?: return null
-            return 1.0 / initialMarginFraction
-        }
-    }
-
     private fun reduceOnlyPromptFromTrade(
         trade: Map<String, Any>,
     ): String? {
@@ -1280,18 +1257,16 @@ internal class TradeInputCalculator(
         account: Map<String, Any>?,
         subaccount: Map<String, Any>?,
         trade: Map<String, Any>,
-        position: Map<String, Any>?,
         market: Map<String, Any>?,
     ): Map<String, Any>? {
         val fields = requiredFields(account, subaccount, trade, market)
-        return calculatedOptionsFromFields(fields, trade, position, market)
+        return calculatedOptionsFromFields(fields, trade, market, subaccount)
     }
 
     private fun defaultOptions(
         account: Map<String, Any>?,
         subaccount: Map<String, Any>?,
         trade: Map<String, Any>,
-        position: Map<String, Any>?,
         market: Map<String, Any>?,
     ): MutableMap<String, Any> {
         val modified = trade.toMutableMap()
@@ -1300,7 +1275,6 @@ internal class TradeInputCalculator(
                 account,
                 subaccount,
                 trade,
-                position,
                 market,
             )?.get("timeInForceOptions"),
         )
@@ -1314,7 +1288,6 @@ internal class TradeInputCalculator(
                 account,
                 subaccount,
                 trade,
-                position,
                 market,
             )?.get("goodTilUnitOptions"),
         )
@@ -1329,7 +1302,6 @@ internal class TradeInputCalculator(
                 account,
                 subaccount,
                 trade,
-                position,
                 market,
             )?.get("executionOptions"),
         )
@@ -1343,7 +1315,6 @@ internal class TradeInputCalculator(
                 account,
                 subaccount,
                 trade,
-                position,
                 market,
             )?.get("marginModeOptions"),
         )
@@ -1357,7 +1328,6 @@ internal class TradeInputCalculator(
                     account,
                     subaccount,
                     trade,
-                    position,
                     market,
                 )?.get("needsGoodUntil"),
             ) == true
@@ -1718,7 +1688,25 @@ internal class TradeInputCalculator(
                 "openPositions.$marketId",
             ),
         )
-        return maxLeverageFromPosition(position, market)
+
+        val initialMarginFraction =
+            parser.asDouble(parser.value(market, "configs.effectiveInitialMarginFraction"))
+                ?: return null
+        val maxMarketLeverage = if (initialMarginFraction <= Numeric.double.ZERO) {
+            return null
+        } else {
+            Numeric.double.ONE / initialMarginFraction
+        }
+
+        val equity = parser.asDouble(parser.value(subaccount, "equity.current"))
+        val freeCollateral = parser.asDouble(parser.value(subaccount, "freeCollateral.current")) ?: Numeric.double.ZERO
+        val positionNotionalTotal = parser.asDouble(parser.value(position, "notionalTotal.current")) ?: Numeric.double.ZERO
+
+        return if (equity != null && equity > Numeric.double.ZERO) {
+            (freeCollateral + positionNotionalTotal / maxMarketLeverage) * maxMarketLeverage / equity
+        } else {
+            maxMarketLeverage
+        }
     }
 
     private fun slippage(price: Double?, oraclePrice: Double?, side: String?): Double? {

diff --git a/...nMain/kotlin/exchange.dydx.abacus/calculator/V2/TradeInput/TradeInputOptionsCalculator.kt b/...nMain/kotlin/exchange.dydx.abacus/calculator/V2/TradeInput/TradeInputOptionsCalculator.kt
@@ -16,6 +16,7 @@ import exchange.dydx.abacus.state.internalstate.InternalSubaccountState
 import exchange.dydx.abacus.state.internalstate.InternalTradeInputOptions
 import exchange.dydx.abacus.state.internalstate.InternalTradeInputState
 import exchange.dydx.abacus.state.internalstate.safeCreate
+import exchange.dydx.abacus.utils.Numeric
 import kollections.iListOf
 
 internal class TradeInputOptionsCalculator(
@@ -63,6 +64,7 @@ internal class TradeInputOptionsCalculator(
         return calculatedOptionsFromFields(
             fields = fields,
             trade = trade,
+            subaccount = subaccount,
             position = position,
             market = market,
         )
@@ -166,6 +168,7 @@ internal class TradeInputOptionsCalculator(
     private fun calculatedOptionsFromFields(
         fields: List<Any>?,
         trade: InternalTradeInputState,
+        subaccount: InternalSubaccountState?,
         position: InternalPerpetualPosition?,
         market: InternalMarketState?,
     ): InternalTradeInputOptions {
@@ -209,7 +212,7 @@ internal class TradeInputOptionsCalculator(
         }
 
         if (options.needsLeverage) {
-            options.maxLeverage = maxLeverageFromPosition(position, market)
+            options.maxLeverage = maxLeverage(subaccount, market, position)
         } else {
             options.maxLeverage = null
         }
@@ -342,17 +345,32 @@ internal class TradeInputOptionsCalculator(
         }
     }
 
-    private fun maxLeverageFromPosition(
-        position: InternalPerpetualPosition?,
+    private fun maxLeverage(
+        subaccount: InternalSubaccountState?,
         market: InternalMarketState?,
+        position: InternalPerpetualPosition?,
     ): Double? {
-        if (position != null) {
-            return position.calculated[CalculationPeriod.current]?.maxLeverage
+        if (subaccount == null || market == null) {
+            return null
+        }
+
+        val initialMarginFraction =
+            market.perpetualMarket?.configs?.effectiveInitialMarginFraction ?: return null
+
+        val maxMarketLeverage = if (initialMarginFraction <= Numeric.double.ZERO) {
+            return null
+        } else {
+            Numeric.double.ONE / initialMarginFraction
+        }
+
+        val equity = subaccount.calculated[CalculationPeriod.current]?.equity
+        val freeCollateral = subaccount.calculated[CalculationPeriod.current]?.freeCollateral ?: Numeric.double.ZERO
+        val positionNotionalTotal = position?.calculated?.get(CalculationPeriod.current)?.notionalTotal ?: Numeric.double.ZERO
+
+        return if (equity != null && equity > Numeric.double.ZERO) {
+            (freeCollateral + positionNotionalTotal / maxMarketLeverage) * maxMarketLeverage / equity
         } else {
-            val initialMarginFraction =
-                market?.perpetualMarket?.configs?.effectiveInitialMarginFraction
-                    ?: return null
-            return 1.0 / initialMarginFraction
+            maxMarketLeverage
         }
     }
 

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/processor/router/skip/SkipRouteProcessor.kt b/src/commonMain/kotlin/exchange.dydx.abacus/processor/router/skip/SkipRouteProcessor.kt
@@ -2,8 +2,10 @@ package exchange.dydx.abacus.processor.router.skip
 
 import exchange.dydx.abacus.processor.base.BaseProcessor
 import exchange.dydx.abacus.protocols.ParserProtocol
+import exchange.dydx.abacus.state.manager.StatsigConfig
 import exchange.dydx.abacus.utils.SLIPPAGE_PERCENT
 import exchange.dydx.abacus.utils.safeSet
+import exchange.dydx.abacus.utils.toJson
 import exchange.dydx.abacus.utils.toJsonArray
 import kotlin.math.pow
 
@@ -108,6 +110,17 @@ internal class SkipRouteProcessor(internal val parser: ParserProtocol) {
             val payloadProcessor = SkipRoutePayloadProcessor(parser)
             modified.safeSet("requestPayload", payloadProcessor.received(null, payload))
         }
+
+        if (modified.get("warning") == null && bridgeFees > StatsigConfig.dc_max_safe_bridge_fees) {
+            val fromAmountUSD = parser.asString(parser.value(payload, "route.usd_amount_in"))
+            modified.safeSet(
+                "warning",
+                mapOf(
+                    "type" to "BAD_PRICE_WARNING",
+                    "message" to "Difference in USD value of route input and output is large ($bridgeFees). Input USD Value: $fromAmountUSD Output USD value: $toAmountUSD",
+                ).toJson(),
+            )
+        }
         return modified
     }
 }
diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/state/manager/Environment.kt b/src/commonMain/kotlin/exchange.dydx.abacus/state/manager/Environment.kt
@@ -546,6 +546,7 @@ class V4Environment(
 data object StatsigConfig {
     var useSkip: Boolean = false
     var ff_enable_evm_swaps: Boolean = false
+    var dc_max_safe_bridge_fees: Float = Float.POSITIVE_INFINITY
 }
 
 @JsExport

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/state/manager/configs/V4StateManagerConfigs.kt b/src/commonMain/kotlin/exchange.dydx.abacus/state/manager/configs/V4StateManagerConfigs.kt
@@ -28,6 +28,7 @@ class V4StateManagerConfigs(
                          "screen":"/v4/screen",
                          "complianceScreen":"/v4/compliance/screen",
                          "complianceGeoblock":"/v4/compliance/geoblock",
+                         "complianceGeoblockKeplr":"/v4/compliance/geoblock-keplr",
                          "height":"/v4/height"
                       },
                       "private":{

diff --git a/...monMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+ClosePositionInput.kt b/...monMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+ClosePositionInput.kt
@@ -83,6 +83,10 @@ fun TradingStateMachine.closePosition(
                 val currentPositionLeverage = parser.asDouble(parser.value(position, "leverage.current"))?.abs()
                 trade["targetLeverage"] = if (currentPositionLeverage != null && currentPositionLeverage > 0) currentPositionLeverage else 1.0
 
+                // default full close
+                trade.safeSet("size.percent", 1.0)
+                trade.safeSet("size.input", "size.percent")
+
                 changes = StateChanges(
                     iListOf(Changes.subaccount, Changes.input),
                     null,
@@ -157,6 +161,9 @@ private fun TradingStateMachine.initiateClosePosition(
     trade["type"] = "MARKET"
     trade["side"] = "BUY"
     trade["marketId"] = marketId ?: "ETH-USD"
+    // default full close
+    trade.safeSet("size.percent", 1.0)
+    trade.safeSet("size.input", "size.percent")
 
     val calculator = TradeInputCalculator(parser, TradeCalculation.closePosition)
     val params = mutableMapOf<String, Any>()
@@ -167,7 +174,7 @@ private fun TradingStateMachine.initiateClosePosition(
     params.safeSet("rewardsParams", rewardsParams)
     params.safeSet("configs", configs)
 
-    val modified = calculator.calculate(params, subaccountNumber, null)
+    val modified = calculator.calculate(params, subaccountNumber, "size.percent")
 
     return parser.asMap(modified["trade"])?.mutable() ?: trade
 }