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@moo-onthelawn
moo-onthelawn committed Aug 30, 2024
1 parent 5cd31a8 commit 31ac608
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Showing 2 changed files with 89 additions and 34 deletions.
122 changes: 89 additions & 33 deletions src/commonMain/kotlin/exchange.dydx.abacus/calculator/TradeInputCalculator.kt
View file
Original file line number Diff line number Diff line change
Expand Up @@ -23,6 +23,8 @@ import kollections.JsExport
import kotlinx.serialization.Serializable
import kotlin.math.abs
import kotlin.math.pow
import exchange.dydx.abacus.utils.Logger
import kotlin.math.min

@JsExport
@Serializable
Expand Down Expand Up @@ -74,7 +76,6 @@ internal class TradeInputCalculator(
val subaccount = if (marginMode == MarginMode.Cross) {
parser.asNativeMap(parser.value(account, "subaccounts.$subaccountNumber"))
} else {
// TODO: incorrect for isolated trades; fix CT-1092
parser.asNativeMap(parser.value(account, "groupedSubaccounts.$subaccountNumber"))
}

Expand All @@ -83,7 +84,7 @@ internal class TradeInputCalculator(
val market = if (marketId != null) parser.asNativeMap(markets?.get(marketId)) else null
val feeTiers = parser.asNativeList(parser.value(state, "configs.feeTiers"))

return if (trade != null && type != null) {
return if (trade != null && type != null && market != null) {
val isBuying = isBuying(trade)
val modified = state.mutable()
val trade = if (input != null) {
Expand Down Expand Up @@ -143,7 +144,7 @@ internal class TradeInputCalculator(

private fun calculateNonMarketTrade(
trade: Map<String, Any>,
market: Map<String, Any>?,
market: Map<String, Any>,
subaccount: Map<String, Any>?,
type: String,
isBuying: Boolean,
Expand Down Expand Up @@ -195,7 +196,7 @@ internal class TradeInputCalculator(

private fun nonMarketOrderPrice(
prices: Map<String, Any>?,
market: Map<String, Any>?,
market: Map<String, Any>,
type: String,
isBuying: Boolean,
): Double? {
Expand Down Expand Up @@ -235,7 +236,7 @@ internal class TradeInputCalculator(
}

private fun orderbook(
market: Map<String, Any>?,
market: Map<String, Any>,
buy: Boolean?,
): List<Map<String, Any>>? {
parser.asNativeMap(market?.get("orderbook_consolidated"))?.let { orderbook ->
Expand All @@ -258,7 +259,7 @@ internal class TradeInputCalculator(

private fun calculateMarketOrderTrade(
trade: Map<String, Any>,
market: Map<String, Any>?,
market: Map<String, Any>,
subaccount: Map<String, Any>?,
user: Map<String, Any>,
isBuying: Boolean,
Expand Down Expand Up @@ -307,7 +308,7 @@ internal class TradeInputCalculator(
private fun calculateSize(
trade: Map<String, Any>,
subaccount: Map<String, Any>?,
market: Map<String, Any>?,
market: Map<String, Any>,
): MutableMap<String, Any> {
val modified = trade.mutable()
if (calculation == TradeCalculation.trade) {
Expand Down Expand Up @@ -355,7 +356,7 @@ internal class TradeInputCalculator(
private fun calculatePositionMargin(
trade: Map<String, Any>,
subaccount: Map<String, Any>?,
market: Map<String, Any>?
market: Map<String, Any>,
): Double? {
if (subaccount == null || market == null) {
return null
Expand Down Expand Up @@ -435,13 +436,17 @@ internal class TradeInputCalculator(

private fun calculateMarketOrder(
trade: Map<String, Any>,
market: Map<String, Any>?,
market: Map<String, Any>,
subaccount: Map<String, Any>?,
user: Map<String, Any>,
isBuying: Boolean,
input: String,
): Map<String, Any>? {
val tradeSize = parser.asNativeMap(trade["size"])
val marginMode = parser.asString(parser.value(trade, "marginMode"))?.let { MarginMode.invoke(it) } ?: MarginMode.Cross

Logger.e {"Xcxc $marginMode"}

if (tradeSize != null) {
return when (input) {
"size.size", "size.percent" -> {
Expand Down Expand Up @@ -472,6 +477,7 @@ internal class TradeInputCalculator(
market,
subaccount,
user,
marginMode,
)
}

Expand All @@ -483,33 +489,49 @@ internal class TradeInputCalculator(

private fun calculateMarketOrderFromLeverage(
leverage: Double,
market: Map<String, Any>?,
market: Map<String, Any>,
subaccount: Map<String, Any>?,
user: Map<String, Any>,
marginMode: MarginMode,
): Map<String, Any>? {
val stepSize =
parser.asDouble(parser.value(market, "configs.stepSize"))
?: 0.001
val equity = parser.asDouble(parser.value(subaccount, "equity.current")) ?: return null
val oraclePrice =
parser.asDouble(parser.value(market, "oraclePrice")) ?: return null
val feeRate =
parser.asDouble(parser.value(user, "takerFeeRate"))
?: Numeric.double.ZERO
val positions = parser.asNativeMap(subaccount?.get("openPositions"))
val positionSize = if (positions != null && market != null) {
val position = parser.asNativeMap(
parser.value(
subaccount,
"openPositions.${market["id"]}",
),
)
val positionSize = if (position != null) {
parser.asDouble(
parser.value(
positions,
"${market["id"]}.size.current",
position,
"size.current",
),
)
} else {
null
}
return if (equity > Numeric.double.ZERO) {
val existingLeverage =
((positionSize ?: Numeric.double.ZERO) * oraclePrice) / equity
val freeCollateral = parser.asDouble(parser.value(subaccount, "freeCollateral.current")) ?: Numeric.double.ZERO

val equity = when (marginMode) {
MarginMode.Isolated -> {
parser.asDouble(parser.value(position, "equity.current")) ?: Numeric.double.ZERO
}
MarginMode.Cross -> {
parser.asDouble(parser.value(subaccount, "equity.current")) ?: return null
}
}

return if (equity >= Numeric.double.ZERO) {
val existingLeverage = if (equity == Numeric.double.ZERO) { Numeric.double.ZERO }
else ((positionSize ?: Numeric.double.ZERO) * oraclePrice) / equity
val calculatedIsBuying =
if (leverage > existingLeverage) {
true
Expand All @@ -521,6 +543,8 @@ internal class TradeInputCalculator(
if (calculatedIsBuying != null) {
val orderbook = orderbook(market, calculatedIsBuying)
if (orderbook != null) {
Logger.e { "xcxc $equity $positionSize, $leverage"}

calculateMarketOrderFromLeverage(
equity,
oraclePrice,
Expand All @@ -530,6 +554,7 @@ internal class TradeInputCalculator(
leverage,
stepSize,
orderbook,
marginMode,
)
} else {
null
Expand Down Expand Up @@ -718,11 +743,18 @@ internal class TradeInputCalculator(
leverage: Double,
stepSize: Double,
orderbook: List<Map<String, Any>>,
marginMode: MarginMode,
): Map<String, Any>? {
/*
leverage = (size * oracle_price) / account_equity
leverage and size are signed
account_equity = (size * oracle_price) / leverage
size = leverage * account_equity / oracle_price
account_equity = old_account_equity + [order_size * market_price]
size * oracle_price = leverage * (old_account_equity + [order_size * market_price])
new_account_equity = old_account_equity + order_size * (oracle_price - market_price) - abs(order_size) * market_price * fee rate
order_size is signed
Expand All @@ -743,6 +775,7 @@ internal class TradeInputCalculator(
OR * X + OS * LV * MP * FR * X - LV * X * (OR - MP) = LV * AE - SZ * OR
X = (LV * AE - SZ * OR) / (OR + OS * LV * MP * FR - LV * (OR - MP))
X = (LV * AE - SZ * OR) / (OR + OS * LV * MP * FR - LV * (OR - MP))
size = leverage * equity - oldSize * oraclePrice / oraclePrice + leverage * marketPrice * feeRate - leverage * (oraclePrice - marketPrice)
new(AE) = AE + X * (OR - MP) - abs(X) * MP * FR
*/
Expand Down Expand Up @@ -779,11 +812,20 @@ internal class TradeInputCalculator(

val entryPrice = parser.asDouble(entry["price"])
val entrySize = parser.asDouble(entry["size"])

if (entryPrice != null && entryPrice != Numeric.double.ZERO && entrySize != null) {
@Suppress("LocalVariableName", "PropertyName")
val MP = entryPrice

@Suppress("LocalVariableName", "PropertyName")
if (AE == 0.0 && marginMode == MarginMode.Isolated) {
// size * oracle_price / leverage = account_equity
AE = entrySize * MP / (LV * 20)
} else {
val sizeEstimateToAdd = min(LV * AE / MP, entrySize)
AE = if (marginMode == MarginMode.Cross) { AE } else { AE + (sizeEstimateToAdd * MP / 20)}
}
Logger.e {"Xcxc new account equity $AE after size $entrySize added"}
val X = ((LV * AE) - (SZ * OR)) /
(OR + (OS * LV * MP * FR) - (LV * (OR - MP)))
val desiredSize = X.abs()
Expand Down Expand Up @@ -850,7 +892,7 @@ internal class TradeInputCalculator(
account: Map<String, Any>?,
subaccount: Map<String, Any>?,
user: Map<String, Any>?,
market: Map<String, Any>?,
market: Map<String, Any>,
rewardsParams: Map<String, Any>?,
feeTiers: List<Any>?,
type: String,
Expand All @@ -872,7 +914,7 @@ internal class TradeInputCalculator(
account: Map<String, Any>?,
subaccount: Map<String, Any>?,
trade: Map<String, Any>,
market: Map<String, Any>?,
market: Map<String, Any>,
): List<Any>? {
val type = parser.asString(trade["type"])
return when (type) {
Expand Down Expand Up @@ -1112,7 +1154,7 @@ internal class TradeInputCalculator(
}

private fun marginModeField(
market: Map<String, Any>?,
market: Map<String, Any>,
account: Map<String, Any>?,
subaccount: Map<String, Any>?
): Map<String, Any>? {
Expand All @@ -1139,7 +1181,7 @@ internal class TradeInputCalculator(
private fun calculatedOptionsFromFields(
fields: List<Any>?,
trade: Map<String, Any>,
market: Map<String, Any>?,
market: Map<String, Any>,
subaccount: Map<String, Any>?,
): Map<String, Any>? {
fields?.let { fields ->
Expand Down Expand Up @@ -1208,7 +1250,10 @@ internal class TradeInputCalculator(
}
}
if (parser.asBool(options["needsLeverage"]) == true) {
options.safeSet("maxLeverage", maxLeverage(subaccount, market))
val marginMode = parser.asString(parser.value(trade, "marginMode"))?.let { MarginMode.invoke(it) } ?: MarginMode.Cross
val ml = maxLeverage(subaccount, market, marginMode)
options.safeSet("maxLeverage", ml)
// Logger.e { "xcxc maxLeverage $ml with marginMode $marginMode"}
} else {
options.safeSet("maxLeverage", null)
}
Expand Down Expand Up @@ -1252,7 +1297,7 @@ internal class TradeInputCalculator(
account: Map<String, Any>?,
subaccount: Map<String, Any>?,
trade: Map<String, Any>,
market: Map<String, Any>?,
market: Map<String, Any>,
): Map<String, Any>? {
val fields = requiredFields(account, subaccount, trade, market)
return calculatedOptionsFromFields(fields, trade, market, subaccount)
Expand All @@ -1262,7 +1307,7 @@ internal class TradeInputCalculator(
account: Map<String, Any>?,
subaccount: Map<String, Any>?,
trade: Map<String, Any>,
market: Map<String, Any>?,
market: Map<String, Any>,
): MutableMap<String, Any> {
val modified = trade.toMutableMap()
parser.asNativeList(
Expand Down Expand Up @@ -1411,7 +1456,7 @@ internal class TradeInputCalculator(
trade: Map<String, Any>,
subaccount: Map<String, Any>?,
user: Map<String, Any>?,
market: Map<String, Any>?,
market: Map<String, Any>,
rewardsParams: Map<String, Any>?,
feeTiers: List<Any>?,
type: String,
Expand Down Expand Up @@ -1671,7 +1716,8 @@ internal class TradeInputCalculator(

private fun maxLeverage(
subaccount: Map<String, Any>?,
market: Map<String, Any>?
market: Map<String, Any>,
marginMode: MarginMode,
): Double? {
if (subaccount == null || market == null) {
return null
Expand All @@ -1696,13 +1742,23 @@ internal class TradeInputCalculator(
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
val positionEquity = parser.asDouble(parser.value(position, "equity.current")) ?: Numeric.double.ZERO

// xcxc update

return if (equity != null && equity > Numeric.double.ZERO) {
(freeCollateral + positionNotionalTotal / maxMarketLeverage) * maxMarketLeverage / equity
} else {
maxMarketLeverage
return when (marginMode) {
MarginMode.Isolated -> {
if (equity != null && positionEquity > Numeric.double.ZERO) {
(freeCollateral + positionNotionalTotal / maxMarketLeverage) * maxMarketLeverage / (positionEquity + freeCollateral)
} else {
maxMarketLeverage
}
}
MarginMode.Cross -> {
if (equity != null && equity > Numeric.double.ZERO) {
(freeCollateral + positionNotionalTotal / maxMarketLeverage) * maxMarketLeverage / equity
} else {
maxMarketLeverage
}
}
}
}

Expand Down
1 change: 0 additions & 1 deletion src/commonMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine.kt
View file
Original file line number Diff line number Diff line change
Expand Up @@ -1084,7 +1084,6 @@ open class TradingStateMachine(
"openPositions.$marketId.leverage.postOrder",
),
)
Logger.e { "xcxc $marketId on $subaccountNumber has leverage $leverage"}
modified.safeSet("trade.size.leverage", leverage)
} else {
modified.safeSet("trade.size.leverage", null)
Expand Down

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