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v1.6.37: Fix sltp percentage calculation #297

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merged 4 commits into from
Apr 9, 2024
Merged

v1.6.37: Fix sltp percentage calculation #297

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367695e
wip
moo-onthelawn Apr 9, 2024
2841df8
test
moo-onthelawn Apr 9, 2024
0183df8
leverage is neg on short positions
moo-onthelawn Apr 9, 2024
8267411
clear values when set to null
moo-onthelawn Apr 9, 2024
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2 changes: 1 addition & 1 deletion build.gradle.kts
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Original file line number Diff line number Diff line change
Expand Up @@ -48,7 +48,7 @@ allprojects {
}

group = "exchange.dydx.abacus"
version = "1.6.36"
version = "1.6.37"

repositories {
google()
Expand Down
80 changes: 67 additions & 13 deletions src/commonMain/kotlin/exchange.dydx.abacus/calculator/TriggerOrdersInputCalculator.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -92,7 +92,7 @@ internal class TriggerOrdersInputCalculator(val parser: ParserProtocol) {
val inputType = parser.asString(parser.value(modified, "input"))
val positionSide = parser.asString(parser.value(position, "resources.indicator.current"))
val notionalTotal = parser.asDouble(parser.value(position, "notionalTotal.current")) ?: return modified
val leverage = parser.asDouble(parser.value(position, "leverage.current")) ?: return modified
val leverage = parser.asDouble(parser.value(position, "leverage.current"))?.abs() ?: return modified

if (size == null || size == Numeric.double.ZERO || notionalTotal == Numeric.double.ZERO || leverage == Numeric.double.ZERO) {
// A valid position size should never have 0 size, notional value or leverage.
Expand All @@ -118,11 +118,20 @@ internal class TriggerOrdersInputCalculator(val parser: ParserProtocol) {
modified.safeSet(
"percentDiff",
when (positionSide) {
"long" -> leverage.times(size.times(entryPrice.minus(triggerPrice))).div(notionalTotal).times(100)
"short" -> leverage.times(size.times(triggerPrice.minus(entryPrice))).div(notionalTotal).times(100)
"long" -> leverage.times(entryPrice.minus(triggerPrice)).div(notionalTotal).times(100)
"short" -> leverage.times(triggerPrice.minus(entryPrice)).div(notionalTotal).times(100)
else -> null
},
)
} else {
modified.safeSet(
"usdcDiff",
null,
)
modified.safeSet(
"percentDiff",
null,
)
}
}
"takeProfitOrder.price.triggerPrice" -> {
Expand All @@ -138,11 +147,20 @@ internal class TriggerOrdersInputCalculator(val parser: ParserProtocol) {
modified.safeSet(
"percentDiff",
when (positionSide) {
"long" -> leverage.times(size.times(triggerPrice.minus(entryPrice))).div(notionalTotal).times(100)
"short" -> leverage.times(size.times(entryPrice.minus(triggerPrice))).div(notionalTotal).times(100)
"long" -> leverage.times(triggerPrice.minus(entryPrice)).div(notionalTotal).times(100)
"short" -> leverage.times(entryPrice.minus(triggerPrice)).div(notionalTotal).times(100)
else -> null
},
)
} else {
modified.safeSet(
"usdcDiff",
null,
)
modified.safeSet(
"percentDiff",
null,
)
}
}
"stopLossOrder.price.usdcDiff" -> {
Expand All @@ -157,7 +175,16 @@ internal class TriggerOrdersInputCalculator(val parser: ParserProtocol) {
)
modified.safeSet(
"percentDiff",
leverage.times(usdcDiff).div(notionalTotal).times(100),
leverage.times(usdcDiff).div(size.times(notionalTotal)).times(100),
)
} else {
modified.safeSet(
"triggerPrice",
null,
)
modified.safeSet(
"percentDiff",
null,
)
}
}
Expand All @@ -173,7 +200,16 @@ internal class TriggerOrdersInputCalculator(val parser: ParserProtocol) {
)
modified.safeSet(
"percentDiff",
leverage.times(usdcDiff).div(notionalTotal).times(100),
leverage.times(usdcDiff).div(size.times(notionalTotal)).times(100),
)
} else {
modified.safeSet(
"triggerPrice",
null,
)
modified.safeSet(
"percentDiff",
null,
)
}
}
Expand All @@ -182,14 +218,23 @@ internal class TriggerOrdersInputCalculator(val parser: ParserProtocol) {
modified.safeSet(
"triggerPrice",
when (positionSide) {
"long" -> entryPrice.minus(percentDiff.times(notionalTotal).div(size.times(leverage)))
"short" -> entryPrice.plus(percentDiff.times(notionalTotal).div(size.times(leverage)))
"long" -> entryPrice.minus(percentDiff.times(notionalTotal).div(leverage))
"short" -> entryPrice.plus(percentDiff.times(notionalTotal).div(leverage))
else -> null
},
)
modified.safeSet(
"usdcDiff",
percentDiff.times(notionalTotal).div(leverage),
size.times(percentDiff.times(notionalTotal)).div(leverage),
)
} else {
modified.safeSet(
"triggerPrice",
null,
)
modified.safeSet(
"usdcDiff",
null,
)
}
}
Expand All @@ -198,14 +243,23 @@ internal class TriggerOrdersInputCalculator(val parser: ParserProtocol) {
modified.safeSet(
"triggerPrice",
when (positionSide) {
"long" -> entryPrice.plus(percentDiff.times(notionalTotal).div(size.times(leverage)))
"short" -> entryPrice.minus(percentDiff.times(notionalTotal).div(size.times(leverage)))
"long" -> entryPrice.plus(percentDiff.times(notionalTotal).div(leverage))
"short" -> entryPrice.minus(percentDiff.times(notionalTotal).div(leverage))
else -> null
},
)
modified.safeSet(
"usdcDiff",
percentDiff.times(notionalTotal).div(leverage),
size.times(percentDiff.times(notionalTotal)).div(leverage),
)
} else {
modified.safeSet(
"triggerPrice",
null,
)
modified.safeSet(
"usdcDiff",
null,
)
}
}
Expand Down
16 changes: 8 additions & 8 deletions src/commonTest/kotlin/exchange.dydx.abacus/payload/TriggerOrdersInputTests.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -195,7 +195,7 @@ class TriggerOrderInputTests : V4BaseTests() {
"limitPrice": "300.0",
"triggerPrice": "400.0",
"usdcDiff": "300",
"percentDiff": "35.15790352",
"percentDiff": "70.31580704",
"input": "stopLossOrder.price.triggerPrice"
},
"summary": {
Expand Down Expand Up @@ -225,7 +225,7 @@ class TriggerOrderInputTests : V4BaseTests() {
"limitPrice": "300.0",
"triggerPrice": "200.0",
"usdcDiff": "400",
"percentDiff": "46.87720469",
"percentDiff": "93.75440939",
"input": "stopLossOrder.price.usdcDiff"
},
"summary": {
Expand Down Expand Up @@ -253,8 +253,8 @@ class TriggerOrderInputTests : V4BaseTests() {
"side": "SELL",
"price": {
"limitPrice": "300.0",
"triggerPrice": "573.3534",
"usdcDiff": "213.3233",
"triggerPrice": "786.6767",
"usdcDiff": "106.6617",
"percentDiff": "25.0",
"input": "stopLossOrder.price.percentDiff"
},
Expand Down Expand Up @@ -331,7 +331,7 @@ class TriggerOrderInputTests : V4BaseTests() {
"limitPrice": "1600.0",
"triggerPrice": "1800.0",
"usdcDiff": "400",
"percentDiff": "46.87720469",
"percentDiff": "93.75440939",
"input": "takeProfitOrder.price.triggerPrice"
},
"summary": {
Expand Down Expand Up @@ -361,7 +361,7 @@ class TriggerOrderInputTests : V4BaseTests() {
"limitPrice": "1600.0",
"triggerPrice": "1600.0",
"usdcDiff": "300.0",
"percentDiff": "35.15790352",
"percentDiff": "70.31580704",
"input": "takeProfitOrder.price.usdcDiff"
},
"summary": {
Expand Down Expand Up @@ -389,8 +389,8 @@ class TriggerOrderInputTests : V4BaseTests() {
"side": "SELL",
"price": {
"limitPrice": "1600.0",
"triggerPrice": "1426.6466",
"usdcDiff": "213.3233",
"triggerPrice": "1213.3233",
"usdcDiff": "106.6617",
"percentDiff": "25.0",
"input": "takeProfitOrder.price.percentDiff"
},
Expand Down
2 changes: 1 addition & 1 deletion v4_abacus.podspec
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
Pod::Spec.new do |spec|
spec.name = 'v4_abacus'
spec.version = '1.6.36'
spec.version = '1.6.37'
spec.homepage = 'https://github.com/dydxprotocol/v4-abacus'
spec.source = { :http=> ''}
spec.authors = ''
Expand Down
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