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Mike/add margin type #373

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Mike/add margin type #373

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02f6469
add margin type to position
mike-dydx May 22, 2024
8e89702
replace marginType w marginMode and add marginMode to SubaccountOrder
mike-dydx May 22, 2024
2e9a239
undo
mike-dydx May 22, 2024
1f5994e
undo
mike-dydx May 22, 2024
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32 changes: 30 additions & 2 deletions src/commonMain/kotlin/exchange.dydx.abacus/calculator/AccountCalculator.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@ import exchange.dydx.abacus.utils.NUM_PARENT_SUBACCOUNTS
import exchange.dydx.abacus.utils.ParsingHelper
import exchange.dydx.abacus.utils.mutable
import exchange.dydx.abacus.utils.safeSet
import exchange.dydx.abacus.output.MarginMode

class AccountCalculator(val parser: ParserProtocol, private val useParentSubaccount: Boolean) {
private val subaccountCalculator = SubaccountCalculator(parser)
Expand Down Expand Up @@ -55,6 +56,7 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
if (subaccountNumbers != null) {
val groupedSubaccounts = mutableMapOf<String, Any>()
for (subaccountNumber in subaccountNumbers) {
val marginMode = if(subaccountNumber >= NUM_PARENT_SUBACCOUNTS) MarginMode.ISOLATED else MarginMode.CROSS
val subaccount =
parser.asNativeMap(parser.value(subaccounts, "$subaccountNumber")) ?: break
if (subaccountNumber < NUM_PARENT_SUBACCOUNTS) {
Expand All @@ -76,6 +78,7 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
mergeChildOpenPositions(
parentSubaccount,
subaccountNumber,
marginMode,
subaccount,
childOpenPositions,
)
Expand All @@ -85,6 +88,7 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
mergeChildPendingPositions(
parentSubaccount,
subaccountNumber,
marginMode,
subaccount,
orders,
markets,
Expand All @@ -93,7 +97,7 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
parentSubaccount
}
}
parentSubaccount = mergeOrders(parentSubaccount, subaccount)
parentSubaccount = mergeOrders(parentSubaccount, subaccount, marginMode)
parentSubaccount = sumEquity(parentSubaccount, subaccount)
groupedSubaccounts["$parentSubaccountNumber"] = parentSubaccount
}
Expand All @@ -108,6 +112,7 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
private fun mergeChildOpenPositions(
parentSubaccount: Map<String, Any>,
childSubaccountNumber: Int,
marginMode: MarginMode,
childSubaccount: Map<String, Any>,
childOpenPositions: Map<String, Any>,
): Map<String, Any> {
Expand All @@ -121,6 +126,10 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
"childSubaccountNumber",
childSubaccountNumber,
)
modifiedChildOpenPosition?.safeSet(
"marginMode",
marginMode,
)
modifiedChildOpenPosition?.safeSet(
"quoteBalance",
childSubaccount["quoteBalance"],
Expand All @@ -145,6 +154,7 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
private fun mergeChildPendingPositions(
parentSubaccount: Map<String, Any>,
childSubaccountNumber: Int,
marginMode: MarginMode,
childSubaccount: Map<String, Any>,
childOrders: Map<String, Any>,
markets: Map<String, Any>?,
Expand Down Expand Up @@ -189,6 +199,14 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
"orderCount",
parser.value(pending, "orderCount"),
)
modifiedPendingPosition?.safeSet(
"childSubaccountNumber",
childSubaccountNumber,
)
modifiedPendingPosition?.safeSet(
"marginMode",
marginMode,
)
modifiedPendingPosition.safeSet(
"quoteBalance",
childSubaccount["quoteBalance"],
Expand Down Expand Up @@ -219,12 +237,13 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
private fun mergeOrders(
parentSubaccount: Map<String, Any>,
childSubaccount: Map<String, Any>,
marginMode: MarginMode,
): Map<String, Any> {
// Each empty subaccount should have order for one market only
// Just in case it has more than one market, we will create
// two separate pending positions.

val mergedOrders = ParsingHelper.merge(
var mergedOrders = ParsingHelper.merge(
parser.asNativeMap(
parser.value(parentSubaccount, "orders"),
),
Expand All @@ -233,6 +252,15 @@ class AccountCalculator(val parser: ParserProtocol, private val useParentSubacco
),
)

mergedOrders = mergedOrders?.mapValues { (_, value) ->
var modifiedOrder = parser.asMap(value)?.toMutableMap() ?: mutableMapOf()
modifiedOrder?.safeSet(
"marginMode",
marginMode,
)
modifiedOrder
}

val modifiedParentSubaccount = parentSubaccount.toMutableMap()
modifiedParentSubaccount.safeSet(
"orders",
Expand Down
53 changes: 40 additions & 13 deletions src/commonMain/kotlin/exchange.dydx.abacus/output/Account.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -177,6 +177,18 @@ enum class PositionSide(val rawValue: String) {
}
}

@JsExport
@Serializable
enum class MarginMode(val rawValue: String) {
ISOLATED("ISOLATED"),
CROSS("CROSS");

companion object {
operator fun invoke(rawValue: String) =
MarginMode.values().firstOrNull { it.rawValue == rawValue }
}
}

@JsExport
@Serializable
data class TradeStatesWithPositionSides(
Expand Down Expand Up @@ -249,10 +261,14 @@ data class SubaccountPosition(
val liquidationPrice: TradeStatesWithDoubleValues,
val resources: SubaccountPositionResources,
val childSubaccountNumber: Int?,
val marginMode: MarginMode?,
val freeCollateral: TradeStatesWithDoubleValues,
val marginUsage: TradeStatesWithDoubleValues,
val quoteBalance: TradeStatesWithDoubleValues, // available for isolated market position
val equity: TradeStatesWithDoubleValues, // available for isolated market position
/** available for isolated market position */
val quoteBalance: TradeStatesWithDoubleValues,
/** available for isolated market position */
val equity: TradeStatesWithDoubleValues,
/** Margin type of the position */
) {
companion object {
internal fun create(
Expand Down Expand Up @@ -361,6 +377,7 @@ data class SubaccountPosition(
parser.asMap(data["liquidationPrice"]),
)
val childSubaccountNumber = parser.asInt(data["childSubaccountNumber"])
val marginMode = parser.asString("marginType")?.let{ MarginMode.invoke(it) }
val freeCollateral = TradeStatesWithDoubleValues.create(
null,
parser,
Expand Down Expand Up @@ -408,7 +425,8 @@ data class SubaccountPosition(
existing.freeCollateral !== freeCollateral ||
existing.marginUsage !== marginUsage ||
existing.quoteBalance !== quoteBalance ||
existing.equity !== equity
existing.equity !== equity ||
existing.marginMode !== marginMode
) {
val side = positionSide(size)
SubaccountPosition(
Expand Down Expand Up @@ -436,6 +454,7 @@ data class SubaccountPosition(
liquidationPrice,
resources,
childSubaccountNumber,
marginMode,
freeCollateral,
marginUsage,
quoteBalance,
Expand Down Expand Up @@ -633,7 +652,6 @@ data class SubaccountOrderResources(
@JsExport
@Serializable
data class SubaccountOrder(
val subaccountNumber: Int?,
val id: String,
val clientId: Int?,
val type: OrderType,
Expand All @@ -660,7 +678,9 @@ data class SubaccountOrder(
val reduceOnly: Boolean,
val cancelReason: String?,
val resources: SubaccountOrderResources,
) {
val subaccountNumber: Int?,
val marginMode: MarginMode?,
) {
companion object {
internal fun create(
existing: SubaccountOrder?,
Expand All @@ -670,8 +690,6 @@ data class SubaccountOrder(
): SubaccountOrder? {
Logger.d { "creating Account Order\n" }
data?.let {
// TODO: Remove default to 0 for subaccountNumber once new indexer response is consumed. Prevents breaking change
val subaccountNumber = parser.asInt(data["subaccountNumber"]) ?: 0
val id = parser.asString(data["id"])
val clientId = parser.asInt(data["clientId"])
val marketId = parser.asString(data["marketId"])
Expand All @@ -693,6 +711,9 @@ data class SubaccountOrder(
val resources = parser.asMap(data["resources"])?.let {
SubaccountOrderResources.create(existing?.resources, parser, it, localizer)
}
// TODO: Remove default to 0 for subaccountNumber once new indexer response is consumed. Prevents breaking change
val subaccountNumber = parser.asInt(data["subaccountNumber"]) ?: 0
val marginMode = parser.asString(data["marginMode"])?.let { MarginMode.invoke(it) }
if (id != null && marketId != null && type != null && side != null && status != null && price != null && size != null &&
resources != null
) {
Expand All @@ -717,8 +738,7 @@ data class SubaccountOrder(
val cancelReason = parser.asString(data["cancelReason"])

return if (
existing?.subaccountNumber != subaccountNumber ||
existing.id != id ||
existing?.id != id ||
existing.clientId != clientId ||
existing.type !== type ||
existing.side !== side ||
Expand All @@ -742,10 +762,11 @@ data class SubaccountOrder(
existing.postOnly != postOnly ||
existing.reduceOnly != reduceOnly ||
existing.cancelReason != cancelReason ||
existing.resources !== resources
existing.resources !== resources ||
existing.subaccountNumber != subaccountNumber ||
existing.marginMode !== marginMode
) {
SubaccountOrder(
subaccountNumber,
id,
clientId,
type,
Expand All @@ -772,7 +793,9 @@ data class SubaccountOrder(
reduceOnly,
cancelReason,
resources,
)
subaccountNumber,
marginMode,
)
} else {
existing
}
Expand Down Expand Up @@ -1338,7 +1361,11 @@ data class Subaccount(
parser.asList(data["pendingPositions"]),
)
val orders =
orders(parser, existing?.orders, parser.asMap(data["orders"]), localizer)
orders(parser,
existing?.orders,
parser.asMap(data["orders"]),
localizer
)

/*
val transfers = AccountTransfers.fromArray(
Expand Down
3 changes: 3 additions & 0 deletions src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4ParentSubaccountTests.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -218,6 +218,7 @@ class V4ParentSubaccountTests : V4BaseTests(true) {
"current": 7962.44
},
"childSubaccountNumber": 128,
"marginMode": "ISOLATED",
"equity": {
"current": 829.16
},
Expand Down Expand Up @@ -533,6 +534,7 @@ class V4ParentSubaccountTests : V4BaseTests(true) {
"current": 1410.69
},
"childSubaccountNumber": 128,
"marginMode": "ISOLATED",
"quoteBalance": {
"current": 267.89
},
Expand Down Expand Up @@ -603,6 +605,7 @@ class V4ParentSubaccountTests : V4BaseTests(true) {
"current": 1949.55
},
"childSubaccountNumber": 128,
"marginMode": "ISOLATED",
"quoteBalance": {
"current": 367.89
},
Expand Down
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