add sdk

Author: 0xbigz

sdk/src/math/margin.ts

@@ -10,6 +10,7 @@ import {
 	MARGIN_PRECISION,
 	PRICE_PRECISION,
 	QUOTE_PRECISION,
+	PERCENTAGE_PRECISION,
 } from '../constants/numericConstants';
 import { BN } from '@coral-xyz/anchor';
 import { OraclePriceData } from '../oracles/types';
@@ -32,7 +33,8 @@ export function calculateSizePremiumLiabilityWeight(
 	size: BN, // AMM_RESERVE_PRECISION
 	imfFactor: BN,
 	liabilityWeight: BN,
-	precision: BN
+	precision: BN,
+	isBounded = true
 ): BN {
 	if (imfFactor.eq(ZERO)) {
 		return liabilityWeight;
@@ -53,10 +55,13 @@ export function calculateSizePremiumLiabilityWeight(
 			.div(denom) // 1e5
 	);
 
-	const maxLiabilityWeight = BN.max(
-		liabilityWeight,
-		sizePremiumLiabilityWeight
-	);
+	let maxLiabilityWeight;
+	if (isBounded) {
+		maxLiabilityWeight = BN.max(liabilityWeight, sizePremiumLiabilityWeight);
+	} else {
+		maxLiabilityWeight = sizePremiumLiabilityWeight;
+	}
+
 	return maxLiabilityWeight;
 }
 
@@ -370,3 +375,37 @@ export function calculateUserMaxPerpOrderSize(
 
 	return user.getMaxTradeSizeUSDCForPerp(targetMarketIndex, tradeSide);
 }
+
+export function calcHighLeverageModeInitialMarginRatioFromSize(
+	preSizeAdjMarginRatio: BN,
+	sizeAdjMarginRatio: BN,
+	defaultMarginRatio: BN
+): BN {
+	let result: BN;
+
+	if (sizeAdjMarginRatio.lt(preSizeAdjMarginRatio)) {
+		const sizePctDiscountFactor = PERCENTAGE_PRECISION.sub(
+			preSizeAdjMarginRatio
+				.sub(sizeAdjMarginRatio)
+				.mul(PERCENTAGE_PRECISION)
+				.div(preSizeAdjMarginRatio.div(new BN(5)))
+		);
+
+		const hlmMarginDelta = BN.max(
+			preSizeAdjMarginRatio.sub(defaultMarginRatio),
+			new BN(1)
+		);
+
+		const hlmMarginDeltaProportion = hlmMarginDelta
+			.mul(sizePctDiscountFactor)
+			.div(PERCENTAGE_PRECISION);
+
+		result = hlmMarginDeltaProportion.add(defaultMarginRatio);
+	} else if (sizeAdjMarginRatio.eq(preSizeAdjMarginRatio)) {
+		result = defaultMarginRatio;
+	} else {
+		result = sizeAdjMarginRatio;
+	}
+
+	return result;
+}

sdk/src/math/market.ts

@@ -19,6 +19,7 @@ import {
 import {
 	calculateSizeDiscountAssetWeight,
 	calculateSizePremiumLiabilityWeight,
+	calcHighLeverageModeInitialMarginRatioFromSize,
 } from './margin';
 import { MMOraclePriceData, OraclePriceData } from '../oracles/types';
 import {
@@ -143,45 +144,74 @@ export function calculateMarketMarginRatio(
 	customMarginRatio = 0,
 	userHighLeverageMode = false
 ): number {
-	let marginRationInitial;
-	let marginRatioMaintenance;
+	if (market.status === 'Settlement') return 0;
 
-	if (
+	const isHighLeverageUser =
 		userHighLeverageMode &&
 		market.highLeverageMarginRatioInitial > 0 &&
-		market.highLeverageMarginRatioMaintenance
-	) {
-		marginRationInitial = market.highLeverageMarginRatioInitial;
-		marginRatioMaintenance = market.highLeverageMarginRatioMaintenance;
-	} else {
-		marginRationInitial = market.marginRatioInitial;
-		marginRatioMaintenance = market.marginRatioMaintenance;
-	}
+		market.highLeverageMarginRatioMaintenance > 0;
+
+	const marginRatioInitial = isHighLeverageUser
+		? market.highLeverageMarginRatioInitial
+		: market.marginRatioInitial;
+
+	const marginRatioMaintenance = isHighLeverageUser
+		? market.highLeverageMarginRatioMaintenance
+		: market.marginRatioMaintenance;
 
-	let marginRatio;
+	let defaultMarginRatio: number;
 	switch (marginCategory) {
-		case 'Initial': {
-			// use lowest leverage between max allowed and optional user custom max
-			marginRatio = Math.max(
-				calculateSizePremiumLiabilityWeight(
-					size,
-					new BN(market.imfFactor),
-					new BN(marginRationInitial),
-					MARGIN_PRECISION
-				).toNumber(),
-				customMarginRatio
-			);
+		case 'Initial':
+			defaultMarginRatio = marginRatioInitial;
 			break;
-		}
-		case 'Maintenance': {
-			marginRatio = calculateSizePremiumLiabilityWeight(
-				size,
-				new BN(market.imfFactor),
-				new BN(marginRatioMaintenance),
-				MARGIN_PRECISION
-			).toNumber();
+		case 'Maintenance':
+			defaultMarginRatio = marginRatioMaintenance;
 			break;
+		default:
+			throw new Error('Invalid margin category');
+	}
+
+	let marginRatio: number;
+
+	if (isHighLeverageUser && marginCategory !== 'Maintenance') {
+		// Use ordinary-mode initial/fill ratios for size-adjusted calc
+		let preSizeAdjMarginRatio: number;
+		switch (marginCategory) {
+			case 'Initial':
+				preSizeAdjMarginRatio = market.marginRatioInitial;
+				break;
+			default:
+				preSizeAdjMarginRatio = marginRatioMaintenance;
+				break;
 		}
+
+		const sizeAdjMarginRatio = calculateSizePremiumLiabilityWeight(
+			size,
+			new BN(market.imfFactor),
+			new BN(preSizeAdjMarginRatio),
+			MARGIN_PRECISION,
+			false
+		).toNumber();
+
+		marginRatio = calcHighLeverageModeInitialMarginRatioFromSize(
+			new BN(preSizeAdjMarginRatio),
+			new BN(sizeAdjMarginRatio),
+			new BN(defaultMarginRatio)
+		).toNumber();
+	} else {
+		const sizeAdjMarginRatio = calculateSizePremiumLiabilityWeight(
+			size,
+			new BN(market.imfFactor),
+			new BN(defaultMarginRatio),
+			MARGIN_PRECISION,
+			true
+		).toNumber();
+
+		marginRatio = Math.max(defaultMarginRatio, sizeAdjMarginRatio);
+	}
+
+	if (marginCategory === 'Initial') {
+		marginRatio = Math.max(marginRatio, customMarginRatio);
 	}
 
 	return marginRatio;