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fix balancePercent calculations for trades on opposite side of curren…
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…t position (#650)
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@moo-onthelawn
moo-onthelawn authored Sep 16, 2024
1 parent 4a96fad commit a6485bb
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Showing 3 changed files with 225 additions and 62 deletions.
157 changes: 119 additions & 38 deletions src/commonMain/kotlin/exchange.dydx.abacus/calculator/TradeInputCalculator.kt
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Original file line number Diff line number Diff line change
Expand Up @@ -11,6 +11,7 @@ import exchange.dydx.abacus.calculator.SlippageConstants.STOP_MARKET_ORDER_SLIPP
import exchange.dydx.abacus.calculator.SlippageConstants.TAKE_PROFIT_MARKET_ORDER_SLIPPAGE_BUFFER
import exchange.dydx.abacus.calculator.SlippageConstants.TAKE_PROFIT_MARKET_ORDER_SLIPPAGE_BUFFER_MAJOR_MARKET
import exchange.dydx.abacus.output.input.MarginMode
import exchange.dydx.abacus.output.input.OrderSide
import exchange.dydx.abacus.protocols.ParserProtocol
import exchange.dydx.abacus.utils.MAX_FREE_CROSS_COLLATERAL_BUFFER_PERCENT
import exchange.dydx.abacus.utils.MAX_FREE_ISOLATED_COLLATERAL_BUFFER_PERCENT
Expand Down Expand Up @@ -475,9 +476,10 @@ internal class TradeInputCalculator(
isBuying: Boolean,
input: String,
): Map<String, Any>? {
val marketId = parser.asString(market?.get("id"))
val tradeSize = parser.asNativeMap(trade["size"])

if (tradeSize != null) {
if (tradeSize != null && marketId != null) {
val maxMarketLeverage = maxMarketLeverage(market)
val targetLeverage = parser.asDouble(trade["targetLeverage"])
val marginMode = MarginMode.invoke(parser.asString(trade["marginMode"])) ?: MarginMode.Cross
Expand All @@ -486,14 +488,40 @@ internal class TradeInputCalculator(
} else {
maxMarketLeverage
}

val freeCollateral = parser.asDouble(parser.value(subaccount, "freeCollateral.current")) ?: Numeric.double.ZERO

val tradeSide = OrderSide.invoke(parser.asString(trade["side"]))
val position = parser.asNativeMap(parser.value(subaccount, "openPositions.$marketId"))
val positionNotionalSize = if (position != null) {
parser.asDouble(
parser.value(
position,
"notionalTotal.current",
),
) ?: Numeric.double.ZERO
} else {
Numeric.double.ZERO
}
val positionSize = if (position != null) {
parser.asDouble(
parser.value(
position,
"size.current",
),
) ?: Numeric.double.ZERO
} else {
Numeric.double.ZERO
}
val isTradeSameSide = tradeSide != null &&
((tradeSide == OrderSide.Buy && positionSize >= Numeric.double.ZERO) || (tradeSide == OrderSide.Sell && positionSize <= Numeric.double.ZERO))

return when (input) {
"size.size", "size.percent" -> {
val orderbook = orderbook(market, isBuying)
calculateMarketOrderFromSize(
parser.asDouble(tradeSize["size"]),
positionNotionalSize,
isTradeSameSide,
freeCollateral,
tradeLeverage,
orderbook,
Expand All @@ -507,6 +535,8 @@ internal class TradeInputCalculator(
val orderbook = orderbook(market, isBuying)
calculateMarketOrderFromUsdcSize(
parser.asDouble(tradeSize["usdcSize"]),
positionNotionalSize,
isTradeSameSide,
freeCollateral,
tradeLeverage,
orderbook,
Expand All @@ -519,6 +549,9 @@ internal class TradeInputCalculator(
parser.asDouble(parser.value(trade, "size.leverage")) ?: return null
calculateMarketOrderFromLeverage(
leverage,
positionNotionalSize,
positionSize,
isTradeSameSide,
market,
freeCollateral,
tradeLeverage,
Expand All @@ -534,14 +567,21 @@ internal class TradeInputCalculator(
val orderbook = orderbook(market, isBuying)
val balancePercent =
parser.asDouble(parser.value(trade, "size.balancePercent")) ?: return null
val oraclePrice = parser.asDouble(parser.value(market, "oraclePrice"))
val isReduceOnly = parser.asBool(trade.get("reduceOnly")) ?: false

calculateMarketOrderFromBalancePercent(
balancePercent,
positionNotionalSize,
positionSize,
isTradeSameSide,
marginMode,
freeCollateral,
tradeLeverage,
orderbook,
stepSize,
oraclePrice,
isReduceOnly,
)
}

Expand All @@ -551,23 +591,56 @@ internal class TradeInputCalculator(
return null
}

private fun isolatedPnlImpact(marginMode: MarginMode, size: Double, entryPrice: Double, oraclePrice: Double?, isReduceOnly: Boolean): Double {
// Calculate the difference between the oracle price and the ask/bid price in order to determine immediate PnL impact that would affect collateral checks
// Should only apply to orders that are increasing in position size (not reduceOnly)
// In a cleaner world, this would call MarginCalculator.getShouldTransferInCollateralDeprecated and MarginCalculator.getTransferAmountFromTargetLeverage but because it will be deprecated soon anyways, just passing in the necessary variables
return when (marginMode) {
MarginMode.Cross -> Numeric.double.ZERO
MarginMode.Isolated -> if (isReduceOnly) Numeric.double.ZERO else (entryPrice - (oraclePrice ?: entryPrice)).abs() * size
}
}

private fun calculateMarketOrderFromBalancePercent(
balancePercent: Double,
existingPositionNotionalSize: Double,
existingPositionSize: Double,
isTradeSameSide: Boolean,
marginMode: MarginMode,
freeCollateral: Double,
tradeLeverage: Double,
orderbook: List<Map<String, Any>>?,
stepSize: Double,
oraclePrice: Double?,
isReduceOnly: Boolean,
): Map<String, Any>? {
val buffer = when (marginMode) {
if (marginMode == MarginMode.Isolated && !isTradeSameSide) {
// For isolated margin orders where the user is trading on the opposite side of their currentPosition, the balancePercent represents a percentage of their current position rather than freeCollateral
val desiredSize = existingPositionSize.abs() * balancePercent
return calculateMarketOrderFromSize(desiredSize, existingPositionNotionalSize, isTradeSameSide, freeCollateral, tradeLeverage, orderbook)
}

if (tradeLeverage <= Numeric.double.ZERO) {
return null
}

val maxPercent = when (marginMode) {
MarginMode.Cross -> MAX_FREE_CROSS_COLLATERAL_BUFFER_PERCENT
MarginMode.Isolated -> MAX_FREE_ISOLATED_COLLATERAL_BUFFER_PERCENT
}
val cappedPercent = min(balancePercent, buffer)
val desiredBalance = cappedPercent * freeCollateral
val usdcSize = desiredBalance * tradeLeverage
val cappedPercent = min(balancePercent, maxPercent)

val existingBalance = existingPositionNotionalSize.abs() / tradeLeverage
val desiredBalance = when (marginMode) {
MarginMode.Cross -> {
if (isTradeSameSide) cappedPercent * freeCollateral else cappedPercent * (existingBalance + freeCollateral) + existingBalance
}
MarginMode.Isolated -> {
cappedPercent * freeCollateral
}
}

return if (usdcSize != Numeric.double.ZERO) {
return if (desiredBalance != Numeric.double.ZERO) {
if (orderbook != null) {
var sizeTotal = Numeric.double.ZERO
var usdcSizeTotal = Numeric.double.ZERO
Expand All @@ -584,14 +657,14 @@ internal class TradeInputCalculator(
if (entryPrice != null && entryPrice > Numeric.double.ZERO && entrySize != null) {
val entryUsdcSize = entrySize * entryPrice
val entryBalanceSize = entryUsdcSize / tradeLeverage
filled = (balanceTotal + entryBalanceSize >= desiredBalance)
filled = (balanceTotal + entryBalanceSize + isolatedPnlImpact(marginMode, entrySize, entryPrice, oraclePrice, isReduceOnly)) >= desiredBalance

var matchedSize = entrySize
var matchedUsdcSize = entryUsdcSize
var matchedBalance = matchedUsdcSize / tradeLeverage
var matchedBalance = matchedUsdcSize / tradeLeverage + isolatedPnlImpact(marginMode, matchedSize, entryPrice, oraclePrice, isReduceOnly)

if (filled) {
matchedBalance = desiredBalance - balanceTotal
matchedBalance = desiredBalance - balanceTotal - isolatedPnlImpact(marginMode, (desiredBalance - balanceTotal) * tradeLeverage / entryPrice, entryPrice, oraclePrice, isReduceOnly)
matchedUsdcSize = matchedBalance * tradeLeverage
matchedSize = matchedUsdcSize / entryPrice
matchedSize =
Expand All @@ -600,6 +673,7 @@ internal class TradeInputCalculator(
stepSize,
)
matchedUsdcSize = matchedSize * entryPrice
matchedBalance = matchedUsdcSize / tradeLeverage + isolatedPnlImpact(marginMode, matchedSize, entryPrice, oraclePrice, isReduceOnly)
}
sizeTotal += matchedSize
usdcSizeTotal += matchedUsdcSize
Expand All @@ -622,6 +696,7 @@ internal class TradeInputCalculator(
} else {
Numeric.double.ZERO
}

marketOrder(
marketOrderOrderBook,
sizeTotal,
Expand All @@ -647,6 +722,9 @@ internal class TradeInputCalculator(

private fun calculateMarketOrderFromLeverage(
leverage: Double,
existingPositionNotionalSize: Double,
existingPositionSize: Double,
isTradeSameSide: Boolean,
market: Map<String, Any>?,
freeCollateral: Double,
tradeLeverage: Double,
Expand All @@ -662,20 +740,9 @@ internal class TradeInputCalculator(
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) {
parser.asDouble(
parser.value(
positions,
"${market["id"]}.size.current",
),
)
} else {
null
}
return if (equity > Numeric.double.ZERO) {
val existingLeverage =
((positionSize ?: Numeric.double.ZERO) * oraclePrice) / equity
(existingPositionSize * oraclePrice) / equity
val calculatedIsBuying =
if (leverage > existingLeverage) {
true
Expand All @@ -690,11 +757,13 @@ internal class TradeInputCalculator(
calculateMarketOrderFromLeverage(
equity,
oraclePrice,
positionSize,
existingPositionSize,
calculatedIsBuying,
feeRate,
leverage,
stepSize,
existingPositionNotionalSize,
isTradeSameSide,
freeCollateral,
tradeLeverage,
orderbook,
Expand All @@ -712,6 +781,8 @@ internal class TradeInputCalculator(

private fun calculateMarketOrderFromSize(
size: Double?,
existingPositionNotionalSize: Double,
isTradeSameSide: Boolean,
freeCollateral: Double,
tradeLeverage: Double,
orderbook: List<Map<String, Any>>?,
Expand Down Expand Up @@ -746,11 +817,7 @@ internal class TradeInputCalculator(
}
}
}
val balancePercentTotal = if (freeCollateral > Numeric.double.ZERO) {
(usdcSizeTotal / tradeLeverage) / freeCollateral
} else {
Numeric.double.ZERO
}
val balancePercentTotal = calculateBalancePercentFromUsdcSize(usdcSize = usdcSizeTotal, freeCollateral = freeCollateral, positionSize = existingPositionNotionalSize, tradeLeverage = tradeLeverage, isTradeSameSide = isTradeSameSide)
marketOrder(
marketOrderOrderBook,
sizeTotal,
Expand Down Expand Up @@ -801,6 +868,8 @@ internal class TradeInputCalculator(

private fun calculateMarketOrderFromUsdcSize(
usdcSize: Double?,
existingPositionNotionalSize: Double,
isTradeSameSide: Boolean,
freeCollateral: Double,
tradeLeverage: Double,
orderbook: List<Map<String, Any>>?,
Expand Down Expand Up @@ -852,11 +921,7 @@ internal class TradeInputCalculator(
}
}
}
val balancePercentTotal = if (freeCollateral > Numeric.double.ZERO) {
(usdcSizeTotal / tradeLeverage) / freeCollateral
} else {
Numeric.double.ZERO
}
val balancePercentTotal = calculateBalancePercentFromUsdcSize(usdcSize = usdcSizeTotal, freeCollateral = freeCollateral, positionSize = existingPositionNotionalSize, tradeLeverage = tradeLeverage, isTradeSameSide = isTradeSameSide)
marketOrder(
marketOrderOrderBook,
sizeTotal,
Expand Down Expand Up @@ -907,6 +972,8 @@ internal class TradeInputCalculator(
feeRate: Double,
leverage: Double,
stepSize: Double,
existingPositionNotionalSize: Double,
isTradeSameSide: Boolean,
freeCollateral: Double,
tradeLeverage: Double,
orderbook: List<Map<String, Any>>,
Expand Down Expand Up @@ -1012,11 +1079,7 @@ internal class TradeInputCalculator(
break@orderbookLoop
}
}
val balancePercentTotal = if (freeCollateral > Numeric.double.ZERO) {
(usdcSizeTotal / tradeLeverage) / freeCollateral
} else {
Numeric.double.ZERO
}
val balancePercentTotal = calculateBalancePercentFromUsdcSize(usdcSize = usdcSizeTotal, freeCollateral = freeCollateral, positionSize = existingPositionNotionalSize, tradeLeverage = tradeLeverage, isTradeSameSide = isTradeSameSide)
return marketOrder(
marketOrderOrderBook,
sizeTotal,
Expand All @@ -1027,6 +1090,24 @@ internal class TradeInputCalculator(
)
}

private fun calculateBalancePercentFromUsdcSize(
usdcSize: Double,
freeCollateral: Double,
positionSize: Double,
tradeLeverage: Double,
isTradeSameSide: Boolean,
): Double {
if (freeCollateral <= Numeric.double.ZERO || tradeLeverage <= Numeric.double.ZERO) {
return Numeric.double.ZERO
}
return if (isTradeSameSide) {
(usdcSize / tradeLeverage) / freeCollateral
} else {
val existingBalance = positionSize.abs() / tradeLeverage
(usdcSize / tradeLeverage - existingBalance) / (freeCollateral + existingBalance)
}
}

private fun side(marketOrder: Map<String, Any>, orderbook: Map<String, Any>): String? {
val firstMarketOrderbookPrice =
parser.asDouble(parser.value(marketOrder, "orderbook.0.price")) ?: return null
Expand Down
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