getMaxTradeSize(), getLiquidationPrice() and uPnL overhaul (#252)

CHANGELOG.md

@@ -5,6 +5,12 @@ Version changes are pinned to SDK releases.
 
 ## Unreleased
 
+## [1.6.0] 2023-07-25
+
+- Add getMaxTradeSize() and getLiquidationPrice() to risk calcs. ([#252](https://github.com/zetamarkets/sdk/pull/252))
+- Reformat pnl into estimateRealizedPnl() and calculateUnrealizedPnl(), using function overloads ([#252](https://github.com/zetamarkets/sdk/pull/252))
+- Add checkLiquidity() util function to find the best price in the orderbook for a given size. ([#252](https://github.com/zetamarkets/sdk/pull/252))
+
 ## [1.5.0] 2023-07-25
 
 - Clean up some risk calculations under the hood. ([#255](https://github.com/zetamarkets/sdk/pull/255))

package.json

@@ -1,7 +1,7 @@
 {
   "name": "@zetamarkets/sdk",
   "repository": "https://github.com/zetamarkets/sdk/",
-  "version": "1.5.0",
+  "version": "1.6.0",
   "description": "Zeta SDK",
   "main": "dist/index.js",
   "types": "dist/index.d.ts",

src/client.ts

@@ -681,15 +681,9 @@ export class Client {
     }
   }
 
-  public getMarginAccountState(
-    asset: Asset,
-    pnlExecutionPrice: number = undefined,
-    pnlAddTakerFees: boolean = false
-  ): types.MarginAccountState {
+  public getMarginAccountState(asset: Asset): types.MarginAccountState {
     return Exchange.riskCalculator.getMarginAccountState(
-      this.getSubClient(asset).marginAccount,
-      pnlExecutionPrice,
-      pnlAddTakerFees
+      this.getSubClient(asset).marginAccount
     );
   }
 

src/constants.ts

@@ -100,6 +100,9 @@ export const CRANK_ACCOUNT_LIMIT = 12;
 export const CRANK_PERP_ACCOUNT_LIMIT = 10;
 export const MAX_MARKETS_TO_FETCH = 50;
 
+export const MIN_LOT_SIZE = 0.001;
+export const PERP_MARKET_ORDER_SPOT_SLIPPAGE = 0.02;
+
 // This is the most we can load per iteration without
 // hitting the rate limit.
 export const MARKET_LOAD_LIMIT = 12;

src/cross-client.ts

@@ -838,15 +838,8 @@ export class CrossClient {
     );
   }
 
-  public getAccountState(
-    pnlExecutionPrice: number = undefined,
-    pnlAddTakerFees: boolean = false
-  ): types.CrossMarginAccountState {
-    return Exchange.riskCalculator.getCrossMarginAccountState(
-      this._account,
-      pnlExecutionPrice,
-      pnlAddTakerFees
-    );
+  public getAccountState(): types.CrossMarginAccountState {
+    return Exchange.riskCalculator.getCrossMarginAccountState(this._account);
   }
 
   /**

src/risk-utils.ts

@@ -13,6 +13,7 @@ export function collectRiskMaps(
   imMap: Map<Asset, Number>,
   imSCMap: Map<Asset, Number>,
   mmMap: Map<Asset, Number>,
+  mmioMap: Map<Asset, Number>,
   upnlMap: Map<Asset, Number>,
   unpaidFundingMap: Map<Asset, Number>
 ): Map<Asset, types.AssetRiskState> {
@@ -23,6 +24,7 @@ export function collectRiskMaps(
       initialMargin: imMap.get(a),
       initialMarginSkipConcession: imSCMap.get(a),
       maintenanceMargin: mmMap.get(a),
+      maintenanceMarginIncludingOrders: mmioMap.get(a),
       unrealizedPnl: upnlMap.get(a),
       unpaidFunding: unpaidFundingMap.get(a),
     });
@@ -149,7 +151,8 @@ export function checkMarginAccountMarginRequirement(
   );
   let totalMaintenanceMargin =
     Exchange.riskCalculator.calculateTotalMaintenanceMargin(
-      marginAccount
+      marginAccount,
+      types.ProgramAccountType.MarginAccount
     ) as number;
   let buffer = marginAccount.balance.toNumber() + pnl - totalMaintenanceMargin;
   return buffer > 0;