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import {
ContractDescriptorType,
ContractInfo,
ContractInfoType,
DigitDecompositionEventDescriptor,
MessageType,
MultiOracleInfo,
NumericalDescriptor,
OrderPositionInfo,
PayoutCurvePieceType,
PayoutFunction,
PolynomialPayoutCurvePiece,
SingleContractInfo,
SingleOracleInfo,
} from '@node-dlc/messaging';
import assert from 'assert';
import Decimal from 'decimal.js';
import {
DlcParty,
roundToNearestMultiplier,
roundUpToNearestMultiplier,
UNIT_MULTIPLIER,
} from './Builder';
import { HasContractInfo, HasOfferCollateral, HasType } from './OptionInfo';
export interface CsoInfo {
normalizedMaxGain: Value; // Max Gain Relative to 1 BTC Contract
normalizedMaxLoss: Value; // Max Loss Relative to 1 BTC Contract
maxGainForContractSize: Value; // Max Gain Relative to Contract Size
maxLossForContractSize: Value; // Max Loss Relative to Contract Size
minPayout: bigint;
maxPayout: bigint;
contractSize: Value;
offerCollateral: Value;
totalCollateral: Value;
expiry: Date;
}
export interface CsoInfoParams {
normalizedMaxGain: Value; // Max Gain Relative to 1 BTC Contract
normalizedMaxLoss: Value; // Max Loss Relative to 1 BTC Contract
maxGainForContractSize: Value; // Max Gain Relative to Contract Size
maxLossForContractSize: Value; // Max Loss Relative to Contract Size
offerCollateral: Value; // Offer Collateral
}
const ONE_BTC_CONTRACT = Value.fromBitcoin(1);
export type MaybeHasPositionInfo = {
positionInfo?: OrderPositionInfo;
};
/**
* getCsoInfoParamsFromContractInfo V0
*
* Old getCsoInfoParamsFromContractInfo implementation
*
* @param {Value} contractSize - The size of the contract in terms of value.
* @param {Value} collateral - The collateral value put up for the contract.
* @param {DlcParty} shiftForFees - Specifies which party ('offeror' or 'acceptor') will bear the fees, affecting the outcome values.
* @param {Value} fees - The fees associated with the contract.
* @param {string} unit - The unit of measurement for the contract outcomes (e.g., 'BTC').
* @param {Value} startOutcomeValue - The starting outcome value for the contract.
* @param {Value} endOutcomeValue - The ending outcome value for the contract.
* @returns {CsoInfoParams} An object containing the calculated CSO parameters:
* - normalizedMaxGain: Maximum gain relative to a 1 BTC contract.
* - normalizedMaxLoss: Maximum loss relative to a 1 BTC contract.
* - maxGainForContractSize: Maximum gain for the actual contract size.
* - maxLossForContractSize: Maximum loss for the actual contract size.
* - offerCollateral: The offer collateral value after adjustments.
*
* Note: This function calculates the adjusted fees incorrectly, using collateral instead of contract size. Use v1 where possible.
*/
export const getCsoInfoParamsFromContractInfoV0 = (
contractSize: Value,
collateral: Value,
shiftForFees: DlcParty,
fees: Value,
unit: string,
startOutcomeValue: Value,
endOutcomeValue: Value,
): CsoInfoParams => {
const leverageMultiplier = parseFloat(
new Decimal(contractSize.bitcoin).dividedBy(collateral.bitcoin).toFixed(1),
);
const defaultContractSize = Value.fromBitcoin(1);
const shiftValue =
collateral.sats > 0
? Value.fromSats(
roundToNearestMultiplier(
(fees.sats * defaultContractSize.sats) / collateral.sats, // WARNING: this should be contract size not collateral
UNIT_MULTIPLIER[unit.toLowerCase()], // (use v1 if possible)
),
)
: Value.zero();
if (shiftForFees === 'offeror') {
startOutcomeValue.sub(shiftValue);
endOutcomeValue.sub(shiftValue);
} else Iif (shiftForFees === 'acceptor') {
startOutcomeValue.add(shiftValue);
endOutcomeValue.add(shiftValue);
}
const normalizedMaxGain = endOutcomeValue.clone();
normalizedMaxGain.sub(ONE_BTC_CONTRACT);
const normalizedMaxLoss = ONE_BTC_CONTRACT.clone();
normalizedMaxLoss.sub(startOutcomeValue);
const maxGainForContractSize = Value.fromBitcoin(
new Decimal(normalizedMaxGain.bitcoin)
.times(leverageMultiplier)
.toDecimalPlaces(5)
.toNumber(),
);
const maxLossForContractSize = Value.fromBitcoin(
new Decimal(normalizedMaxLoss.bitcoin)
.times(contractSize.bitcoin)
.toDecimalPlaces(
8 - Math.log10(Number(UNIT_MULTIPLIER[unit.toLowerCase()])),
)
.toNumber(),
);
const offerCollateral = collateral.clone();
offerCollateral.sub(
Value.fromSats(
(maxGainForContractSize.sats * collateral.sats) / BigInt(1e8),
),
);
return {
normalizedMaxGain,
normalizedMaxLoss,
maxGainForContractSize,
maxLossForContractSize,
offerCollateral,
};
};
/**
* getCsoInfoParamsFromContractInfo V1
*
* Fixed getCsoInfoParamsFromContractInfo implementation
*
* @param {Value} contractSize - The size of the contract in terms of value.
* @param {Value} collateral - The collateral value put up for the contract.
* @param {DlcParty} shiftForFees - Specifies which party ('offeror' or 'acceptor') will bear the fees, affecting the outcome values.
* @param {Value} fees - The fees associated with the contract.
* @param {string} unit - The unit of measurement for the contract outcomes (e.g., 'BTC').
* @param {Value} startOutcomeValue - The starting outcome value for the contract.
* @param {Value} endOutcomeValue - The ending outcome value for the contract.
* @returns {CsoInfoParams} An object containing the calculated CSO parameters:
* - normalizedMaxGain: Maximum gain relative to a 1 BTC contract.
* - normalizedMaxLoss: Maximum loss relative to a 1 BTC contract.
* - maxGainForContractSize: Maximum gain for the actual contract size.
* - maxLossForContractSize: Maximum loss for the actual contract size.
* - offerCollateral: The offer collateral value after adjustments.
*
* This version improves upon the previous by correctly adjusting fees based on the contract size, leading to more accurate
* calculations of CSO parameters.
*/
export const getCsoInfoParamsFromContractInfoV1 = (
contractSize: Value,
collateral: Value,
shiftForFees: DlcParty,
fees: Value,
unit: string,
startOutcomeValue: Value,
endOutcomeValue: Value,
): CsoInfoParams => {
const feesAdjusted = Value.fromSats(
roundToNearestMultiplier(
(fees.sats * BigInt(1e8)) / contractSize.sats, // NOTE: this is done correctly using contractSize
BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
),
);
if (shiftForFees === 'offeror') {
startOutcomeValue.sub(feesAdjusted);
endOutcomeValue.sub(feesAdjusted);
} else if (shiftForFees === 'acceptor') {
startOutcomeValue.add(feesAdjusted);
endOutcomeValue.add(feesAdjusted);
}
const normalizedMaxGain = endOutcomeValue.clone();
normalizedMaxGain.sub(ONE_BTC_CONTRACT);
const normalizedMaxLoss = ONE_BTC_CONTRACT.clone();
normalizedMaxLoss.sub(startOutcomeValue);
const maxGainForContractSize = Value.fromSats(
roundUpToNearestMultiplier(
(normalizedMaxGain.sats * contractSize.sats) / BigInt(1e8),
BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
),
);
const maxLossForContractSize = Value.fromSats(
roundUpToNearestMultiplier(
(normalizedMaxLoss.sats * contractSize.sats) / BigInt(1e8),
BigInt(UNIT_MULTIPLIER[unit.toLowerCase()]),
),
);
const offerCollateral = collateral.clone();
offerCollateral.sub(maxGainForContractSize);
return {
normalizedMaxGain,
normalizedMaxLoss,
maxGainForContractSize,
maxLossForContractSize,
offerCollateral,
};
};
/**
* Decode CsoInfo from a ContractInfo object. Essentially the opposite of buildCustomStrategyOrderOffer
*
* @param {_contractInfo} ContractInfo - Contract Info object, containing oracle and descriptor info
* @param {DlcParty} shiftForFees - Specifies which party ('offeror', 'acceptor', or 'neither') will pay for network fees
* @param {Value} fees - Network fees associated with the contract. Defaults to 0 sats.
* @param {_contractSize} Value - Optional. If not provided, it defaults to the total collateral.
* @param {csoVersion} 'v0' | 'v1' - Specifies the version of the CSO parameter calculation to use. Defaults to 'v1'.
* @returns {CsoInfo} An object containing the calculated CSO information:
* - normalizedMaxGain: Maximum gain relative to a 1 BTC contract.
* - normalizedMaxLoss: Maximum loss relative to a 1 BTC contract.
* - maxGainForContractSize: Maximum gain for the actual contract size.
* - maxLossForContractSize: Maximum loss for the actual contract size.
* - minPayout: Minimum payout as determined by the contract's payout function.
* - maxPayout: Maximum payout as determined by the contract's payout function.
* - contractSize: The size of the contract in terms of value.
* - offerCollateral: The offer collateral value after adjustments.
* - totalCollateral: The total collateral put up for the contract.
* - expiry: The expiry date of the contract based on the oracle's event maturity epoch.
*
* Note: This function performs several validations to ensure that the contract information and its components are of the
* expected types and formats.
* It throws errors if unsupported types or formats are encountered.
*/
export const getCsoInfoFromContractInfo = (
_contractInfo: ContractInfo,
shiftForFees: DlcParty = 'neither',
fees: Value = Value.fromSats(0),
_contractSize?: Value,
csoVersion: 'v0' | 'v1' = 'v1',
): CsoInfo => {
Iif (_contractInfo.contractInfoType !== ContractInfoType.Single)
throw Error('Only ContractInfoV0 currently supported');
const contractInfo = _contractInfo as SingleContractInfo;
Iif (
contractInfo.contractDescriptor.contractDescriptorType !==
ContractDescriptorType.NumericOutcome
)
throw Error('Only Numeric Descriptor currently supported');
const oracleInfo = contractInfo.oracleInfo;
// Handle both SingleOracleInfo and MultiOracleInfo
let eventMaturityEpoch: number;
let eventDescriptor: DigitDecompositionEventDescriptor;
switch (oracleInfo.type) {
case MessageType.SingleOracleInfo: {
const singleOracleInfo = oracleInfo as SingleOracleInfo;
eventMaturityEpoch =
singleOracleInfo.announcement.oracleEvent.eventMaturityEpoch;
eventDescriptor = singleOracleInfo.announcement.oracleEvent
.eventDescriptor as DigitDecompositionEventDescriptor;
Iif (
singleOracleInfo.announcement.oracleEvent.eventDescriptor.type !==
MessageType.DigitDecompositionEventDescriptor
)
throw Error(
'Only DigitDecompositionEventDescriptor currently supported',
);
break;
}
case MessageType.MultiOracleInfo: {
const multiOracleInfo = oracleInfo as MultiOracleInfo;
eventMaturityEpoch =
multiOracleInfo.announcements[0].oracleEvent.eventMaturityEpoch;
eventDescriptor = multiOracleInfo.announcements[0].oracleEvent
.eventDescriptor as DigitDecompositionEventDescriptor;
if (
multiOracleInfo.announcements[0].oracleEvent.eventDescriptor.type !==
MessageType.DigitDecompositionEventDescriptor
)
throw Error(
'Only DigitDecompositionEventDescriptor currently supported',
);
break;
}
default:
throw Error('Unknown oracle info type');
}
const contractDescriptor = contractInfo.contractDescriptor as NumericalDescriptor;
Iif (contractDescriptor.payoutFunction.type !== MessageType.PayoutFunction)
throw Error('Only PayoutFunction currently supported');
const payoutFunction = contractDescriptor.payoutFunction as PayoutFunction;
validateCsoPayoutFunction(payoutFunction);
const initialPiece = payoutFunction.payoutFunctionPieces[0];
const midPiece = payoutFunction.payoutFunctionPieces[1];
const minPayout = initialPiece.endPoint.outcomePayout;
const maxPayout = midPiece.endPoint.outcomePayout;
const startOutcome = initialPiece.endPoint.eventOutcome;
const endOutcome = midPiece.endPoint.eventOutcome;
const unit = eventDescriptor.unit;
const collateral = Value.fromSats(contractInfo.totalCollateral);
const contractSize =
_contractSize && _contractSize.sats > 0 ? _contractSize : collateral;
const startOutcomeValue = Value.fromSats(
startOutcome * UNIT_MULTIPLIER[unit.toLowerCase()],
);
const endOutcomeValue = Value.fromSats(
endOutcome * UNIT_MULTIPLIER[unit.toLowerCase()],
);
const getCsoInfoParamsFromContractInfo =
csoVersion === 'v0'
? getCsoInfoParamsFromContractInfoV0
: getCsoInfoParamsFromContractInfoV1;
const {
normalizedMaxGain,
normalizedMaxLoss,
maxGainForContractSize,
maxLossForContractSize,
offerCollateral,
} = getCsoInfoParamsFromContractInfo(
contractSize,
collateral,
shiftForFees,
fees,
unit,
startOutcomeValue,
endOutcomeValue,
);
const expiry = new Date(eventMaturityEpoch * 1000);
return {
normalizedMaxGain,
normalizedMaxLoss,
maxGainForContractSize,
maxLossForContractSize,
minPayout,
maxPayout,
contractSize,
offerCollateral,
totalCollateral: collateral,
expiry,
};
};
/**
* Get CsoInfo from OrderOffer or DlcOffer and validate
*
* @param {HasContractInfo & HasType} offer
* @returns {CsoInfo}
*/
export const getCsoInfoFromOffer = (
offer: HasContractInfo & HasType & HasOfferCollateral & MaybeHasPositionInfo,
csoVersion: 'v0' | 'v1' = 'v1',
): CsoInfo => {
Iif (
offer.type !== MessageType.DlcOffer &&
offer.type !== MessageType.OrderOffer
)
throw Error('Only DlcOffer and OrderOffer currently supported');
let shiftForFees: DlcParty = 'neither';
const fees = Value.zero();
const contractSize = Value.zero();
if (offer.positionInfo) {
shiftForFees = (offer.positionInfo as OrderPositionInfo).shiftForFees;
fees.add(Value.fromSats((offer.positionInfo as OrderPositionInfo).fees));
contractSize.add(
Value.fromSats((offer.positionInfo as OrderPositionInfo).contractSize),
);
}
const positionInfo = getCsoInfoFromContractInfo(
offer.contractInfo,
shiftForFees,
fees,
contractSize,
csoVersion,
);
if (positionInfo.offerCollateral.sats !== offer.offerCollateral)
throw Error('Offer was not generated with CSO ContractInfo');
return positionInfo;
};
/**
* Validate Payout Function for proper CSO format
*
* It should have 3 PayoutCurvePieces which consist of a flat line (maxLoss),
* ascending line (maxLoss to maxGain) and finally another flat line (maxGain)
*
* All PayoutCurvePieces should be type PolynomialPayoutCurvePieces
*
* @param {PayoutFunction} payoutFunction
*/
export const validateCsoPayoutFunction = (
payoutFunction: PayoutFunction,
): void => {
assert(
payoutFunction.payoutFunctionPieces.length === 3,
'CSO Payout Function must have 3 PayoutFunctionPieces',
);
for (const [i, piece] of payoutFunction.payoutFunctionPieces.entries()) {
assert(
piece.payoutCurvePiece.payoutCurvePieceType ===
PayoutCurvePieceType.Polynomial ||
piece.payoutCurvePiece.type === MessageType.PolynomialPayoutCurvePiece,
'CSO Payout Function PayoutCurvePieces must be PolynomialCurvePieces',
);
const payoutCurvePiece = piece.payoutCurvePiece as PolynomialPayoutCurvePiece;
const points = payoutCurvePiece.points;
// eventOutcome should always be ascending
assert(
points[0].eventOutcome < points[1].eventOutcome,
'CSO Payout Function PayoutCurvePiece point payout should be an ascending line',
);
// endpoints should always be ascending
let previousPiece, previousPoints;
if (i > 0) {
previousPiece = payoutFunction.payoutFunctionPieces[i - 1];
previousPoints = previousPiece.payoutCurvePiece.points;
assert(
previousPiece.endPoint.eventOutcome < piece.endPoint.eventOutcome,
'CSO Payout Function point endpoints should be an ascending line',
);
assert(
previousPoints[1].outcomePayout === points[0].outcomePayout,
'CSO Payout Function point outcome payout should be continuous without gaps',
);
}
switch (i) {
case 0:
// First piece - should start from initial endpoint
// maxLoss should be a flat line
assert(
points[0].outcomePayout === points[1].outcomePayout,
'CSO Payout Function maxLoss PayoutCurvePiece point should be a flat line',
);
break;
case 1:
// maxLoss to maxGain should be an ascending line
assert(
previousPiece.endPoint.outcomePayout < piece.endPoint.outcomePayout,
);
assert(
points[0].outcomePayout < points[1].outcomePayout,
'CSO Payout Function maxLoss to maxGain PayoutCurvePiece point should be an ascending line',
);
break;
case 2:
// maxGain should be a flat line
assert(
previousPiece.endPoint.outcomePayout === piece.endPoint.outcomePayout,
);
assert(
points[0].outcomePayout === points[1].outcomePayout,
'CSO Payout Function maxGain PayoutCurvePiece point should be a flat line',
);
break;
}
}
};
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