2022-07-22 05:57:56 +00:00
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import { sortBy, sum, sumBy } from 'lodash'
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2022-03-15 22:27:51 +00:00
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2022-08-22 05:22:49 +00:00
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import { Bet, fill, LimitBet, NumericBet } from './bet'
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2022-02-17 23:00:19 +00:00
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import {
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2022-03-15 22:27:51 +00:00
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calculateDpmShares,
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getDpmProbability,
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getDpmOutcomeProbability,
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2022-05-19 17:42:03 +00:00
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getNumericBets,
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calculateNumericDpmShares,
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2022-03-15 22:27:51 +00:00
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} from './calculate-dpm'
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2022-07-10 18:05:44 +00:00
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import {
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calculateCpmmAmountToProb,
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calculateCpmmPurchase,
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CpmmState,
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getCpmmProbability,
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} from './calculate-cpmm'
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2022-03-15 22:27:51 +00:00
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import {
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2022-06-01 02:42:35 +00:00
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CPMMBinaryContract,
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DPMBinaryContract,
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2022-10-06 21:36:16 +00:00
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DPMContract,
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2022-05-19 17:42:03 +00:00
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NumericContract,
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2022-07-02 19:37:59 +00:00
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PseudoNumericContract,
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2022-03-15 22:27:51 +00:00
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} from './contract'
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import { noFees } from './fees'
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2022-07-10 18:05:44 +00:00
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import { addObjects, removeUndefinedProps } from './util/object'
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2022-05-19 17:42:03 +00:00
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import { NUMERIC_FIXED_VAR } from './numeric-constants'
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2022-07-10 18:05:44 +00:00
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import {
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floatingEqual,
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floatingGreaterEqual,
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floatingLesserEqual,
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} from './util/math'
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2022-03-15 22:27:51 +00:00
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2022-09-14 08:33:59 +00:00
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export type CandidateBet<T extends Bet = Bet> = Omit<
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T,
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'id' | 'userId' | 'userAvatarUrl' | 'userName' | 'userUsername'
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>
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2022-05-26 21:37:51 +00:00
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export type BetInfo = {
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2022-07-05 19:35:39 +00:00
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newBet: CandidateBet
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2022-05-26 21:37:51 +00:00
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newPool?: { [outcome: string]: number }
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newTotalShares?: { [outcome: string]: number }
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newTotalBets?: { [outcome: string]: number }
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newTotalLiquidity?: number
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newP?: number
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}
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2022-07-10 18:05:44 +00:00
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const computeFill = (
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amount: number,
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outcome: 'YES' | 'NO',
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limitProb: number | undefined,
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cpmmState: CpmmState,
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matchedBet: LimitBet | undefined
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) => {
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const prob = getCpmmProbability(cpmmState.pool, cpmmState.p)
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if (
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limitProb !== undefined &&
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(outcome === 'YES'
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? floatingGreaterEqual(prob, limitProb) &&
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(matchedBet?.limitProb ?? 1) > limitProb
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: floatingLesserEqual(prob, limitProb) &&
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(matchedBet?.limitProb ?? 0) < limitProb)
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) {
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// No fill.
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return undefined
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}
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const timestamp = Date.now()
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if (
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!matchedBet ||
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(outcome === 'YES'
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2022-07-10 18:24:54 +00:00
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? !floatingGreaterEqual(prob, matchedBet.limitProb)
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: !floatingLesserEqual(prob, matchedBet.limitProb))
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2022-07-10 18:05:44 +00:00
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) {
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// Fill from pool.
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const limit = !matchedBet
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? limitProb
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: outcome === 'YES'
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? Math.min(matchedBet.limitProb, limitProb ?? 1)
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: Math.max(matchedBet.limitProb, limitProb ?? 0)
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const buyAmount =
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limit === undefined
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? amount
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: Math.min(amount, calculateCpmmAmountToProb(cpmmState, limit, outcome))
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const { shares, newPool, newP, fees } = calculateCpmmPurchase(
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cpmmState,
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buyAmount,
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outcome
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)
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const newState = { pool: newPool, p: newP }
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return {
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maker: {
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matchedBetId: null,
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shares,
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amount: buyAmount,
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state: newState,
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fees,
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timestamp,
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},
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taker: {
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matchedBetId: null,
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shares,
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amount: buyAmount,
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timestamp,
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},
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}
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}
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// Fill from matchedBet.
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const matchRemaining = matchedBet.orderAmount - matchedBet.amount
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const shares = Math.min(
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amount /
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(outcome === 'YES' ? matchedBet.limitProb : 1 - matchedBet.limitProb),
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matchRemaining /
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(outcome === 'YES' ? 1 - matchedBet.limitProb : matchedBet.limitProb)
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)
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const maker = {
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bet: matchedBet,
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matchedBetId: 'taker',
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amount:
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shares *
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(outcome === 'YES' ? 1 - matchedBet.limitProb : matchedBet.limitProb),
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shares,
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timestamp,
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}
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const taker = {
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matchedBetId: matchedBet.id,
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amount:
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shares *
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(outcome === 'YES' ? matchedBet.limitProb : 1 - matchedBet.limitProb),
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shares,
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timestamp,
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}
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return { maker, taker }
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}
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export const computeFills = (
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outcome: 'YES' | 'NO',
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betAmount: number,
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state: CpmmState,
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limitProb: number | undefined,
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unfilledBets: LimitBet[]
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) => {
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2022-07-23 02:03:07 +00:00
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if (isNaN(betAmount)) {
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throw new Error('Invalid bet amount: ${betAmount}')
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}
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if (isNaN(limitProb ?? 0)) {
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throw new Error('Invalid limitProb: ${limitProb}')
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}
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2022-07-10 18:05:44 +00:00
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const sortedBets = sortBy(
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unfilledBets.filter((bet) => bet.outcome !== outcome),
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(bet) => (outcome === 'YES' ? bet.limitProb : -bet.limitProb),
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(bet) => bet.createdTime
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)
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const takers: fill[] = []
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const makers: {
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bet: LimitBet
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amount: number
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shares: number
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timestamp: number
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}[] = []
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let amount = betAmount
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let cpmmState = { pool: state.pool, p: state.p }
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let totalFees = noFees
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let i = 0
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while (true) {
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const matchedBet: LimitBet | undefined = sortedBets[i]
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const fill = computeFill(amount, outcome, limitProb, cpmmState, matchedBet)
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if (!fill) break
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const { taker, maker } = fill
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if (maker.matchedBetId === null) {
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// Matched against pool.
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cpmmState = maker.state
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totalFees = addObjects(totalFees, maker.fees)
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takers.push(taker)
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} else {
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// Matched against bet.
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takers.push(taker)
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makers.push(maker)
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i++
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}
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amount -= taker.amount
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if (floatingEqual(amount, 0)) break
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}
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return { takers, makers, totalFees, cpmmState }
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}
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export const getBinaryCpmmBetInfo = (
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outcome: 'YES' | 'NO',
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betAmount: number,
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2022-07-02 19:37:59 +00:00
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contract: CPMMBinaryContract | PseudoNumericContract,
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limitProb: number | undefined,
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unfilledBets: LimitBet[]
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2022-03-15 22:27:51 +00:00
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) => {
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const { pool, p } = contract
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const { takers, makers, cpmmState, totalFees } = computeFills(
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outcome,
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betAmount,
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{ pool, p },
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limitProb,
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unfilledBets
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)
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const probBefore = getCpmmProbability(contract.pool, contract.p)
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const probAfter = getCpmmProbability(cpmmState.pool, cpmmState.p)
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2022-07-10 18:05:44 +00:00
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const takerAmount = sumBy(takers, 'amount')
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const takerShares = sumBy(takers, 'shares')
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const isFilled = floatingEqual(betAmount, takerAmount)
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2022-07-10 18:05:44 +00:00
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const newBet: CandidateBet = removeUndefinedProps({
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orderAmount: betAmount,
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amount: takerAmount,
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shares: takerShares,
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limitProb,
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isFilled,
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isCancelled: false,
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fills: takers,
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contractId: contract.id,
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outcome,
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probBefore,
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probAfter,
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loanAmount: 0,
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createdTime: Date.now(),
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fees: totalFees,
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})
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2022-03-15 22:27:51 +00:00
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2022-07-10 18:05:44 +00:00
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const { liquidityFee } = totalFees
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const newTotalLiquidity = (contract.totalLiquidity ?? 0) + liquidityFee
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2022-07-10 18:05:44 +00:00
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return {
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newBet,
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newPool: cpmmState.pool,
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newP: cpmmState.p,
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newTotalLiquidity,
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makers,
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}
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}
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2022-01-10 22:49:04 +00:00
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2022-07-22 05:57:56 +00:00
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export const getBinaryBetStats = (
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outcome: 'YES' | 'NO',
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betAmount: number,
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contract: CPMMBinaryContract | PseudoNumericContract,
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limitProb: number,
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unfilledBets: LimitBet[]
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) => {
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const { newBet } = getBinaryCpmmBetInfo(
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outcome,
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betAmount ?? 0,
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contract,
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limitProb,
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unfilledBets as LimitBet[]
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)
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const remainingMatched =
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((newBet.orderAmount ?? 0) - newBet.amount) /
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(outcome === 'YES' ? limitProb : 1 - limitProb)
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const currentPayout = newBet.shares + remainingMatched
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const currentReturn = betAmount ? (currentPayout - betAmount) / betAmount : 0
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const totalFees = sum(Object.values(newBet.fees))
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return { currentPayout, currentReturn, totalFees, newBet }
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}
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2022-03-15 22:27:51 +00:00
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export const getNewBinaryDpmBetInfo = (
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outcome: 'YES' | 'NO',
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amount: number,
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2022-08-22 05:22:49 +00:00
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contract: DPMBinaryContract
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) => {
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const { YES: yesPool, NO: noPool } = contract.pool
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2022-01-10 22:49:04 +00:00
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const newPool =
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outcome === 'YES'
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? { YES: yesPool + amount, NO: noPool }
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2022-01-10 23:52:03 +00:00
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: { YES: yesPool, NO: noPool + amount }
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2022-01-10 22:49:04 +00:00
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const shares = calculateDpmShares(contract.totalShares, amount, outcome)
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2022-01-10 22:49:04 +00:00
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2022-01-10 23:52:03 +00:00
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const { YES: yesShares, NO: noShares } = contract.totalShares
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2022-01-10 22:49:04 +00:00
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const newTotalShares =
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outcome === 'YES'
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2022-01-10 22:49:04 +00:00
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? { YES: yesShares + shares, NO: noShares }
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2022-01-10 23:52:03 +00:00
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: { YES: yesShares, NO: noShares + shares }
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2022-01-10 22:49:04 +00:00
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2022-01-10 23:52:03 +00:00
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const { YES: yesBets, NO: noBets } = contract.totalBets
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2022-01-10 22:49:04 +00:00
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const newTotalBets =
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outcome === 'YES'
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2022-01-10 22:49:04 +00:00
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? { YES: yesBets + amount, NO: noBets }
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2022-01-10 23:52:03 +00:00
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: { YES: yesBets, NO: noBets + amount }
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2022-03-15 22:27:51 +00:00
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const probBefore = getDpmProbability(contract.totalShares)
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const probAfter = getDpmProbability(newTotalShares)
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2022-01-10 22:49:04 +00:00
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2022-07-05 19:35:39 +00:00
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const newBet: CandidateBet = {
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contractId: contract.id,
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amount,
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loanAmount: 0,
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shares,
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outcome,
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probBefore,
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probAfter,
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createdTime: Date.now(),
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fees: noFees,
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2022-01-10 23:52:03 +00:00
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}
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2022-01-10 22:49:04 +00:00
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2022-05-26 21:37:51 +00:00
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return { newBet, newPool, newTotalShares, newTotalBets }
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2022-01-10 23:52:03 +00:00
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}
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2022-02-17 23:00:19 +00:00
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export const getNewMultiBetInfo = (
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outcome: string,
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amount: number,
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2022-10-06 21:36:16 +00:00
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contract: DPMContract
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2022-02-17 23:00:19 +00:00
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) => {
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const { pool, totalShares, totalBets } = contract
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const prevOutcomePool = pool[outcome] ?? 0
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const newPool = { ...pool, [outcome]: prevOutcomePool + amount }
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2022-03-15 22:27:51 +00:00
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const shares = calculateDpmShares(contract.totalShares, amount, outcome)
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2022-02-17 23:00:19 +00:00
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const prevShares = totalShares[outcome] ?? 0
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const newTotalShares = { ...totalShares, [outcome]: prevShares + shares }
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const prevTotalBets = totalBets[outcome] ?? 0
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const newTotalBets = { ...totalBets, [outcome]: prevTotalBets + amount }
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2022-03-15 22:27:51 +00:00
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const probBefore = getDpmOutcomeProbability(totalShares, outcome)
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const probAfter = getDpmOutcomeProbability(newTotalShares, outcome)
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2022-02-17 23:00:19 +00:00
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2022-07-05 19:35:39 +00:00
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const newBet: CandidateBet = {
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2022-02-17 23:00:19 +00:00
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contractId: contract.id,
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amount,
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2022-08-22 05:22:49 +00:00
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loanAmount: 0,
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2022-02-17 23:00:19 +00:00
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shares,
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outcome,
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probBefore,
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probAfter,
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createdTime: Date.now(),
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2022-03-15 22:27:51 +00:00
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fees: noFees,
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2022-02-17 23:00:19 +00:00
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}
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2022-05-26 21:37:51 +00:00
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return { newBet, newPool, newTotalShares, newTotalBets }
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2022-02-17 23:00:19 +00:00
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}
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2022-03-02 03:31:48 +00:00
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2022-05-19 17:42:03 +00:00
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export const getNumericBetsInfo = (
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value: number,
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outcome: string,
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amount: number,
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2022-05-26 21:37:51 +00:00
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contract: NumericContract
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2022-05-19 17:42:03 +00:00
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) => {
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const { pool, totalShares, totalBets } = contract
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const bets = getNumericBets(contract, outcome, amount, NUMERIC_FIXED_VAR)
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const allBetAmounts = Object.fromEntries(bets)
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const newTotalBets = addObjects(totalBets, allBetAmounts)
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const newPool = addObjects(pool, allBetAmounts)
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const { shares, totalShares: newTotalShares } = calculateNumericDpmShares(
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contract.totalShares,
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bets
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)
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const allOutcomeShares = Object.fromEntries(
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bets.map(([outcome], i) => [outcome, shares[i]])
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)
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const probBefore = getDpmOutcomeProbability(totalShares, outcome)
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const probAfter = getDpmOutcomeProbability(newTotalShares, outcome)
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2022-05-26 21:37:51 +00:00
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const newBet: CandidateBet<NumericBet> = {
|
2022-05-19 17:42:03 +00:00
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contractId: contract.id,
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value,
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amount,
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allBetAmounts,
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shares: shares.find((s, i) => bets[i][0] === outcome) ?? 0,
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allOutcomeShares,
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outcome,
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|
probBefore,
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probAfter,
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|
createdTime: Date.now(),
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|
fees: noFees,
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|
}
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|
2022-05-26 21:37:51 +00:00
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return { newBet, newPool, newTotalShares, newTotalBets }
|
2022-05-19 17:42:03 +00:00
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}
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