import { sortBy, sum, sumBy } from 'lodash' import { Bet, fill, LimitBet, MAX_LOAN_PER_CONTRACT, NumericBet } from './bet' import { calculateDpmShares, getDpmProbability, getDpmOutcomeProbability, getNumericBets, calculateNumericDpmShares, } from './calculate-dpm' import { calculateCpmmAmountToProb, calculateCpmmPurchase, CpmmState, getCpmmProbability, } from './calculate-cpmm' import { CPMMBinaryContract, DPMBinaryContract, FreeResponseContract, NumericContract, PseudoNumericContract, } from './contract' import { noFees } from './fees' import { addObjects, removeUndefinedProps } from './util/object' import { NUMERIC_FIXED_VAR } from './numeric-constants' import { floatingEqual, floatingGreaterEqual, floatingLesserEqual, } from './util/math' export type CandidateBet = Omit export type BetInfo = { newBet: CandidateBet newPool?: { [outcome: string]: number } newTotalShares?: { [outcome: string]: number } newTotalBets?: { [outcome: string]: number } newTotalLiquidity?: number newP?: number } const computeFill = ( amount: number, outcome: 'YES' | 'NO', limitProb: number | undefined, cpmmState: CpmmState, matchedBet: LimitBet | undefined ) => { const prob = getCpmmProbability(cpmmState.pool, cpmmState.p) if ( limitProb !== undefined && (outcome === 'YES' ? floatingGreaterEqual(prob, limitProb) && (matchedBet?.limitProb ?? 1) > limitProb : floatingLesserEqual(prob, limitProb) && (matchedBet?.limitProb ?? 0) < limitProb) ) { // No fill. return undefined } const timestamp = Date.now() if ( !matchedBet || (outcome === 'YES' ? !floatingGreaterEqual(prob, matchedBet.limitProb) : !floatingLesserEqual(prob, matchedBet.limitProb)) ) { // Fill from pool. const limit = !matchedBet ? limitProb : outcome === 'YES' ? Math.min(matchedBet.limitProb, limitProb ?? 1) : Math.max(matchedBet.limitProb, limitProb ?? 0) const buyAmount = limit === undefined ? amount : Math.min(amount, calculateCpmmAmountToProb(cpmmState, limit, outcome)) const { shares, newPool, newP, fees } = calculateCpmmPurchase( cpmmState, buyAmount, outcome ) const newState = { pool: newPool, p: newP } return { maker: { matchedBetId: null, shares, amount: buyAmount, state: newState, fees, timestamp, }, taker: { matchedBetId: null, shares, amount: buyAmount, timestamp, }, } } // Fill from matchedBet. const matchRemaining = matchedBet.orderAmount - matchedBet.amount const shares = Math.min( amount / (outcome === 'YES' ? matchedBet.limitProb : 1 - matchedBet.limitProb), matchRemaining / (outcome === 'YES' ? 1 - matchedBet.limitProb : matchedBet.limitProb) ) const maker = { bet: matchedBet, matchedBetId: 'taker', amount: shares * (outcome === 'YES' ? 1 - matchedBet.limitProb : matchedBet.limitProb), shares, timestamp, } const taker = { matchedBetId: matchedBet.id, amount: shares * (outcome === 'YES' ? matchedBet.limitProb : 1 - matchedBet.limitProb), shares, timestamp, } return { maker, taker } } export const computeFills = ( outcome: 'YES' | 'NO', betAmount: number, state: CpmmState, limitProb: number | undefined, unfilledBets: LimitBet[] ) => { const sortedBets = sortBy( unfilledBets.filter((bet) => bet.outcome !== outcome), (bet) => (outcome === 'YES' ? bet.limitProb : -bet.limitProb), (bet) => bet.createdTime ) const takers: fill[] = [] const makers: { bet: LimitBet amount: number shares: number timestamp: number }[] = [] let amount = betAmount let cpmmState = { pool: state.pool, p: state.p } let totalFees = noFees let i = 0 while (true) { const matchedBet: LimitBet | undefined = sortedBets[i] const fill = computeFill(amount, outcome, limitProb, cpmmState, matchedBet) if (!fill) break const { taker, maker } = fill if (maker.matchedBetId === null) { // Matched against pool. cpmmState = maker.state totalFees = addObjects(totalFees, maker.fees) takers.push(taker) } else { // Matched against bet. takers.push(taker) makers.push(maker) i++ } amount -= taker.amount if (floatingEqual(amount, 0)) break } return { takers, makers, totalFees, cpmmState } } export const getBinaryCpmmBetInfo = ( outcome: 'YES' | 'NO', betAmount: number, contract: CPMMBinaryContract | PseudoNumericContract, limitProb: number | undefined, unfilledBets: LimitBet[] ) => { const { pool, p } = contract const { takers, makers, cpmmState, totalFees } = computeFills( outcome, betAmount, { pool, p }, limitProb, unfilledBets ) const probBefore = getCpmmProbability(contract.pool, contract.p) const probAfter = getCpmmProbability(cpmmState.pool, cpmmState.p) const takerAmount = sumBy(takers, 'amount') const takerShares = sumBy(takers, 'shares') const isFilled = floatingEqual(betAmount, takerAmount) const newBet: CandidateBet = removeUndefinedProps({ orderAmount: betAmount, amount: takerAmount, shares: takerShares, limitProb, isFilled, isCancelled: false, fills: takers, contractId: contract.id, outcome, probBefore, probAfter, loanAmount: 0, createdTime: Date.now(), fees: totalFees, }) const { liquidityFee } = totalFees const newTotalLiquidity = (contract.totalLiquidity ?? 0) + liquidityFee return { newBet, newPool: cpmmState.pool, newP: cpmmState.p, newTotalLiquidity, makers, } } export const getBinaryBetStats = ( outcome: 'YES' | 'NO', betAmount: number, contract: CPMMBinaryContract | PseudoNumericContract, limitProb: number, unfilledBets: LimitBet[] ) => { const { newBet } = getBinaryCpmmBetInfo( outcome, betAmount ?? 0, contract, limitProb, unfilledBets as LimitBet[] ) const remainingMatched = ((newBet.orderAmount ?? 0) - newBet.amount) / (outcome === 'YES' ? limitProb : 1 - limitProb) const currentPayout = newBet.shares + remainingMatched const currentReturn = betAmount ? (currentPayout - betAmount) / betAmount : 0 const totalFees = sum(Object.values(newBet.fees)) return { currentPayout, currentReturn, totalFees, newBet } } export const getNewBinaryDpmBetInfo = ( outcome: 'YES' | 'NO', amount: number, contract: DPMBinaryContract, loanAmount: number ) => { const { YES: yesPool, NO: noPool } = contract.pool const newPool = outcome === 'YES' ? { YES: yesPool + amount, NO: noPool } : { YES: yesPool, NO: noPool + amount } const shares = calculateDpmShares(contract.totalShares, amount, outcome) const { YES: yesShares, NO: noShares } = contract.totalShares const newTotalShares = outcome === 'YES' ? { YES: yesShares + shares, NO: noShares } : { YES: yesShares, NO: noShares + shares } const { YES: yesBets, NO: noBets } = contract.totalBets const newTotalBets = outcome === 'YES' ? { YES: yesBets + amount, NO: noBets } : { YES: yesBets, NO: noBets + amount } const probBefore = getDpmProbability(contract.totalShares) const probAfter = getDpmProbability(newTotalShares) const newBet: CandidateBet = { contractId: contract.id, amount, loanAmount, shares, outcome, probBefore, probAfter, createdTime: Date.now(), fees: noFees, } return { newBet, newPool, newTotalShares, newTotalBets } } export const getNewMultiBetInfo = ( outcome: string, amount: number, contract: FreeResponseContract, loanAmount: number ) => { const { pool, totalShares, totalBets } = contract const prevOutcomePool = pool[outcome] ?? 0 const newPool = { ...pool, [outcome]: prevOutcomePool + amount } const shares = calculateDpmShares(contract.totalShares, amount, outcome) const prevShares = totalShares[outcome] ?? 0 const newTotalShares = { ...totalShares, [outcome]: prevShares + shares } const prevTotalBets = totalBets[outcome] ?? 0 const newTotalBets = { ...totalBets, [outcome]: prevTotalBets + amount } const probBefore = getDpmOutcomeProbability(totalShares, outcome) const probAfter = getDpmOutcomeProbability(newTotalShares, outcome) const newBet: CandidateBet = { contractId: contract.id, amount, loanAmount, shares, outcome, probBefore, probAfter, createdTime: Date.now(), fees: noFees, } return { newBet, newPool, newTotalShares, newTotalBets } } export const getNumericBetsInfo = ( value: number, outcome: string, amount: number, contract: NumericContract ) => { const { pool, totalShares, totalBets } = contract const bets = getNumericBets(contract, outcome, amount, NUMERIC_FIXED_VAR) const allBetAmounts = Object.fromEntries(bets) const newTotalBets = addObjects(totalBets, allBetAmounts) const newPool = addObjects(pool, allBetAmounts) const { shares, totalShares: newTotalShares } = calculateNumericDpmShares( contract.totalShares, bets ) const allOutcomeShares = Object.fromEntries( bets.map(([outcome], i) => [outcome, shares[i]]) ) const probBefore = getDpmOutcomeProbability(totalShares, outcome) const probAfter = getDpmOutcomeProbability(newTotalShares, outcome) const newBet: CandidateBet = { contractId: contract.id, value, amount, allBetAmounts, shares: shares.find((s, i) => bets[i][0] === outcome) ?? 0, allOutcomeShares, outcome, probBefore, probAfter, createdTime: Date.now(), fees: noFees, } return { newBet, newPool, newTotalShares, newTotalBets } } export const getLoanAmount = (yourBets: Bet[], newBetAmount: number) => { const openBets = yourBets.filter((bet) => !bet.isSold && !bet.sale) const prevLoanAmount = sumBy(openBets, (bet) => bet.loanAmount ?? 0) const loanAmount = Math.min( newBetAmount, MAX_LOAN_PER_CONTRACT - prevLoanAmount ) return loanAmount }