@d8x/perpetuals-sdk
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Node TypeScript SDK for D8X Perpetual Futures
105 lines • 4.33 kB
JavaScript
export default class Triangulator {
/**
* Find all possible triangulation paths
* @param ccyBase array of base currencies ['BTC', 'ETH', 'MATIC', ...]
* @param ccyQuote array of quote currencies corresponding to base ['USD', 'USD', ...]
* @param pair pair we want to calculate, e.g. BTC-USDC
* @returns array of different paths for which multiplication leads to
* desired pair, e.g. [['MATIC-USD'], ['MATIC-ETH', 'ETH-USD']]
*/
static findPath(ccyBase, ccyQuote, pair) {
let [base, quote] = pair.split("-");
let paths = new Array();
for (let k = 0; k < ccyBase.length; k++) {
let currentPath = [];
if (ccyBase[k] == base) {
currentPath.push(ccyBase[k] + "-" + ccyQuote[k]);
if (ccyQuote[k] == quote) {
// we are done
paths.push(currentPath);
}
else {
// find path for ccyQuote[k]-quote without the currency
let newBase = new Array();
let newQuote = new Array();
for (let j = 0; j < ccyBase.length; j++) {
if (j != k && ccyQuote[j] + "-" + ccyBase[j] != ccyBase[k] + "-" + ccyQuote[k]) {
newBase.push(ccyBase[j]);
newQuote.push(ccyQuote[j]);
}
}
let recPaths = Triangulator.findPath(newBase, newQuote, ccyQuote[k] + "-" + quote);
for (let j = 0; j < recPaths.length; j++) {
paths.push(currentPath.concat(recPaths[j]));
}
}
}
}
return paths;
}
/**
* Calculate the triangulated price from underlying prices
* @param triangulation triangulation of with symbol and is-inverted flag
* @param feedIdxPrices map of symbol to price
* @returns triangulated price (scalar), true if market closed or price unavailable
*/
static calculateTriangulatedPrice(triangulation, feedIdxPrices) {
let px = 1;
let isOpen = true;
for (let j = 0; j < triangulation[0].length; j++) {
let pxFeed = feedIdxPrices.get(triangulation[0][j]);
if (pxFeed == undefined) {
// no price available for given index
return [-1, true];
}
px = triangulation[1][j] ? px / pxFeed[0] : px * pxFeed[0];
let isClosed = pxFeed[1];
isOpen = isOpen && !isClosed;
}
return [px, !isOpen];
}
/**
* Finds shortest path and returns indices required and whether to divide or not
* @example triangulate BTC-USDC: [ [ 'BTC-USD', 'USDC-USD' ], [ false, true ] ]
* @param ccyArr array of available indices (e.g. from websocket)
* @param symbol symbol we are looking for (e.g. MATIC-USDC)
* @returns shortest path with given indices, array whether we have to divide (true) or multiply
* to arrive at the desired price
*/
static triangulate(ccyArr, symbol) {
let ccyBase = ccyArr.map((x) => x.split("-")[0]);
let ccyQuote = ccyArr.map((x) => x.split("-")[1]);
let p = Triangulator.findPath(ccyBase.concat(ccyQuote), ccyQuote.concat(ccyBase), symbol);
if (p.length == 0) {
return [[], []];
}
let len = p.map((x) => x.length);
let minLen = 100;
let minIdx = -1;
for (let j = 0; j < p.length; j++) {
if (len[j] < minLen) {
minLen = len[j];
minIdx = j;
if (minLen == 1) {
break;
}
}
}
let path = p[minIdx];
let invert = new Array();
let indexPath = new Array();
for (let k = 0; k < path.length; k++) {
if (ccyArr.includes(path[k], 0)) {
indexPath.push(path[k]);
invert.push(false);
}
else {
let inv = path[k].split("-");
indexPath.push(inv[1] + "-" + inv[0]);
invert.push(true);
}
}
return [indexPath, invert];
}
}
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