@devasher/kuru-sdk/dist/utils/slippage.js

Ethers v6 SDK to interact with Kuru (forked from @kuru-labs/kuru-sdk)

"use strict";
Object.defineProperty(exports, "__esModule", { value: true });
exports.calculateDynamicSlippage = void 0;
/**
 * Calculates optimal slippage tolerance in basis points (BPS)
 * @param defaultSlippageBps - Default slippage tolerance in BPS (e.g., 50 = 0.5%)
 * @param tradeSize - Size of the trade
 * @param priceImpactBps - Price impact in BPS
 * @param ohlcvData - OHLCV data for the asset
 * @returns Optimal slippage tolerance in BPS
 */
function calculateDynamicSlippage(defaultSlippageBps, tradeSize, priceImpactBps, ohlcvData) {
    const MIN_SLIPPAGE_BPS = 5;
    const MAX_SLIPPAGE_BPS = 200;
    // Calculate volatility component
    const returns = ohlcvData.slice(1).map((data, i) => Math.log(data.close / ohlcvData[i].close));
    const volatility = calculateStandardDeviation(returns);
    // Calculate volume component (trade size relative to average volume)
    const avgVolume = ohlcvData.reduce((sum, d) => sum + d.volume, 0) / ohlcvData.length;
    const volumeRatio = tradeSize / avgVolume;
    // Combine factors: base slippage + volatility adjustment + volume impact + price impact
    let dynamicSlippage = defaultSlippageBps *
        (1 +
            volatility * 2 + // Volatility factor
            Math.sqrt(volumeRatio) * 0.5 + // Volume impact
            priceImpactBps / 100); // Direct price impact
    return Math.min(Math.max(dynamicSlippage, MIN_SLIPPAGE_BPS), MAX_SLIPPAGE_BPS);
}
exports.calculateDynamicSlippage = calculateDynamicSlippage;
function calculateStandardDeviation(values) {
    const mean = values.reduce((sum, val) => sum + val, 0) / values.length;
    const variance = values.reduce((sum, val) => sum + Math.pow(val - mean, 2), 0) / values.length;
    return Math.sqrt(variance);
}
//# sourceMappingURL=slippage.js.map