GNSPriceImpact

Facet #4: Price impact OI windows

constructor

constructor() public

initializePriceImpact

function initializePriceImpact(uint48 _windowsDuration, uint48 _windowsCount) external

Initializes price impact facet

Parameters

Name	Type	Description
_windowsDuration	uint48	windows duration (seconds)
_windowsCount	uint48	windows count

initializeNegPnlCumulVolMultiplier

function initializeNegPnlCumulVolMultiplier(uint40 _negPnlCumulVolMultiplier) external

Initializes negative pnl cumulative volume multiplier

Parameters

Name	Type	Description
_negPnlCumulVolMultiplier	uint40	new value (1e10)

initializePairFactors

function initializePairFactors(uint16[] _pairIndices, uint40[] _protectionCloseFactors, uint32[] _protectionCloseFactorBlocks, uint40[] _cumulativeFactors) external

Initializes pair factors

Parameters

Name	Type	Description
_pairIndices	uint16[]	pair indices to initialize
_protectionCloseFactors	uint40[]	protection close factors (1e10)
_protectionCloseFactorBlocks	uint32[]	protection close factor blocks
_cumulativeFactors	uint40[]	cumulative factors (1e10)

setPriceImpactWindowsCount

function setPriceImpactWindowsCount(uint48 _newWindowsCount) external

Updates price impact windows count

Parameters

Name	Type	Description
_newWindowsCount	uint48	new windows count

setPriceImpactWindowsDuration

function setPriceImpactWindowsDuration(uint48 _newWindowsDuration) external

Updates price impact windows duration

Parameters

Name	Type	Description
_newWindowsDuration	uint48	new windows duration (seconds)

setNegPnlCumulVolMultiplier

function setNegPnlCumulVolMultiplier(uint40 _negPnlCumulVolMultiplier) external

Updates negative pnl cumulative volume multiplier

Parameters

Name	Type	Description
_negPnlCumulVolMultiplier	uint40	new value (1e10)

setProtectionCloseFactorWhitelist

function setProtectionCloseFactorWhitelist(address[] _traders, bool[] _whitelisted) external

Whitelists/unwhitelists traders from protection close factor

Parameters

Name	Type	Description
_traders	address[]	traders addresses
_whitelisted	bool[]	values

setPairDepths

function setPairDepths(uint256[] _indices, uint128[] _depthsAboveUsd, uint128[] _depthsBelowUsd) external

Updates pairs 1% depths above and below

Parameters

Name	Type	Description
_indices	uint256[]	indices of pairs
_depthsAboveUsd	uint128[]	depths above the price in USD
_depthsBelowUsd	uint128[]	depths below the price in USD

setProtectionCloseFactors

function setProtectionCloseFactors(uint16[] _pairIndices, uint40[] _protectionCloseFactors) external

Sets protection close factors for pairs

Parameters

Name	Type	Description
_pairIndices	uint16[]	pair indices to update
_protectionCloseFactors	uint40[]	new protection close factors (1e10)

setProtectionCloseFactorBlocks

function setProtectionCloseFactorBlocks(uint16[] _pairIndices, uint32[] _protectionCloseFactorBlocks) external

Sets protection close factor blocks duration for pairs

Parameters

Name	Type	Description
_pairIndices	uint16[]	pair indices to update
_protectionCloseFactorBlocks	uint32[]	new protection close factor blocks

setCumulativeFactors

function setCumulativeFactors(uint16[] _pairIndices, uint40[] _cumulativeFactors) external

Sets cumulative factors for pairs

Parameters

Name	Type	Description
_pairIndices	uint16[]	pair indices to update
_cumulativeFactors	uint40[]	new cumulative factors (1e10)

setExemptOnOpen

function setExemptOnOpen(uint16[] _pairIndices, bool[] _exemptOnOpen) external

Sets whether pairs are exempt from price impact on open

Parameters

Name	Type	Description
_pairIndices	uint16[]	pair indices to update
_exemptOnOpen	bool[]	new values

setExemptAfterProtectionCloseFactor

function setExemptAfterProtectionCloseFactor(uint16[] _pairIndices, bool[] _exemptAfterProtectionCloseFactor) external

Sets whether pairs are exempt from price impact on close once protection close factor has expired

Parameters

Name	Type	Description
_pairIndices	uint16[]	pair indices to update
_exemptAfterProtectionCloseFactor	bool[]	new values

addPriceImpactOpenInterest

function addPriceImpactOpenInterest(address _trader, uint32 _index, uint256 _oiDeltaCollateral, bool _open, bool _isPnlPositive) external virtual

Adds open interest to current window

Parameters

Name	Type	Description
_trader	address	trader address
_index	uint32	trade index
_oiDeltaCollateral	uint256	open interest to add (collateral precision)
_open	bool	whether it corresponds to opening or closing a trade
_isPnlPositive	bool	whether it corresponds to a positive pnl trade (only relevant when _open = false)

getPriceImpactOi

function getPriceImpactOi(uint256 _pairIndex, bool _long) external view returns (uint256 activeOi)

Returns active open interest used in price impact calculation for a pair and side (long/short)

Parameters

Name	Type	Description
_pairIndex	uint256	index of pair
_long	bool	true for long, false for short

getTradePriceImpact

function getTradePriceImpact(address _trader, uint256 _marketPrice, uint256 _pairIndex, bool _long, uint256 _tradeOpenInterestUsd, bool _isPnlPositive, bool _open, uint256 _lastPosIncreaseBlock, enum ITradingStorage.ContractsVersion _contractsVersion) external view returns (uint256 priceImpactP, uint256 priceAfterImpact)

Returns price impact % (1e10 precision) and price after impact (1e10 precision) for a trade

Parameters

Name	Type	Description
_trader	address	trader address (to check if whitelisted from protection close factor)
_marketPrice	uint256	market price (1e10 precision)
_pairIndex	uint256	index of pair
_long	bool	true for long, false for short
_tradeOpenInterestUsd	uint256	open interest of trade in USD (1e18 precision)
_isPnlPositive	bool	true if positive pnl, false if negative pnl (only relevant when _open = false)
_open	bool	true on open, false on close
_lastPosIncreaseBlock	uint256	block when trade position size was last increased (only relevant when _open = false)
_contractsVersion	enum ITradingStorage.ContractsVersion	trade contracts version

getPairDepth

function getPairDepth(uint256 _pairIndex) external view returns (struct IPriceImpact.PairDepth)

Returns a pair's depths above and below the price

Parameters

Name	Type	Description
_pairIndex	uint256	index of pair

getOiWindowsSettings

function getOiWindowsSettings() external view returns (struct IPriceImpact.OiWindowsSettings)

Returns current price impact windows settings

getOiWindow

function getOiWindow(uint48 _windowsDuration, uint256 _pairIndex, uint256 _windowId) external view returns (struct IPriceImpact.PairOi)

Returns OI window details (long/short OI)

Parameters

Name	Type	Description
_windowsDuration	uint48	windows duration (seconds)
_pairIndex	uint256	index of pair
_windowId	uint256	id of window

getOiWindows

function getOiWindows(uint48 _windowsDuration, uint256 _pairIndex, uint256[] _windowIds) external view returns (struct IPriceImpact.PairOi[])

Returns multiple OI windows details (long/short OI)

Parameters

Name	Type	Description
_windowsDuration	uint48	windows duration (seconds)
_pairIndex	uint256	index of pair
_windowIds	uint256[]	ids of windows

getPairDepths

function getPairDepths(uint256[] _indices) external view returns (struct IPriceImpact.PairDepth[])

Returns depths above and below the price for multiple pairs

Parameters

Name	Type	Description
_indices	uint256[]	indices of pairs

getPairFactors

function getPairFactors(uint256[] _indices) external view returns (struct IPriceImpact.PairFactors[])

Returns factors for a set of pairs (1e10)

Parameters

Name	Type	Description
_indices	uint256[]	indices of pairs

getNegPnlCumulVolMultiplier

function getNegPnlCumulVolMultiplier() external view returns (uint48)

Returns negative pnl cumulative volume multiplier

getProtectionCloseFactorWhitelist

function getProtectionCloseFactorWhitelist(address _trader) external view returns (bool)

Returns whether a trader is whitelisted from protection close factor