PriceImpactUtils

_GNSPriceImpact facet internal library

This is a library to help manage a price impact decay algorithm .

When a trade is placed, OI is added to the window corresponding to time of open. When a trade is removed, OI is removed from the window corresponding to time of open.

When calculating price impact, only the most recent X windows are taken into account._

validWindowsDuration

modifier validWindowsDuration(uint48 _windowsDuration)

Validates new windowsDuration value

initializePriceImpact

function initializePriceImpact(uint48 _windowsDuration, uint48 _windowsCount) internal

Check IPriceImpactUtils interface for documentation

initializeNegPnlCumulVolMultiplier

function initializeNegPnlCumulVolMultiplier(uint40 _negPnlCumulVolMultiplier) internal

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initializePairFactors

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

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setPriceImpactWindowsCount

function setPriceImpactWindowsCount(uint48 _newWindowsCount) internal

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setPriceImpactWindowsDuration

function setPriceImpactWindowsDuration(uint48 _newWindowsDuration, uint256 _pairsCount) internal

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setNegPnlCumulVolMultiplier

function setNegPnlCumulVolMultiplier(uint40 _negPnlCumulVolMultiplier) internal

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setProtectionCloseFactorWhitelist

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

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setPairDepths

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

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setProtectionCloseFactors

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

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setProtectionCloseFactorBlocks

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

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setCumulativeFactors

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

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setExemptOnOpen

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

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setExemptAfterProtectionCloseFactor

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

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addPriceImpactOpenInterest

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

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getPriceImpactOi

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

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getTradePriceImpact

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

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getPairDepth

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

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getOiWindowsSettings

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

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getOiWindow

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

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getOiWindows

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

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getPairDepths

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

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getPairFactors

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

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getNegPnlCumulVolMultiplier

function getNegPnlCumulVolMultiplier() internal view returns (uint40)

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getProtectionCloseFactorWhitelist

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

Check IPriceImpactUtils interface for documentation

_getSlot

function _getSlot() internal pure returns (uint256)

Returns storage slot to use when fetching storage relevant to library

_getStorage

function _getStorage() internal pure returns (struct IPriceImpact.PriceImpactStorage s)

Returns storage pointer for storage struct in diamond contract, at defined slot

_getMultiCollatDiamond

function _getMultiCollatDiamond() internal view returns (contract IGNSMultiCollatDiamond)

Returns current address as multi-collateral diamond interface to call other facets functions.

_transferPriceImpactOiForPairs

function _transferPriceImpactOiForPairs(uint256 _pairsCount, mapping(uint256 => mapping(uint256 => struct IPriceImpact.PairOi)) _prevPairOiWindows, mapping(uint256 => mapping(uint256 => struct IPriceImpact.PairOi)) _newPairOiWindows, struct IPriceImpact.OiWindowsSettings _settings, uint48 _newWindowsDuration) internal

_Transfers total long / short OI from last '_settings.windowsCount' windows of _prevPairOiWindows to current window of _newPairOiWindows for _pairsCount pairs.

Emits a {PriceImpactOiTransferredPairs} event._

Parameters

Name	Type	Description
_pairsCount	uint256	number of pairs
_prevPairOiWindows	mapping(uint256 => mapping(uint256 => struct IPriceImpact.PairOi))	previous pair OI windows (previous windowsDuration mapping)
_newPairOiWindows	mapping(uint256 => mapping(uint256 => struct IPriceImpact.PairOi))	new pair OI windows (new windowsDuration mapping)
_settings	IPriceImpact.OiWindowsSettings	current OI windows settings
_newWindowsDuration	uint48	new windows duration

_transferPriceImpactOiForPair

function _transferPriceImpactOiForPair(uint256 _pairIndex, uint256 _prevCurrentWindowId, uint256 _prevEarliestWindowId, mapping(uint256 => struct IPriceImpact.PairOi) _prevPairOiWindows, struct IPriceImpact.PairOi _newPairOiWindow) internal

_Transfers total long / short OI from prevEarliestWindowId to prevCurrentWindowId windows of _prevPairOiWindows to _newPairOiWindow window.

Emits a {PriceImpactOiTransferredPair} event._

Parameters

Name	Type	Description
_pairIndex	uint256	index of the pair
_prevCurrentWindowId	uint256	previous current window ID
_prevEarliestWindowId	uint256	previous earliest active window ID
_prevPairOiWindows	mapping(uint256 => struct IPriceImpact.PairOi)	previous pair OI windows (previous windowsDuration mapping)
_newPairOiWindow	IPriceImpact.PairOi	new pair OI window (new windowsDuration mapping)

_getWindowId

function _getWindowId(uint48 _timestamp, struct IPriceImpact.OiWindowsSettings _settings) internal pure returns (uint256)

Returns window id at _timestamp given _settings.

Parameters

Name	Type	Description
_timestamp	uint48	timestamp
_settings	IPriceImpact.OiWindowsSettings	OI windows settings

_getCurrentWindowId

function _getCurrentWindowId(struct IPriceImpact.OiWindowsSettings _settings) internal view returns (uint256)

Returns window id at current timestamp given _settings.

Parameters

Name	Type	Description
_settings	IPriceImpact.OiWindowsSettings	OI windows settings

_getEarliestActiveWindowId

function _getEarliestActiveWindowId(uint256 _currentWindowId, uint48 _windowsCount) internal pure returns (uint256)

Returns earliest active window id given _currentWindowId and _windowsCount.

Parameters

Name	Type	Description
_currentWindowId	uint256	current window id
_windowsCount	uint48	active windows count

_isWindowPotentiallyActive

function _isWindowPotentiallyActive(uint256 _windowId, uint256 _currentWindowId) internal pure returns (bool)

_Returns whether 'windowId' can be potentially active id given _currentWindowId

Parameters

Name	Type	Description
_windowId	uint256	window id
_currentWindowId	uint256	current window id

_getTradePriceImpact

function _getTradePriceImpact(uint256 _marketPrice, bool _long, uint256 _startOpenInterestUsd, uint256 _tradeOpenInterestUsd, uint256 _onePercentDepthUsd, bool _open, uint256 _protectionCloseFactor, uint256 _cumulativeFactor, enum ITradingStorage.ContractsVersion _contractsVersion) internal pure returns (uint256 priceImpactP, uint256 priceAfterImpact)

Returns trade price impact % and opening price after impact.

Parameters

Name	Type	Description
_marketPrice	uint256	market price (1e10 precision)
_long	bool	true for long, false for short
_startOpenInterestUsd	uint256	existing open interest of pair on trade side in USD (1e18 precision)
_tradeOpenInterestUsd	uint256	open interest of trade in USD (1e18 precision)
_onePercentDepthUsd	uint256	one percent depth of pair in USD on trade side
_open	bool	true for open, false for close
_protectionCloseFactor	uint256	protection close factor (1e10 precision)
_cumulativeFactor	uint256	cumulative factor (1e10 precision)
_contractsVersion	enum ITradingStorage.ContractsVersion	trade contracts version