market price calculations

Polymarket · May 21, 2024 · cd6f24f · cd6f24f
1 parent d8b2f28
commit cd6f24f
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Showing 3 changed files with 136 additions and 4 deletions.
diff --git a/src/client.ts b/src/client.ts
@@ -103,6 +103,7 @@ import {
 } from "./endpoints";
 import { OrderBuilder } from "./order-builder/builder";
 import { END_CURSOR, INITIAL_CURSOR } from "./constants";
+import { calculateMarketPrice } from "./order-builder/helpers";
 
 export class ClobClient {
     readonly host: string;
@@ -507,8 +508,11 @@ export class ClobClient {
         const negRisk = options?.negRisk ?? false;
 
         if (!userMarketOrder.price) {
-            const marketPrice = await this.getPrice(tokenID, Side.SELL);
-            userMarketOrder.price = parseFloat(marketPrice);
+            userMarketOrder.price = await this.calculateMarketPrice(
+                tokenID,
+                Side.BUY,
+                userMarketOrder.amount,
+            );
         }
 
         if (!priceValid(userMarketOrder.price, tickSize)) {
@@ -824,6 +828,28 @@ export class ClobClient {
         return this.get(`${this.host}${GET_MARKET_TRADES_EVENTS}${conditionID}`);
     }
 
+    public async calculateMarketPrice(
+        tokenID: string,
+        side: Side,
+        amount: number,
+    ): Promise<number> {
+        const book = await this.getOrderBook(tokenID);
+        if (!book) {
+            throw new Error("no orderbook");
+        }
+        if (side === Side.BUY) {
+            if (!book.asks) {
+                throw new Error("no match");
+            }
+            return calculateMarketPrice(book.asks, amount);
+        } else {
+            if (!book.bids) {
+                throw new Error("no match");
+            }
+            return calculateMarketPrice(book.bids, amount);
+        }
+    }
+
     private canL1Auth(): void {
         if (this.signer === undefined) {
             throw L1_AUTH_UNAVAILABLE_ERROR;

diff --git a/src/order-builder/helpers.ts b/src/order-builder/helpers.ts
@@ -16,6 +16,7 @@ import {
     TickSize,
     RoundConfig,
     CreateOrderOptions,
+    OrderSummary,
 } from "../types";
 import { decimalPlaces, roundDown, roundNormal, roundUp } from "../utilities";
 import {
@@ -301,3 +302,15 @@ export const createMarketBuyOrder = async (
 
     return buildOrder(eoaSigner, exchangeContract, chainId, orderData);
 };
+
+export const calculateMarketPrice = (positions: OrderSummary[], amountToMatch: number) => {
+    let sum = 0;
+    for (let i = 0; i < positions.length; i++) {
+        const p = positions[i];
+        sum += parseFloat(p.size) * parseFloat(p.price);
+        if (sum >= amountToMatch) {
+            return parseFloat(p.price);
+        }
+    }
+    throw new Error("no match");
+};
diff --git a/tests/order-builder/helpers.test.ts b/tests/order-builder/helpers.test.ts
@@ -1,6 +1,6 @@
 import "mocha";
 import { expect } from "chai";
-import { UserOrder, Side, Chain, UserMarketOrder } from "../../src/types";
+import { UserOrder, Side, Chain, UserMarketOrder, OrderSummary } from "../../src/types";
 import {
     buildOrderCreationArgs,
     buildOrder,
@@ -10,6 +10,7 @@ import {
     getOrderRawAmounts,
     getMarketBuyOrderRawAmounts,
     ROUNDING_CONFIG,
+    calculateMarketPrice,
 } from "../../src/order-builder/helpers";
 import { OrderData, SignatureType, Side as UtilsSide } from "@polymarket/order-utils";
 import { Wallet } from "@ethersproject/wallet";
@@ -3477,7 +3478,7 @@ describe("helpers", () => {
             });
         });
 
-        describe("CTF Exchange", () => {
+        describe("Neg Risk CTF Exchange", () => {
             describe("buy order", async () => {
                 it("0.1", async () => {
                     const order: UserMarketOrder = {
@@ -3621,4 +3622,96 @@ describe("helpers", () => {
             });
         });
     });
+
+    describe.only("calculateMarketPrice", () => {
+        describe("BUY", () => {
+            it("empty orderbook", () => {
+                expect(() => calculateMarketPrice([], 100)).to.throw("no match");
+            });
+            it("not enough", () => {
+                const positions = [
+                    { price: "0.5", size: "100" },
+                    { price: "0.4", size: "100" },
+                ] as OrderSummary[];
+                expect(() => calculateMarketPrice(positions, 100)).to.throw("no match");
+            });
+            it("ok", () => {
+                let positions = [
+                    { price: "0.5", size: "100" },
+                    { price: "0.4", size: "100" },
+                    { price: "0.3", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.3);
+
+                positions = [
+                    { price: "0.5", size: "100" },
+                    { price: "0.4", size: "200" },
+                    { price: "0.3", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.4);
+
+                positions = [
+                    { price: "0.5", size: "120" },
+                    { price: "0.4", size: "100" },
+                    { price: "0.3", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.4);
+
+                positions = [
+                    { price: "0.5", size: "200" },
+                    { price: "0.4", size: "100" },
+                    { price: "0.3", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.5);
+            });
+        });
+        describe("SELL", () => {
+            it("empty orderbook", () => {
+                expect(() => calculateMarketPrice([], 100)).to.throw("no match");
+            });
+            it("not enough", () => {
+                const positions = [
+                    { price: "0.4", size: "100" },
+                    { price: "0.5", size: "100" },
+                ] as OrderSummary[];
+                expect(() => calculateMarketPrice(positions, 100)).to.throw("no match");
+            });
+            it("ok", () => {
+                let positions = [
+                    { price: "0.3", size: "100" },
+                    { price: "0.4", size: "100" },
+                    { price: "0.5", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.5);
+
+                positions = [
+                    { price: "0.3", size: "100" },
+                    { price: "0.4", size: "300" },
+                    { price: "0.5", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.4);
+
+                positions = [
+                    { price: "0.3", size: "100" },
+                    { price: "0.4", size: "200" },
+                    { price: "0.5", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.4);
+
+                positions = [
+                    { price: "0.3", size: "300" },
+                    { price: "0.4", size: "100" },
+                    { price: "0.5", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.4);
+
+                positions = [
+                    { price: "0.3", size: "334" },
+                    { price: "0.4", size: "100" },
+                    { price: "0.5", size: "100" },
+                ] as OrderSummary[];
+                expect(calculateMarketPrice(positions, 100)).equal(0.3);
+            });
+        });
+    });
 });