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sim: start price adjustment logic for concentrated strategies #220

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sim: start price adjustment logic for concentrated strategies #220

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49 changes: 36 additions & 13 deletions src/v1/simulator/simulator.service.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -99,19 +99,42 @@ export class SimulatorService {
};

// adjust low range start price
if (
new Decimal(inputData.low_range_low_price).lessThan(usdPrices[0].low) &&
new Decimal(usdPrices[0].low).lessThan(inputData.low_range_high_price)
) {
inputData.low_range_start_price = usdPrices[0].low.toString();
}

// adjust high range start price
if (
new Decimal(inputData.high_range_low_price).lessThan(usdPrices[0].high) &&
new Decimal(usdPrices[0].high).lessThan(inputData.high_range_high_price)
) {
inputData.high_range_start_price = usdPrices[0].high.toString();
// Check if strategy is concentrated (price ranges are within 1% of each other)
const isConcentrated =
new Decimal(buyMin)
.div(new Decimal(sellMin))
.toDecimalPlaces(2) // Round to 2 decimal places
.times(1 + 0.01) // Apply 1% buffer above
.gte(new Decimal(buyMax).div(new Decimal(sellMax)).toDecimalPlaces(2)) &&
new Decimal(buyMin)
.div(new Decimal(sellMin))
.toDecimalPlaces(2) // Round to 2 decimal places
.times(1 - 0.01) // Apply 1% buffer below
.lte(new Decimal(buyMax).div(new Decimal(sellMax)).toDecimalPlaces(2));

if (isConcentrated) {
// For concentrated strategies, use existing logic
if (
new Decimal(inputData.low_range_low_price).lessThan(usdPrices[0].low) &&
new Decimal(usdPrices[0].low).lessThan(inputData.low_range_high_price)
) {
inputData.low_range_start_price = usdPrices[0].low.toString();
}

if (
new Decimal(inputData.high_range_low_price).lessThan(usdPrices[0].high) &&
new Decimal(usdPrices[0].high).lessThan(inputData.high_range_high_price)
) {
inputData.high_range_start_price = usdPrices[0].high.toString();
}
} else {
// For non-concentrated strategies, check budget and update start prices accordingly
if (new Decimal(inputData.portfolio_risk_value).equals(0)) {
inputData.low_range_start_price = buyMin.toString();
}
if (new Decimal(inputData.portfolio_cash_value).equals(0)) {
inputData.high_range_start_price = sellMax.toString();
}
}

// Create folder if it doesn't exist
Expand Down