WS subscribtion for CFD balances, CFD Order signing functionality

package.json

@@ -1,6 +1,6 @@
 {
   "name": "@orionprotocol/sdk",
-  "version": "0.16.0-rc.5",
+  "version": "0.16.0-rc.6",
   "description": "Orion Protocol SDK",
   "main": "./lib/esm/index.js",
   "module": "./lib/esm/index.js",

src/constants/cfdOrderTypes.ts

@@ -0,0 +1,15 @@
+const CFD_ORDER_TYPES = {
+  CFDOrder: [
+    { name: 'senderAddress', type: 'address' },
+    { name: 'matcherAddress', type: 'address' },
+    { name: 'instrumentAddress', type: 'address' },
+    { name: 'amount', type: 'uint64' },
+    { name: 'price', type: 'uint64' },
+    { name: 'matcherFee', type: 'uint64' },
+    { name: 'nonce', type: 'uint64' },
+    { name: 'expiration', type: 'uint64' },
+    { name: 'buySide', type: 'uint8' },
+  ],
+};
+
+export default CFD_ORDER_TYPES;

src/crypt/hashCFDOrder.ts

@@ -0,0 +1,31 @@
+import { ethers } from 'ethers';
+import { CFDOrder } from '../types';
+
+const hashCFDOrder = (order: CFDOrder) => ethers.utils.solidityKeccak256(
+  [
+    'uint8',
+    'address',
+    'address',
+    'address',
+    'uint64',
+    'uint64',
+    'uint64',
+    'uint64',
+    'uint64',
+    'uint8',
+  ],
+  [
+    '0x03',
+    order.senderAddress,
+    order.matcherAddress,
+    order.instrumentAddress,
+    order.amount,
+    order.price,
+    order.matcherFee,
+    order.nonce,
+    order.expiration,
+    order.buySide ? '0x01' : '0x00',
+  ],
+);
+
+export default hashCFDOrder;

src/crypt/index.ts

@@ -1,4 +1,5 @@
 export { default as signCancelOrder } from './signCancelOrder';
 export { default as signCancelOrderPersonal } from './signCancelOrderPersonal';
 export { default as signOrder } from './signOrder';
+export { default as signCFDOrder } from './signCFDOrder';
 export { default as signOrderPersonal } from './signOrderPersonal';

src/crypt/signCFDOrder.ts

@@ -0,0 +1,82 @@
+/* eslint-disable no-underscore-dangle */
+import { TypedDataSigner } from '@ethersproject/abstract-signer';
+import BigNumber from 'bignumber.js';
+import { ethers } from 'ethers';
+import { joinSignature, splitSignature } from 'ethers/lib/utils';
+import { INTERNAL_ORION_PRECISION } from '../constants';
+import { CFDOrder, SignedCFDOrder, SupportedChainId } from '../types';
+import normalizeNumber from '../utils/normalizeNumber';
+import getDomainData from './getDomainData';
+import signCFDOrderPersonal from "./signCFDOrderPersonal";
+import hashCFDOrder from "./hashCFDOrder";
+import CFD_ORDER_TYPES from "../constants/cfdOrderTypes";
+
+const DEFAULT_EXPIRATION = 29 * 24 * 60 * 60 * 1000; // 29 days
+
+type SignerWithTypedDataSign = ethers.Signer & TypedDataSigner;
+
+export const signCFDOrder = async (
+  instrumentAddress: string,
+  side: 'BUY' | 'SELL',
+  price: BigNumber.Value,
+  amount: BigNumber.Value,
+  matcherFee: BigNumber.Value,
+  senderAddress: string,
+  matcherAddress: string,
+  usePersonalSign: boolean,
+  signer: ethers.Signer,
+  chainId: SupportedChainId,
+) => {
+  const nonce = Date.now();
+  const expiration = nonce + DEFAULT_EXPIRATION;
+
+  const order: CFDOrder = {
+    senderAddress,
+    matcherAddress,
+    instrumentAddress,
+    amount: normalizeNumber(
+      amount,
+      INTERNAL_ORION_PRECISION,
+      BigNumber.ROUND_FLOOR,
+    ).toNumber(),
+    price: normalizeNumber(
+      price,
+      INTERNAL_ORION_PRECISION,
+      BigNumber.ROUND_FLOOR,
+    ).toNumber(),
+    matcherFee: normalizeNumber(
+      matcherFee,
+      INTERNAL_ORION_PRECISION,
+      BigNumber.ROUND_CEIL, // ROUND_CEIL because we don't want get "not enough fee" error
+    ).toNumber(),
+    nonce,
+    expiration,
+    buySide: side === 'BUY' ? 1 : 0,
+    isPersonalSign: usePersonalSign,
+  };
+
+  // eslint-disable-next-line @typescript-eslint/consistent-type-assertions
+  const typedDataSigner = signer as SignerWithTypedDataSign;
+  const signature = usePersonalSign
+    ? await signCFDOrderPersonal(order, signer)
+    : await typedDataSigner._signTypedData(
+      getDomainData(chainId),
+      CFD_ORDER_TYPES,
+      order,
+    );
+
+  // https://github.com/poap-xyz/poap-fun/pull/62#issue-928290265
+  // "Signature's v was always send as 27 or 28, but from Ledger was 0 or 1"
+  const fixedSignature = joinSignature(splitSignature(signature));
+
+  if (!fixedSignature) throw new Error("Can't sign order");
+
+  const signedOrder: SignedCFDOrder = {
+    ...order,
+    id: hashCFDOrder(order),
+    signature: fixedSignature,
+  };
+  return signedOrder;
+};
+
+export default signCFDOrder;

src/crypt/signCFDOrderPersonal.ts

@@ -0,0 +1,30 @@
+import { ethers } from 'ethers';
+import { CFDOrder } from '../types';
+
+const { arrayify, joinSignature, splitSignature } = ethers.utils;
+
+const signCFDOrderPersonal = async (order: CFDOrder, signer: ethers.Signer) => {
+  const message = ethers.utils.solidityKeccak256(
+    [
+      'string', 'address', 'address', 'address', 'uint64', 'uint64', 'uint64', 'uint64', 'uint64', 'uint8',
+    ],
+    [
+      'order',
+      order.senderAddress,
+      order.matcherAddress,
+      order.instrumentAddress,
+      order.amount,
+      order.price,
+      order.matcherFee,
+      order.nonce,
+      order.expiration,
+      order.buySide,
+    ],
+  );
+  const signature = await signer.signMessage(arrayify(message));
+
+  // NOTE: metamask broke sig.v value and we fix it in next line
+  return joinSignature(splitSignature(signature));
+};
+
+export default signCFDOrderPersonal;

src/services/OrionAggregator/ws/MessageType.ts

@@ -7,6 +7,7 @@ const MessageType = {
   ASSET_PAIRS_CONFIG_UPDATE: 'apcu',
   ASSET_PAIR_CONFIG_UPDATE: 'apiu',
   ADDRESS_UPDATE: 'au',
+  CFD_ADDRESS_UPDATE: 'auf',
   BROKER_TRADABLE_ATOMIC_SWAP_ASSETS_BALANCE_UPDATE: 'btasabu',
   UNSUBSCRIPTION_DONE: 'ud',
 } as const;

src/services/OrionAggregator/ws/SubscriptionType.ts

@@ -3,6 +3,7 @@ const SubscriptionType = {
   ASSET_PAIR_CONFIG_UPDATES_SUBSCRIBE: 'apius',
   AGGREGATED_ORDER_BOOK_UPDATES_SUBSCRIBE: 'aobus',
   ADDRESS_UPDATES_SUBSCRIBE: 'aus',
+  CFD_ADDRESS_UPDATES_SUBSCRIBE: 'ausf',
   BROKER_TRADABLE_ATOMIC_SWAP_ASSETS_BALANCE_UPDATES_SUBSCRIBE: 'btasabus',
   SWAP_SUBSCRIBE: 'ss',
 } as const;

src/services/OrionAggregator/ws/index.ts

@@ -11,10 +11,11 @@ import {
 import UnsubscriptionType from './UnsubscriptionType';
 import {
   SwapInfoByAmountIn, SwapInfoByAmountOut, SwapInfoBase,
-  FullOrder, OrderUpdate, AssetPairUpdate, OrderbookItem, Balance, Exchange,
+  FullOrder, OrderUpdate, AssetPairUpdate, OrderbookItem, Balance, Exchange, CFDBalance,
 } from '../../../types';
 import unsubscriptionDoneSchema from './schemas/unsubscriptionDoneSchema';
 import assetPairConfigSchema from './schemas/assetPairConfigSchema';
+import cfdAddressUpdateSchema from "./schemas/cfdAddressUpdateSchema";
 // import errorSchema from './schemas/errorSchema';
 
 const UNSUBSCRIBE = 'u';
@@ -85,13 +86,31 @@ type AddressUpdateInitial = {
   orders?: FullOrder[] // The field is not defined if the user has no orders
 }
 
+type CfdAddressUpdateUpdate = {
+  kind: 'update',
+  balances: CFDBalance[],
+  order?: OrderUpdate | FullOrder
+}
+
+type CfdAddressUpdateInitial = {
+  kind: 'initial',
+  balances: CFDBalance[],
+  orders?: FullOrder[] // The field is not defined if the user has no orders
+}
+
 type AddressUpdateSubscription = {
   payload: string,
   callback: (data: AddressUpdateUpdate | AddressUpdateInitial) => void,
 }
 
+type CfdAddressUpdateSubscription = {
+  payload: string,
+  callback: (data: CfdAddressUpdateUpdate | CfdAddressUpdateInitial) => void,
+}
+
 type Subscription = {
   [SubscriptionType.ADDRESS_UPDATES_SUBSCRIBE]: AddressUpdateSubscription,
+  [SubscriptionType.CFD_ADDRESS_UPDATES_SUBSCRIBE]: CfdAddressUpdateSubscription,
   [SubscriptionType.AGGREGATED_ORDER_BOOK_UPDATES_SUBSCRIBE]: AggregatedOrderbookSubscription,
   [SubscriptionType.ASSET_PAIRS_CONFIG_UPDATES_SUBSCRIBE]: PairsConfigSubscription,
   [SubscriptionType.ASSET_PAIR_CONFIG_UPDATES_SUBSCRIBE]: PairConfigSubscription,
@@ -211,6 +230,15 @@ class OrionAggregatorWS {
           delete this.subscriptions[SubscriptionType.ADDRESS_UPDATES_SUBSCRIBE]?.[key];
         }
       }
+
+      const aufSubscriptions = this.subscriptions[SubscriptionType.CFD_ADDRESS_UPDATES_SUBSCRIBE];
+      if (aufSubscriptions) {
+        const targetAufSub = Object.entries(aufSubscriptions).find(([, value]) => value?.payload === subscription);
+        if (targetAufSub) {
+          const [key] = targetAufSub;
+          delete this.subscriptions[SubscriptionType.CFD_ADDRESS_UPDATES_SUBSCRIBE]?.[key];
+        }
+      }
     } else if (uuidValidate(subscription)) {
       // is swap info subscription (contains hyphen)
       delete this.subscriptions[SubscriptionType.SWAP_SUBSCRIBE]?.[subscription];
@@ -276,6 +304,7 @@ class OrionAggregatorWS {
         initMessageSchema,
         pingPongMessageSchema,
         addressUpdateSchema,
+        cfdAddressUpdateSchema,
         assetPairsConfigSchema,
         assetPairConfigSchema,
         brokerMessageSchema,
@@ -415,6 +444,48 @@ class OrionAggregatorWS {
           });
         }
           break;
+        case MessageType.CFD_ADDRESS_UPDATE: {
+          const balances = json.b ?? []
+          switch (json.k) { // message kind
+            case 'i': { // initial
+              const fullOrders = json.o
+                ? json.o.reduce<FullOrder[]>((prev, o) => {
+                  prev.push(o);
+
+                  return prev;
+                }, [])
+                : undefined;
+
+              this.subscriptions[
+                SubscriptionType.CFD_ADDRESS_UPDATES_SUBSCRIBE
+                ]?.[json.id]?.callback({
+                kind: 'initial',
+                orders: fullOrders,
+                balances,
+              });
+            }
+              break;
+            case 'u': { // update
+              let orderUpdate: OrderUpdate | FullOrder | undefined;
+              if (json.o) {
+                const firstOrder = json.o[0];
+                orderUpdate = firstOrder;
+              }
+
+              this.subscriptions[
+                SubscriptionType.CFD_ADDRESS_UPDATES_SUBSCRIBE
+                ]?.[json.id]?.callback({
+                kind: 'update',
+                order: orderUpdate,
+                balances,
+              });
+            }
+              break;
+            default:
+              break;
+          }
+        }
+          break;
         case MessageType.ADDRESS_UPDATE: {
           const balances = json.b
             ? Object.entries(json.b)

src/services/OrionAggregator/ws/schemas/cfdAddressUpdateSchema.ts

@@ -0,0 +1,33 @@
+import { z } from "zod";
+import { fullOrderSchema, orderUpdateSchema } from "./addressUpdateSchema";
+import baseMessageSchema from "./baseMessageSchema";
+import MessageType from "../MessageType";
+import cfdBalancesSchema from "./cfdBalancesSchema";
+
+const baseCfdAddressUpdate = baseMessageSchema.extend({
+  id: z.string(),
+  T: z.literal(MessageType.CFD_ADDRESS_UPDATE),
+  S: z.string(), // subscription
+  uc: z.array(z.enum(['b', 'o'])), // update content
+});
+
+const updateMessageSchema = baseCfdAddressUpdate.extend({
+  k: z.literal('u'), // kind of message: "u" - updates
+  uc: z.array(z.enum(['b', 'o'])), // update content: "o" - orders updates, "b" - balance updates
+  b: cfdBalancesSchema.optional(),
+  o: z.tuple([fullOrderSchema.or(orderUpdateSchema)]).optional(),
+});
+
+const initialMessageSchema = baseCfdAddressUpdate.extend({
+  k: z.literal('i'), // kind of message: "i" - initial
+  b: cfdBalancesSchema,
+  o: z.array(fullOrderSchema)
+    .optional(), // When no orders — no field
+});
+
+const cfdAddressUpdateSchema = z.union([
+  initialMessageSchema,
+  updateMessageSchema,
+]);
+
+export default cfdAddressUpdateSchema

src/services/OrionAggregator/ws/schemas/cfdBalancesSchema.ts

@@ -0,0 +1,24 @@
+import { z } from 'zod';
+
+const cfdBalanceSchema = z.object({
+    i: z.string(),
+    b: z.number(),
+    p: z.number(),
+    pp: z.number(),
+    fr: z.number(),
+    sfrl: z.number(),
+    lfrl: z.number(),
+})
+  .transform((obj) => ({
+    instrument: obj.i,
+    balance: obj.b,
+    position: obj.p,
+    positionPrice: obj.pp,
+    fundingRate: obj.fr,
+    lastShortFundingRate: obj.sfrl,
+    lastLongFundingRate: obj.lfrl,
+}));
+
+const cfdBalancesSchema = z.array(cfdBalanceSchema)
+
+export default cfdBalancesSchema;

src/types.ts

@@ -40,6 +40,17 @@ export type Balance = {
   wallet: string,
   allowance: string,
 }
+
+export type CFDBalance = {
+  instrument: string,
+  balance: number,
+  position: number,
+  positionPrice: number,
+  fundingRate: number,
+  lastShortFundingRate: number,
+  lastLongFundingRate: number,
+}
+
 export interface Order {
   senderAddress: string; // address
   matcherAddress: string; // address
@@ -54,6 +65,25 @@ export interface Order {
   buySide: number; // uint8, 1=buy, 0=sell
   isPersonalSign: boolean; // bool
 }
+
+export interface CFDOrder {
+  senderAddress: string; // address
+  matcherAddress: string; // address
+  instrumentAddress: string; // address
+  amount: number; // uint64
+  price: number; // uint64
+  matcherFee: number; // uint64
+  nonce: number; // uint64
+  expiration: number; // uint64
+  buySide: number; // uint8, 1=buy, 0=sell
+  isPersonalSign: boolean; // bool
+}
+
+export interface SignedCFDOrder extends CFDOrder {
+  id: string; // hash of Order (it's not part of order structure in smart-contract)
+  signature: string; // bytes
+}
+
 export interface SignedOrder extends Order {
   id: string; // hash of Order (it's not part of order structure in smart-contract)
   signature: string; // bytes