Delegator fetches on every event (#8)

services/delegator/src/Borrower.ts

@@ -2,7 +2,14 @@ import Web3 from 'web3';
 
 import { Big } from '@goldenagellc/web3-blocks';
 
-import { CTokenSymbol, cTokenSymbols } from './types/CTokens';
+import {
+  CTokens,
+  CTokenSymbol,
+  cTokenSymbols,
+  CTokenVersion,
+  CTokenVersions,
+  CTokenUnderlyingDecimals as decimals,
+} from './types/CTokens';
 import { CToken } from './contracts/CToken';
 import PriceLedger from './PriceLedger';
 import StatefulComptroller from './StatefulComptroller';
@@ -20,6 +27,15 @@ interface ILiquidity {
   edges: ('min' | 'max')[];
 }
 
+interface ILiquidationInformation {
+  health: Big;
+  repayCToken: CTokens;
+  seizeCToken: CTokens;
+  revenueETH: Big;
+  symbols: CTokenSymbol[];
+  edges: ('min' | 'max')[];
+}
+
 export default class Borrower {
   public readonly address: string;
   protected readonly positions: { readonly [_ in CTokenSymbol]: IBorrowerPosition };
@@ -43,10 +59,10 @@ export default class Borrower {
         console.error(`Failed to get account snapshot for ${this.address}: ${snapshot.error}`);
         return false;
       }
-      
+
       const position = this.positions[symbol];
       if (position.borrowIndex.eq('0')) {
-        console.error(`${this.address} invalud due to 0 borrow index`);
+        console.error(`${this.address} invalid due to 0 borrow index`);
         return false;
       }
       const supply = position.supply;
@@ -87,7 +103,7 @@ export default class Borrower {
     exchangeRates: { [_ in CTokenSymbol]: Big },
     borrowIndices: { [_ in CTokenSymbol]: Big },
   ): ILiquidity | null {
-    let collat: Big = new Big('0');
+    let supply: Big = new Big('0');
     let borrow: Big = new Big('0');
     const symbols: CTokenSymbol[] = [];
     const edges: ('min' | 'max')[] = [];
@@ -101,29 +117,34 @@ export default class Borrower {
       if (collateralFactor === null || pricesUSD.min === null || pricesUSD.max === null) return null;
 
       const edge: 'min' | 'max' = position.supply.gt('0') ? 'min' : 'max';
-      collat = collat.plus(
+      supply = supply.plus(
         position.supply
           .times(exchangeRates[symbol])
           .div('1e+18')
           .times(collateralFactor)
           .div('1e+18')
-          .times(pricesUSD[edge]!),
+          .times(pricesUSD[edge]!)
+          .div(`1e+${decimals[symbol]}`),
       );
       borrow = borrow.plus(
-        position.borrow.times(borrowIndices[symbol]).div(position.borrowIndex).times(pricesUSD[edge]!),
+        position.borrow
+          .times(borrowIndices[symbol])
+          .div(position.borrowIndex)
+          .times(pricesUSD[edge]!)
+          .div(`1e+${decimals[symbol]}`),
       );
       symbols.push(symbol);
       edges.push(edge);
     }
 
     let liquidity: Big;
     let shortfall: Big;
-    if (collat.gt(borrow)) {
-      liquidity = collat.minus(borrow);
+    if (supply.gt(borrow)) {
+      liquidity = supply.minus(borrow);
       shortfall = new Big('0');
     } else {
       liquidity = new Big('0');
-      shortfall = borrow.minus(collat);
+      shortfall = borrow.minus(supply);
     }
 
     return {
@@ -133,4 +154,135 @@ export default class Borrower {
       edges: edges,
     };
   }
+
+  public expectedRevenue(
+    comptroller: StatefulComptroller,
+    priceLedger: PriceLedger,
+    exchangeRates: { [_ in CTokenSymbol]: Big },
+    borrowIndices: { [_ in CTokenSymbol]: Big },
+  ): ILiquidationInformation | null {
+    const closeFactor = comptroller.getCloseFactor();
+    const liquidationIncentive = comptroller.getLiquidationIncentive();
+    if (closeFactor === null || liquidationIncentive === null) {
+      console.log('Borrower computation error: closeFactor|liquidationIncentive === null');
+      return null;
+    }
+
+    let supplyTotal: Big = new Big('0'); // total available borrow
+    let borrowTotal: Big = new Big('0'); // utilized borrow
+    const symbols: CTokenSymbol[] = [];
+    const edges: ('min' | 'max')[] = [];
+
+    // top2_____Assets will contain symbols.
+    // idx 0 is the best, and idx 1 is the second best
+    let top2RepayAssets: (CTokenSymbol | null)[] = [null, null];
+    let top2SeizeAssets: (CTokenSymbol | null)[] = [null, null];
+    // top2_____Assets will contain amounts (in USD) corresponding
+    // to the top2_____Assets
+    let top2RepayAmounts: Big[] = [new Big('0'), new Big('0')];
+    let top2SeizeAmounts: Big[] = [new Big('0'), new Big('0')];
+
+    for (let symbol of cTokenSymbols) {
+      // retrieve position and ensure it's valid
+      const position = this.positions[symbol];
+      if (position.supply.eq('0') && position.borrow.eq('0')) continue;
+      if (position.borrow.gt('0') && position.borrowIndex.eq('0')) continue;
+
+      // retrieve collateral factor, min price, and max price for this symbol
+      const collateralFactor = comptroller.getCollateralFactor(symbol);
+      const pricesUSD = priceLedger.getPrices(symbol);
+      if (collateralFactor === null || pricesUSD.min === null || pricesUSD.max === null) {
+        console.log('Borrower computation error: collateralFactor|price.min|price.max === null');
+        continue;
+      }
+
+      // liquidity calculations
+      const edge: 'min' | 'max' = position.supply.gt('0') ? 'min' : 'max';
+      const supply = position.supply.gt('0')
+        ? position.supply
+            .times(exchangeRates[symbol]) // 18 extra
+            .div('1e+18') // 0 extra (now in units of underlying)
+            .times(collateralFactor) // 18 extra
+            .div('1e+18') // 0 extra (still in units of underlying)
+            .times(pricesUSD[edge]!) // now in USD, with (6 + N) decimals
+            .div(`1e+${decimals[symbol]}`)
+        : new Big('0');
+      const borrow = position.borrow.gt('0')
+        ? position.borrow
+            .times(borrowIndices[symbol])
+            .div(position.borrowIndex)
+            .times(pricesUSD[edge]!)
+            .div(`1e+${decimals[symbol]}`)
+        : new Big('0');
+
+      // revenue calculations
+      const seize = supply.times('1e+18').div(liquidationIncentive);
+      const repay = borrow.times(closeFactor).div('1e+18');
+
+      // update outer liquidity variables
+      supplyTotal = supplyTotal.plus(supply);
+      borrowTotal = borrowTotal.plus(borrow);
+      symbols.push(symbol);
+      edges.push(edge);
+
+      // update outer revenue variables...
+      // ...repay
+      if (top2RepayAmounts[0].lt(repay)) {
+        top2RepayAmounts = [repay, top2RepayAmounts[0]];
+        top2RepayAssets = [symbol, top2RepayAssets[0]];
+      } else if (top2RepayAmounts[1].lt(repay)) {
+        top2RepayAmounts[1] = repay;
+        top2RepayAssets[1] = symbol;
+      }
+      // ...seize
+      if (top2SeizeAmounts[0].lt(seize)) {
+        top2SeizeAmounts = [seize, top2SeizeAmounts[0]];
+        top2SeizeAssets = [symbol, top2SeizeAssets[0]];
+      } else if (top2SeizeAmounts[1].lt(seize)) {
+        top2SeizeAmounts[1] = seize;
+        top2SeizeAssets[1] = symbol;
+      }
+    }
+
+    let repayCToken: CTokens | null = null;
+    let seizeCToken: CTokens | null = null;
+    let revenue = new Big('0');
+
+    if (top2RepayAssets[0] !== null && top2SeizeAssets[0] !== null) {
+      const ableToPickBest =
+        top2RepayAssets[0] !== top2SeizeAssets[0] || CTokenVersions[top2RepayAssets[0]] === CTokenVersion.V2;
+
+      const repayIdx = Number(!ableToPickBest && top2RepayAmounts[1].gt(top2SeizeAmounts[1]));
+      const seizeIdx = Number(ableToPickBest ? false : !repayIdx);
+
+      if (top2RepayAssets[repayIdx] !== null && top2SeizeAssets[seizeIdx] !== null) {
+        repayCToken = CTokens[top2RepayAssets[repayIdx]!];
+        seizeCToken = CTokens[top2SeizeAssets[seizeIdx]!];
+        const repayAmount = top2RepayAmounts[repayIdx];
+        const seizeAmount = top2SeizeAmounts[seizeIdx];
+
+        if (repayAmount.lt(seizeAmount)) {
+          revenue = repayAmount.times(liquidationIncentive.minus('1e+18')).div('1e+18');
+        } else {
+          revenue = seizeAmount.times(liquidationIncentive.minus('1e+18')).div('1e+18');
+        }
+
+        const priceETH = priceLedger.getPrices('cETH').min;
+        return {
+          health: supplyTotal.div(borrowTotal),
+          repayCToken: repayCToken,
+          seizeCToken: seizeCToken,
+          revenueETH: priceETH === null ? new Big('0') : revenue.times('1e+6').div(priceETH),
+          symbols: symbols,
+          edges: edges,
+        };
+      } else {
+        // console.log('Borrower computation error: only has one asset and not v2');
+        return null;
+      }
+    } else {
+      console.log('Borrower computation error: repay or seize assets === null');
+      return null;
+    }
+  }
 }

services/delegator/src/CoinbaseReporter.ts

@@ -17,6 +17,7 @@ interface LocalSignature {
 }
 
 interface CoinbaseReport {
+  message?: string,
   timestamp: string;
   messages: string[];
   signatures: string[];

services/delegator/src/PriceLedger.ts

@@ -100,7 +100,7 @@ export default class PriceLedger {
 
       formatted.messages.push(postableData.message);
       formatted.signatures.push(postableData.signature);
-      formatted.signatures.push(postableData.key); // should equal local `key`
+      formatted.symbols.push(postableData.key); // should equal local `key`
     });
 
     if (didFindNull) return null;