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Add checkpoints
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@felix2feng
felix2feng committed May 20, 2020
1 parent e9d5ab0 commit 87e7a05
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Showing 4 changed files with 215 additions and 54 deletions.
2 changes: 1 addition & 1 deletion package.json
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Expand Up @@ -20,7 +20,7 @@
"clean": "rm -rf build; rm -rf transpiled; rm -rf types/generated",
"clean-chain": "rm -rf blockchain && cp -r snapshots/0x-Kyber-Compound blockchain",
"buidler-new": "yarn buidler clean && yarn buidler-test",
"buidler-test": "yarn buidler-setup && buidler test transpiled/test/contracts/core/liquidators/twapLiquidator.spec.js",
"buidler-test": "yarn buidler-setup && buidler test transpiled/test/contracts/core/scenario/performanceFeeScenarios.spec.js",
"buidler-setup": "buidler compile && bash scripts/buidler_deploy_dev.sh && yarn transformJson && yarn generate-typings && yarn transpile",
"compile": "./node_modules/.bin/truffle compile --all",
"coverage": "yarn coverage-setup && ./node_modules/.bin/solidity-coverage && yarn coverage-cleanup",
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222 changes: 172 additions & 50 deletions test/contracts/core/scenario/performanceFeeScenarios.spec.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,7 @@ import { BigNumber } from 'bignumber.js';
import ChaiSetup from '@utils/chaiSetup';
import { BigNumberSetup } from '@utils/bigNumberSetup';
import {
TWAPLiquidatorContract,
PerformanceFeeCalculatorContract,
SetTokenContract,
RebalancingSetTokenV3Contract,
} from '@utils/contracts';
Expand All @@ -21,6 +21,8 @@ import {
DEFAULT_GAS,
ONE_DAY_IN_SECONDS,
ONE_HOUR_IN_SECONDS,
ONE_MONTH_IN_SECONDS,
ONE_YEAR_IN_SECONDS,
ZERO,
} from '@utils/constants';
import { expectRevertError } from '@utils/tokenAssertions';
Expand All @@ -32,7 +34,7 @@ import { OracleHelper } from 'set-protocol-oracles';
import { RebalancingSetV3Helper } from '@utils/helpers/rebalancingSetV3Helper';
import { FeeCalculatorHelper } from '@utils/helpers/feeCalculatorHelper';
import { ValuationHelper } from '@utils/helpers/valuationHelper';
import { RebalanceTestSetup } from '@utils/helpers/rebalanceTestSetup';
import { RebalanceTestSetup, PriceUpdate } from '@utils/helpers/rebalanceTestSetup';

BigNumberSetup.configure();
ChaiSetup.configure();
Expand Down Expand Up @@ -61,55 +63,92 @@ interface ComponentSettings {
component2Decimals: number;
}

interface TWAPScenario {
interface PerfFeeScenarios {
name: string;
rebalancingSet: RebalancingSetDetails;
currentSet: SetDetails;
nextSet: SetDetails;
components: ComponentSettings;
highWatermarkResetPeriod: BigNumber;
profitFee: BigNumber;
t1: {
component1Price: BigNumber;
component2Price: BigNumber;
profitFee: BigNumber;
timeElapsed: BigNumber;
prices: PriceUpdate;
newProfitFee: BigNumber;
}
}

interface CheckPoint {
rebalancingSetValue: BigNumber,
highWatermark: BigNumber;
profitFeePercentage: BigNumber;
lastProfitFeeTimestamp: BigNumber;
unitShares: BigNumber;
totalSupply: BigNumber;
feeRecipientShares: BigNumber;
}

const scenarios: TWAPScenario[] = [
const scenarios: PerfFeeScenarios[] = [
{
name: 'ETH 20 MA Set Rebalances 100% WETH to 100% USD',
name: 'ETH/BTC 50/50 Set USD-Watermark Scenario 1',
rebalancingSet: {
unitShares: new BigNumber(2076796),
naturalUnit: new BigNumber(1000000),
supply: new BigNumber('20556237207015075000000')
unitShares: new BigNumber(800000),
naturalUnit: new BigNumber(100000000),
supply: new BigNumber('14256596210800000000000')
},
currentSet: {
components: ['component1'], // ETH
units: [new BigNumber(1000000)],
naturalUnit: new BigNumber(1000000),
},
nextSet: {
components: ['component2'], // USDC
units: [new BigNumber(307)],
naturalUnit: new BigNumber(1000000000000),
components: ['component1', 'component2'], // ETH and WBTC
units: [new BigNumber(500000000000000), new BigNumber(1000)],
naturalUnit: new BigNumber(10000000000000),
},
components: {
component1Price: ether(188),
component2Price: ether(1),
component1Price: ether(200),
component2Price: ether(10000),
component1Decimals: 18,
component2Decimals: 6,
component2Decimals: 8,
},
profitFee: ether(0.1),
highWatermarkResetPeriod: ONE_YEAR_IN_SECONDS,
t1: {
timeElapsed: ONE_YEAR_IN_SECONDS,
prices: {
component2Price: ether(9000),
},
newProfitFee: ether(0.2)
}
},
{
name: 'ETH/BTC 50/50 Set USD-Watermark Scenario 13',
rebalancingSet: {
unitShares: new BigNumber(800000),
naturalUnit: new BigNumber(100000000),
supply: new BigNumber('14256596210800000000000')
},
currentSet: {
components: ['component1', 'component2'], // ETH and WBTC
units: [new BigNumber(500000000000000), new BigNumber(1000)],
naturalUnit: new BigNumber(10000000000000),
},
components: {
component1Price: ether(200),
component2Price: ether(1),
profitFee: ether(0.2)
component2Price: ether(10000),
component1Decimals: 18,
component2Decimals: 8,
},
profitFee: ether(0.1),
highWatermarkResetPeriod: ONE_YEAR_IN_SECONDS,
t1: {
timeElapsed: ONE_YEAR_IN_SECONDS,
prices: {
component2Price: ether(12000),
},
newProfitFee: ether(0.2)
}
},
];


// IMPROVEMENTS TO MAKE
// Add concept of checkpointing of important values
// Add printer of final human-readable results and percentage changes of important key values
contract('PerformanceFeeCalculator Scenarios', accounts => {
const [
deployerAccount,
Expand All @@ -120,14 +159,15 @@ contract('PerformanceFeeCalculator Scenarios', accounts => {

let rebalancingSetToken: RebalancingSetTokenV3Contract;

let liquidator: TWAPLiquidatorContract;
let performanceFeeCalculator: PerformanceFeeCalculatorContract;

let name: string = 'liquidator';
let auctionPeriod: BigNumber = ONE_HOUR_IN_SECONDS.mul(4);
let rangeStart: BigNumber = new BigNumber(1);
let rangeEnd: BigNumber = new BigNumber(21);
const maxStreamingFee = ether(0.05); // 5%
const maxProfitFee = ether(0.4); // 40%
const defaultProfitFeePeriod = ONE_MONTH_IN_SECONDS;
const defaultStreamingFeePercentage = ZERO;

let setup: RebalanceTestSetup;
let checkPoints: CheckPoint[];

const coreHelper = new CoreHelper(deployerAccount, deployerAccount);
const erc20Helper = new ERC20Helper(deployerAccount);
Expand All @@ -153,39 +193,99 @@ contract('PerformanceFeeCalculator Scenarios', accounts => {
blockchain.saveSnapshotAsync();

setup = new RebalanceTestSetup(deployerAccount);
checkPoints = [];
});

afterEach(async () => {
blockchain.revertAsync();
});

// Things to test
// watermarks, unitShares, profitFee state
describe(`${scenarios[0].name}`, async () => {
it('should successfully complete', async () => {
await runScenario(scenarios[0]);

const newRebalanceState = await setup.rebalancingSetToken.rebalanceState.callAsync();
expect(newRebalanceState).to.be.bignumber.equal(SetUtils.REBALANCING_STATE.DEFAULT);
});
});

async function runScenario(scenario: TWAPScenario): Promise<void> {
await initializeScenario(scenario);
describe.only(`${scenarios[1].name}`, async () => {
it('should successfully complete', async () => {
await runScenario(scenarios[1]);
});
});

// Deploy Fee Calculator
async function runScenario(scenario: PerfFeeScenarios): Promise<void> {
await initialize(scenario);

// Adjust some timestamps
await checkPoint(0);

// Adjust some prices
await setup.jumpTimeAndUpdateOracles(
scenario.t1.timeElapsed,
scenario.t1.prices
);

// Adjust some fees
await rebalancingSetToken.adjustFee.sendTransactionAsync(
feeCalculatorHelper.generateAdjustFeeCallData(new BigNumber(1), scenario.t1.newProfitFee),
{ from: managerAccount, gas: DEFAULT_GAS }
);

await checkPoint(1);

// What are things we want to do / test?
await printResults();
}

async function checkPoint(num:number): Promise<void> {
const rebalancingSetValue = await valuationHelper.calculateRebalancingSetTokenValueAsync(
setup.rebalancingSetToken,
setup.oracleWhiteList,
);
const feeState = await performanceFeeCalculator.feeState.callAsync(setup.rebalancingSetToken.address);
const unitShares = await setup.rebalancingSetToken.unitShares.callAsync();
const totalSupply = await setup.rebalancingSetToken.totalSupply.callAsync();
const feeRecipientShares = await setup.rebalancingSetToken.balanceOf.callAsync(feeRecipient);

checkPoints[num] = {
rebalancingSetValue,
highWatermark: new BigNumber(feeState['highWatermark']),
profitFeePercentage: new BigNumber(feeState['profitFeePercentage']),
lastProfitFeeTimestamp: feeState['lastProfitFeeTimestamp'],
unitShares,
totalSupply,
feeRecipientShares,
}
}

async function printResults(): Promise<void> {
const t0 = checkPoints[0];
const tN = checkPoints[checkPoints.length - 1];

console.log(`RebalancingSet Value Before: ${deScale(t0.rebalancingSetValue).toString()}`);
console.log(`RebalancingSet Value After: ${deScale(tN.rebalancingSetValue).toString()}`);

console.log(`Watermark Before: ${deScale(t0.highWatermark)}`);
console.log(`Watermark After: ${deScale(tN.highWatermark)}`);

console.log(`profitFeePercentage Before: ${deScale(t0.profitFeePercentage)}`);
console.log(`profitFeePercentage After: ${deScale(tN.profitFeePercentage)}`);

console.log(`lastProfitFeeTimestamp Before: ${deScale(t0.lastProfitFeeTimestamp)}`);
console.log(`lastProfitFeeTimestamp After: ${deScale(tN.lastProfitFeeTimestamp)}`);

console.log(`unitShares Before: ${deScale(t0.unitShares)}`);
console.log(`unitShares After: ${deScale(tN.unitShares)}`);

console.log(`totalSupply Before: ${deScale(t0.totalSupply)}`);
console.log(`totalSupply After: ${deScale(tN.totalSupply)}`);

console.log(`feeRecipientShares Before: ${deScale(t0.feeRecipientShares)}`);
console.log(`feeRecipientShares After: ${deScale(tN.feeRecipientShares)}`);
}

function deScale(v1: BigNumber): BigNumber {
return new BigNumber(v1).div(ether(1)).round(0, 3);
}

// Sets up assets, creates and mints rebalancing set
async function initializeScenario(scenario: any): Promise<void> {
async function initialize(scenario: any): Promise<void> {
await setup.initializeCore();
await setup.initializeComponents(scenario.components);
await setup.initializeBaseSets({
Expand All @@ -194,20 +294,42 @@ contract('PerformanceFeeCalculator Scenarios', accounts => {
set1NaturalUnit: scenario.currentSet.naturalUnit,
});

performanceFeeCalculator = await feeCalculatorHelper.deployPerformanceFeeCalculatorAsync(
setup.core.address,
setup.oracleWhiteList.address,
maxProfitFee,
maxStreamingFee,
);
await coreHelper.addAddressToWhiteList(performanceFeeCalculator.address, setup.feeCalculatorWhitelist);

const failPeriod = ONE_DAY_IN_SECONDS;
const { timestamp: lastRebalanceTimestamp } = await web3.eth.getBlock('latest');
rebalancingSetToken = await rebalancingHelper.createDefaultRebalancingSetTokenV3Async(
setup.core,
setup.rebalancingFactory.address,
const performanceFeeSettings = feeCalculatorHelper.generatePerformanceFeeCallDataBuffer(
defaultProfitFeePeriod,
scenario.highWatermarkResetPeriod,
scenario.profitFee,
defaultStreamingFeePercentage
);

const callData = rebalancingHelper.generateRebalancingSetTokenV3CallData(
managerAccount,
setup.linearAuctionLiquidator.address,
feeRecipient,
setup.fixedFeeCalculator.address,
setup.set1.address,
performanceFeeCalculator.address,
ONE_DAY_IN_SECONDS,
failPeriod,
lastRebalanceTimestamp,
ZERO, // entry fee
ZERO, // rebalance fee
ZERO,
performanceFeeSettings,
);

rebalancingSetToken = await rebalancingHelper.createRebalancingTokenV3Async(
setup.core,
setup.rebalancingFactory.address,
[setup.set1.address],
[scenario.rebalancingSet.unitShares],
scenario.rebalancingSet.naturalUnit,
callData
);

await setup.setRebalancingSet(rebalancingSetToken);
Expand Down
1 change: 1 addition & 0 deletions utils/constants.ts
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Expand Up @@ -21,6 +21,7 @@ export const ONE: BigNumber = new BigNumber(1);
export const ONE_HUNDRED = new BigNumber(100);
export const ONE_DAY_IN_SECONDS = new BigNumber(86400);
export const ONE_HOUR_IN_SECONDS = new BigNumber(3600);
export const ONE_MONTH_IN_SECONDS = new BigNumber(86400).mul(30);
export const ONE_YEAR_IN_SECONDS = ONE_DAY_IN_SECONDS.mul(365.25);
export const SCALE_FACTOR = ether(1);
export const STANDARD_COMPONENT_UNIT = ether(1);
Expand Down
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