Brian/linear auction library

contracts/core/lib/auction-price-libraries/IAuctionPriceCurve.sol

@@ -0,0 +1,42 @@
+/*
+    Copyright 2018 Set Labs Inc.
+
+    Licensed under the Apache License, Version 2.0 (the "License");
+    you may not use this file except in compliance with the License.
+    You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+    Unless required by applicable law or agreed to in writing, software
+    distributed under the License is distributed on an "AS IS" BASIS,
+    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+    See the License for the specific language governing permissions and
+    limitations under the License.
+*/
+
+pragma solidity 0.4.24;
+
+/**
+ * @title IAuctionPriceCurve
+ * @author Set Protocol
+ *
+ * The IAuctionPriceCurve interface provides a structured way to interact with any AuctionLibrary
+ */
+
+interface IAuctionPriceCurve {
+
+    /*
+     * Calculate the current priceRatio for an auction given defined price and time parameters
+     *
+     * @param  _auctionStartTime          Time of auction start
+     * @param  _auctionStartPrice         The price to start the auction at
+     * @param  _curveCoefficient          The slope (or convexity) of the price curve
+     */
+    function getCurrentPrice(
+        uint256 _auctionStartTime,
+        uint256 _auctionStartPrice,
+        uint256 _curveCoefficient
+    )
+        external
+        view;
+}

contracts/core/lib/auction-price-libraries/LinearAuctionPriceCurve.sol

@@ -0,0 +1,55 @@
+/*
+    Copyright 2018 Set Labs Inc.
+
+    Licensed under the Apache License, Version 2.0 (the "License");
+    you may not use this file except in compliance with the License.
+    You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+    Unless required by applicable law or agreed to in writing, software
+    distributed under the License is distributed on an "AS IS" BASIS,
+    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+    See the License for the specific language governing permissions and
+    limitations under the License.
+*/
+
+pragma solidity 0.4.24;
+
+import { SafeMath } from "zeppelin-solidity/contracts/math/SafeMath.sol";
+
+
+/**
+ * @title LinearAuctionPriceCurve
+ * @author Set Protocol
+ *
+ * Contract used in rebalancing auctions to calculate price based off of a linear curve
+ */
+
+
+contract LinearAuctionPriceCurve {
+    using SafeMath for uint256;
+
+    /*
+     * Calculate the current priceRatio for an auction given defined price and time parameters
+     *
+     * @param  _auctionStartTime          Time of auction start
+     * @param  _auctionStartPrice         The price to start the auction at
+     * @param  _curveCoefficient          The slope (or convexity) of the price curve
+     */
+    function getCurrentPrice(
+        uint256 _auctionStartTime,
+        uint256 _auctionStartPrice,
+        uint256 _curveCoefficient
+    )
+        external
+        view
+        returns (uint256)
+    {
+        // Calculate how much time has elapsed since start of auction and divide by
+        // timeIncrement of 30 seconds, so price changes every 30 seconds
+        uint256 elapsed = block.timestamp.sub(_auctionStartTime).div(30);
+
+        return _curveCoefficient.mul(elapsed).add(_auctionStartPrice);
+    }
+}

contracts/mocks/core/lib/ConstantAuctionPriceCurve.sol

@@ -0,0 +1,65 @@
+/*
+    Copyright 2018 Set Labs Inc.
+
+    Licensed under the Apache License, Version 2.0 (the "License");
+    you may not use this file except in compliance with the License.
+    You may obtain a copy of the License at
+
+    http://www.apache.org/licenses/LICENSE-2.0
+
+    Unless required by applicable law or agreed to in writing, software
+    distributed under the License is distributed on an "AS IS" BASIS,
+    WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+    See the License for the specific language governing permissions and
+    limitations under the License.
+*/
+
+pragma solidity 0.4.24;
+
+
+/**
+ * @title ConstantAuctionPriceCurve
+ * @author Set Protocol
+ *
+ * Contract used in rebalancing auction testing to return consistent price
+ *
+ */
+
+contract ConstantAuctionPriceCurve {
+
+    uint256 public constantPrice;
+
+    /*
+     * Declare price you want this library to return when queried
+     *
+     * @param  _price          The price you want this library to always return
+     */
+    constructor(
+        uint256 _price
+    )
+        public
+    {
+        // Set price to be returned by library
+        constantPrice = _price;
+    }
+
+
+    /*
+     * Return constant price amount
+     *
+     * @param  -- Unused auction start time to conform to IAuctionPriceCurve --
+     * @param  -- Unused auction start price to conform to IAuctionPriceCurve --
+     * @param  -- Unused curve coefficient to conform to IAuctionPriceCurve --
+     */
+    function getCurrentPrice(
+        uint256,
+        uint256,
+        uint256
+    )
+        external
+        view
+        returns (uint256)
+    {
+        return constantPrice;
+    }
+}

test/core/lib/auction-price-libraries/linearAuctionPriceCurve.spec.ts

@@ -0,0 +1,91 @@
+require('module-alias/register');
+
+import * as chai from 'chai';
+import * as setProtocolUtils from 'set-protocol-utils';
+import { Address } from 'set-protocol-utils';
+import { BigNumber } from 'bignumber.js';
+
+import { LinearAuctionPriceCurveContract } from '@utils/contracts';
+import { Blockchain } from '@utils/blockchain';
+import { ERC20Wrapper } from '@utils/erc20Wrapper';
+import { CoreWrapper } from '@utils/coreWrapper';
+import { RebalancingTokenWrapper } from '@utils/RebalancingTokenWrapper';
+import { BigNumberSetup } from '@utils/bigNumberSetup';
+import ChaiSetup from '@utils/chaiSetup';
+import { DEFAULT_GAS } from '@utils/constants';
+
+BigNumberSetup.configure();
+ChaiSetup.configure();
+const { SetProtocolUtils: SetUtils } = setProtocolUtils;
+const { expect } = chai;
+
+
+contract('LinearAuctionPriceCurve', accounts => {
+  const [
+    ownerAccount,
+  ] = accounts;
+
+  let auctionCurve: LinearAuctionPriceCurveContract;
+
+  const coreWrapper = new CoreWrapper(ownerAccount, ownerAccount);
+  const erc20Wrapper = new ERC20Wrapper(ownerAccount);
+  const blockchain = new Blockchain(web3);
+  const rebalancingTokenWrapper = new RebalancingTokenWrapper(
+    ownerAccount,
+    coreWrapper,
+    erc20Wrapper,
+    blockchain
+  );
+
+  beforeEach(async () => {
+    await blockchain.saveSnapshotAsync();
+    auctionCurve = await coreWrapper.deployLinearAuctionPriceCurveAsync();
+  });
+
+  afterEach(async () => {
+    await blockchain.revertAsync();
+  });
+
+  describe('#getCurrentPrice', async () => {
+    let subjectAuctionStartTime: BigNumber;
+    let subjectAuctionStartPrice: BigNumber;
+    let subjectCurveCoefficient: BigNumber;
+    let subjectCaller: Address;
+
+    beforeEach(async () => {
+      subjectAuctionStartPrice = new BigNumber(500);
+      subjectCurveCoefficient = new BigNumber (5);
+      subjectAuctionStartTime = SetUtils.generateTimestamp(0);
+      subjectCaller = ownerAccount;
+    });
+
+    async function subject(): Promise<BigNumber> {
+      return auctionCurve.getCurrentPrice.callAsync(
+        subjectAuctionStartTime,
+        subjectAuctionStartPrice,
+        subjectCurveCoefficient,
+        { from: subjectCaller, gas: DEFAULT_GAS}
+      );
+    }
+
+    it('starts with the correct price', async () => {
+      const returnedPrice = await subject();
+
+      expect(returnedPrice).to.be.bignumber.equal(subjectAuctionStartPrice);
+    });
+
+    it('returns the correct price after one hour', async () => {
+      const timeJump = new BigNumber(3600);
+      await blockchain.increaseTimeAsync(timeJump);
+
+      const returnedPrice = await subject();
+
+      const expectedPrice = rebalancingTokenWrapper.getExpectedLinearAuctionPrice(
+        timeJump,
+        subjectCurveCoefficient,
+        subjectAuctionStartPrice
+      );
+      expect(returnedPrice).to.be.bignumber.equal(expectedPrice);
+    });
+  });
+});

utils/RebalancingTokenWrapper.ts

@@ -16,7 +16,8 @@ import {
   ONE_DAY_IN_SECONDS,
   DEFAULT_UNIT_SHARES,
   DEFAULT_REBALANCING_NATURAL_UNIT,
-  UNLIMITED_ALLOWANCE_IN_BASE_UNITS
+  UNLIMITED_ALLOWANCE_IN_BASE_UNITS,
+  AUCTION_TIME_INCREMENT
 } from './constants';
 
 import { CoreWrapper } from './coreWrapper';
@@ -264,4 +265,14 @@ export class RebalancingTokenWrapper {
     const unitShares = issueAmount.div(naturalUnitsOutstanding).round(0, 3);
     return {unitShares, issueAmount};
   }
+
+  public getExpectedLinearAuctionPrice(
+    elapsedTime: BigNumber,
+    curveCoefficient: BigNumber,
+    auctionStartPrice: BigNumber
+  ): BigNumber {
+    const elaspedTimeFromStart = elapsedTime.div(AUCTION_TIME_INCREMENT).round(0, 3);
+    const expectedPrice = curveCoefficient.mul(elaspedTimeFromStart).add(auctionStartPrice);
+    return expectedPrice;
+  }
 }

utils/constants.ts

@@ -13,6 +13,7 @@ export const STANDARD_NATURAL_UNIT = ether(1);
 export const STANDARD_QUANTITY_ISSUED: BigNumber = ether(10);
 export const UNLIMITED_ALLOWANCE_IN_BASE_UNITS = new BigNumber(2).pow(256).minus(1);
 export const ZERO: BigNumber = new BigNumber(0);
+export const AUCTION_TIME_INCREMENT = new BigNumber(30); // Unix seconds
 
 export const PRIVATE_KEYS = [
   '767df558efc63b6ba9a9257e68509c38f5c48d5938a41ab191a9a073ebff7c4f',

utils/contracts.ts

@@ -10,6 +10,7 @@ import { DetailedERC20Contract } from '../types/generated/detailed_erc20';
 import { ERC20WrapperMockContract } from '../types/generated/erc20_wrapper_mock';
 import { InvalidReturnTokenMockContract } from '../types/generated/invalid_return_token_mock';
 import { KyberNetworkWrapperContract } from '../types/generated/kyber_network_wrapper';
+import { LinearAuctionPriceCurveContract } from '../types/generated/linear_auction_price_curve';
 import { NoDecimalTokenMockContract } from '../types/generated/no_decimal_token_mock';
 import { NoXferReturnTokenMockContract } from '../types/generated/no_xfer_return_token_mock';
 import { OrderLibraryMockContract } from '../types/generated/order_library_mock';
@@ -37,6 +38,7 @@ export {
   ERC20WrapperMockContract,
   InvalidReturnTokenMockContract,
   KyberNetworkWrapperContract,
+  LinearAuctionPriceCurveContract,
   NoDecimalTokenMockContract,
   NoXferReturnTokenMockContract,
   OrderLibraryMockContract,

utils/coreWrapper.ts

@@ -6,6 +6,7 @@ import {
   AuthorizableContract,
   CoreContract,
   CoreMockContract,
+  LinearAuctionPriceCurveContract,
   OrderLibraryMockContract,
   SetTokenContract,
   RebalancingSetTokenContract,
@@ -22,6 +23,7 @@ const Authorizable = artifacts.require('Authorizable');
 const Core = artifacts.require('Core');
 const CoreMock = artifacts.require('CoreMock');
 const ERC20Wrapper = artifacts.require('ERC20Wrapper');
+const LinearAuctionPriceCurve = artifacts.require('LinearAuctionPriceCurve');
 const OrderLibrary = artifacts.require('OrderLibrary');
 const OrderLibraryMock = artifacts.require('OrderLibraryMock');
 const RebalancingSetToken = artifacts.require('RebalancingSetToken');
@@ -149,6 +151,19 @@ export class CoreWrapper {
     );
   }
 
+  public async deployLinearAuctionPriceCurveAsync(
+    from: Address = this._tokenOwnerAddress
+  ): Promise<LinearAuctionPriceCurveContract> {
+    const truffleLinearAuctionPriceCurve = await LinearAuctionPriceCurve.new(
+      { from },
+    );
+
+    return new LinearAuctionPriceCurveContract(
+      web3.eth.contract(truffleLinearAuctionPriceCurve.abi).at(truffleLinearAuctionPriceCurve.address),
+      { from, gas: DEFAULT_GAS },
+    );
+  }
+
   public async deploySetTokenAsync(
     factory: Address,
     componentAddresses: Address[],