-
Notifications
You must be signed in to change notification settings - Fork 40
/
swap_out_amt_given_in.go
269 lines (239 loc) · 9.22 KB
/
swap_out_amt_given_in.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
package types
import (
fmt "fmt"
sdk "github.com/cosmos/cosmos-sdk/types"
)
type AssetWeight struct {
Asset string
Weight sdk.Dec
}
func NormalizedWeights(poolAssets []PoolAsset) (poolWeights []AssetWeight) {
poolWeights = []AssetWeight{}
totalWeight := sdk.ZeroInt()
for _, asset := range poolAssets {
totalWeight = totalWeight.Add(asset.Weight)
}
if totalWeight.IsZero() {
totalWeight = sdk.OneInt()
}
for _, asset := range poolAssets {
poolWeights = append(poolWeights, AssetWeight{
Asset: asset.Token.Denom,
Weight: sdk.NewDecFromInt(asset.Weight).Quo(sdk.NewDecFromInt(totalWeight)),
})
}
return poolWeights
}
func OraclePoolNormalizedWeights(ctx sdk.Context, oracleKeeper OracleKeeper, poolAssets []PoolAsset) ([]AssetWeight, error) {
oraclePoolWeights := []AssetWeight{}
totalWeight := sdk.ZeroDec()
for _, asset := range poolAssets {
tokenPrice := oracleKeeper.GetAssetPriceFromDenom(ctx, asset.Token.Denom)
if tokenPrice.IsZero() {
return oraclePoolWeights, fmt.Errorf("price for token not set: %s", asset.Token.Denom)
}
weight := tokenPrice.Mul(sdk.NewDecFromInt(asset.Token.Amount))
oraclePoolWeights = append(oraclePoolWeights, AssetWeight{
Asset: asset.Token.Denom,
Weight: weight,
})
totalWeight = totalWeight.Add(weight)
}
if totalWeight.IsZero() {
totalWeight = sdk.OneDec()
}
for i, asset := range oraclePoolWeights {
oraclePoolWeights[i].Weight = asset.Weight.Quo(totalWeight)
}
return oraclePoolWeights, nil
}
func (p Pool) NewPoolAssetsAfterSwap(inCoins sdk.Coins, outCoins sdk.Coins) (poolAssets []PoolAsset, err error) {
for _, asset := range p.PoolAssets {
denom := asset.Token.Denom
amountAfterSwap := asset.Token.Amount.Add(inCoins.AmountOf(denom)).Sub(outCoins.AmountOf(denom))
if amountAfterSwap.IsNegative() {
return poolAssets, fmt.Errorf("negative pool amount after swap")
}
poolAssets = append(poolAssets, PoolAsset{
Token: sdk.NewCoin(denom, amountAfterSwap),
Weight: asset.Weight,
})
}
return
}
func (p Pool) StackedRatioFromSnapshot(ctx sdk.Context, oracleKeeper OracleKeeper, snapshot *Pool) sdk.Dec {
stackedRatio := sdk.ZeroDec()
for index, asset := range snapshot.PoolAssets {
assetDiff := sdk.NewDecFromInt(p.PoolAssets[index].Token.Amount.Sub(asset.Token.Amount).Abs())
assetStacked := assetDiff.Quo(sdk.NewDecFromInt(asset.Token.Amount))
stackedRatio = stackedRatio.Add(assetStacked)
}
return stackedRatio
}
func (p Pool) WeightDistanceFromTarget(ctx sdk.Context, oracleKeeper OracleKeeper, poolAssets []PoolAsset) sdk.Dec {
oracleWeights, err := OraclePoolNormalizedWeights(ctx, oracleKeeper, poolAssets)
if err != nil {
return sdk.ZeroDec()
}
targetWeights := NormalizedWeights(p.PoolAssets)
distanceSum := sdk.ZeroDec()
for i := range poolAssets {
distance := targetWeights[i].Weight.Sub(oracleWeights[i].Weight).Abs()
distanceSum = distanceSum.Add(distance)
}
return distanceSum.Quo(sdk.NewDec(int64(len(p.PoolAssets))))
}
func (p Pool) CalcGivenInSlippage(
ctx sdk.Context,
oracleKeeper OracleKeeper,
snapshot *Pool,
tokensIn sdk.Coins,
tokenOutDenom string,
accPoolKeeper AccountedPoolKeeper,
) (sdk.Dec, error) {
balancerOutCoin, err := p.CalcOutAmtGivenIn(ctx, oracleKeeper, snapshot, tokensIn, tokenOutDenom, sdk.ZeroDec(), accPoolKeeper)
if err != nil {
return sdk.ZeroDec(), err
}
tokenIn, poolAssetIn, poolAssetOut, err := p.parsePoolAssets(tokensIn, tokenOutDenom)
if err != nil {
return sdk.ZeroDec(), err
}
// ensure token prices for in/out tokens set properly
inTokenPrice := oracleKeeper.GetAssetPriceFromDenom(ctx, tokenIn.Denom)
if inTokenPrice.IsZero() {
return sdk.ZeroDec(), fmt.Errorf("price for inToken not set: %s", poolAssetIn.Token.Denom)
}
outTokenPrice := oracleKeeper.GetAssetPriceFromDenom(ctx, tokenOutDenom)
if outTokenPrice.IsZero() {
return sdk.ZeroDec(), fmt.Errorf("price for outToken not set: %s", poolAssetOut.Token.Denom)
}
oracleOutAmount := sdk.NewDecFromInt(tokenIn.Amount).Mul(inTokenPrice).Quo(outTokenPrice)
balancerOut := sdk.NewDecFromInt(balancerOutCoin.Amount)
slippageAmount := oracleOutAmount.Sub(balancerOut)
if slippageAmount.IsNegative() {
return sdk.ZeroDec(), nil
}
return slippageAmount, nil
}
// SwapOutAmtGivenIn is a mutative method for CalcOutAmtGivenIn, which includes the actual swap.
func (p *Pool) SwapOutAmtGivenIn(
ctx sdk.Context,
oracleKeeper OracleKeeper,
snapshot *Pool,
tokensIn sdk.Coins,
tokenOutDenom string,
swapFee sdk.Dec,
accPoolKeeper AccountedPoolKeeper,
) (tokenOut sdk.Coin, slippageAmount sdk.Dec, weightBalanceBonus sdk.Dec, err error) {
balancerOutCoin, err := p.CalcOutAmtGivenIn(ctx, oracleKeeper, snapshot, tokensIn, tokenOutDenom, swapFee, accPoolKeeper)
if err != nil {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), err
}
// early return with balancer swap if normal amm pool
if !p.PoolParams.UseOracle {
err = p.applySwap(ctx, tokensIn, sdk.Coins{balancerOutCoin}, sdk.ZeroDec(), swapFee, accPoolKeeper)
if err != nil {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), err
}
return balancerOutCoin, sdk.ZeroDec(), sdk.ZeroDec(), nil
}
tokenIn, poolAssetIn, poolAssetOut, err := p.parsePoolAssets(tokensIn, tokenOutDenom)
if err != nil {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), err
}
// ensure token prices for in/out tokens set properly
inTokenPrice := oracleKeeper.GetAssetPriceFromDenom(ctx, tokenIn.Denom)
if inTokenPrice.IsZero() {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), fmt.Errorf("price for inToken not set: %s", poolAssetIn.Token.Denom)
}
outTokenPrice := oracleKeeper.GetAssetPriceFromDenom(ctx, tokenOutDenom)
if outTokenPrice.IsZero() {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), fmt.Errorf("price for outToken not set: %s", poolAssetOut.Token.Denom)
}
initialWeightDistance := p.WeightDistanceFromTarget(ctx, oracleKeeper, p.PoolAssets)
// out amount is calculated in this formula
// balancer slippage amount = Max(oracleOutAmount-balancerOutAmount, 0)
// resizedAmount = tokenIn / externalLiquidityRatio
// actualSlippageAmount = balancer slippage(resizedAmount)
oracleOutAmount := sdk.NewDecFromInt(tokenIn.Amount).Mul(inTokenPrice).Quo(outTokenPrice)
resizedAmount := sdk.NewDecFromInt(tokenIn.Amount).Quo(p.PoolParams.ExternalLiquidityRatio).RoundInt()
slippageAmount, err = p.CalcGivenInSlippage(
ctx,
oracleKeeper,
snapshot,
sdk.Coins{sdk.NewCoin(tokenIn.Denom, resizedAmount)},
tokenOutDenom,
accPoolKeeper,
)
if err != nil {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), err
}
outAmountAfterSlippage := oracleOutAmount.Sub(slippageAmount)
// oracleOutAmount = 100 ATOM
// BalancerOutAmount = 95 ATOM
// balancerSlippageAmount = 5
// slippageAmount = 5 * (1 - 99%) = 0.05 ATOM
// Final amount = 99.95 ATOM
// Osmosis liq=$100 million
// Elys liq = $1 million
// reduction = 99% // (100 - 1)/(100)
// we know swap in amount - 1000 USDC
// price impact for Osmosis pool - 1000/(50000000 + 1000) = roughly 0.002%
// balancer price impact - balancerSlippageAmount / oracleOutAmount = 5%
// 0.002% / 5% = 0.0004 != 0.01 (slippage reduction factor) (right?)
// Elys normal amm pool = Osmosis normal amm pool (80/20 pool,
// we can create same virtual pool on Elys and calculate slippage)
// actual out amount = oracle out amount - slippage(Osmosis)
// Oracle price
// 1% depth
// $1mil
// Price impact for $1000
// 0.001% - price impact
// Out amount = (oracleOutAmount*(1-0.001%))
// First $100, 0.0001%
// For second $100, 0.0002%
// Triangle in pricing
// in amount = 100 ATOM
// linear model USDC/USDT stable pool, BTC/USDC
// Assume: it's linear model
// out amount = ? USDC
// Formula to calculate out amount
// We won't use Elys pool data here
// Reduction 98% - 99.9%
// Slippage reduction is dynamic based on trade size
// approximate value = slippage reduction
// Dream's solution:
// Dynamic slippage reduction
// $1000 trade: 95%
// $10000 trade: 80%
// calculate weight distance difference to calculate bonus/cut on the operation
newAssetPools, err := p.NewPoolAssetsAfterSwap(
tokensIn,
sdk.Coins{sdk.NewCoin(tokenOutDenom, outAmountAfterSlippage.TruncateInt())},
)
if err != nil {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), err
}
weightDistance := p.WeightDistanceFromTarget(ctx, oracleKeeper, newAssetPools)
distanceDiff := weightDistance.Sub(initialWeightDistance)
// cut is valid when distance higher than original distance
weightBreakingFee := sdk.ZeroDec()
if distanceDiff.IsPositive() {
weightBreakingFee = p.PoolParams.WeightBreakingFeeMultiplier.Mul(distanceDiff)
}
// bonus is valid when distance is lower than original distance and when threshold weight reached
weightBalanceBonus = sdk.ZeroDec()
if initialWeightDistance.GT(p.PoolParams.ThresholdWeightDifference) && distanceDiff.IsNegative() {
weightBalanceBonus = p.PoolParams.WeightBreakingFeeMultiplier.Mul(distanceDiff).Abs()
}
tokenAmountOutInt := outAmountAfterSlippage.
Mul(sdk.OneDec().Sub(weightBreakingFee)).
Mul(sdk.OneDec().Sub(swapFee)).TruncateInt()
oracleOutCoin := sdk.NewCoin(tokenOutDenom, tokenAmountOutInt)
err = p.applySwap(ctx, tokensIn, sdk.Coins{oracleOutCoin}, sdk.ZeroDec(), swapFee, accPoolKeeper)
if err != nil {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), err
}
return oracleOutCoin, slippageAmount, weightBalanceBonus, nil
}