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swap_out_amt_given_in.go
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swap_out_amt_given_in.go
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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())
// Ensure asset.Token is not zero to avoid division by zero
if asset.Token.IsZero() {
asset.Token.Amount = sdk.OneInt()
}
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)
}
// Ensure len(p.PoolAssets) is not zero to avoid division by zero
if len(p.PoolAssets) == 0 {
return sdk.ZeroDec()
}
return distanceSum.Quo(sdk.NewDec(int64(len(p.PoolAssets))))
}
func OracleAssetWeight(ctx sdk.Context, oracleKeeper OracleKeeper, poolAssets []PoolAsset, denom string) sdk.Dec {
oracleWeights, err := OraclePoolNormalizedWeights(ctx, oracleKeeper, poolAssets)
if err != nil {
return sdk.ZeroDec()
}
for _, weight := range oracleWeights {
if weight.Asset == denom {
return weight.Weight
}
}
return sdk.ZeroDec()
}
func NormalizedWeight(ctx sdk.Context, poolAssets []PoolAsset, denom string) sdk.Dec {
targetWeights := NormalizedWeights(poolAssets)
for _, weight := range targetWeights {
if weight.Asset == denom {
return weight.Weight
}
}
return sdk.ZeroDec()
}
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)
// Ensure p.PoolParams.ExternalLiquidityRatio is not zero to avoid division by zero
if p.PoolParams.ExternalLiquidityRatio.IsZero() {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), ErrAmountTooLow
}
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() {
// old weight breaking fee implementation
// weightBreakingFee = p.PoolParams.WeightBreakingFeeMultiplier.Mul(distanceDiff)
// target weight
targetWeightIn := NormalizedWeight(ctx, p.PoolAssets, tokenIn.Denom)
targetWeightOut := NormalizedWeight(ctx, p.PoolAssets, tokenOutDenom)
// weight breaking fee as in Plasma pool
weightIn := OracleAssetWeight(ctx, oracleKeeper, newAssetPools, tokenIn.Denom)
weightOut := OracleAssetWeight(ctx, oracleKeeper, newAssetPools, tokenOutDenom)
weightBreakingFee = GetWeightBreakingFee(weightIn, weightOut, targetWeightIn, targetWeightOut, p.PoolParams)
}
// bonus is valid when distance is lower than original distance and when threshold weight reached
weightBalanceBonus = weightBreakingFee.Neg()
if initialWeightDistance.GT(p.PoolParams.ThresholdWeightDifference) && distanceDiff.IsNegative() {
weightBalanceBonus = p.PoolParams.WeightBreakingFeeMultiplier.Mul(distanceDiff).Abs()
}
if swapFee.GTE(sdk.OneDec()) {
return sdk.Coin{}, sdk.ZeroDec(), sdk.ZeroDec(), ErrTooMuchSwapFee
}
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
}