✨ debt-manager: support cross-leverage

Co-authored-by: danilo neves cruz <cruzdanilo@gmail.com>
exactly · Jun 26, 2023 · ba05342 · ba05342
1 parent 000693d
commit ba05342
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Showing 6 changed files with 318 additions and 77 deletions.
diff --git a/.changeset/swift-oranges-provide.md b/.changeset/swift-oranges-provide.md
@@ -0,0 +1,5 @@
+---
+"@exactly/protocol": patch
+---
+
+✨ debt-manager: support cross-leverage
diff --git a/.gas-snapshot b/.gas-snapshot
@@ -10,51 +10,55 @@ AuditorTest:testEnableMarketAuditorMismatch() (gas: 24805)
 AuditorTest:testEnableMarketShouldRevertWithInvalidPriceFeed() (gas: 149281)
 AuditorTest:testEnterExitMarket() (gas: 178761)
 AuditorTest:testExitMarketOwning() (gas: 177445)
-DebtManagerTest:testApproveMaliciousMarket() (gas: 29065)
-DebtManagerTest:testApproveMarket() (gas: 61556)
-DebtManagerTest:testAvailableLiquidity() (gas: 100522)
-DebtManagerTest:testBalancerFlashloanCallFromDifferentOrigin() (gas: 65744)
-DebtManagerTest:testCallReceiveFlashLoanFromAnyAddress() (gas: 33553)
-DebtManagerTest:testDeleverage() (gas: 463698)
-DebtManagerTest:testDeleverageHalfBorrowPosition() (gas: 502876)
-DebtManagerTest:testDeleverageWithWithdraw() (gas: 496289)
-DebtManagerTest:testFixedDeleverage() (gas: 452060)
-DebtManagerTest:testFixedRoll() (gas: 525951)
-DebtManagerTest:testFixedRollSameMaturityWithThreeLoops() (gas: 400560)
-DebtManagerTest:testFixedRollWithAccurateBorrowSlippage() (gas: 796447)
-DebtManagerTest:testFixedRollWithAccurateBorrowSlippageWithThreeLoops() (gas: 1130759)
-DebtManagerTest:testFixedRollWithAccurateRepaySlippage() (gas: 796385)
-DebtManagerTest:testFixedRollWithAccurateRepaySlippageWithThreeLoops() (gas: 1125497)
-DebtManagerTest:testFixedToFloatingRoll() (gas: 480375)
-DebtManagerTest:testFixedToFloatingRollHigherThanAvailableLiquidity() (gas: 543110)
-DebtManagerTest:testFixedToFloatingRollHigherThanAvailableLiquidityWithSlippage() (gas: 833500)
-DebtManagerTest:testFixedToFloatingRollHigherThanAvailableLiquidityWithSlippageWithThreeLoops() (gas: 1005251)
-DebtManagerTest:testFixedToFloatingRollWithAccurateSlippage() (gas: 680969)
-DebtManagerTest:testFlashloanFeeGreaterThanZero() (gas: 431305)
-DebtManagerTest:testFloatingToFixedRoll() (gas: 516351)
-DebtManagerTest:testFloatingToFixedRollHigherThanAvailableLiquidity() (gas: 602076)
-DebtManagerTest:testFloatingToFixedRollHigherThanAvailableLiquidityWithSlippage() (gas: 1000204)
-DebtManagerTest:testFloatingToFixedRollHigherThanAvailableLiquidityWithSlippageWithThreePools() (gas: 1208787)
-DebtManagerTest:testFloatingToFixedRollWithAccurateSlippage() (gas: 806911)
-DebtManagerTest:testFloatingToFixedRollWithAccurateSlippageWithPreviousPosition() (gas: 757786)
-DebtManagerTest:testLateFixedDeleverage() (gas: 485172)
-DebtManagerTest:testLateFixedRoll() (gas: 536631)
-DebtManagerTest:testLateFixedRollWithThreeLoops() (gas: 720302)
-DebtManagerTest:testLateFixedToFloatingRoll() (gas: 487764)
-DebtManagerTest:testLateFixedToFloatingRollWithThreeLoops() (gas: 649360)
-DebtManagerTest:testLeverage() (gas: 377213)
-DebtManagerTest:testLeverageShouldFailWhenHealthFactorNearOne() (gas: 755217)
-DebtManagerTest:testLeverageWithAlreadyDepositedAmount() (gas: 403958)
-DebtManagerTest:testLeverageWithInvalidBalancerVault() (gas: 3209983)
-DebtManagerTest:testMockBalancerVault() (gas: 4563902)
-DebtManagerTest:testPartialFixedDeleverage() (gas: 526046)
-DebtManagerTest:testPartialFixedRoll() (gas: 589206)
-DebtManagerTest:testPartialFixedToFloatingRoll() (gas: 553249)
-DebtManagerTest:testPartialLateFixedRoll() (gas: 581585)
-DebtManagerTest:testPartialLateFixedToFloatingRoll() (gas: 551947)
-DebtManagerTest:testPermit2AndLeverage() (gas: 530215)
-DebtManagerTest:testPermitAndDeleverage() (gas: 532307)
-DebtManagerTest:testPermitAndRollFloatingToFixed() (gas: 600065)
+DebtManagerTest:testApproveMaliciousMarket() (gas: 29094)
+DebtManagerTest:testApproveMarket() (gas: 61541)
+DebtManagerTest:testAvailableLiquidity() (gas: 127236)
+DebtManagerTest:testBalancerFlashloanCallFromDifferentOrigin() (gas: 65836)
+DebtManagerTest:testCallReceiveFlashLoanFromAnyAddress() (gas: 33615)
+DebtManagerTest:testCrossLeverageFromUSDCToWETH() (gas: 972581)
+DebtManagerTest:testCrossLeverageFromwstETHtoWETH() (gas: 934255)
+DebtManagerTest:testCrossLeverageWithDeposit() (gas: 924350)
+DebtManagerTest:testCrossLeverageWithInvalidFee() (gas: 154892)
+DebtManagerTest:testDeleverage() (gas: 760044)
+DebtManagerTest:testDeleverageHalfBorrowPosition() (gas: 800712)
+DebtManagerTest:testDeleverageWithWithdraw() (gas: 794237)
+DebtManagerTest:testFixedDeleverage() (gas: 732125)
+DebtManagerTest:testFixedRoll() (gas: 832061)
+DebtManagerTest:testFixedRollSameMaturityWithThreeLoops() (gas: 690162)
+DebtManagerTest:testFixedRollWithAccurateBorrowSlippage() (gas: 1156577)
+DebtManagerTest:testFixedRollWithAccurateBorrowSlippageWithThreeLoops() (gas: 2080139)
+DebtManagerTest:testFixedRollWithAccurateRepaySlippage() (gas: 1156537)
+DebtManagerTest:testFixedRollWithAccurateRepaySlippageWithThreeLoops() (gas: 2074877)
+DebtManagerTest:testFixedToFloatingRoll() (gas: 787156)
+DebtManagerTest:testFixedToFloatingRollHigherThanAvailableLiquidity() (gas: 917251)
+DebtManagerTest:testFixedToFloatingRollHigherThanAvailableLiquidityWithSlippage() (gas: 1349570)
+DebtManagerTest:testFixedToFloatingRollHigherThanAvailableLiquidityWithSlippageWithThreeLoops() (gas: 1948971)
+DebtManagerTest:testFixedToFloatingRollWithAccurateSlippage() (gas: 1053097)
+DebtManagerTest:testFlashloanFeeGreaterThanZero() (gas: 692539)
+DebtManagerTest:testFloatingToFixedRoll() (gas: 808584)
+DebtManagerTest:testFloatingToFixedRollHigherThanAvailableLiquidity() (gas: 956240)
+DebtManagerTest:testFloatingToFixedRollHigherThanAvailableLiquidityWithSlippage() (gas: 1452843)
+DebtManagerTest:testFloatingToFixedRollHigherThanAvailableLiquidityWithSlippageWithThreePools() (gas: 2218100)
+DebtManagerTest:testFloatingToFixedRollWithAccurateSlippage() (gas: 1133688)
+DebtManagerTest:testFloatingToFixedRollWithAccurateSlippageWithPreviousPosition() (gas: 1141687)
+DebtManagerTest:testLateFixedDeleverage() (gas: 857112)
+DebtManagerTest:testLateFixedRoll() (gas: 915668)
+DebtManagerTest:testLateFixedRollWithThreeLoops() (gas: 1432856)
+DebtManagerTest:testLateFixedToFloatingRoll() (gas: 869320)
+DebtManagerTest:testLateFixedToFloatingRollWithThreeLoops() (gas: 1359083)
+DebtManagerTest:testLeverage() (gas: 634676)
+DebtManagerTest:testLeverageShouldFailWhenHealthFactorNearOne() (gas: 1270622)
+DebtManagerTest:testLeverageWithAlreadyDepositedAmount() (gas: 668330)
+DebtManagerTest:testLeverageWithInvalidBalancerVault() (gas: 3757470)
+DebtManagerTest:testMockBalancerVault() (gas: 5443352)
+DebtManagerTest:testPartialFixedDeleverage() (gas: 798591)
+DebtManagerTest:testPartialFixedRoll() (gas: 875325)
+DebtManagerTest:testPartialFixedToFloatingRoll() (gas: 845410)
+DebtManagerTest:testPartialLateFixedRoll() (gas: 960501)
+DebtManagerTest:testPartialLateFixedToFloatingRoll() (gas: 936905)
+DebtManagerTest:testPermit2AndLeverage() (gas: 781144)
+DebtManagerTest:testPermitAndDeleverage() (gas: 835432)
+DebtManagerTest:testPermitAndRollFloatingToFixed() (gas: 893978)
 InterestRateModelTest:testFixedBorrowRate() (gas: 8089)
 InterestRateModelTest:testFloatingBorrowRate() (gas: 6236)
 InterestRateModelTest:testMinFixedRate() (gas: 7610)

diff --git a/contracts/periphery/DebtManager.sol b/contracts/periphery/DebtManager.sol
@@ -17,6 +17,11 @@ contract DebtManager is Initializable {
   using FixedLib for FixedLib.Pool;
   using Address for address;
 
+  /// @dev The minimum value that can be returned from #getSqrtRatioAtTick. Equivalent to getSqrtRatioAtTick(MIN_TICK)
+  uint160 internal constant MIN_SQRT_RATIO = 4295128739;
+  /// @dev The maximum value that can be returned from #getSqrtRatioAtTick. Equivalent to getSqrtRatioAtTick(MAX_TICK)
+  uint160 internal constant MAX_SQRT_RATIO = 1461446703485210103287273052203988822378723970342;
+
   /// @notice Auditor contract that lists the markets that can be leveraged.
   /// @custom:oz-upgrades-unsafe-allow state-variable-immutable
   Auditor public immutable auditor;
@@ -26,12 +31,16 @@ contract DebtManager is Initializable {
   /// @notice Balancer's vault contract that is used to take flash loans.
   /// @custom:oz-upgrades-unsafe-allow state-variable-immutable
   IBalancerVault public immutable balancerVault;
+  /// @notice Factory contract to be used to compute the address of the Uniswap V3 pool.
+  /// @custom:oz-upgrades-unsafe-allow state-variable-immutable
+  address public immutable uniswapV3Factory;
 
   /// @custom:oz-upgrades-unsafe-allow constructor
-  constructor(Auditor auditor_, IPermit2 permit2_, IBalancerVault balancerVault_) {
+  constructor(Auditor auditor_, IPermit2 permit2_, IBalancerVault balancerVault_, address uniswapV3Factory_) {
     auditor = auditor_;
     permit2 = permit2_;
     balancerVault = balancerVault_;
+    uniswapV3Factory = uniswapV3Factory_;
 
     _disableInitializers();
   }
@@ -78,6 +87,54 @@ contract DebtManager is Initializable {
     balancerVault.flashLoan(address(this), tokens, amounts, call(abi.encode(market, calls)));
   }
 
+  /// @notice Cross-leverages the floating position of `msg.sender` to match `targetHealthFactor` by taking a flash loan
+  /// from Balancer's vault.
+  /// @param inMarket The Market to deposit the leveraged position.
+  /// @param outMarket The Market to borrow the leveraged position.
+  /// @param fee The fee of the pool that will be used to swap the assets.
+  /// @param principal The amount of `inMarket` assets to leverage.
+  /// @param targetHealthFactor The desired target health factor that the account will be leveraged to.
+  /// @param deposit Whether the `principal` should be deposited or not.
+  function crossLeverage(
+    Market inMarket,
+    Market outMarket,
+    uint24 fee,
+    uint256 principal,
+    uint256 targetHealthFactor,
+    bool deposit
+  ) external {
+    LeverageVars memory v;
+    v.inAsset = address(inMarket.asset());
+    v.outAsset = address(outMarket.asset());
+    if (deposit) ERC20(v.inAsset).safeTransferFrom(msg.sender, address(this), principal);
+
+    {
+      (uint256 depositAdjustFactor, , , , ) = auditor.markets(inMarket);
+      (uint256 borrowAdjustFactor, , , , ) = auditor.markets(outMarket);
+      uint256 factor = depositAdjustFactor.mulWadDown(borrowAdjustFactor).divWadDown(targetHealthFactor);
+      v.amount = factor.mulWadDown(principal).divWadDown(1e18 - factor);
+    }
+
+    PoolKey memory poolKey = PoolAddress.getPoolKey(v.inAsset, v.outAsset, fee);
+    IUniswapV3Pool(PoolAddress.computeAddress(uniswapV3Factory, poolKey)).swap(
+      address(this),
+      v.outAsset == poolKey.token0,
+      -int256(v.amount),
+      v.outAsset == poolKey.token0 ? MIN_SQRT_RATIO + 1 : MAX_SQRT_RATIO - 1,
+      abi.encode(
+        SwapCallbackData({
+          inMarket: inMarket,
+          outMarket: outMarket,
+          inAsset: v.inAsset,
+          outAsset: v.outAsset,
+          principal: deposit ? principal : 0,
+          account: msg.sender,
+          fee: fee
+        })
+      )
+    );
+  }
+
   /// @notice Deleverages the position of `msg.sender` a certain `percentage` by taking a flash loan from
   /// Balancer's vault to repay the borrow.
   /// @param market The Market to deleverage the position out.
@@ -337,6 +394,22 @@ contract DebtManager is Initializable {
     }
   }
 
+  /// @notice Callback function called by the Uniswap V3 pool contract when a swap is initiated.
+  /// @dev Only the Uniswap V3 pool contract is allowed to call this function.
+  /// @param amount0Delta The amount of token0 that was sent (negative) or must be received (positive) by the pool by
+  /// the end of the swap. If positive, the callback must send that amount of token0 to the pool.
+  /// @param amount1Delta The amount of token1 that was sent (negative) or must be received (positive) by the pool by
+  /// the end of the swap. If positive, the callback must send that amount of token1 to the pool.
+  /// @param data Any data passed through by the caller via the IUniswapV3PoolActions#swap call
+  function uniswapV3SwapCallback(int256 amount0Delta, int256 amount1Delta, bytes calldata data) external {
+    SwapCallbackData memory s = abi.decode(data, (SwapCallbackData));
+    PoolKey memory poolKey = PoolAddress.getPoolKey(s.inAsset, s.outAsset, s.fee);
+    assert(msg.sender == PoolAddress.computeAddress(uniswapV3Factory, poolKey));
+
+    s.inMarket.deposit(s.principal + uint256(-(s.inAsset == poolKey.token0 ? amount0Delta : amount1Delta)), s.account);
+    s.outMarket.borrow(uint256(s.inAsset == poolKey.token1 ? amount0Delta : amount1Delta), msg.sender, s.account);
+  }
+
   /// @notice Calls `token.permit` on behalf of `permit.account`.
   /// @param token The `ERC20` to call `permit`.
   /// @param p Arguments for the permit call.
@@ -493,6 +566,15 @@ contract DebtManager is Initializable {
     ERC20 asset;
     uint256 liquidity;
   }
+  struct SwapCallbackData {
+    Market inMarket;
+    Market outMarket;
+    address inAsset;
+    address outAsset;
+    address account;
+    uint256 principal;
+    uint24 fee;
+  }
 }
 
 error InvalidOperation();
@@ -515,6 +597,12 @@ struct RollVars {
   uint256 i;
 }
 
+struct LeverageVars {
+  address inAsset;
+  address outAsset;
+  uint256 amount;
+}
+
 interface IBalancerVault {
   function flashLoan(
     address recipient,
@@ -551,3 +639,47 @@ interface IPermit2 {
   // solhint-disable-next-line func-name-mixedcase
   function DOMAIN_SEPARATOR() external view returns (bytes32);
 }
+
+interface IUniswapV3Pool {
+  function swap(
+    address recipient,
+    bool zeroForOne,
+    int256 amountSpecified,
+    uint160 sqrtPriceLimitX96,
+    bytes calldata data
+  ) external returns (int256 amount0, int256 amount1);
+}
+
+// https://github.com/Uniswap/v3-periphery/pull/271
+library PoolAddress {
+  bytes32 internal constant POOL_INIT_CODE_HASH = 0xe34f199b19b2b4f47f68442619d555527d244f78a3297ea89325f843f87b8b54;
+
+  function getPoolKey(address tokenA, address tokenB, uint24 fee) internal pure returns (PoolKey memory) {
+    if (tokenA > tokenB) (tokenA, tokenB) = (tokenB, tokenA);
+    return PoolKey({ token0: tokenA, token1: tokenB, fee: fee });
+  }
+
+  function computeAddress(address uniswapV3Factory, PoolKey memory key) internal pure returns (address pool) {
+    assert(key.token0 < key.token1);
+    pool = address(
+      uint160(
+        uint256(
+          keccak256(
+            abi.encodePacked(
+              hex"ff",
+              uniswapV3Factory,
+              keccak256(abi.encode(key.token0, key.token1, key.fee)),
+              POOL_INIT_CODE_HASH
+            )
+          )
+        )
+      )
+    );
+  }
+}
+
+struct PoolKey {
+  address token0;
+  address token1;
+  uint24 fee;
+}
diff --git a/deploy/DebtManager.ts b/deploy/DebtManager.ts
@@ -2,18 +2,25 @@ import type { DeployFunction } from "hardhat-deploy/types";
 import validateUpgrade from "./.utils/validateUpgrade";
 
 const func: DeployFunction = async ({ deployments: { deploy, get }, getNamedAccounts }) => {
-  const [{ address: auditor }, { address: permit2 }, { address: balancerVault }, { address: timelock }, { deployer }] =
-    await Promise.all([
-      get("Auditor"),
-      get("Permit2"),
-      get("BalancerVault"),
-      get("TimelockController"),
-      getNamedAccounts(),
-    ]);
+  const [
+    { address: auditor },
+    { address: permit2 },
+    { address: balancerVault },
+    { address: uniswapV3Factory },
+    { address: timelock },
+    { deployer },
+  ] = await Promise.all([
+    get("Auditor"),
+    get("Permit2"),
+    get("BalancerVault"),
+    get("UniswapV3Factory"),
+    get("TimelockController"),
+    getNamedAccounts(),
+  ]);
 
   await validateUpgrade(
     "DebtManager",
-    { args: [auditor, permit2, balancerVault], envKey: "DEBT_MANAGER" },
+    { args: [auditor, permit2, balancerVault, uniswapV3Factory], envKey: "DEBT_MANAGER" },
     async (name, opts) =>
       deploy(name, {
         ...opts,
@@ -32,6 +39,6 @@ const func: DeployFunction = async ({ deployments: { deploy, get }, getNamedAcco
 };
 
 func.tags = ["DebtManager"];
-func.dependencies = ["TimelockController", "Auditor", "Markets", "BalancerVault", "Permit2"];
+func.dependencies = ["TimelockController", "Auditor", "Markets", "UniswapV3Factory", "BalancerVault", "Permit2"];
 
 export default func;
diff --git a/deploy/mocks/UniswapV3Factory.ts b/deploy/mocks/UniswapV3Factory.ts
@@ -0,0 +1,17 @@
+import type { DeployFunction } from "hardhat-deploy/types";
+
+const func: DeployFunction = async ({
+  ethers: {
+    constants: { AddressZero },
+  },
+  deployments: { getOrNull, save },
+  network: { live },
+}) => {
+  if (!(await getOrNull("UniswapV3Factory")) && !live) {
+    await save("UniswapV3Factory", { address: AddressZero, abi: [] });
+  }
+};
+
+func.tags = ["UniswapV3Factory"];
+
+export default func;