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feat(flash-swap): support liquidating vaults with underlying as collateral #64

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merged 16 commits into from
Nov 5, 2021
Merged

feat(flash-swap): support liquidating vaults with underlying as collateral #64

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f222278
feat(flash-swap): implement liquidating underlying as collateral
scorpion9979 Nov 2, 2021
ef7a6d3
feat(flash-swap): add tests for underlying as collateral
scorpion9979 Nov 3, 2021
254bafb
refactor(flash-swap): expect no profit + better error naming
scorpion9979 Nov 3, 2021
4e3f8cb
feat(tasks): add deploy task for underlying as collaeral flash-swap
scorpion9979 Nov 3, 2021
59db094
feat(flash-swap): repay USDC liquidation 0.3% Uniswap fee from bot wa…
scorpion9979 Nov 3, 2021
c238f40
feat(flash-swap): add test to increase coverage
scorpion9979 Nov 3, 2021
ffda179
refactor: move common logic in "HifiFlashUniswapV2.sol"
PaulRBerg Nov 4, 2021
b02aac3
refactor(flash-swap): "HifiFlashUniswapV2" into "CollateralFlashUnisw…
PaulRBerg Nov 4, 2021
5a2e0dc
refactor(flash-swap): use only "underlying" in var names in "Underlyi…
PaulRBerg Nov 4, 2021
e1ed460
test(flash-swap): refactor variable names in "UnderlyingFlashUniswapV…
PaulRBerg Nov 4, 2021
601f296
ci: fix task names in flash swap deployers
PaulRBerg Nov 4, 2021
4da7d20
chore(flash-swap): order variables alphabetically
PaulRBerg Nov 4, 2021
613df07
fix(flash-swap): properly compare "repayUnderlyingAmount" to "seizedU…
PaulRBerg Nov 4, 2021
d86fc14
fix(flash-swap): transfer profit instead of subsidized amount
PaulRBerg Nov 5, 2021
190e0ec
test(flash-swap): repay underlying equal to seized underlying
scorpion9979 Nov 5, 2021
5ced780
test(flash-swap): flash borrow other token when token order is changed
PaulRBerg Nov 5, 2021
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4 changes: 4 additions & 0 deletions packages/flash-swap/contracts/test/GodModeHToken.sol
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Expand Up @@ -21,4 +21,8 @@ contract GodModeHToken is HToken {
function __godMode_setUnderlying(IErc20 newUnderlying) external {
underlying = newUnderlying;
}

function __godMode_setMaturity(uint256 newMaturity) external {
maturity = newMaturity;
}
}
4 changes: 2 additions & 2 deletions packages/flash-swap/contracts/uniswap-v2/IUnderlyingFlashUniswapV2.sol
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Expand Up @@ -54,8 +54,8 @@ interface IUnderlyingFlashUniswapV2 is IUniswapV2Callee {
/// repayUnderlyingAmount = ---------------------
/// 997
///
/// @dev See "getAmountIn" and "getAmountOut" in UniswapV2Library.sol. Flash swaps are repaid via the
/// same borrowed pair token and the 0.3% LP fee applies.
/// @dev See "getAmountIn" and "getAmountOut" in UniswapV2Library.sol. Flash swaps can be repaid via the
/// same borrowed pair token but the 0.3% LP fee still applies.
/// @param underlyingAmount The amount of underlying flash borrowed.
/// @return repayUnderlyingAmount The minimum amount of underlying that must be repaid.
function getRepayUnderlyingAmount(uint256 underlyingAmount) external view returns (uint256 repayUnderlyingAmount);
Expand Down
11 changes: 9 additions & 2 deletions packages/flash-swap/contracts/uniswap-v2/UnderlyingFlashUniswapV2.sol
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Expand Up @@ -107,6 +107,7 @@ contract UnderlyingFlashUniswapV2 is IUnderlyingFlashUniswapV2 {
uint256 seizedUnderlyingAmount;
uint256 shortfallUnderlyingAmount;
address subsidizer;
uint256 surplusUnderlyingAmount;
IErc20 underlying;
uint256 underlyingAmount;
}
Expand Down Expand Up @@ -153,13 +154,19 @@ contract UnderlyingFlashUniswapV2 is IUnderlyingFlashUniswapV2 {
// Calculate the amount of underlying required to repay.
vars.repayUnderlyingAmount = getRepayUnderlyingAmount(vars.underlyingAmount);

// There is no incentive to liquidate underlying-backed vaults after the bond maturation. Thus the flash swap
// fee must be subsidized when the repay underlying amount is greater than the seized underlying amount.
// When the liquidation incentive is zero, there is no incentive to liquidate underlying-backed vaults post
// bond maturation. The flash swap fee must be subsidized when the repay underlying amount is greater than
// the seized underlying amount.
if (vars.repayUnderlyingAmount > vars.seizedUnderlyingAmount) {
unchecked {
vars.shortfallUnderlyingAmount = vars.repayUnderlyingAmount - vars.seizedUnderlyingAmount;
}
vars.underlying.safeTransferFrom(vars.subsidizer, address(this), vars.shortfallUnderlyingAmount);
} else if (vars.seizedUnderlyingAmount > vars.repayUnderlyingAmount) {
unchecked {
vars.surplusUnderlyingAmount = vars.seizedUnderlyingAmount - vars.repayUnderlyingAmount;
}
vars.underlying.safeTransfer(sender, vars.shortfallUnderlyingAmount);
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}

// Pay back the loan.
Expand Down
104 changes: 53 additions & 51 deletions packages/flash-swap/test/integration/collateralFlashUniswapV2/effects/uniswapV2Call.ts
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@@ -1,15 +1,15 @@
import { defaultAbiCoder } from "@ethersproject/abi";
import { BigNumber } from "@ethersproject/bignumber";
import { Zero } from "@ethersproject/constants";
import { LIQUIDATION_INCENTIVES } from "@hifi/constants";
import { BalanceSheetErrors, CollateralFlashUniswapV2Errors } from "@hifi/errors";
import { USDC, WBTC, hUSDC, price } from "@hifi/helpers";
import { expect } from "chai";
import { toBn } from "evm-bn";

import type { GodModeErc20 } from "../../../../src/types/GodModeErc20";
import { deployGodModeErc20 } from "../../../shared/deployers";

async function bumpPoolReserves(this: Mocha.Context, wbtcAmount: BigNumber, usdcAmount: BigNumber): Promise<void> {
async function increasePoolReserves(this: Mocha.Context, wbtcAmount: BigNumber, usdcAmount: BigNumber): Promise<void> {
// Mint WBTC to the pair contract.
if (!wbtcAmount.isZero()) {
await this.contracts.wbtc.__godMode_mint(this.contracts.uniswapV2Pair.address, wbtcAmount);
Expand All @@ -34,18 +34,18 @@ function encodeCallData(this: Mocha.Context): string {

async function getSeizableAndProfitCollateralAmounts(
this: Mocha.Context,
repayHUsdcAmount: BigNumber,
underlyingAmount: BigNumber,
repayAmount: BigNumber,
swapUnderlyingAmount: BigNumber,
): Promise<{ expectedProfitWbtcAmount: BigNumber; seizableWbtcAmount: BigNumber }> {
const seizableWbtcAmount = await this.contracts.balanceSheet.getSeizableCollateralAmount(
this.contracts.hToken.address,
repayHUsdcAmount,
repayAmount,
this.contracts.wbtc.address,
);
const repayWbtcAmount = await this.contracts.collateralFlashUniswapV2.getRepayCollateralAmount(
this.contracts.uniswapV2Pair.address,
this.contracts.usdc.address,
underlyingAmount,
swapUnderlyingAmount,
);
const expectedProfitWbtcAmount = seizableWbtcAmount.sub(repayWbtcAmount);
return { expectedProfitWbtcAmount, seizableWbtcAmount };
Expand Down Expand Up @@ -136,7 +136,7 @@ export function shouldBehaveLikeUniswapV2Call(): void {
});
});

context("when the caller is the pair contract", function () {
context("when the caller is the UniswapV2Pair contract", function () {
beforeEach(async function () {
// Set the oracle price to 1 WBTC = $20k.
await this.contracts.wbtcPriceFeed.setPrice(price("20000"));
Expand All @@ -145,10 +145,10 @@ export function shouldBehaveLikeUniswapV2Call(): void {
await this.contracts.usdcPriceFeed.setPrice(price("1"));

// Mint 100 WBTC and 2m USDC to the pair contract. This makes the price 1 WBTC ~ 20k USDC.
await bumpPoolReserves.call(this, WBTC("100"), USDC("2e6"));
await increasePoolReserves.call(this, WBTC("100"), USDC("2e6"));
});

context("when the underlying is not in the pair contract", function () {
context("when the underlying is not part of the UniswapV2Pair contract", function () {
it("reverts", async function () {
const { token0Amount, token1Amount } = await getTokenAmounts.call(this, Zero, USDC("10000"));
const foo: GodModeErc20 = await deployGodModeErc20(this.signers.admin, "Foo", "FOO", BigNumber.from(18));
Expand All @@ -160,7 +160,7 @@ export function shouldBehaveLikeUniswapV2Call(): void {
});
});

context("when the underlying is in the pair contract", function () {
context("when the underlying is part of the UniswapV2Pair contract", function () {
context("when collateral is flash borrowed", function () {
it("reverts", async function () {
const { token0Amount, token1Amount } = await getTokenAmounts.call(this, WBTC("1"), Zero);
Expand All @@ -173,18 +173,17 @@ export function shouldBehaveLikeUniswapV2Call(): void {

context("when underlying is flash borrowed", function () {
const borrowAmount: BigNumber = hUSDC("10000");
const collateralAmount: BigNumber = Zero;
const collateralCeiling: BigNumber = WBTC("100");
const debtCeiling: BigNumber = hUSDC("1e6");
const liquidationIncentive: BigNumber = toBn("1.10");
const underlyingAmount: BigNumber = USDC("10000");
const swapCollateralAmount: BigNumber = Zero;
const swapUnderlyingAmount: BigNumber = USDC("10000");
const wbtcDepositAmount: BigNumber = WBTC("1");

let token0Amount: BigNumber;
let token1Amount: BigNumber;

beforeEach(async function () {
const tokenAmounts = await getTokenAmounts.call(this, collateralAmount, underlyingAmount);
const tokenAmounts = await getTokenAmounts.call(this, swapCollateralAmount, swapUnderlyingAmount);
token0Amount = tokenAmounts.token0Amount;
token1Amount = tokenAmounts.token1Amount;

Expand All @@ -197,7 +196,7 @@ export function shouldBehaveLikeUniswapV2Call(): void {
// Set the liquidation incentive.
await this.contracts.fintroller
.connect(this.signers.admin)
.setLiquidationIncentive(this.contracts.wbtc.address, liquidationIncentive);
.setLiquidationIncentive(this.contracts.wbtc.address, LIQUIDATION_INCENTIVES.default);

// Set the collateral ceiling.
await this.contracts.fintroller
Expand Down Expand Up @@ -238,44 +237,47 @@ export function shouldBehaveLikeUniswapV2Call(): void {
});

context("when the borrower has a liquidity shortfall", function () {
context("when the price given by the pair contract price is better than the oracle price", function () {
beforeEach(async function () {
// Set the WBTC price to $12.5k to make borrower's collateral ratio 125%.
await this.contracts.wbtcPriceFeed.setPrice(price("12500"));
context(
"when the price given by the UniswapV2Pair contract price is better than the oracle price",
function () {
beforeEach(async function () {
// Set the WBTC price to $12.5k to make borrower's collateral ratio 125%.
await this.contracts.wbtcPriceFeed.setPrice(price("12500"));

// Burn 1m USDC from the pair contract. This makes the pair contract price 1 WBTC ~ 10k USDC.
await reducePoolReserves.call(this, Zero, USDC("1e6"));
});
// Burn 1m USDC from the pair contract. This makes the pair contract price 1 WBTC ~ 10k USDC.
await reducePoolReserves.call(this, Zero, USDC("1e6"));
});

it("reverts", async function () {
const to: string = this.contracts.collateralFlashUniswapV2.address;
await expect(
this.contracts.uniswapV2Pair
.connect(this.signers.liquidator)
.swap(token0Amount, token1Amount, to, data),
).to.be.revertedWith(CollateralFlashUniswapV2Errors.InsufficientProfit);
});
});
it("reverts", async function () {
const to: string = this.contracts.collateralFlashUniswapV2.address;
await expect(
this.contracts.uniswapV2Pair
.connect(this.signers.liquidator)
.swap(token0Amount, token1Amount, to, data),
).to.be.revertedWith(CollateralFlashUniswapV2Errors.InsufficientProfit);
});
},
);

context("when the price given by the pair contract is the same as the oracle price", function () {
context("when the price given by the UniswapV2Pair contract is the same as the oracle price", function () {
let expectedProfitWbtcAmount: BigNumber;
let seizableWbtcAmount: BigNumber;

context("when the collateral ratio is lower than 110%", function () {
const repayHUsdcAmount: BigNumber = hUSDC("9090.909090909090909090");
const repayAmount: BigNumber = hUSDC("9090.909090909090909090");

beforeEach(async function () {
// Set the WBTC price to $10k to make the borrower's collateral ratio 100%.
await this.contracts.wbtcPriceFeed.setPrice(price("10000"));

// Calculate the amounts necessary for running the tests.
const calculatesAmounts = await getSeizableAndProfitCollateralAmounts.call(
const calculatedAmounts = await getSeizableAndProfitCollateralAmounts.call(
this,
repayHUsdcAmount,
underlyingAmount,
repayAmount,
swapUnderlyingAmount,
);
expectedProfitWbtcAmount = calculatesAmounts.expectedProfitWbtcAmount;
seizableWbtcAmount = calculatesAmounts.seizableWbtcAmount;
expectedProfitWbtcAmount = calculatedAmounts.expectedProfitWbtcAmount;
seizableWbtcAmount = calculatedAmounts.seizableWbtcAmount;
});

it("flash swaps USDC via and makes a WBTC profit", async function () {
Expand All @@ -290,7 +292,7 @@ export function shouldBehaveLikeUniswapV2Call(): void {
});

context("when the collateral ratio is lower than 150% but higher than 110%", function () {
const repayHUsdcAmount: BigNumber = hUSDC("10000");
const repayAmount: BigNumber = hUSDC("10000");

beforeEach(async function () {
// Set the WBTC price to $12.5k to make borrower's collateral ratio 125%.
Expand All @@ -300,16 +302,16 @@ export function shouldBehaveLikeUniswapV2Call(): void {
await reducePoolReserves.call(this, Zero, USDC("75e4"));

// Calculate the amounts necessary for running the tests.
const calculatesAmounts = await getSeizableAndProfitCollateralAmounts.call(
const calculatedAmounts = await getSeizableAndProfitCollateralAmounts.call(
this,
repayHUsdcAmount,
underlyingAmount,
repayAmount,
swapUnderlyingAmount,
);
expectedProfitWbtcAmount = calculatesAmounts.expectedProfitWbtcAmount;
seizableWbtcAmount = calculatesAmounts.seizableWbtcAmount;
expectedProfitWbtcAmount = calculatedAmounts.expectedProfitWbtcAmount;
seizableWbtcAmount = calculatedAmounts.seizableWbtcAmount;
});

context("new order of tokens in the pair", function () {
context("new order of tokens in the UniswapV2Pair contract", function () {
let localToken0Amount: BigNumber;
let localToken1Amount: BigNumber;

Expand All @@ -318,13 +320,13 @@ export function shouldBehaveLikeUniswapV2Call(): void {
if (token0 == this.contracts.wbtc.address) {
await this.contracts.uniswapV2Pair.__godMode_setToken0(this.contracts.usdc.address);
await this.contracts.uniswapV2Pair.__godMode_setToken1(this.contracts.wbtc.address);
localToken0Amount = underlyingAmount;
localToken1Amount = collateralAmount;
localToken0Amount = swapUnderlyingAmount;
localToken1Amount = swapCollateralAmount;
} else {
await this.contracts.uniswapV2Pair.__godMode_setToken0(this.contracts.wbtc.address);
await this.contracts.uniswapV2Pair.__godMode_setToken1(this.contracts.usdc.address);
localToken0Amount = collateralAmount;
localToken1Amount = underlyingAmount;
localToken0Amount = swapCollateralAmount;
localToken1Amount = swapUnderlyingAmount;
}
await this.contracts.uniswapV2Pair.sync();
});
Expand All @@ -340,7 +342,7 @@ export function shouldBehaveLikeUniswapV2Call(): void {
});
});

context("initial order of tokens in the pair", function () {
context("initial order of tokens in the UniswapV2Pair contract", function () {
it("flash swaps USDC via and makes a WBTC profit", async function () {
const to: string = this.contracts.collateralFlashUniswapV2.address;
const preWbtcBalance = await this.contracts.wbtc.balanceOf(this.signers.liquidator.address);
Expand All @@ -362,7 +364,7 @@ export function shouldBehaveLikeUniswapV2Call(): void {
this.signers.liquidator.address,
this.signers.borrower.address,
this.contracts.hToken.address,
underlyingAmount,
swapUnderlyingAmount,
seizableWbtcAmount,
expectedProfitWbtcAmount,
);
Expand Down
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