Implement automatic on-chain arbitrage (#833)

* WIP

* Do dependency injection of `max_iterations`

* Complete benchmarks

* Remove `println!`

* Clean up benchmarks

* Finish benchmarks

* Reduce size of minimum weight

* `cargo fmt`

* Fix clippy issues

* Change `Hasher` of arbitrage cache

* More clippy fixes

* Remove outdated TODO

* Change hasher of cache

* Remove `MIN_ARBITRAGE_WEIGHT`

* Correctly mimic buy/sell complete set ops

* Fix formatting

* Add `market_account` to `market-commons`

* Fix benchmark

* Fix benchmarks some more

* Add missing changelog

* Remove `market_account` from `prediction-markets`

* Update changelog

* Add a better solution for enforcing pool limit

* Revert hasher to `Twox64Concat`

* Update zrml/swaps/src/benchmarks.rs

Co-authored-by: Chralt <chralt.developer@gmail.com>

* Fix benchmarks

* Add comment explaining a test

* Use variable for the base asset

* Replace `is_err` with explicit `assert_eq`

* Replace `is_err` with explicit `assert_eq`

* Remove TODO

* Remove `iteration_count` parameter from benchmarks

* `cargo fmt`

* Fix `WeightInfo` invocation

* Fix clippy issues

* Update zrml/swaps/src/arbitrage.rs

Co-authored-by: Chralt <chralt.developer@gmail.com>

* correct review suggestion comment

* Default to min on low volume domains

* Fix doc string formatting

* Fix clippy errors

* Apply suggestions from code review

Co-authored-by: Harald Heckmann <mail@haraldheckmann.de>

* Add module docstrings

* Add missing docstrings

* Update `zrml_market_commons` mock

* Fix formatting

* Ensure that min balance is observed by arbitrage

Co-authored-by: Chralt <chralt.developer@gmail.com>
Co-authored-by: Chralt98 <chralt98@gmail.com>
Co-authored-by: Harald Heckmann <mail@haraldheckmann.de>

docs/changelog_for_devs.md

@@ -1,5 +1,14 @@
 # v0.3.7
 
+- Added on-chain arbitrage. See
+  [ZIP-1](https://hackmd.io/@1ypDLjlbQ_e2Gp_1EW7kkg/BksyTQc-o) for details. When
+  a pool is arbitraged, we emit one of the following events:
+  `ArbitrageMintSell(pool_id, amount)`, `ArbitrageBuyBurn(pool_id, amount)` or
+  `ArbitrageSkipped(pool_id)`. The latter can be safely ignored by the indexer.
+  The `amount` parameter signifies the amount of funds moved into or out of the
+  prize pool (mint-sell/buy-burn resp.) and the amount of full sets
+  minted/burned. Note that in addition to these events, the low-level
+  `tokens.Deposited` and `tokens.Transfer` events are also emitted.
 - Added new pallet: GlobalDisputes. Dispatchable calls are:
   - `add_vote_outcome` - Add voting outcome to a global dispute in exchange for
     a constant fee. Errors if the voting outcome already exists or if the global

runtime/common/src/lib.rs

@@ -902,6 +902,7 @@ macro_rules! impl_config_traits {
         impl zrml_market_commons::Config for Runtime {
             type Currency = Balances;
             type MarketId = MarketId;
+            type PredictionMarketsPalletId = PmPalletId;
             type Timestamp = Timestamp;
         }
 
@@ -1026,7 +1027,6 @@ macro_rules! impl_config_traits {
             type LiquidityMining = NoopLiquidityMining;
             // type LiquidityMining = LiquidityMining;
             type MarketCommons = MarketCommons;
-            type MarketId = MarketId;
             type MinAssets = MinAssets;
             type MaxAssets = MaxAssets;
             type MaxInRatio = MaxInRatio;

zrml/authorized/src/mock.rs

@@ -25,7 +25,9 @@ use sp_runtime::{
     traits::{BlakeTwo256, IdentityLookup},
 };
 use zeitgeist_primitives::{
-    constants::mock::{AuthorizedPalletId, BlockHashCount, MaxReserves, MinimumPeriod, BASE},
+    constants::mock::{
+        AuthorizedPalletId, BlockHashCount, MaxReserves, MinimumPeriod, PmPalletId, BASE,
+    },
     types::{
         AccountIdTest, Balance, BlockNumber, BlockTest, Hash, Index, MarketId, Moment,
         UncheckedExtrinsicTest,
@@ -106,6 +108,7 @@ impl pallet_balances::Config for Runtime {
 impl zrml_market_commons::Config for Runtime {
     type Currency = Balances;
     type MarketId = MarketId;
+    type PredictionMarketsPalletId = PmPalletId;
     type Timestamp = Timestamp;
 }
 

zrml/court/src/mock.rs

@@ -25,8 +25,8 @@ use sp_runtime::{
 };
 use zeitgeist_primitives::{
     constants::mock::{
-        BlockHashCount, CourtCaseDuration, CourtPalletId, MaxReserves, MinimumPeriod, StakeWeight,
-        BASE,
+        BlockHashCount, CourtCaseDuration, CourtPalletId, MaxReserves, MinimumPeriod, PmPalletId,
+        StakeWeight, BASE,
     },
     types::{
         AccountIdTest, Balance, BlockNumber, BlockTest, Hash, Index, MarketId, Moment,
@@ -114,6 +114,7 @@ impl pallet_randomness_collective_flip::Config for Runtime {}
 impl zrml_market_commons::Config for Runtime {
     type Currency = Balances;
     type MarketId = MarketId;
+    type PredictionMarketsPalletId = PmPalletId;
     type Timestamp = Timestamp;
 }
 

zrml/global-disputes/src/mock.rs

@@ -26,7 +26,7 @@ use sp_runtime::{
 use zeitgeist_primitives::{
     constants::mock::{
         BlockHashCount, GlobalDisputeLockId, GlobalDisputesPalletId, MaxReserves,
-        MinOutcomeVoteAmount, MinimumPeriod, RemoveKeysLimit, VotingOutcomeFee, BASE,
+        MinOutcomeVoteAmount, MinimumPeriod, PmPalletId, RemoveKeysLimit, VotingOutcomeFee, BASE,
     },
     types::{
         AccountIdTest, Balance, BlockNumber, BlockTest, Hash, Index, MarketId, Moment,
@@ -124,6 +124,7 @@ impl pallet_timestamp::Config for Runtime {
 impl zrml_market_commons::Config for Runtime {
     type Currency = Balances;
     type MarketId = MarketId;
+    type PredictionMarketsPalletId = PmPalletId;
     type Timestamp = Timestamp;
 }
 

zrml/liquidity-mining/src/mock.rs

@@ -29,7 +29,7 @@ use sp_runtime::{
 use zeitgeist_primitives::{
     constants::mock::{
         BlockHashCount, ExistentialDeposit, LiquidityMiningPalletId, MaxLocks, MaxReserves,
-        MinimumPeriod, BASE,
+        MinimumPeriod, PmPalletId, BASE,
     },
     types::{
         AccountIdTest, Balance, BlockNumber, BlockTest, Hash, Index, MarketId, Moment,
@@ -105,6 +105,7 @@ impl pallet_balances::Config for Runtime {
 impl zrml_market_commons::Config for Runtime {
     type Currency = Balances;
     type MarketId = MarketId;
+    type PredictionMarketsPalletId = PmPalletId;
     type Timestamp = Timestamp;
 }
 

zrml/market-commons/src/lib.rs

@@ -37,13 +37,16 @@ mod pallet {
         ensure,
         pallet_prelude::{StorageMap, StorageValue, ValueQuery},
         storage::PrefixIterator,
-        traits::{Hooks, NamedReservableCurrency, StorageVersion, Time},
-        Blake2_128Concat, Parameter,
+        traits::{Get, Hooks, NamedReservableCurrency, StorageVersion, Time},
+        Blake2_128Concat, PalletId, Parameter,
     };
     use parity_scale_codec::MaxEncodedLen;
     use sp_runtime::{
-        traits::{AtLeast32Bit, CheckedAdd, MaybeSerializeDeserialize, Member, Saturating},
-        ArithmeticError, DispatchError,
+        traits::{
+            AccountIdConversion, AtLeast32Bit, CheckedAdd, MaybeSerializeDeserialize, Member,
+            Saturating,
+        },
+        ArithmeticError, DispatchError, SaturatedConversion,
     };
     use zeitgeist_primitives::types::{Market, PoolId};
 
@@ -71,6 +74,11 @@ mod pallet {
             + Member
             + Parameter;
 
+        // TODO(#837): Remove when on-chain arbitrage is removed!
+        /// The prefix used to calculate the prize pool accounts.
+        #[pallet::constant]
+        type PredictionMarketsPalletId: Get<PalletId>;
+
         /// Time tracker
         type Timestamp: Time<Moment = u64>;
     }
@@ -182,6 +190,13 @@ mod pallet {
             Ok(())
         }
 
+        // TODO(#837): Remove when on-chain arbitrage is removed!
+        #[inline]
+        fn market_account(market_id: Self::MarketId) -> Self::AccountId {
+            T::PredictionMarketsPalletId::get()
+                .into_sub_account_truncating(market_id.saturated_into::<u128>())
+        }
+
         // MarketPool
 
         fn insert_market_pool(market_id: Self::MarketId, pool_id: PoolId) -> DispatchResult {

zrml/market-commons/src/market_commons_pallet_api.rs

@@ -71,6 +71,9 @@ pub trait MarketCommonsPalletApi {
     /// Removes a market from the storage.
     fn remove_market(market_id: &Self::MarketId) -> DispatchResult;
 
+    /// Return the account id of a market's prize pool.
+    fn market_account(market_id: Self::MarketId) -> Self::AccountId;
+
     // MarketPool
 
     /// Connects a pool identified by `pool_id` to a market identified by `market_id`.

zrml/market-commons/src/mock.rs

@@ -24,7 +24,7 @@ use sp_runtime::{
     traits::{BlakeTwo256, IdentityLookup},
 };
 use zeitgeist_primitives::{
-    constants::mock::{BlockHashCount, MaxReserves, MinimumPeriod},
+    constants::mock::{BlockHashCount, MaxReserves, MinimumPeriod, PmPalletId},
     types::{
         AccountIdTest, Balance, BlockNumber, BlockTest, Hash, Index, MarketId, Moment,
         UncheckedExtrinsicTest,
@@ -48,6 +48,7 @@ construct_runtime!(
 impl crate::Config for Runtime {
     type Currency = Balances;
     type MarketId = MarketId;
+    type PredictionMarketsPalletId = PmPalletId;
     type Timestamp = Timestamp;
 }
 

zrml/prediction-markets/src/lib.rs

@@ -51,7 +51,7 @@ mod pallet {
     use orml_traits::{MultiCurrency, NamedMultiReservableCurrency};
     use sp_arithmetic::per_things::{Perbill, Percent};
     use sp_runtime::{
-        traits::{AccountIdConversion, CheckedDiv, Saturating, Zero},
+        traits::{CheckedDiv, Saturating, Zero},
         DispatchError, DispatchResult, SaturatedConversion,
     };
     use zeitgeist_primitives::{
@@ -125,7 +125,7 @@ mod pallet {
             let market = T::MarketCommons::market(&market_id)?;
             ensure!(market.scoring_rule == ScoringRule::CPMM, Error::<T>::InvalidScoringRule);
             let market_status = market.status;
-            let market_account = Self::market_account(market_id);
+            let market_account = T::MarketCommons::market_account(market_id);
 
             // Slash outstanding bonds; see
             // https://github.com/zeitgeistpm/runtime-audit-1/issues/34#issuecomment-1120187097 for
@@ -637,7 +637,7 @@ mod pallet {
             }
 
             let market_id = T::MarketCommons::push_market(market.clone())?;
-            let market_account = Self::market_account(market_id);
+            let market_account = T::MarketCommons::market_account(market_id);
             let mut extra_weight = 0;
 
             if market.status == MarketStatus::CollectingSubsidy {
@@ -912,7 +912,7 @@ mod pallet {
             let sender = ensure_signed(origin)?;
 
             let market = T::MarketCommons::market(&market_id)?;
-            let market_account = Self::market_account(market_id);
+            let market_account = T::MarketCommons::market_account(market_id);
 
             ensure!(market.status == MarketStatus::Resolved, Error::<T>::MarketIsNotResolved);
 
@@ -1189,7 +1189,7 @@ mod pallet {
             ensure!(market.scoring_rule == ScoringRule::CPMM, Error::<T>::InvalidScoringRule);
             Self::ensure_market_is_active(&market)?;
 
-            let market_account = Self::market_account(market_id);
+            let market_account = T::MarketCommons::market_account(market_id);
             ensure!(
                 T::AssetManager::free_balance(Asset::Ztg, &market_account) >= amount,
                 "Market account does not have sufficient reserves.",
@@ -1870,11 +1870,6 @@ mod pallet {
             }
         }
 
-        #[inline]
-        pub(crate) fn market_account(market_id: MarketIdOf<T>) -> T::AccountId {
-            T::PalletId::get().into_sub_account_truncating(market_id.saturated_into::<u128>())
-        }
-
         fn insert_auto_close(market_id: &MarketIdOf<T>) -> Result<u32, DispatchError> {
             let market = T::MarketCommons::market(market_id)?;
 
@@ -2008,7 +2003,7 @@ mod pallet {
             ensure!(market.scoring_rule == ScoringRule::CPMM, Error::<T>::InvalidScoringRule);
             Self::ensure_market_is_active(&market)?;
 
-            let market_account = Self::market_account(market_id);
+            let market_account = T::MarketCommons::market_account(market_id);
             T::AssetManager::transfer(Asset::Ztg, &who, &market_account, amount)?;
 
             let assets = Self::outcome_assets(market_id, &market);
@@ -2729,7 +2724,7 @@ mod pallet {
             } else {
                 return Ok(T::DbWeight::get().reads(1));
             };
-            let market_account = Self::market_account(*market_id);
+            let market_account = T::MarketCommons::market_account(*market_id);
             let weight = T::Swaps::clean_up_pool(
                 &market.market_type,
                 pool_id,

zrml/prediction-markets/src/mock.rs

@@ -285,6 +285,7 @@ impl zrml_liquidity_mining::Config for Runtime {
 impl zrml_market_commons::Config for Runtime {
     type Currency = Balances;
     type MarketId = MarketId;
+    type PredictionMarketsPalletId = PmPalletId;
     type Timestamp = Timestamp;
 }
 
@@ -331,7 +332,6 @@ impl zrml_swaps::Config for Runtime {
     type FixedTypeS = <Runtime as zrml_rikiddo::Config>::FixedTypeS;
     type LiquidityMining = LiquidityMining;
     type MarketCommons = MarketCommons;
-    type MarketId = MarketId;
     type MaxAssets = MaxAssets;
     type MaxInRatio = MaxInRatio;
     type MaxOutRatio = MaxOutRatio;

zrml/prediction-markets/src/tests.rs

@@ -651,7 +651,7 @@ fn admin_destroy_market_correctly_cleans_up_accounts() {
         let market_id = 0;
         let pool_id = 0;
         let pool_account = Swaps::pool_account_id(&pool_id);
-        let market_account = PredictionMarkets::market_account(market_id);
+        let market_account = MarketCommons::market_account(market_id);
         let alice_ztg_before = AssetManager::free_balance(Asset::Ztg, &ALICE);
         assert_ok!(PredictionMarkets::admin_destroy_market(Origin::signed(SUDO), 0));
         assert_eq!(AssetManager::free_balance(Asset::CategoricalOutcome(0, 0), &pool_account), 0);
@@ -824,7 +824,7 @@ fn create_categorical_market_deposits_the_correct_event() {
         simple_create_categorical_market(MarketCreation::Permissionless, 1..2, ScoringRule::CPMM);
         let market_id = 0;
         let market = MarketCommons::market(&market_id).unwrap();
-        let market_account = PredictionMarkets::market_account(market_id);
+        let market_account = MarketCommons::market_account(market_id);
         System::assert_last_event(Event::MarketCreated(0, market_account, market).into());
     });
 }
@@ -836,7 +836,7 @@ fn create_scalar_market_deposits_the_correct_event() {
         simple_create_scalar_market(MarketCreation::Permissionless, 1..2, ScoringRule::CPMM);
         let market_id = 0;
         let market = MarketCommons::market(&market_id).unwrap();
-        let market_account = PredictionMarkets::market_account(market_id);
+        let market_account = MarketCommons::market_account(market_id);
         System::assert_last_event(Event::MarketCreated(0, market_account, market).into());
     });
 }
@@ -1530,7 +1530,7 @@ fn it_allows_to_buy_a_complete_set() {
         let bal = Balances::free_balance(&BOB);
         assert_eq!(bal, 1_000 * BASE - CENT);
 
-        let market_account = PredictionMarkets::market_account(0);
+        let market_account = MarketCommons::market_account(0);
         let market_bal = Balances::free_balance(market_account);
         assert_eq!(market_bal, CENT);
         System::assert_last_event(Event::BoughtCompleteSet(0, CENT, BOB).into());

zrml/simple-disputes/src/mock.rs

@@ -24,7 +24,9 @@ use sp_runtime::{
     traits::{BlakeTwo256, IdentityLookup},
 };
 use zeitgeist_primitives::{
-    constants::mock::{BlockHashCount, MaxReserves, MinimumPeriod, SimpleDisputesPalletId},
+    constants::mock::{
+        BlockHashCount, MaxReserves, MinimumPeriod, PmPalletId, SimpleDisputesPalletId,
+    },
     types::{
         AccountIdTest, Balance, BlockNumber, BlockTest, Hash, Index, MarketId, Moment,
         UncheckedExtrinsicTest,
@@ -94,6 +96,7 @@ impl pallet_balances::Config for Runtime {
 impl zrml_market_commons::Config for Runtime {
     type Currency = Balances;
     type MarketId = MarketId;
+    type PredictionMarketsPalletId = PmPalletId;
     type Timestamp = Timestamp;
 }