fixed spread calculation

package.json

@@ -2,7 +2,7 @@
   "name": "@bancor/carbon-sdk",
   "type": "module",
   "source": "src/index.ts",
-  "version": "0.0.86-DEV",
+  "version": "0.0.87-DEV",
   "description": "The SDK is a READ-ONLY tool, intended to facilitate working with Carbon contracts. It's a convenient wrapper around our matching algorithm, allowing programs and users get a ready to use transaction data that will allow them to manage strategies and fulfill trades",
   "main": "dist/index.js",
   "module": "dist/index.js",

src/strategy-management/utils.ts

@@ -323,34 +323,28 @@ export function calculateOverlappingPriceRanges(
   buyPriceMarginal: Decimal;
   sellPriceLow: Decimal;
   sellPriceMarginal: Decimal;
-  spread: Decimal;
 } {
-  const totalPriceRange = sellPriceHigh.minus(buyPriceLow);
-
-  const spread = totalPriceRange.mul(spreadPercentage).div(100);
-
-  const buyPriceHigh = sellPriceHigh.minus(spread);
-
-  const sellPriceLow = buyPriceLow.plus(spread);
+  const spreadFactor = spreadPercentage.plus(1);
+  const buyPriceHigh = sellPriceHigh.div(spreadFactor);
+  const sellPriceLow = buyPriceLow.mul(spreadFactor);
 
   // buy marginal price is the market price minus 0.5 spread. But it can never be lower than buyPriceLow
   const buyPriceMarginal = Decimal.max(
     buyPriceLow,
-    marketPrice.minus(spread.div(2))
+    marketPrice.div(spreadFactor.sqrt())
   );
 
   // sell marginal price is the market price plus 0.5 spread. But ir can never be higher than sellPriceHigh
   const sellPriceMarginal = Decimal.min(
     sellPriceHigh,
-    marketPrice.plus(spread.div(2))
+    marketPrice.mul(spreadFactor.sqrt())
   );
 
   return {
     buyPriceHigh,
     buyPriceMarginal,
     sellPriceLow,
     sellPriceMarginal,
-    spread,
   };
 }
 
@@ -364,25 +358,26 @@ export function calculateOverlappingSellBudget(
   // zero buy budget means zero sell budget
   if (buyBudget.isZero()) return new Decimal(0);
 
-  const { buyPriceHigh, spread } = calculateOverlappingPriceRanges(
-    buyPriceLow,
-    sellPriceHigh,
-    marketPrice,
-    spreadPercentage
-  );
+  const { buyPriceHigh, sellPriceMarginal, buyPriceMarginal } =
+    calculateOverlappingPriceRanges(
+      buyPriceLow,
+      sellPriceHigh,
+      marketPrice,
+      spreadPercentage
+    );
 
   // if buy range takes the entire range then there's zero sell budget
-  if (marketPrice.minus(spread.div(2)).gte(buyPriceHigh)) return new Decimal(0);
+  if (sellPriceMarginal.gte(sellPriceHigh)) return new Decimal(0);
 
   // if buy range is zero there's no point to this call
-  if (marketPrice.minus(spread.div(2)).lte(buyPriceLow)) {
+  if (buyPriceMarginal.lte(buyPriceLow)) {
     throw new Error(
       'calculateOverlappingSellBudget called with zero buy range and non zero buy budget'
     );
   }
 
   const buyPriceRange = buyPriceHigh.minus(buyPriceLow);
-  const buyLowRange = marketPrice.minus(buyPriceLow).minus(spread.div(2));
+  const buyLowRange = buyPriceMarginal.minus(buyPriceLow);
   const buyLowBudgetRatio = buyLowRange.div(buyPriceRange);
   const buyOrderYint = new Decimal(buyBudget).div(buyLowBudgetRatio);
   const geoMeanOfBuyRange = buyPriceLow.mul(buyPriceHigh).sqrt();
@@ -403,25 +398,26 @@ export function calculateOverlappingBuyBudget(
   // zero sell budget means zero buy budget
   if (sellBudget.isZero()) return new Decimal(0);
 
-  const { sellPriceLow, spread } = calculateOverlappingPriceRanges(
-    buyPriceLow,
-    sellPriceHigh,
-    marketPrice,
-    spreadPercentage
-  );
+  const { sellPriceLow, sellPriceMarginal, buyPriceMarginal } =
+    calculateOverlappingPriceRanges(
+      buyPriceLow,
+      sellPriceHigh,
+      marketPrice,
+      spreadPercentage
+    );
 
   // if sell range takes the entire range then there's zero buy budget
-  if (marketPrice.plus(spread.div(2)).lte(sellPriceLow)) return new Decimal(0);
+  if (buyPriceMarginal.lte(buyPriceLow)) return new Decimal(0);
 
   // if sell range is zero there's no point to this call
-  if (marketPrice.plus(spread.div(2)).gte(sellPriceHigh)) {
+  if (sellPriceMarginal.gte(sellPriceHigh)) {
     throw new Error(
       'calculateOverlappingBuyBudget called with zero sell range and non zero sell budget'
     );
   }
 
   const sellPriceRange = sellPriceHigh.minus(sellPriceLow);
-  const sellHighRange = sellPriceHigh.minus(marketPrice).minus(spread.div(2));
+  const sellHighRange = sellPriceHigh.minus(sellPriceMarginal);
   const sellHighBudgetRatio = sellHighRange.div(sellPriceRange);
   const sellOrderYint = new Decimal(sellBudget).div(sellHighBudgetRatio);
   const geoMeanOfSellRange = sellPriceHigh.mul(sellPriceLow).sqrt();

tests/toolkit.spec.ts

@@ -105,14 +105,14 @@ describe('Toolkit', () => {
         'quoteToken',
         '1500',
         '2000',
-        '1600',
-        '0.1'
+        '1845',
+        '0.01'
       );
       expect(result).to.deep.equal({
-        buyPriceHigh: '1999.5',
-        buyPriceMarginal: '1599.75',
-        sellPriceLow: '1500.5',
-        sellPriceMarginal: '1600.25',
+        buyPriceHigh: '1980.198019801980198019',
+        buyPriceMarginal: '1835.843615937429955302',
+        sellPriceLow: '1515',
+        sellPriceMarginal: '1854.202052096804254855',
       });
     });
     it('should calculate strategy sell budget', async () => {
@@ -121,23 +121,23 @@ describe('Toolkit', () => {
         'baseToken',
         '1500',
         '2000',
-        '1600',
-        '0.1',
+        '1845',
+        '0.01',
         '100'
       );
-      expect(result).to.equal('0.231403132822275197');
+      expect(result).to.equal('0.024939801923642185');
     });
     it('should calculate strategy buy budget', async () => {
       const toolkit = new Toolkit(apiMock, cacheMock, () => 6);
       const result = await toolkit.calculateOverlappingStrategyBuyBudget(
         'quoteToken',
         '1500',
         '2000',
-        '1600',
-        '0.1',
-        '0.231403132822275197'
+        '1845',
+        '0.01',
+        '0.024939801923642185'
       );
-      expect(result).to.equal('100.029169');
+      expect(result).to.equal('100.999999');
     });
   });
 

tests/utils.spec.ts

@@ -25,30 +25,20 @@ describe('utils', () => {
         quoteTokenDecimals: 6,
         buyPriceLow: new Decimal('1500'),
         sellPriceHigh: new Decimal('2000'),
-        marketPrice: new Decimal('1600'),
-        spreadPercentage: new Decimal('0.1'),
-        spread: new Decimal('0.5'),
+        marketPrice: new Decimal('1845'),
+        spreadPercentage: new Decimal('0.01'),
         buyBudget: new Decimal('100'),
-        buyPriceHigh: new Decimal('1999.5'),
-        sellPriceLow: new Decimal('1500.5'),
-        buyPriceMarginal: new Decimal('1599.75'),
-        sellPriceMarginal: new Decimal('1600.25'),
-        sellBudget: new Decimal('0.231403132822275197'),
-      },
-      {
-        baseTokenDecimals: 18,
-        quoteTokenDecimals: 6,
-        buyPriceLow: new Decimal('0.005'),
-        sellPriceHigh: new Decimal('0.03'),
-        marketPrice: new Decimal('0.007241'),
-        spreadPercentage: new Decimal('0.1'),
-        spread: new Decimal('0.000025'),
-        buyBudget: new Decimal('3090.190579'),
-        buyPriceHigh: new Decimal('0.029975'),
-        sellPriceLow: new Decimal('0.005025'),
-        buyPriceMarginal: new Decimal('0.0072285'),
-        sellPriceMarginal: new Decimal('0.0072535'),
-        sellBudget: new Decimal('2576455.281630354877824211'),
+        buyPriceHigh: new Decimal(
+          '1980.19801980198019801980198019801980198019801980198019801980198019801980198019801980198019801980198'
+        ),
+        sellPriceLow: new Decimal('1515'),
+        buyPriceMarginal: new Decimal(
+          '1835.843615937429955302430075647665154941937455663234267436323585007036269526077757760470083423519019'
+        ),
+        sellPriceMarginal: new Decimal(
+          '1854.202052096804254855454376404141806491356830219866610110686820857106632221338535338074784257754209'
+        ),
+        sellBudget: new Decimal('0.024939801923642185'),
       },
     ];
 
@@ -60,7 +50,6 @@ describe('utils', () => {
         sellPriceHigh,
         marketPrice,
         spreadPercentage,
-        spread,
         buyBudget,
         buyPriceHigh,
         sellPriceLow,
@@ -92,7 +81,6 @@ describe('utils', () => {
           expect(prices.sellPriceMarginal.toString()).to.equal(
             sellPriceMarginal.toString()
           );
-          expect(prices.spread.toString()).to.equal(spread.toString());
 
           const sellRes = calculateOverlappingSellBudget(
             buyPriceLow,