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Extend the trade calculation to support lossless mode #14

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Extend the trade calculation to support lossless mode #14

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7ea1285
Extend the trade calculation to support lossless mode
May 4, 2023
ba1389d
Merge branch 'main' of https://github.com/bancorprotocol/carbon-sdk i…
Aug 15, 2024
3c683ee
Remove unused input argument `forceLegacyTradeBySourceRange`
Aug 15, 2024
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2 changes: 1 addition & 1 deletion src/strategy-management/Toolkit.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -211,7 +211,7 @@ export class Toolkit {

const orders = await this._cache.getOrdersByPair(sourceToken, targetToken);
const maxSourceAmountWei = Object.values(orders).reduce(
(acc, order) => acc.add(getEncodedTradeSourceAmount(order.y, order)),
(acc, order) => acc.add(getEncodedTradeSourceAmount(order.y, order, false)),
BigNumber.from(0)
);
const decimals = await this._decimals.fetchDecimals(sourceToken);
Expand Down
67 changes: 39 additions & 28 deletions src/trade-matcher/match.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -18,27 +18,29 @@ import { sortByMaxRate, sortByMinRate } from './utils';

const rateBySourceAmount = (
sourceAmount: BigNumber,
order: EncodedOrder
order: EncodedOrder,
simulated: boolean
): Rate => {
let input = sourceAmount;
let output = tradeTargetAmount(input, order);
let output = tradeTargetAmount(input, order, simulated);
if (output.gt(order.y)) {
input = tradeSourceAmount(order.y, order);
output = tradeTargetAmount(input, order);
input = tradeSourceAmount(order.y, order, simulated);
output = tradeTargetAmount(input, order, simulated);
while (output.gt(order.y)) {
input = input.sub(1);
output = tradeTargetAmount(input, order);
output = tradeTargetAmount(input, order, simulated);
}
}
return { input, output };
};

const rateByTargetAmount = (
targetAmount: BigNumber,
order: EncodedOrder
order: EncodedOrder,
simulated: boolean
): Rate => {
const input = BigNumberMin(targetAmount, order.y);
const output = tradeSourceAmount(input, order);
const output = tradeSourceAmount(input, order, simulated);
return { input, output };
};

Expand All @@ -63,7 +65,7 @@ const equalTargetAmount = (order: EncodedOrder, limit: BigNumber) => {
};

const equalSourceAmount = (order: EncodedOrder, limit: BigNumber) => {
return tradeSourceAmount(equalTargetAmount(order, limit), order);
return tradeSourceAmount(equalTargetAmount(order, limit), order, false);
};

/**
Expand All @@ -79,13 +81,14 @@ const equalSourceAmount = (order: EncodedOrder, limit: BigNumber) => {
const sortedQuotes = (
amount: BigNumber,
ordersMap: OrdersMap,
trade: (amount: BigNumber, order: EncodedOrder) => Rate,
sort: (x: Rate, y: Rate) => number
trade: (amount: BigNumber, order: EncodedOrder, simulated: boolean) => Rate,
sort: (x: Rate, y: Rate) => number,
simulated: boolean
): Quote[] =>
Object.keys(ordersMap)
.map((id) => ({
id: BigNumber.from(id),
rate: trade(amount, ordersMap[id]),
rate: trade(amount, ordersMap[id], simulated),
}))
.sort((a, b) => sort(a.rate, b.rate));

Expand All @@ -102,7 +105,8 @@ const matchFast = (
ordersMap: OrdersMap,
quotes: Quote[],
filter: Filter,
trade: (amount: BigNumber, order: EncodedOrder) => Rate
trade: (amount: BigNumber, order: EncodedOrder, simulated: boolean) => Rate,
simulated: boolean
): MatchAction[] => {
const actions: MatchAction[] = [];

Expand All @@ -128,7 +132,7 @@ const matchFast = (
} /* if (amount.lt(rate.input)) */ else {
const adjustedRate: Rate = {
input: amount,
output: trade(amount, ordersMap[quote.id.toString()]).output,
output: trade(amount, ordersMap[quote.id.toString()], simulated).output,
};
if (filter(adjustedRate)) {
actions.push({
Expand Down Expand Up @@ -159,8 +163,9 @@ const matchBest = (
ordersMap: OrdersMap,
quotes: Quote[],
filter: Filter,
trade: (amount: BigNumber, order: EncodedOrder) => Rate,
equalize: (order: EncodedOrder, limit: BigNumber) => BigNumber
trade: (amount: BigNumber, order: EncodedOrder, simulated: boolean) => Rate,
equalize: (order: EncodedOrder, limit: BigNumber) => BigNumber,
simulated: boolean
): MatchAction[] => {
const order0: EncodedOrder = {
y: BigNumber.from(0),
Expand All @@ -181,7 +186,7 @@ const matchBest = (
limit = getLimit(orders[n]);
rates = orders
.slice(0, n)
.map((order) => trade(equalize(order, limit), order));
.map((order) => trade(equalize(order, limit), order, simulated));
total = rates.reduce((sum, rate) => sum.add(rate.input), BigNumber.from(0));
delta = total.sub(amount);
if (delta.eq(0)) {
Expand All @@ -194,7 +199,7 @@ const matchBest = (
limit = lo.add(hi).div(2);
rates = orders
.slice(0, n)
.map((order) => trade(equalize(order, limit), order));
.map((order) => trade(equalize(order, limit), order, simulated));
total = rates.reduce(
(sum, rate) => sum.add(rate.input),
BigNumber.from(0)
Expand All @@ -214,7 +219,7 @@ const matchBest = (

if (delta.gt(0)) {
for (let i = rates.length - 1; i >= 0; i--) {
const rate = trade(rates[i].input.sub(delta), orders[i]);
const rate = trade(rates[i].input.sub(delta), orders[i], simulated);
delta = delta.add(rate.input.sub(rates[i].input));
rates[i] = rate;
if (delta.lte(0)) {
Expand All @@ -223,7 +228,7 @@ const matchBest = (
}
} else if (delta.lt(0)) {
for (let i = 0; i <= rates.length - 1; i++) {
const rate = trade(rates[i].input.sub(delta), orders[i]);
const rate = trade(rates[i].input.sub(delta), orders[i], simulated);
delta = delta.add(rate.input.sub(rates[i].input));
if (delta.gt(0)) {
break;
Expand All @@ -246,14 +251,15 @@ const matchBy = (
ordersMap: OrdersMap,
matchTypes: MatchType[],
filter: Filter,
trade: (amount: BigNumber, order: EncodedOrder) => Rate,
trade: (amount: BigNumber, order: EncodedOrder, simulated: boolean) => Rate,
sort: (x: Rate, y: Rate) => number,
equalize: (order: EncodedOrder, limit: BigNumber) => BigNumber
equalize: (order: EncodedOrder, limit: BigNumber) => BigNumber,
simulated: boolean
): MatchOptions => {
const quotes = sortedQuotes(amount, ordersMap, trade, sort);
const quotes = sortedQuotes(amount, ordersMap, trade, sort, simulated);
const res: MatchOptions = {};
if (matchTypes.includes(MatchType.Fast)) {
res[MatchType.Fast] = matchFast(amount, ordersMap, quotes, filter, trade);
res[MatchType.Fast] = matchFast(amount, ordersMap, quotes, filter, trade, simulated);
}
if (matchTypes.includes(MatchType.Best)) {
res[MatchType.Best] = matchBest(
Expand All @@ -262,7 +268,8 @@ const matchBy = (
quotes,
filter,
trade,
equalize
equalize,
simulated
);
}
return res;
Expand All @@ -275,7 +282,8 @@ export const matchBySourceAmount = (
amount: BigNumber,
ordersMap: OrdersMap,
matchTypes: MatchType[],
filter: Filter = defaultFilter
filter: Filter = defaultFilter,
simulated: boolean = false
): MatchOptions => {
return matchBy(
amount,
Expand All @@ -284,15 +292,17 @@ export const matchBySourceAmount = (
filter,
rateBySourceAmount,
sortByMinRate,
equalSourceAmount
equalSourceAmount,
simulated
);
};

export const matchByTargetAmount = (
amount: BigNumber,
ordersMap: OrdersMap,
matchTypes: MatchType[],
filter: Filter = defaultFilter
filter: Filter = defaultFilter,
simulated: boolean = false
): MatchOptions => {
return matchBy(
amount,
Expand All @@ -301,6 +311,7 @@ export const matchByTargetAmount = (
filter,
rateByTargetAmount,
sortByMaxRate,
equalTargetAmount
equalTargetAmount,
simulated
);
};
34 changes: 28 additions & 6 deletions src/trade-matcher/trade.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -33,8 +33,18 @@ const getEncodedTradeBySourceAmount = (
y: BigNumber,
z: BigNumber,
A: BigNumber,
B: BigNumber
B: BigNumber,
simulated: boolean
): BigNumber => {
if (simulated) {
const temp1 = z.mul(C);
const temp2 = y.mul(A).add(z.mul(B));
const temp3 = temp2.mul(x);
const temp4 = temp1.mul(temp1);
const temp5 = temp3.mul(A);
return mulDivF(temp2, temp3, temp4.add(temp5));
}

if (A.eq(0)) {
return mulDivF(x, mul(B, B), mul(C, C));
}
Expand Down Expand Up @@ -62,8 +72,18 @@ const getEncodedTradeByTargetAmount = (
y: BigNumber,
z: BigNumber,
A: BigNumber,
B: BigNumber
B: BigNumber,
simulated: boolean
): BigNumber => {
if (simulated) {
const temp1 = z.mul(C);
const temp2 = y.mul(A).add(z.mul(B));
const temp3 = temp2.sub(x.mul(A));
const temp4 = temp1.mul(temp1);
const temp5 = temp2.mul(temp3);
return mulDivC(x, temp4, temp5);
}

if (A.eq(0)) {
return mulDivC(x, mul(C, C), mul(B, B));
}
Expand Down Expand Up @@ -115,31 +135,33 @@ const getDecodedTradeByTargetAmount = (

export const getEncodedTradeTargetAmount = (
amount: BigNumber,
order: EncodedOrder
order: EncodedOrder,
simulated: boolean
): BigNumber => {
const x = amount;
const y = order.y;
const z = order.z;
const A = decodeFloat(order.A);
const B = decodeFloat(order.B);
try {
return uint128(getEncodedTradeBySourceAmount(x, y, z, A, B));
return uint128(getEncodedTradeBySourceAmount(x, y, z, A, B, simulated));
} catch (error) {
return BigNumber.from(0); /* rate = zero / amount = zero */
}
};

export const getEncodedTradeSourceAmount = (
amount: BigNumber,
order: EncodedOrder
order: EncodedOrder,
simulated: boolean
): BigNumber => {
const x = amount;
const y = order.y;
const z = order.z;
const A = decodeFloat(order.A);
const B = decodeFloat(order.B);
try {
return uint128(getEncodedTradeByTargetAmount(x, y, z, A, B));
return uint128(getEncodedTradeByTargetAmount(x, y, z, A, B, simulated));
} catch (error) {
return MAX_UINT128; /* rate = amount / infinity = zero */
}
Expand Down
10 changes: 6 additions & 4 deletions tests/match.spec.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -24,14 +24,15 @@ import BigPoolMatch from './data/BigPoolMatch.json' assert { type: 'json' };
import EthUsdcMatch from './data/EthUsdcMatch.json' assert { type: 'json' };
import SpecialMatch from './data/SpecialMatch.json' assert { type: 'json' };

type TradeMethod = (amount: BigNumber, order: EncodedOrder) => BigNumber;
type TradeMethod = (amount: BigNumber, order: EncodedOrder, simulated: boolean) => BigNumber;
type MatchMethod = 'matchBySourceAmount' | 'matchByTargetAmount';

type MatchFunction = (
amount: BigNumber,
ordersMap: OrdersMap,
matchTypes: MatchType[],
filter: Filter
filter: Filter,
simulated: boolean
) => MatchOptions;

const methods: {
Expand Down Expand Up @@ -122,7 +123,8 @@ describe('Match', () => {
BigNumber.from(test.amount),
ordersMap,
Object.keys(test.actions) as MatchType[],
filter
filter,
false
);
for (const matchType in actions) {
expect(actions[matchType as MatchType]!.length).to.equal(
Expand All @@ -145,7 +147,7 @@ describe('Match', () => {
).to.be.true;
expect(
action.output.eq(
trade(action.input, ordersMap[action.id.toNumber()])
trade(action.input, ordersMap[action.id.toNumber()], false)
)
).to.be.true;
}
Expand Down