Merge pull request #3158 from Sifchain/feature/swap_formula

Feature/swap formula

app/setup_handlers.go

@@ -4,11 +4,10 @@ import (
 	storetypes "github.com/cosmos/cosmos-sdk/store/types"
 	sdk "github.com/cosmos/cosmos-sdk/types"
 	m "github.com/cosmos/cosmos-sdk/types/module"
-	"github.com/cosmos/cosmos-sdk/x/authz"
 	"github.com/cosmos/cosmos-sdk/x/upgrade/types"
 )
 
-const releaseVersion = "0.16.0"
+const releaseVersion = "0.17.0"
 
 func SetupHandlers(app *SifchainApp) {
 	app.UpgradeKeeper.SetUpgradeHandler(releaseVersion, func(ctx sdk.Context, plan types.Plan, vm m.VersionMap) (m.VersionMap, error) {
@@ -21,9 +20,7 @@ func SetupHandlers(app *SifchainApp) {
 		panic(err)
 	}
 	if upgradeInfo.Name == releaseVersion && !app.UpgradeKeeper.IsSkipHeight(upgradeInfo.Height) {
-		storeUpgrades := storetypes.StoreUpgrades{
-			Added: []string{authz.ModuleName},
-		}
+		storeUpgrades := storetypes.StoreUpgrades{}
 		// Use upgrade store loader for the initial loading of all stores when app starts,
 		// it checks if version == upgradeHeight and applies store upgrades before loading the stores,
 		// so that new stores start with the correct version (the current height of chain),

docs/proposals/fixed_rate_swap_fees.md

@@ -0,0 +1,77 @@
+# Fixed Rate Swap Fees
+
+Sifchain is switching from a slip-based fee model to a fixed-rate fee model. This requires
+the swap formula and the liquidity fee formula within sifnode to be updated.
+
+## Fixed-rate formuals
+
+Due to ratio shifting, the updated swap and liquidity fee formulas depend on whether the swap is
+from Rowan or to Rowan.
+
+In the following formulas:
+
+```
+X - Input balance
+Y - Output balance
+x - Input amount
+y - Output amount
+r - Current ratio shifting running rate
+f - Swap fee rate. This must satisfy `0 =< f =< 1`
+```
+
+### Swapping to Rowan:
+
+```
+y = (1 - f) * x * Y / ((x + X)(1 + r))
+fee = f * x * Y / ((x + X)(1 + r))
+```
+
+### Swapping from Rowan:
+
+```
+y = (1 - f) * (1 + r) * x * Y / (x + X)
+fee = f * (1 + r) * x * Y / (x + X)
+```
+
+## Changing the swap rate fee
+
+The swap fee rate, `f`, in the above formulas must be updatable with a regular Cosmos transaction
+however the transaction must be signed by the PMTP/rewards admin key. The swap rate fee must
+satisfy `0 =< f =< 1` otherwise the transaction is rejected.
+
+## Events
+
+There are no new events or updates to existing events.
+
+## CLI
+
+CLI options for setting and querying the swap fee rate must be implemented.
+
+### Setting
+
+The CLI should validate that the value of the swap rate fee satisfies `0 =< f =< 1`
+
+```bash
+sifnoded tx clp set-swap-fee-rate \
+  --from sif \
+  --swapFeeRate 0.01 \
+  --keyring-backend test \
+  --fees 100000000000000000rowan \
+  --chain-id localnet \
+  -y
+```
+
+### Querying
+
+```bash
+sifnoded q clp swap-fee-rate --output json
+```
+
+```json
+{
+	"swap_fee_rate": "0.010000000000000000"
+}
+```
+## References
+
+Background on the use of fixed rate fee swap formula for asymmetric adds https://hackmd.io/NjvaZY1qQiS17s_uEgZmTw?both

docs/tutorials/swap-fee-rate.md

@@ -0,0 +1,279 @@
+# Fixed Rate Fee Model
+
+The swap formula uses the fixed rate fee model to calculate swap fees and consequently
+the amount of received token.
+
+## Formulas
+
+Due to ratio shifting the formula depends on whether the swap is from Rowan or to Rowan.
+
+In the following formulas:
+
+```
+X - Input balance
+Y - Output balance
+x - Input amount
+y - Output amount
+r - Current ratio shifting running rate
+f - Swap fee rate
+```
+
+### Swapping to Rowan:
+
+```
+y = (1 - f) * x * Y / ((x + X)(1 + r))
+fee = f * x * Y / ((x + X)(1 + r))
+```
+### Swapping rom Rowan:
+
+```
+y = (1 - f) * (1 + r) * x * Y / (x + X)
+fee = f * (1 + r) * x * Y / (x + X)
+```
+
+## Examples
+
+1. Start and run the chain:
+
+```bash
+make init
+make run
+```
+
+2. Create a pool:
+
+```bash
+sifnoded tx clp create-pool \
+  --from sif \
+  --keyring-backend test \
+  --symbol ceth \
+  --nativeAmount 2000000000000000000 \
+  --externalAmount 2000000000000000000 \
+  --fees 100000000000000000rowan \
+  --chain-id localnet \
+  -y
+```
+
+3. Confirm pool has been created:
+
+```bash
+sifnoded q clp pools --output json | jq
+```
+
+returns:
+
+```json
+{
+	"pools": [{
+		"external_asset": {
+			"symbol": "ceth"
+		},
+		"native_asset_balance": "2000000000000000000",
+		"external_asset_balance": "2000000000000000000",
+		"pool_units": "2000000000000000000",
+		"swap_price_native": "1.000000000000000000",
+		"swap_price_external": "1.000000000000000000",
+		"reward_period_native_distributed": "0"
+	}],
+	"clp_module_address": "sif1pjm228rsgwqf23arkx7lm9ypkyma7mzr3y2n85",
+	"height": "50",
+	"pagination": {
+		"next_key": null,
+		"total": "0"
+	}
+}
+```
+
+4. Query the current swap fee rate:
+
+```bash
+sifnoded q clp swap-fee-rate --output json | jq
+```
+
+```json
+{
+	"swap_fee_rate": "0.003000000000000000"
+}
+```
+
+5. Do a swap:
+
+```
+sifnoded tx clp swap \
+  --from sif \
+  --keyring-backend test \
+  --sentSymbol ceth \
+  --receivedSymbol rowan \
+  --sentAmount 200000000000000 \
+  --minReceivingAmount 0 \
+  --fees 100000000000000000rowan \
+  --chain-id localnet \
+  -y
+```
+
+This will return a tx hash.
+
+6. Use the tx hash to get the swap amount and liquidity fee:
+
+```bash
+TXHASH=1AB7D2B0C4EDC2B18893334E60BFCF3C3F9587314082D314CA641D895F216E62
+sifnoded q tx $TXHASH --output json | jq '.logs[0].events[] | select(.type=="swap_successful").attributes[] | select(.key=="swap_amount" or .key=="liquidity_fee")'
+```
+
+which returns:
+
+```json
+{
+  "key": "swap_amount",
+  "value": "199380061993800"
+}
+{
+  "key": "liquidity_fee",
+  "value": "599940005999"
+}
+```
+
+The swap amount is as expected:
+```
+y = (1 - f) * x * Y  / ((x + X)(1 + r))
+  = (1 - 0.003) * 200000000000000 * 2000000000000000000 / ((200000000000000 + 2000000000000000000) * (1 + 0))
+  = 199380061993800
+```
+
+And the swap fee is as expected
+```
+fee = f * x * Y  / ((x + X)(1 + r))
+    = 0.003 * 200000000000000 * 2000000000000000000 / ((200000000000000 + 2000000000000000000) * (1 + 0))
+    = 599940005999
+```
+
+7. Check the pool balances
+
+```bash
+sifnoded q clp pools --output json | jq
+```
+
+```json
+ {
+ 	"native_asset_balance": "1999800619938006200",
+ 	"external_asset_balance": "2000200000000000000"
+ }
+```
+
+These are as expected:
+```
+native_asset_balance = init_native - y
+                     = 2000000000000000000 - 199380061993800
+                     = 1999800619938006200
+                     
+
+external_asset_balance = init_external + x
+                       = 2000000000000000000 + 200000000000000
+                       = 2000200000000000000
+```
+8. Change the swap fee rate to 0.01
+
+```bash
+sifnoded tx clp set-swap-fee-rate \
+  --from sif \
+  --swapFeeRate 0.01 \
+  --keyring-backend test \
+  --fees 100000000000000000rowan \
+  --chain-id localnet \
+  -y
+```
+
+Confirm the new rate:
+
+```bash
+sifnoded q clp swap-fee-rate --output json | jq
+```
+
+```json
+{
+	"swap_fee_rate": "0.010000000000000000"
+}
+```
+
+9. Do another swap, this time the other way around (rowan to ceth):
+
+```
+sifnoded tx clp swap \
+  --from sif \
+  --keyring-backend test \
+  --sentSymbol rowan \
+  --receivedSymbol ceth \
+  --sentAmount 200000000000000 \
+  --minReceivingAmount 0 \
+  --fees 100000000000000000rowan \
+  --chain-id localnet \
+  -y
+```
+
+10. Repeat steps 6 & 7, confirm the results:
+
+```json
+{
+  "key": "swap_amount",
+  "value": "198019738620019"
+}
+{
+  "key": "liquidity_fee",
+  "value": "2000199380000"
+}
+```
+
+```json
+{
+  "native_asset_balance": "2000000619938006200",
+  "external_asset_balance": "2000001980261379981"
+}
+```
+
+Which are as expected:
+```
+y = (1 - f) * (1 + r) * x * Y / (x + X)
+  = (1 - 0.01) * (1 + 0) * 200000000000000 * 2000200000000000000 / (200000000000000 + 1999800619938006200)
+  = 198019738620019
+
+fee = f * (1 + r) * x * Y / (x + X)
+    = 0.01 * (1 + 0) * 200000000000000 * 2000200000000000000 / ((200000000000000 + 1999800619938006200))
+    = 2000199380000
+
+native_asset_balance = init_native + x
+                     = 1999800619938006200 + 200000000000000
+                     = 2000000619938006200
+
+external_asset_balance = init_external - y
+                       = 2000200000000000000 - 198019738620019
+                       = 2000001980261379981
+```
+10. Try to change swap fee > 1. This should fail:
+
+```
+sifnoded tx clp set-swap-fee-rate \
+  --from sif \
+  --swapFeeRate 1.00001 \
+  --keyring-backend test \
+  --fees 100000000000000000rowan \
+  --chain-id localnet \
+  -y
+```
+
+Which returns:
+
+`Error: swap rate fee must be less than or equal to one`
+
+11. Try to change swap fee < 0. This should fail:
+
+```
+sifnoded tx clp set-swap-fee-rate \
+  --from sif \
+  --swapFeeRate -0.0001 \
+  --keyring-backend test \
+  --fees 100000000000000000rowan \
+  --chain-id localnet \
+  -y
+```
+
+`Error: swap rate fee must be greater than or equal to zero`

proto/sifnode/clp/v1/params.proto

@@ -94,4 +94,11 @@ message ProviderDistributionPeriod {
 
 message ProviderDistributionParams {
   repeated ProviderDistributionPeriod distribution_periods = 1;
+}
+
+message SwapFeeRate {
+    string swap_fee_rate = 1 [
+        (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
+        (gogoproto.nullable) = false
+    ];
 }