From 3393a88fa04af90827e9ac1c1736634a31b0a116 Mon Sep 17 00:00:00 2001 From: Dev Ojha Date: Wed, 21 Dec 2022 14:52:15 -0600 Subject: [PATCH] Move osmomath into its own go.mod (#3771) * Move osmomath into its own go.mod * Fix go mods * fix osmomath test build * Tryfix e2e test * Try removing osmomath from the copy line? * Add osmomath to first copy * Try another layer * Make build work off of tagged releases * Switch prod and E2E builds to ignore go work * Fix merge conflict * Add root dir to go work * Fix conflict (cherry picked from commit 079702ea6170646d77568e72836daa6d6d7d9d72) # Conflicts: # go.mod # go.sum # osmomath/decimal_test.go # osmomath/exp2_test.go # x/gamm/keeper/pool_service.go # x/gamm/pool-models/stableswap/pool_test.go # x/twap/logic.go # x/twap/strategy.go # x/twap/strategy_test.go --- Makefile | 2 +- app/apptesting/gamm.go | 2 +- go.mod | 5 + go.sum | 7 + go.work | 4 + go.work.sum | 45 + osmomath/decimal_test.go | 124 ++- osmomath/exp2_test.go | 300 +++++++ osmomath/go.mod | 89 ++ osmomath/go.sum | 783 ++++++++++++++++++ x/gamm/keeper/pool_service.go | 4 + x/gamm/pool-models/balancer/amm.go | 2 +- x/gamm/pool-models/balancer/pool_test.go | 2 +- x/gamm/pool-models/balancer/util_test.go | 2 +- x/gamm/pool-models/internal/cfmm_common/lp.go | 2 +- .../internal/test_helpers/test_helpers.go | 2 +- x/gamm/pool-models/stableswap/amm.go | 2 +- .../pool-models/stableswap/amm_bench_test.go | 2 +- x/gamm/pool-models/stableswap/amm_test.go | 2 +- x/gamm/pool-models/stableswap/pool.go | 2 +- x/gamm/pool-models/stableswap/pool_test.go | 7 +- x/twap/logic.go | 4 + x/twap/logic_test.go | 1 + x/twap/strategy.go | 59 ++ x/twap/strategy_test.go | 323 ++++++++ 25 files changed, 1761 insertions(+), 16 deletions(-) create mode 100644 go.work create mode 100644 go.work.sum create mode 100644 osmomath/exp2_test.go create mode 100644 osmomath/go.mod create mode 100644 osmomath/go.sum create mode 100644 x/twap/strategy.go create mode 100644 x/twap/strategy_test.go diff --git a/Makefile b/Makefile index 8ded27938a7..198c5b5c6af 100644 --- a/Makefile +++ b/Makefile @@ -99,7 +99,7 @@ BUILD_TARGETS := build install build: BUILD_ARGS=-o $(BUILDDIR)/ $(BUILD_TARGETS): check_version go.sum $(BUILDDIR)/ - go $@ -mod=readonly $(BUILD_FLAGS) $(BUILD_ARGS) ./... + GOWORK=off go $@ -mod=readonly $(BUILD_FLAGS) $(BUILD_ARGS) ./... $(BUILDDIR)/: mkdir -p $(BUILDDIR)/ diff --git a/app/apptesting/gamm.go b/app/apptesting/gamm.go index 50352939515..e54bffcd119 100644 --- a/app/apptesting/gamm.go +++ b/app/apptesting/gamm.go @@ -3,7 +3,7 @@ package apptesting import ( sdk "github.com/cosmos/cosmos-sdk/types" - "github.com/osmosis-labs/osmosis/v13/osmomath" + "github.com/osmosis-labs/osmosis/osmomath" gammkeeper "github.com/osmosis-labs/osmosis/v13/x/gamm/keeper" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/balancer" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/stableswap" diff --git a/go.mod b/go.mod index 6f80f305967..5189e7ba7ac 100644 --- a/go.mod +++ b/go.mod @@ -17,7 +17,12 @@ require ( github.com/grpc-ecosystem/grpc-gateway v1.16.0 github.com/mattn/go-sqlite3 v1.14.16 github.com/ory/dockertest/v3 v3.9.1 +<<<<<<< HEAD github.com/osmosis-labs/go-mutesting v0.0.0-20220811235203-65a53b4ea8e3 +======= + github.com/osmosis-labs/go-mutesting v0.0.0-20221208041716-b43bcd97b3b3 + github.com/osmosis-labs/osmosis/osmomath v0.0.1 +>>>>>>> 079702ea (Move osmomath into its own go.mod (#3771)) github.com/pkg/errors v0.9.1 github.com/rakyll/statik v0.1.7 github.com/spf13/cast v1.5.0 diff --git a/go.sum b/go.sum index ade602f7131..1ab08c7f1c5 100644 --- a/go.sum +++ b/go.sum @@ -848,8 +848,15 @@ github.com/ory/dockertest/v3 v3.9.1 h1:v4dkG+dlu76goxMiTT2j8zV7s4oPPEppKT8K8p2f1 github.com/ory/dockertest/v3 v3.9.1/go.mod h1:42Ir9hmvaAPm0Mgibk6mBPi7SFvTXxEcnztDYOJ//uM= github.com/osmosis-labs/cosmos-sdk v0.45.1-0.20221118211718-545aed73e94e h1:A3byMZpvq21iI7yWJUNdHw0nf8jVAbVUsWY9twnXSXE= github.com/osmosis-labs/cosmos-sdk v0.45.1-0.20221118211718-545aed73e94e/go.mod h1:rud0OaBIuq3+qOqtwT4SR7Q7iSzRp7w41fjninTjfnQ= +<<<<<<< HEAD github.com/osmosis-labs/go-mutesting v0.0.0-20220811235203-65a53b4ea8e3 h1:/imbKy8s1I+z7wx4FbRHOXK2v82xesUCz2EPUqfBDIg= github.com/osmosis-labs/go-mutesting v0.0.0-20220811235203-65a53b4ea8e3/go.mod h1:lV6KnqXYD/ayTe7310MHtM3I2q8Z6bBfMAi+bhwPYtI= +======= +github.com/osmosis-labs/go-mutesting v0.0.0-20221208041716-b43bcd97b3b3 h1:YlmchqTmlwdWSmrRmXKR+PcU96ntOd8u10vTaTZdcNY= +github.com/osmosis-labs/go-mutesting v0.0.0-20221208041716-b43bcd97b3b3/go.mod h1:lV6KnqXYD/ayTe7310MHtM3I2q8Z6bBfMAi+bhwPYtI= +github.com/osmosis-labs/osmosis/osmomath v0.0.1 h1:23X7pPCnyzQHEYCY0YbbVVESq84cGftvacO/Wswd3A0= +github.com/osmosis-labs/osmosis/osmomath v0.0.1/go.mod h1:IpoXO7lvmfsBFfQzaqovs541hpqtrnM+GJSZDi/TZtc= +>>>>>>> 079702ea (Move osmomath into its own go.mod (#3771)) github.com/osmosis-labs/wasmd v0.29.2-osmo-v13 h1:HvxAks1ctB3nBx1cXqcmfA0g0BKe7Og77OA2j2rxaJk= github.com/osmosis-labs/wasmd v0.29.2-osmo-v13/go.mod h1:UlLBU5vuHncwQUM9W8lw+2mEptEMFxxfVWupZ6sXtn4= github.com/otiai10/copy v1.2.0/go.mod h1:rrF5dJ5F0t/EWSYODDu4j9/vEeYHMkc8jt0zJChqQWw= diff --git a/go.work b/go.work new file mode 100644 index 00000000000..a3f94651379 --- /dev/null +++ b/go.work @@ -0,0 +1,4 @@ +go 1.18 + +use ./osmomath +use . diff --git a/go.work.sum b/go.work.sum new file mode 100644 index 00000000000..20001e8dd8f --- /dev/null +++ b/go.work.sum @@ -0,0 +1,45 @@ +github.com/CosmWasm/wasmvm v1.1.1 h1:0xtdrmmsP9fibe+x42WcMkp5aQ738BICgcH3FNVLzm4= +github.com/Nvveen/Gotty v0.0.0-20120604004816-cd527374f1e5 h1:TngWCqHvy9oXAN6lEVMRuU21PR1EtLVZJmdB18Gu3Rw= +github.com/Workiva/go-datastructures v1.0.53 h1:J6Y/52yX10Xc5JjXmGtWoSSxs3mZnGSaq37xZZh7Yig= +github.com/adlio/schema v1.3.3 h1:oBJn8I02PyTB466pZO1UZEn1TV5XLlifBSyMrmHl/1I= +github.com/cenkalti/backoff v2.2.1+incompatible h1:tNowT99t7UNflLxfYYSlKYsBpXdEet03Pg2g16Swow4= +github.com/cenkalti/backoff/v4 v4.1.1 h1:G2HAfAmvm/GcKan2oOQpBXOd2tT2G57ZnZGWa1PxPBQ= +github.com/cenkalti/backoff/v4 v4.1.3 h1:cFAlzYUlVYDysBEH2T5hyJZMh3+5+WCBvSnK6Q8UtC4= +github.com/coinbase/rosetta-sdk-go v0.7.0 h1:lmTO/JEpCvZgpbkOITL95rA80CPKb5CtMzLaqF2mCNg= +github.com/containerd/continuity v0.3.0 h1:nisirsYROK15TAMVukJOUyGJjz4BNQJBVsNvAXZJ/eg= +github.com/cosmos/gogoproto v1.4.2 h1:UeGRcmFW41l0G0MiefWhkPEVEwvu78SZsHBvI78dAYw= +github.com/cosmos/ibc-go/v3 v3.4.0 h1:ha3cqEG36pqMWqA1D+kxDWBTZXpeFMd/aZIQF7I0xro= +github.com/creachadair/taskgroup v0.3.2 h1:zlfutDS+5XG40AOxcHDSThxKzns8Tnr9jnr6VqkYlkM= +github.com/desertbit/timer v0.0.0-20180107155436-c41aec40b27f h1:U5y3Y5UE0w7amNe7Z5G/twsBW0KEalRQXZzf8ufSh9I= +github.com/docker/cli v20.10.17+incompatible h1:eO2KS7ZFeov5UJeaDmIs1NFEDRf32PaqRpvoEkKBy5M= +github.com/docker/docker v20.10.19+incompatible h1:lzEmjivyNHFHMNAFLXORMBXyGIhw/UP4DvJwvyKYq64= +github.com/docker/go-connections v0.4.0 h1:El9xVISelRB7BuFusrZozjnkIM5YnzCViNKohAFqRJQ= +github.com/docker/go-units v0.5.0 h1:69rxXcBk27SvSaaxTtLh/8llcHD8vYHT7WSdRZ/jvr4= +github.com/google/orderedcode v0.0.1 h1:UzfcAexk9Vhv8+9pNOgRu41f16lHq725vPwnSeiG/Us= +github.com/google/shlex v0.0.0-20191202100458-e7afc7fbc510 h1:El6M4kTTCOh6aBiKaUGG7oYTSPP8MxqL4YI3kZKwcP4= +github.com/imdario/mergo v0.3.13 h1:lFzP57bqS/wsqKssCGmtLAb8A0wKjLGrve2q3PPVcBk= +github.com/improbable-eng/grpc-web v0.15.0 h1:BN+7z6uNXZ1tQGcNAuaU1YjsLTApzkjt2tzCixLaUPQ= +github.com/lib/pq v1.10.6 h1:jbk+ZieJ0D7EVGJYpL9QTz7/YW6UHbmdnZWYyK5cdBs= +github.com/mattn/go-colorable v0.1.13 h1:fFA4WZxdEF4tXPZVKMLwD8oUnCTTo08duU7wxecdEvA= +github.com/mattn/go-sqlite3 v1.14.16 h1:yOQRA0RpS5PFz/oikGwBEqvAWhWg5ufRz4ETLjwpU1Y= +github.com/minio/highwayhash v1.0.2 h1:Aak5U0nElisjDCfPSG79Tgzkn2gl66NxOMspRrKnA/g= +github.com/moby/term v0.0.0-20220808134915-39b0c02b01ae h1:O4SWKdcHVCvYqyDV+9CJA1fcDN2L11Bule0iFy3YlAI= +github.com/mwitkow/go-conntrack v0.0.0-20190716064945-2f068394615f h1:KUppIJq7/+SVif2QVs3tOP0zanoHgBEVAwHxUSIzRqU= +github.com/opencontainers/go-digest v1.0.0 h1:apOUWs51W5PlhuyGyz9FCeeBIOUDA/6nW8Oi/yOhh5U= +github.com/opencontainers/image-spec v1.1.0-rc2 h1:2zx/Stx4Wc5pIPDvIxHXvXtQFW/7XWJGmnM7r3wg034= +github.com/opencontainers/runc v1.1.3 h1:vIXrkId+0/J2Ymu2m7VjGvbSlAId9XNRPhn2p4b+d8w= +github.com/ory/dockertest v3.3.5+incompatible h1:iLLK6SQwIhcbrG783Dghaaa3WPzGc+4Emza6EbVUUGA= +github.com/ory/dockertest/v3 v3.9.1 h1:v4dkG+dlu76goxMiTT2j8zV7s4oPPEppKT8K8p2f1kY= +github.com/otiai10/copy v1.7.0 h1:hVoPiN+t+7d2nzzwMiDHPSOogsWAStewq3TwU05+clE= +github.com/rs/cors v1.8.2 h1:KCooALfAYGs415Cwu5ABvv9n9509fSiG5SQJn/AQo4U= +github.com/rs/zerolog v1.27.0 h1:1T7qCieN22GVc8S4Q2yuexzBb1EqjbgjSH9RohbMjKs= +github.com/sirupsen/logrus v1.9.0 h1:trlNQbNUG3OdDrDil03MCb1H2o9nJ1x4/5LYw7byDE0= +github.com/stretchr/objx v0.5.0 h1:1zr/of2m5FGMsad5YfcqgdqdWrIhu+EBEJRhR1U7z/c= +github.com/xeipuuv/gojsonpointer v0.0.0-20190905194746-02993c407bfb h1:zGWFAtiMcyryUHoUjUJX0/lt1H2+i2Ka2n+D3DImSNo= +github.com/xeipuuv/gojsonreference v0.0.0-20180127040603-bd5ef7bd5415 h1:EzJWgHovont7NscjpAxXsDA8S8BMYve8Y5+7cuRE7R0= +github.com/xeipuuv/gojsonschema v1.2.0 h1:LhYJRs+L4fBtjZUfuSZIKGeVu0QRy8e5Xi7D17UxZ74= +go.uber.org/atomic v1.10.0 h1:9qC72Qh0+3MqyJbAn8YU5xVq1frD8bn3JtD2oXtafVQ= +go.uber.org/multierr v1.8.0 h1:dg6GjLku4EH+249NNmoIciG9N/jURbDG+pFlTkhzIC8= +golang.org/x/exp v0.0.0-20220722155223-a9213eeb770e h1:+WEEuIdZHnUeJJmEUjyYC2gfUMj69yZXw17EnHg/otA= +nhooyr.io/websocket v1.8.6 h1:s+C3xAMLwGmlI31Nyn/eAehUlZPwfYZu2JXM621Q5/k= +nhooyr.io/websocket v1.8.7 h1:usjR2uOr/zjjkVMy0lW+PPohFok7PCow5sDjLgX4P4g= diff --git a/osmomath/decimal_test.go b/osmomath/decimal_test.go index a33e0864733..a65c4ac9e62 100644 --- a/osmomath/decimal_test.go +++ b/osmomath/decimal_test.go @@ -12,8 +12,12 @@ import ( "github.com/stretchr/testify/suite" "gopkg.in/yaml.v2" +<<<<<<< HEAD "github.com/osmosis-labs/osmosis/v13/osmomath" gammtypes "github.com/osmosis-labs/osmosis/v13/x/gamm/types" +======= + "github.com/osmosis-labs/osmosis/osmomath" +>>>>>>> 079702ea (Move osmomath into its own go.mod (#3771)) ) type decimalTestSuite struct { @@ -719,7 +723,7 @@ func (s *decimalTestSuite) TestLog2() { expected: osmomath.MustNewDecFromStr("99.525973560175362367047484597337715868"), }, "log_2{Max Spot Price} = 128": { - initialValue: osmomath.BigDecFromSDKDec(gammtypes.MaxSpotPrice), // 2^128 - 1 + initialValue: osmomath.BigDecFromSDKDec(osmomath.MaxSpotPrice), // 2^128 - 1 // From: https://www.wolframalpha.com/input?i=log+base+2+of+%28%282%5E128%29+-+1%29+38+digits expected: osmomath.MustNewDecFromStr("128"), }, @@ -1062,21 +1066,21 @@ func (s *decimalTestSuite) TestPowerInteger() { "geom twap overflow: 2^log_2{max spot price + 1}": { base: osmomath.TwoBigDec, // add 1 for simplicity of calculation to isolate overflow. - exponent: uint64(osmomath.BigDecFromSDKDec(gammtypes.MaxSpotPrice).Add(osmomath.OneDec()).LogBase2().TruncateInt().Uint64()), + exponent: uint64(osmomath.BigDecFromSDKDec(osmomath.MaxSpotPrice).Add(osmomath.OneDec()).LogBase2().TruncateInt().Uint64()), // https://www.wolframalpha.com/input?i=2%5E%28floor%28+log+base+2+%282%5E128%29%29%29+++39+digits expectedResult: osmomath.MustNewDecFromStr("340282366920938463463374607431768211456"), }, "geom twap overflow: 2^log_2{max spot price}": { base: osmomath.TwoBigDec, - exponent: uint64(osmomath.BigDecFromSDKDec(gammtypes.MaxSpotPrice).LogBase2().TruncateInt().Uint64()), + exponent: uint64(osmomath.BigDecFromSDKDec(osmomath.MaxSpotPrice).LogBase2().TruncateInt().Uint64()), // https://www.wolframalpha.com/input?i=2%5E%28floor%28+log+base+2+%282%5E128+-+1%29%29%29+++39+digits expectedResult: osmomath.MustNewDecFromStr("170141183460469231731687303715884105728"), }, "geom twap overflow: 2^log_2{max spot price / 2 - 2017}": { // 2017 is prime. base: osmomath.TwoBigDec, - exponent: uint64(osmomath.BigDecFromSDKDec(gammtypes.MaxSpotPrice.Quo(sdk.NewDec(2)).Sub(sdk.NewDec(2017))).LogBase2().TruncateInt().Uint64()), + exponent: uint64(osmomath.BigDecFromSDKDec(osmomath.MaxSpotPrice.Quo(sdk.NewDec(2)).Sub(sdk.NewDec(2017))).LogBase2().TruncateInt().Uint64()), // https://www.wolframalpha.com/input?i=e%5E10+41+digits expectedResult: osmomath.MustNewDecFromStr("85070591730234615865843651857942052864"), @@ -1260,3 +1264,115 @@ func (s *decimalTestSuite) TestPowerInteger_Mutation() { }) } } +<<<<<<< HEAD +======= + +func (s *decimalTestSuite) TestPower() { + tests := map[string]struct { + base osmomath.BigDec + exponent osmomath.BigDec + expectedResult osmomath.BigDec + expectPanic bool + errTolerance osmomath.ErrTolerance + }{ + // N.B.: integer exponents are tested under TestPowerInteger. + + "3 ^ 2 = 9 (integer base and integer exponent)": { + base: osmomath.NewBigDec(3), + exponent: osmomath.NewBigDec(2), + + expectedResult: osmomath.NewBigDec(9), + + errTolerance: zeroAdditiveErrTolerance, + }, + "2^0.5 (base of 2 and non-integer exponent)": { + base: osmomath.MustNewDecFromStr("2"), + exponent: osmomath.MustNewDecFromStr("0.5"), + + // https://www.wolframalpha.com/input?i=2%5E0.5+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.414213562373095048801688724209698079"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + RoundingDir: osmomath.RoundDown, + }, + }, + "3^0.33 (integer base other than 2 and non-integer exponent)": { + base: osmomath.MustNewDecFromStr("3"), + exponent: osmomath.MustNewDecFromStr("0.33"), + + // https://www.wolframalpha.com/input?i=3%5E0.33+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.436977652184851654252692986409357265"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + RoundingDir: osmomath.RoundDown, + }, + }, + "e^0.98999 (non-integer base and non-integer exponent)": { + base: osmomath.EulersNumber, + exponent: osmomath.MustNewDecFromStr("0.9899"), + + // https://www.wolframalpha.com/input?i=e%5E0.9899+37+digits + expectedResult: osmomath.MustNewDecFromStr("2.690965362357751196751808686902156603"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "10^0.001 (small non-integer exponent)": { + base: osmomath.NewBigDec(10), + exponent: osmomath.MustNewDecFromStr("0.001"), + + // https://www.wolframalpha.com/input?i=10%5E0.001+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.002305238077899671915404889328110554"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "13^100.7777 (large non-integer exponent)": { + base: osmomath.NewBigDec(13), + exponent: osmomath.MustNewDecFromStr("100.7777"), + + // https://www.wolframalpha.com/input?i=13%5E100.7777+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.822422110233759706998600329118969132").Mul(osmomath.NewBigDec(10).PowerInteger(112)), + + errTolerance: osmomath.ErrTolerance{ + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundDown, + }, + }, + "large non-integer exponent with large non-integer base - panics": { + base: osmomath.MustNewDecFromStr("169.137"), + exponent: osmomath.MustNewDecFromStr("100.7777"), + + expectPanic: true, + }, + "negative base - panic": { + base: osmomath.NewBigDec(-3), + exponent: osmomath.MustNewDecFromStr("4"), + + expectPanic: true, + }, + "negative exponent - panic": { + base: osmomath.NewBigDec(1), + exponent: osmomath.MustNewDecFromStr("-4"), + + expectPanic: true, + }, + } + + for name, tc := range tests { + tc := tc + s.Run(name, func() { + osmomath.ConditionalPanic(s.T(), tc.expectPanic, func() { + actualResult := tc.base.Power(tc.exponent) + s.Require().Equal(0, tc.errTolerance.CompareBigDec(tc.expectedResult, actualResult)) + }) + }) + } +} +>>>>>>> 079702ea (Move osmomath into its own go.mod (#3771)) diff --git a/osmomath/exp2_test.go b/osmomath/exp2_test.go new file mode 100644 index 00000000000..0d62bcb3a73 --- /dev/null +++ b/osmomath/exp2_test.go @@ -0,0 +1,300 @@ +package osmomath_test + +import ( + "testing" + + sdk "github.com/cosmos/cosmos-sdk/types" + "github.com/stretchr/testify/require" + + "github.com/osmosis-labs/osmosis/osmomath" +) + +var ( + // minDecTolerance minimum tolerance for sdk.Dec, given its precision of 18. + minDecTolerance = sdk.MustNewDecFromStr("0.000000000000000001") +) + +func TestExp2ChebyshevRationalApprox(t *testing.T) { + // These values are used to test the approximated results close + // to 0 and 1 boundaries. + // With other types of approximations, there is a high likelyhood + // of larger errors clsoer to the boundaries. This is known as Runge's phenomenon. + // https://en.wikipedia.org/wiki/Runge%27s_phenomenon + // + // Chebyshev approximation should be able to handle this better. + // Tests at the boundaries help to validate there is no Runge's phenomenon. + smallValue := osmomath.MustNewDecFromStr("0.00001") + smallerValue := osmomath.MustNewDecFromStr("0.00000000000000000001") + + tests := map[string]struct { + exponent osmomath.BigDec + expectedResult osmomath.BigDec + errTolerance osmomath.ErrTolerance + expectPanic bool + }{ + "exp2(0.5)": { + exponent: osmomath.MustNewDecFromStr("0.5"), + // https://www.wolframalpha.com/input?i=2%5E0.5+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.414213562373095048801688724209698079"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundDown, + }, + }, + "exp2(0)": { + exponent: osmomath.ZeroDec(), + expectedResult: osmomath.OneDec(), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.ZeroDec(), + MultiplicativeTolerance: sdk.ZeroDec(), + RoundingDir: osmomath.RoundDown, + }, + }, + "exp2(1)": { + exponent: osmomath.OneDec(), + expectedResult: osmomath.MustNewDecFromStr("2"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.ZeroDec(), + MultiplicativeTolerance: sdk.ZeroDec(), + RoundingDir: osmomath.RoundDown, + }, + }, + "exp2(0.00001)": { + exponent: smallValue, + // https://www.wolframalpha.com/input?i=2%5E0.00001+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.000006931495828305653209089800561681"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(0.99999)": { + exponent: osmomath.OneDec().Sub(smallValue), + // https://www.wolframalpha.com/input?i=2%5E0.99999+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.999986137104433991477606830496602898"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("0.00000000000000007"), + MultiplicativeTolerance: minDecTolerance.Mul(sdk.NewDec(100)), + RoundingDir: osmomath.RoundDown, + }, + }, + "exp2(0.99999...)": { + exponent: osmomath.OneDec().Sub(smallerValue), + // https://www.wolframalpha.com/input?i=2%5E%281+-+0.00000000000000000001%29+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.999999999999999999986137056388801094"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundDown, + }, + }, + "exp2(0.0000...1)": { + exponent: osmomath.ZeroDec().Add(smallerValue), + // https://www.wolframalpha.com/input?i=2%5E0.00000000000000000001+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.000000000000000000006931471805599453"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(0.3334567)": { + exponent: osmomath.MustNewDecFromStr("0.3334567"), + // https://www.wolframalpha.com/input?i=2%5E0.3334567+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.260028791934303989065848870753742298"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("0.00000000000000007"), + MultiplicativeTolerance: minDecTolerance.Mul(sdk.NewDec(10)), + RoundingDir: osmomath.RoundDown, + }, + }, + "exp2(0.84864288)": { + exponent: osmomath.MustNewDecFromStr("0.84864288"), + // https://www.wolframalpha.com/input?i=2%5E0.84864288+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.800806138872630518880998772777747572"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("0.00000000000000002"), + MultiplicativeTolerance: minDecTolerance.Mul(sdk.NewDec(10)), + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(0.999999999999999999999999999999999956)": { + exponent: osmomath.MustNewDecFromStr("0.999999999999999999999999999999999956"), + // https://www.wolframalpha.com/input?i=2%5E0.999999999999999999999999999999999956+37+digits + expectedResult: osmomath.MustNewDecFromStr("1.999999999999999999999999999999999939"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundDown, + }, + }, + // out of bounds. + "exponent < 0 - panic": { + exponent: osmomath.ZeroDec().Sub(smallValue), + expectPanic: true, + }, + "exponent > 1 - panic": { + exponent: osmomath.OneDec().Add(smallValue), + expectPanic: true, + }, + } + + for name, tc := range tests { + tc := tc + t.Run(name, func(t *testing.T) { + osmomath.ConditionalPanic(t, tc.expectPanic, func() { + // System under test. + result := osmomath.Exp2ChebyshevRationalApprox(tc.exponent) + + // Reuse the same test cases for exp2 that is a wrapper around Exp2ChebyshevRationalApprox. + // This is done to reduce boilerplate from duplicating test cases. + resultExp2 := osmomath.Exp2(tc.exponent) + require.Equal(t, result, resultExp2) + + require.Equal(t, 0, tc.errTolerance.CompareBigDec(tc.expectedResult, result)) + }) + }) + } +} + +func TestExp2(t *testing.T) { + tests := map[string]struct { + exponent osmomath.BigDec + expectedResult osmomath.BigDec + errTolerance osmomath.ErrTolerance + expectPanic bool + }{ + "exp2(28.5)": { + exponent: osmomath.MustNewDecFromStr("28.5"), + // https://www.wolframalpha.com/input?i=2%5E%2828.5%29+45+digits + expectedResult: osmomath.MustNewDecFromStr("379625062.497006211556423566253288543343173698"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(63.84864288)": { + exponent: osmomath.MustNewDecFromStr("63.84864288"), + // https://www.wolframalpha.com/input?i=2%5E%2863.84864288%29+56+digits + expectedResult: osmomath.MustNewDecFromStr("16609504985074238416.013387053450559984846024066925604094"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("0.00042"), + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(64.5)": { + exponent: osmomath.MustNewDecFromStr("64.5"), + // https://www.wolframalpha.com/input?i=2%5E%2864.5%29+56+digits + expectedResult: osmomath.MustNewDecFromStr("26087635650665564424.699143612505016737766552579185717157"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("0.000000000000000008"), + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(80.5)": { + exponent: osmomath.MustNewDecFromStr("80.5"), + // https://www.wolframalpha.com/input?i=2%5E%2880.5%29+61+digits + expectedResult: osmomath.MustNewDecFromStr("1709679290002018430137083.075789128776926268789829515159631571"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("0.0000000000006"), + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(100.5)": { + exponent: osmomath.MustNewDecFromStr("100.5"), + // https://www.wolframalpha.com/input?i=2%5E%28100.5%29+67+digits + expectedResult: osmomath.MustNewDecFromStr("1792728671193156477399422023278.661496394239222564273688025833797661"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("0.0000006"), + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(128.5)": { + exponent: osmomath.MustNewDecFromStr("128.5"), + // https://www.wolframalpha.com/input?i=2%5E%28128.5%29+75+digits + expectedResult: osmomath.MustNewDecFromStr("481231938336009023090067544955250113854.229961482126296754016435255422777776"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("146.5"), + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "exp2(127.999999999999999999999999999999999999)": { + exponent: osmomath.MustNewDecFromStr("127.999999999999999999999999999999999999"), + // https://www.wolframalpha.com/input?i=2%5E%28127.999999999999999999999999999999999999%29+75+digits + expectedResult: osmomath.MustNewDecFromStr("340282366920938463463374607431768211220.134236774486705862055857235845515682"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("15044647266406936"), + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundDown, + }, + }, + "exp2(127.84864288)": { + exponent: osmomath.MustNewDecFromStr("127.84864288"), + // https://www.wolframalpha.com/input?i=2%5E%28127.84864288%29+75+digits + expectedResult: osmomath.MustNewDecFromStr("306391287650667462068703337664945630660.398687487527674545778353588077174571"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: sdk.MustNewDecFromStr("7707157415597963"), + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundUnconstrained, + }, + }, + "panic, too large - positive": { + exponent: osmomath.MaxSupportedExponent.Add(osmomath.OneDec()), + expectPanic: true, + }, + "panic - negative exponent": { + exponent: osmomath.OneDec().Neg(), + expectPanic: true, + }, + "at exponent boundary - positive": { + exponent: osmomath.MaxSupportedExponent, + // https://www.wolframalpha.com/input?i=2%5E%282%5E9%29 + expectedResult: osmomath.MustNewDecFromStr("13407807929942597099574024998205846127479365820592393377723561443721764030073546976801874298166903427690031858186486050853753882811946569946433649006084096"), + + errTolerance: osmomath.ErrTolerance{ + AdditiveTolerance: minDecTolerance, + MultiplicativeTolerance: minDecTolerance, + RoundingDir: osmomath.RoundDown, + }, + }, + } + + for name, tc := range tests { + tc := tc + t.Run(name, func(t *testing.T) { + osmomath.ConditionalPanic(t, tc.expectPanic, func() { + + // System under test. + result := osmomath.Exp2(tc.exponent) + + require.Equal(t, 0, tc.errTolerance.CompareBigDec(tc.expectedResult, result)) + }) + }) + } +} diff --git a/osmomath/go.mod b/osmomath/go.mod new file mode 100644 index 00000000000..29a4222085e --- /dev/null +++ b/osmomath/go.mod @@ -0,0 +1,89 @@ +module github.com/osmosis-labs/osmosis/osmomath + +go 1.18 + +require ( + github.com/cosmos/cosmos-sdk v0.46.7 + github.com/stretchr/testify v1.8.1 + gopkg.in/yaml.v2 v2.4.0 +) + +require ( + github.com/armon/go-metrics v0.4.0 // indirect + github.com/beorn7/perks v1.0.1 // indirect + github.com/btcsuite/btcd v0.22.1 // indirect + github.com/cespare/xxhash v1.1.0 // indirect + github.com/cespare/xxhash/v2 v2.1.2 // indirect + github.com/confio/ics23/go v0.7.0 // indirect + github.com/cosmos/btcutil v1.0.4 // indirect + github.com/cosmos/gorocksdb v1.2.0 // indirect + github.com/davecgh/go-spew v1.1.1 // indirect + github.com/dgraph-io/badger/v3 v3.2103.2 // indirect + github.com/dgraph-io/ristretto v0.1.0 // indirect + github.com/dustin/go-humanize v1.0.1-0.20200219035652-afde56e7acac // indirect + github.com/fsnotify/fsnotify v1.6.0 // indirect + github.com/go-kit/kit v0.12.0 // indirect + github.com/go-kit/log v0.2.1 // indirect + github.com/go-logfmt/logfmt v0.5.1 // indirect + github.com/gogo/protobuf v1.3.3 // indirect + github.com/golang/glog v1.0.0 // indirect + github.com/golang/groupcache v0.0.0-20210331224755-41bb18bfe9da // indirect + github.com/golang/protobuf v1.5.2 // indirect + github.com/golang/snappy v0.0.4 // indirect + github.com/google/btree v1.1.2 // indirect + github.com/google/flatbuffers v1.12.1 // indirect + github.com/gtank/merlin v0.1.1 // indirect + github.com/hashicorp/go-immutable-radix v1.3.1 // indirect + github.com/hashicorp/golang-lru v0.5.4 // indirect + github.com/hashicorp/hcl v1.0.0 // indirect + github.com/inconshreveable/mousetrap v1.0.1 // indirect + github.com/jmhodges/levigo v1.0.0 // indirect + github.com/klauspost/compress v1.15.11 // indirect + github.com/libp2p/go-buffer-pool v0.1.0 // indirect + github.com/magiconair/properties v1.8.6 // indirect + github.com/matttproud/golang_protobuf_extensions v1.0.2-0.20181231171920-c182affec369 // indirect + github.com/mimoo/StrobeGo v0.0.0-20210601165009-122bf33a46e0 // indirect + github.com/mitchellh/mapstructure v1.5.0 // indirect + github.com/pelletier/go-toml v1.9.5 // indirect + github.com/pelletier/go-toml/v2 v2.0.5 // indirect + github.com/petermattis/goid v0.0.0-20180202154549-b0b1615b78e5 // indirect + github.com/pkg/errors v0.9.1 // indirect + github.com/pmezard/go-difflib v1.0.0 // indirect + github.com/prometheus/client_golang v1.14.0 // indirect + github.com/prometheus/client_model v0.3.0 // indirect + github.com/prometheus/common v0.37.0 // indirect + github.com/prometheus/procfs v0.8.0 // indirect + github.com/sasha-s/go-deadlock v0.3.1 // indirect + github.com/spf13/afero v1.9.2 // indirect + github.com/spf13/cast v1.5.0 // indirect + github.com/spf13/cobra v1.6.1 // indirect + github.com/spf13/jwalterweatherman v1.1.0 // indirect + github.com/spf13/pflag v1.0.5 // indirect + github.com/spf13/viper v1.14.0 // indirect + github.com/subosito/gotenv v1.4.1 // indirect + github.com/syndtr/goleveldb v1.0.1-0.20210819022825-2ae1ddf74ef7 // indirect + github.com/tendermint/go-amino v0.16.0 // indirect + github.com/tendermint/tendermint v0.34.24 // indirect + github.com/tendermint/tm-db v0.6.8-0.20220506192307-f628bb5dc95b // indirect + go.etcd.io/bbolt v1.3.6 // indirect + go.opencensus.io v0.23.0 // indirect + golang.org/x/crypto v0.1.0 // indirect + golang.org/x/net v0.1.0 // indirect + golang.org/x/sys v0.1.0 // indirect + golang.org/x/text v0.4.0 // indirect + google.golang.org/genproto v0.0.0-20221024183307-1bc688fe9f3e // indirect + google.golang.org/grpc v1.50.1 // indirect + google.golang.org/protobuf v1.28.2-0.20220831092852-f930b1dc76e8 // indirect + gopkg.in/ini.v1 v1.67.0 // indirect + gopkg.in/yaml.v3 v3.0.1 // indirect +) + +replace ( + // Our cosmos-sdk branch is: https://github.com/osmosis-labs/cosmos-sdk, current branch: v13.x. Direct commit link: https://github.com/osmosis-labs/cosmos-sdk/commit/8757a61551aa1ea993c85a523e18094ab555b1d7 + // tag: https://github.com/osmosis-labs/cosmos-sdk/releases/tag/sdk-v13.0.0-rc2 + github.com/cosmos/cosmos-sdk => github.com/osmosis-labs/cosmos-sdk v0.45.1-0.20221118211718-545aed73e94e + // use cosmos-compatible protobufs + github.com/gogo/protobuf => github.com/regen-network/protobuf v1.3.3-alpha.regen.1 + // use grpc compatible with cosmos protobufs + google.golang.org/grpc => google.golang.org/grpc v1.33.2 +) diff --git a/osmomath/go.sum b/osmomath/go.sum new file mode 100644 index 00000000000..6ad662a8205 --- /dev/null +++ b/osmomath/go.sum @@ -0,0 +1,783 @@ +cloud.google.com/go v0.34.0/go.mod h1:aQUYkXzVsufM+DwF1aE+0xfcU+56JwCaLick0ClmMTw= +cloud.google.com/go v0.38.0/go.mod h1:990N+gfupTy94rShfmMCWGDn0LpTmnzTp2qbd1dvSRU= +cloud.google.com/go v0.44.1/go.mod h1:iSa0KzasP4Uvy3f1mN/7PiObzGgflwredwwASm/v6AU= +cloud.google.com/go v0.44.2/go.mod 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+honnef.co/go/tools v0.0.1-2019.2.3/go.mod h1:a3bituU0lyd329TUQxRnasdCoJDkEUEAqEt0JzvZhAg= +honnef.co/go/tools v0.0.1-2020.1.3/go.mod h1:X/FiERA/W4tHapMX5mGpAtMSVEeEUOyHaw9vFzvIQ3k= +honnef.co/go/tools v0.0.1-2020.1.4/go.mod h1:X/FiERA/W4tHapMX5mGpAtMSVEeEUOyHaw9vFzvIQ3k= +rsc.io/binaryregexp v0.2.0/go.mod h1:qTv7/COck+e2FymRvadv62gMdZztPaShugOCi3I+8D8= +rsc.io/quote/v3 v3.1.0/go.mod h1:yEA65RcK8LyAZtP9Kv3t0HmxON59tX3rD+tICJqUlj0= +rsc.io/sampler v1.3.0/go.mod h1:T1hPZKmBbMNahiBKFy5HrXp6adAjACjK9JXDnKaTXpA= diff --git a/x/gamm/keeper/pool_service.go b/x/gamm/keeper/pool_service.go index 3a238827d1d..eb313713078 100644 --- a/x/gamm/keeper/pool_service.go +++ b/x/gamm/keeper/pool_service.go @@ -7,8 +7,12 @@ import ( sdkerrors "github.com/cosmos/cosmos-sdk/types/errors" banktypes "github.com/cosmos/cosmos-sdk/x/bank/types" +<<<<<<< HEAD "github.com/osmosis-labs/osmosis/v13/osmomath" "github.com/osmosis-labs/osmosis/v13/osmoutils" +======= + "github.com/osmosis-labs/osmosis/osmomath" +>>>>>>> 079702ea (Move osmomath into its own go.mod (#3771)) "github.com/osmosis-labs/osmosis/v13/x/gamm/types" ) diff --git a/x/gamm/pool-models/balancer/amm.go b/x/gamm/pool-models/balancer/amm.go index 2867cc2ff9d..326827ab091 100644 --- a/x/gamm/pool-models/balancer/amm.go +++ b/x/gamm/pool-models/balancer/amm.go @@ -6,7 +6,7 @@ import ( sdk "github.com/cosmos/cosmos-sdk/types" sdkerrors "github.com/cosmos/cosmos-sdk/types/errors" - "github.com/osmosis-labs/osmosis/v13/osmomath" + "github.com/osmosis-labs/osmosis/osmomath" "github.com/osmosis-labs/osmosis/v13/x/gamm/types" ) diff --git a/x/gamm/pool-models/balancer/pool_test.go b/x/gamm/pool-models/balancer/pool_test.go index 36d9f074b72..eee85cebc7f 100644 --- a/x/gamm/pool-models/balancer/pool_test.go +++ b/x/gamm/pool-models/balancer/pool_test.go @@ -9,8 +9,8 @@ import ( sdk "github.com/cosmos/cosmos-sdk/types" "github.com/stretchr/testify/require" + "github.com/osmosis-labs/osmosis/osmomath" "github.com/osmosis-labs/osmosis/v13/app/apptesting/osmoassert" - "github.com/osmosis-labs/osmosis/v13/osmomath" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/balancer" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/internal/test_helpers" "github.com/osmosis-labs/osmosis/v13/x/gamm/types" diff --git a/x/gamm/pool-models/balancer/util_test.go b/x/gamm/pool-models/balancer/util_test.go index 48c1695881a..e4a53533e6c 100644 --- a/x/gamm/pool-models/balancer/util_test.go +++ b/x/gamm/pool-models/balancer/util_test.go @@ -12,7 +12,7 @@ import ( tmtypes "github.com/tendermint/tendermint/proto/tendermint/types" dbm "github.com/tendermint/tm-db" - "github.com/osmosis-labs/osmosis/v13/osmomath" + "github.com/osmosis-labs/osmosis/osmomath" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/balancer" "github.com/osmosis-labs/osmosis/v13/x/gamm/types" ) diff --git a/x/gamm/pool-models/internal/cfmm_common/lp.go b/x/gamm/pool-models/internal/cfmm_common/lp.go index 66778840494..76dc92df6c7 100644 --- a/x/gamm/pool-models/internal/cfmm_common/lp.go +++ b/x/gamm/pool-models/internal/cfmm_common/lp.go @@ -6,7 +6,7 @@ import ( sdk "github.com/cosmos/cosmos-sdk/types" sdkerrors "github.com/cosmos/cosmos-sdk/types/errors" - "github.com/osmosis-labs/osmosis/v13/osmomath" + "github.com/osmosis-labs/osmosis/osmomath" "github.com/osmosis-labs/osmosis/v13/x/gamm/types" ) diff --git a/x/gamm/pool-models/internal/test_helpers/test_helpers.go b/x/gamm/pool-models/internal/test_helpers/test_helpers.go index 97fe9993c42..4c0cde2fd74 100644 --- a/x/gamm/pool-models/internal/test_helpers/test_helpers.go +++ b/x/gamm/pool-models/internal/test_helpers/test_helpers.go @@ -12,7 +12,7 @@ import ( tmtypes "github.com/tendermint/tendermint/proto/tendermint/types" dbm "github.com/tendermint/tm-db" - "github.com/osmosis-labs/osmosis/v13/osmomath" + "github.com/osmosis-labs/osmosis/osmomath" sdkrand "github.com/osmosis-labs/osmosis/v13/simulation/simtypes/random" "github.com/osmosis-labs/osmosis/v13/x/gamm/types" ) diff --git a/x/gamm/pool-models/stableswap/amm.go b/x/gamm/pool-models/stableswap/amm.go index a953ba977b8..49930f3551c 100644 --- a/x/gamm/pool-models/stableswap/amm.go +++ b/x/gamm/pool-models/stableswap/amm.go @@ -5,7 +5,7 @@ import ( sdk "github.com/cosmos/cosmos-sdk/types" - "github.com/osmosis-labs/osmosis/v13/osmomath" + "github.com/osmosis-labs/osmosis/osmomath" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/internal/cfmm_common" types "github.com/osmosis-labs/osmosis/v13/x/gamm/types" ) diff --git a/x/gamm/pool-models/stableswap/amm_bench_test.go b/x/gamm/pool-models/stableswap/amm_bench_test.go index 8c5dfc88322..e7b9d4b5ab3 100644 --- a/x/gamm/pool-models/stableswap/amm_bench_test.go +++ b/x/gamm/pool-models/stableswap/amm_bench_test.go @@ -4,7 +4,7 @@ import ( "math/rand" "testing" - "github.com/osmosis-labs/osmosis/v13/osmomath" + "github.com/osmosis-labs/osmosis/osmomath" ) func BenchmarkCFMM(b *testing.B) { diff --git a/x/gamm/pool-models/stableswap/amm_test.go b/x/gamm/pool-models/stableswap/amm_test.go index 418b1600302..ce8c7f31cdd 100644 --- a/x/gamm/pool-models/stableswap/amm_test.go +++ b/x/gamm/pool-models/stableswap/amm_test.go @@ -10,8 +10,8 @@ import ( "github.com/stretchr/testify/require" "github.com/stretchr/testify/suite" + "github.com/osmosis-labs/osmosis/osmomath" "github.com/osmosis-labs/osmosis/v13/app/apptesting/osmoassert" - "github.com/osmosis-labs/osmosis/v13/osmomath" sdkrand "github.com/osmosis-labs/osmosis/v13/simulation/simtypes/random" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/internal/cfmm_common" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/internal/test_helpers" diff --git a/x/gamm/pool-models/stableswap/pool.go b/x/gamm/pool-models/stableswap/pool.go index 62d13f7d67a..60c81ebb36b 100644 --- a/x/gamm/pool-models/stableswap/pool.go +++ b/x/gamm/pool-models/stableswap/pool.go @@ -8,7 +8,7 @@ import ( sdk "github.com/cosmos/cosmos-sdk/types" sdkerrors "github.com/cosmos/cosmos-sdk/types/errors" - "github.com/osmosis-labs/osmosis/v13/osmomath" + "github.com/osmosis-labs/osmosis/osmomath" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/internal/cfmm_common" "github.com/osmosis-labs/osmosis/v13/x/gamm/types" ) diff --git a/x/gamm/pool-models/stableswap/pool_test.go b/x/gamm/pool-models/stableswap/pool_test.go index ab9fc8e54ed..94cb59444fd 100644 --- a/x/gamm/pool-models/stableswap/pool_test.go +++ b/x/gamm/pool-models/stableswap/pool_test.go @@ -7,8 +7,13 @@ import ( sdk "github.com/cosmos/cosmos-sdk/types" "github.com/stretchr/testify/require" +<<<<<<< HEAD +======= + "github.com/tendermint/tendermint/crypto/ed25519" + + "github.com/osmosis-labs/osmosis/osmomath" +>>>>>>> 079702ea (Move osmomath into its own go.mod (#3771)) "github.com/osmosis-labs/osmosis/v13/app/apptesting/osmoassert" - "github.com/osmosis-labs/osmosis/v13/osmomath" "github.com/osmosis-labs/osmosis/v13/x/gamm/pool-models/internal/cfmm_common" "github.com/osmosis-labs/osmosis/v13/x/gamm/types" "github.com/tendermint/tendermint/crypto/ed25519" diff --git a/x/twap/logic.go b/x/twap/logic.go index 2f4a471111d..8eca432d83c 100644 --- a/x/twap/logic.go +++ b/x/twap/logic.go @@ -7,6 +7,10 @@ import ( sdk "github.com/cosmos/cosmos-sdk/types" +<<<<<<< HEAD +======= + "github.com/osmosis-labs/osmosis/osmomath" +>>>>>>> 079702ea (Move osmomath into its own go.mod (#3771)) "github.com/osmosis-labs/osmosis/v13/x/twap/types" ) diff --git a/x/twap/logic_test.go b/x/twap/logic_test.go index 243bb082589..bb19866c665 100644 --- a/x/twap/logic_test.go +++ b/x/twap/logic_test.go @@ -9,6 +9,7 @@ import ( sdk "github.com/cosmos/cosmos-sdk/types" "github.com/stretchr/testify/require" + "github.com/osmosis-labs/osmosis/osmomath" "github.com/osmosis-labs/osmosis/v13/app/apptesting/osmoassert" "github.com/osmosis-labs/osmosis/v13/osmoutils" gammtypes "github.com/osmosis-labs/osmosis/v13/x/gamm/types" diff --git a/x/twap/strategy.go b/x/twap/strategy.go new file mode 100644 index 00000000000..7863ff93a4b --- /dev/null +++ b/x/twap/strategy.go @@ -0,0 +1,59 @@ +package twap + +import ( + sdk "github.com/cosmos/cosmos-sdk/types" + + "github.com/osmosis-labs/osmosis/osmomath" + "github.com/osmosis-labs/osmosis/v13/x/twap/types" + + gammtypes "github.com/osmosis-labs/osmosis/v13/x/gamm/types" +) + +// twapStrategy is an interface for computing TWAPs. +// We have two strategies implementing the interface - arithmetic and geometric. +// We expose a common TWAP API to reduce duplication and avoid complexity. +type twapStrategy interface { + // computeTwap calculates the TWAP with specific startRecord and endRecord. + computeTwap(startRecord types.TwapRecord, endRecord types.TwapRecord, quoteAsset string) sdk.Dec +} + +type arithmetic struct { + TwapKeeper Keeper +} + +type geometric struct { + TwapKeeper Keeper +} + +// computeTwap computes and returns an arithmetic TWAP between +// two records given the quote asset. +func (s *arithmetic) computeTwap(startRecord types.TwapRecord, endRecord types.TwapRecord, quoteAsset string) sdk.Dec { + var accumDiff sdk.Dec + if quoteAsset == startRecord.Asset0Denom { + accumDiff = endRecord.P0ArithmeticTwapAccumulator.Sub(startRecord.P0ArithmeticTwapAccumulator) + } else { + accumDiff = endRecord.P1ArithmeticTwapAccumulator.Sub(startRecord.P1ArithmeticTwapAccumulator) + } + timeDelta := endRecord.Time.Sub(startRecord.Time) + return types.AccumDiffDivDuration(accumDiff, timeDelta) +} + +// computeTwap computes and returns a geometric TWAP between +// two records given the quote asset. +func (s *geometric) computeTwap(startRecord types.TwapRecord, endRecord types.TwapRecord, quoteAsset string) sdk.Dec { + accumDiff := endRecord.GeometricTwapAccumulator.Sub(startRecord.GeometricTwapAccumulator) + + timeDelta := endRecord.Time.Sub(startRecord.Time) + arithmeticMeanOfLogPrices := types.AccumDiffDivDuration(accumDiff, timeDelta) + + result := twapPow(arithmeticMeanOfLogPrices) + // N.B.: Geometric mean of recprocals is reciprocal of geometric mean. + // https://proofwiki.org/wiki/Geometric_Mean_of_Reciprocals_is_Reciprocal_of_Geometric_Mean + if quoteAsset == startRecord.Asset1Denom { + result = sdk.OneDec().Quo(result) + } + + // N.B. we round because this is the max number of significant figures supported + // by the underlying spot price function. + return osmomath.SigFigRound(result, gammtypes.SpotPriceSigFigs) +} diff --git a/x/twap/strategy_test.go b/x/twap/strategy_test.go new file mode 100644 index 00000000000..288ba439be3 --- /dev/null +++ b/x/twap/strategy_test.go @@ -0,0 +1,323 @@ +package twap_test + +import ( + "time" + + sdk "github.com/cosmos/cosmos-sdk/types" + + "github.com/osmosis-labs/osmosis/osmomath" + "github.com/osmosis-labs/osmosis/v13/app/apptesting/osmoassert" + gammtypes "github.com/osmosis-labs/osmosis/v13/x/gamm/types" + "github.com/osmosis-labs/osmosis/v13/x/twap" + "github.com/osmosis-labs/osmosis/v13/x/twap/types" +) + +type computeTwapTestCase struct { + startRecord types.TwapRecord + endRecord types.TwapRecord + twapStrategies []twap.TwapStrategy + quoteAsset string + expTwap sdk.Dec + expErr bool + expPanic bool +} + +var ( + oneHundredYears = OneSec.MulInt64(60 * 60 * 24 * 365 * 100) +) + +// TestComputeArithmeticTwap tests computeTwap on various inputs. +// The test vectors are structured by setting up different start and records, +// based on time interval, and their accumulator values. +// Then an expected TWAP is provided in each test case, to compare against computed. +func (s *TestSuite) TestComputeTwap() { + arithStrategy := &twap.ArithmeticTwapStrategy{ + TwapKeeper: *s.App.TwapKeeper, + } + + geomStrategy := &twap.GeometricTwapStrategy{ + TwapKeeper: *s.App.TwapKeeper, + } + + tests := map[string]computeTwapTestCase{ + "arithmetic only, basic: spot price = 1 for one second, 0 init accumulator": { + startRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + endRecord: newOneSidedRecord(tPlusOne, OneSec, true), + quoteAsset: denom0, + twapStrategies: []twap.TwapStrategy{ + arithStrategy, + }, + expTwap: sdk.OneDec(), + }, + // this test just shows what happens in case the records are reversed. + // It should return the correct result, even though this is incorrect internal API usage + "arithmetic only: invalid call: reversed records of above": { + startRecord: newOneSidedRecord(tPlusOne, OneSec, true), + endRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + quoteAsset: denom0, + twapStrategies: []twap.TwapStrategy{ + arithStrategy, + }, + expTwap: sdk.OneDec(), + }, + "same record: denom0, end spot price = 0": { + startRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + endRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + quoteAsset: denom0, + twapStrategies: []twap.TwapStrategy{ + arithStrategy, + geomStrategy, + }, + expTwap: sdk.ZeroDec(), + }, + "same record: denom1, end spot price = 1": { + startRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + endRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + quoteAsset: denom1, + twapStrategies: []twap.TwapStrategy{ + arithStrategy, + geomStrategy, + }, + expTwap: sdk.OneDec(), + }, + "arithmetic only: accumulator = 10*OneSec, t=5s. 0 base accum": testCaseFromDeltas( + s, sdk.ZeroDec(), tenSecAccum, 5*time.Second, sdk.NewDec(2)), + "arithmetic only: accumulator = 10*OneSec, t=100s. 0 base accum (asset 1)": testCaseFromDeltasAsset1(s, sdk.ZeroDec(), OneSec.MulInt64(10), 100*time.Second, sdk.NewDecWithPrec(1, 1)), + "geometric only: accumulator = log(10)*OneSec, t=5s. 0 base accum": geometricTestCaseFromDeltas0( + s, sdk.ZeroDec(), geometricTenSecAccum, 5*time.Second, twap.TwapPow(geometricTenSecAccum.QuoInt64(5*1000))), + "geometric only: accumulator = log(10)*OneSec, t=100s. 0 base accum (asset 1)": geometricTestCaseFromDeltas1(s, sdk.ZeroDec(), geometricTenSecAccum, 100*time.Second, sdk.OneDec().Quo(twap.TwapPow(geometricTenSecAccum.QuoInt64(100*1000)))), + "three asset same record: asset1, end spot price = 1": { + startRecord: newThreeAssetOneSidedRecord(baseTime, sdk.ZeroDec(), true)[1], + endRecord: newThreeAssetOneSidedRecord(baseTime, sdk.ZeroDec(), true)[1], + quoteAsset: denom2, + expTwap: sdk.OneDec(), + twapStrategies: []twap.TwapStrategy{ + arithStrategy, + geomStrategy, + }, + }, + } + for name, test := range tests { + s.Run(name, func() { + for _, twapStrategy := range test.twapStrategies { + actualTwap, err := twap.ComputeTwap(test.startRecord, test.endRecord, test.quoteAsset, twapStrategy) + s.Require().NoError(err) + osmoassert.DecApproxEq(s.T(), test.expTwap, actualTwap, osmomath.GetPowPrecision()) + } + }) + } +} + +// TestComputeArithmeticStrategyTwap tests arithmetic strategy's computeTwap +// Contrary to computeTwap function (logic.go) that handles the cases with zero delta correctly, +// this function should panic in case of zero delta. +func (s *TestSuite) TestComputeArithmeticStrategyTwap() { + pointOneAccum := OneSec.QuoInt64(10) + tests := map[string]computeTwapTestCase{ + "basic: spot price = 1 for one second, 0 init accumulator": { + startRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + endRecord: newOneSidedRecord(tPlusOne, OneSec, true), + quoteAsset: denom0, + expTwap: sdk.OneDec(), + }, + // this test just shows what happens in case the records are reversed. + // It should return the correct result, even though this is incorrect internal API usage + "invalid call: reversed records of above": { + startRecord: newOneSidedRecord(tPlusOne, OneSec, true), + endRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + quoteAsset: denom0, + expTwap: sdk.OneDec(), + }, + "same record (zero time delta), division by 0 - panic": { + startRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + endRecord: newOneSidedRecord(baseTime, sdk.ZeroDec(), true), + quoteAsset: denom0, + expPanic: true, + }, + "accumulator = 10*OneSec, t=5s. 0 base accum": testCaseFromDeltas( + s, sdk.ZeroDec(), tenSecAccum, 5*time.Second, sdk.NewDec(2)), + "accumulator = 10*OneSec, t=3s. 0 base accum": testCaseFromDeltas( + s, sdk.ZeroDec(), tenSecAccum, 3*time.Second, ThreePlusOneThird), + "accumulator = 10*OneSec, t=100s. 0 base accum": testCaseFromDeltas( + s, sdk.ZeroDec(), tenSecAccum, 100*time.Second, sdk.NewDecWithPrec(1, 1)), + + // test that base accum has no impact + "accumulator = 10*OneSec, t=5s. 10 base accum": testCaseFromDeltas( + s, sdk.NewDec(10), tenSecAccum, 5*time.Second, sdk.NewDec(2)), + "accumulator = 10*OneSec, t=3s. 10*second base accum": testCaseFromDeltas( + s, tenSecAccum, tenSecAccum, 3*time.Second, ThreePlusOneThird), + "accumulator = 10*OneSec, t=100s. .1*second base accum": testCaseFromDeltas( + s, pointOneAccum, tenSecAccum, 100*time.Second, sdk.NewDecWithPrec(1, 1)), + + "accumulator = 10*OneSec, t=100s. 0 base accum (asset 1)": testCaseFromDeltasAsset1(s, sdk.ZeroDec(), OneSec.MulInt64(10), 100*time.Second, sdk.NewDecWithPrec(1, 1)), + } + for name, test := range tests { + s.Run(name, func() { + osmoassert.ConditionalPanic(s.T(), test.expPanic, func() { + arithmeticStrategy := &twap.ArithmeticTwapStrategy{TwapKeeper: *s.App.TwapKeeper} + actualTwap := arithmeticStrategy.ComputeTwap(test.startRecord, test.endRecord, test.quoteAsset) + s.Require().Equal(test.expTwap, actualTwap) + }) + }) + } +} + +// TestComputeGeometricStrategyTwap tests geometric strategy's computeTwap +// Contrary to computeTwap function (logic.go) that handles the cases with zero delta correctly, +// this function should panic in case of zero delta. +func (s *TestSuite) TestComputeGeometricStrategyTwap() { + tests := map[string]computeTwapTestCase{ + // basic test for both denom with zero start accumulator + "basic denom0: spot price = 1 for one second, 0 init accumulator": { + startRecord: newOneSidedGeometricRecord(baseTime, sdk.ZeroDec()), + endRecord: newOneSidedGeometricRecord(tPlusOne, geometricTenSecAccum), + quoteAsset: denom0, + expTwap: sdk.NewDec(10), + }, + "basic denom1: spot price = 1 for one second, 0 init accumulator": { + startRecord: newOneSidedGeometricRecord(baseTime, sdk.ZeroDec()), + endRecord: newOneSidedGeometricRecord(tPlusOne, geometricTenSecAccum), + quoteAsset: denom1, + expTwap: sdk.OneDec().Quo(sdk.NewDec(10)), + }, + + // basic test for both denom with non-zero start accumulator + "denom0: start accumulator of 10 * 1s, end accumulator 10 * 1s + 20 * 2s = 20": { + startRecord: newOneSidedGeometricRecord(baseTime, geometricTenSecAccum), + endRecord: newOneSidedGeometricRecord(baseTime.Add(time.Second*2), geometricTenSecAccum.Add(OneSec.MulInt64(2).Mul(twap.TwapLog(sdk.NewDec(20))))), + quoteAsset: denom0, + expTwap: sdk.NewDec(20), + }, + "denom1 start accumulator of 10 * 1s, end accumulator 10 * 1s + 20 * 2s = 20": { + startRecord: newOneSidedGeometricRecord(baseTime, geometricTenSecAccum), + endRecord: newOneSidedGeometricRecord(baseTime.Add(time.Second*2), geometricTenSecAccum.Add(OneSec.MulInt64(2).Mul(twap.TwapLog(sdk.NewDec(20))))), + quoteAsset: denom1, + expTwap: sdk.OneDec().Quo(sdk.NewDec(20)), + }, + + // toggle time delta. + "accumulator = log(10)*OneSec, t=5s. 0 base accum": geometricTestCaseFromDeltas0( + s, sdk.ZeroDec(), geometricTenSecAccum, 5*time.Second, twap.TwapPow(geometricTenSecAccum.QuoInt64(5*1000))), + "accumulator = log(10)*OneSec, t=3s. 0 base accum": geometricTestCaseFromDeltas0( + s, sdk.ZeroDec(), geometricTenSecAccum, 3*time.Second, twap.TwapPow(geometricTenSecAccum.QuoInt64(3*1000))), + "accumulator = log(10)*OneSec, t=100s. 0 base accum": geometricTestCaseFromDeltas0( + s, sdk.ZeroDec(), geometricTenSecAccum, 100*time.Second, twap.TwapPow(geometricTenSecAccum.QuoInt64(100*1000))), + + // test that base accum has no impact + "accumulator = log(10)*OneSec, t=5s. 10 base accum": geometricTestCaseFromDeltas0( + s, logTen, geometricTenSecAccum, 5*time.Second, twap.TwapPow(geometricTenSecAccum.QuoInt64(5*1000))), + "accumulator = log(10)*OneSec, t=3s. 10*second base accum": geometricTestCaseFromDeltas0( + s, OneSec.MulInt64(10).Mul(logTen), geometricTenSecAccum, 3*time.Second, twap.TwapPow(geometricTenSecAccum.QuoInt64(3*1000))), + "accumulator = 10*OneSec, t=100s. .1*second base accum": geometricTestCaseFromDeltas0( + s, OneSec.MulInt64(10).Mul(logOneOverTen), geometricTenSecAccum, 100*time.Second, twap.TwapPow(geometricTenSecAccum.QuoInt64(100*1000))), + + // TODO: this is the highest price we currently support with the given precision bounds. + // Need to choose better base and potentially improve math functions to mitigate. + "price of 1_000_000 for an hour": { + startRecord: newOneSidedGeometricRecord(baseTime, sdk.ZeroDec()), + endRecord: newOneSidedGeometricRecord(baseTime.Add(time.Hour), OneSec.MulInt64(60*60).Mul(twap.TwapLog(sdk.NewDec(1_000_000)))), + quoteAsset: denom0, + expTwap: sdk.NewDec(1_000_000), + }, + // TODO: overflow tests + // - max spot price + // - large time delta + // - both + + // TODO: hand calculated tests + } + + for name, tc := range tests { + s.Run(name, func() { + osmoassert.ConditionalPanic(s.T(), tc.expPanic, func() { + geometricStrategy := &twap.GeometricTwapStrategy{TwapKeeper: *s.App.TwapKeeper} + actualTwap := geometricStrategy.ComputeTwap(tc.startRecord, tc.endRecord, tc.quoteAsset) + osmoassert.DecApproxEq(s.T(), tc.expTwap, actualTwap, osmomath.GetPowPrecision()) + }) + }) + } +} + +func (s *TestSuite) TestComputeArithmeticStrategyTwap_ThreeAsset() { + tenSecAccum := OneSec.MulInt64(10) + pointOneAccum := OneSec.QuoInt64(10) + tests := map[string]computeThreeAssetArithmeticTwapTestCase{ + "three asset basic: spot price = 1 for one second, 0 init accumulator": { + startRecord: newThreeAssetOneSidedRecord(baseTime, sdk.ZeroDec(), true), + endRecord: newThreeAssetOneSidedRecord(tPlusOne, OneSec, true), + quoteAsset: []string{denom0, denom0, denom1}, + expTwap: []sdk.Dec{sdk.OneDec(), sdk.OneDec(), sdk.OneDec()}, + }, + "three asset. accumulator = 10*OneSec, t=5s. 0 base accum": testThreeAssetCaseFromDeltas( + sdk.ZeroDec(), tenSecAccum, 5*time.Second, sdk.NewDec(2)), + + // test that base accum has no impact + "three asset. accumulator = 10*OneSec, t=5s. 10 base accum": testThreeAssetCaseFromDeltas( + sdk.NewDec(10), tenSecAccum, 5*time.Second, sdk.NewDec(2)), + "three asset. accumulator = 10*OneSec, t=100s. .1*second base accum": testThreeAssetCaseFromDeltas( + pointOneAccum, tenSecAccum, 100*time.Second, sdk.NewDecWithPrec(1, 1)), + } + for name, test := range tests { + s.Run(name, func() { + for i, startRec := range test.startRecord { + arithmeticStrategy := &twap.ArithmeticTwapStrategy{TwapKeeper: *s.App.TwapKeeper} + actualTwap := arithmeticStrategy.ComputeTwap(startRec, test.endRecord[i], test.quoteAsset[i]) + s.Require().Equal(test.expTwap[i], actualTwap) + } + }) + } +} + +func (s *TestSuite) TestComputeGeometricStrategyTwap_ThreeAsset() { + var ( + five = sdk.NewDec(5) + fiveFor3Sec = OneSec.MulInt64(3).Mul(twap.TwapLog(five)) + + ten = five.MulInt64(2) + tenFor100Sec = OneSec.MulInt64(100).Mul(twap.TwapLog(ten)) + + errTolerance = sdk.MustNewDecFromStr("0.00000001") + ) + + tests := map[string]computeThreeAssetArithmeticTwapTestCase{ + "three asset basic: spot price = 10 for one second, 0 init accumulator": { + startRecord: newThreeAssetOneSidedRecord(baseTime, sdk.ZeroDec(), true), + endRecord: newThreeAssetOneSidedRecord(tPlusOne, geometricTenSecAccum, true), + quoteAsset: []string{denom0, denom0, denom1}, + expTwap: []sdk.Dec{sdk.NewDec(10), sdk.NewDec(10), sdk.NewDec(10)}, + }, + "three asset. accumulator = 5*3Sec, t=3s, no start accum": testThreeAssetCaseFromDeltas( + sdk.ZeroDec(), fiveFor3Sec, 3*time.Second, five), + + // test that base accum has no impact + "three asset. accumulator = 5*3Sec, t=3s. 10 base accum": testThreeAssetCaseFromDeltas( + geometricTenSecAccum, fiveFor3Sec, 3*time.Second, five), + "three asset. accumulator = 100*100s, t=100s. .1*second base accum": testThreeAssetCaseFromDeltas( + twap.TwapLog(OneSec.Quo(ten)), tenFor100Sec, 100*time.Second, ten), + } + for name, test := range tests { + s.Run(name, func() { + for i, startRec := range test.startRecord { + geometricStrategy := &twap.GeometricTwapStrategy{TwapKeeper: *s.App.TwapKeeper} + actualTwap := geometricStrategy.ComputeTwap(startRec, test.endRecord[i], test.quoteAsset[i]) + osmoassert.DecApproxEq(s.T(), test.expTwap[i], actualTwap, errTolerance) + } + }) + } +} + +// TestTwapPow_MaxSpotPrice_NoOverflow tests that no overflow occurs at log_2{max spot price values}. +// and that the epsilon is within the tolerated multiplicative error. +func (s *TestSuite) TestTwapLogPow_MaxSpotPrice_NoOverflow() { + errTolerance := osmomath.ErrTolerance{ + MultiplicativeTolerance: sdk.OneDec().Quo(sdk.NewDec(10).Power(18)), + RoundingDir: osmomath.RoundDown, + } + + oneHundredYearsTimesMaxSpotPrice := oneHundredYears.Mul(gammtypes.MaxSpotPrice) + + exponentValue := twap.TwapLog(oneHundredYearsTimesMaxSpotPrice) + finalValue := twap.TwapPow(exponentValue) + + s.Require().Equal(0, errTolerance.CompareBigDec(osmomath.BigDecFromSDKDec(oneHundredYearsTimesMaxSpotPrice), osmomath.BigDecFromSDKDec(finalValue))) +}