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[x/gamm][stableswap]: Expand inverse relation tests to multi assets a…
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…nd add scaling factors (#3006)

* expand inverse relation tests to multi assets and add scaling factors

* tighten binary search bounds to fit spec

* remove todo

* Fix sped

* move output negation to caller

Co-authored-by: Dev Ojha <[email protected]>
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@AlpinYukseloglu @ValarDragon
AlpinYukseloglu and ValarDragon authored Oct 21, 2022
1 parent fdbdc78 commit 4a67cdd
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Showing 3 changed files with 157 additions and 28 deletions.
2 changes: 1 addition & 1 deletion x/gamm/pool-models/stableswap/README.md
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Original file line number Diff line number Diff line change
Expand Up @@ -146,7 +146,7 @@ def iterative_search(x_f, y_0, w, k, err_tolerance):
# k_0 < k. Need to find an upperbound. Worst case assume a linear relationship, gives an upperbound
# TODO: In the future, we can derive better bounds via reasoning about coefficients in the cubic
# These are quite close when we are in the "stable" part of the curve though.
upperbound = ceil(y_0 * k_ratio)
upperbound = ceil(y_0 / k_ratio)
elif k_ratio > 1:
# need to find a lowerbound. We could use a cubic relation, but for now we just set it to 0.
lowerbound = 0
Expand Down
30 changes: 24 additions & 6 deletions x/gamm/pool-models/stableswap/amm.go
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Original file line number Diff line number Diff line change
Expand Up @@ -188,7 +188,7 @@ func solveCFMMBinarySearch(constantFunction func(osmomath.BigDec, osmomath.BigDe
panic(err)
}

xOut := xReserve.Sub(x_est).Abs()
xOut := xReserve.Sub(x_est)
if xOut.GTE(xReserve) {
panic("invalid output: greater than full pool reserves")
}
Expand All @@ -199,15 +199,30 @@ func solveCFMMBinarySearch(constantFunction func(osmomath.BigDec, osmomath.BigDe
// solveCFMMBinarySearch searches the correct dx using binary search over constant K.
// added for future extension
func solveCFMMBinarySearchMulti(xReserve, yReserve, wSumSquares, yIn osmomath.BigDec) osmomath.BigDec {
if !xReserve.IsPositive() || !yReserve.IsPositive() || wSumSquares.IsNegative() || !yIn.IsPositive() {
if !xReserve.IsPositive() || !yReserve.IsPositive() || wSumSquares.IsNegative() {
panic("invalid input: reserves and input must be positive")
} else if yIn.GTE(yReserve) {
} else if yIn.Abs().GTE(yReserve) {
panic("cannot input more than pool reserves")
}
k := cfmmConstantMultiNoV(xReserve, yReserve, wSumSquares)
yFinal := yReserve.Add(yIn)
xLowEst := osmomath.ZeroDec()
xHighEst := xReserve
xLowEst, xHighEst := xReserve, xReserve
k0 := cfmmConstantMultiNoV(xReserve, yFinal, wSumSquares)
k := cfmmConstantMultiNoV(xReserve, yReserve, wSumSquares)
kRatio := k0.Quo(k)

if kRatio.LT(osmomath.OneDec()) {
// k_0 < k. Need to find an upperbound. Worst case assume a linear relationship, gives an upperbound
// TODO: In the future, we can derive better bounds via reasoning about coefficients in the cubic
// These are quite close when we are in the "stable" part of the curve though.
xHighEst = xReserve.Quo(kRatio).Ceil()
} else if kRatio.GT(osmomath.OneDec()) {
// need to find a lowerbound. We could use a cubic relation, but for now we just set it to 0.
xLowEst = osmomath.ZeroDec()
} else {
// k remains unchanged, so xOut = 0
return osmomath.ZeroDec()
}

maxIterations := 256
errTolerance := osmoutils.ErrTolerance{AdditiveTolerance: sdk.OneInt(), MultiplicativeTolerance: sdk.Dec{}}

Expand Down Expand Up @@ -296,6 +311,9 @@ func (p *Pool) calcInAmtGivenOut(tokenOut sdk.Coin, tokenInDenom string, swapFee
// We are solving for the amount of token in, cfmm(x,y) = cfmm(x + x_in, y - y_out)
// x = tokenInSupply, y = tokenOutSupply, yIn = -tokenOutAmount
cfmmIn := solveCfmm(tokenInSupply, tokenOutSupply, remReserves, tokenOutAmount.Neg())
// returned cfmmIn is negative, representing we need to add this many tokens to pool.
// We invert that negative here.
cfmmIn = cfmmIn.Neg()
// handle swap fee
inAmt := cfmmIn.QuoRoundUp(oneMinus(swapFee))
// divide by (1 - swapfee) to force a corresponding increase in input asset
Expand Down
153 changes: 132 additions & 21 deletions x/gamm/pool-models/stableswap/amm_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -505,41 +505,153 @@ func (suite *StableSwapTestSuite) Test_StableSwap_CalculateAmountOutAndIn_Invers

denomIn string
initialPoolIn int64

poolLiquidity sdk.Coins
scalingFactors []uint64
}

// For every test case in testcases, apply a swap fee in swapFeeCases.
testcases := []testcase{
{
testcases := map[string]testcase{
// two-asset pools
"even pool": {
denomIn: "ion",
denomOut: "uosmo",
initialCalcOut: 100,

poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(1_000_000_000)),
),
scalingFactors: []uint64{1, 1},
},
"uneven pool (2:1)": {
denomIn: "ion",
denomOut: "uosmo",
initialCalcOut: 100,

poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(500_000)),
),
scalingFactors: []uint64{1, 1},
},
"uneven pool (1_000_000:1)": {
denomIn: "ion",
denomOut: "uosmo",
initialCalcOut: 100,

poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(1_000)),
),
scalingFactors: []uint64{1, 1},
},
"uneven pool (1:1_000_000)": {
denomIn: "ion",
denomOut: "uosmo",
initialCalcOut: 100,

poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000)),
sdk.NewCoin("uosmo", sdk.NewInt(1_000_000_000)),
),
scalingFactors: []uint64{1, 1},
},
"even pool, uneven scaling factors": {
denomIn: "ion",
denomOut: "uosmo",
initialCalcOut: 100,

poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(1_000_000_000)),
),
scalingFactors: []uint64{1, 8},
},
"uneven pool, uneven scaling factors": {
denomIn: "ion",
denomOut: "uosmo",
initialCalcOut: 100,

poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(500_000)),
),
scalingFactors: []uint64{1, 9},
},

// multi asset pools
"even multi-asset pool": {
denomIn: "ion",
denomOut: "uosmo",
initialCalcOut: 100,

poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(1_000_000)),
sdk.NewCoin("foo", sdk.NewInt(1_000_000)),
),
scalingFactors: []uint64{1, 1, 1},
},
"uneven multi-asset pool (2:1:2)": {
denomIn: "ion",
denomOut: "uosmo",
initialCalcOut: 100,

poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(500_000)),
sdk.NewCoin("foo", sdk.NewInt(1_000_000)),
),
scalingFactors: []uint64{1, 1, 1},
},
"uneven multi-asset pool (1_000_000:1:1_000_000)": {
denomIn: "ion",
denomOut: "uosmo",
initialPoolOut: 1_000_000_000,
initialCalcOut: 100,

denomIn: "ion",
initialPoolIn: 1_000_000_000,
poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(1_000)),
sdk.NewCoin("foo", sdk.NewInt(1_000_000)),
),
scalingFactors: []uint64{1, 1, 1},
},
{
"uneven multi-asset pool (1:1_000_000:1_000_000)": {
denomIn: "ion",
denomOut: "uosmo",
initialPoolOut: 500_000,
initialCalcOut: 100,

denomIn: "ion",
initialPoolIn: 1_000_000,
poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000)),
sdk.NewCoin("uosmo", sdk.NewInt(1_000_000)),
sdk.NewCoin("foo", sdk.NewInt(1_000_000)),
),
scalingFactors: []uint64{1, 1, 1},
},
{
"even multi-asset pool, uneven scaling factors": {
denomIn: "ion",
denomOut: "uosmo",
initialPoolOut: 1_000,
initialCalcOut: 100,

denomIn: "ion",
initialPoolIn: 1_000_000_000,
poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(1_000_000)),
sdk.NewCoin("foo", sdk.NewInt(1_000_000)),
),
scalingFactors: []uint64{5, 3, 9},
},
{
"uneven multi-asset pool (2:1:2), uneven scaling factors": {
denomIn: "ion",
denomOut: "uosmo",
initialPoolOut: 1_000_000_000,
initialCalcOut: 100,

denomIn: "ion",
initialPoolIn: 1_000,
poolLiquidity: sdk.NewCoins(
sdk.NewCoin("ion", sdk.NewInt(1_000_000)),
sdk.NewCoin("uosmo", sdk.NewInt(500_000)),
sdk.NewCoin("foo", sdk.NewInt(1_000_000)),
),
scalingFactors: []uint64{100, 76, 33},
},
}

Expand All @@ -559,9 +671,8 @@ func (suite *StableSwapTestSuite) Test_StableSwap_CalculateAmountOutAndIn_Invers
suite.Run(getTestCaseName(tc, swapFee), func() {
ctx := suite.CreateTestContext()

poolLiquidityIn := sdk.NewInt64Coin(tc.denomOut, tc.initialPoolOut)
poolLiquidityOut := sdk.NewInt64Coin(tc.denomIn, tc.initialPoolIn)
poolLiquidity := sdk.NewCoins(poolLiquidityIn, poolLiquidityOut)
poolLiquidityIn := sdk.NewInt64Coin(tc.denomIn, tc.initialPoolIn)
poolLiquidityOut := sdk.NewInt64Coin(tc.denomOut, tc.initialPoolOut)

swapFeeDec, err := sdk.NewDecFromStr(swapFee)
suite.Require().NoError(err)
Expand All @@ -570,7 +681,7 @@ func (suite *StableSwapTestSuite) Test_StableSwap_CalculateAmountOutAndIn_Invers
suite.Require().NoError(err)

// TODO: add scaling factors into inverse relationship tests
pool := createTestPool(suite.T(), poolLiquidity, swapFeeDec, exitFeeDec, []uint64{1, 1})
pool := createTestPool(suite.T(), tc.poolLiquidity, swapFeeDec, exitFeeDec, tc.scalingFactors)
suite.Require().NotNil(pool)
test_helpers.TestCalculateAmountOutAndIn_InverseRelationship(suite.T(), ctx, pool, poolLiquidityIn.Denom, poolLiquidityOut.Denom, tc.initialCalcOut, swapFeeDec)
})
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