feat(x/twap): use exp2 in twapPow; add overflow test

osmosis-labs · Dec 21, 2022 · 654b2a5 · 654b2a5
1 parent d1349db
commit 654b2a5
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Showing 4 changed files with 31 additions and 17 deletions.
diff --git a/x/twap/export_test.go b/x/twap/export_test.go
@@ -15,8 +15,6 @@ type (
 	GeometricTwapStrategy  = geometric
 )
 
-var GeometricTwapMathBase = geometricTwapMathBase
-
 func (k Keeper) StoreNewRecord(ctx sdk.Context, record types.TwapRecord) {
 	k.storeNewRecord(ctx, record)
 }

diff --git a/x/twap/logic.go b/x/twap/logic.go
@@ -11,15 +11,6 @@ import (
 	"github.com/osmosis-labs/osmosis/v13/x/twap/types"
 )
 
-// geometricTwapMathBase is the base used for geometric twap calculation
-// in logarithm and power math functions.
-// See twapLog and computeGeometricTwap functions for more details.
-var (
-	geometricTwapMathBase = sdk.NewDec(2)
-	// TODO: analyze choice.
-	geometricTwapPowPrecision = sdk.MustNewDecFromStr("0.00000001")
-)
-
 func newTwapRecord(k types.AmmInterface, ctx sdk.Context, poolId uint64, denom0, denom1 string) (types.TwapRecord, error) {
 	denom0, denom1, err := types.LexicographicalOrderDenoms(denom0, denom1)
 	if err != nil {
@@ -268,13 +259,11 @@ func computeTwap(startRecord types.TwapRecord, endRecord types.TwapRecord, quote
 }
 
 // twapLog returns the logarithm of the given spot price, base 2.
-// TODO: basic test
 func twapLog(price sdk.Dec) sdk.Dec {
 	return osmomath.BigDecFromSDKDec(price).LogBase2().SDKDec()
 }
 
 // twapPow exponentiates the geometricTwapMathBase to the given exponent.
-// TODO: basic test and benchmark.
 func twapPow(exponent sdk.Dec) sdk.Dec {
-	return osmomath.PowApprox(geometricTwapMathBase, exponent, geometricTwapPowPrecision)
+	return osmomath.Exp2(osmomath.BigDecFromSDKDec(exponent)).SDKDec()
 }
diff --git a/x/twap/logic_test.go b/x/twap/logic_test.go
@@ -1327,20 +1327,21 @@ func (s *TestSuite) TestTwapLog() {
 	var expectedValue = osmomath.MustNewDecFromStr("99.525973560175362367")
 
 	result := twap.TwapLog(priceValue.SDKDec())
-	result_by_customBaseLog := priceValue.CustomBaseLog(osmomath.BigDecFromSDKDec(twap.GeometricTwapMathBase))
+	result_by_customBaseLog := priceValue.CustomBaseLog(geometricTwapMathBase)
 	s.Require().True(expectedValue.Sub(osmomath.BigDecFromSDKDec(result)).Abs().LTE(expectedErrTolerance))
 	s.Require().True(result_by_customBaseLog.Sub(osmomath.BigDecFromSDKDec(result)).Abs().LTE(expectedErrTolerance))
 }
 
-func (s *TestSuite) TestTwapPow() {
+// TestTwapPow_CorrectBase tests that the right base is used for the twap power function.
+func (s *TestSuite) TestTwapPow_CorrectBase() {
 	var expectedErrTolerance = osmomath.MustNewDecFromStr("0.00000100")
 	// "TwapPow(0.5) = 1.41421356"
 	// From: https://www.wolframalpha.com/input?i2d=true&i=power+base+2+exponent+0.5+with+9+digits
 	exponentValue := osmomath.MustNewDecFromStr("0.5")
 	expectedValue := osmomath.MustNewDecFromStr("1.41421356")
 
 	result := twap.TwapPow(exponentValue.SDKDec())
-	result_by_mathPow := math.Pow(twap.GeometricTwapMathBase.MustFloat64(), exponentValue.SDKDec().MustFloat64())
+	result_by_mathPow := math.Pow(geometricTwapMathBase.MustFloat64(), exponentValue.SDKDec().MustFloat64())
 	s.Require().True(expectedValue.Sub(osmomath.BigDecFromSDKDec(result)).Abs().LTE(expectedErrTolerance))
 	s.Require().True(osmomath.MustNewDecFromStr(fmt.Sprint(result_by_mathPow)).Sub(osmomath.BigDecFromSDKDec(result)).Abs().LTE(expectedErrTolerance))
 }

diff --git a/x/twap/strategy_test.go b/x/twap/strategy_test.go
@@ -7,6 +7,7 @@ import (
 
 	"github.com/osmosis-labs/osmosis/v13/app/apptesting/osmoassert"
 	"github.com/osmosis-labs/osmosis/v13/osmomath"
+	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"
 )
@@ -21,6 +22,13 @@ type computeTwapTestCase struct {
 	expPanic       bool
 }
 
+// geometricTwapMathBase is the base used for geometric twap calculation
+// in logarithm and power math functions.
+// See twapLog and computeGeometricTwap functions for more details.
+var (
+	geometricTwapMathBase = osmomath.NewBigDec(2)
+)
+
 // 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.
@@ -300,3 +308,21 @@ func (s *TestSuite) TestComputeGeometricStrategyTwap_ThreeAsset() {
 		})
 	}
 }
+
+// TestTwapPow_MaxSpotPrice_NoOverflow tests that no overflow occurs at log_2{max spot price values}.
+// and that the epsilot 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,
+	}
+
+	oneYear := OneSec.MulInt64(60 * 60 * 24 * 365)
+
+	oneYearTimesMaxSpotPrice := oneYear.Mul(gammtypes.MaxSpotPrice)
+
+	exponentValue := twap.TwapLog(oneYearTimesMaxSpotPrice)
+	finalValue := twap.TwapPow(exponentValue)
+
+	s.Equal(0, errTolerance.CompareBigDec(osmomath.BigDecFromSDKDec(oneYearTimesMaxSpotPrice), osmomath.BigDecFromSDKDec(finalValue)))
+}