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Fix spotprice sigfig rounding for small spot prices #1699

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merged 4 commits into from
Jun 7, 2022
Merged

Fix spotprice sigfig rounding for small spot prices #1699

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88e700f
Fix spotprice sigfig rounding for small spot prices
ValarDragon Jun 7, 2022
a767f00
Changelog
ValarDragon Jun 7, 2022
1b115ff
Fix off by one in precision
ValarDragon Jun 7, 2022
3941f55
Address PR comment
ValarDragon Jun 7, 2022
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2 changes: 2 additions & 0 deletions CHANGELOG.md
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Expand Up @@ -44,6 +44,8 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

### Breaking Changes

* [#1699](https://github.com/osmosis-labs/osmosis/pull/1699) Fixes bug in sig fig rounding on spot price queries for small values

#### golang API breaks

* [#1671](https://github.com/osmosis-labs/osmosis/pull/1671) Remove methods that constitute AppModuleSimulation APIs for several modules' AppModules, which implemented no-ops
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2 changes: 1 addition & 1 deletion app/apptesting/gamm.go
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Expand Up @@ -45,7 +45,7 @@ func (suite *KeeperTestHelper) PrepareBalancerPool() uint64 {
spotPrice, err = suite.App.GAMMKeeper.CalculateSpotPrice(suite.Ctx, poolId, "baz", "foo")
suite.NoError(err)
s := sdk.NewDec(1).Quo(sdk.NewDec(3))
sp := s.Mul(gammtypes.SigFigs).RoundInt().ToDec().Quo(gammtypes.SigFigs)
sp := s.MulInt(gammtypes.SigFigs).RoundInt().ToDec().QuoInt(gammtypes.SigFigs)
suite.Equal(sp.String(), spotPrice.String())

return poolId
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26 changes: 26 additions & 0 deletions osmomath/sigfig_round.go
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@@ -0,0 +1,26 @@
package osmomath

import sdk "github.com/cosmos/cosmos-sdk/types"

var pointOne = sdk.OneDec().QuoInt64(10)

func SigFigRound(d sdk.Dec, tenToSigFig sdk.Int) sdk.Dec {
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Let's create an issue to add unit tests directly for this function

// for d > .1, we do round(d * 10^sigfig) / 10^sigfig
// for k, where 10^k*d > 1 && 10^{k-1}*d < .1, we do:
// (round(10^k * d * 10^sigfig) / (10^sigfig * 10^k)
// take note of floor div, vs normal div
k := uint64(0)
dTimesK := d
for ; dTimesK.LT(pointOne); k += 1 {
dTimesK.MulInt64Mut(10)
}
// d * 10^k * 10^sigfig
dkSigFig := dTimesK.MulInt(tenToSigFig)
numerator := dkSigFig.RoundInt().ToDec()
denominator := tenToSigFig
if k != 0 {
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if k == 0, then tenTok is 1 so the conditional might be redundant

Please consider removing it. I found translating the comment above directly to code to be very helpful. At first, this check got me confused.

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Yeah I guess thats fair, don't need to optimize on two multiplications right now / there are better ways to do that.

tenToK := sdk.NewInt(10).ToDec().Power(k)
denominator = denominator.Mul(tenToK.TruncateInt())
}
return numerator.QuoInt(denominator)
}
3 changes: 2 additions & 1 deletion x/gamm/pool-models/balancer/amm.go
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Expand Up @@ -195,7 +195,8 @@ func (p Pool) SpotPrice(ctx sdk.Context, baseAsset, quoteAsset string) (sdk.Dec,
invWeightRatio := quote.Weight.ToDec().Quo(base.Weight.ToDec())
supplyRatio := base.Token.Amount.ToDec().Quo(quote.Token.Amount.ToDec())
fullRatio := supplyRatio.Mul(invWeightRatio)
ratio := (fullRatio.Mul(types.SigFigs).RoundInt()).ToDec().Quo(types.SigFigs)
// we want to round this to `SigFigs` of precision
ratio := osmomath.SigFigRound(fullRatio, types.SigFigs)
return ratio, nil
}

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14 changes: 14 additions & 0 deletions x/gamm/pool-models/balancer/amm_test.go
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Expand Up @@ -53,6 +53,20 @@ func (suite *KeeperTestSuite) TestBalancerSpotPrice() {
expectError: false,
expectedOutput: sdk.MustNewDecFromStr("1.913043480000000000"), // ans is 1.913043478260869565, rounded is 1.91304348
},
{
name: "check number of sig figs",
baseDenomPoolInput: sdk.NewInt64Coin(baseDenom, 100),
quoteDenomPoolInput: sdk.NewInt64Coin(quoteDenom, 300),
expectError: false,
expectedOutput: sdk.MustNewDecFromStr("0.333333330000000000"),
},
{
name: "check number of sig figs high sizes",
baseDenomPoolInput: sdk.NewInt64Coin(baseDenom, 343569192534),
quoteDenomPoolInput: sdk.NewCoin(quoteDenom, sdk.MustNewDecFromStr("186633424395479094888742").TruncateInt()),
expectError: false,
expectedOutput: sdk.MustNewDecFromStr("0.000000000001840877"),
},
}

for _, tc := range tests {
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2 changes: 1 addition & 1 deletion x/gamm/types/constants.go
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Expand Up @@ -22,5 +22,5 @@ var (
InitPoolSharesSupply = OneShare.MulRaw(100)

// SigFigs is the amount of significant figures used to calculate SpotPrice
SigFigs = sdk.NewDec(10).Power(SigFigsExponent)
SigFigs = sdk.NewDec(10).Power(SigFigsExponent).TruncateInt()
)