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Further generalize swaps and lp #3111

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merged 5 commits into from
Oct 24, 2022
Merged

Further generalize swaps and lp #3111

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fe2aa01
Change sqrt to caller
mattverse Oct 24, 2022
32f0f3b
Remove margin of error from mint
mattverse Oct 24, 2022
f3e90a5
Change Pool to have dec curr price
mattverse Oct 24, 2022
be071b7
Remove swap structs
mattverse Oct 24, 2022
1ccb9f5
Adams comments
mattverse Oct 24, 2022
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30 changes: 15 additions & 15 deletions proto/osmosis/concentrated-liquidity/concentratedPool.proto
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Original file line number Diff line number Diff line change
Expand Up @@ -11,47 +11,47 @@ import "gogoproto/gogo.proto";
option go_package = "github.com/osmosis-labs/osmosis/v12/x/concentrated-liquidity";

message Pool {
option (gogoproto.goproto_getters) = false;
option (gogoproto.goproto_stringer) = false;
option (gogoproto.goproto_getters) = false;
option (gogoproto.goproto_stringer) = false;
option (cosmos_proto.implements_interface) = "PoolI";

string address = 1 [(gogoproto.moretags) = "yaml:\"address\""];
uint64 id = 2;
string address = 1 [ (gogoproto.moretags) = "yaml:\"address\"" ];
uint64 id = 2;

// Amount of total liquidity
string liquidity = 3 [
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Int",
(gogoproto.moretags) = "yaml:\"liquidity\"",
(gogoproto.nullable) = false
(gogoproto.moretags) = "yaml:\"liquidity\"",
(gogoproto.nullable) = false
];

string token0 = 4;
string token1 = 5;

string current_sqrt_price = 6 [
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Int",
(gogoproto.moretags) = "yaml:\"spot_price\"",
(gogoproto.nullable) = false
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
(gogoproto.moretags) = "yaml:\"spot_price\"",
(gogoproto.nullable) = false
];
string current_tick = 7 [
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Int",
(gogoproto.moretags) = "yaml:\"current_tick\"",
(gogoproto.nullable) = false
(gogoproto.moretags) = "yaml:\"current_tick\"",
(gogoproto.nullable) = false
];
}

message TickInfo {
string liquidity = 1 [
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Int",
(gogoproto.moretags) = "yaml:\"liquidity\"",
(gogoproto.nullable) = false
(gogoproto.moretags) = "yaml:\"liquidity\"",
(gogoproto.nullable) = false
];
}

message Position {
string liquidity = 1 [
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Int",
(gogoproto.moretags) = "yaml:\"liquidity\"",
(gogoproto.nullable) = false
(gogoproto.moretags) = "yaml:\"liquidity\"",
(gogoproto.nullable) = false
];
}
60 changes: 30 additions & 30 deletions x/concentrated-liquidity/concentratedPool.pb.go
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12 changes: 6 additions & 6 deletions x/concentrated-liquidity/lp.go
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Original file line number Diff line number Diff line change
Expand Up @@ -8,7 +8,7 @@ import (
types "github.com/osmosis-labs/osmosis/v12/x/concentrated-liquidity/types"
)

func (k Keeper) Mint(ctx sdk.Context, poolId uint64, owner sdk.AccAddress, liquidityIn sdk.Int, lowerTick, upperTick int64) (amtDenom0, amtDenom1 sdk.Int, err error) {
func (k Keeper) Mint(ctx sdk.Context, poolId uint64, owner sdk.AccAddress, liquidityIn sdk.Dec, lowerTick, upperTick int64) (amtDenom0, amtDenom1 sdk.Int, err error) {
// ensure types.MinTick <= lowerTick < types.MaxTick
// TODO (bez): Add unit tests.
if lowerTick < types.MinTick || lowerTick >= types.MaxTick {
Expand All @@ -34,12 +34,12 @@ func (k Keeper) Mint(ctx sdk.Context, poolId uint64, owner sdk.AccAddress, liqui

pool := k.getPoolbyId(ctx, poolId)

currentSqrtPrice := sdk.NewDecWithPrec(int64(pool.CurrentSqrtPrice.Uint64()), 6)
sqrtRatioUpperTick, _ := k.tickToPrice(sdk.NewInt(upperTick)).ApproxSqrt()
sqrtRatioLowerTick, _ := k.tickToPrice(sdk.NewInt(lowerTick)).ApproxSqrt()
currentSqrtPrice := pool.CurrentSqrtPrice
sqrtRatioUpperTick, _ := k.tickToPrice(sdk.NewInt(upperTick))
sqrtRatioLowerTick, _ := k.tickToPrice(sdk.NewInt(lowerTick))

amtDenom0 = calcAmount0Delta(liquidityIn.ToDec(), currentSqrtPrice, sqrtRatioUpperTick).RoundInt()
amtDenom1 = calcAmount1Delta(liquidityIn.ToDec(), currentSqrtPrice, sqrtRatioLowerTick).RoundInt()
amtDenom0 = calcAmount0Delta(liquidityIn, currentSqrtPrice, sqrtRatioUpperTick).RoundInt()
amtDenom1 = calcAmount1Delta(liquidityIn, currentSqrtPrice, sqrtRatioLowerTick).RoundInt()

return amtDenom0, amtDenom1, nil
}
Expand Down
14 changes: 8 additions & 6 deletions x/concentrated-liquidity/lp_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -17,10 +17,11 @@ func (s *KeeperTestSuite) TestMint() {
currentTick := sdk.NewInt(85176)
lowerTick := int64(84222)
upperTick := int64(86129)
liquidity, ok := sdk.NewIntFromString("1517882323")
s.Require().True(ok)
currentSqrtP, ok := sdk.NewIntFromString("70710678")
s.Require().True(ok)
liquidity, err := sdk.NewDecFromStr("1517.882323")
s.Require().NoError(err)
// currentSqrtP, ok := sdk.NewIntFromString("70710678")
currentSqrtP, err := sdk.NewDecFromStr("70.710678")
s.Require().NoError(err)
denom0 := "eth"
denom1 := "usdc"

Expand All @@ -30,6 +31,7 @@ func (s *KeeperTestSuite) TestMint() {

asset0, asset1, err := s.App.ConcentratedLiquidityKeeper.Mint(s.Ctx, poolId, s.TestAccs[0], liquidity, lowerTick, upperTick)
s.Require().NoError(err)
s.Require().Equal(sdk.NewInt(998629), asset0) // .998629 ETH
s.Require().Equal(sdk.NewInt(5000208942), asset1) // 5000.20 USDC

s.Require().Equal(sdk.NewInt(1), asset0)
s.Require().Equal(sdk.NewInt(5000), asset1)
}
121 changes: 50 additions & 71 deletions x/concentrated-liquidity/pool.go
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Expand Up @@ -9,24 +9,7 @@ import (
"github.com/osmosis-labs/osmosis/v12/x/gamm/types"
)

// maintains the current swap state
type SwapState struct {
amountSpecifiedRemaining sdk.Dec // remaining amount of tokens that need to be bought by the pool
amountCalculated sdk.Dec // amount out
sqrtPrice sdk.Dec // new current price when swap is done
tick sdk.Int // new tick when swap is done
}

// tracks state of one iteration of an order filling
type StepState struct {
sqrtPriceStart sdk.Dec // price iteration begins with
nextTick sdk.Int // next initialized tick that will provide liquidity for the swap
sqrtPriceNext sdk.Dec // price at the next tick
amountIn sdk.Dec
amountOut sdk.Dec
}

func (k Keeper) CreateNewConcentratedLiquidityPool(ctx sdk.Context, poolId uint64, denom0, denom1 string, currSqrtPrice, currTick sdk.Int) (Pool, error) {
func (k Keeper) CreateNewConcentratedLiquidityPool(ctx sdk.Context, poolId uint64, denom0, denom1 string, currSqrtPrice sdk.Dec, currTick sdk.Int) (Pool, error) {
poolAddr := types.NewPoolAddress(poolId)
denom0, denom1, err := k.orderInitialPoolDenoms(denom0, denom1)
if err != nil {
Expand Down Expand Up @@ -102,7 +85,7 @@ func (k Keeper) CalcOutAmtGivenIn(ctx sdk.Context, tokenIn sdk.Coin, tokenOutDen
tokenAmountInAfterFee := tokenIn.Amount.ToDec().Mul(sdk.OneDec().Sub(swapFee))

// get current sqrt price from pool
curSqrtPrice := sdk.NewDecWithPrec(int64(p.CurrentSqrtPrice.Uint64()), 6)
curSqrtPrice := p.CurrentSqrtPrice

// validation
if tokenIn.Denom != asset0 && tokenIn.Denom != asset1 {
Expand All @@ -126,7 +109,7 @@ func (k Keeper) CalcOutAmtGivenIn(ctx sdk.Context, tokenIn sdk.Coin, tokenOutDen
if err != nil {
return sdk.Coin{}, sdk.Coin{}, fmt.Errorf("issue calculating square root of minPrice")
}
sqrtPCurTick := curSqrtPrice

sqrtPUpperTick, err := maxPrice.ApproxSqrt()
if err != nil {
return sdk.Coin{}, sdk.Coin{}, fmt.Errorf("issue calculating square root of maxPrice")
Expand All @@ -137,42 +120,38 @@ func (k Keeper) CalcOutAmtGivenIn(ctx sdk.Context, tokenIn sdk.Coin, tokenOutDen
amountUSDC := int64(5000000000)

// find liquidity of assetA and assetB
liq0 := liquidity0(amountETH, sqrtPCurTick, sqrtPUpperTick)
liq1 := liquidity1(amountUSDC, sqrtPCurTick, sqrtPLowerTick)
liq0 := liquidity0(amountETH, curSqrtPrice, sqrtPUpperTick)
liq1 := liquidity1(amountUSDC, curSqrtPrice, sqrtPLowerTick)

// utilize the smaller liquidity between assetA and assetB when performing the swap calculation
liq := sdk.MinDec(liq0, liq1)

swapState := SwapState{
amountSpecifiedRemaining: tokenAmountInAfterFee,
amountCalculated: sdk.ZeroDec(),
sqrtPrice: sqrtPCurTick,
tick: priceToTick(sqrtPCurTick.Power(2)),
}
amountSpecifiedRemaining := tokenAmountInAfterFee
amountCalculated := sdk.ZeroDec()
sqrtPrice := curSqrtPrice
tick := priceToTick(curSqrtPrice.Power(2))

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As agreed in in person discussion, we should move this back to swapState struct

// TODO: This should be GT 0 but some instances have very small remainder
// need to look into fixing this
for swapState.amountSpecifiedRemaining.GT(sdk.NewDecWithPrec(1, 6)) {
stepState := StepState{}
stepState.sqrtPriceStart = swapState.sqrtPrice
for amountSpecifiedRemaining.GT(sdk.NewDecWithPrec(1, 6)) {
lte := tokenIn.Denom == asset1
nextTick, _ := k.NextInitializedTick(ctx, poolId, swapState.tick.Int64(), lte)
stepState.nextTick = sdk.NewInt(nextTick)
nextSqrtPrice, _ := k.tickToPrice(stepState.nextTick).ApproxSqrt()
stepState.sqrtPriceNext = nextSqrtPrice

swapState.sqrtPrice, stepState.amountIn, stepState.amountOut = computeSwapStep(
swapState.sqrtPrice,
stepState.sqrtPriceNext,
nextTick, _ := k.NextInitializedTick(ctx, poolId, tick.Int64(), lte)
nextSqrtPrice, _ := k.tickToPrice(sdk.NewInt(nextTick))

sqrtPrice, amountIn, amountOut := computeSwapStep(
sqrtPrice,
nextSqrtPrice,
liq,
swapState.amountSpecifiedRemaining,
amountSpecifiedRemaining,
lte,
)
swapState.amountSpecifiedRemaining = swapState.amountSpecifiedRemaining.Sub(stepState.amountIn)
swapState.amountCalculated = swapState.amountCalculated.Add(stepState.amountOut)
swapState.tick = priceToTick(swapState.sqrtPrice.Power(2))
amountSpecifiedRemaining = amountSpecifiedRemaining.Sub(amountIn)
amountCalculated = amountCalculated.Add(amountOut)
tick = priceToTick(sqrtPrice.Power(2))
}
newTokenIn.Amount = tokenIn.Amount.Sub(swapState.amountSpecifiedRemaining.RoundInt())
return sdk.NewCoin(tokenIn.Denom, newTokenIn.Amount), sdk.NewCoin(tokenOutDenom, swapState.amountCalculated.RoundInt()), nil

newTokenIn.Amount = tokenIn.Amount.Sub(amountSpecifiedRemaining.RoundInt())
return sdk.NewCoin(tokenIn.Denom, newTokenIn.Amount), sdk.NewCoin(tokenOutDenom, amountCalculated.RoundInt()), nil
}

func (p Pool) SwapInAmtGivenOut(ctx sdk.Context, tokenOut sdk.Coins, tokenInDenom string, swapFee sdk.Dec) (tokenIn sdk.Coin, err error) {
Expand All @@ -186,7 +165,8 @@ func (k Keeper) CalcInAmtGivenOut(ctx sdk.Context, tokenOut sdk.Coin, tokenInDen
asset1 := p.Token1

// get current sqrt price from pool
curSqrtPrice := sdk.NewDecWithPrec(int64(p.CurrentSqrtPrice.Uint64()), 6)
// curSqrtPrice := sdk.NewDecWithPrec(int64(p.CurrentSqrtPrice.Uint64()), 6)
curSqrtPrice := p.CurrentSqrtPrice

// validation
if tokenOut.Denom != asset0 && tokenOut.Denom != asset1 {
Expand All @@ -210,7 +190,7 @@ func (k Keeper) CalcInAmtGivenOut(ctx sdk.Context, tokenOut sdk.Coin, tokenInDen
if err != nil {
return sdk.Coin{}, sdk.Coin{}, fmt.Errorf("issue calculating square root of minPrice")
}
sqrtPCurTick := curSqrtPrice

sqrtPUpperTick, err := maxPrice.ApproxSqrt()
if err != nil {
return sdk.Coin{}, sdk.Coin{}, fmt.Errorf("issue calculating square root of maxPrice")
Expand All @@ -221,42 +201,41 @@ func (k Keeper) CalcInAmtGivenOut(ctx sdk.Context, tokenOut sdk.Coin, tokenInDen
amountUSDC := int64(5000000000)

// find liquidity of assetA and assetB
liq0 := liquidity0(amountETH, sqrtPCurTick, sqrtPUpperTick)
liq1 := liquidity1(amountUSDC, sqrtPCurTick, sqrtPLowerTick)
liq0 := liquidity0(amountETH, curSqrtPrice, sqrtPUpperTick)
liq1 := liquidity1(amountUSDC, curSqrtPrice, sqrtPLowerTick)

// utilize the smaller liquidity between assetA and assetB when performing the swap calculation
liq := sdk.MinDec(liq0, liq1)

swapState := SwapState{
amountSpecifiedRemaining: tokenOutAmt,
amountCalculated: sdk.ZeroDec(),
sqrtPrice: sqrtPCurTick,
tick: priceToTick(sqrtPCurTick.Power(2)),
}
amountSpecifiedRemaining := tokenOutAmt
amountCalculated := sdk.ZeroDec()
sqrtPrice := curSqrtPrice
tick := priceToTick(curSqrtPrice.Power(2))

// TODO: This should be GT 0 but some instances have very small remainder
// need to look into fixing this
for swapState.amountSpecifiedRemaining.GT(sdk.NewDecWithPrec(1, 6)) {
stepState := StepState{}
stepState.sqrtPriceStart = swapState.sqrtPrice
for amountSpecifiedRemaining.GT(sdk.NewDecWithPrec(1, 6)) {
lte := tokenOut.Denom == asset1
nextTick, _ := k.NextInitializedTick(ctx, poolId, swapState.tick.Int64(), lte)
stepState.nextTick = sdk.NewInt(nextTick)
nextSqrtPrice, _ := k.tickToPrice(stepState.nextTick).ApproxSqrt()
stepState.sqrtPriceNext = nextSqrtPrice
nextTick, _ := k.NextInitializedTick(ctx, poolId, tick.Int64(), lte)
nextSqrtPrice, err := k.tickToPrice(sdk.NewInt(nextTick))
if err != nil {
return sdk.Coin{}, sdk.Coin{}, err
}

// TODO: In and out get flipped based on if we are calculating for in or out, need to fix this
swapState.sqrtPrice, stepState.amountIn, stepState.amountOut = computeSwapStep(
swapState.sqrtPrice,
stepState.sqrtPriceNext,
sqrtPrice, amountIn, amountOut := computeSwapStep(
sqrtPrice,
nextSqrtPrice,
liq,
swapState.amountSpecifiedRemaining,
amountSpecifiedRemaining,
lte,
)
stepState.amountOut = stepState.amountOut.Quo(sdk.OneDec().Sub(swapFee))
swapState.amountSpecifiedRemaining = swapState.amountSpecifiedRemaining.Sub(stepState.amountIn)
swapState.amountCalculated = swapState.amountCalculated.Add(stepState.amountOut)
swapState.tick = priceToTick(swapState.sqrtPrice.Power(2))

amountSpecifiedRemaining = amountSpecifiedRemaining.Sub(amountIn)
amountCalculated = amountCalculated.Add(amountOut.Quo(sdk.OneDec().Sub(swapFee)))
tick = priceToTick(sqrtPrice.Power(2))
}
return sdk.NewCoin(tokenInDenom, swapState.amountCalculated.RoundInt()), sdk.NewCoin(tokenOut.Denom, tokenOut.Amount), nil
return sdk.NewCoin(tokenInDenom, amountCalculated.RoundInt()), sdk.NewCoin(tokenOut.Denom, tokenOut.Amount), nil
}

func (k Keeper) orderInitialPoolDenoms(denom0, denom1 string) (string, string, error) {
Expand Down
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