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fix: zero for one tick crossing bug for swap in given out #5591

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merged 3 commits into from
Jun 21, 2023
Merged

fix: zero for one tick crossing bug for swap in given out #5591

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f9563e2
fix: zero for one tick crossing bug for swap in given out
p0mvn Jun 20, 2023
178e67b
better abstract
p0mvn Jun 20, 2023
c19c0a1
Merge branch 'main' into roman/fix-swap-in-given-out-tick-cross
p0mvn Jun 21, 2023
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21 changes: 11 additions & 10 deletions x/concentrated-liquidity/swaps.go
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Original file line number Diff line number Diff line change
Expand Up @@ -330,15 +330,15 @@ func (k Keeper) computeOutAmtGivenIn(
// if zeroForOneStrategy, we look to the left of the tick the current sqrt price is at
// if oneForZeroStrategy, we look to the right of the tick the current sqrt price is at
// if no ticks are initialized (no users have created liquidity positions) then we return an error
nextTick, err := types.TickIndexFromBytes(nextInitTickIter.Key())
nextInitializedTick, err := types.TickIndexFromBytes(nextInitTickIter.Key())
if err != nil {
return sdk.Coin{}, sdk.Coin{}, PoolUpdates{}, sdk.Dec{}, err
}

// Utilizing the next initialized tick, we find the corresponding nextInitializedTickSqrtPrice (the target sqrt price).
_, nextInitializedTickSqrtPrice, err := math.TickToSqrtPrice(nextTick)
_, nextInitializedTickSqrtPrice, err := math.TickToSqrtPrice(nextInitializedTick)
if err != nil {
return sdk.Coin{}, sdk.Coin{}, PoolUpdates{}, sdk.Dec{}, fmt.Errorf("could not convert next tick (%v) to nextSqrtPrice", nextTick)
return sdk.Coin{}, sdk.Coin{}, PoolUpdates{}, sdk.Dec{}, fmt.Errorf("could not convert next tick (%v) to nextSqrtPrice", nextInitializedTick)
}

// If nextInitializedTickSqrtPrice exceeds the given price limit, we set the sqrtPriceTarget to the price limit.
Expand Down Expand Up @@ -369,13 +369,11 @@ func (k Keeper) computeOutAmtGivenIn(
// If ComputeSwapWithinBucketOutGivenIn(...) calculated a computedSqrtPrice that is equal to the nextInitializedTickSqrtPrice, this means all liquidity in the current
// bucket has been consumed and we must move on to the next bucket to complete the swap
if nextInitializedTickSqrtPrice.Equal(computedSqrtPrice) {
swapState, err = k.swapCrossTickLogic(ctx, swapState,
nextTick, nextInitTickIter, p, spreadRewardAccumulator, uptimeAccums, tokenInMin.Denom)
swapState, err = k.swapCrossTickLogic(ctx, swapState, swapStrategy,
nextInitializedTick, nextInitTickIter, p, spreadRewardAccumulator, uptimeAccums, tokenInMin.Denom)
if err != nil {
return sdk.Coin{}, sdk.Coin{}, PoolUpdates{}, sdk.Dec{}, err
}
// Update the swapState's tick with the tick we retrieved liquidity from
swapState.tick = swapStrategy.UpdateTickAfterCrossing(nextTick)
} else if !sqrtPriceStart.Equal(computedSqrtPrice) {
// Otherwise if the sqrtPrice calculated from ComputeSwapWithinBucketOutGivenIn(...) does not equal the sqrtPriceStart we started with at the
// beginning of this iteration, we set the swapState tick to the corresponding tick of the computedSqrtPrice calculated from ComputeSwapWithinBucketOutGivenIn(...)
Expand Down Expand Up @@ -509,15 +507,15 @@ func (k Keeper) computeInAmtGivenOut(
// If the ComputeSwapWithinBucketInGivenOut(...) calculated a computedSqrtPrice that is equal to the nextInitializedTickSqrtPrice, this means all liquidity in the current
// bucket has been consumed and we must move on to the next bucket by crossing a tick to complete the swap
if nextInitializedTickSqrtPrice.Equal(computedSqrtPrice) {
swapState, err = k.swapCrossTickLogic(ctx, swapState,
swapState, err = k.swapCrossTickLogic(ctx, swapState, swapStrategy,
nextInitializedTick, nextInitTickIter, p, spreadRewardAccumulator, uptimeAccums, tokenInDenom)
if err != nil {
return sdk.Coin{}, sdk.Coin{}, PoolUpdates{}, sdk.Dec{}, err
}
} else if !sqrtPriceStart.Equal(computedSqrtPrice) {
// Otherwise, if the computedSqrtPrice calculated from ComputeSwapWithinBucketInGivenOut(...) does not equal the sqrtPriceStart we started with at the
// beginning of this iteration, we set the swapState tick to the corresponding tick of the computedSqrtPrice calculated from ComputeSwapWithinBucketInGivenOut(...)
swapState.tick, err = math.SqrtPriceToTickRoundDownSpacing(computedSqrtPrice, p.GetTickSpacing())
swapState.tick, err = math.CalculateSqrtPriceToTick(computedSqrtPrice)
if err != nil {
return sdk.Coin{}, sdk.Coin{}, PoolUpdates{}, sdk.Dec{}, err
}
Expand Down Expand Up @@ -553,7 +551,7 @@ func emitSwapDebugLogs(ctx sdk.Context, swapState SwapState, reachedPrice, amoun

// logic for crossing a tick during a swap
func (k Keeper) swapCrossTickLogic(ctx sdk.Context,
swapState SwapState,
swapState SwapState, strategy swapstrategy.SwapStrategy,
nextInitializedTick int64, nextTickIter db.Iterator,
p types.ConcentratedPoolExtension,
spreadRewardAccum accum.AccumulatorObject, uptimeAccums []accum.AccumulatorObject,
Expand All @@ -580,6 +578,9 @@ func (k Keeper) swapCrossTickLogic(ctx sdk.Context,
// Update the swapState's liquidity with the new tick's liquidity
swapState.liquidity.AddMut(liquidityNet)

// Update the swapState's tick with the tick we retrieved liquidity from
swapState.tick = strategy.UpdateTickAfterCrossing(nextInitializedTick)

return swapState, nil
}

Expand Down
34 changes: 17 additions & 17 deletions x/concentrated-liquidity/swaps_test.go
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -767,7 +767,7 @@ var (
// print(token_in)
expectedTokenOut: sdk.NewCoin(USDC, sdk.NewInt(42000000)),
expectedTokenIn: sdk.NewCoin(ETH, sdk.NewInt(8404)),
expectedTick: 30996000,
expectedTick: 30996087,
expectedSqrtPrice: sdk.MustNewDecFromStr("70.683007989825007163"),
},
"single position within one tick: usdc (in) -> eth (out) ofz": {
Expand All @@ -786,7 +786,7 @@ var (
// print(token_in)
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(13370)),
expectedTokenIn: sdk.NewCoin(USDC, sdk.NewInt(66891663)),
expectedTick: 31006200,
expectedTick: 31006234,
// True value with arbitrary precision: 70.7547471884689004674...
// Expected value due to our monotonic sqrt's >= true value guarantee: 70.754747188468900468
expectedSqrtPrice: sdk.MustNewDecFromStr("70.754747188468900468"),
Expand Down Expand Up @@ -818,7 +818,7 @@ var (
// print(token_in)
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(66829187)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
expectedTick: 30996800,
expectedTick: 30996887,
// This value is the direct output of sqrt_next in the script above.
// The precision is exact because we properly handle rounding behavior in intermediate steps.
expectedSqrtPrice: sdk.MustNewDecFromStr("70.688664163727643651"),
Expand All @@ -844,7 +844,7 @@ var (
// print(token_in)
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(8398)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(41998216)),
expectedTick: 31001900,
expectedTick: 31001956,
expectedSqrtPrice: sdk.MustNewDecFromStr("70.724512595179305567"),
// two positions with same liquidity entered
poolLiqAmount0: sdk.NewInt(1000000).MulRaw(2),
Expand Down Expand Up @@ -887,7 +887,7 @@ var (
// print(token_in)
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(9103422788)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(2000000)),
expectedTick: 30095100,
expectedTick: 30095166,

expectedSqrtPrice: sdk.MustNewDecFromStr("63.993489023888951975"),
expectedLowerTickSpreadRewardGrowth: DefaultSpreadRewardAccumCoins.MulDec(sdk.NewDec(2)),
Expand Down Expand Up @@ -937,7 +937,7 @@ var (
// print(token_in)
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(1820630)),
expectedTokenIn: sdk.NewCoin(USDC, sdk.NewInt(9999999570)),
expectedTick: 32105400,
expectedTick: 32105414,
// True value with arbitrary precision: 78.1371488370367515544...
// Expected value due to our monotonic sqrt's >= true value guarantee: 78.137148837036751555
expectedSqrtPrice: sdk.MustNewDecFromStr("78.137148837036751555"),
Expand Down Expand Up @@ -994,7 +994,7 @@ var (
// print(token_in)
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(2000000)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(9321276930)),
expectedTick: 30129000,
expectedTick: 30129083,
expectedSqrtPrice: sdk.MustNewDecFromStr("64.257943796086567725"),
// Started from DefaultSpreadRewardAccumCoins * 3, crossed tick once, thus becoming
// DefaultSpreadRewardAccumCoins * 3 - DefaultSpreadRewardAccumCoins = DefaultSpreadRewardAccumCoins * 2
Expand Down Expand Up @@ -1050,7 +1050,7 @@ var (
// print(token_in)
expectedTokenIn: sdk.NewCoin(ETH, sdk.NewInt(1800000)),
expectedTokenOut: sdk.NewCoin(USDC, sdk.NewInt(8479320318)),
expectedTick: 30292000,
expectedTick: 30292059,
expectedSqrtPrice: sdk.MustNewDecFromStr("65.513815286452064191"),
// Started from DefaultSpreadRewardAccumCoins * 3, crossed tick once, thus becoming
// DefaultSpreadRewardAccumCoins * 3 - DefaultSpreadRewardAccumCoins = DefaultSpreadRewardAccumCoins * 2
Expand Down Expand Up @@ -1111,7 +1111,7 @@ var (
// print(token_in)
expectedTokenIn: sdk.NewCoin(USDC, sdk.NewInt(9999994688)),
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(1864161)),
expectedTick: 32055900,
expectedTick: 32055918,
// True value with arbitrary precision: 77.8197817118765535784...
// Expected value due to our monotonic sqrt's >= true value guarantee: 77.819781711876553579
expectedSqrtPrice: sdk.MustNewDecFromStr("77.819781711876553579"),
Expand Down Expand Up @@ -1165,7 +1165,7 @@ var (
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(1609138)),
expectedSecondLowerTickSpreadRewardGrowth: secondPosition{tickIndex: 310010, expectedSpreadRewardGrowth: cl.EmptyCoins},
expectedSecondUpperTickSpreadRewardGrowth: secondPosition{tickIndex: 322500, expectedSpreadRewardGrowth: cl.EmptyCoins},
expectedTick: 31712600,
expectedTick: 31712695,
// True value with arbitrary precision: 75.5823723551285943429...
// Expected value due to our monotonic sqrt's >= true value guarantee: 75.582372355128594343
expectedSqrtPrice: sdk.MustNewDecFromStr("75.582372355128594343"),
Expand Down Expand Up @@ -1212,7 +1212,7 @@ var (
// print(token_in)
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(1820545)),
expectedTokenIn: sdk.NewCoin(USDC, sdk.NewInt(9999994756)),
expectedTick: 32105500,
expectedTick: 32105554,
// True value with arbitrary precision: 78.1380507971736470319
// Expected value due to our monotonic sqrt's >= true value guarantee: 78.138050797173647032
expectedSqrtPrice: sdk.MustNewDecFromStr("78.138050797173647032"),
Expand Down Expand Up @@ -1278,7 +1278,7 @@ var (
// print(spread_rewards_growth)
expectedTokenOut: sdk.NewCoin(USDC, sdk.NewInt(42000000)),
expectedTokenIn: sdk.NewCoin(ETH, sdk.NewInt(8489)),
expectedTick: 30996000,
expectedTick: 30996087,
// This value is the direct output of sqrt_next in the script above.
// The precision is exact because we properly handle rounding behavior in intermediate steps.
expectedSqrtPrice: sdk.MustNewDecFromStr("70.683007989825007163"),
Expand Down Expand Up @@ -1310,7 +1310,7 @@ var (
// print(spread_rewards_growth)
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(8398)),
expectedTokenIn: sdk.NewCoin(USDC, sdk.NewInt(43297130)),
expectedTick: 31001900,
expectedTick: 31001956,
// True value with arbitrary precision: 70.7245125951793055663...
// Expected value due to our monotonic sqrt's >= true value guarantee: 70.724512595179305567
expectedSqrtPrice: sdk.MustNewDecFromStr("70.724512595179305567"),
Expand Down Expand Up @@ -1360,7 +1360,7 @@ var (
// print(spread_rewards_growth)
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(1820630)),
expectedTokenIn: sdk.NewCoin(USDC, sdk.NewInt(10010009580)),
expectedTick: 32105400,
expectedTick: 32105414,
// True value with arbitrary precision is 78.1371488370367515544...,
// which we expect to be pushed up to 78.137148837036751555 given our
// sqrt function's >= true value guarantee
Expand Down Expand Up @@ -1419,7 +1419,7 @@ var (
// print(spread_rewards_growth)
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(2222223)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(9321276930)),
expectedTick: 30129000,
expectedTick: 30129083,
expectedSqrtPrice: sdk.MustNewDecFromStr("64.257943796086567725"),
// Started from DefaultSpreadRewardAccumCoins * 3, crossed tick once, thus becoming
// DefaultSpreadRewardAccumCoins * 3 - DefaultSpreadRewardAccumCoins = DefaultSpreadRewardAccumCoins * 2
Expand Down Expand Up @@ -1482,7 +1482,7 @@ var (
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(1609138)),
expectedSecondLowerTickSpreadRewardGrowth: secondPosition{tickIndex: 310010, expectedSpreadRewardGrowth: cl.EmptyCoins},
expectedSecondUpperTickSpreadRewardGrowth: secondPosition{tickIndex: 322500, expectedSpreadRewardGrowth: cl.EmptyCoins},
expectedTick: 31712600,
expectedTick: 31712695,
// True value with arbitrary precision: 75.5823723551285943429...
// Expected value due to our monotonic sqrt's >= true value guarantee: 75.582372355128594343
expectedSqrtPrice: sdk.MustNewDecFromStr("75.582372355128594343"),
Expand Down Expand Up @@ -1528,7 +1528,7 @@ var (
// print(spread_rewards_growth)
expectedTokenOut: sdk.NewCoin(ETH, sdk.NewInt(1820545)),
expectedTokenIn: sdk.NewCoin(USDC, sdk.NewInt(10002995655)),
expectedTick: 32105500,
expectedTick: 32105554,
// True value with arbitrary precision: 78.13805079717364703195...
// Expected value due to our monotonic sqrt's >= true value guarantee: 78.138050797173647032
expectedSqrtPrice: sdk.MustNewDecFromStr("78.138050797173647032"),
Expand Down