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feat: query max amountIn based on max ticks willing to traverse #5889

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Jul 28, 2023
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3 changes: 2 additions & 1 deletion CHANGELOG.md
Original file line number Diff line number Diff line change
Expand Up @@ -58,8 +58,9 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0

* [#5534](https://github.com/osmosis-labs/osmosis/pull/5534) fix: fix the account number of x/tokenfactory module account
* [#5750](https://github.com/osmosis-labs/osmosis/pull/5750) feat: add cli commmand for converting proto structs to proto marshalled bytes
* [#5889](https://github.com/osmosis-labs/osmosis/pull/5889) provides an API for protorev to determine max amountIn that can be swapped based on max ticks willing to be traversed
* [#5849] (https://github.com/osmosis-labs/osmosis/pull/5849) CL: Lower gas for leaving a position and withdrawing rewards
* [#5855](https://github.com/osmosis-labs/osmosis/pull/5855) feat(x/cosmwasmpool): Sending token_in_max_amount to the contract before running contract msg
* [#5855](https://github.com/osmosis-labs/osmosis/pull/5855) feat(x/cosmwasmpool): Sending token_in_max_amount to the contract before running contract msg
* [#5893] (https://github.com/osmosis-labs/osmosis/pull/5893) Export createPosition method in CL so other modules can use it in testing

### Minor improvements & Bug Fixes
Expand Down
2 changes: 1 addition & 1 deletion tests/cl-go-client/go.mod
Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@ go 1.20
require (
github.com/cosmos/cosmos-sdk v0.47.3
github.com/ignite/cli v0.23.0
github.com/osmosis-labs/osmosis/osmoutils v0.0.0-20230623115558-38aaab07d343
github.com/osmosis-labs/osmosis/v16 v16.0.0-20230630175215-d5fcd089a71c
github.com/osmosis-labs/osmosis/x/epochs v0.0.0-20230328024000-175ec88e4304

Expand Down Expand Up @@ -90,7 +91,6 @@ require (
github.com/mtibben/percent v0.2.1 // indirect
github.com/nxadm/tail v1.4.8 // indirect
github.com/osmosis-labs/osmosis/osmomath v0.0.3-dev.0.20230621002052-afb82fbaa312 // indirect
github.com/osmosis-labs/osmosis/osmoutils v0.0.0-20230623115558-38aaab07d343 // indirect
github.com/pelletier/go-toml/v2 v2.0.8 // indirect
github.com/petermattis/goid v0.0.0-20180202154549-b0b1615b78e5 // indirect
github.com/pkg/errors v0.9.1 // indirect
Expand Down
4 changes: 4 additions & 0 deletions x/concentrated-liquidity/client/query_proto_wrap.go
Original file line number Diff line number Diff line change
Expand Up @@ -272,6 +272,10 @@ func (q Querier) UserUnbondingPositions(ctx sdk.Context, req clquery.UserUnbondi
}

cfmmPoolId, err := q.Keeper.GetUserUnbondingPositions(ctx, sdkAddr)
if err != nil {
return nil, err
}
Comment on lines +275 to +277
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drive by lint (unchecked error)


return &clquery.UserUnbondingPositionsResponse{
PositionsWithPeriodLock: cfmmPoolId,
}, nil
Expand Down
122 changes: 122 additions & 0 deletions x/concentrated-liquidity/swaps.go
Original file line number Diff line number Diff line change
Expand Up @@ -808,3 +808,125 @@ func edgeCaseInequalityBasedOnSwapStrategy(isZeroForOne bool, nextInitializedTic
}
return nextInitializedTickSqrtPrice.LT(computedSqrtPrice)
}

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Note to reviewer, ComputeMaxInAmtGivenMaxTicksCrossed follows nearly the same logic as calcIn/Out, but tracks the ticks traversed, does not track the spread or uptime accums, and does not save changes to state.

// ComputeMaxInAmtGivenMaxTicksCrossed calculates the maximum amount of the tokenInDenom that can be swapped
// into the pool to swap through all the liquidity from the current tick through the maxTicksCrossed tick,
// but not exceed it.
func (k Keeper) ComputeMaxInAmtGivenMaxTicksCrossed(
ctx sdk.Context,
poolId uint64,
tokenInDenom string,
maxTicksCrossed uint64,
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Just curious: since tick liquidity is subject to change, how is protorev going to bound the max tick a swap is going to cross? Is it something like X swap can cross upto 100 ticks given the gas to cross that 100 ticks is <50M

I originally thought this function was going to be given X amt estimate how many ticks it will cross, but if this works then it's all g.

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@stackman27 I previously thought we wanted "Given X amount, how many ticks will it cross?" but since Protorev needs to bound itself from consuming too much gas and compute time, and it seems to me liquidity doesn't really impact that, but number of ticks crossed does, so it cares more about the ticks crossed.

If a method was made that given X amount how many ticks will it cross, and we put in $1k to swap in and it says it'll cross 1000 ticks, that would be too much and then the next action would be "okay how do I reduce the number of ticks crossed to something acceptable", so it feels like just querying directly for the acceptable number of ticks crossed and always using that amountIn bound is better than continuously trying in different amounts to identify what amount passes an acceptable amount of ticks.

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i see one last question, so in the current implementation how are you going to decide the maxTickCrossed value? are you going to predetermine that 50M or 100M gas can cross X amt of ticks and generate routes for swap?

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I think the answer to this is crossing ticks should cost a fixed amt of gas so yes, your description should be accurate (but admittedly I just made this based of Skip's design requirements and treated the actual use of the API as a black box)

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@stackman27 @czarcas7ic Yes exactly. The plan is to make X number of ticks be a changeable variable (similar to pool points), and change that depending on how many CL pools we want to be able to use in backrunning.

That is, if many new CL pools launch and almost all swaps are on CL pools, then we'd want to decrease the max number of ticks crossed per pool so that we can check 2-4 routes per swap without running out of the upperGasLimit, if there are still more balancer swaps than CL, and our routes mainly consist of balancer pool, then we can increase X to cross more ticks per CL pool since there are less of them, etc.

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sounds good, would love to review the PR when its ready too

) (maxTokenIn, resultingTokenOut sdk.Coin, err error) {
cacheCtx, _ := ctx.CacheContext()

p, err := k.getPoolForSwap(cacheCtx, poolId)
if err != nil {
return sdk.Coin{}, sdk.Coin{}, err
}

// Validate tokenInDenom exists in the pool
if tokenInDenom != p.GetToken0() && tokenInDenom != p.GetToken1() {
return sdk.Coin{}, sdk.Coin{}, types.TokenInDenomNotInPoolError{TokenInDenom: tokenInDenom}
}

// Determine the tokenOutDenom based on the tokenInDenom
var tokenOutDenom string
if tokenInDenom == p.GetToken0() {
tokenOutDenom = p.GetToken1()
} else {
tokenOutDenom = p.GetToken0()
}

// Setup the swap strategy
swapStrategy, _, err := k.setupSwapStrategy(p, p.GetSpreadFactor(cacheCtx), tokenInDenom, sdk.ZeroDec())
if err != nil {
return sdk.Coin{}, sdk.Coin{}, err
}

// Initialize swap state
// Utilize the total amount of tokenOutDenom in the pool as the specified amountOut, since we want
// the limitation to be the tick crossing, not the amountOut.
balances := k.bankKeeper.GetAllBalances(ctx, p.GetAddress())
swapState := newSwapState(balances.AmountOf(tokenOutDenom), p, swapStrategy)

nextInitTickIter := swapStrategy.InitializeNextTickIterator(cacheCtx, poolId, swapState.tick)
defer nextInitTickIter.Close()

totalTokenOut := sdk.ZeroDec()

for i := uint64(0); i < maxTicksCrossed; i++ {
// Check if the iterator is valid
if !nextInitTickIter.Valid() {
break
}

nextInitializedTick, err := types.TickIndexFromBytes(nextInitTickIter.Key())
if err != nil {
return sdk.Coin{}, sdk.Coin{}, err
}

_, nextInitializedTickSqrtPrice, err := math.TickToSqrtPrice(nextInitializedTick)
if err != nil {
return sdk.Coin{}, sdk.Coin{}, types.TickToSqrtPriceConversionError{NextTick: nextInitializedTick}
}

sqrtPriceTarget := swapStrategy.GetSqrtTargetPrice(nextInitializedTickSqrtPrice)

// Compute the swap
computedSqrtPrice, amountOut, amountIn, spreadRewardChargeTotal := swapStrategy.ComputeSwapWithinBucketInGivenOut(
swapState.sqrtPrice,
sqrtPriceTarget,
swapState.liquidity,
swapState.amountSpecifiedRemaining,
)

swapState.sqrtPrice = computedSqrtPrice
swapState.amountSpecifiedRemaining.SubMut(amountOut)
swapState.amountCalculated.AddMut(amountIn.Add(spreadRewardChargeTotal))

totalTokenOut = totalTokenOut.Add(amountOut)

// Check if the tick needs to be updated
nextInitializedTickSqrtPriceBigDec := osmomath.BigDecFromSDKDec(nextInitializedTickSqrtPrice)

// We do not need to track spread rewards or uptime accums here since we are not actually swapping.
if nextInitializedTickSqrtPriceBigDec.Equal(computedSqrtPrice) {
nextInitializedTickInfo, err := ParseTickFromBz(nextInitTickIter.Value())
if err != nil {
return sdk.Coin{}, sdk.Coin{}, err
}
liquidityNet := nextInitializedTickInfo.LiquidityNet

nextInitTickIter.Next()

liquidityNet = swapState.swapStrategy.SetLiquidityDeltaSign(liquidityNet)
swapState.liquidity.AddMut(liquidityNet)

swapState.tick = swapStrategy.UpdateTickAfterCrossing(nextInitializedTick)
} else if edgeCaseInequalityBasedOnSwapStrategy(swapStrategy.ZeroForOne(), nextInitializedTickSqrtPriceBigDec, computedSqrtPrice) {
return sdk.Coin{}, sdk.Coin{}, types.ComputedSqrtPriceInequalityError{
IsZeroForOne: swapStrategy.ZeroForOne(),
ComputedSqrtPrice: computedSqrtPrice,
NextInitializedTickSqrtPrice: nextInitializedTickSqrtPriceBigDec,
}
} else if !swapState.sqrtPrice.Equal(computedSqrtPrice) {
newTick, err := math.CalculateSqrtPriceToTick(computedSqrtPrice)
if err != nil {
return sdk.Coin{}, sdk.Coin{}, err
}
swapState.tick = newTick
}

// Break the loop early if nothing was consumed from swapState.amountSpecifiedRemaining
if amountOut.IsZero() {
break
}
}

maxAmt := swapState.amountCalculated.Ceil().TruncateInt()
maxTokenIn = sdk.NewCoin(tokenInDenom, maxAmt)
resultingTokenOut = sdk.NewCoin(tokenOutDenom, totalTokenOut.TruncateInt())

return maxTokenIn, resultingTokenOut, nil
}
108 changes: 108 additions & 0 deletions x/concentrated-liquidity/swaps_test.go
Original file line number Diff line number Diff line change
Expand Up @@ -3411,3 +3411,111 @@ func (s *KeeperTestSuite) TestInfiniteSwapLoop_OutGivenIn() {
_, _, _, err = s.clk.SwapOutAmtGivenIn(s.Ctx, swapAddress, pool, tokenOut, ETH, pool.GetSpreadFactor(s.Ctx), sdk.ZeroDec())
s.Require().NoError(err)
}

func (s *KeeperTestSuite) TestComputeMaxInAmtGivenMaxTicksCrossed() {
tests := []struct {
name string
tokenInDenom string
tokenOutDenom string
maxTicksCrossed uint64
expectedError error
}{
{
name: "happy path, ETH in, max ticks equal to number of initialized ticks in swap direction",
tokenInDenom: ETH,
tokenOutDenom: USDC,
maxTicksCrossed: 3,
},
{
name: "happy path, USDC in, max ticks equal to number of initialized ticks in swap direction",
tokenInDenom: USDC,
tokenOutDenom: ETH,
maxTicksCrossed: 3,
},
{
name: "ETH in, max ticks less than number of initialized ticks in swap direction",
tokenInDenom: ETH,
tokenOutDenom: USDC,
maxTicksCrossed: 2,
},
{
name: "USDC in, max ticks less than number of initialized ticks in swap direction",
tokenInDenom: USDC,
tokenOutDenom: ETH,
maxTicksCrossed: 2,
},
{
name: "ETH in, max ticks greater than number of initialized ticks in swap direction",
tokenInDenom: ETH,
tokenOutDenom: USDC,
maxTicksCrossed: 4,
},
{
name: "USDC in, max ticks greater than number of initialized ticks in swap direction",
tokenInDenom: USDC,
tokenOutDenom: ETH,
maxTicksCrossed: 4,
},
{
name: "error: tokenInDenom not in pool",
tokenInDenom: "BTC",
tokenOutDenom: ETH,
maxTicksCrossed: 4,
expectedError: types.TokenInDenomNotInPoolError{TokenInDenom: "BTC"},
},
}

for _, test := range tests {
s.Run(test.name, func() {
s.SetupTest()
clPool := s.PrepareConcentratedPool()
expectedResultingTokenOutAmount := sdk.ZeroInt()

// Create positions and calculate expected resulting tokens
positions := []struct {
lowerTick, upperTick int64
maxTicks uint64
}{
{DefaultLowerTick, DefaultUpperTick, 0}, // Surrounding the current price
{DefaultLowerTick - 10000, DefaultLowerTick, 1}, // Below the position surrounding the current price
{DefaultLowerTick - 20000, DefaultLowerTick - 10000, 2}, // Below the position below the position surrounding the current price
{DefaultUpperTick, DefaultUpperTick + 10000, 1}, // Above the position surrounding the current price
{DefaultUpperTick + 10000, DefaultUpperTick + 20000, 2}, // Above the position above the position surrounding the current price
}

// Create positions and determine how much token out we should expect given the maxTicksCrossed provided.
for _, pos := range positions {
amt0, amt1 := s.createPositionAndFundAcc(clPool, pos.lowerTick, pos.upperTick)
expectedResultingTokenOutAmount = s.calculateExpectedTokens(test.tokenInDenom, test.maxTicksCrossed, pos.maxTicks, amt0, amt1, expectedResultingTokenOutAmount)
}

// System Under Test
_, resultingTokenOut, err := s.App.ConcentratedLiquidityKeeper.ComputeMaxInAmtGivenMaxTicksCrossed(s.Ctx, clPool.GetId(), test.tokenInDenom, test.maxTicksCrossed)

if test.expectedError != nil {
s.Require().Error(err)
s.Require().ErrorContains(err, test.expectedError.Error())
} else {
s.Require().NoError(err)

errTolerance := osmomath.ErrTolerance{AdditiveTolerance: sdk.NewDec(int64(test.maxTicksCrossed))}
s.Require().Equal(0, errTolerance.Compare(expectedResultingTokenOutAmount, resultingTokenOut.Amount), "expected: %s, got: %s", expectedResultingTokenOutAmount, resultingTokenOut.Amount)
}
})
}
}

func (s *KeeperTestSuite) createPositionAndFundAcc(clPool types.ConcentratedPoolExtension, lowerTick, upperTick int64) (amt0, amt1 sdk.Int) {
s.FundAcc(s.TestAccs[0], DefaultCoins)
_, amt0, amt1, _, _, _, _ = s.App.ConcentratedLiquidityKeeper.CreatePosition(s.Ctx, clPool.GetId(), s.TestAccs[0], DefaultCoins, sdk.ZeroInt(), sdk.ZeroInt(), lowerTick, upperTick)
return
}

func (s *KeeperTestSuite) calculateExpectedTokens(tokenInDenom string, testMaxTicks, positionMaxTicks uint64, amt0, amt1, currentTotal sdk.Int) sdk.Int {
if tokenInDenom == ETH && testMaxTicks > positionMaxTicks {
return currentTotal.Add(amt1)
} else if tokenInDenom == USDC && testMaxTicks > positionMaxTicks {
return currentTotal.Add(amt0)
}
return currentTotal
}