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feat: Handle fee-on-transfer token taxes in price impact calculations #50
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jsy1218
reviewed
Sep 19, 2023
| @@ -1160,6 +1192,50 @@ describe('Trade', () => { | |||
| }) | |||
| // v3 sdk price impact tests | |||
| describe('#priceImpact', () => { | |||
| describe('with FOT sell fees', () => { | |||
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nit - technically we only support FOT that goes through v2-pools, not v3-pools. But I think it's fine to write unit test coverage against v3 routes, since Trade object is being used by v2, v3 and mixed routes, as a common object.
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good point, updated to v2 routes since it should match our real world use case :D
jsy1218
reviewed
Sep 19, 2023
src/entities/trade.ts
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| const postTaxInputAmount = inputAmount.multiply(new Fraction(ONE).subtract(this.inputTax)) | ||
| spotOutputAmount = spotOutputAmount.add(midPrice.quote(postTaxInputAmount)) | ||
| } | ||
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| const priceImpact = spotOutputAmount.subtract(this.outputAmount).divide(spotOutputAmount) | ||
| const preTaxOutputAmount = this.outputAmount.divide(new Fraction(ONE).subtract(this.outputTax)) | ||
| const priceImpact = spotOutputAmount.subtract(preTaxOutputAmount).divide(spotOutputAmount) |
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nit - do we need to distinguish the math between exact in and exact out for FOT swap?
jsy1218
approved these changes
Sep 19, 2023
adjkant
reviewed
Sep 20, 2023
src/entities/trade.ts
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| } | ||
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| /** | ||
| * The cached result of the price impact computation, excluding FOT fees |
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nit: this makes it sound like it doesn't consider FOT fees - maybe remove that part and update the getter function's comment to explain in 1-2 lines how this formula works?
adjkant
approved these changes
Sep 20, 2023
jsy1218
approved these changes
Sep 20, 2023
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Now that
sdk-coreToken returns information about token taxes and V2 trade routes are constructed withpre tax input amountandpost-tax output amountin mind, we should updatepriceImpactcalculations to exclude taxed differences. More in the diagram here, but we should be reading from the values right before and after the "Swap" step: