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Extend gradient-strategies testing
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barak manos committed Aug 5, 2024
1 parent b294bf2 commit 6735be2
Showing 1 changed file with 68 additions and 47 deletions.
115 changes: 68 additions & 47 deletions test/carbon/accuracy/gradient_strategies.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -4,79 +4,100 @@ import { expect } from 'chai';
import Decimal from 'decimal.js';
import { BigNumber } from 'ethers';

let contract: TestTrade;

Decimal.set({precision: 100, rounding: Decimal.ROUND_HALF_DOWN});

const BnToDec = (x: BigNumber) => new Decimal(x.toString());
const DecToBn = (x: Decimal) => BigNumber.from(x.toFixed());

const bitLength = (value: BigNumber) => {
function bitLength(value: BigNumber) {
return value.gt(0) ? Decimal.log2(value.toString()).add(1).floor().toNumber() : 0;
};
}

const encode = (value: Decimal, shift: number) => {
function encode(value: Decimal, shift: number) {
const factor = new Decimal(2).pow(shift);
const data = DecToBn(value.mul(factor).floor());
const length = bitLength(data.shr(shift));
const integer = data.shr(length).shl(length);
const exponent = bitLength(integer.shr(shift));
const mantissa = integer.shr(exponent);
return BigNumber.from(exponent).shl(shift).or(mantissa);
};
}

const initialRateEncode = (value: Decimal) => {
function initialRateEncoded(value: Decimal) {
return encode(value.sqrt(), 48);
};
}

const multiFactorEncode = (value: Decimal) => {
function multiFactorEncoded(value: Decimal) {
return encode(value.mul(new Decimal(2).pow(24)), 24);
};
}

function assertAlmostEqual(actual: Decimal, expected: Decimal, maxAbsoluteError: string, maxRelativeError: string) {
if (!actual.eq(expected)) {
const absoluteError = actual.sub(expected).abs();
const relativeError = actual.div(expected).sub(1).abs();
expect(absoluteError.lte(maxAbsoluteError) || relativeError.lte(maxRelativeError)).to.be.equal(
true,
`\n- actual = ${actual}` +
`\n- expected = ${expected}` +
`\n- absoluteError = ${absoluteError.toFixed()}` +
`\n- relativeError = ${relativeError.toFixed()}`
);
}
function test(
gradientType: number,
initialRate: Decimal,
multiFactor: Decimal,
timeElapsed: Decimal,
maxAbsoluteError: string,
maxRelativeError: string
) {
it(`gradientType, initialRate, multiFactor, timeElapsed = ${[gradientType, initialRate, multiFactor, timeElapsed]}`, async () => {
let expected = new Decimal(0);
switch (gradientType) {
case 0: expected = initialRate.mul(multiFactor.mul(timeElapsed).add(1)); break;
case 1: expected = initialRate.div(multiFactor.mul(timeElapsed).add(1)); break;
case 2: expected = initialRate.mul(multiFactor.mul(timeElapsed).exp()); break;
case 3: expected = initialRate.div(multiFactor.mul(timeElapsed).exp()); break;
}
const r = initialRateEncoded(initialRate);
const m = multiFactorEncoded(multiFactor);
const t = DecToBn(timeElapsed);
const currentRate = await contract.calcCurrentRate(gradientType, r, m, t);
const actual = BnToDec(currentRate[0]).div(BnToDec(currentRate[1]));
if (!actual.eq(expected)) {
const absoluteError = actual.sub(expected).abs();
const relativeError = actual.div(expected).sub(1).abs();
expect(absoluteError.lte(maxAbsoluteError) || relativeError.lte(maxRelativeError)).to.be.equal(
true,
`\n- actual = ${actual}` +
`\n- expected = ${expected}` +
`\n- absoluteError = ${absoluteError.toFixed()}` +
`\n- relativeError = ${relativeError.toFixed()}`
);
}
});
}

describe('Gradient strategies accuracy stress test', () => {
let contract: TestTrade;

before(async () => {
contract = await Contracts.TestTrade.deploy();
});

for (const gradientType of [0, 1, 2, 3]) {
for (let initialRate = new Decimal(10); initialRate.lt(100); initialRate = initialRate.add(10.1)) {
for (let multiFactor = new Decimal(0.001); multiFactor.lt(0.01); multiFactor = multiFactor.add(0.0011)) {
for (let timeElapsed = new Decimal(10); timeElapsed.lt(100); timeElapsed = timeElapsed.add(10)) {
it(`gradientType, initialRate, multiFactor, timeElapsed = ${[gradientType, initialRate, multiFactor, timeElapsed]}`, async () => {
let expected = new Decimal(0);
switch (gradientType) {
case 0: expected = initialRate.mul(multiFactor.mul(timeElapsed).add(1)); break;
case 1: expected = initialRate.div(multiFactor.mul(timeElapsed).add(1)); break;
case 2: expected = initialRate.mul(multiFactor.mul(timeElapsed).exp()); break;
case 3: expected = initialRate.div(multiFactor.mul(timeElapsed).exp()); break;
}
const r = initialRateEncode(initialRate);
const m = multiFactorEncode(multiFactor);
const t = DecToBn(timeElapsed);
const x = await contract.calcCurrentRate(gradientType, r, m, t);
const actual = BnToDec(x[0]).div(BnToDec(x[1]));
switch (gradientType) {
case 0: assertAlmostEqual(actual, expected, "0", "0.000000041"); break;
case 1: assertAlmostEqual(actual, expected, "0", "0.000000041"); break;
case 2: assertAlmostEqual(actual, expected, "0", "0.000000074"); break;
case 3: assertAlmostEqual(actual, expected, "0", "0.000000074"); break;
}
});
}
for (let initialRate = new Decimal(10); initialRate.lt(100); initialRate = initialRate.add(10.1)) {
for (let multiFactor = new Decimal(0.001); multiFactor.lt(0.01); multiFactor = multiFactor.add(0.0011)) {
for (let timeElapsed = new Decimal(10); timeElapsed.lt(100); timeElapsed = timeElapsed.add(10)) {
test(0, initialRate, multiFactor, timeElapsed, "0", "0.000000041");
test(1, initialRate, multiFactor, timeElapsed, "0", "0.000000041");
test(2, initialRate, multiFactor, timeElapsed, "0", "0.000000074");
test(3, initialRate, multiFactor, timeElapsed, "0", "0.000000074");
}
}
}

for (let a = -25; a <= 25; a++) {
const initialRate = new Decimal(10).pow(a);
for (let b = -12; b <= -2; b++) {
const multiFactor = new Decimal(10).pow(b);
const timeElapsedMax = Decimal.min(
new Decimal(16).div(multiFactor).sub(1).ceil(),
new Decimal(2).pow(25).sub(1)
);
for (let c = 1; c <= 10; c++) {
const timeElapsed = timeElapsedMax.mul(c).div(10).ceil();
test(0, initialRate, multiFactor, timeElapsed, "0.00000000000000000001", "0.00000012");
test(1, initialRate, multiFactor, timeElapsed, "0.00000000000000000001", "0.00000012");
test(2, initialRate, multiFactor, timeElapsed, "0.00000000000000007140", "0.00000165");
test(3, initialRate, multiFactor, timeElapsed, "0.00000000000000007140", "0.00000165");
}
}
}
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