Merge pull request #10 from haiko-xyz/feat/consume-full-swap-amount

feat: solvers - consume full swap amount
haiko-xyz · Oct 4, 2024 · 3606796 · 3606796
2 parents bab501b + 3527a3a
commit 3606796
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Showing 10 changed files with 265 additions and 32 deletions.
diff --git a/models/src/replicating/libraries/SwapLib.ts b/models/src/replicating/libraries/SwapLib.ts
@@ -51,7 +51,12 @@ export const getSwapAmounts = ({
     ? Decimal.max(thresholdSqrtPrice, scaledLowerSqrtPrice)
     : scaledLowerSqrtPrice;
 
-  const { amountIn, amountOut, fees, nextSqrtPrice } = computeSwapAmount({
+  const {
+    amountIn: netAmountIn,
+    amountOut,
+    fees,
+    nextSqrtPrice,
+  } = computeSwapAmount({
     currSqrtPrice: startSqrtPrice,
     targetSqrtPrice,
     liquidity,
@@ -60,19 +65,24 @@ export const getSwapAmounts = ({
     exactInput,
   });
 
-  const grossAmountIn = new Decimal(amountIn).add(fees);
+  const amountIn =
+    nextSqrtPrice !== targetSqrtPrice &&
+    new Decimal(liquidity).gt(0) &&
+    exactInput
+      ? amount
+      : new Decimal(netAmountIn).add(fees);
 
   if (thresholdAmount) {
     if (exactInput) {
       if (amountOut < thresholdAmount)
         throw new Error("Threshold amount not met");
     } else {
-      if (grossAmountIn > thresholdAmount)
+      if (amountIn > thresholdAmount)
         throw new Error("Threshold amount exceeded");
     }
   }
 
-  return { amountIn: grossAmountIn, amountOut, fees };
+  return { amountIn, amountOut, fees };
 };
 
 export const computeSwapAmount = ({

diff --git a/models/src/replicating/tests/SwapLib.test.ts b/models/src/replicating/tests/SwapLib.test.ts
@@ -0,0 +1,120 @@
+import Decimal from "decimal.js";
+import { getSwapAmounts } from "../libraries/SwapLib";
+
+type SwapParams = {
+  isBuy: boolean;
+  exactInput: boolean;
+  amount: Decimal.Value;
+  swapFeeRate: Decimal.Value;
+  thresholdSqrtPrice: Decimal.Value | null;
+  thresholdAmount: Decimal.Value | null;
+  lowerSqrtPrice: Decimal.Value;
+  upperSqrtPrice: Decimal.Value;
+  liquidity: Decimal.Value;
+  baseDecimals: number;
+  quoteDecimals: number;
+};
+const testGetSwapAmounts = () => {
+  const cases: SwapParams[] = [
+    {
+      isBuy: true,
+      exactInput: true,
+      amount: 1,
+      swapFeeRate: 0,
+      thresholdSqrtPrice: null,
+      thresholdAmount: null,
+      lowerSqrtPrice: 0.8 ** 0.5,
+      upperSqrtPrice: 1,
+      liquidity: 10000,
+      baseDecimals: 18,
+      quoteDecimals: 18,
+    },
+    {
+      isBuy: true,
+      exactInput: true,
+      amount: 1,
+      swapFeeRate: 0.005,
+      thresholdSqrtPrice: null,
+      thresholdAmount: null,
+      lowerSqrtPrice: 1,
+      upperSqrtPrice: 1.2 ** 0.5,
+      liquidity: 0,
+      baseDecimals: 18,
+      quoteDecimals: 18,
+    },
+    {
+      isBuy: false,
+      exactInput: true,
+      amount: 10,
+      swapFeeRate: 0.005,
+      thresholdSqrtPrice: 0.95 ** 0.5,
+      thresholdAmount: null,
+      lowerSqrtPrice: 0.8 ** 0.5,
+      upperSqrtPrice: 1,
+      liquidity: 200,
+      baseDecimals: 18,
+      quoteDecimals: 18,
+    },
+    {
+      isBuy: true,
+      exactInput: true,
+      amount: 10,
+      swapFeeRate: 0.005,
+      thresholdSqrtPrice: 1.05 ** 0.5,
+      thresholdAmount: null,
+      lowerSqrtPrice: 1,
+      upperSqrtPrice: 1.2 ** 0.5,
+      liquidity: 200,
+      baseDecimals: 18,
+      quoteDecimals: 18,
+    },
+    {
+      isBuy: true,
+      exactInput: true,
+      amount: 9.26891,
+      swapFeeRate: 0.005,
+      thresholdSqrtPrice: null,
+      thresholdAmount: null,
+      lowerSqrtPrice: 0.375 ** 0.5,
+      upperSqrtPrice: 0.4 ** 0.5,
+      liquidity: 1,
+      baseDecimals: 18,
+      quoteDecimals: 6,
+    },
+  ];
+
+  for (let i = 0; i < cases.length; i++) {
+    const params = cases[i];
+    const { amountIn, amountOut, fees } = getSwapAmounts({
+      isBuy: params.isBuy,
+      exactInput: params.exactInput,
+      amount: params.amount,
+      swapFeeRate: params.swapFeeRate,
+      thresholdSqrtPrice: params.thresholdSqrtPrice,
+      thresholdAmount: params.thresholdAmount,
+      lowerSqrtPrice: params.lowerSqrtPrice,
+      upperSqrtPrice: params.upperSqrtPrice,
+      liquidity: params.liquidity,
+      baseDecimals: params.baseDecimals,
+      quoteDecimals: params.quoteDecimals,
+    });
+    console.log(`Case ${i + 1}`);
+    const inDecimals = params.isBuy
+      ? params.quoteDecimals
+      : params.baseDecimals;
+    const outDecimals = params.isBuy
+      ? params.baseDecimals
+      : params.quoteDecimals;
+    console.log({
+      amountIn: new Decimal(amountIn)
+        .mul(new Decimal(10).pow(inDecimals))
+        .toFixed(0),
+      amountOut: new Decimal(amountOut)
+        .mul(new Decimal(10).pow(outDecimals))
+        .toFixed(0),
+      fees: new Decimal(fees).mul(new Decimal(10).pow(inDecimals)).toFixed(0),
+    });
+  }
+};
+
+testGetSwapAmounts();
diff --git a/models/src/reversion/libraries/SwapLib.ts b/models/src/reversion/libraries/SwapLib.ts
@@ -51,7 +51,12 @@ export const getSwapAmounts = ({
     ? Decimal.max(thresholdSqrtPrice, scaledLowerSqrtPrice)
     : scaledLowerSqrtPrice;
 
-  const { amountIn, amountOut, fees, nextSqrtPrice } = computeSwapAmount({
+  const {
+    amountIn: netAmountIn,
+    amountOut,
+    fees,
+    nextSqrtPrice,
+  } = computeSwapAmount({
     currSqrtPrice: startSqrtPrice,
     targetSqrtPrice,
     liquidity,
@@ -60,19 +65,24 @@ export const getSwapAmounts = ({
     exactInput,
   });
 
-  const grossAmountIn = new Decimal(amountIn).add(fees);
+  const amountIn =
+    nextSqrtPrice !== targetSqrtPrice &&
+    new Decimal(liquidity).gt(0) &&
+    exactInput
+      ? amount
+      : new Decimal(netAmountIn).add(fees);
 
   if (thresholdAmount) {
     if (exactInput) {
       if (amountOut < thresholdAmount)
         throw new Error("Threshold amount not met");
     } else {
-      if (grossAmountIn > thresholdAmount)
+      if (amountIn > thresholdAmount)
         throw new Error("Threshold amount exceeded");
     }
   }
 
-  return { amountIn: grossAmountIn, amountOut, fees };
+  return { amountIn, amountOut, fees };
 };
 
 export const computeSwapAmount = ({

diff --git a/models/src/reversion/tests/SwapLib.test.ts b/models/src/reversion/tests/SwapLib.test.ts
@@ -11,6 +11,8 @@ type SwapParams = {
   lowerSqrtPrice: Decimal.Value;
   upperSqrtPrice: Decimal.Value;
   liquidity: Decimal.Value;
+  baseDecimals: number;
+  quoteDecimals: number;
 };
 const testGetSwapAmounts = () => {
   const cases: SwapParams[] = [
@@ -24,6 +26,8 @@ const testGetSwapAmounts = () => {
       lowerSqrtPrice: 0.8 ** 0.5,
       upperSqrtPrice: 1,
       liquidity: 10000,
+      baseDecimals: 18,
+      quoteDecimals: 18,
     },
     {
       isBuy: true,
@@ -35,6 +39,8 @@ const testGetSwapAmounts = () => {
       lowerSqrtPrice: 1,
       upperSqrtPrice: 1.2 ** 0.5,
       liquidity: 0,
+      baseDecimals: 18,
+      quoteDecimals: 18,
     },
     {
       isBuy: false,
@@ -46,6 +52,8 @@ const testGetSwapAmounts = () => {
       lowerSqrtPrice: 0.8 ** 0.5,
       upperSqrtPrice: 1,
       liquidity: 200,
+      baseDecimals: 18,
+      quoteDecimals: 18,
     },
     {
       isBuy: true,
@@ -57,32 +65,54 @@ const testGetSwapAmounts = () => {
       lowerSqrtPrice: 1,
       upperSqrtPrice: 1.2 ** 0.5,
       liquidity: 200,
+      baseDecimals: 18,
+      quoteDecimals: 18,
+    },
+    {
+      isBuy: true,
+      exactInput: true,
+      amount: 9.26891,
+      swapFeeRate: 0.005,
+      thresholdSqrtPrice: null,
+      thresholdAmount: null,
+      lowerSqrtPrice: 0.375 ** 0.5,
+      upperSqrtPrice: 0.4 ** 0.5,
+      liquidity: 1,
+      baseDecimals: 18,
+      quoteDecimals: 6,
     },
   ];
 
-  const baseDecimals = 18;
-  const quoteDecimals = 18;
-
   for (let i = 0; i < cases.length; i++) {
     const params = cases[i];
-    const { amountIn, amountOut, fees } = getSwapAmounts(
-      params.isBuy,
-      params.exactInput,
-      params.amount,
-      params.swapFeeRate,
-      params.thresholdSqrtPrice,
-      params.thresholdAmount,
-      params.lowerSqrtPrice,
-      params.upperSqrtPrice,
-      params.liquidity,
-      baseDecimals,
-      quoteDecimals
-    );
+    const { amountIn, amountOut, fees } = getSwapAmounts({
+      isBuy: params.isBuy,
+      exactInput: params.exactInput,
+      amount: params.amount,
+      swapFeeRate: params.swapFeeRate,
+      thresholdSqrtPrice: params.thresholdSqrtPrice,
+      thresholdAmount: params.thresholdAmount,
+      lowerSqrtPrice: params.lowerSqrtPrice,
+      upperSqrtPrice: params.upperSqrtPrice,
+      liquidity: params.liquidity,
+      baseDecimals: params.baseDecimals,
+      quoteDecimals: params.quoteDecimals,
+    });
     console.log(`Case ${i + 1}`);
+    const inDecimals = params.isBuy
+      ? params.quoteDecimals
+      : params.baseDecimals;
+    const outDecimals = params.isBuy
+      ? params.baseDecimals
+      : params.quoteDecimals;
     console.log({
-      amountIn: new Decimal(amountIn).mul(1e18).toFixed(0),
-      amountOut: new Decimal(amountOut).mul(1e18).toFixed(0),
-      fees: new Decimal(fees).mul(1e18).toFixed(0),
+      amountIn: new Decimal(amountIn)
+        .mul(new Decimal(10).pow(inDecimals))
+        .toFixed(0),
+      amountOut: new Decimal(amountOut)
+        .mul(new Decimal(10).pow(outDecimals))
+        .toFixed(0),
+      fees: new Decimal(fees).mul(new Decimal(10).pow(inDecimals)).toFixed(0),
     });
   }
 };

diff --git a/packages/replicating/src/libraries/swap_lib.cairo b/packages/replicating/src/libraries/swap_lib.cairo
@@ -49,7 +49,7 @@ pub fn get_swap_amounts(
     };
 
     // Compute swap amounts.
-    let (amount_in, amount_out, fees, _) = compute_swap_amounts(
+    let (net_amount_in, amount_out, fees, next_sqrt_price) = compute_swap_amounts(
         start_sqrt_price,
         target_sqrt_price,
         position.liquidity,
@@ -58,7 +58,17 @@ pub fn get_swap_amounts(
         swap_params.exact_input,
     );
 
-    (amount_in + fees, amount_out, fees)
+    // If liquidity is sufficient to fill entire swap amount, we want to make sure the
+    // requested amount is fully consumed for exact input case. 
+    let amount_in = if next_sqrt_price != target_sqrt_price
+        && position.liquidity != 0
+        && swap_params.exact_input {
+        swap_params.amount
+    } else {
+        net_amount_in + fees
+    };
+
+    (amount_in, amount_out, fees)
 }
 
 // Compute amounts swapped and new price after swapping between two prices.
@@ -72,7 +82,7 @@ pub fn get_swap_amounts(
 // * `exact_input` - whether swap amount is exact input or output
 //  
 // # Returns
-// * `amount_in` - amount of tokens swapped in
+// * `net_amount_in` - net amount of tokens swapped in
 // * `amount_out` - amount of tokens swapped out
 // * `fee_amount` - amount of fees
 // * `next_sqrt_price` - next sqrt price

diff --git a/packages/replicating/src/tests/libraries/test_swap_lib.cairo b/packages/replicating/src/tests/libraries/test_swap_lib.cairo
@@ -106,6 +106,24 @@ fn test_get_swap_amounts_ask_threshold_sqrt_price() {
     );
 }
 
+#[test]
+fn test_swap_amount_always_consumes_full_input_if_sufficient_liquidity() {
+    let swap_params = SwapParams {
+        is_buy: true,
+        amount: 9268910,
+        exact_input: true,
+        threshold_sqrt_price: Option::None(()),
+        threshold_amount: Option::None(()),
+        deadline: Option::None(()),
+    };
+    let position = PositionInfo {
+        lower_sqrt_price: to_e18(6100), upper_sqrt_price: to_e18(6500), liquidity: to_e18_u128(1),
+    };
+    let swap_fee_rate = 50;
+    let (amount_in, _, _) = get_swap_amounts(swap_params, swap_fee_rate, position);
+    assert(amount_in == swap_params.amount, 'Swap amount');
+}
+
 ////////////////////////////////
 // TESTS - compute_swap_amounts
 ////////////////////////////////