feat: slippage calculations and validations

lib/client/client.ts

@@ -19,6 +19,7 @@ import {
 import { SwapType } from "@metadaoproject/futarchy-ts";
 import { Observable } from "rxjs";
 import { SpotObservation, TwapObservation } from "@/types/prices";
+import { BN } from "@coral-xyz/anchor";
 
 export interface FutarchyClient {
   daos: FutarchyDaoClient;
@@ -95,17 +96,20 @@ export interface FutarchyAmmMarketsClient {
     outputAmountMin: number
   ): Promise<string[]>;
   removeLiquidity(
-    ammAddr: AmmMarket,
-    lpTokensToBurn: number
+    ammMarket: AmmMarket,
+    lpTokensToBurn: BN,
+    slippage: BN
   ): Promise<string[]>;
   validateAddLiquidity(
     ammMarket: AmmMarket,
     quoteAmount: number,
-    maxBaseAmount: number
+    maxBaseAmount: number,
+    slippage: number
   ): LiquidityAddError | null;
   addLiquidity(
     ammAddr: AmmMarket,
     quoteAmount: number,
-    maxBaseAmount: number
+    maxBaseAmount: number,
+    slippage: number
   ): Promise<string[] | LiquidityAddError>;
 }

lib/client/indexer/market-clients/ammMarkets.ts

@@ -12,6 +12,7 @@ import {
 } from "@/types";
 import { PublicKey } from "@solana/web3.js";
 import { SwapType } from "@metadaoproject/futarchy-ts";
+import { BN } from "@coral-xyz/anchor";
 
 export class FutarchyIndexerAmmMarketsClient
   implements FutarchyAmmMarketsClient
@@ -29,25 +30,29 @@ export class FutarchyIndexerAmmMarketsClient
 
   validateAddLiquidity(
     ammMarket: AmmMarket,
-    quoteAmount: number,
-    maxBaseAmount: number
+    quoteAmount: BN,
+    maxBaseAmount: BN,
+    slippage: BN
   ): LiquidityAddError | null {
     return this.rpcMarketsClient.validateAddLiquidity(
       ammMarket,
       quoteAmount,
-      maxBaseAmount
+      maxBaseAmount,
+      slippage
     );
   }
 
   async addLiquidity(
     ammMarket: AmmMarket,
-    quoteAmount: number,
-    maxBaseAmount: number
+    quoteAmount: BN,
+    maxBaseAmount: BN,
+    slippage: BN
   ): Promise<string[] | LiquidityAddError> {
     return this.rpcMarketsClient.addLiquidity(
       ammMarket,
       quoteAmount,
-      maxBaseAmount
+      maxBaseAmount,
+      slippage
     );
   }
 
@@ -66,9 +71,14 @@ export class FutarchyIndexerAmmMarketsClient
 
   async removeLiquidity(
     ammMarket: AmmMarket,
-    lpTokensToBurn: number
+    lpTokensToBurn: BN,
+    slippage: BN
   ): Promise<string[]> {
-    return this.rpcMarketsClient.removeLiquidity(ammMarket, lpTokensToBurn);
+    return this.rpcMarketsClient.removeLiquidity(
+      ammMarket,
+      lpTokensToBurn,
+      slippage
+    );
   }
 
   async swap(

lib/client/rpc/market-clients/ammMarkets.ts

@@ -1,5 +1,6 @@
 import { FutarchyAmmMarketsClient } from "@/client";
 import { enrichTokenMetadata } from "@/tokens";
+import { calculateMaxWithSlippage, calculateMinWithSlippage } from "@/trading";
 import { TransactionSender } from "@/transactions";
 import { TokenWithBalance } from "@/types";
 import {
@@ -77,7 +78,8 @@ export class FutarchyAmmMarketsRPCClient implements FutarchyAmmMarketsClient {
   validateAddLiquidity(
     ammMarket: AmmMarket,
     quoteAmount: number,
-    maxBaseAmount: number
+    maxBaseAmount: number,
+    slippage: number
   ): LiquidityAddError | null {
     const quoteAmountArg = new BN(
       quoteAmount *
@@ -87,17 +89,25 @@ export class FutarchyAmmMarketsRPCClient implements FutarchyAmmMarketsClient {
       maxBaseAmount *
         new BN(10).pow(new BN(ammMarket.baseToken.decimals)).toNumber()
     );
+    const quoteAmountWithSlippage = calculateMaxWithSlippage(
+      quoteAmountArg,
+      slippage
+    );
+    const baseAmountWithSlippage = calculateMaxWithSlippage(
+      baseAmountArg,
+      slippage
+    );
     // base passed in should be ammBaseAmount honestly...
-    const baseReserve = new BN(ammMarket.baseAmount);
-    const quoteReserve = new BN(ammMarket.quoteAmount);
+    const baseReserve = ammMarket.baseAmount;
+    const quoteReserve = ammMarket.quoteAmount;
 
-    const ammBaseAmount = quoteAmountArg
+    const ammBaseAmount = new BN(quoteAmountWithSlippage)
       .mul(baseReserve)
       .div(quoteReserve)
       .add(new BN(1));
-    if (baseAmountArg.toNumber() < ammBaseAmount.toNumber()) {
-      console.error(
-        `liquidity max base exceeded. baseAmountArg: ${baseAmountArg.toNumber()}. quoteAmountArg: ${quoteAmountArg.toNumber()}, ammBaseAmount: ${ammBaseAmount.toNumber()}`
+    if (baseAmountWithSlippage < ammBaseAmount.toNumber()) {
+      console.warn(
+        `liquidity max base exceeded. baseAmountArg: ${baseAmountWithSlippage}. quoteAmountArg: ${quoteAmountWithSlippage}, ammBaseAmount: ${ammBaseAmount.toNumber()}`
       );
       return "AddLiquidityMaxBaseExceeded";
     }
@@ -107,14 +117,16 @@ export class FutarchyAmmMarketsRPCClient implements FutarchyAmmMarketsClient {
   async addLiquidity(
     ammMarket: AmmMarket,
     quoteAmount: number,
-    maxBaseAmount: number
+    maxBaseAmount: number,
+    slippage: number
   ): Promise<string[] | LiquidityAddError> {
     if (!this.transactionSender) return [];
 
     const validationError = this.validateAddLiquidity(
       ammMarket,
       quoteAmount,
-      maxBaseAmount
+      maxBaseAmount,
+      slippage
     );
     if (validationError) {
       return validationError;
@@ -124,25 +136,36 @@ export class FutarchyAmmMarketsRPCClient implements FutarchyAmmMarketsClient {
       quoteAmount *
         new BN(10).pow(new BN(ammMarket.quoteToken.decimals)).toNumber()
     );
+    const maxBaseAmountArg = new BN(
+      maxBaseAmount *
+        new BN(10).pow(new BN(ammMarket.baseToken.decimals)).toNumber()
+    );
 
-    // we just pass this in as min LP tokens and this replicates the calculation in the program
-    // TODO multiple this times slippage
-    const minLpTokensToMint = quoteAmountArg
+    const quoteAmountWithSlippage = calculateMaxWithSlippage(
+      quoteAmountArg,
+      slippage
+    );
+    const maxBaseAmountWithSlippage = calculateMaxWithSlippage(
+      maxBaseAmountArg,
+      slippage
+    );
+
+    const minLpTokensToMint = new BN(quoteAmountWithSlippage)
       .mul(new BN(ammMarket.lpMintSupply))
       .div(ammMarket.quoteAmount);
 
-    const maxBaseAmountArg = new BN(
-      maxBaseAmount *
-        new BN(10).pow(new BN(ammMarket.baseToken.decimals)).toNumber()
+    const minLpTokensWithSlippage = calculateMinWithSlippage(
+      minLpTokensToMint.toNumber(),
+      slippage
     );
 
     const ix = this.ammClient.addLiquidityIx(
       ammMarket.publicKey,
       ammMarket.baseMint,
       ammMarket.quoteMint,
-      quoteAmountArg,
-      maxBaseAmountArg,
-      minLpTokensToMint,
+      new BN(quoteAmountWithSlippage),
+      new BN(maxBaseAmountWithSlippage),
+      new BN(minLpTokensWithSlippage),
       this.rpcProvider.publicKey
     );
     const tx = await ix.transaction();
@@ -168,9 +191,18 @@ export class FutarchyAmmMarketsRPCClient implements FutarchyAmmMarketsClient {
     return simulation;
   }
 
-  async removeLiquidity(ammMarket: AmmMarket, lpTokensToBurn: BN) {
-    const minBaseAmount = new BN(0);
-    const minQuoteAmount = new BN(0);
+  async removeLiquidity(
+    ammMarket: AmmMarket,
+    lpTokensToBurn: BN,
+    slippage: BN
+  ) {
+    const lpRatio = lpTokensToBurn.div(new BN(ammMarket.lpMintSupply));
+    const minQuoteAmount = lpRatio
+      .mul(new BN(ammMarket.quoteAmount))
+      .mul(new BN(1 - slippage.toNumber()));
+    const minBaseAmount = lpRatio
+      .mul(new BN(ammMarket.baseAmount))
+      .mul(new BN(1 - slippage.toNumber()));
     const ix = this.ammClient.removeLiquidityIx(
       ammMarket.publicKey,
       ammMarket.baseMint,

lib/trading.ts

@@ -0,0 +1,25 @@
+/**
+ * Calculates the maximum value considering the slippage percentage.
+ *
+ * @param {number} maxValue - The original maximum value before slippage adjustment.
+ * @param {number} slippage - The slippage rate as a whole percentage (not decimal). i.e. if your slippage is 0.3%, pass in 0.3.
+ *                            This value will be divided by 100 internally to calculate the slippage percentage.
+ * @returns {number} The maximum value adjusted for slippage.
+ */
+export function calculateMaxWithSlippage(maxValue: number, slippage: number) {
+  const slippagePercent = slippage / 100;
+  return maxValue * (1 + slippagePercent);
+}
+
+/**
+ * Calculates the minimum value considering the slippage percentage.
+ *
+ * @param {number} minValue - The original minimum value before slippage adjustment.
+ * @param {number} slippage - The slippage rate as a whole percentage (not decimal). i.e. if your slippage is 0.3%, pass in 0.3.
+ *                            This value will be divided by 100 internally to calculate the slippage percentage.
+ * @returns {number} The minimum value adjusted for slippage.
+ */
+export function calculateMinWithSlippage(minValue: number, slippage: number) {
+  const slippagePercent = slippage / 100;
+  return minValue * (1 - slippagePercent);
+}

lib/types/amm.ts

@@ -12,8 +12,8 @@ export class AmmMarketFetchRequest implements MarketFetchRequest {
 
 export type AmmMarket = Market & {
   type: "amm";
-  baseAmount: number;
-  quoteAmount: number;
+  baseAmount: BN;
+  quoteAmount: BN;
   lpMintSupply: number;
 };
 

tests/client/rpc/markets.test.ts

@@ -2,7 +2,7 @@ import { FutarchyRPCClient } from "@/client";
 import { autocratVersionToTwapMap } from "@/constants";
 import { TransactionSender } from "@/transactions";
 import { AmmMarketFetchRequest, OpenbookMarketFetchRequest } from "@/types";
-import { AnchorProvider, Program } from "@coral-xyz/anchor";
+import { AnchorProvider, BN, Program } from "@coral-xyz/anchor";
 import { Connection, PublicKey } from "@solana/web3.js";
 import { describe, test, expect, beforeAll } from "bun:test";
 import { createMockWallet } from "tests/test-utils";
@@ -51,21 +51,33 @@ describe("FutarchyRPCClient Integration Test", () => {
     console.log(marketData); // Log to verify data or perform assertions
     expect(marketData).toBeDefined(); // Simple check, adjust according to expected data structure
   }, 60000);
-  test.skip("addLiquidity test. This should likely not run in CI for now", async () => {
+  test("addLiquidity test. This should likely not run in CI for now", async () => {
     const request = new AmmMarketFetchRequest(
       new PublicKey("HbSYiZ8JRKqNHTx2EJUr6c5wQMvMjNx1rmHkTUtVi9qC")
     );
     const marketData = await rpcClient.markets.fetchMarket(request);
     if (marketData?.type === "amm") {
       const txs = await rpcClient.markets.amm.addLiquidity(
         marketData,
-        0.1,
-        0.1
+        0.01,
+        20,
+        0.3
       );
       console.log(txs); // Log to verify data or perform assertions
       expect(txs).toBeDefined(); // Simple check, adjust according to expected data structure
     }
   }, 60000);
+  test.skip("remove liquidity test. This should likely not run in CI for now", async () => {
+    const request = new AmmMarketFetchRequest(
+      new PublicKey("HbSYiZ8JRKqNHTx2EJUr6c5wQMvMjNx1rmHkTUtVi9qC")
+    );
+    const marketData = await rpcClient.markets.fetchMarket(request);
+    if (marketData?.type === "amm") {
+      const txs = await rpcClient.markets.amm.removeLiquidity(marketData, 10);
+      console.log(txs); // Log to verify data or perform assertions
+      expect(txs).toBeDefined(); // Simple check, adjust according to expected data structure
+    }
+  }, 60000);
 
   // Add more tests for other methods like cancelOrder, fetchOrderBook, etc.
 });