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[Sumtree]: Spot Price Adjustment for Order Direction #198

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merged 3 commits into from
Jun 29, 2024
Merged

[Sumtree]: Spot Price Adjustment for Order Direction #198

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6637ec7
fix: fixed spot price calculation to account for direction
crnbarr93 Jun 27, 2024
9d6f82a
fix: inverted base/quote denoms for spot price to be correct
crnbarr93 Jun 27, 2024
6c3636d
test: added more cases
crnbarr93 Jun 27, 2024
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15 changes: 10 additions & 5 deletions contracts/sumtree-orderbook/src/query.rs
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Original file line number Diff line number Diff line change
@@ -1,15 +1,15 @@
use std::str::FromStr;

use cosmwasm_std::{coin, ensure, Addr, Coin, Decimal, Decimal256, Deps, Order, Uint128};
use cosmwasm_std::{coin, ensure, Addr, Coin, Decimal, Decimal256, Deps, Fraction, Order, Uint128};
use cw_storage_plus::Bound;

use crate::{
constants::{MAX_TICK, MIN_TICK},
error::ContractResult,
msg::{
CalcOutAmtGivenInResponse, DenomsResponse, GetSwapFeeResponse,
GetTotalPoolLiquidityResponse, GetUnrealizedCancelsResponse, OrdersResponse, SpotPriceResponse,
TickIdAndState, TickUnrealizedCancels, TicksResponse, UnrealizedCancels,
GetTotalPoolLiquidityResponse, GetUnrealizedCancelsResponse, OrdersResponse,
SpotPriceResponse, TickIdAndState, TickUnrealizedCancels, TicksResponse, UnrealizedCancels,
},
order,
state::{
Expand Down Expand Up @@ -48,7 +48,7 @@ pub(crate) fn spot_price(
// Fetch orderbook to retrieve tick info
let orderbook = ORDERBOOK.load(deps.storage)?;
// Determine the order direction by denom pairing
let direction = orderbook.direction_from_pair(quote_asset_denom, base_asset_denom)?;
let direction = orderbook.direction_from_pair(base_asset_denom, quote_asset_denom)?;

// Determine next tick based on desired order direction
let next_tick = match direction {
Expand All @@ -59,8 +59,13 @@ pub(crate) fn spot_price(
// Generate spot price based on current active tick for desired order direction
let price = tick_to_price(next_tick)?;

let spot_price = match direction {
OrderDirection::Ask => price.inv().unwrap(),
OrderDirection::Bid => price,
};

Ok(SpotPriceResponse {
spot_price: Decimal::from_str(&price.to_string())?,
spot_price: Decimal::from_str(&spot_price.to_string())?,
})
}

Expand Down
133 changes: 112 additions & 21 deletions contracts/sumtree-orderbook/src/tests/test_query.rs
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Open in desktop
Original file line number Diff line number Diff line change
@@ -1,11 +1,13 @@
use std::str::FromStr;

use cosmwasm_std::{
coin,
testing::{mock_env, mock_info},
Addr, Coin, Decimal, Decimal256, Uint128,
};

use crate::{
constants::EXPECTED_SWAP_FEE,
constants::{EXPECTED_SWAP_FEE, MAX_TICK, MIN_TICK},
orderbook::create_orderbook,
query,
state::IS_ACTIVE,
Expand Down Expand Up @@ -45,8 +47,8 @@ fn test_query_spot_price() {
Decimal256::zero(),
None,
))],
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
expected_price: Decimal::one(),
expected_error: None,
},
Expand Down Expand Up @@ -81,8 +83,8 @@ fn test_query_spot_price() {
None,
)),
],
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
expected_price: Decimal::one(),
expected_error: None,
},
Expand All @@ -108,8 +110,8 @@ fn test_query_spot_price() {
None,
)),
],
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
expected_price: Decimal::one(),
expected_error: None,
},
Expand Down Expand Up @@ -140,24 +142,56 @@ fn test_query_spot_price() {
sender.clone(),
)),
],
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
expected_price: Decimal::percent(200),
expected_error: None,
},
SpotPriceTestCase {
name: "ASK: basic price 1 query",
name: "BID: max tick",
pre_operations: vec![OrderOperation::PlaceLimit(LimitOrder::new(
MAX_TICK,
0,
OrderDirection::Ask,
sender.clone(),
Uint128::one(),
Decimal256::zero(),
None,
))],
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
expected_price: Decimal::from_ratio(340282300000000000000u128, 1u128),
expected_error: None,
},
SpotPriceTestCase {
name: "BID: min tick",
pre_operations: vec![OrderOperation::PlaceLimit(LimitOrder::new(
MIN_TICK,
0,
OrderDirection::Bid,
OrderDirection::Ask,
sender.clone(),
Uint128::one(),
Decimal256::zero(),
None,
))],
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
expected_price: Decimal::from_str("0.000000000001").unwrap(),
expected_error: None,
},
SpotPriceTestCase {
name: "ASK: basic price 1 query",
pre_operations: vec![OrderOperation::PlaceLimit(LimitOrder::new(
0,
0,
OrderDirection::Bid,
sender.clone(),
Uint128::one(),
Decimal256::zero(),
None,
))],
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
expected_price: Decimal::one(),
expected_error: None,
},
Expand Down Expand Up @@ -192,8 +226,8 @@ fn test_query_spot_price() {
None,
)),
],
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
expected_price: Decimal::one(),
expected_error: None,
},
Expand All @@ -219,8 +253,8 @@ fn test_query_spot_price() {
None,
)),
],
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
expected_price: Decimal::one(),
expected_error: None,
},
Expand Down Expand Up @@ -251,11 +285,68 @@ fn test_query_spot_price() {
sender.clone(),
)),
],
base_denom: QUOTE_DENOM.to_string(),
quote_denom: BASE_DENOM.to_string(),
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
expected_price: Decimal::percent(200),
expected_error: None,
},
SpotPriceTestCase {
name: "ASK: large positive tick",
pre_operations: vec![
OrderOperation::PlaceLimit(LimitOrder::new(
LARGE_POSITIVE_TICK,
0,
OrderDirection::Bid,
sender.clone(),
Uint128::MAX,
Decimal256::zero(),
None,
)),
OrderOperation::RunMarket(MarketOrder::new(
Uint128::from(100u128),
OrderDirection::Ask,
sender.clone(),
)),
],
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
expected_price: Decimal::percent(50),
expected_error: None,
},
SpotPriceTestCase {
name: "ASK: max tick",
pre_operations: vec![OrderOperation::PlaceLimit(LimitOrder::new(
MAX_TICK,
0,
OrderDirection::Bid,
sender.clone(),
Uint128::MAX,
Decimal256::zero(),
None,
))],
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
// At max tick the price is 2.9387365e-21 which is outside the range of the `Decimal` type
// As such the returned price is zero
expected_price: Decimal::zero(),
expected_error: None,
},
SpotPriceTestCase {
name: "ASK: min tick",
pre_operations: vec![OrderOperation::PlaceLimit(LimitOrder::new(
MIN_TICK,
0,
OrderDirection::Bid,
sender.clone(),
Uint128::MAX,
Decimal256::zero(),
None,
))],
base_denom: BASE_DENOM.to_string(),
quote_denom: QUOTE_DENOM.to_string(),
expected_price: Decimal::from_ratio(1000000000000u128, 1u128),
expected_error: None,
},
SpotPriceTestCase {
name: "invalid: duplicate denom",
pre_operations: vec![],
Expand All @@ -274,8 +365,8 @@ fn test_query_spot_price() {
quote_denom: QUOTE_DENOM.to_string(),
expected_price: Decimal::percent(50),
expected_error: Some(ContractError::InvalidPair {
token_in_denom: QUOTE_DENOM.to_string(),
token_out_denom: "notadenom".to_string(),
token_out_denom: QUOTE_DENOM.to_string(),
token_in_denom: "notadenom".to_string(),
}),
},
SpotPriceTestCase {
Expand All @@ -285,8 +376,8 @@ fn test_query_spot_price() {
quote_denom: "notadenom".to_string(),
expected_price: Decimal::percent(50),
expected_error: Some(ContractError::InvalidPair {
token_out_denom: BASE_DENOM.to_string(),
token_in_denom: "notadenom".to_string(),
token_in_denom: BASE_DENOM.to_string(),
token_out_denom: "notadenom".to_string(),
}),
},
];
Expand Down
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