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Fix fee asset payment for buy
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@nohaapav
nohaapav committed Feb 2, 2024
1 parent ef0c75f commit b1b39b9
Showing 1 changed file with 147 additions and 38 deletions.
185 changes: 147 additions & 38 deletions packages/sdk/src/api/TradeRouter.ts
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Original file line number Diff line number Diff line change
@@ -1,7 +1,22 @@
import { Router } from './Router';
import { Hop, Pool, PoolFees, SellSwap, BuySwap, Trade, TradeType, Amount, Transaction, Swap } from '../types';
import {
Hop,
Pool,
PoolFees,
SellSwap,
BuySwap,
Trade,
TradeType,
Amount,
Transaction,
Swap,
} from '../types';
import { BigNumber, bnum, scale } from '../utils/bignumber';
import { calculateSellFee, calculateBuyFee, calculateDiffToRef } from '../utils/math';
import {
calculateSellFee,
calculateBuyFee,
calculateDiffToRef,
} from '../utils/math';
import { toHuman, toPct } from '../utils/mapper';
import { RouteNotFound } from '../errors';

Expand Down Expand Up @@ -30,8 +45,9 @@ export class TradeRouter extends Router {
});

return (
sortedResults.find((route: SellSwap[]) => route.every((swap: SellSwap) => swap.errors.length == 0)) ||
sortedResults[0]
sortedResults.find((route: SellSwap[]) =>
route.every((swap: SellSwap) => swap.errors.length == 0)
) || sortedResults[0]
);
}

Expand All @@ -44,8 +60,12 @@ export class TradeRouter extends Router {
private getRouteFeeRange(swaps: Swap[]): [number, number] | undefined {
const hasDynFee = swaps.filter((s: Swap) => s.tradeFeeRange).length > 0;
if (hasDynFee) {
const min = swaps.map((s: Swap) => s.tradeFeeRange?.[0] ?? s.tradeFeePct).reduce((a: number, b: number) => a + b);
const max = swaps.map((s: Swap) => s.tradeFeeRange?.[1] ?? s.tradeFeePct).reduce((a: number, b: number) => a + b);
const min = swaps
.map((s: Swap) => s.tradeFeeRange?.[0] ?? s.tradeFeePct)
.reduce((a: number, b: number) => a + b);
const max = swaps
.map((s: Swap) => s.tradeFeeRange?.[1] ?? s.tradeFeePct)
.reduce((a: number, b: number) => a + b);
return [min, max];
}
}
Expand Down Expand Up @@ -73,14 +93,24 @@ export class TradeRouter extends Router {
* @param {BigNumber} amountIn - Amount of assetIn to sell for assetOut
* @returns Best possible sell trade of given token pair
*/
async getBestSell(assetIn: string, assetOut: string, amountIn: BigNumber | string | number): Promise<Trade> {
async getBestSell(
assetIn: string,
assetOut: string,
amountIn: BigNumber | string | number
): Promise<Trade> {
const pools = await super.getPools();
if (pools.length === 0) throw new Error('No pools configured');
const { poolsMap } = await super.validateTokenPair(assetIn, assetOut, pools);
const { poolsMap } = await super.validateTokenPair(
assetIn,
assetOut,
pools
);
const paths = super.getPaths(assetIn, assetOut, poolsMap, pools);
if (paths.length === 0) throw new RouteNotFound(assetIn, assetOut);

const sellSwaps = paths.map(async (path) => await this.toSellSwaps(amountIn, path, poolsMap));
const sellSwaps = paths.map(
async (path) => await this.toSellSwaps(amountIn, path, poolsMap)
);
const swaps = await Promise.all(sellSwaps);
const bestRoute = this.findBestSellRoute(swaps);

Expand All @@ -92,14 +122,27 @@ export class TradeRouter extends Router {
.map((s: SellSwap) => s.spotPrice.shiftedBy(-1 * s.assetOutDecimals))
.reduce((a: BigNumber, b: BigNumber) => a.multipliedBy(b));

const bestRouteSpotPrice = scale(spotPrice, lastSwap.assetOutDecimals).decimalPlaces(0, 1);

const swapAmount = firstSwap.amountIn.shiftedBy(-1 * firstSwap.assetInDecimals).multipliedBy(bestRouteSpotPrice);
const bestRoutePriceImpact = calculateDiffToRef(lastSwap.calculatedOut, swapAmount);
const bestRouteSpotPrice = scale(
spotPrice,
lastSwap.assetOutDecimals
).decimalPlaces(0, 1);

const swapAmount = firstSwap.amountIn
.shiftedBy(-1 * firstSwap.assetInDecimals)
.multipliedBy(bestRouteSpotPrice);
const bestRoutePriceImpact = calculateDiffToRef(
lastSwap.calculatedOut,
swapAmount
);

const delta0Y = isDirect ? lastSwap.calculatedOut : this.calculateDelta0Y(firstSwap.amountIn, bestRoute, poolsMap);
const delta0Y = isDirect
? lastSwap.calculatedOut
: this.calculateDelta0Y(firstSwap.amountIn, bestRoute, poolsMap);
const deltaY = lastSwap.amountOut;
const tradeFeePct = isDirect ? lastSwap.tradeFeePct : calculateSellFee(delta0Y, deltaY).toNumber();

const tradeFeePct = isDirect
? lastSwap.tradeFeePct
: calculateSellFee(delta0Y, deltaY).toNumber();
const tradeFee = delta0Y.minus(deltaY);
const tradeFeeRange = this.getRouteFeeRange(bestRoute);

Expand Down Expand Up @@ -150,7 +193,11 @@ export class TradeRouter extends Router {
* @param poolsMap - Pools map
* @returns the amount out for best possible trade if fees are zero
*/
private calculateDelta0Y(amountIn: BigNumber, bestRoute: SellSwap[], poolsMap: Map<string, Pool>) {
private calculateDelta0Y(
amountIn: BigNumber,
bestRoute: SellSwap[],
poolsMap: Map<string, Pool>
) {
const amounts: BigNumber[] = [];
for (let i = 0; i < bestRoute.length; i++) {
const swap = bestRoute[i];
Expand Down Expand Up @@ -198,11 +245,20 @@ export class TradeRouter extends Router {
aIn = scale(bnum(amountIn), poolPair.decimalsIn).decimalPlaces(0, 1);
}

const poolFees = await this.poolService.getPoolFees(poolPair.assetOut, pool);
const { amountOut, calculatedOut, feePct, errors } = pool.validateAndSell(poolPair, aIn, poolFees);
const poolFees = await this.poolService.getPoolFees(
poolPair.assetOut,
pool
);
const { amountOut, calculatedOut, feePct, errors } = pool.validateAndSell(
poolPair,
aIn,
poolFees
);
const feePctRange = this.getPoolFeeRange(poolFees);
const spotPrice = pool.spotPriceOutGivenIn(poolPair);
const swapAmount = aIn.shiftedBy(-1 * poolPair.decimalsIn).multipliedBy(spotPrice);
const swapAmount = aIn
.shiftedBy(-1 * poolPair.decimalsIn)
.multipliedBy(spotPrice);
const priceImpactPct = calculateDiffToRef(calculatedOut, swapAmount);

swaps.push({
Expand Down Expand Up @@ -242,17 +298,26 @@ export class TradeRouter extends Router {
* @param {string} assetOut - Storage key of tokenOut
* @return Best possible spot price of given token pair, or undefined if given pair trade not supported
*/
async getBestSpotPrice(assetIn: string, assetOut: string): Promise<Amount | undefined> {
async getBestSpotPrice(
assetIn: string,
assetOut: string
): Promise<Amount | undefined> {
const pools = await super.getPools();
if (pools.length === 0) throw new Error('No pools configured');
const { poolsMap } = await super.validateTokenPair(assetIn, assetOut, pools);
const { poolsMap } = await super.validateTokenPair(
assetIn,
assetOut,
pools
);
const paths = super.getPaths(assetIn, assetOut, poolsMap, pools);

if (paths.length === 0) {
return Promise.resolve(undefined);
}

const sellSwaps = paths.map(async (path) => await this.toSellSwaps('1', path, poolsMap));
const sellSwaps = paths.map(
async (path) => await this.toSellSwaps('1', path, poolsMap)
);
const swaps = await Promise.all(sellSwaps);
const bestRoute = this.findBestSellRoute(swaps);

Expand All @@ -261,7 +326,10 @@ export class TradeRouter extends Router {
.reduce((a: BigNumber, b: BigNumber) => a.multipliedBy(b));

const spotPriceDecimals = bestRoute[bestRoute.length - 1].assetOutDecimals;
const spotPriceAmount = scale(spotPrice, spotPriceDecimals).decimalPlaces(0, 1);
const spotPriceAmount = scale(spotPrice, spotPriceDecimals).decimalPlaces(
0,
1
);
return { amount: spotPriceAmount, decimals: spotPriceDecimals };
}

Expand All @@ -279,8 +347,9 @@ export class TradeRouter extends Router {
});

return (
sortedResults.find((route: BuySwap[]) => route.every((swap: BuySwap) => swap.errors.length == 0)) ||
sortedResults[0]
sortedResults.find((route: BuySwap[]) =>
route.every((swap: BuySwap) => swap.errors.length == 0)
) || sortedResults[0]
);
}

Expand All @@ -292,14 +361,24 @@ export class TradeRouter extends Router {
* @param {BigNumber} amountOut - Amount of tokenOut to buy for tokenIn
* @returns Best possible buy trade of given token pair
*/
async getBestBuy(assetIn: string, assetOut: string, amountOut: BigNumber | string | number): Promise<Trade> {
async getBestBuy(
assetIn: string,
assetOut: string,
amountOut: BigNumber | string | number
): Promise<Trade> {
const pools = await super.getPools();
if (pools.length === 0) throw new Error('No pools configured');
const { poolsMap } = await super.validateTokenPair(assetIn, assetOut, pools);
const { poolsMap } = await super.validateTokenPair(
assetIn,
assetOut,
pools
);
const paths = super.getPaths(assetIn, assetOut, poolsMap, pools);
if (paths.length === 0) throw new RouteNotFound(assetIn, assetOut);

const buySwaps = paths.map(async (path) => await this.toBuySwaps(amountOut, path, poolsMap));
const buySwaps = paths.map(
async (path) => await this.toBuySwaps(amountOut, path, poolsMap)
);
const swaps = await Promise.all(buySwaps);
const bestRoute = this.findBestBuyRoute(swaps);

Expand All @@ -311,19 +390,33 @@ export class TradeRouter extends Router {
.map((s: BuySwap) => s.spotPrice.shiftedBy(-1 * s.assetInDecimals))
.reduce((a: BigNumber, b: BigNumber) => a.multipliedBy(b));

const bestRouteSpotPrice = scale(spotPrice, lastSwap.assetInDecimals).decimalPlaces(0, 1);
const bestRouteSpotPrice = scale(
spotPrice,
lastSwap.assetInDecimals
).decimalPlaces(0, 1);

const swapAmount = firstSwap.amountOut
.shiftedBy(-1 * firstSwap.assetOutDecimals)
.multipliedBy(bestRouteSpotPrice);

const swapAmount = firstSwap.amountOut.shiftedBy(-1 * firstSwap.assetOutDecimals).multipliedBy(bestRouteSpotPrice);
let bestRoutePriceImpact: number;
if (lastSwap.calculatedIn.isZero()) {
bestRoutePriceImpact = -100;
} else {
bestRoutePriceImpact = calculateDiffToRef(swapAmount, lastSwap.calculatedIn).toNumber();
bestRoutePriceImpact = calculateDiffToRef(
swapAmount,
lastSwap.calculatedIn
).toNumber();
}

const delta0X = isDirect ? lastSwap.calculatedIn : this.calculateDelta0X(firstSwap.amountOut, bestRoute, poolsMap);
const delta0X = isDirect
? lastSwap.calculatedIn
: this.calculateDelta0X(firstSwap.amountOut, bestRoute, poolsMap);
const deltaX = lastSwap.amountIn;
const tradeFeePct = isDirect ? lastSwap.tradeFeePct : calculateBuyFee(delta0X, deltaX);

const tradeFeePct = isDirect
? lastSwap.tradeFeePct
: calculateBuyFee(delta0X, deltaX);
const tradeFee = deltaX.minus(delta0X);
const tradeFeeRange = this.getRouteFeeRange(bestRoute);

Expand Down Expand Up @@ -374,7 +467,11 @@ export class TradeRouter extends Router {
* @param poolsMap - Pools map
* @returns the amount in for best possible trade if fees are zero
*/
private calculateDelta0X(amountOut: BigNumber, bestRoute: BuySwap[], poolsMap: Map<string, Pool>) {
private calculateDelta0X(
amountOut: BigNumber,
bestRoute: BuySwap[],
poolsMap: Map<string, Pool>
) {
const amounts: BigNumber[] = [];
for (let i = bestRoute.length - 1; i >= 0; i--) {
const swap = bestRoute[i];
Expand Down Expand Up @@ -423,17 +520,29 @@ export class TradeRouter extends Router {
aOut = swaps[0].amountIn;
}

const poolFees = await this.poolService.getPoolFees(poolPair.assetIn, pool);
const { amountIn, calculatedIn, feePct, errors } = pool.validateAndBuy(poolPair, aOut, poolFees);
const poolFees = await this.poolService.getPoolFees(
poolPair.assetOut,
pool
);
const { amountIn, calculatedIn, feePct, errors } = pool.validateAndBuy(
poolPair,
aOut,
poolFees
);
const feePctRange = this.getPoolFeeRange(poolFees);
const spotPrice = pool.spotPriceInGivenOut(poolPair);

const swapAmount = aOut.shiftedBy(-1 * poolPair.decimalsOut).multipliedBy(spotPrice);
const swapAmount = aOut
.shiftedBy(-1 * poolPair.decimalsOut)
.multipliedBy(spotPrice);
let priceImpactPct: number;
if (calculatedIn.isZero()) {
priceImpactPct = -100;
} else {
priceImpactPct = calculateDiffToRef(swapAmount, calculatedIn).toNumber();
priceImpactPct = calculateDiffToRef(
swapAmount,
calculatedIn
).toNumber();
}

swaps.unshift({
Expand Down

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