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more progress on limit orders pool
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@moodysalem
moodysalem committed Nov 14, 2024
1 parent 530bfee commit 3a2ad8f
Showing 1 changed file with 188 additions and 34 deletions.
222 changes: 188 additions & 34 deletions src/quoting/limit_order_pool.rs
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Original file line number Diff line number Diff line change
@@ -1,18 +1,22 @@
use crate::math::swap::is_price_increasing;
use crate::math::uint::U256;
use crate::quoting::base_pool::{BasePool, BasePoolQuoteError, BasePoolResources, BasePoolState};
use crate::quoting::types::{NodeKey, Pool, Quote, QuoteParams, Tick};
use crate::quoting::util::find_nearest_initialized_tick_index;
use alloc::vec::Vec;
use core::ops::Add;
use num_traits::{ToPrimitive, Zero};

#[derive(Clone, Copy)]
pub struct LimitOrderPoolState {
pub base_pool_state: BasePoolState,
// the maximum tick that we have fully crossed
pub max_tick_index_after_swap: Option<usize>,
// the minimum tick that we have fully crossed
pub min_tick_index_after_swap: Option<usize>,
// the maximum active tick index we've reached after a swap of token1 for token0
// if None, then we haven't seen any swaps from token1 to token0
// if Some(None), then we have swapped through all the ticks greater than the current active tick index
pub max_tick_index_after_swap: Option<Option<usize>>,
// the minimum active tick index we've reached after a swap of token0 for token1
// if None, then we haven't seen any swaps from token0 to token1
// if Some(None), then we have swapped through all the ticks less than the current active tick index
pub min_tick_index_after_swap: Option<Option<usize>>,
}

#[derive(Default, Clone, Copy)]
Expand Down Expand Up @@ -88,34 +92,43 @@ impl Pool for LimitOrderPool {
&self,
params: QuoteParams<Self::State, Self::Meta>,
) -> Result<Quote<Self::Resources, Self::State>, Self::QuoteError> {
let (min_tick_after_swap, max_tick_after_swap) = params
.override_state
.map(|s| (s.min_tick_index_after_swap, s.max_tick_index_after_swap))
.unwrap_or((None, None));

let result = self.base_pool.quote(QuoteParams {
sqrt_ratio_limit: params.sqrt_ratio_limit,
override_state: params.override_state.map(|s| s.base_pool_state),
token_amount: params.token_amount,
meta: (),
})?;

let ix = result.state_after.active_tick_index;

Ok(Quote {
calculated_amount: result.calculated_amount,
consumed_amount: result.consumed_amount,
execution_resources: LimitOrderPoolResources {
base_pool_resources: result.execution_resources,
},
fees_paid: result.fees_paid,
is_price_increasing: result.is_price_increasing,
state_after: LimitOrderPoolState {
base_pool_state: result.state_after,
max_tick_index_after_swap: None,
min_tick_index_after_swap: None,
},
})
if let Some(state) = params.override_state {
let increasing = is_price_increasing(
params.token_amount.amount,
params.token_amount.token == self.get_key().token1,
);

panic!("todo");
} else {
let result = self.base_pool.quote(QuoteParams {
sqrt_ratio_limit: params.sqrt_ratio_limit,
override_state: params.override_state.map(|s| s.base_pool_state),
token_amount: params.token_amount,
meta: (),
})?;

let (min_tick_index_after_swap, max_tick_index_after_swap) =
if result.is_price_increasing {
(None, Some(result.state_after.active_tick_index))
} else {
(Some(result.state_after.active_tick_index), None)
};

Ok(Quote {
calculated_amount: result.calculated_amount,
consumed_amount: result.consumed_amount,
execution_resources: LimitOrderPoolResources {
base_pool_resources: result.execution_resources,
},
fees_paid: result.fees_paid,
is_price_increasing: result.is_price_increasing,
state_after: LimitOrderPoolState {
base_pool_state: result.state_after,
max_tick_index_after_swap,
min_tick_index_after_swap,
},
})
}
}

fn has_liquidity(&self) -> bool {
Expand All @@ -132,4 +145,145 @@ impl Pool for LimitOrderPool {
}

#[cfg(test)]
mod tests {}
mod tests {
use crate::math::tick::to_sqrt_ratio;
use crate::math::uint::U256;
use crate::quoting::limit_order_pool::{LimitOrderPool, LIMIT_ORDER_TICK_SPACING};
use crate::quoting::types::{Pool, QuoteParams, Tick, TokenAmount};
use alloc::vec;
use num_traits::ToPrimitive;

#[test]
fn test_swap_one_for_zero_partial() {
let liquidity: i128 = 10000000;
let pool = LimitOrderPool::new(
U256::from(1u32),
U256::from(2u32),
U256::from(3u32),
to_sqrt_ratio(0).unwrap(),
0,
liquidity.unsigned_abs(),
vec![
Tick {
index: 0,
liquidity_delta: liquidity,
},
Tick {
index: LIMIT_ORDER_TICK_SPACING.to_i32().unwrap(),
liquidity_delta: -liquidity,
},
],
);

let quote = pool
.quote(QuoteParams {
sqrt_ratio_limit: None,
override_state: None,
meta: (),
token_amount: TokenAmount {
token: U256::from(2),
amount: 10000,
},
})
.expect("Quote failed");

assert_eq!(quote.fees_paid, 0);
assert_eq!(quote.state_after.min_tick_index_after_swap, None);
assert_eq!(quote.state_after.max_tick_index_after_swap, Some(None));
assert_eq!(quote.consumed_amount, 641);
assert_eq!(quote.calculated_amount, 639);
assert_eq!(
quote
.execution_resources
.base_pool_resources
.initialized_ticks_crossed,
1
);
assert_eq!(
quote
.execution_resources
.base_pool_resources
.no_override_price_change,
1
);
assert_eq!(
quote
.execution_resources
.base_pool_resources
.tick_spacings_crossed,
693147
);
}

#[test]
fn test_swap_one_for_zero_cross_multiple() {
let liquidity: i128 = 10000000;
let pool = LimitOrderPool::new(
U256::from(1u32),
U256::from(2u32),
U256::from(3u32),
to_sqrt_ratio(0).unwrap(),
0,
liquidity.unsigned_abs(),
vec![
Tick {
index: 0,
liquidity_delta: liquidity,
},
Tick {
index: LIMIT_ORDER_TICK_SPACING.to_i32().unwrap(),
liquidity_delta: -liquidity,
},
Tick {
index: (LIMIT_ORDER_TICK_SPACING.to_i32().unwrap() * 2),
liquidity_delta: liquidity,
},
Tick {
index: (LIMIT_ORDER_TICK_SPACING.to_i32().unwrap() * 3)
.to_i32()
.unwrap(),
liquidity_delta: -liquidity,
},
],
);

let quote = pool
.quote(QuoteParams {
sqrt_ratio_limit: None,
override_state: None,
meta: (),
token_amount: TokenAmount {
token: U256::from(2),
amount: 1000,
},
})
.expect("Quote failed");

assert_eq!(quote.fees_paid, 0);
assert_eq!(quote.state_after.min_tick_index_after_swap, None);
assert_eq!(quote.state_after.max_tick_index_after_swap, Some(Some(2)));
assert_eq!(quote.consumed_amount, 1000);
assert_eq!(quote.calculated_amount, 997);
assert_eq!(
quote
.execution_resources
.base_pool_resources
.initialized_ticks_crossed,
2
);
assert_eq!(
quote
.execution_resources
.base_pool_resources
.no_override_price_change,
1
);
assert_eq!(
quote
.execution_resources
.base_pool_resources
.tick_spacings_crossed,
2
);
}
}

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