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Solver/proportional alllocate #145

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8c34fa2
fix(strategies): new base strategy abstract contract with single side…
Alexangelj Apr 10, 2024
e1302f1
feat(solver): adds proportional and arbritrary allocates
Alexangelj Apr 30, 2024
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80 changes: 0 additions & 80 deletions src/ConstantSum/ConstantSum.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -89,86 +89,6 @@ contract ConstantSum is Strategy {
return (valid, invariant, reserves, totalLiquidity);
}

function validateAllocate(
address,
uint256 poolId,
Pool memory pool,
bytes calldata data
)
external
view
override
returns (
bool valid,
int256 invariant,
uint256[] memory deltas,
uint256 deltaLiquidity
)
{
(uint256 deltaX, uint256 deltaY, uint256 minDeltaL) =
abi.decode(data, (uint256, uint256, uint256));

deltaLiquidity = computeDeltaLiquidityRoundDown(
deltaX, deltaY, internalParams[poolId].price
);
if (deltaLiquidity < minDeltaL) revert InvalidDeltaLiquidity();

deltas = new uint256[](2);
deltas[0] = deltaX;
deltas[1] = deltaY;

pool.reserves[0] += deltaX;
pool.reserves[1] += deltaY;

invariant = tradingFunction(
pool.reserves,
pool.totalLiquidity + deltaLiquidity,
getPoolParams(poolId)
);

valid = invariant >= 0;
}

function validateDeallocate(
address,
uint256 poolId,
Pool memory pool,
bytes calldata data
)
external
view
override
returns (
bool valid,
int256 invariant,
uint256[] memory deltas,
uint256 deltaLiquidity
)
{
(uint256 deltaX, uint256 deltaY, uint256 maxDeltaL) =
abi.decode(data, (uint256, uint256, uint256));

deltaLiquidity = computeDeltaLiquidityRoundUp(
deltaX, deltaY, internalParams[poolId].price
);
if (deltaLiquidity > maxDeltaL) revert InvalidDeltaLiquidity();

deltas = new uint256[](2);
deltas[0] = deltaX;
deltas[1] = deltaY;

pool.reserves[0] -= deltaX;
pool.reserves[1] -= deltaY;

invariant = tradingFunction(
pool.reserves,
pool.totalLiquidity - deltaLiquidity,
getPoolParams(poolId)
);

valid = invariant >= 0;
}

/// @inheritdoc IStrategy
function update(
address sender,
Expand Down
21 changes: 19 additions & 2 deletions src/ConstantSum/ConstantSumSolver.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -65,16 +65,33 @@ contract ConstantSumSolver is ISolver {

ConstantSumParams memory params = getPoolParams(poolId);

uint256 deltaLiquidity =
computeDeltaLiquidityRoundDown(deltas[0], deltas[1], params.price);

return abi.encode(deltas, deltaLiquidity);
}

/// @inheritdoc ISolver
function prepareAllocationProportional(
uint256 poolId,
uint256[] memory deltas
) external view returns (bytes memory) {
if (deltas.length != 2) revert InvalidDeltasLength();

ConstantSumParams memory params = getPoolParams(poolId);

uint256 deltaLGivenDeltaX =
computeDeltaLiquidityRoundDown(deltas[0], 0, params.price);

uint256 deltaLGivenDeltaY =
computeDeltaLiquidityRoundDown(0, deltas[1], params.price);

if (deltaLGivenDeltaX < deltaLGivenDeltaY) {
return abi.encode(deltas[0], 0, deltaLGivenDeltaX);
deltas[1] = 0;
return abi.encode(deltas, deltaLGivenDeltaX);
} else {
return abi.encode(0, deltas[1], deltaLGivenDeltaY);
deltas[0] = 0;
return abi.encode(deltas, deltaLGivenDeltaY);
}
}

Expand Down
43 changes: 3 additions & 40 deletions src/CoveredCall/CoveredCall.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -2,7 +2,7 @@
pragma solidity 0.8.22;

import { Pool } from "src/interfaces/IDFMM.sol";
import { PairStrategy, IStrategy } from "src/PairStrategy.sol";
import { Strategy, IStrategy } from "src/Strategy.sol";
import { IDFMM } from "src/interfaces/IDFMM.sol";
import { DynamicParamLib, DynamicParam } from "src/lib/DynamicParamLib.sol";
import {
Expand Down Expand Up @@ -67,7 +67,7 @@ uint256 constant MAX_MEAN = uint256(type(int256).max);
* @title CoveredCall Strategy for DFMM.
* @author Primitive
*/
contract CoveredCall is PairStrategy {
contract CoveredCall is Strategy {
using DynamicParamLib for DynamicParam;

/// @inheritdoc IStrategy
Expand All @@ -76,7 +76,7 @@ contract CoveredCall is PairStrategy {
mapping(uint256 => InternalParams) public internalParams;

/// @param dfmm_ Address of the DFMM contract.
constructor(address dfmm_) PairStrategy(dfmm_) { }
constructor(address dfmm_) Strategy(dfmm_) { }

/// @inheritdoc IStrategy
function init(
Expand Down Expand Up @@ -240,43 +240,6 @@ contract CoveredCall is PairStrategy {
);
}

/// @inheritdoc PairStrategy
function _computeAllocateDeltasGivenDeltaL(
uint256 deltaLiquidity,
Pool memory pool,
bytes memory
) internal pure override returns (uint256[] memory) {
uint256[] memory deltas = new uint256[](2);

deltas[0] = computeDeltaGivenDeltaLRoundUp(
pool.reserves[0], deltaLiquidity, pool.totalLiquidity
);

deltas[1] = computeDeltaGivenDeltaLRoundUp(
pool.reserves[1], deltaLiquidity, pool.totalLiquidity
);

return deltas;
}

/// @inheritdoc PairStrategy
function _computeDeallocateDeltasGivenDeltaL(
uint256 deltaLiquidity,
Pool memory pool,
bytes memory
) internal pure override returns (uint256[] memory) {
uint256[] memory deltas = new uint256[](2);

deltas[0] = computeDeltaGivenDeltaLRoundDown(
pool.reserves[0], deltaLiquidity, pool.totalLiquidity
);

deltas[1] = computeDeltaGivenDeltaLRoundDown(
pool.reserves[1], deltaLiquidity, pool.totalLiquidity
);
return deltas;
}

function _computeSwapDeltaLiquidity(
Pool memory pool,
bytes memory params,
Expand Down
37 changes: 34 additions & 3 deletions src/CoveredCall/CoveredCallSolver.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -141,6 +141,30 @@ contract CoveredCallSolver is ISolver {
) public view returns (bytes memory) {
if (deltas.length != 2) revert InvalidDeltasLength();

(uint256[] memory reserves, uint256 totalLiquidity) =
getReservesAndLiquidity(poolId);

CoveredCallParams memory params = getPoolParams(poolId);
int256 lastInvariant = computeTradingFunction(
reserves[0], reserves[1], totalLiquidity, params
);

uint256 nextReserveX = reserves[0] + deltas[0];
uint256 nextReserveY = reserves[1] + deltas[1];
uint256 nextLiquidity = computeNextLiquidity(
nextReserveX, nextReserveY, lastInvariant, totalLiquidity, params
);
uint256 deltaLiquidity = nextLiquidity - totalLiquidity;

return abi.encode(deltas, deltaLiquidity);
}

function prepareAllocationProportional(
uint256 poolId,
uint256[] calldata deltas
) public view returns (bytes memory) {
if (deltas.length != 2) revert InvalidDeltasLength();

(uint256[] memory reserves, uint256 totalLiquidity) =
getReservesAndLiquidity(poolId);

Expand All @@ -156,10 +180,13 @@ contract CoveredCallSolver is ISolver {
deltaLGivenDeltaY, totalLiquidity, reserves[0]
);

uint256[] memory allocateDeltas = deltas;
if (deltaLGivenDeltaX < deltaLGivenDeltaY) {
return abi.encode(deltas[0], deltaYGivenDeltaX, deltaLGivenDeltaX);
allocateDeltas[1] = deltaYGivenDeltaX;
return abi.encode(allocateDeltas, deltaLGivenDeltaX);
} else {
return abi.encode(deltaXGivenDeltaL, deltas[1], deltaLGivenDeltaY);
allocateDeltas[0] = deltaXGivenDeltaL;
return abi.encode(allocateDeltas, deltaLGivenDeltaY);
}
}

Expand All @@ -176,7 +203,11 @@ contract CoveredCallSolver is ISolver {
uint256 deltaY =
computeDeltaYGivenDeltaL(deltaLiquidity, liquidity, reserves[1]);

return abi.encode(deltaX, deltaY, deltaLiquidity);
uint256[] memory deltas = new uint256[](reserves.length);
deltas[0] = deltaX;
deltas[1] = deltaY;

return abi.encode(deltas, deltaLiquidity);
}

struct SimulateSwapState {
Expand Down
31 changes: 28 additions & 3 deletions src/GeometricMean/GeometricMeanSolver.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -17,6 +17,7 @@ import {
computePrice,
computeSwapDeltaLiquidity,
computeDeltaGivenDeltaLRoundUp,
computeL,
ONE
} from "./G3MMath.sol";
import {
Expand Down Expand Up @@ -62,6 +63,24 @@ contract GeometricMeanSolver is ISolver {
) external view returns (bytes memory) {
if (deltas.length != 2) revert InvalidDeltasLength();

(uint256[] memory reserves, uint256 totalLiquidity) =
getReservesAndLiquidity(poolId);

GeometricMeanParams memory params = getPoolParams(poolId);

uint256 deltaLiquidity =
computeL(reserves[0] + deltas[0], reserves[1] + deltas[1], params) - totalLiquidity;

return abi.encode(deltas, deltaLiquidity);
}

/// @inheritdoc ISolver
function prepareAllocationProportional(
uint256 poolId,
uint256[] memory deltas
) external view returns (bytes memory) {
if (deltas.length != 2) revert InvalidDeltasLength();

(uint256[] memory reserves, uint256 totalLiquidity) =
getReservesAndLiquidity(poolId);

Expand All @@ -76,9 +95,11 @@ contract GeometricMeanSolver is ISolver {
);

if (deltaLGivenX < deltaLGivenY) {
return abi.encode(deltas[0], deltaYGivenX, deltaLGivenX);
deltas[1] = deltaYGivenX;
return abi.encode(deltas, deltaLGivenX);
} else {
return abi.encode(deltaXGivenY, deltas[1], deltaLGivenY);
deltas[0] = deltaXGivenY;
return abi.encode(deltas, deltaLGivenY);
}
}

Expand All @@ -98,7 +119,11 @@ contract GeometricMeanSolver is ISolver {
reserves[1], deltaLiquidity, liquidity
);

return abi.encode(deltaX, deltaY, deltaLiquidity);
uint[] memory deltas = new uint[](reserves.length);
deltas[0] = deltaX;
deltas[1] = deltaY;

return abi.encode(deltas, deltaLiquidity);
}

struct SimulateSwapState {
Expand Down
37 changes: 31 additions & 6 deletions src/LogNormal/LogNormalSolver.sol
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Expand Up @@ -82,6 +82,31 @@ contract LogNormalSolver is ISolver {
) external view override returns (bytes memory) {
if (deltas.length != 2) revert InvalidDeltasLength();

(uint256[] memory reserves, uint256 totalLiquidity) =
getReservesAndLiquidity(poolId);

LogNormalParams memory params = getPoolParams(poolId);
int256 lastInvariant = computeTradingFunction(
reserves[0], reserves[1], totalLiquidity, params
);

uint256 nextReserveX = reserves[0] + deltas[0];
uint256 nextReserveY = reserves[1] + deltas[1];
uint256 nextLiquidity = computeNextLiquidity(
nextReserveX, nextReserveY, lastInvariant, totalLiquidity, params
);
uint deltaLiquidity = nextLiquidity - totalLiquidity;

return abi.encode(deltas, deltaLiquidity);
}

/// @inheritdoc ISolver
function prepareAllocationProportional(
uint256 poolId,
uint256[] calldata deltas
) external view override returns (bytes memory) {
if (deltas.length != 2) revert InvalidDeltasLength();

(uint256[] memory reserves, uint256 totalLiquidity) =
getReservesAndLiquidity(poolId);

Expand Down Expand Up @@ -117,7 +142,11 @@ contract LogNormalSolver is ISolver {
uint256 deltaY =
computeDeltaYGivenDeltaL(deltaLiquidity, liquidity, reserves[1]);

return abi.encode(deltaX, deltaY, deltaLiquidity);
uint256[] memory deltas = new uint256[](reserves.length);
deltas[0] = deltaX;
deltas[1] = deltaY;

return abi.encode(deltas, deltaLiquidity);
}

struct SimulateSwapState {
Expand Down Expand Up @@ -220,11 +249,7 @@ contract LogNormalSolver is ISolver {
address(this), poolId, pool, swapData
);

return (
valid,
state.amountOut,
swapData
);
return (valid, state.amountOut, swapData);
}

/// @inheritdoc ISolver
Expand Down
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