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constructor validation for limit order pool
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@moodysalem
moodysalem committed Nov 25, 2024
1 parent e42200a commit 72a941f
Showing 1 changed file with 110 additions and 25 deletions.
135 changes: 110 additions & 25 deletions src/quoting/limit_order_pool.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -58,6 +58,26 @@ impl LimitOrderPool {
liquidity: u128,
sorted_ticks: Vec<Tick>,
) -> Self {
// check that each tick has at least 1 neighbor within 128 ticks
let active_tick_index = find_nearest_initialized_tick_index(&sorted_ticks, tick);
let mut maybe_last: Option<(&Tick, usize)> = None;
for t in sorted_ticks.iter() {
if let Some((last, count)) = maybe_last {
if t.index == last.index + LIMIT_ORDER_TICK_SPACING {
maybe_last = Some((t, count + 1));
} else {
assert!(!count.is_zero(), "all ticks must have a neighbor");
maybe_last = Some((t, 0));
}
} else {
maybe_last = Some((t, 0));
}
}
assert!(
maybe_last.map_or(true, |(_, count)| !count.is_zero()),
"last tick has no neighbor"
);

LimitOrderPool {
base_pool: BasePool::new(
NodeKey {
Expand All @@ -70,7 +90,7 @@ impl LimitOrderPool {
BasePoolState {
sqrt_ratio,
liquidity,
active_tick_index: find_nearest_initialized_tick_index(&sorted_ticks, tick),
active_tick_index,
},
sorted_ticks,
),
Expand Down Expand Up @@ -404,6 +424,64 @@ mod tests {
const TOKEN1: U256 = U256([0, 0, 0, 2]);
const EXTENSION: U256 = U256([0, 0, 0, 3]);

mod constructor_validation {
use crate::math::tick::to_sqrt_ratio;
use crate::quoting::limit_order_pool::tests::{EXTENSION, TOKEN0, TOKEN1};
use crate::quoting::limit_order_pool::{LimitOrderPool, LIMIT_ORDER_TICK_SPACING};
use crate::quoting::types::Tick;
use alloc::vec;

#[test]
#[should_panic(expected = "all ticks must have a neighbor")]
fn test_neighbor_ticks_validation() {
LimitOrderPool::new(
TOKEN0,
TOKEN1,
EXTENSION,
to_sqrt_ratio(0).unwrap(),
0,
1,
vec![
Tick {
index: 0,
liquidity_delta: 1,
},
Tick {
index: LIMIT_ORDER_TICK_SPACING * 2,
liquidity_delta: -1,
},
],
);
}

#[test]
#[should_panic(expected = "last tick has no neighbor")]
fn test_neighbor_ticks_validation_no_neighbor_last_tick() {
LimitOrderPool::new(
TOKEN0,
TOKEN1,
EXTENSION,
to_sqrt_ratio(0).unwrap(),
0,
2,
vec![
Tick {
index: 0,
liquidity_delta: 2,
},
Tick {
index: LIMIT_ORDER_TICK_SPACING,
liquidity_delta: -1,
},
Tick {
index: LIMIT_ORDER_TICK_SPACING * 3,
liquidity_delta: -1,
},
],
);
}
}

#[test]
fn test_swap_one_for_zero_partial() {
let liquidity: i128 = 10000000;
Expand Down Expand Up @@ -736,7 +814,11 @@ mod tests {
index: -1 * LIMIT_ORDER_TICK_SPACING,
liquidity_delta: liquidity,
},
// cancels out with order at token0 to sell token0 at tick 0
// -1 to 0 is canceled out with 0 to 1
Tick {
index: 0,
liquidity_delta: 0,
},
Tick {
index: 1 * LIMIT_ORDER_TICK_SPACING,
liquidity_delta: -liquidity,
Expand Down Expand Up @@ -776,11 +858,11 @@ mod tests {
);
assert_eq!(
quote0.state_after.base_pool_state.active_tick_index,
Some(4)
Some(5)
);
assert_eq!(
quote0.state_after.tick_indices_reached,
Some((Some(2), Some(4)))
Some((Some(3), Some(5)))
);

// now trade back the other way to tick -2.5, which should execute half of tick 4 to 5, and all of tick -1 to -0, and half of tick -3 to -2
Expand All @@ -799,15 +881,15 @@ mod tests {

assert_eq!(
quote1.state_after.tick_indices_reached,
Some((Some(0), Some(4)))
Some((Some(0), Some(5)))
);
assert_eq!(
quote1.state_after.base_pool_state.sqrt_ratio,
to_sqrt_ratio(LIMIT_ORDER_TICK_SPACING * -5 / 2).unwrap()
);
assert_eq!(
(quote1.consumed_amount, quote1.calculated_amount),
(1921, 1918)
(1282, 1278)
);

let quote2 = pool
Expand All @@ -824,7 +906,7 @@ mod tests {

assert_eq!(
quote2.state_after.tick_indices_reached,
Some((Some(0), Some(4)))
Some((Some(0), Some(5)))
);
assert_eq!(
quote2.state_after.base_pool_state.sqrt_ratio,
Expand Down Expand Up @@ -863,7 +945,11 @@ mod tests {
index: -1 * LIMIT_ORDER_TICK_SPACING,
liquidity_delta: liquidity,
},
// cancels out with order at token0 to sell token0 at tick 0
// -1 to 0 is canceled out with 0 to 1
Tick {
index: 0,
liquidity_delta: 0,
},
Tick {
index: 1 * LIMIT_ORDER_TICK_SPACING,
liquidity_delta: -liquidity,
Expand Down Expand Up @@ -894,7 +980,7 @@ mod tests {

assert_eq!(
quote0.state_after.tick_indices_reached,
Some((Some(0), Some(2)))
Some((Some(0), Some(3)))
);
assert_eq!(
quote0.state_after.base_pool_state.sqrt_ratio,
Expand Down Expand Up @@ -924,16 +1010,15 @@ mod tests {
);
assert_eq!(
(quote1.consumed_amount, quote1.calculated_amount),
// todo: this should be more like 2.5 orders
(1600, 1600)
(1282, 1278)
);
assert_eq!(
quote1.state_after.base_pool_state.active_tick_index,
Some(4)
Some(5)
);
assert_eq!(
quote1.state_after.tick_indices_reached,
Some((Some(0), Some(4)))
Some((Some(0), Some(5)))
);

// trade back to tick -2.5, which should only cross 0.5 orders on one side and another 0.5 orders on the other
Expand All @@ -953,17 +1038,17 @@ mod tests {
quote2.state_after.base_pool_state.sqrt_ratio,
to_sqrt_ratio(LIMIT_ORDER_TICK_SPACING * -5 / 2).unwrap()
);
// assert_eq!(
// (quote2.consumed_amount, quote2.calculated_amount),
// (640, 640)
// );
// assert_eq!(
// quote2.state_after.base_pool_state.active_tick_index,
// Some(4)
// );
// assert_eq!(
// quote2.state_after.tick_indices_reached,
// Some((Some(0), Some(4)))
// );
assert_eq!(
(quote2.consumed_amount, quote2.calculated_amount),
(641, 639)
);
assert_eq!(
quote2.state_after.base_pool_state.active_tick_index,
Some(0)
);
assert_eq!(
quote2.state_after.tick_indices_reached,
Some((Some(0), Some(5)))
);
}
}

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