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Fix rounding of 2CLP pools #1193

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Fix rounding of 2CLP pools #1193

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48d8b50
Fix rounding of 2CLP
joaobrunoah Dec 19, 2024
2445e2c
Fix rounding of virtual parameters
joaobrunoah Dec 19, 2024
1d90eaf
Fix rounding of computeBalance
joaobrunoah Dec 19, 2024
aa0818b
Fix computeBalance
joaobrunoah Dec 19, 2024
bcf98e3
Test for 2CLP rounding fixes (#1195)
jubeira Dec 19, 2024
1c59143
Fix rounding
joaobrunoah Dec 20, 2024
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25 changes: 17 additions & 8 deletions pkg/pool-gyro/contracts/Gyro2CLPPool.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -90,16 +90,24 @@ contract Gyro2CLPPool is IGyro2CLPPool, BalancerPoolToken {
// New invariant
invariant = invariant.mulUp(invariantRatio);
uint256 squareNewInv = invariant * invariant;
// L / sqrt(beta)
uint256 a = invariant.divDown(sqrtBeta);
// L * sqrt(alpha)
uint256 b = invariant.mulDown(sqrtAlpha);

if (tokenInIndex == 0) {
// if newBalance = newX

// L / sqrt(beta), rounded down to minimize newBalance.
uint256 a = invariant.divDown(sqrtBeta);
// L * sqrt(alpha), rounded up to minimize newBalance (b is in the denominator).
uint256 b = invariant.mulUp(sqrtAlpha);

newBalance = squareNewInv.divUpRaw(b + balancesLiveScaled18[1]) - a;
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} else {
// if newBalance = newY

// L / sqrt(beta), rounded up to minimize newBalance (a is in the denominator).
uint256 a = invariant.divUp(sqrtBeta);
// L * sqrt(alpha), rounded down to minimize newBalance.
uint256 b = invariant.mulDown(sqrtAlpha);
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newBalance = squareNewInv.divUpRaw(a + balancesLiveScaled18[0]) - b;
}
}
Expand Down Expand Up @@ -167,7 +175,7 @@ contract Gyro2CLPPool is IGyro2CLPPool, BalancerPoolToken {

uint256 currentInvariant = Gyro2CLPMath.calculateInvariant(balances, sqrtAlpha, sqrtBeta, rounding);

uint256[2] memory virtualOffsets = _calculateVirtualOffsets(currentInvariant, sqrtAlpha, sqrtBeta);
uint256[2] memory virtualOffsets = _calculateVirtualOffsets(currentInvariant, sqrtAlpha, sqrtBeta, rounding);
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virtualBalanceIn = tokenInIsToken0 ? virtualOffsets[0] : virtualOffsets[1];
virtualBalanceOut = tokenInIsToken0 ? virtualOffsets[1] : virtualOffsets[0];
Expand All @@ -177,10 +185,11 @@ contract Gyro2CLPPool is IGyro2CLPPool, BalancerPoolToken {
function _calculateVirtualOffsets(
uint256 invariant,
uint256 sqrtAlpha,
uint256 sqrtBeta
uint256 sqrtBeta,
Rounding rounding
) internal view virtual returns (uint256[2] memory virtualOffsets) {
virtualOffsets[0] = Gyro2CLPMath.calculateVirtualParameter0(invariant, sqrtBeta);
virtualOffsets[1] = Gyro2CLPMath.calculateVirtualParameter1(invariant, sqrtAlpha);
virtualOffsets[0] = Gyro2CLPMath.calculateVirtualParameter0(invariant, sqrtBeta, rounding);
virtualOffsets[1] = Gyro2CLPMath.calculateVirtualParameter1(invariant, sqrtAlpha, rounding);
return virtualOffsets;
}

Expand Down
35 changes: 26 additions & 9 deletions pkg/pool-gyro/contracts/lib/Gyro2CLPMath.sol
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Expand Up @@ -45,7 +45,7 @@ library Gyro2CLPMath {
rounding
);

return calculateQuadratic(a, mb, bSquare, mc);
return calculateQuadratic(a, mb, bSquare, mc, rounding);
}

/**
Expand Down Expand Up @@ -116,17 +116,26 @@ library Gyro2CLPMath {
uint256 a,
uint256 mb,
uint256 bSquare, // b^2 can be calculated separately with more precision
uint256 mc
uint256 mc,
Rounding rounding
) internal pure returns (uint256 invariant) {
uint256 denominator = a.mulUp(2 * FixedPoint.ONE);
function(uint256, uint256) pure returns (uint256) _mulUpOrDown = rounding == Rounding.ROUND_DOWN
? FixedPoint.mulDown
: FixedPoint.mulUp;

function(uint256, uint256) pure returns (uint256) _divUpOrDown = rounding == Rounding.ROUND_DOWN
? FixedPoint.divDown
: FixedPoint.divUp;

uint256 denominator = 2 * a;
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// Order multiplications for fixed point precision.
uint256 addTerm = (mc.mulDown(4 * FixedPoint.ONE)).mulDown(a);
uint256 addTerm = _mulUpOrDown(4 * mc, a);
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// The minus sign in the radicand cancels out in this special case.
uint256 radicand = bSquare + addTerm;
uint256 sqrResult = GyroPoolMath.sqrt(radicand, 5);
// The minus sign in the numerator cancels out in this special case.
uint256 numerator = mb + sqrResult;
invariant = numerator.divDown(denominator);
invariant = _divUpOrDown(numerator, denominator);
}

/**
Expand Down Expand Up @@ -224,13 +233,21 @@ library Gyro2CLPMath {
}

/// @dev Calculate the virtual offset `a` for reserves `x`, as in (x+a)*(y+b)=L^2.
function calculateVirtualParameter0(uint256 invariant, uint256 _sqrtBeta) internal pure returns (uint256) {
return invariant.divDown(_sqrtBeta);
function calculateVirtualParameter0(
uint256 invariant,
uint256 _sqrtBeta,
Rounding rounding
) internal pure returns (uint256) {
return rounding == Rounding.ROUND_DOWN ? invariant.divDown(_sqrtBeta) : invariant.divUp(_sqrtBeta);
}

/// @dev Calculate the virtual offset `b` for reserves `y`, as in (x+a)*(y+b)=L^2.
function calculateVirtualParameter1(uint256 invariant, uint256 _sqrtAlpha) internal pure returns (uint256) {
return invariant.mulDown(_sqrtAlpha);
function calculateVirtualParameter1(
uint256 invariant,
uint256 _sqrtAlpha,
Rounding rounding
) internal pure returns (uint256) {
return rounding == Rounding.ROUND_DOWN ? invariant.mulDown(_sqrtAlpha) : invariant.mulUp(_sqrtAlpha);
}

/**
Expand Down
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