fix: market order simulation (#130)

* fix: market order simulation

* chore: format

---------

Co-authored-by: maxencerb <[email protected]>

.changeset/gold-fireants-smoke.md

@@ -0,0 +1,5 @@
+---
+"@mangrovedao/mgv": patch
+---
+
+Fixed market order simulation and added tests

src/lib/market-order-simulation.test.ts

@@ -0,0 +1,191 @@
+import { parseEther, parseUnits } from 'viem'
+import { beforeAll, describe, expect, inject, it } from 'vitest'
+import { getBook } from '~mgv/actions/book.js'
+import { simulatePopulate } from '~mgv/actions/kandel/populate.js'
+import { simulateSow } from '~mgv/actions/kandel/sow.js'
+import { validateKandelParams } from '~mgv/index.js'
+import { getClient } from '~test/src/client.js'
+import { mintAndApprove } from '~test/src/contracts/index.js'
+import type { Book } from '../types/index.js'
+import { BS } from './enums.js'
+import { marketOrderSimulation } from './market-order-simulation.js'
+import { inboundFromOutbound, outboundFromInbound } from './tick.js'
+
+const client = getClient()
+const actionParams = inject('mangrove')
+const kandelSeeder = inject('kandel')
+const { wethUSDC } = inject('markets')
+
+const KANDEL_GASREQ = 128_000n
+
+describe('marketOrderSimulation', () => {
+  let book: Book
+
+  beforeAll(async () => {
+    // Get the book
+    book = await getBook(client, actionParams, wethUSDC)
+
+    const { params, minProvision } = validateKandelParams({
+      minPrice: 2990,
+      midPrice: 3000,
+      maxPrice: 3010,
+      pricePoints: 5n,
+      market: wethUSDC,
+      baseAmount: parseEther('10'),
+      quoteAmount: parseUnits('30000', 6),
+      stepSize: 1n,
+      gasreq: KANDEL_GASREQ,
+      factor: 3,
+      asksLocalConfig: book.asksConfig,
+      bidsLocalConfig: book.bidsConfig,
+      marketConfig: book.marketConfig,
+      deposit: true,
+    })
+
+    const { request: sowReq, result: kandel } = await simulateSow(
+      client,
+      wethUSDC,
+      kandelSeeder.kandelSeeder,
+      {
+        account: client.account.address,
+      },
+    )
+    const sowTx = await client.writeContract(sowReq)
+    await client.waitForTransactionReceipt({ hash: sowTx })
+
+    await mintAndApprove(
+      client,
+      wethUSDC.base.address,
+      client.account.address,
+      params.baseAmount || 0n,
+      kandel,
+    )
+    await mintAndApprove(
+      client,
+      wethUSDC.quote.address,
+      client.account.address,
+      params.quoteAmount || 0n,
+      kandel,
+    )
+
+    const { request: populateReq } = await simulatePopulate(client, kandel, {
+      ...params,
+      account: client.account.address,
+      value: minProvision,
+    })
+    const populateTx = await client.writeContract(populateReq)
+    await client.waitForTransactionReceipt({ hash: populateTx })
+
+    book = await getBook(client, actionParams, wethUSDC)
+  })
+
+  it('should simulate a buy market order', () => {
+    const baseAmount = parseEther('4')
+    const quoteAmount = inboundFromOutbound(
+      book.asks[0]!.offer.tick,
+      baseAmount,
+    )
+    const fee = (baseAmount * book.asksConfig.fee) / 10_000n
+
+    const result = marketOrderSimulation({
+      book,
+      bs: BS.buy,
+      base: baseAmount, // 5 tokens
+    })
+
+    expect(result.baseAmount).toBe(baseAmount - fee)
+    expect(result.quoteAmount).toBe(quoteAmount)
+    expect(result.gas).toBe(KANDEL_GASREQ + book.asksConfig.offer_gasbase)
+    expect(result.feePaid).toBe(fee)
+    expect(result.maxTickEncountered).toBe(book.asks[0]?.offer.tick)
+    expect(result.minSlippage).toBe(0)
+    expect(result.fillWants).toBe(true)
+    expect(result.rawPrice).approximately(3000 / 1e12, 10e-12)
+    expect(result.fillVolume).toBe(baseAmount)
+  })
+
+  it('should simulate a sell market order', () => {
+    const baseAmount = parseEther('4')
+    const quoteAmount = outboundFromInbound(
+      book.bids[0]!.offer.tick,
+      baseAmount,
+    )
+    const fee = (quoteAmount * book.bidsConfig.fee) / 10_000n
+
+    const result = marketOrderSimulation({
+      book,
+      bs: BS.sell,
+      base: baseAmount,
+    })
+
+    expect(result.baseAmount).toBe(baseAmount)
+    expect(result.quoteAmount).toBe(quoteAmount - fee)
+    expect(result.gas).toBe(KANDEL_GASREQ + book.bidsConfig.offer_gasbase)
+    expect(result.feePaid).toBe(fee)
+    expect(result.maxTickEncountered).toBe(book.bids[0]?.offer.tick)
+    expect(result.minSlippage).toBe(0)
+    expect(result.fillWants).toBe(false)
+    expect(result.rawPrice).approximately(3000 / 1e12, 10e-12)
+    expect(result.fillVolume).toBe(baseAmount)
+  })
+
+  it('should simulate a buy market order with quote amount', () => {
+    const quoteAmount = parseUnits('12000', 6) // 12000 USDC
+    const baseAmount = outboundFromInbound(
+      book.asks[0]!.offer.tick,
+      quoteAmount,
+    )
+    const fee = (baseAmount * book.asksConfig.fee) / 10_000n
+
+    const result = marketOrderSimulation({
+      book,
+      bs: BS.buy,
+      quote: quoteAmount, // 12000 USDC
+    })
+
+    expect(result.baseAmount).toBe(baseAmount - fee)
+    expect(result.quoteAmount).toBe(quoteAmount)
+    expect(result.gas).toBe(KANDEL_GASREQ + book.asksConfig.offer_gasbase)
+    expect(result.feePaid).toBe(fee)
+    expect(result.maxTickEncountered).toBe(book.asks[0]!.offer.tick)
+    expect(result.minSlippage).toBe(0)
+    expect(result.fillWants).toBe(false)
+    expect(result.rawPrice).approximately(3000 / 1e12, 10e-12)
+    expect(result.fillVolume).toBe(quoteAmount)
+  })
+
+  it('should simulate a sell order with quote amount', () => {
+    const quoteAmount = parseUnits('12000', 6) // 12000 USDC
+    const baseAmount = inboundFromOutbound(
+      book.bids[0]!.offer.tick,
+      quoteAmount,
+    )
+    const fee = (quoteAmount * book.bidsConfig.fee) / 10_000n
+
+    const result = marketOrderSimulation({
+      book,
+      bs: BS.sell,
+      quote: quoteAmount, // 12000 USDC
+    })
+
+    expect(result.baseAmount).toBe(baseAmount)
+    expect(result.quoteAmount).toBe(quoteAmount - fee)
+    expect(result.gas).toBe(KANDEL_GASREQ + book.bidsConfig.offer_gasbase)
+    expect(result.feePaid).toBe(fee)
+    expect(result.maxTickEncountered).toBe(book.bids[0]!.offer.tick)
+    expect(result.minSlippage).toBe(0)
+    expect(result.fillWants).toBe(true)
+    expect(result.rawPrice).approximately(3000 / 1e12, 10e-12)
+    expect(result.fillVolume).toBe(quoteAmount)
+  })
+
+  it('should throw an error if neither base nor quote is specified', () => {
+    expect(() =>
+      // @ts-expect-error
+      marketOrderSimulation({
+        book,
+        bs: BS.buy,
+      }),
+    ).toThrow('either base or quote must be specified')
+  })
+})

src/lib/market-order-simulation.ts

@@ -55,20 +55,15 @@ export type RawMarketOrderSimulationResult = {
 export function rawMarketOrderSimulation(
   params: RawMarketOrderSimulationParams,
 ): RawMarketOrderSimulationResult {
-  const {
+  let {
     orderBook,
-    fillVolume: _fillVolume,
+    fillVolume,
     localConfig,
     globalConfig,
     fillWants = true,
     maxTick = MAX_TICK,
   } = params
 
-  // if fillWants is true, then we need to multiply the fillVolume by 10_000n / (10_000n - fee) in order to account for the fee
-  let fillVolume = fillWants
-    ? (_fillVolume * 10_000n) / (10_000n - localConfig.fee)
-    : _fillVolume
-
   const result: RawMarketOrderSimulationResult = {
     totalGot: 0n,
     totalGave: 0n,
@@ -84,18 +79,36 @@ export function rawMarketOrderSimulation(
     i < globalConfig.maxRecursionDepth;
     i++
   ) {
-    const offer = orderBook[i]!
-    if (offer.offer.tick > maxTick) break
-    const maxGot = fillWants
-      ? fillVolume
-      : outboundFromInbound(offer.offer.tick, fillVolume)
-    const got = maxGot < offer.offer.gives ? maxGot : offer.offer.gives
-    const gave = inboundFromOutbound(offer.offer.tick, got)
-    result.totalGot += got
-    result.totalGave += gave
-    result.gas += localConfig.offer_gasbase + offer.detail.gasreq
-    result.maxTickEncountered = offer.offer.tick
-    fillVolume -= fillWants ? got : gave
+    if (orderBook[i]!.offer.tick > maxTick) break
+
+    const offerGives = orderBook[i]!.offer.gives
+    const offerWants = inboundFromOutbound(orderBook[i]!.offer.tick, offerGives)
+
+    result.gas += localConfig.offer_gasbase + orderBook[i]!.detail.gasreq
+    result.maxTickEncountered = orderBook[i]!.offer.tick
+
+    let takerWants = 0n
+    let takerGives = 0n
+
+    if (
+      (fillWants && offerGives <= fillVolume) ||
+      (!fillWants && offerWants <= fillVolume)
+    ) {
+      // We can take the entire offer
+      takerWants = offerGives
+      takerGives = offerWants
+    } else if (fillWants) {
+      takerWants = fillVolume
+      takerGives = inboundFromOutbound(orderBook[i]!.offer.tick, fillVolume)
+    } else {
+      takerWants = outboundFromInbound(orderBook[i]!.offer.tick, fillVolume)
+      takerGives = fillVolume
+    }
+
+    result.totalGot += takerWants
+    result.totalGave += takerGives
+
+    fillVolume -= fillWants ? takerWants : takerGives
   }
 
   result.feePaid = (result.totalGot * localConfig.fee) / 10_000n