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Use an exchange rate bound instead of token amounts (#3)
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@armaniferrante
armaniferrante authored May 27, 2021
1 parent e958ea2 commit 2b9fea9
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Showing 2 changed files with 93 additions and 47 deletions.
81 changes: 61 additions & 20 deletions programs/swap/src/lib.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -27,17 +27,16 @@ pub mod swap {
///
/// Arguments:
///
/// * `side` - The direction to swap.
/// * `amount` - The amount to swap *from*
/// * `min_expected_swap_amount` - The minimum amount of the *to* token the
/// client expects to receive from the swap. The instruction fails if
/// execution would result in less.
/// * `side` - The direction to swap.
/// * `amount` - The amount to swap *from*
/// * `min_exchange_rate` - The exchange rate to use when determining
/// whether the transaction should abort.
#[access_control(is_valid_swap(&ctx))]
pub fn swap<'info>(
ctx: Context<'_, '_, '_, 'info, Swap<'info>>,
side: Side,
amount: u64,
min_expected_swap_amount: u64,
min_exchange_rate: ExchangeRate,
) -> Result<()> {
// Optional referral account (earns a referral fee).
let referral = ctx.remaining_accounts.iter().next().map(Clone::clone);
Expand Down Expand Up @@ -72,7 +71,7 @@ pub mod swap {
apply_risk_checks(DidSwap {
authority: *ctx.accounts.authority.key,
given_amount: amount,
min_expected_swap_amount,
min_exchange_rate,
from_amount,
to_amount,
spill_amount: 0,
Expand All @@ -99,15 +98,14 @@ pub mod swap {
///
/// Arguments:
///
/// * `amount` - The amount to swap *from*.
/// * `min_expected_swap_amount - The minimum amount of the *to* token the
/// client expects to receive from the swap. The instruction fails if
/// execution would result in less.
/// * `amount` - The amount to swap *from*.
/// * `min_exchange_rate` - The exchange rate to use when determining
/// whether the transaction should abort.
#[access_control(is_valid_swap_transitive(&ctx))]
pub fn swap_transitive<'info>(
ctx: Context<'_, '_, '_, 'info, SwapTransitive<'info>>,
amount: u64,
min_expected_swap_amount: u64,
min_exchange_rate: ExchangeRate,
) -> Result<()> {
// Optional referral account (earns a referral fee).
let referral = ctx.remaining_accounts.iter().next().map(Clone::clone);
Expand Down Expand Up @@ -159,7 +157,7 @@ pub mod swap {
// Safety checks.
apply_risk_checks(DidSwap {
given_amount: amount,
min_expected_swap_amount,
min_exchange_rate,
from_amount,
to_amount,
spill_amount,
Expand All @@ -174,12 +172,44 @@ pub mod swap {
}

// Asserts the swap event is valid.
fn apply_risk_checks(event: DidSwap) -> Result<()> {
// Reject if the resulting amount is less than the client's expectation.
if event.to_amount < event.min_expected_swap_amount {
fn apply_risk_checks<'info>(event: DidSwap) -> Result<()> {
emit!(event);

let (to_amount, min_expected_amount) = {
// Use the exchange rate to calculate the client's expectation.
// This number has
//
// `decimals(from_mint) + decimals(to_mint`)`
//
// decimal places.
let min_expected_amount = (event.from_amount as u128)
.checked_mul(event.min_exchange_rate.rate as u128)
.unwrap();

// Translate the `to_amount` into a common number of decimals with
// `min_expected_amount`.
//
// The exchange rate given must always have decimals equal to the
// `to_mint` decimals, guaranteeing the `min_expected_amount`
// always has decimals equal to
//
// `decimals(from_mint) + decimals(to_mint)`.
//
let to_amount = u128::from(event.to_amount)
.checked_mul(
10u128
.checked_pow(event.min_exchange_rate.decimals.into())
.unwrap(),
)
.unwrap();
(to_amount, min_expected_amount)
};

// Abort if the resulting amount is less than the client's expectation.
if to_amount < min_expected_amount {
return Err(ErrorCode::SlippageExceeded.into());
}
emit!(event);

Ok(())
}

Expand Down Expand Up @@ -472,9 +502,9 @@ fn _is_valid_swap<'info>(from: &AccountInfo<'info>, to: &AccountInfo<'info>) ->
pub struct DidSwap {
// User given (max) amount to swap.
pub given_amount: u64,
// The minimum amount of the *to* token expected to be received from
// executing the swap.
pub min_expected_swap_amount: u64,
// The minimum exchange rate for swapping `from_amount` to `to_amount` in
// native units with decimals equal to the `to_amount`'s mint.
pub min_exchange_rate: ExchangeRate,
// Amount of the `from` token sold.
pub from_amount: u64,
// Amount of the `to` token purchased.
Expand All @@ -492,6 +522,17 @@ pub struct DidSwap {
pub authority: Pubkey,
}

// An exchange rate for swapping *from* one token *to* another.
#[derive(AnchorSerialize, AnchorDeserialize)]
pub struct ExchangeRate {
// The amount of *to* tokens one should receive for a single *from token.
// This number must be in native *to* units with the same amount of decimals
// as the *to* mint.
rate: u64,
// Number of decimals of the *from* token's mint.
decimals: u8,
}

#[error]
pub enum ErrorCode {
#[msg("The tokens being swapped must have different mints")]
Expand Down
59 changes: 32 additions & 27 deletions tests/swap.js
View file
Original file line number Diff line number Diff line change
Expand Up @@ -93,30 +93,35 @@ describe("swap", () => {
program.provider,
[ORDERBOOK_ENV.godA, ORDERBOOK_ENV.godUsdc],
async () => {
await program.rpc.swap(Side.Bid, swapAmount, new BN(1.0), {
accounts: SWAP_USDC_A_ACCOUNTS,
instructions: [
// First order to this market so one must create the open orders account.
await OpenOrders.makeCreateAccountTransaction(
program.provider.connection,
marketA._decoded.ownAddress,
program.provider.wallet.publicKey,
openOrdersA.publicKey,
utils.DEX_PID
),
// Might as well create the second open orders account while we're here.
// In prod, this should actually be done within the same tx as an
// order to market B.
await OpenOrders.makeCreateAccountTransaction(
program.provider.connection,
ORDERBOOK_ENV.marketB._decoded.ownAddress,
program.provider.wallet.publicKey,
openOrdersB.publicKey,
utils.DEX_PID
),
],
signers: [openOrdersA, openOrdersB],
});
await program.rpc.swap(
Side.Bid,
swapAmount,
{ rate: new BN(1.0), decimals: 6 },
{
accounts: SWAP_USDC_A_ACCOUNTS,
instructions: [
// First order to this market so one must create the open orders account.
await OpenOrders.makeCreateAccountTransaction(
program.provider.connection,
marketA._decoded.ownAddress,
program.provider.wallet.publicKey,
openOrdersA.publicKey,
utils.DEX_PID
),
// Might as well create the second open orders account while we're here.
// In prod, this should actually be done within the same tx as an
// order to market B.
await OpenOrders.makeCreateAccountTransaction(
program.provider.connection,
ORDERBOOK_ENV.marketB._decoded.ownAddress,
program.provider.wallet.publicKey,
openOrdersB.publicKey,
utils.DEX_PID
),
],
signers: [openOrdersA, openOrdersB],
}
);
}
);

Expand All @@ -141,7 +146,7 @@ describe("swap", () => {
await program.rpc.swap(
Side.Ask,
new BN(swapAmount * 10 ** 6),
new BN(swapAmount),
{ rate: new BN(5 * 10 ** 6), decimals: 6 },
{
accounts: SWAP_A_USDC_ACCOUNTS,
}
Expand All @@ -164,7 +169,7 @@ describe("swap", () => {
// Perform the actual swap.
await program.rpc.swapTransitive(
new BN(swapAmount * 10 ** 6),
new BN(swapAmount - 1),
{ rate: new BN(0.98 * 10 ** 6), decimals: 6 },
{
accounts: {
from: {
Expand Down Expand Up @@ -225,7 +230,7 @@ describe("swap", () => {
// Perform the actual swap.
await program.rpc.swapTransitive(
new BN(swapAmount * 10 ** 6),
new BN(swapAmount - 1),
{ rate: new BN(0.9 * 10 ** 6), decimals: 6 },
{
accounts: {
from: {
Expand Down

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