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Add spill when calculating exchange rate (#5)
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@armaniferrante
armaniferrante authored Jun 4, 2021
1 parent 9f2f036 commit 7bfa4d6
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3 changes: 3 additions & 0 deletions Anchor.toml
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Original file line number Diff line number Diff line change
Expand Up @@ -2,6 +2,9 @@
cluster = "localnet"
wallet = "~/.config/solana/id.json"

[clusters.mainnet]
swap = "22Y43yTVxuUkoRKdm9thyRhQ3SdgQS7c7kB6UNCiaczD"

[[test.genesis]]
address = "9xQeWvG816bUx9EPjHmaT23yvVM2ZWbrrpZb9PusVFin"
program = "./deps/serum-dex/dex/target/deploy/serum_dex.so"
172 changes: 143 additions & 29 deletions programs/swap/src/lib.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -55,6 +55,11 @@ pub mod swap {
amount: u64,
min_exchange_rate: ExchangeRate,
) -> Result<()> {
let mut min_exchange_rate = min_exchange_rate;

// Not used for direct swaps.
min_exchange_rate.quote_decimals = 0;

// Optional referral account (earns a referral fee).
let referral = ctx.remaining_accounts.iter().next().map(Clone::clone);

Expand Down Expand Up @@ -91,6 +96,7 @@ pub mod swap {
min_exchange_rate,
from_amount,
to_amount,
quote_amount: 0,
spill_amount: 0,
from_mint: token::accessor::mint(from_token)?,
to_mint: token::accessor::mint(to_token)?,
Expand Down Expand Up @@ -150,7 +156,7 @@ pub mod swap {
};

// Leg 2: Buy Token B with USD(x) (or whatever quote currency is used).
let (to_amount, spill_amount) = {
let (to_amount, buy_proceeds) = {
// Token balances before the trade.
let base_before = token::accessor::amount(&ctx.accounts.to.coin_wallet)?;
let quote_before = token::accessor::amount(&ctx.accounts.pc_wallet)?;
Expand All @@ -171,12 +177,17 @@ pub mod swap {
)
};

// The amount of surplus quote currency *not* fully consumed by the
// second half of the swap.
let spill_amount = sell_proceeds.checked_sub(buy_proceeds).unwrap();

// Safety checks.
apply_risk_checks(DidSwap {
given_amount: amount,
min_exchange_rate,
from_amount,
to_amount,
quote_amount: sell_proceeds,
spill_amount,
from_mint: token::accessor::mint(&ctx.accounts.from.coin_wallet)?,
to_mint: token::accessor::mint(&ctx.accounts.to.coin_wallet)?,
Expand All @@ -188,42 +199,115 @@ pub mod swap {
}
}

// Asserts the swap event is valid.
fn apply_risk_checks<'info>(event: DidSwap) -> Result<()> {
// Asserts the swap event executed at an exchange rate acceptable to the client.
fn apply_risk_checks(event: DidSwap) -> Result<()> {
// Emit the event for client consumption.
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();
if event.to_amount == 0 {
return Err(ErrorCode::ZeroSwap.into());
}

// 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
// Use the exchange rate to calculate the client's expectation.
//
// 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) + decimals(quote_mint)`.
//
// We avoid truncating by adding `decimals(quote_mint)`.
let min_expected_amount = u128::from(
// decimals(from).
event.from_amount,
)
.checked_mul(
// decimals(from) + decimals(to).
event.min_exchange_rate.rate.into(),
)
.unwrap()
.checked_mul(
// decimals(from) + decimals(to) + decimals(quote).
10u128
.checked_pow(event.min_exchange_rate.quote_decimals.into())
.unwrap(),
)
.unwrap();

// If there is spill (i.e. quote tokens *not* fully consumed for
// the buy side of a transitive swap), then credit those tokens marked
// at the executed exchange rate to create an "effective" to_amount.
let effective_to_amount = {
// Translates the leftover spill amount into "to" units via
//
// `decimals(from_mint) + decimals(to_mint)`.
// `(to_amount_received/quote_amount_given) * spill_amount`
//
let to_amount = u128::from(event.to_amount)
let spill_surplus = match event.spill_amount == 0 || event.min_exchange_rate.strict {
true => 0,
false => u128::from(
// decimals(to).
event.to_amount,
)
.checked_mul(
// decimals(to) + decimals(quote).
event.spill_amount.into(),
)
.unwrap()
.checked_mul(
// decimals(to) + decimals(quote) + decimals(from).
10u128
.checked_pow(event.min_exchange_rate.decimals.into())
.checked_pow(event.min_exchange_rate.from_decimals.into())
.unwrap(),
)
.unwrap();
(to_amount, min_expected_amount)
.unwrap()
.checked_mul(
// decimals(to) + decimals(quote)*2 + decimals(from).
10u128
.checked_pow(event.min_exchange_rate.quote_decimals.into())
.unwrap(),
)
.unwrap()
.checked_div(
// decimals(to) + decimals(quote) + decimals(from).
event
.quote_amount
.checked_sub(event.spill_amount)
.unwrap()
.into(),
)
.unwrap(),
};

// Translate the `to_amount` into a common number of decimals.
let to_amount = u128::from(
// decimals(to).
event.to_amount,
)
.checked_mul(
// decimals(to) + decimals(from).
10u128
.checked_pow(event.min_exchange_rate.from_decimals.into())
.unwrap(),
)
.unwrap()
.checked_mul(
// decimals(to) + decimals(from) + decimals(quote).
10u128
.checked_pow(event.min_exchange_rate.quote_decimals.into())
.unwrap(),
)
.unwrap();

to_amount.checked_add(spill_surplus).unwrap()
};

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

Expand Down Expand Up @@ -568,16 +652,22 @@ fn _is_valid_swap<'info>(from: &AccountInfo<'info>, to: &AccountInfo<'info>) ->
// markets (quoted in the same token).
#[event]
pub struct DidSwap {
// User given (max) amount to swap.
// User given (max) amount of the "from" token to swap.
pub given_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.
// native units with decimals equal to the `to_amount`'s mint--specified
// by the client.
pub min_exchange_rate: ExchangeRate,
// Amount of the `from` token sold.
pub from_amount: u64,
// Amount of the `to` token purchased.
pub to_amount: u64,
// Amount of the quote currency accumulated from the swap.
// The amount of the quote currency used for a *transitive* swap. This is
// the amount *received* for selling on the first leg of the swap.
pub quote_amount: u64,
// Amount of the quote currency accumulated from a *transitive* swap, i.e.,
// the difference between the amount gained from the first leg of the swap
// (to sell) and the amount used in the second leg of the swap (to buy).
pub spill_amount: u64,
// Mint sold.
pub from_mint: Pubkey,
Expand All @@ -598,7 +688,29 @@ pub struct ExchangeRate {
// as the *to* mint.
rate: u64,
// Number of decimals of the *from* token's mint.
decimals: u8,
from_decimals: u8,
// Number of decimals of the *to* token's mint.
// For a direct swap, this should be zero.
quote_decimals: u8,
// True if *all* of the *from* currency sold should be used when calculating
// the executed exchange rate.
//
// To perform a transitive swap, one sells on one market and buys on
// another, where both markets are quoted in the same currency. Now suppose
// one swaps A for B across A/USDC and B/USDC. Further suppose the first
// leg swaps the entire *from* amount A for USDC, and then only half of
// the USDC is used to swap for B on the second leg. How should we calculate
// the exchange rate?
//
// If strict is true, then the exchange rate will be calculated as a direct
// function of the A tokens lost and B tokens gained, ignoring the surplus
// in USDC received. If strict is false, an effective exchange rate will be
// used. I.e. the surplus in USDC will be marked at the exchange rate from
// the second leg of the swap and that amount will be added to the
// *to* mint received before calculating the swap's exchange rate.
//
// Transitive swaps only. For direct swaps, this field is ignored.
strict: bool,
}

#[error]
Expand All @@ -607,4 +719,6 @@ pub enum ErrorCode {
SwapTokensCannotMatch,
#[msg("Slippage tolerance exceeded")]
SlippageExceeded,
#[msg("No tokens received when swapping")]
ZeroSwap,
}
23 changes: 19 additions & 4 deletions tests/swap.js
View file
Original file line number Diff line number Diff line change
Expand Up @@ -242,7 +242,7 @@ describe("swap", () => {
await program.rpc.swap(
Side.Bid,
swapAmount,
{ rate: new BN(1.0), decimals: 6 },
{ rate: new BN(1.0), fromDecimals: 6, toDecimals: 6, strict: false },
{
accounts: SWAP_USDC_A_ACCOUNTS,
instructions: [
Expand Down Expand Up @@ -291,7 +291,12 @@ describe("swap", () => {
await program.rpc.swap(
Side.Ask,
new BN(swapAmount * 10 ** 6),
{ rate: new BN(5 * 10 ** 6), decimals: 6 },
{
rate: new BN(5 * 10 ** 6),
fromDecimals: 6,
toDecimals: 6,
strict: false,
},
{
accounts: SWAP_A_USDC_ACCOUNTS,
}
Expand All @@ -314,7 +319,12 @@ describe("swap", () => {
// Perform the actual swap.
await program.rpc.swapTransitive(
new BN(swapAmount * 10 ** 6),
{ rate: new BN(0.98 * 10 ** 6), decimals: 6 },
{
rate: new BN(0.98 * 10 ** 6),
fromDecimals: 6,
toDecimals: 6,
strict: false,
},
{
accounts: {
from: {
Expand Down Expand Up @@ -375,7 +385,12 @@ describe("swap", () => {
// Perform the actual swap.
await program.rpc.swapTransitive(
new BN(swapAmount * 10 ** 6),
{ rate: new BN(0.9 * 10 ** 6), decimals: 6 },
{
rate: new BN(0.9 * 10 ** 6),
fromDecimals: 6,
toDecimals: 6,
strict: false,
},
{
accounts: {
from: {
Expand Down

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