From e81b62b772d92225d16da6fe8aadd48b915461a8 Mon Sep 17 00:00:00 2001
From: Timofey <5527315+epanchee@users.noreply.github.com>
Date: Wed, 27 Sep 2023 20:41:29 +0400
Subject: [PATCH 1/2] fix(PCL): backporting bugfix from
66d00d735a654afcc6d793f27997d2e93cea5834
---
Cargo.lock | 2 +-
contracts/pair_concentrated/src/contract.rs | 31 +--
contracts/pair_concentrated/tests/helper.rs | 24 ++-
.../tests/pair_concentrated_integration.rs | 181 +++++++++++++++++-
packages/astroport/Cargo.toml | 2 +-
packages/astroport/src/pair.rs | 11 +-
6 files changed, 226 insertions(+), 25 deletions(-)
diff --git a/Cargo.lock b/Cargo.lock
index 11c31d012..ec13df1c0 100644
--- a/Cargo.lock
+++ b/Cargo.lock
@@ -40,7 +40,7 @@ dependencies = [
[[package]]
name = "astroport"
-version = "2.8.5"
+version = "2.8.6"
dependencies = [
"cosmwasm-schema",
"cosmwasm-std",
diff --git a/contracts/pair_concentrated/src/contract.rs b/contracts/pair_concentrated/src/contract.rs
index 849545531..4dadda0fc 100644
--- a/contracts/pair_concentrated/src/contract.rs
+++ b/contracts/pair_concentrated/src/contract.rs
@@ -17,7 +17,7 @@ use astroport::asset::{
use astroport::common::{claim_ownership, drop_ownership_proposal, propose_new_owner};
use astroport::cosmwasm_ext::{AbsDiff, DecimalToInteger, IntegerToDecimal};
use astroport::factory::PairType;
-use astroport::pair::{Cw20HookMsg, ExecuteMsg, InstantiateMsg};
+use astroport::pair::{Cw20HookMsg, ExecuteMsg, InstantiateMsg, MIN_TRADE_SIZE};
use astroport::pair_concentrated::{
ConcentratedPoolParams, ConcentratedPoolUpdateParams, MigrateMsg, UpdatePoolParams,
};
@@ -527,8 +527,8 @@ pub fn provide_liquidity(
let mut slippage = Decimal256::zero();
- // if assets_diff[1] is zero then deposits are balanced thus no need to update price and check slippage
- if !assets_diff[1].is_zero() {
+ // If deposit doesn't diverge too much from the balanced share, we don't update the price
+ if assets_diff[0] >= MIN_TRADE_SIZE && assets_diff[1] >= MIN_TRADE_SIZE {
slippage = assert_slippage_tolerance(
&deposits,
share,
@@ -776,13 +776,19 @@ fn swap(
let total_share = query_supply(&deps.querier, &config.pair_info.liquidity_token)?
.to_decimal256(LP_TOKEN_PRECISION)?;
- let last_price = swap_result.calc_last_prices(offer_asset_dec.amount, offer_ind);
-
- // update_price() works only with internal representation
- xs[1] *= config.pool_state.price_state.price_scale;
- config
- .pool_state
- .update_price(&config.pool_params, &env, total_share, &xs, last_price)?;
+ // Skip very small trade sizes which could significantly mess up the price due to rounding errors,
+ // especially if token precisions are 18.
+ if (swap_result.dy + swap_result.maker_fee) >= MIN_TRADE_SIZE
+ && offer_asset_dec.amount >= MIN_TRADE_SIZE
+ {
+ let last_price = swap_result.calc_last_prices(offer_asset_dec.amount, offer_ind);
+
+ // update_price() works only with internal representation
+ xs[1] *= config.pool_state.price_state.price_scale;
+ config
+ .pool_state
+ .update_price(&config.pool_params, &env, total_share, &xs, last_price)?;
+ }
let receiver = to.unwrap_or_else(|| sender.clone());
@@ -792,10 +798,11 @@ fn swap(
}
.into_msg(&receiver)?];
+ // Send the maker fee
let mut maker_fee = Uint128::zero();
if let Some(fee_address) = fee_info.fee_address {
- if !swap_result.maker_fee.is_zero() {
- maker_fee = swap_result.maker_fee.to_uint(ask_asset_prec)?;
+ maker_fee = swap_result.maker_fee.to_uint(ask_asset_prec)?;
+ if !maker_fee.is_zero() {
let fee = Asset {
info: pools[ask_ind].info.clone(),
amount: maker_fee,
diff --git a/contracts/pair_concentrated/tests/helper.rs b/contracts/pair_concentrated/tests/helper.rs
index 6adeff322..0a2e253bb 100644
--- a/contracts/pair_concentrated/tests/helper.rs
+++ b/contracts/pair_concentrated/tests/helper.rs
@@ -16,8 +16,8 @@ use anyhow::Result as AnyResult;
use astroport::asset::{native_asset_info, token_asset_info, Asset, AssetInfo, PairInfo};
use astroport::factory::{PairConfig, PairType};
use astroport::pair::{
- ConfigResponse, CumulativePricesResponse, Cw20HookMsg, ExecuteMsg, ReverseSimulationResponse,
- SimulationResponse,
+ ConfigResponse, CumulativePricesResponse, Cw20HookMsg, ExecuteMsg, PoolResponse,
+ ReverseSimulationResponse, SimulationResponse,
};
use astroport::pair_concentrated::{
ConcentratedPoolParams, ConcentratedPoolUpdateParams, QueryMsg,
@@ -304,6 +304,16 @@ impl Helper {
sender: &Addr,
offer_asset: &Asset,
max_spread: Option<Decimal>,
+ ) -> AnyResult<AppResponse> {
+ self.swap_full_params(sender, offer_asset, max_spread, None)
+ }
+
+ pub fn swap_full_params(
+ &mut self,
+ sender: &Addr,
+ offer_asset: &Asset,
+ max_spread: Option<Decimal>,
+ belief_price: Option<Decimal>,
) -> AnyResult<AppResponse> {
match &offer_asset.info {
AssetInfo::Token { contract_addr } => {
@@ -312,7 +322,7 @@ impl Helper {
amount: offer_asset.amount,
msg: to_binary(&Cw20HookMsg::Swap {
ask_asset_info: None,
- belief_price: None,
+ belief_price,
max_spread,
to: None,
})
@@ -333,7 +343,7 @@ impl Helper {
let msg = ExecuteMsg::Swap {
offer_asset: offer_asset.clone(),
ask_asset_info: None,
- belief_price: None,
+ belief_price,
max_spread,
to: None,
};
@@ -455,6 +465,12 @@ impl Helper {
from_slice(&binary)
}
+ pub fn query_pool(&self) -> StdResult<PoolResponse> {
+ self.app
+ .wrap()
+ .query_wasm_smart(&self.pair_addr, &QueryMsg::Pool {})
+ }
+
pub fn query_lp_price(&self) -> StdResult<Decimal256> {
self.app
.wrap()
diff --git a/contracts/pair_concentrated/tests/pair_concentrated_integration.rs b/contracts/pair_concentrated/tests/pair_concentrated_integration.rs
index c8e2d5706..46b7b2982 100644
--- a/contracts/pair_concentrated/tests/pair_concentrated_integration.rs
+++ b/contracts/pair_concentrated/tests/pair_concentrated_integration.rs
@@ -1,12 +1,11 @@
-use cosmwasm_std::{Addr, Decimal, Uint128};
-
+use cosmwasm_std::{Addr, Decimal, Decimal256, Uint128};
use cw_multi_test::{next_block, Executor};
-use itertools::Itertools;
+use itertools::{max, Itertools};
use astroport::asset::{
native_asset_info, Asset, AssetInfo, AssetInfoExt, MINIMUM_LIQUIDITY_AMOUNT,
};
-
+use astroport::cosmwasm_ext::IntegerToDecimal;
use astroport::pair::{ExecuteMsg, PoolResponse};
use astroport::pair_concentrated::{
ConcentratedPoolParams, ConcentratedPoolUpdateParams, PromoteParams, QueryMsg, UpdatePoolParams,
@@ -1401,3 +1400,177 @@ fn provide_withdraw_slippage() {
.provide_liquidity_with_slip_tolerance(&owner, &assets, Some(f64_to_dec(0.5)))
.unwrap();
}
+
+#[test]
+fn check_small_trades() {
+ let owner = Addr::unchecked("owner");
+
+ let test_coins = vec![TestCoin::native("uusd"), TestCoin::native("uluna")];
+
+ let params = ConcentratedPoolParams {
+ price_scale: f64_to_dec(4.360000915600192),
+ amp: f64_to_dec(10f64),
+ gamma: f64_to_dec(0.000145),
+ mid_fee: f64_to_dec(0.0026),
+ out_fee: f64_to_dec(0.0045),
+ fee_gamma: f64_to_dec(0.00023),
+ repeg_profit_threshold: f64_to_dec(0.000002),
+ min_price_scale_delta: f64_to_dec(0.000146),
+ ma_half_time: 600,
+ track_asset_balances: None,
+ };
+
+ let mut helper = Helper::new(&owner, test_coins.clone(), params).unwrap();
+
+ // Fully balanced but small provide
+ let assets = vec![
+ helper.assets[&test_coins[0]].with_balance(8_000000u128),
+ helper.assets[&test_coins[1]].with_balance(1_834862u128),
+ ];
+ helper.provide_liquidity(&owner, &assets).unwrap();
+
+ // Trying to mess the last price with lowest possible swap
+ for _ in 0..1000 {
+ helper.app.next_block(30);
+ let offer_asset = helper.assets[&test_coins[1]].with_balance(1u8);
+ helper
+ .swap_full_params(&owner, &offer_asset, None, Some(Decimal::MAX))
+ .unwrap();
+ }
+
+ // Check that after price scale adjustments (even they are small) internal value is still nearly balanced
+ let config = helper.query_config().unwrap();
+ let pool = helper
+ .query_pool()
+ .unwrap()
+ .assets
+ .into_iter()
+ .map(|asset| asset.amount.to_decimal256(6u8).unwrap())
+ .collect_vec();
+
+ let ixs = [pool[0], pool[1] * config.pool_state.price_state.price_scale];
+ let relative_diff = ixs[0].abs_diff(ixs[1]) / max(&ixs).unwrap();
+
+ assert!(
+ relative_diff < Decimal256::percent(3),
+ "Internal PCL value is off. Relative_diff: {}",
+ relative_diff
+ );
+
+ // Trying to mess the last price with lowest possible provide
+ for _ in 0..1000 {
+ helper.app.next_block(30);
+ let assets = vec![helper.assets[&test_coins[1]].with_balance(1u8)];
+ helper
+ .provide_liquidity_with_slip_tolerance(&owner, &assets, Some(f64_to_dec(0.5)))
+ .unwrap();
+ }
+
+ // Check that after price scale adjustments (even they are small) internal value is still nearly balanced
+ let config = helper.query_config().unwrap();
+ let pool = helper
+ .query_pool()
+ .unwrap()
+ .assets
+ .into_iter()
+ .map(|asset| asset.amount.to_decimal256(6u8).unwrap())
+ .collect_vec();
+
+ let ixs = [pool[0], pool[1] * config.pool_state.price_state.price_scale];
+ let relative_diff = ixs[0].abs_diff(ixs[1]) / max(&ixs).unwrap();
+
+ assert!(
+ relative_diff < Decimal256::percent(3),
+ "Internal PCL value is off. Relative_diff: {}",
+ relative_diff
+ );
+}
+
+#[test]
+fn check_small_trades_18decimals() {
+ let owner = Addr::unchecked("owner");
+
+ let test_coins = vec![
+ TestCoin::cw20precise("ETH", 18),
+ TestCoin::cw20precise("USD", 18),
+ ];
+
+ let params = ConcentratedPoolParams {
+ price_scale: f64_to_dec(4.360000915600192),
+ amp: f64_to_dec(10f64),
+ gamma: f64_to_dec(0.000145),
+ mid_fee: f64_to_dec(0.0026),
+ out_fee: f64_to_dec(0.0045),
+ fee_gamma: f64_to_dec(0.00023),
+ repeg_profit_threshold: f64_to_dec(0.000002),
+ min_price_scale_delta: f64_to_dec(0.000146),
+ ma_half_time: 600,
+ track_asset_balances: None,
+ };
+
+ let mut helper = Helper::new(&owner, test_coins.clone(), params).unwrap();
+
+ // Fully balanced but small provide
+ let assets = vec![
+ helper.assets[&test_coins[0]].with_balance(8e18 as u128),
+ helper.assets[&test_coins[1]].with_balance(1_834862000000000000u128),
+ ];
+ helper.provide_liquidity(&owner, &assets).unwrap();
+
+ // Trying to mess the last price with lowest possible swap
+ for _ in 0..1000 {
+ helper.app.next_block(30);
+ let offer_asset = helper.assets[&test_coins[1]].with_balance(1u8);
+ helper
+ .swap_full_params(&owner, &offer_asset, None, Some(Decimal::MAX))
+ .unwrap();
+ }
+
+ // Check that after price scale adjustments (even they are small) internal value is still nearly balanced
+ let config = helper.query_config().unwrap();
+ let pool = helper
+ .query_pool()
+ .unwrap()
+ .assets
+ .into_iter()
+ .map(|asset| asset.amount.to_decimal256(6u8).unwrap())
+ .collect_vec();
+
+ let ixs = [pool[0], pool[1] * config.pool_state.price_state.price_scale];
+ let relative_diff = ixs[0].abs_diff(ixs[1]) / max(&ixs).unwrap();
+
+ assert!(
+ relative_diff < Decimal256::percent(3),
+ "Internal PCL value is off. Relative_diff: {}",
+ relative_diff
+ );
+
+ // Trying to mess the last price with lowest possible provide
+ for _ in 0..1000 {
+ helper.app.next_block(30);
+ // 0.000001 USD. minimum provide is limited to LP token precision which is 6 decimals.
+ let assets = vec![helper.assets[&test_coins[1]].with_balance(1000000000000u128)];
+ helper
+ .provide_liquidity_with_slip_tolerance(&owner, &assets, Some(f64_to_dec(0.5)))
+ .unwrap();
+ }
+
+ // Check that after price scale adjustments (even they are small) internal value is still nearly balanced
+ let config = helper.query_config().unwrap();
+ let pool = helper
+ .query_pool()
+ .unwrap()
+ .assets
+ .into_iter()
+ .map(|asset| asset.amount.to_decimal256(6u8).unwrap())
+ .collect_vec();
+
+ let ixs = [pool[0], pool[1] * config.pool_state.price_state.price_scale];
+ let relative_diff = ixs[0].abs_diff(ixs[1]) / max(&ixs).unwrap();
+
+ assert!(
+ relative_diff < Decimal256::percent(3),
+ "Internal PCL value is off. Relative_diff: {}",
+ relative_diff
+ );
+}
diff --git a/packages/astroport/Cargo.toml b/packages/astroport/Cargo.toml
index 7d0cc9684..4061481e8 100644
--- a/packages/astroport/Cargo.toml
+++ b/packages/astroport/Cargo.toml
@@ -1,6 +1,6 @@
[package]
name = "astroport"
-version = "2.8.5"
+version = "2.8.6"
authors = ["Astroport"]
edition = "2021"
description = "Common Astroport types, queriers and other utils"
diff --git a/packages/astroport/src/pair.rs b/packages/astroport/src/pair.rs
index 7abd824fa..26769dd8f 100644
--- a/packages/astroport/src/pair.rs
+++ b/packages/astroport/src/pair.rs
@@ -1,10 +1,11 @@
use cosmwasm_schema::{cw_serde, QueryResponses};
+use cosmwasm_std::{
+ from_slice, Addr, Binary, Decimal, Decimal256, QuerierWrapper, StdResult, Uint128, Uint64,
+};
+use cw20::Cw20ReceiveMsg;
use crate::asset::{Asset, AssetInfo, PairInfo};
-use cosmwasm_std::{from_slice, Addr, Binary, Decimal, QuerierWrapper, StdResult, Uint128, Uint64};
-use cw20::Cw20ReceiveMsg;
-
/// The default swap slippage
pub const DEFAULT_SLIPPAGE: &str = "0.005";
/// The maximum allowed swap slippage
@@ -13,6 +14,10 @@ pub const MAX_ALLOWED_SLIPPAGE: &str = "0.5";
/// Decimal precision for TWAP results
pub const TWAP_PRECISION: u8 = 6;
+/// Min safe trading size (0.00001) to calculate a price. This value considers
+/// amount in decimal form with respective token precision.
+pub const MIN_TRADE_SIZE: Decimal256 = Decimal256::raw(10000000000000);
+
/// This structure describes the parameters used for creating a contract.
#[cw_serde]
pub struct InstantiateMsg {
From 75a9ee76aca3904c0867ec41d7331e25be84705f Mon Sep 17 00:00:00 2001
From: Timofey <5527315+epanchee@users.noreply.github.com>
Date: Thu, 28 Sep 2023 12:54:10 +0400
Subject: [PATCH 2/2] bump PCL pair version
---
Cargo.lock | 2 +-
contracts/pair_concentrated/Cargo.toml | 2 +-
contracts/pair_concentrated/src/contract.rs | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
diff --git a/Cargo.lock b/Cargo.lock
index ec13df1c0..c52ddc13b 100644
--- a/Cargo.lock
+++ b/Cargo.lock
@@ -308,7 +308,7 @@ dependencies = [
[[package]]
name = "astroport-pair-concentrated"
-version = "1.2.5"
+version = "1.2.6"
dependencies = [
"anyhow",
"astroport",
diff --git a/contracts/pair_concentrated/Cargo.toml b/contracts/pair_concentrated/Cargo.toml
index a51753500..87b7676cb 100644
--- a/contracts/pair_concentrated/Cargo.toml
+++ b/contracts/pair_concentrated/Cargo.toml
@@ -1,6 +1,6 @@
[package]
name = "astroport-pair-concentrated"
-version = "1.2.5"
+version = "1.2.6"
authors = ["Astroport"]
edition = "2021"
description = "The Astroport concentrated liquidity pair"
diff --git a/contracts/pair_concentrated/src/contract.rs b/contracts/pair_concentrated/src/contract.rs
index 4dadda0fc..9551b36b5 100644
--- a/contracts/pair_concentrated/src/contract.rs
+++ b/contracts/pair_concentrated/src/contract.rs
@@ -907,7 +907,7 @@ pub fn migrate(deps: DepsMut, _env: Env, _msg: MigrateMsg) -> Result<Response, C
"astroport-pair-concentrated" => match contract_version.version.as_ref() {
"1.0.0" | "1.1.0" | "1.1.1" | "1.1.2" => migrate_config(deps.storage)?,
"1.1.4" => migrate_config_from_v140(deps.storage)?,
- "1.2.0" | "1.2.1" | "1.2.2" | "1.2.4" => {}
+ "1.2.0" | "1.2.1" | "1.2.2" | "1.2.4" | "1.2.5" => {}
_ => return Err(ContractError::MigrationError {}),
},
_ => return Err(ContractError::MigrationError {}),