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Merge pull request #40 from terminal-fi/curve
support for curve pools
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,210 @@ | ||
| import Web3 from "web3" | ||
| import BigNumber from "bignumber.js" | ||
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|
||
| import { ICurve, ABI as CurveABI } from "../../types/web3-v1-contracts/ICurve" | ||
| import { Erc20, ABI as Erc20ABI } from '../../types/web3-v1-contracts/ERC20'; | ||
|
|
||
| import { Address, Pair, Snapshot, BigNumberString } from "../pair" | ||
| import { selectAddress } from "../utils" | ||
| import { address as pairCurveAddress } from "../../tools/deployed/mainnet.PairCurve.addr.json" | ||
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|
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| interface PairCurveSnapshot extends Snapshot { | ||
| paused: boolean | ||
| tokenPrecisionMultipliers: BigNumberString[] | ||
| balancesWithAdjustedPrecision: BigNumberString[] | ||
| swapFee: BigNumberString | ||
| preciseA: BigNumberString | ||
| } | ||
|
|
||
| export class PairCurve extends Pair { | ||
| allowRepeats = false | ||
| private curvePool: ICurve | ||
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| private paused: boolean = false | ||
| private tokenPrecisionMultipliers: BigNumber[] = [] | ||
| private balancesWithAdjustedPrecision: BigNumber[] = [] | ||
| private swapFee: BigNumber = new BigNumber(0) | ||
| private preciseA: BigNumber = new BigNumber(0) | ||
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| private token0Idx: number | ||
| private token1Idx: number | ||
| private nCoins: number | ||
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| static readonly POOL_PRECISION_DECIMALS = 18 | ||
| static readonly A_PRECISION = 100 | ||
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| constructor( | ||
| chainId: number, | ||
| private web3: Web3, | ||
| private poolAddr: Address, | ||
| opts?: {nCoins: number, token0Idx: number, token1Idx: number}, | ||
| ) { | ||
| super(selectAddress(chainId, {mainnet: pairCurveAddress})) | ||
| this.curvePool = new web3.eth.Contract(CurveABI, poolAddr) as unknown as ICurve | ||
| this.nCoins = opts ? opts.nCoins : 2 | ||
| this.token0Idx = opts ? opts.token0Idx : 0 | ||
| this.token1Idx = opts ? opts.token1Idx : 1 | ||
| } | ||
|
|
||
| protected async _init() { | ||
| const [ | ||
| tokenA, | ||
| tokenB, | ||
| ] = await Promise.all([ | ||
| this.curvePool.methods.coins(this.token0Idx).call(), | ||
| this.curvePool.methods.coins(this.token1Idx).call(), | ||
| ]) | ||
| const erc20A = new this.web3.eth.Contract(Erc20ABI, tokenA) as unknown as Erc20 | ||
| const erc20B = new this.web3.eth.Contract(Erc20ABI, tokenB) as unknown as Erc20 | ||
| const [ | ||
| decimalsA, | ||
| decimalsB, | ||
| ] = await Promise.all([ | ||
| erc20A.methods.decimals().call(), | ||
| erc20B.methods.decimals().call(), | ||
| ]) | ||
| this.tokenPrecisionMultipliers = [ | ||
| new BigNumber(10).pow(PairCurve.POOL_PRECISION_DECIMALS - Number.parseInt(decimalsA)), | ||
| new BigNumber(10).pow(PairCurve.POOL_PRECISION_DECIMALS - Number.parseInt(decimalsB)), | ||
| ] | ||
| return { | ||
| pairKey: this.poolAddr, | ||
| tokenA, tokenB, | ||
| } | ||
| } | ||
|
|
||
| public async refresh() { | ||
| const [ | ||
| paused, | ||
| balances, | ||
| swapFee, | ||
| preciseA, | ||
| ] = await Promise.all([ | ||
| false, | ||
| Promise.all([...Array(this.nCoins).keys()].map((i) => this.curvePool.methods.balances(i).call())), | ||
| this.curvePool.methods.fee().call(), | ||
| this.curvePool.methods.A_precise().call(), | ||
| ]) | ||
| this.paused = paused | ||
| this.balancesWithAdjustedPrecision = balances.map((b, idx) => this.tokenPrecisionMultipliers[idx].multipliedBy(b)) | ||
| this.swapFee = new BigNumber(swapFee).div(new BigNumber(10).pow(10)) | ||
| this.preciseA = new BigNumber(preciseA) | ||
| } | ||
|
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||
| public outputAmount(inputToken: Address, inputAmount: BigNumber): BigNumber { | ||
| if (this.paused) { | ||
| return new BigNumber(0) | ||
| } | ||
|
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| // See: https://github.com/mobiusAMM/mobiusV1/blob/master/contracts/SwapUtils.sol#L617 | ||
| const [tokenIndexFrom, tokenIndexTo] = inputToken === this.tokenA ? | ||
| [this.token0Idx, this.token1Idx] : [this.token1Idx, this.token0Idx] | ||
| const x = inputAmount | ||
| .multipliedBy(this.tokenPrecisionMultipliers[tokenIndexFrom]) | ||
| .plus(this.balancesWithAdjustedPrecision[tokenIndexFrom]) | ||
| const y = this.getY( | ||
| x, | ||
| this.balancesWithAdjustedPrecision, | ||
| this.preciseA) | ||
| const outputAmountWithFee = this.balancesWithAdjustedPrecision[tokenIndexTo].minus(y).minus(1) | ||
| const fee = outputAmountWithFee.multipliedBy(this.swapFee) | ||
| const outputAmount = outputAmountWithFee.minus(fee).div(this.tokenPrecisionMultipliers[tokenIndexTo]).integerValue() | ||
| return outputAmount | ||
| } | ||
|
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| private getY = (x: BigNumber, xp: BigNumber[], a: BigNumber) => { | ||
| // See: https://github.com/mobiusAMM/mobiusV1/blob/master/contracts/SwapUtils.sol#L531 | ||
| const d = this.getD(xp, a) | ||
| const nTokens = xp.length | ||
| const nA = a.multipliedBy(nTokens) | ||
|
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||
| const s = x | ||
| const c = d | ||
| .multipliedBy(d).div(x.multipliedBy(nTokens)) | ||
| .integerValue() | ||
| .multipliedBy(d).multipliedBy(PairCurve.A_PRECISION).div(nA.multipliedBy(nTokens)) | ||
| .integerValue() | ||
| const b = s.plus(d.multipliedBy(PairCurve.A_PRECISION).div(nA)).integerValue() | ||
|
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||
| let yPrev | ||
| let y = d | ||
| for (let i = 0; i < 256; i++) { | ||
| yPrev = y | ||
| y = y.multipliedBy(y).plus(c).div( | ||
| y.multipliedBy(2).plus(b).minus(d)) | ||
| .integerValue() | ||
| if (y.minus(yPrev).abs().lte(1)) { | ||
| return y | ||
| } | ||
| } | ||
| throw new Error("SwapPool approximation did not converge!") | ||
| } | ||
|
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||
| private getD (xp: BigNumber[], a: BigNumber) { | ||
| // See: https://github.com/mobiusAMM/mobiusV1/blob/master/contracts/SwapUtils.sol#L393 | ||
| const s = BigNumber.sum(...xp) | ||
| if (s.eq(0)) { | ||
| return s | ||
| } | ||
|
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||
| let prevD | ||
| let d = s | ||
| const nTokens = xp.length | ||
| const nA = a.multipliedBy(nTokens) | ||
|
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| for (let i = 0; i < 256; i++) { | ||
| let dP = d | ||
| xp.forEach((x) => { | ||
| dP = dP.multipliedBy(d).div(x.multipliedBy(nTokens)).integerValue() | ||
| }) | ||
| prevD = d | ||
| d = nA.multipliedBy(s).div(PairCurve.A_PRECISION).plus(dP.multipliedBy(nTokens)).multipliedBy(d).div( | ||
| nA.minus(PairCurve.A_PRECISION).multipliedBy(d).div(PairCurve.A_PRECISION).plus( | ||
| new BigNumber(nTokens).plus(1).multipliedBy(dP) | ||
| ) | ||
| ).integerValue() | ||
| if (d.minus(prevD).abs().lte(1)) { | ||
| return d | ||
| } | ||
| } | ||
| throw new Error("SwapPool D does not converge!") | ||
| } | ||
|
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| protected swapExtraData() { | ||
| return this.poolAddr | ||
| } | ||
|
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| public snapshot(): PairCurveSnapshot { | ||
| return { | ||
| paused: this.paused, | ||
| tokenPrecisionMultipliers: this.tokenPrecisionMultipliers.map(n => n.toFixed()), | ||
| balancesWithAdjustedPrecision: this.balancesWithAdjustedPrecision.map(n => n.toFixed()), | ||
| swapFee: this.swapFee.toFixed(), | ||
| preciseA: this.preciseA.toFixed() | ||
| } | ||
| } | ||
|
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| public restore(snapshot: PairCurveSnapshot): void { | ||
| this.paused = snapshot.paused | ||
| this.tokenPrecisionMultipliers = snapshot.tokenPrecisionMultipliers.map(r => new BigNumber(r)) | ||
| this.balancesWithAdjustedPrecision = snapshot.balancesWithAdjustedPrecision.map(r => new BigNumber(r)) | ||
| this.swapFee = new BigNumber(snapshot.swapFee) | ||
| this.preciseA = new BigNumber(snapshot.preciseA) | ||
| } | ||
| } | ||
|
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| export async function createCurvePairs( | ||
| chainId: number, | ||
| web3: Web3, | ||
| poolAddr: Address, | ||
| nCoins: number, | ||
| ): Promise<Pair[]> { | ||
| const swapPool = new web3.eth.Contract(CurveABI, poolAddr) as unknown as ICurve | ||
| const r: Pair[] = [] | ||
| for (let token0Idx = 0; token0Idx < nCoins - 1; token0Idx++) { | ||
| for (let token1Idx = token0Idx+1; token1Idx < nCoins; token1Idx++) { | ||
| r.push(new PairCurve(chainId, web3, poolAddr, {nCoins, token0Idx, token1Idx})) | ||
| } | ||
| } | ||
| return r | ||
| } |
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