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[curve] fix curve to match math exactly to contract #48

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merged 2 commits into from
Jul 15, 2023
Merged

[curve] fix curve to match math exactly to contract #48

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9114f0b
switch to idiv
zviadm Jul 15, 2023
5c058f3
fix curve to match exactly
zviadm Jul 15, 2023
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4 changes: 2 additions & 2 deletions src/pair.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -92,7 +92,7 @@ export abstract class PairXYeqK extends Pair {
return new BigNumber(0)
}
const amountWithFee = inputAmount.multipliedBy(this.fee)
const outputAmount = buckets[1].multipliedBy(amountWithFee).dividedToIntegerBy(buckets[0].plus(amountWithFee))
const outputAmount = buckets[1].multipliedBy(amountWithFee).idiv(buckets[0].plus(amountWithFee))
return !outputAmount.isNaN() ? outputAmount : new BigNumber(0)
}

Expand All @@ -103,7 +103,7 @@ export abstract class PairXYeqK extends Pair {
if (buckets === null) {
throw new Error(`unsupported output: ${outputToken}, pair: ${this.tokenA}/${this.tokenB}!`)
}
return buckets[0].multipliedBy(outputAmount).div(
return buckets[0].multipliedBy(outputAmount).idiv(
buckets[1].minus(outputAmount).multipliedBy(this.fee))
}

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27 changes: 13 additions & 14 deletions src/pairs/curve.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,8 @@ interface PairCurveSnapshot extends Snapshot {
preciseA: BigNumberString
}

const SWAP_FEE_DENOM = new BigNumber(10).pow(10)

export class PairCurve extends Pair {
allowRepeats = false
private curvePool: ICurve
Expand Down Expand Up @@ -79,7 +81,7 @@ export class PairCurve extends Pair {
])
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.swapFee = new BigNumber(swapFee)
this.preciseA = new BigNumber(preciseA)
}

Expand All @@ -101,8 +103,8 @@ export class PairCurve extends Pair {
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(BigNumber.ROUND_DOWN)
const fee = outputAmountWithFee.multipliedBy(this.swapFee).idiv(SWAP_FEE_DENOM)
const outputAmount = outputAmountWithFee.minus(fee).idiv(this.tokenPrecisionMultipliers[tokenIndexTo])
return outputAmount
}

Expand All @@ -124,20 +126,17 @@ export class PairCurve extends Pair {
continue
}
s = s.plus(_x)
c = c.multipliedBy(d).div(_x.multipliedBy(nTokens)).integerValue(BigNumber.ROUND_DOWN)
c = c.multipliedBy(d).idiv(_x.multipliedBy(nTokens))
}
c = c
.multipliedBy(d).multipliedBy(PairCurve.A_PRECISION).div(nA.multipliedBy(nTokens))
.integerValue(BigNumber.ROUND_DOWN)
const b = s.plus(d.multipliedBy(PairCurve.A_PRECISION).div(nA)).integerValue(BigNumber.ROUND_DOWN)
.multipliedBy(d).multipliedBy(PairCurve.A_PRECISION).idiv(nA.multipliedBy(nTokens))
const b = s.plus(d.multipliedBy(PairCurve.A_PRECISION).idiv(nA))

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(BigNumber.ROUND_DOWN)
y = y.multipliedBy(y).plus(c).idiv(y.multipliedBy(2).plus(b).minus(d))
if (y.minus(yPrev).abs().lte(1)) {
return y
}
Expand All @@ -160,14 +159,14 @@ export class PairCurve extends Pair {
for (let i = 0; i < 256; i++) {
let dP = d
xp.forEach((x) => {
dP = dP.multipliedBy(d).div(x.multipliedBy(nTokens)).integerValue(BigNumber.ROUND_DOWN)
dP = dP.multipliedBy(d).idiv(x.multipliedBy(nTokens))
})
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(
d = nA.multipliedBy(s).idiv(PairCurve.A_PRECISION).plus(dP.multipliedBy(nTokens)).multipliedBy(d).idiv(
nA.minus(PairCurve.A_PRECISION).multipliedBy(d).idiv(PairCurve.A_PRECISION).plus(
new BigNumber(nTokens).plus(1).multipliedBy(dP)
)
).integerValue(BigNumber.ROUND_DOWN)
)
if (d.minus(prevD).abs().lte(1)) {
return d
}
Expand Down