Merge pull request #341 from balancer-labs/develop

Release 4.0.1-beta.17
balancer · Jan 5, 2023 · fb6b8c0 · fb6b8c0
2 parents f2442fd + c2efa07
commit fb6b8c0
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Showing 29 changed files with 523 additions and 368 deletions.
diff --git a/package.json b/package.json
@@ -1,6 +1,6 @@
 {
     "name": "@balancer-labs/sor",
-    "version": "4.0.1-beta.16",
+    "version": "4.0.1-beta.17",
     "license": "GPL-3.0-only",
     "main": "dist/index.js",
     "module": "dist/index.esm.js",

diff --git a/src/frontendHelpers/stableHelpers.ts b/src/frontendHelpers/stableHelpers.ts
@@ -37,7 +37,7 @@ export function BPTForTokensZeroPriceImpact(
     const amountBPTOut = amounts.reduce((totalBptOut, amountIn, i) => {
         // Calculate amount of BPT gained per token in
         const poolPairData: StablePoolPairData = {
-            amp: amp,
+            amp: BigNumber.from(amp),
             allBalances: allBalancesDownScaled,
             tokenIndexIn: i,
             balanceOut: bptTotalSupply,

diff --git a/src/pools/elementPool/elementPool.ts b/src/pools/elementPool/elementPool.ts
@@ -1,7 +1,7 @@
 import { BigNumber, formatFixed, parseFixed } from '@ethersproject/bignumber';
 import { WeiPerEther as ONE, Zero } from '@ethersproject/constants';
 import { isSameAddress } from '../../utils';
-import { BigNumber as OldBigNumber, bnum } from '../../utils/bignumber';
+import { BigNumber as OldBigNumber, bnum, ZERO } from '../../utils/bignumber';
 import {
     PoolBase,
     PoolTypes,
@@ -20,6 +20,7 @@ import {
     _derivativeSpotPriceAfterSwapTokenInForExactTokenOut,
     getTimeTillExpiry,
 } from './elementMath';
+import { universalNormalizedLiquidity } from '../liquidity';
 
 type ElementPoolToken = Pick<SubgraphToken, 'address' | 'balance' | 'decimals'>;
 
@@ -32,7 +33,7 @@ export type ElementPoolPairData = PoolPairBase & {
     currentBlockTimestamp: number;
 };
 
-export class ElementPool implements PoolBase {
+export class ElementPool implements PoolBase<ElementPoolPairData> {
     poolType: PoolTypes = PoolTypes.Element;
     id: string;
     address: string;
@@ -147,16 +148,12 @@ export class ElementPool implements PoolBase {
         return poolPairData;
     }
 
-    // Normalized liquidity is an abstract term that can be thought of the
-    // inverse of the slippage. It is proportional to the token balances in the
-    // pool but also depends on the shape of the invariant curve.
-    // As a standard, we define normalized liquidity in tokenOut
     getNormalizedLiquidity(poolPairData: ElementPoolPairData): OldBigNumber {
-        // This could be refined by using the inverse of the slippage, but
-        // in practice this won't have a big impact in path selection for
-        // multi-hops so not a big priority
-        return bnum(
-            formatFixed(poolPairData.balanceOut, poolPairData.decimalsOut)
+        return universalNormalizedLiquidity(
+            this._derivativeSpotPriceAfterSwapExactTokenInForTokenOut(
+                poolPairData,
+                ZERO
+            )
         );
     }
 

diff --git a/src/pools/gyro2Pool/gyro2Pool.ts b/src/pools/gyro2Pool/gyro2Pool.ts
@@ -1,7 +1,7 @@
 import { getAddress } from '@ethersproject/address';
 import { WeiPerEther as ONE, Zero } from '@ethersproject/constants';
 import { formatFixed, BigNumber } from '@ethersproject/bignumber';
-import { BigNumber as OldBigNumber, bnum } from '../../utils/bignumber';
+import { BigNumber as OldBigNumber, bnum, ZERO } from '../../utils/bignumber';
 
 import {
     PoolBase,
@@ -20,7 +20,6 @@ import {
     _calculateNewSpotPrice,
     _derivativeSpotPriceAfterSwapExactTokenInForTokenOut,
     _derivativeSpotPriceAfterSwapTokenInForExactTokenOut,
-    _getNormalizedLiquidity,
 } from './gyro2Math';
 import {
     _normalizeBalances,
@@ -29,6 +28,7 @@ import {
 } from '../gyroHelpers/helpers';
 import { mulDown, divDown } from '../gyroHelpers/gyroSignedFixedPoint';
 import { SWAP_LIMIT_FACTOR } from '../gyroHelpers/constants';
+import { universalNormalizedLiquidity } from '../liquidity';
 
 export type Gyro2PoolPairData = PoolPairBase & {
     sqrtAlpha: BigNumber;
@@ -40,7 +40,7 @@ export type Gyro2PoolToken = Pick<
     'address' | 'balance' | 'decimals'
 >;
 
-export class Gyro2Pool implements PoolBase {
+export class Gyro2Pool implements PoolBase<Gyro2PoolPairData> {
     poolType: PoolTypes = PoolTypes.Gyro2;
     id: string;
     address: string;
@@ -131,27 +131,12 @@ export class Gyro2Pool implements PoolBase {
     }
 
     getNormalizedLiquidity(poolPairData: Gyro2PoolPairData): OldBigNumber {
-        const balances = [poolPairData.balanceIn, poolPairData.balanceOut];
-        const normalizedBalances = _normalizeBalances(balances, [
-            poolPairData.decimalsIn,
-            poolPairData.decimalsOut,
-        ]);
-        const invariant = _calculateInvariant(
-            normalizedBalances,
-            poolPairData.sqrtAlpha,
-            poolPairData.sqrtBeta
+        return universalNormalizedLiquidity(
+            this._derivativeSpotPriceAfterSwapExactTokenInForTokenOut(
+                poolPairData,
+                ZERO
+            )
         );
-        const [, virtualParamOut] = _findVirtualParams(
-            invariant,
-            poolPairData.sqrtAlpha,
-            poolPairData.sqrtBeta
-        );
-        const normalisedLiquidity = _getNormalizedLiquidity(
-            normalizedBalances,
-            virtualParamOut
-        );
-
-        return bnum(formatFixed(normalisedLiquidity, 18));
     }
 
     getLimitAmountSwap(

diff --git a/src/pools/gyro3Pool/gyro3Pool.ts b/src/pools/gyro3Pool/gyro3Pool.ts
@@ -1,7 +1,7 @@
 import { getAddress } from '@ethersproject/address';
 import { WeiPerEther as ONE, Zero } from '@ethersproject/constants';
 import { formatFixed, BigNumber } from '@ethersproject/bignumber';
-import { BigNumber as OldBigNumber, bnum } from '../../utils/bignumber';
+import { BigNumber as OldBigNumber, bnum, ZERO } from '../../utils/bignumber';
 
 import {
     PoolBase,
@@ -19,7 +19,6 @@ import {
     _calculateNewSpotPrice,
     _derivativeSpotPriceAfterSwapExactTokenInForTokenOut,
     _derivativeSpotPriceAfterSwapTokenInForExactTokenOut,
-    _getNormalizedLiquidity,
 } from './gyro3Math';
 
 import {
@@ -29,6 +28,7 @@ import {
 } from '../gyroHelpers/helpers';
 import { mulDown, divDown } from '../gyroHelpers/gyroSignedFixedPoint';
 import { SWAP_LIMIT_FACTOR } from '../gyroHelpers/constants';
+import { universalNormalizedLiquidity } from '../liquidity';
 
 export type Gyro3PoolPairData = PoolPairBase & {
     balanceTertiary: BigNumber; // Balance of the unchanged asset
@@ -40,7 +40,7 @@ export type Gyro3PoolToken = Pick<
     'address' | 'balance' | 'decimals'
 >;
 
-export class Gyro3Pool implements PoolBase {
+export class Gyro3Pool implements PoolBase<Gyro3PoolPairData> {
     poolType: PoolTypes = PoolTypes.Gyro3;
     id: string;
     address: string;
@@ -147,31 +147,12 @@ export class Gyro3Pool implements PoolBase {
     }
 
     getNormalizedLiquidity(poolPairData: Gyro3PoolPairData): OldBigNumber {
-        const balances = [
-            poolPairData.balanceIn,
-            poolPairData.balanceOut,
-            poolPairData.balanceTertiary,
-        ];
-        const decimals = [
-            poolPairData.decimalsIn,
-            poolPairData.decimalsOut,
-            poolPairData.decimalsTertiary,
-        ];
-        const normalizedBalances = _normalizeBalances(balances, decimals);
-
-        const invariant = _calculateInvariant(
-            normalizedBalances,
-            this.root3Alpha
+        return universalNormalizedLiquidity(
+            this._derivativeSpotPriceAfterSwapExactTokenInForTokenOut(
+                poolPairData,
+                ZERO
+            )
         );
-
-        const virtualOffsetInOut = mulDown(invariant, this.root3Alpha);
-
-        const normalisedLiquidity = _getNormalizedLiquidity(
-            normalizedBalances,
-            virtualOffsetInOut
-        );
-
-        return bnum(formatFixed(normalisedLiquidity, 18));
     }
 
     getLimitAmountSwap(

diff --git a/src/pools/gyroEPool/gyroEPool.ts b/src/pools/gyroEPool/gyroEPool.ts
@@ -1,7 +1,7 @@
 import { getAddress } from '@ethersproject/address';
 import { WeiPerEther as ONE, Zero } from '@ethersproject/constants';
 import { formatFixed, BigNumber } from '@ethersproject/bignumber';
-import { BigNumber as OldBigNumber, bnum } from '../../utils/bignumber';
+import { BigNumber as OldBigNumber, bnum, ZERO } from '../../utils/bignumber';
 
 import {
     PoolBase,
@@ -32,9 +32,9 @@ import {
     calcSpotPriceAfterSwapInGivenOut,
     calcDerivativePriceAfterSwapOutGivenIn,
     calcDerivativeSpotPriceAfterSwapInGivenOut,
-    calculateNormalizedLiquidity,
 } from './gyroEMath/gyroEMath';
 import { SWAP_LIMIT_FACTOR } from '../gyroHelpers/constants';
+import { universalNormalizedLiquidity } from '../liquidity';
 
 export type GyroEPoolPairData = PoolPairBase & {
     tokenInIsToken0: boolean;
@@ -64,7 +64,7 @@ type DerivedGyroEParamsFromSubgraph = {
     dSq: string;
 };
 
-export class GyroEPool implements PoolBase {
+export class GyroEPool implements PoolBase<GyroEPoolPairData> {
     poolType: PoolTypes = PoolTypes.GyroE;
     id: string;
     address: string;
@@ -212,38 +212,12 @@ export class GyroEPool implements PoolBase {
     }
 
     getNormalizedLiquidity(poolPairData: GyroEPoolPairData): OldBigNumber {
-        const normalizedBalances = normalizeBalances(
-            [poolPairData.balanceIn, poolPairData.balanceOut],
-            [poolPairData.decimalsIn, poolPairData.decimalsOut]
-        );
-
-        const orderedNormalizedBalances = balancesFromTokenInOut(
-            normalizedBalances[0],
-            normalizedBalances[1],
-            poolPairData.tokenInIsToken0
-        );
-
-        const [currentInvariant, invErr] = calculateInvariantWithError(
-            orderedNormalizedBalances,
-            this.gyroEParams,
-            this.derivedGyroEParams
-        );
-
-        const invariant: Vector2 = {
-            x: currentInvariant.add(invErr.mul(2)),
-            y: currentInvariant,
-        };
-
-        const normalizedLiquidity = calculateNormalizedLiquidity(
-            orderedNormalizedBalances,
-            this.gyroEParams,
-            this.derivedGyroEParams,
-            invariant,
-            this.swapFee,
-            poolPairData.tokenInIsToken0
+        return universalNormalizedLiquidity(
+            this._derivativeSpotPriceAfterSwapExactTokenInForTokenOut(
+                poolPairData,
+                ZERO
+            )
         );
-
-        return bnum(formatFixed(normalizedLiquidity, 18));
     }
 
     getLimitAmountSwap(

diff --git a/src/pools/linearPool/linearPool.ts b/src/pools/linearPool/linearPool.ts
@@ -1,5 +1,5 @@
 import { BigNumber, parseFixed, formatFixed } from '@ethersproject/bignumber';
-import { bnum, scale, ZERO } from '../../utils/bignumber';
+import { bnum, INFINITY, scale, ZERO } from '../../utils/bignumber';
 import { BigNumber as OldBigNumber } from '../../utils/bignumber';
 import { WeiPerEther as ONE, Zero } from '@ethersproject/constants';
 import { isSameAddress } from '../../utils';
@@ -65,7 +65,7 @@ export type LinearPoolPairData = PoolPairBase & {
     virtualBptSupply: BigNumber;
 };
 
-export class LinearPool implements PoolBase {
+export class LinearPool implements PoolBase<LinearPoolPairData> {
     poolType: PoolTypes = PoolTypes.Linear;
     id: string;
     address: string;
@@ -203,7 +203,9 @@ export class LinearPool implements PoolBase {
 
     // eslint-disable-next-line @typescript-eslint/no-unused-vars
     getNormalizedLiquidity(poolPairData: LinearPoolPairData): OldBigNumber {
-        return bnum(0);
+        return INFINITY; // It is the inverse of zero
+        // This is correct since linear pools have no price impact,
+        // except for the swap fee that is expected to be small.
     }
 
     getLimitAmountSwap(

diff --git a/src/pools/liquidity.ts b/src/pools/liquidity.ts
@@ -0,0 +1,13 @@
+import { BigNumber as OldBigNumber, ZERO, bnum } from '../utils/bignumber';
+
+/*
+It is possible to compute the normalized liquidity using another function already existing at every pool type, which is the derivative of spot price after swap.
+https://quark-ceres-740.notion.site/SOR-Normalized-liquidity-and-highest-liquidity-pool-d81bd3db48e5482ab2275a8eecac33b4
+*/
+export function universalNormalizedLiquidity(
+    derivativeSpotPriceAtZero: OldBigNumber
+): OldBigNumber {
+    const ans = bnum(1).div(derivativeSpotPriceAtZero);
+    if (ans.isNaN() || ans.lt(ZERO) || !ans.isFinite()) return ZERO;
+    return ans;
+}