Merge pull request #309 from balancer-labs/develop

4.0.1-beta.10

package.json

@@ -1,6 +1,6 @@
 {
     "name": "@balancer-labs/sor",
-    "version": "4.0.1-beta.9",
+    "version": "4.0.1-beta.10",
     "license": "GPL-3.0-only",
     "main": "dist/index.js",
     "module": "dist/index.esm.js",

src/pools/gyro2Pool/constants.ts

@@ -1,10 +1,7 @@
-import { BigNumber, parseFixed } from '@ethersproject/bignumber';
+import { BigNumber } from '@ethersproject/bignumber';
 
 // Swap limits: amounts swapped may not be larger than this percentage of total balance.
 
-export const _MAX_IN_RATIO: BigNumber = parseFixed('0.3', 18);
-export const _MAX_OUT_RATIO: BigNumber = parseFixed('0.3', 18);
-
 export const SQRT_1E_NEG_1 = BigNumber.from('316227766016837933');
 export const SQRT_1E_NEG_3 = BigNumber.from('31622776601683793');
 export const SQRT_1E_NEG_5 = BigNumber.from('3162277660168379');
@@ -14,3 +11,6 @@ export const SQRT_1E_NEG_11 = BigNumber.from('3162277660168');
 export const SQRT_1E_NEG_13 = BigNumber.from('316227766016');
 export const SQRT_1E_NEG_15 = BigNumber.from('31622776601');
 export const SQRT_1E_NEG_17 = BigNumber.from('3162277660');
+
+// Swap Limit factor
+export const SWAP_LIMIT_FACTOR = BigNumber.from('999999000000000000');

src/pools/gyro2Pool/gyro2Pool.ts

@@ -29,6 +29,7 @@ import {
     mulDown,
     divDown,
 } from './helpers';
+import { SWAP_LIMIT_FACTOR } from './constants';
 
 export type Gyro2PoolPairData = PoolPairBase & {
     sqrtAlpha: BigNumber;
@@ -160,20 +161,44 @@ export class Gyro2Pool implements PoolBase {
     }
 
     getLimitAmountSwap(
-        poolPairData: PoolPairBase,
+        poolPairData: Gyro2PoolPairData,
         swapType: SwapTypes
     ): OldBigNumber {
         if (swapType === SwapTypes.SwapExactIn) {
+            const balances = [poolPairData.balanceIn, poolPairData.balanceOut];
+            const normalizedBalances = _normalizeBalances(
+                balances,
+                poolPairData.decimalsIn,
+                poolPairData.decimalsOut
+            );
+            const invariant = _calculateInvariant(
+                normalizedBalances,
+                poolPairData.sqrtAlpha,
+                poolPairData.sqrtBeta
+            );
+            const maxAmountInAssetInPool = mulDown(
+                invariant,
+                divDown(ONE, poolPairData.sqrtAlpha).sub(
+                    divDown(ONE, poolPairData.sqrtBeta)
+                )
+            ); // x+ = L * (1/sqrtAlpha - 1/sqrtBeta)
+            const limitAmountIn = maxAmountInAssetInPool.sub(
+                normalizedBalances[0]
+            );
+            const limitAmountInPlusSwapFee = divDown(
+                limitAmountIn,
+                ONE.sub(poolPairData.swapFee)
+            );
             return bnum(
                 formatFixed(
-                    mulDown(poolPairData.balanceIn, this.MAX_IN_RATIO),
-                    poolPairData.decimalsIn
+                    mulDown(limitAmountInPlusSwapFee, SWAP_LIMIT_FACTOR),
+                    18
                 )
             );
         } else {
             return bnum(
                 formatFixed(
-                    mulDown(poolPairData.balanceOut, this.MAX_OUT_RATIO),
+                    mulDown(poolPairData.balanceOut, SWAP_LIMIT_FACTOR),
                     poolPairData.decimalsOut
                 )
             );

src/pools/gyro3Pool/constants.ts

@@ -1,9 +1,4 @@
-import { BigNumber, parseFixed } from '@ethersproject/bignumber';
-
-// Swap limits: amounts swapped may not be larger than this percentage of total balance.
-
-export const _MAX_IN_RATIO: BigNumber = parseFixed('0.3', 18);
-export const _MAX_OUT_RATIO: BigNumber = parseFixed('0.3', 18);
+import { BigNumber } from '@ethersproject/bignumber';
 
 // SQRT constants
 
@@ -29,3 +24,6 @@ export const MIDDECIMAL = BigNumber.from(10).pow(9); // splits the fixed point d
 // less-than-ideal starting point, which is important when alpha is small.
 export const _INVARIANT_SHRINKING_FACTOR_PER_STEP = 8;
 export const _INVARIANT_MIN_ITERATIONS = 5;
+
+// Swap Limit factor
+export const SWAP_LIMIT_FACTOR = BigNumber.from('999999000000000000');

src/pools/gyro3Pool/gyro3Pool.ts

@@ -29,6 +29,7 @@ import {
     mulDown,
     divDown,
 } from './helpers';
+import { SWAP_LIMIT_FACTOR } from './constants';
 
 export type Gyro3PoolPairData = PoolPairBase & {
     balanceTertiary: BigNumber; // Balance of the unchanged asset
@@ -179,20 +180,50 @@ export class Gyro3Pool implements PoolBase {
     }
 
     getLimitAmountSwap(
-        poolPairData: PoolPairBase,
+        poolPairData: Gyro3PoolPairData,
         swapType: SwapTypes
     ): OldBigNumber {
         if (swapType === SwapTypes.SwapExactIn) {
+            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
+            );
+            const a = mulDown(invariant, this.root3Alpha);
+            const maxAmountInAssetInPool = divDown(
+                mulDown(
+                    normalizedBalances[0].add(a),
+                    normalizedBalances[1].add(a)
+                ),
+                a
+            ).sub(a); // (x + a)(y + a) / a - a
+            const limitAmountIn = maxAmountInAssetInPool.sub(
+                normalizedBalances[0]
+            );
+            const limitAmountInPlusSwapFee = divDown(
+                limitAmountIn,
+                ONE.sub(poolPairData.swapFee)
+            );
             return bnum(
                 formatFixed(
-                    mulDown(poolPairData.balanceIn, this.MAX_IN_RATIO),
-                    poolPairData.decimalsIn
+                    mulDown(limitAmountInPlusSwapFee, SWAP_LIMIT_FACTOR),
+                    18
                 )
             );
         } else {
             return bnum(
                 formatFixed(
-                    mulDown(poolPairData.balanceOut, this.MAX_OUT_RATIO),
+                    mulDown(poolPairData.balanceOut, SWAP_LIMIT_FACTOR),
                     poolPairData.decimalsOut
                 )
             );

src/pools/gyro3Pool/helpers.ts

@@ -2,8 +2,6 @@ import { BigNumber, parseFixed } from '@ethersproject/bignumber';
 import bn from 'bignumber.js';
 import { WeiPerEther as ONE } from '@ethersproject/constants';
 import {
-    _MAX_IN_RATIO,
-    _MAX_OUT_RATIO,
     SQRT_1E_NEG_1,
     SQRT_1E_NEG_3,
     SQRT_1E_NEG_5,

src/routeProposal/filtering.ts

@@ -319,6 +319,8 @@ export function getBoostedPaths(
     poolsAllDict: PoolDictionary,
     config: SorConfig
 ): NewPath[] {
+    let maxPaths = BOOSTED_PATHS_MAX_LENGTH;
+    if (config.chainId === 137) maxPaths = 3;
     const edgesFromNode = getBoostedGraph(
         tokenIn,
         tokenOut,
@@ -365,7 +367,7 @@ export function getBoostedPaths(
         if (newTreeEdges.length == 0) {
             iterate = false;
         } else treeEdges.push(newTreeEdges);
-        if (n == BOOSTED_PATHS_MAX_LENGTH) iterate = false;
+        if (n == maxPaths) iterate = false;
     }
     return pathsInfoToPaths(pathsInfo, poolsAllDict);
 }

test/gyro2Pool.spec.ts

@@ -59,14 +59,14 @@ describe('Gyro2Pool tests USDC > DAI', () => {
                 SwapTypes.SwapExactIn
             );
 
-            expect(amount.toString()).to.eq('300');
+            expect(amount.toString()).to.eq('1243.74395782517101711');
 
             amount = pool.getLimitAmountSwap(
                 poolPairData,
                 SwapTypes.SwapExactOut
             );
 
-            expect(amount.toString()).to.eq('369.6');
+            expect(amount.toString()).to.eq('1231.998768');
         });
     });
 

test/gyro3Pool.spec.ts

@@ -1,6 +1,7 @@
+// TS_NODE_PROJECT='tsconfig.testing.json' npx mocha -r ts-node/register test/gyro3Pool.spec.ts
 import { expect } from 'chai';
 import cloneDeep from 'lodash.clonedeep';
-import { formatFixed, parseFixed, BigNumber } from '@ethersproject/bignumber';
+import { formatFixed, parseFixed } from '@ethersproject/bignumber';
 import { bnum } from '../src/utils/bignumber';
 import { USDC, USDT } from './lib/constants';
 import { SwapTypes } from '../src';
@@ -38,14 +39,14 @@ describe('Gyro3Pool tests USDC > DAI', () => {
                 SwapTypes.SwapExactIn
             );
 
-            expect(amount.toString()).to.eq('24935.7');
+            expect(amount.toString()).to.eq('82089.998821185751004412');
 
             amount = pool.getLimitAmountSwap(
                 poolPairData,
                 SwapTypes.SwapExactOut
             );
 
-            expect(amount.toString()).to.eq('24445.5');
+            expect(amount.toString()).to.eq('81484.918515');
         });
     });
 

test/testScripts/swapExample.ts

@@ -58,17 +58,17 @@ function setUp(networkId: Network, provider: JsonRpcProvider): SOR {
 }
 
 export async function swap(): Promise<void> {
-    const networkId = Network.MAINNET;
+    const networkId = Network.POLYGON;
     const provider = new JsonRpcProvider(PROVIDER_URLS[networkId]);
     // gasPrice is used by SOR as a factor to determine how many pools to swap against.
     // i.e. higher cost means more costly to trade against lots of different pools.
     const gasPrice = BigNumber.from('40000000000');
     // This determines the max no of pools the SOR will use to swap.
     const maxPools = 4;
-    const tokenIn = ADDRESSES[networkId].WETH;
-    const tokenOut = ADDRESSES[networkId].DAI;
+    const tokenIn = ADDRESSES[networkId].USDT;
+    const tokenOut = ADDRESSES[networkId].USDC;
     const swapType: SwapTypes = SwapTypes.SwapExactIn;
-    const swapAmount = parseFixed('1', 18);
+    const swapAmount = parseFixed('1000', 6);
 
     const sor = setUp(networkId, provider);