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Fix rounding of surplus/protocol_fee/score (#2857)
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# Description
Related to
#2797 (comment)

Fixes issue in `driver` and new `autopilot` code. Old `autopilot` code
is not fixed and I don't intend to do it. This means that settlement
observations will still be wrong until new code is used. Dependent on
#2843

Note that this change affects the whole range of functionalities:
surplus, protocol fee, score calculation.

# Changes
<!-- List of detailed changes (how the change is accomplished) -->

- [ ] Whenever we calculate `buy_amount` for `sell` orders, use
`ceil_div` to be consistent with settlement contract logic

## How to test
Added unit test that shows that new code calculates the expected circuit
breaker surplus of `384509480572312`
Expected score is 2 x surplus.

<!--
## Related Issues

Fixes #
-->
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@sunce86
sunce86 authored Aug 7, 2024
1 parent 01b9761 commit 63b6170
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Showing 4 changed files with 156 additions and 6 deletions.
127 changes: 127 additions & 0 deletions crates/autopilot/src/domain/settlement/solution/mod.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -321,4 +321,131 @@ mod tests {
HashMap::from([(domain::OrderUid(hex!("10dab31217bb6cc2ace0fe601c15d342f7626a1ee5ef0495449800e73156998740a50cf069e992aa4536211b23f286ef88752187ffffffff")), Some(eth::SellTokenAmount(eth::U256::from(6752697350740628u128))))])
);
}

// https://etherscan.io/tx/0x688508eb59bd20dc8c0d7c0c0b01200865822c889f0fcef10113e28202783243
#[test]
fn settlement_with_protocol_fee() {
let calldata = hex!(
"
13d79a0b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"
)
.to_vec();

let domain_separator = eth::DomainSeparator(hex!(
"c078f884a2676e1345748b1feace7b0abee5d00ecadb6e574dcdd109a63e8943"
));
let solution = super::Solution::new(&calldata.into(), &domain_separator).unwrap();
assert_eq!(solution.trades.len(), 1);

let prices: auction::Prices = From::from([
(
eth::TokenAddress(eth::H160::from_slice(&hex!(
"dac17f958d2ee523a2206206994597c13d831ec7"
))),
auction::Price::new(eth::U256::from(321341140475275961528483840u128).into())
.unwrap(),
),
(
eth::TokenAddress(eth::H160::from_slice(&hex!(
"056fd409e1d7a124bd7017459dfea2f387b6d5cd"
))),
auction::Price::new(eth::U256::from(3177764302250520038326415654912u128).into())
.unwrap(),
),
]);

let auction = super::super::Auction {
prices,
surplus_capturing_jit_order_owners: vec![],
id: 0,
orders: HashMap::from([(domain::OrderUid(hex!("c6a81144bc822569a0752c7a537fa9cbbf6344cb187ce0ff15a534b571e277eaf87da2093abee9b13a6f89671e4c3a3f80b427676799c219")), vec![domain::fee::Policy::Surplus {
factor: 0.5f64.try_into().unwrap(),
max_volume_factor: 0.01.try_into().unwrap(),
}])]),
};

assert_eq!(
solution.native_surplus(&auction).0,
eth::U256::from(384509480572312u128)
);

assert_eq!(
solution.score(&auction).unwrap().get().0,
eth::U256::from(769018961144624u128) // 2 x surplus
);
}
}
11 changes: 9 additions & 2 deletions crates/autopilot/src/domain/settlement/solution/trade.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -88,12 +88,17 @@ impl Trade {
}
order::Side::Sell => {
// scale limit buy to support partially fillable orders

// `checked_ceil_div`` to be consistent with how settlement contract calculates
// traded buy amounts
// smallest allowed executed_buy_amount per settlement contract is
// executed_sell_amount * ceil(price_limits.buy / price_limits.sell)
let limit_buy = self
.executed
.0
.checked_mul(price_limits.buy.0)
.ok_or(error::Math::Overflow)?
.checked_div(price_limits.sell.0)
.checked_ceil_div(&price_limits.sell.0)
.ok_or(error::Math::DivisionByZero)?;
let bought = self
.executed
Expand Down Expand Up @@ -228,14 +233,16 @@ impl Trade {
/// The effective amount the user received after all fees.
///
/// Note how the `executed` amount is used to build actual traded amounts.
///
/// Settlement contract uses `ceil` division for buy amount calculation.
fn buy_amount(&self) -> Result<eth::TokenAmount, error::Math> {
Ok(match self.side {
order::Side::Sell => self
.executed
.0
.checked_mul(self.prices.custom.sell)
.ok_or(error::Math::Overflow)?
.checked_div(self.prices.custom.buy)
.checked_ceil_div(&self.prices.custom.buy)
.ok_or(error::Math::DivisionByZero)?,
order::Side::Buy => self.executed.0,
}
Expand Down
11 changes: 9 additions & 2 deletions crates/driver/src/domain/competition/solution/scoring.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -128,12 +128,17 @@ impl Trade {
}
Side::Sell => {
// scale limit buy to support partially fillable orders

// `checked_ceil_div`` to be consistent with how settlement contract calculates
// traded buy amounts
// smallest allowed executed_buy_amount per settlement contract is
// executed_sell_amount * ceil(price_limits.buy / price_limits.sell)
let limit_buy = self
.executed
.0
.checked_mul(price_limits.buy.0)
.ok_or(Math::Overflow)?
.checked_div(price_limits.sell.0)
.checked_ceil_div(&price_limits.sell.0)
.ok_or(Math::DivisionByZero)?;
let bought = self
.executed
Expand Down Expand Up @@ -206,14 +211,16 @@ impl Trade {
/// The effective amount the user received after all fees.
///
/// Note how the `executed` amount is used to build actual traded amounts.
///
/// Settlement contract uses `ceil` division for buy amount calculation.
fn buy_amount(&self) -> Result<eth::TokenAmount, error::Math> {
Ok(match self.side {
order::Side::Sell => self
.executed
.0
.checked_mul(self.custom_price.sell)
.ok_or(Math::Overflow)?
.checked_div(self.custom_price.buy)
.checked_ceil_div(&self.custom_price.buy)
.ok_or(Math::DivisionByZero)?,
order::Side::Buy => self.executed.0,
}
Expand Down
13 changes: 11 additions & 2 deletions crates/driver/src/domain/competition/solution/trade.rs
View file
Original file line number Diff line number Diff line change
Expand Up @@ -79,6 +79,8 @@ impl Trade {
}

/// The effective amount the user received after all fees.
///
/// Settlement contract uses `ceil` division for buy amount calculation.
fn buy_amount(&self, prices: &ClearingPrices) -> Result<eth::TokenAmount, error::Math> {
let amount = match self.side() {
order::Side::Buy => self.executed().0,
Expand Down Expand Up @@ -215,6 +217,8 @@ impl Fulfillment {
}

/// The effective amount the user received after all fees.
///
/// Settlement contract uses `ceil` division for buy amount calculation.
pub fn buy_amount(&self, prices: &ClearingPrices) -> Result<eth::TokenAmount, error::Math> {
let amount = match self.order.side {
order::Side::Buy => self.executed.0,
Expand Down Expand Up @@ -287,16 +291,21 @@ impl Fulfillment {
}
Side::Sell => {
// Scale to support partially fillable orders

// `checked_ceil_div`` to be consistent with how settlement contract calculates
// traded buy amounts
// smallest allowed executed_buy_amount per settlement contract is
// executed_sell_amount * ceil(price_limits.buy / price_limits.sell)
let limit_buy_amount = limit_buy
.checked_mul(executed_sell_amount_with_fee)
.ok_or(Math::Overflow)?
.checked_div(limit_sell)
.checked_ceil_div(&limit_sell)
.ok_or(Math::DivisionByZero)?;
// How much `buy_token` we get for `executed` amount of `sell_token`
let executed_buy_amount = executed
.checked_mul(prices.sell)
.ok_or(Math::Overflow)?
.checked_div(prices.buy)
.checked_ceil_div(&prices.buy)
.ok_or(Math::DivisionByZero)?;
// Remaining surplus after fees
// Do not return error if `checked_sub` fails because violated limit prices will
Expand Down

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