feat: AMMs can specify a spread around their fair-price

vegaprotocol · Oct 28, 2024 · b583dca · b583dca
1 parent e2230d9
commit b583dca
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Showing 41 changed files with 4,370 additions and 4,178 deletions.
diff --git a/commands/amend_amm.go b/commands/amend_amm.go
@@ -70,9 +70,17 @@ func checkAmendAMM(cmd *commandspb.AmendAMM) Errors {
 
 	if cmd.MinimumPriceChangeTrigger != nil {
 		if minPriceChange, err := num.DecimalFromString(*cmd.MinimumPriceChangeTrigger); err != nil {
-			errs.AddForProperty("submit_amm.mimimum_price_change_trigger", ErrIsNotValid)
+			errs.AddForProperty("amend_amm.mimimum_price_change_trigger", ErrIsNotValid)
 		} else if minPriceChange.LessThan(num.DecimalZero()) {
-			errs.AddForProperty("submit_amm.proposed_fee", ErrMustBePositiveOrZero)
+			errs.AddForProperty("amend_amm.mimimum_price_change_trigger", ErrMustBePositiveOrZero)
+		}
+	}
+
+	if cmd.Spread != nil {
+		if spread, err := num.DecimalFromString(*cmd.Spread); err != nil {
+			errs.AddForProperty("amend_amm.spread", ErrIsNotValid)
+		} else if spread.LessThan(num.DecimalZero()) {
+			errs.AddForProperty("amend_amm.spread", ErrMustBePositiveOrZero)
 		}
 	}
 

diff --git a/commands/submit_amm.go b/commands/submit_amm.go
@@ -72,6 +72,14 @@ func checkSubmitAMM(cmd *commandspb.SubmitAMM) Errors {
 		}
 	}
 
+	if cmd.Spread != nil {
+		if spread, err := num.DecimalFromString(*cmd.Spread); err != nil {
+			errs.AddForProperty("submit_amm.spread", ErrIsNotValid)
+		} else if spread.LessThan(num.DecimalZero()) {
+			errs.AddForProperty("submit_amm.spread", ErrMustBePositiveOrZero)
+		}
+	}
+
 	if cmd.ConcentratedLiquidityParameters == nil {
 		errs.FinalAddForProperty("submit_amm.concentrated_liquidity_parameters", ErrIsRequired)
 	} else {

diff --git a/core/events/amm_pool.go b/core/events/amm_pool.go
@@ -55,6 +55,7 @@ func NewAMMPoolEvent(
 	lowerCurve *AMMCurve,
 	upperCurve *AMMCurve,
 	minimumPriceChangeTrigger num.Decimal,
+	spread num.Decimal,
 ) *AMMPool {
 	return &AMMPool{
 		Base: newBase(ctx, AMMPoolEvent),
@@ -71,6 +72,7 @@ func NewAMMPoolEvent(
 			LowerCurve:                lowerCurve.ToProtoEvent(),
 			UpperCurve:                upperCurve.ToProtoEvent(),
 			MinimumPriceChangeTrigger: minimumPriceChangeTrigger.String(),
+			Spread:                    spread.String(),
 		},
 	}
 }

diff --git a/core/execution/amm/engine.go b/core/execution/amm/engine.go
@@ -349,7 +349,7 @@ func (e *Engine) GetVolumeAtPrice(price *num.Uint, side types.Side) uint64 {
 	vol := uint64(0)
 	for _, pool := range e.poolsCpy {
 		// get the pool's current price
-		best, ok := pool.BestPrice(types.OtherSide(side))
+		best, ok, _ := pool.BestPrice(types.OtherSide(side))
 		if !ok {
 			continue
 		}
@@ -382,8 +382,8 @@ func (e *Engine) submit(active []*Pool, agg *types.Order, inner, outer *num.Uint
 	for _, p := range active {
 		p.setEphemeralPosition()
 
-		price, ok := p.BestPrice(types.OtherSide(agg.Side))
-		if !ok {
+		price, volume := p.BestPriceAndVolume(types.OtherSide(agg.Side))
+		if volume == 0 {
 			continue
 		}
 
@@ -696,8 +696,6 @@ func (e *Engine) Create(
 		e.positionFactor,
 		e.maxCalculationLevels,
 		e.allowedEmptyAMMLevels,
-		submit.SlippageTolerance,
-		submit.MinimumPriceChangeTrigger,
 	)
 	if err != nil {
 		return nil, err
@@ -874,6 +872,7 @@ func (e *Engine) sendUpdate(ctx context.Context, pool *Pool) {
 				TheoreticalPosition: pool.upper.pv,
 			},
 			pool.MinimumPriceChangeTrigger,
+			pool.spread,
 		),
 	)
 }

diff --git a/core/execution/amm/engine_test.go b/core/execution/amm/engine_test.go
@@ -265,7 +265,7 @@ func testSubmitOrderAtBestPrice(t *testing.T) {
 	ensurePosition(t, tst.pos, 0, num.NewUint(0))
 	orders := tst.engine.SubmitOrder(agg, num.NewUint(2000), num.NewUint(2001))
 	require.Len(t, orders, 1)
-	assert.Equal(t, "2000", orders[0].Price.String())
+	assert.Equal(t, "2001", orders[0].Price.String())
 	assert.Equal(t, 11927, int(orders[0].Size))
 
 	bb, _, ba, _ := tst.engine.BestPricesAndVolumes()
@@ -360,7 +360,7 @@ func testSubmitOrderProRata(t *testing.T) {
 	orders := tst.engine.SubmitOrder(agg, num.NewUint(2010), num.NewUint(2020))
 	require.Len(t, orders, 3)
 	for _, o := range orders {
-		assert.Equal(t, "2000", o.Price.String())
+		assert.Equal(t, "2001", o.Price.String())
 		assert.Equal(t, uint64(222), o.Size)
 	}
 }
@@ -402,9 +402,9 @@ func testSubmitOrderAcrossAMMBoundary(t *testing.T) {
 	require.Len(t, orders, 6)
 
 	// first round, three orders moving all pool's to the upper boundary of the shortest
-	assert.Equal(t, "2049", orders[0].Price.String())
-	assert.Equal(t, "2049", orders[1].Price.String())
-	assert.Equal(t, "2049", orders[2].Price.String())
+	assert.Equal(t, "2048", orders[0].Price.String())
+	assert.Equal(t, "2048", orders[1].Price.String())
+	assert.Equal(t, "2048", orders[2].Price.String())
 
 	// second round, 2 orders moving all pool's to the upper boundary of the second shortest
 	assert.Equal(t, "2124", orders[3].Price.String())
@@ -452,9 +452,9 @@ func testSubmitOrderAcrossAMMBoundarySell(t *testing.T) {
 	require.Len(t, orders, 6)
 
 	// first round, three orders moving all pool's to the upper boundary of the shortest
-	assert.Equal(t, "1949", orders[0].Price.String())
-	assert.Equal(t, "1949", orders[1].Price.String())
-	assert.Equal(t, "1949", orders[2].Price.String())
+	assert.Equal(t, "1948", orders[0].Price.String())
+	assert.Equal(t, "1948", orders[1].Price.String())
+	assert.Equal(t, "1948", orders[2].Price.String())
 
 	// second round, 2 orders moving all pool's to the upper boundary of the second shortest
 	assert.Equal(t, "1874", orders[3].Price.String())
@@ -503,7 +503,7 @@ func TestBestPricesAndVolumeNearBound(t *testing.T) {
 	expectSubaccountCreation(t, tst, party, subAccount)
 	whenAMMIsSubmitted(t, tst, submit)
 
-	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).Times(10).Return(
+	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).Times(8).Return(
 		[]events.MarketPosition{&marketPosition{size: 0, averageEntry: num.NewUint(0)}},
 	)
 
@@ -514,7 +514,7 @@ func TestBestPricesAndVolumeNearBound(t *testing.T) {
 	assert.Equal(t, 1192, int(avolume))
 
 	// lets move its position so that the fair price is within one tick of the AMMs upper boundary
-	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).Times(10).Return(
+	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).Times(8).Return(
 		[]events.MarketPosition{&marketPosition{size: -222000, averageEntry: num.NewUint(0)}},
 	)
 
@@ -525,7 +525,7 @@ func TestBestPricesAndVolumeNearBound(t *testing.T) {
 	assert.Equal(t, 104, int(avolume))
 
 	// lets move its position so that the fair price is within one tick of the AMMs upper boundary
-	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).Times(10).Return(
+	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).Times(8).Return(
 		[]events.MarketPosition{&marketPosition{size: 270400, averageEntry: num.NewUint(0)}},
 	)
 
@@ -746,7 +746,7 @@ func testAMMSnapshot(t *testing.T) {
 	orders := tst.engine.SubmitOrder(agg, num.NewUint(2010), num.NewUint(2020))
 	require.Len(t, orders, 3)
 	for _, o := range orders {
-		assert.Equal(t, "2000", o.Price.String())
+		assert.Equal(t, "2001", o.Price.String())
 		assert.Equal(t, uint64(222), o.Size)
 	}