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Clean up bonding_curve
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@allt0ld
allt0ld committed Oct 19, 2023
1 parent 433e0e4 commit 3e8ddfd
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Showing 2 changed files with 83 additions and 65 deletions.
130 changes: 74 additions & 56 deletions curvesim/tools/bonding_curve.py
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Original file line number Diff line number Diff line change
Expand Up @@ -12,14 +12,19 @@
from curvesim.pool import CurveCryptoPool, CurveMetaPool, CurvePool, CurveRaiPool

D_UNIT = 10**18
STABLESWAP = Union[CurvePool, CurveMetaPool, CurveRaiPool]
CRYPTOSWAP = Union[CurveCryptoPool]

Stableswap = Union[CurvePool, CurveMetaPool, CurveRaiPool]
Cryptoswap = Union[CurveCryptoPool]

# pylint: disable-next=too-many-locals, too-many-branches
IndexPair = Tuple[int, int]
NormalizedPoint = Tuple[int, int]
Point = Tuple[float, float]


# pylint: disable-next=too-many-locals
def bonding_curve( # noqa: C901
pool: Union[STABLESWAP, CRYPTOSWAP], *, truncate=None, resolution=1000, plot=False
) -> Dict[Tuple[int, int], List[Tuple[float, float]]]:
pool: Union[Stableswap, Cryptoswap], *, truncate=None, resolution=1000, plot=False
) -> Dict[IndexPair, List[Point]]:
"""
Computes and optionally plots a pool's bonding curve and current reserves.
Expand All @@ -28,10 +33,10 @@ def bonding_curve( # noqa: C901
pool : CurvePool, CurveMetaPool, CurveRaiPool, or CurveCryptoPool
The pool object for which the bonding curve is computed.
truncate : Optional[float], optional (default=None)
truncate : float, int, or None, optional (default=None)
Determines where to truncate the bonding curve. The truncation point is given
by D*truncate, where D is the total supply of tokens in the pool. Stableswap
pools apply 0.0005 by default, and Cryptoswap pools apply 1.0 by default.
pools apply 0.0005 by default, and Cryptoswap pools apply 1 by default.
resolution : int, optional (default=1000)
The number of points to compute along the bonding curve.
Expand All @@ -53,77 +58,62 @@ def bonding_curve( # noqa: C901
>>> pool = curvesim.pool.get(pool_address)
>>> pair_to_curve = curvesim.bonding_curve(pool, plot=True)
"""

if isinstance(pool, CurveMetaPool):
combos: List[Tuple[int, int]] = [(0, 1)]
combos: List[IndexPair] = [(0, 1)]
else:
combos = list(combinations(range(pool.n), 2))

xp: List[int] = pool._xp() # pylint: disable=protected-access

if isinstance(pool, STABLESWAP): # type: ignore[misc, arg-type]
D: int = pool.D() # type: ignore[assignment]
if isinstance(pool, (CurveMetaPool, CurvePool, CurveRaiPool)):
D: int = pool.D()
if truncate is None:
# pylint: disable=pointless-string-statement
"""
This default value works for Stableswap, but will break Cryptoswap.
At this value, the graph usually cuts off cleanly around the points where
the Stableswap pool would depeg, as one stablecoin balance has reached
almost 100% of pool assets.
"""
# This default value works for Stableswap, but will break Cryptoswap.
# At this value, the graph usually cuts off cleanly around the points where
# the Stableswap pool would depeg, as one stablecoin balance has reached
# almost 100% of pool assets.

truncate = 0.0005
elif isinstance(pool, CRYPTOSWAP): # type: ignore[misc, arg-type]
elif isinstance(pool, CurveCryptoPool):
D = pool.D # Don't recalcuate D - it will rebalance the bonding curve(s)
if truncate is None:
# pylint: disable=pointless-string-statement
"""
A 1.0 value for Cryptoswap extends the graph to a point at which the pool
would incur massive losses if it were to rebalance. The further away from
(1 / pool.n) truncate is, the more imbalanced the pool is at the end of the
graph before rebalancing, if profit is high enough to rebalance.
"""
truncate = 1.0
# A value of 1 "just works" for Cryptoswap. It extends the graph to the
# point at which one coin, when valued at the price scale around which
# liquidity is centered, is equal to 100% of deposits `D`; after starting
# at (1 / pool.n) from the most recent rebalance. That should cover a
# sufficient domain. The further away from (1 / pool.n) truncate is, the
# more imbalanced the pool is at the ends of the graph.

truncate = 1
else:
raise TypeError(f"Bonding curve calculation not supported for {type(pool)}")

pair_to_curve: Dict[Tuple[int, int], List[Tuple[float, float]]] = {}
current_points: Dict[Tuple[int, int], Tuple[float, float]] = {}
pair_to_curve: Dict[IndexPair, List[Point]] = {}
current_points: Dict[IndexPair, Point] = {}
for (i, j) in combos:
truncated_D: int = int(D * truncate)
x_limit: int = pool.get_y(j, i, truncated_D, xp)
xs: List[int] = list(linspace(truncated_D, x_limit, resolution).round())
xs: List[int] = list(
map(int, linspace(truncated_D, x_limit, resolution).round())
)

curve: List[Tuple[float, float]] = []
curve: List[Point] = []
for x in xs:
x_float: float = x / D_UNIT
y_float: float = pool.get_y(i, j, int(x), xp) / D_UNIT

if isinstance(pool, CRYPTOSWAP): # type: ignore[misc, arg-type]
if i > 0:
# type: ignore[union-attr]
x_float = x_float * D_UNIT / pool.price_scale[i - 1]

if j > 0:
# type: ignore[union-attr]
y_float = y_float * D_UNIT / pool.price_scale[j - 1]
y: int = pool.get_y(i, j, x, xp)
x_float, y_float = _denormalize((x, y), (i, j), pool)

curve.append((x_float, y_float))

pair_to_curve[(i, j)] = curve

current_x: float = xp[i] / D_UNIT
current_y: float = xp[j] / D_UNIT
current_x: int = xp[i]
current_y: int = xp[j]

if isinstance(pool, CRYPTOSWAP): # type: ignore[misc, arg-type]
if i > 0:
# type: ignore[union-attr]
current_x = current_x * D_UNIT / pool.price_scale[i - 1]
current_x_float, current_y_float = _denormalize(
(current_x, current_y), (i, j), pool
)

if j > 0:
# type: ignore[union-attr]
current_y = current_y * D_UNIT / pool.price_scale[j - 1]

current_points[(i, j)] = (current_x, current_y)
current_points[(i, j)] = (current_x_float, current_y_float)

if plot:
labels: List[str] = pool.coin_names
Expand All @@ -135,9 +125,37 @@ def bonding_curve( # noqa: C901
return pair_to_curve


def _denormalize(
normalized_point: NormalizedPoint,
index_pair: IndexPair,
pool: Union[Stableswap, Cryptoswap],
) -> Point:
"""
Converts a point made of integer balances (as if following EVM rules) to
human-readable float form.
"""
x, y = normalized_point
i, j = index_pair

assert i != j # dev: x and y axes must use coins of different indices

if isinstance(pool, (CurveMetaPool, CurvePool, CurveRaiPool)):
x_factor: int = D_UNIT
y_factor: int = D_UNIT
elif isinstance(pool, CurveCryptoPool):
x_factor = D_UNIT if i == 0 else pool.price_scale[i - 1]
y_factor = D_UNIT if j == 0 else pool.price_scale[j - 1]

x_float: float = x / x_factor
y_float: float = y / y_factor
point: Point = (x_float, y_float)

return point


def _plot_bonding_curve(
pair_to_curve: Dict[Tuple[int, int], List[Tuple[float, float]]],
current_points: Dict[Tuple[int, int], Tuple[float, float]],
pair_to_curve: Dict[IndexPair, List[Point]],
current_points: Dict[IndexPair, Point],
labels: List[str],
) -> None:
n: int = len(pair_to_curve)
Expand All @@ -146,7 +164,7 @@ def _plot_bonding_curve(
axs = [axs]

for pair, ax in zip(pair_to_curve, axs):
curve: List[Tuple[float, float]] = pair_to_curve[pair]
curve: List[Point] = pair_to_curve[pair]
xs, ys = zip(*curve)
ax.plot(xs, ys, color="black") # the entire bonding curve

Expand Down
18 changes: 9 additions & 9 deletions test/integration/test_bonding_curve.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -122,23 +122,23 @@ def test_bonding_curve_cryptoswap():
expected_result = {
(0, 1): [
(64214523.455757014, 257.0830793764587),
(49949133.541076906, 330.6293390019353),
(49949133.541076906, 330.62933900193525),
(35683743.626396805, 463.0556701281358),
(21418353.711716697, 772.4361029340507),
(21418353.711716697, 772.4361029340506),
(7152963.7970365975, 2307.919891547214),
],
(0, 2): [
(64214523.455757014, 4458.778590637991),
(49922293.25998866, 5737.424624762622),
(35630063.064220294, 8043.197113798094),
(64214523.455757014, 4458.778590637992),
(49922293.25998866, 5737.424624762623),
(35630063.064220294, 8043.1971137980945),
(21337832.868451938, 13447.046511020473),
(7045602.672683579, 40637.87807714901),
(7045602.672683579, 40637.87807714902),
],
(1, 2): [
(2307.9198915472143, 4531.460155851949),
(1795.277966845345, 5827.600890376515),
(1282.6360421434754, 8161.168801564149),
(769.9941174416057, 13611.63199329776),
(1795.2779668453447, 5827.600890376516),
(1282.6360421434752, 8161.168801564149),
(769.9941174416056, 13611.631993297762),
(257.3521927397361, 40637.87807714902),
],
}
Expand Down

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