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feat: support bidirectional fee [MIN-513] #32

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Feb 7, 2024
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feat: support bidirectional fee [MIN-513] #32

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140 changes: 44 additions & 96 deletions lib/amm_dex_v2/math.ak
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Original file line number Diff line number Diff line change
Expand Up @@ -207,8 +207,10 @@ pub fn calculate_deposit_amount(
reserve_a: Int,
reserve_b: Int,
total_liquidity: Int,
trading_fee_numerator: Int,
trading_fee_denominator: Int,
trading_fee_a_numerator: Int,
trading_fee_a_denominator: Int,
trading_fee_b_numerator: Int,
trading_fee_b_denominator: Int,
profit_sharing_opt: Option<(Int, Int)>,
) -> (Int, Int, Int) {
let ratio_a = amount_a * total_liquidity / reserve_a
Expand All @@ -221,24 +223,24 @@ pub fn calculate_deposit_amount(
amount_out: amount_b,
reserve_in: reserve_a,
reserve_out: reserve_b,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_a_numerator,
trading_fee_denominator: trading_fee_a_denominator,
)
let (receive_amount_b_numerator, receive_amount_b_denominator) =
calculate_amount_out_fraction(
reserve_in: reserve_a,
reserve_out: reserve_b,
amount_in_numerator: swap_amount_a_numerator,
amount_in_denominator: swap_amount_a_denominator,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_a_numerator,
trading_fee_denominator: trading_fee_a_denominator,
)
let earned_fee_a =
calculate_earned_fee_in_fraction(
amount_in_numerator: swap_amount_a_numerator,
amount_in_denominator: swap_amount_a_denominator,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_a_numerator,
trading_fee_denominator: trading_fee_a_denominator,
fee_sharing_opt: profit_sharing_opt,
)
let lp_amount =
Expand All @@ -254,24 +256,24 @@ pub fn calculate_deposit_amount(
amount_out: amount_a,
reserve_in: reserve_b,
reserve_out: reserve_a,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_b_numerator,
trading_fee_denominator: trading_fee_b_denominator,
)
let (receive_amount_a_numerator, receive_amount_a_denominator) =
calculate_amount_out_fraction(
reserve_in: reserve_b,
reserve_out: reserve_a,
amount_in_numerator: swap_amount_b_numerator,
amount_in_denominator: swap_amount_b_denominator,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_b_numerator,
trading_fee_denominator: trading_fee_b_denominator,
)
let earned_fee_b =
calculate_earned_fee_in_fraction(
amount_in_numerator: swap_amount_b_numerator,
amount_in_denominator: swap_amount_b_denominator,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_b_numerator,
trading_fee_denominator: trading_fee_b_denominator,
fee_sharing_opt: profit_sharing_opt,
)
let lp_amount =
Expand Down Expand Up @@ -301,8 +303,10 @@ pub fn calculate_zap_out(
reserve_b: Int,
total_liquidity: Int,
a_to_b_direction: Bool,
trading_fee_numerator: Int,
trading_fee_denominator: Int,
trading_fee_a_numerator: Int,
trading_fee_a_denominator: Int,
trading_fee_b_numerator: Int,
trading_fee_b_denominator: Int,
profit_sharing_opt: Option<(Int, Int)>,
) -> (Int, Int, Int) {
let (withdrawal_asset_a_amount, withdrawal_asset_b_amount) =
Expand All @@ -320,14 +324,14 @@ pub fn calculate_zap_out(
reserve_in: reserve_a_after_withdraw,
reserve_out: reserve_b_after_withdraw,
amount_in: withdrawal_asset_a_amount,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_a_numerator,
trading_fee_denominator: trading_fee_a_denominator,
)
let earned_fee_a =
calculate_earned_fee_in(
amount_in: withdrawal_asset_a_amount,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_a_numerator,
trading_fee_denominator: trading_fee_a_denominator,
fee_sharing_opt: profit_sharing_opt,
)
(earned_fee_a, 0, withdrawal_asset_b_amount + extra_amount_out)
Expand All @@ -337,14 +341,14 @@ pub fn calculate_zap_out(
reserve_in: reserve_b_after_withdraw,
reserve_out: reserve_a_after_withdraw,
amount_in: withdrawal_asset_b_amount,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_b_numerator,
trading_fee_denominator: trading_fee_b_denominator,
)
let earned_fee_b =
calculate_earned_fee_in(
amount_in: withdrawal_asset_b_amount,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_b_numerator,
trading_fee_denominator: trading_fee_b_denominator,
fee_sharing_opt: profit_sharing_opt,
)
(0, earned_fee_b, withdrawal_asset_a_amount + extra_amount_out)
Expand Down Expand Up @@ -393,8 +397,10 @@ pub fn calculate_withdraw_imbalance(
expect_ab_ratio_denominator: Int,
reserve_a: Int,
reserve_b: Int,
trading_fee_numerator: Int,
trading_fee_denominator: Int,
trading_fee_a_numerator: Int,
trading_fee_a_denominator: Int,
trading_fee_b_numerator: Int,
trading_fee_b_denominator: Int,
withdrawal_lp_amount: Int,
total_liquidity: Int,
profit_sharing_opt: Option<(Int, Int)>,
Expand All @@ -420,23 +426,23 @@ pub fn calculate_withdraw_imbalance(
reserve_out: reserve_b_after_withdraw,
expect_io_ratio_numerator: expect_ab_ratio_numerator,
expect_io_ratio_denominator: expect_ab_ratio_denominator,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_a_numerator,
trading_fee_denominator: trading_fee_a_denominator,
)

let receive_amount_b =
calculate_amount_out(
reserve_in: reserve_a_after_withdraw,
reserve_out: reserve_b_after_withdraw,
amount_in: swap_amount_a,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_a_numerator,
trading_fee_denominator: trading_fee_a_denominator,
)
let earned_fee_a =
calculate_earned_fee_in(
amount_in: swap_amount_a,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_a_numerator,
trading_fee_denominator: trading_fee_a_denominator,
fee_sharing_opt: profit_sharing_opt,
)
(
Expand All @@ -455,23 +461,23 @@ pub fn calculate_withdraw_imbalance(
reserve_out: reserve_a_after_withdraw,
expect_io_ratio_numerator: expect_ab_ratio_denominator,
expect_io_ratio_denominator: expect_ab_ratio_numerator,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_b_numerator,
trading_fee_denominator: trading_fee_b_denominator,
)

let receive_amount_a =
calculate_amount_out(
reserve_in: reserve_b_after_withdraw,
reserve_out: reserve_a_after_withdraw,
amount_in: swap_amount_b,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_b_numerator,
trading_fee_denominator: trading_fee_b_denominator,
)
let earned_fee_b =
calculate_earned_fee_in(
amount_in: swap_amount_b,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
trading_fee_numerator: trading_fee_b_numerator,
trading_fee_denominator: trading_fee_b_denominator,
fee_sharing_opt: profit_sharing_opt,
)
(
Expand All @@ -484,61 +490,3 @@ pub fn calculate_withdraw_imbalance(
(0, 0, withdrawal_asset_a_amount, withdrawal_asset_b_amount)
}
}

test test_calculate_withdraw_swap_amount() {
let reserve_a = 1_000_000_000
let reserve_b = 1_000_000_000
let total_liquidity = 1_000_000_000
let trading_fee_numerator = 3
let trading_fee_denominator = 1000
let withdrawal_lp_amount = 1000
let asset_a_ratio = 3
let asset_b_ratio = 1

let (withdrawal_asset_a_amount, withdrawal_asset_b_amount) =
calculate_withdraw(
reserve_a: reserve_a,
reserve_b: reserve_b,
withdrawal_lp_amount: withdrawal_lp_amount,
total_liquidity: total_liquidity,
)
let reserve_a_after_withdraw = reserve_a - withdrawal_asset_a_amount
let reserve_b_after_withdraw = reserve_b - withdrawal_asset_b_amount
// b -> a
let swap_amount_b =
calculate_withdraw_swap_amount(
amount_in: withdrawal_asset_b_amount,
amount_out: withdrawal_asset_a_amount,
reserve_in: reserve_b_after_withdraw,
reserve_out: reserve_a_after_withdraw,
expect_io_ratio_numerator: asset_b_ratio,
expect_io_ratio_denominator: asset_a_ratio,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
)
swap_amount_b == 500 && withdrawal_asset_a_amount == 1000 && withdrawal_asset_a_amount == 1000
}

test test_calculate_withdraw_imbalance() {
let reserve_a = 1_000_000_000
let reserve_b = 1_000_000_000
let total_liquidity = 1_000_000_000
let trading_fee_numerator = 3
let trading_fee_denominator = 1000
let withdrawal_lp_amount = 1000
let asset_a_ratio = 3
let asset_b_ratio = 1
let profit_sharing_opt = None

calculate_withdraw_imbalance(
expect_ab_ratio_numerator: asset_a_ratio,
expect_ab_ratio_denominator: asset_b_ratio,
reserve_a: reserve_a,
reserve_b: reserve_b,
trading_fee_numerator: trading_fee_numerator,
trading_fee_denominator: trading_fee_denominator,
withdrawal_lp_amount: withdrawal_lp_amount,
total_liquidity: total_liquidity,
profit_sharing_opt: profit_sharing_opt,
) == (0, 0, 1498, 500)
}
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