price constraints working

This commit is contained in:
Tim Olson
2023-11-05 16:50:06 -04:00
parent b483974268
commit bec1b33d22
13 changed files with 195 additions and 67 deletions

View File

@@ -43,6 +43,10 @@ export const erc20Abi = [
'event Approval(address indexed,address indexed,uint256)',
]
export const mockErc20Abi = [...erc20Abi,
'function mint(address,uint256)',
]
const Route = '(uint8,uint24)'
const Constraint = '(uint8,bytes)'
const Tranche = `(uint64,${Constraint}[])`

View File

@@ -1,4 +1,3 @@
import {uint32max, uint64max} from "@/misc.js";
import {ethers} from "ethers";
@@ -49,18 +48,14 @@ export const Exchange = {
}
// enum ConstraintMode {
// Time, // 0
// Limit, // 1
// Trailing, // 2
// Barrier, // 3
// Line // 4
// Time, // 0
// Line, // 1
// Barrier // 2
// }
export const ConstraintMode = {
Time: 0,
Limit: 1,
Trailing: 2,
Barrier: 3,
Line: 4,
Line: 1,
Barrier: 2,
}
// struct Constraint {
@@ -98,12 +93,6 @@ export function newTimeConstraint(startMode, start, endMode, end) {
)
}
// struct PriceConstraint {
// bool isAbove;
// bool isRatio;
// uint160 valueSqrtX96;
// }
// struct LineConstraint {
// bool isAbove;
// bool isRatio;
@@ -112,3 +101,19 @@ export function newTimeConstraint(startMode, start, endMode, end) {
// int160 slopeSqrtX96; // price change per second
// }
export function newLimitConstraint( isAbove, isRatio, price ) {
return newLineConstraint(isAbove, isRatio, 0, price, 0)
}
export function newLineConstraint( isAbove, isRatio, time, price, slope ) {
return encodeConstraint(
ConstraintMode.Line,
['bool', 'bool', 'uint32', 'uint160', 'int160'],
[isAbove, isRatio, time, sqrtX96(price), sqrtX96(slope)]
)
}
export function sqrtX96(value) {
return BigInt(Math.round(Math.sqrt(value * 2 ** (96*2))))
}

View File

@@ -2,35 +2,40 @@ import {socket} from "@/socket.js";
import {useStore} from "@/store/store.js";
import {Exchange} from "@/blockchain/orderlib.js";
import {uniswapV3PoolAddress} from "@/blockchain/uniswap.js";
import {ethers, FixedNumber} from "ethers";
import {erc20Abi, uniswapV3PoolAbi} from "@/blockchain/abi.js";
import {ethers} from "ethers";
import {uniswapV3PoolAbi} from "@/blockchain/abi.js";
const subs = {} // key is route and value is a subscription counter
const subscriptionCounts = {} // key is route and value is a subscription counter
export function subPrices( routes ) {
if( !routes.length )
return
const subRoutes = []
let chainId = null
for( const route of routes ) {
if( !(route in subRoutes) || subRoutes[route] === 0 ) {
subRoutes[route] = 1
console.log('sub route', route, subscriptionCounts)
if( !(route in subscriptionCounts) || subscriptionCounts[route] === 0 ) {
subscriptionCounts[route] = 1
console.log('subscribing to pool', route.pool)
subRoutes.push(route)
}
else {
subRoutes[route]++
if( chainId !== null && route.chainId !== chainId )
throw Error('cannot mix chainIds in a subscription list')
chainId = route.chainId
subscriptionCounts[route]++
}
if( chainId !== null && route.chainId !== chainId )
throw Error('cannot mix chainIds in a subscription list')
chainId = route.chainId
}
if( subRoutes.length ) {
socket.emit('subPools', chainId, routes.map((r)=>r.address) )
socket.emit('subPools', chainId, routes.map((r)=>r.pool) )
// perform a local query if necessary
for( const route of subRoutes ) {
const s = useStore()
if( !(route.address in s.poolPrices) ) {
getPriceForRoute(route).then((price)=>s.poolPrices[route.address]=price)
console.log('route in prices?', route.pool in s.poolPrices, route.pool, s.poolPrices)
if( !(route.pool in s.poolPrices) ) {
console.log('querying initial route price', route.pool)
getPriceForRoute(route).then((price)=>s.poolPrices[route.pool]=price)
}
}
}
@@ -40,21 +45,22 @@ export function unsubPrices( routes ) {
let chainId = null
const unsubAddrs = []
for( const route of routes ) {
if( !(route in subs) ) {
console.log('unsub route', route, subscriptionCounts)
if( !(route in subscriptionCounts) ) {
console.error('unsubscribed to a nonexistent route', route)
}
else {
subs[route]--
if( subs[route] === 0 ) {
subscriptionCounts[route]--
if( subscriptionCounts[route] === 0 ) {
unsubAddrs.push(route.pool)
if( chainId !== null && route.chainId !== chainId )
throw Error('cannot mix chainIds in a subscription list')
console.log('unsubscribing from pool', route.pool)
chainId = route.chainId
}
else if( subs[route] < 0 ) {
else if( subscriptionCounts[route] < 0 ) {
console.error('unsubscribed to an already unsubbed route', route)
subs[route] = 0 // fix
subscriptionCounts[route] = 0 // fix
}
}
}
@@ -67,7 +73,8 @@ async function getPriceForRoute(route) {
console.log('route is',route)
if( route.exchange === Exchange.UniswapV3 ) {
const addr = uniswapV3PoolAddress(route.chainId, route.token0.address, route.token1.address, route.fee)
const provider = useStore().provider;
const store = useStore();
const provider = store.provider;
if( provider === null ) {
console.error('provider was null during getPriceForRoute')
return null
@@ -78,6 +85,8 @@ async function getPriceForRoute(route) {
const spn = Number(sqrtPrice)
const price = spn*spn/2**(96*2) * 10**(route.token0.decimals-route.token1.decimals)
console.log(`price for ${route.token0.symbol}/${route.token1.symbol}`,price)
store.poolPrices[addr] = price
return price
}
else
throw Error(`Unsupported exchange ${route.exchange}`)

View File

@@ -10,14 +10,15 @@ export async function findRoute(tokenA, tokenB) {
const chainId = useStore().chainId
const rawRoutes = await helper.getRoutes(tokenA.address, tokenB.address)
// todo expose all available pools
let result = {} // we actually only find a single pool for now
console.log('raw routes', rawRoutes)
let result = null // we actually only find a single pool for now
for (let [exchange, fee, pool] of rawRoutes) {
exchange = Number(exchange)
fee = Number(fee)
if (result.fee === undefined || result.fee > fee) {
if (!result || result.fee > fee) {
switch (exchange) {
case 0: // UniswapV2
break
throw Error('Uniswap V2 not yet supported')
case 1: // UniswapV3
const [token0, token1] = tokenA.address < tokenB.address ? [tokenA, tokenB] : [tokenB, tokenA]
result = {chainId, exchange: Exchange.UniswapV3, pool, fee, token0, token1}
@@ -25,5 +26,5 @@ export async function findRoute(tokenA, tokenB) {
}
}
}
return [result]
}
return result ? [result] : []
}