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price constraints working

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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
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3
index.html
View File

@@ -9,8 +9,7 @@
</head> </head>
<body> <body>
<div id="app" class="app"></div> <div id="app"></div>
<script src="/version.js"></script>
<script type="module" src="/src/main.js"></script> <script type="module" src="/src/main.js"></script>
</body> </body>

4
src/blockchain/abi.js
View File

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

37
src/blockchain/orderlib.js
View File

@@ -1,4 +1,3 @@
import {uint32max, uint64max} from "@/misc.js"; import {uint32max, uint64max} from "@/misc.js";
import {ethers} from "ethers"; import {ethers} from "ethers";
@@ -49,18 +48,14 @@ export const Exchange = {
} }
// enum ConstraintMode { // enum ConstraintMode {
// Time, // 0 // Time, // 0
// Limit, // 1 // Line, // 1
// Trailing, // 2 // Barrier // 2
// Barrier, // 3
// Line // 4
// } // }
export const ConstraintMode = { export const ConstraintMode = {
Time: 0, Time: 0,
Limit: 1, Line: 1,
Trailing: 2, Barrier: 2,
Barrier: 3,
Line: 4,
} }
// struct Constraint { // struct Constraint {
@@ -98,12 +93,6 @@ export function newTimeConstraint(startMode, start, endMode, end) {
) )
} }
// struct PriceConstraint {
// bool isAbove;
// bool isRatio;
// uint160 valueSqrtX96;
// }
// struct LineConstraint { // struct LineConstraint {
// bool isAbove; // bool isAbove;
// bool isRatio; // bool isRatio;
@@ -112,3 +101,19 @@ export function newTimeConstraint(startMode, start, endMode, end) {
// int160 slopeSqrtX96; // price change per second // 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))))
}

45
src/blockchain/prices.js
View File

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

11
src/blockchain/route.js
View File

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

45
src/components/Faucet.vue Normal file
View File

@@ -0,0 +1,45 @@
<template>
<phone-card v-if="s.mockenv">
<v-card-title><v-icon icon="mdi-faucet"/>&nbsp;Mock Coin Faucet</v-card-title>
<v-card-text>Mockchain provides infinite amounts of MOCK (Mockcoin) and USD (Universally Stable Denomination) for your vault. Click the button below to get a million of each: </v-card-text>
<v-card-item>
<v-table plain>
<tbody>
<tr v-for="token of tokens">
<td><v-btn prepend-icon='mdi-plus' :text="'Gib '+token.symbol" @click="gib(token)" class="my-3" variant="outlined"/></td>
<td>{{token.name}}</td>
</tr>
</tbody>
</v-table>
</v-card-item>
</phone-card>
</template>
<script setup>
import {useStore} from "@/store/store";
import PhoneCard from "@/components/PhoneCard.vue";
import {ethers} from "ethers";
import {computed, ref} from "vue";
import {pendTransaction} from "@/blockchain/wallet.js";
import {mockErc20Abi} from "@/blockchain/abi.js";
const s = useStore()
function gib(token) {
const tokenAddr = token.address
const vault = s.vault
const amount = 1_000_000n * 10n ** BigInt(token.decimals);
async function send(signer) {
return await new ethers.Contract(tokenAddr, mockErc20Abi, signer).mint(vault, amount);
}
pendTransaction(send)
}
const tokens = computed(()=>!s.mockCoins? [] : s.mockCoins.map((addr)=>s.tokens[addr]))
</script>
<style scoped lang="scss">
@use "src/styles/vars" as *;
</style>

19
src/components/PhoneCard.vue
View File

@@ -1,12 +1,15 @@
<template> <template>
<!-- tablets and desktops get a card outline --> <!-- todo use javascript media breakpoint instead of display classes so we dont double-render the slot -->
<v-card class="d-none d-sm-block phone-card" :elevation="4"> <div>
<slot/> <!-- tablets and desktops get a card outline -->
</v-card> <v-card class="d-none d-sm-block phone-card" :elevation="4">
<!-- phones use the entire screen --> <slot/>
<v-container class="d-sm-none"> </v-card>
<slot/> <!-- phones use the entire screen -->
</v-container> <v-container class="d-sm-none">
<slot/>
</v-container>
</div>
</template> </template>
<script setup> <script setup>

43
src/components/RoutePrice.vue Normal file
View File

@@ -0,0 +1,43 @@
<template>
<span v-if="route">{{price}}</span>
</template>
<script setup>
import {useStore} from "@/store/store";
import {subPrices, unsubPrices} from "@/blockchain/prices.js";
import {computed, onBeforeUnmount} from "vue";
const s = useStore()
const props = defineProps({
route: {type: Object, required:true},
inverted: {type: Boolean, required:true},
precision: {type: Number, default:5, required:false},
})
const price = computed(()=>{
const route = props.route;
if( !route || !(route.pool in s.poolPrices) )
return ''
let p = s.poolPrices[route.pool]
if( props.inverted )
p = 1/p
return p.toPrecision(props.precision)
})
if( props.route )
subPrices([props.route])
else
console.log('route is empty: no price')
onBeforeUnmount(() => {
if( props.route )
unsubPrices([props.route])
})
</script>
<style scoped lang="scss">
@use "src/styles/vars" as *;
</style>

42
src/components/TimedOrderEntry.vue
View File

@@ -21,16 +21,17 @@
{{ s.chain.name }} {{ s.chain.name }}
<v-img src="https://upload.wikimedia.org/wikipedia/commons/e/e7/Uniswap_Logo.svg" width="1.5em"/> <v-img src="https://upload.wikimedia.org/wikipedia/commons/e/e7/Uniswap_Logo.svg" width="1.5em"/>
<span class="uniswap-color ml-0 mr-1">v3</span> <span class="uniswap-color ml-0 mr-1">v3</span>
{{pairSymbol}} {{r.fee/10000}}% <span>{{pairSymbol}} {{r.fee/10000}}%</span>&nbsp;
<route-price :route="r" :inverted="routeInverted(r)" class="text-green clickable" @click="inverted=!inverted"/>
</v-chip> </v-chip>
<div v-if="routesPending"> <div v-if="routesPending">
<v-progress-circular indeterminate/> Searching for {{pairSymbol}} pools... <v-progress-circular indeterminate/> Searching for {{pairSymbol}} pools...
</div> </div>
<v-alert v-if="routes.length===0 && !routeFinder.pending()" text="No pool found!"/> <v-alert v-if="!route && !routesPending" text="No pool found!"/>
<div v-if="routes.length"> <div v-if="route && !routesPending">
<v-text-field label='Amount' type="number" step="1" variant="outlined" aria-valuemin="0" min="0" <v-text-field label='Amount' type="number" step="1" variant="outlined" aria-valuemin="0" min="0"
v-model="amount" :rules="[validateRequired,validateAmount]" v-auto-select> v-model="amount" :rules="[validateRequired,validateAmount]" v-auto-select>
<template v-slot:append-inner> <template v-slot:append-inner>
@@ -59,7 +60,6 @@
<v-btn variant="outlined" :text="timeUnits[timeUnitIndex]" @click="toggleTimeUnits" class="time-units"/> <v-btn variant="outlined" :text="timeUnits[timeUnitIndex]" @click="toggleTimeUnits" class="time-units"/>
</template> </template>
</v-text-field> </v-text-field>
<!--
<v-text-field v-model="limitPrice" :label="(limitIsMinimum?'Minimum':'Maximum')+' Price'" type="number" <v-text-field v-model="limitPrice" :label="(limitIsMinimum?'Minimum':'Maximum')+' Price'" type="number"
variant="outlined" aria-valuemin="0" min="0" variant="outlined" aria-valuemin="0" min="0"
clearable :rules="[validateAmount, validateMin]" v-auto-select> clearable :rules="[validateAmount, validateMin]" v-auto-select>
@@ -68,8 +68,12 @@
{{pairSymbol}} {{pairSymbol}}
</v-btn> </v-btn>
</template> </template>
<template #details style="flex-direction: column-reverse">
<div>
Current price&nbsp;<route-price :inverted="routeInverted(route)" :route="route" class="text-green"/>
</div>
</template>
</v-text-field> </v-text-field>
-->
</div> </div>
</v-card-text> </v-card-text>
@@ -89,12 +93,12 @@ import TokenChoice from "@/components/TokenChoice.vue"
import PhoneCard from "@/components/PhoneCard.vue"; import PhoneCard from "@/components/PhoneCard.vue";
// noinspection ES6UnusedImports // noinspection ES6UnusedImports
import {SingletonCoroutine, vAutoSelect} from "@/misc.js"; import {SingletonCoroutine, vAutoSelect} from "@/misc.js";
import {newOrder, newTimeConstraint, TimeMode} from "@/blockchain/orderlib.js"; import {newLimitConstraint, newOrder, newTimeConstraint, sqrtX96, TimeMode} from "@/blockchain/orderlib.js";
import {FixedNumber} from "ethers"; import {FixedNumber} from "ethers";
import {pendOrder} from "@/blockchain/wallet.js"; import {pendOrder} from "@/blockchain/wallet.js";
import NeedsProvider from "@/components/NeedsProvider.vue"; import NeedsProvider from "@/components/NeedsProvider.vue";
import {subPrices, unsubPrices} from "@/blockchain/prices.js";
import {findRoute} from "@/blockchain/route.js"; import {findRoute} from "@/blockchain/route.js";
import RoutePrice from "@/components/RoutePrice.vue";
const s = useStore() const s = useStore()
const buy = ref(false) const buy = ref(false)
@@ -138,18 +142,20 @@ const routes = computed({
return _routes.value return _routes.value
}, },
set(value) { set(value) {
console.log('setting new routes', value) console.log('setting new routes', _routes.value, value)
subPrices(value)
unsubPrices(_routes.value)
_routes.value = value _routes.value = value
} }
}) })
const route = computed(()=>_routes.value.length===0 ? null : _routes.value[0])
const routesPending = ref(false) const routesPending = ref(false)
const amount = ref(100) // todo 0 const amount = ref(100) // todo 0
const amountIsTokenA = ref(false) const amountIsTokenA = ref(false)
const amountIsTotal = ref(true) const amountIsTotal = ref(true)
const tranches = ref(3) const tranches = ref(3)
const inverted = ref(false) const inverted = ref(false)
function routeInverted(route) {
return route && (route.token0 === tokenA.value) === inverted.value
}
const minPrice = ref(null) const minPrice = ref(null)
const maxPrice = ref(null) const maxPrice = ref(null)
const limitPrice = ref(null) const limitPrice = ref(null)
@@ -161,11 +167,6 @@ const limitIsMinimum = computed(() => !(buy.value ^ inverted.value))
const validOrder = computed(()=>amount.value > 0 && routes.value.length > 0 ) const validOrder = computed(()=>amount.value > 0 && routes.value.length > 0 )
onBeforeUnmount(() => {
unsubPrices(_routes.value)
})
async function componentFindRoute() { async function componentFindRoute() {
console.log('finding route', _tokenA.value, _tokenB.value) console.log('finding route', _tokenA.value, _tokenB.value)
routes.value = [] routes.value = []
@@ -271,11 +272,22 @@ function placeOrder() {
const amtPerTranche = oneHundredPercent / BigInt(n) + ceil const amtPerTranche = oneHundredPercent / BigInt(n) + ceil
duration -= 15 // subtract 15 seconds so the last tranche completes before the deadline duration -= 15 // subtract 15 seconds so the last tranche completes before the deadline
console.log('duration', duration) console.log('duration', duration)
let priceConstraint = null
if( limitPrice.value ) {
const inverted = routeInverted(route)
const isAbove = limitIsMinimum.value ^ inverted
const isRatio = false // todo ratios
const decimals = 10 ** (tokenA.value.decimals - tokenB.value.decimals)
const limit = inverted ? decimals/limitPrice.value : limitPrice.value/decimals
priceConstraint = !limitPrice.value ? null : newLimitConstraint(isAbove, isRatio, limit)
}
for (let i = 0; i < n; i++) { for (let i = 0; i < n; i++) {
const start = Math.floor(i * (duration / (n-1))) const start = Math.floor(i * (duration / (n-1)))
const end = start + window const end = start + window
console.log('tranche window', start, end, (end-start)/60) console.log('tranche window', start, end, (end-start)/60)
const cs = [newTimeConstraint(TimeMode.SinceOrderStart, start, TimeMode.SinceOrderStart, end)] const cs = [newTimeConstraint(TimeMode.SinceOrderStart, start, TimeMode.SinceOrderStart, end)]
if( priceConstraint !== null )
cs.push(priceConstraint)
ts.push([amtPerTranche, cs]) ts.push([amtPerTranche, cs])
} }
const order = newOrder(tokenIn, tokenOut, route.exchange, route.fee, amt, amountIsInput, ts) const order = newOrder(tokenIn, tokenOut, route.exchange, route.fee, amt, amountIsInput, ts)

5
src/socket.js
View File

@@ -28,7 +28,10 @@ socket.on('p', async (pool, price) => {
const s = useStore() const s = useStore()
const prices = {} const prices = {}
prices[pool] = price prices[pool] = price
s.$patch({poolPrices: prices}) console.log('pool price', pool, price)
const poolPrices = s.poolPrices
poolPrices[pool] = price
s.poolPrices = poolPrices
}) })
socket.on('vb', async (vault, balances) => { socket.on('vb', async (vault, balances) => {

2
src/store/store.js
View File

@@ -44,6 +44,8 @@ export const useStore = defineStore('app', {
}, },
factory: (s)=>!s.chain?null:s.chain.factory, factory: (s)=>!s.chain?null:s.chain.factory,
helper: (s)=>!s.chain?null:s.chain.helper, helper: (s)=>!s.chain?null:s.chain.helper,
mockenv: (s)=>!s.chain?null:s.chain.mockenv,
mockCoins: (s)=>!s.chain?[]:!s.chain.mockCoins?[]:s.chain.mockCoins,
}, },
actions: { actions: {
removeTransactionSender(sender) { removeTransactionSender(sender) {

2
src/styles/style.scss
View File

@@ -1,6 +1,6 @@
@use "/src/styles/vars" as v; @use "/src/styles/vars" as v;
.app { #app {
.clickable { .clickable {
:hover { :hover {
cursor: pointer; cursor: pointer;

4
src/views/VaultView.vue
View File

@@ -1,7 +1,8 @@
<template> <template>
<!-- todo needs account --> <!-- todo needs account -->
<needs-signer> <needs-signer>
<Vault :owner="s.account" :num="0"/> <vault :owner="s.account" :num="0"/>
<faucet class="mt-3"/>
</needs-signer> </needs-signer>
</template> </template>
@@ -9,6 +10,7 @@
import {useStore} from "@/store/store"; import {useStore} from "@/store/store";
import Vault from "@/components/Vault.vue"; import Vault from "@/components/Vault.vue";
import NeedsSigner from "@/components/NeedsSigner.vue"; import NeedsSigner from "@/components/NeedsSigner.vue";
import Faucet from "@/components/Faucet.vue";
const s = useStore() const s = useStore()