@gearbox-protocol/sdk 17.12.0 → 17.12.1

package/dist/cjs/onchain/accounts/intents/utils/price-impact.js

@@ -1,10 +1,11 @@
 Object.defineProperty(exports, Symbol.toStringTag, { value: "Module" });
+const require_onchain_utils_bigint_math = require("../../../utils/bigint-math.js");
 const require_onchain_constants_math = require("../../../constants/math.js");
 //#region src/onchain/accounts/intents/utils/price-impact.ts
-/** `b1 = b0 / V0`: a dollar of the basket, the reference implementation's anchor. */
-const PROBE_UNIT_USD_WAD = require_onchain_constants_math.WAD;
+/** A $100 reference basket limits output-token quantisation in small quotes. */
+const PROBE_UNIT_USD_WAD = 100n * require_onchain_constants_math.WAD;
 /**
-* `V0 = Σ b0ᵢ·pᵢ`, then `b1 = b0 / V0`, proportions kept.
+* `V0 = Σ b0ᵢ·pᵢ`, then scale the basket to $100, proportions kept.
 *
 * Refuses only what the reference refuses — a basket worth nothing, or one that
 * rounds away entirely. Stricter guards here would report nothing where the old
@@ -73,6 +74,8 @@ async function collectPriceImpact(probes, ctx) {
 	const quotes = await Promise.all(probes.map((leg) => leg.probe));
 	let expectedUnd = 0n;
 	let lossUnd = 0n;
+	let lowerLossUnd = 0n;
+	let upperLossUnd = 0n;
 	for (const [index, leg] of probes.entries()) {
 		const unit = quotes[index];
 		if (unit === void 0 || unit <= 0n) return;
@@ -82,10 +85,17 @@ async function collectPriceImpact(probes, ctx) {
 		if (expectedInUnd <= 0n) return;
 		const loss = toUnderlyingSigned(ctx.toUnderlying, leg.tokenOut, expected - leg.realAmount);
 		if (loss === void 0) return;
+		const lower = expected - leg.realAmount - 1n;
+		const upper = require_onchain_utils_bigint_math.BigIntMath.ceilDiv((unit + 1n) * leg.basketWad, leg.probeWad) - leg.realAmount;
+		const lowerInUnd = toUnderlyingSigned(ctx.toUnderlying, leg.tokenOut, lower);
+		const upperInUnd = toUnderlyingSigned(ctx.toUnderlying, leg.tokenOut, upper);
+		if (lowerInUnd === void 0 || upperInUnd === void 0) return;
+		lowerLossUnd += lowerInUnd - (lower > 0n ? 1n : 0n);
+		upperLossUnd += upperInUnd + (upper < 0n ? 1n : 0n);
 		expectedUnd += expectedInUnd;
 		lossUnd += loss;
 	}
-	if (expectedUnd <= 0n) return;
+	if (lowerLossUnd <= 0n && upperLossUnd >= 0n) lossUnd = 0n;
 	return {
 		...lossRate({
 			lossUnd,

package/dist/esm/onchain/accounts/intents/utils/price-impact.js

@@ -1,9 +1,10 @@
+import { BigIntMath } from "../../../utils/bigint-math.js";
 import { PERCENTAGE_FACTOR_1KK, PRICE_DECIMALS, WAD } from "../../../constants/math.js";
 //#region src/onchain/accounts/intents/utils/price-impact.ts
-/** `b1 = b0 / V0`: a dollar of the basket, the reference implementation's anchor. */
-const PROBE_UNIT_USD_WAD = WAD;
+/** A $100 reference basket limits output-token quantisation in small quotes. */
+const PROBE_UNIT_USD_WAD = 100n * WAD;
 /**
-* `V0 = Σ b0ᵢ·pᵢ`, then `b1 = b0 / V0`, proportions kept.
+* `V0 = Σ b0ᵢ·pᵢ`, then scale the basket to $100, proportions kept.
 *
 * Refuses only what the reference refuses — a basket worth nothing, or one that
 * rounds away entirely. Stricter guards here would report nothing where the old
@@ -72,6 +73,8 @@ async function collectPriceImpact(probes, ctx) {
 	const quotes = await Promise.all(probes.map((leg) => leg.probe));
 	let expectedUnd = 0n;
 	let lossUnd = 0n;
+	let lowerLossUnd = 0n;
+	let upperLossUnd = 0n;
 	for (const [index, leg] of probes.entries()) {
 		const unit = quotes[index];
 		if (unit === void 0 || unit <= 0n) return;
@@ -81,10 +84,17 @@ async function collectPriceImpact(probes, ctx) {
 		if (expectedInUnd <= 0n) return;
 		const loss = toUnderlyingSigned(ctx.toUnderlying, leg.tokenOut, expected - leg.realAmount);
 		if (loss === void 0) return;
+		const lower = expected - leg.realAmount - 1n;
+		const upper = BigIntMath.ceilDiv((unit + 1n) * leg.basketWad, leg.probeWad) - leg.realAmount;
+		const lowerInUnd = toUnderlyingSigned(ctx.toUnderlying, leg.tokenOut, lower);
+		const upperInUnd = toUnderlyingSigned(ctx.toUnderlying, leg.tokenOut, upper);
+		if (lowerInUnd === void 0 || upperInUnd === void 0) return;
+		lowerLossUnd += lowerInUnd - (lower > 0n ? 1n : 0n);
+		upperLossUnd += upperInUnd + (upper < 0n ? 1n : 0n);
 		expectedUnd += expectedInUnd;
 		lossUnd += loss;
 	}
-	if (expectedUnd <= 0n) return;
+	if (lowerLossUnd <= 0n && upperLossUnd >= 0n) lossUnd = 0n;
 	return {
 		...lossRate({
 			lossUnd,

package/dist/types/onchain/accounts/intents/types.d.ts

@@ -55,7 +55,8 @@ interface ExecutionCost {
 interface SimulationPrices {
   /**
    * What the routed legs lost to market depth. `undefined` where nothing was
-   * routed or nothing could be measured — never a manufactured zero.
+   * routed or nothing could be measured. Zero also represents a sign that
+   * cannot be distinguished within the routed outputs' rounding precision.
    */
   priceImpact: PathLossRate | undefined;
   /**

package/dist/types/onchain/accounts/intents/utils/price-impact.d.ts

@@ -45,6 +45,7 @@ declare function lossRate(args: {
 declare function collectPriceImpact(probes: LegProbe[], ctx: {
   totalValue: bigint;
   netValue: bigint;
+  /** Oracle conversion rounded up, as in safeConvert. */
   toUnderlying: (from: Address, amount: bigint) => bigint;
   toUnderlyingAmount: (value: bigint) => TokenAmount;
 }): Promise<PathLossRate | undefined>;

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@gearbox-protocol/sdk",
-  "version": "17.12.0",
+  "version": "17.12.1",
   "description": "Gearbox SDK",
   "license": "MIT",
   "repository": {