@paraswap/dex-lib 2.16.1 → 2.16.2-balancer-v2-buy.2

package/src/dex/balancer-v2/pools/balancer-v2-pool.ts

@@ -0,0 +1,273 @@
+import { MathSol } from '../balancer-v2-math';
+import { WeightedPoolPairData } from './weighted/WeightedPool';
+import { StablePoolPairData } from './stable/StablePool';
+
+export class BasePool {
+  _subtractSwapFeeAmount(amount: bigint, _swapFeePercentage: bigint): bigint {
+    // This returns amount - fee amount, so we round up (favoring a higher fee amount).
+    const feeAmount = MathSol.mulUpFixed(amount, _swapFeePercentage);
+    return amount - feeAmount;
+  }
+
+  // These methods use fixed versions to match SC scaling
+  _upscaleArray(amounts: bigint[], scalingFactors: bigint[]): bigint[] {
+    return amounts.map((a, i) => MathSol.mulUpFixed(a, scalingFactors[i]));
+  }
+
+  _upscale(amount: bigint, scalingFactor: bigint): bigint {
+    return MathSol.mulUpFixed(amount, scalingFactor);
+  }
+
+  _downscaleDown(amount: bigint, scalingFactor: bigint): bigint {
+    return MathSol.divDownFixed(amount, scalingFactor);
+  }
+
+  _downscaleUp(amount: bigint, scalingFactor: bigint): bigint {
+    return MathSol.divUpFixed(amount, scalingFactor);
+  }
+
+  _nullifyIfMaxAmountExceeded(amountToTrade: bigint, swapMax: bigint): bigint {
+    return swapMax >= amountToTrade ? amountToTrade : 0n;
+  }
+}
+
+
+export abstract class BaseGeneralPool extends BasePool {
+
+  // Swap Hooks
+  onBuy(amounts: bigint[], poolPairData: StablePoolPairData): bigint[] {
+    return this._swapGivenOut(
+      amounts,
+      poolPairData.balances,
+      poolPairData.indexIn,
+      poolPairData.indexOut,
+      poolPairData.scalingFactors,
+      poolPairData.swapFee,
+      poolPairData.amp,
+    );
+  }
+
+  // Modification: this is inspired from the function onSwap which is in the original contract
+  onSell(amounts: bigint[], poolPairData: StablePoolPairData): bigint[] {
+    // _validateIndexes(indexIn, indexOut, _getTotalTokens());
+    // uint256[] memory scalingFactors = _scalingFactors();
+    return this._swapGivenIn(
+      amounts,
+      poolPairData.balances,
+      poolPairData.indexIn,
+      poolPairData.indexOut,
+      poolPairData.scalingFactors,
+      poolPairData.swapFee,
+      poolPairData.amp,
+    );
+  }
+
+  _swapGivenIn(
+    tokenAmountsIn: bigint[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    scalingFactors: bigint[],
+    _swapFeePercentage: bigint,
+    _amplificationParameter: bigint,
+  ): bigint[] {
+    // Fees are subtracted before scaling, to reduce the complexity of the rounding direction analysis.
+    const tokenAmountsInWithFee = tokenAmountsIn.map(a =>
+      this._subtractSwapFeeAmount(a, _swapFeePercentage),
+    );
+
+    const balancesUpscaled = this._upscaleArray(balances, scalingFactors);
+    const tokenAmountsInScaled = tokenAmountsInWithFee.map(a =>
+      this._upscale(a, scalingFactors[indexIn]),
+    );
+
+    const amountsOut = this._onSwapGivenIn(
+      tokenAmountsInScaled,
+      balancesUpscaled,
+      indexIn,
+      indexOut,
+      _amplificationParameter,
+    );
+
+    // amountOut tokens are exiting the Pool, so we round down.
+    return amountsOut.map(a =>
+      this._downscaleDown(a, scalingFactors[indexOut]),
+    );
+  }
+
+  _swapGivenOut(
+    tokenAmountsOut: bigint[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    scalingFactors: bigint[],
+    _swapFeePercentage: bigint,
+    _amplificationParameter: bigint,
+  ): bigint[] {
+
+    const balancesUpscaled = this._upscaleArray(balances, scalingFactors);
+    const tokenAmountsOutScaled = tokenAmountsOut.map(a =>
+      this._upscale(a, scalingFactors[indexOut]),
+    );
+
+    let amountsIn: bigint[];
+    try {
+      amountsIn = this._onSwapGivenOut(
+        tokenAmountsOutScaled,
+        balancesUpscaled,
+        indexIn,
+        indexOut,
+        _amplificationParameter,
+      );
+    } catch (e) {
+      amountsIn = new Array(tokenAmountsOut.length).fill(
+        0n,
+      );
+    }
+
+    // amountIn tokens are entering the Pool, so we round up.
+    const amountsInDownscaled = amountsIn.map(a =>
+      this._downscaleUp(a, scalingFactors[indexIn]),
+    );
+
+    // Fees are added after scaling happens, to reduce the complexity of the rounding direction analysis.
+    return amountsInDownscaled.map(a =>
+      this._subtractSwapFeeAmount(a, _swapFeePercentage),
+    );
+  }
+
+  /*
+   * @dev Called when a swap with the Pool occurs, where the amount of tokens entering the Pool is known.
+   *
+   * Returns the amount of tokens that will be taken from the Pool in return.
+   *
+   * All amounts inside `swapRequest` and `balances` are upscaled. The swap fee has already been deducted from
+   * `swapRequest.amount`.
+   *
+   * The return value is also considered upscaled, and will be downscaled (rounding down) before returning it to the
+   * Vault.
+   */
+  abstract _onSwapGivenIn(
+    tokenAmountsIn: bigint[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    _amplificationParameter: bigint,
+  ): bigint[];
+
+  abstract _onSwapGivenOut(
+    tokenAmountsOut: bigint[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    _amplificationParameter: bigint,
+  ): bigint[];
+}
+
+export abstract class BaseMinimalSwapInfoPool extends BasePool {
+  // Swap Hooks
+
+  // This is inspired from the function onSwap which is in the original contract
+  onBuy(
+    tokenAmountsOut: bigint[],
+    poolPairData: WeightedPoolPairData,
+  ): bigint[] {
+    // uint256 scalingFactorTokenIn = _scalingFactor(request.tokenIn);
+    // uint256 scalingFactorTokenOut = _scalingFactor(request.tokenOut);
+
+    // All token amounts are upscaled.
+    const balanceTokenIn = this._upscale(
+      poolPairData.tokenInBalance,
+      poolPairData.tokenInScalingFactor,
+    );
+
+    const balanceTokenOut = this._upscale(
+      poolPairData.tokenOutBalance,
+      poolPairData.tokenOutScalingFactor,
+    );
+
+    const tokenAmountsOutScaled = tokenAmountsOut.map(a =>
+      this._upscale(a, poolPairData.tokenOutScalingFactor),
+    );
+
+    let amountsIn: bigint[];
+    try {
+      amountsIn = this._onSwapGivenOut(
+        tokenAmountsOutScaled,
+        balanceTokenIn,
+        balanceTokenOut,
+        poolPairData.tokenInWeight,
+        poolPairData.tokenOutWeight,
+      );
+    } catch (e) {
+      amountsIn = new Array(tokenAmountsOut.length).fill(
+        0n,
+      );
+    }
+
+    const amountsInDownscaled = amountsIn.map(a =>
+      this._downscaleUp(a, poolPairData.tokenInScalingFactor),
+    );
+
+    return amountsInDownscaled.map(a =>
+      this._subtractSwapFeeAmount(a, poolPairData.swapFee),
+    );
+  }
+
+  // Modification: this is inspired from the function onSwap which is in the original contract
+  onSell(
+    tokenAmountsIn: bigint[],
+    poolPairData: WeightedPoolPairData,
+  ): bigint[] {
+    // uint256 _scalingFactorTokenIn = _scalingFactor(request.tokenIn);
+    // uint256 _scalingFactorTokenOut = _scalingFactor(request.tokenOut);
+
+    // Fees are subtracted before scaling, to reduce the complexity of the rounding direction analysis.
+    const tokenAmountsInWithFee = tokenAmountsIn.map(a =>
+      this._subtractSwapFeeAmount(a, poolPairData.swapFee),
+    );
+
+    // All token amounts are upscaled.
+    const balanceTokenIn = this._upscale(
+      poolPairData.tokenInBalance,
+      poolPairData.tokenInScalingFactor,
+    );
+    const balanceTokenOut = this._upscale(
+      poolPairData.tokenOutBalance,
+      poolPairData.tokenOutScalingFactor,
+    );
+    const tokenAmountsInScaled = tokenAmountsInWithFee.map(a =>
+      this._upscale(a, poolPairData.tokenInScalingFactor),
+    );
+
+    const amountsOut = this._onSwapGivenIn(
+      tokenAmountsInScaled,
+      balanceTokenIn,
+      balanceTokenOut,
+      poolPairData.tokenInWeight,
+      poolPairData.tokenOutWeight,
+    );
+
+    // amountOut tokens are exiting the Pool, so we round down.
+    return amountsOut.map(a =>
+      this._downscaleDown(a, poolPairData.tokenOutScalingFactor),
+    );
+  }
+
+  abstract _onSwapGivenIn(
+    tokenAmountsIn: bigint[],
+    currentBalanceTokenIn: bigint,
+    currentBalanceTokenOut: bigint,
+    _weightIn: bigint,
+    _weightOut: bigint,
+  ): bigint[];
+
+  abstract _onSwapGivenOut(
+    tokenAmountsOut: bigint[],
+    currentBalanceTokenIn: bigint,
+    currentBalanceTokenOut: bigint,
+    _weightIn: bigint,
+    _weightOut: bigint,
+  ): bigint[];
+}
+

package/src/dex/balancer-v2/{LinearMath.ts → pools/linear/LinearMath.ts}

@@ -1,4 +1,4 @@
-import { MathSol } from './balancer-v2-math';
+import { MathSol } from '../../balancer-v2-math';
 
 /*
 Note when comparing vs smart contract:

package/src/dex/balancer-v2/{LinearPool.ts → pools/linear/LinearPool.ts}

@@ -1,11 +1,11 @@
 import { Interface } from '@ethersproject/abi';
 import { BigNumber } from '@ethersproject/bignumber';
-import { isSameAddress, decodeThrowError } from './utils';
+import { isSameAddress, decodeThrowError } from '../../utils';
 import * as LinearMath from './LinearMath';
-import { BasePool } from './balancer-v2-pool';
-import { callData, SubgraphPoolBase, PoolState, TokenState } from './types';
-import LinearPoolABI from '../../abi/balancer-v2/linearPoolAbi.json';
-import { SwapSide } from '../../constants';
+import { BasePool } from '../balancer-v2-pool';
+import { callData, SubgraphPoolBase, PoolState, TokenState } from '../../types';
+import LinearPoolABI from '../../../../abi/balancer-v2/linearPoolAbi.json';
+import { SwapSide } from '../../../../constants';
 import { keyBy } from 'lodash';
 
 export enum PairTypes {
@@ -82,6 +82,211 @@ export class LinearPool extends BasePool {
     );
   }
 
+  onBuy(amounts: bigint[], poolPairData: LinearPoolPairData): bigint[] {
+    return this._swapGivenOut(
+      amounts,
+      poolPairData.tokens,
+      poolPairData.balances,
+      poolPairData.indexIn,
+      poolPairData.indexOut,
+      poolPairData.bptIndex,
+      poolPairData.wrappedIndex,
+      poolPairData.mainIndex,
+      poolPairData.scalingFactors,
+      poolPairData.swapFee,
+      poolPairData.lowerTarget,
+      poolPairData.upperTarget,
+    );
+  }
+
+  _swapGivenOut(
+    tokenAmountsOut: bigint[],
+    tokens: string[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    bptIndex: number,
+    wrappedIndex: number,
+    mainIndex: number,
+    scalingFactors: bigint[],
+    swapFeePercentage: bigint,
+    lowerTarget: bigint,
+    upperTarget: bigint,
+  ): bigint[] {
+    let pairType: PairTypes;
+    if (isSameAddress(tokens[indexIn], tokens[bptIndex])) {
+      if (isSameAddress(tokens[indexOut], tokens[wrappedIndex]))
+        pairType = PairTypes.BptToWrappedToken;
+      else pairType = PairTypes.BptToMainToken;
+    } else if (isSameAddress(tokens[indexOut], tokens[bptIndex])) {
+      if (isSameAddress(tokens[indexIn], tokens[wrappedIndex]))
+        pairType = PairTypes.WrappedTokenToBpt;
+      else pairType = PairTypes.MainTokenToBpt;
+    } else {
+      if (isSameAddress(tokens[indexIn], tokens[wrappedIndex]))
+        pairType = PairTypes.WrappedTokenToMainToken;
+      else pairType = PairTypes.MainTokenToWrappedToken;
+    }
+
+    const balancesUpscaled = this._upscaleArray(balances, scalingFactors);
+    const tokenAmountsOutScaled = tokenAmountsOut.map(a =>
+      this._upscale(a, scalingFactors[indexOut]),
+    );
+
+    // VirtualBPTSupply must be used for the maths
+    const virtualBptSupply = this.MAX_TOKEN_BALANCE.sub(
+      balances[bptIndex],
+    ).toBigInt();
+
+    const amountsIn = this._onSwapGivenOut(
+      tokenAmountsOutScaled,
+      balancesUpscaled[mainIndex],
+      balancesUpscaled[wrappedIndex],
+      swapFeePercentage,
+      lowerTarget,
+      upperTarget,
+      virtualBptSupply,
+      pairType,
+    );
+
+    return amountsIn.map(a =>
+      this._downscaleDown(a, scalingFactors[indexIn]),
+    );
+  }
+
+  _onSwapGivenOut(
+    tokenAmountsIn: bigint[],
+    mainBalance: bigint,
+    wrappedBalance: bigint,
+    fee: bigint,
+    lowerTarget: bigint,
+    upperTarget: bigint,
+    virtualBptSupply: bigint,
+    pairType: PairTypes,
+  ): bigint[] {
+    const amountsIn: bigint[] = [];
+
+    switch (pairType) {
+      case PairTypes.BptToMainToken:
+        tokenAmountsIn.forEach(amountIn => {
+          let amt: bigint;
+          try {
+            amt = LinearMath._calcMainOutPerBptIn(
+              amountIn,
+              mainBalance,
+              wrappedBalance,
+              virtualBptSupply,
+              {
+                fee: fee,
+                lowerTarget: lowerTarget,
+                upperTarget: upperTarget,
+              },
+            );
+          } catch (err) {
+            amt = 0n;
+          }
+          amountsIn.push(amt);
+        });
+        break;
+      case PairTypes.MainTokenToBpt:
+        tokenAmountsIn.forEach(amountIn => {
+          let amt: bigint;
+          try {
+            amt = LinearMath._calcBptOutPerMainIn(
+              amountIn,
+              mainBalance,
+              wrappedBalance,
+              virtualBptSupply,
+              {
+                fee: fee,
+                lowerTarget: lowerTarget,
+                upperTarget: upperTarget,
+              },
+            );
+          } catch (err) {
+            amt = 0n;
+          }
+          amountsIn.push(amt);
+        });
+        break;
+      case PairTypes.MainTokenToWrappedToken:
+        tokenAmountsIn.forEach(amountIn => {
+          let amt: bigint;
+          try {
+            amt = LinearMath._calcWrappedInPerMainOut(amountIn, mainBalance, {
+              fee: fee,
+              lowerTarget: lowerTarget,
+              upperTarget: upperTarget,
+            });
+          } catch (err) {
+            amt = 0n;
+          }
+          amountsIn.push(amt);
+        });
+        break;
+      case PairTypes.WrappedTokenToMainToken:
+        tokenAmountsIn.forEach(amountIn => {
+          let amt: bigint;
+          try {
+            amt = LinearMath._calcMainInPerWrappedOut(amountIn, mainBalance, {
+              fee: fee,
+              lowerTarget: lowerTarget,
+              upperTarget: upperTarget,
+            });
+          } catch (err) {
+            amt = 0n;
+          }
+          amountsIn.push(amt);
+        });
+        break;
+      case PairTypes.BptToWrappedToken:
+        tokenAmountsIn.forEach(amountIn => {
+          let amt: bigint;
+          try {
+            amt = LinearMath._calcWrappedInPerBptOut(
+              amountIn,
+              mainBalance,
+              wrappedBalance,
+              virtualBptSupply,
+              {
+                fee: fee,
+                lowerTarget: lowerTarget,
+                upperTarget: upperTarget,
+              },
+            );
+          } catch (err) {
+            amt = 0n;
+          }
+          amountsIn.push(amt);
+        });
+        break;
+      case PairTypes.WrappedTokenToBpt:
+        tokenAmountsIn.forEach(amountIn => {
+          let amt: bigint;
+          try {
+            amt = LinearMath._calcBptInPerWrappedOut(
+              amountIn,
+              mainBalance,
+              wrappedBalance,
+              virtualBptSupply,
+              {
+                fee: fee,
+                lowerTarget: lowerTarget,
+                upperTarget: upperTarget,
+              },
+            );
+          } catch (err) {
+            amt = 0n;
+          }
+          amountsIn.push(amt);
+        });
+        break;
+      default:
+        amountsIn.push(0n);
+    }
+    return amountsIn;
+  }
+
   _swapGivenIn(
     tokenAmountsIn: bigint[],
     tokens: string[],

package/src/dex/balancer-v2/{StableMath.ts → pools/phantom-stable/PhantomStableMath.ts}

@@ -1,5 +1,5 @@
-import { BI_POWS } from '../../bigint-constants';
-import { MathSol } from './balancer-v2-math';
+import { BI_POWS } from '../../../../bigint-constants';
+import { MathSol } from '../../balancer-v2-math';
 
 const AMP_PRECISION = BI_POWS[3];
 
@@ -9,15 +9,15 @@ export function _calculateInvariant(
   roundUp: boolean,
 ): bigint {
   /**********************************************************************************************
-      // invariant                                                                                 //
-      // D = invariant                                                  D^(n+1)                    //
-      // A = amplification coefficient      A  n^n S + D = A D n^n + -----------                   //
-      // S = sum of balances                                             n^n P                     //
-      // P = product of balances                                                                   //
-      // n = number of tokens                                                                      //
-      *********x************************************************************************************/
+   // invariant                                                                                 //
+   // D = invariant                                                  D^(n+1)                    //
+   // A = amplification coefficient      A  n^n S + D = A D n^n + -----------                   //
+   // S = sum of balances                                             n^n P                     //
+   // P = product of balances                                                                   //
+   // n = number of tokens                                                                      //
+   *********x************************************************************************************/
 
-  // We support rounding up or down.
+    // We support rounding up or down.
 
   let sum = 0n;
   const numTokens = balances.length;
@@ -44,18 +44,18 @@ export function _calculateInvariant(
     prevInvariant = invariant;
     invariant = MathSol.div(
       MathSol.mul(MathSol.mul(BigInt(numTokens), invariant), invariant) +
-        MathSol.div(
-          MathSol.mul(MathSol.mul(ampTimesTotal, sum), P_D),
-          AMP_PRECISION,
-          roundUp,
-        ),
+      MathSol.div(
+        MathSol.mul(MathSol.mul(ampTimesTotal, sum), P_D),
+        AMP_PRECISION,
+        roundUp,
+      ),
       MathSol.mul(BigInt(numTokens + 1), invariant) +
-        // No need to use checked arithmetic for the amp precision, the amp is guaranteed to be at least 1
-        MathSol.div(
-          MathSol.mul(ampTimesTotal - AMP_PRECISION, P_D),
-          AMP_PRECISION,
-          !roundUp,
-        ),
+      // No need to use checked arithmetic for the amp precision, the amp is guaranteed to be at least 1
+      MathSol.div(
+        MathSol.mul(ampTimesTotal - AMP_PRECISION, P_D),
+        AMP_PRECISION,
+        !roundUp,
+      ),
       roundUp,
     );
 
@@ -81,6 +81,17 @@ export function _calcOutGivenIn(
   amountIn: bigint,
   invariant?: bigint,
 ): bigint {
+  /**************************************************************************************************************
+   // outGivenIn token x for y - polynomial equation to solve                                                   //
+   // ay = amount out to calculate                                                                              //
+   // by = balance token out                                                                                    //
+   // y = by - ay (finalBalanceOut)                                                                             //
+   // D = invariant                                               D                     D^(n+1)                 //
+   // A = amplification coefficient               y^2 + ( S - ----------  - D) * y -  ------------- = 0         //
+   // n = number of tokens                                    (A * n^n)               A * n^2n * P              //
+   // S = sum of final balances but y                                                                           //
+   // P = product of final balances but y                                                                       //
+   **************************************************************************************************************/
   balances = [...balances];
   // Given that we need to have a greater final balance out, the invariant needs to be rounded up
   if (!invariant) invariant = _calculateInvariant(amp, balances, true);
@@ -105,6 +116,19 @@ export function _calcInGivenOut(
   fee: bigint,
   invariant?: bigint,
 ): bigint {
+  /**************************************************************************************************************
+   // inGivenOut token x for y - polynomial equation to solve                                                   //
+   // ax = amount in to calculate                                                                               //
+   // bx = balance token in                                                                                     //
+   // x = bx + ax (finalBalanceIn)                                                                              //
+   // D = invariant                                                D                     D^(n+1)                //
+   // A = amplification coefficient               x^2 + ( S - ----------  - D) * x -  ------------- = 0         //
+   // n = number of tokens                                     (A * n^n)               A * n^2n * P             //
+   // S = sum of final balances but x                                                                           //
+   // P = product of final balances but x                                                                       //
+   **************************************************************************************************************/
+
+  // Given that we need to have a greater final balance in, the invariant needs to be rounded up
   balances = [...balances];
   if (!invariant) invariant = _calculateInvariant(amp, balances, true);
   balances[tokenIndexOut] = MathSol.sub(balances[tokenIndexOut], amountOut);
@@ -120,6 +144,7 @@ export function _calcInGivenOut(
     MathSol.sub(finalBalanceIn, balances[tokenIndexIn]),
     1n,
   );
+
   amountIn = addFee(amountIn, fee);
   return amountIn;
 }
@@ -195,6 +220,61 @@ export function _calcBptOutGivenExactTokensIn(
   }
 }
 
+export function _calcTokenInGivenExactBptOut(
+  amp: bigint,
+  balances: bigint[],
+  tokenIndexIn: number,
+  bptAmountOut: bigint,
+  bptTotalSupply: bigint,
+  fee: bigint,
+  invariant?: bigint,
+): bigint {
+  if (!invariant) invariant = _calculateInvariant(amp, balances, true);
+
+  const newInvariant = MathSol.mulUpFixed(
+    MathSol.divUpFixed(
+      MathSol.add(bptTotalSupply, bptAmountOut),
+      bptTotalSupply
+    ),
+    invariant
+  );
+
+  const newBalanceTokenIndex =
+    _getTokenBalanceGivenInvariantAndAllOtherBalances(
+      amp,
+      balances,
+      newInvariant,
+      tokenIndexIn
+    );
+  const amountInWithoutFee = MathSol.sub(
+    newBalanceTokenIndex,
+    balances[tokenIndexIn]
+  );
+
+  let sumBalances = BigInt(0);
+  for (let i = 0; i < balances.length; i++) {
+    sumBalances = MathSol.add(sumBalances, balances[i]);
+  }
+
+  // We can now compute how much extra balance is being deposited
+  // and used in virtual swaps, and charge swap fees accordingly.
+  const currentWeight = MathSol.divDownFixed(
+    balances[tokenIndexIn],
+    sumBalances
+  );
+  const taxablePercentage = MathSol.complementFixed(currentWeight);
+  const taxableAmount = MathSol.mulUpFixed(
+    amountInWithoutFee,
+    taxablePercentage
+  );
+  const nonTaxableAmount = MathSol.sub(amountInWithoutFee, taxableAmount);
+
+  return MathSol.add(
+    nonTaxableAmount,
+    MathSol.divUpFixed(taxableAmount, MathSol.sub(MathSol.ONE, fee))
+  );
+}
+
 /*
 Flow of calculations:
 amountsTokenOut -> amountsOutProportional ->