@paraswap/dex-lib 2.16.3 → 2.16.4-balancer-v2-buy.2

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

@@ -1,12 +1,12 @@
 import { Interface } from '@ethersproject/abi';
 import { BigNumber } from '@ethersproject/bignumber';
-import { BasePool } from './balancer-v2-pool';
-import { isSameAddress, decodeThrowError } from './utils';
-import * as StableMath from './StableMath';
-import { SubgraphPoolBase, PoolState, callData, TokenState } from './types';
-import { SwapSide } from '../../constants';
-import MetaStablePoolABI from '../../abi/balancer-v2/meta-stable-pool.json';
-import ComposableStablePoolABI from '../../abi/balancer-v2/ComposableStable.json';
+import { BasePool } from '../balancer-v2-pool';
+import { isSameAddress, decodeThrowError } from '../../utils';
+import * as PhantomStableMath from './PhantomStableMath';
+import { SubgraphPoolBase, PoolState, callData } from '../../types';
+import { SwapSide } from '../../../../constants';
+import MetaStablePoolABI from '../../../../abi/balancer-v2/meta-stable-pool.json';
+import ComposableStablePoolABI from '../../../../abi/balancer-v2/ComposableStable.json';
 import { keyBy } from 'lodash';
 
 enum PairTypes {
@@ -84,6 +84,21 @@ export class PhantomStablePool extends BasePool {
     );
   }
 
+  onBuy(amounts: bigint[], poolPairData: PhantomStablePoolPairData): bigint[] {
+    return this._swapGivenOut(
+      amounts,
+      poolPairData.tokens,
+      poolPairData.balances,
+      poolPairData.indexIn,
+      poolPairData.indexOut,
+      poolPairData.bptIndex,
+      poolPairData.scalingFactors,
+      poolPairData.swapFee,
+      poolPairData.amp,
+      poolPairData.actualSupply,
+    );
+  }
+
   // StablePool's `_onSwapGivenIn` and `_onSwapGivenOut` handlers are meant to process swaps between Pool tokens.
   // Since one of the Pool's tokens is the preminted BPT, we need to a) handle swaps where that tokens is involved
   // separately (as they are effectively single-token joins or exits), and b) remove BPT from the balances array when
@@ -110,6 +125,64 @@ export class PhantomStablePool extends BasePool {
     };
   }
 
+  _swapGivenOut(
+    tokenAmountsOut: bigint[],
+    tokens: string[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    bptIndex: number,
+    scalingFactors: bigint[],
+    swapFeePercentage: bigint,
+    amplificationParameter: bigint,
+    actualSupply: bigint | undefined,
+  ) {
+    // Phantom pools allow trading between token and pool BPT
+    let pairType: PairTypes;
+    if (isSameAddress(tokens[indexIn], tokens[bptIndex])) {
+      pairType = PairTypes.BptToToken;
+    } else if (isSameAddress(tokens[indexOut], tokens[bptIndex])) {
+      pairType = PairTypes.TokenToBpt;
+    } else {
+      pairType = PairTypes.TokenToToken;
+    }
+
+    const balancesUpscaled = this._upscaleArray(balances, scalingFactors);
+    const tokenAmountsOutScaled = tokenAmountsOut.map(a =>
+      this._upscale(a, scalingFactors[indexOut]),
+    );
+
+    let bptSupply: bigint;
+    if (actualSupply) bptSupply = actualSupply;
+    // VirtualBPTSupply must be used for the maths
+    else bptSupply = this.MAX_TOKEN_BALANCE.sub(balances[bptIndex]).toBigInt();
+
+    const droppedBpt = this.removeBPT(
+      balancesUpscaled,
+      indexIn,
+      indexOut,
+      bptIndex,
+    );
+
+    const amountsIn = this._onSwapGivenOut(
+      tokenAmountsOutScaled,
+      droppedBpt.balances,
+      droppedBpt.indexIn,
+      droppedBpt.indexOut,
+      amplificationParameter,
+      bptSupply,
+      pairType,
+    );
+
+    const amountsInDownscaled = amountsIn.map(a =>
+      this._downscaleDown(a, scalingFactors[indexIn]),
+    );
+
+    return amountsInDownscaled.map(a =>
+      this._subtractSwapFeeAmount(a, swapFeePercentage),
+    );
+  }
+
   _swapGivenIn(
     tokenAmountsIn: bigint[],
     tokens: string[],
@@ -169,6 +242,87 @@ export class PhantomStablePool extends BasePool {
     );
   }
 
+  _onSwapGivenOut(
+    tokenAmountsOut: bigint[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    _amplificationParameter: bigint,
+    virtualBptSupply: bigint,
+    pairType: PairTypes,
+  ) {
+    const invariant = PhantomStableMath._calculateInvariant(
+      _amplificationParameter,
+      balances,
+      true,
+    );
+
+    const amountsIn: bigint[] = [];
+
+    if (pairType === PairTypes.TokenToBpt) {
+      tokenAmountsOut.forEach(amountOut => {
+        let amt: bigint;
+        try {
+          const amountsInBigInt = Array(balances.length).fill(0n);
+          amountsInBigInt[indexIn] = amountOut;
+
+          amt = PhantomStableMath._calcTokenInGivenExactBptOut(
+            _amplificationParameter,
+            balances,
+            indexIn,
+            amountOut,
+            virtualBptSupply,
+            0n,
+            invariant,
+          );
+        } catch (err) {
+          amt = 0n;
+        }
+        amountsIn.push(amt);
+      });
+    } else if (pairType === PairTypes.BptToToken) {
+
+      tokenAmountsOut.forEach(amountOut => {
+        let amt: bigint;
+        try {
+          const amountsOutBigInt = Array(balances.length).fill(0n);
+          amountsOutBigInt[indexOut] = amountOut;
+
+          amt = PhantomStableMath._calcBptInGivenExactTokensOut(
+            _amplificationParameter,
+            balances,
+            amountsOutBigInt,
+            virtualBptSupply,
+            0n,
+            invariant,
+          );
+        } catch (err) {
+          amt = 0n;
+        }
+        amountsIn.push(amt);
+      });
+    } else {
+      tokenAmountsOut.forEach(amountOut => {
+        let amt: bigint;
+        try {
+          amt = PhantomStableMath._calcInGivenOut(
+            _amplificationParameter,
+            balances,
+            indexIn,
+            indexOut,
+            amountOut,
+            0n,
+            invariant,
+          );
+        } catch (err) {
+          amt = 0n;
+        }
+        amountsIn.push(amt);
+      });
+    }
+    return amountsIn;
+  }
+
   /*
      Called when a swap with the Pool occurs, where the amount of tokens entering the Pool is known.
      All amounts are upscaled.
@@ -184,7 +338,7 @@ export class PhantomStablePool extends BasePool {
     virtualBptSupply: bigint,
     pairType: PairTypes,
   ): bigint[] {
-    const invariant = StableMath._calculateInvariant(
+    const invariant = PhantomStableMath._calculateInvariant(
       _amplificationParameter,
       balances,
       true,
@@ -199,7 +353,7 @@ export class PhantomStablePool extends BasePool {
           const amountsInBigInt = Array(balances.length).fill(0n);
           amountsInBigInt[indexIn] = amountIn;
 
-          amt = StableMath._calcBptOutGivenExactTokensIn(
+          amt = PhantomStableMath._calcBptOutGivenExactTokensIn(
             _amplificationParameter,
             balances,
             amountsInBigInt,
@@ -215,7 +369,7 @@ export class PhantomStablePool extends BasePool {
       tokenAmountsIn.forEach(amountIn => {
         let amt: bigint;
         try {
-          amt = StableMath._calcTokenOutGivenExactBptIn(
+          amt = PhantomStableMath._calcTokenOutGivenExactBptIn(
             _amplificationParameter,
             balances,
             indexOut,
@@ -232,7 +386,7 @@ export class PhantomStablePool extends BasePool {
       tokenAmountsIn.forEach(amountIn => {
         let amt: bigint;
         try {
-          amt = StableMath._calcOutGivenIn(
+          amt = PhantomStableMath._calcOutGivenIn(
             _amplificationParameter,
             balances,
             indexIn,

package/src/dex/balancer-v2/pools/stable/StableMath.ts

@@ -0,0 +1,204 @@
+import { BI_POWS } from '../../../../bigint-constants';
+import { MathSol } from '../../balancer-v2-math';
+
+export class StableMath {
+  static _AMP_PRECISION = BI_POWS[3];
+
+  static _calculateInvariant(
+    amplificationParameter: bigint,
+    balances: bigint[],
+    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************************************************************************************/
+
+    // We support rounding up or down.
+    let sum = 0n;
+    const numTokens = balances.length;
+    for (let i = 0; i < numTokens; i++) {
+      sum = sum + balances[i];
+    }
+    if (sum == 0n) {
+      return 0n;
+    }
+
+    let prevInvariant = 0n;
+    let invariant = sum;
+    const ampTimesTotal = amplificationParameter * BigInt(numTokens);
+
+    for (let i = 0; i < 255; i++) {
+      let P_D = balances[0] * BigInt(numTokens);
+      for (let j = 1; j < numTokens; j++) {
+        P_D = MathSol.div(
+          MathSol.mul(MathSol.mul(P_D, balances[j]), BigInt(numTokens)),
+          invariant,
+          roundUp,
+        );
+      }
+      prevInvariant = invariant;
+      invariant = MathSol.div(
+        MathSol.mul(MathSol.mul(BigInt(numTokens), invariant), invariant) +
+        MathSol.div(
+          MathSol.mul(MathSol.mul(ampTimesTotal, sum), P_D),
+          this._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 - this._AMP_PRECISION, P_D),
+          this._AMP_PRECISION,
+          !roundUp,
+        ),
+        roundUp,
+      );
+
+      if (invariant > prevInvariant) {
+        if (invariant - prevInvariant <= 1) {
+          return invariant;
+        }
+      } else if (prevInvariant - invariant <= 1) {
+        return invariant;
+      }
+    }
+
+    throw new Error('Errors.STABLE_INVARIANT_DIDNT_CONVERGE');
+  }
+
+
+  static _calcInGivenOut(
+    amplificationParameter: bigint,
+    balances: bigint[],
+    tokenIndexIn: number,
+    tokenIndexOut: number,
+    tokenAmountsOut: bigint[],
+  ): bigint[] {
+    const invariant = this._calculateInvariant(
+      amplificationParameter,
+      balances,
+      false,
+    );
+
+    return tokenAmountsOut.map(a => {
+      balances[tokenIndexOut] = MathSol.sub(balances[tokenIndexOut], a);
+
+      const finalBalanceIn =
+        this._getTokenBalanceGivenInvariantAndAllOtherBalances(
+          amplificationParameter,
+          balances,
+          invariant,
+          tokenIndexIn,
+        );
+
+      return MathSol.add(
+        MathSol.sub(finalBalanceIn, balances[tokenIndexIn]),
+        1n,
+      );
+    });
+  };
+
+  static _calcOutGivenIn(
+    amplificationParameter: bigint,
+    balances: bigint[],
+    tokenIndexIn: number,
+    tokenIndexOut: number,
+    tokenAmountsIn: bigint[],
+  ): bigint[] {
+    // Amount out, so we round down overall.
+
+    // Given that we need to have a greater final balance out, the invariant needs to be rounded up
+    const invariant = this._calculateInvariant(
+      amplificationParameter,
+      balances,
+      true,
+      );
+
+    const initBalance = balances[tokenIndexIn];
+    // Modification: The original code was implemented for a single tokenAmountsIn
+    return tokenAmountsIn.map(a => {
+      balances[tokenIndexIn] = initBalance + a;
+
+      const finalBalanceOut =
+        this._getTokenBalanceGivenInvariantAndAllOtherBalances(
+          amplificationParameter,
+          balances,
+          invariant,
+          tokenIndexOut,
+        );
+
+      // No need to use checked arithmetic since `tokenAmountIn` was actually added to the same balance right before
+      // calling `_getTokenBalanceGivenInvariantAndAllOtherBalances` which doesn't alter the balances array.
+      // balances[tokenIndexIn] = balances[tokenIndexIn] - tokenAmountIn;
+      return balances[tokenIndexOut] - finalBalanceOut - 1n;
+    });
+  }
+
+  static _getTokenBalanceGivenInvariantAndAllOtherBalances(
+    amplificationParameter: bigint,
+    balances: bigint[],
+    invariant: bigint,
+    tokenIndex: number,
+  ): bigint {
+    // Rounds result up overall
+
+    const ampTimesTotal = amplificationParameter * BigInt(balances.length);
+    let sum = balances[0];
+    let P_D = balances[0] * BigInt(balances.length);
+    for (let j = 1; j < balances.length; j++) {
+      P_D = MathSol.divDown(
+        MathSol.mul(MathSol.mul(P_D, balances[j]), BigInt(balances.length)),
+        invariant,
+      );
+      sum = sum + balances[j];
+    }
+    // No need to use safe math, based on the loop above `sum` is greater than or equal to `balances[tokenIndex]`
+    sum = sum - balances[tokenIndex];
+
+    const inv2 = MathSol.mul(invariant, invariant);
+    // We remove the balance fromm c by multiplying it
+    const c = MathSol.mul(
+      MathSol.mul(
+        MathSol.divUp(inv2, MathSol.mul(ampTimesTotal, P_D)),
+        this._AMP_PRECISION,
+      ),
+      balances[tokenIndex],
+    );
+    const b =
+      sum +
+      MathSol.mul(
+        MathSol.divDown(invariant, ampTimesTotal),
+        this._AMP_PRECISION,
+      );
+
+    // We iterate to find the balance
+    let prevTokenBalance = 0n;
+    // We multiply the first iteration outside the loop with the invariant to set the value of the
+    // initial approximation.
+    let tokenBalance = MathSol.divUp(inv2 + c, invariant + b);
+
+    for (let i = 0; i < 255; i++) {
+      prevTokenBalance = tokenBalance;
+
+      tokenBalance = MathSol.divUp(
+        MathSol.mul(tokenBalance, tokenBalance) + c,
+        MathSol.mul(tokenBalance, 2n) + b - invariant,
+      );
+
+      if (tokenBalance > prevTokenBalance) {
+        if (tokenBalance - prevTokenBalance <= 1) {
+          return tokenBalance;
+        }
+      } else if (prevTokenBalance - tokenBalance <= 1) {
+        return tokenBalance;
+      }
+    }
+
+    throw new Error('Errors.STABLE_GET_BALANCE_DIDNT_CONVERGE');
+  }
+}

package/src/dex/balancer-v2/pools/stable/StablePool.ts

@@ -0,0 +1,221 @@
+import { Interface } from '@ethersproject/abi';
+import StablePoolABI from '../../../../abi/balancer-v2/stable-pool.json';
+import MetaStablePoolABI from '../../../../abi/balancer-v2/meta-stable-pool.json';
+import { callData, PoolState, SubgraphPoolBase, TokenState } from '../../types';
+import { decodeThrowError, getTokenScalingFactor } from '../../utils';
+import { BigNumber } from '@ethersproject/bignumber';
+import { SwapSide } from '../../../../constants';
+import { BaseGeneralPool } from '../balancer-v2-pool';
+import { StableMath } from './StableMath';
+
+export type StablePoolPairData = {
+  balances: bigint[];
+  indexIn: number;
+  indexOut: number;
+  scalingFactors: bigint[];
+  swapFee: bigint;
+  amp: bigint;
+};
+
+export class StablePool extends BaseGeneralPool {
+  vaultAddress: string;
+  vaultInterface: Interface;
+  poolInterface: Interface;
+  metaPoolInterface: Interface;
+
+  constructor(vaultAddress: string, vaultInterface: Interface) {
+    super();
+    this.vaultAddress = vaultAddress;
+    this.vaultInterface = vaultInterface;
+    this.poolInterface = new Interface(StablePoolABI);
+    this.metaPoolInterface = new Interface(MetaStablePoolABI);
+  }
+
+  _onSwapGivenOut(
+    tokenAmountsOut: bigint[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    _amplificationParameter: bigint,
+  ): bigint[] {
+    return StableMath._calcInGivenOut(
+      _amplificationParameter,
+      balances,
+      indexIn,
+      indexOut,
+      tokenAmountsOut,
+    );
+  }
+
+  _onSwapGivenIn(
+    tokenAmountsIn: bigint[],
+    balances: bigint[],
+    indexIn: number,
+    indexOut: number,
+    _amplificationParameter: bigint,
+  ): bigint[] {
+    return StableMath._calcOutGivenIn(
+      _amplificationParameter,
+      balances,
+      indexIn,
+      indexOut,
+      tokenAmountsIn,
+    );
+  }
+
+  /*
+  Helper function to parse pool data into params for onSell/onBuy functions.
+  */
+  parsePoolPairData(
+    pool: SubgraphPoolBase,
+    poolState: PoolState,
+    tokenIn: string,
+    tokenOut: string,
+  ): StablePoolPairData {
+    let indexIn = 0,
+      indexOut = 0;
+
+    const scalingFactors: bigint[] = [];
+    const balances = poolState.orderedTokens.map((tokenAddress, i) => {
+      const t = pool.tokensMap[tokenAddress.toLowerCase()] || poolState.tokens[tokenAddress.toLowerCase()];
+
+      if (t.address.toLowerCase() === tokenIn.toLowerCase()) {
+        indexIn = i;
+      }
+      if (t.address.toLowerCase() === tokenOut.toLowerCase()) {
+        indexOut = i;
+      }
+
+      if (pool.poolType === 'MetaStable') {
+        scalingFactors.push(
+          poolState.tokens[t.address.toLowerCase()].scalingFactor || 0n,
+        );
+      } else scalingFactors.push(getTokenScalingFactor(t.decimals));
+      return poolState.tokens[t.address.toLowerCase()].balance;
+    });
+
+    const poolPairData: StablePoolPairData = {
+      balances,
+      indexIn,
+      indexOut,
+      scalingFactors,
+      swapFee: poolState.swapFee,
+      amp: poolState.amp ? poolState.amp : 0n,
+    };
+    return poolPairData;
+  }
+
+  /*
+  Helper function to construct onchain multicall data for StablePool.
+  */
+  getOnChainCalls(pool: SubgraphPoolBase): callData[] {
+    const poolCallData: callData[] = [
+      {
+        target: this.vaultAddress,
+        callData: this.vaultInterface.encodeFunctionData('getPoolTokens', [
+          pool.id,
+        ]),
+      },
+      {
+        target: pool.address,
+        callData: this.poolInterface.encodeFunctionData('getSwapFeePercentage'),
+      },
+      {
+        target: pool.address,
+        callData: this.poolInterface.encodeFunctionData(
+          'getAmplificationParameter',
+        ),
+      },
+    ];
+    if (pool.poolType === 'MetaStable') {
+      poolCallData.push({
+        target: pool.address,
+        callData:
+          this.metaPoolInterface.encodeFunctionData('getScalingFactors'),
+      });
+    }
+    return poolCallData;
+  }
+
+  /*
+  Helper function to decodes multicall data for a Stable Pool.
+  data must contain returnData
+  startIndex is where to start in returnData. Allows this decode function to be called along with other pool types.
+  */
+  decodeOnChainCalls(
+    pool: SubgraphPoolBase,
+    data: { success: boolean; returnData: any }[],
+    startIndex: number,
+  ): [{ [address: string]: PoolState }, number] {
+    const pools = {} as { [address: string]: PoolState };
+
+    const poolTokens = decodeThrowError(
+      this.vaultInterface,
+      'getPoolTokens',
+      data[startIndex++],
+      pool.address,
+    );
+    const swapFee = decodeThrowError(
+      this.poolInterface,
+      'getSwapFeePercentage',
+      data[startIndex++],
+      pool.address,
+    )[0];
+    const amp = decodeThrowError(
+      this.poolInterface,
+      'getAmplificationParameter',
+      data[startIndex++],
+      pool.address,
+    );
+    let scalingFactors: BigNumber[] | undefined;
+    if (pool.poolType === 'MetaStable') {
+      scalingFactors = decodeThrowError(
+        this.metaPoolInterface,
+        'getScalingFactors',
+        data[startIndex++],
+        pool.address,
+      )[0];
+    }
+
+    const poolState: PoolState = {
+      swapFee: BigInt(swapFee.toString()),
+      tokens: poolTokens.tokens.reduce(
+        (ptAcc: { [address: string]: TokenState }, pt: string, j: number) => {
+          const tokenState: TokenState = {
+            balance: BigInt(poolTokens.balances[j].toString()),
+          };
+
+          if (scalingFactors)
+            tokenState.scalingFactor = BigInt(scalingFactors[j].toString());
+
+          ptAcc[pt.toLowerCase()] = tokenState;
+          return ptAcc;
+        },
+        {},
+      ),
+      orderedTokens: poolTokens.tokens,
+    };
+
+    if (amp) {
+      poolState.amp = BigInt(amp.value.toString());
+    }
+
+    pools[pool.address] = poolState;
+
+    return [pools, startIndex];
+  }
+
+  /*
+  For stable pools there is no Swap limit. As an approx - use almost the total balance of token out as we can add any amount of tokenIn and expect some back.
+  */
+  getSwapMaxAmount(poolPairData: StablePoolPairData, side: SwapSide): bigint {
+    return (
+      (this._upscale(
+        poolPairData.balances[poolPairData.indexOut],
+        poolPairData.scalingFactors[poolPairData.indexOut],
+        ) *
+        99n) /
+      100n
+    );
+  }
+}