@paraswap/dex-lib 3.7.2 → 3.7.3-idle.2

package/src/dex/angle-transmuter/types.ts

@@ -0,0 +1,203 @@
+import { BigNumber } from 'ethers';
+import { Address, Token } from '../../types';
+import { ChainLinkState } from '../../lib/chainlink';
+
+export type PoolState = {
+  stablecoin: Token;
+  transmuter: TransmuterState;
+  oracles: {
+    chainlink: { [address: string]: ChainLinkState };
+    pyth: PythState;
+    morphoVault: { [address: string]: MorphoVaultState };
+  };
+};
+
+export type CollateralState = {
+  whitelist: { status: boolean; data: string };
+  fees: Fees;
+  stablecoinsIssued: number;
+  config: Oracle;
+  stablecoinCap: number;
+};
+
+export type TransmuterState = {
+  collaterals: {
+    [token: string]: CollateralState;
+  };
+  isWhitelisted: {
+    [type: number]: Set<string>;
+  };
+  xRedemptionCurve: number[];
+  yRedemptionCurve: number[];
+  totalStablecoinIssued: number;
+};
+
+export type ChainlinkConfig = {
+  [address: string]: { proxy: Address; aggregator: Address; decimals: number };
+};
+
+export type PythConfig = { proxy: Address; ids: string[] };
+
+export type MorphoConfig = {
+  [address: string]: MorphoOracleState;
+};
+
+export type PoolConfig = {
+  stablecoin: Token;
+  transmuter: Address;
+  collaterals: Address[];
+  oracles: {
+    chainlink: ChainlinkConfig;
+    backed: ChainlinkConfig;
+    redstone: ChainlinkConfig;
+    pyth: PythConfig;
+    morpho: MorphoConfig;
+  };
+};
+
+export type MorphoVaultState = {
+  totalAssets: bigint;
+  totalSupply: bigint;
+};
+
+export type MorphoOracleState = {
+  baseVault: Address;
+  baseVaultConversion: bigint;
+  quoteVault: Address;
+  quoteVaultConversion: bigint;
+  baseFeed1: Address;
+  baseFeed2: Address;
+  quoteFeed1: Address;
+  quoteFeed2: Address;
+  scaleFactor: bigint;
+};
+
+export type ChainlinkState = {
+  answer: number;
+  timestamp: number;
+};
+
+export type PythState = {
+  [address: string]: {
+    answer: number;
+    expo: number;
+    timestamp: number;
+  };
+};
+
+export type AngleTransmuterData = {
+  exchange: Address;
+};
+
+export type TransmuterParams = {
+  stablecoin: Token;
+  transmuter: Address;
+  pyth: Address;
+};
+export type DexParams = {
+  EUR?: TransmuterParams;
+  USD?: TransmuterParams;
+};
+
+export enum QuoteType {
+  MintExactInput = 0,
+  MintExactOutput = 1,
+  BurnExactInput = 2,
+  BurnExactOutput = 3,
+}
+
+export enum OracleReadType {
+  CHAINLINK_FEEDS = 0,
+  EXTERNAL = 1,
+  NO_ORACLE = 2,
+  STABLE = 3,
+  WSTETH = 4,
+  CBETH = 5,
+  RETH = 6,
+  SFRXETH = 7,
+  PYTH = 8,
+  MAX = 9,
+  MORPHO_ORACLE = 10,
+}
+
+export enum OracleQuoteType {
+  UNIT = 0,
+  TARGET = 1,
+}
+
+export type Fees = {
+  xFeeMint: number[];
+  yFeeMint: number[];
+  xFeeBurn: number[];
+  yFeeBurn: number[];
+};
+
+export type Pyth = {
+  pyth: Address;
+  feedIds: string[];
+  stalePeriods: number[];
+  isMultiplied: number[];
+  quoteType: OracleQuoteType;
+};
+
+export type Chainlink = {
+  circuitChainlink: Address[];
+  stalePeriods: number[];
+  circuitChainIsMultiplied: number[];
+  chainlinkDecimals: number[];
+  quoteType: OracleQuoteType;
+};
+
+export type MorphoOracle = {
+  oracle: Address;
+  normalizationFactor: BigNumber;
+};
+
+export type MaxOracle = {
+  maxValue: number;
+};
+
+export type OracleFeed = {
+  isChainlink: boolean;
+  isPyth: boolean;
+  isMorpho: boolean;
+  chainlink?: Chainlink;
+  pyth?: Pyth;
+  morpho?: MorphoOracle;
+  otherContract?: Address;
+  maxValue?: number;
+};
+
+export type Oracle = {
+  oracleType: OracleReadType;
+  targetType: OracleReadType;
+  externalOracle?: Address;
+  oracleFeed: OracleFeed;
+  targetFeed: OracleFeed;
+  hyperparameters: string;
+};
+
+export type DecodedOracleConfig = {
+  oracleType: OracleReadType;
+  targetType: OracleReadType;
+  oracleData: string;
+  targetData: string;
+  hyperparameters: string;
+};
+
+export type OracleHyperparameter = {
+  userDeviation: BigNumber;
+  burnRatioDeviation: BigNumber;
+};
+
+export type DecodedStateMultiCallResultPythOracle = {
+  price: BigNumber;
+  conf: number;
+  expo: number;
+  publishTime: number;
+};
+
+export const BASE_9 = 1; // 1e9
+export const BASE_12 = 1e3; // 1e12
+
+export const MAX_BURN_FEE = 0.999; // 999_000_000

package/src/dex/angle-transmuter/utils.ts

@@ -0,0 +1,358 @@
+import { BASE_12, BASE_9, Fees, MAX_BURN_FEE, QuoteType } from './types';
+
+/// @notice Computes the `amountOut` of stablecoins to mint from `tokenIn` of a collateral with data `collatInfo`
+export function _quoteMintExactInput(
+  oracleValue: number,
+  amountIn: number,
+  fees: Fees,
+  stablecoinsIssued: number,
+  otherStablecoinSupply: number,
+  stablecoinCap: number,
+): number {
+  let amountOut = oracleValue * amountIn;
+  amountOut = _quoteFees(
+    fees,
+    QuoteType.MintExactInput,
+    amountOut,
+    stablecoinsIssued,
+    otherStablecoinSupply,
+  );
+  if (stablecoinCap >= 0 && amountOut + stablecoinsIssued > stablecoinCap)
+    throw new Error('InvalidSwap');
+  return amountOut;
+}
+
+/// @notice Computes the `amountIn` of collateral to get during a mint of `amountOut` of stablecoins
+export function _quoteMintExactOutput(
+  oracleValue: number,
+  amountOut: number,
+  fees: Fees,
+  stablecoinsIssued: number,
+  otherStablecoinSupply: number,
+  stablecoinCap: number,
+): number {
+  if (stablecoinCap >= 0 && amountOut + stablecoinsIssued > stablecoinCap)
+    throw new Error('InvalidSwap');
+  const amountIn = _quoteFees(
+    fees,
+    QuoteType.MintExactOutput,
+    amountOut,
+    stablecoinsIssued,
+    otherStablecoinSupply,
+  );
+  return amountIn / oracleValue;
+}
+
+/// @notice Computes the `amountIn` of stablecoins to burn to release `amountOut` of `collateral`
+export function _quoteBurnExactOutput(
+  oracleValue: number,
+  ratio: number,
+  amountOut: number,
+  fees: Fees,
+  stablecoinsIssued: number,
+  otherStablecoinSupply: number,
+): number {
+  const amountIn = (amountOut * oracleValue) / ratio;
+  return _quoteFees(
+    fees,
+    QuoteType.BurnExactOutput,
+    amountIn,
+    stablecoinsIssued,
+    otherStablecoinSupply,
+  );
+}
+
+/// @notice Computes the `amountOut` of `collateral` to give during a burn operation of `amountIn` of stablecoins
+export function _quoteBurnExactInput(
+  oracleValue: number,
+  ratio: number,
+  amountIn: number,
+  fees: Fees,
+  stablecoinsIssued: number,
+  otherStablecoinSupply: number,
+): number {
+  const amountOut = _quoteFees(
+    fees,
+    QuoteType.BurnExactInput,
+    amountIn,
+    stablecoinsIssued,
+    otherStablecoinSupply,
+  );
+  return (amountOut * ratio) / oracleValue;
+}
+
+export function _quoteFees(
+  fees: Fees,
+  quoteType: QuoteType,
+  amountStable: number,
+  stablecoinsIssued: number,
+  otherStablecoinSupply: number,
+): number {
+  const isMint = _isMint(quoteType);
+  const isExact = _isExact(quoteType);
+
+  const n = isMint ? fees.xFeeMint.length : fees.xFeeBurn.length;
+
+  let currentExposure =
+    (stablecoinsIssued * BASE_9) / (otherStablecoinSupply + stablecoinsIssued);
+
+  let amount = 0;
+
+  // Finding in which segment the current exposure to the collateral is
+  let i = findLowerBound(
+    isMint,
+    isMint ? fees.xFeeMint : fees.xFeeBurn,
+    BASE_9,
+    currentExposure,
+  );
+
+  let lowerExposure: number;
+  let upperExposure: number;
+  let lowerFees: number;
+  let upperFees: number;
+  let amountToNextBreakPoint: number;
+
+  while (i < n - 1) {
+    // We compute a linear by part function on the amount swapped
+    // The `amountToNextBreakPoint` variable is the `b_{i+1}` value from the whitepaper
+    if (isMint) {
+      lowerExposure = fees.xFeeMint[i];
+      upperExposure = fees.xFeeMint[i + 1];
+      lowerFees = fees.yFeeMint[i];
+      upperFees = fees.yFeeMint[i + 1];
+      amountToNextBreakPoint =
+        (otherStablecoinSupply * upperExposure) / (BASE_9 - upperExposure) -
+        stablecoinsIssued;
+    } else {
+      // The exposures in the burn case are decreasing
+      lowerExposure = fees.xFeeBurn[i];
+      upperExposure = fees.xFeeBurn[i + 1];
+      lowerFees = fees.yFeeBurn[i];
+      upperFees = fees.yFeeBurn[i + 1];
+      // The `b_{i+1}` value in the burn case is the opposite value of the mint case
+      amountToNextBreakPoint =
+        stablecoinsIssued -
+        (otherStablecoinSupply * upperExposure) / (BASE_9 - upperExposure);
+    }
+
+    let currentFees: number;
+    if (lowerExposure * BASE_9 === currentExposure) {
+      currentFees = lowerFees;
+    } else if (lowerFees === upperFees) {
+      currentFees = lowerFees;
+    } else {
+      // This is the opposite of the `b_i` value from the whitepaper.
+      const amountFromPrevBreakPoint = isMint
+        ? stablecoinsIssued -
+          (otherStablecoinSupply * lowerExposure) / (BASE_9 - lowerExposure)
+        : (otherStablecoinSupply * lowerExposure) / (BASE_9 - lowerExposure) -
+          stablecoinsIssued;
+
+      // slope = (upperFees - lowerFees) / (amountToNextBreakPoint + amountFromPrevBreakPoint)
+      // `currentFees` is the `g(0)` value from the whitepaper
+      currentFees =
+        lowerFees +
+        ((upperFees - lowerFees) * amountFromPrevBreakPoint) /
+          (amountToNextBreakPoint + amountFromPrevBreakPoint);
+    }
+    {
+      const amountToNextBreakPointNormalizer: number = isExact
+        ? amountToNextBreakPoint
+        : isMint
+        ? _invertFeeMint(amountToNextBreakPoint, (upperFees + currentFees) / 2)
+        : _applyFeeBurn(amountToNextBreakPoint, (upperFees + currentFees) / 2);
+
+      if (amountToNextBreakPointNormalizer >= amountStable) {
+        let midFee: number;
+        if (isExact) {
+          // `(g_i(0) + g_i(M)) / 2 = g(0) + (f_{i+1} - g(0)) * M / (2 * b_{i+1})`
+          midFee =
+            currentFees +
+            (amountStable * (upperFees - currentFees)) /
+              (2 * amountToNextBreakPointNormalizer);
+        } else {
+          // Here instead of computing the closed form expression for `m_t` derived in the whitepaper,
+          // we are computing: `(g(0)+g_i(m_t))/2 = g(0)+(f_{i+1}-f_i)/(b_{i+1}-b_i)m_t/2
+
+          // ac4 is the value of `2M(f_{i+1}-f_i)/(b_{i+1}-b_i) = 2M(f_{i+1}-g(0))/b_{i+1}` used
+          // in the computation of `m_t` in both the mint and burn case
+          const ac4 =
+            (BASE_9 * (2 * amountStable * (upperFees - currentFees))) /
+            amountToNextBreakPoint;
+          if (isMint) {
+            // In the mint case:
+            // `m_t = (-1-g(0)+sqrt[(1+g(0))**2+2M(f_{i+1}-g(0))/b_{i+1})]/((f_{i+1}-g(0))/b_{i+1})`
+            // And so: g(0)+(f_{i+1}-f_i)/(b_{i+1}-b_i)m_t/2
+            //                      = (g(0)-1+sqrt[(1+g(0))**2+2M(f_{i+1}-g(0))/b_{i+1})])
+            midFee = Number(
+              (Math.sqrt((BASE_9 + currentFees) ** 2 + ac4) +
+                currentFees -
+                BASE_9) /
+                2,
+            );
+          } else {
+            // In the burn case:
+            // `m_t = (1-g(0)+sqrt[(1-g(0))**2-2M(f_{i+1}-g(0))/b_{i+1})]/((f_{i+1}-g(0))/b_{i+1})`
+            // And so: g(0)+(f_{i+1}-f_i)/(b_{i+1}-b_i)m_t/2
+            //                      = (g(0)+1-sqrt[(1-g(0))**2-2M(f_{i+1}-g(0))/b_{i+1})])
+
+            const baseMinusCurrentSquared = (BASE_9 - currentFees) ** 2;
+            // Mathematically, this condition is always verified, but rounding errors may make this
+            // mathematical invariant break, in which case we consider that the square root is null
+            if (baseMinusCurrentSquared < ac4) {
+              midFee = (currentFees + BASE_9) / 2;
+            } else {
+              midFee =
+                (currentFees +
+                  BASE_9 -
+                  Math.sqrt(baseMinusCurrentSquared - ac4)) /
+                2;
+            }
+          }
+        }
+        return amount + _computeFee(quoteType, amountStable, midFee);
+      }
+      amountStable -= amountToNextBreakPointNormalizer;
+      amount += !isExact
+        ? amountToNextBreakPoint
+        : isMint
+        ? _invertFeeMint(amountToNextBreakPoint, (upperFees + currentFees) / 2)
+        : _applyFeeBurn(amountToNextBreakPoint, (upperFees + currentFees) / 2);
+      currentExposure = upperExposure * BASE_9;
+      ++i;
+      // Update for the rest of the swaps the stablecoins issued from the asset
+      stablecoinsIssued = isMint
+        ? stablecoinsIssued + amountToNextBreakPoint
+        : stablecoinsIssued - amountToNextBreakPoint;
+    }
+  }
+
+  return (
+    amount +
+    _computeFee(
+      quoteType,
+      amountStable,
+      isMint ? fees.yFeeMint[n - 1] : fees.yFeeBurn[n - 1],
+    )
+  );
+}
+
+function findLowerBound(
+  increasingArray: boolean,
+  array: number[],
+  normalizerArray: number,
+  element: number,
+): number {
+  if (array.length === 0) {
+    return 0;
+  }
+  let low = 1;
+  let high = array.length;
+
+  if (
+    (increasingArray && array[high - 1] * normalizerArray <= element) ||
+    (!increasingArray && array[high - 1] * normalizerArray >= element)
+  ) {
+    return high - 1;
+  }
+
+  while (low < high) {
+    const mid = Math.floor((low + high) / 2);
+
+    if (
+      increasingArray
+        ? array[mid] * normalizerArray > element
+        : array[mid] * normalizerArray < element
+    ) {
+      high = mid;
+    } else {
+      low = mid + 1;
+    }
+  }
+
+  return low - 1;
+}
+
+function _isMint(quoteType: QuoteType): boolean {
+  return (
+    quoteType === QuoteType.MintExactInput ||
+    quoteType === QuoteType.MintExactOutput
+  );
+}
+
+function _isExact(quoteType: QuoteType): boolean {
+  return (
+    quoteType === QuoteType.MintExactOutput ||
+    quoteType === QuoteType.BurnExactInput
+  );
+}
+
+function _applyFeeMint(amountIn: number, fees: number): number {
+  if (fees >= 0) {
+    const castedFees = fees;
+    // Consider that if fees are above `BASE_12` this is equivalent to infinite fees
+    if (castedFees >= BASE_12) throw new Error('InvalidSwap');
+    return (amountIn * BASE_9) / (BASE_9 + castedFees);
+  }
+  return (amountIn * BASE_9) / (BASE_9 - Math.abs(-fees));
+}
+
+function _invertFeeMint(amountOut: number, fees: number): number {
+  if (fees >= 0) {
+    const castedFees = fees;
+    // Consider that if fees are above `BASE_12` this is equivalent to infinite fees
+    if (castedFees >= BASE_12) throw new Error('InvalidSwap');
+    return (amountOut * (BASE_9 + castedFees)) / BASE_9;
+  }
+  return (amountOut * (BASE_9 - Math.abs(-fees))) / BASE_9;
+}
+
+function _applyFeeBurn(amountIn: number, fees: number): number {
+  if (fees >= 0) {
+    const castedFees = fees;
+    if (castedFees >= MAX_BURN_FEE) throw new Error('InvalidSwap');
+    return ((BASE_9 - castedFees) * amountIn) / BASE_9;
+  }
+  return ((BASE_9 + Math.abs(-fees)) * amountIn) / BASE_9;
+}
+
+function _invertFeeBurn(amountOut: number, fees: number): number {
+  if (fees >= 0) {
+    const castedFees = fees;
+    if (castedFees >= MAX_BURN_FEE) throw new Error('InvalidSwap');
+    return (amountOut * BASE_9) / (BASE_9 - castedFees);
+  }
+  return (amountOut * BASE_9) / (BASE_9 + Math.abs(-fees));
+}
+
+function _computeFee(
+  quoteType: QuoteType,
+  amount: number,
+  fees: number,
+): number {
+  if (quoteType === QuoteType.MintExactInput) {
+    return _applyFeeMint(amount, fees);
+  }
+  if (quoteType === QuoteType.MintExactOutput) {
+    return _invertFeeMint(amount, fees);
+  }
+  if (quoteType === QuoteType.BurnExactInput) {
+    return _applyFeeBurn(amount, fees);
+  }
+  return _invertFeeBurn(amount, fees);
+}
+
+export function filterDictionaryOnly<T extends { [key: string]: any }>(
+  obj: T,
+): Partial<T> {
+  const result: Partial<T> = {};
+  Object.keys(obj).map(key => {
+    if (Object.prototype.hasOwnProperty.call(obj, key)) {
+      // Skip numeric keys to exclude array-like properties
+      if (Number.isNaN(Number(key))) {
+        result[key as keyof T] = obj[key];
+      }
+    }
+  });
+  return result;
+}