@paraswap/dex-lib 3.8.2 → 3.8.3

package/build/dex/swaap-v1/libraries/GeometricBrownianMotion.d.ts

@@ -0,0 +1,77 @@
+import * as Struct from './Struct';
+import { ChainLinkData } from '../types';
+export declare class GeometricBrownianMotion {
+    /**
+     * @notice Gets asset-pair approximate historical return's mean and variance
+     * @param latestRoundIn The round-to-start-from's data including its ID of tokenIn
+     * @param latestRoundOut The round-to-start-from's data including its ID of tokenOut
+     * @param hpParameters The parameters for historical prices retrieval
+     * @return gbmEstimation The asset-pair historical return's mean and variance
+     */
+    static getParametersEstimation(latestRoundIn: Struct.LatestRound, latestRoundOut: Struct.LatestRound, hpParameters: Struct.HistoricalPricesParameters, historicalOracleStateIn: ChainLinkData, historicalOracleStateOut: ChainLinkData): Struct.GBMEstimation;
+    /**
+     * @notice Gets asset-pair historical data return's mean and variance
+     * @param noMoreDataPoints True if and only if the retrieved data span over the whole time window of interest
+     * @param hpDataIn Historical prices data of tokenIn
+     * @param hpDataOut Historical prices data of tokenOut
+     * @param hpParameters The parameters for historical prices retrieval
+     * @return gbmEstimation The asset-pair historical return's mean and variance
+     */
+    static _getParametersEstimation(noMoreDataPoints: boolean, hpDataIn: Struct.HistoricalPricesData, hpDataOut: Struct.HistoricalPricesData, hpParameters: Struct.HistoricalPricesParameters): Struct.GBMEstimation;
+    /**
+     * @notice Gets asset-pair historical prices with timestamps
+     * @param pricesIn The historical prices of tokenIn
+     * @param timestampsIn The timestamps corresponding to the tokenIn's historical prices
+     * @param startIndexIn The tokenIn historical data's last valid index
+     * @param pricesOut The tokenIn historical data's last valid index
+     * @param timestampsOut The timestamps corresponding to the tokenOut's historical prices
+     * @param startIndexOut The tokenOut historical data's last valid index
+     * @return values The asset-pair historical prices array
+     * @return timestamps The asset-pair historical timestamps array
+     */
+    static getSeries(pricesIn: bigint[], timestampsIn: bigint[], startIndexIn: number, pricesOut: bigint[], timestampsOut: bigint[], startIndexOut: number): [bigint[], bigint[]];
+    /**
+     * @notice Gets asset-pair historical mean/variance from timestamped data
+     * @param values The historical values
+     * @param timestamps The corresponding time deltas, in seconds
+     * @return mean The asset-pair historical return's mean
+     * @return variance asset-pair historical return's variance
+     */
+    static getStatistics(values: bigint[], timestamps: bigint[]): [bigint, bigint];
+    /**
+     * @notice Gets historical prices from a Chainlink data feed
+     * @dev Few specificities:
+     * - it filters out round data with null price or timestamp
+     * - it stops filling the prices/timestamps when:
+     * a) hpParameters.lookbackInRound rounds have already been found
+     * b) time window induced by hpParameters.lookbackInSec is no more satisfied
+     * @param latestRound The round-to-start-from's data including its ID
+     * @param hpParameters The parameters for historical prices retrieval
+     * @return historicalPrices The historical prices of a token
+     * @return historicalTimestamps The timestamps of the reported prices
+     * @return index The last valid index of the returned arrays
+     * @return noMoreDataPoints True if the reported historical prices reaches the lookback time limit
+     */
+    static getHistoricalPrices(latestRound: Struct.LatestRound, hpParameters: Struct.HistoricalPricesParameters, historicalOracleState: ChainLinkData): [bigint[], bigint[], number, boolean];
+    /**
+     * @notice Finds the next data point in chronological order
+     * @dev Few considerations:
+     * - data point with same timestamp as previous point are tagged with a 'skip=true'
+     * - when we reach the last point of a token, we consider it's value constant going forward with the other token
+     * As a result the variance of those returns will be underestimated.
+     * @param startIndexIn  The tokenIn historical data's last valid index
+     * @param startIndexOut The tokenOut historical data's last valid index
+     * @param timestampsIn  The timestamps corresponding to the tokenIn's historical prices
+     * @param timestampsOut The timestamps corresponding to the tokenOut's historical prices
+     * @return skip The 'skip' tag
+     * @return startIndexIn The updated startIndexIn
+     * @return startIndexOut The updated startIndexOut
+     */
+    static getNextSample(startIndexIn: number, startIndexOut: number, timestampsIn: bigint[], timestampsOut: bigint[]): [boolean, number, number];
+    /**
+     * @notice Consolidate the last valid indexes of tokenIn and tokenOut
+     * @param hpDataIn Historical prices data of tokenIn
+     * @param hpDataOut Historical prices data of tokenOut
+     */
+    static consolidateStartIndices(hpDataIn: Struct.HistoricalPricesData, hpDataOut: Struct.HistoricalPricesData): void;
+}

package/build/dex/swaap-v1/libraries/GeometricBrownianMotion.js

@@ -0,0 +1,316 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.GeometricBrownianMotion = void 0;
+const Const_1 = require("./Const");
+const Num_1 = require("./Num");
+const LogExpMath_1 = require("./LogExpMath");
+const ChainlinkUtils_1 = require("./ChainlinkUtils");
+class GeometricBrownianMotion {
+    /**
+     * @notice Gets asset-pair approximate historical return's mean and variance
+     * @param latestRoundIn The round-to-start-from's data including its ID of tokenIn
+     * @param latestRoundOut The round-to-start-from's data including its ID of tokenOut
+     * @param hpParameters The parameters for historical prices retrieval
+     * @return gbmEstimation The asset-pair historical return's mean and variance
+     */
+    static getParametersEstimation(latestRoundIn, latestRoundOut, hpParameters, historicalOracleStateIn, historicalOracleStateOut) {
+        // retrieve historical prices of tokenIn
+        let [pricesIn, timestampsIn, startIndexIn, noMoreDataPointIn] = GeometricBrownianMotion.getHistoricalPrices(latestRoundIn, hpParameters, historicalOracleStateIn);
+        if (!noMoreDataPointIn && startIndexIn < hpParameters.lookbackInRound - 1) {
+            return {
+                mean: 0n,
+                variance: 0n,
+                success: false,
+            };
+        }
+        let reducedLookbackInSecCandidate = hpParameters.timestamp - timestampsIn[startIndexIn];
+        if (reducedLookbackInSecCandidate < hpParameters.lookbackInSec) {
+            hpParameters.lookbackInSec = reducedLookbackInSecCandidate;
+        }
+        // retrieve historical prices of tokenOut
+        let [pricesOut, timestampsOut, startIndexOut, noMoreDataPointOut] = GeometricBrownianMotion.getHistoricalPrices(latestRoundOut, hpParameters, historicalOracleStateOut);
+        if (!noMoreDataPointOut &&
+            startIndexOut < hpParameters.lookbackInRound - 1) {
+            return {
+                mean: 0n,
+                variance: 0n,
+                success: false,
+            };
+        }
+        return GeometricBrownianMotion._getParametersEstimation(noMoreDataPointIn && noMoreDataPointOut, { startIndex: startIndexIn, timestamps: timestampsIn, prices: pricesIn }, {
+            startIndex: startIndexOut,
+            timestamps: timestampsOut,
+            prices: pricesOut,
+        }, hpParameters);
+    }
+    /**
+     * @notice Gets asset-pair historical data return's mean and variance
+     * @param noMoreDataPoints True if and only if the retrieved data span over the whole time window of interest
+     * @param hpDataIn Historical prices data of tokenIn
+     * @param hpDataOut Historical prices data of tokenOut
+     * @param hpParameters The parameters for historical prices retrieval
+     * @return gbmEstimation The asset-pair historical return's mean and variance
+     */
+    static _getParametersEstimation(noMoreDataPoints, hpDataIn, hpDataOut, hpParameters) {
+        // no price return can be calculated with only 1 data point
+        if (hpDataIn.startIndex == 0 && hpDataOut.startIndex == 0) {
+            return {
+                mean: 0n,
+                variance: 0n,
+                success: true,
+            };
+        }
+        if (noMoreDataPoints) {
+            let ts = hpParameters.timestamp - hpParameters.lookbackInSec;
+            hpDataIn.timestamps[hpDataIn.startIndex] = ts;
+            hpDataOut.timestamps[hpDataOut.startIndex] = ts;
+        }
+        else {
+            GeometricBrownianMotion.consolidateStartIndices(hpDataIn, hpDataOut);
+            // no price return can be calculated with only 1 data point
+            if (hpDataIn.startIndex == 0 && hpDataOut.startIndex == 0) {
+                return {
+                    mean: 0n,
+                    variance: 0n,
+                    success: true,
+                };
+            }
+        }
+        let [values, timestamps] = GeometricBrownianMotion.getSeries(hpDataIn.prices, hpDataIn.timestamps, hpDataIn.startIndex, hpDataOut.prices, hpDataOut.timestamps, hpDataOut.startIndex);
+        let [mean, variance] = GeometricBrownianMotion.getStatistics(values, timestamps);
+        return {
+            mean: mean,
+            variance: variance,
+            success: true,
+        };
+    }
+    /**
+     * @notice Gets asset-pair historical prices with timestamps
+     * @param pricesIn The historical prices of tokenIn
+     * @param timestampsIn The timestamps corresponding to the tokenIn's historical prices
+     * @param startIndexIn The tokenIn historical data's last valid index
+     * @param pricesOut The tokenIn historical data's last valid index
+     * @param timestampsOut The timestamps corresponding to the tokenOut's historical prices
+     * @param startIndexOut The tokenOut historical data's last valid index
+     * @return values The asset-pair historical prices array
+     * @return timestamps The asset-pair historical timestamps array
+     */
+    static getSeries(pricesIn, timestampsIn, startIndexIn, pricesOut, timestampsOut, startIndexOut) {
+        let values, timestamps;
+        // compute the number of returns
+        let count = 1;
+        {
+            let _startIndexIn = startIndexIn;
+            let _startIndexOut = startIndexOut;
+            let skip = true;
+            while (_startIndexIn > 0 || _startIndexOut > 0) {
+                [skip, _startIndexIn, _startIndexOut] =
+                    GeometricBrownianMotion.getNextSample(_startIndexIn, _startIndexOut, timestampsIn, timestampsOut);
+                if (!skip) {
+                    count += 1;
+                }
+            }
+            values = new Array(count);
+            timestamps = new Array(count);
+            values[0] = Num_1.Num.div(pricesOut[startIndexOut], pricesIn[startIndexIn]);
+            timestamps[0] =
+                Num_1.Num.max(timestampsOut[startIndexOut], timestampsIn[startIndexIn]) *
+                    Const_1.Const.ONE;
+        }
+        // compute actual returns
+        {
+            count = 1;
+            let skip = true;
+            while (startIndexIn > 0 || startIndexOut > 0) {
+                [skip, startIndexIn, startIndexOut] =
+                    GeometricBrownianMotion.getNextSample(startIndexIn, startIndexOut, timestampsIn, timestampsOut);
+                if (!skip) {
+                    values[count] = Num_1.Num.div(pricesOut[startIndexOut], pricesIn[startIndexIn]);
+                    timestamps[count] =
+                        Num_1.Num.max(timestampsOut[startIndexOut], timestampsIn[startIndexIn]) *
+                            Const_1.Const.ONE;
+                    count += 1;
+                }
+            }
+        }
+        return [values, timestamps];
+    }
+    /**
+     * @notice Gets asset-pair historical mean/variance from timestamped data
+     * @param values The historical values
+     * @param timestamps The corresponding time deltas, in seconds
+     * @return mean The asset-pair historical return's mean
+     * @return variance asset-pair historical return's variance
+     */
+    static getStatistics(values, timestamps) {
+        let n = values.length;
+        if (n < 2) {
+            return [0n, 0n];
+        }
+        n -= 1;
+        let tWithPrecision = timestamps[n] - timestamps[0];
+        // mean
+        let mean = Num_1.Num.divInt256(LogExpMath_1.LogExpMath.ln(Num_1.Num.divInt256(values[n], values[0])), tWithPrecision);
+        let meanSquare;
+        if (mean < 0) {
+            meanSquare = Num_1.Num.mul(-mean, -mean);
+        }
+        else {
+            meanSquare = Num_1.Num.mul(mean, mean);
+        }
+        // variance
+        let variance = -Num_1.Num.mul(meanSquare, tWithPrecision);
+        for (let i = 1; i <= n; i++) {
+            let d = LogExpMath_1.LogExpMath.ln(Num_1.Num.divInt256(values[i], values[i - 1]));
+            if (d < 0) {
+                d = -d;
+            }
+            let dAbs = d;
+            variance += Num_1.Num.div(Num_1.Num.mul(dAbs, dAbs), timestamps[i] - timestamps[i - 1]);
+        }
+        variance = Num_1.Num.divInt256(variance, BigInt(n) * Const_1.Const.ONE);
+        return [mean, Num_1.Num.positivePart(variance)];
+    }
+    /**
+     * @notice Gets historical prices from a Chainlink data feed
+     * @dev Few specificities:
+     * - it filters out round data with null price or timestamp
+     * - it stops filling the prices/timestamps when:
+     * a) hpParameters.lookbackInRound rounds have already been found
+     * b) time window induced by hpParameters.lookbackInSec is no more satisfied
+     * @param latestRound The round-to-start-from's data including its ID
+     * @param hpParameters The parameters for historical prices retrieval
+     * @return historicalPrices The historical prices of a token
+     * @return historicalTimestamps The timestamps of the reported prices
+     * @return index The last valid index of the returned arrays
+     * @return noMoreDataPoints True if the reported historical prices reaches the lookback time limit
+     */
+    static getHistoricalPrices(latestRound, hpParameters, historicalOracleState) {
+        let latestTimestamp = latestRound.timestamp;
+        // historical price endtimestamp >= lookback window or it reverts
+        let timeLimit = Num_1.Num.sub(hpParameters.timestamp, hpParameters.lookbackInSec);
+        // result variables
+        let prices = new Array(hpParameters.lookbackInRound);
+        let timestamps = new Array(hpParameters.lookbackInRound);
+        let idx = 1;
+        {
+            prices[0] = latestRound.price; // is supposed to be well valid
+            timestamps[0] = latestTimestamp; // is supposed to be well valid
+            if (latestTimestamp < timeLimit) {
+                return [prices, timestamps, 0, true];
+            }
+            let count = 1;
+            // buffer variables
+            let _roundId = latestRound.roundId;
+            while (_roundId >= hpParameters.lookbackStepInRound &&
+                count < hpParameters.lookbackInRound) {
+                _roundId -= hpParameters.lookbackStepInRound;
+                let [_price, _timestamp] = ChainlinkUtils_1.ChainlinkUtils.getRoundData(_roundId, historicalOracleState);
+                if (_price > 0 && _timestamp > 0) {
+                    prices[idx] = _price;
+                    timestamps[idx] = _timestamp;
+                    idx += 1;
+                    if (_timestamp < timeLimit) {
+                        return [prices, timestamps, idx - 1, true];
+                    }
+                }
+                count += 1;
+            }
+        }
+        return [prices, timestamps, idx - 1, false];
+    }
+    /**
+     * @notice Finds the next data point in chronological order
+     * @dev Few considerations:
+     * - data point with same timestamp as previous point are tagged with a 'skip=true'
+     * - when we reach the last point of a token, we consider it's value constant going forward with the other token
+     * As a result the variance of those returns will be underestimated.
+     * @param startIndexIn  The tokenIn historical data's last valid index
+     * @param startIndexOut The tokenOut historical data's last valid index
+     * @param timestampsIn  The timestamps corresponding to the tokenIn's historical prices
+     * @param timestampsOut The timestamps corresponding to the tokenOut's historical prices
+     * @return skip The 'skip' tag
+     * @return startIndexIn The updated startIndexIn
+     * @return startIndexOut The updated startIndexOut
+     */
+    static getNextSample(startIndexIn, startIndexOut, timestampsIn, timestampsOut) {
+        let skip = true;
+        let nextStartIndexIn = startIndexIn > 0 ? startIndexIn - 1 : startIndexIn;
+        let nextStartIndexOut = startIndexOut > 0 ? startIndexOut - 1 : startIndexOut;
+        if (timestampsIn[nextStartIndexIn] == timestampsOut[nextStartIndexOut]) {
+            if (timestampsIn[nextStartIndexIn] != timestampsIn[startIndexIn] &&
+                timestampsOut[nextStartIndexOut] != timestampsOut[startIndexOut]) {
+                skip = false;
+            }
+            if (startIndexIn > 0) {
+                startIndexIn--;
+            }
+            if (startIndexOut > 0) {
+                startIndexOut--;
+            }
+        }
+        else {
+            if (startIndexOut == 0) {
+                if (timestampsIn[nextStartIndexIn] != timestampsIn[startIndexIn]) {
+                    skip = false;
+                }
+                if (startIndexIn > 0) {
+                    startIndexIn--;
+                }
+            }
+            else if (startIndexIn == 0) {
+                if (timestampsOut[nextStartIndexOut] != timestampsOut[startIndexOut]) {
+                    skip = false;
+                }
+                if (startIndexOut > 0) {
+                    startIndexOut--;
+                }
+            }
+            else {
+                if (timestampsIn[nextStartIndexIn] < timestampsOut[nextStartIndexOut]) {
+                    if (timestampsIn[nextStartIndexIn] != timestampsIn[startIndexIn]) {
+                        skip = false;
+                    }
+                    if (startIndexIn > 0) {
+                        startIndexIn--;
+                    }
+                }
+                else {
+                    if (timestampsOut[nextStartIndexOut] != timestampsOut[startIndexOut]) {
+                        skip = false;
+                    }
+                    if (startIndexOut > 0) {
+                        startIndexOut--;
+                    }
+                }
+            }
+        }
+        return [skip, startIndexIn, startIndexOut];
+    }
+    /**
+     * @notice Consolidate the last valid indexes of tokenIn and tokenOut
+     * @param hpDataIn Historical prices data of tokenIn
+     * @param hpDataOut Historical prices data of tokenOut
+     */
+    static consolidateStartIndices(hpDataIn, hpDataOut) {
+        // trim prices/timestamps by adjusting startIndexes
+        if (hpDataIn.timestamps[hpDataIn.startIndex] >
+            hpDataOut.timestamps[hpDataOut.startIndex]) {
+            while (hpDataOut.startIndex > 0 &&
+                hpDataOut.timestamps[hpDataOut.startIndex - 1] <=
+                    hpDataIn.timestamps[hpDataIn.startIndex]) {
+                --hpDataOut.startIndex;
+            }
+        }
+        else if (hpDataIn.timestamps[hpDataIn.startIndex] <
+            hpDataOut.timestamps[hpDataOut.startIndex]) {
+            while (hpDataIn.startIndex > 0 &&
+                hpDataIn.timestamps[hpDataIn.startIndex - 1] <=
+                    hpDataOut.timestamps[hpDataOut.startIndex]) {
+                --hpDataIn.startIndex;
+            }
+        }
+    }
+}
+exports.GeometricBrownianMotion = GeometricBrownianMotion;
+//# sourceMappingURL=GeometricBrownianMotion.js.map

package/build/dex/swaap-v1/libraries/GeometricBrownianMotion.js.map

@@ -0,0 +1 @@
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package/build/dex/swaap-v1/libraries/LogExpMath.d.ts

@@ -0,0 +1,75 @@
+/**
+ * @dev Exponentiation and logarithm functions for 18 decimal fixed point numbers (both base and exponent/argument).
+ *
+ * Exponentiation and logarithm with arbitrary bases (x^y and log_x(y)) are implemented by conversion to natural
+ * exponentiation and logarithm (where the base is Euler's number).
+ *
+ * @author Fernando Martinelli - @fernandomartinelli
+ * @author Sergio Yuhjtman - @sergioyuhjtman
+ * @author Daniel Fernandez - @dmf7z
+ */
+export declare class LogExpMath {
+    static ONE_18: bigint;
+    static ONE_20: bigint;
+    static ONE_36: bigint;
+    static MAX_NATURAL_EXPONENT: bigint;
+    static MIN_NATURAL_EXPONENT: bigint;
+    static LN_36_LOWER_BOUND: bigint;
+    static LN_36_UPPER_BOUND: bigint;
+    static MILD_EXPONENT_BOUND: bigint;
+    static x0: bigint;
+    static a0: bigint;
+    static x1: bigint;
+    static a1: bigint;
+    static x2: bigint;
+    static a2: bigint;
+    static x3: bigint;
+    static a3: bigint;
+    static x4: bigint;
+    static a4: bigint;
+    static x5: bigint;
+    static a5: bigint;
+    static x6: bigint;
+    static a6: bigint;
+    static x7: bigint;
+    static a7: bigint;
+    static x8: bigint;
+    static a8: bigint;
+    static x9: bigint;
+    static a9: bigint;
+    static x10: bigint;
+    static a10: bigint;
+    static x11: bigint;
+    static a11: bigint;
+    /**
+     * @dev Exponentiation (x^y) with unsigned 18 decimal fixed point base and exponent.
+     *
+     * Reverts if ln(x) * y is smaller than `MIN_NATURAL_EXPONENT`, or larger than `MAX_NATURAL_EXPONENT`.
+     */
+    static pow(x: bigint, y: bigint): bigint;
+    /**
+     * @dev Natural exponentiation (e^x) with signed 18 decimal fixed point exponent.
+     *
+     * Reverts if `x` is smaller than MIN_NATURAL_EXPONENT, or larger than `MAX_NATURAL_EXPONENT`.
+     */
+    static exp(x: bigint): bigint;
+    /**
+     * @dev Logarithm (log(arg, base), with signed 18 decimal fixed point base and argument.
+     */
+    static log(arg: bigint, base: bigint): bigint;
+    /**
+     * @dev Natural logarithm (ln(a)) with signed 18 decimal fixed point argument.
+     */
+    static ln(a: bigint): bigint;
+    /**
+     * @dev Internal natural logarithm (ln(a)) with signed 18 decimal fixed point argument.
+     */
+    static _ln(a: bigint): bigint;
+    /**
+     * @dev Intrnal high precision (36 decimal places) natural logarithm (ln(x)) with signed 18 decimal fixed point argument,
+     * for x close to one.
+     *
+     * Should only be used if x is between LN_36_LOWER_BOUND and LN_36_UPPER_BOUND.
+     */
+    static _ln_36(x: bigint): bigint;
+}