@paraswap/dex-lib 3.8.24 → 3.8.26

package/src/dex/oswap/oswap-integration.test.ts

@@ -0,0 +1,291 @@
+/* eslint-disable no-console */
+import dotenv from 'dotenv';
+dotenv.config();
+
+import { DummyDexHelper } from '../../dex-helper/index';
+import { Network, SwapSide } from '../../constants';
+import { BI_POWS } from '../../bigint-constants';
+import { MultiCallParams } from '../../lib/multi-wrapper';
+import { uint256ToBigInt } from '../../lib/decoders';
+import { getBigIntPow } from '../../utils';
+import {
+  checkPoolPrices,
+  checkPoolsLiquidity,
+  checkConstantPoolPrices,
+} from '../../../tests/utils';
+import { Tokens } from '../../../tests/constants-e2e';
+import { Address } from '../../types';
+import { OSwap } from './oswap';
+import { OSwapPool } from './types';
+
+async function getOnchainTraderates(
+  oswap: OSwap,
+  pool: OSwapPool,
+  blockNumber: number,
+): Promise<{ traderate0: bigint; traderate1: bigint }> {
+  const callData: MultiCallParams<bigint>[] = [
+    {
+      target: pool.address,
+      callData: oswap.iOSwap.encodeFunctionData('traderate0', []),
+      decodeFunction: uint256ToBigInt,
+    },
+    {
+      target: pool.address,
+      callData: oswap.iOSwap.encodeFunctionData('traderate1', []),
+      decodeFunction: uint256ToBigInt,
+    },
+  ];
+
+  const results = await oswap.dexHelper.multiWrapper.aggregate<bigint>(
+    callData,
+    blockNumber,
+    oswap.dexHelper.multiWrapper.defaultBatchSize,
+  );
+
+  return { traderate0: results[0], traderate1: results[1] };
+}
+
+// Check prices passed as arguments against prices calculated from on-chain data.
+async function checkOnChainPricing(
+  oswap: OSwap,
+  pool: OSwapPool,
+  blockNumber: number,
+  prices: bigint[],
+  side: SwapSide,
+  srcAddress: Address,
+  destAddress: Address,
+  amounts: bigint[],
+) {
+  // Get the onchain trade rates from the pool and calculate the prices.
+  const data = await getOnchainTraderates(oswap, pool, blockNumber);
+  let expectedPrices: bigint[] = [];
+  for (const amount of amounts) {
+    const rate =
+      srcAddress.toLowerCase() === pool.token0
+        ? data.traderate0
+        : data.traderate1;
+    if (side === SwapSide.SELL) {
+      expectedPrices.push((amount * rate) / getBigIntPow(36));
+    } else {
+      // SwapSide.BUY
+      expectedPrices.push((amount * getBigIntPow(36)) / rate);
+    }
+  }
+  expect(prices).toEqual(expectedPrices);
+}
+
+async function testPricingOnNetwork(
+  oswap: OSwap,
+  network: Network,
+  dexKey: string,
+  blockNumber: number,
+  srcTokenSymbol: string,
+  destTokenSymbol: string,
+  side: SwapSide,
+  amounts: bigint[],
+) {
+  const networkTokens = Tokens[network];
+  const srcToken = networkTokens[srcTokenSymbol];
+  const destToken = networkTokens[destTokenSymbol];
+
+  const poolIds = await oswap.getPoolIdentifiers(
+    srcToken,
+    destToken,
+    side,
+    blockNumber,
+  );
+  console.log(
+    `${srcTokenSymbol} <> ${destTokenSymbol} Pool Identifiers: ${poolIds}`,
+  );
+
+  expect(poolIds.length).toBeGreaterThan(0);
+
+  // Get calculated prices based on the stored state.
+  const poolPrices = await oswap.getPricesVolume(
+    srcToken,
+    destToken,
+    amounts,
+    side,
+    blockNumber,
+    poolIds,
+  );
+  console.log(
+    `${side} ${srcTokenSymbol} <> ${destTokenSymbol} Pool Prices: `,
+    poolPrices,
+  );
+
+  expect(poolPrices).not.toBeNull();
+  if (oswap.hasConstantPriceLargeAmounts) {
+    checkConstantPoolPrices(poolPrices!, amounts, dexKey);
+  } else {
+    checkPoolPrices(poolPrices!, amounts, side, dexKey);
+  }
+
+  // Check that the prices calculated from onchain data match with the ones calculated from the stored state.
+  const pool = oswap.getPoolById(poolIds[0]);
+  expect(pool).not.toBeNull();
+  await checkOnChainPricing(
+    oswap,
+    pool as OSwapPool,
+    blockNumber,
+    poolPrices![0].prices,
+    side,
+    srcToken.address,
+    destToken.address,
+    amounts,
+  );
+}
+
+describe('OSwap', function () {
+  const dexKey = 'OSwap';
+  let blockNumber: number;
+  let oswap: OSwap;
+
+  describe('Mainnet', () => {
+    const network = Network.MAINNET;
+    const dexHelper = new DummyDexHelper(network);
+
+    const tokens = Tokens[network];
+
+    const srcTokenSymbol = 'WETH';
+    const destTokenSymbol = 'STETH';
+
+    const amountsForSell = [
+      0n,
+      1n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      2n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      3n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      4n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      5n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      6n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      7n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      8n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      9n * BI_POWS[tokens[srcTokenSymbol].decimals],
+      10n * BI_POWS[tokens[srcTokenSymbol].decimals],
+    ];
+
+    const amountsForBuy = [
+      0n,
+      1n * BI_POWS[tokens[destTokenSymbol].decimals],
+      2n * BI_POWS[tokens[destTokenSymbol].decimals],
+      3n * BI_POWS[tokens[destTokenSymbol].decimals],
+      4n * BI_POWS[tokens[destTokenSymbol].decimals],
+      5n * BI_POWS[tokens[destTokenSymbol].decimals],
+      6n * BI_POWS[tokens[destTokenSymbol].decimals],
+      7n * BI_POWS[tokens[destTokenSymbol].decimals],
+      8n * BI_POWS[tokens[destTokenSymbol].decimals],
+      9n * BI_POWS[tokens[destTokenSymbol].decimals],
+      10n * BI_POWS[tokens[destTokenSymbol].decimals],
+    ];
+
+    // Return a blockNumber to use for the tests.
+    // Check that the pool has enough liquidity to run the tests at the current blockNumber.
+    // If not, fallback to a known blockNumber in the past with
+    // high enough liquidity - the on-chain queries will just be a bit slower to execute.
+    async function getBlockNumberForTesting(oswap: OSwap): Promise<number> {
+      const DEFAULT_BLOCK_NUMBER = 18888241;
+
+      blockNumber = await dexHelper.web3Provider.eth.getBlockNumber();
+      const srcToken = Tokens[network][srcTokenSymbol];
+      const destToken = Tokens[network][destTokenSymbol];
+
+      // Get the pool and its state for the given test pair.
+      const pool = oswap.getPoolByTokenPair(srcToken, destToken);
+      if (!pool)
+        throw new Error(
+          `No pool found for pair ${srcTokenSymbol}-${destTokenSymbol}`,
+        );
+
+      const eventPool = oswap.eventPools[pool.id];
+      const state = await eventPool.getStateOrGenerate(blockNumber, true);
+
+      const minBalance =
+        state.balance0 < state.balance1 ? state.balance0 : state.balance1;
+      const maxAmount = [...amountsForSell, ...amountsForBuy].reduce(
+        (max, amount) => (amount > max ? amount : max),
+      );
+      const hasEnoughLiquidity = BigInt(minBalance) > maxAmount;
+
+      if (!hasEnoughLiquidity) {
+        return DEFAULT_BLOCK_NUMBER;
+      }
+      return blockNumber;
+    }
+
+    beforeAll(async () => {
+      oswap = new OSwap(network, dexKey, dexHelper);
+
+      blockNumber = await getBlockNumberForTesting(oswap);
+    });
+
+    it('getPoolIdentifiers and getPricesVolume SELL', async function () {
+      await testPricingOnNetwork(
+        oswap,
+        network,
+        dexKey,
+        blockNumber,
+        srcTokenSymbol,
+        destTokenSymbol,
+        SwapSide.SELL,
+        amountsForSell,
+      );
+    });
+
+    it('getPoolIdentifiers and getPricesVolume BUY', async function () {
+      await testPricingOnNetwork(
+        oswap,
+        network,
+        dexKey,
+        blockNumber,
+        srcTokenSymbol,
+        destTokenSymbol,
+        SwapSide.BUY,
+        amountsForBuy,
+      );
+    });
+
+    it(`getTopPoolsForToken ${srcTokenSymbol}`, async function () {
+      // We have to check without calling initializePricing, because
+      // pool-tracker is not calling that function
+      const newOSwap = new OSwap(network, dexKey, dexHelper);
+      await newOSwap.updatePoolState?.();
+
+      const poolLiquidity = await newOSwap.getTopPoolsForToken(
+        tokens[srcTokenSymbol].address,
+        10,
+      );
+
+      console.log(`${srcTokenSymbol} top pools:`, poolLiquidity);
+
+      if (!newOSwap.hasConstantPriceLargeAmounts) {
+        checkPoolsLiquidity(
+          poolLiquidity,
+          Tokens[network][srcTokenSymbol].address,
+          dexKey,
+        );
+      }
+    });
+
+    it(`getTopPoolsForToken ${destTokenSymbol}`, async function () {
+      // We have to check without calling initializePricing, because
+      // pool-tracker is not calling that function
+      const newOSwap = new OSwap(network, dexKey, dexHelper);
+      await newOSwap.updatePoolState?.();
+
+      const poolLiquidity = await newOSwap.getTopPoolsForToken(
+        tokens[destTokenSymbol].address,
+        10,
+      );
+
+      console.log(`${destTokenSymbol} top pools:`, poolLiquidity);
+
+      if (!newOSwap.hasConstantPriceLargeAmounts) {
+        checkPoolsLiquidity(
+          poolLiquidity,
+          Tokens[network][destTokenSymbol].address,
+          dexKey,
+        );
+      }
+    });
+  });
+});

package/src/dex/oswap/oswap-pool.ts

@@ -0,0 +1,190 @@
+import { Interface } from '@ethersproject/abi';
+import { DeepReadonly } from 'ts-essentials';
+import { Log, Logger, Token } from '../../types';
+import { catchParseLogError } from '../../utils';
+import { StatefulEventSubscriber } from '../../stateful-event-subscriber';
+import { IDexHelper } from '../../dex-helper/idex-helper';
+import { MultiCallParams } from '../../lib/multi-wrapper';
+import { uint256ToBigInt } from '../../lib/decoders';
+import { OSwapPool, OSwapPoolState } from './types';
+import OSwapABI from '../../abi/oswap/oswap.abi.json';
+import ERC20ABI from '../../abi/ERC20.abi.json';
+
+export class OSwapEventPool extends StatefulEventSubscriber<OSwapPoolState> {
+  handlers: {
+    [event: string]: (
+      event: any,
+      state: DeepReadonly<OSwapPoolState>,
+      log: Readonly<Log>,
+    ) => DeepReadonly<OSwapPoolState> | null;
+  } = {};
+
+  logDecoder: (log: Log) => any;
+
+  addressesSubscribed: string[];
+
+  constructor(
+    readonly parentName: string,
+    readonly pool: OSwapPool,
+    protected network: number,
+    protected dexHelper: IDexHelper,
+    logger: Logger,
+    protected iOSwap = new Interface(OSwapABI),
+    protected iERC20 = new Interface(ERC20ABI),
+  ) {
+    super(parentName, pool.id, dexHelper, logger);
+
+    this.logDecoder = (log: Log) => this.parseLog(log);
+
+    this.addressesSubscribed = [pool.address, pool.token0, pool.token1];
+    this.handlers['TraderateChanged'] = this.handleTraderateChanged.bind(this);
+    this.handlers['Transfer'] = this.handleTransfer.bind(this);
+  }
+
+  protected parseLog(log: Log) {
+    if (log.address.toLowerCase() === this.pool.address) {
+      return this.iOSwap.parseLog(log);
+    }
+    return this.iERC20.parseLog(log);
+  }
+
+  /**
+   * The function is called every time any of the subscribed
+   * addresses release log. The function accepts the current
+   * state, updates the state according to the log, and returns
+   * the updated state.
+   * @param state - Current state of event subscriber
+   * @param log - Log released by one of the subscribed addresses
+   * @returns Updates state of the event subscriber after the log
+   */
+  protected processLog(
+    state: DeepReadonly<OSwapPoolState>,
+    log: Readonly<Log>,
+  ): DeepReadonly<OSwapPoolState> | null {
+    try {
+      const event = this.logDecoder(log);
+      if (event.name in this.handlers) {
+        return this.handlers[event.name](event, state, log);
+      }
+    } catch (e) {
+      catchParseLogError(e, this.logger);
+    }
+
+    return null;
+  }
+
+  /**
+   * The function generates state using on-chain calls. This
+   * function is called to regenerate state if the event based
+   * system fails to fetch events and the local state is no
+   * more correct.
+   * @param blockNumber - Blocknumber for which the state should
+   * should be generated
+   * @returns state of the event subscriber at blocknumber
+   */
+  async generateState(
+    blockNumber: number,
+  ): Promise<DeepReadonly<OSwapPoolState>> {
+    const iERC20 = new Interface(ERC20ABI);
+    const callData: MultiCallParams<bigint>[] = [
+      {
+        target: this.pool.token0,
+        callData: iERC20.encodeFunctionData('balanceOf', [this.pool.address]),
+        decodeFunction: uint256ToBigInt,
+      },
+      {
+        target: this.pool.token1,
+        callData: iERC20.encodeFunctionData('balanceOf', [this.pool.address]),
+        decodeFunction: uint256ToBigInt,
+      },
+      {
+        target: this.pool.address,
+        callData: this.iOSwap.encodeFunctionData('traderate0', []),
+        decodeFunction: uint256ToBigInt,
+      },
+      {
+        target: this.pool.address,
+        callData: this.iOSwap.encodeFunctionData('traderate1', []),
+        decodeFunction: uint256ToBigInt,
+      },
+    ];
+
+    const results = await this.dexHelper.multiWrapper.aggregate<bigint>(
+      callData,
+      blockNumber,
+      this.dexHelper.multiWrapper.defaultBatchSize,
+    );
+
+    return {
+      balance0: results[0].toString(),
+      balance1: results[1].toString(),
+      traderate0: results[2].toString(),
+      traderate1: results[3].toString(),
+    };
+  }
+
+  async getStateOrGenerate(
+    blockNumber: number,
+    readonly: boolean = true,
+  ): Promise<OSwapPoolState> {
+    let state = this.getState(blockNumber);
+    if (!state) {
+      state = await this.generateState(blockNumber);
+      if (!readonly) this.setState(state, blockNumber);
+    }
+    return state;
+  }
+
+  /**
+   * Handle a trade rate change on the pool.
+   */
+  handleTraderateChanged(
+    event: any,
+    state: DeepReadonly<OSwapPoolState>,
+    log: Readonly<Log>,
+  ): DeepReadonly<OSwapPoolState> | null {
+    return {
+      ...state,
+      traderate0: event.args.traderate0.toBigInt(),
+      traderate1: event.args.traderate1.toBigInt(),
+    };
+  }
+
+  /**
+   * Process the transfer events for tokens in/out of the pool
+   * to keep the state's token balances up to date.
+   */
+  handleTransfer(
+    event: any,
+    state: DeepReadonly<OSwapPoolState>,
+    log: Readonly<Log>,
+  ): DeepReadonly<OSwapPoolState> | null {
+    let balance0: bigint = BigInt(state.balance0);
+    let balance1: bigint = BigInt(state.balance1);
+
+    const tokenAddress = log.address.toLowerCase();
+    const fromAddress = event.args.from.toLowerCase();
+    const toAddress = event.args.to.toLowerCase();
+    const amount = event.args.value.toBigInt();
+
+    if (fromAddress == this.pool.address) {
+      if (tokenAddress === this.pool.token0) {
+        balance0 -= amount;
+      } else if (tokenAddress === this.pool.token1) {
+        balance1 -= amount;
+      }
+    } else if (toAddress == this.pool.address) {
+      if (tokenAddress === this.pool.token0) {
+        balance0 += amount;
+      } else if (tokenAddress === this.pool.token1) {
+        balance1 += amount;
+      }
+    }
+
+    return {
+      ...state,
+      balance0: balance0.toString(),
+      balance1: balance1.toString(),
+    };
+  }
+}