@pendle/core-v2 2.16.0 → 2.17.0-tradingbot

package/contracts/core/TradingBot/BotDecisionLib.sol

@@ -0,0 +1,272 @@
+// SPDX-License-Identifier: GPL-3.0-or-later
+pragma solidity ^0.8.0;
+
+import "./BotSimulationLib.sol";
+import "../libraries/Errors.sol";
+
+struct LongTradingSpecs {
+    uint256 lowerIyLimit; // apeYtApy
+    uint256 upperIyLimit; // sellYtApy
+    uint256 floatingSyRatioLimit; // r
+    uint256 ytPtRatioLimit; // ytPtRatio (x)
+}
+
+enum ActionType {
+    SwapSyToYt, // Buy YT with SY
+    AddLiqKeepYt, // ZPI Zap
+    AddLiqFromSy, // Single sided LP
+    AddLiqFromYt, // Sell YT for LP
+    RemoveLiqToYt, // Zap out to YT,
+    NONE
+}
+
+enum StrategyFlag {
+    GOOD,
+    TOO_LOW,
+    TOO_HIGH
+}
+
+struct StrategyState {
+    StrategyFlag iyFlag;
+    StrategyFlag syRatioFlag;
+}
+
+library BotDecisionLib {
+    using MarketExtLib for MarketExtState;
+    using MarketExtLib for ApproxParams;
+    using BotSimulationLib for BotState;
+    using Math for uint256;
+
+    enum RebalanceResult {
+        FAIL,
+        OLD_STATE,
+        NEW_STATE
+    }
+
+    struct RebalanceDetails {
+        BotState bot;
+        MarketExtState marketExt;
+        LongTradingSpecs specs;
+        ActionType action;
+        StrategyState oldState;
+    }
+
+    /**
+     * Finds the smallest paramater such that the bot reaches a new state, otherwise finds the
+     * largest parameter possible that doesn't fail.
+     *
+     * @param botParams ApproxParams for this binary search function
+     * @param oldState The initial StrategyState, to be moved away from
+     * @param intParams ApproxParams for internal action's approximation (e.g. for router's swap)
+     * @dev For `botParams`, eps = the precision such that slightly lower
+     * ((return value) * (1 - eps)) does not reach a new state
+     *
+     * - Returns `botParams.guessOffchain` if verifies that it reaches a new state,
+     * and slightly lower does not reach a new state.
+     * - Reverts if `botParams.guessMin` is invalid, or returns `botParams.guessMin` if reaches a
+     * new state
+     * - Returns `botParams.guessMax` if it is valid & does not reach a new state
+     * - Otherwise, binary search for `guess` such that it reaches a new state, and slightly lower
+     * does not reach a new state
+     *
+     */
+    function binarySearchUntilSwitchState(
+        BotState memory bot,
+        MarketExtState memory marketExt,
+        LongTradingSpecs memory specs,
+        ActionType action,
+        StrategyState memory oldState,
+        ApproxParams memory botParams,
+        ApproxParams memory intParams
+    ) internal pure returns (uint256) {
+        RebalanceDetails memory rebalance = RebalanceDetails(
+            bot,
+            marketExt,
+            specs,
+            action,
+            oldState
+        );
+
+        if (botParams.guessOffchain != 0) {
+            uint256 guessOffchainMinusDelta = botParams.guessOffchain.mulDown(
+                Math.ONE - botParams.eps
+            );
+            if (
+                _rebalanceResult(rebalance, botParams.guessOffchain, intParams) ==
+                RebalanceResult.NEW_STATE &&
+                _rebalanceResult(rebalance, guessOffchainMinusDelta, intParams) ==
+                RebalanceResult.OLD_STATE
+            ) return botParams.guessOffchain;
+        }
+
+        {
+            uint256 guessUpperBound = _weakUpperBound(bot, marketExt, action);
+            if (botParams.guessMax > guessUpperBound) botParams.guessMax = guessUpperBound;
+            if (botParams.guessMin > botParams.guessMax)
+                revert Errors.BotBinarySearchInvalidRange(
+                    uint256(action),
+                    botParams.guessMin,
+                    botParams.guessMax
+                );
+
+            if (
+                _rebalanceResult(rebalance, botParams.guessMax, intParams) ==
+                RebalanceResult.OLD_STATE
+            ) return botParams.guessMax;
+        }
+
+        {
+            RebalanceResult guessMinResult = _rebalanceResult(
+                rebalance,
+                botParams.guessMin,
+                intParams
+            );
+            if (guessMinResult == RebalanceResult.FAIL)
+                revert Errors.BotBinarySearchGuessMinInvalid(uint256(action), botParams.guessMin);
+            if (guessMinResult == RebalanceResult.NEW_STATE) return botParams.guessMin;
+        }
+
+        for (uint256 iter = 0; iter < botParams.maxIteration; ++iter) {
+            uint256 guess = botParams.guessMin + (botParams.guessMax - botParams.guessMin) / 2;
+
+            if (_rebalanceResult(rebalance, guess, intParams) == RebalanceResult.OLD_STATE) {
+                botParams.guessMin = guess;
+            } else {
+                botParams.guessMax = guess;
+            }
+
+            if (Math.isASmallerApproxB(botParams.guessMin, botParams.guessMax, botParams.eps)) {
+                if (
+                    _rebalanceResult(rebalance, botParams.guessMax, intParams) ==
+                    RebalanceResult.FAIL
+                ) return botParams.guessMin;
+
+                return botParams.guessMax;
+            }
+        }
+
+        revert Errors.BotBinarySearchFail();
+    }
+
+    function _rebalanceResult(
+        RebalanceDetails memory rebalance,
+        uint256 botParam,
+        ApproxParams memory intParams
+    ) private pure returns (RebalanceResult) {
+        (bool success, StrategyState memory newState) = _stateAfterRebalance(
+            rebalance,
+            botParam,
+            intParams
+        );
+
+        if (!success) return RebalanceResult.FAIL;
+        if (_sameStrategyState(rebalance.oldState, newState)) return RebalanceResult.OLD_STATE;
+        return RebalanceResult.NEW_STATE;
+    }
+
+    function _sameStrategyState(
+        StrategyState memory initialState,
+        StrategyState memory otherState
+    ) private pure returns (bool) {
+        return
+            (initialState.iyFlag == otherState.iyFlag) &&
+            (initialState.syRatioFlag == otherState.syRatioFlag);
+    }
+
+    function _stateAfterRebalance(
+        RebalanceDetails memory rebalance,
+        uint256 botParam,
+        ApproxParams memory intParams
+    ) private pure returns (bool success, StrategyState memory currentState) {
+        BotState memory botClone = rebalance.bot.clone();
+        MarketExtState memory marketExtClone = rebalance.marketExt.clone();
+
+        if (rebalance.action == ActionType.SwapSyToYt) {
+            success = botClone.swapSyToYt(marketExtClone, botParam);
+        } else if (rebalance.action == ActionType.AddLiqKeepYt) {
+            success = botClone.addLiqKeepYt(marketExtClone, botParam);
+        } else if (rebalance.action == ActionType.AddLiqFromSy) {
+            success = botClone.addLiqFromSy(marketExtClone, botParam);
+        } else if (rebalance.action == ActionType.AddLiqFromYt) {
+            success = botClone.addLiqFromYt(marketExtClone, botParam);
+        } else if (rebalance.action == ActionType.RemoveLiqToYt) {
+            success = botClone.removeLiqToYt(marketExtClone, botParam, intParams.clone());
+        } else {
+            success = false;
+        }
+
+        if (success) {
+            currentState = strategyState(botClone, marketExtClone, rebalance.specs);
+        }
+    }
+
+    /// @dev Gives a weak upper bound so that MarketExtLib's simulation doesn't revert
+    function _weakUpperBound(
+        BotState memory bot,
+        MarketExtState memory marketExt,
+        ActionType action
+    ) private pure returns (uint256) {
+        if (action == ActionType.SwapSyToYt) {
+            return marketExt.calcMaxPtIn();
+        } else if (action == ActionType.AddLiqKeepYt) {
+            return bot.syBalance;
+        } else if (action == ActionType.AddLiqFromSy) {
+            return marketExt.calcMaxPtOut();
+        } else if (action == ActionType.AddLiqFromYt) {
+            return marketExt.calcMaxPtOut();
+        } else if (action == ActionType.RemoveLiqToYt) {
+            return bot.lpBalance;
+        } else {
+            return 0;
+        }
+    }
+
+    function strategyState(
+        BotState memory bot,
+        MarketExtState memory marketExt,
+        LongTradingSpecs memory specs
+    ) internal pure returns (StrategyState memory currentState) {
+        uint256 iy = marketExt.impliedYield();
+        (, uint256 ptInLp) = marketExt.previewAssetsFromLp(bot.lpBalance);
+        uint256 currentYtPtRatio = (
+            ptInLp == 0 ? type(uint256).max : bot.ytBalance.divDown(ptInLp)
+        );
+
+        if (iy < specs.lowerIyLimit) {
+            currentState.iyFlag = StrategyFlag.TOO_LOW;
+        } else if (specs.upperIyLimit < iy && currentYtPtRatio > specs.ytPtRatioLimit) {
+            currentState.iyFlag = StrategyFlag.TOO_HIGH;
+        } else {
+            currentState.iyFlag = StrategyFlag.GOOD;
+        }
+
+        uint256 currentSyRatio = bot.syBalance.divDown(bot.tvlInSy(marketExt));
+        if (currentSyRatio > specs.floatingSyRatioLimit) {
+            currentState.syRatioFlag = StrategyFlag.TOO_HIGH;
+        } else {
+            currentState.syRatioFlag = StrategyFlag.GOOD;
+        }
+    }
+
+    function actionToTake(StrategyState memory currentState) internal pure returns (ActionType) {
+        if (currentState.iyFlag == StrategyFlag.TOO_LOW) {
+            if (currentState.syRatioFlag == StrategyFlag.TOO_HIGH) {
+                return ActionType.SwapSyToYt;
+            } else {
+                return ActionType.RemoveLiqToYt;
+            }
+        } else if (currentState.iyFlag == StrategyFlag.GOOD) {
+            if (currentState.syRatioFlag == StrategyFlag.TOO_HIGH) {
+                return ActionType.AddLiqKeepYt;
+            } else {
+                return ActionType.NONE;
+            }
+        } else {
+            if (currentState.syRatioFlag == StrategyFlag.TOO_HIGH) {
+                return ActionType.AddLiqFromSy;
+            } else {
+                return ActionType.AddLiqFromYt;
+            }
+        }
+    }
+}

package/contracts/core/TradingBot/BotSimulationLib.sol

@@ -0,0 +1,115 @@
+// SPDX-License-Identifier: GPL-3.0-or-later
+pragma solidity ^0.8.0;
+
+import "./MarketExtLib.sol";
+
+struct BotState {
+    uint256 lpBalance;
+    uint256 ytBalance;
+    uint256 syBalance;
+}
+
+library BotSimulationLib {
+    using MarketMathCore for MarketState;
+    using MarketExtLib for MarketExtState;
+    using Math for uint256;
+    using Math for int256;
+
+    function swapSyToYt(
+        BotState memory bot,
+        MarketExtState memory marketExt,
+        uint256 exactYtOut
+    ) internal pure returns (bool /*success*/) {
+        uint256 netSyIn = marketExt.swapSyToYt(exactYtOut);
+
+        if (netSyIn > bot.syBalance) return false;
+
+        bot.syBalance -= netSyIn;
+        bot.ytBalance += exactYtOut;
+
+        return true;
+    }
+
+    function addLiqKeepYt(
+        BotState memory bot,
+        MarketExtState memory marketExt,
+        uint256 netSyIn
+    ) internal pure returns (bool /*success*/) {
+        if (netSyIn > bot.syBalance) return false;
+
+        (uint256 netLpOut, uint256 netYtOut) = marketExt.addLiqKeepYt(netSyIn);
+
+        bot.syBalance -= netSyIn;
+        bot.lpBalance += netLpOut;
+        bot.ytBalance += netYtOut;
+
+        return true;
+    }
+
+    function addLiqFromSy(
+        BotState memory bot,
+        MarketExtState memory marketExt,
+        uint256 netPtFromSwap
+    ) internal pure returns (bool /*success*/) {
+        (uint256 netLpOut, uint256 netSyIn) = marketExt.addLiqFromSy(netPtFromSwap);
+
+        if (netSyIn > bot.syBalance) return false;
+
+        bot.syBalance -= netSyIn;
+        bot.lpBalance += netLpOut;
+
+        return true;
+    }
+
+    function addLiqFromYt(
+        BotState memory bot,
+        MarketExtState memory marketExt,
+        uint256 netPtFromSwap
+    ) internal pure returns (bool /*success*/) {
+        (uint256 netLpOut, uint256 netYtIn) = marketExt.addLiqFromYt(netPtFromSwap);
+
+        if (netYtIn > bot.ytBalance) return false;
+
+        bot.ytBalance -= netYtIn;
+        bot.lpBalance += netLpOut;
+
+        return true;
+    }
+
+    function removeLiqToYt(
+        BotState memory bot,
+        MarketExtState memory marketExt,
+        uint256 netLpToRemove,
+        ApproxParams memory approxParams
+    ) internal pure returns (bool /*success*/) {
+        if (netLpToRemove > bot.lpBalance) return false;
+
+        uint256 netYtOut = marketExt.removeLiqToYt(netLpToRemove, approxParams);
+
+        bot.lpBalance -= netLpToRemove;
+        bot.ytBalance += netYtOut;
+
+        return true;
+    }
+
+    /// @dev Only for estimation, does not reflect exact SY amount that would be redeemed
+    function tvlInSy(
+        BotState memory bot,
+        MarketExtState memory marketExt
+    ) internal pure returns (uint256) {
+        (uint256 syInLp, uint256 ptInLp) = marketExt.previewAssetsFromLp(bot.lpBalance);
+        uint256 totalValue = bot.syBalance + syInLp;
+        if (ptInLp <= bot.ytBalance) {
+            totalValue += marketExt.previewPyToSy(ptInLp);
+            totalValue += marketExt.clone().swapYtToSy(bot.ytBalance - ptInLp);
+        } else {
+            totalValue += marketExt.previewPyToSy(bot.ytBalance);
+            totalValue += marketExt.clone().swapPtToSy(ptInLp - bot.ytBalance);
+        }
+        return totalValue;
+    }
+
+    function clone(BotState memory bot) internal pure returns (BotState memory) {
+        return BotState(bot.lpBalance, bot.ytBalance, bot.syBalance);
+    }
+}

package/contracts/core/TradingBot/LongYieldTradingBot.sol

@@ -0,0 +1,148 @@
+// SPDX-License-Identifier: GPL-3.0-or-later
+pragma solidity 0.8.17;
+
+import "./TradingBotBase.sol";
+import "./BotActionHelper.sol";
+import "./BotDecisionLib.sol";
+import "../../interfaces/TradingBot/ILongYieldTradingBot.sol";
+import "@openzeppelin/contracts/proxy/utils/UUPSUpgradeable.sol";
+
+contract LongYieldTradingBot is
+    TradingBotBase,
+    BotActionHelper,
+    ILongYieldTradingBot,
+    UUPSUpgradeable
+{
+    LongTradingSpecs public specs;
+
+    constructor(
+        address _market,
+        address _PENDLE,
+        LongTradingSpecs memory _specs
+    ) TradingBotBase(_market, _PENDLE) {
+        specs = _specs;
+    }
+
+    function _authorizeUpgrade(address) internal override onlyOwner {}
+
+    function initialize() external initializer {
+        __BoringOwnable_init();
+    }
+
+    function setSpecs(LongTradingSpecs calldata _specs) external onlyOwner {
+        specs = _specs;
+    }
+
+    function swapSyToYt(
+        address router,
+        StrategyState memory oldState,
+        ApproxParams calldata botParams,
+        uint256 minYtOut,
+        uint256 maxSyIn
+    ) external onlyOwner returns (uint256 exactYtOut, uint256 netSyIn) {
+        exactYtOut = BotDecisionLib.binarySearchUntilSwitchState(
+            readBotState(),
+            readMarketExtState(router),
+            specs,
+            ActionType.SwapSyToYt,
+            oldState,
+            botParams,
+            botParams // only placeholder, value doesn't matter
+        );
+
+        if (exactYtOut < minYtOut) revert Errors.BotInsufficientYtOut(exactYtOut, minYtOut);
+        netSyIn = _swapSyToYt(router, exactYtOut, maxSyIn);
+
+        emit SwapSyToYt(oldState, botParams, maxSyIn, exactYtOut, netSyIn);
+    }
+
+    function addLiqKeepYt(
+        address router,
+        StrategyState memory oldState,
+        ApproxParams calldata botParams,
+        uint256 maxSyIn,
+        uint256 minLpOut,
+        uint256 minYtOut
+    ) external onlyOwner returns (uint256 netSyIn, uint256 netLpOut, uint256 netYtOut) {
+        netSyIn = BotDecisionLib.binarySearchUntilSwitchState(
+            readBotState(),
+            readMarketExtState(router),
+            specs,
+            ActionType.AddLiqKeepYt,
+            oldState,
+            botParams,
+            botParams // only placeholder, value doesn't matter
+        );
+
+        if (netSyIn > maxSyIn) revert Errors.BotExceededLimitSyIn(netSyIn, maxSyIn);
+        (netLpOut, netYtOut) = _addLiqKeepYt(router, netSyIn, minLpOut, minYtOut);
+
+        emit AddLiqKeepYt(oldState, botParams, maxSyIn, netSyIn, netLpOut, netYtOut);
+    }
+
+    function addLiqFromSy(
+        StrategyState memory oldState,
+        ApproxParams calldata botParams,
+        uint256 minLpOut,
+        uint256 maxSyIn
+    ) external onlyOwner returns (uint256 netLpOut, uint256 netSyIn) {
+        uint256 netPtFromSwap = BotDecisionLib.binarySearchUntilSwitchState(
+            readBotState(),
+            readMarketExtState(address(this)),
+            specs,
+            ActionType.AddLiqFromSy,
+            oldState,
+            botParams,
+            botParams // only placeholder, value doesn't matter
+        );
+
+        (netLpOut, netSyIn) = _addLiqFromSy(netPtFromSwap, minLpOut, maxSyIn);
+
+        emit AddLiqFromSy(oldState, botParams, maxSyIn, netSyIn, netLpOut);
+    }
+
+    function addLiqFromYt(
+        StrategyState memory oldState,
+        ApproxParams calldata botParams,
+        uint256 minLpOut,
+        uint256 maxYtIn
+    ) external onlyOwner returns (uint256 netLpOut, uint256 netYtIn) {
+        uint256 netPtFromSwap = BotDecisionLib.binarySearchUntilSwitchState(
+            readBotState(),
+            readMarketExtState(address(this)),
+            specs,
+            ActionType.AddLiqFromYt,
+            oldState,
+            botParams,
+            botParams // only placeholder, value doesn't matter
+        );
+        (netLpOut, netYtIn) = _addLiqFromYt(netPtFromSwap, minLpOut, maxYtIn);
+
+        emit AddLiqFromYt(oldState, botParams, maxYtIn, netYtIn, netLpOut);
+    }
+
+    function removeLiqToYt(
+        StrategyState memory oldState,
+        ApproxParams calldata botParams,
+        ApproxParams calldata guessTotalPtToSwap,
+        uint256 maxLpRemoved,
+        uint256 minYtOut
+    ) external onlyOwner returns (uint256 netLpRemoved, uint256 netYtOut) {
+        netLpRemoved = BotDecisionLib.binarySearchUntilSwitchState(
+            readBotState(),
+            readMarketExtState(address(this)),
+            specs,
+            ActionType.RemoveLiqToYt,
+            oldState,
+            botParams,
+            guessTotalPtToSwap // value DOES matter
+        );
+
+        if (netLpRemoved > maxLpRemoved)
+            revert Errors.BotExceededLimitLpToRemove(netLpRemoved, maxLpRemoved);
+
+        netYtOut = _removeLiqToYt(netLpRemoved, guessTotalPtToSwap, minYtOut);
+
+        emit RemoveLiqToYt(oldState, botParams, maxLpRemoved, netLpRemoved, netYtOut);
+    }
+}