@pendle/core-v2 2.18.0 → 2.19.0-tradingbot

package/contracts/core/TradingBot/README.md

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+# Trading Bot
+
+## Structs and enums
+
+### MarketExtState
+
+Struct for external market state.
+
+- `state`: MarketState
+- `index`: YT's index
+- `blockTime`: timestamp
+
+### BotState
+
+Struct for bot's balances: `lpBalance`, `ytBalance`, `syBalance`.
+
+### TradingSpecs
+
+Struct for bot's trading limits:
+
+- `lowerIyLimit`: apeYtApy
+- `upperIyLimit`: sellYtApy
+- `floatingSyRatioLimit`: h_r - f/TVL limit, TVL calculated in number of SY.
+- `floatingSyRatioTarget`: l_r - f/TVL target.
+- `ytPtRatioLimit`: h_x - limit for YT/PT
+- `ytPtRatioTarget`: l_x - target for YT/PT
+
+### ActionType
+
+Enum for action.
+
+- 0: SwapSyToYt - Buy YT with SY
+- 1: AddLiqKeepYt - ZPI Zap
+- 2: AddLiqFromSy - Single sided LP
+- 3: AddLiqFromYt - Sell YT for LP
+- 4: RemoveLiqToYt - Zap out to YT
+- 5: NONE
+
+### StrategyFlag
+
+Enum for strategy state.
+
+- 0: GOOD
+- 1: TOO_LOW
+- 2: TOO_HIGH
+
+### StrategyState
+
+Struct for strategy state.
+
+- `iyFlag`: StrategyFlag for IY compared to ape/sellYtApy
+- `syRatioFlag`: StrategyFlag for f/TVL compared to given limit \(r\)
+
+## TradingBotBase.sol
+
+### 1. depositSy
+
+Deposit SY into the bot.
+- SY approval needed.
+
+### 2. depositToken
+
+Deposit funds into the bot, which are then compounded into SY.
+- `inp`: Token input data to swap deposited token to SY. 
+- If `inp.netTokenIn` is set to `2**256 - 1` then it will be set to `_selfBalance()` internally.`
+- Needs sender's approval to bot & bot's approval to router.
+
+### 3. withdrawFunds
+
+Withdraw funds back to sender (only owner).
+
+### 4. approveInf
+
+Infinite approve token to spender.
+
+### 5. claimAndCompound
+
+Claim rewards from SY, YT, market. Then compound the rewards into SY.
+
+- `inps`: Token input data to swap claimed rewards into SY
+- If `inp.netTokenIn` is set to `2**256 - 1` then it will be set to `_selfBalance()` internally.
+- Needs sender's approval to bot & bot's approval to router for tokens.
+
+### 6. claimWithoutCompound
+Intended to be static called from offchain. Claim rewards from SY, YT, market, then return amounts of tokens claimed.
+
+### 7. readMarketExtState
+Return the current `MarketExtState`: state of market, YT's index, current block timestamp.
+
+### 8. readBotState
+Return the current `BotState`: The bot's balance in LP, SY, YT.
+
+
+## LongYieldTradingBot.sol
+
+There are 5 functions for rebalancing actions.
+- For all of them, `botParams` is ApproxParams to find the optimal internal trade parameter.
+- For functions interacting with the router, approval is needed.
+
+### 1. setSpecs
+
+Set the bot's specs: apeYtApy, sellYtApy, h_r (f/TVL limit), l_r (f/TVL target), h_x (YT/PT ratio limit), l_x (YT/PT ratio target).
+
+### 2. swapSyToYt
+
+Rebalance by buying YT with SY. 
+
+### 3. addLiqKeepYt
+
+Rebalance by ZPI zap. 
+
+### 4. addLiqFromSy
+
+Rebalance by adding single sided LP from SY.
+
+### 5. addLiqFromYt
+
+Rebalance by selling YT to LP. 
+
+### 6. removeLiqToYt
+
+Rebalance by zapping out LP to YT.
+
+- `intParams`: ApproxParams for internal approx function (approxSwapExactPtForYt).
+- Zapping LP to YT can lose a few percent of the `tvlInSy`, the estimated TVL of bot in SY. Zapping out too much can cause a significant change in `tvlInSy`, which can unintentionally increase the estimated f/TVL.
+
+## BotDecisionHelper.sol
+
+Offchain helper for trading bot.
+
+### 1. searchForBotParam
+Binary search for the optimal `botParam` for the rebalancing action. To be used in bot's actual rebalancing actions.
+
+- Searches for the minimum `botParam` so that the bot trades just "target" is met.
+- Target to meet is calculated based on the `action` (desired f/TVL, YT/PT, IY).
+- `botParam`: The parameter for the rebalancing function (e.g. `netPtFromSwap` for addLiqFromSy).
+
+### 2. searchForIntParam
+(Only useful for `removeLiqToYt`) 
+Given `botParam`, binary search for the optimal `intParam` for the internal calculations (e.g. `approxSwapExactPtForYt`).
+
+### 3. strategyState
+Calculate the strategy state from BotState, MarketExtState, TradingSpecs.
+
+### 4. actionToTake
+Return optimal action to take based on the BotState and StrategyState.
+
+### 5. previewAction
+Simulate rebalancing action (swap/add/remove) from BotState and MarketExtState.
+
+### 6. botExtStats
+Calculate the external stats for the bot: Estimated TVL in equivalent SY amount, current IY, current f/TVL ratio, current YT/PT ratio
+

package/contracts/core/TradingBot/ShortYield/ShortYieldDecisionHelper.sol

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+// SPDX-License-Identifier: GPL-3.0-or-later
+pragma solidity ^0.8.0;
+
+import "../libraries/BotSimulationLib.sol";
+import "../../libraries/Errors.sol";
+import "../libraries/SpecSegmentLib.sol";
+import "../base/BotDecisionHelperBase.sol";
+import "../../../interfaces/TradingBot/IShortYieldDecisionHelper.sol";
+import "../../../interfaces/TradingBot/IShortYieldTradingBot.sol";
+
+contract ShortYieldDecisionHelper is BotDecisionHelperBase, IShortYieldDecisionHelper {
+    using MarketExtLib for MarketExtState;
+    using MarketExtLib for ApproxParams;
+    using MarketMathCore for MarketState;
+    using MarketApproxPtInLib for MarketState;
+    using BotSimulationLib for BotState;
+    using PYIndexLib for PYIndex;
+    using Math for uint256;
+    using Math for int256;
+    using LogExpMath for uint256;
+    using SpecSegmentLib for TradingSpecs;
+
+    // We dont care about AddLiqKeepYt here
+    function getActionDetails(address botAddress) public returns (ActionToTakeResult memory res) {
+        StrategyData memory strategyData = IShortYieldTradingBot(botAddress).readStrategyData();
+        uint256 iy = strategyData.marketExt.impliedYield();
+
+        res.currentBin = _getCurrentBin(strategyData.botState, strategyData.specs, iy);
+        if (res.currentBin == 0) {
+            res.action = ActionType.NONE;
+            return res;
+        }
+        res.targetIy = _getTargetImpliedYieldForBin(
+            strategyData.botState,
+            strategyData.specs,
+            res.currentBin
+        );
+
+        uint256 maxAmountForAction = INF;
+
+        if (res.currentBin < 0) {
+            res.action = ActionType.SwapPtForYt;
+            uint256 maxPtToSwap = _searchMaxPtToSwap(strategyData);
+            maxAmountForAction = _calcMaxAmountForAction(
+                maxPtToSwap,
+                res.currentBin,
+                strategyData.botState.buyBins,
+                strategyData.specs.numOfBins
+            );
+        } else {
+            res.action = ActionType.SwapYtForPt;
+            maxAmountForAction = _calcMaxAmountForAction(
+                strategyData.botState.ytBalance,
+                res.currentBin,
+                strategyData.botState.buyBins,
+                strategyData.specs.numOfBins
+            );
+        }
+
+        if (maxAmountForAction == 0) {
+            return res;
+        }
+
+        res.guessBotParams = searchForBotParam(
+            strategyData,
+            res.action,
+            res.targetIy,
+            0,
+            _getMockApproxParamsWithGuessMax(maxAmountForAction),
+            _getMockApproxParams()
+        );
+        (res.amountOut, res.guessIntParams) = _calcAmountOutAndIntParams(
+            strategyData.marketExt,
+            res.action,
+            res.guessBotParams
+        );
+    }
+
+    /**
+     * Given the rebalancing action and its `botParam`, binary search for the optimal internal
+     * parameter `intParam` for the internal action's approximation (e.g. for router's swap)
+     */
+    function _calcAmountOutAndIntParams(
+        MarketExtState memory marketExt,
+        ActionType action,
+        uint256 botParam
+    ) public pure returns (uint256 amountOut, uint256 intParams) {
+        if (action == ActionType.SwapPtForYt) {
+            (amountOut, intParams) = marketExt.clone().swapPtToYt(
+                botParam,
+                _getMockApproxParams()
+            );
+        } else {
+            (amountOut, intParams) = marketExt.clone().swapYtToPt(
+                botParam,
+                _getMockApproxParams()
+            );
+        }
+    }
+
+    function _searchMaxPtToSwap(StrategyData memory strategyData) internal pure returns (uint256) {
+        (, , , uint256 ytPtRatio) = _calcBotExtStats(
+            strategyData.botState,
+            strategyData.marketExt
+        );
+        if (ytPtRatio > strategyData.specs.targetYtPtRatio) {
+            return 0;
+        }
+
+        ApproxParams memory guessParams = _getMockApproxParamsWithGuessMax(
+            strategyData.botState.ptBalance
+        );
+        ApproxParams memory mockSwapParams = _getMockApproxParams();
+        while (guessParams.guessMax > guessParams.guessMin + 1) {
+            uint256 guess = guessParams.guessMin +
+                (guessParams.guessMax - guessParams.guessMin) /
+                2;
+
+            (
+                bool success,
+                BotState memory botStateAfter,
+                MarketExtState memory marketExtAfter
+            ) = previewAction(strategyData, ActionType.SwapPtForYt, guess, mockSwapParams);
+
+            if (!success) {
+                guessParams.guessMax = guess - 1;
+                continue;
+            }
+
+            (, , , uint256 ytPtRatioAfter) = _calcBotExtStats(botStateAfter, marketExtAfter);
+            if (ytPtRatioAfter <= strategyData.specs.targetYtPtRatio) {
+                guessParams.guessMin = guess;
+            } else {
+                guessParams.guessMax = guess - 1;
+            }
+        }
+        return guessParams.guessMin;
+    }
+
+    /// @dev Does not modify params, structs are cloned before simulation
+    function previewAction(
+        StrategyData memory strategyData,
+        ActionType action,
+        uint256 botParam,
+        ApproxParams memory intParams
+    ) public pure returns (bool success, BotState memory bot, MarketExtState memory marketExt) {
+        bot = strategyData.botState.clone();
+        marketExt = strategyData.marketExt.clone();
+
+        if (action == ActionType.SwapPtForYt) {
+            success = bot.swapPtToYt(marketExt, botParam, intParams);
+        } else if (action == ActionType.SwapYtForPt) {
+            success = bot.swapYtToPt(marketExt, botParam, intParams);
+        } else {
+            success = false;
+        }
+    }
+
+    /// @dev Gives a weak upper bound so that MarketExtLib's simulation doesn't revert
+    function _weakUpperBound(
+        BotState memory bot,
+        MarketExtState memory,
+        ActionType action
+    ) internal pure override returns (uint256) {
+        if (action == ActionType.SwapPtForYt) {
+            return bot.ptBalance;
+        } else {
+            return bot.ytBalance;
+        }
+    }
+
+    function _rebalanceResult(
+        RebalanceDetails memory rebalance,
+        uint256 botParam,
+        uint256,
+        uint256 eps,
+        ApproxParams memory intParams
+    ) internal pure override returns (RebalanceResult) {
+        (bool success, , MarketExtState memory marketExt) = previewAction(
+            rebalance.strategyData,
+            rebalance.action,
+            botParam,
+            intParams
+        );
+
+        if (!success) return RebalanceResult.FAIL_OR_TARGET_EXCEED;
+
+        uint256 iy = marketExt.impliedYield();
+        if (rebalance.action == ActionType.SwapPtForYt) {
+            if (iy > rebalance.targetIy) return RebalanceResult.FAIL_OR_TARGET_EXCEED;
+        } else {
+            if (iy < rebalance.targetIy) return RebalanceResult.FAIL_OR_TARGET_EXCEED;
+        }
+
+        if (Math.isAApproxB(iy, rebalance.targetIy, eps)) return RebalanceResult.SUCCESS;
+        else return RebalanceResult.TARGET_NOT_REACHED;
+    }
+}

package/contracts/core/TradingBot/ShortYield/ShortYieldTradingBot.sol

@@ -0,0 +1,101 @@
+// SPDX-License-Identifier: GPL-3.0-or-later
+pragma solidity 0.8.17;
+
+import "../base/TradingBotBase.sol";
+import "../base/BotActionHelper.sol";
+import "../../../interfaces/TradingBot/IShortYieldTradingBot.sol";
+import "@openzeppelin/contracts/proxy/utils/UUPSUpgradeable.sol";
+
+contract ShortYieldTradingBot is
+    TradingBotBase,
+    BotActionHelper,
+    IShortYieldTradingBot,
+    UUPSUpgradeable
+{
+    using MarketExtLib for MarketExtState;
+    using Math for uint256;
+    using Math for int256;
+
+    constructor(
+        address _market,
+        address _router,
+        address _PENDLE,
+        address _decisionHelper
+    ) TradingBotBase(_market, _router, _PENDLE, _decisionHelper) {}
+
+    function _authorizeUpgrade(address) internal override onlyOwner {}
+
+    function initialize(TradingSpecs memory _specs) external initializer {
+        _setSpecs(_specs);
+        __BoringOwnable_init();
+    }
+
+    function mintPY(
+        uint256 netSyIn,
+        uint256 minPyOut
+    ) external onlyOwner returns (uint256 netPyOut) {
+        netPyOut = _mintPY(netSyIn, minPyOut);
+        emit MintPy(netSyIn, minPyOut);
+    }
+
+    function swapPtForYt(
+        SwapInput calldata inputParams
+    ) external onlyOwner returns (uint256 netYtOut) {
+        StrategyData memory strategyData = readStrategyData();
+
+        require(
+            IBotDecisionHelper(decisionHelper).getCurrentBin(strategyData) ==
+                inputParams.currentBin,
+            "removeLiqToYt: bin state expired"
+        );
+
+        uint256 netPtToSwap = decisionHelper.searchForBotParam(
+            strategyData,
+            ActionType.SwapPtForYt,
+            inputParams.targetIy,
+            type(uint256).max,
+            inputParams.botParams,
+            inputParams.guessTotalPtToSwap
+        );
+
+        netYtOut = _swapPtForYt(
+            netPtToSwap,
+            inputParams.guessTotalPtToSwap,
+            inputParams.minAmountOut
+        );
+
+        _updateSellBinAfterTrade();
+
+        emit SwapPtForYt(inputParams, netYtOut);
+    }
+
+    function swapYtForPt(
+        SwapInput calldata inputParams
+    ) external onlyOwner returns (uint256 netPtOut) {
+        StrategyData memory strategyData = readStrategyData();
+
+        require(
+            IBotDecisionHelper(decisionHelper).getCurrentBin(strategyData) ==
+                inputParams.currentBin,
+            "removeLiqToYt: bin state expired"
+        );
+
+        uint256 netYtToSwap = decisionHelper.searchForBotParam(
+            strategyData,
+            ActionType.SwapYtForPt,
+            inputParams.targetIy,
+            type(uint256).max,
+            inputParams.botParams,
+            inputParams.guessTotalPtToSwap
+        );
+
+        netPtOut = _swapYtForPt(
+            netYtToSwap,
+            inputParams.guessTotalPtToSwap,
+            inputParams.minAmountOut
+        );
+
+        _updateSellBinAfterTrade();
+        emit SwapYtForPt(inputParams, netPtOut);
+    }
+}

package/contracts/core/TradingBot/base/BotActionCallback.sol

@@ -0,0 +1,112 @@
+// SPDX-License-Identifier: GPL-3.0-or-later
+pragma solidity 0.8.17;
+
+import "../../../interfaces/IPMarketSwapCallback.sol";
+import "../../../interfaces/TradingBot/IBotDecisionHelper.sol";
+import "./TradingBotBase.sol";
+
+abstract contract BotActionCallback is TradingBotBase, IPMarketSwapCallback {
+    using Math for int256;
+
+    modifier onlyMarket(address caller) {
+        if (caller != market) revert Errors.BotCallbackNotMarket(caller);
+        _;
+    }
+
+    function swapCallback(
+        int256 ptToAccount,
+        int256 syToAccount,
+        bytes calldata data
+    ) external override onlyMarket(msg.sender) {
+        ActionType swapType = _getActionType(data);
+        if (swapType == ActionType.AddLiqFromYt) {
+            _callbackAddLiqFromYt(ptToAccount, syToAccount, data);
+        } else if (swapType == ActionType.RemoveLiqToYt) {
+            _callbackRemoveLiqToYt(ptToAccount, syToAccount, data);
+        } else {
+            assert(false);
+        }
+    }
+
+    /// ------------------------------------------------------------
+    /// AddLiqFromYt
+    /// ------------------------------------------------------------
+
+    function _callbackAddLiqFromYt(
+        int256 ptToAccount,
+        int256 /*syToAccount*/,
+        bytes calldata data
+    ) internal {
+        uint256 netPyRedeemSy = _decodeAddLiqFromYt(data);
+
+        _transferOut(PT, YT, netPyRedeemSy);
+
+        bool needToBurnYt = (!IPYieldToken(YT).isExpired());
+        if (needToBurnYt) _transferOut(YT, YT, netPyRedeemSy);
+
+        IPYieldToken(YT).redeemPY(market); // all SY goes to market to repay and mint LP
+
+        _transferOut(PT, market, ptToAccount.Uint() - netPyRedeemSy); // remaining PT goes to market to mint LP
+    }
+
+    function _encodeAddLiqFromYt(uint256 netPyRedeemSy) internal pure returns (bytes memory res) {
+        res = new bytes(64);
+        uint256 actionType = uint256(ActionType.AddLiqFromYt);
+
+        assembly {
+            mstore(add(res, 32), actionType)
+            mstore(add(res, 64), netPyRedeemSy)
+        }
+    }
+
+    function _decodeAddLiqFromYt(
+        bytes calldata data
+    ) internal pure returns (uint256 netPyRedeemSy) {
+        assembly {
+            // first 32 bytes is ActionType
+            netPyRedeemSy := calldataload(add(data.offset, 32))
+        }
+    }
+
+    /// ------------------------------------------------------------
+    /// RemoveLiqToYt
+    /// ------------------------------------------------------------
+
+    function _callbackRemoveLiqToYt(
+        int256 /*ptToAccount*/,
+        int256 /*syToAccount*/,
+        bytes calldata data
+    ) internal {
+        uint256 minYtOut = _decodeRemoveLiqToYt(data);
+
+        uint256 netYtOut = IPYieldToken(YT).mintPY(market, address(this)); // PT goes to market to repay
+        if (netYtOut < minYtOut) revert Errors.BotInsufficientYtOut(netYtOut, minYtOut); // 2nd check
+    }
+
+    function _encodeRemoveLiqToYt(uint256 minYtOut) internal pure returns (bytes memory res) {
+        res = new bytes(64);
+        uint256 actionType = uint256(ActionType.RemoveLiqToYt);
+
+        assembly {
+            mstore(add(res, 32), actionType)
+            mstore(add(res, 64), minYtOut)
+        }
+    }
+
+    function _decodeRemoveLiqToYt(bytes calldata data) internal pure returns (uint256 minYtOut) {
+        assembly {
+            // first 32 bytes is ActionType
+            minYtOut := calldataload(add(data.offset, 32))
+        }
+    }
+
+    /// ------------------------------------------------------------
+    /// Misc functions
+    /// ------------------------------------------------------------
+
+    function _getActionType(bytes calldata data) internal pure returns (ActionType actionType) {
+        assembly {
+            actionType := calldataload(data.offset)
+        }
+    }
+}