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linear liquidity strategies in pcli #4800

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Aug 12, 2024
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linear liquidity strategies in pcli #4800

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297 changes: 56 additions & 241 deletions crates/bin/pcli/src/command/tx/replicate.rs
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Original file line number Diff line number Diff line change
@@ -1,293 +1,108 @@
use std::io::Write;
use std::path::PathBuf;
use crate::App;

use anyhow::{anyhow, bail, Context, Result};
use dialoguer::Confirm;
use rand_core::OsRng;
pub mod linear;
pub mod xyk;

use penumbra_asset::Value;
use penumbra_dex::{lp::position::Position, DirectedUnitPair};
use penumbra_keys::keys::AddressIndex;
use penumbra_num::{fixpoint::U128x128, Amount};
use penumbra_proto::{
core::component::dex::v1::{
query_service_client::QueryServiceClient as DexQueryServiceClient, SpreadRequest,
},
view::v1::GasPricesRequest,
use linear::Linear;
use penumbra_dex::DirectedUnitPair;
use penumbra_proto::core::component::dex::v1::{
query_service_client::QueryServiceClient as DexQueryServiceClient, SpreadRequest,
};
use penumbra_view::{Planner, ViewClient};

use crate::dex_utils;
use crate::dex_utils::replicate::debug;
use crate::{warning, App};
use xyk::ConstantProduct;

/// Queries the chain for a transaction by hash.
#[derive(Debug, clap::Subcommand)]
pub enum ReplicateCmd {
#[clap(visible_alias = "xyk")]
/// Create a set of positions that attempt to replicate an xy=k (UniV2) AMM.
// Hidden pending further testing & review
#[clap(visible_alias = "xyk", hide = true)]
ConstantProduct(ConstantProduct),
/// Create a set of positions that allocate liquidity linearly across a price range.
Linear(Linear),
}

impl ReplicateCmd {
pub async fn exec(&self, app: &mut App) -> anyhow::Result<()> {
match self {
ReplicateCmd::ConstantProduct(xyk_cmd) => xyk_cmd.exec(app).await?,
ReplicateCmd::Linear(linear_cmd) => linear_cmd.exec(app).await?,
};
Ok(())
}

pub fn offline(&self) -> bool {
match self {
ReplicateCmd::ConstantProduct(_) => false,
}
false
}
}

#[derive(Debug, Clone, clap::Args)]
pub struct ConstantProduct {
pub pair: DirectedUnitPair,
pub input: Value,

#[clap(short, long)]
pub current_price: Option<f64>,

#[clap(short, long, default_value_t = 0u32)]
pub fee_bps: u32,
/// `--yes` means all prompt interaction are skipped and agreed.
#[clap(short, long)]
pub yes: bool,

#[clap(short, long, hide(true))]
pub debug_file: Option<PathBuf>,
#[clap(long, default_value = "0", hide(true))]
pub source: u32,
}

impl ConstantProduct {
pub async fn exec(&self, app: &mut App) -> anyhow::Result<()> {
self.validate()?;
let pair = self.pair.clone();
let current_price = match self.current_price {
Some(user_supplied_price) => user_supplied_price,
None => self.get_spread(app).await?,
};

let positions = dex_utils::replicate::xyk::replicate(
&pair,
&self.input,
current_price.try_into()?,
self.fee_bps,
)?;

let (amount_start, amount_end) =
positions
.iter()
.fold((Amount::zero(), Amount::zero()), |acc, pos| {
(
acc.0
+ pos
.reserves_for(pair.start.id())
.expect("start is part of position"),
acc.1
+ pos
.reserves_for(pair.end.id())
.expect("end is part of position"),
)
});
let amount_start = pair.start.format_value(amount_start);
let amount_end = pair.end.format_value(amount_end);

warning::rmm();
pub async fn process_price_or_fetch_spread(
app: &mut App,
user_price: Option<f64>,
directed_pair: DirectedUnitPair,
) -> anyhow::Result<f64> {
let canonical_pair = directed_pair.into_directed_trading_pair().to_canonical();

if !self.yes
&& !Confirm::new()
.with_prompt("In the solemn voice of Mandos, he who sets the fates of all, you hear a question,\nechoing like a whisper through the Halls of Waiting:\n\"Do you, in your heart of hearts, truly wish to proceed?\"")
.interact()?
{
return Ok(());
}
println!("\nso it shall be...\n\n");
println!(
"#################################################################################"
);
println!(
"########################### LIQUIDITY SUMMARY ###################################"
);
println!(
"#################################################################################"
);
println!("\nYou want to provide liquidity on the pair {}", pair);
println!("You will need:",);
println!(" -> {amount_start}{}", pair.start);
println!(" -> {amount_end}{}", pair.end);
// TODO(erwan): would be nice to print current balance?

println!("You will create the following pools:");
let asset_cache = app.view().assets().await?;
println!(
"{}",
crate::command::utils::render_positions(&asset_cache, &positions),
);
if let Some(user_price) = user_price {
let adjusted = adjust_price_by_exponents(user_price, &directed_pair);
tracing::debug!(?user_price, ?adjusted, "adjusted price by units");
return Ok(adjusted);
} else {
tracing::debug!("price not provided, fetching spread");

if let Some(debug_file) = &self.debug_file {
Self::write_debug_data(
debug_file.clone(),
self.pair.clone(),
self.input.clone(),
current_price,
positions.clone(),
)?;
return Ok(());
}

if !self.yes
&& !Confirm::new()
.with_prompt("Do you want to open those liquidity positions on-chain?")
.interact()?
{
return Ok(());
}

let gas_prices = app
.view
.as_mut()
.context("view service must be initialized")?
.gas_prices(GasPricesRequest {})
.await?
.into_inner()
.gas_prices
.expect("gas prices must be available")
.try_into()?;

let mut planner = Planner::new(OsRng);
planner.set_gas_prices(gas_prices);
positions.iter().for_each(|position| {
planner.position_open(position.clone());
});

let plan = planner
.plan(
app.view
.as_mut()
.context("view service must be initialized")?,
AddressIndex::new(self.source),
)
.await?;
let tx_id = app.build_and_submit_transaction(plan).await?;
println!("posted with transaction id: {tx_id}");

Ok(())
}

fn validate(&self) -> anyhow::Result<()> {
if self.input.asset_id != self.pair.start.id() && self.input.asset_id != self.pair.end.id()
{
anyhow::bail!("you must supply liquidity with an asset that's part of the market")
} else if self.input.amount == 0u64.into() {
anyhow::bail!("the quantity of liquidity supplied must be non-zero.",)
} else if self.fee_bps > 5000 {
anyhow::bail!("the maximum fee is 5000bps (50%)")
} else if self.current_price.is_some()
&& self.current_price.expect("current price is Some") <= 0.0
{
anyhow::bail!("the supplied current price must be positive")
} else {
Ok(())
}
}

async fn get_spread(&self, app: &mut App) -> Result<f64> {
let mut client = DexQueryServiceClient::new(app.pd_channel().await?);
let spread_data = client
.spread(SpreadRequest {
trading_pair: Some(self.pair.into_directed_trading_pair().to_canonical().into()),
trading_pair: Some(canonical_pair.into()),
})
.await?
.into_inner();

tracing::debug!(
?spread_data,
pair = self.pair.to_string(),
pair = canonical_pair.to_string(),
"fetched spread for pair"
);

if spread_data.best_1_to_2_position.is_none() || spread_data.best_2_to_1_position.is_none()
{
bail!("couldn't find a market price for the specified assets, you can manually specify a price using --current-price <price>")
anyhow::bail!("couldn't find a market price for the specified assets, you can manually specify a price using --current-price <price>")
}

if self.input.asset_id == self.pair.start.id() {
Ok(spread_data.approx_effective_price_1_to_2)
} else if self.input.asset_id == self.pair.end.id() {
// The price is the amount of asset 2 required to buy 1 unit of asset 1

if directed_pair.start.id() == canonical_pair.asset_1() {
Ok(spread_data.approx_effective_price_2_to_1)
} else if directed_pair.start.id() == canonical_pair.asset_2() {
Ok(spread_data.approx_effective_price_1_to_2)
} else {
bail!("the supplied liquidity must be on the pair")
anyhow::bail!("the supplied liquidity must be on the pair")
}
}
}

pub(crate) fn write_debug_data(
file: PathBuf,
pair: DirectedUnitPair,
input: Value,
current_price: f64,
positions: Vec<Position>,
) -> anyhow::Result<()> {
// Ad-hoc denom scaling for debug data:
let alphas = dex_utils::replicate::xyk::sample_prices(
current_price,
dex_utils::replicate::xyk::NUM_POOLS_PRECISION,
);

alphas
.iter()
.enumerate()
.for_each(|(i, alpha)| tracing::debug!(i, alpha, "sampled tick"));

let r1: f64;

{
let raw_r1 = input.amount.value();
let denom_unit = pair.start.unit_amount().value();
let fp_r1 = U128x128::ratio(raw_r1, denom_unit).expect("denom unit is not 0");
r1 = fp_r1.into();
}
fn adjust_price_by_exponents(price: f64, pair: &DirectedUnitPair) -> f64 {
let start_exponent = pair.start.exponent() as i32;
let end_exponent = pair.end.exponent() as i32;

let r2 = r1 * current_price;
let total_k = r1 * r2;
println!("Entry R1: {r1}");
println!("Entry R2: {r2}");
println!("total K: {total_k}");
price * 10f64.powi(start_exponent - end_exponent)
}

let debug_positions: Vec<debug::PayoffPositionEntry> = positions
.iter()
.zip(alphas)
.enumerate()
.map(|(idx, (pos, alpha))| {
let payoff_entry = debug::PayoffPosition::from_position(pair.clone(), pos.clone());
debug::PayoffPositionEntry {
payoff: payoff_entry,
current_price,
index: idx,
pair: pair.clone(),
alpha,
total_k,
}
})
.collect();
#[cfg(test)]
mod tests {
use super::*;

let mut fd = std::fs::File::create(&file).map_err(|e| {
anyhow!(
"fs error opening debug file {}: {}",
file.to_string_lossy(),
e
)
})?;
#[test]
fn test_adjust_price_by_exponents() {
let pair1: DirectedUnitPair = "penumbra:gm".parse().unwrap();
let pair2: DirectedUnitPair = "upenumbra:gm".parse().unwrap();
let pair3: DirectedUnitPair = "penumbra:ugm".parse().unwrap();
let pair4: DirectedUnitPair = "upenumbra:ugm".parse().unwrap();

let json_data = serde_json::to_string(&debug_positions)
.map_err(|e| anyhow!("error serializing PayoffPositionEntry: {}", e))?;
let base_price = 1.2;

fd.write_all(json_data.as_bytes())
.map_err(|e| anyhow!("error writing {}: {}", file.to_string_lossy(), e))?;
Ok(())
assert_eq!(adjust_price_by_exponents(base_price, &pair1), 1.2);
assert_eq!(adjust_price_by_exponents(base_price, &pair2), 0.0000012);
assert_eq!(adjust_price_by_exponents(base_price, &pair3), 1200000.0);
assert_eq!(adjust_price_by_exponents(base_price, &pair4), 1.2);
}
}
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