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update strat
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@Siddharth2207
Siddharth2207 committed Jun 14, 2024
1 parent 4e87fd8 commit 64e931a
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70 changes: 36 additions & 34 deletions src/wip/fixed-grid.rain
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Original file line number Diff line number Diff line change
Expand Up @@ -140,28 +140,32 @@ scenarios:
scenarios:
prod:
bindings:
twap-check: '''twap-check-buy'
calculate-twap-ratio: '''calculate-twap-ratio-buy'
enforce-twap-check: '''enforce-twap-check-prod'
ensure-grid-band: '''ensure-grid-band-prod'
ensure-cooldown: '''ensure-cooldown-prod'
plottables: '''plottables-prod'
chart:
runs: 1000
bindings:
twap-check: '''twap-check-chart'
calculate-twap-ratio: '''calculate-twap-ratio-buy'
enforce-twap-check: '''enforce-twap-check-chart'
ensure-grid-band: '''ensure-grid-band-chart'
ensure-cooldown: '''ensure-cooldown-chart'
plottables: '''plottables-chart'
metric:
runs: 1
bindings:
twap-check: '''twap-check-chart'
calculate-twap-ratio: '''calculate-twap-ratio-buy'
enforce-twap-check: '''enforce-twap-check-chart'
ensure-grid-band: '''ensure-grid-band-chart'
ensure-cooldown: '''ensure-cooldown-metric'
plottables: '''plottables-chart'
test:
bindings:
twap-deviation: 0.12
twap-check: '''twap-check-buy'
calculate-twap-ratio: '''calculate-twap-ratio-buy'
enforce-twap-check: '''enforce-twap-check-prod'
ensure-grid-band: '''ensure-grid-band-chart'
ensure-cooldown: '''ensure-cooldown-chart'
plottables: '''plottables-prod'
Expand Down Expand Up @@ -195,28 +199,32 @@ scenarios:
scenarios:
prod:
bindings:
twap-check: '''twap-check-sell'
calculate-twap-ratio: '''calculate-twap-ratio-sell'
enforce-twap-check: '''enforce-twap-check-prod'
ensure-grid-band: '''ensure-grid-band-prod'
ensure-cooldown: '''ensure-cooldown-prod'
plottables: '''plottables-prod'
chart:
runs: 1000
bindings:
twap-check: '''twap-check-chart'
calculate-twap-ratio: '''calculate-twap-ratio-sell'
enforce-twap-check: '''enforce-twap-check-chart'
ensure-grid-band: '''ensure-grid-band-chart'
ensure-cooldown: '''ensure-cooldown-chart'
plottables: '''plottables-chart'
metric:
runs: 1
bindings:
twap-check: '''twap-check-chart'
calculate-twap-ratio: '''calculate-twap-ratio-sell'
enforce-twap-check: '''enforce-twap-check-chart'
ensure-grid-band: '''ensure-grid-band-chart'
ensure-cooldown: '''ensure-cooldown-metric'
plottables: '''plottables-chart'
test:
bindings:
twap-deviation: 0.12
twap-check: '''twap-check-sell'
calculate-twap-ratio: '''calculate-twap-ratio-sell'
enforce-twap-check: '''enforce-twap-check-prod'
ensure-grid-band: '''ensure-grid-band-chart'
ensure-cooldown: '''ensure-cooldown-chart'
plottables: '''plottables-prod'
Expand Down Expand Up @@ -451,51 +459,45 @@ charts:
#ensure-grid-band !Binding to enforce price remains between minimum and maximum price set.
#calculate-exact-quote !Binding to calculate exact amount of distribution tokens required for buys and sells.
#calculate-io-ratio !Binding to calculate io-ratio for the order.
#twap-check !Binding to enforce oracle manipulation protection guard
#calculate-twap-ratio !Binding to calculate order to 30min twap ratio.
#enforce-twap-check !Binding to enforce oracle manipulation protection guard.
#io-multiplier !Binding to get the ratio multiplier for distribution token.
#plottables !The binding for additional things we want to plot during testing.

#uniswap-words !The subparser for the Uniswap words
#orderbook-subparser !The subparser for the Orderbook words
#cooldown-key "cooldown-key"

#twap-check-chart
io-ratio ratio-multiplier: ,
twap-30: mul(
uniswap-v3-twap-output-ratio(reserve-token distribution-token 1800 0 twap-io-fee)
ratio-multiplier
),
twap-ratio: div(twap-30 io-ratio);
#enforce-twap-check-chart
_: ;

#twap-check-buy
io-ratio ratio-multiplier: ,
twap-30: mul(
uniswap-v3-twap-output-ratio(reserve-token distribution-token 1800 0 twap-io-fee)
ratio-multiplier
),
twap-ratio: div(twap-30 io-ratio),
#enforce-twap-check-prod
twap-ratio: ,
:ensure(
less-than(
twap-ratio
add(1 twap-deviation)
)
"twap check buy"
"twap check"
);

#twap-check-sell
#calculate-twap-ratio-buy
io-ratio ratio-multiplier: ,
twap-30: mul(
uniswap-v3-twap-output-ratio(reserve-token distribution-token 1800 0 twap-io-fee)
ratio-multiplier
),
twap-ratio: div(twap-30 io-ratio),
:call<'enforce-twap-check>(twap-ratio);

#calculate-twap-ratio-sell
io-ratio ratio-multiplier: ,
twap-30: mul(
uniswap-v3-twap-output-ratio(distribution-token reserve-token 1800 0 twap-io-fee)
ratio-multiplier
),
twap-ratio: div(twap-30 io-ratio),
:ensure(
less-than(
twap-ratio
add(1 twap-deviation)
)
"twap check sell"
);
:call<'enforce-twap-check>(twap-ratio);

#jittery-binomial
seed:,
Expand Down Expand Up @@ -575,7 +577,7 @@ charts:
ratio-multiplier
time-since-cooldown: ,
io-ratio: div(token-amount18 add(usd-amount18 call<'bounty-auction>(time-since-cooldown))),
_ :call<'twap-check>(io-ratio ratio-multiplier),
_ :call<'calculate-twap-ratio>(io-ratio ratio-multiplier),
/* Add io-ratio and max-op on stack*/
_: usd-amount18,
_: io-ratio;
Expand All @@ -586,7 +588,7 @@ charts:
ratio-multiplier
time-since-cooldown: ,
io-ratio: div(saturating-sub(usd-amount18 call<'bounty-auction>(time-since-cooldown)) token-amount18),
_ :call<'twap-check>(io-ratio inv(ratio-multiplier)),
_ :call<'calculate-twap-ratio>(io-ratio inv(ratio-multiplier)),
/* Add io-ratio and max-op on stack*/
_: token-amount18,
_: io-ratio;
Expand Down
4 changes: 2 additions & 2 deletions test/FixedGridTest.t.sol
View file
Original file line number Diff line number Diff line change
Expand Up @@ -318,7 +318,7 @@ contract FixedGridTest is StrategyTests {
3e18,
strategy.takerRoute
);
vm.expectRevert("twap check buy");
vm.expectRevert("twap check");
takeArbOrder(order, strategy.takerRoute, strategy.inputTokenIndex, strategy.outputTokenIndex);
}

Expand Down Expand Up @@ -375,7 +375,7 @@ contract FixedGridTest is StrategyTests {
4e18,
strategy.takerRoute
);
vm.expectRevert("twap check sell");
vm.expectRevert("twap check");
takeArbOrder(order, strategy.takerRoute, strategy.inputTokenIndex, strategy.outputTokenIndex);
}
}
Expand Down

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