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Fix offer crossing via single path AMM with transfer fee:
Single path AMM offer has to factor in the transfer in rate when calculating the upper bound quality and the quality function because single path AMM's offer quality is not constant. This fix factors in the transfer fee in BookStep::adjustQualityWithFees().
This commit is contained in:
Gregory Tsipenyuk
@@ -3783,10 +3783,15 @@ private:
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{features});
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// Offer crossing IOU/IOU and transfer rate
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// Single path AMM offer
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testAMM(
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[&](AMM& ammAlice, Env& env) {
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env(rate(gw, 1.25));
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env.close();
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// This offer succeeds to cross pre- and post-amendment
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// because the strand's out amount is small enough to match
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// limitQuality value and limitOut() function in StrandFlow
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// doesn't require an adjustment to out value.
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env(offer(carol, EUR(100), GBP(100)));
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env.close();
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// No transfer fee
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@@ -3802,6 +3807,195 @@ private:
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0,
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std::nullopt,
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{features});
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// Single-path AMM offer
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testAMM(
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[&](AMM& amm, Env& env) {
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env(rate(gw, 1.001));
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env.close();
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env(offer(carol, XRP(100), USD(55)));
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env.close();
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if (!features[fixAMMRounding])
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{
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// Pre-amendment the transfer fee is not taken into
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// account when calculating the limit out based on
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// limitQuality. Carol pays 0.1% on the takerGets, which
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// lowers the overall quality. AMM offer is generated based
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// on higher limit out, which generates a larger offer
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// with lower quality. Consequently, the offer fails
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// to cross.
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BEAST_EXPECT(
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amm.expectBalances(XRP(1'000), USD(500), amm.tokens()));
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BEAST_EXPECT(expectOffers(
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env, carol, 1, {{Amounts{XRP(100), USD(55)}}}));
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}
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else
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{
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// Post-amendment the transfer fee is taken into account
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// when calculating the limit out based on limitQuality.
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// This increases the limitQuality and decreases
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// the limit out. Consequently, AMM offer size is decreased,
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// and the quality is increased, matching the overall
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// quality.
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// AMM offer ~50USD/91XRP
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BEAST_EXPECT(amm.expectBalances(
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XRPAmount(909'090'909),
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STAmount{USD, UINT64_C(550'000000055), -9},
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amm.tokens()));
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// Offer ~91XRP/49.99USD
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BEAST_EXPECT(expectOffers(
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env,
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carol,
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1,
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{{Amounts{
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XRPAmount{9'090'909},
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STAmount{USD, 4'99999995, -8}}}}));
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// Carol pays 0.1% fee on ~50USD =~ 0.05USD
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BEAST_EXPECT(
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env.balance(carol, USD) ==
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STAmount(USD, UINT64_C(29'949'94999999494), -11));
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}
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},
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{{XRP(1'000), USD(500)}},
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0,
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std::nullopt,
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{features});
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testAMM(
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[&](AMM& amm, Env& env) {
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env(rate(gw, 1.001));
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env.close();
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env(offer(carol, XRP(10), USD(5.5)));
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env.close();
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if (!features[fixAMMRounding])
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{
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BEAST_EXPECT(amm.expectBalances(
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XRP(990),
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STAmount{USD, UINT64_C(505'050505050505), -12},
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amm.tokens()));
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BEAST_EXPECT(expectOffers(env, carol, 0));
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}
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else
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{
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BEAST_EXPECT(amm.expectBalances(
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XRP(990),
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STAmount{USD, UINT64_C(505'0505050505051), -13},
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amm.tokens()));
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BEAST_EXPECT(expectOffers(env, carol, 0));
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}
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},
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{{XRP(1'000), USD(500)}},
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0,
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std::nullopt,
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{features});
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// Multi-path AMM offer
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testAMM(
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[&](AMM& ammAlice, Env& env) {
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Account const ed("ed");
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fund(
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env,
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gw,
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{bob, ed},
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XRP(30'000),
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{GBP(2'000), EUR(2'000)},
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Fund::Acct);
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env(rate(gw, 1.25));
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env.close();
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// The auto-bridge is worse quality than AMM, is not consumed
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// first and initially forces multi-path AMM offer generation.
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// Multi-path AMM offers are consumed until their quality
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// is less than the auto-bridge offers quality. Auto-bridge
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// offers are consumed afterward. Then the behavior is
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// different pre-amendment and post-amendment.
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env(offer(bob, GBP(10), XRP(10)), txflags(tfPassive));
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env(offer(ed, XRP(10), EUR(10)), txflags(tfPassive));
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env.close();
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env(offer(carol, EUR(100), GBP(100)));
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env.close();
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if (!features[fixAMMRounding])
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{
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// After the auto-bridge offers are consumed, single path
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// AMM offer is generated with the limit out not taking
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// into consideration the transfer fee. This results
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// in an overall lower quality offer than the limit quality
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// and the single path AMM offer fails to consume.
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// Total consumed ~37.06GBP/39.32EUR
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BEAST_EXPECT(ammAlice.expectBalances(
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STAmount{GBP, UINT64_C(1'037'06583722133), -11},
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STAmount{EUR, UINT64_C(1'060'684828792831), -12},
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ammAlice.tokens()));
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// Consumed offer ~49.32EUR/49.32GBP
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BEAST_EXPECT(expectOffers(
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env,
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carol,
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1,
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{Amounts{
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STAmount{EUR, UINT64_C(50'684828792831), -12},
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STAmount{GBP, UINT64_C(50'684828792831), -12}}}));
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BEAST_EXPECT(expectOffers(env, bob, 0));
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BEAST_EXPECT(expectOffers(env, ed, 0));
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// Initial 30,000 - ~47.06(offers = 37.06(AMM) + 10(LOB))
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// * 1.25
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// = 58.825 = ~29941.17
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// carol bought ~72.93EUR at the cost of ~70.68GBP
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// the offer is partially consumed
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BEAST_EXPECT(expectLine(
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env,
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carol,
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STAmount{GBP, UINT64_C(29'941'16770347333), -11}));
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// Initial 30,000 + ~49.3(offers = 39.3(AMM) + 10(LOB))
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BEAST_EXPECT(expectLine(
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env,
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carol,
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STAmount{EUR, UINT64_C(30'049'31517120716), -11}));
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}
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else
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{
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// After the auto-bridge offers are consumed, single path
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// AMM offer is generated with the limit out taking
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// into consideration the transfer fee. This results
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// in an overall quality offer matching the limit quality
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// and the single path AMM offer is consumed. More
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// liquidity is consumed overall in post-amendment.
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// Total consumed ~60.68GBP/62.93EUR
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BEAST_EXPECT(ammAlice.expectBalances(
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STAmount{GBP, UINT64_C(1'060'684828792832), -12},
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STAmount{EUR, UINT64_C(1'037'06583722134), -11},
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ammAlice.tokens()));
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// Consumed offer ~72.93EUR/72.93GBP
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BEAST_EXPECT(expectOffers(
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env,
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carol,
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1,
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{Amounts{
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STAmount{EUR, UINT64_C(27'06583722134028), -14},
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STAmount{GBP, UINT64_C(27'06583722134028), -14}}}));
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BEAST_EXPECT(expectOffers(env, bob, 0));
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BEAST_EXPECT(expectOffers(env, ed, 0));
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// Initial 30,000 - ~70.68(offers = 60.68(AMM) + 10(LOB))
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// * 1.25
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// = 88.35 = ~29911.64
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// carol bought ~72.93EUR at the cost of ~70.68GBP
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// the offer is partially consumed
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BEAST_EXPECT(expectLine(
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env,
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carol,
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STAmount{GBP, UINT64_C(29'911'64396400896), -11}));
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// Initial 30,000 + ~72.93(offers = 62.93(AMM) + 10(LOB))
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BEAST_EXPECT(expectLine(
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env,
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carol,
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STAmount{EUR, UINT64_C(30'072'93416277865), -11}));
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}
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// Initial 2000 + 10 = 2010
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BEAST_EXPECT(expectLine(env, bob, GBP(2'010)));
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// Initial 2000 - 10 * 1.25 = 1987.5
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BEAST_EXPECT(expectLine(env, ed, EUR(1'987.5)));
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},
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{{GBP(1'000), EUR(1'100)}},
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0,
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std::nullopt,
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{features});
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// Payment and transfer fee
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// Scenario:
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