AMMHelpers.h

//------------------------------------------------------------------------------
/*
    This file is part of rippled: https://github.com/ripple/rippled
    Copyright (c) 2023 Ripple Labs Inc.
 
    Permission to use, copy, modify, and/or distribute this software for any
    purpose  with  or without fee is hereby granted, provided that the above
    copyright notice and this permission notice appear in all copies.
 
    THE  SOFTWARE IS PROVIDED "AS IS" AND THE AUTHOR DISCLAIMS ALL WARRANTIES
    WITH  REGARD  TO  THIS  SOFTWARE  INCLUDING  ALL  IMPLIED  WARRANTIES  OF
    MERCHANTABILITY  AND  FITNESS. IN NO EVENT SHALL THE AUTHOR BE LIABLE FOR
    ANY  SPECIAL ,  DIRECT, INDIRECT, OR CONSEQUENTIAL DAMAGES OR ANY DAMAGES
    WHATSOEVER  RESULTING  FROM  LOSS  OF USE, DATA OR PROFITS, WHETHER IN AN
    ACTION  OF  CONTRACT, NEGLIGENCE OR OTHER TORTIOUS ACTION, ARISING OUT OF
    OR IN CONNECTION WITH THE USE OR PERFORMANCE OF THIS SOFTWARE.
*/
//==============================================================================
 
#ifndef RIPPLE_APP_MISC_AMMHELPERS_H_INCLUDED
#define RIPPLE_APP_MISC_AMMHELPERS_H_INCLUDED
 
#include <xrpl/basics/Log.h>
#include <xrpl/basics/Number.h>
#include <xrpl/beast/utility/Journal.h>
#include <xrpl/protocol/AMMCore.h>
#include <xrpl/protocol/AmountConversions.h>
#include <xrpl/protocol/Feature.h>
#include <xrpl/protocol/IOUAmount.h>
#include <xrpl/protocol/Issue.h>
#include <xrpl/protocol/Quality.h>
#include <xrpl/protocol/Rules.h>
#include <xrpl/protocol/STAccount.h>
#include <xrpl/protocol/STAmount.h>
 
#include <type_traits>
 
namespace ripple {
 
namespace detail {
 
Number
reduceOffer(auto const& amount)
{
    static Number const reducedOfferPct(9999, -4);
 
    // Make sure the result is always less than amount or zero.
    NumberRoundModeGuard mg(Number::towards_zero);
    return amount * reducedOfferPct;
}
 
}  // namespace detail
 
STAmount
ammLPTokens(
    STAmount const& asset1,
    STAmount const& asset2,
    Issue const& lptIssue);
 
STAmount
lpTokensIn(
    STAmount const& asset1Balance,
    STAmount const& asset1Deposit,
    STAmount const& lptAMMBalance,
    std::uint16_t tfee);
 
STAmount
ammAssetIn(
    STAmount const& asset1Balance,
    STAmount const& lptAMMBalance,
    STAmount const& lpTokens,
    std::uint16_t tfee);
 
STAmount
lpTokensOut(
    STAmount const& asset1Balance,
    STAmount const& asset1Withdraw,
    STAmount const& lptAMMBalance,
    std::uint16_t tfee);
 
STAmount
withdrawByTokens(
    STAmount const& assetBalance,
    STAmount const& lptAMMBalance,
    STAmount const& lpTokens,
    std::uint16_t tfee);
 
inline bool
withinRelativeDistance(
    Quality const& calcQuality,
    Quality const& reqQuality,
    Number const& dist)
{
    if (calcQuality == reqQuality)
        return true;
    auto const [min, max] = std::minmax(calcQuality, reqQuality);
    // Relative distance is (max - min)/max. Can't use basic operations
    // on Quality. Have to use Quality::rate() instead, which
    // is inverse of quality: (1/max.rate - 1/min.rate)/(1/max.rate)
    return ((min.rate() - max.rate()) / min.rate()) < dist;
}
 
// clang-format off
template <typename Amt>
    requires(
        std::is_same_v<Amt, STAmount> || std::is_same_v<Amt, IOUAmount> ||
        std::is_same_v<Amt, XRPAmount> || std::is_same_v<Amt, Number>)
bool
withinRelativeDistance(Amt const& calc, Amt const& req, Number const& dist)
{
    if (calc == req)
        return true;
    auto const [min, max] = std::minmax(calc, req);
    return ((max - min) / max) < dist;
}
// clang-format on
 
std::optional<Number>
solveQuadraticEqSmallest(Number const& a, Number const& b, Number const& c);
 
template <typename TIn, typename TOut>
std::optional<TAmounts<TIn, TOut>>
getAMMOfferStartWithTakerGets(
    TAmounts<TIn, TOut> const& pool,
    Quality const& targetQuality,
    std::uint16_t const& tfee)
{
    if (targetQuality.rate() == beast::zero)
        return std::nullopt;
 
    NumberRoundModeGuard mg(Number::to_nearest);
    auto const f = feeMult(tfee);
    auto const a = 1;
    auto const b = pool.in * (1 - 1 / f) / targetQuality.rate() - 2 * pool.out;
    auto const c =
        pool.out * pool.out - (pool.in * pool.out) / targetQuality.rate();
 
    auto nTakerGets = solveQuadraticEqSmallest(a, b, c);
    if (!nTakerGets || *nTakerGets <= 0)
        return std::nullopt;  // LCOV_EXCL_LINE
 
    auto const nTakerGetsConstraint =
        pool.out - pool.in / (targetQuality.rate() * f);
    if (nTakerGetsConstraint <= 0)
        return std::nullopt;
 
    // Select the smallest to maximize the quality
    if (nTakerGetsConstraint < *nTakerGets)
        nTakerGets = nTakerGetsConstraint;
 
    auto getAmounts = [&pool, &tfee](Number const& nTakerGetsProposed) {
        // Round downward to minimize the offer and to maximize the quality.
        // This has the most impact when takerGets is XRP.
        auto const takerGets = toAmount<TOut>(
            getIssue(pool.out), nTakerGetsProposed, Number::downward);
        return TAmounts<TIn, TOut>{
            swapAssetOut(pool, takerGets, tfee), takerGets};
    };
 
    // Try to reduce the offer size to improve the quality.
    // The quality might still not match the targetQuality for a tiny offer.
    if (auto const amounts = getAmounts(*nTakerGets);
        Quality{amounts} < targetQuality)
        return getAmounts(detail::reduceOffer(amounts.out));
    else
        return amounts;
}
 
template <typename TIn, typename TOut>
std::optional<TAmounts<TIn, TOut>>
getAMMOfferStartWithTakerPays(
    TAmounts<TIn, TOut> const& pool,
    Quality const& targetQuality,
    std::uint16_t tfee)
{
    if (targetQuality.rate() == beast::zero)
        return std::nullopt;
 
    NumberRoundModeGuard mg(Number::to_nearest);
    auto const f = feeMult(tfee);
    auto const& a = f;
    auto const b = pool.in * (1 + f);
    auto const c =
        pool.in * pool.in - pool.in * pool.out * targetQuality.rate();
 
    auto nTakerPays = solveQuadraticEqSmallest(a, b, c);
    if (!nTakerPays || nTakerPays <= 0)
        return std::nullopt;  // LCOV_EXCL_LINE
 
    auto const nTakerPaysConstraint =
        pool.out * targetQuality.rate() - pool.in / f;
    if (nTakerPaysConstraint <= 0)
        return std::nullopt;
 
    // Select the smallest to maximize the quality
    if (nTakerPaysConstraint < *nTakerPays)
        nTakerPays = nTakerPaysConstraint;
 
    auto getAmounts = [&pool, &tfee](Number const& nTakerPaysProposed) {
        // Round downward to minimize the offer and to maximize the quality.
        // This has the most impact when takerPays is XRP.
        auto const takerPays = toAmount<TIn>(
            getIssue(pool.in), nTakerPaysProposed, Number::downward);
        return TAmounts<TIn, TOut>{
            takerPays, swapAssetIn(pool, takerPays, tfee)};
    };
 
    // Try to reduce the offer size to improve the quality.
    // The quality might still not match the targetQuality for a tiny offer.
    if (auto const amounts = getAmounts(*nTakerPays);
        Quality{amounts} < targetQuality)
        return getAmounts(detail::reduceOffer(amounts.in));
    else
        return amounts;
}
 
template <typename TIn, typename TOut>
std::optional<TAmounts<TIn, TOut>>
changeSpotPriceQuality(
    TAmounts<TIn, TOut> const& pool,
    Quality const& quality,
    std::uint16_t tfee,
    Rules const& rules,
    beast::Journal j)
{
    if (!rules.enabled(fixAMMv1_1))
    {
        // Finds takerPays (i) and takerGets (o) such that given pool
        // composition poolGets(I) and poolPays(O): (O - o) / (I + i) = quality.
        // Where takerGets is calculated as the swapAssetIn (see below).
        // The above equation produces the quadratic equation:
        // i^2*(1-fee) + i*I*(2-fee) + I^2 - I*O/quality,
        // which is solved for i, and o is found with swapAssetIn().
        auto const f = feeMult(tfee);  // 1 - fee
        auto const& a = f;
        auto const b = pool.in * (1 + f);
        Number const c =
            pool.in * pool.in - pool.in * pool.out * quality.rate();
        if (auto const res = b * b - 4 * a * c; res < 0)
            return std::nullopt;  // LCOV_EXCL_LINE
        else if (auto const nTakerPaysPropose = (-b + root2(res)) / (2 * a);
                 nTakerPaysPropose > 0)
        {
            auto const nTakerPays = [&]() {
                // The fee might make the AMM offer quality less than CLOB
                // quality. Therefore, AMM offer has to satisfy this constraint:
                // o / i >= q. Substituting o with swapAssetIn() gives: i <= O /
                // q - I / (1 - fee).
                auto const nTakerPaysConstraint =
                    pool.out * quality.rate() - pool.in / f;
                if (nTakerPaysPropose > nTakerPaysConstraint)
                    return nTakerPaysConstraint;
                return nTakerPaysPropose;
            }();
            if (nTakerPays <= 0)
            {
                JLOG(j.trace())
                    << "changeSpotPriceQuality calc failed: "
                    << to_string(pool.in) << " " << to_string(pool.out) << " "
                    << quality << " " << tfee;
                return std::nullopt;
            }
            auto const takerPays =
                toAmount<TIn>(getIssue(pool.in), nTakerPays, Number::upward);
            // should not fail
            if (auto const amounts =
                    TAmounts<TIn, TOut>{
                        takerPays, swapAssetIn(pool, takerPays, tfee)};
                Quality{amounts} < quality &&
                !withinRelativeDistance(
                    Quality{amounts}, quality, Number(1, -7)))
            {
                JLOG(j.error())
                    << "changeSpotPriceQuality failed: " << to_string(pool.in)
                    << " " << to_string(pool.out) << " " << " " << quality
                    << " " << tfee << " " << to_string(amounts.in) << " "
                    << to_string(amounts.out);
                Throw<std::runtime_error>("changeSpotPriceQuality failed");
            }
            else
            {
                JLOG(j.trace())
                    << "changeSpotPriceQuality succeeded: "
                    << to_string(pool.in) << " " << to_string(pool.out) << " "
                    << " " << quality << " " << tfee << " "
                    << to_string(amounts.in) << " " << to_string(amounts.out);
                return amounts;
            }
        }
        JLOG(j.trace()) << "changeSpotPriceQuality calc failed: "
                        << to_string(pool.in) << " " << to_string(pool.out)
                        << " " << quality << " " << tfee;
        return std::nullopt;
    }
 
    // Generate the offer starting with XRP side. Return seated offer amounts
    // if the offer can be generated, otherwise nullopt.
    auto const amounts = [&]() {
        if (isXRP(getIssue(pool.out)))
            return getAMMOfferStartWithTakerGets(pool, quality, tfee);
        return getAMMOfferStartWithTakerPays(pool, quality, tfee);
    }();
    if (!amounts)
    {
        JLOG(j.trace()) << "changeSpotPrice calc failed: " << to_string(pool.in)
                        << " " << to_string(pool.out) << " " << quality << " "
                        << tfee << std::endl;
        return std::nullopt;
    }
 
    if (Quality{*amounts} < quality)
    {
        JLOG(j.error()) << "changeSpotPriceQuality failed: "
                        << to_string(pool.in) << " " << to_string(pool.out)
                        << " " << quality << " " << tfee << " "
                        << to_string(amounts->in) << " "
                        << to_string(amounts->out);
        return std::nullopt;
    }
 
    JLOG(j.trace()) << "changeSpotPriceQuality succeeded: "
                    << to_string(pool.in) << " " << to_string(pool.out) << " "
                    << " " << quality << " " << tfee << " "
                    << to_string(amounts->in) << " " << to_string(amounts->out);
 
    return amounts;
}
 
template <typename TIn, typename TOut>
TOut
swapAssetIn(
    TAmounts<TIn, TOut> const& pool,
    TIn const& assetIn,
    std::uint16_t tfee)
{
    if (auto const& rules = getCurrentTransactionRules();
        rules && rules->enabled(fixAMMv1_1))
    {
        // set rounding to always favor the amm. Clip to zero.
        // calculate:
        // pool.out -
        // (pool.in * pool.out) / (pool.in + assetIn * feeMult(tfee)),
        // and explicitly set the rounding modes
        // Favoring the amm means we should:
        // minimize:
        // pool.out -
        // (pool.in * pool.out) / (pool.in + assetIn * feeMult(tfee)),
        // maximize:
        // (pool.in * pool.out) / (pool.in + assetIn * feeMult(tfee)),
        // (pool.in * pool.out)
        // minimize:
        // (pool.in + assetIn * feeMult(tfee)),
        // minimize:
        // assetIn * feeMult(tfee)
        // feeMult is: (1-fee), fee is tfee/100000
        // minimize:
        // 1-fee
        // maximize:
        // fee
        saveNumberRoundMode _{Number::getround()};
 
        Number::setround(Number::upward);
        auto const numerator = pool.in * pool.out;
        auto const fee = getFee(tfee);
 
        Number::setround(Number::downward);
        auto const denom = pool.in + assetIn * (1 - fee);
 
        if (denom.signum() <= 0)
            return toAmount<TOut>(getIssue(pool.out), 0);
 
        Number::setround(Number::upward);
        auto const ratio = numerator / denom;
 
        Number::setround(Number::downward);
        auto const swapOut = pool.out - ratio;
 
        if (swapOut.signum() < 0)
            return toAmount<TOut>(getIssue(pool.out), 0);
 
        return toAmount<TOut>(getIssue(pool.out), swapOut, Number::downward);
    }
    else
    {
        return toAmount<TOut>(
            getIssue(pool.out),
            pool.out -
                (pool.in * pool.out) / (pool.in + assetIn * feeMult(tfee)),
            Number::downward);
    }
}
 
template <typename TIn, typename TOut>
TIn
swapAssetOut(
    TAmounts<TIn, TOut> const& pool,
    TOut const& assetOut,
    std::uint16_t tfee)
{
    if (auto const& rules = getCurrentTransactionRules();
        rules && rules->enabled(fixAMMv1_1))
    {
        // set rounding to always favor the amm. Clip to zero.
        // calculate:
        // ((pool.in * pool.out) / (pool.out - assetOut) - pool.in) /
        // (1-tfee/100000)
        // maximize:
        // ((pool.in * pool.out) / (pool.out - assetOut) - pool.in)
        // maximize:
        // (pool.in * pool.out) / (pool.out - assetOut)
        // maximize:
        // (pool.in * pool.out)
        // minimize
        // (pool.out - assetOut)
        // minimize:
        // (1-tfee/100000)
        // maximize:
        // tfee/100000
 
        saveNumberRoundMode _{Number::getround()};
 
        Number::setround(Number::upward);
        auto const numerator = pool.in * pool.out;
 
        Number::setround(Number::downward);
        auto const denom = pool.out - assetOut;
        if (denom.signum() <= 0)
        {
            return toMaxAmount<TIn>(getIssue(pool.in));
        }
 
        Number::setround(Number::upward);
        auto const ratio = numerator / denom;
        auto const numerator2 = ratio - pool.in;
        auto const fee = getFee(tfee);
 
        Number::setround(Number::downward);
        auto const feeMult = 1 - fee;
 
        Number::setround(Number::upward);
        auto const swapIn = numerator2 / feeMult;
        if (swapIn.signum() < 0)
            return toAmount<TIn>(getIssue(pool.in), 0);
 
        return toAmount<TIn>(getIssue(pool.in), swapIn, Number::upward);
    }
    else
    {
        return toAmount<TIn>(
            getIssue(pool.in),
            ((pool.in * pool.out) / (pool.out - assetOut) - pool.in) /
                feeMult(tfee),
            Number::upward);
    }
}
 
Number
square(Number const& n);
 
STAmount
adjustLPTokens(
    STAmount const& lptAMMBalance,
    STAmount const& lpTokens,
    bool isDeposit);
 
std::tuple<STAmount, std::optional<STAmount>, STAmount>
adjustAmountsByLPTokens(
    STAmount const& amountBalance,
    STAmount const& amount,
    std::optional<STAmount> const& amount2,
    STAmount const& lptAMMBalance,
    STAmount const& lpTokens,
    std::uint16_t tfee,
    bool isDeposit);
 
Number
solveQuadraticEq(Number const& a, Number const& b, Number const& c);
 
}  // namespace ripple
 
#endif  // RIPPLE_APP_MISC_AMMHELPERS_H_INCLUDED