mirror of
https://github.com/XRPLF/rippled.git
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463 lines
16 KiB
C++
463 lines
16 KiB
C++
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#include <test/jtx/Account.h>
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#include <test/jtx/Env.h>
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#include <test/jtx/amount.h>
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#include <xrpl/beast/unit_test/suite.h>
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#include <xrpl/beast/utility/Journal.h>
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#include <xrpl/ledger/helpers/AMMHelpers.h>
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#include <xrpl/protocol/AmountConversions.h>
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#include <xrpl/protocol/IOUAmount.h>
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#include <xrpl/protocol/Quality.h>
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#include <xrpl/protocol/STAmount.h>
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#include <xrpl/protocol/UintTypes.h>
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#include <xrpl/protocol/XRPAmount.h>
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#include <boost/regex/v5/regex.hpp>
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#include <boost/regex/v5/regex_replace.hpp>
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#include <boost/regex/v5/regex_search.hpp>
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#include <boost/regex/v5/regex_token_iterator.hpp>
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#include <cstdint>
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#include <exception>
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#include <iostream>
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#include <map>
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#include <optional>
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#include <ostream>
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#include <string>
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#include <tuple>
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#include <utility>
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#include <vector>
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namespace xrpl::test {
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/** AMM Calculator. Uses AMM formulas to simulate the payment engine
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* expected results. Assuming the formulas are correct some unit-tests can
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* be verified. Currently supported operations are:
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* - swapIn, find out given in. in can flow through multiple AMM/Offer steps.
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* - swapOut, find in given out. out can flow through multiple AMM/Offer steps.
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* - lptokens, find lptokens given pool composition.
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* - changespq, change AMM spot price (SP) quality. given AMM and Offer
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* find out AMM offer, which changes AMM's SP quality to
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* the Offer's quality.
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*/
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class AMMCalc_test : public beast::unit_test::Suite
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{
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using token_iter = boost::sregex_token_iterator;
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using steps = std::vector<std::pair<Amounts, bool>>;
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using transfer_rates = std::map<std::string, std::uint32_t>;
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using swapargs = std::tuple<steps, STAmount, transfer_rates, std::uint32_t>;
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jtx::Account const gw_{jtx::Account("gw")};
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token_iter const end_;
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std::optional<STAmount>
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getAmt(token_iter const& p, bool* delimited = nullptr)
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{
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using namespace jtx;
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if (p == end_)
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return STAmount{};
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std::string str = *p;
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str = boost::regex_replace(str, boost::regex("^(A|O)[(]"), "");
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boost::smatch match;
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// XXX(val))?
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boost::regex const rx("^([^(]+)[(]([^)]+)[)]([)])?$");
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if (boost::regex_search(str, match, rx))
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{
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if (delimited != nullptr)
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*delimited = (match[3] != "");
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if (match[1] == "XRP")
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{
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return XRP(std::stoll(match[2]));
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// drops
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}
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if (match[1] == "XRPA")
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{
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return XRPAmount{std::stoll(match[2])};
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}
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return amountFromString(gw_[match[1]].asset(), match[2]);
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}
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return std::nullopt;
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}
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std::optional<std::tuple<std::string, std::uint32_t, bool>>
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getRate(token_iter const& p)
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{
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if (p == end_)
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return std::nullopt;
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std::string str = *p;
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str = boost::regex_replace(str, boost::regex("^T[(]"), "");
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// XXX(rate))?
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boost::smatch match;
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boost::regex const rx("^([^(]+)[(]([^)]+)[)]([)])?$");
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if (boost::regex_search(str, match, rx))
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{
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std::string const currency = match[1];
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// input is rate * 100, no fraction
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std::uint32_t const rate = 10'000'000 * std::stoi(match[2].str());
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// true if delimited - )
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return {{currency, rate, match[3] != ""}};
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}
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return std::nullopt;
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}
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std::uint32_t
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getFee(token_iter const& p)
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{
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if (p != end_)
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{
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std::string const s = *p;
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return std::stoll(s);
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}
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return 0;
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}
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std::optional<std::pair<Amounts, bool>>
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getAmounts(token_iter& p)
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{
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if (p == end_)
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return std::nullopt;
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std::string const s = *p;
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bool const amm = s[0] != 'O';
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auto const a1 = getAmt(p++);
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if (!a1 || p == end_)
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return std::nullopt;
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auto const a2 = getAmt(p++);
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if (!a2)
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return std::nullopt;
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return {{{*a1, *a2}, amm}};
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}
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std::optional<transfer_rates>
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getTransferRate(token_iter& p)
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{
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transfer_rates rates{};
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if (p == end_)
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return rates;
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std::string str = *p;
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if (str[0] != 'T')
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return rates;
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// T(USD(rate),GBP(rate), ...)
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while (p != end_)
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{
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if (auto const rate = getRate(p++))
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{
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auto const [currency, transferRate, delimited] = *rate;
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rates[currency] = transferRate;
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if (delimited)
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break;
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}
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else
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{
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return std::nullopt;
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}
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}
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return rates;
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}
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std::optional<swapargs>
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getSwap(token_iter& p)
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{
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// pairs of amm pool or offer
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steps pairs;
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// either amm pool or offer
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auto isPair = [](auto const& p) {
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std::string const s = *p;
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return s[0] == 'A' || s[0] == 'O';
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};
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// get AMM or offer
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while (isPair(p))
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{
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auto const res = getAmounts(p);
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if (!res || p == end_)
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return std::nullopt;
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pairs.push_back(*res);
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}
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// swap in/out amount
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auto const swap = getAmt(p++);
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if (!swap)
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return std::nullopt;
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// optional transfer rate
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auto const rate = getTransferRate(p);
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if (!rate)
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return std::nullopt;
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auto const fee = getFee(p);
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return {{pairs, *swap, *rate, fee}};
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}
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static std::string
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toString(STAmount const& a)
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{
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return (boost::format("%s/%s") % a.getText() % ::xrpl::to_string(a.get<Issue>().currency))
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.str();
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}
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static STAmount
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mulratio(STAmount const& amt, std::uint32_t a, std::uint32_t b, bool round)
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{
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if (a == b)
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return amt;
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if (amt.native())
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return toSTAmount(mulRatio(amt.xrp(), a, b, round), amt.asset());
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return toSTAmount(mulRatio(amt.iou(), a, b, round), amt.asset());
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}
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static void
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swapOut(swapargs const& args)
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{
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auto const vp = std::get<steps>(args);
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STAmount sout = std::get<STAmount>(args);
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auto const fee = std::get<std::uint32_t>(args);
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auto const rates = std::get<transfer_rates>(args);
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STAmount resultOut = sout;
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STAmount resultIn{};
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STAmount sin{};
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int limitingStep = vp.size();
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STAmount limitStepOut{};
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auto transferRate = [&](STAmount const& amt) {
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auto const currency = ::xrpl::to_string(amt.get<Issue>().currency);
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return rates.contains(currency) ? rates.at(currency) : QUALITY_ONE;
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};
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// swap out reverse
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sin = sout;
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for (auto it = vp.rbegin(); it != vp.rend(); ++it)
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{
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sout = mulratio(sin, transferRate(sin), QUALITY_ONE, true);
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auto const [amts, amm] = *it;
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// assume no amm limit
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if (amm)
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{
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sin = swapAssetOut(amts, sout, fee);
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}
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else if (sout <= amts.out)
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{
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sin = Quality{amts}.ceilOut(amts, sout).in;
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}
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// limiting step
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else
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{
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sin = amts.in;
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limitingStep = vp.rend() - it - 1;
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limitStepOut = amts.out;
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if (it == vp.rbegin())
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resultOut = amts.out;
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}
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resultIn = sin;
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}
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sin = limitStepOut;
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// swap in if limiting step
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for (int i = limitingStep + 1; i < vp.size(); ++i)
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{
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auto const [amts, amm] = vp[i];
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sin = mulratio(sin, QUALITY_ONE, transferRate(sin), false);
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if (amm)
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{
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sout = swapAssetIn(amts, sin, fee);
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}
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// assume there is no limiting step in fwd
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else
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{
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sout = Quality{amts}.ceilIn(amts, sin).out;
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}
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sin = sout;
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resultOut = sout;
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}
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std::cout << "in: " << toString(resultIn) << " out: " << toString(resultOut) << std::endl;
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}
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static void
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swapIn(swapargs const& args)
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{
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auto const vp = std::get<steps>(args);
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STAmount sin = std::get<STAmount>(args);
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auto const fee = std::get<std::uint32_t>(args);
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auto const rates = std::get<transfer_rates>(args);
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STAmount resultIn = sin;
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STAmount resultOut{};
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STAmount sout{};
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int limitingStep = 0;
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STAmount limitStepIn{};
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auto transferRate = [&](STAmount const& amt) {
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auto const currency = ::xrpl::to_string(amt.get<Issue>().currency);
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return rates.contains(currency) ? rates.at(currency) : QUALITY_ONE;
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};
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// Swap in forward
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for (auto it = vp.begin(); it != vp.end(); ++it)
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{
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auto const [amts, amm] = *it;
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sin = mulratio(sin, QUALITY_ONE, transferRate(sin),
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false); // out of the next step
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// assume no amm limit
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if (amm)
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{
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sout = swapAssetIn(amts, sin, fee);
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}
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else if (sin <= amts.in)
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{
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sout = Quality{amts}.ceilIn(amts, sin).out;
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}
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// limiting step, requested in is greater than the offer
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// pay exactly amts.in, which gets amts.out
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else
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{
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sout = amts.out;
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limitingStep = it - vp.begin();
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limitStepIn = amts.in;
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}
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sin = sout;
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resultOut = sout;
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}
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sin = limitStepIn;
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// swap out if limiting step
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for (int i = limitingStep - 1; i >= 0; --i)
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{
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sout = mulratio(sin, transferRate(sin), QUALITY_ONE, false);
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auto const [amts, amm] = vp[i];
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if (amm)
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{
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sin = swapAssetOut(amts, sout, fee);
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}
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// assume there is no limiting step
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else
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{
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sin = Quality{amts}.ceilOut(amts, sout).in;
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}
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resultIn = sin;
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}
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resultOut = mulratio(resultOut, QUALITY_ONE, transferRate(resultOut), true);
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std::cout << "in: " << toString(resultIn) << " out: " << toString(resultOut) << std::endl;
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}
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void
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run() override
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{
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using namespace jtx;
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auto const a = arg();
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boost::regex const re(",");
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token_iter p(a.begin(), a.end(), re, -1);
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// Token is denoted as CUR(xxx), where CUR is the currency code
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// and xxx is the amount, for instance: XRP(100) or USD(11.5)
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// AMM is denoted as A(CUR1(xxx1),CUR2(xxx2)), for instance:
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// A(XRP(1000),USD(1000)), the tokens must be in the order
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// poolGets/poolPays
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// Offer is denoted as O(CUR1(xxx1),CUR2(xxx2)), for instance:
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// O(XRP(100),USD(100)), the tokens must be in the order
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// takerPays/takerGets
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// Transfer rate is denoted as a comma separated list for each
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// currency with the transfer rate, for instance:
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// T(USD(175),...,EUR(100)).
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// the transfer rate is 100 * rate, with no fraction, for instance:
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// 1.75 = 1.75 * 100 = 175
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// the transfer rate is optional
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// AMM trading fee is an integer in {0,1000}, 1000 represents 1%
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// the trading fee is optional
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auto const exec = [&]() -> bool {
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if (p == end_)
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return true;
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// Swap in to the steps. Execute steps in forward direction first.
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// swapin,A(XRP(1000),USD(1000)),O(USD(10),EUR(10)),XRP(11),
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// T(USD(125)),1000
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// where
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// A(...),O(...) are the payment steps, in this case
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// consisting of AMM and Offer.
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// XRP(11) is the swapIn value. Note the order of tokens in AMM;
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// i.e. poolGets/poolPays.
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// T(USD(125) is the transfer rate of 1.25%.
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// 1000 is AMM trading fee of 1%, the fee is optional.
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if (*p == "swapin")
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{
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if (auto const swap = getSwap(++p); swap)
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{
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swapIn(*swap);
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return true;
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}
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}
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// Swap out of the steps. Execute steps in reverse direction first.
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// swapout,A(USD(1000),XRP(1000)),XRP(10),T(USD(100)),100
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// where
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// A(...) is the payment step, in this case
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// consisting of AMM.
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// XRP(10) is the swapOut value. Note the order of tokens in AMM:
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// i.e. poolGets/poolPays.
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// T(USD(100) is the transfer rate of 1%.
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// 100 is AMM trading fee of 0.1%.
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else if (*p == "swapout")
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{
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if (auto const swap = getSwap(++p); swap)
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{
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swapOut(*swap);
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return true;
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}
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}
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// Calculate AMM lptokens
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// lptokens,USD(1000),XRP(1000)
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// where
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// USD(...),XRP(...) is the pool composition
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else if (*p == "lptokens")
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{
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if (auto const pool = getAmounts(++p); pool)
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{
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Account const amm("amm");
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auto const lpt = amm["LPT"];
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std::cout << ::xrpl::to_string(
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ammLPTokens(pool->first.in, pool->first.out, lpt).iou())
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<< std::endl;
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return true;
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}
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}
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// Change spot price quality - generates AMM offer such that
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// when consumed the updated AMM spot price quality is equal
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// to the CLOB offer quality
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// changespq,A(XRP(1000),USD(1000)),O(XRP(100),USD(99)),10
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// where
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// A(...) is AMM
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// O(...) is CLOB offer
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// 10 is AMM trading fee
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else if (*p == "changespq")
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{
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Env const env(*this);
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if (auto const pool = getAmounts(++p))
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{
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if (auto const offer = getAmounts(p))
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{
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auto const fee = getFee(p);
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if (auto const ammOffer = changeSpotPriceQuality(
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pool->first,
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Quality{offer->first},
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fee,
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env.current()->rules(),
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beast::Journal(beast::Journal::getNullSink()));
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ammOffer)
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{
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std::cout << "amm offer: " << toString(ammOffer->in) << " "
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<< toString(ammOffer->out)
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<< "\nnew pool: " << toString(pool->first.in + ammOffer->in)
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<< " " << toString(pool->first.out - ammOffer->out)
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<< std::endl;
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}
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else
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{
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std::cout << "can't change the pool's SP quality" << std::endl;
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}
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return true;
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}
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}
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}
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return false;
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};
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bool res = false;
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try
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{
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res = exec();
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}
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catch (std::exception const& ex)
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{
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std::cout << ex.what() << std::endl;
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}
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BEAST_EXPECT(res);
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}
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};
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BEAST_DEFINE_TESTSUITE_MANUAL(AMMCalc, app, xrpl);
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} // namespace xrpl::test
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