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Fix offer crossing via single path AMM with transfer fee:

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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
2024-05-04 17:36:49 -04:00
committed by tequ
parent 3ff7f34d7c
commit e5e4925a39
2 changed files with 245 additions and 6 deletions
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57
src/ripple/app/paths/impl/BookStep.cpp
View File

@@ -275,6 +275,7 @@ public:
using BookStep<TIn, TOut, BookPaymentStep<TIn, TOut>>::BookStep;
using BookStep<TIn, TOut, BookPaymentStep<TIn, TOut>>::qualityUpperBound;
using typename BookStep<TIn, TOut, BookPaymentStep<TIn, TOut>>::OfferType;
// Never limit self cross quality on a payment.
template <template <typename, typename> typename Offer>
@@ -328,7 +329,9 @@ public:
ReadView const& v,
Quality const& ofrQ,
DebtDirection prevStepDir,
WaiveTransferFee waiveFee) const
WaiveTransferFee waiveFee,
OfferType,
Rules const&) const
{
// Charge the offer owner, not the sender
// Charge a fee even if the owner is the same as the issuer
@@ -368,6 +371,8 @@ class BookOfferCrossingStep
{
using BookStep<TIn, TOut, BookOfferCrossingStep<TIn, TOut>>::
qualityUpperBound;
using typename BookStep<TIn, TOut, BookOfferCrossingStep<TIn, TOut>>::
OfferType;
private:
// Helper function that throws if the optional passed to the constructor
@@ -513,7 +518,9 @@ public:
ReadView const& v,
Quality const& ofrQ,
DebtDirection prevStepDir,
WaiveTransferFee waiveFee) const
WaiveTransferFee waiveFee,
OfferType offerType,
Rules const& rules) const
{
// Offer x-ing does not charge a transfer fee when the offer's owner
// is the same as the strand dst. It is important that
@@ -521,7 +528,30 @@ public:
// ignore strands whose quality cannot meet a minimum threshold). When
// calculating quality assume no fee is charged, or the estimate will no
// longer be an upper bound.
return ofrQ;
// 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.
if (!rules.enabled(fixAMMRounding))
return ofrQ;
else if (
offerType == OfferType::CLOB ||
(this->ammLiquidity_ && this->ammLiquidity_->multiPath()))
return ofrQ;
auto rate = [&](AccountID const& id) {
if (isXRP(id) || id == this->strandDst_)
return parityRate;
return transferRate(v, id);
};
auto const trIn =
redeems(prevStepDir) ? rate(this->book_.in.account) : parityRate;
// AMM doesn't pay the transfer fee on the out amount
auto const trOut = parityRate;
Quality const q1{getRate(STAmount(trOut.value), STAmount(trIn.value))};
return composed_quality(q1, ofrQ);
}
std::string
@@ -563,7 +593,12 @@ BookStep<TIn, TOut, TDerived>::qualityUpperBound(
: WaiveTransferFee::No;
Quality const q = static_cast<TDerived const*>(this)->adjustQualityWithFees(
v, std::get<Quality>(*res), prevStepDir, waiveFee);
v,
std::get<Quality>(*res),
prevStepDir,
waiveFee,
std::get<OfferType>(*res),
v.rules());
return {q, dir};
}
@@ -585,7 +620,12 @@ BookStep<TIn, TOut, TDerived>::getQualityFunc(
auto static const qOne = Quality{STAmount::uRateOne};
auto const q =
static_cast<TDerived const*>(this)->adjustQualityWithFees(
v, qOne, prevStepDir, WaiveTransferFee::Yes);
v,
qOne,
prevStepDir,
WaiveTransferFee::Yes,
OfferType::AMM,
v.rules());
if (q == qOne)
return {res, dir};
QualityFunction qf{q, QualityFunction::CLOBLikeTag{}};
@@ -595,7 +635,12 @@ BookStep<TIn, TOut, TDerived>::getQualityFunc(
// CLOB
Quality const q = static_cast<TDerived const*>(this)->adjustQualityWithFees(
v, *(res->quality()), prevStepDir, WaiveTransferFee::No);
v,
*(res->quality()),
prevStepDir,
WaiveTransferFee::No,
OfferType::CLOB,
v.rules());
return {QualityFunction{q, QualityFunction::CLOBLikeTag{}}, dir};
}

194
src/test/app/AMM_test.cpp
View File

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