AMMCalc_test.cpp

 
#include <test/jtx/Account.h>
#include <test/jtx/Env.h>
#include <test/jtx/amount.h>
 
#include <xrpl/beast/unit_test/suite.h>
#include <xrpl/beast/utility/Journal.h>
#include <xrpl/ledger/helpers/AMMHelpers.h>
#include <xrpl/protocol/AmountConversions.h>
#include <xrpl/protocol/IOUAmount.h>
#include <xrpl/protocol/Quality.h>
#include <xrpl/protocol/STAmount.h>
#include <xrpl/protocol/UintTypes.h>
#include <xrpl/protocol/XRPAmount.h>
 
#include <boost/regex/v5/regex.hpp>
#include <boost/regex/v5/regex_replace.hpp>
#include <boost/regex/v5/regex_search.hpp>
#include <boost/regex/v5/regex_token_iterator.hpp>
 
#include <cstdint>
#include <exception>
#include <iostream>
#include <map>
#include <optional>
#include <ostream>
#include <string>
#include <tuple>
#include <utility>
#include <vector>
 
namespace xrpl::test {

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