AMMLiquidity.cpp

#include <xrpld/app/paths/AMMLiquidity.h>
#include <xrpld/app/paths/AMMOffer.h>
 
namespace ripple {
 
template <typename TIn, typename TOut>
AMMLiquidity<TIn, TOut>::AMMLiquidity(
    ReadView const& view,
    AccountID const& ammAccountID,
    std::uint32_t tradingFee,
    Issue const& in,
    Issue const& out,
    AMMContext& ammContext,
    beast::Journal j)
    : ammContext_(ammContext)
    , ammAccountID_(ammAccountID)
    , tradingFee_(tradingFee)
    , issueIn_(in)
    , issueOut_(out)
    , initialBalances_{fetchBalances(view)}
    , j_(j)
{
}
 
template <typename TIn, typename TOut>
TAmounts<TIn, TOut>
AMMLiquidity<TIn, TOut>::fetchBalances(ReadView const& view) const
{
    auto const assetIn = ammAccountHolds(view, ammAccountID_, issueIn_);
    auto const assetOut = ammAccountHolds(view, ammAccountID_, issueOut_);
    // This should not happen.
    if (assetIn < beast::zero || assetOut < beast::zero)
        Throw<std::runtime_error>("AMMLiquidity: invalid balances");
 
    return TAmounts{get<TIn>(assetIn), get<TOut>(assetOut)};
}
 
template <typename TIn, typename TOut>
TAmounts<TIn, TOut>
AMMLiquidity<TIn, TOut>::generateFibSeqOffer(
    TAmounts<TIn, TOut> const& balances) const
{
    TAmounts<TIn, TOut> cur{};
 
    cur.in = toAmount<TIn>(
        getIssue(balances.in),
        InitialFibSeqPct * initialBalances_.in,
        Number::rounding_mode::upward);
    cur.out = swapAssetIn(initialBalances_, cur.in, tradingFee_);
 
    if (ammContext_.curIters() == 0)
        return cur;
 
    // clang-format off
    constexpr std::uint32_t fib[AMMContext::MaxIterations] = {
        1, 2, 3, 5, 8, 13, 21, 34, 55, 89, 144, 233, 377, 610, 987,
        1597, 2584, 4181, 6765, 10946, 17711, 28657, 46368, 75025, 121393,
        196418, 317811, 514229, 832040, 1346269};
    // clang-format on
 
    XRPL_ASSERT(
        !ammContext_.maxItersReached(),
        "ripple::AMMLiquidity::generateFibSeqOffer : maximum iterations");
 
    cur.out = toAmount<TOut>(
        getIssue(balances.out),
        cur.out * fib[ammContext_.curIters() - 1],
        Number::rounding_mode::downward);
    // swapAssetOut() returns negative in this case
    if (cur.out >= balances.out)
        Throw<std::overflow_error>(
            "AMMLiquidity: generateFibSeqOffer exceeds the balance");
 
    cur.in = swapAssetOut(balances, cur.out, tradingFee_);
 
    return cur;
}
 
namespace {
template <typename T>
constexpr T
maxAmount()
{
    if constexpr (std::is_same_v<T, XRPAmount>)
        return XRPAmount(STAmount::cMaxNative);
    else if constexpr (std::is_same_v<T, IOUAmount>)
        return IOUAmount(STAmount::cMaxValue / 2, STAmount::cMaxOffset);
    else if constexpr (std::is_same_v<T, STAmount>)
        return STAmount(STAmount::cMaxValue / 2, STAmount::cMaxOffset);
}
 
template <typename T>
T
maxOut(T const& out, Issue const& iss)
{
    Number const res = out * Number{99, -2};
    return toAmount<T>(iss, res, Number::rounding_mode::downward);
}
}  // namespace
 
template <typename TIn, typename TOut>
std::optional<AMMOffer<TIn, TOut>>
AMMLiquidity<TIn, TOut>::maxOffer(
    TAmounts<TIn, TOut> const& balances,
    Rules const& rules) const
{
    if (!rules.enabled(fixAMMOverflowOffer))
    {
        return AMMOffer<TIn, TOut>(
            *this,
            {maxAmount<TIn>(),
             swapAssetIn(balances, maxAmount<TIn>(), tradingFee_)},
            balances,
            Quality{balances});
    }
    else
    {
        auto const out = maxOut<TOut>(balances.out, issueOut());
        if (out <= TOut{0} || out >= balances.out)
            return std::nullopt;
        return AMMOffer<TIn, TOut>(
            *this,
            {swapAssetOut(balances, out, tradingFee_), out},
            balances,
            Quality{balances});
    }
}
 
template <typename TIn, typename TOut>
std::optional<AMMOffer<TIn, TOut>>
AMMLiquidity<TIn, TOut>::getOffer(
    ReadView const& view,
    std::optional<Quality> const& clobQuality) const
{
    // Can't generate more offers if multi-path.
    if (ammContext_.maxItersReached())
        return std::nullopt;
 
    auto const balances = fetchBalances(view);
 
    // Frozen accounts
    if (balances.in == beast::zero || balances.out == beast::zero)
    {
        JLOG(j_.debug()) << "AMMLiquidity::getOffer, frozen accounts";
        return std::nullopt;
    }
 
    JLOG(j_.trace()) << "AMMLiquidity::getOffer balances "
                     << to_string(initialBalances_.in) << " "
                     << to_string(initialBalances_.out) << " new balances "
                     << to_string(balances.in) << " "
                     << to_string(balances.out);
 
    // Can't generate AMM with a better quality than CLOB's
    // quality if AMM's Spot Price quality is less than CLOB quality or is
    // within a threshold.
    // Spot price quality (SPQ) is calculated within some precision threshold.
    // On the next iteration, after SPQ is changed, the new SPQ might be close
    // to the requested clobQuality but not exactly and potentially SPQ may keep
    // on approaching clobQuality for many iterations. Checking for the quality
    // threshold prevents this scenario.
    if (auto const spotPriceQ = Quality{balances}; clobQuality &&
        (spotPriceQ <= clobQuality ||
         withinRelativeDistance(spotPriceQ, *clobQuality, Number(1, -7))))
    {
        JLOG(j_.trace()) << "AMMLiquidity::getOffer, higher clob quality";
        return std::nullopt;
    }
 
    auto offer = [&]() -> std::optional<AMMOffer<TIn, TOut>> {
        try
        {
            if (ammContext_.multiPath())
            {
                auto const amounts = generateFibSeqOffer(balances);
                if (clobQuality && Quality{amounts} < clobQuality)
                    return std::nullopt;
                return AMMOffer<TIn, TOut>(
                    *this, amounts, balances, Quality{amounts});
            }
            else if (!clobQuality)
            {
                // If there is no CLOB to compare against, return the largest
                // amount, which doesn't overflow. The size is going to be
                // changed in BookStep per either deliver amount limit, or
                // sendmax, or available output or input funds. Might return
                // nullopt if the pool is small.
                return maxOffer(balances, view.rules());
            }
            else if (
                auto const amounts = changeSpotPriceQuality(
                    balances, *clobQuality, tradingFee_, view.rules(), j_))
            {
                return AMMOffer<TIn, TOut>(
                    *this, *amounts, balances, Quality{*amounts});
            }
            else if (view.rules().enabled(fixAMMv1_2))
            {
                if (auto const maxAMMOffer = maxOffer(balances, view.rules());
                    maxAMMOffer &&
                    Quality{maxAMMOffer->amount()} > *clobQuality)
                    return maxAMMOffer;
            }
        }
        catch (std::overflow_error const& e)
        {
            JLOG(j_.error()) << "AMMLiquidity::getOffer overflow " << e.what();
            if (!view.rules().enabled(fixAMMOverflowOffer))
                return maxOffer(balances, view.rules());
            else
                return std::nullopt;
        }
        catch (std::exception const& e)
        {
            JLOG(j_.error()) << "AMMLiquidity::getOffer exception " << e.what();
        }
        return std::nullopt;
    }();
 
    if (offer)
    {
        if (offer->amount().in > beast::zero &&
            offer->amount().out > beast::zero)
        {
            JLOG(j_.trace())
                << "AMMLiquidity::getOffer, created "
                << to_string(offer->amount().in) << "/" << issueIn_ << " "
                << to_string(offer->amount().out) << "/" << issueOut_;
            return offer;
        }
 
        JLOG(j_.debug()) << "AMMLiquidity::getOffer, no valid offer "
                         << ammContext_.multiPath() << " "
                         << ammContext_.curIters() << " "
                         << (clobQuality ? clobQuality->rate() : STAmount{})
                         << " " << to_string(balances.in) << " "
                         << to_string(balances.out);
    }
 
    return std::nullopt;
}
 
template class AMMLiquidity<STAmount, STAmount>;
template class AMMLiquidity<IOUAmount, IOUAmount>;
template class AMMLiquidity<XRPAmount, IOUAmount>;
template class AMMLiquidity<IOUAmount, XRPAmount>;
 
}  // namespace ripple