Handle liquidity swapping edge case across initialized tick boundary (#82)
This commit is contained in:
Phil Chen
GitHub
parent
d4d1842086
commit
e4bdde3bd1
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@ -172,7 +172,7 @@ pub fn swap(
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} else {
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next_tick_index
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};
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} else {
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} else if swap_computation.next_price != curr_sqrt_price {
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curr_tick_index = tick_index_from_sqrt_price(&swap_computation.next_price);
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}
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@ -3,6 +3,7 @@ import * as anchor from "@project-serum/anchor";
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import { web3 } from "@project-serum/anchor";
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import { u64 } from "@solana/spl-token";
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import * as assert from "assert";
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import { BN } from "bn.js";
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import Decimal from "decimal.js";
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import {
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buildWhirlpoolClient,
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@ -13,6 +14,8 @@ import {
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SwapParams,
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swapQuoteByInputToken,
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TickArrayData,
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TickUtil,
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TICK_ARRAY_SIZE,
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toTx,
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WhirlpoolContext,
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WhirlpoolIx,
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@ -584,6 +587,257 @@ describe("swap", () => {
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);
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});
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it("swaps aToB across initialized tick with no movement", async () => {
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const startingTick = 91720;
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const tickSpacing = TickSpacing.Stable;
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const startingTickArrayStartIndex = TickUtil.getStartTickIndex(startingTick, tickSpacing);
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const aToB = true;
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const startSqrtPrice = PriceMath.tickIndexToSqrtPriceX64(startingTick);
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const initialLiquidity = new anchor.BN(10_000_000);
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const additionalLiquidity = new anchor.BN(2_000_000);
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const { poolInitInfo, whirlpoolPda, tokenAccountA, tokenAccountB } =
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await initTestPoolWithTokens(ctx, TickSpacing.Stable, startSqrtPrice);
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await initTickArrayRange(
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ctx,
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whirlpoolPda.publicKey,
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startingTickArrayStartIndex + TICK_ARRAY_SIZE * tickSpacing * 2,
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5,
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TickSpacing.Stable,
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aToB
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);
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const oraclePda = PDAUtil.getOracle(ctx.program.programId, whirlpoolPda.publicKey);
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const initialParams: FundedPositionParams[] = [
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{
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liquidityAmount: initialLiquidity,
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tickLowerIndex: startingTickArrayStartIndex + tickSpacing,
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tickUpperIndex: startingTickArrayStartIndex + TICK_ARRAY_SIZE * tickSpacing * 2 - tickSpacing,
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},
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];
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await fundPositions(ctx, poolInitInfo, tokenAccountA, tokenAccountB, initialParams);
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const whirlpoolKey = poolInitInfo.whirlpoolPda.publicKey;
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let whirlpool = await client.getPool(whirlpoolKey, true);
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let whirlpoolData = whirlpool.getData();
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// Position covers the current price, so liquidity should be equal to the initial funded position
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assert.ok(whirlpoolData.liquidity.eq(new anchor.BN(10_000_000)));
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const nextParams: FundedPositionParams[] = [
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{
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liquidityAmount: additionalLiquidity,
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tickLowerIndex: startingTick - tickSpacing * 2,
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tickUpperIndex: startingTick,
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},
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];
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await fundPositions(ctx, poolInitInfo, tokenAccountA, tokenAccountB, nextParams);
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whirlpool = await client.getPool(whirlpoolKey, true);
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whirlpoolData = whirlpool.getData();
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// Whirlpool.currentTick is 91720, so the newly funded position's upper tick is not
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// strictly less than 91720 so the liquidity is not added.
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assert.ok(whirlpoolData.liquidity.eq(initialLiquidity));
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assert.ok(whirlpoolData.sqrtPrice.eq(startSqrtPrice));
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assert.equal(whirlpoolData.tickCurrentIndex, startingTick);
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const quote = await swapQuoteByInputToken(
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whirlpool,
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whirlpoolData.tokenMintA,
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new u64(1),
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Percentage.fromFraction(1, 100),
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ctx.program.programId,
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fetcher,
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true
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);
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await toTx(
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ctx,
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WhirlpoolIx.swapIx(ctx.program, {
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...quote,
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whirlpool: whirlpoolPda.publicKey,
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tokenAuthority: ctx.wallet.publicKey,
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tokenOwnerAccountA: tokenAccountA,
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tokenVaultA: poolInitInfo.tokenVaultAKeypair.publicKey,
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tokenOwnerAccountB: tokenAccountB,
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tokenVaultB: poolInitInfo.tokenVaultBKeypair.publicKey,
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oracle: oraclePda.publicKey,
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})
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).buildAndExecute();
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whirlpool = await client.getPool(whirlpoolKey, true);
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whirlpoolData = whirlpool.getData();
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// After the above swap, since the amount is so low, it is completely taken by fees
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// thus, the sqrt price will remain the same, the starting tick will decrement since it
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// is an aToB swap ending on initialized tick, and since the tick is crossed,
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// the liquidity will be added
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assert.equal(whirlpoolData.tickCurrentIndex, startingTick - 1);
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assert.ok(whirlpoolData.sqrtPrice.eq(startSqrtPrice));
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assert.ok(whirlpoolData.liquidity.eq(initialLiquidity.add(additionalLiquidity)));
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const quote2 = await swapQuoteByInputToken(
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whirlpool,
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whirlpoolData.tokenMintA,
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new u64(1),
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Percentage.fromFraction(1, 100),
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ctx.program.programId,
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fetcher,
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true
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);
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await toTx(
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ctx,
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WhirlpoolIx.swapIx(ctx.program, {
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...quote2,
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whirlpool: whirlpoolPda.publicKey,
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tokenAuthority: ctx.wallet.publicKey,
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tokenOwnerAccountA: tokenAccountA,
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tokenVaultA: poolInitInfo.tokenVaultAKeypair.publicKey,
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tokenOwnerAccountB: tokenAccountB,
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tokenVaultB: poolInitInfo.tokenVaultBKeypair.publicKey,
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oracle: oraclePda.publicKey,
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})
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).buildAndExecute();
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whirlpool = await client.getPool(whirlpoolKey, true);
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whirlpoolData = whirlpool.getData();
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// After the above swap, since the amount is so low, it is completely taken by fees
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// thus, the sqrt price will remaing the same, the starting tick will not decrement
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// since it is an aToB swap ending on an uninitialized tick, no tick is crossed
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assert.equal(whirlpoolData.tickCurrentIndex, startingTick - 1);
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assert.ok(whirlpoolData.sqrtPrice.eq(startSqrtPrice));
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assert.ok(whirlpoolData.liquidity.eq(initialLiquidity.add(additionalLiquidity)));
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});
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it("swaps aToB with small remainder across initialized tick", async () => {
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const startingTick = 91728;
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const tickSpacing = TickSpacing.Stable;
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const startingTickArrayStartIndex = TickUtil.getStartTickIndex(startingTick, tickSpacing);
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const aToB = true;
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const startSqrtPrice = PriceMath.tickIndexToSqrtPriceX64(startingTick);
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const initialLiquidity = new anchor.BN(10_000_000);
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const additionalLiquidity = new anchor.BN(2_000_000);
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const { poolInitInfo, whirlpoolPda, tokenAccountA, tokenAccountB } =
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await initTestPoolWithTokens(ctx, TickSpacing.Stable, startSqrtPrice);
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await initTickArrayRange(
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ctx,
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whirlpoolPda.publicKey,
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startingTickArrayStartIndex + TICK_ARRAY_SIZE * tickSpacing * 2,
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5,
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TickSpacing.Stable,
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aToB
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);
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const oraclePda = PDAUtil.getOracle(ctx.program.programId, whirlpoolPda.publicKey);
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const initialParams: FundedPositionParams[] = [
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{
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liquidityAmount: initialLiquidity,
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tickLowerIndex: startingTickArrayStartIndex + tickSpacing,
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tickUpperIndex: startingTickArrayStartIndex + TICK_ARRAY_SIZE * tickSpacing * 2 - tickSpacing,
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},
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];
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await fundPositions(ctx, poolInitInfo, tokenAccountA, tokenAccountB, initialParams);
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const whirlpoolKey = poolInitInfo.whirlpoolPda.publicKey;
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let whirlpool = await client.getPool(whirlpoolKey, true);
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let whirlpoolData = whirlpool.getData();
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// Position covers the current price, so liquidity should be equal to the initial funded position
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assert.ok(whirlpoolData.liquidity.eq(new anchor.BN(10_000_000)));
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const nextParams: FundedPositionParams[] = [
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{
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liquidityAmount: additionalLiquidity,
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tickLowerIndex: startingTick - tickSpacing * 3,
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tickUpperIndex: startingTick - tickSpacing,
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},
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];
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await fundPositions(ctx, poolInitInfo, tokenAccountA, tokenAccountB, nextParams);
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whirlpool = await client.getPool(whirlpoolKey, true);
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whirlpoolData = whirlpool.getData();
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// Whirlpool.currentTick is 91720, so the newly funded position's upper tick is not
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// strictly less than 91720 so the liquidity is not added.
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assert.ok(whirlpoolData.liquidity.eq(initialLiquidity));
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assert.ok(whirlpoolData.sqrtPrice.eq(startSqrtPrice));
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assert.equal(whirlpoolData.tickCurrentIndex, startingTick);
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const quote = await swapQuoteByInputToken(
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whirlpool,
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whirlpoolData.tokenMintA,
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new u64(1),
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Percentage.fromFraction(1, 100),
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ctx.program.programId,
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fetcher,
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true
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);
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await toTx(
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ctx,
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WhirlpoolIx.swapIx(ctx.program, {
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...quote,
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whirlpool: whirlpoolPda.publicKey,
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tokenAuthority: ctx.wallet.publicKey,
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tokenOwnerAccountA: tokenAccountA,
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tokenVaultA: poolInitInfo.tokenVaultAKeypair.publicKey,
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tokenOwnerAccountB: tokenAccountB,
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tokenVaultB: poolInitInfo.tokenVaultBKeypair.publicKey,
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oracle: oraclePda.publicKey,
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})
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).buildAndExecute();
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whirlpool = await client.getPool(whirlpoolKey, true);
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whirlpoolData = whirlpool.getData();
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// After the above swap, since the amount is so low, it is completely taken by fees
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// thus, the sqrt price will remain the same, the starting tick will stay the same since it
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// is an aToB swap ending on initialized tick and no tick is crossed
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assert.equal(whirlpoolData.tickCurrentIndex, startingTick);
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assert.ok(whirlpoolData.sqrtPrice.eq(startSqrtPrice));
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assert.ok(whirlpoolData.liquidity.eq(initialLiquidity));
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const quote2 = await swapQuoteByInputToken(
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whirlpool,
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whirlpoolData.tokenMintA,
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new u64(43),
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Percentage.fromFraction(1, 100),
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ctx.program.programId,
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fetcher,
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true
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);
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await toTx(
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ctx,
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WhirlpoolIx.swapIx(ctx.program, {
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...quote2,
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whirlpool: whirlpoolPda.publicKey,
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tokenAuthority: ctx.wallet.publicKey,
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tokenOwnerAccountA: tokenAccountA,
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tokenVaultA: poolInitInfo.tokenVaultAKeypair.publicKey,
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tokenOwnerAccountB: tokenAccountB,
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tokenVaultB: poolInitInfo.tokenVaultBKeypair.publicKey,
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oracle: oraclePda.publicKey,
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})
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).buildAndExecute();
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whirlpool = await client.getPool(whirlpoolKey, true);
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whirlpoolData = whirlpool.getData();
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// After the above swap, there will be a small amount remaining that crosses
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// an initialized tick index, but isn't enough to move the sqrt price.
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assert.equal(whirlpoolData.tickCurrentIndex, startingTick - tickSpacing - 1);
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assert.ok(whirlpoolData.sqrtPrice.eq(PriceMath.tickIndexToSqrtPriceX64(startingTick - tickSpacing)));
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assert.ok(whirlpoolData.liquidity.eq(initialLiquidity.add(additionalLiquidity)));
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});
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it("swaps across three tick arrays", async () => {
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const { poolInitInfo, whirlpoolPda, tokenAccountA, tokenAccountB } =
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await initTestPoolWithTokens(
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