Skip to content
This repository has been archived by the owner on Oct 15, 2024. It is now read-only.

Commit

Permalink
refactor and accumulate sources over buckets
Browse files Browse the repository at this point in the history
  • Loading branch information
@dekz
dekz committed Jul 27, 2020
1 parent aa83b4b commit be5fd42
Show file tree
Hide file tree
Showing 3 changed files with 118 additions and 31 deletions.
8 changes: 4 additions & 4 deletions src/services/swap_service.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -276,8 +276,8 @@ export class SwapService {
public async calculateMarketDepthAsync(
params: CalaculateMarketDepthParams,
): Promise<{
asks: { dataByBucketPrice: BucketedPriceDepth[] };
bids: { dataByBucketPrice: BucketedPriceDepth[] };
asks: { depth: BucketedPriceDepth[] };
bids: { depth: BucketedPriceDepth[] };
}> {
const { buyToken, sellToken, sellAmount, numSamples, sampleDistributionBase, excludedSources } = params;
const marketDepth = await this._swapQuoter.getBidAskLiquidityForMakerTakerAssetPairAsync(
Expand Down Expand Up @@ -318,10 +318,10 @@ export class SwapService {
return {
// We're buying buyToken and SELLING sellToken (DAI) (50k)
// Price goes from HIGH to LOW
asks: { dataByBucketPrice: askDepth },
asks: { depth: askDepth },
// We're BUYING sellToken (DAI) (50k) and selling buyToken
// Price goes from LOW to HIGH
bids: { dataByBucketPrice: bidDepth },
bids: { depth: bidDepth },
};
}

Expand Down
43 changes: 30 additions & 13 deletions src/utils/market_depth_utils.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -141,7 +141,7 @@ export const marketDepthUtils = {
},

distributeSamplesToBuckets: (depthSide: MarketDepthSide, buckets: BigNumber[], side: MarketOperation) => {
const allocatedBuckets = buckets.map((b, i) => ({ price: b, bucket: i, bucketTotal: ZERO }));
const allocatedBuckets = buckets.map((b, i) => ({ price: b, bucket: i, bucketTotal: ZERO, sources: {} }));
const getBucketId = (price: BigNumber): number => {
return buckets.findIndex(b =>
side === MarketOperation.Sell ? price.isGreaterThanOrEqualTo(b) : price.isLessThanOrEqualTo(b),
Expand Down Expand Up @@ -185,29 +185,46 @@ export const marketDepthUtils = {
continue;
}
const bucket = allocatedBuckets[bucketId];
if (bucket[source]) {
bucket.bucketTotal = bucket.bucketTotal.minus(bucket[source]).plus(sample.output);
bucket[source] = sample.output;
} else {
bucket.bucketTotal = bucket.bucketTotal.plus(sample.output);
bucket[source] = sample.output;
}
// If two samples from the same source have landed in the same bucket, take the latter
bucket.bucketTotal =
bucket.sources[source] && !bucket.sources[source].isZero()
? bucket.bucketTotal.minus(bucket.sources[source]).plus(sample.output)
: bucket.bucketTotal.plus(sample.output);
bucket.sources[source] = sample.output;
}
}
let totalCumulative = ZERO;
// Normalize the source names back and create a cumulative total
const normalizedCumulativeBuckets = allocatedBuckets.map(b => {
const normalizedCumulativeBuckets = allocatedBuckets.map((b, bucketIndex) => {
totalCumulative = totalCumulative.plus(b.bucketTotal);
for (const key of Object.keys(b)) {
// Sum all of the various pools which fall under once source (Balancer, Uniswap, Curve...)
const findLastNonEmptyBucketResult = (source: ERC20BridgeSource) => {
let lastValue = ZERO;
for (let i = bucketIndex - 1; i >= 0; i--) {
const value = allocatedBuckets[i].sources[source];
if (value && !value.isZero()) {
lastValue = value;
break;
}
}
return lastValue;
};
for (const key of Object.keys(b.sources)) {
const source = key.split(':')[0];
if (source !== key && Object.values(ERC20BridgeSource).includes(source as ERC20BridgeSource)) {
// Curve:0xabcd,100 -> Curve,100
// Add Curve:0abcd to Curve
b[source] = b[source] ? b[source].plus(b[key]) : b[key];
delete b[key];
b.sources[source] = b.sources[source] ? b.sources[source].plus(b.sources[key]) : b.sources[key];
delete b.sources[key];
}
}
return { ...b, cumulative: totalCumulative };
// Accumulate the sources from the previous bucket
for (const source of Object.values(ERC20BridgeSource)) {
// Add the previous bucket
const previousValue = findLastNonEmptyBucketResult(source);
b.sources[source] = previousValue.plus(b.sources[source] || ZERO);
}
return { ...b, cumulative: totalCumulative, sources: b.sources };
});
return normalizedCumulativeBuckets;
},
Expand Down
98 changes: 84 additions & 14 deletions test/market_depth_test.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -160,27 +160,31 @@ describe(SUITE_NAME, () => {
MarketOperation.Sell,
);
const [first, second, third, fourth] = allocated;
expect(first[ERC20BridgeSource.Uniswap]).to.be.bignumber.eq(20);
expect(first.cumulative).to.be.bignumber.eq(20);
expect(first.bucketTotal).to.be.bignumber.eq(20);
expect(first.bucket).to.be.eq(0);
expect(first.price).to.be.bignumber.eq(10);
expect(first.sources[ERC20BridgeSource.Uniswap]).to.be.bignumber.eq(20);

expect(second.cumulative).to.be.bignumber.eq(20);
expect(second.bucketTotal).to.be.bignumber.eq(0);
expect(second.bucket).to.be.eq(1);
expect(second.price).to.be.bignumber.eq(8);
expect(second.sources[ERC20BridgeSource.Uniswap]).to.be.bignumber.eq(20);

expect(third.cumulative).to.be.bignumber.eq(28);
expect(third.bucketTotal).to.be.bignumber.eq(8);
expect(third[ERC20BridgeSource.Native]).to.be.bignumber.eq(8);
expect(third.bucket).to.be.eq(2);
expect(third.price).to.be.bignumber.eq(4);
expect(third.sources[ERC20BridgeSource.Native]).to.be.bignumber.eq(8);
expect(third.sources[ERC20BridgeSource.Uniswap]).to.be.bignumber.eq(20);

expect(fourth.cumulative).to.be.bignumber.eq(28);
expect(fourth.bucketTotal).to.be.bignumber.eq(0);
expect(fourth.bucket).to.be.eq(3);
expect(fourth.price).to.be.bignumber.eq(1);
expect(fourth.sources[ERC20BridgeSource.Native]).to.be.bignumber.eq(8);
expect(fourth.sources[ERC20BridgeSource.Uniswap]).to.be.bignumber.eq(20);
});
it('does not allocate to a bucket if there is none available', async () => {
const buckets = [B(10)];
Expand All @@ -195,6 +199,7 @@ describe(SUITE_NAME, () => {
expect(first.bucketTotal).to.be.bignumber.eq(0);
expect(first.bucket).to.be.eq(0);
expect(first.price).to.be.bignumber.eq(10);
expect(first.sources[ERC20BridgeSource.Uniswap]).to.be.bignumber.eq(0);
});
});
describe('buy', () => {
Expand All @@ -211,17 +216,18 @@ describe(SUITE_NAME, () => {
expect(first.bucket).to.be.eq(0);
expect(first.price).to.be.bignumber.eq(1);

expect(second[ERC20BridgeSource.Native]).to.be.bignumber.eq(8);
expect(second.cumulative).to.be.bignumber.eq(8);
expect(second.bucketTotal).to.be.bignumber.eq(8);
expect(second.bucket).to.be.eq(1);
expect(second.price).to.be.bignumber.eq(4);
expect(second.sources[ERC20BridgeSource.Native]).to.be.bignumber.eq(8);

expect(third[ERC20BridgeSource.Uniswap]).to.be.bignumber.eq(20);
expect(third.cumulative).to.be.bignumber.eq(28);
expect(third.bucketTotal).to.be.bignumber.eq(20);
expect(third.bucket).to.be.eq(2);
expect(third.price).to.be.bignumber.eq(10);
expect(third.sources[ERC20BridgeSource.Uniswap]).to.be.bignumber.eq(20);
expect(third.sources[ERC20BridgeSource.Native]).to.be.bignumber.eq(8);
});
});
});
Expand All @@ -246,14 +252,46 @@ describe(SUITE_NAME, () => {
1, // distribution
20, // max end perc
);
const emptySources = {};
Object.values(ERC20BridgeSource).forEach(s => (emptySources[s] = ZERO));
expect(result).to.be.deep.eq([
{ price: B(10), bucket: 0, bucketTotal: B(10), cumulative: B(10), [ERC20BridgeSource.Uniswap]: B(10) },
{ price: B(9.5), bucket: 1, bucketTotal: ZERO, cumulative: B(10) },
{ price: B(9), bucket: 2, bucketTotal: ZERO, cumulative: B(10) },
{ price: B(8.5), bucket: 3, bucketTotal: ZERO, cumulative: B(10) },
{
price: B(10),
bucket: 0,
bucketTotal: B(10),
cumulative: B(10),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10) },
},
{
price: B(9.5),
bucket: 1,
bucketTotal: ZERO,
cumulative: B(10),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10) },
},
{
price: B(9),
bucket: 2,
bucketTotal: ZERO,
cumulative: B(10),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10) },
},
{
price: B(8.5),
bucket: 3,
bucketTotal: ZERO,
cumulative: B(10),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10) },
},
// Native is the sample for the sample for 2 (16) (overriding thhe 1 sample), since we didn't sample for 10 it does
// not contain the entire order
{ price: B(8), bucket: 4, bucketTotal: B(16), cumulative: B(26), [ERC20BridgeSource.Native]: B(16) },
{
price: B(8),
bucket: 4,
bucketTotal: B(16),
cumulative: B(26),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10), [ERC20BridgeSource.Native]: B(16) },
},
]);
});

Expand All @@ -277,12 +315,44 @@ describe(SUITE_NAME, () => {
1, // distribution
20, // max end perc
);
const emptySources = {};
Object.values(ERC20BridgeSource).forEach(s => (emptySources[s] = ZERO));
expect(result).to.be.deep.eq([
{ price: B(10), bucket: 0, bucketTotal: B(10), cumulative: B(10), [ERC20BridgeSource.Uniswap]: B(10) },
{ price: B(9.5), bucket: 1, bucketTotal: ZERO, cumulative: B(10) },
{ price: B(9), bucket: 2, bucketTotal: ZERO, cumulative: B(10) },
{ price: B(8.5), bucket: 3, bucketTotal: ZERO, cumulative: B(10) },
{ price: B(8), bucket: 4, bucketTotal: B(80), cumulative: B(90), [ERC20BridgeSource.Native]: B(80) },
{
price: B(10),
bucket: 0,
bucketTotal: B(10),
cumulative: B(10),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10) },
},
{
price: B(9.5),
bucket: 1,
bucketTotal: ZERO,
cumulative: B(10),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10) },
},
{
price: B(9),
bucket: 2,
bucketTotal: ZERO,
cumulative: B(10),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10) },
},
{
price: B(8.5),
bucket: 3,
bucketTotal: ZERO,
cumulative: B(10),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10) },
},
{
price: B(8),
bucket: 4,
bucketTotal: B(80),
cumulative: B(90),
sources: { ...emptySources, [ERC20BridgeSource.Uniswap]: B(10), [ERC20BridgeSource.Native]: B(80) },
},
]);
});
});
Expand Down

0 comments on commit be5fd42

Please sign in to comment.