add new priceToTick calculation

hummingbot · Apr 27, 2024 · ed45375 · ed45375 · chasevoorhees · Jul 13, 2024
1 parent 19e25b6
commit ed45375
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Showing 2 changed files with 61 additions and 3 deletions.
diff --git a/src/chains/osmosis/osmosis.ts b/src/chains/osmosis/osmosis.ts
@@ -50,7 +50,7 @@ import { Pool as CLPool } from 'osmo-query/dist/codegen/osmosis/concentrated-liq
 import { TradeInfo } from './osmosis.controllers';
 import { HttpException, TRADE_FAILED_ERROR_CODE, TRADE_FAILED_ERROR_MESSAGE, GAS_LIMIT_EXCEEDED_ERROR_MESSAGE, GAS_LIMIT_EXCEEDED_ERROR_CODE, AMOUNT_LESS_THAN_MIN_AMOUNT_ERROR_MESSAGE, AMOUNT_LESS_THAN_MIN_AMOUNT_ERROR_CODE } from '../../services/error-handler';
 import { extendPool, filterPoolsSwap, filterPoolsLP, filterPoolsSwapAndLP } from './osmosis.lp.utils';
-import { fetchFees, findTickForPrice, tickToPrice } from './osmosis.utils';
+import { fetchFees, findTickForPrice, tickToPrice, calculatePriceToTick } from './osmosis.utils';
 import { getImperatorPriceHash } from './osmosis.prices';
 import { GasPrice, calculateFee, setupIbcExtension, SigningStargateClient, AminoTypes } from '@cosmjs/stargate';
 import { CosmWasmClient } from "@cosmjs/cosmwasm-stargate";
@@ -1361,8 +1361,11 @@ export class Osmosis extends CosmosBase implements Cosmosish{
         }
 
         // FIXME: The calculation of lowerTick and upperTick is not correct for the case where price is less than 1
-        const lowerTick = findTickForPrice(req.lowerPrice!, pool.exponentAtPriceOne, pool.tickSpacing, true) // pool.currentTick, 
-        const upperTick = findTickForPrice(req.upperPrice!, pool.exponentAtPriceOne, pool.tickSpacing, false)
+        const lowerTick = calculatePriceToTick(req.lowerPrice!, pool.exponentAtPriceOne, pool.tickSpacing, true) // pool.currentTick, 
+        const upperTick = calculatePriceToTick(req.upperPrice!, pool.exponentAtPriceOne, pool.tickSpacing, false)
+
+        console.log('lowerTick', lowerTick)
+        console.log('upperTick', upperTick)
 
         var tokenMinAmount0_final = tokenMinAmount0.toString()
         var tokenMinAmount1_final = tokenMinAmount1.toString()

diff --git a/src/chains/osmosis/osmosis.utils.ts b/src/chains/osmosis/osmosis.utils.ts
@@ -93,3 +93,58 @@ export function findTickForPrice(desiredPriceString: string, exponentAtPriceOne:
   return returnTick.toString()
 }
 
+
+export function calculatePriceToTick(desiredPriceString: string, exponentAtPriceOne: number, tickSpacing: number, is_lowerBound: boolean): string {
+  console.log(`Inputs: desiredPriceString=${desiredPriceString}, exponentAtPriceOne=${exponentAtPriceOne}, tickSpacing=${tickSpacing}, is_lowerBound=${is_lowerBound}`);
+
+  const desiredPrice = new BigNumber(desiredPriceString)
+  const exponent = new BigNumber(exponentAtPriceOne);
+  const geometricExponentIncrementDistanceInTicks = new BigNumber(9).multipliedBy(new BigNumber(10).exponentiatedBy(exponent.multipliedBy(-1)))
+
+  console.log(`Initial calculations: desiredPrice=${desiredPrice}, exponent=${exponent}, geometricExponentIncrementDistanceInTicks=${geometricExponentIncrementDistanceInTicks}`);
+
+  let currentPrice = new BigNumber(1);
+  let ticksPassed = new BigNumber(0);
+  let exponentAtCurrentTick = exponent;
+  let currentAdditiveIncrementInTicks = new BigNumber(10).exponentiatedBy(exponent)
+
+  if (desiredPrice.gt(new BigNumber(1))) {
+    while (currentPrice.lt(desiredPrice)) {
+      currentAdditiveIncrementInTicks = new BigNumber(10).exponentiatedBy(exponentAtCurrentTick);
+      const maxPriceForCurrentAdditiveIncrementInTicks = geometricExponentIncrementDistanceInTicks.multipliedBy(currentAdditiveIncrementInTicks);
+      currentPrice = currentPrice.plus(maxPriceForCurrentAdditiveIncrementInTicks);
+      exponentAtCurrentTick = exponentAtCurrentTick.plus(1);
+      ticksPassed = ticksPassed.plus(geometricExponentIncrementDistanceInTicks);
+
+      console.log(`Loop (desiredPrice > 1): currentPrice=${currentPrice}, exponentAtCurrentTick=${exponentAtCurrentTick}, ticksPassed=${ticksPassed}`);
+    }
+  } else {
+    exponentAtCurrentTick = exponent.minus(1);
+    while (currentPrice.gt(desiredPrice)) {
+      currentAdditiveIncrementInTicks = new BigNumber(10).exponentiatedBy(exponentAtCurrentTick);
+      const maxPriceForCurrentAdditiveIncrementInTicks = geometricExponentIncrementDistanceInTicks.multipliedBy(currentAdditiveIncrementInTicks);
+      currentPrice = currentPrice.minus(maxPriceForCurrentAdditiveIncrementInTicks);
+      exponentAtCurrentTick = exponentAtCurrentTick.minus(1);
+      ticksPassed = ticksPassed.minus(geometricExponentIncrementDistanceInTicks);
+
+      console.log(`Loop (desiredPrice <= 1): currentPrice=${currentPrice}, exponentAtCurrentTick=${exponentAtCurrentTick}, ticksPassed=${ticksPassed}`);
+    }
+  }
+
+  const ticksToBeFulfilledByExponentAtCurrentTick = desiredPrice.minus(currentPrice).dividedBy(currentAdditiveIncrementInTicks);
+  console.log(`Ticks to be fulfilled by current exponent: ${ticksToBeFulfilledByExponentAtCurrentTick}`);
+
+  const tickIndex = ticksPassed.plus(ticksToBeFulfilledByExponentAtCurrentTick);
+  console.log(`Tick index: ${tickIndex}`);
+
+  let returnTick = new BigNumber(0);
+  if (is_lowerBound){
+    returnTick = tickIndex.dividedBy(tickSpacing).integerValue(BigNumber.ROUND_DOWN).multipliedBy(tickSpacing)
+  }
+  else{
+    returnTick = tickIndex.dividedBy(tickSpacing).integerValue(BigNumber.ROUND_CEIL).multipliedBy(tickSpacing)
+  }
+
+  console.log(`Final calculations: tickIndex=${tickIndex}, returnTick=${BigInt(returnTick.toNumber()).toString()}`);
+  return BigInt(returnTick.toNumber()).toString();
+}