Merge pull request #112 from bancorprotocol/fix/marginal-update

package.json

@@ -2,7 +2,7 @@
   "name": "@bancor/carbon-sdk",
   "type": "module",
   "source": "src/index.ts",
-  "version": "0.0.88-DEV",
+  "version": "0.0.89-DEV",
   "description": "The SDK is a READ-ONLY tool, intended to facilitate working with Carbon contracts. It's a convenient wrapper around our matching algorithm, allowing programs and users get a ready to use transaction data that will allow them to manage strategies and fulfill trades",
   "main": "dist/index.js",
   "module": "dist/index.js",

src/strategy-management/Toolkit.ts

@@ -720,7 +720,8 @@ export class Toolkit {
       new Decimal(buyPriceLow),
       new Decimal(sellPriceHigh),
       new Decimal(marketPrice),
-      new Decimal(spreadPercentage)
+      new Decimal(spreadPercentage),
+      quoteDecimals
     );
 
     const result = {
@@ -757,6 +758,7 @@ export class Toolkit {
    */
   public async calculateOverlappingStrategySellBudget(
     baseToken: string,
+    quoteToken: string,
     buyPriceLow: string,
     sellPriceHigh: string,
     marketPrice: string,
@@ -766,12 +768,14 @@ export class Toolkit {
     logger.debug('calculateOverlappingStrategySellBudget called', arguments);
     const decimals = this._decimals;
     const baseDecimals = await decimals.fetchDecimals(baseToken);
+    const quoteDecimals = await decimals.fetchDecimals(quoteToken);
     const budget = calculateOverlappingSellBudget(
       new Decimal(buyPriceLow),
       new Decimal(sellPriceHigh),
       new Decimal(marketPrice),
       new Decimal(spreadPercentage),
-      new Decimal(buyBudget)
+      new Decimal(buyBudget),
+      quoteDecimals
     );
 
     const result = trimDecimal(budget.toString(), baseDecimals);
@@ -811,7 +815,8 @@ export class Toolkit {
       new Decimal(sellPriceHigh),
       new Decimal(marketPrice),
       new Decimal(spreadPercentage),
-      new Decimal(sellBudget)
+      new Decimal(sellBudget),
+      quoteDecimals
     );
 
     const result = trimDecimal(budget.toString(), quoteDecimals);
@@ -962,19 +967,19 @@ export class Toolkit {
       baseDecimals,
       quoteDecimals,
       buyPriceLow ?? originalStrategy.buyPriceLow,
-      buyPriceMarginal &&
+      buyPriceMarginal !== undefined && // if we got marginal price use it - otherwise act as reset and use buy high
         buyPriceMarginal !== MarginalPriceOptions.reset &&
         buyPriceMarginal !== MarginalPriceOptions.maintain
         ? buyPriceMarginal
-        : originalStrategy.buyPriceMarginal,
+        : buyPriceHigh ?? originalStrategy.buyPriceHigh,
       buyPriceHigh ?? originalStrategy.buyPriceHigh,
       buyBudget ?? originalStrategy.buyBudget,
       sellPriceLow ?? originalStrategy.sellPriceLow,
-      sellPriceMarginal &&
+      sellPriceMarginal !== undefined && // if we got marginal price use it - otherwise act as reset and use sell low
         sellPriceMarginal !== MarginalPriceOptions.reset &&
         sellPriceMarginal !== MarginalPriceOptions.maintain
         ? sellPriceMarginal
-        : originalStrategy.sellPriceMarginal,
+        : sellPriceLow ?? originalStrategy.sellPriceLow,
       sellPriceHigh ?? originalStrategy.sellPriceHigh,
       sellBudget ?? originalStrategy.sellBudget
     );
@@ -983,8 +988,8 @@ export class Toolkit {
     // step 3: to avoid changes due to rounding errors, we will override the new encoded strategy with selected values from the old encoded strategy:
     // - if budget wasn't defined - we will use the old y
     // - if no price was defined - we will use the old A and B
-    // - if any price was defined - we will reset z to y
     // - if any budget was defined - will set z according to MarginalPriceOptions
+    // - if any price was defined - we will reset z to y
     // - if marginalPrice is a number - we will use it to calculate z
     const encodedBN = encodedStrategyStrToBN(encoded);
     if (buyBudget === undefined) {
@@ -1021,6 +1026,7 @@ export class Toolkit {
       }
     }
 
+    // if we have budget to set we handle reset (z <- y) and maintain (maintain y:z ratio). We don't handle marginal price value because it's expressed in z
     if (sellBudget !== undefined) {
       if (
         sellPriceMarginal === undefined ||
@@ -1038,10 +1044,19 @@ export class Toolkit {
       }
     }
 
-    if (buyPriceLow !== undefined || buyPriceHigh !== undefined) {
+    if (
+      (buyPriceLow !== undefined || buyPriceHigh !== undefined) &&
+      (buyPriceMarginal === MarginalPriceOptions.reset ||
+        buyPriceMarginal === undefined)
+    ) {
       newEncodedStrategy.order1.z = newEncodedStrategy.order1.y;
     }
-    if (sellPriceLow !== undefined || sellPriceHigh !== undefined) {
+
+    if (
+      (sellPriceLow !== undefined || sellPriceHigh !== undefined) &&
+      (sellPriceMarginal === MarginalPriceOptions.reset ||
+        sellPriceMarginal === undefined)
+    ) {
       newEncodedStrategy.order0.z = newEncodedStrategy.order0.y;
     }
 

src/strategy-management/utils.ts

@@ -313,11 +313,30 @@ export function subtractFee(
     .floor();
 }
 
+export function enforcePriceRange(
+  minPrice: Decimal,
+  maxPrice: Decimal,
+  marginalPrice: Decimal,
+  tokenDecimals: number,
+  canEqualMin: boolean,
+  canEqualMax: boolean
+) {
+  const oneWei = new Decimal(1).div(new Decimal(10).pow(tokenDecimals));
+  if (marginalPrice.lte(minPrice))
+    return canEqualMin ? minPrice : minPrice.plus(oneWei);
+
+  if (marginalPrice.gte(maxPrice))
+    return canEqualMax ? maxPrice : maxPrice.minus(oneWei);
+
+  return marginalPrice;
+}
+
 export function calculateOverlappingPriceRanges(
   buyPriceLow: Decimal, // in quote tkn per 1 base tkn
   sellPriceHigh: Decimal, // in quote tkn per 1 base tkn
   marketPrice: Decimal, // in quote tkn per 1 base tkn
-  spreadPercentage: Decimal // e.g. for 0.1% pass '0.1'
+  spreadPercentage: Decimal, // e.g. for 0.1% pass '0.1'
+  tokenDecimals: number
 ): {
   buyPriceHigh: Decimal;
   buyPriceMarginal: Decimal;
@@ -328,16 +347,24 @@ export function calculateOverlappingPriceRanges(
   const buyPriceHigh = sellPriceHigh.div(spreadFactor);
   const sellPriceLow = buyPriceLow.mul(spreadFactor);
 
-  // buy marginal price is the market price minus 0.5 spread. But it can never be lower than buyPriceLow
-  const buyPriceMarginal = Decimal.max(
+  // buy marginal price is derived from the market price. But must be LTE buyPriceHigh and GT buyPriceLow
+  const buyPriceMarginal = enforcePriceRange(
     buyPriceLow,
-    marketPrice.div(spreadFactor.sqrt())
+    buyPriceHigh,
+    marketPrice.div(spreadFactor.sqrt()),
+    tokenDecimals,
+    false,
+    true
   );
 
-  // sell marginal price is the market price plus 0.5 spread. But ir can never be higher than sellPriceHigh
-  const sellPriceMarginal = Decimal.min(
+  // sell marginal price is derived from the market price. But must be GTE sellPriceLow and LT sellPriceHigh
+  const sellPriceMarginal = enforcePriceRange(
+    sellPriceLow,
     sellPriceHigh,
-    marketPrice.mul(spreadFactor.sqrt())
+    marketPrice.mul(spreadFactor.sqrt()),
+    tokenDecimals,
+    true,
+    false
   );
 
   return {
@@ -353,7 +380,8 @@ export function calculateOverlappingSellBudget(
   sellPriceHigh: Decimal, // in quote tkn per 1 base tkn
   marketPrice: Decimal, // in quote tkn per 1 base tkn
   spreadPercentage: Decimal, // e.g. for 0.1% pass '0.1'
-  buyBudget: Decimal // in quote tkn
+  buyBudget: Decimal, // in quote tkn
+  quoteTokenDecimals: number
 ): Decimal {
   // zero buy budget means zero sell budget
   if (buyBudget.isZero()) return new Decimal(0);
@@ -363,7 +391,8 @@ export function calculateOverlappingSellBudget(
       buyPriceLow,
       sellPriceHigh,
       marketPrice,
-      spreadPercentage
+      spreadPercentage,
+      quoteTokenDecimals
     );
 
   // if buy range takes the entire range then there's zero sell budget
@@ -393,7 +422,8 @@ export function calculateOverlappingBuyBudget(
   sellPriceHigh: Decimal, // in quote tkn per 1 base tkn
   marketPrice: Decimal, // in quote tkn per 1 base tkn
   spreadPercentage: Decimal, // e.g. for 0.1% pass '0.1'
-  sellBudget: Decimal // in quote tkn
+  sellBudget: Decimal, // in quote tkn
+  quoteTokenDecimals: number
 ): Decimal {
   // zero sell budget means zero buy budget
   if (sellBudget.isZero()) return new Decimal(0);
@@ -403,7 +433,8 @@ export function calculateOverlappingBuyBudget(
       buyPriceLow,
       sellPriceHigh,
       marketPrice,
-      spreadPercentage
+      spreadPercentage,
+      quoteTokenDecimals
     );
 
   // if sell range takes the entire range then there's zero buy budget