feat: cf_pool_swap_rate_v3 with broker fee and DCA support (#5386)

* Add a V3 for `cf_pool_swap_rate_v3` call that will consider broker and affiliate fees as well as DCA. WIP: Need to write tests * Removed Affiliate fees Used `try_execute_without_violations` instead of `swap_with_network_fee` to estimate swap result. * fix: - remove v3 types/methods - add versioning to runtime api - avoid clone --------- Co-authored-by: Daniel <daniel@chainflip.io>
chainflip-io · Nov 7, 2024 · e755a80 · e755a80
1 parent f58608c
commit e755a80
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Showing 5 changed files with 162 additions and 50 deletions.
diff --git a/state-chain/custom-rpc/src/lib.rs b/state-chain/custom-rpc/src/lib.rs
@@ -13,8 +13,8 @@ use cf_chains::{
 };
 use cf_primitives::{
 	chains::assets::any::{self, AssetMap},
-	AccountRole, Asset, AssetAmount, BlockNumber, BroadcastId, EpochIndex, ForeignChain,
-	NetworkEnvironment, SemVer, SwapId, SwapRequestId,
+	AccountRole, Asset, AssetAmount, BasisPoints, BlockNumber, BroadcastId, DcaParameters,
+	EpochIndex, ForeignChain, NetworkEnvironment, SemVer, SwapId, SwapRequestId,
 };
 use cf_utilities::rpc::NumberOrHex;
 use core::ops::Range;
@@ -420,6 +420,7 @@ pub struct RpcSwapOutputV2 {
 	pub network_fee: RpcFee,
 	pub ingress_fee: RpcFee,
 	pub egress_fee: RpcFee,
+	pub broker_commission: RpcFee,
 }
 
 #[derive(Serialize, Deserialize, Clone)]
@@ -747,6 +748,17 @@ pub trait CustomApi {
 		additional_orders: Option<Vec<SwapRateV2AdditionalOrder>>,
 		at: Option<state_chain_runtime::Hash>,
 	) -> RpcResult<RpcSwapOutputV2>;
+	#[method(name = "swap_rate_v3")]
+	fn cf_pool_swap_rate_v3(
+		&self,
+		from_asset: Asset,
+		to_asset: Asset,
+		amount: U256,
+		broker_commission: BasisPoints,
+		dca_parameters: Option<DcaParameters>,
+		additional_orders: Option<Vec<SwapRateV2AdditionalOrder>>,
+		at: Option<state_chain_runtime::Hash>,
+	) -> RpcResult<RpcSwapOutputV2>;
 	#[method(name = "required_asset_ratio_for_range_order")]
 	fn cf_required_asset_ratio_for_range_order(
 		&self,
@@ -1353,6 +1365,28 @@ where
 		amount: U256,
 		additional_orders: Option<Vec<SwapRateV2AdditionalOrder>>,
 		at: Option<state_chain_runtime::Hash>,
+	) -> RpcResult<RpcSwapOutputV2> {
+		self.cf_pool_swap_rate_v3(
+			from_asset,
+			to_asset,
+			amount,
+			Default::default(),
+			None,
+			additional_orders,
+			at,
+		)
+		.map(Into::into)
+	}
+
+	fn cf_pool_swap_rate_v3(
+		&self,
+		from_asset: Asset,
+		to_asset: Asset,
+		amount: U256,
+		broker_commission: BasisPoints,
+		dca_parameters: Option<DcaParameters>,
+		additional_orders: Option<Vec<SwapRateV2AdditionalOrder>>,
+		at: Option<state_chain_runtime::Hash>,
 	) -> RpcResult<RpcSwapOutputV2> {
 		self.with_runtime_api(at, |api, hash| {
 			Ok::<_, CfApiError>(
@@ -1363,7 +1397,7 @@ where
 					amount
 						.try_into()
 						.map_err(|_| "Swap input amount too large.")
-						.and_then(|amount| {
+						.and_then(|amount: u128| {
 							if amount == 0 {
 								Err("Swap input amount cannot be zero.")
 							} else {
@@ -1373,43 +1407,49 @@ where
 						.map_err(|s| {
 							ErrorObject::owned(ErrorCode::InvalidParams.code(), s, None::<()>)
 						})?,
+					broker_commission,
+					dca_parameters,
 					additional_orders.map(|additional_orders| {
 						additional_orders
 							.into_iter()
 							.map(|additional_order| {
 								match additional_order {
-								SwapRateV2AdditionalOrder::LimitOrder {
-									base_asset,
-									quote_asset,
-									side,
-									tick,
-									sell_amount,
-								} => state_chain_runtime::runtime_apis::SimulateSwapAdditionalOrder::LimitOrder {
-									base_asset,
-									quote_asset,
-									side,
-									tick,
-									sell_amount: sell_amount.unique_saturated_into(),
+									SwapRateV2AdditionalOrder::LimitOrder {
+										base_asset,
+										quote_asset,
+										side,
+										tick,
+										sell_amount,
+									} => state_chain_runtime::runtime_apis::SimulateSwapAdditionalOrder::LimitOrder {
+										base_asset,
+										quote_asset,
+										side,
+										tick,
+										sell_amount: sell_amount.unique_saturated_into(),
+									}
 								}
-							}
 							})
 							.collect()
 					}),
 				)?
-				.map(|simulated_swap_info| RpcSwapOutputV2 {
-					intermediary: simulated_swap_info.intermediary.map(Into::into),
-					output: simulated_swap_info.output.into(),
+				.map(|simulated_swap_info_v2| RpcSwapOutputV2 {
+					intermediary: simulated_swap_info_v2.intermediary.map(Into::into),
+					output: simulated_swap_info_v2.output.into(),
 					network_fee: RpcFee {
 						asset: cf_primitives::STABLE_ASSET,
-						amount: simulated_swap_info.network_fee.into(),
+						amount: simulated_swap_info_v2.network_fee.into(),
 					},
 					ingress_fee: RpcFee {
 						asset: from_asset,
-						amount: simulated_swap_info.ingress_fee.into(),
+						amount: simulated_swap_info_v2.ingress_fee.into(),
 					},
 					egress_fee: RpcFee {
 						asset: to_asset,
-						amount: simulated_swap_info.egress_fee.into(),
+						amount: simulated_swap_info_v2.egress_fee.into(),
+					},
+					broker_commission: RpcFee {
+						asset: cf_primitives::STABLE_ASSET,
+						amount: simulated_swap_info_v2.broker_fee.into(),
 					},
 				})?,
 			)
@@ -2227,6 +2267,7 @@ mod test {
 			network_fee: RpcFee { asset: Asset::Usdc, amount: 1_000u128.into() },
 			ingress_fee: RpcFee { asset: Asset::Flip, amount: 500u128.into() },
 			egress_fee: RpcFee { asset: Asset::Eth, amount: 1_000_000u128.into() },
+			broker_commission: RpcFee { asset: Asset::Usdc, amount: 100u128.into() },
 		})
 		.unwrap());
 	}

diff --git a/state-chain/custom-rpc/src/snapshots/custom_rpc__test__swap_output_serialization.snap b/state-chain/custom-rpc/src/snapshots/custom_rpc__test__swap_output_serialization.snap
@@ -1,5 +1,5 @@
 ---
 source: state-chain/custom-rpc/src/lib.rs
-expression: "serde_json::to_value(swap_output).unwrap()"
+expression: "serde_json::to_value(RpcSwapOutputV2\n{\n    output: 1_000_000_000_000_000_000u128.into(), intermediary:\n    Some(1_000_000u128.into()), network_fee: RpcFee\n    { asset: Asset::Usdc, amount: 1_000u128.into() }, ingress_fee: RpcFee\n    { asset: Asset::Flip, amount: 500u128.into() }, egress_fee: RpcFee\n    { asset: Asset::Eth, amount: 1_000_000u128.into() }, broker_commission:\n    RpcFee { asset: Asset::Usdc, amount: 100u128.into() },\n}).unwrap()"
 ---
-{"egress_fee":{"amount":"0xf4240","asset":"ETH","chain":"Ethereum"},"ingress_fee":{"amount":"0x1f4","asset":"FLIP","chain":"Ethereum"},"intermediary":"0xf4240","network_fee":{"amount":"0x3e8","asset":"USDC","chain":"Ethereum"},"output":"0xde0b6b3a7640000"}
+{"broker_commission":{"amount":"0x64","asset":"USDC","chain":"Ethereum"},"egress_fee":{"amount":"0xf4240","asset":"ETH","chain":"Ethereum"},"ingress_fee":{"amount":"0x1f4","asset":"FLIP","chain":"Ethereum"},"intermediary":"0xf4240","network_fee":{"amount":"0x3e8","asset":"USDC","chain":"Ethereum"},"output":"0xde0b6b3a7640000"}
diff --git a/state-chain/pallets/cf-swapping/src/lib.rs b/state-chain/pallets/cf-swapping/src/lib.rs
@@ -69,12 +69,12 @@ struct FeeTaken {
 }
 
 #[derive(CloneNoBound, DebugNoBound)]
-struct SwapState<T: Config> {
-	swap: Swap<T>,
-	network_fee_taken: Option<AssetAmount>,
-	broker_fee_taken: Option<AssetAmount>,
-	stable_amount: Option<AssetAmount>,
-	final_output: Option<AssetAmount>,
+pub struct SwapState<T: Config> {
+	pub swap: Swap<T>,
+	pub network_fee_taken: Option<AssetAmount>,
+	pub broker_fee_taken: Option<AssetAmount>,
+	pub stable_amount: Option<AssetAmount>,
+	pub final_output: Option<AssetAmount>,
 }
 
 impl<T: Config> SwapState<T> {
@@ -148,7 +148,7 @@ impl<T: Config> SwapState<T> {
 #[repr(u8)]
 #[derive(Clone, DebugNoBound, PartialEq, Eq, Encode, Decode, TypeInfo)]
 #[scale_info(skip_type_params(T))]
-enum FeeType<T: Config> {
+pub enum FeeType<T: Config> {
 	NetworkFee = 0,
 	BrokerFee(Beneficiaries<T::AccountId>),
 }
@@ -180,7 +180,7 @@ pub struct SwapLegInfo {
 }
 
 impl<T: Config> Swap<T> {
-	fn new(
+	pub fn new(
 		swap_id: SwapId,
 		swap_request_id: SwapRequestId,
 		from: Asset,
@@ -201,7 +201,7 @@ impl<T: Config> Swap<T> {
 	}
 }
 
-enum BatchExecutionError<T: Config> {
+pub enum BatchExecutionError<T: Config> {
 	SwapLegFailed {
 		asset: Asset,
 		direction: SwapLeg,
@@ -1204,7 +1204,7 @@ pub mod pallet {
 		}
 
 		#[transactional]
-		fn try_execute_without_violations(
+		pub fn try_execute_without_violations(
 			swaps: Vec<Swap<T>>,
 		) -> Result<Vec<SwapState<T>>, BatchExecutionError<T>> {
 			let mut swaps: Vec<_> = swaps.into_iter().map(SwapState::new).collect();

diff --git a/state-chain/runtime/src/lib.rs b/state-chain/runtime/src/lib.rs
@@ -25,7 +25,7 @@ use crate::{
 		PendingBroadcasts, PendingTssCeremonies, RedemptionsInfo, SolanaNonces,
 	},
 	runtime_apis::{
-		runtime_decl_for_custom_runtime_api::CustomRuntimeApiV1, AuctionState, BoostPoolDepth,
+		runtime_decl_for_custom_runtime_api::CustomRuntimeApi, AuctionState, BoostPoolDepth,
 		BoostPoolDetails, BrokerInfo, DispatchErrorWithMessage, FailingWitnessValidators,
 		LiquidityProviderBoostPoolInfo, LiquidityProviderInfo, RuntimeApiPenalty,
 		SimulateSwapAdditionalOrder, SimulatedSwapInformation, TaintedTransactionEvents,
@@ -50,7 +50,10 @@ use cf_chains::{
 	sol::{SolAddress, SolanaCrypto},
 	Arbitrum, Bitcoin, DefaultRetryPolicy, ForeignChain, Polkadot, Solana, TransactionBuilder,
 };
-use cf_primitives::{BroadcastId, EpochIndex, NetworkEnvironment, STABLE_ASSET};
+use cf_primitives::{
+	BasisPoints, Beneficiary, BroadcastId, DcaParameters, EpochIndex, NetworkEnvironment,
+	STABLE_ASSET,
+};
 use cf_runtime_upgrade_utilities::VersionedMigration;
 use cf_traits::{
 	AdjustedFeeEstimationApi, AssetConverter, BalanceApi, DummyEgressSuccessWitnesser,
@@ -72,6 +75,7 @@ use pallet_cf_pools::{
 	AskBidMap, AssetPair, HistoricalEarnedFees, OrderId, PoolLiquidity, PoolOrderbook, PoolPriceV1,
 	PoolPriceV2, UnidirectionalPoolDepth,
 };
+use pallet_cf_swapping::{BatchExecutionError, FeeType, Swap};
 use runtime_apis::ChainAccounts;
 
 use crate::{chainflip::EvmLimit, runtime_apis::TaintedTransactionEvent};
@@ -121,7 +125,7 @@ pub use sp_runtime::BuildStorage;
 use sp_runtime::{
 	create_runtime_str, generic, impl_opaque_keys,
 	transaction_validity::{TransactionSource, TransactionValidity},
-	ApplyExtrinsicResult, MultiSignature,
+	ApplyExtrinsicResult, DispatchError, MultiSignature,
 };
 pub use sp_runtime::{Perbill, Permill};
 use sp_std::prelude::*;
@@ -1527,6 +1531,8 @@ impl_runtime_apis! {
 			from: Asset,
 			to: Asset,
 			amount: AssetAmount,
+			broker_commission: BasisPoints,
+			dca_parameters: Option<DcaParameters>,
 			additional_orders: Option<Vec<SimulateSwapAdditionalOrder>>,
 		) -> Result<SimulatedSwapInformation, DispatchErrorWithMessage> {
 			if let Some(additional_orders) = additional_orders {
@@ -1602,20 +1608,62 @@ impl_runtime_apis! {
 
 			let (amount_to_swap, ingress_fee) = remove_fees(IngressOrEgress::Ingress, from, amount);
 
-			let swap_output = Swapping::swap_with_network_fee(
-				from,
-				to,
-				amount_to_swap,
-			)?;
+			// Estimate swap result for a chunk, then extrapolate the result.
+			// If no DCA parameter is given, swap the entire amount with 1 chunk.
+			let number_of_chunks: u128 = dca_parameters.map(|dca|dca.number_of_chunks).unwrap_or(1u32).into();
+			let amount_per_chunk = amount_to_swap / number_of_chunks;
+
+			let swap_output_per_chunk = Swapping::try_execute_without_violations(
+				vec![
+					Swap::new(
+						Default::default(),
+						Default::default(),
+						from,
+						to,
+						amount_per_chunk,
+						None,
+						vec![
+							FeeType::NetworkFee,
+							FeeType::BrokerFee(
+								vec![Beneficiary {
+									account: AccountId::new([0xbb; 32]),
+									bps: broker_commission,
+								}]
+								.try_into()
+								.expect("Beneficiary with a length of 1 must be within length bound.")
+							)
+						],
+					)
+				],
+			).map_err(|e| DispatchErrorWithMessage::Other(match e {
+				BatchExecutionError::SwapLegFailed { .. } => DispatchError::Other("Swap leg failed."),
+				BatchExecutionError::PriceViolation { .. } => DispatchError::Other("Price Violation: Some swaps failed due to Price Impact Limitations."),
+				BatchExecutionError::DispatchError { error } => error,
+			}))?;
+
+			let (
+				network_fee,
+				broker_fee,
+				intermediary,
+				output,
+			) = {
+				(
+					swap_output_per_chunk[0].network_fee_taken.unwrap_or_default() * number_of_chunks,
+					swap_output_per_chunk[0].broker_fee_taken.unwrap_or_default() * number_of_chunks,
+					swap_output_per_chunk[0].stable_amount.map(|amount| amount * number_of_chunks),
+					swap_output_per_chunk[0].final_output.unwrap_or_default() * number_of_chunks,
+				)
+			};
 
-			let (output, egress_fee) = remove_fees(IngressOrEgress::Egress, to, swap_output.output);
+			let (output, egress_fee) = remove_fees(IngressOrEgress::Egress, to, output);
 
 			Ok(SimulatedSwapInformation {
-				intermediary: swap_output.intermediary,
+				intermediary,
 				output,
-				network_fee: swap_output.network_fee,
+				network_fee,
 				ingress_fee,
 				egress_fee,
+				broker_fee,
 			})
 		}
 
@@ -1624,9 +1672,7 @@ impl_runtime_apis! {
 		}
 
 		fn cf_lp_events() -> Vec<pallet_cf_pools::Event<Runtime>> {
-
 			System::read_events_no_consensus().filter_map(|event_record| {
-
 				if let RuntimeEvent::LiquidityPools(pools_event) = event_record.event {
 					Some(pools_event)
 				} else {