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swaps_test.go
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package concentrated_liquidity_test
import (
"fmt"
sdk "github.com/cosmos/cosmos-sdk/types"
"github.com/stretchr/testify/suite"
"github.com/osmosis-labs/osmosis/osmomath"
cl "github.com/osmosis-labs/osmosis/v15/x/concentrated-liquidity"
"github.com/osmosis-labs/osmosis/v15/x/concentrated-liquidity/internal/math"
"github.com/osmosis-labs/osmosis/v15/x/concentrated-liquidity/types"
cltypes "github.com/osmosis-labs/osmosis/v15/x/concentrated-liquidity/types"
poolmanagertypes "github.com/osmosis-labs/osmosis/v15/x/poolmanager/types"
)
var _ = suite.TestingSuite(nil)
type secondPosition struct {
tickIndex int64
expectedFeeGrowth sdk.DecCoins
}
type SwapTest struct {
// Specific to swap out given in.
tokenIn sdk.Coin
tokenOutDenom string
// Specific to swap in given out.
tokenOut sdk.Coin
tokenInDenom string
// Shared.
priceLimit sdk.Dec
swapFee sdk.Dec
secondPositionLowerPrice sdk.Dec
secondPositionUpperPrice sdk.Dec
expectedTokenIn sdk.Coin
expectedTokenOut sdk.Coin
expectedTick sdk.Int
expectedSqrtPrice sdk.Dec
expectedLowerTickFeeGrowth sdk.DecCoins
expectedUpperTickFeeGrowth sdk.DecCoins
expectedFeeGrowthAccumulatorValue sdk.Dec
// since we use different values for the seondary position's tick, save (tick, expectedFeeGrowth) tuple
expectedSecondLowerTickFeeGrowth secondPosition
expectedSecondUpperTickFeeGrowth secondPosition
newLowerPrice sdk.Dec
newUpperPrice sdk.Dec
poolLiqAmount0 sdk.Int
poolLiqAmount1 sdk.Int
expectErr bool
}
var (
swapOutGivenInCases = map[string]SwapTest{
// One price range
//
// 5000
// 4545 -----|----- 5500
"single position within one tick: usdc -> eth": {
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(5004),
swapFee: sdk.ZeroDec(),
// params
// liquidity: 1517882343.751510418088349649
// sqrtPriceNext: 70.738348247484497717 which is 5003.9139127823931095409 https://www.wolframalpha.com/input?i=70.710678118654752440+%2B+42000000+%2F+1517882343.751510418088349649
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 41999999.9999 rounded up https://www.wolframalpha.com/input?i=1517882343.751510418088349649+*+%2870.738349405152439867+-+70.710678118654752440%29
// expectedTokenOut: 8396.71424216 rounded down https://www.wolframalpha.com/input?i=%281517882343.751510418088349649+*+%2870.738348247484497717+-+70.710678118654752440+%29%29+%2F+%2870.710678118654752440+*+70.738348247484497717%29
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(8396)),
expectedTick: sdk.NewInt(310040),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.738348247484497717"), // https://www.wolframalpha.com/input?i=70.710678118654752440+%2B+42000000+%2F+1517882343.751510418088349649
// tick's accum coins stay same since crossing tick does not occur in this case
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
},
"single position within one tick: eth -> usdc": {
tokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4993),
swapFee: sdk.ZeroDec(),
// params
// liquidity: 1517882343.751510418088349649
// sqrtPriceNext: 70.6666639108571443311 which is 4993.7773882900395488 https://www.wolframalpha.com/input?i=%28%281517882343.751510418088349649%29%29+%2F+%28%28%281517882343.751510418088349649%29+%2F+%2870.710678118654752440%29%29+%2B+%2813370%29%29
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 13370.00000 rounded up https://www.wolframalpha.com/input?i=%281517882343.751510418088349649+*+%2870.710678118654752440+-+70.6666639108571443311+%29%29+%2F+%2870.6666639108571443311+*+70.710678118654752440%29
// expectedTokenOut: 66808388.8901 rounded down https://www.wolframalpha.com/input?i=1517882343.751510418088349649+*+%2870.710678118654752440+-+70.6666639108571443311%29
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(66808388)),
expectedTick: sdk.NewInt(309938),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.666663910857144332"), // https://www.wolframalpha.com/input?i=%28%281517882343.751510418088349649%29%29+%2F+%28%28%281517882343.751510418088349649%29+%2F+%2870.710678118654752440%29%29+%2B+%2813370%29%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
},
// Two equal price ranges
//
// 5000
// 4545 -----|----- 5500
// 4545 -----|----- 5500
"two positions within one tick: usdc -> eth": {
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(5002),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: DefaultLowerPrice,
secondPositionUpperPrice: DefaultUpperPrice,
// params
// liquidity: 3035764687.503020836176699298
// sqrtPriceNext: 70.724513183069625078 which is 5001.956764982189191089 https://www.wolframalpha.com/input?i=70.710678118654752440%2B%2842000000+%2F+3035764687.503020836176699298%29
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 41999999.999 rounded up https://www.wolframalpha.com/input?i=3035764687.503020836176699298+*+%2870.724513183069625078+-+70.710678118654752440%29
// expectedTokenOut: 8398.3567 rounded down https://www.wolframalpha.com/input?i=%283035764687.503020836176699298+*+%2870.724513183069625078+-+70.710678118654752440+%29%29+%2F+%2870.710678118654752440+*+70.724513183069625078%29
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(8398)),
expectedTick: sdk.NewInt(310020),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.724513183069625078"), // https://www.wolframalpha.com/input?i=70.710678118654752440+%2B++++%2842000000++%2F+3035764687.503020836176699298%29
// two positions with same liquidity entered
poolLiqAmount0: sdk.NewInt(1000000).MulRaw(2),
poolLiqAmount1: sdk.NewInt(5000000000).MulRaw(2),
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
},
"two positions within one tick: eth -> usdc": {
tokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4996),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: DefaultLowerPrice,
secondPositionUpperPrice: DefaultUpperPrice,
// params
// liquidity: 3035764687.503020836176699298
// sqrtPriceNext: 70.688664163408836319 which is 4996.88724120720067710 https://www.wolframalpha.com/input?i=%28%283035764687.503020836176699298%29%29+%2F+%28%28%283035764687.503020836176699298%29+%2F+%2870.710678118654752440%29%29+%2B+%2813370%29%29
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 13370.0000 rounded up https://www.wolframalpha.com/input?i=%283035764687.503020836176699298+*+%2870.710678118654752440+-+70.688664163408836319+%29%29+%2F+%2870.688664163408836319+*+70.710678118654752440%29
// expectedTokenOut: 66829187.9678 rounded down https://www.wolframalpha.com/input?i=3035764687.503020836176699298+*+%2870.710678118654752440+-+70.688664163408836319%29
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(66829187)),
expectedTick: sdk.NewInt(309969),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.688664163408836320"), // https://www.wolframalpha.com/input?i=%28%283035764687.503020836176699298%29%29+%2F+%28%28%283035764687.503020836176699298%29+%2F+%2870.710678118654752440%29%29+%2B+%2813370.0000%29%29
// two positions with same liquidity entered
poolLiqAmount0: sdk.NewInt(1000000).MulRaw(2),
poolLiqAmount1: sdk.NewInt(5000000000).MulRaw(2),
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
},
// Consecutive price ranges
// 5000
// 4545 -----|----- 5500
// 5500 ----------- 6250
"two positions with consecutive price ranges: usdc -> eth": {
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(6255),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: sdk.NewDec(5500),
secondPositionUpperPrice: sdk.NewDec(6250),
// params
// liquidity (1st): 1517882343.751510418088349649
// sqrtPriceNext: 74.161984870956629487 which is 5500
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 5238677582.189386755771808942932776 rounded up https://www.wolframalpha.com/input?i=5.238677582189386755771808942932776425143606503+%C3%97+10%5E9&assumption=%22ClashPrefs%22+-%3E+%7B%22Math%22%7D
// expectedTokenOut: 998976.6183474263883566299269 rounded down https://www.wolframalpha.com/input?i=%281517882343.751510418088349649+*+%2874.161984870956629487+-+70.710678118654752440+%29%29+%2F+%2870.710678118654752440+*+74.161984870956629487%29
// params
// liquidity (2nd): 1197767444.955508123222985080
// sqrtPriceNext: 78.137149196772377272 which is 6105.41408459866616274 https://www.wolframalpha.com/input?i=74.161984870956629487+%2B+4763454462.135+%2F+1197767444.955508123222985080
// sqrtPriceCurrent: 74.161984870956629487 which is 5500
// expectedTokenIn: 4761322417.810 rounded up https://www.wolframalpha.com/input?i=1197767444.955508123222985080+*+%2878.137149196772377272+-+74.161984870956629487%29
// expectedTokenOut: 821653.452 rounded down https://www.wolframalpha.com/input?i=%281197767444.955508123222985080+*+%2878.137149196772377272+-+74.161984870956629487+%29%29+%2F+%2874.161984870956629487+*+78.137149196772377272%29
// expectedTokenIn: 5238677582.189386755771808942932776 + 4761322417.810613244228191057067224 = 10000000000 usdc
// expectedTokenOut: 998976.6183474263883566299269 + 821653.4522259 = 1820630.070 round down = 1.820630 eth
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(1820630)),
expectedTick: sdk.NewInt(321055),
expectedSqrtPrice: sdk.MustNewDecFromStr("78.137149196095607129"), // https://www.wolframalpha.com/input?i=74.16198487095662948711397441+%2B+4761322417+%2F+1197767444.955508123222985080
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
// second positions both have greater tick than the current tick, thus never initialized
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 322500, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 315000, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(5500),
newUpperPrice: sdk.NewDec(6250),
},
// Consecutive price ranges
//
// 5000
// 4545 -----|----- 5500
// 4000 ----------- 4545
//
"two positions with consecutive price ranges: eth -> usdc": {
tokenIn: sdk.NewCoin("eth", sdk.NewInt(2000000)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(3900),
swapFee: sdk.ZeroDec(),
// params
// liquidity (1st): 1517882343.751510418088349649
// sqrtPriceNext: 67.416615162732695594 which is 4545
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// liquidity (2nd): 1198735489.597250295669959397
// sqrtPriceNext: 63.993486606491127478 which is 4095.1663280551593186
// sqrtPriceCurrent: 67.416615162732695594 which is 4545
secondPositionLowerPrice: sdk.NewDec(4000),
secondPositionUpperPrice: sdk.NewDec(4545),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(2000000)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(9103422788)),
// crosses one tick with fee growth outside
expectedTick: sdk.NewInt(300952),
expectedSqrtPrice: sdk.MustNewDecFromStr("63.993489023323078693"), // https://www.wolframalpha.com/input?i=%28%281198735489.597250295669959397%29%29+%2F+%28%28%281198735489.597250295669959397%29+%2F+%28+67.41661516273269559379442134%29%29+%2B+%28951138.000000000000000000%29%29
// crossing tick happens single time for each upper tick and lower tick.
// Thus the tick's fee growth is DefaultFeeAccumCoins * 3 - DefaultFeeAccumCoins
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
// second positions both have greater tick than the current tick, thus never initialized
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 300000, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 305450, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4545),
},
// Partially overlapping price ranges
// 5000
// 4545 -----|----- 5500
// 5001 ----------- 6250
//
"two positions with partially overlapping price ranges: usdc -> eth": {
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(6056),
swapFee: sdk.ZeroDec(),
// params
// liquidity (1st): 1517882343.751510418088349649
// sqrtPriceNext: 74.161984870956629487 which is 5500
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 5238677582.189386755771808942932776 rounded up https://www.wolframalpha.com/input?i=1517882343.751510418088349649+*+%2874.161984870956629487+-+70.710678118654752440%29
// expectedTokenOut: 998976.6183474263883566299269692777 rounded down https://www.wolframalpha.com/input?i=%281517882343.751510418088349649+*+%2874.161984870956629487+-+70.710678118654752440+%29%29+%2F+%2870.710678118654752440+*+74.161984870956629487%29
// liquidity (2nd): 670416088.605668727039250938
// sqrtPriceNext: 77.819789638253848946 which is 6055.9196593420811141 https://www.wolframalpha.com/input?i=70.717748832948578243+%2B+4761322417.810613244228191057067224+%2F+670416088.605668727039250938
// sqrtPriceCurrent: 70.717748832948578243 which is 5001
// expectedTokenIn: 4761322417.8106132444 rounded up https://www.wolframalpha.com/input?i=670416088.605668727039250938+*+%2877.819789638253848946+-+70.717748832948578243%29
// expectedTokenOut: 865185.25913637514045 rounded down https://www.wolframalpha.com/input?i=%28670416088.605668727039250938+*+%2877.819789638253848946+-+70.717748832948578243+%29%29+%2F+%2870.717748832948578243+*+77.819789638253848946%29
secondPositionLowerPrice: sdk.NewDec(5001),
secondPositionUpperPrice: sdk.NewDec(6250),
// expectedTokenIn: 5238677582.189386755771808942932776 + 4761322417.8106132444 = 10000000000.0000 = 10000.00 usdc
// expectedTokenOut: 998976.6183474263883566299269692777 + 865185.2591363751404579873403641 = 1864161.877 round down = 1.864161 eth
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(1864161)),
expectedTick: sdk.NewInt(320560),
expectedSqrtPrice: sdk.MustNewDecFromStr("77.819789636800169392"), // https://www.wolframalpha.com/input?i=74.16198487095662948711397441+%2B++++%282452251164.000000000000000000+%2F+670416088.605668727039240782%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 310010, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 322500, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(5001),
newUpperPrice: sdk.NewDec(6250),
},
"two positions with partially overlapping price ranges, not utilizing full liquidity of second position: usdc -> eth": {
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(8500000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(6056),
swapFee: sdk.ZeroDec(),
// params
// liquidity (1st): 1517882343.751510418088349649
// sqrtPriceNext: 74.161984870956629487 which is 5500
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 5238677582.189386755771808942932776 rounded up https://www.wolframalpha.com/input?i=1517882343.751510418088349649+*+%2874.161984870956629487+-+70.710678118654752440%29
// expectedTokenOut: 998976.61834742638835662992696 rounded down https://www.wolframalpha.com/input?i=%281517882343.751510418088349649+*+%2874.161984870956629487+-+70.710678118654752440+%29%29+%2F+%2870.710678118654752440+*+74.161984870956629487%29
// liquidity (2nd): 670416088.605668727039250938
// sqrtPriceNext: 75.582373165866231044 which is 5712.695133384 https://www.wolframalpha.com/input?i=70.717748832948578243+%2B+3261322417.810613244228191057067224+%2F+670416088.605668727039250938
// sqrtPriceCurrent: 70.717748832948578243 which is 5001
// expectedTokenIn: 3261322417.8106132442 rounded up https://www.wolframalpha.com/input?i=670416088.605668727039250938+*+%2875.582373165866231044+-+70.717748832948578243%29
// expectedTokenOut: 610161.47679708043791 rounded down https://www.wolframalpha.com/input?i=%28670416088.605668727039250938+*+%2875.582373165866231044+-+70.717748832948578243+%29%29+%2F+%2870.717748832948578243+*+75.582373165866231044%29
secondPositionLowerPrice: sdk.NewDec(5001),
secondPositionUpperPrice: sdk.NewDec(6250),
// expectedTokenIn: 5238677582.189386755771808942932776 + 3261322417.810613244228191057067224 = 8500000000.000 = 8500.00 usdc
// expectedTokenOut: 998976.61834742638835662992696 + 610161.47679708043791 = 1609138.09 round down = 1.609138 eth
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(8500000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(1609138)),
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 310010, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 322500, expectedFeeGrowth: cl.EmptyCoins},
expectedTick: sdk.NewInt(317127),
expectedSqrtPrice: sdk.MustNewDecFromStr("75.582373164412551491"), // https://www.wolframalpha.com/input?i=74.16198487095662948711397441++%2B+%28+952251164.000000000000000000++%2F+670416088.605668727039240782%29
newLowerPrice: sdk.NewDec(5001),
newUpperPrice: sdk.NewDec(6250),
},
// Partially overlapping price ranges
//
// 5000
// 4545 -----|----- 5500
// 4000 ----------- 4999
//
"two positions with partially overlapping price ranges: eth -> usdc": {
tokenIn: sdk.NewCoin("eth", sdk.NewInt(2000000)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4128),
swapFee: sdk.ZeroDec(),
// params
// liquidity (1st): 1517882343.751510418088349649
// sqrtPriceNext: 67.416615162732695594 which is 4545
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// liquidity (2nd): 670416215.718827443660400594
// sqrtPriceNext: 64.257941776684699569 which is 4129.083081375800804213 https://www.wolframalpha.com/input?i=%28%28670416215.718827443660400594%29%29+%2F+%28%28%28670416215.718827443660400594%29+%2F+%2870.703606697254136612%29%29+%2B+%28951138.707454078983349%29%29
// sqrtPriceCurrent: 70.703606697254136612 which is 4999.00
secondPositionLowerPrice: sdk.NewDec(4000),
secondPositionUpperPrice: sdk.NewDec(4999),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(2000000)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(9321276930)),
expectedTick: sdk.NewInt(301291),
expectedSqrtPrice: sdk.MustNewDecFromStr("64.257943794993248954"), // https://www.wolframalpha.com/input?i=%28%28670416215.71882744366040059300%29%29+%2F+%28%28%28670416215.71882744366040059300%29+%2F+%2867.41661516273269559379442134%29%29+%2B+%28488827.000000000000000000%29%29
// Started from DefaultFeeAccumCoins * 3, crossed tick once, thus becoming
// DefaultFeeAccumCoins * 3 - DefaultFeeAccumCoins = DefaultFeeAccumCoins * 2
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 300000, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 309990, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4999),
},
"two positions with partially overlapping price ranges, not utilizing full liquidity of second position: eth -> usdc": {
tokenIn: sdk.NewCoin("eth", sdk.NewInt(1800000)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4128),
swapFee: sdk.ZeroDec(),
// params
// liquidity (1st): 1517882343.751510418088349649
// sqrtPriceNext: 67.416615162732695594 which is 4545
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// liquidity (2nd): 670416215.718827443660400594
// sqrtPriceNext: 65.513813187509027302 which is 4292.059718367831736 https://www.wolframalpha.com/input?i=%28%28670416215.718827443660400594%29%29+%2F+%28%28%28670416215.718827443660400594%29+%2F+%2870.703606697254136612%29%29+%2B+%28751138.70745407898334907%29%29
// sqrtPriceCurrent: 70.703606697254136612 which is 4999.00
secondPositionLowerPrice: sdk.NewDec(4000),
secondPositionUpperPrice: sdk.NewDec(4999),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(1800000)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(8479320318)),
expectedTick: sdk.NewInt(302921),
expectedSqrtPrice: sdk.MustNewDecFromStr("65.513815285481060960"), // https://www.wolframalpha.com/input?i=%28%28670416215.718827443660400593000%29%29+%2F+%28%28%28670416215.718827443660400593000%29+%2F+%2867.41661516273269559379442134%29%29+%2B+%28288827.000000000000000000%29%29
// Started from DefaultFeeAccumCoins * 3, crossed tick once, thus becoming
// DefaultFeeAccumCoins * 3 - DefaultFeeAccumCoins = DefaultFeeAccumCoins * 2
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 300000, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 309990, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4999),
},
// Sequential price ranges with a gap
//
// 5000
// 4545 -----|----- 5500
// 5501 ----------- 6250
//
"two sequential positions with a gap": {
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(6106),
swapFee: sdk.ZeroDec(),
// params
// liquidity (1st): 1517882343.751510418088349649
// sqrtPriceNext: 74.161984870956629487 which is 5500
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 5238677582.1893867557718089429327 rounded up https://www.wolframalpha.com/input?i=1517882343.751510418088349649+*+%2874.161984870956629487+-+70.710678118654752440%29
// expectedTokenOut: 998976.61834742638835 rounded down https://www.wolframalpha.com/input?i=%281517882343.751510418088349649+*+%2874.161984870956629487+-+70.710678118654752440+%29%29+%2F+%2870.710678118654752440+*+74.161984870956629487%29
// liquidity (2nd): 1199528406.187413669220037261
// sqrtPriceNext: 78.138055170339538272 which is 6105.5556658030254493528 https://www.wolframalpha.com/input?i=74.168726563154635303++%2B++4761322417.8106132442281910570673+%2F+1199528406.187413669220037261
// sqrtPriceCurrent: 74.168726563154635303 which is 5501
// expectedTokenIn: 4761322417.810613244281820035563194 rounded up https://www.wolframalpha.com/input?i=1199528406.187413669220037261+*+%2878.138055170339538272+-+74.168726563154635303%29
// expectedTokenOut: 821569.240826953837970 rounded down https://www.wolframalpha.com/input?i=%281199528406.187413669220037261+*+%2878.138055170339538272+-+74.168726563154635303+%29%29+%2F+%2874.168726563154635303+*+78.138055170339538272%29
secondPositionLowerPrice: sdk.NewDec(5501),
secondPositionUpperPrice: sdk.NewDec(6250),
// expectedTokenIn: 5238677582.1893867557718089429327 + 4761322417.810613244281820035563194 = 10000000000 usdc
// expectedTokenOut: 998976.61834742638835 + 821569.240826953837970 = 1820545.85917438022632 round down = 1.820545 eth
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(1820545)),
expectedTick: sdk.NewInt(321056),
expectedSqrtPrice: sdk.MustNewDecFromStr("78.138055169663761658"), // https://www.wolframalpha.com/input?i=74.16872656315463530313879691++%2B+%28+4761322417.000000000000000000++%2F+1199528406.187413669220037261%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 315010, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 322500, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(5501),
newUpperPrice: sdk.NewDec(6250),
},
// Slippage protection doesn't cause a failure but interrupts early.
"single position within one tick, trade completes but slippage protection interrupts trade early: eth -> usdc": {
tokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4994),
swapFee: sdk.ZeroDec(),
// params
// liquidity: 1517882343.751510418088349649
// sqrtPriceNext: 70.668238976219012614 which is 4994 https://www.wolframalpha.com/input?i=70.710678118654752440+%2B+42000000+%2F+1517882343.751510418088349649
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 12891.26207649936510 rounded up https://www.wolframalpha.com/input?key=&i=%281517882343.751510418088349649+*+%2870.710678118654752440+-+70.668238976219012614+%29%29+%2F+%2870.710678118654752440+*+70.668238976219012614%29
// expectedTokenOut: 64417624.98716495170 rounded down https://www.wolframalpha.com/input?key=&i=1517882343.751510418088349649+*+%2870.710678118654752440+-+70.668238976219012614%29
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(12892)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(64417624)),
expectedTick: sdk.NewInt(309941),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.668238976219012614"), // https://www.wolframalpha.com/input?i=%28%281517882343.751510418088349649%29%29+%2F+%28%28%281517882343.751510418088349649%29+%2F+%2870.710678118654752440%29%29+%2B+%2812891.26207649936510%29%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
},
}
swapOutGivenInFeeCases = map[string]SwapTest{
"fee 1 - single position within one tick: usdc -> eth (1% fee)": {
// parameters and results of this test case
// are estimated by utilizing scripts from scripts/cl/main.py
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(5004),
swapFee: sdk.MustNewDecFromStr("0.01"),
// params
// liquidity: 1517882343.751510418088349649
// sqrtPriceNext: 70.738071546196200264 which is 5003.9139127814610432508
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// expectedTokenIn: 41999999.9999 rounded up
// expectedTokenInPriceAfterFees 41999999.9999 - (41999999.9999 * 0.01) = 41579999.999901
// expectedTokenOut: 8312
// expectedFeeGrowthAccumulatorValue: 0.000276701288297452
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(8312)),
expectedTick: sdk.NewInt(310039),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.738071546196200264"), // https://www.wolframalpha.com/input?i=70.71067811865475244008443621+%2B++++%2841580000.000000000000000000+%2F+1517882343.751510418088349649%29
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000276701288297452"),
},
"fee 2 - two positions within one tick: eth -> usdc (3% fee)": {
// parameters and results of this test case
// are estimated by utilizing scripts from scripts/cl/main.py
tokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4990),
swapFee: sdk.MustNewDecFromStr("0.03"),
secondPositionLowerPrice: DefaultLowerPrice,
secondPositionUpperPrice: DefaultUpperPrice,
// params
// liquidity: 3035764687.503020836176699298
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
// given tokenIn: 13370
// expectedTokenInAfterFees 13370 - (13370 * 0.03) = 12968.9
// expectedTokenOut: 64824917.7760329489344598324379
// expectedFeeGrowthAccumulatorValue: 0.000000132124865162033700093060000008
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(64824917)),
expectedTick: sdk.NewInt(309970),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.689324382628080102"), // https://www.wolframalpha.com/input?i=%28%283035764687.503020836176699298%29%29+%2F+%28%28%283035764687.503020836176699298%29+%2F+%2870.71067811865475244008443621%29%29+%2B+%2812968.900000000000000000%29%29
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000000132091924532"),
// two positions with same liquidity entered
poolLiqAmount0: sdk.NewInt(1000000).MulRaw(2),
poolLiqAmount1: sdk.NewInt(5000000000).MulRaw(2),
},
"fee 3 - two positions with consecutive price ranges: eth -> usdc (5% fee)": {
// parameters and results of this test case
// are estimated by utilizing scripts from scripts/cl/main.py
tokenIn: sdk.NewCoin("eth", sdk.NewInt(2000000)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4094),
swapFee: sdk.MustNewDecFromStr("0.05"),
secondPositionLowerPrice: sdk.NewDec(4000),
secondPositionUpperPrice: sdk.NewDec(4545),
// params
// expectedTokenIn: 1101304.35717321706748347321599 + 898695.642826782932516526784010 = 2000000 eth
// expectedTokenOut: 4999999999.99999999999999999970 + 3702563350.03654978405015422548 = 8702563350.03654978405015422518 round down = 8702.563350 usdc
// expectedFeeGrowthAccumulatorValue: 0.000034550151296760 + 0.0000374851520884196734228699332666 = 0.0000720353033851796734228699332666
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(2000000)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(8691708221)),
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000073738597832046"),
expectedTick: sdk.NewInt(301393),
expectedSqrtPrice: sdk.MustNewDecFromStr("64.336946417392457832"), // https://www.wolframalpha.com/input?i=%28%281198735489.597250295669959397%29%29+%2F+%28%28%281198735489.597250295669959397%29+%2F+%28+67.41661516273269559379442134%29%29+%2B+%28851137.999999999999999999%29%29
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4545),
},
"fee 4 - two positions with partially overlapping price ranges: usdc -> eth (10% fee)": {
// parameters and results of this test case
// are estimated by utilizing scripts from scripts/cl/main.py
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(6056),
swapFee: sdk.MustNewDecFromStr("0.1"),
secondPositionLowerPrice: sdk.NewDec(5001),
secondPositionUpperPrice: sdk.NewDec(6250),
// expectedTokenIn: 5762545340.40832543134898983723 + 4237454659.59167456865101016277 = 10000000000.0000 = 10000.00 usdc
// expectedTokenOut: 2146.28785880640879265591374059 + 1437108.91592757237716789250871 + 269488.274305469529889078712213 = 1708743.47809184831584962713466 eth
// expectedFeeGrowthAccumulatorValue: 0.000707071429382580300000000000073 + 0.344423603800805124400000000000 + 0.253197426243519613677553835191 = 0.598328101473707318377553835191
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(1695807)),
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.624166726347032857"),
expectedTick: sdk.NewInt(318260),
expectedSqrtPrice: sdk.MustNewDecFromStr("76.328178655208424124"), // https://www.wolframalpha.com/input?i=+74.16198487095662948711397441+%2B++++%281452251164.000000000000000001+%2F+670416088.605668727039240782%29
newLowerPrice: sdk.NewDec(5001),
newUpperPrice: sdk.NewDec(6250),
},
"fee 5 - two positions with partially overlapping price ranges, not utilizing full liquidity of second position: eth -> usdc (0.5% fee)": {
// parameters and results of this test case
// are estimated by utilizing scripts from scripts/cl/main.py
tokenIn: sdk.NewCoin("eth", sdk.NewInt(1800000)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4128),
swapFee: sdk.MustNewDecFromStr("0.005"),
secondPositionLowerPrice: sdk.NewDec(4000),
secondPositionUpperPrice: sdk.NewDec(4999),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(1800000)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(8440657775)),
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000005569829831408"),
expectedTick: sdk.NewInt(302997),
expectedSqrtPrice: sdk.MustNewDecFromStr("65.571484748647169032"), // https://www.wolframalpha.com/input?i=%28%28670416215.718827443660400593000%29%29+%2F+%28%28%28670416215.718827443660400593000%29+%2F+%28+67.41661516273269559379442134%29%29+%2B+%28279827.000000000000000001%29%29
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4999),
},
"fee 6 - two sequential positions with a gap usdc -> eth (3% fee)": {
// parameters and results of this test case
// are estimated by utilizing scripts from scripts/cl/main.py
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(6106),
secondPositionLowerPrice: sdk.NewDec(5501),
secondPositionUpperPrice: sdk.NewDec(6250),
swapFee: sdk.MustNewDecFromStr("0.03"),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(1771252)),
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.221769187794051751"),
expectedTick: sdk.NewInt(320666),
expectedSqrtPrice: sdk.MustNewDecFromStr("77.887956882326389372"), // https://www.wolframalpha.com/input?i=74.16872656315463530313879691+%2B++++%284461322417.000000000000000001+%2F+1199528406.187413669220037261%29
newLowerPrice: sdk.NewDec(5501),
newUpperPrice: sdk.NewDec(6250),
},
"fee 7: single position within one tick, trade completes but slippage protection interrupts trade early: eth -> usdc (1% fee)": {
// parameters and results of this test case
// are estimated by utilizing scripts from scripts/cl/main.py
tokenIn: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4994),
swapFee: sdk.MustNewDecFromStr("0.01"),
// params
// liquidity: 1517882343.751510418088349649
// sqrtPriceNext: 70.668238976219012614 which is 4994
// sqrtPriceCurrent: 70.710678118654752440 which is 5000
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(13022)),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(64417624)),
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000000085792039652"),
expectedTick: sdk.NewInt(309941),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.668238976219012614"), // https://www.wolframalpha.com/input?i=%28%281517882343.751510418088349649%29%29+%2F+%28%28%281517882343.751510418088349649%29+%2F+%2870.710678118654752440%29%29+%2B+%2813020+*+%281+-+0.01%29%29%29
},
}
swapOutGivenInErrorCases = map[string]SwapTest{
"single position within one tick, trade does not complete due to lack of liquidity: usdc -> eth": {
tokenIn: sdk.NewCoin("usdc", sdk.NewInt(5300000000)),
tokenOutDenom: "eth",
priceLimit: sdk.NewDec(6000),
swapFee: sdk.ZeroDec(),
expectErr: true,
},
"single position within one tick, trade does not complete due to lack of liquidity: eth -> usdc": {
tokenIn: sdk.NewCoin("eth", sdk.NewInt(1100000)),
tokenOutDenom: "usdc",
priceLimit: sdk.NewDec(4000),
swapFee: sdk.ZeroDec(),
expectErr: true,
},
}
swapInGivenOutTestCases = map[string]SwapTest{
// One price range
//
// 5000
// 4545 -----|----- 5500
"single position within one tick: usdc -> eth": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(5004),
swapFee: sdk.ZeroDec(),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(8396)),
expectedTick: sdk.NewInt(310040),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.738348247484497717"), // https://www.wolframalpha.com/input?i=70.710678118654752440+%2B++++%2842000000+%2F+1519437308.014768571721000000%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
},
"single position within one tick: eth -> usdc": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4993),
swapFee: sdk.ZeroDec(),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(13370)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(66808388)),
expectedTick: sdk.NewInt(309938),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.666663910857144332"), // https://www.wolframalpha.com/input?i=%28%281517882343.751510418088349649%29%29+%2F+%28%28%281517882343.751510418088349649%29+%2F+%2870.710678118654752440%29%29+%2B+%2813370%29%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
},
// Two equal price ranges
//
// 5000
// 4545 -----|----- 5500
// 4545 -----|----- 5500
"two positions within one tick: usdc -> eth": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(5002),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: DefaultLowerPrice,
secondPositionUpperPrice: DefaultUpperPrice,
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(8398)),
expectedTick: sdk.NewInt(310020),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.724513183069625078"), // https://www.wolframalpha.com/input?i=70.710678118654752440+%2B++++%2842000000++%2F+3035764687.503020836176699298%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
// two positions with same liquidity entered
poolLiqAmount0: sdk.NewInt(1000000).MulRaw(2),
poolLiqAmount1: sdk.NewInt(5000000000).MulRaw(2),
},
"two positions within one tick: eth -> usdc": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4996),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: DefaultLowerPrice,
secondPositionUpperPrice: DefaultUpperPrice,
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(13370)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(66829187)),
expectedTick: sdk.NewInt(309969),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.688664163408836320"), // https://www.wolframalpha.com/input?i=%28%283035764687.503020836176699298%29%29+%2F+%28%28%283035764687.503020836176699298%29+%2F+%2870.710678118654752440%29%29+%2B+%2813370.0000%29%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
// two positions with same liquidity entered
poolLiqAmount0: sdk.NewInt(1000000).MulRaw(2),
poolLiqAmount1: sdk.NewInt(5000000000).MulRaw(2),
},
// Consecutive price ranges
//
// 5000
// 4545 -----|----- 5500
// 5500 ----------- 6250
//
"two positions with consecutive price ranges: usdc -> eth": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(6106),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: sdk.NewDec(5500), // 315000
secondPositionUpperPrice: sdk.NewDec(6250), // 322500
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(1820630)),
expectedTick: sdk.NewInt(321055),
expectedSqrtPrice: sdk.MustNewDecFromStr("78.137149196095607129"), // https://www.wolframalpha.com/input?i=74.16198487095662948711397441+%2B+4761322417+%2F+1197767444.955508123222985080
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 315000, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 322500, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(5500),
newUpperPrice: sdk.NewDec(6250),
},
// Consecutive price ranges
//
// 5000
// 4545 -----|----- 5500
// 4000 ----------- 4545
//
"two positions with consecutive price ranges: eth -> usdc": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(2000000)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4094),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: sdk.NewDec(4000), // 300000
secondPositionUpperPrice: sdk.NewDec(4545), // 305450
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(2000000)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(9103422788)),
// Started from DefaultFeeAccumCoins * 3, crossed tick once, thus becoming
// DefaultFeeAccumCoins * 3 - DefaultFeeAccumCoins = DefaultFeeAccumCoins * 2
expectedTick: sdk.NewInt(300952),
expectedSqrtPrice: sdk.MustNewDecFromStr("63.993489023323078693"), // https://www.wolframalpha.com/input?i=%28%281198735489.597250295669959397%29%29+%2F+%28%28%281198735489.597250295669959397%29+%2F+%28+67.41661516273269559379442134%29%29+%2B+%28951138.000000000000000000%29%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 300000, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 305450, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4545),
},
// Partially overlapping price ranges
//
// 5000
// 4545 -----|----- 5500
// 5001 ----------- 6250
//
"two positions with partially overlapping price ranges: usdc -> eth": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(6056),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: sdk.NewDec(5001), // 310010
secondPositionUpperPrice: sdk.NewDec(6250), // 322500
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(1864161)),
expectedTick: sdk.NewInt(320560),
expectedSqrtPrice: sdk.MustNewDecFromStr("77.819789636800169392"), // https://www.wolframalpha.com/input?i=74.16198487095662948711397441+%2B++++%282452251164++%2F+670416088.605668727039240782%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 310010, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 322500, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(5001),
newUpperPrice: sdk.NewDec(6250),
},
"two positions with partially overlapping price ranges, not utilizing full liquidity of second position: usdc -> eth": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(8500000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(6056),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: sdk.NewDec(5001), // 310010
secondPositionUpperPrice: sdk.NewDec(6250), // 322500
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(8500000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(1609138)),
expectedTick: sdk.NewInt(317127),
expectedSqrtPrice: sdk.MustNewDecFromStr("75.582373164412551491"), // https://www.wolframalpha.com/input?i=70.717748832948578243++%2B+%283261322417.8106132442++%2F+670416088.605668727039250938%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 310010, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 322500, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(5001),
newUpperPrice: sdk.NewDec(6250),
},
// Partially overlapping price ranges
//
// 5000
// 4545 -----|----- 5500
// 4000 ----------- 4999
//
"two positions with partially overlapping price ranges: eth -> usdc": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(2000000)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4128),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: sdk.NewDec(4000), // 300000
secondPositionUpperPrice: sdk.NewDec(4999), // 309990
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(2000000)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(9321276930)),
expectedTick: sdk.NewInt(301291),
expectedSqrtPrice: sdk.MustNewDecFromStr("64.257943794993248954"), // https://www.wolframalpha.com/input?i=%28%28670416215.718827443660400594%29%29+%2F+%28%28%28670416215.718827443660400594%29+%2F+%2867.41661516273269559379442134%29%29+%2B+%28488827%29%29
// Started from DefaultFeeAccumCoins * 3, crossed tick once, thus becoming
// DefaultFeeAccumCoins * 3 - DefaultFeeAccumCoins = DefaultFeeAccumCoins * 2
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 300000, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 309990, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4999),
},
"two positions with partially overlapping price ranges, not utilizing full liquidity of second position: eth -> usdc": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(1800000)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4128),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: sdk.NewDec(4000), // 300000
secondPositionUpperPrice: sdk.NewDec(4999), // 309990
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(1800000)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(8479320318)),
expectedTick: sdk.NewInt(302921),
expectedSqrtPrice: sdk.MustNewDecFromStr("65.513815285481060960"), // https://www.wolframalpha.com/input?i=%28%28670416215.718827443660400594%29%29+%2F+%28%28%28670416215.718827443660400594%29+%2F+%2867.41661516273269559379442134%29%29+%2B+%28288827%29%29
// Started from DefaultFeeAccumCoins * 3, crossed tick once, thus becoming
// DefaultFeeAccumCoins * 3 - DefaultFeeAccumCoins = DefaultFeeAccumCoins * 2
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins.MulDec(sdk.NewDec(2)),
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 300000, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 309990, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4999),
},
// Sequential price ranges with a gap
//
// 5000
// 4545 -----|----- 5500
// 5501 ----------- 6250
//
"two sequential positions with a gap": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(6106),
swapFee: sdk.ZeroDec(),
secondPositionLowerPrice: sdk.NewDec(5501), // 315010
secondPositionUpperPrice: sdk.NewDec(6250), // 322500
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(1820545)),
expectedTick: sdk.NewInt(321056),
expectedSqrtPrice: sdk.MustNewDecFromStr("78.138055169663761658"), // https://www.wolframalpha.com/input?i=74.16872656315463530313879691++%2B+%28+4761322417.000000000000000000++%2F+1199528406.187413669220037261%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
expectedSecondLowerTickFeeGrowth: secondPosition{tickIndex: 315010, expectedFeeGrowth: cl.EmptyCoins},
expectedSecondUpperTickFeeGrowth: secondPosition{tickIndex: 322500, expectedFeeGrowth: cl.EmptyCoins},
newLowerPrice: sdk.NewDec(5501),
newUpperPrice: sdk.NewDec(6250),
},
// Slippage protection doesn't cause a failure but interrupts early.
"single position within one tick, trade completes but slippage protection interrupts trade early: eth -> usdc": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4994),
swapFee: sdk.ZeroDec(),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(12892)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(64417624)),
expectedTick: sdk.NewInt(309941),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.668238976219012614"), // https://www.wolframalpha.com/input?i=%28%281517882343.751510418088349649%29%29+%2F+%28%28%281517882343.751510418088349649%29+%2F+%2870.710678118654752440%29%29+%2B+%2812891.26207649936510%29%29
expectedLowerTickFeeGrowth: DefaultFeeAccumCoins,
expectedUpperTickFeeGrowth: DefaultFeeAccumCoins,
},
}
swapInGivenOutFeeTestCases = map[string]SwapTest{
"fee 1: single position within one tick: usdc -> eth (1% fee)": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(5004),
swapFee: sdk.MustNewDecFromStr("0.01"),
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(42000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(8481)),
expectedTick: sdk.NewInt(310040),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.738348247484497717"), // https://www.wolframalpha.com/input?i=70.7106781186547524400844362105+%2B+42000000.0000000000000000000000+%2F+1517882343.75151041808834964900
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000000055877384518"),
},
"fee 2: two positions within one tick: eth -> usdc (3% fee)": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4996),
swapFee: sdk.MustNewDecFromStr("0.03"),
secondPositionLowerPrice: DefaultLowerPrice,
secondPositionUpperPrice: DefaultUpperPrice,
// 3035764687.50302083617669929800 70.7106781186547524400844362105 13370.0000000000000000000000000
// current sqrt price: 70.7106781186547524400844362105
// sqrt_price_next: 70.6886641634088363193067024054
// liquidity: 3035764687.50302083617669929800
// token_in_after_fee: 68834063.6068587597543212771274
// fee_amount_per_share: 0.000660418657377483623332014151904
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(13370)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(68896070)),
expectedTick: sdk.NewInt(309969),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.688664163408836320"), // https://www.wolframalpha.com/input?i=%28%283035764687.503020836176699298%29%29+%2F+%28%28%283035764687.503020836176699298%29+%2F+%2870.710678118654752440%29%29+%2B+%2813370%29%29
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000680843976677818"),
// two positions with same liquidity entered
poolLiqAmount0: sdk.NewInt(1000000).MulRaw(2),
poolLiqAmount1: sdk.NewInt(5000000000).MulRaw(2),
},
"fee 3 - two positions with consecutive price ranges: eth -> usdc (5% fee)": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(2000000)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4094),
swapFee: sdk.MustNewDecFromStr("0.05"),
secondPositionLowerPrice: sdk.NewDec(4000), // 300000
secondPositionUpperPrice: sdk.NewDec(4545), // 305450
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(2000000)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(9582550303)),
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.353536268175351249"),
expectedTick: sdk.NewInt(300952),
expectedSqrtPrice: sdk.MustNewDecFromStr("63.993489023323078693"), // https://www.wolframalpha.com/input?i=%28%281198735489.597250295669959397%29%29+%2F+%28%28%281198735489.597250295669959397%29+%2F+%28+67.41661516273269559379442134%29%29+%2B+%28951138.000000000000000000%29%29
newLowerPrice: sdk.NewDec(4000),
newUpperPrice: sdk.NewDec(4545),
},
"fee 4: two positions with partially overlapping price ranges: usdc -> eth (10% fee)": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(6056),
swapFee: sdk.MustNewDecFromStr("0.1"),
secondPositionLowerPrice: sdk.NewDec(5001), // 310010
secondPositionUpperPrice: sdk.NewDec(6250), // 322500
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(2071290)),
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000143548203873862"),
expectedTick: sdk.NewInt(320560),
expectedSqrtPrice: sdk.MustNewDecFromStr("77.819789636800169392"), // https://www.wolframalpha.com/input?i=74.16198487095662948711397441+%2B++++%282452251164.000000000000000000+%2F+670416088.605668727039240782%29
newLowerPrice: sdk.NewDec(5001),
newUpperPrice: sdk.NewDec(6250),
},
"fee 5: two positions with partially overlapping price ranges, not utilizing full liquidity of second position: eth -> usdc (0.5% fee)": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(1800000)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4128),
swapFee: sdk.MustNewDecFromStr("0.005"),
secondPositionLowerPrice: sdk.NewDec(4000), // 300000
secondPositionUpperPrice: sdk.NewDec(4999), // 309990
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(1800000)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(8521929968)),
expectedTick: sdk.NewInt(302921),
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.026114888608913022"),
newLowerPrice: sdk.NewDec(4000),
expectedSqrtPrice: sdk.MustNewDecFromStr("65.513815285481060960"), // https://www.wolframalpha.com/input?i=%28%28670416215.718827443660400593000%29%29+%2F+%28%28%28670416215.718827443660400593000%29+%2F+%2867.41661516273269559379442134%29%29+%2B+%28288827.000000000000000000%29%29
newUpperPrice: sdk.NewDec(4999),
},
"fee 6: two sequential positions with a gap (3% fee)": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(6106),
swapFee: sdk.MustNewDecFromStr("0.03"),
secondPositionLowerPrice: sdk.NewDec(5501), // 315010
secondPositionUpperPrice: sdk.NewDec(6250), // 322500
expectedTokenOut: sdk.NewCoin("usdc", sdk.NewInt(10000000000)),
expectedTokenIn: sdk.NewCoin("eth", sdk.NewInt(1876851)),
expectedTick: sdk.NewInt(321056),
expectedSqrtPrice: sdk.MustNewDecFromStr("78.138055169663761658"), // https://www.wolframalpha.com/input?i=74.16872656315463530313879691++%2B+%28+4761322417.000000000000000000++%2F+1199528406.187413669220037261%29
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000041537584780053"),
newLowerPrice: sdk.NewDec(5501),
newUpperPrice: sdk.NewDec(6250),
},
"fee 7: single position within one tick, trade completes but slippage protection interrupts trade early: eth -> usdc (1% fee)": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(13370)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4994),
swapFee: sdk.MustNewDecFromStr("0.01"),
expectedTokenOut: sdk.NewCoin("eth", sdk.NewInt(12892)),
expectedTokenIn: sdk.NewCoin("usdc", sdk.NewInt(65068308)),
expectedTick: sdk.NewInt(309941),
expectedSqrtPrice: sdk.MustNewDecFromStr("70.668238976219012614"), // https://www.wolframalpha.com/input?i=%28%281517882343.751510418088349649%29%29+%2F+%28%28%281517882343.751510418088349649%29+%2F+%2870.710678118654752440%29%29+%2B+%2813020+*+%281+-+0.01%29%29%29
expectedFeeGrowthAccumulatorValue: sdk.MustNewDecFromStr("0.000428678206421614"),
},
}
swapInGivenOutErrorTestCases = map[string]SwapTest{
"single position within one tick, trade does not complete due to lack of liquidity: usdc -> eth ": {
tokenOut: sdk.NewCoin("usdc", sdk.NewInt(5300000000)),
tokenInDenom: "eth",
priceLimit: sdk.NewDec(6000),
swapFee: sdk.ZeroDec(),
expectErr: true,
},
"single position within one tick, trade does not complete due to lack of liquidity: eth -> usdc ": {
tokenOut: sdk.NewCoin("eth", sdk.NewInt(1100000)),
tokenInDenom: "usdc",
priceLimit: sdk.NewDec(4000),
swapFee: sdk.ZeroDec(),
expectErr: true,
},
}
additiveFeeGrowthGlobalErrTolerance = osmomath.ErrTolerance{
// 2 * 10^-18
AdditiveTolerance: sdk.SmallestDec().Mul(sdk.NewDec(2)),
}
)
func (s *KeeperTestSuite) TestCalcAndSwapOutAmtGivenIn() {
tests := make(map[string]SwapTest, len(swapOutGivenInCases)+len(swapOutGivenInFeeCases)+len(swapOutGivenInErrorCases))
for name, test := range swapOutGivenInCases {
tests[name] = test
}
for name, test := range swapOutGivenInFeeCases {
tests[name] = test
}
// add error cases as well
for name, test := range swapOutGivenInErrorCases {
tests[name] = test
}
for name, test := range tests {
test := test
s.Run(name, func() {
s.Setup()
s.FundAcc(s.TestAccs[0], sdk.NewCoins(sdk.NewCoin("eth", sdk.NewInt(10000000000000)), sdk.NewCoin("usdc", sdk.NewInt(1000000000000))))
s.FundAcc(s.TestAccs[1], sdk.NewCoins(sdk.NewCoin("eth", sdk.NewInt(10000000000000)), sdk.NewCoin("usdc", sdk.NewInt(1000000000000))))
// Create default CL pool
pool := s.PrepareConcentratedPool()
// add default position
s.SetupDefaultPosition(pool.GetId())
// add second position depending on the test
if !test.secondPositionLowerPrice.IsNil() {
newLowerTick, err := math.PriceToTick(test.secondPositionLowerPrice, DefaultExponentAtPriceOne)
s.Require().NoError(err)
newUpperTick, err := math.PriceToTick(test.secondPositionUpperPrice, DefaultExponentAtPriceOne)
s.Require().NoError(err)
_, _, _, err = s.App.ConcentratedLiquidityKeeper.CreatePosition(s.Ctx, pool.GetId(), s.TestAccs[1], DefaultAmt0, DefaultAmt1, sdk.ZeroInt(), sdk.ZeroInt(), newLowerTick.Int64(), newUpperTick.Int64(), s.Ctx.BlockTime().Add(DefaultFreezeDuration))
s.Require().NoError(err)
}
poolBeforeCalc, err := s.App.ConcentratedLiquidityKeeper.GetPoolById(s.Ctx, pool.GetId())
s.Require().NoError(err)
// perform calc