Calculate SpotPrice with Ratios and SigFigs (#1176)

* spot price calculated with sigfigs, new test * SigFigsExponent comment * Update x/gamm/pool-models/balancer/amm.go Co-authored-by: Dev Ojha <[email protected]> * add sigfigs to tests Co-authored-by: Dev Ojha <[email protected]>
osmosis-labs · Mar 31, 2022 · cc0ec41 · cc0ec41
1 parent 12630b8
commit cc0ec41
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Showing 6 changed files with 37 additions and 12 deletions.
diff --git a/x/gamm/keeper/grpc_query_test.go b/x/gamm/keeper/grpc_query_test.go
@@ -245,5 +245,7 @@ func (suite *KeeperTestSuite) TestQueryBalancerPoolSpotPrice() {
 		TokenOutDenom: "foo",
 	})
 	suite.NoError(err)
-	suite.Equal(sdk.NewDec(1).Quo(sdk.NewDec(3)).String(), res.SpotPrice)
+	s := sdk.NewDec(1).Quo(sdk.NewDec(3))
+	sp := s.Mul(types.SigFigs).RoundInt().ToDec().Quo(types.SigFigs)
+	suite.Equal(sp.String(), res.SpotPrice)
 }
diff --git a/x/gamm/keeper/keeper_test.go b/x/gamm/keeper/keeper_test.go
@@ -92,7 +92,9 @@ func (suite *KeeperTestSuite) prepareBalancerPool() uint64 {
 	suite.Equal(sdk.NewDecWithPrec(15, 1).String(), spotPrice.String())
 	spotPrice, err = suite.app.GAMMKeeper.CalculateSpotPrice(suite.ctx, poolId, "baz", "foo")
 	suite.NoError(err)
-	suite.Equal(sdk.NewDec(1).Quo(sdk.NewDec(3)).String(), spotPrice.String())
+	s := sdk.NewDec(1).Quo(sdk.NewDec(3))
+	sp := s.Mul(types.SigFigs).RoundInt().ToDec().Quo(types.SigFigs)
+	suite.Equal(sp.String(), spotPrice.String())
 
 	return poolId
 }
diff --git a/x/gamm/pool-models/balancer/amm.go b/x/gamm/pool-models/balancer/amm.go
@@ -5,6 +5,7 @@ import (
 
 	sdk "github.com/cosmos/cosmos-sdk/types"
 	"github.com/osmosis-labs/osmosis/v7/osmomath"
+	"github.com/osmosis-labs/osmosis/v7/x/gamm/types"
 )
 
 // solveConstantFunctionInvariant solves the constant function of an AMM
@@ -106,7 +107,10 @@ func (p *Pool) ApplySwap(ctx sdk.Context, tokensIn sdk.Coins, tokensOut sdk.Coin
 
 // SpotPrice returns the spot price of the pool
 // This is the weight-adjusted balance of the tokens in the pool.
-// so spot_price = (Base_supply / Weight_base) / (Quote_supply / Weight_quote)
+// In order reduce the propagated effect of incorrect trailing digits,
+// we take the ratio of weights and divide this by ratio of supplies
+// this is equivalent to spot_price = (Base_supply / Weight_base) / (Quote_supply / Weight_quote)
+// but cancels out the common term in weight.
 //
 // panics if pool is misconfigured and has any weight as 0.
 func (p Pool) SpotPrice(ctx sdk.Context, baseAsset, quoteAsset string) (sdk.Dec, error) {
@@ -118,10 +122,12 @@ func (p Pool) SpotPrice(ctx sdk.Context, baseAsset, quoteAsset string) (sdk.Dec,
 		return sdk.Dec{}, errors.New("pool is misconfigured, got 0 weight")
 	}
 
-	numerator := base.Token.Amount.ToDec().Quo(base.Weight.ToDec())
-	denom := quote.Token.Amount.ToDec().Quo(quote.Weight.ToDec())
-	ratio := numerator.Quo(denom)
-
+	// spot_price = (Base_supply / Weight_base) / (Quote_supply / Weight_quote)
+	// spot_price = (weight_quote / weight_base) * (base_supply / quote_supply)
+	invWeightRatio := quote.Weight.ToDec().Quo(base.Weight.ToDec())
+	supplyRatio := base.Token.Amount.ToDec().Quo(quote.Token.Amount.ToDec())
+	fullRatio := supplyRatio.Mul(invWeightRatio)
+	ratio := (fullRatio.Mul(types.SigFigs).RoundInt()).ToDec().Quo(types.SigFigs)
 	return ratio, nil
 }
 

diff --git a/x/gamm/pool-models/balancer/amm_test.go b/x/gamm/pool-models/balancer/amm_test.go
@@ -28,16 +28,23 @@ func (suite *KeeperTestSuite) TestBalancerSpotPrice() {
 		{
 			name:                "1:2 ratio",
 			baseDenomPoolInput:  sdk.NewInt64Coin(baseDenom, 100),
-			quoteDenomPoolInput: sdk.NewInt64Coin("foo", 200),
+			quoteDenomPoolInput: sdk.NewInt64Coin(quoteDenom, 200),
 			expectError:         false,
-			expectedOutput:      sdk.MustNewDecFromStr("0.500000000002684355"),
+			expectedOutput:      sdk.MustNewDecFromStr("0.500000000000000000"),
 		},
 		{
 			name:                "2:1 ratio",
 			baseDenomPoolInput:  sdk.NewInt64Coin(baseDenom, 200),
-			quoteDenomPoolInput: sdk.NewInt64Coin("foo", 100),
+			quoteDenomPoolInput: sdk.NewInt64Coin(quoteDenom, 100),
+			expectError:         false,
+			expectedOutput:      sdk.MustNewDecFromStr("2.000000000000000000"),
+		},
+		{
+			name:                "rounding after sigfig ratio",
+			baseDenomPoolInput:  sdk.NewInt64Coin(baseDenom, 220),
+			quoteDenomPoolInput: sdk.NewInt64Coin(quoteDenom, 115),
 			expectError:         false,
-			expectedOutput:      sdk.MustNewDecFromStr("1.999999999989262582"),
+			expectedOutput:      sdk.MustNewDecFromStr("1.913043480000000000"), // ans is 1.913043478260869565, rounded is 1.91304348
 		},
 	}
 

diff --git a/x/gamm/types/constants.go b/x/gamm/types/constants.go
@@ -9,6 +9,9 @@ const (
 	MaxPoolAssets = 8
 
 	OneShareExponent = 18
+	// Raise 10 to the power of SigFigsExponent to determine number of significant figures.
+	// i.e. SigFigExponent = 8 is 10^8 which is 100000000. This gives 8 significant figures.
+	SigFigsExponent = 8
 )
 
 var (
@@ -17,4 +20,7 @@ var (
 
 	// InitPoolSharesSupply is the amount of new shares to initialize a pool with.
 	InitPoolSharesSupply = OneShare.MulRaw(100)
+
+	// SigFigs is the amount of significant figures used to calculate SpotPrice
+	SigFigs = sdk.NewDec(10).Power(SigFigsExponent)
 )
diff --git a/x/pool-incentives/keeper/keeper_test.go b/x/pool-incentives/keeper/keeper_test.go
@@ -93,7 +93,9 @@ func (suite *KeeperTestSuite) prepareBalancerPool() uint64 {
 	suite.Equal(sdk.NewDecWithPrec(15, 1).String(), spotPrice.String())
 	spotPrice, err = suite.app.GAMMKeeper.CalculateSpotPrice(suite.ctx, poolId, "baz", "foo")
 	suite.NoError(err)
-	suite.Equal(sdk.NewDec(1).Quo(sdk.NewDec(3)).String(), spotPrice.String())
+	s := sdk.NewDec(1).Quo(sdk.NewDec(3))
+	sp := s.Mul(gammtypes.SigFigs).RoundInt().ToDec().Quo(gammtypes.SigFigs)
+	suite.Equal(sp.String(), spotPrice.String())
 
 	return poolId
 }