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Merge pull request #3311 from Sifchain/feature/min-swap-fee
Feature/min swap fee
2 parents 74687cc + f1eb044 commit 4fd2524

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‎app/setup_handlers.go

+1-4
Original file line numberDiff line numberDiff line change
@@ -7,14 +7,11 @@ import (
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"github.com/cosmos/cosmos-sdk/x/upgrade/types"
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)
99

10-
const releaseVersion = "1.0-beta.12"
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const releaseVersion = "1.0-beta.13"
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1212
func SetupHandlers(app *SifchainApp) {
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app.UpgradeKeeper.SetUpgradeHandler(releaseVersion, func(ctx sdk.Context, plan types.Plan, vm m.VersionMap) (m.VersionMap, error) {
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app.Logger().Info("Running upgrade handler for " + releaseVersion)
15-
// This is part of the scheduled process , directly doing state transitions here instead to migrating consensus version
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// The following functions fix the state of sifnode caused by unexpected swap behaviour triggered by margin logic.
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return app.mm.RunMigrations(ctx, app.configurator, vm)
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})
2017

‎docs/proposals/min_swap_fees.md

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@@ -0,0 +1,137 @@
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# Minimum swap fees
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This is a proposal to set a minimum swap fee.
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## Current swap behaviour
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Due to ratio shifting the current swap behaviour depends on whether the user is buying or selling Rowan.
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In the following formulas:
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```
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X - input depth (balance + liabilities)
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Y - output depth (balance + liabilities)
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x - input amount
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y - output amount
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r - current ratio shifting running rate
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f - swap fee rate, this must satisfy 0 =< f =< 1
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```
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### Swapping to Rowan:
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```
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y = (1 - f) * x * Y / ((x + X) * (1 + r))
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fee = f * x * Y / ((x + X) * (1 + r))
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```
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Equivalently this can be written as:
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```
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raw_XYK_output = x * Y / (x + X)
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adjusted_output = raw_XYK_output / (1 + r)
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(1) fee = f * adjusted_output
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y = adjusted_output - fee
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```
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### Swapping from Rowan:
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```
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y = (1 - f) * (1 + r) * x * Y / (x + X)
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fee = f * (1 + r) * x * Y / (x + X)
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```
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Similar to the case of swapping to rowan, this can be written as:
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```
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raw_XYK_output = x * Y / (x + X)
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adjusted_output = raw_XYK_output * (1 + r)
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(2) fee = f * adjusted_output
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y = adjusted_output - fee
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```
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## Proposed Change
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Apply a minimum fee when swapping.
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The fee calculation in equation (1) and (2) becomes:
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```
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fee = min(max(f * adjusted_output, min_fee), adjusted_output)
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```
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Where `min_fee` is a minimum fee parameter for the token being bought, which is set via an admin key. See CLI
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section for more details.
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The min function is required to ensure that the fee is not greater than the adjusted output.
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If a `min-fee` has not been set for a token then it defaults to zero.
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## Events
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There are no new events or updates to existing events.
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## CLI
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The CLI option for querying the swap fee rate (`sifnoded q clp swap-fee-rate`) and setting the swap fee
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rate (`sifnoded tx clp set-swap-fee-rate`), must be renamed to `sifnoded q clp swap-fee-params`
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and `sifnoded tx clp set-swap-fee-params` and updated to include the min fee.
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### Setting
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The CLI should validate that the min fees are valid cosmos Uint256.
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```bash
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sifnoded tx clp set-swap-fee-params \
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--from sif \
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--path ./swap-fee-params.json \
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--keyring-backend test \
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--fees 100000000000000000rowan \
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--chain-id localnet \
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-y
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```
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```json
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{
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"swap_fee_rate": "0.003",
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"token_params": [{
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"asset": "ibc/27394FB092D2ECCD56123C74F36E4C1F926001CEADA9CA97EA622B25F41E5EB2",
100+
"min_swap_fee": "12"
101+
},
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{
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"asset": "cusdc",
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"min_swap_fee": "800"
105+
},
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{
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"asset": "rowan",
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"min_swap_fee": "12"
109+
}
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]
111+
}
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```
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### Querying
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```bash
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sifnoded q clp swap-fee-params --output json
118+
```
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```json
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{
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"swap_fee_rate": "0.003000000000000000",
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"token_params": [{
124+
"asset": "ibc/27394FB092D2ECCD56123C74F36E4C1F926001CEADA9CA97EA622B25F41E5EB2",
125+
"min_swap_fee": "12"
126+
},
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{
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"asset": "cusdc",
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"min_swap_fee": "800"
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},
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{
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"asset": "rowan",
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"min_swap_fee": "12"
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}
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]
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}
137+
```

‎docs/tutorials/min_swap_fees.md

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@@ -0,0 +1,174 @@
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# Minimum swap fees
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This tutorial demonstrates the behaviour of the min swap fee functionality
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1. Start and run the chain:
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```bash
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make init
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make run
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```
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2. Create a pool:
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```bash
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sifnoded tx clp create-pool \
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--from sif \
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--keyring-backend test \
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--symbol ceth \
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--nativeAmount 2000000000000000000 \
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--externalAmount 2000000000000000000 \
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--fees 100000000000000000rowan \
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--broadcast-mode block \
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--chain-id localnet \
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-y
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```
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3. Confirm pool has been created:
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```bash
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sifnoded q clp pools --output json | jq
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```
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returns:
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```json
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{
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"pools": [
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{
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"external_asset": {
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"symbol": "ceth"
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},
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"native_asset_balance": "2000000000000000000",
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"external_asset_balance": "2000000000000000000",
44+
"pool_units": "2000000000000000000",
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"swap_price_native": "1.000000000000000000",
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"swap_price_external": "1.000000000000000000",
47+
"reward_period_native_distributed": "0",
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"external_liabilities": "0",
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"external_custody": "0",
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"native_liabilities": "0",
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"native_custody": "0",
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"health": "0.000000000000000000",
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"interest_rate": "0.000000000000000000",
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"last_height_interest_rate_computed": "0",
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"unsettled_external_liabilities": "0",
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"unsettled_native_liabilities": "0",
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"block_interest_native": "0",
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"block_interest_external": "0"
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}
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],
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"clp_module_address": "sif1pjm228rsgwqf23arkx7lm9ypkyma7mzr3y2n85",
62+
"height": "5",
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"pagination": {
64+
"next_key": null,
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"total": "0"
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}
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}
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```
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4. Query the current swap fee params:
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```bash
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sifnoded q clp swap-fee-params --output json | jq
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```
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```json
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{
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"swap_fee_rate": "0.003000000000000000",
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"token_params": []
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}
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```
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5. Set new swap fee params
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```bash
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sifnoded tx clp set-swap-fee-params \
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--from sif \
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--keyring-backend test \
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--chain-id localnet \
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--broadcast-mode block \
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--fees 100000000000000000rowan \
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-y \
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--path <( echo '{
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"swap_fee_rate": "0.003",
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"token_params": [{
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"asset": "ceth",
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"min_swap_fee": "0"
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},
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{
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"asset": "rowan",
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"min_swap_fee": "600000000000"
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}
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]
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}' )
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```
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4. Check swap fee params have been updated:
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```bash
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sifnoded q clp swap-fee-params --output json | jq
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```
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```json
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{
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"swap_fee_rate": "0.003000000000000000",
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"token_params": [
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{
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"asset": "ceth",
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"min_swap_fee": "0"
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},
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{
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"asset": "rowan",
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"min_swap_fee": "600000000000"
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}
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]
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}
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```
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6. Do a swap:
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```bash
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sifnoded tx clp swap \
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--from sif \
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--keyring-backend test \
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--sentSymbol ceth \
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--receivedSymbol rowan \
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--sentAmount 200000000000000 \
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--minReceivingAmount 0 \
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--fees 100000000000000000rowan \
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--chain-id localnet \
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--broadcast-mode block \
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--output json \
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-y | jq '.logs[0].events[] | select(.type=="swap_successful").attributes[] | select(.key=="swap_amount" or .key=="liquidity_fee")'
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```
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Returns:
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```json
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{
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"key": "swap_amount",
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"value": "199380001999800"
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}
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{
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"key": "liquidity_fee",
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"value": "600000000000"
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}
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```
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The fee and swap amount are as expected:
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```
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adjusted_output = x * Y / ((x + X)(1 + r))
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= 200000000000000 * 2000000000000000000 / ((200000000000000 + 2000000000000000000) * (1 + 0))
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= 199980001999800
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fee = min(max(f * adjusted_output, min_swap_fee), adjusted_output)
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= min(max(0.003 * 199980001999800, 600000000000), adjusted_output)
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= min(max(599940005999, 600000000000), 199980001999800)
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= 600000000000
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y = adjusted_amount - fee
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= 199980001999800 - 600000000000
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= 199380001999800
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```

‎proto/sifnode/clp/v1/params.proto

+10-1
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@@ -96,9 +96,18 @@ message ProviderDistributionParams {
9696
repeated ProviderDistributionPeriod distribution_periods = 1;
9797
}
9898

99-
message SwapFeeRate {
99+
message SwapFeeParams {
100100
string swap_fee_rate = 1 [
101101
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
102102
(gogoproto.nullable) = false
103103
];
104+
repeated SwapFeeTokenParams token_params = 2;
105+
}
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107+
message SwapFeeTokenParams {
108+
string asset = 1;
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string min_swap_fee = 2 [
110+
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Uint",
111+
(gogoproto.nullable) = false
112+
];
104113
}

‎proto/sifnode/clp/v1/querier.proto

+4-3
Original file line numberDiff line numberDiff line change
@@ -53,7 +53,7 @@ service Query {
5353
rpc GetProviderDistributionParams(ProviderDistributionParamsReq) returns (ProviderDistributionParamsRes) {
5454
option (google.api.http).get = "/sifchain/clp/v1/provider_distribution_params";
5555
};
56-
rpc GetSwapFeeRate(SwapFeeRateReq) returns (SwapFeeRateRes) {
56+
rpc GetSwapFeeParams(SwapFeeParamsReq) returns (SwapFeeParamsRes) {
5757
option (google.api.http).get = "/sifchain/clp/v1/swap_fee_rate";
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};
5959
}
@@ -193,11 +193,12 @@ message ProviderDistributionParamsRes {
193193
ProviderDistributionParams params = 1;
194194
}
195195

196-
message SwapFeeRateReq {}
196+
message SwapFeeParamsReq {}
197197

198-
message SwapFeeRateRes {
198+
message SwapFeeParamsRes {
199199
string swap_fee_rate = 1 [
200200
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
201201
(gogoproto.nullable) = false
202202
];
203+
repeated SwapFeeTokenParams token_params = 2;
203204
}

‎proto/sifnode/clp/v1/tx.proto

+4-3
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@@ -33,7 +33,7 @@ service Msg {
3333
rpc UpdateLiquidityProtectionParams(MsgUpdateLiquidityProtectionParams) returns (MsgUpdateLiquidityProtectionParamsResponse);
3434
rpc ModifyLiquidityProtectionRates(MsgModifyLiquidityProtectionRates) returns (MsgModifyLiquidityProtectionRatesResponse);
3535
rpc AddProviderDistributionPeriod(MsgAddProviderDistributionPeriodRequest) returns (MsgAddProviderDistributionPeriodResponse);
36-
rpc UpdateSwapFeeRate(MsgUpdateSwapFeeRateRequest) returns (MsgUpdateSwapFeeRateResponse);
36+
rpc UpdateSwapFeeParams(MsgUpdateSwapFeeParamsRequest) returns (MsgUpdateSwapFeeParamsResponse);
3737
}
3838

3939
// message MsgUpdateStakingRewardParams{
@@ -271,12 +271,13 @@ message MsgAddProviderDistributionPeriodRequest {
271271

272272
message MsgAddProviderDistributionPeriodResponse {}
273273

274-
message MsgUpdateSwapFeeRateRequest {
274+
message MsgUpdateSwapFeeParamsRequest {
275275
string signer = 1 [ (gogoproto.moretags) = "yaml:\"signer\"" ];
276276
string swap_fee_rate = 2 [
277277
(gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
278278
(gogoproto.nullable) = false
279279
];
280+
repeated SwapFeeTokenParams token_params = 3;
280281
}
281282

282-
message MsgUpdateSwapFeeRateResponse {}
283+
message MsgUpdateSwapFeeParamsResponse {}

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