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use crate::constants::{BASIS_POINT_MAX, MAX_BASE_FACTOR_STEP, MAX_PROTOCOL_SHARE};
use crate::instructions::update_fee_parameters::FeeParameter;
use crate::{errors::LBError, math::safe_math::SafeMath};
use anchor_lang::prelude::*;
#[zero_copy]
#[derive(InitSpace, Debug)]
/// Parameter that set by the protocol
pub struct StaticParameters {
/// Used for base fee calculation. base_fee_rate = base_factor * bin_step
pub base_factor: u16,
/// Filter period determine high frequency trading time window.
pub filter_period: u16,
/// Decay period determine when the volatile fee start decay / decrease.
pub decay_period: u16,
/// Reduction factor controls the volatile fee rate decrement rate.
pub reduction_factor: u16,
/// Used to scale the variable fee component depending on the dynamic of the market
pub variable_fee_control: u32,
/// Maximum number of bin crossed can be accumulated. Used to cap volatile fee rate.
pub max_volatility_accumulator: u32,
/// Min bin id supported by the pool based on the configured bin step.
pub min_bin_id: i32,
/// Max bin id supported by the pool based on the configured bin step.
pub max_bin_id: i32,
/// Portion of swap fees retained by the protocol by controlling protocol_share parameter. protocol_swap_fee = protocol_share * total_swap_fee
pub protocol_share: u16,
/// Padding for bytemuck safe alignment
pub _padding: [u8; 6],
}
impl StaticParameters {
pub fn update(&mut self, parameter: &FeeParameter) -> Result<()> {
let base_factor_delta = if parameter.base_factor > self.base_factor {
parameter.base_factor.safe_sub(self.base_factor)?
} else {
self.base_factor.safe_sub(parameter.base_factor)?
};
// Fee increment / decrement must <= 100% of the current fee rate
require!(
base_factor_delta <= self.base_factor,
LBError::ExcessiveFeeUpdate
);
// Fee increment / decrement must <= 100 bps, 1%
require!(
base_factor_delta <= MAX_BASE_FACTOR_STEP,
LBError::ExcessiveFeeUpdate
);
// During quote it already capped. Extra safety check.
require!(
parameter.protocol_share <= MAX_PROTOCOL_SHARE,
LBError::ExcessiveFeeUpdate
);
self.protocol_share = parameter.protocol_share;
self.base_factor = parameter.base_factor;
Ok(())
}
#[inline(always)]
#[cfg(not(feature = "localnet"))]
pub fn get_filter_period(&self) -> u16 {
self.filter_period
}
#[inline(always)]
#[cfg(feature = "localnet")]
pub fn get_filter_period(&self) -> u16 {
5
}
#[inline(always)]
#[cfg(not(feature = "localnet"))]
pub fn get_decay_period(&self) -> u16 {
self.decay_period
}
#[inline(always)]
#[cfg(feature = "localnet")]
pub fn get_decay_period(&self) -> u16 {
10
}
}
impl Default for StaticParameters {
/// These value are references from Trader Joe
fn default() -> Self {
Self {
base_factor: 10_000,
filter_period: 30,
decay_period: 600,
reduction_factor: 500,
variable_fee_control: 40_000,
protocol_share: 1_000,
max_volatility_accumulator: 350_000, // Capped at 35 bin crossed. 350_000 / 10_000 (bps unit) = 35 delta bin
_padding: [0u8; 6],
max_bin_id: i32::MAX,
min_bin_id: i32::MIN,
}
}
}
#[zero_copy]
#[derive(InitSpace, Default, Debug)]
/// Parameters that changes based on dynamic of the market
pub struct VariableParameters {
/// Volatility accumulator measure the number of bin crossed since reference bin ID. Normally (without filter period taken into consideration), reference bin ID is the active bin of last swap.
/// It affects the variable fee rate
pub volatility_accumulator: u32,
/// Volatility reference is decayed volatility accumulator. It is always <= volatility_accumulator
pub volatility_reference: u32,
/// Active bin id of last swap.
pub index_reference: i32,
/// Padding for bytemuck safe alignment
pub _padding: [u8; 4],
/// Last timestamp the variable parameters was updated
pub last_update_timestamp: i64,
/// Padding for bytemuck safe alignment
pub _padding_1: [u8; 8],
}
impl VariableParameters {
/// volatility_accumulator = min(volatility_reference + num_of_bin_crossed, max_volatility_accumulator)
pub fn update_volatility_accumulator(
&mut self,
active_id: i32,
static_params: &StaticParameters,
) -> Result<()> {
// Upscale to prevent overflow caused by swapping from left most bin to right most bin.
let delta_id = i64::from(self.index_reference)
.safe_sub(active_id.into())?
.unsigned_abs();
let volatility_accumulator = u64::from(self.volatility_reference)
.safe_add(delta_id.safe_mul(BASIS_POINT_MAX as u64)?)?;
self.volatility_accumulator = std::cmp::min(
volatility_accumulator,
static_params.max_volatility_accumulator.into(),
)
.try_into()
.map_err(|_| LBError::TypeCastFailed)?;
Ok(())
}
/// Update id, and volatility reference
pub fn update_references(
&mut self,
active_id: i32,
current_timestamp: i64,
static_params: &StaticParameters,
) -> Result<()> {
let elapsed = current_timestamp.safe_sub(self.last_update_timestamp)?;
// Not high frequency trade
if elapsed >= static_params.get_filter_period() as i64 {
// Update active id of last transaction
self.index_reference = active_id;
// filter period < t < decay_period. Decay time window.
if elapsed < static_params.get_decay_period() as i64 {
let volatility_reference = self
.volatility_accumulator
.safe_mul(static_params.reduction_factor as u32)?
.safe_div(BASIS_POINT_MAX as u32)?;
self.volatility_reference = volatility_reference;
}
// Out of decay time window
else {
self.volatility_reference = 0;
}
}
// self.last_update_timestamp = current_timestamp;
Ok(())
}
pub fn update_volatility_parameter(
&mut self,
active_id: i32,
current_timestamp: i64,
static_params: &StaticParameters,
) -> Result<()> {
self.update_references(active_id, current_timestamp, static_params)?;
self.update_volatility_accumulator(active_id, static_params)
}
}