tycho-simulation 0.303.2

Provides tools for interacting with protocol states, calculating spot prices, and quoting token swaps.
Documentation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
use std::{collections::HashMap, str::FromStr};

use alloy::primitives::Address;
use serde::{Deserialize, Serialize};
use tycho_common::{
    models::{protocol::GetAmountOutParams, Chain},
    Bytes,
};

use crate::rfq::errors::RFQError;

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct HashflowPriceLevelsResponse {
    pub status: String, // "success" or "fail"
    pub levels: Option<HashMap<String, Vec<HashflowMarketMakerLevels>>>,
    pub error: Option<String>,
}

#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
pub struct HashflowMarketMakerLevels {
    pub pair: HashflowPair,
    pub levels: Vec<HashflowPriceLevel>,
}

#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
pub struct HashflowPair {
    #[serde(rename = "baseToken", deserialize_with = "deserialize_string_to_checksummed_bytes")]
    pub base_token: Bytes,
    #[serde(rename = "quoteToken", deserialize_with = "deserialize_string_to_checksummed_bytes")]
    pub quote_token: Bytes,
}

fn deserialize_string_to_checksummed_bytes<'de, D>(deserializer: D) -> Result<Bytes, D::Error>
where
    D: serde::Deserializer<'de>,
{
    let s = String::deserialize(deserializer)?;
    let address = Address::from_str(&s).map_err(serde::de::Error::custom)?;
    let checksum = address.to_checksum(None);
    let checksum_bytes = Bytes::from_str(&checksum).map_err(serde::de::Error::custom)?;
    Ok(checksum_bytes)
}

#[derive(Debug, Clone, PartialEq, Serialize, Deserialize)]
pub struct HashflowPriceLevel {
    #[serde(
        rename = "q",
        deserialize_with = "deserialize_string_to_f64",
        serialize_with = "serialize_f64_to_string"
    )]
    /// Quantity of tokens that can be traded at this level
    pub quantity: f64,
    #[serde(
        rename = "p",
        deserialize_with = "deserialize_string_to_f64",
        serialize_with = "serialize_f64_to_string"
    )]
    /// Price per token at this level
    pub price: f64,
}

fn deserialize_string_to_f64<'de, D>(deserializer: D) -> Result<f64, D::Error>
where
    D: serde::Deserializer<'de>,
{
    let s = String::deserialize(deserializer)?;
    s.parse()
        .map_err(serde::de::Error::custom)
}

fn serialize_f64_to_string<S>(value: &f64, serializer: S) -> Result<S::Ok, S::Error>
where
    S: serde::Serializer,
{
    serializer.serialize_str(&value.to_string())
}

impl HashflowMarketMakerLevels {
    /// Calculate Total Value Locked (TVL) for this market maker level
    pub fn calculate_tvl(&self) -> f64 {
        self.levels
            .iter()
            .map(|level| level.quantity * level.price)
            .sum()
    }

    /// Calculate quote token amount for trading base tokens using price levels
    ///
    /// NOTE: This method is meant just to be used as an estimate - as it does not
    /// error or return None if there is not enough liquidity to cover base token amount.
    /// This method will only return None if there are absolutely no price levels.
    ///
    /// # Parameters
    /// - `base_token_amount`: The amount of tokens to trade
    ///
    /// # Returns
    /// Estimated price based on available liquidity
    pub fn get_price(&self, base_token_amount: f64) -> Option<f64> {
        // We treat all levels as available liquidity regardless of sell/buy direction
        if self.levels.is_empty() {
            return None;
        }

        let (total_quote_token, remaining_base_token) =
            self.get_amount_out_from_levels(base_token_amount);

        // If we can't fill the whole order (ran out of liquidity), calculate the price based on
        // the amount that we could fill, in order to have at least some price estimate
        Some(total_quote_token / (base_token_amount - remaining_base_token))
    }

    /// Calculates the total token output for a given token input using available price levels.
    ///
    /// Iterates over the price levels, consuming as much liquidity as available at each
    /// price level until the input amount is fully consumed or liquidity runs out.
    ///
    /// # Parameters
    /// - `amount_in`: The amount of base tokens to trade.
    ///
    /// # Returns
    /// A tuple of (amount_out, remaining_amount_in) where:
    /// - `amount_out`: The total quote tokens that can be obtained
    /// - `remaining_amount_in`: Any remaining base tokens that couldn't be filled
    pub fn get_amount_out_from_levels(&self, amount_in: f64) -> (f64, f64) {
        let mut remaining_amount_in = amount_in;
        let mut total_amount_out = 0.0;

        for level in &self.levels {
            if remaining_amount_in <= 0.0 {
                break;
            };

            let amount_to_fill = remaining_amount_in.min(level.quantity);
            total_amount_out += amount_to_fill * level.price;
            remaining_amount_in -= amount_to_fill;
        }

        (total_amount_out, remaining_amount_in)
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct HashflowMarketMakersResponse {
    #[serde(rename = "marketMakers")]
    pub market_makers: Vec<String>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct HashflowQuoteRequest {
    pub source: String,
    #[serde(rename = "baseChain")]
    pub base_chain: HashflowChain,
    #[serde(rename = "quoteChain")]
    pub quote_chain: HashflowChain,
    pub rfqs: Vec<HashflowRFQ>,
    pub calldata: bool,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct HashflowChain {
    #[serde(rename = "chainType")]
    chain_type: String,
    #[serde(rename = "chainId")]
    chain_id: u64,
}

impl From<Chain> for HashflowChain {
    fn from(value: Chain) -> Self {
        HashflowChain { chain_type: "evm".to_string(), chain_id: value.id() }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct HashflowRFQ {
    #[serde(rename = "baseToken")]
    pub base_token: String,
    #[serde(rename = "quoteToken")]
    pub quote_token: String,
    // Decimal amount (e.g. "1000000" for 1 USDT)
    #[serde(rename = "baseTokenAmount")]
    pub base_token_amount: Option<String>,
    // Decimal amount (e.g. "1000000" for 1 USDT)
    #[serde(rename = "quoteTokenAmount", skip_serializing_if = "Option::is_none")]
    pub quote_token_amount: Option<String>,
    pub trader: String,
    #[serde(rename = "effectiveTrader")]
    pub effective_trader: Option<String>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct HashflowQuoteResponse {
    pub status: String,
    pub error: Option<String>,
    #[serde(rename = "rfqId")]
    rfq_id: String,
    #[serde(rename = "internalRfqIds")]
    internal_rfq_ids: Option<Vec<String>>,
    pub quotes: Option<Vec<HashflowQuote>>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct HashflowQuote {
    #[serde(rename = "quoteData")]
    pub quote_data: HashflowQuoteData,
    pub signature: Bytes,
    #[serde(rename = "targetContract")]
    pub target_contract: Option<Bytes>,
    pub value: Option<String>,
}

impl HashflowQuote {
    pub fn validate(&self, params: &GetAmountOutParams) -> Result<(), RFQError> {
        if self.quote_data.base_token != params.token_in {
            return Err(RFQError::FatalError(format!(
                "Base token mismatch: expected {}, got {}",
                params.token_in, self.quote_data.base_token
            )));
        }
        if self.quote_data.quote_token != params.token_out {
            return Err(RFQError::FatalError(format!(
                "Quote token mismatch: expected {}, got {}",
                params.token_out, self.quote_data.quote_token
            )));
        }
        if self.quote_data.trader != params.receiver {
            return Err(RFQError::FatalError(format!(
                "Trader address mismatch: expected {}, got {}",
                params.receiver, self.quote_data.trader
            )));
        }
        if self.quote_data.base_token_amount != params.amount_in.to_string() {
            return Err(RFQError::FatalError(format!(
                "Base token amount mismatch: expected {}, got {}",
                params.amount_in, self.quote_data.base_token_amount
            )));
        }
        Ok(())
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct HashflowQuoteData {
    #[serde(rename = "baseToken")]
    pub base_token: Bytes,
    #[serde(rename = "quoteToken")]
    pub quote_token: Bytes,
    // Decimal amount (e.g. "1000000" for 1 USDT)
    #[serde(rename = "baseTokenAmount")]
    pub base_token_amount: String,
    // Decimal amount (e.g. "1000000" for 1 USDT)
    #[serde(rename = "quoteTokenAmount")]
    pub quote_token_amount: String,
    pub trader: Bytes,
    #[serde(rename = "effectiveTrader")]
    pub effective_trader: Option<Bytes>,
    #[serde(rename = "txid")]
    pub tx_id: Bytes,
    pub pool: Bytes,
    #[serde(rename = "quoteExpiry")]
    pub quote_expiry: u64,
    pub nonce: u64,
    #[serde(rename = "externalAccount")]
    pub external_account: Option<Bytes>,
}

#[cfg(test)]
mod tests {
    use super::*;

    fn hashflow_level() -> HashflowMarketMakerLevels {
        HashflowMarketMakerLevels {
            pair: HashflowPair {
                base_token: Bytes::from_str("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2").unwrap(),
                quote_token: Bytes::from_str("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48").unwrap(),
            },
            levels: vec![
                HashflowPriceLevel { quantity: 1.0, price: 3000.0 },
                HashflowPriceLevel { quantity: 2.0, price: 2999.0 },
            ],
        }
    }

    #[test]
    fn test_market_maker_level_tvl() {
        let mm_level = hashflow_level();

        let tvl = mm_level.calculate_tvl();
        // 1.0 * 3000.0 + 2.0 * 2999.0 = 3000.0 + 5998.0 = 8998.0
        assert_eq!(tvl, 8998.0);
    }

    #[test]
    fn test_get_price() {
        let mm_level = hashflow_level();

        // Test single-level price
        let price = mm_level.get_price(1.0);
        assert_eq!(price, Some(3000.0));

        // Test larger amount spanning multiple levels
        let multi_level_price = mm_level.get_price(2.0);
        // 1.0 * 3000.0 + 1.0 * 2999.0 = 5999.0 total
        // 5999.0 / 2.0 = 2999.5
        assert_eq!(multi_level_price, Some(2999.5));

        // Test empty levels
        let empty_mm_level = HashflowMarketMakerLevels {
            pair: HashflowPair {
                base_token: Bytes::from_str("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2").unwrap(),
                quote_token: Bytes::from_str("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48").unwrap(),
            },
            levels: vec![],
        };
        assert_eq!(empty_mm_level.get_price(1.0), None);
    }

    #[test]
    fn test_get_amount_out_from_levels() {
        let mm_level = hashflow_level();

        // Test exact amount that can be filled with a single level
        let (amount_out, remaining) = mm_level.get_amount_out_from_levels(1.0);
        assert_eq!(amount_out, 3000.0); // 1.0 * 3000.0
        assert_eq!(remaining, 0.0);

        // Test amount spanning multiple levels
        let (amount_out, remaining) = mm_level.get_amount_out_from_levels(2.0);
        assert_eq!(amount_out, 5999.0); // 1.0 * 3000.0 + 1.0 * 2999.0
        assert_eq!(remaining, 0.0);

        // Test amount exceeding available liquidity
        let (amount_out, remaining) = mm_level.get_amount_out_from_levels(5.0);
        assert_eq!(amount_out, 8998.0); // 1.0 * 3000.0 + 2.0 * 2999.0 = 3000.0 + 5998.0
        assert_eq!(remaining, 2.0); // 5.0 - 3.0 (total available)
    }

    #[cfg(test)]
    mod hashflow_quote_validate_tests {
        use num_bigint::BigUint;
        use tycho_common::models::protocol::GetAmountOutParams;

        use super::*;

        fn hex_to_bytes(hex: &str) -> Bytes {
            Bytes::from_str(hex).unwrap()
        }

        fn quote_data() -> HashflowQuoteData {
            HashflowQuoteData {
                base_token: hex_to_bytes("0x1111111111111111111111111111111111111111"),
                quote_token: hex_to_bytes("0x2222222222222222222222222222222222222222"),
                base_token_amount: "1000".to_string(),
                quote_token_amount: "2000".to_string(),
                trader: hex_to_bytes("0x3333333333333333333333333333333333333333"),
                effective_trader: None,
                tx_id: hex_to_bytes("0x4444444444444444444444444444444444444444"),
                pool: hex_to_bytes("0x5555555555555555555555555555555555555555"),
                quote_expiry: 123456,
                nonce: 1,
                external_account: None,
            }
        }

        fn params() -> GetAmountOutParams {
            GetAmountOutParams {
                amount_in: BigUint::from(1000u32),
                token_in: hex_to_bytes("0x1111111111111111111111111111111111111111"),
                token_out: hex_to_bytes("0x2222222222222222222222222222222222222222"),
                sender: hex_to_bytes("0x6666666666666666666666666666666666666666"),
                receiver: hex_to_bytes("0x3333333333333333333333333333333333333333"),
            }
        }

        fn quote() -> HashflowQuote {
            HashflowQuote {
                quote_data: quote_data(),
                signature: hex_to_bytes("0x7777777777777777777777777777777777777777"),
                target_contract: None,
                value: None,
            }
        }

        #[test]
        fn test_validate_success() {
            let quote = quote();
            let params = params();
            assert!(quote.validate(&params).is_ok());
        }

        #[test]
        fn test_validate_base_token_mismatch() {
            let mut quote = quote();
            quote.quote_data.base_token =
                hex_to_bytes("0xdeadbeefdeadbeefdeadbeefdeadbeefdeadbeef");
            let params = params();
            let err = quote.validate(&params).unwrap_err();
            assert!(format!("{err:?}").contains("Base token mismatch"));
        }

        #[test]
        fn test_validate_quote_token_mismatch() {
            let mut quote = quote();
            quote.quote_data.quote_token =
                hex_to_bytes("0xdeadbeefdeadbeefdeadbeefdeadbeefdeadbeef");
            let params = params();
            let err = quote.validate(&params).unwrap_err();
            assert!(format!("{err:?}").contains("Quote token mismatch"));
        }

        #[test]
        fn test_validate_trader_mismatch() {
            let mut quote = quote();
            quote.quote_data.trader = hex_to_bytes("0xabcdefabcdefabcdefabcdefabcdefabcdefabcd");
            let params = params();
            let err = quote.validate(&params).unwrap_err();
            assert!(format!("{err:?}").contains("Trader address mismatch"));
        }

        #[test]
        fn test_validate_base_token_amount_mismatch() {
            let mut quote = quote();
            quote.quote_data.base_token_amount = "9999".to_string();
            let params = params();
            let err = quote.validate(&params).unwrap_err();
            assert!(format!("{err:?}").contains("Base token amount mismatch"));
        }
    }
}