use std::{any::Any, collections::HashMap};
use alloy::primitives::{Sign, I256, U256};
use num_bigint::BigUint;
use num_traits::Zero;
use serde::{Deserialize, Serialize};
use tracing::trace;
use tycho_common::{
dto::ProtocolStateDelta,
models::token::Token,
simulation::{
errors::{SimulationError, TransitionError},
protocol_sim::{
Balances, GetAmountOutResult, PoolSwap, Price, ProtocolSim, QueryPoolSwapParams,
SwapConstraint,
},
},
Bytes,
};
use crate::evm::{
protocol::{
clmm::clmm_swap_to_price,
safe_math::{safe_add_u256, safe_sub_u256},
u256_num::u256_to_biguint,
utils::{
slipstreams::{dynamic_fee_module::ZERO_FEE_INDICATOR, raw_target_price},
uniswap::{
liquidity_math,
sqrt_price_math::{get_amount0_delta, get_amount1_delta, sqrt_price_q96_to_f64},
swap_math,
tick_list::{TickInfo, TickList, TickListErrorKind},
tick_math::{
get_sqrt_ratio_at_tick, get_tick_at_sqrt_ratio, MAX_SQRT_RATIO, MAX_TICK,
MIN_SQRT_RATIO, MIN_TICK,
},
StepComputation, SwapResults, SwapState,
},
},
},
query_pool_swap::price_to_f64_with_decimals,
};
const GAS_PER_TICK: u64 = 25_000;
const GAS_PER_LOOP: u64 = 10_000;
#[derive(Clone, Debug, PartialEq, Eq, Serialize, Deserialize)]
pub struct VelodromeSlipstreamsState {
liquidity: u128,
sqrt_price: U256,
default_fee: u32,
custom_fee: u32,
tick_spacing: i32,
tick: i32,
ticks: TickList,
}
impl VelodromeSlipstreamsState {
#[allow(clippy::too_many_arguments)]
pub fn new(
liquidity: u128,
sqrt_price: U256,
default_fee: u32,
custom_fee: u32,
tick_spacing: i32,
tick: i32,
ticks: Vec<TickInfo>,
) -> Result<Self, SimulationError> {
let tick_list = TickList::from(tick_spacing as u16, ticks)?;
Ok(VelodromeSlipstreamsState {
liquidity,
sqrt_price,
default_fee,
custom_fee,
tick_spacing,
tick,
ticks: tick_list,
})
}
fn get_fee(&self) -> u32 {
match self.custom_fee {
0 => self.default_fee,
ZERO_FEE_INDICATOR => 0,
custom_fee => custom_fee,
}
}
fn swap_to_target_price(
&self,
params: &QueryPoolSwapParams,
target: &Price,
tolerance: f64,
) -> Result<PoolSwap, SimulationError> {
let token_in = params.token_in();
let token_out = params.token_out();
let target_f64 = price_to_f64_with_decimals(target, token_in.decimals, token_out.decimals)?;
if target_f64 == self.spot_price(token_in, token_out)? {
return Ok(PoolSwap::new(BigUint::ZERO, BigUint::ZERO, Box::new(self.clone()), None));
}
let Some(limit) = raw_target_price(target, tolerance, 0) else {
return crate::evm::query_pool_swap::query_pool_swap(self, params);
};
let Ok((amount_in, amount_out, result)) = clmm_swap_to_price(
self.sqrt_price,
&token_in.address,
&token_out.address,
&limit,
0,
Sign::Positive,
|zero_for_one, amount_specified, sqrt_price_limit| {
self.swap(zero_for_one, amount_specified, Some(sqrt_price_limit))
},
) else {
return crate::evm::query_pool_swap::query_pool_swap(self, params);
};
let mut new_state = self.clone();
if !amount_in.is_zero() {
new_state.liquidity = result.liquidity;
new_state.tick = result.tick;
new_state.sqrt_price = result.sqrt_price;
}
let final_spot = new_state.spot_price(token_in, token_out)?;
if final_spot < target_f64 || final_spot > target_f64 * (1.0 + tolerance) {
return crate::evm::query_pool_swap::query_pool_swap(self, params);
}
Ok(PoolSwap::new(amount_in, amount_out, Box::new(new_state), None))
}
fn swap(
&self,
zero_for_one: bool,
amount_specified: I256,
sqrt_price_limit: Option<U256>,
) -> Result<SwapResults, SimulationError> {
if self.liquidity == 0 {
return Err(SimulationError::RecoverableError("No liquidity".to_string()));
}
let price_limit = if let Some(limit) = sqrt_price_limit {
limit
} else if zero_for_one {
safe_add_u256(MIN_SQRT_RATIO, U256::from(1u64))?
} else {
safe_sub_u256(MAX_SQRT_RATIO, U256::from(1u64))?
};
let price_limit_valid = if zero_for_one {
price_limit > MIN_SQRT_RATIO && price_limit < self.sqrt_price
} else {
price_limit < MAX_SQRT_RATIO && price_limit > self.sqrt_price
};
if !price_limit_valid {
return Err(SimulationError::InvalidInput("Price limit out of range".into(), None));
}
let exact_input = amount_specified > I256::from_raw(U256::from(0u64));
let mut state = SwapState {
amount_remaining: amount_specified,
amount_calculated: I256::from_raw(U256::from(0u64)),
sqrt_price: self.sqrt_price,
tick: self.tick,
liquidity: self.liquidity,
};
let mut gas_used = U256::from(130_000);
let fee = self.get_fee();
while state.amount_remaining != I256::from_raw(U256::from(0u64)) &&
state.sqrt_price != price_limit
{
let (mut next_tick, initialized) = match self
.ticks
.next_initialized_tick_within_one_word(state.tick, zero_for_one)
{
Ok((tick, init)) => (tick, init),
Err(tick_err) => match tick_err.kind {
TickListErrorKind::TicksExeeded => {
let mut new_state = self.clone();
new_state.liquidity = state.liquidity;
new_state.tick = state.tick;
new_state.sqrt_price = state.sqrt_price;
return Err(SimulationError::InvalidInput(
"Ticks exceeded".into(),
Some(GetAmountOutResult::new(
u256_to_biguint(state.amount_calculated.abs().into_raw()),
u256_to_biguint(gas_used),
Box::new(new_state),
)),
));
}
_ => return Err(SimulationError::FatalError("Unknown error".to_string())),
},
};
next_tick = next_tick.clamp(MIN_TICK, MAX_TICK);
let sqrt_price_start = state.sqrt_price;
let sqrt_price_next = get_sqrt_ratio_at_tick(next_tick)?;
let (sqrt_price, amount_in, amount_out, fee_amount) = swap_math::compute_swap_step(
state.sqrt_price,
VelodromeSlipstreamsState::get_sqrt_ratio_target(
sqrt_price_next,
price_limit,
zero_for_one,
),
state.liquidity,
state.amount_remaining,
fee,
)?;
state.sqrt_price = sqrt_price;
let step = StepComputation {
sqrt_price_start,
tick_next: next_tick,
initialized,
sqrt_price_next,
amount_in,
amount_out,
fee_amount,
};
if exact_input {
state.amount_remaining -= I256::checked_from_sign_and_abs(
Sign::Positive,
safe_add_u256(step.amount_in, step.fee_amount)?,
)
.unwrap();
state.amount_calculated -=
I256::checked_from_sign_and_abs(Sign::Positive, step.amount_out).unwrap();
} else {
state.amount_remaining +=
I256::checked_from_sign_and_abs(Sign::Positive, step.amount_out).unwrap();
state.amount_calculated += I256::checked_from_sign_and_abs(
Sign::Positive,
safe_add_u256(step.amount_in, step.fee_amount)?,
)
.unwrap();
}
if state.sqrt_price == step.sqrt_price_next {
if step.initialized {
let liquidity_raw = self
.ticks
.get_tick(step.tick_next)
.unwrap()
.net_liquidity;
let liquidity_net = if zero_for_one { -liquidity_raw } else { liquidity_raw };
state.liquidity =
liquidity_math::add_liquidity_delta(state.liquidity, liquidity_net)?;
gas_used = safe_add_u256(gas_used, U256::from(GAS_PER_TICK))?;
}
state.tick = if zero_for_one { step.tick_next - 1 } else { step.tick_next };
} else if state.sqrt_price != step.sqrt_price_start {
state.tick = get_tick_at_sqrt_ratio(state.sqrt_price)?;
}
gas_used = safe_add_u256(gas_used, U256::from(GAS_PER_LOOP))?;
}
Ok(SwapResults {
amount_calculated: state.amount_calculated,
amount_specified,
amount_remaining: state.amount_remaining,
sqrt_price: state.sqrt_price,
liquidity: state.liquidity,
tick: state.tick,
gas_used,
})
}
fn get_sqrt_ratio_target(
sqrt_price_next: U256,
sqrt_price_limit: U256,
zero_for_one: bool,
) -> U256 {
let cond1 = if zero_for_one {
sqrt_price_next < sqrt_price_limit
} else {
sqrt_price_next > sqrt_price_limit
};
if cond1 {
sqrt_price_limit
} else {
sqrt_price_next
}
}
}
#[typetag::serde]
impl ProtocolSim for VelodromeSlipstreamsState {
fn fee(&self) -> f64 {
self.get_fee() as f64 / 1_000_000.0
}
fn spot_price(&self, a: &Token, b: &Token) -> Result<f64, SimulationError> {
if a < b {
sqrt_price_q96_to_f64(self.sqrt_price, a.decimals, b.decimals)
} else {
sqrt_price_q96_to_f64(self.sqrt_price, b.decimals, a.decimals)
.map(|price| 1.0f64 / price)
}
}
fn get_amount_out(
&self,
amount_in: BigUint,
token_a: &Token,
token_b: &Token,
) -> Result<GetAmountOutResult, SimulationError> {
let zero_for_one = token_a < token_b;
let amount_specified = I256::checked_from_sign_and_abs(
Sign::Positive,
U256::from_be_slice(&amount_in.to_bytes_be()),
)
.ok_or_else(|| {
SimulationError::InvalidInput("I256 overflow: amount_in".to_string(), None)
})?;
let result = self.swap(zero_for_one, amount_specified, None)?;
trace!(?amount_in, ?token_a, ?token_b, ?zero_for_one, ?result, "SLIPSTREAMS SWAP");
let mut new_state = self.clone();
new_state.liquidity = result.liquidity;
new_state.tick = result.tick;
new_state.sqrt_price = result.sqrt_price;
Ok(GetAmountOutResult::new(
u256_to_biguint(
result
.amount_calculated
.abs()
.into_raw(),
),
u256_to_biguint(result.gas_used),
Box::new(new_state),
))
}
fn get_limits(
&self,
token_in: Bytes,
token_out: Bytes,
) -> Result<(BigUint, BigUint), SimulationError> {
if self.liquidity == 0 {
return Ok((BigUint::zero(), BigUint::zero()));
}
let zero_for_one = token_in < token_out;
let mut current_tick = self.tick;
let mut current_sqrt_price = self.sqrt_price;
let mut current_liquidity = self.liquidity;
let mut total_amount_in = U256::from(0u64);
let mut total_amount_out = U256::from(0u64);
while let Ok((tick, initialized)) = self
.ticks
.next_initialized_tick_within_one_word(current_tick, zero_for_one)
{
let next_tick = tick.clamp(MIN_TICK, MAX_TICK);
let sqrt_price_next = get_sqrt_ratio_at_tick(next_tick)?;
let (amount_in, amount_out) = if zero_for_one {
let amount0 = get_amount0_delta(
sqrt_price_next,
current_sqrt_price,
current_liquidity,
true,
)?;
let amount1 = get_amount1_delta(
sqrt_price_next,
current_sqrt_price,
current_liquidity,
false,
)?;
(amount0, amount1)
} else {
let amount0 = get_amount0_delta(
sqrt_price_next,
current_sqrt_price,
current_liquidity,
false,
)?;
let amount1 = get_amount1_delta(
sqrt_price_next,
current_sqrt_price,
current_liquidity,
true,
)?;
(amount1, amount0)
};
total_amount_in = safe_add_u256(total_amount_in, amount_in)?;
total_amount_out = safe_add_u256(total_amount_out, amount_out)?;
if initialized {
let liquidity_raw = self
.ticks
.get_tick(next_tick)
.unwrap()
.net_liquidity;
let liquidity_delta = if zero_for_one { -liquidity_raw } else { liquidity_raw };
current_liquidity =
liquidity_math::add_liquidity_delta(current_liquidity, liquidity_delta)?;
}
current_tick = if zero_for_one { next_tick - 1 } else { next_tick };
current_sqrt_price = sqrt_price_next;
}
Ok((u256_to_biguint(total_amount_in), u256_to_biguint(total_amount_out)))
}
fn delta_transition(
&mut self,
delta: ProtocolStateDelta,
_tokens: &HashMap<Bytes, Token>,
_balances: &Balances,
) -> Result<(), TransitionError> {
if let Some(liquidity) = delta
.updated_attributes
.get("liquidity")
{
self.liquidity = u128::from(liquidity.clone());
}
if let Some(sqrt_price) = delta
.updated_attributes
.get("sqrt_price_x96")
{
self.sqrt_price = U256::from_be_slice(sqrt_price);
}
if let Some(default_fee) = delta
.updated_attributes
.get("default_fee")
{
self.default_fee = u32::from(default_fee.clone());
}
if let Some(custom_fee) = delta
.updated_attributes
.get("custom_fee")
{
self.custom_fee = u32::from(custom_fee.clone());
}
if let Some(tick) = delta.updated_attributes.get("tick") {
self.tick = i32::from(tick.clone());
}
for (key, value) in delta.updated_attributes.iter() {
if key.starts_with("ticks/") {
let parts: Vec<&str> = key.split('/').collect();
self.ticks
.set_tick_liquidity(
parts[1]
.parse::<i32>()
.map_err(|err| TransitionError::DecodeError(err.to_string()))?,
i128::from(value.clone()),
)
.map_err(|err| TransitionError::DecodeError(err.to_string()))?;
}
}
for key in delta.deleted_attributes.iter() {
if key.starts_with("ticks/") {
let parts: Vec<&str> = key.split('/').collect();
self.ticks
.set_tick_liquidity(
parts[1]
.parse::<i32>()
.map_err(|err| TransitionError::DecodeError(err.to_string()))?,
0,
)
.map_err(|err| TransitionError::DecodeError(err.to_string()))?;
}
}
Ok(())
}
fn query_pool_swap(&self, params: &QueryPoolSwapParams) -> Result<PoolSwap, SimulationError> {
match params.swap_constraint() {
SwapConstraint::TradeLimitPrice { .. } => {
crate::evm::query_pool_swap::query_pool_swap(self, params)
}
SwapConstraint::PoolTargetPrice {
target,
tolerance,
min_amount_in: _,
max_amount_in: _,
} => self.swap_to_target_price(params, target, *tolerance),
}
}
fn clone_box(&self) -> Box<dyn ProtocolSim> {
Box::new(self.clone())
}
fn as_any(&self) -> &dyn Any {
self
}
fn as_any_mut(&mut self) -> &mut dyn Any {
self
}
fn eq(&self, other: &dyn ProtocolSim) -> bool {
if let Some(other_state) = other
.as_any()
.downcast_ref::<VelodromeSlipstreamsState>()
{
self.liquidity == other_state.liquidity &&
self.sqrt_price == other_state.sqrt_price &&
self.get_fee() == other_state.get_fee() &&
self.tick == other_state.tick &&
self.ticks == other_state.ticks
} else {
false
}
}
}
#[cfg(test)]
mod tests {
use alloy::primitives::{Sign, I256, U256};
use rstest::rstest;
use tycho_common::{models::Chain, simulation::errors::SimulationError};
use super::*;
use crate::evm::{
protocol::utils::uniswap::{
tick_list::TickInfo,
tick_math::{
get_sqrt_ratio_at_tick, get_tick_at_sqrt_ratio, MAX_SQRT_RATIO, MIN_SQRT_RATIO,
MIN_TICK,
},
},
query_pool_swap::test_helpers::{target_price_params, to_price},
};
fn create_basic_test_pool() -> VelodromeSlipstreamsState {
let sqrt_price = get_sqrt_ratio_at_tick(0).expect("Failed to calculate sqrt price");
let ticks = vec![TickInfo::new(-120, 0).unwrap(), TickInfo::new(120, 0).unwrap()];
VelodromeSlipstreamsState::new(
100_000_000_000_000_000_000u128,
sqrt_price,
3000,
0,
1,
0,
ticks,
)
.expect("Failed to create pool")
}
#[rstest]
#[case::no_custom_fee(0, 0.003)]
#[case::zero_fee_indicator(420, 0.0)]
#[case::custom_fee(500, 0.0005)]
fn test_fee_resolves_custom_fee(#[case] custom_fee: u32, #[case] expected: f64) {
let sqrt_price = get_sqrt_ratio_at_tick(0).unwrap();
let ticks = vec![TickInfo::new(-120, 0).unwrap(), TickInfo::new(120, 0).unwrap()];
let pool = VelodromeSlipstreamsState::new(
10u128.pow(20),
sqrt_price,
3000,
custom_fee,
1,
0,
ticks,
)
.unwrap();
assert_eq!(pool.fee(), expected);
}
#[test]
fn test_partial_step_updates_tick_when_price_moves_without_crossing_initialized_tick() {
let pool = create_basic_test_pool();
let amount =
I256::checked_from_sign_and_abs(Sign::Positive, U256::from(100_000_000_000_000_000u64))
.unwrap();
let result = pool
.swap(true, amount, None)
.expect("swap should stay within the current liquidity range");
let expected_tick =
get_tick_at_sqrt_ratio(result.sqrt_price).expect("new sqrt price should map to a tick");
assert_ne!(result.sqrt_price, pool.sqrt_price);
assert_ne!(result.sqrt_price, get_sqrt_ratio_at_tick(-120).unwrap());
assert_ne!(expected_tick, pool.tick);
assert_eq!(result.tick, expected_tick);
}
#[test]
fn test_swap_keeps_boundary_tick_when_price_does_not_move() {
let mut pool = create_basic_test_pool();
pool.tick = -1;
let amount = I256::checked_from_sign_and_abs(Sign::Positive, U256::from(1u64)).unwrap();
let result = pool
.swap(true, amount, None)
.expect("swap should consume the input as fee without moving price");
assert_eq!(result.sqrt_price, pool.sqrt_price);
assert_eq!(get_tick_at_sqrt_ratio(result.sqrt_price).unwrap(), 0);
assert_eq!(result.tick, pool.tick);
}
#[test]
fn test_swap_price_limit_out_of_range_returns_error() {
let pool = create_basic_test_pool();
let amount = I256::checked_from_sign_and_abs(Sign::Positive, U256::from(1000u64)).unwrap();
let result = pool.swap(true, amount, Some(pool.sqrt_price));
assert!(matches!(result, Err(SimulationError::InvalidInput(_, None))));
let result = pool.swap(true, amount, Some(MIN_SQRT_RATIO));
assert!(matches!(result, Err(SimulationError::InvalidInput(_, None))));
let result = pool.swap(false, amount, Some(pool.sqrt_price));
assert!(matches!(result, Err(SimulationError::InvalidInput(_, None))));
let result = pool.swap(false, amount, Some(MAX_SQRT_RATIO));
assert!(matches!(result, Err(SimulationError::InvalidInput(_, None))));
}
#[test]
fn test_swap_at_extreme_price_returns_error() {
let sqrt_price = MIN_SQRT_RATIO + U256::from(1u64);
let tick = get_tick_at_sqrt_ratio(sqrt_price).expect("Failed to calculate tick");
let ticks =
vec![TickInfo::new(MIN_TICK, 0).unwrap(), TickInfo::new(MIN_TICK + 1, 0).unwrap()];
let pool = VelodromeSlipstreamsState::new(
100_000_000_000_000_000_000u128,
sqrt_price,
3000,
0,
1,
tick,
ticks,
)
.expect("Failed to create pool");
let amount = I256::checked_from_sign_and_abs(Sign::Positive, U256::from(1000u64)).unwrap();
let result = pool.swap(true, amount, None);
assert!(matches!(result, Err(SimulationError::InvalidInput(_, None))));
}
fn token_pair() -> (Token, Token) {
let token_x = Token::new(&Bytes::from([0x01; 20]), "X", 18, 0, &[], Chain::Ethereum, 100);
let token_y = Token::new(&Bytes::from([0x02; 20]), "Y", 18, 0, &[], Chain::Ethereum, 100);
(token_x, token_y)
}
#[rstest]
fn test_query_pool_swap_target_price_lands_in_band(#[values(true, false)] sell_x: bool) {
let pool = create_basic_test_pool();
let (token_x, token_y) = token_pair();
let (token_in, token_out) =
if sell_x { (&token_x, &token_y) } else { (&token_y, &token_x) };
let target = 0.995;
let tolerance = 1e-4;
let params = target_price_params(
token_in,
token_out,
to_price(target, token_in, token_out),
tolerance,
);
let swap = pool.query_pool_swap(¶ms).unwrap();
let new_spot = swap
.new_state()
.spot_price(token_in, token_out)
.unwrap();
assert!(new_spot >= target && new_spot <= target * (1.0 + tolerance), "spot {new_spot}");
assert!(swap.price_points().is_none(), "the native path returns no price points");
let quote = pool
.get_amount_out(swap.amount_in().clone(), token_in, token_out)
.unwrap();
assert_eq!("e.amount, swap.amount_out());
}
#[test]
fn test_query_pool_swap_target_price_falls_back_to_search() {
let pool = create_basic_test_pool();
let (token_x, token_y) = token_pair();
let params =
target_price_params(&token_x, &token_y, to_price(1.0 - 1e-5, &token_x, &token_y), 1e-4);
let swap = pool.query_pool_swap(¶ms).unwrap();
assert!(swap.price_points().is_some(), "the numerical search returns price points");
}
#[test]
fn test_query_pool_swap_target_price_out_of_reach_falls_back_to_search() {
let sqrt_price = get_sqrt_ratio_at_tick(0).unwrap();
let ticks = vec![TickInfo::new(MIN_TICK, 0).unwrap(), TickInfo::new(-MIN_TICK, 0).unwrap()];
let pool =
VelodromeSlipstreamsState::new(u128::MAX, sqrt_price, 3000, 0, 1, 0, ticks).unwrap();
let (token_x, token_y) = token_pair();
let target = Price::new(BigUint::from(1u8), BigUint::from(1u8) << 100usize);
let target_f64 = 2f64.powi(-100);
let tolerance = 1e-4;
let params = target_price_params(&token_x, &token_y, target, tolerance);
let swap = pool.query_pool_swap(¶ms).unwrap();
let new_spot = swap
.new_state()
.spot_price(&token_x, &token_y)
.unwrap();
assert!(
new_spot >= target_f64 && new_spot <= target_f64 * (1.0 + tolerance),
"spot {new_spot} is outside the band of target {target_f64}"
);
assert!(swap.price_points().is_some(), "the numerical search returns price points");
}
#[test]
fn test_query_pool_swap_target_price_at_spot() {
let pool = create_basic_test_pool();
let (token_x, token_y) = token_pair();
let params = target_price_params(
&token_x,
&token_y,
Price::new(BigUint::from(1u64), BigUint::from(1u64)),
1e-4,
);
let swap = pool.query_pool_swap(¶ms).unwrap();
assert!(swap.amount_in().is_zero());
assert!(swap.amount_out().is_zero());
assert!(swap.new_state().eq(&pool));
}
#[test]
fn test_query_pool_swap_target_price_above_spot() {
let pool = create_basic_test_pool();
let (token_x, token_y) = token_pair();
let params =
target_price_params(&token_x, &token_y, to_price(1.01, &token_x, &token_y), 1e-4);
let result = pool.query_pool_swap(¶ms);
assert!(matches!(result, Err(SimulationError::InvalidInput(..))), "got {result:?}");
}
}