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Fixed max_liquidity bug, and tests that failed to catch it #165

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merged 4 commits into from
Dec 12, 2023
Merged

Fixed max_liquidity bug, and tests that failed to catch it #165

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859a50f
Fixed max_liquidity bug, and tests that failed to catch it
poliwop Dec 11, 2023
bb31e3d
Fixed max_liquidity bug, and tests that failed to catch it
poliwop Dec 12, 2023
98d5cac
Updating test precision
poliwop Dec 12, 2023
6912f41
Fixed add_liquidity test
poliwop Dec 12, 2023
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12 changes: 8 additions & 4 deletions hydradx/model/amm/arbitrage_agent.py
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Original file line number Diff line number Diff line change
Expand Up @@ -35,8 +35,10 @@ def process_next_swap(
if amt != 0:
init_amt = test_agent.holdings[numeraire]
text_dex.swap(test_agent, tkn_buy=tkn, tkn_sell=numeraire, buy_quantity=amt)
amt_in = init_amt - test_agent.holdings[numeraire]
numeraire_holding = test_agent.holdings[numeraire]
amt_in = init_amt - numeraire_holding
test_cex.swap(test_agent, tkn_sell=ob_tkn_pair[0], tkn_buy=ob_tkn_pair[1], sell_quantity=amt)
numeraire_diff = test_agent.holdings[numeraire] - numeraire_holding
swap = {
'dex': {
'trade': 'buy',
Expand All @@ -57,7 +59,7 @@ def process_next_swap(
if tkn in max_liquidity_cex:
max_liquidity_cex[tkn] -= amt
if numeraire in max_liquidity_cex:
max_liquidity_cex[numeraire] += amt_in
max_liquidity_cex[numeraire] += numeraire_diff
if tkn in max_liquidity_dex:
max_liquidity_dex[tkn] += amt
if numeraire in max_liquidity_dex:
Expand All @@ -73,8 +75,10 @@ def process_next_swap(
if amt != 0:
init_amt = test_agent.holdings[numeraire]
text_dex.swap(test_agent, tkn_buy=numeraire, tkn_sell=tkn, sell_quantity=amt)
amt_out = test_agent.holdings[numeraire] - init_amt
numeraire_holding = test_agent.holdings[numeraire]
amt_out = numeraire_holding - init_amt
test_cex.swap(test_agent, tkn_sell=ob_tkn_pair[1], tkn_buy=ob_tkn_pair[0], buy_quantity=amt)
numeraire_diff = test_agent.holdings[numeraire] - numeraire_holding
swap = {
'dex': {
'trade': 'sell',
Expand All @@ -94,7 +98,7 @@ def process_next_swap(
if tkn in max_liquidity_cex:
max_liquidity_cex[tkn] += amt
if numeraire in max_liquidity_cex:
max_liquidity_cex[numeraire] -= amt_out
max_liquidity_cex[numeraire] += numeraire_diff
if tkn in max_liquidity_dex:
max_liquidity_dex[tkn] -= amt
if numeraire in max_liquidity_dex:
Expand Down
40 changes: 29 additions & 11 deletions hydradx/tests/test_arbitrage_agent.py
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Original file line number Diff line number Diff line change
@@ -1,7 +1,10 @@
import copy
from datetime import timedelta
import os
import pytest
from hypothesis import given, strategies as st, settings, Phase
from mpmath import mp, mpf
mp.dps = 50

from hydradx.model.amm.agents import Agent
from hydradx.model.amm.arbitrage_agent import calculate_profit, calculate_arb_amount_bid, calculate_arb_amount_ask, \
Expand Down Expand Up @@ -459,7 +462,8 @@ def test_process_next_swap(
trade_fee=cex_fee
)

agent = Agent(holdings={'USDT': 1000000000, 'DOT': 1000000000, 'HDX': 1000000000}, unique_id='bot')
holdings = {'USDT': mpf(1000000000), 'DOT': mpf(1000000000), 'HDX': mpf(1000000000)}
agent = Agent(holdings=holdings, unique_id='bot')

test_state = op_state.copy()
test_agent = agent.copy()
Expand All @@ -475,7 +479,25 @@ def test_process_next_swap(
tkn_pair = ('DOT', 'USDT')

swap = process_next_swap(test_state, test_agent, test_cex, tkn_pair, tkn_pair, buffer, max_liquidity['dex'], max_liquidity['kraken'], iters)

if swap:

diff_dex = {
'DOT': test_state.liquidity['DOT'] - op_state.liquidity['DOT'],
'USDT': test_state.liquidity['USDT'] - op_state.liquidity['USDT']
}

diff_agent = {
'DOT': test_agent.holdings['DOT'] - agent.holdings['DOT'],
'USDT': test_agent.holdings['USDT'] - agent.holdings['USDT']
}

diff_cex = {
'DOT': -diff_agent['DOT'] - diff_dex['DOT'],
'USDT': -diff_agent['USDT'] - diff_dex['USDT'],
'HDX': 0
}

cex_swap, dex_swap = swap['cex'], swap['dex']
dex_spot = op_state.price(op_state, 'DOT', 'USDT')
if cex_swap['buy_asset'] != dex_swap['sell_asset'] or cex_swap['sell_asset'] != dex_swap['buy_asset']:
Expand All @@ -501,26 +523,22 @@ def test_process_next_swap(
swap['exchange'] = 'exchange_name'

arb_swaps = [swap]

initial_agent = Agent(holdings={'USDT': 1000000000, 'DOT': 1000000000, 'HDX': 1000000000}, unique_id='bot')
holdings = {'USDT': mpf(1000000000), 'DOT': mpf(1000000000), 'HDX': mpf(1000000000)}
initial_agent = Agent(holdings=holdings, unique_id='bot')
agent = initial_agent.copy()

execute_arb(op_state, {'exchange_name': cex}, agent, arb_swaps)

profit = calculate_profit(initial_agent, agent)
for tkn in profit:
if profit[tkn] / initial_agent.holdings[tkn] < -1e-10:
raise

for tkn in op_state.asset_list:
if tkn in max_liquidity:
if test_state.liquidity[tkn] - op_state.liquidity[tkn] != init_max_liquidity['dex'][tkn] - \
max_liquidity['dex'][tkn]:
if tkn in max_liquidity['dex']:
if test_state.liquidity[tkn] - op_state.liquidity[tkn] != pytest.approx(init_max_liquidity['dex'][tkn] - max_liquidity['dex'][tkn], 1e-10):
raise
for tkn in cex.asset_list:
if tkn in max_liquidity:
if test_cex.liquidity[tkn] - cex.liquidity[tkn] != init_max_liquidity['cex'][tkn] - \
max_liquidity['cex'][tkn]:
if tkn in max_liquidity['kraken']:
if diff_cex[tkn] != pytest.approx(init_max_liquidity['kraken'][tkn] - max_liquidity['kraken'][tkn], 1e-10):
raise


Expand Down
41 changes: 21 additions & 20 deletions hydradx/tests/test_omnipool_amm.py
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Original file line number Diff line number Diff line change
Expand Up @@ -124,26 +124,27 @@ def test_add_liquidity(initial_state: oamm.OmnipoolState):
for i in initial_state.asset_list:
initial_state.weight_cap[i] = min(initial_state.lrna[i] / initial_state.lrna_total * 1.1, 1)

# calculate what should be the maximum allowable liquidity provision
max_amount = ((old_state.weight_cap[i] / (1 - old_state.weight_cap[i])
* old_state.lrna_total - old_state.lrna[i] / (1 - old_state.weight_cap[i]))
/ oamm.lrna_price(old_state, i))

if max_amount < 0:
raise AssertionError('This calculation makes no sense.') # but actually, it works :)

# make sure agent has enough funds
old_agent.holdings[i] = max_amount * 2
# eliminate general tvl cap, so we can test just the weight cap
old_state.tvl_cap = float('inf')

# try one just above and just below the maximum allowable amount
illegal_state, illegal_agents = oamm.simulate_add_liquidity(old_state, old_agent, max_amount * 1.0000001, i)
if not illegal_state.fail:
raise AssertionError(f'illegal transaction passed against weight limit in {i}')
legal_state, legal_agents = oamm.simulate_add_liquidity(old_state, old_agent, max_amount * 0.9999999, i)
if legal_state.fail:
raise AssertionError(f'legal transaction failed against weight limit in {i} ({new_state.fail})')
if old_state.weight_cap[i] < 1:
# calculate what should be the maximum allowable liquidity provision
max_amount = ((old_state.weight_cap[i] / (1 - old_state.weight_cap[i])
* old_state.lrna_total - old_state.lrna[i] / (1 - old_state.weight_cap[i]))
/ oamm.lrna_price(old_state, i))

if max_amount < 0:
raise AssertionError('This calculation makes no sense.') # but actually, it works :)

# make sure agent has enough funds
old_agent.holdings[i] = max_amount * 2
# eliminate general tvl cap, so we can test just the weight cap
old_state.tvl_cap = float('inf')

# try one just above and just below the maximum allowable amount
illegal_state, illegal_agents = oamm.simulate_add_liquidity(old_state, old_agent, max_amount * 1.0000001, i)
if not illegal_state.fail:
raise AssertionError(f'illegal transaction passed against weight limit in {i}')
legal_state, legal_agents = oamm.simulate_add_liquidity(old_state, old_agent, max_amount * 0.9999999, i)
if legal_state.fail:
raise AssertionError(f'legal transaction failed against weight limit in {i} ({new_state.fail})')


@settings(max_examples=1)
Expand Down