fix: price impact for wbtc

CHANGELOG.md

@@ -35,6 +35,10 @@ Ref: https://keepachangelog.com/en/1.0.0/
 
 # Changelog
 
+## v0.11.0
+
+Fix excessive price impact bug. 
+
 ## v0.10.0
 
 * [#108](https://github.com/osmosis-labs/sqs/pull/107) Add code id (omitempty) to /quote route response

router/usecase/optimized_routes_test.go

@@ -579,7 +579,7 @@ func (s *RouterTestSuite) TestGetOptimalQuote_Mainnet() {
 
 			amountIn: osmomath.NewInt(1000_000_000),
 
-			expectedRoutesCount: 3,
+			expectedRoutesCount: 2,
 		},
 		"uosmo for uion": {
 			tokenInDenom:  UOSMO,
@@ -603,7 +603,7 @@ func (s *RouterTestSuite) TestGetOptimalQuote_Mainnet() {
 
 			amountIn: osmomath.NewInt(100_000_000),
 
-			expectedRoutesCount: 2,
+			expectedRoutesCount: 1,
 		},
 		// This test validates that with a greater max routes value, SQS is able to find
 		// the path from umee to stOsmo

router/usecase/quote.go

@@ -65,7 +65,8 @@ func (q *quoteImpl) PrepareResult(ctx context.Context, scalingFactor osmomath.De
 		// Update the spread factor pro-rated by the amount in
 		totalFeeAcrossRoutes.AddMut(routeTotalFee.MulMut(routeAmountInFraction))
 
-		newPools, routeSpotPriceInBaseOutQuote, effectiveSpotPriceInBaseOutQuote, err := curRoute.PrepareResultPools(ctx, q.AmountIn)
+		amountInFraction := q.AmountIn.Amount.ToLegacyDec().MulMut(routeAmountInFraction).TruncateInt()
+		newPools, routeSpotPriceInBaseOutQuote, effectiveSpotPriceInBaseOutQuote, err := curRoute.PrepareResultPools(ctx, sdk.NewCoin(q.AmountIn.Denom, amountInFraction))
 		if err != nil {
 			return nil, osmomath.Dec{}, err
 		}

router/usecase/router_usecase_test.go

@@ -512,9 +512,9 @@ func (s *RouterTestSuite) TestGetOptimalQuote_Cache_Overwrites() {
 		"cache is not set, computes routes": {
 			amountIn: defaultAmountInCache,
 
-			// For the default amount in, we expect pool 1400 to be returned.
+			// For the default amount in, we expect pool 1265 to be returned.
 			// See test description above for details.
-			expectedRoutePoolID: poolID1400Concentrated,
+			expectedRoutePoolID: poolID1265Concentrated,
 		},
 		"cache is set to balancer - overwrites computed": {
 			amountIn: defaultAmountInCache,
@@ -535,8 +535,8 @@ func (s *RouterTestSuite) TestGetOptimalQuote_Cache_Overwrites() {
 			// test execution.
 			cacheExpiryDuration: time.Nanosecond,
 
-			// We expect pool 1400 because the cache with balancer pool expires.
-			expectedRoutePoolID: poolID1400Concentrated,
+			// We expect pool 1265 because the cache with balancer pool expires.
+			expectedRoutePoolID: poolID1265Concentrated,
 		},
 	}
 
@@ -665,6 +665,47 @@ func (s *RouterTestSuite) TestGetCandidateRoutes_Chain_FindUnsupportedRoutes() {
 	s.Require().Zero(zeroPriceCounterNoMinLiq, "There are tokens with no routes even when min osmo liquidity is set to zero")
 }
 
+// We use this test as a way to ensure that we multiply the amount in by the route fraction.
+// We caught a bug in production where for WBTC -> USDC swap the price impact was excessively large.
+// The reason ended up being using a total amount for estimating the execution price.
+// We keep this test to ensure that we don't regress on this.
+// In the future, we should have stricter unit tests for this.
+func (s *RouterTestSuite) TestPriceImpactRoute_Fractions() {
+	viper.SetConfigFile("../../config.json")
+	err := viper.ReadInConfig()
+	s.Require().NoError(err)
+
+	// Unmarshal the config into your Config struct
+	var config domain.Config
+	err = viper.Unmarshal(&config)
+	s.Require().NoError(err)
+
+	// Set up mainnet mock state.
+	router, mainnetState := s.SetupMainnetRouter(*config.Router)
+	mainnetUsecase := s.SetupRouterAndPoolsUsecase(router, mainnetState, cache.New(), cache.New())
+
+	tokenMetadata, err := mainnetUsecase.Tokens.GetFullTokenMetadata(context.Background())
+
+	chainWBTC, err := mainnetUsecase.Tokens.GetChainDenom(context.Background(), "wbtc")
+	s.Require().NoError(err)
+
+	wbtcMetadata, ok := tokenMetadata[chainWBTC]
+	s.Require().True(ok)
+
+	// Get quote.
+	quote, err := mainnetUsecase.Router.GetOptimalQuote(context.Background(), sdk.NewCoin(chainWBTC, osmomath.NewInt(1_00_000_000)), USDC)
+	s.Require().NoError(err)
+
+	// Prepare quote result.
+	_, _, err = quote.PrepareResult(context.Background(), osmomath.NewDec(int64(wbtcMetadata.Precision)))
+
+	priceImpact := quote.GetPriceImpact()
+
+	// 0.07 is chosen arbitrarily with extra buffer because we update test mainnet state frequently and
+	// would like to avoid flakiness.
+	s.Require().True(priceImpact.LT(osmomath.MustNewDecFromStr("0.07")))
+}
+
 // validates that for the given coinIn and tokenOutDenom, there is one route with one pool ID equal to the expectedPoolID.
 // This helper is useful in specific tests that rely on this configuration.
 func (s *RouterTestSuite) validatePoolIDInRoute(routerUseCase mvc.RouterUsecase, coinIn sdk.Coin, tokenOutDenom string, expectedPoolID uint64) {

scripts/quote.sh

@@ -4,12 +4,12 @@ url=$1
 
 # This script compares single hop quotes by running them against SQS and chain directly.
 
-chain_amount_out=$(osmosisd q poolmanager estimate-swap-exact-amount-in 1248 10000000000ibc/D79E7D83AB399BFFF93433E54FAA480C191248FC556924A2A8351AE2638B3877 --swap-route-pool-ids 1248 --swap-route-denoms uosmo --node $url:26657)
+chain_amount_out=$(osmosisd q poolmanager estimate-swap-exact-amount-in 1436 100000000factory/osmo1z0qrq605sjgcqpylfl4aa6s90x738j7m58wyatt0tdzflg2ha26q67k743/wbtc --swap-route-pool-ids 1436 --swap-route-denoms ibc/498A0751C798A0D9A389AA3691123DADA57DAA4FE165D5C75894505B876BA6E4 --node $url:26657)
 
-sqs_custom_res=$(curl "$url/router/custom-quote?tokenIn=10000000000ibc/D79E7D83AB399BFFF93433E54FAA480C191248FC556924A2A8351AE2638B3877&tokenOutDenom=uosmo&poolIDs=1248")
+sqs_custom_res=$(curl "$url:9092/router/custom-direct-quote?tokenIn=100000000factory/osmo1z0qrq605sjgcqpylfl4aa6s90x738j7m58wyatt0tdzflg2ha26q67k743/wbtc&tokenOutDenom=ibc/498A0751C798A0D9A389AA3691123DADA57DAA4FE165D5C75894505B876BA6E4&poolID=1436")
 sqs_custom_amount_out=$(echo $sqs_custom_res | jq .amount_out)
 
-sqs_optimal_res=$(curl "$url/router/quote?tokenIn=10000000000ibc/D79E7D83AB399BFFF93433E54FAA480C191248FC556924A2A8351AE2638B3877&tokenOutDenom=uosmo")
+sqs_optimal_res=$(curl "$url:9092/router/quote?tokenIn=100000000factory/osmo1z0qrq605sjgcqpylfl4aa6s90x738j7m58wyatt0tdzflg2ha26q67k743/wbtc&tokenOutDenom=ibc/498A0751C798A0D9A389AA3691123DADA57DAA4FE165D5C75894505B876BA6E4")
 sqs_optimal_amount_out=$(echo $sqs_optimal_res | jq .amount_out)
 
 echo "chain_amount_out: $chain_amount_out"