589 lines
18 KiB
TypeScript
589 lines
18 KiB
TypeScript
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import { Decimal } from 'decimal.js'
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import { BigNumber, BigNumberish, ContractTransaction, Wallet } from 'ethers'
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import { ethers, waffle } from 'hardhat'
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import { MockTimeUniswapV3Pool } from '../typechain/MockTimeUniswapV3Pool'
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import { TestERC20 } from '../typechain/TestERC20'
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import { TestUniswapV3Callee } from '../typechain/TestUniswapV3Callee'
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import { expect } from './shared/expect'
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import { poolFixture } from './shared/fixtures'
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import { formatPrice, formatTokenAmount } from './shared/format'
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import {
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createPoolFunctions,
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encodePriceSqrt,
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expandTo18Decimals,
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FeeAmount,
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getMaxLiquidityPerTick,
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getMaxTick,
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getMinTick,
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MAX_SQRT_RATIO,
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MaxUint128,
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MIN_SQRT_RATIO,
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TICK_SPACINGS,
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} from './shared/utilities'
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Decimal.config({ toExpNeg: -500, toExpPos: 500 })
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const createFixtureLoader = waffle.createFixtureLoader
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const { constants } = ethers
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interface BaseSwapTestCase {
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zeroForOne: boolean
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sqrtPriceLimit?: BigNumber
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}
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interface SwapExact0For1TestCase extends BaseSwapTestCase {
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zeroForOne: true
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exactOut: false
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amount0: BigNumberish
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sqrtPriceLimit?: BigNumber
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}
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interface SwapExact1For0TestCase extends BaseSwapTestCase {
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zeroForOne: false
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exactOut: false
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amount1: BigNumberish
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sqrtPriceLimit?: BigNumber
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}
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interface Swap0ForExact1TestCase extends BaseSwapTestCase {
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zeroForOne: true
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exactOut: true
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amount1: BigNumberish
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sqrtPriceLimit?: BigNumber
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}
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interface Swap1ForExact0TestCase extends BaseSwapTestCase {
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zeroForOne: false
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exactOut: true
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amount0: BigNumberish
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sqrtPriceLimit?: BigNumber
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}
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interface SwapToHigherPrice extends BaseSwapTestCase {
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zeroForOne: false
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sqrtPriceLimit: BigNumber
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}
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interface SwapToLowerPrice extends BaseSwapTestCase {
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zeroForOne: true
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sqrtPriceLimit: BigNumber
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}
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type SwapTestCase =
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| SwapExact0For1TestCase
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| Swap0ForExact1TestCase
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| SwapExact1For0TestCase
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| Swap1ForExact0TestCase
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| SwapToHigherPrice
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| SwapToLowerPrice
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function swapCaseToDescription(testCase: SwapTestCase): string {
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const priceClause = testCase?.sqrtPriceLimit ? ` to price ${formatPrice(testCase.sqrtPriceLimit)}` : ''
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if ('exactOut' in testCase) {
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if (testCase.exactOut) {
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if (testCase.zeroForOne) {
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return `swap token0 for exactly ${formatTokenAmount(testCase.amount1)} token1${priceClause}`
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} else {
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return `swap token1 for exactly ${formatTokenAmount(testCase.amount0)} token0${priceClause}`
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}
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} else {
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if (testCase.zeroForOne) {
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return `swap exactly ${formatTokenAmount(testCase.amount0)} token0 for token1${priceClause}`
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} else {
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return `swap exactly ${formatTokenAmount(testCase.amount1)} token1 for token0${priceClause}`
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}
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}
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} else {
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if (testCase.zeroForOne) {
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return `swap token0 for token1${priceClause}`
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} else {
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return `swap token1 for token0${priceClause}`
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}
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}
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}
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type PoolFunctions = ReturnType<typeof createPoolFunctions>
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// can't use address zero because the ERC20 token does not allow it
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const SWAP_RECIPIENT_ADDRESS = constants.AddressZero.slice(0, -1) + '1'
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const POSITION_PROCEEDS_OUTPUT_ADDRESS = constants.AddressZero.slice(0, -1) + '2'
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async function executeSwap(
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pool: MockTimeUniswapV3Pool,
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testCase: SwapTestCase,
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poolFunctions: PoolFunctions
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): Promise<ContractTransaction> {
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let swap: ContractTransaction
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if ('exactOut' in testCase) {
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if (testCase.exactOut) {
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if (testCase.zeroForOne) {
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swap = await poolFunctions.swap0ForExact1(testCase.amount1, SWAP_RECIPIENT_ADDRESS, testCase.sqrtPriceLimit)
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} else {
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swap = await poolFunctions.swap1ForExact0(testCase.amount0, SWAP_RECIPIENT_ADDRESS, testCase.sqrtPriceLimit)
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}
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} else {
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if (testCase.zeroForOne) {
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swap = await poolFunctions.swapExact0For1(testCase.amount0, SWAP_RECIPIENT_ADDRESS, testCase.sqrtPriceLimit)
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} else {
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swap = await poolFunctions.swapExact1For0(testCase.amount1, SWAP_RECIPIENT_ADDRESS, testCase.sqrtPriceLimit)
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}
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}
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} else {
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if (testCase.zeroForOne) {
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swap = await poolFunctions.swapToLowerPrice(testCase.sqrtPriceLimit, SWAP_RECIPIENT_ADDRESS)
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} else {
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swap = await poolFunctions.swapToHigherPrice(testCase.sqrtPriceLimit, SWAP_RECIPIENT_ADDRESS)
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}
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}
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return swap
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}
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const DEFAULT_POOL_SWAP_TESTS: SwapTestCase[] = [
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// swap large amounts in/out
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{
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zeroForOne: true,
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exactOut: false,
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amount0: expandTo18Decimals(1),
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},
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{
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zeroForOne: false,
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exactOut: false,
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amount1: expandTo18Decimals(1),
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},
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{
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zeroForOne: true,
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exactOut: true,
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amount1: expandTo18Decimals(1),
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},
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{
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zeroForOne: false,
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exactOut: true,
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amount0: expandTo18Decimals(1),
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},
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// swap large amounts in/out with a price limit
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{
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zeroForOne: true,
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exactOut: false,
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amount0: expandTo18Decimals(1),
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sqrtPriceLimit: encodePriceSqrt(50, 100),
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},
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{
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zeroForOne: false,
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exactOut: false,
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amount1: expandTo18Decimals(1),
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sqrtPriceLimit: encodePriceSqrt(200, 100),
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},
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{
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zeroForOne: true,
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exactOut: true,
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amount1: expandTo18Decimals(1),
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sqrtPriceLimit: encodePriceSqrt(50, 100),
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},
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{
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zeroForOne: false,
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exactOut: true,
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amount0: expandTo18Decimals(1),
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sqrtPriceLimit: encodePriceSqrt(200, 100),
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},
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// swap small amounts in/out
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{
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zeroForOne: true,
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exactOut: false,
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amount0: 1000,
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},
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{
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zeroForOne: false,
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exactOut: false,
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amount1: 1000,
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},
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{
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zeroForOne: true,
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exactOut: true,
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amount1: 1000,
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},
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{
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zeroForOne: false,
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exactOut: true,
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amount0: 1000,
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},
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// swap arbitrary input to price
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{
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sqrtPriceLimit: encodePriceSqrt(5, 2),
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zeroForOne: false,
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},
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{
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sqrtPriceLimit: encodePriceSqrt(2, 5),
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zeroForOne: true,
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},
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{
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sqrtPriceLimit: encodePriceSqrt(5, 2),
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zeroForOne: true,
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},
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{
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sqrtPriceLimit: encodePriceSqrt(2, 5),
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zeroForOne: false,
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},
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]
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interface Position {
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tickLower: number
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tickUpper: number
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liquidity: BigNumberish
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}
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interface PoolTestCase {
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description: string
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feeAmount: number
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tickSpacing: number
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startingPrice: BigNumber
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positions: Position[]
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swapTests?: SwapTestCase[]
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}
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const TEST_POOLS: PoolTestCase[] = [
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{
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description: 'low fee, 1:1 price, 2e18 max range liquidity',
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feeAmount: FeeAmount.LOW,
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tickSpacing: TICK_SPACINGS[FeeAmount.LOW],
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startingPrice: encodePriceSqrt(1, 1),
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positions: [
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{
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tickLower: getMinTick(TICK_SPACINGS[FeeAmount.LOW]),
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tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.LOW]),
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'medium fee, 1:1 price, 2e18 max range liquidity',
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feeAmount: FeeAmount.MEDIUM,
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tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
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startingPrice: encodePriceSqrt(1, 1),
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positions: [
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{
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tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'high fee, 1:1 price, 2e18 max range liquidity',
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feeAmount: FeeAmount.HIGH,
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tickSpacing: TICK_SPACINGS[FeeAmount.HIGH],
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startingPrice: encodePriceSqrt(1, 1),
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positions: [
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{
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tickLower: getMinTick(TICK_SPACINGS[FeeAmount.HIGH]),
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tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.HIGH]),
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'medium fee, 10:1 price, 2e18 max range liquidity',
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feeAmount: FeeAmount.MEDIUM,
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tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
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startingPrice: encodePriceSqrt(10, 1),
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positions: [
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{
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tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'medium fee, 1:10 price, 2e18 max range liquidity',
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feeAmount: FeeAmount.MEDIUM,
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tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
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startingPrice: encodePriceSqrt(1, 10),
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positions: [
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{
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tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'medium fee, 1:1 price, 0 liquidity, all liquidity around current price',
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feeAmount: FeeAmount.MEDIUM,
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tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
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startingPrice: encodePriceSqrt(1, 1),
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positions: [
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{
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tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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tickUpper: -TICK_SPACINGS[FeeAmount.MEDIUM],
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liquidity: expandTo18Decimals(2),
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},
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{
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tickLower: TICK_SPACINGS[FeeAmount.MEDIUM],
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tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'medium fee, 1:1 price, additional liquidity around current price',
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feeAmount: FeeAmount.MEDIUM,
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tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
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startingPrice: encodePriceSqrt(1, 1),
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positions: [
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{
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tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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liquidity: expandTo18Decimals(2),
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},
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{
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tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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tickUpper: -TICK_SPACINGS[FeeAmount.MEDIUM],
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liquidity: expandTo18Decimals(2),
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},
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{
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tickLower: TICK_SPACINGS[FeeAmount.MEDIUM],
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tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'low fee, large liquidity around current price (stable swap)',
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feeAmount: FeeAmount.LOW,
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tickSpacing: TICK_SPACINGS[FeeAmount.LOW],
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startingPrice: encodePriceSqrt(1, 1),
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positions: [
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{
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tickLower: -TICK_SPACINGS[FeeAmount.LOW],
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tickUpper: TICK_SPACINGS[FeeAmount.LOW],
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'medium fee, token0 liquidity only',
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feeAmount: FeeAmount.MEDIUM,
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tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
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startingPrice: encodePriceSqrt(1, 1),
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positions: [
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{
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tickLower: 0,
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tickUpper: 2000 * TICK_SPACINGS[FeeAmount.MEDIUM],
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liquidity: expandTo18Decimals(2),
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},
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],
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},
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{
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description: 'medium fee, token1 liquidity only',
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feeAmount: FeeAmount.MEDIUM,
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tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
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startingPrice: encodePriceSqrt(1, 1),
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positions: [
|
||
|
|
{
|
||
|
|
tickLower: -2000 * TICK_SPACINGS[FeeAmount.MEDIUM],
|
||
|
|
tickUpper: 0,
|
||
|
|
liquidity: expandTo18Decimals(2),
|
||
|
|
},
|
||
|
|
],
|
||
|
|
},
|
||
|
|
{
|
||
|
|
description: 'close to max price',
|
||
|
|
feeAmount: FeeAmount.MEDIUM,
|
||
|
|
tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
|
||
|
|
startingPrice: encodePriceSqrt(BigNumber.from(2).pow(127), 1),
|
||
|
|
positions: [
|
||
|
|
{
|
||
|
|
tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
liquidity: expandTo18Decimals(2),
|
||
|
|
},
|
||
|
|
],
|
||
|
|
},
|
||
|
|
{
|
||
|
|
description: 'close to min price',
|
||
|
|
feeAmount: FeeAmount.MEDIUM,
|
||
|
|
tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
|
||
|
|
startingPrice: encodePriceSqrt(1, BigNumber.from(2).pow(127)),
|
||
|
|
positions: [
|
||
|
|
{
|
||
|
|
tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
liquidity: expandTo18Decimals(2),
|
||
|
|
},
|
||
|
|
],
|
||
|
|
},
|
||
|
|
{
|
||
|
|
description: 'max full range liquidity at 1:1 price with default fee',
|
||
|
|
feeAmount: FeeAmount.MEDIUM,
|
||
|
|
tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
|
||
|
|
startingPrice: encodePriceSqrt(1, 1),
|
||
|
|
positions: [
|
||
|
|
{
|
||
|
|
tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
liquidity: getMaxLiquidityPerTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
},
|
||
|
|
],
|
||
|
|
},
|
||
|
|
{
|
||
|
|
description: 'initialized at the max ratio',
|
||
|
|
feeAmount: FeeAmount.MEDIUM,
|
||
|
|
tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
|
||
|
|
startingPrice: MAX_SQRT_RATIO.sub(1),
|
||
|
|
positions: [
|
||
|
|
{
|
||
|
|
tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
liquidity: expandTo18Decimals(2),
|
||
|
|
},
|
||
|
|
],
|
||
|
|
},
|
||
|
|
{
|
||
|
|
description: 'initialized at the min ratio',
|
||
|
|
feeAmount: FeeAmount.MEDIUM,
|
||
|
|
tickSpacing: TICK_SPACINGS[FeeAmount.MEDIUM],
|
||
|
|
startingPrice: MIN_SQRT_RATIO,
|
||
|
|
positions: [
|
||
|
|
{
|
||
|
|
tickLower: getMinTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
tickUpper: getMaxTick(TICK_SPACINGS[FeeAmount.MEDIUM]),
|
||
|
|
liquidity: expandTo18Decimals(2),
|
||
|
|
},
|
||
|
|
],
|
||
|
|
},
|
||
|
|
]
|
||
|
|
|
||
|
|
describe('UniswapV3Pool swap tests', () => {
|
||
|
|
let wallet: Wallet, other: Wallet
|
||
|
|
|
||
|
|
let loadFixture: ReturnType<typeof createFixtureLoader>
|
||
|
|
|
||
|
|
before('create fixture loader', async () => {
|
||
|
|
;[wallet, other] = await (ethers as any).getSigners()
|
||
|
|
|
||
|
|
loadFixture = createFixtureLoader([wallet])
|
||
|
|
})
|
||
|
|
|
||
|
|
for (const poolCase of TEST_POOLS) {
|
||
|
|
describe(poolCase.description, () => {
|
||
|
|
const poolCaseFixture = async () => {
|
||
|
|
const { createPool, token0, token1, swapTargetCallee: swapTarget } = await poolFixture(
|
||
|
|
[wallet],
|
||
|
|
waffle.provider
|
||
|
|
)
|
||
|
|
const pool = await createPool(poolCase.feeAmount, poolCase.tickSpacing)
|
||
|
|
const poolFunctions = createPoolFunctions({ swapTarget, token0, token1, pool })
|
||
|
|
await pool.initialize(poolCase.startingPrice)
|
||
|
|
// mint all positions
|
||
|
|
for (const position of poolCase.positions) {
|
||
|
|
await poolFunctions.mint(wallet.address, position.tickLower, position.tickUpper, position.liquidity)
|
||
|
|
}
|
||
|
|
|
||
|
|
const [poolBalance0, poolBalance1] = await Promise.all([
|
||
|
|
token0.balanceOf(pool.address),
|
||
|
|
token1.balanceOf(pool.address),
|
||
|
|
])
|
||
|
|
|
||
|
|
return { token0, token1, pool, poolFunctions, poolBalance0, poolBalance1, swapTarget }
|
||
|
|
}
|
||
|
|
|
||
|
|
let token0: TestERC20
|
||
|
|
let token1: TestERC20
|
||
|
|
|
||
|
|
let poolBalance0: BigNumber
|
||
|
|
let poolBalance1: BigNumber
|
||
|
|
|
||
|
|
let pool: MockTimeUniswapV3Pool
|
||
|
|
let swapTarget: TestUniswapV3Callee
|
||
|
|
let poolFunctions: PoolFunctions
|
||
|
|
|
||
|
|
beforeEach('load fixture', async () => {
|
||
|
|
;({ token0, token1, pool, poolFunctions, poolBalance0, poolBalance1, swapTarget } = await loadFixture(
|
||
|
|
poolCaseFixture
|
||
|
|
))
|
||
|
|
})
|
||
|
|
|
||
|
|
afterEach('check can burn positions', async () => {
|
||
|
|
for (const { liquidity, tickUpper, tickLower } of poolCase.positions) {
|
||
|
|
await pool.burn(tickLower, tickUpper, liquidity)
|
||
|
|
await pool.collect(POSITION_PROCEEDS_OUTPUT_ADDRESS, tickLower, tickUpper, MaxUint128, MaxUint128)
|
||
|
|
}
|
||
|
|
})
|
||
|
|
|
||
|
|
for (const testCase of poolCase.swapTests ?? DEFAULT_POOL_SWAP_TESTS) {
|
||
|
|
it(swapCaseToDescription(testCase), async () => {
|
||
|
|
const slot0 = await pool.slot0()
|
||
|
|
const tx = executeSwap(pool, testCase, poolFunctions)
|
||
|
|
try {
|
||
|
|
await tx
|
||
|
|
} catch (error) {
|
||
|
|
expect({
|
||
|
|
swapError: error.message,
|
||
|
|
poolBalance0: poolBalance0.toString(),
|
||
|
|
poolBalance1: poolBalance1.toString(),
|
||
|
|
poolPriceBefore: formatPrice(slot0.sqrtPriceX96),
|
||
|
|
tickBefore: slot0.tick,
|
||
|
|
}).to.matchSnapshot('swap error')
|
||
|
|
return
|
||
|
|
}
|
||
|
|
const [
|
||
|
|
poolBalance0After,
|
||
|
|
poolBalance1After,
|
||
|
|
slot0After,
|
||
|
|
liquidityAfter,
|
||
|
|
feeGrowthGlobal0X128,
|
||
|
|
feeGrowthGlobal1X128,
|
||
|
|
] = await Promise.all([
|
||
|
|
token0.balanceOf(pool.address),
|
||
|
|
token1.balanceOf(pool.address),
|
||
|
|
pool.slot0(),
|
||
|
|
pool.liquidity(),
|
||
|
|
pool.feeGrowthGlobal0X128(),
|
||
|
|
pool.feeGrowthGlobal1X128(),
|
||
|
|
])
|
||
|
|
const poolBalance0Delta = poolBalance0After.sub(poolBalance0)
|
||
|
|
const poolBalance1Delta = poolBalance1After.sub(poolBalance1)
|
||
|
|
|
||
|
|
// check all the events were emitted corresponding to balance changes
|
||
|
|
if (poolBalance0Delta.eq(0)) await expect(tx).to.not.emit(token0, 'Transfer')
|
||
|
|
else if (poolBalance0Delta.lt(0))
|
||
|
|
await expect(tx)
|
||
|
|
.to.emit(token0, 'Transfer')
|
||
|
|
.withArgs(pool.address, SWAP_RECIPIENT_ADDRESS, poolBalance0Delta.mul(-1))
|
||
|
|
else await expect(tx).to.emit(token0, 'Transfer').withArgs(wallet.address, pool.address, poolBalance0Delta)
|
||
|
|
|
||
|
|
if (poolBalance1Delta.eq(0)) await expect(tx).to.not.emit(token1, 'Transfer')
|
||
|
|
else if (poolBalance1Delta.lt(0))
|
||
|
|
await expect(tx)
|
||
|
|
.to.emit(token1, 'Transfer')
|
||
|
|
.withArgs(pool.address, SWAP_RECIPIENT_ADDRESS, poolBalance1Delta.mul(-1))
|
||
|
|
else await expect(tx).to.emit(token1, 'Transfer').withArgs(wallet.address, pool.address, poolBalance1Delta)
|
||
|
|
|
||
|
|
// check that the swap event was emitted too
|
||
|
|
await expect(tx)
|
||
|
|
.to.emit(pool, 'Swap')
|
||
|
|
.withArgs(
|
||
|
|
swapTarget.address,
|
||
|
|
SWAP_RECIPIENT_ADDRESS,
|
||
|
|
poolBalance0Delta,
|
||
|
|
poolBalance1Delta,
|
||
|
|
slot0After.sqrtPriceX96,
|
||
|
|
liquidityAfter,
|
||
|
|
slot0After.tick
|
||
|
|
)
|
||
|
|
|
||
|
|
const executionPrice = new Decimal(poolBalance1Delta.toString()).div(poolBalance0Delta.toString()).mul(-1)
|
||
|
|
|
||
|
|
expect({
|
||
|
|
amount0Before: poolBalance0.toString(),
|
||
|
|
amount1Before: poolBalance1.toString(),
|
||
|
|
amount0Delta: poolBalance0Delta.toString(),
|
||
|
|
amount1Delta: poolBalance1Delta.toString(),
|
||
|
|
feeGrowthGlobal0X128Delta: feeGrowthGlobal0X128.toString(),
|
||
|
|
feeGrowthGlobal1X128Delta: feeGrowthGlobal1X128.toString(),
|
||
|
|
tickBefore: slot0.tick,
|
||
|
|
poolPriceBefore: formatPrice(slot0.sqrtPriceX96),
|
||
|
|
tickAfter: slot0After.tick,
|
||
|
|
poolPriceAfter: formatPrice(slot0After.sqrtPriceX96),
|
||
|
|
executionPrice: executionPrice.toPrecision(5),
|
||
|
|
}).to.matchSnapshot('balances')
|
||
|
|
})
|
||
|
|
}
|
||
|
|
})
|
||
|
|
}
|
||
|
|
})
|