goosefx-amm-sdk/lib/gfx/cpmm/curve/fee.mjs.map

SDK for the GooseFx AMM

{"version":3,"sources":["../../../../src/gfx/cpmm/curve/fee.ts","../../../../src/gfx/cpmm/curve/common.ts"],"sourcesContent":["import BN from \"bn.js\";\nimport { CpmmObservationState, CpmmObservation } from \"../type\";\nimport Decimal from \"decimal.js-light\";\nimport { checkedCeilDiv, saturatingSub } from \"./common\";\n\nexport const ONE_BASIS_POINT = new BN(100);\nexport const FEE_RATE_DENOMINATOR_VALUE = new BN(1_000_000);\nconst OBSERVATION_LEN = 100;\n// Volatility-based fee constants\n// const MAX_FEE_VOLATILITY = new BN(10000); // 1% max fee\nconst VOLATILITY_WINDOW = new BN(3600); // 1 hour window for volatility calculation\n\nconst MAX_FEE = new BN(100000); // 10% max fee\nconst DEFAULT_VOLATILITY_FACTOR = new BN(300000); // Adjust based on desired sensitivity\n\ntype PriceRange = {\n  minPrice: BN;\n  maxPrice: BN;\n  twapPrice: BN;\n};\n\ntype FeeType = \"volatility\";\n\nexport class DynamicFee {\n  static calculateDynamicFee(\n    amount: BN,\n    blockTimestamp: BN,\n    observationState: CpmmObservationState,\n    feeType: FeeType,\n    baseFees: BN,\n    poolVolatilityFactor: BN,\n    isInvokedWithSignedSegmenter: boolean,\n  ): BN {\n    const feeRate = this.calculateDynamicFeeRate(\n      blockTimestamp,\n      observationState,\n      feeType,\n      baseFees,\n      poolVolatilityFactor,\n      isInvokedWithSignedSegmenter,\n    );\n\n    const [dynamicFee, _feeRateDenominator] = checkedCeilDiv(amount.mul(feeRate), FEE_RATE_DENOMINATOR_VALUE);\n    return dynamicFee;\n  }\n\n  static calculatePreDynamicFee(\n    amount: BN,\n    blockTimestamp: BN,\n    observationState: CpmmObservationState,\n    feeType: FeeType,\n    baseFees: BN,\n    poolVolatilityFactor: BN,\n    isInvokedWithSignedSegmenter: boolean,\n  ): BN {\n    const feeRate = this.calculateDynamicFeeRate(\n      blockTimestamp,\n      observationState,\n      feeType,\n      baseFees,\n      poolVolatilityFactor,\n      isInvokedWithSignedSegmenter,\n    );\n\n    if (feeRate.isZero()) {\n      return amount; // No fee, pre-fee amount = post-fee amount\n    }\n\n    const denominator = FEE_RATE_DENOMINATOR_VALUE.sub(feeRate);\n    if (denominator.isZero()) {\n      throw new Error(\"Fee rate equals denominator, causing division by zero\");\n    }\n\n    // x = (y * D + (D - r) - 1) / (D - r)\n    const numerator = amount.mul(FEE_RATE_DENOMINATOR_VALUE);\n    const result = numerator.add(denominator).sub(new BN(1)).div(denominator);\n\n    return result;\n  }\n\n  static calculateDynamicFeeRate(\n    blockTimestamp: BN,\n    observationState: CpmmObservationState,\n    feeType: FeeType,\n    baseFees: BN,\n    poolVolatilityFactor: BN,\n    isInvokedWithSignedSegmenter: boolean,\n  ): BN {\n    switch (feeType) {\n      case \"volatility\": {\n        return this.calculateVolatileFee(\n          blockTimestamp,\n          observationState,\n          baseFees,\n          poolVolatilityFactor,\n          isInvokedWithSignedSegmenter,\n        );\n      }\n    }\n  }\n\n  static calculateVolatileFee(\n    blockTimestamp: BN,\n    observationState: CpmmObservationState,\n    baseFees: BN,\n    poolSpecifiedVolatilityFactor: BN,\n    isInvokedWithSignedSegmenter: boolean,\n  ): BN {\n    const { minPrice, maxPrice, twapPrice } = this.getPriceRange(observationState, blockTimestamp, VOLATILITY_WINDOW);\n    if (minPrice.eqn(0) || maxPrice.eqn(0) || twapPrice.eqn(0) || twapPrice.eqn(1)) {\n      return baseFees;\n    }\n\n    const logMaxPrice = new Decimal(maxPrice.toString()).ln();\n    const logMinPrice = new Decimal(minPrice.toString()).ln();\n    const logTwapPrice = new Decimal(twapPrice.toString()).ln();\n\n    const numerator = logMaxPrice.sub(logMinPrice);\n    const denominator = logTwapPrice.abs();\n\n    if (denominator.eq(0)) {\n      return baseFees;\n    }\n\n    const volatility = numerator.div(denominator);\n    const volatilityFactor = poolSpecifiedVolatilityFactor.eqn(0)\n      ? DEFAULT_VOLATILITY_FACTOR\n      : poolSpecifiedVolatilityFactor;\n    const volatilityComponent = new Decimal(volatilityFactor.toString()).mul(volatility);\n\n    const dynamicFee = new Decimal(baseFees.toString()).add(volatilityComponent);\n    const finalFee = new BN(\n      dynamicFee.lessThan(new Decimal(MAX_FEE.toString())) ? dynamicFee.toString() : MAX_FEE.toString(),\n    );\n    if (isInvokedWithSignedSegmenter) {\n      const discountedFee = saturatingSub(finalFee, ONE_BASIS_POINT);\n      return baseFees.gt(discountedFee) ? baseFees : discountedFee;\n    } else {\n      return finalFee;\n    }\n  }\n\n  static getPriceRange(observationState: CpmmObservationState, currentTime: BN, window: BN): PriceRange {\n    let minPrice = new BN(1).ushln(128).subn(1);\n    let maxPrice = new BN(0);\n\n    let descendingObservations = observationState.observations\n      .map((observation, idx) => ({ observation, idx }))\n      .filter(({ observation }) => {\n        observation.blockTimestamp.eqn(0) &&\n          !observation.cumulativeToken0PriceX32.eqn(0) &&\n          !observation.cumulativeToken1PriceX32.eqn(0) &&\n          currentTime.sub(observation.blockTimestamp) <= window;\n      })\n      .map(({ observation, idx }) => {\n        return {\n          index: idx,\n          observation,\n        };\n      });\n\n    if (descendingObservations.length < 2) {\n      return {\n        minPrice: new BN(0),\n        maxPrice: new BN(0),\n        twapPrice: new BN(0),\n      };\n    }\n\n    descendingObservations.sort((a, b) => b.observation.blockTimestamp.cmp(a.observation.blockTimestamp));\n\n    const newestObs = descendingObservations[0];\n    const oldestObs = descendingObservations[descendingObservations.length - 1];\n\n    const totalTimeDelta = saturatingSub(newestObs.observation.blockTimestamp, oldestObs.observation.blockTimestamp);\n    if (totalTimeDelta.eqn(0)) {\n      return {\n        minPrice: new BN(0),\n        maxPrice: new BN(0),\n        twapPrice: new BN(0),\n      };\n    }\n\n    const twapPrice = newestObs.observation.cumulativeToken0PriceX32\n      .sub(oldestObs.observation.cumulativeToken0PriceX32)\n      .div(totalTimeDelta);\n\n    for (const indexedObservation of descendingObservations) {\n      let lastObservation: CpmmObservation;\n      if (indexedObservation.index == 0) {\n        lastObservation = observationState.observations[OBSERVATION_LEN - 1];\n      } else {\n        lastObservation = observationState.observations[indexedObservation.index - 1];\n      }\n\n      if (lastObservation.blockTimestamp.eqn(0)) {\n        continue;\n      }\n\n      if (lastObservation.blockTimestamp > indexedObservation.observation.blockTimestamp) {\n        break;\n      }\n\n      const nextObservation = indexedObservation.observation;\n      const timeDelta = saturatingSub(nextObservation.blockTimestamp, lastObservation.blockTimestamp);\n\n      if (timeDelta.eqn(0)) {\n        continue;\n      }\n\n      const price = nextObservation.cumulativeToken0PriceX32\n        .sub(lastObservation.cumulativeToken0PriceX32)\n        .div(timeDelta);\n\n      minPrice = BN.min(minPrice, price);\n      maxPrice = BN.max(maxPrice, price);\n    }\n\n    return {\n      minPrice,\n      maxPrice,\n      twapPrice,\n    };\n  }\n\n  static calculatePreFeeAmount(\n    blockTimestamp: BN,\n    postFeeAmount: BN,\n    observationState: CpmmObservationState,\n    feeType: FeeType,\n    baseFees: BN,\n    poolVolatilityFactor: BN,\n    isInvokedWithSignedSegmenter: boolean,\n  ): BN {\n    const dynamicFeeRate = this.calculateDynamicFeeRate(\n      blockTimestamp,\n      observationState,\n      feeType,\n      baseFees,\n      poolVolatilityFactor,\n      isInvokedWithSignedSegmenter,\n    );\n    if (dynamicFeeRate.eqn(0)) {\n      return postFeeAmount;\n    } else {\n      const numerator = postFeeAmount.mul(FEE_RATE_DENOMINATOR_VALUE);\n      const denominator = FEE_RATE_DENOMINATOR_VALUE.sub(dynamicFeeRate);\n\n      return numerator.add(denominator).subn(1).div(denominator);\n    }\n  }\n}\n","import BN from \"bn.js\";\n\nexport const ZERO = new BN(0);\n\nexport function checkedRem(dividend: BN, divisor: BN): BN {\n  if (divisor.isZero()) throw Error(\"divisor is zero\");\n\n  const result = dividend.mod(divisor);\n  return result;\n}\n\nexport function checkedCeilDiv(dividend: BN, rhs: BN): BN[] {\n  if (rhs.isZero()) throw Error(\"rhs is zero\");\n  const quotient = dividend.div(rhs);\n  if (quotient.isZero()) return [quotient, rhs];\n  const remainder = dividend.sub(quotient.mul(rhs));\n  if (remainder.isZero()) return [quotient, rhs];\n  return [quotient.add(new BN(1)), rhs];\n}\n\nexport function saturatingSub(a: BN, b: BN): BN {\n  return a.gt(b) ? 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