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Audit Fix: prevent depositor or LP from creating unfair spreads #344

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merged 8 commits into from
Nov 17, 2023
Merged

Audit Fix: prevent depositor or LP from creating unfair spreads #344

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e0f8d7d
switch rounding to favor taker
Nov 10, 2023
b50963a
Add swap logic to abort if taker will be getting an unfair price due …
Nov 10, 2023
4ff3498
handle swap case where amountIn is 0
Nov 10, 2023
1836856
add tests for swap rouding behavior
Nov 10, 2023
3892305
Store MaxTrueTakerSpread as a dex param
Nov 13, 2023
35a0950
FIX: cleanup tests; make linter happy
Nov 13, 2023
9353775
Merge remote-tracking branch 'origin/merge_duality_neutron' into fix_…
Nov 14, 2023
e150568
Fix test logic to account for PFM changes
Nov 14, 2023
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9 changes: 8 additions & 1 deletion proto/neutron/dex/params.proto
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Original file line number Diff line number Diff line change
Expand Up @@ -8,5 +8,12 @@ option go_package = "github.com/neutron-org/neutron/x/dex/types";
// Params defines the parameters for the module.
message Params {
option (gogoproto.goproto_stringer) = false;
repeated uint64 fee_tiers = 1;
repeated uint64 fee_tiers = 1;
string max_true_taker_spread = 2 [
(gogoproto.moretags) = "yaml:\"max_true_taker_spread\"",
(gogoproto.customtype) = "github.com/neutron-org/neutron/utils/math.PrecDec",
(gogoproto.nullable) = false,
(gogoproto.jsontag) = "max_true_taker_spread"
];

}
9 changes: 5 additions & 4 deletions tests/ibc/gmp_swap_forward_test.go
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Expand Up @@ -99,10 +99,11 @@ func (s *IBCTestSuite) TestGMPSwapAndForward_Success() {
// Check that the funds are moved out of the acc on providerChain
s.assertProviderBalance(s.providerAddr, nativeDenom, newProviderBalNative.Sub(ibcTransferAmount))

// Check that the amountIn is deduced from the neutron account
s.assertNeutronBalance(s.neutronAddr, s.providerToNeutronDenom, math.ZeroInt())
// Check that neutron account did not keep any of the transfer denom
s.assertNeutronBalance(s.neutronAddr, nativeDenom, genesisWalletAmount.Sub(swapAmount))
// Check that the amountIn is deducted from the neutron override account
overrideAddr := s.ReceiverOverrideAddr(s.neutronTransferPath.EndpointA.ChannelID, s.providerAddr.String())
s.assertNeutronBalance(overrideAddr, s.providerToNeutronDenom, math.OneInt())
// Check that neutron override account did not keep any of the transfer denom
s.assertNeutronBalance(overrideAddr, nativeDenom, math.ZeroInt())

transferDenomPath := transfertypes.GetPrefixedDenom(
transfertypes.PortID,
Expand Down
28 changes: 21 additions & 7 deletions tests/ibc/swap_forward_test.go
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Expand Up @@ -109,10 +109,11 @@ func (s *IBCTestSuite) TestSwapAndForward_Success() {
newProviderBalNative.Sub(ibcTransferAmount),
)

// Check that the amountIn is deducted from the neutron account
s.assertNeutronBalance(s.neutronAddr, s.providerToNeutronDenom, math.ZeroInt())
// Check that the amountIn is deducted from the neutron overrid receiver account
overrideAddr := s.ReceiverOverrideAddr(s.neutronTransferPath.EndpointA.ChannelID, s.providerAddr.String())
s.assertNeutronBalance(overrideAddr, s.providerToNeutronDenom, math.OneInt())
// Check that neutron account did not keep any of the transfer denom
s.assertNeutronBalance(s.neutronAddr, nativeDenom, genesisWalletAmount.Sub(swapAmount))
s.assertNeutronBalance(overrideAddr, nativeDenom, math.ZeroInt())

transferDenomPath := transfertypes.GetPrefixedDenom(
transfertypes.PortID,
Expand Down Expand Up @@ -284,7 +285,7 @@ func (s *IBCTestSuite) TestSwapAndForward_UnwindIBCDenomSuccess() {
s.providerToNeutronDenom,
depositAmount,
depositAmount,
0,
1,
1,
s.neutronAddr)

Expand All @@ -293,8 +294,8 @@ func (s *IBCTestSuite) TestSwapAndForward_UnwindIBCDenomSuccess() {
postDepositNeutronBalNative := genesisWalletAmount.Sub(depositAmount)
s.assertNeutronBalance(s.neutronAddr, nativeDenom, postDepositNeutronBalNative)

swapAmount := math.NewInt(100000)
expectedAmountOut := math.NewInt(99990)
swapAmount := math.NewInt(100_000)
expectedAmountOut := math.NewInt(99980)

retries := uint8(0)

Expand Down Expand Up @@ -357,7 +358,7 @@ func (s *IBCTestSuite) TestSwapAndForward_UnwindIBCDenomSuccess() {
s.providerAddr,
s.neutronAddr,
transferDenomNeutronProvider,
ibcTransferAmount,
swapAmount,
string(metadataBz),
)

Expand All @@ -366,6 +367,9 @@ func (s *IBCTestSuite) TestSwapAndForward_UnwindIBCDenomSuccess() {
s.Assert().NoError(err)
s.coordinator.CommitBlock(s.neutronChain)

// Check that the amountIn is deducted from the neutron override receiever account
overrideAddr := s.ReceiverOverrideAddr(s.neutronTransferPath.EndpointA.ChannelID, s.providerAddr.String())
s.assertNeutronBalance(overrideAddr, nativeDenom, math.OneInt())
// Check that the funds are now present on the provider chainer
s.assertProviderBalance(
s.providerAddr,
Expand Down Expand Up @@ -589,6 +593,16 @@ func (s *IBCTestSuite) TestSwapAndForward_ForwardFails() {
s.assertNeutronBalance(overrideAddr, s.providerToNeutronDenom, math.ZeroInt())
s.assertNeutronBalance(overrideAddr, nativeDenom, math.ZeroInt())

// Check that nothing made it to chainB
transferDenomPath := transfertypes.GetPrefixedDenom(
transfertypes.PortID,
s.neutronChainBPath.EndpointA.ChannelID,
nativeDenom,
)
transferDenomNeutronChainB := transfertypes.ParseDenomTrace(transferDenomPath).IBCDenom()

s.assertChainBBalance(chainBAddr, transferDenomNeutronChainB, math.ZeroInt())

// Check that the refund takes place and the funds are moved back to the account on Gaia
s.assertProviderBalance(s.providerAddr, nativeDenom, genesisWalletAmount.Sub(depositAmount))
}
3 changes: 2 additions & 1 deletion tests/ibc/swap_test.go
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Expand Up @@ -83,7 +83,8 @@ func (s *IBCTestSuite) TestIBCSwapMiddleware_Success() {
s.assertNeutronBalance(s.neutronAddr, nativeDenom, postDepositNeutronBalNative.Add(expectedOut))

// Check that all of the IBC transfer denom have been used up
s.assertNeutronBalance(s.neutronAddr, s.providerToNeutronDenom, math.ZeroInt())
overrideAddr := s.ReceiverOverrideAddr(s.neutronTransferPath.EndpointA.ChannelID, s.providerAddr.String())
s.assertNeutronBalance(overrideAddr, s.providerToNeutronDenom, math.OneInt())
}

// TestIBCSwapMiddleware_FailRefund asserts that the IBC swap middleware works as intended with Neutron running as a
Expand Down
14 changes: 7 additions & 7 deletions x/dex/keeper/integration_deposit_doublesided_test.go
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Expand Up @@ -232,19 +232,19 @@ func (s *DexTestSuite) TestDepositValueAccural() {
s.bobLimitSells("TokenA", 10, 1000, types.LimitOrderType_IMMEDIATE_OR_CANCEL)
}
}
s.assertLiquidityAtTickInt(math.NewInt(110516593), math.ZeroInt(), 0, 10)
s.assertDexBalancesInt(math.NewInt(110516593), math.ZeroInt())
s.assertLiquidityAtTickInt(math.NewInt(110516491), math.ZeroInt(), 0, 10)
s.assertDexBalancesInt(math.NewInt(110516491), math.ZeroInt())

s.assertLiquidityAtTickInt(math.NewInt(110516593), math.ZeroInt(), 0, 10)
s.assertLiquidityAtTickInt(math.NewInt(110516491), math.ZeroInt(), 0, 10)
// Carol deposits 100TokenA @tick0
s.carolDeposits(NewDeposit(100, 0, 0, 10))
s.assertLiquidityAtTickInt(math.NewInt(210516593), math.ZeroInt(), 0, 10)
s.assertAccountSharesInt(s.carol, 0, 10, math.NewInt(90484150))
s.assertLiquidityAtTickInt(math.NewInt(210516491), math.ZeroInt(), 0, 10)
s.assertAccountSharesInt(s.carol, 0, 10, math.NewInt(90484233))

// Alice gets back 100% of the accrued trade value
s.aliceWithdraws(NewWithdrawal(100, 0, 10))
s.assertAliceBalancesInt(math.NewInt(110516593), math.NewInt(0))
s.assertAliceBalancesInt(math.NewInt(110516491), math.NewInt(0))
// AND carol get's back only what she put in
s.carolWithdraws(NewWithdrawalInt(math.NewInt(90484150), 0, 10))
s.carolWithdraws(NewWithdrawalInt(math.NewInt(90484233), 0, 10))
s.assertCarolBalances(100, 1)
}
4 changes: 2 additions & 2 deletions x/dex/keeper/integration_deposit_singlesided_test.go
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Expand Up @@ -277,7 +277,7 @@ func (s *DexTestSuite) TestDepositSingleSidedCreatingArbToken0() {
// Bob arbs
s.bobLimitSells("TokenB", -1, 50, types.LimitOrderType_IMMEDIATE_OR_CANCEL)
s.bobLimitSells("TokenA", 1, 10)
s.assertBobBalancesInt(sdkmath.NewInt(50_000_000), sdkmath.NewInt(53_294_995))
s.assertBobBalancesInt(sdkmath.NewInt(50_000_000), sdkmath.NewInt(53_294_996))
}

func (s *DexTestSuite) TestDepositSingleSidedCreatingArbToken1() {
Expand All @@ -302,7 +302,7 @@ func (s *DexTestSuite) TestDepositSingleSidedCreatingArbToken1() {
// Bob arbs
s.bobLimitSells("TokenA", -1, 50, types.LimitOrderType_IMMEDIATE_OR_CANCEL)
s.bobLimitSells("TokenB", -1, 10)
s.assertBobBalancesInt(sdkmath.NewInt(53_295_665), sdkmath.NewInt(50_000_000))
s.assertBobBalancesInt(sdkmath.NewInt(53_295_666), sdkmath.NewInt(50_000_000))
}

func (s *DexTestSuite) TestDepositSingleSidedMultiA() {
Expand Down
44 changes: 22 additions & 22 deletions x/dex/keeper/integration_multihopswap_test.go
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Expand Up @@ -50,9 +50,9 @@ func (s *DexTestSuite) TestMultiHopSwapSingleRoute() {

// GIVEN liquidity in pools A<>B, B<>C, C<>D,
s.SetupMultiplePools(
NewPoolSetup("TokenA", "TokenB", 0, 100, 0, 1),
NewPoolSetup("TokenB", "TokenC", 0, 100, 0, 1),
NewPoolSetup("TokenC", "TokenD", 0, 100, 0, 1),
NewPoolSetup("TokenA", "TokenB", 0, 100, -1, 1),
NewPoolSetup("TokenB", "TokenC", 0, 100, -1, 1),
NewPoolSetup("TokenC", "TokenD", 0, 100, -1, 1),
)

// WHEN alice multihopswaps A<>B => B<>C => C<>D,
Expand All @@ -61,12 +61,12 @@ func (s *DexTestSuite) TestMultiHopSwapSingleRoute() {

// THEN alice gets out 99 TokenD
s.assertAccountBalanceWithDenom(s.alice, "TokenA", 0)
s.assertAccountBalanceWithDenomInt(s.alice, "TokenD", math.NewInt(99_970_003))
s.assertAccountBalanceWithDenom(s.alice, "TokenD", 100)

s.assertDexBalanceWithDenom("TokenA", 100)
s.assertDexBalanceWithDenom("TokenB", 100)
s.assertDexBalanceWithDenom("TokenC", 100)
s.assertDexBalanceWithDenomInt("TokenD", math.NewInt(29_997))
s.assertDexBalanceWithDenom("TokenD", 0)
}

func (s *DexTestSuite) TestMultiHopSwapInsufficientLiquiditySingleRoute() {
Expand Down Expand Up @@ -116,15 +116,15 @@ func (s *DexTestSuite) TestMultiHopSwapMultiRouteOneGood() {

// GIVEN viable liquidity in pools A<>B, B<>E, E<>X
s.SetupMultiplePools(
NewPoolSetup("TokenA", "TokenB", 0, 100, 0, 1),
NewPoolSetup("TokenA", "TokenB", 0, 100, -1, 1),
NewPoolSetup("TokenB", "TokenC", 0, 100, 0, 1),
NewPoolSetup("TokenC", "TokenX", 0, 50, 0, 1),
NewPoolSetup("TokenC", "TokenX", 0, 50, 2200, 1),
NewPoolSetup("TokenB", "TokenD", 0, 100, 0, 1),
NewPoolSetup("TokenD", "TokenX", 0, 50, 0, 1),
NewPoolSetup("TokenD", "TokenX", 0, 50, 2200, 1),
NewPoolSetup("TokenB", "TokenE", 0, 100, 0, 1),
NewPoolSetup("TokenE", "TokenX", 0, 100, 0, 1),
NewPoolSetup("TokenB", "TokenE", 0, 100, -1, 1),
NewPoolSetup("TokenE", "TokenX", 0, 100, -1, 1),
)

// WHEN alice multihopswaps with three routes the first two routes fail and the third works
Expand All @@ -137,26 +137,26 @@ func (s *DexTestSuite) TestMultiHopSwapMultiRouteOneGood() {

// THEN swap succeeds through route A<>B, B<>E, E<>X
s.assertAccountBalanceWithDenom(s.alice, "TokenA", 0)
s.assertAccountBalanceWithDenomInt(s.alice, "TokenX", math.NewInt(99_970_003))
s.assertLiquidityAtTickWithDenomInt(
s.assertAccountBalanceWithDenomInt(s.alice, "TokenX", math.NewInt(100_000_000))
s.assertLiquidityAtTickWithDenom(
&types.PairID{Token0: "TokenA", Token1: "TokenB"},
math.NewInt(99_999_999),
math.NewInt(10_000),
100,
0,
-1,
1,
)
s.assertLiquidityAtTickWithDenomInt(
s.assertLiquidityAtTickWithDenom(
&types.PairID{Token0: "TokenB", Token1: "TokenE"},
math.NewInt(99_990_000),
math.NewInt(19_999),
100,
0,
-1,
1,
)
s.assertLiquidityAtTickWithDenomInt(
s.assertLiquidityAtTickWithDenom(
&types.PairID{Token0: "TokenE", Token1: "TokenX"},
math.NewInt(99_980_001),
math.NewInt(29_997),
100,
0,
-1,
1,
)

Expand Down Expand Up @@ -276,22 +276,22 @@ func (s *DexTestSuite) TestMultiHopSwapMultiRouteFindBestRoute() {
s.assertAccountBalanceWithDenomInt(s.alice, "TokenX", math.NewInt(134_943_366))
s.assertLiquidityAtTickWithDenomInt(
&types.PairID{Token0: "TokenA", Token1: "TokenB"},
math.NewInt(99_999_999),
math.NewInt(99_999_998),
math.NewInt(10000),
0,
1,
)
s.assertLiquidityAtTickWithDenomInt(
&types.PairID{Token0: "TokenB", Token1: "TokenE"},
math.NewInt(99_990_000),
math.NewInt(99_989_999),
math.NewInt(19_999),
0,
1,
)

s.assertLiquidityAtTickWithDenomInt(
&types.PairID{Token0: "TokenE", Token1: "TokenX"},
math.NewInt(99_980_001),
math.NewInt(99_980_000),
math.NewInt(865_056_634),
-3000,
1,
Expand Down Expand Up @@ -369,7 +369,7 @@ func (s *DexTestSuite) TestMultiHopSwapLongRouteWithCache() {
s.assertAccountBalanceWithDenomInt(s.alice, "TokenX", math.NewInt(99_880_066))
s.assertLiquidityAtTickWithDenomInt(
&types.PairID{Token0: "TokenM", Token1: "TokenX"},
math.NewInt(99_890_055),
math.NewInt(99_890_054),
math.NewInt(119_934),
0,
1,
Expand Down
47 changes: 42 additions & 5 deletions x/dex/keeper/integration_placelimitorder_test.go
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Expand Up @@ -389,7 +389,7 @@ func (s *DexTestSuite) TestPlaceLimitOrderFoK0TotalAmountInNotUsed() {
// WHEN alice submits FoK limitOrder for 9998 it succeeds
// even though trueAmountIn < specifiedAmountIn due to rounding
s.aliceLimitSells("TokenA", 21000, 9998, types.LimitOrderType_FILL_OR_KILL)
s.assertAliceBalancesInt(sdkmath.NewInt(5), sdkmath.NewInt(1_353_046_854))
s.assertAliceBalancesInt(sdkmath.NewInt(7), sdkmath.NewInt(1_353_046_854))
}

func (s *DexTestSuite) TestPlaceLimitOrderFoK1TotalAmountInNotUsed() {
Expand All @@ -403,7 +403,7 @@ func (s *DexTestSuite) TestPlaceLimitOrderFoK1TotalAmountInNotUsed() {
// WHEN alice submits FoK limitOrder for 9998 it succeeds
// even though trueAmountIn < specifiedAmountIn due to rounding
s.aliceLimitSells("TokenB", -21000, 9998, types.LimitOrderType_FILL_OR_KILL)
s.assertAliceBalancesInt(sdkmath.NewInt(135_3046_854), sdkmath.NewInt(5))
s.assertAliceBalancesInt(sdkmath.NewInt(135_3046_854), sdkmath.NewInt(7))
}

func (s *DexTestSuite) TestPlaceLimitOrderFoKMaxOutUsed() {
Expand All @@ -417,7 +417,7 @@ func (s *DexTestSuite) TestPlaceLimitOrderFoKMaxOutUsed() {
s.aliceLimitSellsWithMaxOut("TokenB", 0, 50, 20)

// THEN alice swap ~19 BIGTokenB and gets back 20 BIGTokenA
s.assertAliceBalancesInt(sdkmath.NewInt(20_000_000), sdkmath.NewInt(31_162_769))
s.assertAliceBalancesInt(sdkmath.NewInt(20_000_000), sdkmath.NewInt(31_162_770))
}

func (s *DexTestSuite) TestPlaceLimitOrderFoKMaxOutUsedMultiTick() {
Expand All @@ -433,7 +433,7 @@ func (s *DexTestSuite) TestPlaceLimitOrderFoKMaxOutUsedMultiTick() {
s.aliceLimitSellsWithMaxOut("TokenB", 0, 50, 20)

// THEN alice swap ~19 BIGTokenB and gets back 20 BIGTokenA
s.assertAliceBalancesInt(sdkmath.NewInt(20_000_000), sdkmath.NewInt(31_165_594))
s.assertAliceBalancesInt(sdkmath.NewInt(20_000_000), sdkmath.NewInt(31_165_596))
}

// Immediate Or Cancel LimitOrders ////////////////////////////////////////////////////////////////////
Expand Down Expand Up @@ -503,6 +503,43 @@ func (s *DexTestSuite) TestPlaceLimitOrderIoCWithLPNoFill() {
s.assertLimitLiquidityAtTick("TokenA", 1, 0)
}

func (s *DexTestSuite) TestPlaceLimitOrderIoCUnfairPriceFails() {
s.fundAliceBalances(10, 0)
s.fundBobBalances(0, 1)
// GIVEN LP of 1 TokenB at tick -20
s.bobDeposits(NewDeposit(0, 1, -20, 1))
// WHEN alice submits IoC limitOrder for 2 tokenA
_, err := s.limitSellsInt(s.alice, "TokenA", 10, sdkmath.NewInt(2), types.LimitOrderType_IMMEDIATE_OR_CANCEL)

// THEN alice's LimitOrder failswith SwapAmountTooSmall
s.ErrorIs(err, types.ErrSwapAmountTooSmall)

// Nothing is changed
s.assertAliceBalances(10, 0)
s.assertLiquidityAtTick(0, 1, -20, 1)
}

func (s *DexTestSuite) TestPlaceLimitOrderIoCUnfairPriceAbortsEarly() {
s.fundAliceBalances(1, 0)
s.fundBobBalances(0, 2)
// GIVEN LP of 1 TokenB at ticks -20 & -21
s.bobDeposits(
NewDeposit(0, 1, -21, 1),
NewDeposit(0, 1, -20, 1),
)
// WHEN alice submits IoC limitOrder for 999_004 small TokenA
_, err := s.limitSellsInt(s.alice, "TokenA", 10, sdkmath.NewInt(998_004), types.LimitOrderType_IMMEDIATE_OR_CANCEL)

// THEN alice's LimitOrder swaps through the first tick, but does not swap the second tick due to unfair pricing
s.NoError(err)

// The first tick swapped and the second tick is not
s.assertLiquidityAtTickInt(sdkmath.NewInt(998_002), sdkmath.ZeroInt(), -21, 1)
s.assertLiquidityAtTick(0, 1, -20, 1)
// only the first swap is deducted from alices balance
s.assertAliceBalancesInt(sdkmath.NewInt(1998), sdkmath.NewInt(1_000_000))
}

// Just In Time Limit Orders //////////////////////////////////////////////////

func (s *DexTestSuite) TestPlaceLimitOrderJITFills() {
Expand Down Expand Up @@ -542,7 +579,7 @@ func (s *DexTestSuite) TestPlaceLimitOrderJITBehindEnemyLines() {
s.assertLimitLiquidityAtTick("TokenA", 1, 0)
// Alice can withdraw ~10 BIGTokenB
s.aliceWithdrawsLimitSell(trancheKey)
s.assertAliceBalancesInt(sdkmath.ZeroInt(), sdkmath.NewInt(9999000))
s.assertAliceBalancesInt(sdkmath.ZeroInt(), sdkmath.NewInt(9998999))
}

func (s *DexTestSuite) TestPlaceLimitOrderJITNextBlock() {
Expand Down
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