diff --git a/proto/neutron/dex/tx.proto b/proto/neutron/dex/tx.proto index c5a0f9eed..4b5bb18be 100644 --- a/proto/neutron/dex/tx.proto +++ b/proto/neutron/dex/tx.proto @@ -165,6 +165,15 @@ message MsgPlaceLimitOrder { (gogoproto.nullable) = true, (gogoproto.jsontag) = "limit_sell_price" ]; + // min_average_sell_price is an optional parameter that sets a required minimum average price for the entire trade. + // if the min_average_sell_price is not met the trade will fail. + // If min_average_sell_price is omitted limit_sell_price will be used instead + string min_average_sell_price = 12 [ + (gogoproto.moretags) = "yaml:\"min_average_sell_price\"", + (gogoproto.customtype) = "github.com/neutron-org/neutron/v5/utils/math.PrecDec", + (gogoproto.nullable) = true, + (gogoproto.jsontag) = "min_average_sell_price" + ]; } message MsgPlaceLimitOrderResponse { diff --git a/x/dex/keeper/grpc_query_estimate_place_limit_order.go b/x/dex/keeper/grpc_query_estimate_place_limit_order.go index 72927a477..972cd26ab 100644 --- a/x/dex/keeper/grpc_query_estimate_place_limit_order.go +++ b/x/dex/keeper/grpc_query_estimate_place_limit_order.go @@ -53,6 +53,7 @@ func (k Keeper) EstimatePlaceLimitOrder( req.OrderType, req.ExpirationTime, req.MaxAmountOut, + nil, callerAddr, receiverAddr, ) diff --git a/x/dex/keeper/grpc_query_simulate_place_limit_order.go b/x/dex/keeper/grpc_query_simulate_place_limit_order.go index 2d863013d..66ad120eb 100644 --- a/x/dex/keeper/grpc_query_simulate_place_limit_order.go +++ b/x/dex/keeper/grpc_query_simulate_place_limit_order.go @@ -49,6 +49,7 @@ func (k Keeper) SimulatePlaceLimitOrder( msg.OrderType, msg.ExpirationTime, msg.MaxAmountOut, + msg.MinAverageSellPrice, receiverAddr, ) if err != nil { diff --git a/x/dex/keeper/integration_placelimitorder_test.go b/x/dex/keeper/integration_placelimitorder_test.go index 27afad48a..f63f9b8a3 100644 --- a/x/dex/keeper/integration_placelimitorder_test.go +++ b/x/dex/keeper/integration_placelimitorder_test.go @@ -243,6 +243,57 @@ func (s *DexTestSuite) TestPlaceLimitOrderInsufficientFunds() { s.assertAliceLimitSellFails(err, "TokenA", 0, 10) } +func (s *DexTestSuite) TestPlaceLimitOrderGTCWithDustMinAvgPriceFails() { + s.fundAliceBalances(1, 0) + s.fundBobBalances(0, 1) + // GIVEN LP liq at 148.37-148.42 (with dust) + s.bobDeposits( + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_000, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_001, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_002, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(10), 50_003, 1), + ) + // THEN alice GTC limitOrder minAvgPrice == limitPrice fails + limitPrice := math_utils.MustNewPrecDecFromStr("0.006737") + _, err := s.msgServer.PlaceLimitOrder(s.Ctx, &types.MsgPlaceLimitOrder{ + Creator: s.alice.String(), + Receiver: s.alice.String(), + TokenIn: "TokenA", + TokenOut: "TokenB", + LimitSellPrice: &limitPrice, + AmountIn: sdkmath.NewInt(2000), + OrderType: types.LimitOrderType_GOOD_TIL_CANCELLED, + MinAverageSellPrice: &limitPrice, + }) + s.ErrorIs(err, types.ErrLimitPriceNotSatisfied) +} + +func (s *DexTestSuite) TestPlaceLimitOrderGTCWithDustMinAvgPrice() { + s.fundAliceBalances(1, 0) + s.fundBobBalances(0, 1) + // GIVEN LP liq at 148.37-148.42 (with dust) + s.bobDeposits( + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_000, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_001, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_002, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(10), 50_003, 1), + ) + // THEN alice IoC limitOrder with lower min avg prices success + limitPrice := math_utils.MustNewPrecDecFromStr("0.006737") + minAvgPrice := math_utils.MustNewPrecDecFromStr("0.006728") + _, err := s.msgServer.PlaceLimitOrder(s.Ctx, &types.MsgPlaceLimitOrder{ + Creator: s.alice.String(), + Receiver: s.alice.String(), + TokenIn: "TokenA", + TokenOut: "TokenB", + LimitSellPrice: &limitPrice, + AmountIn: sdkmath.NewInt(2000), + OrderType: types.LimitOrderType_GOOD_TIL_CANCELLED, + MinAverageSellPrice: &minAvgPrice, + }) + s.NoError(err) +} + func (s *DexTestSuite) TestLimitOrderPartialFillDepositCancel() { s.fundAliceBalances(100, 100) s.fundBobBalances(100, 100) @@ -303,6 +354,90 @@ func (s *DexTestSuite) TestPlaceLimitOrderWithDustHitsTruePriceLimit() { s.assertAliceLimitSellFails(types.ErrLimitPriceNotSatisfied, "TokenA", 20005, 1, types.LimitOrderType_IMMEDIATE_OR_CANCEL) } +func (s *DexTestSuite) TestPlaceLimitOrderIOCWithDustMinAvgPriceFails() { + s.fundAliceBalances(1, 0) + s.fundBobBalances(0, 1) + // GIVEN LP liq at 148.37-148.42 (with dust) + s.bobDeposits( + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_000, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_001, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_002, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(10), 50_003, 1), + ) + // THEN alice IoC limitOrder minAvgPrice == limitPrice fails + _, err := s.aliceLimitSellsWithMinAvgPrice( + "TokenA", + math_utils.MustNewPrecDecFromStr("0.006730"), + 1, + math_utils.MustNewPrecDecFromStr("0.006730"), + types.LimitOrderType_IMMEDIATE_OR_CANCEL, + ) + s.ErrorIs(err, types.ErrLimitPriceNotSatisfied) +} + +func (s *DexTestSuite) TestPlaceLimitOrderIOCWithDustMinAvgPrice() { + s.fundAliceBalances(1, 0) + s.fundBobBalances(0, 1) + // GIVEN LP liq at 148.37-148.42 (with dust) + s.bobDeposits( + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_000, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_001, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(1), 50_002, 1), + NewDepositInt(sdkmath.ZeroInt(), sdkmath.NewInt(10), 50_003, 1), + ) + // THEN alice IoC limitOrder with lower min avg prices success + _, err := s.aliceLimitSellsWithMinAvgPrice( + "TokenA", + math_utils.MustNewPrecDecFromStr("0.006730"), + 1, + math_utils.MustNewPrecDecFromStr("0.006727"), + types.LimitOrderType_IMMEDIATE_OR_CANCEL, + ) + s.NoError(err) +} + +func (s *DexTestSuite) TestPlaceLimitOrderIOCMinAvgPriceGTSellPriceFails() { + s.fundAliceBalances(40, 0) + s.fundBobBalances(0, 40) + // GIVEN LP liq between taker price .995 and .992 + s.bobDeposits( + NewDeposit(0, 10, 50, 1), + NewDeposit(0, 10, 60, 1), + NewDeposit(0, 10, 70, 1), + NewDeposit(0, 10, 80, 1), + ) + // THEN alice places IOC limitOrder with very low MinAveragePrice Fails + _, err := s.aliceLimitSellsWithMinAvgPrice( + "TokenA", + math_utils.MustNewPrecDecFromStr("0.99"), + 40, + math_utils.MustNewPrecDecFromStr("0.995"), + types.LimitOrderType_IMMEDIATE_OR_CANCEL, + ) + s.ErrorIs(err, types.ErrLimitPriceNotSatisfied) +} + +func (s *DexTestSuite) TestPlaceLimitOrderIOCMinAvgPriceGTSellPrice() { + s.fundAliceBalances(40, 0) + s.fundBobBalances(0, 40) + // GIVEN LP liq between taker price .995 and .992 + s.bobDeposits( + NewDeposit(0, 10, 50, 1), + NewDeposit(0, 10, 60, 1), + NewDeposit(0, 10, 70, 1), + NewDeposit(0, 10, 80, 1), + ) + // THEN alice places IOC limitOrder with an achievable MinAveragePrice + _, err := s.aliceLimitSellsWithMinAvgPrice( + "TokenA", + math_utils.MustNewPrecDecFromStr("0.99"), + 40, + math_utils.MustNewPrecDecFromStr("0.993"), + types.LimitOrderType_IMMEDIATE_OR_CANCEL, + ) + s.NoError(err) +} + func (s *DexTestSuite) TestPlaceLimitOrderWithDust() { s.fundAliceBalances(1, 0) s.fundBobBalances(0, 1) diff --git a/x/dex/keeper/liquidity.go b/x/dex/keeper/liquidity.go index 80385bce0..01df018cd 100644 --- a/x/dex/keeper/liquidity.go +++ b/x/dex/keeper/liquidity.go @@ -127,6 +127,7 @@ func (k Keeper) TakerLimitOrderSwap( amountIn math.Int, maxAmountOut *math.Int, limitPrice math_utils.PrecDec, + minAvgSellPrice math_utils.PrecDec, orderType types.LimitOrderType, ) (totalInCoin, totalOutCoin sdk.Coin, err error) { totalInCoin, totalOutCoin, orderFilled, err := k.SwapWithCache( @@ -150,7 +151,7 @@ func (k Keeper) TakerLimitOrderSwap( truePrice := math_utils.NewPrecDecFromInt(totalOutCoin.Amount).QuoInt(totalInCoin.Amount) - if truePrice.LT(limitPrice) { + if truePrice.LT(minAvgSellPrice) { return sdk.Coin{}, sdk.Coin{}, types.ErrLimitPriceNotSatisfied } @@ -164,6 +165,7 @@ func (k Keeper) MakerLimitOrderSwap( tradePairID types.TradePairID, amountIn math.Int, limitPrice math_utils.PrecDec, + minAvgSellPrice math_utils.PrecDec, ) (totalInCoin, totalOutCoin sdk.Coin, filled bool, err error) { totalInCoin, totalOutCoin, filled, err = k.SwapWithCache( ctx, @@ -178,11 +180,11 @@ func (k Keeper) MakerLimitOrderSwap( if totalInCoin.Amount.IsPositive() { remainingIn := amountIn.Sub(totalInCoin.Amount) - expectedOutMakerPortion := limitPrice.MulInt(remainingIn).Ceil() + expectedOutMakerPortion := limitPrice.MulInt(remainingIn) totalExpectedOut := expectedOutMakerPortion.Add(math_utils.NewPrecDecFromInt(totalOutCoin.Amount)) truePrice := totalExpectedOut.QuoInt(amountIn) - if truePrice.LT(limitPrice) { + if truePrice.LT(minAvgSellPrice) { return sdk.Coin{}, sdk.Coin{}, false, types.ErrLimitPriceNotSatisfied } } diff --git a/x/dex/keeper/msg_server.go b/x/dex/keeper/msg_server.go index a54b9dc0d..70fe6bd65 100644 --- a/x/dex/keeper/msg_server.go +++ b/x/dex/keeper/msg_server.go @@ -150,6 +150,7 @@ func (k MsgServer) PlaceLimitOrder( msg.OrderType, msg.ExpirationTime, msg.MaxAmountOut, + msg.MinAverageSellPrice, callerAddr, receiverAddr, ) diff --git a/x/dex/keeper/msg_server_test.go b/x/dex/keeper/msg_server_test.go index c790a17e0..6f8272a0a 100644 --- a/x/dex/keeper/msg_server_test.go +++ b/x/dex/keeper/msg_server_test.go @@ -398,6 +398,39 @@ func (s *DexTestSuite) limitSellsWithMaxOut( return msg.TrancheKey } +func (s *DexTestSuite) aliceLimitSellsWithMinAvgPrice( + selling string, + limitPrice math_utils.PrecDec, + amountIn int, + minAvgPrice math_utils.PrecDec, + orderType types.LimitOrderType, +) (*types.MsgPlaceLimitOrderResponse, error) { + return s.limitSellsWithMinAvgPrice(s.alice, selling, limitPrice, amountIn, minAvgPrice, orderType) +} + +func (s *DexTestSuite) limitSellsWithMinAvgPrice( + account sdk.AccAddress, + tokenIn string, + limitPrice math_utils.PrecDec, + amountIn int, + minAvgPrice math_utils.PrecDec, + orderType types.LimitOrderType, +) (*types.MsgPlaceLimitOrderResponse, error) { + tokenIn, tokenOut := dexkeeper.GetInOutTokens(tokenIn, "TokenA", "TokenB") + + return s.msgServer.PlaceLimitOrder(s.Ctx, &types.MsgPlaceLimitOrder{ + Creator: account.String(), + Receiver: account.String(), + TokenIn: tokenIn, + TokenOut: tokenOut, + TickIndexInToOut: 0, + LimitSellPrice: &limitPrice, + AmountIn: sdkmath.NewInt(int64(amountIn)).Mul(denomMultiple), + OrderType: orderType, + MinAverageSellPrice: &minAvgPrice, + }) +} + func (s *DexTestSuite) limitSellsWithPrice( account sdk.AccAddress, tokenIn string, @@ -2006,6 +2039,7 @@ func TestMsgPlaceLimitOrderValidate(t *testing.T) { ZEROINT := sdkmath.ZeroInt() ONEINT := sdkmath.OneInt() + ZERODEC := math_utils.ZeroPrecDec() TINYDEC := math_utils.MustNewPrecDecFromStr("0.000000000000000000000000494") HUGEDEC := math_utils.MustNewPrecDecFromStr("2020125331305056766452345.127500016657360222036663652") FIVEDEC := math_utils.NewPrecDec(5) @@ -2177,6 +2211,19 @@ func TestMsgPlaceLimitOrderValidate(t *testing.T) { }, types.ErrInvalidPriceAndTick, }, + { + "invalid zero min average sell price", + types.MsgPlaceLimitOrder{ + Creator: sample.AccAddress(), + Receiver: sample.AccAddress(), + TokenIn: "TokenA", + TokenOut: "TokenB", + LimitSellPrice: &FIVEDEC, + AmountIn: sdkmath.OneInt(), + MinAverageSellPrice: &ZERODEC, + }, + types.ErrZeroMinAverageSellPrice, + }, } for _, tt := range tests { diff --git a/x/dex/keeper/place_limit_order.go b/x/dex/keeper/place_limit_order.go index dd9171179..3702c3447 100644 --- a/x/dex/keeper/place_limit_order.go +++ b/x/dex/keeper/place_limit_order.go @@ -21,6 +21,7 @@ func (k Keeper) PlaceLimitOrderCore( orderType types.LimitOrderType, goodTil *time.Time, maxAmountOut *math.Int, + minAvgSellPrice *math_utils.PrecDec, callerAddr sdk.AccAddress, receiverAddr sdk.AccAddress, ) (trancheKey string, totalInCoin, swapInCoin, swapOutCoin sdk.Coin, err error) { @@ -38,6 +39,7 @@ func (k Keeper) PlaceLimitOrderCore( orderType, goodTil, maxAmountOut, + minAvgSellPrice, receiverAddr, ) if err != nil { @@ -102,16 +104,24 @@ func (k Keeper) ExecutePlaceLimitOrder( orderType types.LimitOrderType, goodTil *time.Time, maxAmountOut *math.Int, + minAvgSellPriceP *math_utils.PrecDec, receiverAddr sdk.AccAddress, ) (trancheKey string, totalIn math.Int, swapInCoin, swapOutCoin sdk.Coin, sharesIssued math.Int, err error) { amountLeft := amountIn var limitPrice math_utils.PrecDec limitPrice, err = types.CalcPrice(tickIndexInToOut) + if err != nil { return trancheKey, totalIn, swapInCoin, swapOutCoin, math.ZeroInt(), err } + // Use limitPrice for minAvgSellPrice if it has not be specified + minAvgSellPrice := limitPrice + if minAvgSellPriceP != nil { + minAvgSellPrice = *minAvgSellPriceP + } + // Ensure that after rounding user will get at least 1 token out. err = types.ValidateFairOutput(amountIn, limitPrice) if err != nil { @@ -120,9 +130,9 @@ func (k Keeper) ExecutePlaceLimitOrder( var orderFilled bool if orderType.IsTakerOnly() { - swapInCoin, swapOutCoin, err = k.TakerLimitOrderSwap(ctx, *takerTradePairID, amountIn, maxAmountOut, limitPrice, orderType) + swapInCoin, swapOutCoin, err = k.TakerLimitOrderSwap(ctx, *takerTradePairID, amountIn, maxAmountOut, limitPrice, minAvgSellPrice, orderType) } else { - swapInCoin, swapOutCoin, orderFilled, err = k.MakerLimitOrderSwap(ctx, *takerTradePairID, amountIn, limitPrice) + swapInCoin, swapOutCoin, orderFilled, err = k.MakerLimitOrderSwap(ctx, *takerTradePairID, amountIn, limitPrice, minAvgSellPrice) } if err != nil { return trancheKey, totalIn, swapInCoin, swapOutCoin, math.ZeroInt(), err diff --git a/x/dex/types/errors.go b/x/dex/types/errors.go index d822d49f6..4187226e3 100644 --- a/x/dex/types/errors.go +++ b/x/dex/types/errors.go @@ -224,4 +224,9 @@ var ( 1164, "No tradable liquidity below LimitSellPrice", ) + ErrZeroMinAverageSellPrice = sdkerrors.Register( + ModuleName, + 1165, + "MinAverageSellPrice must be nil or > 0.", + ) ) diff --git a/x/dex/types/message_place_limit_order.go b/x/dex/types/message_place_limit_order.go index 2ada309d7..f40494e71 100644 --- a/x/dex/types/message_place_limit_order.go +++ b/x/dex/types/message_place_limit_order.go @@ -121,6 +121,10 @@ func (msg *MsgPlaceLimitOrder) Validate() error { return ErrInvalidPriceAndTick } + if msg.MinAverageSellPrice != nil && msg.MinAverageSellPrice.IsZero() { + return ErrZeroMinAverageSellPrice + } + return nil } diff --git a/x/dex/types/tx.pb.go b/x/dex/types/tx.pb.go index c4059c38b..93681d614 100644 --- a/x/dex/types/tx.pb.go +++ b/x/dex/types/tx.pb.go @@ -455,6 +455,10 @@ type MsgPlaceLimitOrder struct { ExpirationTime *time.Time `protobuf:"bytes,9,opt,name=expiration_time,json=expirationTime,proto3,stdtime" json:"expiration_time,omitempty"` MaxAmountOut *cosmossdk_io_math.Int `protobuf:"bytes,10,opt,name=max_amount_out,json=maxAmountOut,proto3,customtype=cosmossdk.io/math.Int" json:"max_amount_out" yaml:"max_amount_out"` LimitSellPrice *github_com_neutron_org_neutron_v5_utils_math.PrecDec `protobuf:"bytes,11,opt,name=limit_sell_price,json=limitSellPrice,proto3,customtype=github.com/neutron-org/neutron/v5/utils/math.PrecDec" json:"limit_sell_price" yaml:"limit_sell_price"` + // min_average_sell_price is an optional parameter that sets a required minimum average price for the entire trade. + // if the min_average_sell_price is not met the trade will fail. + // If min_average_sell_price is omitted limit_sell_price will be used instead + MinAverageSellPrice *github_com_neutron_org_neutron_v5_utils_math.PrecDec `protobuf:"bytes,12,opt,name=min_average_sell_price,json=minAverageSellPrice,proto3,customtype=github.com/neutron-org/neutron/v5/utils/math.PrecDec" json:"min_average_sell_price" yaml:"min_average_sell_price"` } func (m *MsgPlaceLimitOrder) Reset() { *m = MsgPlaceLimitOrder{} } @@ -1057,126 +1061,129 @@ func init() { func init() { proto.RegisterFile("neutron/dex/tx.proto", fileDescriptor_a489f6e187d5e074) } var fileDescriptor_a489f6e187d5e074 = []byte{ - // 1896 bytes of a gzipped FileDescriptorProto + // 1940 bytes of a gzipped FileDescriptorProto 0x1f, 0x8b, 0x08, 0x00, 0x00, 0x00, 0x00, 0x00, 0x02, 0xff, 0xec, 0x59, 0xcb, 0x6f, 0x23, 0x49, - 0x19, 0x4f, 0xdb, 0x4e, 0x62, 0x57, 0x12, 0xc7, 0xd3, 0xc9, 0x6c, 0x3a, 0x1e, 0x94, 0xb6, 0x7a, - 0x56, 0x3b, 0x66, 0xc4, 0xd8, 0xe3, 0x81, 0xdd, 0x43, 0x0e, 0x48, 0x71, 0x1e, 0xbb, 0x66, 0xed, - 0x49, 0xd4, 0xe3, 0x15, 0x68, 0x57, 0xa2, 0x69, 0xbb, 0x2b, 0x4e, 0x2b, 0xdd, 0x5d, 0x56, 0x57, - 0x39, 0xe3, 0x70, 0x61, 0x85, 0x38, 0xed, 0x69, 0x2f, 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imports to suppress errors if they are not otherwise used. @@ -1941,6 +1948,18 @@ func (m *MsgPlaceLimitOrder) MarshalToSizedBuffer(dAtA []byte) (int, error) { _ = i var l int _ = l + if m.MinAverageSellPrice != nil { + { + size := m.MinAverageSellPrice.Size() + i -= size + if _, err := m.MinAverageSellPrice.MarshalTo(dAtA[i:]); err != nil { + return 0, err + } + i = encodeVarintTx(dAtA, i, uint64(size)) + } + i-- + dAtA[i] = 0x62 + } if m.LimitSellPrice != nil { { size := m.LimitSellPrice.Size() @@ -2719,6 +2738,10 @@ func (m *MsgPlaceLimitOrder) Size() (n int) { l = m.LimitSellPrice.Size() n += 1 + l + sovTx(uint64(l)) } + if m.MinAverageSellPrice != nil { + l = m.MinAverageSellPrice.Size() + n += 1 + l + sovTx(uint64(l)) + } return n } @@ -4569,6 +4592,42 @@ func (m *MsgPlaceLimitOrder) Unmarshal(dAtA []byte) error { return err } iNdEx = postIndex + case 12: + if wireType != 2 { + return fmt.Errorf("proto: wrong wireType = %d for field MinAverageSellPrice", wireType) + } + var stringLen uint64 + for shift := uint(0); ; shift += 7 { + if shift >= 64 { + return ErrIntOverflowTx + } + if iNdEx >= l { + return io.ErrUnexpectedEOF + } + b := dAtA[iNdEx] + iNdEx++ + stringLen |= uint64(b&0x7F) << shift + if b < 0x80 { + break + } + } + intStringLen := int(stringLen) + if intStringLen < 0 { + return ErrInvalidLengthTx + } + postIndex := iNdEx + intStringLen + if postIndex < 0 { + return ErrInvalidLengthTx + } + if postIndex > l { + return io.ErrUnexpectedEOF + } + var v github_com_neutron_org_neutron_v5_utils_math.PrecDec + m.MinAverageSellPrice = &v + if err := m.MinAverageSellPrice.Unmarshal(dAtA[iNdEx:postIndex]); err != nil { + return err + } + iNdEx = postIndex default: iNdEx = preIndex skippy, err := skipTx(dAtA[iNdEx:])