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[Mirror] Fix network fees (#111)
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This PR mirrors the implementation of
cowprotocol/solver-rewards#400

It should be adapted when the original implementation if changed. It
needs to be merged, hotfixed into prod, and data for the accounting week
starting on 2024-09-17 needs to be resynced. Otherwise the dashboard for
the next payment will be out of sync with solver-rewards.
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@fhenneke
fhenneke authored Sep 24, 2024
1 parent bb1727e commit 128919a
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Showing 4 changed files with 199 additions and 99 deletions.
142 changes: 96 additions & 46 deletions src/sql/orderbook/barn_batch_rewards.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,6 @@ WITH observed_settlements AS (
-- settlement_observations
effective_gas_price * gas_used AS execution_cost,
surplus,
fee,
s.auction_id
FROM
settlement_observations so
Expand Down Expand Up @@ -35,30 +34,52 @@ auction_participation as (
GROUP BY
ss.auction_id
),
-- protocol fees:
-- order data
order_data AS (
SELECT
uid,
sell_token,
buy_token,
sell_amount,
buy_amount,
kind,
app_data
FROM orders
UNION ALL
SELECT
uid,
sell_token,
buy_token,
sell_amount,
buy_amount,
kind,
app_data
FROM jit_orders
),
-- additional trade data
order_surplus AS (
SELECT
ss.winner as solver,
s.auction_id,
s.tx_hash,
t.order_uid,
o.sell_token,
o.buy_token,
od.sell_token,
od.buy_token,
t.sell_amount, -- the total amount the user sends
t.buy_amount, -- the total amount the user receives
oe.surplus_fee as observed_fee, -- the total discrepancy between what the user sends and what they would have send if they traded at clearing price
o.kind,
od.kind,
CASE
WHEN o.kind = 'sell' THEN t.buy_amount - t.sell_amount * o.buy_amount / (o.sell_amount + o.fee_amount)
WHEN o.kind = 'buy' THEN t.buy_amount * (o.sell_amount + o.fee_amount) / o.buy_amount - t.sell_amount
WHEN od.kind = 'sell' THEN t.buy_amount - t.sell_amount * od.buy_amount / od.sell_amount
WHEN od.kind = 'buy' THEN t.buy_amount * od.sell_amount / od.buy_amount - t.sell_amount
END AS surplus,
CASE
WHEN o.kind = 'sell' THEN t.buy_amount - t.sell_amount * (oq.buy_amount - oq.buy_amount / oq.sell_amount * oq.gas_amount * oq.gas_price / oq.sell_token_price) / oq.sell_amount
WHEN o.kind = 'buy' THEN t.buy_amount * (oq.sell_amount + oq.gas_amount * oq.gas_price / oq.sell_token_price) / oq.buy_amount - t.sell_amount
WHEN od.kind = 'sell' THEN t.buy_amount - t.sell_amount * (oq.buy_amount - oq.buy_amount / oq.sell_amount * oq.gas_amount * oq.gas_price / oq.sell_token_price) / oq.sell_amount
WHEN od.kind = 'buy' THEN t.buy_amount * (oq.sell_amount + oq.gas_amount * oq.gas_price / oq.sell_token_price) / oq.buy_amount - t.sell_amount
END AS price_improvement,
CASE
WHEN o.kind = 'sell' THEN o.buy_token
WHEN o.kind = 'buy' THEN o.sell_token
WHEN od.kind = 'sell' THEN od.buy_token
WHEN od.kind = 'buy' THEN od.sell_token
END AS surplus_token,
ad.full_app_data as app_data
FROM
Expand All @@ -67,19 +88,20 @@ order_surplus AS (
ON s.auction_id = ss.auction_id
JOIN trades t -- contains traded amounts
ON s.block_number = t.block_number -- log_index cannot be checked, does not work correctly with multiple auctions on the same block
JOIN orders o -- contains tokens and limit amounts
ON t.order_uid = o.uid
JOIN order_data od -- contains tokens and limit amounts
ON t.order_uid = od.uid
JOIN order_execution oe -- contains surplus fee
ON t.order_uid = oe.order_uid
AND s.auction_id = oe.auction_id
LEFT OUTER JOIN order_quotes oq -- contains quote amounts
ON o.uid = oq.order_uid
ON od.uid = oq.order_uid
LEFT OUTER JOIN app_data ad -- contains full app data
on o.app_data = ad.contract_app_data
on od.app_data = ad.contract_app_data
WHERE
ss.block_deadline > {{start_block}}
AND ss.block_deadline <= {{end_block}}
),
-- protocol fees:
fee_policies_first_proxy as (
select
auction_id,
Expand Down Expand Up @@ -211,7 +233,7 @@ order_surplus_intermediate as (
partner_fee_recipient
from order_protocol_fee_first
),
order_protocol_fee as (
order_protocol_fee as materialized (
SELECT
os.auction_id,
os.solver,
Expand Down Expand Up @@ -287,13 +309,33 @@ order_protocol_fee as (
ON os.auction_id = fp.auction_id
AND os.order_uid = fp.order_uid
),
order_protocol_fee_prices AS (
price_data AS (
SELECT
opf.auction_id,
opf.solver,
opf.tx_hash,
opf.order_uid,
opf.surplus,
os.auction_id,
os.order_uid,
ap_surplus.price / pow(10, 18) as surplus_token_native_price,
ap_protocol.price / pow(10, 18) as protocol_fee_token_native_price,
ap_sell.price / pow(10, 18) as network_fee_token_native_price
FROM
order_surplus AS os
LEFT OUTER JOIN auction_prices ap_sell -- contains price: sell token
ON os.auction_id = ap_sell.auction_id
AND os.sell_token = ap_sell.token
LEFT OUTER JOIN auction_prices ap_surplus -- contains price: surplus token
ON os.auction_id = ap_surplus.auction_id
AND os.surplus_token = ap_surplus.token
LEFT OUTER JOIN auction_prices ap_protocol -- contains price: protocol fee token
ON os.auction_id = ap_protocol.auction_id
AND os.surplus_token = ap_protocol.token
),
combined_order_data AS (
SELECT
os.auction_id,
os.solver,
os.tx_hash,
os.order_uid,
os.surplus,
os.surplus_token,
opf.protocol_fee,
opf.protocol_fee_token,
CASE
Expand All @@ -303,33 +345,40 @@ order_protocol_fee_prices AS (
opf.partner_fee,
opf.partner_fee_recipient,
CASE
WHEN opf.sell_token != opf.protocol_fee_token THEN (opf.sell_amount - opf.observed_fee) / opf.buy_amount * opf.protocol_fee
ELSE opf.protocol_fee
END AS network_fee_correction,
opf.sell_token as network_fee_token,
ap_surplus.price / pow(10, 18) as surplus_token_native_price,
ap_protocol.price / pow(10, 18) as protocol_fee_token_native_price,
ap_sell.price / pow(10, 18) as network_fee_token_native_price
WHEN os.sell_token != os.surplus_token THEN os.observed_fee - (os.sell_amount - os.observed_fee) / os.buy_amount * coalesce(opf.protocol_fee, 0)
ELSE os.observed_fee - coalesce(opf.protocol_fee, 0)
END AS network_fee,
os.sell_token as network_fee_token,
surplus_token_native_price,
protocol_fee_token_native_price,
network_fee_token_native_price
FROM
order_protocol_fee as opf
JOIN auction_prices ap_sell -- contains price: sell token
ON opf.auction_id = ap_sell.auction_id
AND opf.sell_token = ap_sell.token
JOIN auction_prices ap_surplus -- contains price: surplus token
ON opf.auction_id = ap_surplus.auction_id
AND opf.surplus_token = ap_surplus.token
JOIN auction_prices ap_protocol -- contains price: protocol fee token
ON opf.auction_id = ap_protocol.auction_id
AND opf.protocol_fee_token = ap_protocol.token
order_surplus AS os
LEFT OUTER JOIN order_protocol_fee as opf
ON os.auction_id = opf.auction_id
AND os.order_uid = opf.order_uid
JOIN price_data pd
ON os.auction_id = pd.auction_id
AND os.order_uid = pd.order_uid
),
batch_protocol_fees AS (
SELECT
solver,
tx_hash,
sum(protocol_fee * protocol_fee_token_native_price) as protocol_fee,
sum(network_fee_correction * network_fee_token_native_price) as network_fee_correction
sum(protocol_fee * protocol_fee_token_native_price) as protocol_fee
FROM
combined_order_data
group by
solver,
tx_hash
),
batch_network_fees AS (
SELECT
solver,
tx_hash,
sum(network_fee * network_fee_token_native_price) as network_fee
FROM
order_protocol_fee_prices
combined_order_data
group by
solver,
tx_hash
Expand All @@ -346,7 +395,6 @@ reward_data AS (
block_deadline,
coalesce(execution_cost, 0) as execution_cost,
coalesce(surplus, 0) as surplus,
coalesce(fee, 0) as fee,
-- scores
winning_score,
case
Expand All @@ -360,9 +408,9 @@ reward_data AS (
-- protocol_fees
coalesce(cast(protocol_fee as numeric(78, 0)), 0) as protocol_fee,
coalesce(
cast(network_fee_correction as numeric(78, 0)),
cast(network_fee as numeric(78, 0)),
0
) as network_fee_correction
) as network_fee
FROM
settlement_scores ss
-- If there are reported scores,
Expand All @@ -371,6 +419,7 @@ reward_data AS (
-- outer joins made in order to capture non-existent settlements.
LEFT OUTER JOIN observed_settlements os ON os.auction_id = ss.auction_id
LEFT OUTER JOIN batch_protocol_fees bpf ON bpf.tx_hash = os.tx_hash
LEFT OUTER JOIN batch_network_fees bnf ON bnf.tx_hash = os.tx_hash
),
reward_per_auction as (
SELECT
Expand All @@ -382,7 +431,7 @@ reward_per_auction as (
execution_cost,
surplus,
protocol_fee, -- the protocol fee
fee - network_fee_correction as network_fee, -- the network fee
network_fee, -- the network fee
observed_score - reference_score as uncapped_payment,
-- Capped Reward = CLAMP_[-E, E + exec_cost](uncapped_reward_eth)
LEAST(
Expand Down Expand Up @@ -417,3 +466,4 @@ SELECT
participating_solvers
FROM
reward_per_auction
ORDER BY block_deadline
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