Implement Combinatorial Betting (#1354)

* Revert "New Asset System (#1295)" (#1338) * Revert "New Asset System (#1295)" This reverts commit a956877. * Fix formatting * Update copyright * Remove pallet-assets dependency * Fix fuzz tests * Merge `main` into `develop` (#1345) * Update dependencies to Polkadot v1.1.0 (#1331) * Update dependencies (#1319) * Update dependencies to polkadot-v1.1.0 * Format code * Remove duplicate dependencies * Update zrml-asset-router (#1321) * Update zrml-primitives * Partially update asset-router * Finalize logic adjustments in asset-router * Make asset-router tests compilable * Correct Inspect routing for market assets in Currencies * Directly invoke Inspect API for Currencies * Add tests for remaining Unbalances functions * Update remaining Zeitgeist pallets (#1322) * Update zrml-asset-router (#1321) * Upgrade zrml-market-commons * Upgrade zrml-authorized && use MockBlock instead of MockBlockU32 * Upgrade zrml-court * Upgrade zrml-global-disputes * Upgrade liquidity mining * Upgrade zrml-rikiddo * Upgrade zrml-simple-disputes * Upgrade zrml-styx * Upgrade zrml-orderbook * Upgrade zrml-parimutuel * Upgrade zrml-swaps * Upgrade zrml-prediction-markets * Upgrade zrml-neo-swaps * Upgrade zrml-hybrid-router * Update license headers * Update runtime (#1323) * Update weight files & Runtime enum * Use workspace metadata * Always use serde serialization for asset types * Make battery station standalone runtime compilable * Make benchmark and try-runtime feature compilable * Make BS build with all features * Make parachain tests compile * Partially fix xcm tests * Use safe xcm version 2 * Update Zeitgeist runtime (except xcm tests) * Format code * Remove deprecated comment * Integrate new xcm-emulator (#1324) * Integrate new xcm-emulator environment * Utilize new xcm-emulator interfaces * Spawn relay-para network using patched xcm-emulator * Use proper collator genesis config * Fix Rococo tests * Finalize Battery Station XCM tests * Finalize Zeitgeist XCM tests * Update client (#1327) * Fix rpc and work on client update * Finalize standalone client * Update parachain client * Use same try-runtime subcommand in every case * Update node/src/cli.rs Co-authored-by: Malte Kliemann <[email protected]> * Update try-runtime* Makefile targets --------- Co-authored-by: Malte Kliemann <[email protected]> * Make CI succeed and add migrations (#1329) * Fix rpc and work on client update * Finalize standalone client * Update parachain client * Use same try-runtime subcommand in every case * Satisfy Clippy * Fix benchmarks * Add migrations * Satisfy Clippy * Update moonkit depedencies * Free disk space more aggressively --------- Co-authored-by: Malte Kliemann <[email protected]> * Update spec version, try-runtime Makefile * Fix copyright notices * Fix broken chain state (#1336) * Add `StorageVersion` fix and contrats fix migrations * Don't set pallet-balances' storage version * Remove migrations from pallet-contracts config * Clear storage tries of contracts * Fix migration and info logs in try-runtime * Fix licenses and comments * Fix formatting --------- Co-authored-by: mergify[bot] <37929162+mergify[bot]@users.noreply.github.com> --------- Co-authored-by: Harald Heckmann <[email protected]> Co-authored-by: mergify[bot] <37929162+mergify[bot]@users.noreply.github.com> * Merge * Fix benchmark * Fix compiler error * Fix tests and imports * Fix imports (again...) * Fix orderbook benchmarks * Fix fuzz tests * Fix formatting * Fix orderbook fuzz --------- Co-authored-by: Harald Heckmann <[email protected]> Co-authored-by: mergify[bot] <37929162+mergify[bot]@users.noreply.github.com> * Update versions to v0.5.3 * Restructure math module * More scaffolding * Implement combinatorial buy math * Implement price calculation for combo * Remove `println!` * Implement equalization * Implement selling * Add tests for combinatorial buying * Add more tests for combinatorial buying * Add tests for equalization * Add more tests/corner cases * Implement full testing, fix critical bug --------- Co-authored-by: Harald Heckmann <[email protected]> Co-authored-by: mergify[bot] <37929162+mergify[bot]@users.noreply.github.com>
zeitgeistpm · Sep 13, 2024 · ff21a04 · ff21a04
1 parent 2858166
commit ff21a04
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Showing 10 changed files with 1,063 additions and 153 deletions.
diff --git a/zrml/neo-swaps/src/lib.rs b/zrml/neo-swaps/src/lib.rs
@@ -40,7 +40,7 @@ mod pallet {
     use crate::{
         consts::LN_NUMERICAL_LIMIT,
         liquidity_tree::types::{BenchmarkInfo, LiquidityTree, LiquidityTreeError},
-        math::{Math, MathOps},
+        math::{traits::MathOps, types::Math},
         traits::{pool_operations::PoolOperations, LiquiditySharesManager},
         types::{FeeDistribution, MaxAssets, Pool},
         weights::*,

diff --git a/zrml/neo-swaps/src/math/mod.rs b/zrml/neo-swaps/src/math/mod.rs
@@ -0,0 +1,20 @@
+// Copyright 2023-2024 Forecasting Technologies LTD.
+//
+// This file is part of Zeitgeist.
+//
+// Zeitgeist is free software: you can redistribute it and/or modify it
+// under the terms of the GNU General Public License as published by the
+// Free Software Foundation, either version 3 of the License, or (at
+// your option) any later version.
+//
+// Zeitgeist is distributed in the hope that it will be useful, but
+// WITHOUT ANY WARRANTY; without even the implied warranty of
+// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+// General Public License for more details.
+//
+// You should have received a copy of the GNU General Public License
+// along with Zeitgeist. If not, see <https://www.gnu.org/licenses/>.
+
+pub(crate) mod traits;
+mod transcendental;
+pub(crate) mod types;
diff --git a/zrml/neo-swaps/src/math/traits/combo_math_ops.rs b/zrml/neo-swaps/src/math/traits/combo_math_ops.rs
@@ -0,0 +1,54 @@
+// Copyright 2024 Forecasting Technologies LTD.
+//
+// This file is part of Zeitgeist.
+//
+// Zeitgeist is free software: you can redistribute it and/or modify it
+// under the terms of the GNU General Public License as published by the
+// Free Software Foundation, either version 3 of the License, or (at
+// your option) any later version.
+//
+// Zeitgeist is distributed in the hope that it will be useful, but
+// WITHOUT ANY WARRANTY; without even the implied warranty of
+// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+// General Public License for more details.
+//
+// You should have received a copy of the GNU General Public License
+// along with Zeitgeist. If not, see <https://www.gnu.org/licenses/>.
+
+use crate::{BalanceOf, Config};
+use sp_runtime::DispatchError;
+
+pub(crate) trait ComboMathOps<T>
+where
+    T: Config,
+{
+    fn calculate_swap_amount_out_for_buy(
+        buy: Vec<BalanceOf<T>>,
+        sell: Vec<BalanceOf<T>>,
+        amount_in: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+
+    fn calculate_equalize_amount(
+        buy: Vec<BalanceOf<T>>,
+        sell: Vec<BalanceOf<T>>,
+        amount_buy: BalanceOf<T>,
+        amount_sell: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+
+    fn calculate_swap_amount_out_for_sell(
+        buy: Vec<BalanceOf<T>>,
+        keep: Vec<BalanceOf<T>>,
+        sell: Vec<BalanceOf<T>>,
+        amount_buy: BalanceOf<T>,
+        amount_keep: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+
+    fn calculate_spot_price(
+        buy: Vec<BalanceOf<T>>,
+        sell: Vec<BalanceOf<T>>,
+        liquidity: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+}
diff --git a/zrml/neo-swaps/src/math/traits/math_ops.rs b/zrml/neo-swaps/src/math/traits/math_ops.rs
@@ -0,0 +1,64 @@
+// Copyright 2023-2024 Forecasting Technologies LTD.
+//
+// This file is part of Zeitgeist.
+//
+// Zeitgeist is free software: you can redistribute it and/or modify it
+// under the terms of the GNU General Public License as published by the
+// Free Software Foundation, either version 3 of the License, or (at
+// your option) any later version.
+//
+// Zeitgeist is distributed in the hope that it will be useful, but
+// WITHOUT ANY WARRANTY; without even the implied warranty of
+// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+// General Public License for more details.
+//
+// You should have received a copy of the GNU General Public License
+// along with Zeitgeist. If not, see <https://www.gnu.org/licenses/>.
+
+use crate::{BalanceOf, Config};
+use sp_runtime::DispatchError;
+
+pub(crate) trait MathOps<T>
+where
+    T: Config,
+{
+    fn calculate_swap_amount_out_for_buy(
+        reserve: BalanceOf<T>,
+        amount_in: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+
+    fn calculate_swap_amount_out_for_sell(
+        reserve: BalanceOf<T>,
+        amount_in: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+
+    fn calculate_spot_price(
+        reserve: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+
+    fn calculate_reserves_from_spot_prices(
+        amount: BalanceOf<T>,
+        spot_prices: Vec<BalanceOf<T>>,
+    ) -> Result<(BalanceOf<T>, Vec<BalanceOf<T>>), DispatchError>;
+
+    fn calculate_buy_ln_argument(
+        reserve: BalanceOf<T>,
+        amount: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+
+    fn calculate_buy_amount_until(
+        until: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+        spot_price: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+
+    fn calculate_sell_amount_until(
+        until: BalanceOf<T>,
+        liquidity: BalanceOf<T>,
+        spot_price: BalanceOf<T>,
+    ) -> Result<BalanceOf<T>, DispatchError>;
+}
diff --git a/zrml/neo-swaps/src/math/traits/mod.rs b/zrml/neo-swaps/src/math/traits/mod.rs
@@ -0,0 +1,22 @@
+// Copyright 2024 Forecasting Technologies LTD.
+//
+// This file is part of Zeitgeist.
+//
+// Zeitgeist is free software: you can redistribute it and/or modify it
+// under the terms of the GNU General Public License as published by the
+// Free Software Foundation, either version 3 of the License, or (at
+// your option) any later version.
+//
+// Zeitgeist is distributed in the hope that it will be useful, but
+// WITHOUT ANY WARRANTY; without even the implied warranty of
+// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+// General Public License for more details.
+//
+// You should have received a copy of the GNU General Public License
+// along with Zeitgeist. If not, see <https://www.gnu.org/licenses/>.
+
+mod combo_math_ops;
+mod math_ops;
+
+pub(crate) use combo_math_ops::ComboMathOps;
+pub(crate) use math_ops::MathOps;
diff --git a/zrml/neo-swaps/src/math/transcendental.rs b/zrml/neo-swaps/src/math/transcendental.rs
@@ -0,0 +1,120 @@
+// Copyright 2023-2024 Forecasting Technologies LTD.
+//
+// This file is part of Zeitgeist.
+//
+// Zeitgeist is free software: you can redistribute it and/or modify it
+// under the terms of the GNU General Public License as published by the
+// Free Software Foundation, either version 3 of the License, or (at
+// your option) any later version.
+//
+// Zeitgeist is distributed in the hope that it will be useful, but
+// WITHOUT ANY WARRANTY; without even the implied warranty of
+// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+// General Public License for more details.
+//
+// You should have received a copy of the GNU General Public License
+// along with Zeitgeist. If not, see <https://www.gnu.org/licenses/>.
+//
+// This file incorporates work covered by the following copyright and
+// permission notice:
+//
+//     Copyright (c) 2019 Alain Brenzikofer, modified by GalacticCouncil(2021)
+//
+//     Licensed under the Apache License, Version 2.0 (the "License");
+//     you may not use this file except in compliance with the License.
+//     You may obtain a copy of the License at
+//
+//          http://www.apache.org/licenses/LICENSE-2.0
+//
+//     Unless required by applicable law or agreed to in writing, software
+//     distributed under the License is distributed on an "AS IS" BASIS,
+//     WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+//     See the License for the specific language governing permissions and
+//     limitations under the License.
+//
+//     Original source: https://github.com/encointer/substrate-fixed
+//
+// The changes applied are: Re-used and extended tests for `exp` and other
+// functions.
+
+pub(crate) use hydra_dx_math::transcendental::{exp, ln};
+
+#[cfg(test)]
+mod tests {
+    use super::*;
+    use alloc::str::FromStr;
+    use fixed::types::U64F64;
+    use test_case::test_case;
+
+    type S = U64F64;
+    type D = U64F64;
+
+    #[test_case("0", false, "1")]
+    #[test_case("0", true, "1")]
+    #[test_case("1", false, "2.7182818284590452353")]
+    #[test_case("1", true, "0.367879441171442321595523770161460867445")]
+    #[test_case("2", false, "7.3890560989306502265")]
+    #[test_case("2", true, "0.13533528323661269186")]
+    #[test_case("0.1", false, "1.1051709180756476246")]
+    #[test_case("0.1", true, "0.9048374180359595733")]
+    #[test_case("0.9", false, "2.4596031111569496633")]
+    #[test_case("0.9", true, "0.40656965974059911195")]
+    #[test_case("1.5", false, "4.481689070338064822")]
+    #[test_case("1.5", true, "0.22313016014842982894")]
+    #[test_case("3.3", false, "27.1126389206578874259")]
+    #[test_case("3.3", true, "0.03688316740124000543")]
+    #[test_case("7.3456", false, "1549.3643050275008503592")]
+    #[test_case("7.3456", true, "0.00064542599616831253")]
+    #[test_case("12.3456789", false, "229964.194569082134542849")]
+    #[test_case("12.3456789", true, "0.00000434850304358833")]
+    #[test_case("13", false, "442413.39200892050332603603")]
+    #[test_case("13", true, "0.0000022603294069810542")]
+    fn exp_works(operand: &str, neg: bool, expected: &str) {
+        let o = U64F64::from_str(operand).unwrap();
+        let e = U64F64::from_str(expected).unwrap();
+        assert_eq!(exp::<S, D>(o, neg).unwrap(), e);
+    }
+
+    #[test_case("1", "0", false)]
+    #[test_case("2", "0.69314718055994530943", false)]
+    #[test_case("3", "1.09861228866810969136", false)]
+    #[test_case("2.718281828459045235360287471352662497757", "1", false)]
+    #[test_case("1.1051709180756476246", "0.09999999999999999975", false)]
+    #[test_case("2.4596031111569496633", "0.89999999999999999976", false)]
+    #[test_case("4.481689070338064822", "1.49999999999999999984", false)]
+    #[test_case("27.1126389206578874261", "3.3", false)]
+    #[test_case("1549.3643050275008503592", "7.34560000000000000003", false)]
+    #[test_case("229964.194569082134542849", "12.3456789000000000002", false)]
+    #[test_case("442413.39200892050332603603", "13.0000000000000000002", false)]
+    #[test_case("0.9048374180359595733", "0.09999999999999999975", true)]
+    #[test_case("0.40656965974059911195", "0.8999999999999999998", true)]
+    #[test_case("0.22313016014842982894", "1.4999999999999999999", true)]
+    #[test_case("0.03688316740124000543", "3.3000000000000000005", true)]
+    #[test_case("0.00064542599616831253", "7.34560000000000002453", true)]
+    #[test_case("0.00000434850304358833", "12.34567890000000711117", true)]
+    #[test_case("0.0000022603294069810542", "13.0000000000000045352", true)]
+    #[test_case("1.0001", "0.00009999500033330827", false)]
+    #[test_case("1.00000001", "0.0000000099999999499", false)]
+    #[test_case("0.9999", "0.00010000500033335825", true)]
+    #[test_case("0.99999999", "0.00000001000000004987", true)]
+    // Powers of 2 (since we're using squares when calculating the fractional part of log2.
+    #[test_case("3.999999999", "1.38629436086989061877", false)]
+    #[test_case("4", "1.38629436111989061886", false)]
+    #[test_case("4.000000001", "1.3862943613698906188", false)]
+    #[test_case("7.999999999", "2.07944154155483592824", false)]
+    #[test_case("8", "2.0794415416798359283", false)]
+    #[test_case("8.000000001", "2.0794415418048359282", false)]
+    #[test_case("0.499999999", "0.69314718255994531136", true)]
+    #[test_case("0.5", "0.69314718055994530943", true)]
+    #[test_case("0.500000001", "0.69314717855994531135", true)]
+    #[test_case("0.249999999", "1.38629436511989062684", true)]
+    #[test_case("0.25", "1.38629436111989061886", true)]
+    #[test_case("0.250000001", "1.38629435711989062676", true)]
+    fn ln_works(operand: &str, expected_abs: &str, expected_neg: bool) {
+        let o = U64F64::from_str(operand).unwrap();
+        let e = U64F64::from_str(expected_abs).unwrap();
+        let (a, n) = ln::<S, D>(o).unwrap();
+        assert_eq!(a, e);
+        assert_eq!(n, expected_neg);
+    }
+}