Fee curve

CHANGELOG.md

@@ -19,6 +19,25 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Security
 
+## dynamic-amm-quote [0.0.5] - PR[#204](https://github.com/MeteoraAg/dynamic-amm-sdk/pull/204/)
+
+### Changed
+
+- Support fee curve quote
+
+## dynamic-amm [0.6.2] - PR[#204](https://github.com/MeteoraAg/dynamic-amm-sdk/pull/204/)
+
+- Add fee curve related state in `Pool` account
+
+## @meteora-ag/dynamic-amm-sdk [1.3.2] - PR[#204](https://github.com/MeteoraAg/dynamic-amm-sdk/pull/204/)
+
+### Changed
+
+- improve stake pool price
+- `createCustomizablePermissionlessConstantProductPool` function `customizableParams` now require `feeCurve`. See [test](./ts-client/src/amm/tests/initializeCustomizablePermissionlessConstantProductPool.test.ts) example.
+- `createCustomizablePermissionlessConstantProductPool` function `customizableParams` no longer need to pass in `padding`
+- `calculateTradingFee` and `calculateProtocolTradingFee` function receive `PoolFees` instead of `PoolState`
+
 ## commons [0.0.5] - PR[#195](https://github.com/MeteoraAG/dynamic-amm-sdk/pull/195)
 
 ### Added

Cargo.toml

@@ -3,6 +3,6 @@ members = ["programs/*", "rust-client", "dynamic-amm-quote", "common"]
 resolver = "2"
 
 [workspace.package]
-version = "0.0.5"
+version = "0.0.6"
 authors = ["Andrew"]
 edition = "2021"

dynamic-amm-quote/src/depeg/mod.rs

@@ -4,7 +4,6 @@ use anyhow::{Context, Result};
 use prog_dynamic_amm::constants::depeg::BASE_CACHE_EXPIRES;
 use prog_dynamic_amm::state::CurveType;
 use prog_dynamic_amm::state::DepegType;
-use prog_dynamic_amm::state::Pool;
 use std::collections::HashMap;
 
 /// Marinade module consists of functions to support marinade depeg pool operation
@@ -29,11 +28,12 @@ fn get_stake_pool_virtual_price(
 
 /// Update depeg base virtual price
 pub fn update_base_virtual_price(
-    pool: &mut Pool,
+    curve_type: &mut CurveType,
     clock: &Clock,
     stake_data: HashMap<Pubkey, Vec<u8>>,
+    spl_stake_pool: Pubkey,
 ) -> Result<()> {
-    match &mut pool.curve_type {
+    match curve_type {
         CurveType::ConstantProduct => Ok(()),
         CurveType::Stable { depeg, .. } => {
             if !depeg.depeg_type.is_none() {
@@ -44,7 +44,7 @@ pub fn update_base_virtual_price(
 
                 if clock.unix_timestamp as u64 > cache_expire_time {
                     let virtual_price =
-                        get_stake_pool_virtual_price(depeg.depeg_type, pool.stake, stake_data)
+                        get_stake_pool_virtual_price(depeg.depeg_type, spl_stake_pool, stake_data)
                             .context("Fail to get stake pool virtual price")?;
 
                     depeg.base_cache_updated = clock.unix_timestamp as u64;

dynamic-amm-quote/src/depeg/spl_stake.rs

@@ -6,9 +6,33 @@ use std::convert::TryInto;
 pub fn get_virtual_price(bytes: &[u8]) -> Option<u64> {
     let stake: StakePool = borsh0_10::try_from_slice_unchecked(bytes).ok()?;
 
-    let virtual_price = (stake.total_lamports as u128)
-        .checked_mul(depeg::PRECISION as u128)?
-        .checked_div(stake.pool_token_supply as u128)?;
+    let total_lamports: u128 = stake.total_lamports.into();
+    let pool_token_supply: u128 = stake.pool_token_supply.into();
+
+    // may be higher if we apply deposit fee
+    let deposit_price = total_lamports
+        .checked_mul(depeg::PRECISION.into())?
+        .checked_div(pool_token_supply)?;
+
+    let withdraw_fee_denominator: u128 = stake.sol_withdrawal_fee.denominator.into();
+    let withdraw_fee_numerator: u128 = stake.sol_withdrawal_fee.numerator.into();
+
+    // sanity check
+    if withdraw_fee_denominator <= withdraw_fee_numerator.checked_mul(10)? {
+        return deposit_price.try_into().ok();
+    }
+
+    let withdraw_price = total_lamports
+        .checked_mul(withdraw_fee_denominator.checked_sub(withdraw_fee_numerator)?)?
+        .checked_mul(depeg::PRECISION.into())?
+        .checked_div(withdraw_fee_denominator)?
+        .checked_div(pool_token_supply)?;
+
+    // deposit price has weight more than 3 times with withdraw price
+    let virtual_price = deposit_price
+        .checked_mul(3)?
+        .checked_add(withdraw_price)?
+        .checked_div(4)?;
 
     virtual_price.try_into().ok()
 }

dynamic-amm-quote/src/lib.rs

@@ -6,8 +6,9 @@ use crate::math::*;
 use anchor_lang::prelude::*;
 use anchor_spl::token::{Mint, TokenAccount};
 use anyhow::{anyhow, ensure, Context};
+use prog_dynamic_amm::constants::FEE_CURVE_POINT_NUMBER;
 use prog_dynamic_amm::error::PoolError;
-use prog_dynamic_amm::state::{ActivationType, Pool};
+use prog_dynamic_amm::state::{ActivationType, FeeCurveType, Pool, PoolFees};
 use prog_dynamic_vault::state::Vault;
 use spl_token_swap::curve::calculator::TradeDirection;
 use std::collections::HashMap;
@@ -61,7 +62,7 @@ pub fn compute_quote(
     quote_data: QuoteData,
 ) -> anyhow::Result<QuoteResult> {
     let QuoteData {
-        mut pool,
+        pool,
         vault_a,
         vault_b,
         pool_vault_a_lp_token,
@@ -88,7 +89,8 @@ pub fn compute_quote(
         "Swap is disabled"
     );
 
-    update_base_virtual_price(&mut pool, &clock, stake_data)?;
+    let mut curve = pool.curve_type;
+    update_base_virtual_price(&mut curve, &clock, stake_data, pool.stake)?;
 
     let current_time: u64 = clock.unix_timestamp.try_into()?;
 
@@ -151,13 +153,13 @@ pub fn compute_quote(
         ),
     };
 
-    let trade_fee = pool
-        .fees
+    let latest_pool_fees = get_latest_pool_fees(&pool, current_point)?;
+
+    let trade_fee = latest_pool_fees
         .trading_fee(in_amount.into())
         .context("Fail to calculate trading fee")?;
 
-    let protocol_fee = pool
-        .fees
+    let protocol_fee = latest_pool_fees
         .protocol_trading_fee(trade_fee)
         .context("Fail to calculate protocol trading fee")?;
 
@@ -259,3 +261,51 @@ pub fn compute_pool_tokens(
         .ok_or(PoolError::MathOverflow)?;
     Ok((token_a_amount, token_b_amount))
 }
+
+pub fn get_latest_pool_fees(state: &Pool, current_point: u64) -> anyhow::Result<PoolFees> {
+    if state.fee_curve.fee_curve_type == FeeCurveType::None || state.is_update_fee_completed {
+        return Ok(state.fees);
+    }
+
+    let points = state.fee_curve.points;
+
+    let get_latest_trade_bps = move || -> u16 {
+        for i in 0..FEE_CURVE_POINT_NUMBER {
+            // current_point is between i-1 and i
+            if points[i].activated_point >= current_point {
+                if i == 0 {
+                    return points[i].fee_bps;
+                }
+                if state.fee_curve.fee_curve_type == FeeCurveType::Flat {
+                    return points[i - 1].fee_bps;
+                }
+
+                let m: u64 = points[i - 1].fee_bps.into();
+                let n: u64 = points[i].fee_bps.into();
+                let a = points[i - 1].activated_point;
+                let b = points[i].activated_point;
+
+                let denominator = b - a;
+                if denominator == 0 {
+                    return m as u16;
+                } else {
+                    let numerator = n * (current_point - a) + m * (b - current_point);
+                    return (numerator / denominator) as u16;
+                }
+            }
+        }
+        points[FEE_CURVE_POINT_NUMBER - 1].fee_bps
+    };
+
+    let latest_trade_fee_bps = get_latest_trade_bps();
+    let trade_fee_numerator = u64::from(latest_trade_fee_bps)
+        .checked_mul(10)
+        .context("Overflow")?;
+
+    Ok(PoolFees {
+        trade_fee_numerator,
+        trade_fee_denominator: state.fees.trade_fee_denominator,
+        protocol_trade_fee_numerator: state.fees.protocol_trade_fee_numerator,
+        protocol_trade_fee_denominator: state.fees.protocol_trade_fee_denominator,
+    })
+}

programs/dynamic-amm/Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "dynamic-amm"
-version = "0.6.1"
+version = "0.6.2"
 description = "Created with Anchor"
 edition = "2021"
 

programs/dynamic-amm/src/constants.rs

@@ -5,6 +5,10 @@ use anchor_lang::solana_program::pubkey;
 /// Minimum seconds between last AMP changes
 pub const MIN_CHANGE_AMP_DURATION: u64 = 600; // 10 minutes
 
+pub const FEE_CURVE_POINT_NUMBER: usize = 7;
+
+pub const FEE_CURVE_DURATION_NUMBER: usize = 6;
+
 pub mod seeds {
     pub const CONFIG_PREFIX: &[u8] = b"config";
 }

programs/dynamic-amm/src/instructions/initialize_customizable_permissionless_constant_product_pool.rs

@@ -1,8 +1,8 @@
 use crate::{
-    constants::{activation::*, fee::*, QUOTE_MINTS},
+    constants::{activation::*, fee::*, FEE_CURVE_DURATION_NUMBER, QUOTE_MINTS},
     error::PoolError,
     get_first_key, get_lp_mint_decimal, get_second_key,
-    state::Pool,
+    state::{FeeCurveType, Pool},
 };
 use anchor_lang::prelude::*;
 use anchor_spl::{
@@ -166,6 +166,22 @@ pub struct InitializeCustomizablePermissionlessConstantProductPool<'info> {
     pub system_program: Program<'info, System>,
 }
 
+#[derive(Copy, Clone, Debug, AnchorSerialize, AnchorDeserialize, InitSpace, Default, PartialEq)]
+pub struct FeeBpsFromDuration {
+    // Fee bps
+    pub fee_bps: u16, //u16::MAX = 65_535 > 10_000
+    // Activated duration (from current point)
+    pub activated_duration: u32,
+}
+
+#[derive(Copy, Clone, Debug, AnchorSerialize, AnchorDeserialize, Default, InitSpace, PartialEq)]
+pub struct FeeCurveInfoFromDuration {
+    /// Fee curve type, could be flat or linear
+    pub fee_curve_type: FeeCurveType,
+    /// Fee curve point
+    pub points: [FeeBpsFromDuration; FEE_CURVE_DURATION_NUMBER],
+}
+
 #[derive(AnchorSerialize, AnchorDeserialize, Clone, Copy)]
 pub struct CustomizableParams {
     /// Trading fee.
@@ -176,6 +192,8 @@ pub struct CustomizableParams {
     pub has_alpha_vault: bool,
     /// Activation type
     pub activation_type: u8,
+    /// Fee curve info
+    pub fee_curve: FeeCurveInfoFromDuration,
     /// Padding
-    pub padding: [u8; 90],
+    pub padding: [u8; 53],
 }

programs/dynamic-amm/src/state.rs

@@ -1,5 +1,5 @@
 //! Pool account state
-use crate::constants;
+use crate::constants::{self, FEE_CURVE_POINT_NUMBER};
 use anchor_lang::prelude::*;
 use std::fmt::Debug;
 
@@ -28,11 +28,28 @@ pub struct Padding {
     /// Padding 0
     pub padding_0: [u8; 6], // 6
     /// Padding 1
-    pub padding_1: [u64; 21], // 168
+    pub padding_1: [u64; 12], // 96
     /// Padding 2
     pub padding_2: [u64; 21], // 168
 }
 
+/// Fee curve type
+#[derive(AnchorSerialize, AnchorDeserialize, Clone, Copy, Debug, PartialEq, InitSpace)]
+pub enum FeeCurveType {
+    /// No dynamic fee
+    None,
+    /// Flat
+    Flat,
+    /// Linear (we dont allow this fee curve type now)
+    Linear,
+}
+
+impl Default for FeeCurveType {
+    fn default() -> Self {
+        FeeCurveType::None
+    }
+}
+
 /// Host fee
 pub struct HostFee<'c, 'info> {
     /// Host fee
@@ -96,11 +113,32 @@ pub struct Pool {
     /// Bootstrapping config
     pub bootstrapping: Bootstrapping,
     pub partner_info: PartnerInfo,
+    /// fee curve
+    pub fee_curve: FeeCurveInfo,
+    /// Flag to indicate that fee update onchain is completed
+    pub is_update_fee_completed: bool,
     /// Padding for future pool field
     pub padding: Padding,
     /// The type of the swap curve supported by the pool.
     // Leaving curve_type as last field give us the flexibility to add specific curve information / new curve type
     pub curve_type: CurveType, //9
+    pub _padding1: [u8; 19],
+}
+
+#[derive(Copy, Clone, Debug, AnchorSerialize, AnchorDeserialize, Default, InitSpace)]
+pub struct FeeCurveInfo {
+    /// Fee curve type, could be flat or linear
+    pub fee_curve_type: FeeCurveType,
+    /// Fee curve point
+    pub points: [FeeBpsFromActivatedPoint; FEE_CURVE_POINT_NUMBER],
+}
+
+#[derive(Copy, Clone, Debug, AnchorSerialize, AnchorDeserialize, InitSpace, Default)]
+pub struct FeeBpsFromActivatedPoint {
+    // fee_bps
+    pub fee_bps: u16, //u16::MAX = 65_535 > 10000
+    // Activated point
+    pub activated_point: u64,
 }
 
 #[derive(Copy, Clone, Debug, AnchorSerialize, AnchorDeserialize, InitSpace, Default)]

rust-client/Cargo.toml

@@ -13,7 +13,6 @@ solana-rpc-client = { version = "1.16.0" }
 solana-sdk = { version = "1.16.0" }
 spl-associated-token-account = "2.2.0"
 anyhow = "1.0.57"
-spl-token = "3.5.0"
 bincode = "1.3.3"
 serde = "1.0.137"
 serde_json = "1.0.102"