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Round protocol fee up in quote computation #4389

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Round protocol fee up in quote computation #4389

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f6053b2
Round protocol fee up in quote computation
anxolin May 8, 2026
c0716a1
Improve docs
anxolin May 8, 2026
64b8770
Simplify the comments
anxolin May 14, 2026
c1856ad
Delete dead code
anxolin May 22, 2026
494220d
Use overpromise instead of undercharge
anxolin May 22, 2026
fd4b659
Drop Uint<512, 8> for consistency
anxolin May 22, 2026
c5f02bd
Dont test with fee=0
anxolin May 22, 2026
d3ee241
Fix lint
anxolin May 22, 2026
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88 changes: 72 additions & 16 deletions crates/orderbook/src/quoter.rs
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
use {
crate::app_data,
alloy::primitives::{U256, U512, Uint, ruint::UintTryFrom},
alloy::primitives::{U256, U512, ruint::UintTryFrom},
bigdecimal::{BigDecimal, FromPrimitive},
chrono::{TimeZone, Utc},
configs::{fee_factor::FeeFactor, orderbook::VolumeFeeConfig},
Expand Down Expand Up @@ -245,17 +245,13 @@ fn get_vol_fee_adjusted_quote_data(
// BPS)
let scaled_factor = U256::from(factor.to_high_precision());
let scale = U512::from(FeeFactor::HIGH_PRECISION_SCALE);
// Round the fee up so we never overpromise the user.
let (adjusted_sell_amount, adjusted_buy_amount) = match side {
OrderQuoteSide::Sell { .. } => {
// For SELL orders, fee is calculated on buy amount
let protocol_fee = U256::uint_try_from(
quote
.buy_amount
.widening_mul(scaled_factor)
.checked_div(scale)
.ok_or_else(|| anyhow::anyhow!("volume fee calculation division by zero"))?,
)
.map_err(|_| anyhow::anyhow!("volume fee calculation overflow"))?;
let numerator = quote.buy_amount.widening_mul(scaled_factor);
let protocol_fee = U256::uint_try_from(numerator.div_ceil(scale))
.map_err(|_| anyhow::anyhow!("volume fee calculation overflow"))?;

// Reduce buy amount by protocol fee
let adjusted_buy = quote.buy_amount.saturating_sub(protocol_fee);
Expand All @@ -266,13 +262,9 @@ fn get_vol_fee_adjusted_quote_data(
// For BUY orders, fee is calculated on sell amount + network fee.
// Network fee is already in sell token, so it is added to get the total volume.
let total_sell_volume = quote.sell_amount.saturating_add(quote.fee_amount);
let volume_scaled: Uint<512, 8> = total_sell_volume.widening_mul(scaled_factor);
let protocol_fee = U256::uint_try_from(
volume_scaled
.checked_div(scale)
.ok_or_else(|| anyhow::anyhow!("volume fee calculation division by zero"))?,
)
.map_err(|_| anyhow::anyhow!("volume fee calculation overflow"))?;
let numerator = total_sell_volume.widening_mul(scaled_factor);
let protocol_fee = U256::uint_try_from(numerator.div_ceil(scale))
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@squadgazzz squadgazzz May 26, 2026

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Both branches run the exact same fee computation on different inputs. Could fold into a one-liner helper:

fn ceil_volume_fee(volume: U256, scaled_factor: U256, scale: U512) -> anyhow::Result<U256> {
    U256::uint_try_from(volume.widening_mul(scaled_factor).div_ceil(scale))
        .map_err(|_| anyhow::anyhow!("volume fee calculation overflow"))
}

.map_err(|_| anyhow::anyhow!("volume fee calculation overflow"))?;

// Increase sell amount by protocol fee
let adjusted_sell = quote.sell_amount.saturating_add(protocol_fee);
Expand Down Expand Up @@ -585,6 +577,70 @@ mod tests {
assert_eq!(result.protocol_fee_bps, None);
}

#[test]
fn test_volume_fee_rounds_up_sell_order() {
// factor 0.0001, buy_amount 12345: fee = 12345/10000 = 1.2345 -> ceil 2.
let volume_fee = FeeFactor::try_from(0.0001).unwrap();
let volume_fee_config = VolumeFeeConfig {
factor: Some(volume_fee),
effective_from_timestamp: None,
};
let volume_fee_policy = VolumeFeePolicy::new(vec![], Some(volume_fee), false);

let quote = create_test_quote(U256::from(100u64), U256::from(12345u64));
let side = OrderQuoteSide::Sell {
sell_amount: model::quote::SellAmount::BeforeFee {
value: number::nonzero::NonZeroU256::try_from(U256::from(100u64)).unwrap(),
},
};

let result = get_vol_fee_adjusted_quote_data(
&quote,
&side,
Some(&volume_fee_config),
&volume_fee_policy,
TEST_BUY_TOKEN,
TEST_SELL_TOKEN,
)
.unwrap();

assert_eq!(result.sell_amount, U256::from(100u64));
assert_eq!(result.buy_amount, U256::from(12345u64 - 2));
}

#[test]
fn test_volume_fee_rounds_up_buy_order() {
Comment thread
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// factor 0.0001, sell 10_000, network fee 5: ceil((10000 + 5)/10000) =
// ceil(1.0005) = 2
let volume_fee = FeeFactor::try_from(0.0001).unwrap();
let volume_fee_config = VolumeFeeConfig {
factor: Some(volume_fee),
effective_from_timestamp: None,
};
let volume_fee_policy = VolumeFeePolicy::new(vec![], Some(volume_fee), false);

let mut quote = create_test_quote(U256::from(10_000u64), U256::from(100u64));
quote.fee_amount = U256::from(5u64);

let side = OrderQuoteSide::Buy {
buy_amount_after_fee: number::nonzero::NonZeroU256::try_from(U256::from(100u64))
.unwrap(),
};

let result = get_vol_fee_adjusted_quote_data(
&quote,
&side,
Some(&volume_fee_config),
&volume_fee_policy,
TEST_BUY_TOKEN,
TEST_SELL_TOKEN,
)
.unwrap();

assert_eq!(result.sell_amount, U256::from(10_000u64 + 2));
assert_eq!(result.buy_amount, U256::from(100u64));
}

#[test]
fn test_volume_fee_sub_basis_point_precision() {
// Test sub-BPS precision: 0.00003 = 0.3 BPS
Expand Down
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