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surplus and fee calculations into reusable methods #4405

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85 changes: 71 additions & 14 deletions crates/autopilot/src/domain/settlement/trade/math.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -86,12 +86,32 @@ impl Trade {
/// fees have been applied.
pub fn surplus_in_ether(&self, prices: &auction::Prices) -> Result<eth::Ether, Error> {
let surplus_amount = self.surplus_over_limit_price()?;
self.surplus_to_ether(surplus_amount, prices)
}

pub(crate) fn surplus_to_ether(
&self,
surplus: eth::SurplusTokenAmount,
prices: &auction::Prices,
) -> Result<eth::Ether, Error> {
let surplus_token = self.surplus_token();
let price = prices
.get(&surplus_token)
.ok_or(Error::MissingPrice(surplus_token))?;
Ok(price.in_eth(eth::TokenAmount(surplus.0)))
}

Ok(price.in_eth(eth::TokenAmount(surplus_amount.0)))
pub(crate) fn fee_to_ether(
&self,
surplus_before: eth::SurplusTokenAmount,
surplus_after: eth::SurplusTokenAmount,
prices: &auction::Prices,
) -> Result<eth::Ether, Error> {
let fee_in_surplus_token = surplus_before
.0
.checked_sub(surplus_after.0)
.ok_or(error::Math::Negative)?;
self.surplus_to_ether(eth::SurplusTokenAmount(fee_in_surplus_token), prices)
}

/// Total fee (protocol fee + network fee). Equal to a surplus difference
Expand Down Expand Up @@ -146,16 +166,27 @@ impl Trade {
pub fn protocol_fees(
&self,
fee_policies: &HashMap<OrderUid, impl AsRef<[fee::Policy]>>,
) -> Result<Vec<ExecutedProtocolFee>, Error> {
let surplus = self.surplus_over_limit_price()?;
self.protocol_fees_from_surplus(surplus, fee_policies)
}

/// Calculate protocol fees using a pre-computed surplus value.
pub fn protocol_fees_from_surplus(
&self,
surplus: eth::SurplusTokenAmount,
fee_policies: &HashMap<OrderUid, impl AsRef<[fee::Policy]>>,
) -> Result<Vec<ExecutedProtocolFee>, Error> {
let policies = fee_policies
.get(&self.uid)
.map(|value| value.as_ref())
.unwrap_or_default();
let mut current_trade = self.clone();
let mut current_surplus = surplus;
let mut total = eth::SurplusTokenAmount::default();
let mut fees = vec![];
for (i, policy) in policies.iter().enumerate().rev() {
let fee = current_trade.protocol_fee(policy)?;
let fee = current_trade.protocol_fee_from_surplus(current_surplus, policy)?;
fees.push(ExecutedProtocolFee {
policy: *policy,
fee: eth::Asset {
Expand All @@ -174,13 +205,37 @@ impl Trade {
// in this calculation fails the whole function unnecessarily.
if i != 0 {
current_trade.prices.custom = self.calculate_custom_prices(total)?;
current_surplus = current_trade.surplus_over_limit_price()?;
}
}
// Reverse the fees to have them in the same order as the policies
fees.reverse();
Ok(fees)
}

pub fn fee_breakdown_from_surplus(
&self,
surplus_before: eth::SurplusTokenAmount,
surplus_after: eth::SurplusTokenAmount,
fee_policies: &HashMap<OrderUid, impl AsRef<[fee::Policy]>>,
) -> Result<super::FeeBreakdown, Error> {
let fee_amount = surplus_before
.0
.checked_sub(surplus_after.0)
.ok_or(error::Math::Negative)?;
let fee = eth::SurplusTokenAmount(fee_amount);
let total = self.fee_into_sell_token(fee)?;
let protocol = self.protocol_fees_from_surplus(surplus_after, fee_policies)?;

Ok(super::FeeBreakdown {
total: eth::Asset {
token: self.sell.token,
amount: total.into(),
},
protocol,
})
}

/// The effective amount that left the user's wallet including all fees.
///
/// Note how the `executed` amount is used to build actual traded amounts.
Expand Down Expand Up @@ -245,19 +300,19 @@ impl Trade {
})
}

/// Protocol fee is defined by a fee policy attached to the order.
fn protocol_fee(&self, fee_policy: &fee::Policy) -> Result<eth::SurplusTokenAmount, Error> {
fn protocol_fee_from_surplus(
&self,
surplus: eth::SurplusTokenAmount,
fee_policy: &fee::Policy,
) -> Result<eth::SurplusTokenAmount, Error> {
let fee = match fee_policy {
fee::Policy::Surplus {
factor,
max_volume_factor,
} => {
let surplus = self.surplus_over_limit_price()?;
std::cmp::min(
self.surplus_fee(surplus, (*factor).get())?,
self.volume_fee((*max_volume_factor).get())?,
)
}
} => std::cmp::min(
self.surplus_fee(surplus, (*factor).get())?,
self.volume_fee((*max_volume_factor).get())?,
),
fee::Policy::PriceImprovement {
factor,
max_volume_factor,
Expand Down Expand Up @@ -289,7 +344,7 @@ impl Trade {

/// Uses custom prices to calculate the surplus after the protocol fee and
/// network fee are applied.
fn surplus_over_limit_price(&self) -> Result<eth::SurplusTokenAmount, error::Math> {
pub(crate) fn surplus_over_limit_price(&self) -> Result<eth::SurplusTokenAmount, error::Math> {
let limit_price = PriceLimits {
sell: self.sell.amount,
buy: self.buy.amount,
Expand All @@ -299,7 +354,9 @@ impl Trade {

/// Uses uniform prices to calculate the surplus as if the protocol fee and
/// network fee are not applied.
fn surplus_over_limit_price_before_fee(&self) -> Result<eth::SurplusTokenAmount, error::Math> {
pub(crate) fn surplus_over_limit_price_before_fee(
&self,
) -> Result<eth::SurplusTokenAmount, error::Math> {
let limit_price = PriceLimits {
sell: self.sell.amount,
buy: self.buy.amount,
Expand Down Expand Up @@ -404,7 +461,7 @@ impl Trade {
))
}

fn surplus_token(&self) -> eth::TokenAddress {
pub(crate) fn surplus_token(&self) -> eth::TokenAddress {
match self.side {
order::Side::Buy => self.sell.token,
order::Side::Sell => self.buy.token,
Expand Down
47 changes: 47 additions & 0 deletions crates/autopilot/src/domain/settlement/trade/mod.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -76,6 +76,42 @@ impl Trade {
})
}

/// calculate all metrics (surplus, fee, breakdown) in a single
/// pass.
pub fn calculate_all_metrics(
&self,
auction: &super::Auction,
) -> Result<TradeMetrics, math::Error> {
let math_trade = math::Trade::from(self);

let surplus_after = math_trade.surplus_over_limit_price()?;
let surplus_before = math_trade.surplus_over_limit_price_before_fee()?;

let surplus = math_trade.surplus_to_ether(surplus_after, &auction.prices)?;
let surplus = self.apply_jit_surplus_rules(surplus);

let fee = math_trade.fee_to_ether(surplus_before, surplus_after, &auction.prices)?;

let breakdown = math_trade.fee_breakdown_from_surplus(
surplus_before,
surplus_after,
&auction.orders,
)?;

Ok(TradeMetrics {
surplus,
fee,
breakdown,
})
}

fn apply_jit_surplus_rules(&self, surplus: eth::Ether) -> eth::Ether {
match self {
Self::Jit(trade) if !trade.surplus_capturing => eth::Ether::zero(),
_ => surplus,
}
}

pub fn sell_token(&self) -> eth::TokenAddress {
match self {
Self::Fulfillment(trade) => trade.sell.token,
Expand Down Expand Up @@ -172,6 +208,17 @@ pub struct Jit {
pub surplus_capturing: bool,
}

/// Combined metrics for a trade calculated in a single pass.
#[derive(Debug)]
pub struct TradeMetrics {
/// Surplus generated by the trade in ETH.
pub surplus: eth::Ether,
/// Total fee charged for the trade in ETH.
pub fee: eth::Ether,
/// Detailed breakdown of fees.
pub breakdown: FeeBreakdown,
}

/// Fee per trade in a solution. These fees are taken for the execution of the
/// trade.
#[derive(Debug, Clone)]
Expand Down
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