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| // SPDX-License-Identifier: BlueOak-1.0.0
pragma solidity 0.8.17;
import "@openzeppelin/contracts/token/ERC20/IERC20.sol";
import "../../interfaces/IAsset.sol";
import "../../interfaces/IAssetRegistry.sol";
import "../../interfaces/IBackingManager.sol";
import "../../libraries/Fixed.sol";
import "./TradeLib.sol";
/// Struct purposes:
/// 1. Configure trading
/// 2. Stay under stack limit with fewer vars
/// 3. Cache information such as component addresses to save on gas
struct TradingContext {
BasketRange basketsHeld; // {BU}
// basketsHeld.top is the number of partial baskets units held
// basketsHeld.bottom is the number of full basket units held
// Components
IBackingManager bm;
IBasketHandler bh;
IAssetRegistry reg;
IStRSR stRSR;
IERC20 rsr;
IRToken rToken;
// Gov Vars
uint192 minTradeVolume; // {UoA}
uint192 maxTradeSlippage; // {1}
}
/**
* @title RecollateralizationLibP1
* @notice An informal extension of the Trading mixin that provides trade preparation views
* Users:
* - BackingManager
* - RTokenAsset
*
* Interface:
* 1. prepareRecollateralizationTrade (external)
* 2. basketRange (internal)
*/
library RecollateralizationLibP1 {
using FixLib for uint192;
using TradeLib for TradeInfo;
using TradeLib for IBackingManager;
/// Select and prepare a trade that moves us closer to capitalization, using the
/// basket range to avoid overeager/duplicate trading.
// This is the "main loop" for recollateralization trading:
// actions:
// let range = basketRange(all erc20s)
// let trade = nextTradePair(...)
// if trade.sell is not a defaulted collateral, prepareTradeToCoverDeficit(...)
// otherwise, prepareTradeSell(...) with a 0 minBuyAmount
function prepareRecollateralizationTrade(IBackingManager bm, BasketRange memory basketsHeld)
external
view
returns (bool doTrade, TradeRequest memory req)
{
// === Prepare cached values ===
IMain main = bm.main();
TradingContext memory ctx = TradingContext({
basketsHeld: basketsHeld,
bm: bm,
bh: main.basketHandler(),
reg: main.assetRegistry(),
stRSR: main.stRSR(),
rsr: main.rsr(),
rToken: main.rToken(),
minTradeVolume: bm.minTradeVolume(),
maxTradeSlippage: bm.maxTradeSlippage()
});
Registry memory reg = ctx.reg.getRegistry();
// ============================
// Compute a target basket range for trading - {BU}
BasketRange memory range = basketRange(ctx, reg);
// Select a pair to trade next, if one exists
TradeInfo memory trade = nextTradePair(ctx, reg, range);
// Don't trade if no pair is selected
Iif (address(trade.sell) == address(0) || address(trade.buy) == address(0)) {
return (false, req);
}
// If we are selling an unpriced asset or UNSOUND collateral, do not try to cover deficit
if (
trade.sellPrice == 0 ||
(trade.sell.isCollateral() &&
ICollateral(address(trade.sell)).status() != CollateralStatus.SOUND)
) {
(doTrade, req) = trade.prepareTradeSell(ctx.minTradeVolume, ctx.maxTradeSlippage);
} else {
(doTrade, req) = trade.prepareTradeToCoverDeficit(
ctx.minTradeVolume,
ctx.maxTradeSlippage
);
}
// At this point doTrade _must_ be true, otherwise nextTradePair assumptions are broken
assert(doTrade);
return (doTrade, req);
}
// Compute the target basket range
// Algorithm intuition: Trade conservatively. Quantify uncertainty based on the proportion of
// token balances requiring trading vs not requiring trading. Decrease uncertainty the largest
// amount possible with each trade.
//
// How do we know this algorithm converges?
// Assumption: constant prices
// Any volume traded narrows the BU band. Why:
// - We might increase `basketsHeld.bottom` from run-to-run, but will never decrease it
// - We might decrease the UoA amount of excess balances beyond `basketsHeld.bottom` from
// run-to-run, but will never increase it
// - We might decrease the UoA amount of missing balances up-to `basketsHeld.top` from
// run-to-run, but will never increase it
//
// Preconditions:
// - ctx is correctly populated with current basketsHeld.bottom + basketsHeld.top
// - reg contains erc20 + asset arrays in same order and without duplicates
// Trading Strategy:
// - We will not aim to hold more than rToken.basketsNeeded() BUs
// - No double trades: if we buy B in one trade, we won't sell B in another trade
// Caveat: Unless the asset we're selling is IFFY/DISABLED
// - The best price we might get for a trade is at the high sell price and low buy price
// - The worst price we might get for a trade is at the low sell price and
// the high buy price, multiplied by ( 1 - maxTradeSlippage )
// - In the worst-case an additional dust balance can be lost, up to minTradeVolume
// - Given all that, we're aiming to hold as many BUs as possible using the assets we own.
//
// More concretely:
// - range.top = min(rToken.basketsNeeded, basketsHeld.top - least baskets missing
// + most baskets surplus)
// - range.bottom = min(rToken.basketsNeeded, basketsHeld.bottom + least baskets purchaseable)
// where "least baskets purchaseable" involves trading at unfavorable prices,
// incurring maxTradeSlippage, and taking up to a minTradeVolume loss due to dust.
function basketRange(TradingContext memory ctx, Registry memory reg)
internal
view
returns (BasketRange memory range)
{
(uint192 basketPriceLow, uint192 basketPriceHigh) = ctx.bh.price(); // {UoA/BU}
// Cap ctx.basketsHeld.top
if (ctx.basketsHeld.top > ctx.rToken.basketsNeeded()) {
ctx.basketsHeld.top = ctx.rToken.basketsNeeded();
}
// === (1/3) Calculate contributions from surplus/deficits ===
// for range.top, anchor to min(ctx.basketsHeld.top, basketsNeeded)
// for range.bottom, anchor to min(ctx.basketsHeld.bottom, basketsNeeded)
// a signed delta to be applied to range.top
int256 deltaTop; // D18{BU} even though this is int256, it is D18
// not required for range.bottom
for (uint256 i = 0; i < reg.erc20s.length; ++i) {
// Exclude RToken balances to avoid double counting value
if (reg.erc20s[i] == IERC20(address(ctx.rToken))) continue;
uint192 bal = reg.assets[i].bal(address(ctx.bm)); // {tok}
// For RSR, include the staking balance
if (reg.erc20s[i] == ctx.rsr) {
bal = bal.plus(reg.assets[i].bal(address(ctx.stRSR)));
}
uint192 q = ctx.bh.quantityUnsafe(reg.erc20s[i], reg.assets[i]); // {tok/BU}
{
// Skip over dust-balance assets not in the basket
(uint192 lotLow, ) = reg.assets[i].lotPrice(); // {UoA/tok}
// Intentionally include value of IFFY/DISABLED collateral
if (
q == 0 &&
!TradeLib.isEnoughToSell(reg.assets[i], bal, lotLow, ctx.minTradeVolume)
) continue;
}
(uint192 low, uint192 high) = reg.assets[i].price(); // {UoA/tok}
// throughout these sections +/- is same as Fix.plus/Fix.minus and </> is Fix.gt/.lt
// deltaTop: optimistic case
// if in deficit relative to ctx.basketsHeld.top: deduct missing baskets
// if in surplus relative to ctx.basketsHeld.top: add-in surplus baskets
{
// {tok} = {tok/BU} * {BU}
uint192 anchor = q.mul(ctx.basketsHeld.top, CEIL);
if (anchor > bal) {
// deficit: deduct optimistic estimate of baskets missing
// {BU} = {UoA/tok} * {tok} / {UoA/BU}
deltaTop -= int256(uint256(low.mulDiv(anchor - bal, basketPriceHigh, FLOOR)));
// does not need underflow protection: using low price of asset
} else {
// surplus: add-in optimistic estimate of baskets purchaseable
// {BU} = {UoA/tok} * {tok} / {UoA/BU}
deltaTop += int256(
uint256(ctx.bm.safeMulDivCeil(high, bal - anchor, basketPriceLow))
);
// needs overflow protection: using high price of asset which can be FIX_MAX
}
}
// range.bottom: pessimistic case
// add-in surplus baskets relative to ctx.basketsHeld.bottom
{
// {tok} = {tok/BU} * {BU}
uint192 anchor = q.mul(ctx.basketsHeld.bottom, FLOOR);
// (1) Sell tokens at low price
// {UoA} = {UoA/tok} * {tok}
uint192 val = low.mul(bal - anchor, FLOOR);
// (2) Lose minTradeVolume to dust (why: auctions can return tokens)
// Q: Why is this precisely where we should take out minTradeVolume?
// A: Our use of isEnoughToSell always uses the low price (lotLow, technically),
// so min trade volumes are always assesed based on low prices. At this point
// in the calculation we have already calculated the UoA amount corresponding to
// the excess token balance based on its low price, so we are already set up
// to straightforwardly deduct the minTradeVolume before trying to buy BUs.
val = (val < ctx.minTradeVolume) ? 0 : val - ctx.minTradeVolume;
// (3) Buy BUs at their high price with the remaining value
// (4) Assume maximum slippage in trade
// {BU} = {UoA} * {1} / {UoA/BU}
range.bottom += val.mulDiv(
FIX_ONE.minus(ctx.maxTradeSlippage),
basketPriceHigh,
FLOOR
);
}
}
// ==== (2/3) Add-in ctx.*BasketsHeld safely ====
// range.top
if (deltaTop < 0) {
range.top = ctx.basketsHeld.top - _safeWrap(uint256(-deltaTop));
// reverting on underflow is appropriate here
} else {
// guard against overflow; > is same as Fix.gt
if (uint256(deltaTop) + ctx.basketsHeld.top > FIX_MAX) range.top = FIX_MAX;
else range.top = ctx.basketsHeld.top + _safeWrap(uint256(deltaTop));
}
// range.bottom
range.bottom += ctx.basketsHeld.bottom;
// reverting on overflow is appropriate here
// ==== (3/3) Enforce (range.bottom <= range.top <= basketsNeeded) ====
if (range.top > ctx.rToken.basketsNeeded()) range.top = ctx.rToken.basketsNeeded();
if (range.bottom > range.top) range.bottom = range.top;
}
// ===========================================================================================
// === Private ===
// Used in memory in `nextTradePair` to duck the stack limit
struct MaxSurplusDeficit {
CollateralStatus surplusStatus; // starts SOUND
uint192 surplus; // {UoA}
uint192 deficit; // {UoA}
}
// Choose next sell/buy pair to trade, with reference to the basket range
// Skip over trading surplus dust amounts
/// @return trade
/// sell: Surplus collateral OR address(0)
/// deficit Deficit collateral OR address(0)
/// sellAmount {sellTok} Surplus amount (whole tokens)
/// buyAmount {buyTok} Deficit amount (whole tokens)
/// sellPrice {UoA/sellTok} The worst-case price of the sell token on secondary markets
/// buyPrice {UoA/sellTok} The worst-case price of the buy token on secondary markets
///
// Defining "sell" and "buy":
// If bal(e) > (quantity(e) * range.top), then e is in surplus by the difference
// If bal(e) < (quantity(e) * range.bottom), then e is in deficit by the difference
//
// First, ignoring RSR:
// `trade.sell` is the token from erc20s with the greatest surplus value (in UoA),
// and sellAmount is the quantity of that token that it's in surplus (in qTok).
// if `trade.sell` == 0, then no token is in surplus by at least minTradeSize,
// and `trade.sellAmount` and `trade.sellPrice` are unset.
//
// `trade.buy` is the token from erc20s with the greatest deficit value (in UoA),
// and buyAmount is the quantity of that token that it's in deficit (in qTok).
// if `trade.buy` == 0, then no token is in deficit at all,
// and `trade.buyAmount` and `trade.buyPrice` are unset.
//
// Then, just if we have a buy asset and no sell asset, consider selling available RSR.
//
// Prefer selling assets in this order: DISABLED -> SOUND -> IFFY.
// All collateral in the basket have already been guaranteed to be SOUND by upstream checks.
function nextTradePair(
TradingContext memory ctx,
Registry memory reg,
BasketRange memory range
) private view returns (TradeInfo memory trade) {
MaxSurplusDeficit memory maxes;
maxes.surplusStatus = CollateralStatus.IFFY; // least-desirable sell status
// No space on the stack to cache erc20s.length
for (uint256 i = 0; i < reg.erc20s.length; ++i) {
if (reg.erc20s[i] == ctx.rsr) continue;
uint192 bal = reg.assets[i].bal(address(ctx.bm)); // {tok}
// {tok} = {BU} * {tok/BU}
// needed(Top): token balance needed for range.top baskets: quantity(e) * range.top
uint192 needed = range.top.mul(
ctx.bh.quantityUnsafe(reg.erc20s[i], reg.assets[i]),
CEIL
); // {tok}
if (bal.gt(needed)) {
uint192 low; // {UoA/sellTok}
// this wonky block is just for getting around the stack limit
{
uint192 high; // {UoA/sellTok}
(low, high) = reg.assets[i].price(); // {UoA/sellTok}
// Skip worthless assets
Iif (high == 0) continue;
}
(uint192 lotLow, ) = reg.assets[i].lotPrice(); // {UoA/sellTok}
// {UoA} = {sellTok} * {UoA/sellTok}
uint192 delta = bal.minus(needed).mul(lotLow, FLOOR);
// status = asset.status() if asset.isCollateral() else SOUND
CollateralStatus status; // starts SOUND
Eif (reg.assets[i].isCollateral()) {
status = ICollateral(address(reg.assets[i])).status();
}
// Select the most-in-surplus "best" asset still enough to sell,
// as defined by a (status, surplusAmt) ordering
if (
isBetterSurplus(maxes, status, delta) &&
TradeLib.isEnoughToSell(
reg.assets[i],
bal.minus(needed),
lotLow,
ctx.minTradeVolume
)
) {
trade.sell = reg.assets[i];
trade.sellAmount = bal.minus(needed);
trade.sellPrice = low;
maxes.surplusStatus = status;
maxes.surplus = delta;
}
} else {
// needed(Bottom): token balance needed at bottom of the basket range
needed = range.bottom.mul(
ctx.bh.quantityUnsafe(reg.erc20s[i], reg.assets[i]),
CEIL
); // {buyTok};
if (bal.lt(needed)) {
uint192 amtShort = needed.minus(bal); // {buyTok}
(, uint192 high) = reg.assets[i].price(); // {UoA/buyTok}
// {UoA} = {buyTok} * {UoA/buyTok}
uint192 delta = amtShort.mul(high, CEIL);
// The best asset to buy is whichever asset has the largest deficit
if (delta.gt(maxes.deficit)) {
trade.buy = ICollateral(address(reg.assets[i]));
trade.buyAmount = amtShort;
trade.buyPrice = high;
maxes.deficit = delta;
}
}
}
}
// Use RSR if needed
if (address(trade.sell) == address(0) && address(trade.buy) != address(0)) {
IAsset rsrAsset = ctx.reg.toAsset(ctx.rsr);
uint192 rsrAvailable = rsrAsset.bal(address(ctx.bm)).plus(
rsrAsset.bal(address(ctx.stRSR))
);
(uint192 low, uint192 high) = rsrAsset.price(); // {UoA/tok}
(uint192 lotLow, ) = rsrAsset.lotPrice(); // {UoA/tok}
Eif (
high > 0 &&
TradeLib.isEnoughToSell(rsrAsset, rsrAvailable, lotLow, ctx.minTradeVolume)
) {
trade.sell = rsrAsset;
trade.sellAmount = rsrAvailable;
trade.sellPrice = low;
}
}
}
/// @param curr The current MaxSurplusDeficit containing the best surplus so far
/// @param other The collateral status of the asset in consideration
/// @param surplusAmt {UoA} The amount by which the asset in consideration is in surplus
function isBetterSurplus(
MaxSurplusDeficit memory curr,
CollateralStatus other,
uint192 surplusAmt
) private pure returns (bool) {
// NOTE: If the CollateralStatus enum changes then this has to change!
if (curr.surplusStatus == CollateralStatus.DISABLED) {
return other == CollateralStatus.DISABLED && surplusAmt.gt(curr.surplus);
} else if (curr.surplusStatus == CollateralStatus.SOUND) {
return
other == CollateralStatus.DISABLED ||
(other == CollateralStatus.SOUND && surplusAmt.gt(curr.surplus));
} else {
// curr is IFFY
return other != CollateralStatus.IFFY || surplusAmt.gt(curr.surplus);
}
}
}
|