1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
use crate::{
AccountId, Asset, Balance, BlockNumber, CurrencyId, Decode, Encode, FixedU128, Hash,
MaxEncodedLen, Permill, TypeInfo,
};
use codec::alloc::string::String;
use sp_arithmetic::{traits::CheckedDiv, FixedPointNumber};
#[cfg(feature = "std")]
use serde::{Deserialize, Serialize};
#[derive(Eq, PartialEq, Encode, Decode, TypeInfo, MaxEncodedLen, Clone)]
#[cfg_attr(feature = "std", derive(Debug, Serialize, Deserialize))]
#[cfg_attr(feature = "std", serde(rename_all = "camelCase"))]
pub enum SwapStatus {
Pending,
Cancelled,
PartiallyFilled,
Completed,
Rejected,
}
#[derive(Eq, PartialEq, Encode, Decode, TypeInfo, MaxEncodedLen, Clone)]
#[cfg_attr(feature = "std", derive(Debug, Serialize, Deserialize))]
#[cfg_attr(feature = "std", serde(rename_all = "camelCase"))]
pub enum SwapType {
Market,
Limit,
}
#[derive(Eq, PartialEq, Encode, Decode, TypeInfo, MaxEncodedLen, Clone, Default)]
#[cfg_attr(feature = "std", derive(Debug, Serialize, Deserialize))]
#[cfg_attr(feature = "std", serde(rename_all = "camelCase"))]
pub struct SwapConfirmation {
pub request_id: Hash,
pub amount_to_receive: Balance,
pub amount_to_send: Balance,
}
#[derive(Eq, PartialEq, TypeInfo, Clone)]
#[cfg_attr(feature = "std", derive(Debug, Serialize, Deserialize))]
#[cfg_attr(feature = "std", serde(rename_all = "camelCase"))]
pub struct SwapExtrinsic {
pub extrinsic: String,
pub swap_fee: Balance,
pub swap_fee_currency: CurrencyId,
}
#[derive(Eq, PartialEq, Encode, Decode, TypeInfo, MaxEncodedLen, Clone)]
#[cfg_attr(feature = "std", derive(Debug, Serialize, Deserialize))]
#[cfg_attr(feature = "std", serde(rename_all = "camelCase"))]
pub struct Swap<AccountId, BlockNumber> {
pub extrinsic_hash: [u8; 32],
pub account_id: AccountId,
pub is_market_maker: bool,
pub token_from: CurrencyId,
pub amount_from: Balance,
pub amount_from_filled: Balance,
pub token_to: CurrencyId,
pub amount_to: Balance,
pub amount_to_filled: Balance,
pub status: SwapStatus,
pub swap_type: SwapType,
pub block_number: BlockNumber,
pub slippage: Permill,
}
#[derive(Eq, PartialEq, Encode, Decode, Debug, TypeInfo, MaxEncodedLen, Clone)]
#[cfg_attr(feature = "std", derive(Serialize, Deserialize))]
#[cfg_attr(feature = "std", serde(rename_all = "camelCase"))]
pub struct MarketPair {
pub base_asset: CurrencyId,
pub quote_asset: CurrencyId,
}
#[derive(Eq, PartialEq, Encode, Decode, TypeInfo, MaxEncodedLen, Clone)]
#[cfg_attr(feature = "std", derive(Debug, Serialize, Deserialize))]
#[cfg_attr(feature = "std", serde(rename_all = "camelCase"))]
pub enum SlippageError {
UnknownAsset,
UnknownAssetInMarketPair,
SlippageOverflow,
ArithmeticError,
OfferIsLessThanSwapLowerBound,
OfferIsGreaterThanSwapUpperBound,
OfferIsLessThanMarketMakerSwapLowerBound,
OfferIsGreaterThanMarketMakerSwapUpperBound,
NoLowerBoundForBuyingPrice,
NoUpperBoundForSellingPrice,
}
impl<AccountId: Clone, BlockNumber: Clone> Swap<AccountId, BlockNumber> {
pub fn pay_per_token_lower_bond(
&self,
market_pair: &MarketPair,
) -> Result<FixedU128, SlippageError> {
if self.token_from == market_pair.base_asset {
return Ok(self.pay_per_token(
|base_amount| base_amount,
|quote_amount| {
quote_amount
.checked_sub(self.slippage * quote_amount)
.ok_or(SlippageError::ArithmeticError)
.unwrap_or(quote_amount)
},
market_pair,
self.amount_from,
self.amount_to,
)?);
}
Err(SlippageError::NoLowerBoundForBuyingPrice)
}
pub fn pay_per_token_upper_bond(
&self,
market_pair: &MarketPair,
) -> Result<FixedU128, SlippageError> {
if self.token_to == market_pair.base_asset {
return Ok(self.pay_per_token(
|base_amount| base_amount,
|quote_amount| {
quote_amount
.checked_add(self.slippage * quote_amount)
.ok_or(SlippageError::ArithmeticError)
.unwrap_or(quote_amount)
},
market_pair,
self.amount_to,
self.amount_from,
)?);
}
Err(SlippageError::NoUpperBoundForSellingPrice)
}
fn pay_per_token<FT, FF>(
&self,
base_amount_closure: FT,
quote_amount_closure: FF,
market_pair: &MarketPair,
base_amount: Balance,
quote_amount: Balance,
) -> Result<FixedU128, SlippageError>
where
FT: Fn(Balance) -> Balance,
FF: Fn(Balance) -> Balance,
{
let base_asset: Asset = market_pair
.base_asset
.try_into()
.map_err(|_| SlippageError::UnknownAsset)?;
let base_token_one_unit = base_asset.saturating_mul(1);
let quote_asset: Asset = market_pair
.quote_asset
.try_into()
.map_err(|_| SlippageError::UnknownAsset)?;
let quote_token_one_unit = quote_asset.saturating_mul(1);
FixedU128::saturating_from_rational(quote_amount_closure(quote_amount), quote_token_one_unit)
.checked_div(&FixedU128::saturating_from_rational(
base_amount_closure(base_amount),
base_token_one_unit,
))
.ok_or(SlippageError::SlippageOverflow)
}
fn validate_slippage_dry_run(
&self,
price_offered: FixedU128,
market_pair: &MarketPair,
) -> Result<(), SlippageError> {
if self.token_to == market_pair.base_asset {
let pay_per_token_upper_bond = self.pay_per_token_upper_bond(market_pair)?;
if price_offered.gt(&pay_per_token_upper_bond) {
if self.is_market_maker {
return Err(SlippageError::OfferIsGreaterThanMarketMakerSwapUpperBound);
} else {
return Err(SlippageError::OfferIsGreaterThanSwapUpperBound);
}
}
} else {
let pay_per_token_lower_bond = self.pay_per_token_lower_bond(market_pair)?;
if price_offered.lt(&pay_per_token_lower_bond) {
if self.is_market_maker {
return Err(SlippageError::OfferIsLessThanMarketMakerSwapLowerBound);
} else {
return Err(SlippageError::OfferIsLessThanSwapLowerBound);
}
}
}
Ok(())
}
pub fn validate_slippage(
&self,
market_maker_swap: &Swap<AccountId, BlockNumber>,
offered_base_amount: Balance,
offered_quote_amount: Balance,
market_pair: &MarketPair,
) -> Result<(), SlippageError> {
let base_asset: Asset = market_pair
.base_asset
.try_into()
.map_err(|_| SlippageError::UnknownAsset)?;
let base_asset_one_unit = base_asset.saturating_mul(1);
let quote_asset: Asset = market_pair
.quote_asset
.try_into()
.map_err(|_| SlippageError::UnknownAsset)?;
let quote_asset_one_unit = quote_asset.saturating_mul(1);
let price_offered =
FixedU128::saturating_from_rational(offered_quote_amount, quote_asset_one_unit)
.checked_div(&FixedU128::saturating_from_rational(
offered_base_amount,
base_asset_one_unit,
))
.ok_or(SlippageError::SlippageOverflow)?;
self.validate_slippage_dry_run(price_offered, market_pair)?;
market_maker_swap.validate_slippage_dry_run(price_offered, market_pair)
}
}
impl MarketPair {
pub fn is_selling(&self, swap: &Swap<AccountId, BlockNumber>) -> Result<bool, SlippageError> {
if swap.token_from == self.base_asset {
Ok(true)
} else if swap.token_from == self.quote_asset {
Ok(false)
} else {
Err(SlippageError::UnknownAssetInMarketPair)
}
}
}