Implement the prediction of volatility (#84)

* Implement the prediction of volatility * Adapt endpoint * feat: enhance implementation of slippage estimation * feat: implement thorough tests for slippage calculations * chore: make const coherent with the comment Co-authored-by: Leandro <[email protected]> * feat: add volatility details endpoint for investigating issues with slippage calculations * fix: fix comment * chore: simplify variance * docs: improve documentation of tests * chore: use the const for max/min slippage * Fix comment * Use const for max slippage * Fix issue with the return schema * Add shared lib and handle native currency * Add script to easily test slippage tolerances * Upload test-data * Create utilities to better handle supported chains * Remove redundant info * Delete unused --------- Co-authored-by: Leandro <[email protected]>
cowprotocol · Aug 22, 2024 · be1b58d · be1b58d
1 parent 2fa7b68
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diff --git a/apps/api/scripts/test-slippage.js b/apps/api/scripts/test-slippage.js
@@ -0,0 +1,139 @@
+const fs = require('fs');
+
+const BASE_URL = 'http://localhost:3010/chains';
+
+const NetworkToChainId = {
+  Mainnet: 1,
+  'Gnosis Chain': 100,
+  Arbitrum: 42161,
+  Sepolia: 11155111,
+};
+
+const PAIRS_TEST = {
+  Mainnet: [
+    {
+      pair: 'USDC-DAI',
+      quoteToken: '0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48',
+      baseToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
+    },
+    {
+      pair: 'DAI-ETH',
+      quoteToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
+      baseToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
+    },
+    {
+      pair: 'DAI-WETH',
+      quoteToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
+      baseToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
+    },
+    {
+      pair: 'PEPE-DAI',
+      quoteToken: '0x6982508145454Ce325dDbE47a25d4ec3d2311933',
+      baseToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
+    },
+    {
+      pair: 'PEPE-WETH',
+      quoteToken: '0x6982508145454Ce325dDbE47a25d4ec3d2311933',
+      baseToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
+    },
+    {
+      pair: 'COW-WETH',
+      quoteToken: '0xDEf1CA1fb7FBcDC777520aa7f396b4E015F497aB',
+      baseToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
+    },
+  ],
+  'Gnosis Chain': [
+    {
+      pair: 'USDC-xDAI',
+      quoteToken: '0xDDAfbb505ad214D7b80b1f830fcCc89B60fb7A83',
+      baseToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
+    },
+    {
+      pair: 'sDAI-xDAI',
+      quoteToken: '0xaf204776c7245bF4147c2612BF6e5972Ee483701',
+      baseToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
+    },
+    {
+      pair: 'sDAI-wxDAI',
+      quoteToken: '0xaf204776c7245bF4147c2612BF6e5972Ee483701',
+      baseToken: '0xe91D153E0b41518A2Ce8Dd3D7944Fa863463a97d',
+    },
+    {
+      pair: 'WETH-xDAI',
+      quoteToken: '0x6A023CCd1ff6F2045C3309768eAd9E68F978f6e1',
+      baseToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
+    },
+  ],
+  Arbitrum: [
+    {
+      pair: 'USDC-DAI',
+      quoteToken: '0xaf88d065e77c8cC2239327C5EDb3A432268e5831',
+      baseToken: '0xDA10009cBd5D07dd0CeCc66161FC93D7c9000da1',
+    },
+    {
+      pair: 'DAI-WETH',
+      quoteToken: '0xDA10009cBd5D07dd0CeCc66161FC93D7c9000da1',
+      baseToken: '0x82aF49447D8a07e3bd95BD0d56f35241523fBab1',
+    },
+    {
+      pair: 'COW-WETH',
+      quoteToken: '0xcb8b5CD20BdCaea9a010aC1F8d835824F5C87A04',
+      baseToken: '0x82aF49447D8a07e3bd95BD0d56f35241523fBab1',
+    },
+  ],
+};
+
+const fetchForMarket = async (chainId, quoteToken, baseToken, endpoint) => {
+  const url = `${BASE_URL}/${chainId}/markets/${quoteToken}-${baseToken}/${endpoint}`;
+  try {
+    const response = await fetch(url);
+    return response.json();
+  } catch (error) {
+    console.error(
+      `Error fetching slippage tolerance for ${quoteToken}-${baseToken} on chain ${chainId}:`,
+      error
+    );
+    return null;
+  }
+};
+
+const fetchVolatilityDetails = async (pair, chainId, quoteToken, baseToken) => {
+  const result = await fetchForMarket(
+    chainId,
+    quoteToken,
+    baseToken,
+    'volatilityDetails'
+  );
+
+  fs.writeFileSync(
+    `${chainId}-${pair}__volatilityDetails.json`,
+    JSON.stringify(result, null, 2)
+  );
+};
+
+const fetchSlippageTolerance = async (pair, chainId, quoteToken, baseToken) => {
+  const result = await fetchForMarket(
+    chainId,
+    quoteToken,
+    baseToken,
+    'slippageTolerance'
+  );
+  console.log(
+    `${pair}: ${result ? result.slippageBps : 'Error fetching data'}`
+  );
+  fs.writeFileSync(
+    `${chainId}-${pair}__slippageTolerance.json`,
+    JSON.stringify(result, null, 2)
+  );
+};
+
+(async function () {
+  for (const chain in PAIRS_TEST) {
+    console.log(`\nFetching slippage tolerances for ${chain}:`);
+    const chainId = NetworkToChainId[chain];
+    for (const { pair, quoteToken, baseToken } of PAIRS_TEST[chain]) {
+      await fetchSlippageTolerance(pair, chainId, quoteToken, baseToken);
+      await fetchVolatilityDetails(pair, chainId, quoteToken, baseToken);
+    }
+  }
+})();
diff --git a/apps/api/src/app/inversify.config.ts b/apps/api/src/app/inversify.config.ts
@@ -26,7 +26,7 @@ const CACHE_TOKEN_INFO_SECONDS = ms('24h') / 1000; // 24h
 import { Container } from 'inversify';
 import {
   SlippageService,
-  SlippageServiceMock,
+  SlippageServiceMain,
   UsdService,
   UsdServiceMain,
   slippageServiceSymbol,
@@ -107,7 +107,7 @@ function getApiContainer(): Container {
   // Services
   apiContainer
     .bind<SlippageService>(slippageServiceSymbol)
-    .to(SlippageServiceMock);
+    .to(SlippageServiceMain);
 
   apiContainer.bind<UsdService>(usdServiceSymbol).to(UsdServiceMain);
 

diff --git a/.../app/routes/__chainId/markets/__baseTokenAddress-__quoteTokenAddress/slippageTolerance.ts b/.../app/routes/__chainId/markets/__baseTokenAddress-__quoteTokenAddress/slippageTolerance.ts
@@ -1,6 +1,10 @@
-import { SlippageService, slippageServiceSymbol } from '@cowprotocol/services';
+import {
+  SlippageService,
+  slippageServiceSymbol,
+  VolatilityDetails,
+} from '@cowprotocol/services';
 import { ChainIdSchema, ETHEREUM_ADDRESS_PATTERN } from '../../../../schemas';
-import { FastifyInstance, FastifyPluginAsync } from 'fastify';
+import { FastifyPluginAsync } from 'fastify';
 import { FromSchema, JSONSchema } from 'json-schema-to-ts';
 import { apiContainer } from '../../../../inversify.config';
 import {
@@ -31,6 +35,18 @@ const routeSchema = {
   },
 } as const satisfies JSONSchema;
 
+const queryStringSchema = {
+  type: 'object',
+  properties: {
+    orderKind: { type: 'string', enum: ['buy', 'sell'] },
+    partiallyFillable: { type: 'boolean' },
+    sellAmount: { type: 'string' },
+    buyAmount: { type: 'string' },
+    expirationTimeInSeconds: { type: 'number' },
+    feeAmount: { type: 'string' },
+  },
+} as const satisfies JSONSchema;
+
 const successSchema = {
   type: 'object',
   required: ['slippageBps'],
@@ -56,7 +72,8 @@ const slippageService: SlippageService = apiContainer.get(
 );
 
 const root: FastifyPluginAsync = async (fastify): Promise<void> => {
-  // example: http://localhost:3010/1/markets/0x6b175474e89094c44da98b954eedeac495271d0f-0x2260fac5e5542a773aa44fbcfedf7c193bc2c599/slippageTolerance
+  // example (basic): http://localhost:3010/1/markets/0x6b175474e89094c44da98b954eedeac495271d0f-0x2260fac5e5542a773aa44fbcfedf7c193bc2c599/slippageTolerance
+  // example (with optional params): http://localhost:3010/1/markets/0x6b175474e89094c44da98b954eedeac495271d0f-0x2260fac5e5542a773aa44fbcfedf7c193bc2c599/slippageTolerance?orderKind=sell&partiallyFillable=false&sellAmount=123456&expirationTimeInSeconds=1800
   fastify.get<{
     Params: RouteSchema;
     Reply: SuccessSchema;
@@ -72,18 +89,63 @@ const root: FastifyPluginAsync = async (fastify): Promise<void> => {
     },
     async function (request, reply) {
       const { chainId, baseTokenAddress, quoteTokenAddress } = request.params;
+
       fastify.log.info(
-        `Get default slippage for market ${baseTokenAddress}-${quoteTokenAddress} on chain ${chainId}`
+        `Get default slippage for market ${baseTokenAddress}-${quoteTokenAddress} on chain ${chainId}. Query: %s'`,
+        JSON.stringify(request.query)
       );
-      const slippageBps = await slippageService.getSlippageBps(
+      const slippageBps = await slippageService.getSlippageBps({
+        chainId,
         baseTokenAddress,
+        quoteTokenAddress,
+      });
+      reply.header(
+        CACHE_CONTROL_HEADER,
+        getCacheControlHeaderValue(CACHE_SECONDS)
+      );
+      reply.send({ slippageBps });
+    }
+  );
+
+  fastify.get<{
+    Params: RouteSchema;
+    Reply: {
+      baseToken: VolatilityDetails | null;
+      quoteToken: VolatilityDetails | null;
+    };
+  }>(
+    '/volatilityDetails',
+    {
+      schema: {
+        params: routeSchema,
+        querystring: queryStringSchema,
+      },
+    },
+    async function (request, reply) {
+      const { chainId, baseTokenAddress, quoteTokenAddress } = request.params;
+
+      fastify.log.info(
+        `Get volatility details for market ${baseTokenAddress}-${quoteTokenAddress} on chain ${chainId}. Query: %s'`,
+        JSON.stringify(request.query)
+      );
+      const volatilityDetailsBase = await slippageService.getVolatilityDetails(
+        chainId,
+        baseTokenAddress
+      );
+
+      const volatilityDetailsQuote = await slippageService.getVolatilityDetails(
+        chainId,
         quoteTokenAddress
       );
+
       reply.header(
         CACHE_CONTROL_HEADER,
         getCacheControlHeaderValue(CACHE_SECONDS)
       );
-      reply.send({ slippageBps });
+      reply.send({
+        baseToken: volatilityDetailsBase,
+        quoteToken: volatilityDetailsQuote,
+      });
     }
   );
 };

diff --git a/apps/api/src/app/schemas.ts b/apps/api/src/app/schemas.ts
@@ -1,9 +1,9 @@
-import { ALL_CHAIN_IDS } from '@cowprotocol/repositories';
+import { AllChainIds } from '@cowprotocol/shared';
 
 export const ChainIdSchema = {
   title: 'Chain ID',
   description: 'Chain ID',
-  enum: ALL_CHAIN_IDS,
+  enum: AllChainIds,
   type: 'integer',
 } as const;
 

diff --git a/libs/repositories/src/Erc20Repository/Erc20Repository.ts b/libs/repositories/src/Erc20Repository/Erc20Repository.ts
@@ -1,4 +1,4 @@
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 
 export const erc20RepositorySymbol = Symbol.for('Erc20Repository');
 

diff --git a/libs/repositories/src/Erc20Repository/Erc20RepositoryCache.spec.ts b/libs/repositories/src/Erc20Repository/Erc20RepositoryCache.spec.ts
@@ -1,7 +1,7 @@
 import { Erc20RepositoryCache } from './Erc20RepositoryCache';
 import { Erc20, Erc20Repository } from './Erc20Repository';
 import { CacheRepository } from '../CacheRepository/CacheRepository';
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 
 describe('Erc20RepositoryCache', () => {
   let erc20RepositoryCache: Erc20RepositoryCache;

diff --git a/libs/repositories/src/Erc20Repository/Erc20RepositoryCache.ts b/libs/repositories/src/Erc20Repository/Erc20RepositoryCache.ts
@@ -2,7 +2,7 @@ import { inject, injectable } from 'inversify';
 import NodeCache from 'node-cache';
 import { Erc20, Erc20Repository } from './Erc20Repository';
 import { CacheRepository } from '../CacheRepository/CacheRepository';
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 import { getCacheKey, PartialCacheKey } from '../utils/cache';
 
 const NULL_VALUE = 'null';

diff --git a/libs/repositories/src/Erc20Repository/Erc20RepositoryViem.spec.ts b/libs/repositories/src/Erc20Repository/Erc20RepositoryViem.spec.ts
@@ -1,5 +1,5 @@
 import { Erc20RepositoryViem } from './Erc20RepositoryViem';
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 import { PublicClient } from 'viem';
 import { erc20Abi } from 'viem';
 import { Erc20 } from './Erc20Repository';

diff --git a/libs/repositories/src/Erc20Repository/Erc20RepositoryViem.ts b/libs/repositories/src/Erc20Repository/Erc20RepositoryViem.ts
@@ -1,6 +1,6 @@
 import { injectable } from 'inversify';
 import { Erc20, Erc20Repository } from './Erc20Repository';
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 import { erc20Abi, getAddress, PublicClient } from 'viem';
 
 @injectable()

diff --git a/libs/repositories/src/UsdRepository/UsdRepository.ts b/libs/repositories/src/UsdRepository/UsdRepository.ts
@@ -1,4 +1,4 @@
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 
 export const usdRepositorySymbol = Symbol.for('UsdRepository');
 

diff --git a/libs/repositories/src/UsdRepository/UsdRepositoryCache.spec.ts b/libs/repositories/src/UsdRepository/UsdRepositoryCache.spec.ts
@@ -2,7 +2,7 @@ import { UsdRepositoryCache } from './UsdRepositoryCache';
 import IORedis from 'ioredis';
 import { UsdRepository } from './UsdRepository';
 import { CacheRepositoryRedis } from '../CacheRepository/CacheRepositoryRedis';
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 import { WETH } from '../../test/mock';
 import type { PricePoint } from './UsdRepository';
 
@@ -190,19 +190,6 @@ describe('UsdRepositoryCache', () => {
       expect(proxyMock.getUsdPrices).not.toHaveBeenCalled();
     });
 
-    it('should return prices from cache', async () => {
-      // GIVEN: cached prices
-      redisMock.get.mockResolvedValue(pricePoints100String);
-      proxyMock.getUsdPrices.mockResolvedValue([pricePoint200]);
-
-      // WHEN: Get USD prices
-      const prices = await usdRepositoryCache.getUsdPrices(chainId, WETH, '5m');
-
-      // THEN: We get the cached value
-      expect(prices).toEqual([pricePoint100]);
-      expect(proxyMock.getUsdPrices).not.toHaveBeenCalled();
-    });
-
     it('should call the proxy if no cache, then cache the value', async () => {
       // GIVEN: The value is not cached
       redisMock.get.mockResolvedValue(null);

diff --git a/libs/repositories/src/UsdRepository/UsdRepositoryCache.ts b/libs/repositories/src/UsdRepository/UsdRepositoryCache.ts
@@ -6,7 +6,7 @@ import {
   deserializePricePoints,
   serializePricePoints,
 } from './UsdRepository';
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 import ms from 'ms';
 import { CacheRepository } from '../CacheRepository/CacheRepository';
 import { getCacheKey, PartialCacheKey } from '../utils/cache';

diff --git a/libs/repositories/src/UsdRepository/UsdRepositoryCoingecko.test.ts b/libs/repositories/src/UsdRepository/UsdRepositoryCoingecko.test.ts
@@ -1,6 +1,6 @@
 import { Container } from 'inversify';
 import { UsdRepositoryCoingecko } from './UsdRepositoryCoingecko';
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 import { WETH, DEFINITELY_NOT_A_TOKEN } from '../../test/mock';
 import ms from 'ms';
 
@@ -111,7 +111,7 @@ describe('UsdRepositoryCoingecko', () => {
       }
     });
 
-    it('[daily] should return ~90 prices of WETH (~60min apart)', async () => {
+    it('[daily] should return ~90 prices of WETH (~24h apart)', async () => {
       const prices = await usdRepositoryCoingecko.getUsdPrices(
         SupportedChainId.MAINNET,
         WETH,

diff --git a/libs/repositories/src/UsdRepository/UsdRepositoryCoingecko.ts b/libs/repositories/src/UsdRepository/UsdRepositoryCoingecko.ts
@@ -5,7 +5,7 @@ import {
   SimplePriceResponse,
   coingeckoProClient,
 } from '../datasources/coingecko';
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 import { throwIfUnsuccessful } from '../utils/throwIfUnsuccessful';
 
 /**

diff --git a/libs/repositories/src/UsdRepository/UsdRepositoryCow.spec.ts b/libs/repositories/src/UsdRepository/UsdRepositoryCow.spec.ts
@@ -1,4 +1,4 @@
-import { SupportedChainId } from '../types';
+import { SupportedChainId } from '@cowprotocol/shared';
 import { UsdRepositoryCow } from './UsdRepositoryCow';
 
 import {