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Add unit-tests to verify CLOB/AMM offer and strand selection logic with the transfer fee #4642

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Add unit-tests to verify CLOB/AMM offer and strand selection logic with the transfer fee #4642

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74c1fd8
Add unit-tests to verify CLOB/AMM offer and strand selection logic
gregtatcam Aug 7, 2023
85f510d
Address reviewer's feedback
gregtatcam Aug 11, 2023
75c687e
Add comments to stress that the selection tests would have to be upda…
gregtatcam Aug 11, 2023
9b09242
Merge branch 'develop' into verify-offer-strand-selection
manojsdoshi Aug 18, 2023
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329 changes: 328 additions & 1 deletion src/test/app/AMM_test.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -4132,6 +4132,332 @@ struct AMM_test : public jtx::AMMTest
});
}

void
testSelection()
{
testcase("Offer/Strand Selection");
using namespace jtx;
Account const ed("ed");
Account const gw1("gw1");
auto const ETH = gw1["ETH"];
auto const CAN = gw1["CAN"];

auto prep = [&](Env& env, auto gwRate, auto gw1Rate) {
fund(env, gw, {alice, carol, bob, ed}, XRP(2'000), {USD(2'000)});
env.fund(XRP(2'000), gw1);
fund(
env,
gw1,
{alice, carol, bob, ed},
{ETH(2'000), CAN(2'000)},
Fund::IOUOnly);
env(rate(gw, gwRate));
env(rate(gw1, gw1Rate));
env.close();
};

for (auto const& rates :
{std::make_pair(1.5, 1.9), std::make_pair(1.9, 1.5)})
{
// Offer Selection

// Cross-currency payment: AMM has the same spot price quality
// as CLOB's offer and can't generate a better quality offer.
// The transfer fee in this case doesn't change the CLOB quality
// because trIn is ignored on adjustment and trOut on payment is
// also ignored because ownerPaysTransferFee is false in this case.
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The only reason that ownerPaysTransferFee is false is because the OwnerPaysFee feature is unsupported. If that ever changes to Supported::yes, some of these tests will fail. If that's intentional, great! If not, you should explicitly create the Env objects with a FeatureBitset that explicitly removes featureOwnerPaysFee.

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It is intentional!

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@ximinez ximinez Aug 11, 2023 •
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Could you add that to the explanation? Something like, "These tests are expected to fail if the OwnerPaysFee feature is ever supported. Updates will need to be made to AMM handling in the payment engine, and these tests will need to be updated."

// Run test for 0) offer, 1) AMM, 2) offer and AMM
// to verify that the quality is better in the first case,
// and CLOB is selected in the second case.
{
std::array<Quality, 3> q;
for (auto i = 0; i < 3; ++i)
{
Env env(*this);
prep(env, rates.first, rates.second);
std::optional<AMM> amm;
if (i == 0 || i == 2)
{
env(offer(ed, ETH(400), USD(400)), txflags(tfPassive));
env.close();
}
if (i > 0)
amm.emplace(env, ed, USD(1'000), ETH(1'000));
env(pay(carol, bob, USD(100)),
path(~USD),
sendmax(ETH(500)));
env.close();
// CLOB and AMM, AMM is not selected
if (i == 2)
{
BEAST_EXPECT(amm->expectBalances(
USD(1'000), ETH(1'000), amm->tokens()));
}
BEAST_EXPECT(expectLine(env, bob, USD(2'100)));
q[i] = Quality(Amounts{
ETH(2'000) - env.balance(carol, ETH),
env.balance(bob, USD) - USD(2'000)});
}
// CLOB is better quality than AMM
BEAST_EXPECT(q[0] > q[1]);
// AMM is not selected with CLOB
BEAST_EXPECT(q[0] == q[2]);
}
// Offer crossing: AMM has the same spot price quality
// as CLOB's offer and can't generate a better quality offer.
// The transfer fee in this case doesn't change the CLOB quality
// because the quality adjustment is ignored for the offer crossing.
for (auto i = 0; i < 3; ++i)
{
Env env(*this);
prep(env, rates.first, rates.second);
std::optional<AMM> amm;
if (i == 0 || i == 2)
{
env(offer(ed, ETH(400), USD(400)), txflags(tfPassive));
env.close();
}
if (i > 0)
amm.emplace(env, ed, USD(1'000), ETH(1'000));
env(offer(alice, USD(400), ETH(400)));
env.close();
// AMM is not selected
if (i > 0)
{
BEAST_EXPECT(amm->expectBalances(
USD(1'000), ETH(1'000), amm->tokens()));
}
if (i == 0 || i == 2)
{
// Fully crosses
BEAST_EXPECT(expectOffers(env, alice, 0));
}
// Fails to cross because AMM is not selected
else
{
BEAST_EXPECT(expectOffers(
env, alice, 1, {Amounts{USD(400), ETH(400)}}));
}
BEAST_EXPECT(expectOffers(env, ed, 0));
}

// Show that the CLOB quality reduction
// results in AMM offer selection.

// Same as the payment but reduced offer quality
{
std::array<Quality, 3> q;
for (auto i = 0; i < 3; ++i)
{
Env env(*this);
prep(env, rates.first, rates.second);
std::optional<AMM> amm;
if (i == 0 || i == 2)
{
env(offer(ed, ETH(400), USD(300)), txflags(tfPassive));
env.close();
}
if (i > 0)
amm.emplace(env, ed, USD(1'000), ETH(1'000));
env(pay(carol, bob, USD(100)),
path(~USD),
sendmax(ETH(500)));
env.close();
// AMM and CLOB are selected
if (i > 0)
{
BEAST_EXPECT(!amm->expectBalances(
USD(1'000), ETH(1'000), amm->tokens()));
}
if (i == 2)
{
if (rates.first == 1.5)
{
BEAST_EXPECT(expectOffers(
env,
ed,
1,
{{Amounts{
STAmount{
ETH, UINT64_C(378'6327949540823), -13},
STAmount{
USD,
UINT64_C(283'9745962155617),
-13}}}}));
}
else
{
BEAST_EXPECT(expectOffers(
env,
ed,
1,
{{Amounts{
STAmount{
ETH, UINT64_C(325'299461620749), -12},
STAmount{
USD,
UINT64_C(243'9745962155617),
-13}}}}));
}
}
BEAST_EXPECT(expectLine(env, bob, USD(2'100)));
q[i] = Quality(Amounts{
ETH(2'000) - env.balance(carol, ETH),
env.balance(bob, USD) - USD(2'000)});
}
// AMM is better quality
BEAST_EXPECT(q[1] > q[0]);
// AMM and CLOB produce better quality
BEAST_EXPECT(q[2] > q[1]);
}

// Same as the offer-crossing but reduced offer quality
for (auto i = 0; i < 3; ++i)
{
Env env(*this);
prep(env, rates.first, rates.second);
std::optional<AMM> amm;
if (i == 0 || i == 2)
{
env(offer(ed, ETH(400), USD(250)), txflags(tfPassive));
env.close();
}
if (i > 0)
amm.emplace(env, ed, USD(1'000), ETH(1'000));
env(offer(alice, USD(250), ETH(400)));
env.close();
// AMM is selected in both cases
if (i > 0)
{
BEAST_EXPECT(!amm->expectBalances(
USD(1'000), ETH(1'000), amm->tokens()));
}
// Partially crosses, AMM is selected, CLOB fails limitQuality
if (i == 2)
{
if (rates.first == 1.5)
{
BEAST_EXPECT(expectOffers(
env, ed, 1, {{Amounts{ETH(400), USD(250)}}}));
BEAST_EXPECT(expectOffers(
env,
alice,
1,
{{Amounts{
STAmount{USD, UINT64_C(40'5694150420947), -13},
STAmount{ETH, UINT64_C(64'91106406735152), -14},
}}}));
}
else
{
// Ed offer is partially crossed.
BEAST_EXPECT(expectOffers(
env,
ed,
1,
{{Amounts{
STAmount{ETH, UINT64_C(335'0889359326485), -13},
STAmount{USD, UINT64_C(209'4305849579053), -13},
}}}));
BEAST_EXPECT(expectOffers(env, alice, 0));
}
}
}

// Strand selection

// Two book steps strand quality is 1.
// AMM strand's best quality is equal to AMM's spot price
// quality, which is 1. Both strands (steps) are adjusted
// for the transfer fee in qualityUpperBound. In case
// of two strands, AMM offers have better quality and are consumed
// first, remaining liquidity is generated by CLOB offers.
// Liquidity from two strands is better in this case than in case
// of one strand with two book steps. Liquidity from one strand
// with AMM has better quality than either one strand with two book
// steps or two strands. It may appear unintuitive, but one strand
// with AMM is optimized and generates one AMM offer, while in case
// of two strands, multiple AMM offers are generated, which results
// in slightly worse overall quality.
{
std::array<Quality, 3> q;
for (auto i = 0; i < 3; ++i)
{
Env env(*this);
prep(env, rates.first, rates.second);
std::optional<AMM> amm;

if (i == 0 || i == 2)
{
env(offer(ed, ETH(400), CAN(400)), txflags(tfPassive));
env(offer(ed, CAN(400), USD(400))), txflags(tfPassive);
env.close();
}

if (i > 0)
amm.emplace(env, ed, ETH(1'000), USD(1'000));

env(pay(carol, bob, USD(100)),
path(~USD),
path(~CAN, ~USD),
sendmax(ETH(600)));
env.close();

BEAST_EXPECT(expectLine(env, bob, USD(2'100)));

if (i == 2)
{
if (rates.first == 1.5)
{
// Liquidity is consumed from AMM strand only
BEAST_EXPECT(amm->expectBalances(
STAmount{ETH, UINT64_C(1'176'66038955758), -11},
USD(850),
amm->tokens()));
}
else
{
BEAST_EXPECT(amm->expectBalances(
STAmount{
ETH, UINT64_C(1'179'540094339627), -12},
STAmount{USD, UINT64_C(847'7880529867501), -13},
amm->tokens()));
BEAST_EXPECT(expectOffers(
env,
ed,
2,
{{Amounts{
STAmount{
ETH,
UINT64_C(343'3179205198749),
-13},
STAmount{
CAN,
UINT64_C(343'3179205198749),
-13},
},
Amounts{
STAmount{
CAN,
UINT64_C(362'2119470132499),
-13},
STAmount{
USD,
UINT64_C(362'2119470132499),
-13},
}}}));
}
}
q[i] = Quality(Amounts{
ETH(2'000) - env.balance(carol, ETH),
env.balance(bob, USD) - USD(2'000)});
}
BEAST_EXPECT(q[1] > q[0]);
BEAST_EXPECT(q[2] > q[0] && q[2] < q[1]);
}
}
}

void
testCore()
{
Expand All @@ -4154,6 +4480,7 @@ struct AMM_test : public jtx::AMMTest
testAMMAndCLOB();
testTradingFee();
testAdjustedTokens();
testSelection();
}

void
Expand All @@ -4166,4 +4493,4 @@ struct AMM_test : public jtx::AMMTest
BEAST_DEFINE_TESTSUITE_PRIO(AMM, app, ripple, 1);

} // namespace test
} // namespace ripple
} // namespace ripple