fix: add linear pool order price gap ratio function

cosmosquad-labs · Jun 12, 2022 · d7ed46b · d7ed46b
1 parent 175e7e4
commit d7ed46b
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Showing 4 changed files with 20 additions and 5 deletions.
diff --git a/x/liquidity/amm/amm.go b/x/liquidity/amm/amm.go
@@ -9,4 +9,5 @@ var (
 	MinCoinAmount             = sdk.NewInt(100)
 	MaxCoinAmount             = sdk.NewIntWithDecimal(1, 40)
 	MinPoolOrderPriceGapRatio = sdk.NewDecWithPrec(5, 4) // 5bp(0.05%)
+	MaxPoolOrderPriceGapRatio = sdk.NewDecWithPrec(5, 3) // 50bp(0.5%)
 )
diff --git a/x/liquidity/amm/pool.go b/x/liquidity/amm/pool.go
@@ -199,7 +199,7 @@ func (pool *BasicPool) SellAmountTo(price sdk.Dec) sdk.Int {
 }
 
 func PoolBuyOrders(pool Pool, lowestPrice, highestPrice sdk.Dec, tickPrec int) []Order {
-	minPriceGap := pool.Price().Mul(MinPoolOrderPriceGapRatio)
+	poolPrice := pool.Price()
 	tmpPool := pool
 	var orders []Order
 	placeOrder := func(price sdk.Dec, amt sdk.Int) {
@@ -225,13 +225,16 @@ func PoolBuyOrders(pool Pool, lowestPrice, highestPrice sdk.Dec, tickPrec int) [
 		if !rx.IsPositive() {
 			break
 		}
-		tick = PriceToDownTick(tick.Sub(minPriceGap), tickPrec)
+		priceDiffRatio := tick.Sub(poolPrice).Quo(poolPrice).Abs()
+		priceGap := pool.Price().Mul(PoolOrderPriceGapRatio(
+			MinPoolOrderPriceGapRatio, MaxPoolOrderPriceGapRatio, priceDiffRatio, sdk.NewDecWithPrec(1, 1)))
+		tick = PriceToDownTick(tick.Sub(priceGap), tickPrec)
 	}
 	return orders
 }
 
 func PoolSellOrders(pool Pool, lowestPrice, highestPrice sdk.Dec, tickPrec int) []Order {
-	minPriceGap := pool.Price().Mul(MinPoolOrderPriceGapRatio)
+	poolPrice := pool.Price()
 	tmpPool := pool
 	var orders []Order
 	placeOrder := func(price sdk.Dec, amt sdk.Int) {
@@ -257,7 +260,10 @@ func PoolSellOrders(pool Pool, lowestPrice, highestPrice sdk.Dec, tickPrec int)
 		if !ry.GT(MinCoinAmount) {
 			break
 		}
-		tick = PriceToUpTick(tick.Add(minPriceGap), tickPrec)
+		priceDiffRatio := tick.Sub(poolPrice).Quo(poolPrice).Abs()
+		priceGap := pool.Price().Mul(PoolOrderPriceGapRatio(
+			MinPoolOrderPriceGapRatio, MaxPoolOrderPriceGapRatio, priceDiffRatio, sdk.NewDecWithPrec(1, 1)))
+		tick = PriceToUpTick(tick.Add(priceGap), tickPrec)
 	}
 	return orders
 }

diff --git a/x/liquidity/amm/util.go b/x/liquidity/amm/util.go
@@ -18,3 +18,11 @@ func OfferCoinAmount(dir OrderDirection, price sdk.Dec, amt sdk.Int) sdk.Int {
 		panic(fmt.Sprintf("invalid order direction: %s", dir))
 	}
 }
+
+func PoolOrderPriceGapRatio(min, max, priceDiffRatio, maxPriceLimitRatio sdk.Dec) sdk.Dec {
+	if priceDiffRatio.IsZero() {
+		return min
+	}
+	a := max.Sub(min).Quo(maxPriceLimitRatio)
+	return a.Mul(priceDiffRatio).Add(min)
+}
diff --git a/x/liquidity/types/orderbook_test.go b/x/liquidity/types/orderbook_test.go
@@ -50,7 +50,7 @@ func ExampleMakeOrderBookResponse() {
 
 func BenchmarkMakeOrderBookResponse(b *testing.B) {
 	for i := 0; i < b.N; i++ {
-		makeOrderBookPairResponse(1000, 10, 20, 4)
+		makeOrderBookPairResponse(100, 10, 20, 4)
 	}
 }