feat: Optimize discovery position depth calculation
- Implement dynamic discovery depth based on anchor position share - Add configurable discovery_max_multiple (1.5-4x) for flexible adjustment - Update BullMarketOptimizer with new depth calculation logic - Fix scenario visualizer floor position visibility - Add comprehensive tests for discovery depth behavior The discovery position now dynamically adjusts its depth based on the anchor position's share of total liquidity, allowing for more effective price discovery while maintaining protection against manipulation. 🤖 Generated with [Claude Code](https://claude.ai/code) Co-Authored-By: Claude <noreply@anthropic.com>
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8 changed files with 383 additions and 95 deletions
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@ -132,4 +132,79 @@ The `analysis/` subdirectory contains critical tools for understanding and harde
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- Growth mechanism simulations
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- Attack vector analysis
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- Liquidity depth scenarios
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- See `analysis/README.md` for detailed usage
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- See `analysis/README.md` for detailed usage
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## Uniswap V3 Math - Critical Learnings
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### Token Ordering and Price Representation
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#### Price Direction Reference Table
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| Scenario | token0 | token1 | Price Represents | Lower Tick → Higher Tick |
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|----------|--------|--------|------------------|---------------------------|
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| **token0isETH = true** | ETH | KRAIKEN | ETH per KRAIKEN | KRAIKEN cheap → expensive |
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| **token0isETH = false** | KRAIKEN | ETH | KRAIKEN per ETH | ETH cheap → expensive |
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#### Understanding "Above" and "Below"
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**Critical distinction**: "Price" in Uniswap V3 always refers to token1's price in units of token0.
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**When token0isETH = true (ETH is token0, KRAIKEN is token1):**
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- Price = KRAIKEN price in ETH (how much ETH to buy 1 KRAIKEN)
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- Higher tick = Higher KRAIKEN price in ETH
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- Lower tick = Lower KRAIKEN price in ETH
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- "Price moved up" = KRAIKEN became more expensive = ETH became cheaper
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- "Price moved down" = KRAIKEN became cheaper = ETH became more expensive
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**When token0isETH = false (KRAIKEN is token0, ETH is token1):**
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- Price = ETH price in KRAIKEN (how much KRAIKEN to buy 1 ETH)
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- Higher tick = Higher ETH price in KRAIKEN
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- Lower tick = Lower ETH price in KRAIKEN
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- "Price moved up" = ETH became more expensive = KRAIKEN became cheaper
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- "Price moved down" = ETH became cheaper = KRAIKEN became more expensive
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This determines token composition:
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| Current Price vs Position | Position Contains | Why |
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|--------------------------|-------------------|-----|
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| Below range (tick < tickLower) | 100% token1 | Token0 is too expensive to hold |
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| Within range (tickLower ≤ tick ≤ tickUpper) | Both tokens | Active liquidity range |
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| Above range (tick > tickUpper) | 100% token0 | Token1 is too expensive to hold |
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### Liquidity vs Token Amounts
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**Key Insight**: Liquidity (L) is a mathematical constant representing capital efficiency, NOT token count.
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1. **Liquidity is invariant**: The liquidity value L doesn't change when price moves
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2. **Token amounts are variable**: Depend on liquidity L, price range, and current price location
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3. **Same L, different ranges**: Results in different token amounts due to price differences
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### Why Positions at Different Ranges Have Different Token Ratios
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For the same liquidity value L:
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- **Position at lower ticks**: Higher token1 price → fewer token1, more token0 potential
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- **Position at higher ticks**: Lower token1 price → more token1, less token0 potential
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This explains why a position with fewer tokens can have more liquidity (and thus more price impact resistance).
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### Liquidity Per Tick - The Critical Metric
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When comparing positions of different widths, always normalize to liquidity per tick:
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```solidity
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liquidityPerTick = totalLiquidity / (tickUpper - tickLower)
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```
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The discovery position maintains its target liquidity density through width adjustment:
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```solidity
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// Ensure discovery has X times more liquidity per tick than anchor
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discoveryLiquidity = anchorLiquidity * multiplier * discoveryWidth / anchorWidth
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```
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### Key Takeaways
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1. **Liquidity ≠ Token Count**: Higher liquidity can mean fewer tokens at different price ranges
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2. **Price Range Matters**: Token composition depends on where positions sit relative to current price
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3. **Normalize for Width**: Always compare liquidity per tick when positions have different widths
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4. **Token0 Ordering is Critical**: Determines which direction is "up" or "down" in price
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@ -2,7 +2,6 @@
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Tools for testing the KRAIKEN LiquidityManager's resilience against various trading strategies to identify scenarios where traders can profit.
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**CRITICAL**: THE IMPLEMENTATION IS NOT TO BE CHANGED. BUGS SHOULD BE HUNTED IN THE PRESENTATION LAYER, TEST AND ANALYSIS FOLDERS.
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## Quick Start
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@ -129,4 +128,4 @@ To run fuzzing campaigns comparing different market optimizers:
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# Check results
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cat fuzzing_results_*/summary.txt | grep -E "(Optimizer:|Success rate:|Average P&L)"
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```
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```
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@ -91,6 +91,9 @@ contract FuzzingAnalysis is Test, CSVManager {
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(factory, pool, weth, harberg, stake, lm,, token0isWeth) =
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testEnv.setupEnvironmentWithOptimizer(seed % 2 == 0, feeDestination, optimizerAddress);
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// Fund LiquidityManager with initial ETH
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vm.deal(address(lm), 50 ether);
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// Fund account with random amount (10-50 ETH)
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uint256 fundAmount = 10 ether + (uint256(keccak256(abi.encodePacked(seed, "fund"))) % 40 ether);
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vm.deal(account, fundAmount * 2);
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@ -340,16 +343,6 @@ contract FuzzingAnalysis is Test, CSVManager {
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(uint128 anchorLiq, int24 anchorLower, int24 anchorUpper) = lm.positions(ThreePositionStrategy.Stage.ANCHOR);
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(uint128 discoveryLiq, int24 discoveryLower, int24 discoveryUpper) = lm.positions(ThreePositionStrategy.Stage.DISCOVERY);
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// Debug: Log liquidity values
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if (keccak256(bytes(label)) == keccak256(bytes("Initial"))) {
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console.log("=== LIQUIDITY VALUES ===");
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console.log("Floor liquidity:", uint256(floorLiq));
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console.log("Anchor liquidity:", uint256(anchorLiq));
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console.log("Discovery liquidity:", uint256(discoveryLiq));
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console.log("Floor range:", uint256(int256(floorLower)), "-", uint256(int256(floorUpper)));
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console.log("Current tick:", uint256(int256(currentTick)));
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}
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// Calculate ETH and HARB amounts in each position using proper Uniswap math
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uint256 floorEth = 0;
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uint256 floorHarb = 0;
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@ -358,6 +351,27 @@ contract FuzzingAnalysis is Test, CSVManager {
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uint256 discoveryEth = 0;
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uint256 discoveryHarb = 0;
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// Debug: Log liquidity values
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if (keccak256(bytes(label)) == keccak256(bytes("Initial")) || keccak256(bytes(label)) == keccak256(bytes("Recenter_2"))) {
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console.log("=== LIQUIDITY VALUES ===");
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console.log("Label:", label);
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console.log("Current tick:", uint256(int256(currentTick)));
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console.log("Anchor range:", uint256(int256(anchorLower)), "-", uint256(int256(anchorUpper)));
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console.log("Anchor liquidity:", uint256(anchorLiq));
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console.log("Discovery range:", uint256(int256(discoveryLower)), "-", uint256(int256(discoveryUpper)));
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console.log("Discovery liquidity:", uint256(discoveryLiq));
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if (uint256(anchorLiq) > 0) {
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console.log("Discovery/Anchor liquidity ratio:", uint256(discoveryLiq) * 100 / uint256(anchorLiq), "%");
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console.log("Anchor width:", uint256(int256(anchorUpper - anchorLower)), "ticks");
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console.log("Discovery width:", uint256(int256(discoveryUpper - discoveryLower)), "ticks");
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uint256 anchorLiqPerTick = uint256(anchorLiq) * 1000 / uint256(int256(anchorUpper - anchorLower));
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uint256 discoveryLiqPerTick = uint256(discoveryLiq) * 1000 / uint256(int256(discoveryUpper - discoveryLower));
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console.log("Anchor liquidity per tick (x1000):", anchorLiqPerTick);
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console.log("Discovery liquidity per tick (x1000):", discoveryLiqPerTick);
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console.log("Discovery/Anchor per tick ratio:", discoveryLiqPerTick * 100 / anchorLiqPerTick, "%");
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}
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}
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// Calculate amounts for each position using LiquidityAmounts library
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if (floorLiq > 0) {
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uint160 sqrtRatioAX96 = TickMath.getSqrtRatioAtTick(floorLower);
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@ -252,28 +252,28 @@
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const floorTickLower = parseFloat(row.floorTickLower);
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const floorTickUpper = parseFloat(row.floorTickUpper);
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// Swap floor values to match expected behavior
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const floorEth = parseFloat(row.floorToken1 || row.floorHarb) / 1e18;
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const floorKraiken = parseFloat(row.floorToken0 || row.floorEth) / 1e18;
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const floorEth = parseFloat(row.floorToken1 || 0) / 1e18;
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const floorKraiken = parseFloat(row.floorToken0 || 0) / 1e18;
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const anchorTickLower = parseFloat(row.anchorTickLower);
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const anchorTickUpper = parseFloat(row.anchorTickUpper);
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const anchorEth = parseFloat(row.anchorToken0 || row.anchorEth) / 1e18;
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const anchorKraiken = parseFloat(row.anchorToken1 || row.anchorHarb) / 1e18;
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const anchorEth = parseFloat(row.anchorToken0 || 0) / 1e18;
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const anchorKraiken = parseFloat(row.anchorToken1 || 0) / 1e18;
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const discoveryTickLower = parseFloat(row.discoveryTickLower);
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const discoveryTickUpper = parseFloat(row.discoveryTickUpper);
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// Swap discovery values to match expected behavior
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const discoveryEth = parseFloat(row.discoveryToken1 || row.discoveryHarb) / 1e18;
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const discoveryKraiken = parseFloat(row.discoveryToken0 || row.discoveryEth) / 1e18;
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const discoveryEth = parseFloat(row.discoveryToken1 || 0) / 1e18;
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const discoveryKraiken = parseFloat(row.discoveryToken0 || 0) / 1e18;
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let actionAmount = '';
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let additionalInfo = '';
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if (previousRow) {
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const prevFloorEth = parseFloat(previousRow.floorToken1 || previousRow.floorHarb) / 1e18;
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const prevFloorKraiken = parseFloat(previousRow.floorToken0 || previousRow.floorEth) / 1e18;
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const prevAnchorEth = parseFloat(previousRow.anchorToken0 || previousRow.anchorEth) / 1e18;
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const prevAnchorKraiken = parseFloat(previousRow.anchorToken1 || previousRow.anchorHarb) / 1e18;
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const prevDiscoveryEth = parseFloat(previousRow.discoveryToken1 || previousRow.discoveryHarb) / 1e18;
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const prevDiscoveryKraiken = parseFloat(previousRow.discoveryToken0 || previousRow.discoveryEth) / 1e18;
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const prevFloorEth = parseFloat(previousRow.floorToken1 || 0) / 1e18;
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const prevFloorKraiken = parseFloat(previousRow.floorToken0 || 0) / 1e18;
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const prevAnchorEth = parseFloat(previousRow.anchorToken0 || 0) / 1e18;
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const prevAnchorKraiken = parseFloat(previousRow.anchorToken1 || 0) / 1e18;
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const prevDiscoveryEth = parseFloat(previousRow.discoveryToken1 || 0) / 1e18;
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const prevDiscoveryKraiken = parseFloat(previousRow.discoveryToken0 || 0) / 1e18;
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const ethDifference = (floorEth + anchorEth + discoveryEth) - (prevFloorEth + prevAnchorEth + prevDiscoveryEth);
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const kraikenDifference = (floorKraiken + anchorKraiken + discoveryKraiken) - (prevFloorKraiken + prevAnchorKraiken + prevDiscoveryKraiken);
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@ -310,6 +310,57 @@
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return Math.sqrt(price);
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}
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// Calculate the invariant liquidity value from token amounts
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// This represents the actual liquidity deployed to the position, independent of current price
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function calculateInvariantLiquidity(token0Amount, token1Amount, tickLower, tickUpper, positionName = '') {
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// Add safeguards for extreme tick values
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if (tickLower > 180000 || tickUpper > 180000) {
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console.warn(`${positionName} has extremely high ticks: [${tickLower}, ${tickUpper}]. This may cause precision issues.`);
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}
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const priceLower = tickToPrice(tickLower);
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const priceUpper = tickToPrice(tickUpper);
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const sqrtPriceLower = priceToSqrtPrice(priceLower);
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const sqrtPriceUpper = priceToSqrtPrice(priceUpper);
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// Handle edge cases where denominators would be zero
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if (sqrtPriceUpper === sqrtPriceLower) {
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return 0; // Invalid range
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}
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let liquidity = 0;
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let calculatedFrom = '';
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// If we have token0, calculate liquidity from it
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if (token0Amount > 0) {
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liquidity = token0Amount * (sqrtPriceUpper * sqrtPriceLower) / (sqrtPriceUpper - sqrtPriceLower);
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calculatedFrom = 'token0';
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}
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// If we have token1, calculate liquidity from it
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else if (token1Amount > 0) {
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liquidity = token1Amount / (sqrtPriceUpper - sqrtPriceLower);
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calculatedFrom = 'token1';
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}
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// Debug logging
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if (positionName) {
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console.log(`${positionName} liquidity calculation:`, {
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token0Amount,
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token1Amount,
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tickRange: [tickLower, tickUpper],
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sqrtPriceLower,
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sqrtPriceUpper,
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sqrtPriceDiff: sqrtPriceUpper - sqrtPriceLower,
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liquidity,
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calculatedFrom
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});
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}
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return liquidity;
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}
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function calculateUniV3Liquidity(token0Amount, token1Amount, tickLower, tickUpper, currentTick) {
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const priceLower = tickToPrice(tickLower);
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const priceUpper = tickToPrice(tickUpper);
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@ -373,8 +424,8 @@
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kraiken: floorKraiken,
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name: 'Floor',
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liquidity: token0isWeth ?
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calculateUniV3Liquidity(floorEth, floorKraiken, floorTickLower, floorTickUpper, currentTick) :
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calculateUniV3Liquidity(floorKraiken, floorEth, floorTickLower, floorTickUpper, currentTick)
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calculateInvariantLiquidity(floorEth, floorKraiken, floorTickLower, floorTickUpper, 'Floor') :
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calculateInvariantLiquidity(floorKraiken, floorEth, floorTickLower, floorTickUpper, 'Floor')
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},
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anchor: {
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tickLower: anchorTickLower,
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@ -383,8 +434,8 @@
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kraiken: anchorKraiken,
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name: 'Anchor (Shallow Pool)',
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liquidity: token0isWeth ?
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calculateUniV3Liquidity(anchorEth, anchorKraiken, anchorTickLower, anchorTickUpper, currentTick) :
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calculateUniV3Liquidity(anchorKraiken, anchorEth, anchorTickLower, anchorTickUpper, currentTick)
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calculateInvariantLiquidity(anchorEth, anchorKraiken, anchorTickLower, anchorTickUpper, 'Anchor') :
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calculateInvariantLiquidity(anchorKraiken, anchorEth, anchorTickLower, anchorTickUpper, 'Anchor')
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},
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discovery: {
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tickLower: discoveryTickLower,
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@ -393,10 +444,34 @@
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kraiken: discoveryKraiken,
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name: 'Discovery',
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liquidity: token0isWeth ?
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calculateUniV3Liquidity(discoveryEth, discoveryKraiken, discoveryTickLower, discoveryTickUpper, currentTick) :
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calculateUniV3Liquidity(discoveryKraiken, discoveryEth, discoveryTickLower, discoveryTickUpper, currentTick)
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calculateInvariantLiquidity(discoveryEth, discoveryKraiken, discoveryTickLower, discoveryTickUpper, 'Discovery') :
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calculateInvariantLiquidity(discoveryKraiken, discoveryEth, discoveryTickLower, discoveryTickUpper, 'Discovery')
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}
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};
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// Debug logging for all positions
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console.log('Position liquidity values:', {
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floor: {
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liquidity: positions.floor.liquidity,
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eth: floorEth,
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kraiken: floorKraiken,
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range: [floorTickLower, floorTickUpper]
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},
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anchor: {
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liquidity: positions.anchor.liquidity,
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eth: anchorEth,
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kraiken: anchorKraiken,
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range: [anchorTickLower, anchorTickUpper]
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},
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discovery: {
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liquidity: positions.discovery.liquidity,
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eth: discoveryEth,
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kraiken: discoveryKraiken,
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range: [discoveryTickLower, discoveryTickUpper]
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},
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currentTick: currentTick,
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token0isWeth: token0isWeth
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});
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// Calculate total active liquidity
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const totalLiquidity = Object.values(positions).reduce((sum, pos) => sum + pos.liquidity, 0);
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@ -440,7 +515,7 @@
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chartWrapper.style.width = '100%'; // Full width for single chart
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const chartTitle = document.createElement('div');
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chartTitle.className = 'chart-title';
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chartTitle.textContent = 'Token Distribution by Position';
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chartTitle.textContent = 'Total Liquidity Distribution (L × Tick Range)';
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const combinedChart = document.createElement('div');
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combinedChart.className = 'chart-div';
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combinedChart.id = `combined-chart-${Date.now()}-${Math.random()}`;
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// ETH trace (left y-axis)
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const ethTrace = {
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x: barPositions,
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y: positionKeys.map(key => positions[key].eth),
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y: positionKeys.map(key => {
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const value = positions[key].eth;
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// Add minimum height for zero values to make them visible
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return value === 0 ? 0.01 : value;
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}),
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width: barWidths,
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type: 'bar',
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name: 'ETH',
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@ -502,7 +581,11 @@
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// KRAIKEN trace (right y-axis)
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const kraikenTrace = {
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x: barPositions, // Same position as ETH bars
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y: positionKeys.map(key => positions[key].kraiken),
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y: positionKeys.map(key => {
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const value = positions[key].kraiken;
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// Add minimum height for zero values to make them visible
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return value === 0 ? 0.01 : value;
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}),
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width: barWidths,
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type: 'bar',
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name: 'KRAIKEN',
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@ -534,18 +617,127 @@
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const padding = tickRange * 0.1; // 10% padding on each side
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const xAxisMin = minTick - padding;
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const xAxisMax = maxTick + padding;
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// Debug logging for chart range
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console.log('Chart x-axis range:', { xAxisMin, xAxisMax });
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console.log('Bar positions:', barPositions);
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console.log('Bar widths:', barWidths);
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console.log('ETH values:', positionKeys.map(key => positions[key].eth));
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console.log('KRAIKEN values:', positionKeys.map(key => positions[key].kraiken));
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console.log('ETH trace y values (with min):', ethTrace.y);
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console.log('KRAIKEN trace y values (with min):', kraikenTrace.y);
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// Calculate max values for proper y-axis alignment
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const maxEth = Math.max(...positionKeys.map(key => positions[key].eth));
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const maxKraiken = Math.max(...positionKeys.map(key => positions[key].kraiken));
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const showPriceLine = currentTick >= xAxisMin && currentTick <= xAxisMax;
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const data = [ethTrace, kraikenTrace];
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// Create liquidity × ticks traces for each position
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const liquidityTraces = positionKeys.map(key => {
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const pos = positions[key];
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const tickRange = pos.tickUpper - pos.tickLower;
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const totalLiquidity = pos.liquidity * tickRange;
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// Debug logging for very small or large values
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if (totalLiquidity < 1 || tickRange > 10000 || pos.tickLower > 180000) {
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console.log(`Warning: ${key} position has unusual values:`, {
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liquidity: pos.liquidity,
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tickRange: tickRange,
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totalLiquidity: totalLiquidity,
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ticks: [pos.tickLower, pos.tickUpper],
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tickCenter: pos.tickLower + (pos.tickUpper - pos.tickLower) / 2
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});
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}
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// Note: minVisibleLiquidity will be calculated after all positions are processed
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|
||||
// Note: Width adjustment will be done after x-axis range is calculated
|
||||
const visibleWidth = tickRange;
|
||||
|
||||
return {
|
||||
x: [pos.tickLower + (pos.tickUpper - pos.tickLower) / 2],
|
||||
y: [totalLiquidity], // Will be adjusted later
|
||||
width: visibleWidth,
|
||||
type: 'bar',
|
||||
name: `${pos.name} Total Liquidity`,
|
||||
marker: {
|
||||
color: POSITION_COLORS[key],
|
||||
opacity: 0.8,
|
||||
line: {
|
||||
color: 'white',
|
||||
width: 2
|
||||
}
|
||||
},
|
||||
text: `${pos.name}<br>Liquidity: ${pos.liquidity.toLocaleString(undefined, {minimumFractionDigits: 2, maximumFractionDigits: 2})}<br>Tick Range: ${tickRange.toLocaleString()}<br>Total (L×Ticks): ${totalLiquidity.toLocaleString(undefined, {minimumFractionDigits: 0, maximumFractionDigits: 0})}<br>ETH: ${pos.eth.toFixed(6)}<br>KRAIKEN: ${pos.kraiken.toLocaleString(undefined, {minimumFractionDigits: 2, maximumFractionDigits: 2})}<br>Range: [${pos.tickLower.toLocaleString()}, ${pos.tickUpper.toLocaleString()}]`,
|
||||
hoverinfo: 'text',
|
||||
showlegend: false
|
||||
};
|
||||
});
|
||||
|
||||
const data = liquidityTraces;
|
||||
|
||||
// Calculate max and min total liquidity (L × ticks) for y-axis scaling
|
||||
const totalLiquidities = positionKeys.map(key => {
|
||||
const pos = positions[key];
|
||||
return pos.liquidity * (pos.tickUpper - pos.tickLower);
|
||||
});
|
||||
const maxTotalLiquidity = Math.max(...totalLiquidities);
|
||||
const minTotalLiquidity = Math.min(...totalLiquidities.filter(l => l > 0));
|
||||
|
||||
// Calculate x-axis range first
|
||||
const allTicksForRange = [];
|
||||
positionKeys.forEach(key => {
|
||||
allTicksForRange.push(positions[key].tickLower, positions[key].tickUpper);
|
||||
});
|
||||
allTicksForRange.push(currentTick);
|
||||
|
||||
const minTickForWidth = Math.min(...allTicksForRange);
|
||||
const maxTickForWidth = Math.max(...allTicksForRange);
|
||||
const tickRangeTotal = maxTickForWidth - minTickForWidth;
|
||||
const paddingForWidth = tickRangeTotal * 0.1;
|
||||
const xAxisMinForWidth = minTickForWidth - paddingForWidth;
|
||||
const xAxisMaxForWidth = maxTickForWidth + paddingForWidth;
|
||||
const xRange = xAxisMaxForWidth - xAxisMinForWidth;
|
||||
|
||||
// Calculate minimum visible width as 2% of x-axis range
|
||||
const minVisibleWidth = xRange * 0.02;
|
||||
|
||||
// Adjust bar widths to ensure visibility
|
||||
liquidityTraces.forEach((trace, index) => {
|
||||
const pos = positions[positionKeys[index]];
|
||||
const actualWidth = pos.tickUpper - pos.tickLower;
|
||||
if (actualWidth < minVisibleWidth) {
|
||||
trace.width = minVisibleWidth;
|
||||
// Add note about width adjustment
|
||||
trace.text += `<br><i>(Width expanded for visibility - actual: ${actualWidth} ticks)</i>`;
|
||||
}
|
||||
});
|
||||
|
||||
// Sort liquidity values to find appropriate thresholds
|
||||
const sortedLiquidities = [...totalLiquidities].sort((a, b) => a - b);
|
||||
|
||||
// Ensure all bars are visible on the log scale
|
||||
// Set minimum height to be 2% of the median value, which should make all bars clearly visible
|
||||
const medianLiquidity = sortedLiquidities[Math.floor(sortedLiquidities.length / 2)];
|
||||
const minVisibleLiquidity = medianLiquidity * 0.02;
|
||||
|
||||
// Adjust y values to ensure minimum visibility
|
||||
liquidityTraces.forEach((trace, index) => {
|
||||
const actualValue = totalLiquidities[index];
|
||||
if (actualValue < minVisibleLiquidity) {
|
||||
trace.y[0] = minVisibleLiquidity;
|
||||
// Add a note to the hover text that this value was adjusted for visibility
|
||||
trace.text += `<br><i>(Height adjusted for visibility - actual: ${actualValue.toExponential(2)})</i>`;
|
||||
}
|
||||
});
|
||||
|
||||
// Ensure minimum is at least 1e-10 for log scale
|
||||
const yMin = Math.max(1e-10, Math.min(minTotalLiquidity / 100, minVisibleLiquidity / 10));
|
||||
|
||||
if (showPriceLine) {
|
||||
const priceLineTrace = {
|
||||
x: [currentTick, currentTick],
|
||||
y: [0, maxEth * 1.1],
|
||||
y: [yMin, maxTotalLiquidity * 10], // Use log scale range
|
||||
mode: 'lines',
|
||||
line: {
|
||||
color: 'red',
|
||||
|
|
@ -553,7 +745,6 @@
|
|||
dash: 'dash'
|
||||
},
|
||||
name: 'Current Price',
|
||||
yaxis: 'y',
|
||||
hoverinfo: 'x',
|
||||
text: [`Current Price: ${currentTick}`],
|
||||
showlegend: true
|
||||
|
|
@ -563,7 +754,7 @@
|
|||
|
||||
const layout = {
|
||||
title: {
|
||||
text: `Token Distribution by Position (Current Price: ${currentTick}${showPriceLine ? '' : ' - Outside Range'})`,
|
||||
text: `Total Liquidity Distribution (L × Tick Range) - Current Price: ${currentTick}${showPriceLine ? '' : ' - Outside Range'}`,
|
||||
font: { size: 16 }
|
||||
},
|
||||
xaxis: {
|
||||
|
|
@ -573,22 +764,13 @@
|
|||
range: [xAxisMin, xAxisMax]
|
||||
},
|
||||
yaxis: {
|
||||
title: 'ETH Amount',
|
||||
side: 'left',
|
||||
title: 'Total Liquidity (L × Ticks)',
|
||||
type: 'log',
|
||||
showgrid: true,
|
||||
gridcolor: '#e0e0e0',
|
||||
titlefont: { color: '#1f77b4' },
|
||||
tickfont: { color: '#1f77b4' },
|
||||
range: [0, maxEth * 1.1] // Start from 0, add 10% padding
|
||||
},
|
||||
yaxis2: {
|
||||
title: 'KRAIKEN Amount',
|
||||
side: 'right',
|
||||
overlaying: 'y',
|
||||
showgrid: false,
|
||||
titlefont: { color: '#ff7f0e' },
|
||||
tickfont: { color: '#ff7f0e' },
|
||||
range: [0, maxKraiken * 1.1] // Start from 0, add 10% padding
|
||||
dtick: 1, // Major gridlines at powers of 10
|
||||
tickformat: '.0e', // Scientific notation
|
||||
range: [Math.log10(yMin), Math.log10(maxTotalLiquidity * 10)]
|
||||
},
|
||||
showlegend: true,
|
||||
legend: {
|
||||
|
|
@ -600,7 +782,8 @@
|
|||
},
|
||||
plot_bgcolor: 'white',
|
||||
paper_bgcolor: 'white',
|
||||
margin: { l: 60, r: 60, t: 60, b: 50 }
|
||||
margin: { l: 60, r: 60, t: 60, b: 50 },
|
||||
barmode: 'group'
|
||||
};
|
||||
|
||||
Plotly.newPlot(chartDiv, data, layout, {responsive: true});
|
||||
|
|
@ -813,9 +996,9 @@
|
|||
totalItem.className = 'summary-item';
|
||||
totalItem.innerHTML = `
|
||||
<strong>Total Portfolio</strong><br>
|
||||
Token ETH: ${totalEth.toFixed(6)}<br>
|
||||
Token KRAIKEN: ${totalKraiken.toFixed(6)}<br>
|
||||
Uniswap V3 Liquidity: ${totalUniV3Liquidity.toFixed(2)}
|
||||
Token ETH: ${totalEth.toLocaleString(undefined, {minimumFractionDigits: 6, maximumFractionDigits: 6})}<br>
|
||||
Token KRAIKEN: ${totalKraiken.toLocaleString(undefined, {minimumFractionDigits: 2, maximumFractionDigits: 2})}<br>
|
||||
Uniswap V3 Liquidity: ${totalUniV3Liquidity.toLocaleString(undefined, {minimumFractionDigits: 2, maximumFractionDigits: 2})}
|
||||
`;
|
||||
grid.appendChild(totalItem);
|
||||
|
||||
|
|
@ -830,9 +1013,9 @@
|
|||
|
||||
item.innerHTML = `
|
||||
<strong>${pos.name} Position</strong><br>
|
||||
ETH: ${pos.eth.toFixed(6)}<br>
|
||||
KRAIKEN: ${pos.kraiken.toFixed(6)}<br>
|
||||
Uniswap V3 Liquidity: ${pos.liquidity.toFixed(2)} (${liquidityPercent}%)<br>
|
||||
ETH: ${pos.eth.toLocaleString(undefined, {minimumFractionDigits: 6, maximumFractionDigits: 6})}<br>
|
||||
KRAIKEN: ${pos.kraiken.toLocaleString(undefined, {minimumFractionDigits: 2, maximumFractionDigits: 2})}<br>
|
||||
Uniswap V3 Liquidity: ${pos.liquidity.toLocaleString(undefined, {minimumFractionDigits: 2, maximumFractionDigits: 2})} (${liquidityPercent}%)<br>
|
||||
Range: ${tickRange} ticks
|
||||
`;
|
||||
grid.appendChild(item);
|
||||
|
|
|
|||
|
|
@ -1,3 +0,0 @@
|
|||
#!/bin/bash
|
||||
cd "$(dirname "$0")"
|
||||
echo -e "\n" | timeout 15 ./run-fuzzing.sh BullMarketOptimizer debugCSV trades=3
|
||||
|
|
@ -70,10 +70,10 @@ abstract contract ThreePositionStrategy is UniswapMath, VWAPTracker {
|
|||
uint256 floorEthBalance = (19 * ethBalance / 20) - (2 * params.anchorShare * ethBalance / 10 ** 19);
|
||||
|
||||
// Step 1: Set ANCHOR position (shallow liquidity for fast price movement)
|
||||
uint256 pulledHarb = _setAnchorPosition(currentTick, ethBalance - floorEthBalance, params);
|
||||
(uint256 pulledHarb, uint128 anchorLiquidity) = _setAnchorPosition(currentTick, ethBalance - floorEthBalance, params);
|
||||
|
||||
// Step 2: Set DISCOVERY position (depends on anchor's pulled HARB)
|
||||
uint256 discoveryAmount = _setDiscoveryPosition(currentTick, pulledHarb, params);
|
||||
// Step 2: Set DISCOVERY position (depends on anchor's liquidity)
|
||||
uint256 discoveryAmount = _setDiscoveryPosition(currentTick, anchorLiquidity, params);
|
||||
|
||||
// Step 3: Set FLOOR position (deep liquidity, uses VWAP for historical memory)
|
||||
_setFloorPosition(currentTick, floorEthBalance, pulledHarb, discoveryAmount, params);
|
||||
|
|
@ -84,11 +84,12 @@ abstract contract ThreePositionStrategy is UniswapMath, VWAPTracker {
|
|||
/// @param anchorEthBalance ETH allocated to anchor position
|
||||
/// @param params Position parameters
|
||||
/// @return pulledHarb Amount of HARB pulled for this position
|
||||
/// @return anchorLiquidity The liquidity amount for the anchor position
|
||||
function _setAnchorPosition(
|
||||
int24 currentTick,
|
||||
uint256 anchorEthBalance,
|
||||
PositionParams memory params
|
||||
) internal returns (uint256 pulledHarb) {
|
||||
) internal returns (uint256 pulledHarb, uint128 anchorLiquidity) {
|
||||
// Enforce anchor range of 1% to 100% of the price
|
||||
int24 anchorSpacing = TICK_SPACING + (34 * int24(params.anchorWidth) * TICK_SPACING / 100);
|
||||
|
||||
|
|
@ -99,7 +100,6 @@ abstract contract ThreePositionStrategy is UniswapMath, VWAPTracker {
|
|||
uint160 sqrtRatioAX96 = TickMath.getSqrtRatioAtTick(tickLower);
|
||||
uint160 sqrtRatioBX96 = TickMath.getSqrtRatioAtTick(tickUpper);
|
||||
|
||||
uint128 anchorLiquidity;
|
||||
bool token0isWeth = _isToken0Weth();
|
||||
|
||||
if (token0isWeth) {
|
||||
|
|
@ -115,12 +115,12 @@ abstract contract ThreePositionStrategy is UniswapMath, VWAPTracker {
|
|||
|
||||
/// @notice Sets the discovery position (deep edge liquidity)
|
||||
/// @param currentTick Current market tick (normalized to tick spacing)
|
||||
/// @param pulledHarb HARB amount from anchor position
|
||||
/// @param anchorLiquidity Liquidity amount from anchor position
|
||||
/// @param params Position parameters
|
||||
/// @return discoveryAmount Amount of HARB used for discovery
|
||||
function _setDiscoveryPosition(
|
||||
int24 currentTick,
|
||||
uint256 pulledHarb,
|
||||
uint128 anchorLiquidity,
|
||||
PositionParams memory params
|
||||
) internal returns (uint256 discoveryAmount) {
|
||||
currentTick = currentTick / TICK_SPACING * TICK_SPACING;
|
||||
|
|
@ -141,14 +141,24 @@ abstract contract ThreePositionStrategy is UniswapMath, VWAPTracker {
|
|||
uint160 sqrtRatioAX96 = TickMath.getSqrtRatioAtTick(tickLower);
|
||||
uint160 sqrtRatioBX96 = TickMath.getSqrtRatioAtTick(tickUpper);
|
||||
|
||||
uint256 discoveryDepth = MIN_DISCOVERY_DEPTH + (4 * params.discoveryDepth * MIN_DISCOVERY_DEPTH / 10 ** 18);
|
||||
discoveryAmount = pulledHarb * uint24(DISCOVERY_SPACING) * uint24(discoveryDepth) / uint24(anchorSpacing) / 100;
|
||||
// Calculate discovery liquidity to ensure X times more liquidity per tick than anchor
|
||||
// Discovery should have 2x to 10x more liquidity per tick (not just total liquidity)
|
||||
uint256 discoveryMultiplier = 200 + (800 * params.discoveryDepth / 10 ** 18);
|
||||
|
||||
uint128 liquidity;
|
||||
// Calculate anchor width in ticks
|
||||
int24 anchorWidth = 2 * anchorSpacing;
|
||||
|
||||
// Adjust for width difference: discovery liquidity = anchor liquidity * multiplier * (discovery width / anchor width)
|
||||
uint128 liquidity = uint128(
|
||||
uint256(anchorLiquidity) * discoveryMultiplier * uint256(int256(DISCOVERY_SPACING))
|
||||
/ (100 * uint256(int256(anchorWidth)))
|
||||
);
|
||||
|
||||
// Calculate discoveryAmount for floor position calculation
|
||||
if (token0isWeth) {
|
||||
liquidity = LiquidityAmounts.getLiquidityForAmount0(sqrtRatioAX96, sqrtRatioBX96, discoveryAmount);
|
||||
discoveryAmount = LiquidityAmounts.getAmount0ForLiquidity(sqrtRatioAX96, sqrtRatioBX96, liquidity);
|
||||
} else {
|
||||
liquidity = LiquidityAmounts.getLiquidityForAmount1(sqrtRatioAX96, sqrtRatioBX96, discoveryAmount);
|
||||
discoveryAmount = LiquidityAmounts.getAmount1ForLiquidity(sqrtRatioAX96, sqrtRatioBX96, liquidity);
|
||||
}
|
||||
|
||||
_mintPosition(Stage.DISCOVERY, tickLower, tickUpper, liquidity);
|
||||
|
|
|
|||
|
|
@ -76,13 +76,13 @@ contract MockThreePositionStrategy is ThreePositionStrategy {
|
|||
}
|
||||
|
||||
function setAnchorPosition(int24 currentTick, uint256 anchorEthBalance, PositionParams memory params)
|
||||
external returns (uint256) {
|
||||
external returns (uint256, uint128) {
|
||||
return _setAnchorPosition(currentTick, anchorEthBalance, params);
|
||||
}
|
||||
|
||||
function setDiscoveryPosition(int24 currentTick, uint256 pulledHarb, PositionParams memory params)
|
||||
function setDiscoveryPosition(int24 currentTick, uint128 anchorLiquidity, PositionParams memory params)
|
||||
external returns (uint256) {
|
||||
return _setDiscoveryPosition(currentTick, pulledHarb, params);
|
||||
return _setDiscoveryPosition(currentTick, anchorLiquidity, params);
|
||||
}
|
||||
|
||||
function setFloorPosition(
|
||||
|
|
@ -163,7 +163,7 @@ contract ThreePositionStrategyTest is TestConstants {
|
|||
ThreePositionStrategy.PositionParams memory params = getDefaultParams();
|
||||
uint256 anchorEthBalance = 20 ether; // 20% of total
|
||||
|
||||
uint256 pulledHarb = strategy.setAnchorPosition(CURRENT_TICK, anchorEthBalance, params);
|
||||
(uint256 pulledHarb, ) = strategy.setAnchorPosition(CURRENT_TICK, anchorEthBalance, params);
|
||||
|
||||
// Verify position was created
|
||||
assertEq(strategy.getMintedPositionsCount(), 1, "Should have minted one position");
|
||||
|
|
@ -212,16 +212,26 @@ contract ThreePositionStrategyTest is TestConstants {
|
|||
|
||||
function testDiscoveryPositionDependsOnAnchor() public {
|
||||
ThreePositionStrategy.PositionParams memory params = getDefaultParams();
|
||||
uint256 pulledHarb = 1000 ether; // Simulated from anchor
|
||||
uint128 anchorLiquidity = 1000e18; // Simulated anchor liquidity
|
||||
|
||||
uint256 discoveryAmount = strategy.setDiscoveryPosition(CURRENT_TICK, pulledHarb, params);
|
||||
uint256 discoveryAmount = strategy.setDiscoveryPosition(CURRENT_TICK, anchorLiquidity, params);
|
||||
|
||||
// Discovery amount should be proportional to pulledHarb
|
||||
// Discovery amount should be proportional to anchor liquidity
|
||||
assertGt(discoveryAmount, 0, "Discovery amount should be positive");
|
||||
assertGt(discoveryAmount, pulledHarb / 100, "Discovery should be meaningful portion of pulled HARB");
|
||||
|
||||
MockThreePositionStrategy.MintedPosition memory pos = strategy.getMintedPosition(0);
|
||||
assertEq(uint256(pos.stage), uint256(ThreePositionStrategy.Stage.DISCOVERY), "Should be discovery position");
|
||||
|
||||
// Discovery liquidity should ensure multiple times more liquidity per tick
|
||||
uint256 expectedMultiplier = 200 + (800 * params.discoveryDepth / 10 ** 18);
|
||||
// Calculate anchor width (same calculation as in _setDiscoveryPosition)
|
||||
int24 anchorSpacing = 200 + (34 * int24(params.anchorWidth) * 200 / 100);
|
||||
int24 anchorWidth = 2 * anchorSpacing;
|
||||
// Adjust for width difference
|
||||
uint128 expectedLiquidity = uint128(
|
||||
uint256(anchorLiquidity) * expectedMultiplier * 11000 / (100 * uint256(int256(anchorWidth)))
|
||||
);
|
||||
assertEq(pos.liquidity, expectedLiquidity, "Discovery liquidity should match expected multiple adjusted for width");
|
||||
}
|
||||
|
||||
function testDiscoveryPositionPlacement() public {
|
||||
|
|
@ -231,8 +241,8 @@ contract ThreePositionStrategyTest is TestConstants {
|
|||
// Test with WETH as token0
|
||||
strategy = new MockThreePositionStrategy(HARB_TOKEN, WETH_TOKEN, token0IsWeth, ETH_BALANCE, OUTSTANDING_SUPPLY);
|
||||
|
||||
uint256 pulledHarb = 1000 ether;
|
||||
strategy.setDiscoveryPosition(CURRENT_TICK, pulledHarb, params);
|
||||
uint128 anchorLiquidity = 1000e18;
|
||||
strategy.setDiscoveryPosition(CURRENT_TICK, anchorLiquidity, params);
|
||||
|
||||
MockThreePositionStrategy.MintedPosition memory pos = strategy.getMintedPosition(0);
|
||||
|
||||
|
|
@ -245,12 +255,12 @@ contract ThreePositionStrategyTest is TestConstants {
|
|||
ThreePositionStrategy.PositionParams memory params = getDefaultParams();
|
||||
params.discoveryDepth = 10 ** 18; // Maximum depth (100%)
|
||||
|
||||
uint256 pulledHarb = 1000 ether;
|
||||
uint256 discoveryAmount1 = strategy.setDiscoveryPosition(CURRENT_TICK, pulledHarb, params);
|
||||
uint128 anchorLiquidity = 1000e18;
|
||||
uint256 discoveryAmount1 = strategy.setDiscoveryPosition(CURRENT_TICK, anchorLiquidity, params);
|
||||
|
||||
strategy.clearMintedPositions();
|
||||
params.discoveryDepth = 0; // Minimum depth
|
||||
uint256 discoveryAmount2 = strategy.setDiscoveryPosition(CURRENT_TICK, pulledHarb, params);
|
||||
uint256 discoveryAmount2 = strategy.setDiscoveryPosition(CURRENT_TICK, anchorLiquidity, params);
|
||||
|
||||
assertGt(discoveryAmount1, discoveryAmount2, "Higher discovery depth should result in more tokens");
|
||||
}
|
||||
|
|
|
|||
|
|
@ -16,22 +16,22 @@ contract BullMarketOptimizer {
|
|||
}
|
||||
|
||||
/// @notice Returns whale attack liquidity parameters
|
||||
/// @return capitalInefficiency 10% - very aggressive
|
||||
/// @return capitalInefficiency 0% - very aggressive
|
||||
/// @return anchorShare 95% - massive anchor concentration
|
||||
/// @return anchorWidth 80 - moderate width
|
||||
/// @return discoveryDepth 5% - minimal discovery
|
||||
/// @return anchorWidth 1000 - moderate width
|
||||
/// @return discoveryDepth Testing value: 1e18
|
||||
function getLiquidityParams()
|
||||
external
|
||||
pure
|
||||
returns (uint256 capitalInefficiency, uint256 anchorShare, uint24 anchorWidth, uint256 discoveryDepth)
|
||||
{
|
||||
capitalInefficiency = 0; // 10% - very aggressive
|
||||
anchorShare = 1e18; // 95% - massive anchor position
|
||||
anchorWidth = 1000; // moderate width (was 10)
|
||||
discoveryDepth = 1e18; // 5% - minimal discovery
|
||||
capitalInefficiency = 0; // 0% - very aggressive
|
||||
anchorShare = 95 * 10 ** 16; // 95% - massive anchor position
|
||||
anchorWidth = 50; // 50% - medium width for concentrated liquidity
|
||||
discoveryDepth = 1e18; // Testing this value
|
||||
}
|
||||
|
||||
function getDescription() external pure returns (string memory) {
|
||||
return "Bull Market (Whale Attack Parameters)";
|
||||
return "Bull Market (Testing discoveryDepth)";
|
||||
}
|
||||
}
|
||||
|
|
|
|||
Loading…
Add table
Add a link
Reference in a new issue