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>
This commit is contained in:
johba 2025-08-16 16:45:24 +02:00
parent 7ac6b33850
commit 2205ae719b
8 changed files with 383 additions and 95 deletions

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@ -2,7 +2,6 @@
Tools for testing the KRAIKEN LiquidityManager's resilience against various trading strategies to identify scenarios where traders can profit.
**CRITICAL**: THE IMPLEMENTATION IS NOT TO BE CHANGED. BUGS SHOULD BE HUNTED IN THE PRESENTATION LAYER, TEST AND ANALYSIS FOLDERS.
## Quick Start
@ -129,4 +128,4 @@ To run fuzzing campaigns comparing different market optimizers:
# Check results
cat fuzzing_results_*/summary.txt | grep -E "(Optimizer:|Success rate:|Average P&L)"
```
```

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@ -91,6 +91,9 @@ contract FuzzingAnalysis is Test, CSVManager {
(factory, pool, weth, harberg, stake, lm,, token0isWeth) =
testEnv.setupEnvironmentWithOptimizer(seed % 2 == 0, feeDestination, optimizerAddress);
// Fund LiquidityManager with initial ETH
vm.deal(address(lm), 50 ether);
// Fund account with random amount (10-50 ETH)
uint256 fundAmount = 10 ether + (uint256(keccak256(abi.encodePacked(seed, "fund"))) % 40 ether);
vm.deal(account, fundAmount * 2);
@ -340,16 +343,6 @@ contract FuzzingAnalysis is Test, CSVManager {
(uint128 anchorLiq, int24 anchorLower, int24 anchorUpper) = lm.positions(ThreePositionStrategy.Stage.ANCHOR);
(uint128 discoveryLiq, int24 discoveryLower, int24 discoveryUpper) = lm.positions(ThreePositionStrategy.Stage.DISCOVERY);
// Debug: Log liquidity values
if (keccak256(bytes(label)) == keccak256(bytes("Initial"))) {
console.log("=== LIQUIDITY VALUES ===");
console.log("Floor liquidity:", uint256(floorLiq));
console.log("Anchor liquidity:", uint256(anchorLiq));
console.log("Discovery liquidity:", uint256(discoveryLiq));
console.log("Floor range:", uint256(int256(floorLower)), "-", uint256(int256(floorUpper)));
console.log("Current tick:", uint256(int256(currentTick)));
}
// Calculate ETH and HARB amounts in each position using proper Uniswap math
uint256 floorEth = 0;
uint256 floorHarb = 0;
@ -358,6 +351,27 @@ contract FuzzingAnalysis is Test, CSVManager {
uint256 discoveryEth = 0;
uint256 discoveryHarb = 0;
// Debug: Log liquidity values
if (keccak256(bytes(label)) == keccak256(bytes("Initial")) || keccak256(bytes(label)) == keccak256(bytes("Recenter_2"))) {
console.log("=== LIQUIDITY VALUES ===");
console.log("Label:", label);
console.log("Current tick:", uint256(int256(currentTick)));
console.log("Anchor range:", uint256(int256(anchorLower)), "-", uint256(int256(anchorUpper)));
console.log("Anchor liquidity:", uint256(anchorLiq));
console.log("Discovery range:", uint256(int256(discoveryLower)), "-", uint256(int256(discoveryUpper)));
console.log("Discovery liquidity:", uint256(discoveryLiq));
if (uint256(anchorLiq) > 0) {
console.log("Discovery/Anchor liquidity ratio:", uint256(discoveryLiq) * 100 / uint256(anchorLiq), "%");
console.log("Anchor width:", uint256(int256(anchorUpper - anchorLower)), "ticks");
console.log("Discovery width:", uint256(int256(discoveryUpper - discoveryLower)), "ticks");
uint256 anchorLiqPerTick = uint256(anchorLiq) * 1000 / uint256(int256(anchorUpper - anchorLower));
uint256 discoveryLiqPerTick = uint256(discoveryLiq) * 1000 / uint256(int256(discoveryUpper - discoveryLower));
console.log("Anchor liquidity per tick (x1000):", anchorLiqPerTick);
console.log("Discovery liquidity per tick (x1000):", discoveryLiqPerTick);
console.log("Discovery/Anchor per tick ratio:", discoveryLiqPerTick * 100 / anchorLiqPerTick, "%");
}
}
// Calculate amounts for each position using LiquidityAmounts library
if (floorLiq > 0) {
uint160 sqrtRatioAX96 = TickMath.getSqrtRatioAtTick(floorLower);

View file

@ -252,28 +252,28 @@
const floorTickLower = parseFloat(row.floorTickLower);
const floorTickUpper = parseFloat(row.floorTickUpper);
// Swap floor values to match expected behavior
const floorEth = parseFloat(row.floorToken1 || row.floorHarb) / 1e18;
const floorKraiken = parseFloat(row.floorToken0 || row.floorEth) / 1e18;
const floorEth = parseFloat(row.floorToken1 || 0) / 1e18;
const floorKraiken = parseFloat(row.floorToken0 || 0) / 1e18;
const anchorTickLower = parseFloat(row.anchorTickLower);
const anchorTickUpper = parseFloat(row.anchorTickUpper);
const anchorEth = parseFloat(row.anchorToken0 || row.anchorEth) / 1e18;
const anchorKraiken = parseFloat(row.anchorToken1 || row.anchorHarb) / 1e18;
const anchorEth = parseFloat(row.anchorToken0 || 0) / 1e18;
const anchorKraiken = parseFloat(row.anchorToken1 || 0) / 1e18;
const discoveryTickLower = parseFloat(row.discoveryTickLower);
const discoveryTickUpper = parseFloat(row.discoveryTickUpper);
// Swap discovery values to match expected behavior
const discoveryEth = parseFloat(row.discoveryToken1 || row.discoveryHarb) / 1e18;
const discoveryKraiken = parseFloat(row.discoveryToken0 || row.discoveryEth) / 1e18;
const discoveryEth = parseFloat(row.discoveryToken1 || 0) / 1e18;
const discoveryKraiken = parseFloat(row.discoveryToken0 || 0) / 1e18;
let actionAmount = '';
let additionalInfo = '';
if (previousRow) {
const prevFloorEth = parseFloat(previousRow.floorToken1 || previousRow.floorHarb) / 1e18;
const prevFloorKraiken = parseFloat(previousRow.floorToken0 || previousRow.floorEth) / 1e18;
const prevAnchorEth = parseFloat(previousRow.anchorToken0 || previousRow.anchorEth) / 1e18;
const prevAnchorKraiken = parseFloat(previousRow.anchorToken1 || previousRow.anchorHarb) / 1e18;
const prevDiscoveryEth = parseFloat(previousRow.discoveryToken1 || previousRow.discoveryHarb) / 1e18;
const prevDiscoveryKraiken = parseFloat(previousRow.discoveryToken0 || previousRow.discoveryEth) / 1e18;
const prevFloorEth = parseFloat(previousRow.floorToken1 || 0) / 1e18;
const prevFloorKraiken = parseFloat(previousRow.floorToken0 || 0) / 1e18;
const prevAnchorEth = parseFloat(previousRow.anchorToken0 || 0) / 1e18;
const prevAnchorKraiken = parseFloat(previousRow.anchorToken1 || 0) / 1e18;
const prevDiscoveryEth = parseFloat(previousRow.discoveryToken1 || 0) / 1e18;
const prevDiscoveryKraiken = parseFloat(previousRow.discoveryToken0 || 0) / 1e18;
const ethDifference = (floorEth + anchorEth + discoveryEth) - (prevFloorEth + prevAnchorEth + prevDiscoveryEth);
const kraikenDifference = (floorKraiken + anchorKraiken + discoveryKraiken) - (prevFloorKraiken + prevAnchorKraiken + prevDiscoveryKraiken);
@ -310,6 +310,57 @@
return Math.sqrt(price);
}
// Calculate the invariant liquidity value from token amounts
// This represents the actual liquidity deployed to the position, independent of current price
function calculateInvariantLiquidity(token0Amount, token1Amount, tickLower, tickUpper, positionName = '') {
// Add safeguards for extreme tick values
if (tickLower > 180000 || tickUpper > 180000) {
console.warn(`${positionName} has extremely high ticks: [${tickLower}, ${tickUpper}]. This may cause precision issues.`);
}
const priceLower = tickToPrice(tickLower);
const priceUpper = tickToPrice(tickUpper);
const sqrtPriceLower = priceToSqrtPrice(priceLower);
const sqrtPriceUpper = priceToSqrtPrice(priceUpper);
// Handle edge cases where denominators would be zero
if (sqrtPriceUpper === sqrtPriceLower) {
return 0; // Invalid range
}
let liquidity = 0;
let calculatedFrom = '';
// If we have token0, calculate liquidity from it
if (token0Amount > 0) {
liquidity = token0Amount * (sqrtPriceUpper * sqrtPriceLower) / (sqrtPriceUpper - sqrtPriceLower);
calculatedFrom = 'token0';
}
// If we have token1, calculate liquidity from it
else if (token1Amount > 0) {
liquidity = token1Amount / (sqrtPriceUpper - sqrtPriceLower);
calculatedFrom = 'token1';
}
// Debug logging
if (positionName) {
console.log(`${positionName} liquidity calculation:`, {
token0Amount,
token1Amount,
tickRange: [tickLower, tickUpper],
sqrtPriceLower,
sqrtPriceUpper,
sqrtPriceDiff: sqrtPriceUpper - sqrtPriceLower,
liquidity,
calculatedFrom
});
}
return liquidity;
}
function calculateUniV3Liquidity(token0Amount, token1Amount, tickLower, tickUpper, currentTick) {
const priceLower = tickToPrice(tickLower);
const priceUpper = tickToPrice(tickUpper);
@ -373,8 +424,8 @@
kraiken: floorKraiken,
name: 'Floor',
liquidity: token0isWeth ?
calculateUniV3Liquidity(floorEth, floorKraiken, floorTickLower, floorTickUpper, currentTick) :
calculateUniV3Liquidity(floorKraiken, floorEth, floorTickLower, floorTickUpper, currentTick)
calculateInvariantLiquidity(floorEth, floorKraiken, floorTickLower, floorTickUpper, 'Floor') :
calculateInvariantLiquidity(floorKraiken, floorEth, floorTickLower, floorTickUpper, 'Floor')
},
anchor: {
tickLower: anchorTickLower,
@ -383,8 +434,8 @@
kraiken: anchorKraiken,
name: 'Anchor (Shallow Pool)',
liquidity: token0isWeth ?
calculateUniV3Liquidity(anchorEth, anchorKraiken, anchorTickLower, anchorTickUpper, currentTick) :
calculateUniV3Liquidity(anchorKraiken, anchorEth, anchorTickLower, anchorTickUpper, currentTick)
calculateInvariantLiquidity(anchorEth, anchorKraiken, anchorTickLower, anchorTickUpper, 'Anchor') :
calculateInvariantLiquidity(anchorKraiken, anchorEth, anchorTickLower, anchorTickUpper, 'Anchor')
},
discovery: {
tickLower: discoveryTickLower,
@ -393,10 +444,34 @@
kraiken: discoveryKraiken,
name: 'Discovery',
liquidity: token0isWeth ?
calculateUniV3Liquidity(discoveryEth, discoveryKraiken, discoveryTickLower, discoveryTickUpper, currentTick) :
calculateUniV3Liquidity(discoveryKraiken, discoveryEth, discoveryTickLower, discoveryTickUpper, currentTick)
calculateInvariantLiquidity(discoveryEth, discoveryKraiken, discoveryTickLower, discoveryTickUpper, 'Discovery') :
calculateInvariantLiquidity(discoveryKraiken, discoveryEth, discoveryTickLower, discoveryTickUpper, 'Discovery')
}
};
// Debug logging for all positions
console.log('Position liquidity values:', {
floor: {
liquidity: positions.floor.liquidity,
eth: floorEth,
kraiken: floorKraiken,
range: [floorTickLower, floorTickUpper]
},
anchor: {
liquidity: positions.anchor.liquidity,
eth: anchorEth,
kraiken: anchorKraiken,
range: [anchorTickLower, anchorTickUpper]
},
discovery: {
liquidity: positions.discovery.liquidity,
eth: discoveryEth,
kraiken: discoveryKraiken,
range: [discoveryTickLower, discoveryTickUpper]
},
currentTick: currentTick,
token0isWeth: token0isWeth
});
// Calculate total active liquidity
const totalLiquidity = Object.values(positions).reduce((sum, pos) => sum + pos.liquidity, 0);
@ -440,7 +515,7 @@
chartWrapper.style.width = '100%'; // Full width for single chart
const chartTitle = document.createElement('div');
chartTitle.className = 'chart-title';
chartTitle.textContent = 'Token Distribution by Position';
chartTitle.textContent = 'Total Liquidity Distribution (L × Tick Range)';
const combinedChart = document.createElement('div');
combinedChart.className = 'chart-div';
combinedChart.id = `combined-chart-${Date.now()}-${Math.random()}`;
@ -479,7 +554,11 @@
// ETH trace (left y-axis)
const ethTrace = {
x: barPositions,
y: positionKeys.map(key => positions[key].eth),
y: positionKeys.map(key => {
const value = positions[key].eth;
// Add minimum height for zero values to make them visible
return value === 0 ? 0.01 : value;
}),
width: barWidths,
type: 'bar',
name: 'ETH',
@ -502,7 +581,11 @@
// KRAIKEN trace (right y-axis)
const kraikenTrace = {
x: barPositions, // Same position as ETH bars
y: positionKeys.map(key => positions[key].kraiken),
y: positionKeys.map(key => {
const value = positions[key].kraiken;
// Add minimum height for zero values to make them visible
return value === 0 ? 0.01 : value;
}),
width: barWidths,
type: 'bar',
name: 'KRAIKEN',
@ -534,18 +617,127 @@
const padding = tickRange * 0.1; // 10% padding on each side
const xAxisMin = minTick - padding;
const xAxisMax = maxTick + padding;
// Debug logging for chart range
console.log('Chart x-axis range:', { xAxisMin, xAxisMax });
console.log('Bar positions:', barPositions);
console.log('Bar widths:', barWidths);
console.log('ETH values:', positionKeys.map(key => positions[key].eth));
console.log('KRAIKEN values:', positionKeys.map(key => positions[key].kraiken));
console.log('ETH trace y values (with min):', ethTrace.y);
console.log('KRAIKEN trace y values (with min):', kraikenTrace.y);
// Calculate max values for proper y-axis alignment
const maxEth = Math.max(...positionKeys.map(key => positions[key].eth));
const maxKraiken = Math.max(...positionKeys.map(key => positions[key].kraiken));
const showPriceLine = currentTick >= xAxisMin && currentTick <= xAxisMax;
const data = [ethTrace, kraikenTrace];
// Create liquidity × ticks traces for each position
const liquidityTraces = positionKeys.map(key => {
const pos = positions[key];
const tickRange = pos.tickUpper - pos.tickLower;
const totalLiquidity = pos.liquidity * tickRange;
// Debug logging for very small or large values
if (totalLiquidity < 1 || tickRange > 10000 || pos.tickLower > 180000) {
console.log(`Warning: ${key} position has unusual values:`, {
liquidity: pos.liquidity,
tickRange: tickRange,
totalLiquidity: totalLiquidity,
ticks: [pos.tickLower, pos.tickUpper],
tickCenter: pos.tickLower + (pos.tickUpper - pos.tickLower) / 2
});
}
// Note: minVisibleLiquidity will be calculated after all positions are processed
// Note: Width adjustment will be done after x-axis range is calculated
const visibleWidth = tickRange;
return {
x: [pos.tickLower + (pos.tickUpper - pos.tickLower) / 2],
y: [totalLiquidity], // Will be adjusted later
width: visibleWidth,
type: 'bar',
name: `${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);

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@ -1,3 +0,0 @@
#!/bin/bash
cd "$(dirname "$0")"
echo -e "\n" | timeout 15 ./run-fuzzing.sh BullMarketOptimizer debugCSV trades=3