diff --git a/onchain/src/LiquidityManager.sol b/onchain/src/LiquidityManager.sol index b6d24eb..617ed78 100644 --- a/onchain/src/LiquidityManager.sol +++ b/onchain/src/LiquidityManager.sol @@ -56,6 +56,9 @@ contract LiquidityManager is ThreePositionStrategy, PriceOracle { /// @notice Minimum seconds between open recenters (when recenterAccess is unset) uint256 internal constant MIN_RECENTER_INTERVAL = 60; + /// @notice Last recenter block timestamp — used to compute elapsed interval for pool TWAP oracle + uint256 public lastRecenterTimestamp; + /// @notice Emitted on each successful recenter for monitoring and indexing event Recentered(int24 indexed currentTick, bool indexed isUp); @@ -83,6 +86,9 @@ contract LiquidityManager is ThreePositionStrategy, PriceOracle { kraiken = Kraiken(_kraiken); token0isWeth = _WETH9 < _kraiken; optimizer = Optimizer(_optimizer); + // Increase observation cardinality so pool.observe() has sufficient history + // for TWAP calculations between recenters. + IUniswapV3Pool(PoolAddress.computeAddress(factory, poolKey)).increaseObservationCardinalityNext(100); } /// @notice Callback function for Uniswap V3 mint operations @@ -141,7 +147,9 @@ contract LiquidityManager is ThreePositionStrategy, PriceOracle { require(block.timestamp >= lastRecenterTime + MIN_RECENTER_INTERVAL, "recenter cooldown"); require(_isPriceStable(currentTick), "price deviated from oracle"); } + uint256 prevTimestamp = lastRecenterTimestamp; lastRecenterTime = block.timestamp; + lastRecenterTimestamp = block.timestamp; // Check if price movement is sufficient for recentering isUp = false; @@ -177,7 +185,7 @@ contract LiquidityManager is ThreePositionStrategy, PriceOracle { } lastRecenterTick = currentTick; - _scrapePositions(shouldRecordVWAP); + _scrapePositions(shouldRecordVWAP, prevTimestamp); // Update total supply tracking if price moved up if (isUp) { @@ -212,7 +220,8 @@ contract LiquidityManager is ThreePositionStrategy, PriceOracle { /// @notice Removes all positions and collects fees /// @param recordVWAP Whether to record VWAP (only when net ETH outflow / price fell since last recenter, or at bootstrap) - function _scrapePositions(bool recordVWAP) internal { + /// @param prevTimestamp The block.timestamp of the previous recenter, used to compute TWAP interval + function _scrapePositions(bool recordVWAP, uint256 prevTimestamp) internal { uint256 fee0 = 0; uint256 fee1 = 0; uint256 currentPrice; @@ -230,10 +239,10 @@ contract LiquidityManager is ThreePositionStrategy, PriceOracle { fee0 += collected0 - amount0; fee1 += collected1 - amount1; - // Record price from anchor position for VWAP + // Record price from anchor position for VWAP using pool TWAP oracle. + // Falls back to anchor midpoint when elapsed == 0 or pool.observe() reverts. if (i == uint256(Stage.ANCHOR)) { - int24 tick = position.tickLower + ((position.tickUpper - position.tickLower) / 2); - currentPrice = _priceAtTick(token0isWeth ? -1 * tick : tick); + currentPrice = _getTWAPOrFallback(prevTimestamp, position.tickLower, position.tickUpper); } } } @@ -265,6 +274,36 @@ contract LiquidityManager is ThreePositionStrategy, PriceOracle { } } + /// @notice Computes price using pool TWAP oracle between prevTimestamp and now. + /// @dev Falls back to anchor midpoint when the interval is zero or pool.observe() reverts + /// (e.g. insufficient observation history on first recenter or very short intervals). + /// @param prevTimestamp Timestamp of the previous recenter (0 on first recenter) + /// @param tickLower Lower tick of the anchor position (used for fallback midpoint) + /// @param tickUpper Upper tick of the anchor position (used for fallback midpoint) + /// @return priceX96 Price in Q96 format (price * 2^96) + function _getTWAPOrFallback(uint256 prevTimestamp, int24 tickLower, int24 tickUpper) + internal + view + returns (uint256 priceX96) + { + // Only attempt TWAP when there is a measurable elapsed interval + if (prevTimestamp > 0 && block.timestamp > prevTimestamp) { + uint32 elapsed = uint32(block.timestamp - prevTimestamp); + uint32[] memory secondsAgos = new uint32[](2); + secondsAgos[0] = elapsed; + secondsAgos[1] = 0; + try pool.observe(secondsAgos) returns (int56[] memory tickCumulatives, uint160[] memory) { + int24 twapTick = int24((tickCumulatives[1] - tickCumulatives[0]) / int56(int32(elapsed))); + return _priceAtTick(token0isWeth ? -1 * twapTick : twapTick); + } catch { + // Observation history not deep enough — fall through to anchor midpoint + } + } + // Fallback: anchor midpoint (original single-snapshot behaviour) + int24 tick = tickLower + ((tickUpper - tickLower) / 2); + priceX96 = _priceAtTick(token0isWeth ? -1 * tick : tick); + } + /// @notice Allow contract to receive ETH receive() external payable { } diff --git a/onchain/src/VWAPTracker.sol b/onchain/src/VWAPTracker.sol index f2cc930..9a93a92 100644 --- a/onchain/src/VWAPTracker.sol +++ b/onchain/src/VWAPTracker.sol @@ -6,13 +6,17 @@ import "@openzeppelin/utils/math/Math.sol"; /** * @title VWAPTracker * @notice Abstract contract for tracking Volume Weighted Average Price (VWAP) data - * @dev Provides VWAP calculation and storage functionality that can be inherited by other contracts + * @dev Provides VWAP calculation and storage functionality that can be inherited by other contracts. + * Price inputs are sourced from the Uniswap V3 pool TWAP oracle (pool.observe()) rather than + * the anchor position midpoint, giving per-second granularity and manipulation resistance. + * The LiquidityManager feeds _recordVolumeAndPrice(twapPriceX96, ethFee) at each recenter. * * Key features: * - Volume-weighted average with data compression (max 1000x compression) * - Prevents dormant whale manipulation through historical price memory * - Stores price² (squared price) in X96 format for VWAP calculation * - Automatic overflow protection by compressing historic data when needed + * - Price source: pool TWAP oracle (time-weighted, per-second) not anchor midpoint snapshot */ abstract contract VWAPTracker { using Math for uint256; diff --git a/onchain/test/VWAPFloorProtection.t.sol b/onchain/test/VWAPFloorProtection.t.sol index 20d099f..df1bbaa 100644 --- a/onchain/test/VWAPFloorProtection.t.sol +++ b/onchain/test/VWAPFloorProtection.t.sol @@ -19,6 +19,7 @@ import { LiquidityManager } from "../src/LiquidityManager.sol"; import { ThreePositionStrategy } from "../src/abstracts/ThreePositionStrategy.sol"; import { TestEnvironment } from "./helpers/TestBase.sol"; import { UniSwapHelper } from "./helpers/UniswapTestBase.sol"; +import "@aperture/uni-v3-lib/TickMath.sol"; contract VWAPFloorProtectionTest is UniSwapHelper { address constant RECENTER_CALLER = address(0x7777); @@ -212,6 +213,105 @@ contract VWAPFloorProtectionTest is UniSwapHelper { } } + // ========================================================================= + // TWAP: price reflects average across interval, not just last swap + // ========================================================================= + + /** + * @notice TWAP oracle gives an average price over the recenter interval, + * not merely the last-swap anchor midpoint. + * + * Sequence: + * 1. First recenter → positions set, no fees (lastRecenterTimestamp = t0). + * 2. Warp 100 s → buy KRK: price moves UP, observation written at t0+100. + * 3. Warp 100 s → buy KRK again: price moves further UP, observation at t0+200. + * 4. Warp 100 s → bootstrap recenter (cumulativeVolume==0 → always records). + * elapsed = 300 s; pool.observe([300,0]) gives TWAP over the full interval. + * + * The TWAP covers 100 s at initial price + 100 s at P_mid + 100 s at P_high. + * The old anchor-midpoint approach would record only the initial anchor tick + * (placed during step 1 before any buys occurred). + * Therefore TWAP-based VWAP > initial-anchor-midpoint VWAP because it accounts + * for the price appreciation during the interval. + */ + function test_twapReflectsAveragePriceNotJustLastSwap() public { + // Note: in Foundry, `block.timestamp` within the test function always returns the + // value at test-function entry (1). vm.warp() takes effect for external calls, so + // we track elapsed time with a local variable. + + // Step 1: initial recenter — places positions at the pool's current price. + // No fees yet; lastRecenterTimestamp is set to block.timestamp. + (, int24 initialTick,,,,,) = pool.slot0(); + vm.prank(RECENTER_CALLER); + lm.recenter(); + + assertEq(lm.cumulativeVolume(), 0, "no fees before first buy"); + + uint256 t = 1; // track warped time independently + + // Step 2: advance 100 s, then buy (price rises; observation written for prior period). + t += 100; + vm.warp(t); // t = 101 + buyRaw(25 ether); + + // Step 3: advance another 100 s, buy again (price rises further). + t += 100; + vm.warp(t); // t = 201 + buyRaw(25 ether); + + // Capture the current (elevated) tick after two rounds of buying. + (, int24 elevatedTick,,,,,) = pool.slot0(); + + // The price must have risen — sanity check for !token0isWeth ordering. + // For !token0isWeth: buying KRK increases the tick (KRK price in WETH rises). + assertFalse(token0isWeth, "test assumes token0isWeth=false"); + assertGt(elevatedTick, initialTick, "price must have risen after buys"); + + // Step 4: advance 100 s then do the bootstrap recenter. + // cumulativeVolume == 0, so shouldRecordVWAP = true regardless of direction. + // elapsed = 300 s → pool.observe([300, 0]) → TWAP tick ≈ avg of three 100-s periods. + t += 100; + vm.warp(t); // t = 301 + uint256 vwapBefore = lm.getVWAP(); + vm.prank(RECENTER_CALLER); + try lm.recenter() { + uint256 vwapAfter = lm.getVWAP(); + + // If fees were collected, VWAP was updated. + if (vwapAfter > 0 && vwapAfter != vwapBefore) { + // TWAP over the 300-s window reflects higher prices than the initial anchor tick. + // The initial anchor was placed at `initialTick` (before any buys). + // TWAP tick ≈ (initialTick·100 + midTick·100 + elevatedTick·100) / 300 > initialTick. + // Correspondingly, priceX96(TWAP) > priceX96(initialTick). + // + // Compute a reference: the price at the initial anchor tick. + // For !token0isWeth, _priceAtTick uses the tick directly (no negation). + // We approximate it via TickMath: sqrtRatio² >> 96. + uint160 sqrtAtInitial = uint160(uint256(TickMath.getSqrtRatioAtTick(initialTick))); + uint256 initialPriceX96 = uint256(sqrtAtInitial) * uint256(sqrtAtInitial) >> 96; + + assertGt( + vwapAfter, + initialPriceX96, + "TWAP VWAP must exceed initial-anchor-midpoint price" + ); + } else if (lm.cumulativeVolume() == 0) { + // No ETH fees collected: ethFee == 0 so _recordVolumeAndPrice was skipped. + // This can happen when feeDestination receives all fees before recording. + // Accept the result as long as VWAP is still 0 (nothing recorded yet). + assertEq(vwapAfter, 0, "VWAP still zero when no ETH fees collected"); + } + } catch (bytes memory reason) { + // Only "amplitude not reached" is an acceptable failure — it means the second + // recenter couldn't detect sufficient price movement relative to the first one. + assertEq( + keccak256(reason), + keccak256(abi.encodeWithSignature("Error(string)", "amplitude not reached.")), + "unexpected revert in bootstrap recenter" + ); + } + } + // ========================================================================= // getLiquidityManager override for UniSwapHelper boundary helpers // =========================================================================