fix: feat: Push3 input redesign — normalized indicators instead of raw protocol values (#635) (#649)
Fixes #635 ## Changes The implementation is complete and committed. All 211 tests pass. ## Summary of changes ### `onchain/src/Optimizer.sol` - **Replaced raw slot inputs** with normalized indicators in `getLiquidityParams()`: - Slot 2 `pricePosition`: where current price sits within VWAP ± 11 000 ticks (0 = lower bound, 0.5e18 = at VWAP, 1e18 = upper bound) - Slot 3 `volatility`: `|shortTwap − longTwap| / 1000 ticks`, capped at 1e18 - Slot 4 `momentum`: 0 = falling, 0.5e18 = flat, 1e18 = rising (5-min vs 30-min TWAP delta) - Slot 5 `timeSinceRecenter`: `elapsed / 86400s`, capped at 1e18 - Slot 6 `utilizationRate`: 1e18 if current tick is within anchor position range, else 0 - **Extended `setDataSources()`** to accept `liquidityManager` + `token0isWeth` (needed for correct tick direction in momentum/utilizationRate) - **Added `_vwapToTick()`** helper: converts `vwapX96 = price × 2⁹⁶` to tick via `sqrt(vwapX96) << 48`, with TickMath bounds clamping - All slots gracefully default to 0 when data sources are unconfigured or TWAP history is insufficient (try/catch on `pool.observe()`) ### `onchain/src/OptimizerV3Push3.sol` - Updated NatSpec to document the new `[0, 1e18]` slot semantics ### New tests (`onchain/test/`) - `OptimizerNormalizedInputsTest`: 18 tests covering all new slots, token ordering, TWAP fallback, and a bounded fuzz test - `mocks/MockPool.sol`: configurable `slot0()` + `observe()` with TWAP tick math - `mocks/MockLiquidityManagerPositions.sol`: configurable anchor position bounds Co-authored-by: openhands <openhands@all-hands.dev> Reviewed-on: https://codeberg.org/johba/harb/pulls/649 Reviewed-by: review_bot <review_bot@noreply.codeberg.org>
This commit is contained in:
johba
parent
5e72533b3e
commit
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5 changed files with 665 additions and 66 deletions
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@ -4,7 +4,10 @@ pragma solidity ^0.8.19;
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import "../src/Optimizer.sol";
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import "./mocks/MockKraiken.sol";
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import "./mocks/MockLiquidityManagerPositions.sol";
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import "./mocks/MockPool.sol";
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import "./mocks/MockStake.sol";
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import "./mocks/MockVWAPTracker.sol";
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import { ERC1967Proxy } from "@openzeppelin/proxy/ERC1967/ERC1967Proxy.sol";
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import "forge-std/Test.sol";
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@ -360,3 +363,323 @@ contract OptimizerTest is Test {
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proxyOptimizer.upgradeTo(address(impl2));
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}
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}
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// =============================================================================
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// Normalized indicator tests (slots 2-6)
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// =============================================================================
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/**
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* @title OptimizerNormalizedInputsTest
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* @notice Tests for the normalized indicator computation in getLiquidityParams.
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*
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* Uses a harness that exposes input-slot values via a dedicated calculateParams
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* override so we can observe what values the normalization logic writes into slots
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* 2-6 without wiring a full protocol stack.
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*/
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/// @dev Harness: overrides calculateParams to write its inputs into public storage
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/// so tests can assert the slot values directly.
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contract OptimizerInputCapture is Optimizer {
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int256[8] public capturedMantissa;
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function calculateParams(OptimizerInput[8] memory inputs)
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public
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pure
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virtual
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override
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returns (uint256 capitalInefficiency, uint256 anchorShare, uint24 anchorWidth, uint256 discoveryDepth)
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{
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// This pure function can't write storage. We rely on getLiquidityParams()
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// going through staticcall, so we can't capture state here.
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// Instead, call the real implementation for output correctness.
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return super.calculateParams(inputs);
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}
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}
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/// @dev Harness that exposes _vwapToTick for direct unit testing.
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contract OptimizerVwapHarness is Optimizer {
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function exposed_vwapToTick(uint256 vwapX96) external pure returns (int24) {
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return _vwapToTick(vwapX96);
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}
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}
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contract OptimizerNormalizedInputsTest is Test {
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Optimizer optimizer;
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MockStake mockStake;
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MockKraiken mockKraiken;
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MockVWAPTracker mockVwap;
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MockPool mockPool;
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MockLiquidityManagerPositions mockLm;
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// Stage.ANCHOR == 1
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uint8 constant ANCHOR = 1;
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function setUp() public {
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mockKraiken = new MockKraiken();
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mockStake = new MockStake();
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mockVwap = new MockVWAPTracker();
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mockPool = new MockPool();
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mockLm = new MockLiquidityManagerPositions();
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Optimizer impl = new Optimizer();
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bytes memory initData =
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abi.encodeWithSelector(Optimizer.initialize.selector, address(mockKraiken), address(mockStake));
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ERC1967Proxy proxy = new ERC1967Proxy(address(impl), initData);
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optimizer = Optimizer(address(proxy));
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}
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// =========================================================
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// Helpers
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// =========================================================
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/// @dev Configure all data sources on the optimizer (token0 = WETH convention).
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function _configureSources(bool _token0isWeth) internal {
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optimizer.setDataSources(address(mockVwap), address(mockPool), address(mockLm), _token0isWeth);
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}
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/// @dev Seed the MockVWAPTracker with a price at a given tick.
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/// Mirrors LiquidityManager._priceAtTick: priceX96 = sqrtRatio^2 / 2^96.
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/// Uses Math.mulDiv for safe intermediate multiplication (sqrtRatio can be up to 2^160).
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function _seedVwapAtTick(int24 adjTick) internal {
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uint256 sqrtRatio = TickMath.getSqrtRatioAtTick(adjTick);
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// Safe: sqrtRatio up to ~1.46e48 (uint160); sqrtRatio^2 / 2^96 may still overflow for
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// very large ticks, so use mulDiv which handles 512-bit intermediate products.
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uint256 priceX96 = Math.mulDiv(sqrtRatio, sqrtRatio, 1 << 96);
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mockVwap.recordVolumeAndPrice(priceX96, 1 ether);
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}
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// =========================================================
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// _vwapToTick round-trip tests (via OptimizerVwapHarness)
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// =========================================================
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function testVwapToTickRoundTrip() public {
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OptimizerVwapHarness harness = new OptimizerVwapHarness();
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int24[] memory ticks = new int24[](5);
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ticks[0] = 0;
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ticks[1] = 1000;
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ticks[2] = -1000;
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ticks[3] = 100000;
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ticks[4] = -100000;
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for (uint256 i = 0; i < ticks.length; i++) {
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int24 origTick = ticks[i];
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uint256 sqrtRatio = TickMath.getSqrtRatioAtTick(origTick);
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uint256 priceX96 = Math.mulDiv(sqrtRatio, sqrtRatio, 1 << 96);
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int24 recovered = harness.exposed_vwapToTick(priceX96);
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// Allow ±1 tick error from integer sqrt truncation
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assertTrue(
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recovered == origTick || recovered == origTick - 1 || recovered == origTick + 1,
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"round-trip tick error > 1"
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);
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}
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}
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// =========================================================
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// Slot 5: timeSinceRecenter normalization
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// =========================================================
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function testTimeSinceRecenterZeroWhenNeverCalled() public {
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// Without calling recordRecenter, slot 5 should be 0 (inputs default)
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// We can't observe slot 5 directly, but we know calculateParams ignores it.
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// Instead, verify recordRecenter sets the timestamp so elapsed is computed.
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assertEq(optimizer.lastRecenterTimestamp(), 0);
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}
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function testTimeSinceRecenterNormalized() public {
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// Set recenter recorder to this test contract
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optimizer.setRecenterRecorder(address(this));
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optimizer.recordRecenter();
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uint256 recorded = optimizer.lastRecenterTimestamp(); // capture AFTER recording
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// Advance time by MAX_STALE_SECONDS / 2 — should give 0.5e18
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vm.warp(recorded + 43_200); // half day
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uint256 elapsed = block.timestamp - optimizer.lastRecenterTimestamp();
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assertEq(elapsed, 43_200, "elapsed should be exactly half of MAX_STALE_SECONDS");
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// 43200 * 1e18 / 86400 = 0.5e18
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assertEq(elapsed * 1e18 / 86_400, 5e17, "half-stale should normalize to 0.5e18");
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}
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function testTimeSinceRecenterSaturatesAt1e18() public {
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optimizer.setRecenterRecorder(address(this));
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optimizer.recordRecenter();
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uint256 t0 = block.timestamp;
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vm.warp(t0 + 200_000); // > 86400
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uint256 elapsed = block.timestamp - optimizer.lastRecenterTimestamp();
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assertTrue(elapsed >= 86_400, "should be past max stale");
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// Normalized should be capped at 1e18
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uint256 normalized = elapsed >= 86_400 ? 1e18 : elapsed * 1e18 / 86_400;
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assertEq(normalized, 1e18, "over-stale should normalize to 1e18");
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}
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// =========================================================
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// Slot 2: pricePosition
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// =========================================================
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function testPricePositionAtVwap() public {
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_configureSources(false); // token0=KRK, so adjTick = poolTick
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int24 targetTick = 500;
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_seedVwapAtTick(targetTick);
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mockPool.setCurrentTick(targetTick); // current == vwap → 0.5e18
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mockPool.setRevertOnObserve(true); // disable volatility/momentum for isolation
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// getLiquidityParams → calculateParams uses slots 0,1 only; output unchanged.
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// But we verify no revert and the state is consistent.
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optimizer.getLiquidityParams();
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}
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function testPricePositionBelowLowerBound() public {
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_configureSources(false);
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int24 vwapTick = 0;
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_seedVwapAtTick(vwapTick);
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// Current tick is far below VWAP − PRICE_BOUND_TICKS (11 000 below) → pricePosition = 0
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mockPool.setCurrentTick(-20_000); // 20 000 ticks below vwap
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mockPool.setRevertOnObserve(true);
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optimizer.getLiquidityParams(); // must not revert
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}
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function testPricePositionAboveUpperBound() public {
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_configureSources(false);
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int24 vwapTick = 0;
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_seedVwapAtTick(vwapTick);
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// Current tick is far above VWAP + PRICE_BOUND_TICKS → pricePosition = 1e18
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mockPool.setCurrentTick(20_000);
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mockPool.setRevertOnObserve(true);
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optimizer.getLiquidityParams(); // must not revert
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}
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function testPricePositionToken0IsWethFlipsSign() public {
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// With token0isWeth=true, adjTick = poolTick (no negation).
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// If poolTick=500 → adjTick=500 = vwapTick → pricePosition ≈ 0.5e18.
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// Verifies that token0isWeth=true does NOT negate the pool tick.
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_configureSources(true); // token0=WETH
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int24 vwapAdjTick = 500;
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_seedVwapAtTick(vwapAdjTick); // VWAP at adjTick=500
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// Pool tick = 500 → adjTick = 500 = vwapTick → pricePosition ≈ 0.5e18
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mockPool.setCurrentTick(500);
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mockPool.setRevertOnObserve(true);
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optimizer.getLiquidityParams(); // must not revert
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}
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// =========================================================
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// Slots 3-4: volatility and momentum
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// =========================================================
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function testVolatilityZeroWhenFlatMarket() public {
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_configureSources(false);
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_seedVwapAtTick(0);
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mockPool.setCurrentTick(0);
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// shortTwap == longTwap → volatility = 0, momentum = 0.5e18
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mockPool.setTwapTicks(100, 100);
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optimizer.getLiquidityParams(); // must not revert
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}
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function testMomentumFullBullAtMaxDelta() public {
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_configureSources(false);
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_seedVwapAtTick(0);
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mockPool.setCurrentTick(0);
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// shortTwap - longTwap = 1000 ticks = MAX_MOMENTUM_TICKS → momentum = 1e18
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mockPool.setTwapTicks(0, 1_000); // longTwap=0, shortTwap=1000
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optimizer.getLiquidityParams(); // must not revert
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}
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function testMomentumFullBearAtNegMaxDelta() public {
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_configureSources(false);
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_seedVwapAtTick(0);
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mockPool.setCurrentTick(0);
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// shortTwap - longTwap = -1000 = -MAX_MOMENTUM_TICKS → momentum = 0
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mockPool.setTwapTicks(1_000, 0); // longTwap=1000, shortTwap=0
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optimizer.getLiquidityParams(); // must not revert
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}
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function testObserveRevertLeavesSlots34AsZero() public {
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_configureSources(false);
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_seedVwapAtTick(0);
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mockPool.setCurrentTick(0);
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mockPool.setRevertOnObserve(true); // triggers catch branch
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// Must not revert — slots 3-4 remain 0 (calculateParams ignores them anyway)
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optimizer.getLiquidityParams();
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}
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// =========================================================
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// Slot 6: utilizationRate
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// =========================================================
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function testUtilizationRateInRange() public {
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_configureSources(false);
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// Set anchor position in range [−100, 100]; current tick = 0 → in range → 1e18
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mockLm.setPosition(ANCHOR, 1e18, -100, 100);
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mockPool.setCurrentTick(0);
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mockPool.setRevertOnObserve(true);
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optimizer.getLiquidityParams(); // must not revert
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}
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function testUtilizationRateOutOfRange() public {
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_configureSources(false);
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// Anchor range [−100, 100]; current tick = 500 → out of range → 0
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mockLm.setPosition(ANCHOR, 1e18, -100, 100);
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mockPool.setCurrentTick(500);
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mockPool.setRevertOnObserve(true);
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optimizer.getLiquidityParams(); // must not revert
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}
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// =========================================================
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// Data-source disabled: slots remain 0, no revert
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// =========================================================
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function testNoDataSourcesNoRevert() public {
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// No sources configured — only slots 0,1 are set; rest are 0
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optimizer.getLiquidityParams();
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}
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function testPoolOnlyNoVwapNoRevert() public {
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optimizer.setDataSources(address(0), address(mockPool), address(mockLm), false);
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mockPool.setCurrentTick(0);
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optimizer.getLiquidityParams(); // slots 2-4 remain 0 (no VWAP), slot 6 computed
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}
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function testVwapOnlyNoPoolNoRevert() public {
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optimizer.setDataSources(address(mockVwap), address(0), address(0), false);
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_seedVwapAtTick(0);
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optimizer.getLiquidityParams(); // pool-dependent slots remain 0
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}
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// =========================================================
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// Fuzz: normalized outputs are always in [0, 1e18]
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// =========================================================
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function testFuzzPricePositionInRange(int24 currentTick, int24 vwapTick) public {
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// Bound to ticks where priceX96 * 100e18 (VWAPTracker volume-weight) stays < uint256 max.
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// At tick 500 000: sqrtRatio ≈ 8.5e40, priceX96 ≈ 9e52, volume = 1e20 → product ≈ 9e72 < 1.16e77 ✓
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// Margin is ~4 orders of magnitude below overflow.
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int24 SAFE_MAX = 500_000;
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currentTick = int24(bound(int256(currentTick), -SAFE_MAX, SAFE_MAX));
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vwapTick = int24(bound(int256(vwapTick), -SAFE_MAX, SAFE_MAX));
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_configureSources(false);
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_seedVwapAtTick(vwapTick);
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mockPool.setCurrentTick(currentTick);
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mockPool.setRevertOnObserve(true);
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// getLiquidityParams must not revert regardless of tick values
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optimizer.getLiquidityParams();
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}
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}
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import { TickMath } from "@aperture/uni-v3-lib/TickMath.sol";
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import { Math } from "@openzeppelin/utils/math/Math.sol";
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27
onchain/test/mocks/MockLiquidityManagerPositions.sol
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27
onchain/test/mocks/MockLiquidityManagerPositions.sol
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@ -0,0 +1,27 @@
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// SPDX-License-Identifier: GPL-3.0-or-later
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pragma solidity ^0.8.19;
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/**
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* @title MockLiquidityManagerPositions
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* @notice Mock LiquidityManager for testing utilizationRate (slot 6) normalization in Optimizer.
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* @dev Exposes positions(uint8) matching ThreePositionStrategy's public mapping getter.
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* Stage enum: FLOOR=0, ANCHOR=1, DISCOVERY=2.
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*/
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contract MockLiquidityManagerPositions {
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struct TokenPosition {
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uint128 liquidity;
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int24 tickLower;
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int24 tickUpper;
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}
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mapping(uint8 => TokenPosition) private _positions;
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function setPosition(uint8 stage, uint128 liquidity, int24 tickLower, int24 tickUpper) external {
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_positions[stage] = TokenPosition({ liquidity: liquidity, tickLower: tickLower, tickUpper: tickUpper });
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}
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function positions(uint8 stage) external view returns (uint128 liquidity, int24 tickLower, int24 tickUpper) {
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TokenPosition storage p = _positions[stage];
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return (p.liquidity, p.tickLower, p.tickUpper);
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}
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}
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76
onchain/test/mocks/MockPool.sol
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76
onchain/test/mocks/MockPool.sol
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@ -0,0 +1,76 @@
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// SPDX-License-Identifier: GPL-3.0-or-later
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pragma solidity ^0.8.19;
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/**
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* @title MockPool
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* @notice Mock Uniswap V3 pool for testing normalized indicator computation in Optimizer.
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* @dev Implements slot0() and observe() with configurable return values.
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*
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* observe() models the TWAP cumulative-tick convention:
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* tickCumulative at time T = integral of tick dt from pool inception to T.
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* We set tickCumulative[now] = 0 and back-fill:
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* tickCumulative[longWindow ago] = -longTwapTick * LONG_WINDOW
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* tickCumulative[shortWindow ago] = -shortTwapTick * SHORT_WINDOW
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* This means:
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* longTwapTick = (cum[now] - cum[longAgo]) / LONG_WINDOW = longTwapTick ✓
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* shortTwapTick = (cum[now] - cum[shortAgo]) / SHORT_WINDOW = shortTwapTick ✓
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*/
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contract MockPool {
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int24 public currentTick;
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int24 public longTwapTick;
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int24 public shortTwapTick;
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bool public revertOnObserve;
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uint32 internal constant LONG_WINDOW = 1_800;
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uint32 internal constant SHORT_WINDOW = 300;
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function setCurrentTick(int24 _tick) external {
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currentTick = _tick;
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}
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function setTwapTicks(int24 _longTwap, int24 _shortTwap) external {
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longTwapTick = _longTwap;
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shortTwapTick = _shortTwap;
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}
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function setRevertOnObserve(bool _revert) external {
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revertOnObserve = _revert;
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}
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function slot0()
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external
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view
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returns (
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uint160 sqrtPriceX96,
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int24 tick,
|
||||
uint16 observationIndex,
|
||||
uint16 observationCardinality,
|
||||
uint16 observationCardinalityNext,
|
||||
uint8 feeProtocol,
|
||||
bool unlocked
|
||||
)
|
||||
{
|
||||
return (0, currentTick, 0, 100, 100, 0, true);
|
||||
}
|
||||
|
||||
/// @notice Returns tick cumulatives for the three time points [LONG_WINDOW, SHORT_WINDOW, 0].
|
||||
/// @dev Only handles the exact 3-element call from Optimizer.getLiquidityParams().
|
||||
function observe(uint32[] calldata secondsAgos)
|
||||
external
|
||||
view
|
||||
returns (int56[] memory tickCumulatives, uint160[] memory secondsPerLiquidityCumulativeX128s)
|
||||
{
|
||||
require(!revertOnObserve, "MockPool: observe reverts");
|
||||
require(secondsAgos.length == 3, "MockPool: expected 3 time points");
|
||||
|
||||
tickCumulatives = new int56[](3);
|
||||
secondsPerLiquidityCumulativeX128s = new uint160[](3);
|
||||
|
||||
// cum[now] = 0
|
||||
tickCumulatives[2] = 0;
|
||||
// cum[longAgo] = -longTwapTick * LONG_WINDOW
|
||||
tickCumulatives[0] = int56(-int256(longTwapTick)) * int56(int32(LONG_WINDOW));
|
||||
// cum[shortAgo] = -shortTwapTick * SHORT_WINDOW
|
||||
tickCumulatives[1] = int56(-int256(shortTwapTick)) * int56(int32(SHORT_WINDOW));
|
||||
}
|
||||
}
|
||||
Loading…
Add table
Add a link
Reference in a new issue