608 lines
24 KiB
Solidity
608 lines
24 KiB
Solidity
// SPDX-License-Identifier: GPL-3.0-or-later
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pragma solidity ^0.8.19;
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import { FormatLib } from "./FormatLib.sol";
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import { MockToken } from "./MockToken.sol";
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import { LiquidityAmounts } from "@aperture/uni-v3-lib/LiquidityAmounts.sol";
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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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import { IUniswapV3Pool } from "@uniswap-v3-core/interfaces/IUniswapV3Pool.sol";
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import { IUniswapV3MintCallback } from "@uniswap-v3-core/interfaces/callback/IUniswapV3MintCallback.sol";
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import { console2 } from "forge-std/console2.sol";
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/**
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* @title BaselineStrategies
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* @notice Manages three comparison strategies run alongside KrAIken during event replay:
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*
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* HODL — Hold initial token amounts, no LP. Zero fees, zero IL by definition.
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* Full-Range — Single position from aligned MIN_TICK to MAX_TICK. Set once, never rebalanced.
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* Always 100% time-in-range.
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* Fixed-Width — ±FIXED_WIDTH_TICKS around current price. Rebalanced at the same block-interval
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* as KrAIken when the active tick leaves the range.
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*
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* All strategies are seeded with the same `initialCapital` (in token0 units) split 50/50 by
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* value between token0 and token1. HODL holds those amounts; LP strategies deploy them.
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*
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* Capital tracking:
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* The contract implements IUniswapV3MintCallback and freely mints MockTokens as needed —
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* MockToken.mint() has no access control. Actual entry amounts are recorded from the return
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* values of pool.mint() for accurate IL computation.
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*
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* WARNING — backtesting use only. No access control.
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*/
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contract BaselineStrategies is IUniswapV3MintCallback {
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using Math for uint256;
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using FormatLib for uint256;
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using FormatLib for int256;
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// -------------------------------------------------------------------------
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// Types
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// -------------------------------------------------------------------------
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/// @notice Packed result for a single strategy, consumed by Reporter.
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struct StrategyResult {
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uint256 initialCapitalToken0;
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uint256 finalValueToken0;
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uint256 feesToken0;
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uint256 rebalances;
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int256 ilToken0;
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int256 netPnLToken0;
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uint256 blocksInRange;
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uint256 totalBlocks;
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}
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// -------------------------------------------------------------------------
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// Constants
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// -------------------------------------------------------------------------
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uint256 internal constant Q96 = 2 ** 96;
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/// @notice Half-width of the fixed-width LP range in ticks (total width = 2×).
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int24 public constant FIXED_WIDTH_TICKS = 2000;
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// -------------------------------------------------------------------------
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// Immutables
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// -------------------------------------------------------------------------
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IUniswapV3Pool public immutable pool;
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MockToken public immutable token0;
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MockToken public immutable token1;
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bool public immutable token0isWeth;
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uint256 public immutable recenterInterval;
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int24 public immutable tickSpacing;
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// -------------------------------------------------------------------------
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// HODL state
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// -------------------------------------------------------------------------
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uint256 public hodlEntryToken0;
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uint256 public hodlEntryToken1;
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uint256 public hodlInitialValueToken0;
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// -------------------------------------------------------------------------
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// Full-Range LP state
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// -------------------------------------------------------------------------
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uint128 public fullRangeLiquidity;
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int24 public frLo;
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int24 public frHi;
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uint256 public frEntryToken0;
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uint256 public frEntryToken1;
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uint256 public frInitialValueToken0;
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uint256 public frFees0;
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uint256 public frFees1;
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uint256 public frTotalBlocks;
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uint256 public frBlocksInRange;
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// -------------------------------------------------------------------------
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// Fixed-Width LP state
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// -------------------------------------------------------------------------
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uint128 public fwLiquidity;
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int24 public fwLo;
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int24 public fwHi;
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/// @notice Entry amounts for the CURRENT open period (reset on each rebalance).
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uint256 public fwPeriodEntryToken0;
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uint256 public fwPeriodEntryToken1;
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/// @notice Original entry amounts at the very first deployment (for overall IL reference).
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uint256 public fwInitialToken0;
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uint256 public fwInitialToken1;
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uint256 public fwInitialValueToken0;
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uint256 public fwFees0;
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uint256 public fwFees1;
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uint256 public fwTotalFeesToken0;
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uint256 public fwRebalances;
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/// @notice Cumulative IL from closed periods (token0 units, negative = LP underperformed HODL).
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int256 public fwCumulativeIL;
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uint256 public fwTotalBlocks;
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uint256 public fwBlocksInRange;
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uint256 public fwLastCheckBlock;
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// -------------------------------------------------------------------------
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// Common state
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// -------------------------------------------------------------------------
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bool public initialized;
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uint256 public lastUpdateBlock;
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// -------------------------------------------------------------------------
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// Constructor
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// -------------------------------------------------------------------------
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constructor(IUniswapV3Pool _pool, MockToken _token0, MockToken _token1, bool _token0isWeth, uint256 _recenterInterval) {
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pool = _pool;
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token0 = _token0;
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token1 = _token1;
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token0isWeth = _token0isWeth;
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recenterInterval = _recenterInterval;
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tickSpacing = _pool.tickSpacing();
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}
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// -------------------------------------------------------------------------
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// Initialization
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// -------------------------------------------------------------------------
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/**
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* @notice Deploy all three baseline strategies with `initialCapital` token0 equivalent.
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* Capital is split 50/50 by value between token0 and token1.
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* HODL holds the split; LP strategies deploy it as liquidity.
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*/
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function initialize(uint256 initialCapital) external {
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require(!initialized, "BaselineStrategies: already initialized");
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initialized = true;
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(uint160 sqrtPriceX96, int24 currentTick,,,,,) = pool.slot0();
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uint256 half0 = initialCapital / 2;
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uint256 half1 = _valueInToken1(half0, sqrtPriceX96);
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// ----- HODL -----
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hodlEntryToken0 = half0;
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hodlEntryToken1 = half1;
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hodlInitialValueToken0 = _valueInToken0(half0, half1, sqrtPriceX96);
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// ----- Full-Range LP -----
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{
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int24 lo = _fullRangeLo();
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int24 hi = _fullRangeHi();
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uint128 liq = LiquidityAmounts.getLiquidityForAmounts(
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sqrtPriceX96, TickMath.getSqrtRatioAtTick(lo), TickMath.getSqrtRatioAtTick(hi), half0, half1
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);
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if (liq > 0) {
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(uint256 used0, uint256 used1) = pool.mint(address(this), lo, hi, liq, "");
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fullRangeLiquidity = liq;
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frLo = lo;
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frHi = hi;
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frEntryToken0 = used0;
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frEntryToken1 = used1;
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frInitialValueToken0 = _valueInToken0(used0, used1, sqrtPriceX96);
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}
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}
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// ----- Fixed-Width LP -----
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{
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(int24 lo, int24 hi) = _computeFixedRange(currentTick);
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uint128 liq = LiquidityAmounts.getLiquidityForAmounts(
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sqrtPriceX96, TickMath.getSqrtRatioAtTick(lo), TickMath.getSqrtRatioAtTick(hi), half0, half1
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);
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if (liq > 0) {
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(uint256 used0, uint256 used1) = pool.mint(address(this), lo, hi, liq, "");
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fwLiquidity = liq;
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fwLo = lo;
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fwHi = hi;
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fwPeriodEntryToken0 = used0;
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fwPeriodEntryToken1 = used1;
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fwInitialToken0 = used0;
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fwInitialToken1 = used1;
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fwInitialValueToken0 = _valueInToken0(used0, used1, sqrtPriceX96);
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}
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fwLastCheckBlock = block.number;
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}
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console2.log("=== Baseline Strategies Initialized ===");
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console2.log(
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string.concat(
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"HODL: entry=[",
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hodlEntryToken0.str(),
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",",
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hodlEntryToken1.str(),
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"] initialValue=",
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hodlInitialValueToken0.str()
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)
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);
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console2.log(
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string.concat(
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"FullRange: liq=",
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uint256(fullRangeLiquidity).str(),
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" ticks=[",
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int256(frLo).istr(),
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",",
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int256(frHi).istr(),
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"] entry=[",
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frEntryToken0.str(),
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",",
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frEntryToken1.str(),
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"]"
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)
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);
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console2.log(
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string.concat(
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"FixedWidth: liq=",
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uint256(fwLiquidity).str(),
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" ticks=[",
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int256(fwLo).istr(),
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",",
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int256(fwHi).istr(),
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"] entry=[",
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fwPeriodEntryToken0.str(),
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",",
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fwPeriodEntryToken1.str(),
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"]"
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)
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);
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}
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// -------------------------------------------------------------------------
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// Per-block update (called by EventReplayer after each block advance)
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// -------------------------------------------------------------------------
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/**
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* @notice Update time-in-range counters and trigger FixedWidth rebalancing when needed.
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* @param blockNum Current block number as advanced by EventReplayer.
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*/
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function maybeUpdate(uint256 blockNum) external {
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if (!initialized) return;
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if (blockNum == lastUpdateBlock) return;
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lastUpdateBlock = blockNum;
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(, int24 currentTick,,,,,) = pool.slot0();
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// Full-Range: always in range.
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frTotalBlocks++;
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frBlocksInRange++;
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// Fixed-Width: track in-range blocks.
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fwTotalBlocks++;
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if (fwLiquidity > 0 && currentTick >= fwLo && currentTick < fwHi) {
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fwBlocksInRange++;
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}
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// Fixed-Width rebalance: check every recenterInterval blocks.
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if (fwLiquidity > 0 && blockNum >= fwLastCheckBlock + recenterInterval) {
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fwLastCheckBlock = blockNum;
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if (currentTick < fwLo || currentTick >= fwHi) {
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_rebalanceFixedWidth(currentTick);
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}
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}
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}
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// -------------------------------------------------------------------------
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// Final summary
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// -------------------------------------------------------------------------
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/**
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* @notice Log final metrics for all three strategies. Call once after replay ends.
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*/
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function logFinalSummary() external view {
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(uint160 sqrtPriceX96,,,,,,) = pool.slot0();
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// ----- HODL -----
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uint256 hodlFinalValue = _valueInToken0(hodlEntryToken0, hodlEntryToken1, sqrtPriceX96);
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int256 hodlNetPnL = int256(hodlFinalValue) - int256(hodlInitialValueToken0);
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console2.log("[BASELINE][HODL][SUMMARY] === HODL ===");
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console2.log(
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string.concat(
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"[BASELINE][HODL][SUMMARY] initialValue=",
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hodlInitialValueToken0.str(),
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" finalValue=",
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hodlFinalValue.str(),
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" netPnL=",
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hodlNetPnL.istr()
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)
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);
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// ----- Full-Range LP -----
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{
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(uint256 fr0, uint256 fr1) = _positionAmounts(fullRangeLiquidity, frLo, frHi, sqrtPriceX96);
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uint256 frFinalPos = _valueInToken0(fr0, fr1, sqrtPriceX96);
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uint256 frTotalFees = _valueInToken0(frFees0, frFees1, sqrtPriceX96);
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uint256 frHodlVal = _valueInToken0(frEntryToken0, frEntryToken1, sqrtPriceX96);
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int256 frIL = int256(frFinalPos) - int256(frHodlVal);
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int256 frNetPnL = frIL + int256(frTotalFees);
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uint256 frTIR = frTotalBlocks > 0 ? (frBlocksInRange * 10_000) / frTotalBlocks : 10_000;
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console2.log("[BASELINE][FR][SUMMARY] === Full-Range LP ===");
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console2.log(
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string.concat(
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"[BASELINE][FR][SUMMARY] initialValue=",
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frInitialValueToken0.str(),
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" finalPosValue=",
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frFinalPos.str(),
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" feesToken0=",
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frTotalFees.str(),
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" IL=",
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frIL.istr(),
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" netPnL=",
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frNetPnL.istr(),
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" timeInRange=",
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frTIR.str(),
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" bps"
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)
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);
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}
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// ----- Fixed-Width LP -----
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{
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(uint256 fw0, uint256 fw1) = _positionAmounts(fwLiquidity, fwLo, fwHi, sqrtPriceX96);
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uint256 fwFinalPos = _valueInToken0(fw0, fw1, sqrtPriceX96);
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uint256 fwFinalFees = _valueInToken0(fwFees0, fwFees1, sqrtPriceX96);
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// Current period IL (open position vs holding current period entry amounts).
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uint256 fwPeriodHodlVal = _valueInToken0(fwPeriodEntryToken0, fwPeriodEntryToken1, sqrtPriceX96);
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int256 fwPeriodIL = int256(fwFinalPos) - int256(fwPeriodHodlVal);
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int256 fwTotalIL = fwCumulativeIL + fwPeriodIL;
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int256 fwNetPnL = fwTotalIL + int256(fwFinalFees);
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uint256 fwTIR = fwTotalBlocks > 0 ? (fwBlocksInRange * 10_000) / fwTotalBlocks : 0;
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console2.log("[BASELINE][FW][SUMMARY] === Fixed-Width LP ===");
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console2.log(
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string.concat(
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"[BASELINE][FW][SUMMARY] initialValue=",
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fwInitialValueToken0.str(),
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" finalPosValue=",
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fwFinalPos.str(),
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" feesToken0=",
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fwFinalFees.str(),
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" cumulativeIL=",
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fwCumulativeIL.istr(),
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" currentPeriodIL=",
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fwPeriodIL.istr(),
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" totalIL=",
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fwTotalIL.istr(),
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" netPnL=",
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fwNetPnL.istr(),
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" rebalances=",
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fwRebalances.str(),
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" timeInRange=",
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fwTIR.str(),
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" bps"
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)
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);
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}
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}
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/**
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* @notice Return final computed metrics for each strategy. Used by Reporter.
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* @dev Computes open-position IL at current price without mutating state.
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*/
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function getResults()
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external
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view
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returns (StrategyResult memory hodlResult, StrategyResult memory frResult, StrategyResult memory fwResult)
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{
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(uint160 sqrtPriceX96,,,,,,) = pool.slot0();
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// ----- HODL -----
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uint256 hodlFinalValue = _valueInToken0(hodlEntryToken0, hodlEntryToken1, sqrtPriceX96);
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hodlResult = StrategyResult({
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initialCapitalToken0: hodlInitialValueToken0,
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finalValueToken0: hodlFinalValue,
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feesToken0: 0,
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rebalances: 0,
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ilToken0: 0,
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netPnLToken0: int256(hodlFinalValue) - int256(hodlInitialValueToken0),
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blocksInRange: 0,
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totalBlocks: 0
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});
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// ----- Full-Range LP -----
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{
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(uint256 fr0, uint256 fr1) = _positionAmounts(fullRangeLiquidity, frLo, frHi, sqrtPriceX96);
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uint256 frPosValue = _valueInToken0(fr0, fr1, sqrtPriceX96);
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uint256 frFeesT0 = _valueInToken0(frFees0, frFees1, sqrtPriceX96);
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uint256 frHodlVal = _valueInToken0(frEntryToken0, frEntryToken1, sqrtPriceX96);
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int256 frIL = int256(frPosValue) - int256(frHodlVal);
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int256 frNetPnL = frIL + int256(frFeesT0);
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frResult = StrategyResult({
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initialCapitalToken0: frInitialValueToken0,
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finalValueToken0: uint256(int256(frInitialValueToken0) + frNetPnL),
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feesToken0: frFeesT0,
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rebalances: 0,
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ilToken0: frIL,
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netPnLToken0: frNetPnL,
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blocksInRange: frBlocksInRange,
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totalBlocks: frTotalBlocks
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});
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}
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// ----- Fixed-Width LP -----
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{
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(uint256 fw0, uint256 fw1) = _positionAmounts(fwLiquidity, fwLo, fwHi, sqrtPriceX96);
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uint256 fwPosValue = _valueInToken0(fw0, fw1, sqrtPriceX96);
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uint256 fwFeesT0 = _valueInToken0(fwFees0, fwFees1, sqrtPriceX96);
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// Current period IL.
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uint256 fwPeriodHodlVal = _valueInToken0(fwPeriodEntryToken0, fwPeriodEntryToken1, sqrtPriceX96);
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int256 fwPeriodIL = int256(fwPosValue) - int256(fwPeriodHodlVal);
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int256 fwTotalIL = fwCumulativeIL + fwPeriodIL;
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int256 fwNetPnL = fwTotalIL + int256(fwFeesT0);
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fwResult = StrategyResult({
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initialCapitalToken0: fwInitialValueToken0,
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finalValueToken0: uint256(int256(fwInitialValueToken0) + fwNetPnL),
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feesToken0: fwFeesT0,
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rebalances: fwRebalances,
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ilToken0: fwTotalIL,
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netPnLToken0: fwNetPnL,
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blocksInRange: fwBlocksInRange,
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totalBlocks: fwTotalBlocks
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});
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}
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}
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// -------------------------------------------------------------------------
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// Uniswap V3 mint callback
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// -------------------------------------------------------------------------
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/// @inheritdoc IUniswapV3MintCallback
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function uniswapV3MintCallback(uint256 amount0Owed, uint256 amount1Owed, bytes calldata) external override {
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require(msg.sender == address(pool), "BaselineStrategies: bad mint callback");
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if (amount0Owed > 0) {
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uint256 have = token0.balanceOf(address(this));
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if (have < amount0Owed) token0.mint(address(this), amount0Owed - have);
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token0.transfer(address(pool), amount0Owed);
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}
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if (amount1Owed > 0) {
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uint256 have = token1.balanceOf(address(this));
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if (have < amount1Owed) token1.mint(address(this), amount1Owed - have);
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token1.transfer(address(pool), amount1Owed);
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}
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}
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// -------------------------------------------------------------------------
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// Internal: FixedWidth rebalancing
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// -------------------------------------------------------------------------
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function _rebalanceFixedWidth(int24 currentTick) internal {
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(uint160 sqrtPriceX96,,,,,, ) = pool.slot0();
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// Burn current position and collect principal + fees.
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(uint256 p0, uint256 p1) = pool.burn(fwLo, fwHi, fwLiquidity);
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(uint128 c0, uint128 c1) = pool.collect(address(this), fwLo, fwHi, type(uint128).max, type(uint128).max);
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// fees = collected - principal
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uint256 f0 = uint256(c0) > p0 ? uint256(c0) - p0 : 0;
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uint256 f1 = uint256(c1) > p1 ? uint256(c1) - p1 : 0;
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fwFees0 += f0;
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fwFees1 += f1;
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fwTotalFeesToken0 += _valueInToken0(f0, f1, sqrtPriceX96);
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// IL for this closed period: LP exit value vs holding entry amounts at exit price.
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uint256 exitVal = _valueInToken0(p0, p1, sqrtPriceX96);
|
||
uint256 hodlVal = _valueInToken0(fwPeriodEntryToken0, fwPeriodEntryToken1, sqrtPriceX96);
|
||
fwCumulativeIL += int256(exitVal) - int256(hodlVal);
|
||
|
||
fwRebalances++;
|
||
fwLiquidity = 0;
|
||
|
||
// Deploy new position centered around current tick.
|
||
(int24 newLo, int24 newHi) = _computeFixedRange(currentTick);
|
||
uint256 avail0 = uint256(c0);
|
||
uint256 avail1 = uint256(c1);
|
||
|
||
uint128 newLiq = LiquidityAmounts.getLiquidityForAmounts(
|
||
sqrtPriceX96, TickMath.getSqrtRatioAtTick(newLo), TickMath.getSqrtRatioAtTick(newHi), avail0, avail1
|
||
);
|
||
|
||
if (newLiq > 0) {
|
||
(uint256 used0, uint256 used1) = pool.mint(address(this), newLo, newHi, newLiq, "");
|
||
fwLiquidity = newLiq;
|
||
fwLo = newLo;
|
||
fwHi = newHi;
|
||
fwPeriodEntryToken0 = used0;
|
||
fwPeriodEntryToken1 = used1;
|
||
}
|
||
|
||
console2.log(
|
||
string.concat(
|
||
"[BASELINE][FW][REBALANCE] #",
|
||
fwRebalances.str(),
|
||
" tick=",
|
||
int256(currentTick).istr(),
|
||
" oldRange=[",
|
||
int256(fwLo).istr(),
|
||
",",
|
||
int256(fwHi).istr(),
|
||
"] newRange=[",
|
||
int256(newLo).istr(),
|
||
",",
|
||
int256(newHi).istr(),
|
||
"] fees0=",
|
||
f0.str(),
|
||
" fees1=",
|
||
f1.str()
|
||
)
|
||
);
|
||
}
|
||
|
||
// -------------------------------------------------------------------------
|
||
// Internal: Uniswap V3 math helpers
|
||
// -------------------------------------------------------------------------
|
||
|
||
function _positionAmounts(
|
||
uint128 liquidity,
|
||
int24 tickLower,
|
||
int24 tickUpper,
|
||
uint160 sqrtPriceX96
|
||
)
|
||
internal
|
||
pure
|
||
returns (uint256 amount0, uint256 amount1)
|
||
{
|
||
if (liquidity == 0) return (0, 0);
|
||
uint160 sqrtLow = TickMath.getSqrtRatioAtTick(tickLower);
|
||
uint160 sqrtHigh = TickMath.getSqrtRatioAtTick(tickUpper);
|
||
(amount0, amount1) = LiquidityAmounts.getAmountsForLiquidity(sqrtPriceX96, sqrtLow, sqrtHigh, liquidity);
|
||
}
|
||
|
||
/**
|
||
* @notice Convert (amount0, amount1) to token0-equivalent units.
|
||
* value = amount0 + amount1 × Q96² / sqrtPriceX96²
|
||
*/
|
||
function _valueInToken0(uint256 amount0, uint256 amount1, uint160 sqrtPriceX96) internal pure returns (uint256) {
|
||
if (sqrtPriceX96 == 0 || amount1 == 0) return amount0;
|
||
uint256 amt1InT0 = Math.mulDiv(Math.mulDiv(amount1, Q96, uint256(sqrtPriceX96)), Q96, uint256(sqrtPriceX96));
|
||
return amount0 + amt1InT0;
|
||
}
|
||
|
||
/**
|
||
* @notice Convert a token0 amount to its token1 equivalent at the current price.
|
||
* amount1 = amount0 × sqrtPriceX96² / Q96²
|
||
*/
|
||
function _valueInToken1(uint256 amount0, uint160 sqrtPriceX96) internal pure returns (uint256) {
|
||
if (sqrtPriceX96 == 0 || amount0 == 0) return 0;
|
||
return Math.mulDiv(Math.mulDiv(amount0, uint256(sqrtPriceX96), Q96), uint256(sqrtPriceX96), Q96);
|
||
}
|
||
|
||
// -------------------------------------------------------------------------
|
||
// Internal: tick range helpers
|
||
// -------------------------------------------------------------------------
|
||
|
||
/// @notice Compute the full-range lower tick (smallest valid tick aligned to tickSpacing).
|
||
function _fullRangeLo() internal view returns (int24) {
|
||
// Solidity truncation toward zero = ceiling for negatives → smallest valid multiple >= MIN_TICK.
|
||
return (TickMath.MIN_TICK / tickSpacing) * tickSpacing;
|
||
}
|
||
|
||
/// @notice Compute the full-range upper tick (largest valid tick aligned to tickSpacing).
|
||
function _fullRangeHi() internal view returns (int24) {
|
||
return (TickMath.MAX_TICK / tickSpacing) * tickSpacing;
|
||
}
|
||
|
||
/**
|
||
* @notice Compute ±FIXED_WIDTH_TICKS range centered on `currentTick`, aligned to tickSpacing.
|
||
* lo is aligned DOWN (floor); hi is aligned UP (ceiling).
|
||
* Result is clamped to the full-range bounds.
|
||
*/
|
||
function _computeFixedRange(int24 currentTick) internal view returns (int24 lo, int24 hi) {
|
||
int24 rawLo = currentTick - FIXED_WIDTH_TICKS;
|
||
int24 rawHi = currentTick + FIXED_WIDTH_TICKS;
|
||
|
||
// Floor for lo (align down toward more-negative).
|
||
lo = (rawLo / tickSpacing) * tickSpacing;
|
||
if (rawLo < 0 && rawLo % tickSpacing != 0) lo -= tickSpacing;
|
||
|
||
// Ceiling for hi (align up toward more-positive).
|
||
hi = (rawHi / tickSpacing) * tickSpacing;
|
||
if (rawHi > 0 && rawHi % tickSpacing != 0) hi += tickSpacing;
|
||
|
||
// Clamp to valid pool range.
|
||
int24 minValid = _fullRangeLo();
|
||
int24 maxValid = _fullRangeHi();
|
||
if (lo < minValid) lo = minValid;
|
||
if (hi > maxValid) hi = maxValid;
|
||
if (lo >= hi) {
|
||
lo = minValid;
|
||
hi = maxValid;
|
||
}
|
||
}
|
||
}
|