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auction scheduler robustness (#9759)
_incidental_ ## Description Refactors the auction amount math out of the auction book and adds unit tests. I noticed an inconsistency so this adds an assertion to prevent that and a fix. Also a bunch of refactorings and docs to try to make this area of the code more clear. Reviewers, review by commit is recommended. ### Security Considerations The auction book now calls out to another module to do the math. Module from its own package though. ### Scaling Considerations no change ### Documentation Considerations not user facing ### Testing Considerations regression test ### Upgrade Considerations This won't go out until VaultFactory gets a new auctioneer. See, - #8735 - #8981 @Chris-Hibbert is working on the CoreEval and its test to deploy this
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,81 @@ | ||
| import { AmountMath } from '@agoric/ertp'; | ||
| import { | ||
| ceilMultiplyBy, | ||
| floorDivideBy, | ||
| } from '@agoric/zoe/src/contractSupport/index.js'; | ||
|
|
||
| /** | ||
| * @import {Amount} from '@agoric/ertp/src/types.js'; | ||
| */ | ||
|
|
||
| /** | ||
| * @param {object} p | ||
| * @param {Amount<'nat'>} p.bidAlloc current allocation of the bidding seat | ||
| * @param {Amount<'nat'>} p.collateralWanted want of the offer | ||
| * @param {Amount<'nat'>} p.collateralAvailable available to auction | ||
| * @param {Ratio} p.curAuctionPrice current auction price | ||
| * @param {Amount<'nat'> | null} p.remainingProceedsGoal amount still needing | ||
| * liquidating over multiple rounds; null indicates no limit | ||
| * @param {(...msgs: any[]) => void} [log] | ||
| */ | ||
| export const amountsToSettle = ( | ||
| { | ||
| bidAlloc, | ||
| collateralWanted, | ||
| collateralAvailable, | ||
| curAuctionPrice, | ||
| remainingProceedsGoal, | ||
| }, | ||
| log = () => {}, | ||
| ) => { | ||
| log('amountsToSettle', { | ||
| bidAlloc, | ||
| collateralWanted, | ||
| collateralAvailable, | ||
| curAuctionPrice, | ||
| remainingProceedsGoal, | ||
| }); | ||
| const initialCollateralTarget = AmountMath.min( | ||
| collateralWanted, | ||
| collateralAvailable, | ||
| ); | ||
|
|
||
| const proceedsExpected = ceilMultiplyBy( | ||
| initialCollateralTarget, | ||
| curAuctionPrice, | ||
| ); | ||
| if (AmountMath.isEmpty(proceedsExpected)) { | ||
| return { proceedsExpected: null }; | ||
| } | ||
|
|
||
| const targetByProceeds = proceedsLimit => | ||
| AmountMath.min( | ||
| collateralAvailable, | ||
| floorDivideBy(proceedsLimit, curAuctionPrice), | ||
| ); | ||
|
|
||
| const [proceedsTarget, collateralTarget] = (() => { | ||
| // proceeds cannot exceed what is needed or being offered | ||
| const proceedsBidded = AmountMath.min(proceedsExpected, bidAlloc); | ||
| if (remainingProceedsGoal) { | ||
| const goalProceeds = AmountMath.min( | ||
| remainingProceedsGoal, | ||
| proceedsBidded, | ||
| ); | ||
| return [goalProceeds, targetByProceeds(goalProceeds)]; | ||
| } else if (AmountMath.isGTE(proceedsBidded, proceedsExpected)) { | ||
| // initial collateral suffices | ||
| return [proceedsBidded, initialCollateralTarget]; | ||
| } else { | ||
| return [proceedsBidded, targetByProceeds(proceedsBidded)]; | ||
| } | ||
| })(); | ||
|
|
||
| assert( | ||
| AmountMath.isGTE(collateralAvailable, collateralTarget), | ||
| 'target cannot exceed available', | ||
| ); | ||
|
|
||
| return { proceedsExpected, proceedsTarget, collateralTarget }; | ||
| }; | ||
| harden(amountsToSettle); |
204 changes: 204 additions & 0 deletions
204
packages/inter-protocol/test/auction/auctionMath.test.js
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,204 @@ | ||
| import { test } from '@agoric/zoe/tools/prepare-test-env-ava.js'; | ||
|
|
||
| import { AmountMath } from '@agoric/ertp'; | ||
| import { makeRatioFromAmounts } from '@agoric/zoe/src/contractSupport/ratio.js'; | ||
| import { Far } from '@endo/far'; | ||
| import { amountsToSettle } from '../../src/auction/auctionMath.js'; | ||
|
|
||
| /** | ||
| * @import {Amount, Brand} from '@agoric/ertp/src/types.js'; | ||
| */ | ||
|
|
||
| const brand = /** @type {any} */ (Far('fungible brand', {})); | ||
|
|
||
| const testAmounts = test.macro( | ||
| /** | ||
| * @type {( | ||
| * t: import('ava').ExecutionContext<unknown>, | ||
| * input: any, | ||
| * output: any, | ||
| * ) => Promise<void>} | ||
| */ | ||
| async ( | ||
| t, | ||
| { bid, want, avail, price, goal }, | ||
| { expected, procTarget, collTarget }, | ||
| ) => { | ||
| /** @type {(n: number) => Amount<'nat'>} */ | ||
| const amt = n => AmountMath.make(brand, BigInt(n)); | ||
|
|
||
| const result = amountsToSettle({ | ||
| bidAlloc: amt(bid), | ||
| collateralWanted: amt(want), | ||
| collateralAvailable: amt(avail), | ||
| curAuctionPrice: makeRatioFromAmounts(amt(price[0]), amt(price[1])), | ||
| remainingProceedsGoal: goal ? amt(goal) : null, | ||
| }); | ||
|
|
||
| t.deepEqual(result, { | ||
| proceedsExpected: amt(expected), | ||
| proceedsTarget: amt(procTarget), | ||
| collateralTarget: amt(collTarget), | ||
| }); | ||
| }, | ||
| ); | ||
|
|
||
| // These were observed in other tests | ||
| test( | ||
| 'observed 1', | ||
| testAmounts, | ||
| { bid: 578, want: 500, avail: 1000, price: [1155, 1000] }, | ||
| { | ||
| expected: 578, | ||
| procTarget: 578, | ||
| collTarget: 500, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 2 - with remaining proceeds goal', | ||
| testAmounts, | ||
| { bid: 125, want: 100, avail: 400, price: [525, 1000], goal: 200 }, | ||
| { | ||
| expected: 53, | ||
| procTarget: 53, | ||
| collTarget: 100, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 3', | ||
| testAmounts, | ||
| { bid: 231, want: 200, avail: 1000, price: [1155, 1000] }, | ||
| { | ||
| expected: 231, | ||
| procTarget: 231, | ||
| collTarget: 200, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 4', | ||
| testAmounts, | ||
| { bid: 232, want: 200, avail: 100, price: [1155, 1000] }, | ||
| { | ||
| expected: 116, | ||
| procTarget: 116, | ||
| collTarget: 100, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 5', | ||
| testAmounts, | ||
| { bid: 19, want: 300, avail: 300, price: [625, 10000] }, | ||
| { | ||
| expected: 19, | ||
| procTarget: 19, | ||
| collTarget: 300, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 6', | ||
| testAmounts, | ||
| { bid: 23, want: 200, avail: 500, price: [1125, 10000] }, | ||
| { | ||
| expected: 23, | ||
| procTarget: 23, | ||
| collTarget: 200, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 7', | ||
| testAmounts, | ||
| { bid: 500, want: 2000, avail: 717, price: [715, 1000] }, | ||
| { | ||
| expected: 513, | ||
| procTarget: 500, | ||
| collTarget: 699, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 8', | ||
| testAmounts, | ||
| { bid: 240, want: 200, avail: 20, price: [1155, 1000] }, | ||
| { | ||
| expected: 24, | ||
| procTarget: 24, | ||
| collTarget: 20, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 9', | ||
| testAmounts, | ||
| { bid: 2000, want: 200, avail: 1000, price: [1155, 1000] }, | ||
| { | ||
| expected: 231, | ||
| procTarget: 231, | ||
| collTarget: 200, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed 10', | ||
| testAmounts, | ||
| { bid: 2240, want: 200, avail: 1000, price: [1155, 1000] }, | ||
| { | ||
| expected: 231, | ||
| procTarget: 231, | ||
| collTarget: 200, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'want exceeeds avail', | ||
| testAmounts, | ||
| { bid: 2000, want: 2000, avail: 1000, price: [1, 1] }, | ||
| { | ||
| expected: 1000, | ||
| procTarget: 1000, | ||
| collTarget: 1000, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'want exceeeds avail at half price', | ||
| testAmounts, | ||
| { bid: 1999, want: 2000, avail: 1000, price: [201, 1] }, | ||
| { | ||
| expected: 201000, | ||
| procTarget: 1999, | ||
| collTarget: 9, | ||
| }, | ||
| ); | ||
| test( | ||
| 'want exceeeds avail at half price with goal', | ||
| testAmounts, | ||
| { bid: 1999, want: 2000, avail: 1000, price: [201, 1], goal: 301 }, | ||
| { | ||
| expected: 201000, | ||
| procTarget: 301, | ||
| collTarget: 1, | ||
| }, | ||
| ); | ||
|
|
||
| test( | ||
| 'observed in production', | ||
| testAmounts, | ||
| { | ||
| bid: 3000, | ||
| want: 2000, | ||
| avail: 1000, | ||
| price: [4914, 10000], // "currentPriceLevel": "0.4914 IST/stOSMO", | ||
| goal: 1254_886835, // "remainingProceedsGoal": "1254.886835 IST", | ||
| }, | ||
| { | ||
| expected: 492, | ||
| procTarget: 492, | ||
| collTarget: 1000, | ||
| }, | ||
| ); |
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