Merge pull request #89 from cowprotocol/fix_volume_protocol_fee

[Mirror] Compute volume based protocol fee in surplus token
cowprotocol · Mar 14, 2024 · c06e44c · c06e44c
2 parents 591e3d5 + 5bccefe
commit c06e44c
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Showing 2 changed files with 16 additions and 12 deletions.
diff --git a/src/sql/orderbook/barn_batch_rewards.sql b/src/sql/orderbook/barn_batch_rewards.sql
@@ -90,20 +90,22 @@ order_protocol_fee AS (
                 -- impossible anyways. This query will return a division by
                 -- zero error in that case.
                 LEAST(
-                    fp.surplus_max_volume_factor * os.sell_amount * os.buy_amount / (os.sell_amount - os.observed_fee), -- at most charge a fraction of volume
+                    fp.surplus_max_volume_factor / (1 - fp.surplus_max_volume_factor) * os.buy_amount, -- at most charge a fraction of volume
                     fp.surplus_factor / (1 - fp.surplus_factor) * surplus -- charge a fraction of surplus
                 )
                 WHEN os.kind = 'buy' THEN LEAST(
                     fp.surplus_max_volume_factor / (1 + fp.surplus_max_volume_factor) * os.sell_amount, -- at most charge a fraction of volume
                     fp.surplus_factor / (1 - fp.surplus_factor) * surplus -- charge a fraction of surplus
                 )
             END
-            WHEN fp.kind = 'volume' THEN fp.volume_factor / (1 + fp.volume_factor) * os.sell_amount
+            WHEN fp.kind = 'volume' THEN CASE
+                WHEN os.kind = 'sell' THEN
+                    fp.volume_factor / (1 - fp.volume_factor) * os.buy_amount
+                WHEN os.kind = 'buy' THEN
+                    fp.volume_factor / (1 + fp.volume_factor) * os.sell_amount
+            END
         END AS protocol_fee,
-        CASE
-            WHEN fp.kind = 'surplus' THEN os.surplus_token
-            WHEN fp.kind = 'volume' THEN os.sell_token
-        END AS protocol_fee_token
+        os.surplus_token as protocol_fee_token
     FROM
         order_surplus os
         JOIN fee_policies fp -- contains protocol fee policy

diff --git a/src/sql/orderbook/prod_batch_rewards.sql b/src/sql/orderbook/prod_batch_rewards.sql
@@ -90,20 +90,22 @@ order_protocol_fee AS (
                 -- impossible anyways. This query will return a division by
                 -- zero error in that case.
                 LEAST(
-                    fp.surplus_max_volume_factor * os.sell_amount * os.buy_amount / (os.sell_amount - os.observed_fee), -- at most charge a fraction of volume
+                    fp.surplus_max_volume_factor / (1 - fp.surplus_max_volume_factor) * os.buy_amount, -- at most charge a fraction of volume
                     fp.surplus_factor / (1 - fp.surplus_factor) * surplus -- charge a fraction of surplus
                 )
                 WHEN os.kind = 'buy' THEN LEAST(
                     fp.surplus_max_volume_factor / (1 + fp.surplus_max_volume_factor) * os.sell_amount, -- at most charge a fraction of volume
                     fp.surplus_factor / (1 - fp.surplus_factor) * surplus -- charge a fraction of surplus
                 )
             END
-            WHEN fp.kind = 'volume' THEN fp.volume_factor / (1 + fp.volume_factor) * os.sell_amount
+            WHEN fp.kind = 'volume' THEN CASE
+                WHEN os.kind = 'sell' THEN
+                    fp.volume_factor / (1 - fp.volume_factor) * os.buy_amount
+                WHEN os.kind = 'buy' THEN
+                    fp.volume_factor / (1 + fp.volume_factor) * os.sell_amount
+            END
         END AS protocol_fee,
-        CASE
-            WHEN fp.kind = 'surplus' THEN os.surplus_token
-            WHEN fp.kind = 'volume' THEN os.sell_token
-        END AS protocol_fee_token
+        os.surplus_token as protocol_fee_token
     FROM
         order_surplus os
         JOIN fee_policies fp -- contains protocol fee policy