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Merge pull request #88 from cowprotocol/cip-38
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[Mirror] Implementation of CIP-38
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@fhenneke
fhenneke authored Mar 21, 2024
2 parents c06e44c + 267344f commit cab1325
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Showing 3 changed files with 119 additions and 92 deletions.
24 changes: 13 additions & 11 deletions src/sql/orderbook/barn_batch_rewards.sql
View file
Original file line number Diff line number Diff line change
Expand Up @@ -90,11 +90,13 @@ order_protocol_fee AS (
-- impossible anyways. This query will return a division by
-- zero error in that case.
LEAST(
fp.surplus_max_volume_factor / (1 - fp.surplus_max_volume_factor) * os.buy_amount, -- 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_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
Expand All @@ -105,7 +107,7 @@ order_protocol_fee AS (
fp.volume_factor / (1 + fp.volume_factor) * os.sell_amount
END
END AS protocol_fee,
os.surplus_token as protocol_fee_token
os.surplus_token AS protocol_fee_token
FROM
order_surplus os
JOIN fee_policies fp -- contains protocol fee policy
Expand Down Expand Up @@ -164,17 +166,17 @@ reward_data AS (
case
when block_number is not null
and block_number > block_deadline then 0
else coalesce(execution_cost, 0)
else coalesce(execution_cost, 0) -- if block_number is null, execution cost is 0
end as execution_cost,
case
when block_number is not null
and block_number > block_deadline then 0
else coalesce(surplus, 0)
else coalesce(surplus, 0) -- if block_number is null, surplus is 0
end as surplus,
case
when block_number is not null
and block_number > block_deadline then 0
else coalesce(fee, 0)
else coalesce(fee, 0) -- if block_number is null, fee is 0
end as fee,
-- scores
winning_score,
Expand All @@ -188,7 +190,7 @@ reward_data AS (
0
) as network_fee_correction
FROM
settlement_scores ss
settlement_scores ss
-- If there are reported scores,
-- there will always be a record of auction participants
JOIN auction_participation ap ON ss.auction_id = ap.auction_id
Expand All @@ -207,14 +209,14 @@ reward_per_auction as (
surplus,
protocol_fee, -- the protocol fee
fee - network_fee_correction as network_fee, -- the network fee
surplus + protocol_fee + fee - network_fee_correction - reference_score as uncapped_payment_eth,
surplus + protocol_fee - reference_score as uncapped_payment,
-- Capped Reward = CLAMP_[-E, E + exec_cost](uncapped_reward_eth)
LEAST(
GREATEST(
- {{EPSILON_LOWER}},
surplus + protocol_fee + fee - network_fee_correction - reference_score
surplus + protocol_fee - reference_score
),
{{EPSILON_UPPER}} + execution_cost
{{EPSILON_UPPER}}
) as capped_payment,
winning_score,
reference_score,
Expand All @@ -234,7 +236,7 @@ SELECT
surplus :: text as surplus,
protocol_fee :: text as protocol_fee,
network_fee :: text as network_fee,
uncapped_payment_eth :: text as uncapped_payment_eth,
uncapped_payment :: text as uncapped_payment_eth,
capped_payment :: text as capped_payment,
winning_score :: text as winning_score,
reference_score :: text as reference_score,
Expand Down
24 changes: 13 additions & 11 deletions src/sql/orderbook/prod_batch_rewards.sql
View file
Original file line number Diff line number Diff line change
Expand Up @@ -90,11 +90,13 @@ order_protocol_fee AS (
-- impossible anyways. This query will return a division by
-- zero error in that case.
LEAST(
fp.surplus_max_volume_factor / (1 - fp.surplus_max_volume_factor) * os.buy_amount, -- 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_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
Expand All @@ -105,7 +107,7 @@ order_protocol_fee AS (
fp.volume_factor / (1 + fp.volume_factor) * os.sell_amount
END
END AS protocol_fee,
os.surplus_token as protocol_fee_token
os.surplus_token AS protocol_fee_token
FROM
order_surplus os
JOIN fee_policies fp -- contains protocol fee policy
Expand Down Expand Up @@ -164,17 +166,17 @@ reward_data AS (
case
when block_number is not null
and block_number > block_deadline then 0
else coalesce(execution_cost, 0)
else coalesce(execution_cost, 0) -- if block_number is null, execution cost is 0
end as execution_cost,
case
when block_number is not null
and block_number > block_deadline then 0
else coalesce(surplus, 0)
else coalesce(surplus, 0) -- if block_number is null, surplus is 0
end as surplus,
case
when block_number is not null
and block_number > block_deadline then 0
else coalesce(fee, 0)
else coalesce(fee, 0) -- if block_number is null, fee is 0
end as fee,
-- scores
winning_score,
Expand All @@ -188,7 +190,7 @@ reward_data AS (
0
) as network_fee_correction
FROM
settlement_scores ss
settlement_scores ss
-- If there are reported scores,
-- there will always be a record of auction participants
JOIN auction_participation ap ON ss.auction_id = ap.auction_id
Expand All @@ -207,14 +209,14 @@ reward_per_auction as (
surplus,
protocol_fee, -- the protocol fee
fee - network_fee_correction as network_fee, -- the network fee
surplus + protocol_fee + fee - network_fee_correction - reference_score as uncapped_payment_eth,
surplus + protocol_fee - reference_score as uncapped_payment,
-- Capped Reward = CLAMP_[-E, E + exec_cost](uncapped_reward_eth)
LEAST(
GREATEST(
- {{EPSILON_LOWER}},
surplus + protocol_fee + fee - network_fee_correction - reference_score
surplus + protocol_fee - reference_score
),
{{EPSILON_UPPER}} + execution_cost
{{EPSILON_UPPER}}
) as capped_payment,
winning_score,
reference_score,
Expand All @@ -234,7 +236,7 @@ SELECT
surplus :: text as surplus,
protocol_fee :: text as protocol_fee,
network_fee :: text as network_fee,
uncapped_payment_eth :: text as uncapped_payment_eth,
uncapped_payment :: text as uncapped_payment_eth,
capped_payment :: text as capped_payment,
winning_score :: text as winning_score,
reference_score :: text as reference_score,
Expand Down
163 changes: 93 additions & 70 deletions tests/integration/test_fetch_orderbook.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -152,139 +152,162 @@ def test_get_order_rewards(self):
self.assertIsNone(pd.testing.assert_frame_equal(expected, rewards_df))

def test_get_batch_rewards(self):
block_number = 19184750
block_number = 19468910
block_range = BlockRange(block_number, block_number + 25)
rewards_df = OrderbookFetcher.get_batch_rewards(block_range)
expected = pd.DataFrame(
{
"block_number": pd.Series(
[pd.NA, 19184745, 19184748, pd.NA, 19184754, 19184763],
[19468907, 19468912, pd.NA, pd.NA, 19468922, 19468924, 19468926],
dtype="Int64",
),
"block_deadline": [
19184752,
19184754,
19184757,
19184760,
19184763,
19184771,
19468915,
19468919,
19468927,
19468928,
19468930,
19468933,
19468935,
],
"tx_hash": [
"0x9b46f8197480f452bf88b928706e6a6d5c0d0fc1f90478b9869d06be8f972602",
"0x2f045a84e3acef4680aa8d27c48b4f8c7639857e6db9333edf627166c7eeb542",
None,
"0xe4d32e53b60e830866c1cfdf101c60e61401078f7abdc30d50b442d131aa7bdc",
"0x49a757b3672f25edf2e2df52c9a466c4676e72e3c4c30ac385e065366629c56f",
None,
"0x43699f7356df831aa04519ecd9f638303f716ab9e41c6ab1f38aacd1c9cdd3e5",
"0x321703689c7a2743c85ad91788b8ab00447de42591089d2052a3e9cf3be9d5a1",
"0x2702518fba3abac804863e64800c26615d7d14020bd0c6f9e17d98151e987354",
"0xeb4bc0d934c1b87644a52a21e182edda559a44e91c5afe6a08ec4e1fba21a626",
"0xe8f5a56521801c0978c203654940ae6dfd26e414e7018749a0456965168e8e9f",
],
"solver": [
"0xc74b656bd2ebe313d26d1ac02bcf95b137d1c857",
"0x047a2fbe8aef590d4eb8942426a24970af301875",
"0x4339889fd9dfca20a423fba011e9dff1c856caeb",
"0x4339889fd9dfca20a423fba011e9dff1c856caeb",
"0x4339889fd9dfca20a423fba011e9dff1c856caeb",
"0x6f799f4bf6c1c56fb8d890e9e0fff2934b0de157",
"0x9b7e7f21d98f21c0354035798c40e9040e25787f",
"0xbf54079c9bc879ae4dd6bc79bce11d3988fd9c2b",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0x9b7e7f21d98f21c0354035798c40e9040e25787f",
],
"execution_cost": [
"9740476311332981",
"18230688793672800",
"0",
"23960377182307338",
"40296202766873088",
"0",
"163520173310226150",
"41362753732496120",
"17029862092746496",
"14696413493550464",
"14816441369559104",
],
"surplus": [
"11327896430820094",
"33419292238225043",
"0",
"330605523790093503",
"14240247437360446",
"0",
"90713565103966099",
"1392789908325076129",
"14062656113719218",
"9557249513545248",
"5267492734979407",
],
"protocol_fee": [
"58945874579",
"0",
"0",
"0",
"0",
"0",
"6802253860482580",
"0",
],
"network_fee": [
"7715157183718636",
"18639716210784841",
"0",
"13933525536949544",
"24543931321337540",
"0",
"123496472802428029",
"25234871513629600",
"15011842152833827",
"21801311054855324",
"8912931423922369",
],
"uncapped_payment_eth": [
"-779040158516046364",
"336110126639916826",
"38784178758697986",
"-30158667552343962",
"195046679035667621",
"49058033529596541",
"405658669881356",
"292618683544035",
"-13360904627424245",
"-12938581202699558",
"2823075137791897",
"9345865552057182",
"1607086130097916",
],
"capped_payment": [
"405658669881356",
"292618683544035",
"-10000000000000000",
"35960377182307338",
"38784178758697986",
"-10000000000000000",
"175520173310226150",
"49058033529596541",
"2823075137791897",
"9345865552057182",
"1607086130097916",
],
"winning_score": [
"781981474524515321",
"322695871042736445",
"2619667276946392",
"46231730550348480",
"50580401693171328",
"1373632036694856921",
"11327955072945657",
"33419292238225043",
"15862581044125306",
"14047809923397763",
"14062656113719218",
"9557249513545248",
"5267492734979406",
],
"reference_score": [
"779040158516046364",
"8428922687126221",
"0",
"30158667552343962",
"25965612731209087",
"1368966746309109188",
"10922296706813317",
"33126673554681008",
"13360904627424245",
"12938581202699558",
"11239580975927321",
"211383961488066",
"3660406604881491",
],
"participating_solvers": [
[
"0x16c473448e770ff647c69cbe19e28528877fba1b",
"0x4fc4a61a3b99a1ad4a61b03f3752ca12b4a17646",
"0x9b7e7f21d98f21c0354035798c40e9040e25787f",
"0xb9332b6301e5983272c30dd5b48a4e3b1664511b",
"0xbf54079c9bc879ae4dd6bc79bce11d3988fd9c2b",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xd1508a211d98bb81195dc1f9533edcdf68adf036",
"0xd50ecb485dcf5d97266122dfed979587dd8923ac",
],
[
"0x16c473448e770ff647c69cbe19e28528877fba1b",
"0xbf54079c9bc879ae4dd6bc79bce11d3988fd9c2b",
"0xc74b656bd2ebe313d26d1ac02bcf95b137d1c857",
"0xdd2e786980cd58acc5f64807b354c981f4094936",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xd1508a211d98bb81195dc1f9533edcdf68adf036",
],
[
"0x047a2fbe8aef590d4eb8942426a24970af301875",
"0x4339889fd9dfca20a423fba011e9dff1c856caeb",
"0x16c473448e770ff647c69cbe19e28528877fba1b",
"0xc74b656bd2ebe313d26d1ac02bcf95b137d1c857",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xd1508a211d98bb81195dc1f9533edcdf68adf036",
],
["0x4339889fd9dfca20a423fba011e9dff1c856caeb"],
[
"0x047a2fbe8aef590d4eb8942426a24970af301875",
"0x0ddcb0769a3591230caa80f85469240b71442089",
"0x16c473448e770ff647c69cbe19e28528877fba1b",
"0x4339889fd9dfca20a423fba011e9dff1c856caeb",
"0x6f799f4bf6c1c56fb8d890e9e0fff2934b0de157",
"0xbf54079c9bc879ae4dd6bc79bce11d3988fd9c2b",
"0xc74b656bd2ebe313d26d1ac02bcf95b137d1c857",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xd1508a211d98bb81195dc1f9533edcdf68adf036",
],
[
"0x047a2fbe8aef590d4eb8942426a24970af301875",
"0x16c473448e770ff647c69cbe19e28528877fba1b",
"0x4339889fd9dfca20a423fba011e9dff1c856caeb",
"0x6f799f4bf6c1c56fb8d890e9e0fff2934b0de157",
"0xbf54079c9bc879ae4dd6bc79bce11d3988fd9c2b",
"0xc74b656bd2ebe313d26d1ac02bcf95b137d1c857",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xd1508a211d98bb81195dc1f9533edcdf68adf036",
],
[
"0xc74b656bd2ebe313d26d1ac02bcf95b137d1c857",
"0xc9f2e6ea1637e499406986ac50ddc92401ce1f58",
"0xd1508a211d98bb81195dc1f9533edcdf68adf036",
],
[
"0x047a2fbe8aef590d4eb8942426a24970af301875",
"0x0ddcb0769a3591230caa80f85469240b71442089",
"0x16c473448e770ff647c69cbe19e28528877fba1b",
"0x6f799f4bf6c1c56fb8d890e9e0fff2934b0de157",
"0x4339889fd9dfca20a423fba011e9dff1c856caeb",
"0x4fc4a61a3b99a1ad4a61b03f3752ca12b4a17646",
"0x9b7e7f21d98f21c0354035798c40e9040e25787f",
"0xc74b656bd2ebe313d26d1ac02bcf95b137d1c857",
"0xd50ecb485dcf5d97266122dfed979587dd8923ac",
"0xd1508a211d98bb81195dc1f9533edcdf68adf036",
],
],
},
Expand Down

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