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drop protocol fee calculations in sql query
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@harisang
harisang committed Sep 25, 2024
1 parent 867cae4 commit 3628641
Showing 1 changed file with 28 additions and 227 deletions.
255 changes: 28 additions & 227 deletions queries/orderbook/barn_batch_rewards.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -65,19 +65,13 @@ order_surplus AS (
t.buy_amount, -- the total amount the user receives
oe.surplus_fee as observed_fee, -- the total discrepancy between what the user sends and what they would have send if they traded at clearing price
od.kind,
CASE
WHEN od.kind = 'sell' THEN t.buy_amount - t.sell_amount * od.buy_amount / od.sell_amount
WHEN od.kind = 'buy' THEN t.buy_amount * od.sell_amount / od.buy_amount - t.sell_amount
END AS surplus,
CASE
WHEN od.kind = 'sell' THEN t.buy_amount - t.sell_amount * (oq.buy_amount - oq.buy_amount / oq.sell_amount * oq.gas_amount * oq.gas_price / oq.sell_token_price) / oq.sell_amount
WHEN od.kind = 'buy' THEN t.buy_amount * (oq.sell_amount + oq.gas_amount * oq.gas_price / oq.sell_token_price) / oq.buy_amount - t.sell_amount
END AS price_improvement,
CASE
WHEN od.kind = 'sell' THEN od.buy_token
WHEN od.kind = 'buy' THEN od.sell_token
END AS surplus_token,
ad.full_app_data as app_data
convert_from(ad.full_app_data, 'UTF8')::JSONB->'metadata'->'partnerFee'->>'recipient' as partner_fee_recipient
coalesce(oe.protocol_fee_amounts[1], 0) as first_protocol_fee_amount,
coalesce(oe.protocol_fee_amounts[2], 0) as second_protocol_fee_amount
FROM
settlements s
JOIN settlement_scores ss -- contains block_deadline
Expand All @@ -98,212 +92,27 @@ order_surplus AS (
AND ss.block_deadline <= {{end_block}}
),
-- protocol fees:
fee_policies_first_proxy as (
select
auction_id,
order_uid,
max(application_order) as application_order,
count (*) as num_policies
from fee_policies
where auction_id in (select auction_id from order_surplus)
group by order_uid, auction_id
),
fee_policies_first as (
select
fp.auction_id,
fp.order_uid,
fp.application_order,
fp.kind,
fp.surplus_factor,
fp.surplus_max_volume_factor,
fp.volume_factor,
fp.price_improvement_factor,
fp.price_improvement_max_volume_factor
from fee_policies_first_proxy fpmp join fee_policies fp on fp.auction_id = fpmp.auction_id and fp.order_uid = fpmp.order_uid and fp.application_order = fpmp.application_order
),
fee_policies_temp as (
select
*
from fee_policies
where auction_id in (select auction_id from order_surplus)
except (select * from fee_policies_first )
),
fee_policies_second as (
select
*
from fee_policies_temp
UNION
select
auction_id,
order_uid,
0 as application_order,
'volume' as kind,
null as surplus_factor,
null as surplus_max_volume_factor,
0 as volume_factor,
null as price_improvement_factor,
null as price_improvement_max_volume_factor
from fee_policies_first_proxy where num_policies = 1
),
order_protocol_fee_first AS (
order_protocol_fee (
SELECT
os.auction_id,
os.order_uid,
os.sell_amount,
os.buy_amount,
os.surplus,
os.price_improvement,
os.kind,
convert_from(os.app_data, 'UTF8')::JSONB->'metadata'->'partnerFee'->>'recipient' as partner_fee_recipient,
fp.kind as protocol_fee_kind_first,
CASE
WHEN fp.kind = 'surplus' THEN CASE
WHEN os.kind = 'sell' THEN
-- We assume that the case surplus_factor != 1 always. In
-- that case reconstructing the protocol fee would be
-- 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_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 = 'priceimprovement' THEN CASE
WHEN os.kind = 'sell' THEN
LEAST(
-- at most charge a fraction of volume
fp.price_improvement_max_volume_factor / (1 - fp.price_improvement_max_volume_factor) * os.buy_amount,
-- charge a fraction of price improvement, at most 0
GREATEST(
fp.price_improvement_factor / (1 - fp.price_improvement_factor) * price_improvement
,
0
)
)
WHEN os.kind = 'buy' THEN LEAST(
-- at most charge a fraction of volume
fp.price_improvement_max_volume_factor / (1 + fp.price_improvement_max_volume_factor) * os.sell_amount,
-- charge a fraction of price improvement
GREATEST(
fp.price_improvement_factor / (1 - fp.price_improvement_factor) * price_improvement,
0
)
)
END
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_first,
os.surplus_token AS protocol_fee_token
FROM
order_surplus os
JOIN fee_policies_first fp -- contains protocol fee policy
ON os.auction_id = fp.auction_id
AND os.order_uid = fp.order_uid
),
order_surplus_intermediate as (
select
auction_id,
solver,
tx_hash,
order_uid,
sell_amount,
buy_amount,
sell_token,
observed_fee,
surplus_token,
second_protocol_fee_amount,
first_protocol_fee_amount + second_protocol_fee_amount as protocol_fee
partner_fee_recipient,
CASE
WHEN kind = 'sell' then sell_amount
ELSE sell_amount - protocol_fee_first
END as sell_amount,
CASE
WHEN kind = 'sell' then buy_amount + protocol_fee_first
ELSE buy_amount
END as buy_amount,
surplus + protocol_fee_first as surplus,
price_improvement + protocol_fee_first as price_improvement,
protocol_fee_kind_first,
protocol_fee_first,
partner_fee_recipient
from order_protocol_fee_first
),
order_protocol_fee as materialized (
SELECT
os.auction_id,
os.solver,
os.tx_hash,
os.order_uid,
os.sell_amount,
os.buy_amount,
os.sell_token,
os.observed_fee,
os.surplus,
os.surplus_token,
protocol_fee_kind_first,
fp.kind as protocol_fee_kind_second,
protocol_fee_first,
CASE
WHEN fp.kind = 'surplus' THEN CASE
WHEN os.kind = 'sell' THEN
-- We assume that the case surplus_factor != 1 always. In
-- that case reconstructing the protocol fee would be
-- impossible anyways. This query will return a division by
-- zero error in that case.
protocol_fee_first + LEAST(
fp.surplus_max_volume_factor / (1 - fp.surplus_max_volume_factor) * osi.buy_amount,
-- at most charge a fraction of volume
fp.surplus_factor / (1 - fp.surplus_factor) * osi.surplus -- charge a fraction of surplus
)
WHEN os.kind = 'buy' THEN protocol_fee_first + LEAST(
fp.surplus_max_volume_factor / (1 + fp.surplus_max_volume_factor) * osi.sell_amount,
-- at most charge a fraction of volume
fp.surplus_factor / (1 - fp.surplus_factor) * osi.surplus -- charge a fraction of surplus
)
END
WHEN fp.kind = 'priceimprovement' THEN CASE
WHEN os.kind = 'sell' THEN
protocol_fee_first + LEAST(
-- at most charge a fraction of volume
fp.price_improvement_max_volume_factor / (1 - fp.price_improvement_max_volume_factor) * osi.buy_amount,
-- charge a fraction of price improvement, at most 0
GREATEST(
fp.price_improvement_factor / (1 - fp.price_improvement_factor) * osi.price_improvement
,
0
)
)
WHEN os.kind = 'buy' THEN protocol_fee_first + LEAST(
-- at most charge a fraction of volume
fp.price_improvement_max_volume_factor / (1 + fp.price_improvement_max_volume_factor) * osi.sell_amount,
-- charge a fraction of price improvement
GREATEST(
fp.price_improvement_factor / (1 - fp.price_improvement_factor) * osi.price_improvement,
0
)
)
END
WHEN fp.kind = 'volume' THEN CASE
WHEN os.kind = 'sell' THEN
protocol_fee_first + fp.volume_factor / (1 - fp.volume_factor) * osi.buy_amount
WHEN os.kind = 'buy' THEN
protocol_fee_first + fp.volume_factor / (1 + fp.volume_factor) * osi.sell_amount
END
END AS protocol_fee,
osi.partner_fee_recipient,
CASE
WHEN osi.partner_fee_recipient IS NOT NULL THEN osi.protocol_fee_first
WHEN partner_fee_recipient IS NOT NULL THEN second_protocol_fee_amount
ELSE 0
END AS partner_fee,
os.surplus_token AS protocol_fee_token
surplus_token AS protocol_fee_token
FROM
order_surplus os
JOIN order_surplus_intermediate osi
ON os.order_uid = osi.order_uid AND os.auction_id = osi.auction_id
JOIN fee_policies_second fp -- contains protocol fee policy
ON os.auction_id = fp.auction_id
AND os.order_uid = fp.order_uid
order_surplus
),
price_data AS (
SELECT
Expand All @@ -313,7 +122,7 @@ price_data AS (
ap_protocol.price / pow(10, 18) as protocol_fee_token_native_price,
ap_sell.price / pow(10, 18) as network_fee_token_native_price
FROM
order_surplus AS os
order_protocol_fee AS os
LEFT OUTER JOIN auction_prices ap_sell -- contains price: sell token
ON os.auction_id = ap_sell.auction_id
AND os.sell_token = ap_sell.token
Expand All @@ -326,36 +135,28 @@ price_data AS (
),
combined_order_data AS (
SELECT
os.auction_id,
os.solver,
os.tx_hash,
os.order_uid,
os.surplus,
os.surplus_token,
opf.auction_id,
opf.solver,
opf.tx_hash,
opf.order_uid,
opf.surplus_token,
opf.protocol_fee,
opf.protocol_fee_token,
CASE
WHEN opf.partner_fee_recipient IS NOT NULL THEN opf.protocol_fee_kind_second
ELSE opf.protocol_fee_kind_first
END AS protocol_fee_kind,
opf.partner_fee,
opf.partner_fee_recipient,
CASE
WHEN os.sell_token != os.surplus_token THEN os.observed_fee - (os.sell_amount - os.observed_fee) / os.buy_amount * coalesce(opf.protocol_fee, 0)
ELSE os.observed_fee - coalesce(opf.protocol_fee, 0)
WHEN opf.sell_token != opf.surplus_token THEN opf.observed_fee - (opf.sell_amount - opf.observed_fee) / opf.buy_amount * coalesce(opf.protocol_fee, 0)
ELSE opf.observed_fee - coalesce(opf.protocol_fee, 0)
END AS network_fee,
os.sell_token as network_fee_token,
surplus_token_native_price,
protocol_fee_token_native_price,
network_fee_token_native_price
FROM
order_surplus AS os
LEFT OUTER JOIN order_protocol_fee as opf
ON os.auction_id = opf.auction_id
AND os.order_uid = opf.order_uid
order_protocol_fee as opf
JOIN price_data pd
ON os.auction_id = pd.auction_id
AND os.order_uid = pd.order_uid
ON opf.auction_id = pd.auction_id
AND opf.order_uid = pd.order_uid
),
batch_protocol_fees AS (
SELECT
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