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Fix network fee computation #400

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merged 4 commits into from
Sep 24, 2024
Merged

Fix network fee computation #400

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34bd41e
compute network fees from trade execution
fhenneke Sep 23, 2024
072ce85
apapt tests
fhenneke Sep 23, 2024
6c61329
revert accidental deletion of (obsolete) test
fhenneke Sep 23, 2024
f1505b9
remove hardcoded block range
fhenneke Sep 24, 2024
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151 changes: 101 additions & 50 deletions queries/orderbook/barn_batch_rewards.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,6 @@ WITH observed_settlements AS (
-- settlement_observations
effective_gas_price * gas_used AS execution_cost,
surplus,
fee,
s.auction_id
FROM
settlement_observations so
Expand All @@ -31,30 +30,52 @@ auction_participation as (
GROUP BY
ss.auction_id
),
-- protocol fees:
-- order data
order_data AS (
SELECT
uid,
sell_token,
buy_token,
sell_amount,
buy_amount,
kind,
app_data
FROM orders
UNION ALL
SELECT
uid,
sell_token,
buy_token,
sell_amount,
buy_amount,
kind,
app_data
FROM jit_orders
),
-- additional trade data
order_surplus AS (
SELECT
ss.winner as solver,
s.auction_id,
s.tx_hash,
t.order_uid,
o.sell_token,
o.buy_token,
od.sell_token,
od.buy_token,
t.sell_amount, -- the total amount the user sends
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
o.kind,
od.kind,
CASE
WHEN o.kind = 'sell' THEN t.buy_amount - t.sell_amount * o.buy_amount / (o.sell_amount + o.fee_amount)
WHEN o.kind = 'buy' THEN t.buy_amount * (o.sell_amount + o.fee_amount) / o.buy_amount - t.sell_amount
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 o.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 o.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
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 o.kind = 'sell' THEN o.buy_token
WHEN o.kind = 'buy' THEN o.sell_token
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
FROM
Expand All @@ -63,19 +84,22 @@ order_surplus AS (
ON s.auction_id = ss.auction_id
JOIN trades t -- contains traded amounts
ON s.block_number = t.block_number -- log_index cannot be checked, does not work correctly with multiple auctions on the same block
JOIN orders o -- contains tokens and limit amounts
ON t.order_uid = o.uid
JOIN order_data od -- contains tokens and limit amounts
ON t.order_uid = od.uid
JOIN order_execution oe -- contains surplus fee
ON t.order_uid = oe.order_uid
AND s.auction_id = oe.auction_id
LEFT OUTER JOIN order_quotes oq -- contains quote amounts
ON o.uid = oq.order_uid
ON od.uid = oq.order_uid
LEFT OUTER JOIN app_data ad -- contains full app data
on o.app_data = ad.contract_app_data
on od.app_data = ad.contract_app_data
WHERE
ss.block_deadline >= {{start_block}}
AND ss.block_deadline <= {{end_block}}
ss.block_deadline >= 20759465
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probably leftover from local testing

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Good catch. That will hopefully explain the small discrepancy in total protocol fees.

AND ss.block_deadline <= 20766617
-- ss.block_deadline >= 20766618
-- AND ss.block_deadline <= 20780916
),
-- protocol fees:
fee_policies_first_proxy as (
select
auction_id,
Expand Down Expand Up @@ -207,7 +231,7 @@ order_surplus_intermediate as (
partner_fee_recipient
from order_protocol_fee_first
),
order_protocol_fee as (
order_protocol_fee as materialized (
SELECT
os.auction_id,
os.solver,
Expand Down Expand Up @@ -283,13 +307,33 @@ order_protocol_fee as (
ON os.auction_id = fp.auction_id
AND os.order_uid = fp.order_uid
),
order_protocol_fee_prices AS (
price_data AS (
SELECT
os.auction_id,
os.order_uid,
ap_surplus.price / pow(10, 18) as surplus_token_native_price,
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
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
LEFT OUTER JOIN auction_prices ap_surplus -- contains price: surplus token
ON os.auction_id = ap_surplus.auction_id
AND os.surplus_token = ap_surplus.token
LEFT OUTER JOIN auction_prices ap_protocol -- contains price: protocol fee token
ON os.auction_id = ap_protocol.auction_id
AND os.surplus_token = ap_protocol.token
),
combined_order_data AS (
SELECT
opf.auction_id,
opf.solver,
opf.tx_hash,
opf.order_uid,
opf.surplus,
os.auction_id,
os.solver,
os.tx_hash,
os.order_uid,
os.surplus,
os.surplus_token,
opf.protocol_fee,
opf.protocol_fee_token,
CASE
Expand All @@ -299,33 +343,40 @@ order_protocol_fee_prices AS (
opf.partner_fee,
opf.partner_fee_recipient,
CASE
WHEN opf.sell_token != opf.protocol_fee_token THEN (opf.sell_amount - opf.observed_fee) / opf.buy_amount * opf.protocol_fee
ELSE opf.protocol_fee
END AS network_fee_correction,
opf.sell_token as network_fee_token,
ap_surplus.price / pow(10, 18) as surplus_token_native_price,
ap_protocol.price / pow(10, 18) as protocol_fee_token_native_price,
ap_sell.price / pow(10, 18) as network_fee_token_native_price
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)
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_protocol_fee as opf
JOIN auction_prices ap_sell -- contains price: sell token
ON opf.auction_id = ap_sell.auction_id
AND opf.sell_token = ap_sell.token
JOIN auction_prices ap_surplus -- contains price: surplus token
ON opf.auction_id = ap_surplus.auction_id
AND opf.surplus_token = ap_surplus.token
JOIN auction_prices ap_protocol -- contains price: protocol fee token
ON opf.auction_id = ap_protocol.auction_id
AND opf.protocol_fee_token = ap_protocol.token
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
JOIN price_data pd
ON os.auction_id = pd.auction_id
AND os.order_uid = pd.order_uid
),
batch_protocol_fees AS (
SELECT
solver,
tx_hash,
sum(protocol_fee * protocol_fee_token_native_price) as protocol_fee,
sum(network_fee_correction * network_fee_token_native_price) as network_fee_correction
sum(protocol_fee * protocol_fee_token_native_price) as protocol_fee
FROM
combined_order_data
group by
solver,
tx_hash
),
batch_network_fees AS (
SELECT
solver,
tx_hash,
sum(network_fee * network_fee_token_native_price) as network_fee
FROM
order_protocol_fee_prices
combined_order_data
group by
solver,
tx_hash
Expand All @@ -342,7 +393,6 @@ reward_data AS (
block_deadline,
coalesce(execution_cost, 0) as execution_cost,
coalesce(surplus, 0) as surplus,
coalesce(fee, 0) as fee,
-- scores
winning_score,
case
Expand All @@ -356,9 +406,9 @@ reward_data AS (
-- protocol_fees
coalesce(cast(protocol_fee as numeric(78, 0)), 0) as protocol_fee,
coalesce(
cast(network_fee_correction as numeric(78, 0)),
cast(network_fee as numeric(78, 0)),
0
) as network_fee_correction
) as network_fee
FROM
settlement_scores ss
-- If there are reported scores,
Expand All @@ -367,6 +417,7 @@ reward_data AS (
-- outer joins made in order to capture non-existent settlements.
LEFT OUTER JOIN observed_settlements os ON os.auction_id = ss.auction_id
LEFT OUTER JOIN batch_protocol_fees bpf ON bpf.tx_hash = os.tx_hash
LEFT OUTER JOIN batch_network_fees bnf ON bnf.tx_hash = os.tx_hash
),
reward_per_auction as (
SELECT
Expand All @@ -378,7 +429,7 @@ reward_per_auction as (
execution_cost,
surplus,
protocol_fee, -- the protocol fee
fee - network_fee_correction as network_fee, -- the network fee
network_fee, -- the network fee
observed_score - reference_score as uncapped_payment,
-- Capped Reward = CLAMP_[-E, E + exec_cost](uncapped_reward_eth)
LEAST(
Expand Down Expand Up @@ -439,7 +490,7 @@ partner_fees_per_solver AS (
partner_fee_recipient,
sum(partner_fee * protocol_fee_token_native_price) as partner_fee
FROM
order_protocol_fee_prices
combined_order_data
WHERE partner_fee_recipient is not null
group by solver,partner_fee_recipient
),
Expand All @@ -463,7 +514,7 @@ aggregate_results as (
FROM
participation_counts pc
LEFT OUTER JOIN primary_rewards pr ON pr.solver = pc.solver
LEFT OUTER JOIN aggregate_partner_fees_per_solver aif on pr.solver = aif.solver
LEFT OUTER JOIN aggregate_partner_fees_per_solver aif on pr.solver = aif.solver
) --
select
*
Expand Down
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