Rounding errors

[OxMarco]

Hi, thanks for sharing this code, it's something I've looking for a while as "officially" Uniswap discourage the usage of on-chain oracles. However, I see your implementation may cause problems due to how you manage roundings.
Let me share what something I have been working on so far. I tested it on Kovan and it seems to work, yet somehow I cannot get it to compile locally because Uniswap core math libraries are bugged.

function getQuote(
        address fromToken,
        address toToken,
        uint128 swapAmount // amount in fromToken to be converted
    ) external view override returns (uint256 quoteAmount, uint24 poolFee) {
        int24 timeWeightedAverageTick;
        int32 period = 600; // average over x seconds

        (address pool, uint24 _poolFee) = getCheapestPool(fromToken, toToken);
        poolFee = _poolFee; /// @dev is it really needed?

        uint32[] memory secondAgos = new uint32[](2);
        secondAgos[0] = uint32(period);
        secondAgos[1] = 0;

        (int56[] memory tickCumulatives, ) = IUniswapV3Pool(pool).observe(secondAgos);
        int56 tickCumulativesDelta = tickCumulatives[1] - tickCumulatives[0];

        timeWeightedAverageTick = int24(tickCumulativesDelta / period);

        // Always round to negative infinity
        if (tickCumulativesDelta < 0 && (tickCumulativesDelta % period != 0)) timeWeightedAverageTick--;
        
        uint160 sqrtRatioX96 = TickMath.getSqrtRatioAtTick(timeWeightedAverageTick);

        // Calculate quoteAmount with better precision if it doesn't overflow when multiplied by itself
        if (sqrtRatioX96 <= type(uint128).max) {
            uint256 ratioX192 = uint256(sqrtRatioX96) * sqrtRatioX96;
            quoteAmount = fromToken < toToken
                ? FullMath.mulDiv(ratioX192, swapAmount, 1 << 192)
                : FullMath.mulDiv(1 << 192, swapAmount, ratioX192);
        } else {
            uint256 ratioX128 = FullMath.mulDiv(sqrtRatioX96, sqrtRatioX96, 1 << 64);
            quoteAmount = fromToken < toToken
                ? FullMath.mulDiv(ratioX128, swapAmount, 1 << 128)
                : FullMath.mulDiv(1 << 128, swapAmount, ratioX128);
        }
    }
    
    // try all fee values from the most profitable (lowest, 0.03%) to the least profitable (highest, 1%)
    function getCheapestPool(address _token0, address _token1) public view override returns(address, uint24) {
        // try 0.05%
        address pool = factory.getPool(_token0, _token1, 500);
        if(pool != address(0)) return (pool, 500);

        // try 0.3%
        pool = factory.getPool(_token0, _token1, 3000);
        if(pool != address(0)) return (pool, 3000);

        // try 1%
        pool = factory.getPool(_token0, _token1, 10000);
        if(pool != address(0)) return (pool, 10000);
        else revert("Uniswap pool does not exist");
    }

[noahfigueras]

Hi Gianmarco! Glad to hear from you, I changed the MAX_TICK variable for a uint24 in the TickMath.sol and my code compile and works good. Also, I agree I do not manage my roundings at all, I checked that same code but do not understand it. Maybe you can propose a pull request to my code so I can see what I can improve. Cheers! El dom, 11 jul 2021 a las 11:35, Giammarco R. Casanova (< ***@***.***>) escribió:

…

Hi, thanks for sharing this code, it's something I've looking for a while as "officially" Uniswap discourage the usage of on-chain oracles. However, I see your implementation may cause problems due to how you manage roundings. Let me share what something I have been working on so far. I tested it on Kovan and it seems to work, yet somehow I cannot get it to compile locally because Uniswap core math libraries are bugged. function getQuote( address fromToken, address toToken, uint128 swapAmount // amount in fromToken to be converted ) external view override returns (uint256 quoteAmount, uint24 poolFee) { int24 timeWeightedAverageTick; int32 period = 600; // average over x seconds (address pool, uint24 _poolFee) = getCheapestPool(fromToken, toToken); poolFee = _poolFee; /// @dev is it really needed? uint32[] memory secondAgos = new uint32[](2); secondAgos[0] = uint32(period); secondAgos[1] = 0; (int56[] memory tickCumulatives, ) = IUniswapV3Pool(pool).observe(secondAgos); int56 tickCumulativesDelta = tickCumulatives[1] - tickCumulatives[0]; timeWeightedAverageTick = int24(tickCumulativesDelta / period); // Always round to negative infinity if (tickCumulativesDelta < 0 && (tickCumulativesDelta % period != 0)) timeWeightedAverageTick--; uint160 sqrtRatioX96 = TickMath.getSqrtRatioAtTick(timeWeightedAverageTick); // Calculate quoteAmount with better precision if it doesn't overflow when multiplied by itself if (sqrtRatioX96 <= type(uint128).max) { uint256 ratioX192 = uint256(sqrtRatioX96) * sqrtRatioX96; quoteAmount = fromToken < toToken ? FullMath.mulDiv(ratioX192, swapAmount, 1 << 192) : FullMath.mulDiv(1 << 192, swapAmount, ratioX192); } else { uint256 ratioX128 = FullMath.mulDiv(sqrtRatioX96, sqrtRatioX96, 1 << 64); quoteAmount = fromToken < toToken ? FullMath.mulDiv(ratioX128, swapAmount, 1 << 128) : FullMath.mulDiv(1 << 128, swapAmount, ratioX128); } } // try all fee values from the most profitable (lowest, 0.03%) to the least profitable (highest, 1%) function getCheapestPool(address _token0, address _token1) public view override returns(address, uint24) { // try 0.05% address pool = factory.getPool(_token0, _token1, 500); if(pool != address(0)) return (pool, 500); // try 0.3% pool = factory.getPool(_token0, _token1, 3000); if(pool != address(0)) return (pool, 3000); // try 1% pool = factory.getPool(_token0, _token1, 10000); if(pool != address(0)) return (pool, 10000); else revert("Uniswap pool does not exist"); } — You are receiving this because you are subscribed to this thread. Reply to this email directly, view it on GitHub <#1>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AH7KN5JCBW6WR44HC5VOYO3TXHQAXANCNFSM5AFRHNZA> .