Add delta-neutral basis trading strategy extension contract (#27)

* Add IUniswapV3Quoter interface * Add WIP basis trading strategy contract * Add WIP strategy contract unit tests * Fix bugs in existing contracts and tests * Refactor setter functions; Add unit tests for setter functions * Fix getCurrentEtherIncentive; Add tests for withdrawEtherBalance and getCurrentEtherIncentive * Refactor shouldRebalance; Add tests for shouldRebalance and shouldRebalanceWithBounds * Refactor getChunkRebalanceNotional; Add tests for getChunkRebalanceNotional * Fix disengage; Add unit tests for disengage * Add unit tests for ripcord * Fix reinvest; Add unit tests for reinvest * Remove console logs from contract; Fix comments * Rebase to master * Add javadocs and missing test cases * Fix reinvest; Add appropriate revert logic * Fix coverage; Remove unncessary if block * Fix compilation * Fix imports and failing tests * Fix bug: Update reinvest to onlyAllowedCaller from onlyOperator * Updated version to 0.0.7-basis.0 * Add suggested changes * Remove pending todos * Fix to support all leverages <1, =1, >1; Refactor tests * Add logic to return reinvest only when reinvestable amount > 0; Add unit tests * Fix failing tests; Fix unit calculation * Updated version to 0.0.7-basis.1 * Refactor reinvest * Verify bytes parameters set in exchange settings * Update package to 0.0.7-basis.2 * Update version to 0.0.8; Pull latest set-protocol-v2 * Add check for booleans in exchange params * Add suggested changes * Deposit unused USDC to Perp after rebalance; Add unit tests for all flows * Add check for exchange name * Fix failing tests
SetProtocol · Apr 15, 2022 · a98789a · a98789a
1 parent f4e1292
commit a98789a
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Showing 13 changed files with 5,986 additions and 135 deletions.
diff --git a/contracts/extensions/DeltaNeutralBasisTradingStrategyExtension.sol b/contracts/extensions/DeltaNeutralBasisTradingStrategyExtension.sol
diff --git a/contracts/extensions/PerpV2LeverageStrategyExtension.sol b/contracts/extensions/PerpV2LeverageStrategyExtension.sol
@@ -27,7 +27,7 @@ import { SafeMath } from "@openzeppelin/contracts/math/SafeMath.sol";
 import { SignedSafeMath } from "@openzeppelin/contracts/math/SignedSafeMath.sol";
 
 import { IAccountBalance } from "@setprotocol/set-protocol-v2/contracts/interfaces/external/perp-v2/IAccountBalance.sol";
-import { IPerpV2LeverageModule } from "@setprotocol/set-protocol-v2/contracts/interfaces/IPerpV2LeverageModule.sol";
+import { IPerpV2LeverageModuleV2 } from "@setprotocol/set-protocol-v2/contracts/interfaces/IPerpV2LeverageModuleV2.sol";
 import { ISetToken } from "@setprotocol/set-protocol-v2/contracts/interfaces/ISetToken.sol";
 import { IVault } from "@setprotocol/set-protocol-v2/contracts/interfaces/external/perp-v2/IVault.sol";
 import { PreciseUnitMath } from "@setprotocol/set-protocol-v2/contracts/lib/PreciseUnitMath.sol";
@@ -71,7 +71,7 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
     struct ActionInfo {
         int256 baseBalance;                                 // Balance of virtual base asset from Perp in precise units (10e18). E.g. vWBTC = 10e18
         int256 quoteBalance;                                // Balance of virtual quote asset from Perp in precise units (10e18). E.g. vUSD = 10e18
-        IPerpV2LeverageModule.AccountInfo accountInfo;      // Info on perpetual account including, collateral balance, owedRealizedPnl and pendingFunding
+        IPerpV2LeverageModuleV2.AccountInfo accountInfo;      // Info on perpetual account including, collateral balance, owedRealizedPnl and pendingFunding
         int256 basePositionValue;                           // Valuation in USD adjusted for decimals in precise units (10e18)
         int256 quoteValue;                                  // Valuation in USD adjusted for decimals in precise units (10e18)
         int256 basePrice;                                   // Price of base asset in precise units (10e18) from PerpV2 Oracle
@@ -88,7 +88,7 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
 
     struct ContractSettings {
         ISetToken setToken;                             // Instance of leverage token
-        IPerpV2LeverageModule perpV2LeverageModule;     // Instance of Perp V2 leverage module
+        IPerpV2LeverageModuleV2 perpV2LeverageModule;     // Instance of Perp V2 leverage module
         IAccountBalance perpV2AccountBalance;           // Instance of Perp V2 AccountBalance contract used to fetch position balances
         IPriceFeed baseUSDPriceOracle;                  // PerpV2 oracle that returns TWAP price for base asset in USD. IPriceFeed is a PerpV2 specific interface
                                                         // to interact with differnt oracle providers, e.g. Band Protocol and Chainlink, for different assets
@@ -399,7 +399,7 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
      */
     function deposit(uint256 _collateralUnits) external onlyOperator {
         bytes memory depositCalldata = abi.encodeWithSelector(
-            IPerpV2LeverageModule.deposit.selector,
+            IPerpV2LeverageModuleV2.deposit.selector,
             address(strategy.setToken),
             _collateralUnits
         );
@@ -414,7 +414,7 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
      */
     function withdraw(uint256 _collateralUnits) external onlyOperator {
         bytes memory withdrawCalldata = abi.encodeWithSelector(
-            IPerpV2LeverageModule.withdraw.selector,
+            IPerpV2LeverageModuleV2.withdraw.selector,
             address(strategy.setToken),
             _collateralUnits
         );
@@ -599,7 +599,7 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
     function getCurrentEtherIncentive() external view returns(uint256) {
         int256 currentLeverageRatio = getCurrentLeverageRatio();
 
-        if (currentLeverageRatio >= incentive.incentivizedLeverageRatio) {
+        if (currentLeverageRatio.abs() >= incentive.incentivizedLeverageRatio.abs()) {
             // If ETH reward is below the balance on this contract, then return ETH balance on contract instead
             return incentive.etherReward < address(this).balance ? incentive.etherReward : address(this).balance;
         } else {
@@ -673,7 +673,7 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
         uint256 oppositeBoundUnits = _calculateOppositeBoundUnits(baseRebalanceUnits, _leverageInfo.action, _leverageInfo.slippageTolerance);
 
         bytes memory tradeCallData = abi.encodeWithSelector(
-            IPerpV2LeverageModule.trade.selector,
+            IPerpV2LeverageModuleV2.trade.selector,
             address(strategy.setToken),
             strategy.virtualBaseAddress,
             baseRebalanceUnits,
@@ -754,7 +754,6 @@ contract PerpV2LeverageStrategyExtension is BaseExtension {
 
         // Fetch base token prices from PerpV2 oracles and adjust them to 18 decimal places.
         int256 rawBasePrice = strategy.baseUSDPriceOracle.getPrice(strategy.twapInterval).toInt256();
-        uint256 decimals = strategy.baseUSDPriceOracle.decimals();
         rebalanceInfo.basePrice = rawBasePrice.mul((10 ** strategy.basePriceDecimalAdjustment).toInt256());
 
         // vUSD price is fixed to 1$

diff --git a/contracts/interfaces/IUniswapV3Quoter.sol b/contracts/interfaces/IUniswapV3Quoter.sol
@@ -0,0 +1,51 @@
+// SPDX-License-Identifier: GPL-2.0-or-later
+pragma solidity 0.6.10;
+pragma experimental ABIEncoderV2;
+
+/// @title Quoter Interface
+/// @notice Supports quoting the calculated amounts from exact input or exact output swaps
+/// @dev These functions are not marked view because they rely on calling non-view functions and reverting
+/// to compute the result. They are also not gas efficient and should not be called on-chain.
+interface IUniswapV3Quoter {
+    /// @notice Returns the amount out received for a given exact input swap without executing the swap
+    /// @param path The path of the swap, i.e. each token pair and the pool fee
+    /// @param amountIn The amount of the first token to swap
+    /// @return amountOut The amount of the last token that would be received
+    function quoteExactInput(bytes memory path, uint256 amountIn) external returns (uint256 amountOut);
+
+    /// @notice Returns the amount out received for a given exact input but for a swap of a single pool
+    /// @param tokenIn The token being swapped in
+    /// @param tokenOut The token being swapped out
+    /// @param fee The fee of the token pool to consider for the pair
+    /// @param amountIn The desired input amount
+    /// @param sqrtPriceLimitX96 The price limit of the pool that cannot be exceeded by the swap
+    /// @return amountOut The amount of `tokenOut` that would be received
+    function quoteExactInputSingle(
+        address tokenIn,
+        address tokenOut,
+        uint24 fee,
+        uint256 amountIn,
+        uint160 sqrtPriceLimitX96
+    ) external returns (uint256 amountOut);
+
+    /// @notice Returns the amount in required for a given exact output swap without executing the swap
+    /// @param path The path of the swap, i.e. each token pair and the pool fee. Path must be provided in reverse order
+    /// @param amountOut The amount of the last token to receive
+    /// @return amountIn The amount of first token required to be paid
+    function quoteExactOutput(bytes memory path, uint256 amountOut) external returns (uint256 amountIn);
+
+    /// @notice Returns the amount in required to receive the given exact output amount but for a swap of a single pool
+    /// @param tokenIn The token being swapped in
+    /// @param tokenOut The token being swapped out
+    /// @param fee The fee of the token pool to consider for the pair
+    /// @param amountOut The desired output amount
+    /// @param sqrtPriceLimitX96 The price limit of the pool that cannot be exceeded by the swap
+    /// @return amountIn The amount required as the input for the swap in order to receive `amountOut`
+    function quoteExactOutputSingle(
+        address tokenIn,
+        address tokenOut,
+        uint24 fee,
+        uint256 amountOut,
+        uint160 sqrtPriceLimitX96
+    ) external returns (uint256 amountIn);
+}
diff --git a/package.json b/package.json
@@ -1,6 +1,6 @@
 {
   "name": "@setprotocol/set-v2-strategies",
-  "version": "0.0.7",
+  "version": "0.0.8",
   "description": "",
   "main": "dist",
   "types": "dist/types",
@@ -90,7 +90,7 @@
     "web3": "^1.2.9"
   },
   "dependencies": {
-    "@setprotocol/set-protocol-v2": "^0.4.0-hhat.1",
+    "@setprotocol/set-protocol-v2": "0.10.0-hhat.1",
     "@uniswap/v3-sdk": "^3.5.1",
     "ethers": "5.5.2",
     "fs-extra": "^5.0.0",