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[Protocol 3.8] AMM v2 - Mirage #2432

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Merged
merged 11 commits into from
Jun 8, 2021
Merged

[Protocol 3.8] AMM v2 - Mirage #2432

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703f07b
[protocol 3] Initial commit amm v2
Brechtpd May 14, 2021
c867d51
[protocol 3.8] Amm v2 improvements
Brechtpd May 22, 2021
fed5291
Small improvements
Brechtpd May 22, 2021
bce399e
Small simplification
Brechtpd May 22, 2021
79abd71
Update AmmData.sol
dong77 May 26, 2021
57126c0
Amm v2 - AssetManager fix (#2445)
Brechtpd Jun 5, 2021
3bef82d
Amm v2 improve2 (#2462)
dong77 Jun 7, 2021
d14385d
Update AmplifiedAmmController.sol
dong77 Jun 7, 2021
8985fe3
Update AmplifiedAmmController.sol
dong77 Jun 8, 2021
89bdefe
AMM v2: minor improvements (#2466)
dong77 Jun 8, 2021
8c2ab0b
Merge branch 'master' into amm_v2
dong77 Jun 8, 2021
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18 changes: 18 additions & 0 deletions packages/loopring_v3.js/src/request_processors/spot_trade_processor.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -100,6 +100,15 @@ export class SpotTradeProcessor {
.balance.iadd(s.fillBA)
.isub(s.feeA);

// virtual balances
if (
accountA.getBalance(tokenA).weightAMM.gt(new BN(0)) &&
accountA.getBalance(tokenB).weightAMM.gt(new BN(0))
) {
accountA.getBalance(tokenA).weightAMM.isub(s.fillSA);
accountA.getBalance(tokenB).weightAMM.iadd(s.fillBA);
}

const tradeHistoryA = accountA.getBalance(tokenA).getStorage(storageIdA);
if (tradeHistoryA.storageID !== storageIdA) {
tradeHistoryA.data = new BN(0);
Expand All @@ -116,6 +125,15 @@ export class SpotTradeProcessor {
.balance.iadd(s.fillBB)
.isub(s.feeB);

// virtual balances
if (
accountB.getBalance(tokenA).weightAMM.gt(new BN(0)) &&
accountB.getBalance(tokenB).weightAMM.gt(new BN(0))
) {
accountB.getBalance(tokenB).weightAMM.isub(s.fillBA);
accountB.getBalance(tokenA).weightAMM.iadd(s.fillSA);
}

const tradeHistoryB = accountB.getBalance(tokenB).getStorage(storageIdB);
if (tradeHistoryB.storageID !== storageIdB) {
tradeHistoryB.data = new BN(0);
Expand Down
6 changes: 6 additions & 0 deletions packages/loopring_v3/circuit/Circuits/BaseTransactionCircuit.h
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Original file line number Diff line number Diff line change
Expand Up @@ -180,6 +180,7 @@ enum TxVariable
TXV_BALANCE_A_S_WEIGHTAMM,

TXV_BALANCE_A_B_BALANCE,
TXV_BALANCE_A_B_WEIGHTAMM,

TXV_ACCOUNT_A_ADDRESS,
TXV_ACCOUNT_A_OWNER,
Expand All @@ -194,8 +195,10 @@ enum TxVariable

TXV_BALANCE_B_S_ADDRESS,
TXV_BALANCE_B_S_BALANCE,
TXV_BALANCE_B_S_WEIGHTAMM,

TXV_BALANCE_B_B_BALANCE,
TXV_BALANCE_B_B_WEIGHTAMM,

TXV_ACCOUNT_B_ADDRESS,
TXV_ACCOUNT_B_OWNER,
Expand Down Expand Up @@ -245,6 +248,7 @@ class BaseTransactionCircuit : public GadgetT
uOutputs[TXV_BALANCE_A_S_WEIGHTAMM] = state.accountA.balanceS.weightAMM;

uOutputs[TXV_BALANCE_A_B_BALANCE] = state.accountA.balanceB.balance;
uOutputs[TXV_BALANCE_A_B_WEIGHTAMM] = state.accountA.balanceB.weightAMM;

aOutputs[TXV_ACCOUNT_A_ADDRESS] =
flatten({VariableArrayT(1, state.constants._1), VariableArrayT(NUM_BITS_ACCOUNT - 1, state.constants._0)});
Expand All @@ -260,8 +264,10 @@ class BaseTransactionCircuit : public GadgetT

aOutputs[TXV_BALANCE_B_S_ADDRESS] = VariableArrayT(NUM_BITS_TOKEN, state.constants._0);
uOutputs[TXV_BALANCE_B_S_BALANCE] = state.accountB.balanceS.balance;
uOutputs[TXV_BALANCE_B_S_WEIGHTAMM] = state.accountB.balanceS.weightAMM;

uOutputs[TXV_BALANCE_B_B_BALANCE] = state.accountB.balanceB.balance;
uOutputs[TXV_BALANCE_B_B_WEIGHTAMM] = state.accountB.balanceB.weightAMM;

aOutputs[TXV_ACCOUNT_B_ADDRESS] =
flatten({VariableArrayT(1, state.constants._1), VariableArrayT(NUM_BITS_ACCOUNT - 1, state.constants._0)});
Expand Down
80 changes: 72 additions & 8 deletions packages/loopring_v3/circuit/Circuits/SpotTradeCircuit.h
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Original file line number Diff line number Diff line change
Expand Up @@ -32,6 +32,11 @@ class SpotTradeCircuit : public BaseTransactionCircuit
DynamicBalanceGadget balanceA_O;
DynamicBalanceGadget balanceB_O;

DynamicBalanceGadget vbalanceS_A;
DynamicBalanceGadget vbalanceB_A;
DynamicBalanceGadget vbalanceS_B;
DynamicBalanceGadget vbalanceB_B;

// Order fills
FloatGadget fillS_A;
FloatGadget fillS_B;
Expand Down Expand Up @@ -59,6 +64,16 @@ class SpotTradeCircuit : public BaseTransactionCircuit
TransferGadget protocolFeeA_from_balanceAO_to_balanceAP;
TransferGadget protocolFeeB_from_balanceBO_to_balanceBP;

/* Virtual Token Transfers */
TernaryGadget vfills_S_A;
TernaryGadget vfills_B_A;
TernaryGadget vfills_S_B;
TernaryGadget vfills_B_B;
SubGadget update_vbalanceS_A;
AddGadget update_vbalanceB_A;
SubGadget update_vbalanceS_B;
AddGadget update_vbalanceB_B;

// AMM validation
ValidateAMMGadget validateAMM;

Expand All @@ -82,6 +97,12 @@ class SpotTradeCircuit : public BaseTransactionCircuit
balanceA_O(pb, state.oper.balanceA, FMT(prefix, ".balanceA_O")),
balanceB_O(pb, state.oper.balanceB, FMT(prefix, ".balanceB_O")),

// Virtual balances
vbalanceS_A(pb, state.accountA.balanceS.weightAMM, FMT(prefix, ".vbalanceS_A")),
vbalanceB_A(pb, state.accountA.balanceB.weightAMM, FMT(prefix, ".vbalanceB_A")),
vbalanceS_B(pb, state.accountB.balanceS.weightAMM, FMT(prefix, ".vbalanceS_B")),
vbalanceB_B(pb, state.accountB.balanceB.weightAMM, FMT(prefix, ".vbalanceB_B")),

// Order fills
fillS_A(pb, state.constants, Float24Encoding, FMT(prefix, ".fillS_A")),
fillS_B(pb, state.constants, Float24Encoding, FMT(prefix, ".fillS_B")),
Expand Down Expand Up @@ -175,28 +196,35 @@ class SpotTradeCircuit : public BaseTransactionCircuit
feeCalculatorB.getProtocolFee(),
FMT(prefix, ".protocolFeeB_from_balanceBO_to_balanceBP")),

/* Virtual balance updates (for AMMs only) */
vfills_S_A(pb, orderA.amm.packed, fillS_A.value(), state.constants._0, FMT(prefix, ".vfills_S_A")),
vfills_B_A(pb, orderA.amm.packed, fillS_B.value(), state.constants._0, FMT(prefix, ".vfills_B_A")),
vfills_S_B(pb, orderB.amm.packed, fillS_B.value(), state.constants._0, FMT(prefix, ".vfills_S_B")),
vfills_B_B(pb, orderB.amm.packed, fillS_A.value(), state.constants._0, FMT(prefix, ".vfills_B_B")),
update_vbalanceS_A(pb, state.accountA.balanceS.weightAMM, vfills_S_A.result(), NUM_BITS_AMOUNT, FMT(prefix, ".update_vbalanceS_A")),
update_vbalanceB_A(pb, state.accountA.balanceB.weightAMM, vfills_B_A.result(), NUM_BITS_AMOUNT, FMT(prefix, ".update_vbalanceB_A")),
update_vbalanceS_B(pb, state.accountB.balanceS.weightAMM, vfills_S_B.result(), NUM_BITS_AMOUNT, FMT(prefix, ".update_vbalanceS_B")),
update_vbalanceB_B(pb, state.accountB.balanceB.weightAMM, vfills_B_B.result(), NUM_BITS_AMOUNT, FMT(prefix, ".update_vbalanceB_B")),

validateAMM(
pb,
state.constants,
isSpotTradeTx.result(),
{orderA.amm.packed,
orderA.feeBips.packed,
fillS_A.value(),
state.accountA.balanceS.balance,
state.accountA.balanceB.balance,
balanceS_A.balance(),
balanceB_A.balance(),
state.accountA.balanceS.weightAMM,
state.accountA.balanceB.weightAMM,
update_vbalanceS_A.result(),
update_vbalanceB_A.result(),
state.accountA.account.feeBipsAMM},
{orderB.amm.packed,
orderB.feeBips.packed,
fillS_B.value(),
state.accountB.balanceS.balance,
state.accountB.balanceB.balance,
balanceS_B.balance(),
balanceB_B.balance(),
state.accountB.balanceS.weightAMM,
state.accountB.balanceB.weightAMM,
update_vbalanceS_B.result(),
update_vbalanceB_B.result(),
state.accountB.account.feeBipsAMM},
FMT(prefix, ".validateAMM"))
{
Expand All @@ -210,6 +238,8 @@ class SpotTradeCircuit : public BaseTransactionCircuit
setOutput(TXV_STORAGE_A_STORAGEID, orderA.storageID.packed);
setOutput(TXV_BALANCE_A_S_BALANCE, balanceS_A.balance());
setOutput(TXV_BALANCE_A_B_BALANCE, balanceB_A.balance());
setOutput(TXV_BALANCE_A_S_WEIGHTAMM, update_vbalanceS_A.result());
setOutput(TXV_BALANCE_A_B_WEIGHTAMM, update_vbalanceB_A.result());
setArrayOutput(TXV_ACCOUNT_A_ADDRESS, orderA.accountID.bits);

// Update account B
Expand All @@ -218,6 +248,8 @@ class SpotTradeCircuit : public BaseTransactionCircuit
setOutput(TXV_STORAGE_B_STORAGEID, orderB.storageID.packed);
setOutput(TXV_BALANCE_B_S_BALANCE, balanceS_B.balance());
setOutput(TXV_BALANCE_B_B_BALANCE, balanceB_B.balance());
setOutput(TXV_BALANCE_B_S_WEIGHTAMM, update_vbalanceS_B.result());
setOutput(TXV_BALANCE_B_B_WEIGHTAMM, update_vbalanceB_B.result());
setArrayOutput(TXV_ACCOUNT_B_ADDRESS, orderB.accountID.bits);

// Update balances of the protocol fee pool
Expand Down Expand Up @@ -252,6 +284,12 @@ class SpotTradeCircuit : public BaseTransactionCircuit
balanceA_O.generate_r1cs_witness();
balanceB_O.generate_r1cs_witness();

// Virtual balances
vbalanceS_A.generate_r1cs_witness();
vbalanceB_A.generate_r1cs_witness();
vbalanceS_B.generate_r1cs_witness();
vbalanceB_B.generate_r1cs_witness();

// Order fills
fillS_A.generate_r1cs_witness(spotTrade.fillS_A);
fillS_B.generate_r1cs_witness(spotTrade.fillS_B);
Expand Down Expand Up @@ -279,6 +317,16 @@ class SpotTradeCircuit : public BaseTransactionCircuit
protocolFeeA_from_balanceAO_to_balanceAP.generate_r1cs_witness();
protocolFeeB_from_balanceBO_to_balanceBP.generate_r1cs_witness();

/* Virtual Token Transfers */
vfills_S_A.generate_r1cs_witness();
vfills_B_A.generate_r1cs_witness();
vfills_S_B.generate_r1cs_witness();
vfills_B_B.generate_r1cs_witness();
update_vbalanceS_A.generate_r1cs_witness();
update_vbalanceB_A.generate_r1cs_witness();
update_vbalanceS_B.generate_r1cs_witness();
update_vbalanceB_B.generate_r1cs_witness();

// AMM validation
validateAMM.generate_r1cs_witness();
}
Expand All @@ -299,6 +347,12 @@ class SpotTradeCircuit : public BaseTransactionCircuit
balanceA_O.generate_r1cs_constraints();
balanceB_O.generate_r1cs_constraints();

// Virtual balances
vbalanceS_A.generate_r1cs_constraints();
vbalanceB_A.generate_r1cs_constraints();
vbalanceS_B.generate_r1cs_constraints();
vbalanceB_B.generate_r1cs_constraints();

// Order fills
fillS_A.generate_r1cs_constraints();
fillS_B.generate_r1cs_constraints();
Expand Down Expand Up @@ -326,6 +380,16 @@ class SpotTradeCircuit : public BaseTransactionCircuit
protocolFeeA_from_balanceAO_to_balanceAP.generate_r1cs_constraints();
protocolFeeB_from_balanceBO_to_balanceBP.generate_r1cs_constraints();

/* Virtual Token Transfers */
vfills_S_A.generate_r1cs_constraints();
vfills_B_A.generate_r1cs_constraints();
vfills_S_B.generate_r1cs_constraints();
vfills_B_B.generate_r1cs_constraints();
update_vbalanceS_A.generate_r1cs_constraints();
update_vbalanceB_A.generate_r1cs_constraints();
update_vbalanceS_B.generate_r1cs_constraints();
update_vbalanceB_B.generate_r1cs_constraints();

// AMM validation
validateAMM.generate_r1cs_constraints();
}
Expand Down
6 changes: 3 additions & 3 deletions packages/loopring_v3/circuit/Circuits/UniversalCircuit.h
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Original file line number Diff line number Diff line change
Expand Up @@ -287,7 +287,7 @@ class TransactionGadget : public GadgetT
tx.getArrayOutput(TXV_BALANCE_B_S_ADDRESS),
{state.accountA.balanceB.balance, state.accountA.balanceB.weightAMM, state.accountA.balanceB.storageRoot},
{tx.getOutput(TXV_BALANCE_A_B_BALANCE),
state.accountA.balanceB.weightAMM,
tx.getOutput(TXV_BALANCE_A_B_WEIGHTAMM),
state.accountA.balanceB.storageRoot},
FMT(prefix, ".updateBalanceB_A")),
updateAccount_A(
Expand Down Expand Up @@ -321,15 +321,15 @@ class TransactionGadget : public GadgetT
state.accountB.account.balancesRoot,
tx.getArrayOutput(TXV_BALANCE_B_S_ADDRESS),
{state.accountB.balanceS.balance, state.accountB.balanceS.weightAMM, state.accountB.balanceS.storageRoot},
{tx.getOutput(TXV_BALANCE_B_S_BALANCE), state.accountB.balanceS.weightAMM, updateStorage_B.result()},
{tx.getOutput(TXV_BALANCE_B_S_BALANCE), tx.getOutput(TXV_BALANCE_B_S_WEIGHTAMM), updateStorage_B.result()},
FMT(prefix, ".updateBalanceS_B")),
updateBalanceB_B(
pb,
updateBalanceS_B.result(),
tx.getArrayOutput(TXV_BALANCE_A_S_ADDRESS),
{state.accountB.balanceB.balance, state.accountB.balanceB.weightAMM, state.accountB.balanceB.storageRoot},
{tx.getOutput(TXV_BALANCE_B_B_BALANCE),
state.accountB.balanceB.weightAMM,
tx.getOutput(TXV_BALANCE_B_B_WEIGHTAMM),
state.accountB.balanceB.storageRoot},
FMT(prefix, ".updateBalanceB_B")),
updateAccount_B(
Expand Down
3 changes: 2 additions & 1 deletion packages/loopring_v3/circuit/Gadgets/AccountGadgets.h
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Original file line number Diff line number Diff line change
Expand Up @@ -301,7 +301,7 @@ class UpdateBalanceGadget : public GadgetT
}
};

// Calculcates the state of a user's open position
// Calculcates the state of a user's balance
class DynamicBalanceGadget : public DynamicVariableGadget
{
public:
Expand Down Expand Up @@ -335,6 +335,7 @@ class DynamicBalanceGadget : public DynamicVariableGadget
}
};


} // namespace Loopring

#endif
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