Remove sqrtRatio for now; track tickStates

common/calculate-swap3.ts

@@ -1,4 +1,4 @@
-type Swap3LiquidityProvision = {
+type Swap3LiquidityPosition = {
   // TODO: Record who added this stuff?
 
   // Not sure if this is needed; maybe YES and NO left
@@ -26,6 +26,17 @@ type Swap3LiquidityProvision = {
   maxTick: number
 }
 
+type TickState = {
+  tick: number
+
+  // Amount of liquidity added when crossing this tick from left to right
+  // Negative if we should remove liquidity
+  liquidityNet: number
+
+  // Total liquidity referencing this pool
+  liquidityGross: number
+}
+
 // From https://uniswap.org/whitepaper-v3.pdf
 export type Swap3Pool = {
   // id: string
@@ -35,12 +46,24 @@ export type Swap3Pool = {
 
   // 6.2 Global State
   liquidity: number // = sqrt(NY)
-  sqrtRatio: number // = sqrt(N / Y); N = # NO shares in pool
+  // sqrtRatio: number // = sqrt(N / Y); N = # NO shares in pool
   // So N = liquidity * sqrtRatio; Y = liquidity / sqrtRatio
 
-  tick: number
+  // Current tick number.
   // Stored as optimization. equal to floor(log_sqrt_1.0001(sqrtRatio))
+  tick: number
   // TODO add fees?
+
+  // Mapping of tick indices to tick values.
+  tickStates: TickState[]
+}
+
+export function noShares(pool: Swap3Pool) {
+  return pool.liquidity * toRatio(pool.tick) ** 0.5
+}
+
+export function yesShares(pool: Swap3Pool) {
+  return pool.liquidity / toRatio(pool.tick) ** 0.5
 }
 
 export function getSwap3Probability(pool: Swap3Pool) {
@@ -68,6 +91,7 @@ export function calculateLPCost(
   maxTick: number,
   deltaL: number
 ) {
+  // TODO: this is subtly wrong, because of rounding between curTick and sqrtPrice
   const upperTick = Math.min(maxTick, Math.max(minTick, curTick))
   const costN = toRatio(upperTick) ** 0.5 - toRatio(minTick) ** 0.5
 
@@ -80,6 +104,44 @@ export function calculateLPCost(
   }
 }
 
+// TODO: Untested
+function addPosition(
+  pool: Swap3Pool,
+  minTick: number,
+  maxTick: number,
+  deltaL: number
+) {
+  const { requiredN, requiredY } = calculateLPCost(
+    pool.tick,
+    minTick,
+    maxTick,
+    deltaL
+  )
+  console.log(`Deducting required N: ${requiredN} and required Y: ${requiredY}`)
+
+  // Add liquidity as we pass through the larger tick
+  const maxTickState = pool.tickStates[maxTick] || {
+    tick: maxTick,
+    liquidityNet: 0,
+    liquidityGross: 0,
+  }
+
+  maxTickState.liquidityNet += deltaL
+  maxTickState.liquidityGross += deltaL
+
+  // And remove it as we pass through the lower one
+  const minTickState = pool.tickStates[minTick] || {
+    tick: minTick,
+    liquidityNet: 0,
+    liquidityGross: 0,
+  }
+
+  minTickState.liquidityNet -= deltaL
+  minTickState.liquidityGross -= deltaL
+
+  // TODO: add deltaL to liquidityGross of tickStates between minTick and maxTick
+}
+
 function toRatio(tick: number) {
   return 1.0001 ** tick
 }
@@ -89,6 +151,7 @@ function toProb(tick: number) {
   return ratio / (ratio + 1)
 }
 
+// Returns the tick for a given probability from 0 to 1
 export function fromProb(prob: number) {
   const ratio = prob / (1 - prob)
   return Math.floor(Math.log(ratio) / Math.log(1.0001))

web/pages/swap.tsx

@@ -2,7 +2,9 @@ import {
   calculateLPCost,
   fromProb,
   getSwap3Probability,
+  noShares,
   Swap3Pool,
+  yesShares,
 } from 'common/calculate-swap3'
 import { formatPercent } from 'common/util/format'
 import { useState } from 'react'
@@ -63,24 +65,20 @@ function PoolTable(props: { pool: Swap3Pool }) {
         <label>Liquidity: </label>
         {pool.liquidity}
       </div>
-      <div>
-        <label>Sqrt Ratio: </label>
-        {pool.sqrtRatio}
-      </div>
       <div>
         <label>Tick: </label>
         {pool.tick}
       </div>
       <div>
         <label>Pool YES: </label>
-        {pool.liquidity * pool.sqrtRatio}
+        {yesShares(pool).toFixed(2)}
       </div>
       <div>
         <label>Pool NO: </label>
-        {pool.liquidity / pool.sqrtRatio}
+        {noShares(pool).toFixed(2)}
       </div>
       <div>
-        <label>Prob: </label>
+        <label>Implied: </label>
         {formatPercent(getSwap3Probability(pool))}
       </div>
     </Row>
@@ -102,7 +100,6 @@ function Graph(props: { pool: Swap3Pool }) {
 export default function Swap() {
   const [pool, setPool] = useState({
     liquidity: 100,
-    sqrtRatio: 2,
     tick: fromProb(0.3),
     tickStates: [],
   })
@@ -124,7 +121,7 @@ export default function Swap() {
       <Graph pool={pool} />
       <input
         className="input"
-        placeholder="Current Prob"
+        placeholder="Current%"
         type="number"
         onChange={(e) =>
           setPool((p) => ({
@@ -139,14 +136,14 @@ export default function Swap() {
         <input className="input" placeholder="Amount" type="number" />
         <input
           className="input"
-          placeholder="Min"
+          placeholder="Min%"
           type="number"
           onChange={(e) => setMinTick(inputPercentToTick(e))}
         />
         Min Tick: {minTick}
         <input
           className="input"
-          placeholder="Max"
+          placeholder="Max%"
           type="number"
           onChange={(e) => setMaxTick(inputPercentToTick(e))}
         />