feat: slippage calculations for add/remove liquidity (closes #1)

curvefi · Oct 7, 2021 · b5d37cc · b5d37cc
1 parent 5715a15
commit b5d37cc
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Showing 2 changed files with 75 additions and 1 deletion.
diff --git a/package.json b/package.json
@@ -1,6 +1,6 @@
 {
   "name": "@curvefi/api",
-  "version": "1.5.1",
+  "version": "1.6.0",
   "description": "JavaScript library for curve.fi",
   "main": "lib/index.js",
   "scripts": {

diff --git a/src/pools.ts b/src/pools.ts
@@ -187,9 +187,17 @@ export class Pool {
     }
 
     public addLiquidityExpected = async (amounts: string[]): Promise<string> => {
+        amounts = amounts.map((a, i) => Number(a).toFixed(this.underlyingDecimals[i]));
         return await this.calcLpTokenAmount(amounts);
     }
 
+    public addLiquiditySlippage = async (amounts: string[]): Promise<string> => {
+        const totalAmount = amounts.reduce((s, a) => s + Number(a), 0);
+        const expected = Number(await this.addLiquidityExpected(amounts));
+
+        return await this._addLiquiditySlippage(totalAmount, expected);
+    }
+
     public addLiquidityIsApproved = async (amounts: string[]): Promise<boolean> => {
         const spender = (['compound', 'usdt', 'y', 'busd', 'pax'].includes(this.name) || this.isMeta) ? this.zap as string : this.swap;
         return await hasAllowance(this.underlyingCoinAddresses, amounts, curve.signerAddress, spender);
@@ -287,9 +295,17 @@ export class Pool {
     }
 
     public addLiquidityWrappedExpected = async (amounts: string[]): Promise<string> => {
+        amounts = amounts.map((a, i) => Number(a).toFixed(this.decimals[i]));
         return await this.calcLpTokenAmountWrapped(amounts);
     }
 
+    public addLiquidityWrappedSlippage = async (amounts: string[]): Promise<string> => {
+        const totalAmount = amounts.reduce((s, a) => s + Number(a), 0);
+        const expected = Number(await this.addLiquidityWrappedExpected(amounts));
+
+        return await this._addLiquiditySlippage(totalAmount, expected, false);
+    }
+
     public addLiquidityWrappedIsApproved = async (amounts: string[]): Promise<boolean> => {
         return await hasAllowance(this.coinAddresses, amounts, curve.signerAddress, this.swap);
     }
@@ -460,9 +476,17 @@ export class Pool {
     }
 
     public removeLiquidityImbalanceExpected = async (amounts: string[]): Promise<string> => {
+        amounts = amounts.map((a, i) => Number(a).toFixed(this.underlyingDecimals[i]));
         return await this.calcLpTokenAmount(amounts, false);
     }
 
+    public removeLiquidityImbalanceSlippage = async (amounts: string[]): Promise<string> => {
+        const totalAmount = amounts.reduce((s, a) => s + Number(a), 0);
+        const expected = Number(await this.removeLiquidityImbalanceExpected(amounts));
+
+        return await this._removeLiquiditySlippage(totalAmount, expected);
+    }
+
     public removeLiquidityImbalanceIsApproved = async (amounts: string[]): Promise<boolean> => {
         const _amounts: ethers.BigNumber[] = amounts.map((amount: string, i: number) => ethers.utils.parseUnits(amount, this.underlyingDecimals[i]));
 
@@ -560,9 +584,17 @@ export class Pool {
     }
 
     public removeLiquidityImbalanceWrappedExpected = async (amounts: string[]): Promise<string> => {
+        amounts = amounts.map((a, i) => Number(a).toFixed(this.underlyingDecimals[i]));
         return await this.calcLpTokenAmountWrapped(amounts, false);
     }
 
+    public removeLiquidityImbalanceWrappedSlippage = async (amounts: string[]): Promise<string> => {
+        const totalAmount = amounts.reduce((s, a) => s + Number(a), 0);
+        const expected = Number(await this.removeLiquidityImbalanceWrappedExpected(amounts));
+
+        return await this._removeLiquiditySlippage(totalAmount, expected, false);
+    }
+
     private removeLiquidityImbalanceWrappedEstimateGas = async (amounts: string[]): Promise<number> => {
         const lpTokenAmount = await this.removeLiquidityImbalanceExpected(amounts);
         const lpTokenBalance = (await this.lpTokenBalances())['lpToken'];
@@ -607,6 +639,12 @@ export class Pool {
         return ethers.utils.formatUnits(_expected, this.underlyingDecimals[i]);
     }
 
+    public removeLiquidityOneCoinSlippage = async (lpTokenAmount: string, coin: string | number): Promise<string> => {
+        const totalAmount = Number(await this.removeLiquidityOneCoinExpected(lpTokenAmount, coin));
+
+        return await this._removeLiquiditySlippage(totalAmount, Number(lpTokenAmount));
+    }
+
     public removeLiquidityOneCoinIsApproved = async (lpTokenAmount: string): Promise<boolean> => {
         if (!['compound', 'usdt', 'y', 'busd', 'pax'].includes(this.name) && !(this.name === 'susd') && !this.isMeta) return true
 
@@ -688,6 +726,12 @@ export class Pool {
         return ethers.utils.formatUnits(_expected, this.decimals[i]);
     }
 
+    public removeLiquidityOneCoinWrappedSlippage = async (lpTokenAmount: string, coin: string | number): Promise<string> => {
+        const totalAmount = Number(await this.removeLiquidityOneCoinWrappedExpected(lpTokenAmount, coin));
+
+        return await this._removeLiquiditySlippage(totalAmount, Number(lpTokenAmount), false);
+    }
+
 
     private removeLiquidityOneCoinWrappedEstimateGas = async (lpTokenAmount: string, coin: string | number): Promise<number> => {
         const lpTokenBalance = (await this.lpTokenBalances())['lpToken'];
@@ -1180,6 +1224,36 @@ export class Pool {
         return addresses.length === 1 ? balances[addresses[0]] : balances
     }
 
+    private _addLiquiditySlippage = async (totalAmount: number, expected: number, useUnderlying = true): Promise<string> => {
+        const poolBalances: number[] = useUnderlying ?
+            (await this.getPoolBalances()).map(Number) :
+            (await this.getPoolWrappedBalances()).map(Number);
+        const poolTotalBalance: number = poolBalances.reduce((a,b) => a + b);
+        const poolBalancesRatios: number[] = poolBalances.map((b) => b / poolTotalBalance);
+
+        const balancedAmounts: string[] = poolBalancesRatios.map((r) => String(r * totalAmount));
+        const balancedExpected = useUnderlying ?
+            Number(await this.addLiquidityExpected(balancedAmounts)) :
+            Number(await this.addLiquidityWrappedExpected(balancedAmounts));
+
+        return String((balancedExpected - expected) / balancedExpected)
+    }
+
+    private _removeLiquiditySlippage = async (totalAmount: number, expected: number, useUnderlying = true): Promise<string> => {
+        const poolBalances: number[] = useUnderlying ?
+            (await this.getPoolBalances()).map(Number) :
+            (await this.getPoolWrappedBalances()).map(Number);
+        const poolTotalBalance: number = poolBalances.reduce((a,b) => a + b);
+        const poolBalancesRatios: number[] = poolBalances.map((b) => b / poolTotalBalance);
+
+        const balancedAmounts: string[] = poolBalancesRatios.map((r) => String(r * totalAmount));
+        const balancedExpected = useUnderlying ?
+            Number(await this.removeLiquidityImbalanceExpected(balancedAmounts)) :
+            Number(await this.removeLiquidityImbalanceWrappedExpected(balancedAmounts));
+
+        return String((expected - balancedExpected) / balancedExpected)
+    }
+
     private _balancedAmounts = (poolBalances: number[], walletBalances: number[], decimals: number[]): string[] => {
         const poolBalancesRatios = poolBalances.map((b) => b / poolBalances.reduce((a,b) => a + b));
         // Cross factors for each wallet balance used as reference to see the