feat(trader): add Ranger Trader, Exchange Adapter and initial trader …

…implementation (UMAprotocol#2579) * more nits Signed-off-by: Christopher Maree <[email protected]> * Restore CHANGELOG.md * Restore CHANGELOG.md * fixed another typo Signed-off-by: Christopher Maree <[email protected]> * small typo Signed-off-by: Christopher Maree <[email protected]> * typo Signed-off-by: Christopher Maree <[email protected]> * further refinement Signed-off-by: Christopher Maree <[email protected]> * Restore CHANGELOG.md * Restore CHANGELOG.md * Updated comments Signed-off-by: Christopher Maree <[email protected]> * refined typos Signed-off-by: Christopher Maree <[email protected]> * Updated comments Signed-off-by: Christopher Maree <[email protected]> * added more comment changes Signed-off-by: Christopher Maree <[email protected]> * cleaned more vars Signed-off-by: Christopher Maree <[email protected]> * Added trader implementation Signed-off-by: Christopher Maree <[email protected]> * Updated package imports Signed-off-by: Christopher Maree <[email protected]> * Restore liquidationStrategy.js * Restore liquidationStrategy.js * Restore liquidator.js * Restore Liquidator.js * Restore README.md * Clean Signed-off-by: Christopher Maree <[email protected]> * removed DSProxy logic Signed-off-by: Christopher Maree <[email protected]> * Updated natspec Signed-off-by: Christopher Maree <[email protected]> * Updated comments Signed-off-by: Christopher Maree <[email protected]> * Updated comments Signed-off-by: Christopher Maree <[email protected]> * reverted logger changes Signed-off-by: Christopher Maree <[email protected]> * fixed typo Signed-off-by: Christopher Maree <[email protected]> * Added additional comments Signed-off-by: Christopher Maree <[email protected]> * fixed a typo Signed-off-by: Christopher Maree <[email protected]> * Added another lint fix Signed-off-by: Christopher Maree <[email protected]> * Updated interface type Signed-off-by: Christopher Maree <[email protected]> * Anoter nit Signed-off-by: Christopher Maree <[email protected]> * nit and lint types Signed-off-by: Christopher Maree <[email protected]> * Updated more types Signed-off-by: Christopher Maree <[email protected]> * Updated packages Signed-off-by: Christopher Maree <[email protected]> * Added another nit Signed-off-by: Christopher Maree <[email protected]> * updated yarn lock Signed-off-by: Christopher Maree <[email protected]>
marshmell0w · Mar 5, 2021 · 8bc3dad · 8bc3dad
1 parent b23d7cf
commit 8bc3dad
Show file tree

Hide file tree

Showing 18 changed files with 1,064 additions and 85 deletions.
diff --git a/.eslintrc.js b/.eslintrc.js
@@ -25,7 +25,10 @@ module.exports = {
         "eslint:recommended",
         "plugin:@typescript-eslint/eslint-recommended",
         "plugin:@typescript-eslint/recommended"
-      ]
+      ],
+      rules: {
+        "@typescript-eslint/no-var-requires": 0
+      }
     }
   ],
   settings: {

diff --git a/package.json b/package.json
@@ -63,7 +63,7 @@
     }
   },
   "lint-staged": {
-    "*.js": "eslint --cache --fix"
+    "*.{js,ts,tsx}": "eslint --cache --fix"
   },
   "workspaces": [
     "packages/*"

diff --git a/packages/core/contracts/trader/uniswap-broker/UniswapBroker.sol b/packages/core/contracts/trader/uniswap-broker/UniswapBroker.sol
@@ -23,57 +23,56 @@ contract UniswapBroker {
      * possible to the truePrice.
      * @dev True price is expressed in the ratio of token A to token B.
      * @dev The caller must approve this contract to spend whichever token is intended to be swapped.
+     * @param tradingAsEOA bool to indicate if the UniswapBroker is being called by a DSProxy or an EOA.
      * @param uniswapRouter address of the uniswap router used to facilate trades.
      * @param uniswapFactory address of the uniswap factory used to fetch current pair reserves.
-     * @param tokenA address of the first token in the uniswap pair.
-     * @param tokenA address of the second token in the uniswap pair.
-     * @param truePriceTokenA the nominator of the true price.
-     * @param truePriceTokenB the denominatornominator of the true price.
-     * @param maxSpendTokenA maximum to spend in tokenA. Note can be set to zero, thereby limiting the direction of trade.
-     * @param maxSpendTokenA maximum to spend in tokenB. Note can be set to zero, thereby limiting the direction of trade.
+     * @param swappedTokens array of addresses which are to be swapped. The order does not matter as the function will figure
+     * out which tokens need to be exchanged to move the market to the desired "true" price.
+     * @param truePriceTokens array of unit used to represent the true price. 0th value is the numerator of the true price
+     * and the 1st value is the the denominator of the true price.
+     * @param maxSpendTokens array of unit to represent the max to spend in the two tokens.
      * @param to recipient of the trade proceeds.
-     * @param to deadline to limit when the trade can execute. If the tx is mined after this timestamp then revert.
+     * @param deadline to limit when the trade can execute. If the tx is mined after this timestamp then revert.
      */
-
     function swapToPrice(
+        bool tradingAsEOA,
         address uniswapRouter,
         address uniswapFactory,
-        address tokenA,
-        address tokenB,
-        uint256 truePriceTokenA,
-        uint256 truePriceTokenB,
-        uint256 maxSpendTokenA,
-        uint256 maxSpendTokenB,
+        address[2] memory swappedTokens,
+        uint256[2] memory truePriceTokens,
+        uint256[2] memory maxSpendTokens,
         address to,
         uint256 deadline
     ) public {
         IUniswapV2Router01 router = IUniswapV2Router01(uniswapRouter);
 
         // true price is expressed as a ratio, so both values must be non-zero
-        require(truePriceTokenA != 0 && truePriceTokenB != 0, "SwapToPrice: ZERO_PRICE");
+        require(truePriceTokens[0] != 0 && truePriceTokens[1] != 0, "SwapToPrice: ZERO_PRICE");
         // caller can specify 0 for either if they wish to swap in only one direction, but not both
-        require(maxSpendTokenA != 0 || maxSpendTokenB != 0, "SwapToPrice: ZERO_SPEND");
+        require(maxSpendTokens[0] != 0 || maxSpendTokens[1] != 0, "SwapToPrice: ZERO_SPEND");
 
         bool aToB;
         uint256 amountIn;
         {
-            (uint256 reserveA, uint256 reserveB) = getReserves(uniswapFactory, tokenA, tokenB);
-            (aToB, amountIn) = computeTradeToMoveMarket(truePriceTokenA, truePriceTokenB, reserveA, reserveB);
+            (uint256 reserveA, uint256 reserveB) = getReserves(uniswapFactory, swappedTokens[0], swappedTokens[1]);
+            (aToB, amountIn) = computeTradeToMoveMarket(truePriceTokens[0], truePriceTokens[1], reserveA, reserveB);
         }
 
         require(amountIn > 0, "SwapToPrice: ZERO_AMOUNT_IN");
 
         // spend up to the allowance of the token in
-        uint256 maxSpend = aToB ? maxSpendTokenA : maxSpendTokenB;
+        uint256 maxSpend = aToB ? maxSpendTokens[0] : maxSpendTokens[1];
         if (amountIn > maxSpend) {
             amountIn = maxSpend;
         }
 
-        address tokenIn = aToB ? tokenA : tokenB;
-        address tokenOut = aToB ? tokenB : tokenA;
-        TransferHelper.safeTransferFrom(tokenIn, msg.sender, address(this), amountIn);
+        address tokenIn = aToB ? swappedTokens[0] : swappedTokens[1];
+        address tokenOut = aToB ? swappedTokens[1] : swappedTokens[0];
+
         TransferHelper.safeApprove(tokenIn, address(router), amountIn);
 
+        if (tradingAsEOA) TransferHelper.safeTransferFrom(tokenIn, msg.sender, address(this), amountIn);
+
         address[] memory path = new address[](2);
         path[0] = tokenIn;
         path[1] = tokenOut;

diff --git a/packages/core/test/trader/uniswap-broker/UniswapBroker.js b/packages/core/test/trader/uniswap-broker/UniswapBroker.js
@@ -1,9 +1,10 @@
 const { MAX_UINT_VAL } = require("@uma/common");
 const { toWei, toBN, fromWei } = web3.utils;
 const { getTruffleContract } = require("@uma/core");
+const truffleContract = require("@truffle/contract");
 
 // Tested Contract
-const UniswapBroker = artifacts.require("UniswapBroker");
+const UniswapBroker = getTruffleContract("UniswapBroker", web3);
 const Token = getTruffleContract("ExpandedERC20", web3);
 const WETH9 = getTruffleContract("WETH9", web3);
 
@@ -22,8 +23,7 @@ let pairAddress;
 
 // Takes in a json object from a compiled contract and returns a truffle contract instance that can be deployed.
 const createContractObjectFromJson = contractJsonObject => {
-  const contract = require("@truffle/contract");
-  let truffleContractCreator = contract(contractJsonObject);
+  let truffleContractCreator = truffleContract(contractJsonObject);
   truffleContractCreator.setProvider(web3.currentProvider);
   return truffleContractCreator;
 };
@@ -49,7 +49,7 @@ const getAmountOut = async (amountIn, aToB) => {
 
 contract("UniswapBroker", function(accounts) {
   const deployer = accounts[0];
-  const trader = accounts[0];
+  const trader = accounts[1];
   before(async () => {
     const WETH = await WETH9.new();
     // deploy Uniswap V2 Factory & router.
@@ -72,8 +72,8 @@ contract("UniswapBroker", function(accounts) {
     await tokenA.mint(trader, toWei("100000000000000"));
     await tokenB.mint(trader, toWei("100000000000000"));
 
-    await tokenA.approve(router.address, toWei("100000000000000"));
-    await tokenB.approve(router.address, toWei("100000000000000"));
+    await tokenA.approve(router.address, toWei("100000000000000"), { from: trader });
+    await tokenB.approve(router.address, toWei("100000000000000"), { from: trader });
     await tokenA.approve(uniswapBroker.address, MAX_UINT_VAL, { from: trader });
     await tokenB.approve(uniswapBroker.address, MAX_UINT_VAL, { from: trader });
 
@@ -147,14 +147,12 @@ contract("UniswapBroker", function(accounts) {
 
     // Now we can actually execute the swapToPrice method to ensure that the contract correctly modifies the spot price.
     await uniswapBroker.swapToPrice(
+      true, // The swap is being executed as an EOA. This ensures that the correct token transfers are done.
       router.address,
       factory.address,
-      tokenA.address,
-      tokenB.address,
-      "1000", // The "true" price of the pair is expressed as the ratio of token A to token B. A price of 1000 is simply 1000/1.
-      "1",
-      MAX_UINT_VAL, // Set to the max posable value as we want to let the broker trade as much as needed in this example.
-      MAX_UINT_VAL,
+      [tokenA.address, tokenB.address],
+      ["1000", "1"], // The "true" price of the pair is expressed as the ratio of token A to token B. A price of 1000 is simply 1000/1.
+      [MAX_UINT_VAL, MAX_UINT_VAL], // Set to the max posable value as we want to let the broker trade as much as needed in this example.
       trader,
       (await web3.eth.getBlock("latest")).timestamp + 10,
       { from: trader }
@@ -221,14 +219,12 @@ contract("UniswapBroker", function(accounts) {
 
     // Now we can actually execute the swapToPrice method to ensure that the contract correctly modifies the spot price.
     await uniswapBroker.swapToPrice(
+      true, // The swap is being executed as an EOA. This ensures that the correct token transfers are done.
       router.address,
       factory.address,
-      tokenA.address,
-      tokenB.address,
-      "1000", // The "true" price of the pair is expressed as the ratio of token A to token B. A price of 1000 is simply 1000/1.
-      "1",
-      MAX_UINT_VAL, // Set to the max posable value as we want to let the broker trade as much as needed in this example.
-      MAX_UINT_VAL,
+      [tokenA.address, tokenB.address],
+      ["1000", "1"], // The "true" price of the pair is expressed as the ratio of token A to token B. A price of 1000 is simply 1000/1.
+      [MAX_UINT_VAL, MAX_UINT_VAL], // Set to the max posable value as we want to let the broker trade as much as needed in this example.
       trader,
       (await web3.eth.getBlock("latest")).timestamp + 10,
       { from: trader }

diff --git a/packages/financial-templates-lib/index.js b/packages/financial-templates-lib/index.js
@@ -8,9 +8,11 @@ module.exports = {
   ...require("./src/helpers/GasEstimator"),
   ...require("./src/logger/Logger"),
   ...require("./src/logger/SpyTransport"),
+  ...require("./src/price-feed/UniswapPriceFeed"),
   ...require("./src/price-feed/CreatePriceFeed"),
   ...require("./src/price-feed/Networker"),
   ...require("./src/price-feed/PriceFeedMock"),
   ...require("./src/price-feed/PriceFeedMockScaled"),
-  ...require("./src/price-feed/InvalidPriceFeedMock")
+  ...require("./src/price-feed/InvalidPriceFeedMock"),
+  ...require("./src/proxy-transaction-handler/DSProxyManager")
 };
diff --git a/packages/financial-templates-lib/src/price-feed/CreatePriceFeed.js b/packages/financial-templates-lib/src/price-feed/CreatePriceFeed.js
@@ -573,6 +573,12 @@ async function createUniswapPriceFeedForFinancialContract(
 
   const userConfig = config || {};
 
+  // Check if there is an override for the getTime method in the price feed config. Specifically, we can replace the
+  // get time method with the current block time.
+  if (userConfig.getTimeOverride?.useBlockTime) {
+    getTime = async () => (await web3.eth.getBlock("latest")).timestamp;
+  }
+
   logger.debug({
     at: "createUniswapPriceFeedForFinancialContract",
     message: "Inferred default config from identifier or Financial Contract address",
@@ -695,21 +701,20 @@ async function createReferencePriceFeedForFinancialContract(
     }
     // Check if there is an override for the getTime method in the price feed config. Specifically, we can replace the
     // get time method with the current block time.
-    if (combinedConfig.getTimeOverride) {
-      if (combinedConfig.getTimeOverride.useBlockTime) {
-        getTime = async () =>
-          web3.eth.getBlock("latest").then(block => {
-            return block.timestamp;
-          });
-      }
+    if (combinedConfig.getTimeOverride?.useBlockTime) {
+      getTime = async () => (await web3.eth.getBlock("latest")).timestamp;
     }
   }
   return await createPriceFeed(logger, web3, networker, getTime, combinedConfig);
 }
 
 function getFinancialContractIdentifierAtAddress(web3, financialContractAddress) {
-  const ExpiringMultiParty = getTruffleContract("ExpiringMultiParty", web3, "1.2.0");
-  return new web3.eth.Contract(ExpiringMultiParty.abi, financialContractAddress);
+  try {
+    const ExpiringMultiParty = getTruffleContract("ExpiringMultiParty", web3, "1.2.0");
+    return new web3.eth.Contract(ExpiringMultiParty.abi, financialContractAddress);
+  } catch (error) {
+    throw new Error({ message: "Something went wrong in fetching the financial contract identifier", error });
+  }
 }
 
 module.exports = {

diff --git a/packages/financial-templates-lib/src/proxy-transaction-handler/DSProxyManager.js b/packages/financial-templates-lib/src/proxy-transaction-handler/DSProxyManager.js
@@ -128,8 +128,8 @@ class DSProxyManager {
     this.logger.debug({
       at: "DSProxyManager",
       message: "Executing function on library that will be deployed in the same transaction",
-      callCode,
-      callData
+      callData,
+      callCode
     });
 
     const executeTransaction = await this.dsProxy.methods["execute(bytes,bytes)"](callCode, callData).send({
@@ -139,7 +139,7 @@ class DSProxyManager {
 
     this.logger.info({
       at: "DSProxyManager",
-      message: "Executed function on a freshly minted library, created in the same tx 🤗",
+      message: "Executed function on a freshly deployed library, created in the same tx 🤗",
       callCodeHash: web3.utils.soliditySha3(callCode),
       callData,
       tx: executeTransaction.transactionHash

diff --git a/packages/trader/package.json b/packages/trader/package.json
@@ -6,7 +6,10 @@
   "dependencies": {
     "@uma/common": "^2.0.1",
     "async-retry": "^1.3.1",
-    "dotenv": "^8.2.0"
+    "dotenv": "^8.2.0",
+    "@uma/core": "2.0.1",
+    "@uma/financial-templates-lib": "^1.2.0",
+    "@umaprotocol/ynatm": "^0.0.1"
   },
   "devDependencies": {
     "@nomiclabs/hardhat-truffle5": "^2.0.0",