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Merge pull request #166 from balancer/price-impact-base
Add Price Impact
2 parents 9c50e5d + 7d57489 commit abf565b

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‎.changeset/silver-bags-end.md

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---
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"@balancer/sdk": minor
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---
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Add price impact calculations for add/remove liquidity and swaps

‎package.json

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"dependencies": {
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"async-retry": "^1.3.3",
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"decimal.js-light": "^2.5.1",
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"lodash": "^4.17.21",
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"pino": "^8.11.0",
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"viem": "^1.9.3"
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},
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"devDependencies": {
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"@changesets/cli": "^2.26.1",
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"@types/async-retry": "^1.4.4",
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"@types/lodash": "^4.14.202",
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"@types/node": "^18.11.18",
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"@viem/anvil": "^0.0.6",
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"dotenv": "^16.0.3",

‎pnpm-lock.yaml

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‎src/data/onChainPoolDataViaReadContract.ts

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type Results = Result[];
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const abi = parseAbi([
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'function getPoolTokens(bytes32 poolId) view returns (address[] tokens, uint256 lastChangeBlock)',
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'function getPoolTokens(bytes32 poolId) view returns (address[] tokens, uint256[] balances, uint256 lastChangeBlock)',
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'function getSwapFeePercentage() view returns (uint256)',
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'function percentFee() view returns (uint256)',
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'function protocolPercentFee() view returns (uint256)',

‎src/entities/index.ts

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export * from './encoders';
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export * from './addLiquidity';
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export * from './removeLiquidity';
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export * from './encoders';
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export * from './path';
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export * from './pools/';
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export * from './priceImpact/';
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export * from './removeLiquidity';
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export * from './swap';
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export * from './slippage';
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export * from './token';
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export * from './tokenAmount';
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export * from './pools/';
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export * from './utils';
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export * from './types';
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export * from './utils';

‎src/entities/priceImpact/index.ts

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import { formatUnits } from 'viem';
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import { MathSol, abs, max, min } from '../../utils';
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import {
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AddLiquidity,
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AddLiquidityKind,
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AddLiquiditySingleTokenInput,
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AddLiquidityUnbalancedInput,
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} from '../addLiquidity';
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import { PriceImpactAmount } from '../priceImpactAmount';
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import {
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RemoveLiquidity,
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RemoveLiquidityInput,
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RemoveLiquidityKind,
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RemoveLiquiditySingleTokenInput,
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RemoveLiquidityUnbalancedInput,
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} from '../removeLiquidity';
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import { TokenAmount } from '../tokenAmount';
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import { PoolStateInput } from '../types';
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import { getSortedTokens } from '../utils';
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import { SingleSwap, SwapKind } from '../../types';
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import { SingleSwapInput, doSingleSwapQuery } from '../utils/doSingleSwapQuery';
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export class PriceImpact {
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static addLiquiditySingleToken = async (
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input: AddLiquiditySingleTokenInput,
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poolState: PoolStateInput,
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): Promise<PriceImpactAmount> => {
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// inputs are being validated within AddLiquidity
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// simulate adding liquidity to get amounts in
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const addLiquidity = new AddLiquidity();
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const { amountsIn } = await addLiquidity.query(input, poolState);
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// simulate removing liquidity to get amounts out
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const removeLiquidity = new RemoveLiquidity();
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const removeLiquidityInput: RemoveLiquidityInput = {
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chainId: input.chainId,
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rpcUrl: input.rpcUrl,
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bptIn: input.bptOut,
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tokenOut: input.tokenIn,
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kind: RemoveLiquidityKind.SingleToken,
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};
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const { amountsOut } = await removeLiquidity.query(
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removeLiquidityInput,
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poolState,
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);
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// get relevant amounts for price impact calculation
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const sortedTokens = getSortedTokens(poolState.tokens, input.chainId);
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const tokenIndex = sortedTokens.findIndex((t) =>
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t.isSameAddress(input.tokenIn),
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);
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const amountInitial = parseFloat(amountsIn[tokenIndex].toSignificant());
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const amountFinal = parseFloat(amountsOut[tokenIndex].toSignificant());
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// calculate price impact using ABA method
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const priceImpact = (amountInitial - amountFinal) / amountInitial / 2;
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return PriceImpactAmount.fromDecimal(`${priceImpact}`);
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};
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static addLiquidityUnbalanced = async (
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input: AddLiquidityUnbalancedInput,
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poolState: PoolStateInput,
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): Promise<PriceImpactAmount> => {
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// inputs are being validated within AddLiquidity
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// simulate adding liquidity to get amounts in
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const addLiquidity = new AddLiquidity();
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const { amountsIn, bptOut } = await addLiquidity.query(
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input,
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poolState,
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);
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const poolTokens = amountsIn.map((a) => a.token);
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// simulate removing liquidity to get amounts out
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const removeLiquidity = new RemoveLiquidity();
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const removeLiquidityInput: RemoveLiquidityInput = {
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chainId: input.chainId,
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rpcUrl: input.rpcUrl,
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bptIn: bptOut.toInputAmount(),
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kind: RemoveLiquidityKind.Proportional,
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};
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const { amountsOut } = await removeLiquidity.query(
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removeLiquidityInput,
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poolState,
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);
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// deltas between unbalanced and proportional amounts
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const deltas = amountsOut.map((a, i) => a.amount - amountsIn[i].amount);
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// get how much BPT each delta would mint
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const deltaBPTs: bigint[] = [];
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for (let i = 0; i < deltas.length; i++) {
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if (deltas[i] === 0n) {
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deltaBPTs.push(0n);
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} else {
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deltaBPTs.push(await queryAddLiquidityForTokenDelta(i));
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}
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}
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// zero out deltas by swapping between tokens from proportionalAmounts
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// to exactAmountsIn, leaving the remaining delta within a single token
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const remainingDeltaIndex = await zeroOutDeltas(deltas, deltaBPTs);
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// get relevant amounts for price impact calculation
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const amountInitial = parseFloat(
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formatUnits(
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amountsIn[remainingDeltaIndex].amount,
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amountsIn[remainingDeltaIndex].token.decimals,
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),
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);
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const amountDelta = parseFloat(
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formatUnits(
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abs(deltas[remainingDeltaIndex]),
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amountsIn[remainingDeltaIndex].token.decimals,
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),
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);
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// calculate price impact using ABA method
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const priceImpact = amountDelta / amountInitial / 2;
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return PriceImpactAmount.fromDecimal(`${priceImpact}`);
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// helper functions
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async function zeroOutDeltas(deltas: bigint[], deltaBPTs: bigint[]) {
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let minNegativeDeltaIndex = 0;
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const nonZeroDeltas = deltas.filter((d) => d !== 0n);
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for (let i = 0; i < nonZeroDeltas.length - 1; i++) {
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const minPositiveDeltaIndex = deltaBPTs.findIndex(
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(deltaBPT) =>
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deltaBPT === min(deltaBPTs.filter((a) => a > 0n)),
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);
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minNegativeDeltaIndex = deltaBPTs.findIndex(
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(deltaBPT) =>
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deltaBPT === max(deltaBPTs.filter((a) => a < 0n)),
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);
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let kind: SwapKind;
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let givenTokenIndex: number;
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let resultTokenIndex: number;
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if (
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deltaBPTs[minPositiveDeltaIndex] <
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abs(deltaBPTs[minNegativeDeltaIndex])
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) {
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kind = SwapKind.GivenIn;
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givenTokenIndex = minPositiveDeltaIndex;
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resultTokenIndex = minNegativeDeltaIndex;
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} else {
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kind = SwapKind.GivenOut;
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givenTokenIndex = minNegativeDeltaIndex;
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resultTokenIndex = minPositiveDeltaIndex;
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}
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const singleSwap: SingleSwap = {
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poolId: poolState.id,
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kind,
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assetIn: poolTokens[minPositiveDeltaIndex].address,
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assetOut: poolTokens[minNegativeDeltaIndex].address,
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amount: abs(deltas[givenTokenIndex]),
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userData: '0x',
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};
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const resultAmount = await doSingleSwapQuery({
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...singleSwap,
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rpcUrl: input.rpcUrl,
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chainId: input.chainId,
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});
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deltas[givenTokenIndex] = 0n;
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deltaBPTs[givenTokenIndex] = 0n;
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deltas[resultTokenIndex] =
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deltas[resultTokenIndex] + resultAmount;
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deltaBPTs[resultTokenIndex] =
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await queryAddLiquidityForTokenDelta(resultTokenIndex);
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}
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return minNegativeDeltaIndex;
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}
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async function queryAddLiquidityForTokenDelta(
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tokenIndex: number,
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): Promise<bigint> {
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const absDelta = TokenAmount.fromRawAmount(
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poolTokens[tokenIndex],
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abs(deltas[tokenIndex]),
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);
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const { bptOut: deltaBPT } = await addLiquidity.query(
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{
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...input,
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amountsIn: [absDelta.toInputAmount()],
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},
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poolState,
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);
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const signal = deltas[tokenIndex] >= 0n ? 1n : -1n;
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return deltaBPT.amount * signal;
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}
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};
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static removeLiquidity = async (
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input: RemoveLiquiditySingleTokenInput | RemoveLiquidityUnbalancedInput,
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poolState: PoolStateInput,
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): Promise<PriceImpactAmount> => {
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// inputs are being validated within RemoveLiquidity
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// simulate removing liquidity to get amounts out
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const removeLiquidity = new RemoveLiquidity();
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const { bptIn, amountsOut } = await removeLiquidity.query(
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input,
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poolState,
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);
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// simulate adding liquidity to get amounts in
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const addLiquidity = new AddLiquidity();
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const addLiquidityInput: AddLiquidityUnbalancedInput = {
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chainId: input.chainId,
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rpcUrl: input.rpcUrl,
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amountsIn: amountsOut.map((a) => a.toInputAmount()),
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kind: AddLiquidityKind.Unbalanced,
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};
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const { bptOut } = await addLiquidity.query(
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addLiquidityInput,
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poolState,
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);
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// get relevant amounts for price impact calculation
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const amountInitial = parseFloat(bptIn.toSignificant());
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const amountFinal = parseFloat(bptOut.toSignificant());
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// calculate price impact using ABA method
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const priceImpact = (amountInitial - amountFinal) / amountInitial / 2;
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return PriceImpactAmount.fromDecimal(`${priceImpact}`);
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};
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static singleSwap = async ({
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poolId,
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kind,
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assetIn,
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assetOut,
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amount,
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userData,
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rpcUrl,
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chainId,
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}: SingleSwapInput): Promise<PriceImpactAmount> => {
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// simulate swap in original direction
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const amountResult = await doSingleSwapQuery({
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poolId,
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kind,
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assetIn,
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assetOut,
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amount,
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userData,
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rpcUrl,
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chainId,
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});
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// simulate swap in the reverse direction
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const amountFinal = await doSingleSwapQuery({
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poolId: poolId,
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kind: kind,
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assetIn: assetOut,
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assetOut: assetIn,
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amount: amountResult,
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userData,
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rpcUrl,
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chainId,
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});
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// calculate price impact using ABA method
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const priceImpact = MathSol.divDownFixed(
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abs(amount - amountFinal),
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amount * 2n,
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);
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return PriceImpactAmount.fromRawAmount(priceImpact);
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};
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}

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