adding dynamic swap fee to fx pools by gmbronco · Pull Request #1101 · balancer/backend

gmbronco · 2024-10-24T18:51:14Z

closes #802

changeset-bot · 2024-10-24T18:51:18Z

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franzns

We should think about how a negative fee and APR affects our UI and if this is what we want to show

franzns · 2024-10-29T09:26:25Z

modules/sources/transformers/swap-v2-transformer.ts

+    // Replica of the subgraph logic:
+    // https://github.com/balancer/balancer-subgraph-v2/blob/60453224453bd07a0a3a22a8ad6cc26e65fd809f/src/mappings/vault.ts#L551-L564
+    if (swap.poolId.poolType === 'FX') {
+        const USDC_ADDRESS = '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48';


How can we hardcode this? Isnt this different for each chain?

Do we only compare against USDC? No other FOREX such as EURC?

It looks like all the markets are against USDC, but true that it needs to be done for other chains as well.

Hi @franzns, @gmbronco, would it be possible to add a quoteToken property on the Pool model? This new prop will hold the quote token address, whether USDC, USDC.e, or any token.

This is how we assign the quoteToken value in our balancer-subgraph fork:

function handleNewFXPool(event: ethereum.Event, permissionless: boolean): void { ... pool.quoteToken = getFXPoolQuoteToken(poolAddress); ... } function getFXPoolQuoteToken(poolAddress: Address): Bytes { let poolContract = FXPool.bind(poolAddress); // FXPool **always** holds the quote token in the second position let call = poolContract.try_derivatives(BigInt.fromI32(1)); if (call.reverted) { log.error('Failed to get quote token for FXPool: {}', [poolAddress.toHexString()]); return stringToBytes('0x'); } return call.value; }

We then refer to quoteToken instead of hardcoded USDC addresses to determine base and quote:

let isTokenInBase = tokenOutAddress === pool.quoteToken;

Hi @franzns, @gmbronco, would it be possible to add a quoteToken property on the Pool model? This new prop will hold the quote token address, whether USDC, USDC.e, or any token.

This is how we assign the quoteToken value in our balancer-subgraph fork:

function handleNewFXPool(event: ethereum.Event, permissionless: boolean): void { ... pool.quoteToken = getFXPoolQuoteToken(poolAddress); ... } function getFXPoolQuoteToken(poolAddress: Address): Bytes { let poolContract = FXPool.bind(poolAddress); // FXPool **always** holds the quote token in the second position let call = poolContract.try_derivatives(BigInt.fromI32(1)); if (call.reverted) { log.error('Failed to get quote token for FXPool: {}', [poolAddress.toHexString()]); return stringToBytes('0x'); } return call.value; }

We then refer to quoteToken instead of hardcoded USDC addresses to determine base and quote:

let isTokenInBase = tokenOutAddress === pool.quoteToken;

Yes, we should definitely do that. We already have pool type specific data where we can add the quote token. Is the quote token immutable?

Yes, the quote token is immutable for FX pools

I added the quote token to our pool type specifc data set

franzns · 2024-10-29T09:29:12Z

modules/sources/transformers/swap-v2-transformer.ts

+            }
+        }
+
+        feeUSD = String(feeFloatUSD);


Think we talked about the option of a possible negative APR. Would that mean that his fee might be negative? What are the downstream effects if so?

is there upside / downside? i assume it's just a property of FX pools. unless you mean if some other parts of the app will need to be updated. that i'm not sure. Is there anything that depends on the apr?

schystz · 2024-10-31T07:00:47Z

Hi @gmbronco, don't we also need to update how the fees24h is computed in pool.snapshot-service.ts? (note: this file seems to exist in two places)

The code assumes a static pool swap fee, but FX pools have a dynamic swap fee

fees24h: volume24h * parseFloat(poolAtBlock.swapFee)

I'm thinking something like this might work:

fees24h: parseFloat(pool.totalSwapFee) - parseFloat(pool24hAgo.totalSwapFee)

franzns · 2024-10-31T07:10:27Z

Hi @gmbronco, don't we also need to update how the fees24h is computed in pool.snapshot-service.ts? (note: this file seems to exist in two places)

The code assumes a static pool swap fee, but FX pools have a dynamic swap fee
fees24h: volume24h * parseFloat(poolAtBlock.swapFee)
I'm thinking something like this might work:
fees24h: parseFloat(pool.totalSwapFee) - parseFloat(pool24hAgo.totalSwapFee)

Good catch. We'll need to think about that as we'll change the snapshot generation not to rely on subgraph pricing anymore. We can calculate fees24h based on the swap events for example which would be more accurate.

schystz · 2024-10-31T07:14:39Z

Hi @gmbronco, don't we also need to update how the fees24h is computed in pool.snapshot-service.ts? (note: this file seems to exist in two places)
The code assumes a static pool swap fee, but FX pools have a dynamic swap fee
fees24h: volume24h * parseFloat(poolAtBlock.swapFee)
I'm thinking something like this might work:
fees24h: parseFloat(pool.totalSwapFee) - parseFloat(pool24hAgo.totalSwapFee)
Good catch. We'll need to think about that as we'll change the snapshot generation not to rely on subgraph pricing anymore. We can calculate fees24h based on the swap events for example which would be more accurate.

Great, that makes sense to me!

gmbronco · 2024-11-22T10:25:14Z

@franzns this one is ready apart from the snapshot's fees24h, which we don't have in subgraph ATM. (added a separate ticket for it here: #1182)

franzns · 2024-11-28T06:52:57Z

modules/actions/pool/v2/sync-pool-type-onchain-data.ts

+const update = async (data: { id: string; chain: Chain; typeData: any }[]) => {
+    // Update the pool type data
+    const updates = data.map(({ id, chain, typeData }) =>
+        prisma.prismaPool.update({
+            where: { id_chain: { id, chain } },
+            data: { typeData },
+        }),
+    );
+
+    await prismaBulkExecuteOperations(updates, false);
+};


I dont think this works as a general approach. Some pool types will have mutable and immutable type data, meaning some will be synced at creation via subgraph and some will be synced via on-chain in regular intervals.

how does it matter? do you mean to avoid unnecessary update calls?

It actually doesnt really here as you handle FX pools outside of the "update type data flow".

franzns · 2024-11-28T06:55:38Z

modules/sources/enrichers/swaps-usd.ts

-                    valueUSD: String((feeToken?.price || 0) * parseFloat(swap.payload.fee.amount)),
+                    valueUSD: String(feeValueUSD > 0 ? feeValueUSD : swap.payload.fee.valueUSD),


I think you set it to swap.payload.fee.valueUSD because that is still 0 at this time? Think this is a but bogus, just set to 0?

It's a passthrough for a default USD price coming from the subgraph, in case there is no pricing in the DB. It's set earlier and it important to the FX fee, because it's set based on the subgraph data of latestFx rates.

Ah gotcha, this is v2. This is just used as fallback so its fine 👍

franzns reviewed Oct 29, 2024

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gmbronco force-pushed the adding-dynamic-swap-fee-to-fx-pools branch 2 times, most recently from 08b5c00 to dbfac77 Compare November 22, 2024 09:39

gmbronco mentioned this pull request Nov 22, 2024

FX - support dynamic fees24 in snapshots #1182

Open

franzns reviewed Nov 28, 2024

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gmbronco added 10 commits December 20, 2024 23:21

adding dynamic swap fee to fx pools

296ce1d

uncommenting

71e7d56

fixes

53aa08d

fx base multichain

dfa408b

sync FX quote tokens

63e5bb0

using db stored quote tokens for swaps

2f90f85

resolver

d8eabf2

adding missing update

e544b1e

update refactor

12bdb94

Need to set the FX fee in the tokenIn price

fbdf00b

gmbronco force-pushed the adding-dynamic-swap-fee-to-fx-pools branch from 301f5cd to fbdf00b Compare December 20, 2024 22:25

gmbronco merged commit 7a0ae59 into v3-canary Dec 20, 2024

gmbronco deleted the adding-dynamic-swap-fee-to-fx-pools branch December 20, 2024 22:31

		valueUSD: String((feeToken?.price \|\| 0) * parseFloat(swap.payload.fee.amount)),
		valueUSD: String(feeValueUSD > 0 ? feeValueUSD : swap.payload.fee.valueUSD),

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schystz commented Oct 31, 2024

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gmbronco commented Oct 24, 2024 •

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