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add protocol fees to batch rewards query
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- change batch rewards query
- add tables to batch reward database
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@fhenneke
fhenneke committed Jan 18, 2024
1 parent f4438cd commit 1aa5a77
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Showing 3 changed files with 317 additions and 14 deletions.
154 changes: 145 additions & 9 deletions queries/orderbook/batch_rewards.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -28,13 +28,136 @@ WITH observed_settlements AS (SELECT
WHERE block_deadline >= {{start_block}}
AND block_deadline <= {{end_block}}
GROUP BY ss.auction_id),
-- protocol fees:
order_surplus AS (
SELECT
ss.winner as solver,
at.auction_id,
s.tx_hash,
t.order_uid,
o.sell_token, -- the total amount the user sends
o.buy_token,
t.sell_amount,
t.buy_amount,
oe.surplus_fee as observed_fee,
o.kind,
CASE
WHEN o.kind = 'sell'
THEN t.buy_amount - o.buy_amount / (o.sell_amount + o.fee_amount) * t.sell_amount
WHEN o.kind = 'buy'
THEN (o.sell_amount + o.fee_amount) / o.buy_amount * t.buy_amount - t.sell_amount
END AS surplus,
CASE
WHEN o.kind = 'sell'
THEN o.buy_token
WHEN o.kind = 'buy'
THEN o.sell_token
END AS surplus_token
FROM settlements s -- links block_number and log_index to tx_from and tx_nonce
JOIN auction_transaction at -- links auction_id to tx_from and tx_nonce
ON s.tx_from = at.tx_from AND s.tx_nonce = at.tx_nonce
JOIN settlement_scores ss -- contains block_deadline
ON at.auction_id = ss.auction_id
JOIN trades t -- contains traded amounts
ON s.block_number = t.block_number -- log_index cannot be checked, does not work correctly with multiple auctions on the same block
JOIN orders o -- contains tokens and limit amounts
ON t.order_uid = o.uid
JOIN order_execution oe -- contains surplus fee
ON t.order_uid = oe.order_uid AND at.auction_id = oe.auction_id
WHERE ss.block_deadline >= {{start_block}}
AND ss.block_deadline <= {{end_block}}
)
,order_observations AS (
SELECT
os.auction_id,
os.solver,
os.tx_hash,
os.sell_amount, -- the total amount the user sends
os.buy_amount,
os.sell_token,
os.observed_fee,
os.surplus,
os.surplus_token,
CASE
WHEN fp.kind = 'surplus'
THEN
CASE
WHEN os.kind = 'sell'
THEN
CASE
WHEN fp.max_volume_factor = 1 -- this is done to avoid a division by zero bug
THEN fp.surplus_factor / (1 - fp.surplus_factor) * surplus
ELSE
LEAST(
fp.max_volume_factor / (1 - fp.max_volume_factor) * os.buy_amount, -- at most charge a fraction of volume
fp.surplus_factor / (1 - fp.surplus_factor) * surplus -- charge a fraction of surplus
)
END
WHEN os.kind = 'buy'
THEN
CASE
WHEN fp.max_volume_factor = 1
THEN fp.surplus_factor / (1 - fp.surplus_factor) * surplus
ELSE
LEAST(
fp.max_volume_factor / (1 - fp.max_volume_factor) * os.sell_amount, -- at most charge a fraction of volume
fp.surplus_factor / (1 - fp.surplus_factor) * surplus -- charge a fraction of surplus
)
END
END
WHEN fp.kind = 'volume'
THEN fp.volume_factor / (1 - fp.volume_factor) * os.sell_amount
END AS protocol_fee,
CASE
WHEN fp.kind = 'surplus'
THEN os.surplus_token
WHEN fp.kind = 'volume'
THEN os.sell_token
END AS protocol_fee_token
FROM order_surplus os
JOIN fee_policies fp -- contains protocol fee policy
ON os.auction_id = fp.auction_id AND os.order_uid = fp.order_uid
)
,order_observations_prices AS (
SELECT
oo.solver,
oo.tx_hash,
oo.surplus,
oo.protocol_fee,
CASE
WHEN oo.sell_token != oo.protocol_fee_token
THEN (oo.sell_amount - oo.observed_fee) / oo.buy_amount * oo.protocol_fee
ELSE oo.protocol_fee
END AS network_fee_correction,
oo.sell_token as network_fee_token,
ap_surplus.price / pow(10, 18) as surplus_token_price,
ap_protocol.price / pow(10, 18) as protocol_fee_token_price,
ap_sell.price / pow(10, 18) as network_fee_token_price
FROM order_observations oo
JOIN auction_prices ap_sell -- contains price: sell token
ON oo.auction_id = ap_sell.auction_id AND oo.sell_token = ap_sell.token
JOIN auction_prices ap_surplus -- contains price: surplus token
ON oo.auction_id = ap_surplus.auction_id AND oo.surplus_token = ap_surplus.token
JOIN auction_prices ap_protocol -- contains price: protocol fee token
ON oo.auction_id = ap_protocol.auction_id AND oo.protocol_fee_token = ap_protocol.token
),
batch_protocol_fees AS (
SELECT
solver,
tx_hash,
-- sum(surplus * surplus_token_price) as surplus,
sum(protocol_fee * protocol_fee_token_price) as protocol_fee,
sum(network_fee_correction * network_fee_token_price) as network_fee_correction
FROM order_observations_prices oop
group by solver, tx_hash
),
reward_data AS (SELECT
-- observations
tx_hash,
os.tx_hash,
ss.auction_id,
-- TODO - Assuming that `solver == winner` when both not null
-- We will need to monitor that `solver == winner`!
coalesce(solver, winner) as solver,
coalesce(os.solver, winner) as solver,
block_number as settlement_block,
block_deadline,
case
Expand All @@ -50,26 +173,32 @@ WITH observed_settlements AS (SELECT
winning_score,
reference_score,
-- auction_participation
participating_solvers
participating_solvers,
-- protocol_fees
protocol_fee,
network_fee_correction
FROM settlement_scores ss
-- If there are reported scores,
-- there will always be a record of auction participants
JOIN auction_participation ap
ON ss.auction_id = ap.auction_id
-- outer joins made in order to capture non-existent settlements.
LEFT OUTER JOIN observed_settlements os
ON os.auction_id = ss.auction_id),
ON os.auction_id = ss.auction_id
LEFT OUTER JOIN batch_protocol_fees bpf
ON bpf.tx_hash = os.tx_hash),
reward_per_auction as (SELECT tx_hash,
auction_id,
settlement_block,
block_deadline,
solver,
execution_cost,
surplus,
fee,
surplus + fee - reference_score as uncapped_reward_eth,
protocol_fee,
fee + network_fee_correction,
surplus + coalesce(protocol_fee - network_fee_correction, 0) + fee - reference_score as uncapped_reward_eth,
-- Uncapped Reward = CLAMP_[-E, E + exec_cost](uncapped_reward_eth)
LEAST(GREATEST(-{{EPSILON}}, surplus + fee - reference_score),
LEAST(GREATEST(-{{EPSILON}}, surplus + coalesce(protocol_fee - network_fee_correction, 0) + fee - reference_score),
{{EPSILON}} + execution_cost) as capped_payment,
winning_score,
reference_score,
Expand All @@ -85,13 +214,20 @@ WITH observed_settlements AS (SELECT
SUM(execution_cost) as exececution_cost_wei
FROM reward_per_auction rpt
GROUP BY solver),
protocol_fees as (SELECT solver,
SUM(protocol_fee) as protocol_fee_wei
FROM reward_per_auction rpt
GROUP BY solver),
aggregate_results as (SELECT concat('0x', encode(pc.solver, 'hex')) as solver,
coalesce(payment_wei, 0) as payment_eth,
coalesce(exececution_cost_wei, 0) as execution_cost_eth,
num_participating_batches
num_participating_batches,
coalesce(protocol_fee_wei, 0) as protocol_fee_eth
FROM participation_counts pc
LEFT OUTER JOIN primary_rewards pr
ON pr.solver = pc.solver)
ON pr.solver = pc.solver
LEFT OUTER JOIN protocol_fees pf
ON pf.solver = pc.solver)

select *
from aggregate_results
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