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test(x/twap): geometric twap overflow tests #3732

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test(x/twap): geometric twap overflow tests #3732

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7a75e5e
test(x/twap): geometric twap overflow tests
p0mvn Dec 14, 2022
3d4cd10
remove unused pow precision
p0mvn Dec 17, 2022
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8 changes: 2 additions & 6 deletions x/twap/logic.go
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Original file line number Diff line number Diff line change
Expand Up @@ -15,9 +15,7 @@ import (
// in logarithm and power math functions.
// See twapLog and computeGeometricTwap functions for more details.
var (
geometricTwapMathBase = sdk.NewDec(2)
// TODO: analyze choice.
geometricTwapPowPrecision = sdk.MustNewDecFromStr("0.00000001")
geometricTwapMathBase = osmomath.NewBigDec(2)
)

func newTwapRecord(k types.AmmInterface, ctx sdk.Context, poolId uint64, denom0, denom1 string) (types.TwapRecord, error) {
Expand Down Expand Up @@ -305,13 +303,11 @@ func computeGeometricTwap(startRecord types.TwapRecord, endRecord types.TwapReco
}

// twapLog returns the logarithm of the given spot price, base 2.
// TODO: basic test
func twapLog(price sdk.Dec) sdk.Dec {
return osmomath.BigDecFromSDKDec(price).LogBase2().SDKDec()
}

// twapPow exponentiates the geometricTwapMathBase to the given exponent.
// TODO: basic test and benchmark.
func twapPow(exponent sdk.Dec) sdk.Dec {
return osmomath.PowApprox(geometricTwapMathBase, exponent, geometricTwapPowPrecision)
return geometricTwapMathBase.Power(osmomath.BigDecFromSDKDec(exponent)).SDKDec()
}
23 changes: 21 additions & 2 deletions x/twap/logic_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -1600,13 +1600,14 @@ func (s *TestSuite) TestTwapLog() {
var expectedValue = osmomath.MustNewDecFromStr("99.525973560175362367")

result := twap.TwapLog(priceValue.SDKDec())
result_by_customBaseLog := priceValue.CustomBaseLog(osmomath.BigDecFromSDKDec(twap.GeometricTwapMathBase))
result_by_customBaseLog := priceValue.CustomBaseLog(twap.GeometricTwapMathBase)
s.Require().True(expectedValue.Sub(osmomath.BigDecFromSDKDec(result)).Abs().LTE(expectedErrTolerance))
s.Require().True(result_by_customBaseLog.Sub(osmomath.BigDecFromSDKDec(result)).Abs().LTE(expectedErrTolerance))

}

func (s *TestSuite) TestTwapPow() {
// TestTwapPow_CorrectBase tests that the right base is used for the twap power function.
func (s *TestSuite) TestTwapPow_CorrectBase() {
var expectedErrTolerance = osmomath.MustNewDecFromStr("0.00000100")
// "TwapPow(0.5) = 1.41421356"
// From: https://www.wolframalpha.com/input?i2d=true&i=power+base+2+exponent+0.5+with+9+digits
Expand All @@ -1619,6 +1620,24 @@ func (s *TestSuite) TestTwapPow() {
s.Require().True(osmomath.MustNewDecFromStr(fmt.Sprint(result_by_mathPow)).Sub(osmomath.BigDecFromSDKDec(result)).Abs().LTE(expectedErrTolerance))
}

// TestTwapPow_MaxSpotPrice_NoOverflow tests that no overflow occurs at log_2{max spot price values}.
// and that the epsilot is within the tolerated multiplicative error.
func (s *TestSuite) TestTwapLogPow_MaxSpotPrice_NoOverflow() {
errTolerance := osmomath.ErrTolerance{
MultiplicativeTolerance: sdk.OneDec().Quo(sdk.NewDec(10).Power(18)),
RoundingDir: osmomath.RoundDown,
}

oneYear := OneSec.MulInt64(60 * 60 * 24 * 365)

oneYearTimesMaxSpotPrice := oneYear.Mul(gammtypes.MaxSpotPrice)

exponentValue := twap.TwapLog(oneYearTimesMaxSpotPrice)
finalValue := twap.TwapPow(exponentValue)

s.Equal(0, errTolerance.CompareBigDec(osmomath.BigDecFromSDKDec(oneYearTimesMaxSpotPrice), osmomath.BigDecFromSDKDec(finalValue)))
}

func testCaseFromDeltas(startAccum, accumDiff sdk.Dec, timeDelta time.Duration, expectedTwap sdk.Dec) computeTwapTestCase {
return computeTwapTestCase{
newOneSidedRecord(baseTime, startAccum, true),
Expand Down