penumbra_dex/component/router/route_and_fill.rs
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use std::sync::Arc;
use anyhow::{Context, Result};
use async_trait::async_trait;
use cnidarium::StateWrite;
use penumbra_asset::{asset, Value};
use penumbra_num::Amount;
use penumbra_sct::component::clock::EpochRead;
use tracing::instrument;
use crate::{
component::{
chandelier::Chandelier,
flow::SwapFlow,
router::{FillRoute, PathSearch, RoutingParams},
ExecutionCircuitBreaker, InternalDexWrite, PositionManager,
},
lp::position::MAX_RESERVE_AMOUNT,
BatchSwapOutputData, SwapExecution, TradingPair,
};
use super::fill_route::FillError;
/// Ties together the routing and filling logic, to process
/// a block's batch swap flows.
#[async_trait]
pub trait HandleBatchSwaps: StateWrite + Sized {
#[instrument(skip(self, trading_pair, batch_data, block_height, params))]
async fn handle_batch_swaps(
self: &mut Arc<Self>,
trading_pair: TradingPair,
batch_data: SwapFlow,
block_height: u64,
params: RoutingParams,
execution_budget: u32,
) -> Result<BatchSwapOutputData>
where
Self: 'static,
{
let (delta_1, delta_2) = (batch_data.0, batch_data.1);
tracing::debug!(?delta_1, ?delta_2, ?trading_pair, "decrypted batch swaps");
// We initialize a circuit breaker for this batch swap. This will limit the number of frontier
// executions up to the specified `execution_budget` parameter.
let execution_circuit_breaker = ExecutionCircuitBreaker::new(execution_budget);
// We clamp the deltas to the maximum input for batch swaps.
let clamped_delta_1 = delta_1.min(MAX_RESERVE_AMOUNT.into());
let clamped_delta_2 = delta_2.min(MAX_RESERVE_AMOUNT.into());
tracing::debug!(
?clamped_delta_1,
?clamped_delta_2,
"clamped deltas to maximum amount"
);
let swap_execution_1_for_2 = self
.route_and_fill(
trading_pair.asset_1(),
trading_pair.asset_2(),
clamped_delta_1,
params.clone(),
execution_circuit_breaker.clone(),
)
.await?;
let swap_execution_2_for_1 = self
.route_and_fill(
trading_pair.asset_2(),
trading_pair.asset_1(),
clamped_delta_2,
params.clone(),
execution_circuit_breaker,
)
.await?;
let (lambda_2, unfilled_1) = match &swap_execution_1_for_2 {
Some(swap_execution) => (
swap_execution.output.amount,
// The unfilled amount of asset 1 is the trade input minus the amount consumed, plus the excess.
delta_1 - swap_execution.input.amount,
),
None => (0u64.into(), delta_1),
};
let (lambda_1, unfilled_2) = match &swap_execution_2_for_1 {
Some(swap_execution) => (
swap_execution.output.amount,
delta_2 - swap_execution.input.amount,
),
None => (0u64.into(), delta_2),
};
let epoch = self.get_current_epoch().await.expect("epoch is set");
let output_data = BatchSwapOutputData {
height: block_height,
trading_pair,
delta_1,
delta_2,
lambda_1,
lambda_2,
unfilled_1,
unfilled_2,
sct_position_prefix: (
u16::try_from(epoch.index).expect("epoch index should be small enough"),
// The block index is determined by looking at how many blocks have elapsed since
// the start of the epoch.
u16::try_from(block_height - epoch.start_height)
.expect("block index should be small enough"),
0,
)
.into(),
};
tracing::debug!(
?output_data,
?swap_execution_1_for_2,
?swap_execution_2_for_1
);
// Update the candlestick tracking
if let Some(se) = swap_execution_1_for_2.clone() {
tracing::debug!("updating candlestick for 1=>2 swap");
Arc::get_mut(self)
.expect("expected state to have no other refs")
.record_swap_execution(&se)
.await;
}
if let Some(se) = &swap_execution_2_for_1 {
tracing::debug!("updating candlestick for 2=>1 swap");
Arc::get_mut(self)
.expect("expected state to have no other refs")
.record_swap_execution(se)
.await;
}
// Fetch the swap execution object that should have been modified during the routing and filling.
Arc::get_mut(self)
.expect("expected state to have no other refs")
.set_output_data(output_data, swap_execution_1_for_2, swap_execution_2_for_1)
.await?;
Ok(output_data)
}
}
impl<T: PositionManager> HandleBatchSwaps for T {}
/// Lower-level trait that ties together the routing and filling logic.
#[async_trait]
pub trait RouteAndFill: StateWrite + Sized {
#[instrument(skip(self, asset_1, asset_2, input, params, execution_circuit_breaker))]
async fn route_and_fill(
self: &mut Arc<Self>,
asset_1: asset::Id,
asset_2: asset::Id,
input: Amount,
params: RoutingParams,
mut execution_circuit_breaker: ExecutionCircuitBreaker,
) -> Result<Option<SwapExecution>>
where
Self: 'static,
{
tracing::debug!(?input, ?asset_1, ?asset_2, "prepare to route and fill");
if input == Amount::zero() {
tracing::debug!("no input, short-circuit exit");
return Ok(None);
}
// Unfilled output of asset 1
let mut total_unfilled_1 = input;
// Output of asset 2
let mut total_output_2 = 0u64.into();
// An ordered list of execution traces that were used to fill the trade.
let mut traces: Vec<Vec<Value>> = Vec::new();
// Termination conditions:
// 1. We have no more `delta_1` remaining
// 2. A path can no longer be found
// 3. We have reached the `RoutingParams` specified price limit
// 4. The execution circuit breaker has been triggered based on the number of path searches and executions
// 5. An unrecoverable error occurred during the execution of the route.
loop {
// Check if we have exceeded the execution circuit breaker limits.
if execution_circuit_breaker.exceeded_limits() {
tracing::debug!("execution circuit breaker triggered, exiting route_and_fill");
break;
} else {
// This should be done ahead of doing any path search or execution, so that we never
// have to reason about the specific control flow of our batch swap logic.
execution_circuit_breaker.increment();
}
// Find the best route between the two assets in the trading pair.
let (path, spill_price) = self
.path_search(asset_1, asset_2, params.clone())
.await
.context("error finding best path")?;
let Some(path) = path else {
tracing::debug!("no path found, exiting route_and_fill");
break;
};
if path.is_empty() {
tracing::debug!("empty path found, exiting route_and_fill");
break;
}
// We prepare the input for this execution round, which is the remaining unfilled amount of asset 1.
let delta_1 = Value {
asset_id: asset_1,
amount: total_unfilled_1,
};
tracing::debug!(?path, ?delta_1, "found path, filling up to spill price");
let execution_result = Arc::get_mut(self)
.expect("expected state to have no other refs")
.fill_route(delta_1, &path, spill_price)
.await;
let swap_execution = match execution_result {
Ok(execution) => execution,
Err(FillError::ExecutionOverflow(position_id)) => {
// We have encountered an overflow during the execution of the route.
// To route around this, we will close the position and try to route and fill again.
tracing::debug!(culprit = ?position_id, "overflow detected during routing execution");
Arc::get_mut(self)
.expect("expected state to have no other refs")
.close_position_by_id(&position_id)
.await
.expect("the position still exists");
continue;
}
Err(e) => {
// We have encountered an error during the execution of the route,
// there are no clear ways to route around this, so we propagate the error.
// `fill_route` is transactional and will have rolled back the state.
anyhow::bail!("error filling route: {:?}", e);
}
};
// Immediately track the execution in the state.
(total_output_2, total_unfilled_1) = {
// The exact amount of asset 1 that was consumed in this execution round.
let consumed_input = swap_execution.input;
// The output of this execution round is the amount of asset 2 that was filled.
let produced_output = swap_execution.output;
tracing::debug!(consumed_input = ?consumed_input.amount, output = ?produced_output.amount, "filled along best path");
// Sanity check that the input and output assets are correct.
assert_eq!(produced_output.asset_id, asset_2);
assert_eq!(consumed_input.asset_id, asset_1);
// Append the traces from this execution to the outer traces.
traces.append(&mut swap_execution.traces.clone());
(
// The total output of asset 2 is the sum of all outputs.
total_output_2 + produced_output.amount,
// The total unfilled amount of asset 1 is the remaining unfilled amount minus the amount consumed.
total_unfilled_1 - consumed_input.amount,
)
};
if total_unfilled_1.value() == 0 {
tracing::debug!("filled all input, exiting route_and_fill");
break;
}
// Ensure that we've actually executed, or else bail out.
let Some(accurate_max_price) = swap_execution.max_price() else {
tracing::debug!("no traces in execution, exiting route_and_fill");
break;
};
// Check that the execution price is below the price limit, if one is set.
if let Some(price_limit) = params.price_limit {
if accurate_max_price >= price_limit {
tracing::debug!(
?accurate_max_price,
?price_limit,
"execution price above price limit, exiting route_and_fill"
);
break;
}
}
}
// If we didn't execute against any position at all, there are no execution records to return.
if traces.is_empty() {
return Ok(None);
} else {
Ok(Some(SwapExecution {
traces,
input: Value {
asset_id: asset_1,
// The total amount of asset 1 that was actually consumed across rounds.
amount: input - total_unfilled_1,
},
output: Value {
asset_id: asset_2,
amount: total_output_2,
},
}))
}
}
}
impl<T: HandleBatchSwaps> RouteAndFill for T {}