Fix bidask unbounded loop overshoot

Author: cryptomilkbeard

ts-client/src/dlmm/helpers/rebalance/liquidity_strategy/bidAsk.ts

@@ -2,11 +2,7 @@ import BN from "bn.js";
 import { BidAskParameters, LiquidityStrategyParameterBuilder } from ".";
 import { SCALE_OFFSET } from "../../../constants";
 import { getQPriceFromId } from "../../math";
-import {
-  getAmountInBinsAskSide,
-  getAmountInBinsBidSide,
-  toAmountIntoBins,
-} from "../rebalancePosition";
+import { getAmountInBinsAskSide, toAmountIntoBins } from "../rebalancePosition";
 
 function findMinY0(amountY: BN, minDeltaId: BN, maxDeltaId: BN) {
   const binCount = maxDeltaId.sub(minDeltaId).addn(1);
@@ -61,30 +57,27 @@ function findY0AndDeltaY(
   }
 
   let baseDeltaY = findBaseDeltaY(amountY, minDeltaId, maxDeltaId);
-  const y0 = baseDeltaY.neg().mul(maxDeltaId.neg().subn(1));
-
-  while (true) {
-    const amountInBins = getAmountInBinsBidSide(
-      activeId,
-      minDeltaId,
-      maxDeltaId,
-      baseDeltaY,
-      y0
-    );
-
-    const totalAmountY = amountInBins.reduce((acc, { amountY }) => {
-      return acc.add(amountY);
-    }, new BN(0));
+  const maxDeltaAbs = maxDeltaId.neg();
+  const binCount = maxDeltaId.sub(minDeltaId).addn(1);
+  const sumDeltaId = minDeltaId.add(maxDeltaId).mul(binCount).divn(2);
+  const sumNegDelta = sumDeltaId.neg();
+  const coefficient = sumNegDelta.sub(binCount.mul(maxDeltaAbs.subn(1)));
 
+  if (coefficient.gt(new BN(0))) {
+    const totalAmountY = baseDeltaY.mul(coefficient);
     if (totalAmountY.gt(amountY)) {
-      baseDeltaY = baseDeltaY.sub(new BN(1));
-    } else {
-      return {
-        base: y0,
-        delta: baseDeltaY,
-      };
+      const overshoot = totalAmountY.sub(amountY);
+      const adjustment = overshoot.add(coefficient.subn(1)).div(coefficient);
+      baseDeltaY = BN.max(baseDeltaY.sub(adjustment), new BN(0));
     }
   }
+
+  const y0 = baseDeltaY.neg().mul(maxDeltaAbs.subn(1));
+
+  return {
+    base: y0,
+    delta: baseDeltaY,
+  };
 }
 
 function findMinX0(

ts-client/src/test/liquidity_strategy_timeout.test.ts

@@ -0,0 +1,98 @@
+import BN from "bn.js";
+
+function sleepMs(ms: number) {
+  const start = Date.now();
+  while (Date.now() - start < ms) {}
+}
+
+describe("Liquidity strategy timeouts", () => {
+  const activeId = new BN(1000);
+  const binStep = new BN(10);
+
+  it("Spot and Curve builders complete within 15s", () => {
+    jest.resetModules();
+    const {
+      buildLiquidityStrategyParameters,
+      getLiquidityStrategyParameterBuilder,
+    } = require("../dlmm/helpers/rebalance");
+    const { StrategyType } = require("../dlmm/types");
+    const amountX = new BN(10_000);
+    const amountY = new BN(10_000);
+    const minDeltaId = new BN(-3);
+    const maxDeltaId = new BN(3);
+    const favorXInActiveBin = false;
+
+    const builders = [
+      getLiquidityStrategyParameterBuilder(StrategyType.Spot),
+      getLiquidityStrategyParameterBuilder(StrategyType.Curve),
+    ];
+
+    for (const builder of builders) {
+      const start = Date.now();
+      buildLiquidityStrategyParameters(
+        amountX,
+        amountY,
+        minDeltaId,
+        maxDeltaId,
+        binStep,
+        favorXInActiveBin,
+        activeId,
+        builder
+      );
+      const elapsedMs = Date.now() - start;
+      expect(elapsedMs).toBeLessThan(15_000);
+    }
+  });
+
+  it("BidAsk can exceed 15s with pathological bid-side loops", () => {
+    jest.resetModules();
+    const amountX = new BN(0);
+    const amountY = new BN(20_000);
+    const minDeltaId = new BN(-1);
+    const maxDeltaId = new BN(-1);
+    const favorXInActiveBin = false;
+
+    jest.doMock("../dlmm/helpers/rebalance/rebalancePosition", () => {
+      const actual = jest.requireActual(
+        "../dlmm/helpers/rebalance/rebalancePosition"
+      );
+      return {
+        ...actual,
+        getAmountInBinsBidSide: jest.fn((_activeId, _min, _max, deltaY) => {
+          sleepMs(100);
+          if (deltaY.gt(new BN(0))) {
+            return [
+              { binId: activeId, amountX: new BN(0), amountY: amountY.addn(1) },
+            ];
+          }
+
+          return [{ binId: activeId, amountX: new BN(0), amountY }];
+        }),
+      };
+    });
+
+    const rebalancePosition = require("../dlmm/helpers/rebalance/rebalancePosition");
+    const getAmountInBinsBidSide = rebalancePosition.getAmountInBinsBidSide;
+    expect(jest.isMockFunction(getAmountInBinsBidSide)).toBe(true);
+    const {
+      buildLiquidityStrategyParameters,
+      getLiquidityStrategyParameterBuilder,
+    } = require("../dlmm/helpers/rebalance");
+    const { StrategyType } = require("../dlmm/types");
+    const builder = getLiquidityStrategyParameterBuilder(StrategyType.BidAsk);
+
+    const start = Date.now();
+    buildLiquidityStrategyParameters(
+      amountX,
+      amountY,
+      minDeltaId,
+      maxDeltaId,
+      binStep,
+      favorXInActiveBin,
+      activeId,
+      builder
+    );
+    const elapsedMs = Date.now() - start;
+    expect(elapsedMs).toBeLessThan(15_000);
+  }, 15_000);
+});