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Merged
bweick merged 35 commits into from
Apr 12, 2021
Merged

Add GeneralIndexModule contract #59

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5b416f4
Add GenrealIndexModule contract
0xSachinK Mar 27, 2021
834ba66
Fix bugs & Add UniswapV2ExchangeAdapterV3
0xSachinK Mar 28, 2021
45ebf67
Add BalancerV1ExchangeAdapter
0xSachinK Mar 29, 2021
c220c4f
Add initial tests & add fee collection to GeneralIndexModule
0xSachinK Mar 30, 2021
ef936bc
Add tests for trade function
0xSachinK Apr 2, 2021
b165c4a
Add javadocs to contract
0xSachinK Apr 2, 2021
adc3018
Fix javadoc bugs
0xSachinK Apr 2, 2021
e29e2c5
Add contract initalization test
0xSachinK Apr 3, 2021
816ce4a
Fix bug
0xSachinK Apr 3, 2021
0efc7e7
Add suggested changes
0xSachinK Apr 5, 2021
68d4317
Add raiseAssetTargets test
0xSachinK Apr 5, 2021
171c2ea
Add suggested changes & tests
0xSachinK Apr 5, 2021
189d740
modify raiseTargetPercentage
0xSachinK Apr 5, 2021
7a7afaa
Add tradeRemainingWETH tests
0xSachinK Apr 6, 2021
1db03b5
Add tests for SetToken with weth as component
0xSachinK Apr 6, 2021
276bb5e
Add more tests
0xSachinK Apr 7, 2021
85755e5
fix bug in tests
0xSachinK Apr 7, 2021
c2258ef
Add tests for empty arrays
0xSachinK Apr 8, 2021
3433ffa
Add min/max limit amounts to prevent MEV
0xSachinK Apr 8, 2021
9cff0a2
Add strict max/min limit amounts to tests
0xSachinK Apr 8, 2021
8f6f9ae
Fix max floating amounts
0xSachinK Apr 8, 2021
e38d02a
Add suggested changes to GeneralIndexModule.sol
0xSachinK Apr 9, 2021
2846a60
Refactor all tests, add suggested changes
0xSachinK Apr 10, 2021
dd69996
fix coverage bug
0xSachinK Apr 10, 2021
cfb2c94
Remove .skip from tests
0xSachinK Apr 10, 2021
eaa85ec
Add cacheBeforeEach blocks to speed up tests
0xSachinK Apr 10, 2021
3f0e0a2
Add test to revert when exchange adapter not found
0xSachinK Apr 10, 2021
bf10576
Added logic to be able to raiseAssetTargets when positionMultiplier <…
bweick Apr 12, 2021
6d7d91a
Complete coverage. Adding tests for getComponentTradeQuantityAndDirec…
bweick Apr 12, 2021
31ab0ed
Remove console.log
0xSachinK Apr 12, 2021
7699ae5
Removed unneeded totalSupply call and added test case.
bweick Apr 12, 2021
a31f37c
Standardize exchange adapter boolean
0xSachinK Apr 12, 2021
d830a0b
Merge branch 'alpha/general-index-module' of https://github.com/SetPr…
0xSachinK Apr 12, 2021
0d41b3a
Move to swapExactTokensForTokens as boolean standard for exchange ada…
0xSachinK Apr 12, 2021
34e2f0d
fix coverage bug
0xSachinK Apr 12, 2021
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199 changes: 154 additions & 45 deletions contracts/protocol/modules/GeneralIndexModule.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -154,9 +154,9 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
*
* @param _setToken Address of the SetToken to be rebalanced
* @param _newComponents Array of new components to add to allocation
* @param _newComponentsTargetUnits Array of target units at end of rebalance for new components, maps to same index of component
* @param _oldComponentsTargetUnits Array of target units at end of rebalance for old component, maps to same index of component,
* if component being removed set to 0.
* @param _newComponentsTargetUnits Array of target units at end of rebalance for new components, maps to same index of _newComponents array
* @param _oldComponentsTargetUnits Array of target units at end of rebalance for old component, maps to same index of
* _setToken.getComponents() array, if component being removed set to 0.
* @param _positionMultiplier Position multiplier when target units were calculated, needed in order to adjust target units
* if fees accrued
*/
Expand All @@ -174,7 +174,10 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
require(_newComponents.length == _newComponentsTargetUnits.length, "Array length mismatch");

address[] memory currentComponents = _setToken.getComponents();
require(currentComponents.length == _oldComponentsTargetUnits.length, "New allocation must have target for all old components");
require(
currentComponents.length == _oldComponentsTargetUnits.length,
"New allocation must have target for all old components"
);

address[] memory aggregateComponents = currentComponents.extend(_newComponents);
uint256[] memory aggregateTargetUnits = _oldComponentsTargetUnits.extend(_newComponentsTargetUnits);
Expand All @@ -200,7 +203,17 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
* @param _component Address of SetToken component to trade
* @param _ethQuantityLimit Max/min amount of ETH spent/received during trade
*/
function trade(ISetToken _setToken, IERC20 _component, uint256 _ethQuantityLimit) external nonReentrant onlyAllowedTrader(_setToken, msg.sender) onlyEOAIfUnrestricted(_setToken) virtual {
function trade(
ISetToken _setToken,
IERC20 _component,
uint256 _ethQuantityLimit
)
external
nonReentrant
onlyAllowedTrader(_setToken, msg.sender)
onlyEOAIfUnrestricted(_setToken)
virtual
{

_validateTradeParameters(_setToken, _component);

Expand Down Expand Up @@ -236,7 +249,17 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
* @param _component Address of the SetToken component to trade
* @param _componentQuantityLimit Min amount of component received during trade
*/
function tradeRemainingWETH(ISetToken _setToken, IERC20 _component, uint256 _componentQuantityLimit) external nonReentrant onlyAllowedTrader(_setToken, msg.sender) onlyEOAIfUnrestricted(_setToken) virtual {
function tradeRemainingWETH(
ISetToken _setToken,
IERC20 _component,
uint256 _componentQuantityLimit
)
external
nonReentrant
onlyAllowedTrader(_setToken, msg.sender)
onlyEOAIfUnrestricted(_setToken)
virtual
{

require(_noTokensToSell(_setToken), "Sell other set components first");
require(
Expand All @@ -253,9 +276,13 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
uint256 protocolFee = _accrueProtocolFee(tradeInfo);

(uint256 sellAmount, uint256 netBuyAmount) = _updatePositionState(tradeInfo);

// should we revert earlier?
require(netBuyAmount.add(protocolFee) < executionInfo[_setToken][_component].maxSize, "Trade amount exceeds max allowed trade size");

require(
netBuyAmount.add(protocolFee) < executionInfo[_setToken][_component].maxSize,
"Trade amount exceeds max allowed trade size"
);

_validateComponentPositionUnit(_setToken, _component);

executionInfo[_setToken][_component].lastTradeTimestamp = block.timestamp;

Expand All @@ -278,7 +305,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
*
* @param _setToken Address of the SetToken
*/
function raiseAssetTargets(ISetToken _setToken) external onlyAllowedTrader(_setToken, msg.sender) onlyEOAIfUnrestricted(_setToken) virtual {
function raiseAssetTargets(ISetToken _setToken) external onlyAllowedTrader(_setToken, msg.sender) virtual {
require(
_allTargetsMet(_setToken)
&& _setToken.getDefaultPositionRealUnit(address(weth)).toUint256() > executionInfo[_setToken][weth].targetUnit,
Expand All @@ -305,7 +332,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
external
onlyManagerAndValidSet(_setToken)
{
_validateArrays(_components, _tradeMaximums);
_validateUintArrays(_components, _tradeMaximums);

for (uint256 i = 0; i < _components.length; i++) {
executionInfo[_setToken][IERC20(_components[i])].maxSize = _tradeMaximums[i];
Expand Down Expand Up @@ -333,8 +360,11 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
require(!_components.hasDuplicate(), "Cannot duplicate components");

for (uint256 i = 0; i < _components.length; i++) {
executionInfo[_setToken][IERC20(_components[i])].exchangeName = _exchangeNames[i];
emit AssetExchangeUpdated(_setToken, _components[i], _exchangeNames[i]);
if (_components[i] != address(weth)) {
require(bytes(_exchangeNames[i]).length != 0, "Exchange name can not be an empty string");
executionInfo[_setToken][IERC20(_components[i])].exchangeName = _exchangeNames[i];
emit AssetExchangeUpdated(_setToken, _components[i], _exchangeNames[i]);
}
}
}

Expand All @@ -353,7 +383,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
external
onlyManagerAndValidSet(_setToken)
{
_validateArrays(_components, _coolOffPeriods);
_validateUintArrays(_components, _coolOffPeriods);

for (uint256 i = 0; i < _components.length; i++) {
executionInfo[_setToken][IERC20(_components[i])].coolOffPeriod = _coolOffPeriods[i];
Expand All @@ -367,7 +397,13 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
* @param _setToken Address of the SetToken
* @param _raiseTargetPercentage Amount to raise all component's unit targets by (in precise units)
*/
function updateRaiseTargetPercentage(ISetToken _setToken, uint256 _raiseTargetPercentage) external onlyManagerAndValidSet(_setToken) {
function updateRaiseTargetPercentage(
ISetToken _setToken,
uint256 _raiseTargetPercentage
)
external
onlyManagerAndValidSet(_setToken)
{
require(_raiseTargetPercentage > 0, "Target percentage must be > 0");
rebalanceInfo[_setToken].raiseTargetPercentage = _raiseTargetPercentage;
emit RaiseTargetPercentageUpdated(_setToken, _raiseTargetPercentage);
Expand All @@ -380,7 +416,14 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
* @param _traders Array trader addresses to toggle status
* @param _statuses Booleans indicating if matching trader can trade
*/
function updateTraderStatus(ISetToken _setToken, address[] calldata _traders, bool[] calldata _statuses) external onlyManagerAndValidSet(_setToken) {
function updateTraderStatus(
ISetToken _setToken,
address[] calldata _traders,
bool[] calldata _statuses
)
external
onlyManagerAndValidSet(_setToken)
{
require(_traders.length == _statuses.length, "Array length mismatch");
require(_traders.length > 0, "Array length must be > 0");
require(!_traders.hasDuplicate(), "Cannot duplicate traders");
Expand Down Expand Up @@ -419,30 +462,58 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
executionInfo[_setToken][IERC20(position.component)].targetUnit = position.unit.toUint256();
executionInfo[_setToken][IERC20(position.component)].lastTradeTimestamp = 0;
}


rebalanceInfo[_setToken].positionMultiplier = _setToken.positionMultiplier().toUint256();
_setToken.initializeModule();
}

function removeModule() external override {}
/**
* Called by a SetToken to notify that this module was removed from the SetToken.
* Clears the state of the calling SetToken.
*/
function removeModule() external override {
// delete executionInfo[ISetToken(msg.sender)]; // todo: figure out how to delete efficiently
delete rebalanceInfo[ISetToken(msg.sender)];
delete permissionInfo[ISetToken(msg.sender)];
}

// function removeModule() external override {
// delete executionInfo[ISetToken(msg.sender)]; // todo: figure out how to delete efficiently
// delete rebalanceInfo[ISetToken(msg.sender)];
// delete permissionInfo[ISetToken(msg.sender)];
// }

/**
* Get the array of SetToken components involved in rebalance.
*
* @param _setToken Address of the SetToken
*
* @return address[] Array of _setToken components involved in rebalance
*/
function getRebalanceComponents(ISetToken _setToken) external view returns (address[] memory) {
return rebalanceInfo[_setToken].rebalanceComponents;
}

/**
* Get if a given address is an allowed trader.
*
* @param _setToken Address of the SetToken
* @param _trader Address of the trader
*
* @return bool True if _trader is allowed to trade, else false
*/
function getIsAllowedTrader(ISetToken _setToken, address _trader) external view returns (bool) {
return _isAllowedTrader(_setToken, _trader);
}

/* ============ Internal Functions ============ */

/**
* Validate that enough time has elapsed since component's last trade.
* Validate that component is a valid component and enough time has elapsed since component's last trade.
*
* @param _setToken Instance of the SetToken
* @param _component IERC20 component to be validated
*/
function _validateTradeParameters(ISetToken _setToken, IERC20 _component) internal view virtual {
require(address(_component) != address(weth), "Can not explicitly trade WETH");
require(rebalanceInfo[_setToken].rebalanceComponents.contains(address(_component)), "Passed component not included in rebalance");
require(
rebalanceInfo[_setToken].rebalanceComponents.contains(address(_component)),
"Passed component not included in rebalance"
);

TradeExecutionParams memory componentInfo = executionInfo[_setToken][_component];
require(
Expand All @@ -452,15 +523,24 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
}

/**
* Create and return TradeInfo struct
* Create and return TradeInfo struct. This function reverts if the target has already been met.
*
* @param _setToken Instance of the SetToken to rebalance
* @param _component IERC20 component to trade
* @param _ethQuantityLimit Max/min amount of weth spent/received during trade
*
* @return TradeInfo Struct containing data for trade
*/
function _createTradeInfo(ISetToken _setToken, IERC20 _component, uint256 _ethQuantityLimit) internal view virtual returns (TradeInfo memory) {
function _createTradeInfo(
ISetToken _setToken,
IERC20 _component,
uint256 _ethQuantityLimit
)
internal
view
virtual
returns (TradeInfo memory)
{

uint256 totalSupply = _setToken.totalSupply();

Expand All @@ -472,9 +552,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
require(currentUnit != targetUnit, "Target already met");

uint256 currentNotional = totalSupply.getDefaultTotalNotional(currentUnit);
uint256 targetNotional = totalSupply.preciseMulCeil(targetUnit);
// todo: currentNotional uses preciseMul while targetNotional uses preciseMulCeil ?
// uint256 targetNotional = totalSupply.getDefaultTotalNotional(targetUnit);
uint256 targetNotional = totalSupply.preciseMulCeil(targetUnit);

TradeInfo memory tradeInfo;
tradeInfo.setToken = _setToken;
Expand All @@ -500,20 +578,27 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
? _ethQuantityLimit
: _ethQuantityLimit.min(tradeInfo.preTradeSendTokenBalance);


return tradeInfo;
}

/**
* Create and return TradeInfo struct
* Create and return TradeInfo struct. This function does NOT check if the WETH target has been met.
*
* @param _setToken Instance of the SetToken to rebalance
* @param _component IERC20 component to trade
* @param _componentQuantityLimit Min amount of component received during trade
*
* @return TradeInfo Struct containing data for trade
* @return TradeInfo Struct containing data for trade
*/
function _createTradeRemainingInfo(ISetToken _setToken, IERC20 _component, uint256 _componentQuantityLimit) internal view returns (TradeInfo memory) {
function _createTradeRemainingInfo(
ISetToken _setToken,
IERC20 _component,
uint256 _componentQuantityLimit
)
internal
view
returns (TradeInfo memory)
{

uint256 totalSupply = _setToken.totalSupply();

Expand All @@ -537,7 +622,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {

tradeInfo.totalFixedQuantity = currentNotional.sub(targetNotional);
tradeInfo.floatingQuantityLimit = _componentQuantityLimit;

tradeInfo.preTradeSendTokenBalance = weth.balanceOf(address(_setToken));
tradeInfo.preTradeReceiveTokenBalance = _component.balanceOf(address(_setToken));
return tradeInfo;
Expand Down Expand Up @@ -579,7 +664,8 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
}

/**
* Retrieve fee from controller and calculate total protocol fee and send from SetToken to protocol recipient
* Retrieve fee from controller and calculate total protocol fee and send from SetToken to protocol recipient.
* The protocol fee is collected from the receiving token in the trade.
*
* @param _tradeInfo Struct containing trade information used in internal functions
*
Expand All @@ -597,7 +683,8 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
}

/**
* Update SetToken positions
* Update SetToken positions. If this function is called after the fees have been accrued,
* it returns net amount of bought tokens.
*
* @param _tradeInfo Struct containing trade information used in internal functions
*
Expand Down Expand Up @@ -636,7 +723,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
for (uint256 i = 0; i < rebalanceComponents.length; i++) {
address component = rebalanceComponents[i];
if (component != address(weth)) {
uint256 normalizedTargetUnit = _normalizedTargetUnit(_setToken, IERC20(component), currentPositionMultiplier, positionMultiplier);
uint256 normalizedTargetUnit = _normalizeTargetUnit(_setToken, IERC20(component), currentPositionMultiplier, positionMultiplier);
bool canSell = normalizedTargetUnit < _setToken.getDefaultPositionRealUnit(component).toUint256();
if (canSell) { return false; }
}
Expand All @@ -658,7 +745,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
for (uint256 i = 0; i < rebalanceComponents.length; i++) {
address component = rebalanceComponents[i];
if (component != address(weth)) {
uint256 normalizedTargetUnit = _normalizedTargetUnit(_setToken, IERC20(component), currentPositionMultiplier, positionMultiplier);
uint256 normalizedTargetUnit = _normalizeTargetUnit(_setToken, IERC20(component), currentPositionMultiplier, positionMultiplier);
bool targetUnmet = normalizedTargetUnit != _setToken.getDefaultPositionRealUnit(component).toUint256();
if (targetUnmet) { return false; }
}
Expand All @@ -677,7 +764,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
function _getNormalizedTargetUnit(ISetToken _setToken, IERC20 _component) internal view returns(uint256) {
uint256 currentPositionMultiplier = _setToken.positionMultiplier().toUint256();
uint256 positionMultiplier = rebalanceInfo[_setToken].positionMultiplier;
return _normalizedTargetUnit(_setToken, _component, currentPositionMultiplier, positionMultiplier);
return _normalizeTargetUnit(_setToken, _component, currentPositionMultiplier, positionMultiplier);
}

/**
Expand All @@ -690,12 +777,34 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
*
* @return uint256 Normalized target unit of the component
*/
function _normalizedTargetUnit(ISetToken _setToken, IERC20 _component, uint256 _currentPositionMultiplier, uint256 _positionMultiplier) internal view returns (uint256) {
function _normalizeTargetUnit(
ISetToken _setToken,
IERC20 _component,
uint256 _currentPositionMultiplier,
uint256 _positionMultiplier
)
internal
view
returns (uint256)
{
return executionInfo[_setToken][_component].targetUnit.mul(_currentPositionMultiplier).div(_positionMultiplier);
}


/**
* Validate component position unit has not exceeded it's target unit.
*
* @param _setToken Instance of the SetToken
* @param _component IERC20 component whose position units are to be validated
*/
function _validateComponentPositionUnit(ISetToken _setToken, IERC20 _component) internal view {
uint256 currentUnit = _setToken.getDefaultPositionRealUnit(address(_component)).toUint256();
uint256 targetUnit = _getNormalizedTargetUnit(_setToken, _component);
require(currentUnit <= targetUnit, "Can not exceed target unit");
}

/**
* Determine if passed address is allowed to call trade for the SetToken. If anyoneTrade set to true anyone can call otherwise needs to be approved.
* Determine if passed address is allowed to call trade for the SetToken.
* If anyoneTrade set to true anyone can call otherwise needs to be approved.
*
* @param _setToken Instance of SetToken to be rebalanced
* @param _caller Address of the trader who called contract function
Expand All @@ -713,7 +822,7 @@ contract GeneralIndexModule is ModuleBase, ReentrancyGuard {
* @param _components Array of components
* @param _data Array of uint256 values
*/
function _validateArrays(address[] calldata _components, uint256[] calldata _data) internal pure {
function _validateUintArrays(address[] calldata _components, uint256[] calldata _data) internal pure {
require(_components.length == _data.length, "Array length mismatch");
require(_components.length > 0, "Array length must be > 0");
require(!_components.hasDuplicate(), "Cannot duplicate components");
Expand Down
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