Add TradeSplitter

contracts/interfaces/external/IUniswapV2Factory.sol

@@ -0,0 +1,14 @@
+pragma solidity 0.6.10;
+
+interface IUniswapV2Factory {
+  event PairCreated(address indexed token0, address indexed token1, address pair, uint);
+
+  function getPair(address tokenA, address tokenB) external view returns (address pair);
+  function allPairs(uint) external view returns (address pair);
+  function allPairsLength() external view returns (uint);
+
+  function feeTo() external view returns (address);
+  function feeToSetter() external view returns (address);
+
+  function createPair(address tokenA, address tokenB) external returns (address pair);
+}

test/integration/ammSplitterGeneralIndexModule.spec.ts

@@ -0,0 +1,293 @@
+import "module-alias/register";
+import { BigNumber } from "@ethersproject/bignumber";
+
+import { Address } from "@utils/types";
+import { Account } from "@utils/test/types";
+import { ADDRESS_ZERO, MAX_UINT_256, ZERO } from "@utils/constants";
+import {
+  GeneralIndexModule,
+  SetToken,
+  AMMSplitter,
+  UniswapV2IndexExchangeAdapter
+} from "@utils/contracts";
+import DeployHelper from "@utils/deploys";
+import {
+  bitcoin,
+  ether,
+  preciseDiv,
+  preciseMul,
+} from "@utils/index";
+import {
+  cacheBeforeEach,
+  getAccounts,
+  getSystemFixture,
+  getUniswapFixture,
+  getWaffleExpect
+} from "@utils/test/index";
+import { SystemFixture, UniswapFixture } from "@utils/fixtures";
+import { ContractTransaction } from "ethers";
+
+const expect = getWaffleExpect();
+
+describe("AMMSplitterGeneralIndexModule", () => {
+  let owner: Account;
+  let trader: Account;
+  let positionModule: Account;
+  let deployer: DeployHelper;
+  let setup: SystemFixture;
+
+  let uniswapSetup: UniswapFixture;
+  let sushiswapSetup: UniswapFixture;
+  let tradeSplitter: AMMSplitter;
+
+  let index: SetToken;
+  let indexModule: GeneralIndexModule;
+
+  let tradeSplitterAdapter: UniswapV2IndexExchangeAdapter;
+  let tradeSplitterAdapterName: string;
+
+  let indexComponents: Address[];
+  let indexUnits: BigNumber[];
+
+  before(async () => {
+    [
+      owner,
+      trader,
+      positionModule,
+    ] = await getAccounts();
+
+    deployer = new DeployHelper(owner.wallet);
+    setup = getSystemFixture(owner.address);
+    uniswapSetup = getUniswapFixture(owner.address);
+    sushiswapSetup = getUniswapFixture(owner.address);
+
+    await setup.initialize();
+    await uniswapSetup.initialize(owner, setup.weth.address, setup.wbtc.address, setup.dai.address);
+    await sushiswapSetup.initialize(owner, setup.weth.address, setup.wbtc.address, setup.dai.address);
+
+    indexModule = await deployer.modules.deployGeneralIndexModule(
+      setup.controller.address,
+      setup.weth.address
+    );
+    await setup.controller.addModule(indexModule.address);
+    await setup.controller.addModule(positionModule.address);
+
+
+    tradeSplitter = await deployer.product.deployAMMSplitter(uniswapSetup.router.address, sushiswapSetup.router.address);
+    tradeSplitterAdapter = await deployer.adapters.deployUniswapV2IndexExchangeAdapter(tradeSplitter.address);
+    tradeSplitterAdapterName = "TRADESPLITTER";
+
+
+    await setup.integrationRegistry.batchAddIntegration(
+      [ indexModule.address ],
+      [ tradeSplitterAdapterName ],
+      [ tradeSplitterAdapter.address ]
+    );
+  });
+
+  cacheBeforeEach(async () => {
+    indexComponents = [setup.wbtc.address, setup.dai.address];
+    indexUnits = [ bitcoin(0.01), ether(4000) ];
+
+    index = await setup.createSetToken(
+      indexComponents,
+      indexUnits,
+      [setup.issuanceModule.address, indexModule.address, positionModule.address],
+    );
+
+    await setup.issuanceModule.initialize(index.address, ADDRESS_ZERO);
+    await index.connect(positionModule.wallet).initializeModule();
+
+    await setup.weth.connect(owner.wallet).approve(sushiswapSetup.router.address, ether(2000));
+    await setup.dai.connect(owner.wallet).approve(sushiswapSetup.router.address, ether(400000));
+    await sushiswapSetup.router.connect(owner.wallet).addLiquidity(
+      setup.weth.address,
+      setup.dai.address,
+      ether(200),
+      ether(400000),
+      ether(148),
+      ether(173000),
+      owner.address,
+      MAX_UINT_256
+    );
+
+    await setup.weth.connect(owner.wallet).approve(uniswapSetup.router.address, ether(1000));
+    await setup.wbtc.connect(owner.wallet).approve(uniswapSetup.router.address, ether(26));
+    await uniswapSetup.router.addLiquidity(
+      setup.weth.address,
+      setup.wbtc.address,
+      ether(1000),
+      bitcoin(25.5555),
+      ether(999),
+      ether(25.3),
+      owner.address,
+      MAX_UINT_256
+    );
+  });
+
+  describe("when module is initalized", async () => {
+    let subjectSetToken: SetToken;
+    let subjectCaller: Account;
+
+    let newComponents: Address[];
+    let newTargetUnits: BigNumber[];
+    let oldTargetUnits: BigNumber[];
+    let issueAmount: BigNumber;
+
+    async function initSetToken(
+      setToken: SetToken, components: Address[], tradeMaximums: BigNumber[], exchanges: string[], coolOffPeriods: BigNumber[]
+    ) {
+      await indexModule.initialize(setToken.address);
+      await indexModule.setTradeMaximums(setToken.address, components, tradeMaximums);
+      await indexModule.setExchanges(setToken.address, components, exchanges);
+      await indexModule.setCoolOffPeriods(setToken.address, components, coolOffPeriods);
+      await indexModule.setTraderStatus(setToken.address, [trader.address], [true]);
+    }
+
+    const startRebalance = async () => {
+      await setup.approveAndIssueSetToken(subjectSetToken, issueAmount);
+      await indexModule.startRebalance(
+        subjectSetToken.address,
+        newComponents,
+        newTargetUnits,
+        oldTargetUnits,
+        await index.positionMultiplier()
+      );
+    };
+
+    before(async () => {
+      newComponents = [];
+      oldTargetUnits = [bitcoin(0.1), ether(1)];
+      newTargetUnits = [];
+      issueAmount = ether("20.000000000000000001");
+    });
+
+    cacheBeforeEach(async () => {
+      await initSetToken(
+        index,
+       [setup.wbtc.address, setup.dai.address],
+       [bitcoin(1000), ether(100000)],
+       [tradeSplitterAdapterName, tradeSplitterAdapterName],
+       [ZERO, ZERO]
+      );
+    });
+
+    describe("#trade", async () => {
+      let subjectComponent: Address;
+      let subjectEthQuantityLimit: BigNumber;
+
+      let expectedOut: BigNumber;
+
+      const initializeSubjectVariables = () => {
+        subjectSetToken = index;
+        subjectCaller = trader;
+        subjectComponent = setup.dai.address;
+        subjectEthQuantityLimit = ZERO;
+      };
+
+      async function subject(): Promise<ContractTransaction> {
+        return await indexModule.connect(subjectCaller.wallet).trade(
+          subjectSetToken.address,
+          subjectComponent,
+          subjectEthQuantityLimit
+        );
+      }
+
+      describe("with default target units", async () => {
+        beforeEach(async () => {
+          initializeSubjectVariables();
+
+          expectedOut = (await tradeSplitter.getAmountsOut(
+            preciseMul(ether(3999), issueAmount),
+            [ setup.dai.address, setup.weth.address ]
+          ))[1];
+
+          subjectEthQuantityLimit = BigNumber.from(0);
+        });
+        cacheBeforeEach(startRebalance);
+
+        it("should sell using TradeSplitter", async () => {
+          const currentWethAmount = await setup.weth.balanceOf(subjectSetToken.address);
+          const totalSupply = await subjectSetToken.totalSupply();
+
+          await subject();
+
+          const expectedWethPositionUnits = preciseDiv(currentWethAmount.add(expectedOut), totalSupply);
+          const expectedDaiPositionUnits = ether(1);
+
+          const wethPositionUnits = await subjectSetToken.getDefaultPositionRealUnit(setup.weth.address);
+          const daiPositionUnits = await subjectSetToken.getDefaultPositionRealUnit(setup.dai.address);
+
+          expect(wethPositionUnits).to.eq(expectedWethPositionUnits);
+          expect(daiPositionUnits).to.eq(expectedDaiPositionUnits);
+        });
+      });
+    });
+
+    describe("#tradeRemainingWETH", async () => {
+
+      let subjectComponent: Address;
+      let subjectEthQuantityLimit: BigNumber;
+
+      let expectedOut: BigNumber;
+
+      const initializeSubjectVariables = () => {
+        subjectSetToken = index;
+        subjectCaller = trader;
+        subjectComponent = setup.dai.address;
+        subjectEthQuantityLimit = ZERO;
+      };
+
+      async function subject(): Promise<ContractTransaction> {
+        return await indexModule.connect(subjectCaller.wallet).tradeRemainingWETH(
+          subjectSetToken.address,
+          subjectComponent,
+          subjectEthQuantityLimit
+        );
+      }
+
+      describe("with default target units", async () => {
+
+        beforeEach(async () => {
+          initializeSubjectVariables();
+        });
+        cacheBeforeEach(startRebalance);
+
+        context("when it is the last trade", async () => {
+
+          beforeEach(async () => {
+            await indexModule.connect(subjectCaller.wallet).trade(
+              subjectSetToken.address,
+              subjectComponent,
+              subjectEthQuantityLimit
+            );
+
+            expectedOut = (await tradeSplitter.getAmountsOut(
+              await setup.weth.balanceOf(subjectSetToken.address),
+              [ setup.weth.address, setup.wbtc.address ]
+            ))[1];
+
+            subjectComponent = setup.wbtc.address;
+            subjectEthQuantityLimit = ZERO;
+          });
+
+          it("should buy using TradeSplitter", async () => {
+            const currentWbtcAmount = await setup.wbtc.balanceOf(subjectSetToken.address);
+            const totalSupply = await subjectSetToken.totalSupply();
+
+            await subject();
+
+            const expectedWbtcPositionUnits = preciseDiv(currentWbtcAmount.add(expectedOut), totalSupply);
+            const expectedWethPositionUnits = ether(0);
+
+            const wethPositionUnits = await subjectSetToken.getDefaultPositionRealUnit(setup.weth.address);
+            const wbtcPositionUnits = await subjectSetToken.getDefaultPositionRealUnit(setup.wbtc.address);
+
+            expect(wbtcPositionUnits).to.eq(expectedWbtcPositionUnits);
+            expect(wethPositionUnits).to.eq(expectedWethPositionUnits);
+          });
+        });
+      });
+    });
+  });
+});