Price improvement tests

cowprotocol · Mar 4, 2024 · 9b3a0ee · 9b3a0ee
1 parent 75f6e60
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diff --git a/crates/driver/src/tests/cases/protocol_fees.rs b/crates/driver/src/tests/cases/protocol_fees.rs
@@ -9,6 +9,7 @@ use crate::{
             ab_solution,
             ExpectedOrderAmounts,
             FeePolicy,
+            PriceImprovementQuote,
             Test,
         },
     },
@@ -187,3 +188,131 @@ async fn volume_protocol_fee_sell_order() {
 
     protocol_fee_test_case(test_case).await;
 }
+
+#[tokio::test]
+#[ignore]
+async fn price_improvement_fee_buy_out_market_order() {
+    let quote_sell_amount = 21000000000000000000u128;
+    let quote_buy_amount = 18000000000000000000u128;
+    let fee_policy = FeePolicy::PriceImprovement {
+        factor: 0.5,
+        // high enough so we don't get capped by volume fee
+        max_volume_factor: 1.0,
+        quote: PriceImprovementQuote {
+            sell_amount: quote_sell_amount.into(),
+            buy_amount: quote_buy_amount.into(),
+            fee: 1000000000000000000u128.into(),
+        },
+    };
+    let executed_buy = 17143028023069342830u128;
+    let test_case = TestCase {
+        order_side: order::Side::Buy,
+        fee_policy,
+        order_sell_amount: 20000000000000000000u128.into(),
+        solver_fee: Some(10000000000000000000u128.into()),
+        quote_sell_amount: quote_sell_amount.into(),
+        quote_buy_amount: quote_buy_amount.into(),
+        executed: executed_buy.into(),
+        executed_sell_amount: 20476294902986820618u128.into(),
+        // executed buy amount should match order buy amount
+        executed_buy_amount: executed_buy.into(),
+    };
+
+    protocol_fee_test_case(test_case).await;
+}
+
+#[tokio::test]
+#[ignore]
+async fn price_improvement_fee_sell_out_market_order() {
+    let quote_sell_amount = 21000000000000000000u128;
+    let quote_buy_amount = 18000000000000000000u128;
+    let fee_policy = FeePolicy::PriceImprovement {
+        factor: 0.5,
+        // high enough so we don't get capped by volume fee
+        max_volume_factor: 1.0,
+        quote: PriceImprovementQuote {
+            sell_amount: quote_sell_amount.into(),
+            buy_amount: quote_buy_amount.into(),
+            fee: 1000000000000000000u128.into(),
+        },
+    };
+    let order_sell_amount = 20000000000000000000u128;
+    let test_case = TestCase {
+        order_side: order::Side::Sell,
+        fee_policy,
+        order_sell_amount: order_sell_amount.into(),
+        solver_fee: Some(10000000000000000000u128.into()),
+        quote_sell_amount: quote_sell_amount.into(),
+        quote_buy_amount: quote_buy_amount.into(),
+        executed: 10000000000000000000u128.into(),
+        // executed sell amount should match order sell amount
+        executed_sell_amount: order_sell_amount.into(),
+        executed_buy_amount: 16753332193352853234u128.into(),
+    };
+
+    protocol_fee_test_case(test_case).await;
+}
+
+#[tokio::test]
+#[ignore]
+async fn price_improvement_fee_buy_in_market_order() {
+    let quote_sell_amount = 17000000000000000000u128;
+    let quote_buy_amount = 10000000000000000000u128;
+    let fee_policy = FeePolicy::PriceImprovement {
+        factor: 0.5,
+        // high enough so we don't get capped by volume fee
+        max_volume_factor: 1.0,
+        quote: PriceImprovementQuote {
+            sell_amount: quote_sell_amount.into(),
+            buy_amount: quote_buy_amount.into(),
+            fee: 1000000000000000000u128.into(),
+        },
+    };
+    let executed_buy_amount = 11764354070151352996u128;
+    let test_case = TestCase {
+        order_side: order::Side::Buy,
+        fee_policy,
+        order_sell_amount: 20000000000000000000u128.into(),
+        solver_fee: Some(10000000000000000000u128.into()),
+        quote_sell_amount: quote_sell_amount.into(),
+        quote_buy_amount: quote_buy_amount.into(),
+        executed: executed_buy_amount.into(),
+        executed_sell_amount: 20587918663136217696u128.into(),
+        // executed buy amount should match order buy amount
+        executed_buy_amount: executed_buy_amount.into(),
+    };
+
+    protocol_fee_test_case(test_case).await;
+}
+
+#[tokio::test]
+#[ignore]
+async fn price_improvement_fee_sell_in_market_order() {
+    let quote_sell_amount = 9000000000000000000u128;
+    let quote_buy_amount = 25000000000000000000u128;
+    let fee_policy = FeePolicy::PriceImprovement {
+        factor: 0.5,
+        // high enough so we don't get capped by volume fee
+        max_volume_factor: 1.0,
+        quote: PriceImprovementQuote {
+            sell_amount: quote_sell_amount.into(),
+            buy_amount: quote_buy_amount.into(),
+            fee: 1000000000000000000u128.into(),
+        },
+    };
+    let order_sell_amount = 10000000000000000000u128;
+    let test_case = TestCase {
+        order_side: order::Side::Sell,
+        fee_policy,
+        order_sell_amount: order_sell_amount.into(),
+        solver_fee: Some(5000000000000000000u128.into()),
+        quote_sell_amount: quote_sell_amount.into(),
+        quote_buy_amount: quote_buy_amount.into(),
+        executed: 5000000000000000000u128.into(),
+        // executed sell amount should match order sell amount
+        executed_sell_amount: order_sell_amount.into(),
+        executed_buy_amount: 26388750430470970935u128.into(),
+    };
+
+    protocol_fee_test_case(test_case).await;
+}
diff --git a/crates/driver/src/tests/setup/mod.rs b/crates/driver/src/tests/setup/mod.rs
@@ -72,13 +72,28 @@ pub enum Score {
     RiskAdjusted { success_probability: f64 },
 }
 
+#[serde_as]
+#[derive(Debug, Clone, PartialEq, serde::Serialize)]
+#[serde(rename_all = "camelCase", tag = "kind")]
+pub struct PriceImprovementQuote {
+    pub buy_amount: eth::U256,
+    pub sell_amount: eth::U256,
+    pub fee: eth::U256,
+}
+
 #[serde_as]
 #[derive(Debug, Clone, PartialEq, serde::Serialize)]
 #[serde(rename_all = "camelCase", tag = "kind")]
 pub enum FeePolicy {
     #[serde(rename_all = "camelCase")]
     Surplus { factor: f64, max_volume_factor: f64 },
     #[serde(rename_all = "camelCase")]
+    PriceImprovement {
+        factor: f64,
+        max_volume_factor: f64,
+        quote: PriceImprovementQuote,
+    },
+    #[serde(rename_all = "camelCase")]
     Volume { factor: f64 },
 }
 
@@ -94,6 +109,21 @@ impl FeePolicy {
                     "maxVolumeFactor": max_volume_factor
                 }
             }),
+            FeePolicy::PriceImprovement {
+                factor,
+                max_volume_factor,
+                quote,
+            } => json!({
+                "priceImprovement": {
+                    "factor": factor,
+                    "maxVolumeFactor": max_volume_factor,
+                    "quote": {
+                        "sellAmount": quote.sell_amount,
+                        "buyAmount": quote.buy_amount,
+                        "fee": quote.fee,
+                    }
+                }
+            }),
             FeePolicy::Volume { factor } => json!({
                 "volume": {
                     "factor": factor