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more robust price math testing + add incomplete pair echidna test (Un…
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…iswap#98)

* add a pair test, price math test is failing

* echidna config

* short circuit

* try to handle more cases with safemath

* actually failing unit test from a failing echidna test

* remove comment

* messages

* fix bug in test

* more precise amountOut calculation

* what if you just add 1 (is it a truncation error?)

* it's not: Revert "what if you just add 1 (is it a truncation error?)"

This reverts commit 5915511

* remove amountInLessFee

* change the unit test to use the more precise amount out formula

* wrong price

* try rounding up before truncation

* another failing test

* try to find a test case that is more realistic

* use the echidna that works with larger contracts

* fix initialize in the uniswap v3 pair echidna test

* skip failing echidna 2

* describe test

* min/max price make echidna work

* get unit tests passing

* merge, turn on coverage

* fix unit tests

* remove comment

* round up again

* separate echidna tests
remove price assertions from uniswap v3 pair

* add todo for the broken case

* gas test

* fix casting

* do not actually initialize the pair

* remove creating a new pair from the echidna call options

* ok also initialize the pair but remove coverage

* swap0For1 test

* initialize

* add another failing test

* comment out the swap test so echidna passes
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moodysalem authored Oct 27, 2020
1 parent 7b3b390 commit b622342
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Showing 14 changed files with 331 additions and 103 deletions.
14 changes: 8 additions & 6 deletions .github/workflows/fuzz-testing.yml
Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,8 @@ on:
pull_request:

jobs:
fuzz-testing:
echidna:
name: Echidna
runs-on: ubuntu-latest

steps:
Expand Down Expand Up @@ -39,10 +40,11 @@ jobs:
- name: Install echidna
run: |
sudo wget -O /tmp/echidna-test.tar.gz https://github.com/crytic/echidna/releases/download/v1.5.1/echidna-test-v1.5.1-Ubuntu-18.04.tar.gz
sudo tar -xf /tmp/echidna-test.tar.gz -C /usr/bin
sudo wget -O /usr/bin/echidna-test https://moody-test-artifact-bucket.s3.amazonaws.com/echidna-test
sudo chmod +x /usr/bin/echidna-test
- name: Run echidna
run: |
echidna-test . --contract PriceMathEchidnaTest
- name: PriceMathEchidnaTest
run: echidna-test . --contract PriceMathEchidnaTest --config echidna.config.yml

- name: UniswapV3PairEchidnaTest
run: echidna-test . --contract UniswapV3PairEchidnaTest --config echidna.config.yml
3 changes: 2 additions & 1 deletion .github/workflows/static-analysis.yml
Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,8 @@ on:
pull_request:

jobs:
static-analysis:
slither:
name: Slither
runs-on: ubuntu-latest

steps:
Expand Down
1 change: 1 addition & 0 deletions .gitignore
Original file line number Diff line number Diff line change
@@ -1,3 +1,4 @@
node_modules/
build/
cache/
crytic-export/
75 changes: 22 additions & 53 deletions contracts/UniswapV3Pair.sol
Original file line number Diff line number Diff line change
Expand Up @@ -273,7 +273,7 @@ contract UniswapV3Pair is IUniswapV3Pair {
uint112 amount1,
int16 tick,
uint8 feeVote
) external lock returns (uint112 liquidity) {
) external override lock returns (uint112 liquidity) {
require(getVirtualSupply() == 0, 'UniswapV3: ALREADY_INITIALIZED'); // sufficient check
require(amount0 >= TOKEN_MIN, 'UniswapV3: AMOUNT_0_TOO_SMALL');
require(amount1 >= TOKEN_MIN, 'UniswapV3: AMOUNT_1_TOO_SMALL');
Expand Down Expand Up @@ -441,9 +441,8 @@ contract UniswapV3Pair is IUniswapV3Pair {

// update the position
positionProtocol.liquidity = positionProtocol.liquidity.add(liquidityProtocol).toUint112();
positionProtocol.liquidityAdjusted = (
FixedPoint.encode(positionProtocol.liquidity)._x / g._x
).toUint112();
positionProtocol.liquidityAdjusted = (FixedPoint.encode(positionProtocol.liquidity)._x / g._x)
.toUint112();
}
}

Expand Down Expand Up @@ -587,26 +586,6 @@ contract UniswapV3Pair is IUniswapV3Pair {
PriceMath.LP_FEE_BASE))
.toUint112();

// TODO remove this eventually, it's meant to ensure PriceMath.getInputToRatio is working correctly
{
FixedPoint.uq112x112 memory priceNext;
if (params.zeroForOne) {
priceNext = FixedPoint.fraction(
reserve1Virtual.sub(step.amountOut).toUint112(),
(uint256(reserve0Virtual) + step.amountIn).toUint112()
);
// TODO this should be <=
assert(priceNext._x >= step.nextPrice._x);
} else {
priceNext = FixedPoint.fraction(
(uint256(reserve1Virtual) + step.amountIn).toUint112(),
reserve0Virtual.sub(step.amountOut).toUint112()
);
// TODO this should be >=
assert(priceNext._x <= step.nextPrice._x);
}
}

// calculate the maximum output amount s.t. the reserves price is guaranteed to be as close as possible
// to the target price _without_ exceeding it
uint112 reserveInVirtualNext = (uint256(reserveInVirtual) + amountInRequiredForShift).toUint112();
Expand All @@ -624,16 +603,6 @@ contract UniswapV3Pair is IUniswapV3Pair {
reserve1Virtual = (uint256(reserve1Virtual) + step.amountIn).toUint112();
}

// TODO remove this eventually, it's meant to ensure our overshoot compensation logic is correct
{
FixedPoint.uq112x112 memory priceNext = FixedPoint.fraction(reserve1Virtual, reserve0Virtual);
if (params.zeroForOne) {
assert(priceNext._x >= step.nextPrice._x);
} else {
assert(priceNext._x <= step.nextPrice._x);
}
}

amountInRemaining = amountInRemaining.sub(step.amountIn).toUint112();
amountOut = (uint256(amountOut) + step.amountOut).toUint112();
}
Expand All @@ -649,18 +618,18 @@ contract UniswapV3Pair is IUniswapV3Pair {
for (uint8 i = 0; i < NUM_FEE_OPTIONS; i++) {
token1VirtualDelta += tickInfo.token1VirtualDeltas[i];
}

// TODO the price can change because of rounding error
// should adding/subtracting token{0,1}VirtualDelta to/from the current reserves ideally always move
// the price toward the direction we're moving (past the tick), if it has to move at all?
int256 token0VirtualDelta;
{
uint256 token0VirtualDeltaUnsigned = (uint256(token1VirtualDelta < 0
? -token1VirtualDelta
: token1VirtualDelta) << 112) / step.nextPrice._x;
token0VirtualDelta = token1VirtualDelta < 0
? -(token0VirtualDeltaUnsigned.toInt256())
: token0VirtualDeltaUnsigned.toInt256();
uint256 token0VirtualDeltaUnsigned = (uint256(
token1VirtualDelta < 0 ? -token1VirtualDelta : token1VirtualDelta
) << 112) / step.nextPrice._x;
token0VirtualDelta = token1VirtualDelta < 0
? -(token0VirtualDeltaUnsigned.toInt256())
: token0VirtualDeltaUnsigned.toInt256();
}

if (params.zeroForOne) {
Expand All @@ -674,21 +643,21 @@ contract UniswapV3Pair is IUniswapV3Pair {

// TODO remove this eventually, it's meant to show the direction of rounding
{
FixedPoint.uq112x112 memory priceNext = FixedPoint.fraction(reserve1Virtual, reserve0Virtual);
if (params.zeroForOne) {
if (token1VirtualDelta > 0) {
assert(priceNext._x <= step.nextPrice._x); // this should be ok, we're moving left
} else {
require(priceNext._x == step.nextPrice._x, 'UniswapV3: RIGHT_IS_WRONG');
}
} else {
if (token1VirtualDelta > 0) {
assert(priceNext._x >= step.nextPrice._x); // this should be ok, we're moving right
FixedPoint.uq112x112 memory priceNext = FixedPoint.fraction(reserve1Virtual, reserve0Virtual);
if (params.zeroForOne) {
if (token1VirtualDelta > 0) {
assert(priceNext._x <= step.nextPrice._x); // this should be ok, we're moving left
} else {
require(priceNext._x == step.nextPrice._x, 'UniswapV3: RIGHT_IS_WRONG');
}
} else {
require(priceNext._x == step.nextPrice._x, 'UniswapV3: LEFT_IS_NOT_RIGHT');
if (token1VirtualDelta > 0) {
assert(priceNext._x >= step.nextPrice._x); // this should be ok, we're moving right
} else {
require(priceNext._x == step.nextPrice._x, 'UniswapV3: LEFT_IS_NOT_RIGHT');
}
}
}
}

// update virtual supply
// TODO it may be possible to squeeze out a bit more precision under certain circumstances by:
Expand Down
8 changes: 8 additions & 0 deletions contracts/interfaces/IUniswapV3Pair.sol
Original file line number Diff line number Diff line change
Expand Up @@ -44,6 +44,14 @@ interface IUniswapV3Pair {

function getCumulativePrices() external view returns (uint256 price0Cumulative, uint256 price1Cumulative);

// initialize the pair
function initialize(
uint112 amount0,
uint112 amount1,
int16 tick,
uint8 feeVote
) external returns (uint112 liquidity);

// swapping
function swap0For1(
uint112 amount0In,
Expand Down
11 changes: 8 additions & 3 deletions contracts/libraries/PriceMath.sol
Original file line number Diff line number Diff line change
Expand Up @@ -8,6 +8,11 @@ library PriceMath {

uint16 public constant LP_FEE_BASE = 1e4; // i.e. 10k bips, 100%

// 2^112 - 1
// added to the input amount before truncating so that we always round up the amountIn returned by
// getInputToRatio
uint256 private constant ROUND_UP = 0xffffffffffffffffffffffffffff;

function getInputToRatio(
uint112 reserveIn,
uint112 reserveOut,
Expand All @@ -17,7 +22,7 @@ library PriceMath {
FixedPoint.uq112x112 memory reserveRatio = FixedPoint.fraction(reserveIn, reserveOut);
if (reserveRatio._x >= inOutRatio._x) return 0; // short-circuit if the ratios are equal

uint256 inputToRatio = getInputToRatioUQ128x128(reserveIn, reserveOut, lpFee, inOutRatio._x);
uint256 inputToRatio = getInputToRatioUQ144x112(reserveIn, reserveOut, lpFee, inOutRatio._x) + ROUND_UP;
require(inputToRatio >> 112 <= uint112(-1), 'PriceMath: TODO');
return uint112(inputToRatio >> 112);
}
Expand All @@ -26,11 +31,11 @@ library PriceMath {
* Calculate (y(g - 2) + sqrt (g^2 * y^2 + 4xyr(1 - g))) / 2(1 - g) * 2^112, where
* y = reserveIn,
* x = reserveOut,
* g = lpFee * 10^-6,
* g = lpFee * 10^-4,
* r = inOutRatio * 2^-112.
* Throw on overflow.
*/
function getInputToRatioUQ128x128(
function getInputToRatioUQ144x112(
uint256 reserveIn,
uint256 reserveOut,
uint256 lpFee,
Expand Down
71 changes: 43 additions & 28 deletions contracts/test/PriceMathEchidnaTest.sol
Original file line number Diff line number Diff line change
@@ -1,40 +1,55 @@
// SPDX-License-Identifier: GPL-3.0-or-later
pragma solidity >=0.5.0;
pragma solidity =0.6.12;

import '@uniswap/lib/contracts/libraries/FixedPoint.sol';
import '@openzeppelin/contracts/math/SafeMath.sol';

import '../libraries/PriceMath.sol';
import '../libraries/TickMath.sol';

contract PriceMathEchidnaTest {
uint112 reserveIn;
uint112 reserveOut;
uint16 lpFee;
uint224 inOutRatio;

uint112 amountIn;

function storeInputToRatio(
uint112 reserveIn_,
uint112 reserveOut_,
uint16 lpFee_,
uint224 inOutRatio_
) external {
require(reserveIn > 101 && reserveOut > 101 && lpFee < PriceMath.LP_FEE_BASE);

reserveIn = reserveIn_;
reserveOut = reserveOut_;
lpFee = lpFee_;
inOutRatio = inOutRatio_;

amountIn = PriceMath.getInputToRatio(reserveIn_, reserveOut_, lpFee_, FixedPoint.uq112x112(inOutRatio_));
using SafeMath for uint256;

uint256 MIN_PRICE;
uint256 MAX_PRICE;

constructor() public {
MIN_PRICE = uint256(TickMath.getRatioAtTick(TickMath.MIN_TICK)._x);
MAX_PRICE = uint256(TickMath.getRatioAtTick(TickMath.MAX_TICK)._x);
}

function echidna_ratioAfterAmountInAlwaysExceedsPrice() external view returns (bool) {
if (reserveIn == 0 || reserveOut == 0 || inOutRatio == 0) {
return true;
function getInputToRatioAlwaysExceedsNextPrice(
uint112 reserveIn,
uint112 reserveOut,
uint16 lpFee,
uint224 inOutRatio
) external view {
// UniswapV3Pair.TOKEN_MIN
require(reserveIn >= 101 && reserveOut >= 101);
require(lpFee < PriceMath.LP_FEE_BASE);
require(inOutRatio >= MIN_PRICE && inOutRatio <= MAX_PRICE);

uint256 priceBefore = (uint256(reserveIn) << 112) / reserveOut;

uint112 amountIn = PriceMath.getInputToRatio(reserveIn, reserveOut, lpFee, FixedPoint.uq112x112(inOutRatio));

if (amountIn == 0) {
// amountIn should only be 0 if the current price gte the inOutRatio
assert(priceBefore >= inOutRatio);
return;
}
uint256 amountInLessFee = (uint256(amountIn) * (PriceMath.LP_FEE_BASE - lpFee)) / PriceMath.LP_FEE_BASE;
uint256 amountOut = reserveOut - ((uint256(reserveIn) * reserveOut) / (uint256(reserveIn) + amountInLessFee));
return ((uint256(reserveIn) + amountIn) << 112) / (uint256(reserveOut) - amountOut) >= inOutRatio;

// the target next price is within 10%
// todo: can we remove this?
require(priceBefore.mul(110).div(100) >= inOutRatio);

uint256 amountOut = ((uint256(reserveOut) * amountIn * (PriceMath.LP_FEE_BASE - lpFee)) /
(uint256(amountIn) * (PriceMath.LP_FEE_BASE - lpFee) + uint256(reserveIn) * PriceMath.LP_FEE_BASE));

assert(amountOut > 0 && amountOut < reserveOut);

uint256 reserveOutAfter = uint256(reserveOut).sub(amountOut);

assert(((uint256(reserveIn).add(amountIn)) << 112) / reserveOutAfter >= inOutRatio);
}
}
71 changes: 71 additions & 0 deletions contracts/test/UniswapV3PairEchidnaTest.sol
Original file line number Diff line number Diff line change
@@ -0,0 +1,71 @@
// SPDX-License-Identifier: GPL-3.0-or-later
pragma solidity =0.6.12;

import '@uniswap/lib/contracts/libraries/FullMath.sol';
import '@uniswap/lib/contracts/libraries/FixedPoint.sol';
import '@openzeppelin/contracts/math/SafeMath.sol';

import './TestERC20.sol';
import '../UniswapV3Pair.sol';
import '../UniswapV3Factory.sol';
import '../libraries/SafeCast.sol';

contract UniswapV3PairEchidnaTest {
using SafeMath for uint256;
using SafeCast for uint256;

UniswapV3Factory factory;

TestERC20 token0;
TestERC20 token1;
UniswapV3Pair pair;

constructor() public {
factory = new UniswapV3Factory(address(this));
createNewPair(0, 1e18, 2);
}

function createNewPair(
int16 tick,
uint112 amount0,
uint8 feeVote
) private {
TestERC20 tokenA = new TestERC20(0);
TestERC20 tokenB = new TestERC20(0);
(token0, token1) = (address(tokenA) < address(tokenB) ? (tokenA, tokenB) : (tokenB, tokenA));
pair = UniswapV3Pair(factory.createPair(address(tokenA), address(tokenB)));
initialize(tick, amount0, feeVote);
}

function initialize(
int16 tick,
uint112 amount0,
uint8 feeVote
) private {
require(tick < TickMath.MAX_TICK && tick > TickMath.MIN_TICK);

FixedPoint.uq112x112 memory price = TickMath.getRatioAtTick(tick);
uint112 amount1 = FullMath.mulDiv(amount0, price._x, uint256(1) << 112).toUint112();

token0.mint(address(this), amount0);
token1.mint(address(this), amount1);

token0.approve(address(pair), amount0);
token1.approve(address(pair), amount1);

pair.initialize(amount0, amount1, tick, feeVote % pair.NUM_FEE_OPTIONS());
}

// function swap0For1(uint112 amount0In) external {
// token0.mint(address(this), amount0In);
// token0.approve(address(pair), amount0In);
// pair.swap0For1(amount0In, address(this), '');
// }

function echidna_isInitialized() external view returns (bool) {
return (address(token0) != address(0) &&
address(token1) != address(0) &&
address(factory) != address(0) &&
address(pair) != address(0));
}
}
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