curve twa

projects/subgraph-bean/src/Bean3CRVHandler_V1.ts

@@ -8,13 +8,22 @@ import {
   TokenExchangeUnderlying
 } from "../generated/Bean3CRV/Bean3CRV";
 import { loadBean, updateBeanSupplyPegPercent, updateBeanValues } from "./utils/Bean";
-import { BEAN_ERC20_V1 } from "../../subgraph-core/utils/Constants";
+import { BEAN_3CRV_V1, BEAN_ERC20_V1, CRV3_POOL_V1, LUSD_3POOL } from "../../subgraph-core/utils/Constants";
 import { toDecimal, ZERO_BD, ZERO_BI } from "../../subgraph-core/utils/Decimals";
-import { loadOrCreatePool, setPoolReserves, updatePoolPrice, updatePoolValues } from "./utils/Pool";
+import {
+  loadOrCreatePool,
+  loadOrCreatePoolDailySnapshot,
+  loadOrCreatePoolHourlySnapshot,
+  setPoolReserves,
+  updatePoolPrice,
+  updatePoolValues
+} from "./utils/Pool";
 import { Bean3CRV } from "../generated/Bean3CRV-V1/Bean3CRV";
 import { ERC20 } from "../generated/Bean3CRV-V1/ERC20";
 import { checkBeanCross } from "./utils/Cross";
-import { curveDeltaB, curvePriceAndLp } from "./utils/price/CurvePrice";
+import { curveDeltaB, curvePriceAndLp, curveTwaDeltaBAndPrice } from "./utils/price/CurvePrice";
+import { getTWAPrices } from "./utils/price/TwaOracle";
+import { TWAType } from "./utils/price/Types";
 
 export function handleTokenExchange(event: TokenExchange): void {
   // Do not index post-exploit data
@@ -196,3 +205,19 @@ function handleSwap(
   updatePoolPrice(poolAddress, timestamp, blockNumber, newPrice);
   checkBeanCross(BEAN_ERC20_V1.toHexString(), timestamp, blockNumber, oldBeanPrice, newPrice);
 }
+
+export function onSunriseSetCurveTwa(poolAddress: string, timestamp: BigInt, blockNumber: BigInt): void {
+  const twaBalances = getTWAPrices(poolAddress, TWAType.CURVE, timestamp);
+  const beanPool = Address.fromString(poolAddress);
+  const otherPool = beanPool == BEAN_3CRV_V1 ? CRV3_POOL_V1 : LUSD_3POOL;
+  const twaResult = curveTwaDeltaBAndPrice(twaBalances, beanPool, otherPool);
+
+  let poolHourly = loadOrCreatePoolHourlySnapshot(poolAddress, timestamp, blockNumber);
+  let poolDaily = loadOrCreatePoolDailySnapshot(poolAddress, timestamp, blockNumber);
+  poolHourly.twaDeltaBeans = twaResult.deltaB;
+  poolHourly.twaPrice = twaResult.price;
+  poolDaily.twaDeltaBeans = twaResult.deltaB;
+  poolDaily.twaPrice = twaResult.price;
+  poolHourly.save();
+  poolDaily.save();
+}

projects/subgraph-bean/src/BeanstalkHandler.ts

@@ -1,6 +1,6 @@
 import { Address, BigInt } from "@graphprotocol/graph-ts";
 import { Sunrise } from "../generated/Beanstalk/Beanstalk";
-import { getBeanTokenAddress, loadBean, updateBeanSeason, updateBeanTwaDeltaB, updateBeanValues } from "./utils/Bean";
+import { getBeanTokenAddress, loadBean, updateBeanSeason, updateBeanTwa, updateBeanValues } from "./utils/Bean";
 import { loadOrCreatePool, setPoolTwaDeltaB, updatePoolPrice, updatePoolSeason, updatePoolValues } from "./utils/Pool";
 import { BeanstalkPrice } from "../generated/Beanstalk/BeanstalkPrice";
 import {
@@ -153,18 +153,18 @@ export function handleSunrise(event: Sunrise): void {
       totalLiquidity.minus(bean.liquidityUSD)
     );
     checkBeanCross(BEAN_ERC20_V1.toHexString(), event.block.timestamp, event.block.number, bean.price, totalPrice);
-    updateBeanTwaDeltaB(event.block.timestamp, event.block.number);
+    updateBeanTwa(event.block.timestamp, event.block.number);
   }
 }
 
 // POST REPLANT TWA DELTAB //
 
 export function handleMetapoolOracle(event: MetapoolOracle): void {
   setPoolTwaDeltaB(BEAN_3CRV.toHexString(), event.params.deltaB, event.block.timestamp, event.block.number);
-  updateBeanTwaDeltaB(event.block.timestamp, event.block.number);
+  updateBeanTwa(event.block.timestamp, event.block.number);
 }
 
 export function handleWellOracle(event: WellOracle): void {
   setPoolTwaDeltaB(event.params.well.toHexString(), event.params.deltaB, event.block.timestamp, event.block.number);
-  updateBeanTwaDeltaB(event.block.timestamp, event.block.number);
+  updateBeanTwa(event.block.timestamp, event.block.number);
 }

projects/subgraph-bean/src/UniswapV2Handler.ts

@@ -1,8 +1,8 @@
-import { BigDecimal, BigInt } from "@graphprotocol/graph-ts";
+import { BigDecimal, BigInt, log } from "@graphprotocol/graph-ts";
 import { Swap, Sync } from "../generated/BeanUniswapV2Pair/UniswapV2Pair";
 import { loadBean, updateBeanSupplyPegPercent, updateBeanValues } from "./utils/Bean";
-import { BEAN_ERC20_V1, BEANSTALK, WETH, WETH_USDC_PAIR } from "../../subgraph-core/utils/Constants";
-import { BI_10, toDecimal, ZERO_BD, ZERO_BI } from "../../subgraph-core/utils/Decimals";
+import { BEAN_ERC20_V1, WETH } from "../../subgraph-core/utils/Constants";
+import { toDecimal, ZERO_BD, ZERO_BI } from "../../subgraph-core/utils/Decimals";
 import {
   loadOrCreatePool,
   loadOrCreatePoolDailySnapshot,
@@ -13,9 +13,15 @@ import {
 } from "./utils/Pool";
 import { loadOrCreateToken } from "./utils/Token";
 import { checkBeanCross } from "./utils/Cross";
-import { uniswapV2DeltaB, uniswapV2Price, uniswapV2Reserves, updatePreReplantPriceETH } from "./utils/price/UniswapPrice";
-import { PreReplant } from "../generated/Beanstalk/PreReplant";
-import { getTWAPrices, TWAType } from "./utils/price/TwaOracle";
+import {
+  uniswapTwaDeltaBAndPrice,
+  uniswapV2DeltaB,
+  uniswapV2Price,
+  uniswapV2Reserves,
+  updatePreReplantPriceETH
+} from "./utils/price/UniswapPrice";
+import { getTWAPrices } from "./utils/price/TwaOracle";
+import { TWAType } from "./utils/price/Types";
 
 // export function handleMint(event: Mint): void {
 //   updatePoolReserves(event.address.toHexString(), event.params.amount0, event.params.amount1, event.block.number);
@@ -110,31 +116,15 @@ export function handleSync(event: Sync): void {
 }
 
 export function onSunriseSetUniswapV2Twa(poolAddress: string, timestamp: BigInt, blockNumber: BigInt): void {
-  const prices = getTWAPrices(poolAddress, TWAType.UNISWAP, timestamp);
-
-  let beanstalk = PreReplant.bind(BEANSTALK);
-  let reserves: BigInt[];
-  // After BIP-9, reserves calculation changes
-  if (blockNumber.lt(BigInt.fromU64(13953949))) {
-    const result = beanstalk.reserves();
-    reserves = [result.value0, result.value1];
-  } else {
-    const result = beanstalk.lockedReserves();
-    reserves = [result.value0, result.value1];
-  }
-
-  const mulReserves = reserves[0].times(reserves[1]).times(BI_10.pow(6));
-  const currentBeans = mulReserves.div(prices[0]).sqrt();
-  const targetBeans = mulReserves.div(prices[1]).sqrt();
-  const deltaB = targetBeans.minus(currentBeans);
-  const twaPrice = BigDecimal.fromString(prices[0].toString()).div(BigDecimal.fromString(prices[1].toString()));
+  const twaPrices = getTWAPrices(poolAddress, TWAType.UNISWAP, timestamp);
+  const twaResult = uniswapTwaDeltaBAndPrice(twaPrices, blockNumber);
 
   let poolHourly = loadOrCreatePoolHourlySnapshot(poolAddress, timestamp, blockNumber);
   let poolDaily = loadOrCreatePoolDailySnapshot(poolAddress, timestamp, blockNumber);
-  poolHourly.twaDeltaBeans = deltaB;
-  poolHourly.twaPrice = twaPrice;
-  poolDaily.twaDeltaBeans = deltaB;
-  poolDaily.twaPrice = twaPrice;
+  poolHourly.twaDeltaBeans = twaResult.deltaB;
+  poolHourly.twaPrice = twaResult.price;
+  poolDaily.twaDeltaBeans = twaResult.deltaB;
+  poolDaily.twaPrice = twaResult.price;
   poolHourly.save();
   poolDaily.save();
 }

projects/subgraph-bean/src/utils/Bean.ts

@@ -1,4 +1,4 @@
-import { BigDecimal, BigInt } from "@graphprotocol/graph-ts";
+import { BigDecimal, BigInt, log } from "@graphprotocol/graph-ts";
 import { Bean, BeanDailySnapshot, BeanHourlySnapshot, Pool } from "../../generated/schema";
 import {
   BEAN_3CRV,
@@ -10,7 +10,7 @@ import {
   BEAN_LUSD_V1
 } from "../../../subgraph-core/utils/Constants";
 import { dayFromTimestamp, hourFromTimestamp } from "../../../subgraph-core/utils/Dates";
-import { toDecimal, ZERO_BD, ZERO_BI } from "../../../subgraph-core/utils/Decimals";
+import { ONE_BD, toDecimal, ZERO_BD, ZERO_BI } from "../../../subgraph-core/utils/Decimals";
 import { getV1Crosses } from "./Cross";
 import { loadOrCreatePool, loadOrCreatePoolHourlySnapshot } from "./Pool";
 
@@ -51,6 +51,7 @@ export function loadOrCreateBeanHourlySnapshot(token: string, timestamp: BigInt,
     snapshot.volumeUSD = bean.volumeUSD;
     snapshot.liquidityUSD = bean.liquidityUSD;
     snapshot.price = bean.price;
+    snapshot.twaPrice = ZERO_BD;
     snapshot.crosses = bean.crosses;
     snapshot.deltaVolume = ZERO_BI;
     snapshot.deltaVolumeUSD = ZERO_BD;
@@ -80,6 +81,7 @@ export function loadOrCreateBeanDailySnapshot(token: string, timestamp: BigInt):
     snapshot.volumeUSD = bean.volumeUSD;
     snapshot.liquidityUSD = bean.liquidityUSD;
     snapshot.price = bean.price;
+    snapshot.twaPrice = ZERO_BD;
     snapshot.crosses = bean.crosses;
     snapshot.deltaVolume = ZERO_BI;
     snapshot.deltaVolumeUSD = ZERO_BD;
@@ -216,20 +218,28 @@ export function updateInstDeltaB(token: string, blockNumber: BigInt, timestamp:
   beanDaily.save();
 }
 
-export function updateBeanTwaDeltaB(timestamp: BigInt, blockNumber: BigInt): void {
+// Update Bean's TWA deltaB and price. Individual pools' values must be computed prior to calling this method.
+export function updateBeanTwa(timestamp: BigInt, blockNumber: BigInt): void {
   let beanAddress = getBeanTokenAddress(blockNumber);
   let bean = loadBean(beanAddress);
   let beanHourly = loadOrCreateBeanHourlySnapshot(beanAddress, timestamp, bean.lastSeason);
   let beanDaily = loadOrCreateBeanDailySnapshot(beanAddress, timestamp);
 
-  let cumulativeDeltaB = ZERO_BI;
+  let twaDeltaB = ZERO_BI;
+  let weightedTwaPrice = ZERO_BD;
   for (let i = 0; i < bean.pools.length; i++) {
     let poolHourly = loadOrCreatePoolHourlySnapshot(bean.pools[i], timestamp, blockNumber);
-    cumulativeDeltaB = cumulativeDeltaB.plus(poolHourly.twaDeltaBeans);
+    twaDeltaB = twaDeltaB.plus(poolHourly.twaDeltaBeans);
+    weightedTwaPrice = weightedTwaPrice.plus(poolHourly.twaPrice.times(poolHourly.liquidityUSD));
   }
 
-  beanHourly.twaDeltaB = cumulativeDeltaB;
-  beanDaily.twaDeltaB = cumulativeDeltaB;
+  // Assumption is that total bean liquidity was already summed earlier in the same event's processing
+  const twaPrice = weightedTwaPrice.div(bean.liquidityUSD != ZERO_BD ? bean.liquidityUSD : ONE_BD);
+
+  beanHourly.twaDeltaB = twaDeltaB;
+  beanHourly.twaPrice = twaPrice;
+  beanDaily.twaDeltaB = twaDeltaB;
+  beanDaily.twaPrice = twaPrice;
   beanHourly.save();
   beanDaily.save();
 }

projects/subgraph-bean/src/utils/Pool.ts

@@ -43,6 +43,7 @@ export function loadOrCreatePoolHourlySnapshot(pool: string, timestamp: BigInt,
     snapshot.pool = pool;
     snapshot.reserves = currentPool.reserves;
     snapshot.lastPrice = currentPool.lastPrice;
+    snapshot.twaPrice = ZERO_BD;
     snapshot.volume = currentPool.volume;
     snapshot.volumeUSD = currentPool.volumeUSD;
     snapshot.liquidityUSD = currentPool.liquidityUSD;
@@ -74,6 +75,7 @@ export function loadOrCreatePoolDailySnapshot(pool: string, timestamp: BigInt, b
     snapshot.pool = pool;
     snapshot.reserves = currentPool.reserves;
     snapshot.lastPrice = currentPool.lastPrice;
+    snapshot.twaPrice = ZERO_BD;
     snapshot.volume = currentPool.volume;
     snapshot.volumeUSD = currentPool.volumeUSD;
     snapshot.liquidityUSD = currentPool.liquidityUSD;

projects/subgraph-bean/src/utils/price/CurvePrice.ts

@@ -1,9 +1,10 @@
 import { Address, BigDecimal, BigInt } from "@graphprotocol/graph-ts";
 import { Bean3CRV } from "../../../generated/Bean3CRV-V1/Bean3CRV";
-import { BI_10, toDecimal, ZERO_BD, ZERO_BI } from "../../../../subgraph-core/utils/Decimals";
+import { BI_10, ONE_BI, toDecimal, ZERO_BD, ZERO_BI } from "../../../../subgraph-core/utils/Decimals";
 import { BEAN_3CRV_V1, BEAN_LUSD_V1, CALCULATIONS_CURVE, CRV3_POOL_V1, LUSD, LUSD_3POOL } from "../../../../subgraph-core/utils/Constants";
 import { CalculationsCurve } from "../../../generated/Bean3CRV-V1/CalculationsCurve";
 import { ERC20 } from "../../../generated/Bean3CRV-V1/ERC20";
+import { DeltaBAndPrice } from "./Types";
 
 // Note that the Bean3CRV type applies to any curve pool (including lusd)
 
@@ -41,6 +42,7 @@ export function curvePriceAndLp(pool: Address): BigDecimal[] {
   return [beanPrice, lpValue];
 }
 
+// TODO: this logic can be refactored to remove the contract calls and instead use getD method.
 // Returns the deltaB in the given curve pool
 export function curveDeltaB(pool: Address, beanReserves: BigInt): BigInt {
   let lpContract = Bean3CRV.bind(pool);
@@ -52,40 +54,73 @@ export function curveDeltaB(pool: Address, beanReserves: BigInt): BigInt {
   return deltaB;
 }
 
-// // Based on get_D from dune query here https://dune.com/queries/3561823/5993924
-// export function get_D(xp: Array<f64>, amp: f64, n_coins: i32, a_precision: i32): f64 {
-//     let s: f64 = 0;
-//     let d_prev: f64 = 0;
-//     let d: f64;
-//     let ann: f64;
-//     let d_p: f64;
-
-//     for (let i = 0; i < xp.length; i++) {
-//         s += xp[i];
-//     }
-
-//     if (s == 0) {
-//         return 0;
-//     }
-//     d = s;
-//     ann = amp * n_coins;
-
-//     let _i: i32 = 0;
-//     while (_i < 255) {
-//         d_p = d;
-//         for (let j = 0; j < xp.length; j++) {
-//             d_p = d_p * d / (xp[j] * n_coins);
-//         }
-//         d_prev = d;
-//         d = (ann * s / a_precision + d_p * n_coins) * d / ((ann - a_precision) * d / a_precision + (n_coins + 1) * d_p);
-
-//         if ((d > d_prev && d - d_prev <= 1) || (d_prev > d && d_prev - d <= 1)) {
-//             break;
-//         }
-//         _i++;
-//     }
-//     return d;
-// }
+export function curveCumulativePrices(pool: Address, timestamp: BigInt): BigInt[] {
+  let curve = Bean3CRV.bind(pool);
+  const cumulativeLast = curve.get_price_cumulative_last();
+  const currentBalances = curve.get_balances();
+  const lastTimestamp = curve.block_timestamp_last();
+
+  const deltaLastTimestamp = timestamp.minus(lastTimestamp);
+  const cumulativeBalances = [
+    cumulativeLast[0].plus(currentBalances[0].times(deltaLastTimestamp)),
+    cumulativeLast[1].plus(currentBalances[1].times(deltaLastTimestamp))
+  ];
+  return cumulativeBalances;
+}
+
+// beanPool is the pool with beans trading against otherPool's tokens.
+// otherPool is needed to get the virtual price of that token beans are trading against.
+export function curveTwaDeltaBAndPrice(twaBalances: BigInt[], beanPool: Address, otherPool: Address): DeltaBAndPrice {
+  let beanCurve = Bean3CRV.bind(beanPool);
+  const bean_A = beanCurve.A_precise();
+  let otherCurve = Bean3CRV.bind(otherPool);
+  const other_A = otherCurve.A_precise();
+
+  const xp = [twaBalances[0].times(BI_10.pow(12)), twaBalances[1].times(other_A).div(BI_10.pow(18))];
+
+  const D = getD(xp, bean_A);
+
+  return {
+    deltaB: D.div(BigInt.fromU32(2)).div(BI_10.pow(12)).minus(twaBalances[0]),
+    price: ZERO_BD // TODO
+  };
+}
+
+// Generated from functions in LibCurve.sol
+function getD(xp: BigInt[], a: BigInt): BigInt {
+  const A_PRECISION = BigInt.fromU32(100);
+  const N_COINS = BigInt.fromU32(2);
+
+  let S: BigInt = BigInt.fromString("0");
+  let Dprev: BigInt;
+  let D: BigInt = BigInt.fromString("0");
+
+  // Summing elements in the array
+  for (let i = 0; i < xp.length; ++i) {
+    S = S.plus(xp[i]);
+  }
+  if (S.toString() == "0") return BigInt.fromString("0");
+
+  D = S;
+  let Ann: BigInt = a.times(N_COINS);
+
+  for (let i = 0; i < 256; ++i) {
+    let D_P: BigInt = D;
+    for (let j = 0; j < xp.length; ++j) {
+      D_P = D_P.times(D).div(xp[j].times(N_COINS));
+    }
+    Dprev = D;
+    let num: BigInt = Ann.times(S).div(A_PRECISION).plus(D_P.times(N_COINS)).times(D);
+    let denom: BigInt = Ann.minus(A_PRECISION).times(D).div(A_PRECISION).plus(N_COINS.plus(ONE_BI).times(D_P));
+    D = num.div(denom);
+
+    // Check convergence
+    if (D == Dprev || D.minus(Dprev) == ONE_BI || Dprev.minus(D) == ONE_BI) {
+      return D;
+    }
+  }
+  throw new Error("Price: Convergence false");
+}
 
 // // Based on get_y from dune query here https://dune.com/queries/3561823/5993924
 // export function get_y(i: i32, j: i32, x: f64, xp: Array<f64>, amp: f64, n_coins: i32, a_precision: i32): f64 {