core-chain/arbitrage/calc_utils.go

package arbitrage

import (
	"fmt"
	"github.com/shopspring/decimal"
)

func SimulationLevel2Path(path Path) {
	if path.Level != 2 {
		HistoryError(fmt.Sprintf("Level error. Need %v, but got %v.", 2, path.Level))

		return
	}

	fm0 := path.FmList[0]
	fm1 := path.FmList[1]

	// fee0, fee1
	fee0 := decimal.NewFromInt(fm0.Fee)
	fee1 := decimal.NewFromInt(fm1.Fee)

	decimalNumber1 := decimal.NewFromInt(1)
	decimalNumber1e6 := decimal.NewFromInt(1).Pow(decimal.NewFromInt(6))

	// F0 = 1 - fee0/1e6
	F0 := decimalNumber1.Sub(fee0.Div(decimalNumber1e6))
	// F1 = 1 - fee1/1e6
	F1 := decimalNumber1.Sub(fee1.Div(decimalNumber1e6))

	// B0, S0
	B0, _ := decimal.NewFromString(fm0.InReserve.String())
	S0, _ := decimal.NewFromString(fm0.OutReserve.String())
	// B1, S1
	B1, _ := decimal.NewFromString(fm1.InReserve.String())
	S1, _ := decimal.NewFromString(fm1.OutReserve.String())

	// F0 * F1 * S0
	part00 := F0.Mul(F1.Mul(S0))
	// B1 * F0
	part01 := B1.Mul(F0)
	// F0 * F1 * S0 + B1 * F0
	part0 := part00.Add(part01)

	// if F0*F1*S0 + B1*F0 == 0
	if part0.IntPart() == 0 {
		HistoryError(fmt.Sprintf("Is error part0. F0=%v, F1=%v, S0=%v, B1=%v, F0=%v.", F0, F1, S0, B1, F0))

		return
	}

	// B0 * B1
	part10 := B0.Mul(B1)
	// F0 * F1
	part11 := F0.Mul(F1)
	// S0 * S1
	part12 := S0.Mul(S1)
	// B0 * B1 * F0 * F1 * S0 * S1 ** 0.5
	part1 := part10.Mul(part11.Mul(part12)).Pow(decimal.NewFromFloat(0.5)).Sub(part10)

	// best input number
	I := part1.Div(part0)

	HistoryInfo(fmt.Sprintf("part0=%v, part1=%v, I=%v.", part0, part1, I))
}