84 lines
3.1 KiB
C#
84 lines
3.1 KiB
C#
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using System;
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namespace Decentralized.Domain
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{
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public enum Venue { Exchange, Dex, Darknet }
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/// <summary>
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/// 一个交易对 = 一个恒定乘积池（x·y = k）。Base 是被交易的币，Quote 是计价币；价格 = Quote 储备 / Base 储备。
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/// 每个交易对各有深度；夜间由 NPC 套利者把价格按比例拉向目标价。
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/// </summary>
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public sealed class Pool
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{
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public string Base, Quote;
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public Venue Venue;
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public double BaseReserve, QuoteReserve;
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public double Fee;
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public string Id => $"{Venue}:{Base}/{Quote}";
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public double Price => QuoteReserve / BaseReserve;
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public static Pool Create(Venue venue, string baseAsset, string quote, double price, double quoteDepth, double fee) =>
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new Pool { Venue = venue, Base = baseAsset, Quote = quote, QuoteReserve = quoteDepth, BaseReserve = quoteDepth / price, Fee = fee };
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/// <summary>预估：卖出 baseIn 个 Base 能得到多少 Quote（不改池子）。</summary>
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public double QuoteOut(double baseIn)
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{
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double x = BaseReserve + baseIn * (1 - Fee);
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return QuoteReserve - BaseReserve * QuoteReserve / x;
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}
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/// <summary>预估：花 quoteIn 个 Quote 能买到多少 Base（不改池子）。</summary>
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public double BaseOut(double quoteIn)
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{
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double y = QuoteReserve + quoteIn * (1 - Fee);
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return BaseReserve - BaseReserve * QuoteReserve / y;
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}
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/// <summary>卖出 Base，返回得到的 Quote。手续费留在池里。</summary>
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public double SellBase(double baseIn)
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{
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if (baseIn <= 0) return 0;
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double out_ = QuoteOut(baseIn);
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BaseReserve += baseIn;
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QuoteReserve -= out_;
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return out_;
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}
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/// <summary>用 Quote 买入 Base，返回得到的 Base。</summary>
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public double BuyBase(double quoteIn)
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{
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if (quoteIn <= 0) return 0;
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double out_ = BaseOut(quoteIn);
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QuoteReserve += quoteIn;
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BaseReserve -= out_;
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return out_;
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}
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/// <summary>一笔交易的价格冲击（交易后价格相对交易前的变化比例）。</summary>
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public double ImpactOfBuy(double quoteIn)
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{
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double before = Price;
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double y = QuoteReserve + quoteIn * (1 - Fee);
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double x = BaseReserve * QuoteReserve / y;
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return (y / x) / before - 1;
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}
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/// <summary>
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/// 夜间：价格在对数空间里向 target 靠拢 rate 的比例，同时把 Quote 一侧的深度重设为 quoteDepth。
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/// </summary>
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public void Revert(double target, double rate, double quoteDepth)
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{
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double lp = Math.Log(Price);
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lp += rate * (Math.Log(target) - lp);
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SetPrice(Math.Exp(lp), quoteDepth);
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}
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public void SetPrice(double price, double quoteDepth)
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{
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QuoteReserve = quoteDepth;
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BaseReserve = quoteDepth / price;
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}
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}
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}
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