From 7f6a079aa4b28fc6ce0428310c81061dbeea35a1 Mon Sep 17 00:00:00 2001
From: Gregory Tsipenyuk <gtsipenyuk@ripple.com>
Date: Sat, 4 May 2024 17:36:49 -0400
Subject: [PATCH] Fix offer crossing via single path AMM with transfer fee:

Single path AMM offer has to factor in the transfer in rate
when calculating the upper bound quality and the quality function
because single path AMM's offer quality is not constant.
This fix factors in the transfer fee in
BookStep::adjustQualityWithFees().
---
 src/ripple/app/paths/impl/BookStep.cpp |  57 +++++++-
 src/test/app/AMM_test.cpp              | 194 +++++++++++++++++++++++++
 2 files changed, 245 insertions(+), 6 deletions(-)

diff --git a/src/ripple/app/paths/impl/BookStep.cpp b/src/ripple/app/paths/impl/BookStep.cpp
index 9d5ceea82a8..65dc8351680 100644
--- a/src/ripple/app/paths/impl/BookStep.cpp
+++ b/src/ripple/app/paths/impl/BookStep.cpp
@@ -275,6 +275,7 @@ class BookPaymentStep : public BookStep<TIn, TOut, BookPaymentStep<TIn, TOut>>
 
     using BookStep<TIn, TOut, BookPaymentStep<TIn, TOut>>::BookStep;
     using BookStep<TIn, TOut, BookPaymentStep<TIn, TOut>>::qualityUpperBound;
+    using typename BookStep<TIn, TOut, BookPaymentStep<TIn, TOut>>::OfferType;
 
     // Never limit self cross quality on a payment.
     template <template <typename, typename> typename Offer>
@@ -328,7 +329,9 @@ class BookPaymentStep : public BookStep<TIn, TOut, BookPaymentStep<TIn, TOut>>
         ReadView const& v,
         Quality const& ofrQ,
         DebtDirection prevStepDir,
-        WaiveTransferFee waiveFee) const
+        WaiveTransferFee waiveFee,
+        OfferType,
+        Rules const&) const
     {
         // Charge the offer owner, not the sender
         // Charge a fee even if the owner is the same as the issuer
@@ -368,6 +371,8 @@ class BookOfferCrossingStep
 {
     using BookStep<TIn, TOut, BookOfferCrossingStep<TIn, TOut>>::
         qualityUpperBound;
+    using typename BookStep<TIn, TOut, BookOfferCrossingStep<TIn, TOut>>::
+        OfferType;
 
 private:
     // Helper function that throws if the optional passed to the constructor
@@ -513,7 +518,9 @@ class BookOfferCrossingStep
         ReadView const& v,
         Quality const& ofrQ,
         DebtDirection prevStepDir,
-        WaiveTransferFee waiveFee) const
+        WaiveTransferFee waiveFee,
+        OfferType offerType,
+        Rules const& rules) const
     {
         // Offer x-ing does not charge a transfer fee when the offer's owner
         // is the same as the strand dst. It is important that
@@ -521,7 +528,30 @@ class BookOfferCrossingStep
         // ignore strands whose quality cannot meet a minimum threshold).  When
         // calculating quality assume no fee is charged, or the estimate will no
         // longer be an upper bound.
-        return ofrQ;
+
+        // Single path AMM offer has to factor in the transfer in rate
+        // when calculating the upper bound quality and the quality function
+        // because single path AMM's offer quality is not constant.
+        if (!rules.enabled(fixAMMRounding))
+            return ofrQ;
+        else if (
+            offerType == OfferType::CLOB ||
+            (this->ammLiquidity_ && this->ammLiquidity_->multiPath()))
+            return ofrQ;
+
+        auto rate = [&](AccountID const& id) {
+            if (isXRP(id) || id == this->strandDst_)
+                return parityRate;
+            return transferRate(v, id);
+        };
+
+        auto const trIn =
+            redeems(prevStepDir) ? rate(this->book_.in.account) : parityRate;
+        // AMM doesn't pay the transfer fee on the out amount
+        auto const trOut = parityRate;
+
+        Quality const q1{getRate(STAmount(trOut.value), STAmount(trIn.value))};
+        return composed_quality(q1, ofrQ);
     }
 
     std::string
@@ -563,7 +593,12 @@ BookStep<TIn, TOut, TDerived>::qualityUpperBound(
         : WaiveTransferFee::No;
 
     Quality const q = static_cast<TDerived const*>(this)->adjustQualityWithFees(
-        v, std::get<Quality>(*res), prevStepDir, waiveFee);
+        v,
+        std::get<Quality>(*res),
+        prevStepDir,
+        waiveFee,
+        std::get<OfferType>(*res),
+        v.rules());
     return {q, dir};
 }
 
@@ -585,7 +620,12 @@ BookStep<TIn, TOut, TDerived>::getQualityFunc(
         auto static const qOne = Quality{STAmount::uRateOne};
         auto const q =
             static_cast<TDerived const*>(this)->adjustQualityWithFees(
-                v, qOne, prevStepDir, WaiveTransferFee::Yes);
+                v,
+                qOne,
+                prevStepDir,
+                WaiveTransferFee::Yes,
+                OfferType::AMM,
+                v.rules());
         if (q == qOne)
             return {res, dir};
         QualityFunction qf{q, QualityFunction::CLOBLikeTag{}};
@@ -595,7 +635,12 @@ BookStep<TIn, TOut, TDerived>::getQualityFunc(
 
     // CLOB
     Quality const q = static_cast<TDerived const*>(this)->adjustQualityWithFees(
-        v, *(res->quality()), prevStepDir, WaiveTransferFee::No);
+        v,
+        *(res->quality()),
+        prevStepDir,
+        WaiveTransferFee::No,
+        OfferType::CLOB,
+        v.rules());
     return {QualityFunction{q, QualityFunction::CLOBLikeTag{}}, dir};
 }
 
diff --git a/src/test/app/AMM_test.cpp b/src/test/app/AMM_test.cpp
index e2a50d95095..4e477da6903 100644
--- a/src/test/app/AMM_test.cpp
+++ b/src/test/app/AMM_test.cpp
@@ -3783,10 +3783,15 @@ struct AMM_test : public jtx::AMMTest
             {features});
 
         // Offer crossing IOU/IOU and transfer rate
+        // Single path AMM offer
         testAMM(
             [&](AMM& ammAlice, Env& env) {
                 env(rate(gw, 1.25));
                 env.close();
+                // This offer succeeds to cross pre- and post-amendment
+                // because the strand's out amount is small enough to match
+                // limitQuality value and limitOut() function in StrandFlow
+                // doesn't require an adjustment to out value.
                 env(offer(carol, EUR(100), GBP(100)));
                 env.close();
                 // No transfer fee
@@ -3802,6 +3807,195 @@ struct AMM_test : public jtx::AMMTest
             0,
             std::nullopt,
             {features});
+        // Single-path AMM offer
+        testAMM(
+            [&](AMM& amm, Env& env) {
+                env(rate(gw, 1.001));
+                env.close();
+                env(offer(carol, XRP(100), USD(55)));
+                env.close();
+                if (!features[fixAMMRounding])
+                {
+                    // Pre-amendment the transfer fee is not taken into
+                    // account when calculating the limit out based on
+                    // limitQuality. Carol pays 0.1% on the takerGets, which
+                    // lowers the overall quality. AMM offer is generated based
+                    // on higher limit out, which generates a larger offer
+                    // with lower quality. Consequently, the offer fails
+                    // to cross.
+                    BEAST_EXPECT(
+                        amm.expectBalances(XRP(1'000), USD(500), amm.tokens()));
+                    BEAST_EXPECT(expectOffers(
+                        env, carol, 1, {{Amounts{XRP(100), USD(55)}}}));
+                }
+                else
+                {
+                    // Post-amendment the transfer fee is taken into account
+                    // when calculating the limit out based on limitQuality.
+                    // This increases the limitQuality and decreases
+                    // the limit out. Consequently, AMM offer size is decreased,
+                    // and the quality is increased, matching the overall
+                    // quality.
+                    // AMM offer ~50USD/91XRP
+                    BEAST_EXPECT(amm.expectBalances(
+                        XRPAmount(909'090'909),
+                        STAmount{USD, UINT64_C(550'000000055), -9},
+                        amm.tokens()));
+                    // Offer ~91XRP/49.99USD
+                    BEAST_EXPECT(expectOffers(
+                        env,
+                        carol,
+                        1,
+                        {{Amounts{
+                            XRPAmount{9'090'909},
+                            STAmount{USD, 4'99999995, -8}}}}));
+                    // Carol pays 0.1% fee on ~50USD =~ 0.05USD
+                    BEAST_EXPECT(
+                        env.balance(carol, USD) ==
+                        STAmount(USD, UINT64_C(29'949'94999999494), -11));
+                }
+            },
+            {{XRP(1'000), USD(500)}},
+            0,
+            std::nullopt,
+            {features});
+        testAMM(
+            [&](AMM& amm, Env& env) {
+                env(rate(gw, 1.001));
+                env.close();
+                env(offer(carol, XRP(10), USD(5.5)));
+                env.close();
+                if (!features[fixAMMRounding])
+                {
+                    BEAST_EXPECT(amm.expectBalances(
+                        XRP(990),
+                        STAmount{USD, UINT64_C(505'050505050505), -12},
+                        amm.tokens()));
+                    BEAST_EXPECT(expectOffers(env, carol, 0));
+                }
+                else
+                {
+                    BEAST_EXPECT(amm.expectBalances(
+                        XRP(990),
+                        STAmount{USD, UINT64_C(505'0505050505051), -13},
+                        amm.tokens()));
+                    BEAST_EXPECT(expectOffers(env, carol, 0));
+                }
+            },
+            {{XRP(1'000), USD(500)}},
+            0,
+            std::nullopt,
+            {features});
+        // Multi-path AMM offer
+        testAMM(
+            [&](AMM& ammAlice, Env& env) {
+                Account const ed("ed");
+                fund(
+                    env,
+                    gw,
+                    {bob, ed},
+                    XRP(30'000),
+                    {GBP(2'000), EUR(2'000)},
+                    Fund::Acct);
+                env(rate(gw, 1.25));
+                env.close();
+                // The auto-bridge is worse quality than AMM, is not consumed
+                // first and initially forces multi-path AMM offer generation.
+                // Multi-path AMM offers are consumed until their quality
+                // is less than the auto-bridge offers quality. Auto-bridge
+                // offers are consumed afterward. Then the behavior is
+                // different pre-amendment and post-amendment.
+                env(offer(bob, GBP(10), XRP(10)), txflags(tfPassive));
+                env(offer(ed, XRP(10), EUR(10)), txflags(tfPassive));
+                env.close();
+                env(offer(carol, EUR(100), GBP(100)));
+                env.close();
+                if (!features[fixAMMRounding])
+                {
+                    // After the auto-bridge offers are consumed, single path
+                    // AMM offer is generated with the limit out not taking
+                    // into consideration the transfer fee. This results
+                    // in an overall lower quality offer than the limit quality
+                    // and the single path AMM offer fails to consume.
+                    // Total consumed ~37.06GBP/39.32EUR
+                    BEAST_EXPECT(ammAlice.expectBalances(
+                        STAmount{GBP, UINT64_C(1'037'06583722133), -11},
+                        STAmount{EUR, UINT64_C(1'060'684828792831), -12},
+                        ammAlice.tokens()));
+                    // Consumed offer ~49.32EUR/49.32GBP
+                    BEAST_EXPECT(expectOffers(
+                        env,
+                        carol,
+                        1,
+                        {Amounts{
+                            STAmount{EUR, UINT64_C(50'684828792831), -12},
+                            STAmount{GBP, UINT64_C(50'684828792831), -12}}}));
+                    BEAST_EXPECT(expectOffers(env, bob, 0));
+                    BEAST_EXPECT(expectOffers(env, ed, 0));
+
+                    // Initial 30,000 - ~47.06(offers = 37.06(AMM) + 10(LOB))
+                    // * 1.25
+                    //     = 58.825 = ~29941.17
+                    // carol bought ~72.93EUR at the cost of ~70.68GBP
+                    // the offer is partially consumed
+                    BEAST_EXPECT(expectLine(
+                        env,
+                        carol,
+                        STAmount{GBP, UINT64_C(29'941'16770347333), -11}));
+                    // Initial 30,000 + ~49.3(offers = 39.3(AMM) + 10(LOB))
+                    BEAST_EXPECT(expectLine(
+                        env,
+                        carol,
+                        STAmount{EUR, UINT64_C(30'049'31517120716), -11}));
+                }
+                else
+                {
+                    // After the auto-bridge offers are consumed, single path
+                    // AMM offer is generated with the limit out taking
+                    // into consideration the transfer fee. This results
+                    // in an overall quality offer matching the limit quality
+                    // and the single path AMM offer is consumed. More
+                    // liquidity is consumed overall in post-amendment.
+                    // Total consumed ~60.68GBP/62.93EUR
+                    BEAST_EXPECT(ammAlice.expectBalances(
+                        STAmount{GBP, UINT64_C(1'060'684828792832), -12},
+                        STAmount{EUR, UINT64_C(1'037'06583722134), -11},
+                        ammAlice.tokens()));
+                    // Consumed offer ~72.93EUR/72.93GBP
+                    BEAST_EXPECT(expectOffers(
+                        env,
+                        carol,
+                        1,
+                        {Amounts{
+                            STAmount{EUR, UINT64_C(27'06583722134028), -14},
+                            STAmount{GBP, UINT64_C(27'06583722134028), -14}}}));
+                    BEAST_EXPECT(expectOffers(env, bob, 0));
+                    BEAST_EXPECT(expectOffers(env, ed, 0));
+
+                    // Initial 30,000 - ~70.68(offers = 60.68(AMM) + 10(LOB))
+                    // * 1.25
+                    //     = 88.35 = ~29911.64
+                    // carol bought ~72.93EUR at the cost of ~70.68GBP
+                    // the offer is partially consumed
+                    BEAST_EXPECT(expectLine(
+                        env,
+                        carol,
+                        STAmount{GBP, UINT64_C(29'911'64396400896), -11}));
+                    // Initial 30,000 + ~72.93(offers = 62.93(AMM) + 10(LOB))
+                    BEAST_EXPECT(expectLine(
+                        env,
+                        carol,
+                        STAmount{EUR, UINT64_C(30'072'93416277865), -11}));
+                }
+                // Initial 2000 + 10 = 2010
+                BEAST_EXPECT(expectLine(env, bob, GBP(2'010)));
+                // Initial 2000 - 10 * 1.25 = 1987.5
+                BEAST_EXPECT(expectLine(env, ed, EUR(1'987.5)));
+            },
+            {{GBP(1'000), EUR(1'100)}},
+            0,
+            std::nullopt,
+            {features});
 
         // Payment and transfer fee
         // Scenario: