31:T416,md`The figures in the Target Price Update chapter are based on simple assumptions to generate a toy model of the system. These assumptions are that the Basket Factor is mainly influenced by the change in ETH price. Furthermore, all other factors which will influence how well the Basket Factor is rebalanced after each auction are captured by one parameter "auction effectiveness". These other factors are the amount of FLOAT in circulation vs automated market maker (AMM) pools, the amount of BANK in circulation vs AMM pools, the efficiency of each auction, and the BANK price. Here, we bring the two previous chapters together, pairing auctions with the target price update function. In the figures below, we try and simulate how the target price would behave against real ETH data, with a simulated FLOAT-ETH pool, BANK-ETH pool, randomly generated FLOAT market price data and complete auctions occurring once every 24 hours. Here the reader can pick a start date and see how the target price changes against ETH for a period of 6 months. `32:T6cc,{ const target_change = data[1]; // Mapping const x = d3 .scaleUtc() .domain(d3.extent(ethReal, d => d.timestamp)) .range([margin.left, width - margin.right]); const y = d3 .scaleLinear() .domain(d3.extent(ethReal, d => d.granularChange)) .range([height - margin.bottom, margin.top]); // Lines const change_line = d3 .line() .x(d => x(d.timestamp)) .y(d => y(d.granularChange)); // Axes const xAxis = g => g.attr("transform", `translate(0,${height - margin.bottom})`).call( d3 .axisBottom(x) .ticks(width / 80) .tickSizeOuter(0) ); const yAxis = g => g .attr("transform", `translate(${margin.left}, 0)`) .call(d3.axisLeft(y).ticks(height / 40, ".0%")) .call(g => g.select(".domain").remove()); const data_points = t * ethReal.length; return html``; }33:Ta33,{ const test = data[1]; // pull in target price data const basket_change = data[2]; const bank_change = data[3]; // Mappings const x = d3 .scaleUtc() .domain(d3.extent(ethReal, d => d.timestamp)) .range([margin.left, width - margin.right]); const y = d3 .scaleLinear() .domain([ 0, d3.max(basket_change, d => d.percentage) > d3.max(bank_change, d => d.percentage) ? d3.max(basket_change, d => d.percentage) : d3.max(bank_change, d => d.percentage) ]) // Credit to justwanttoknowathing for being awesome! .range([height - margin.bottom, margin.top]); // Lines const line = d3 .line() .x(d => x(d.timestamp)) .y(d => y(d.percentage)); // Axes const xAxis = g => g.attr("transform", `translate(0,${height - margin.bottom})`).call( d3 .axisBottom(x) .ticks(width / 80) .tickSizeOuter(0) ); const yAxis = g => g .attr("transform", `translate(${margin.left}, 0)`) .call(d3.axisLeft(y).ticks(height / 40, ".0%")) .call(g => g.select(".domain").remove()); const data_points = t * ethReal.length; return html``; }34:T731,ETHPrices20202H = [ 225.59, 230.66, 226.57, 225.18, 229.09, 227.9, 241.53, 238.96, 246.86, 241.98, 240.95, 239.1, 241.77, 239.64, 240.25, 238.66, 233.84, 232.78, 235.68, 238.9, 236.06, 245.23, 263.76, 274.72, 279.43, 305.04, 310.52, 320.48, 316.41, 317.54, 334.74, 346, 387.94, 370.73, 386.25, 389.38, 400.18, 394.54, 379.14, 391.48, 389.62, 395.21, 379.17, 387.5, 427.49, 438.76, 432.65, 433.43, 430.03, 422.11, 406.57, 416.47, 386.82, 395.89, 390.79, 408.27, 383.66, 385.75, 381.84, 395.14, 399.37, 428.3, 435.69, 475.68, 439.35, 383.69, 387.9, 334.47, 352.99, 351.88, 337.85, 351.23, 367.64, 373.91, 387.72, 365.7, 376.39, 364.69, 365.13, 388.8, 383.17, 385.47, 370.97, 341.28, 343.92, 321.08, 348.82, 351.33, 354.26, 357.07, 354.43, 359.43, 359.6, 353.2, 345.91, 345.99, 352.46, 353.6, 340.62, 341.44, 350.06, 365.34, 370.47, 374.5, 387.26, 381.17, 379.21, 377.16, 365.99, 368.65, 378.05, 379.64, 368.23, 391.17, 413.2, 408.89, 411.96, 406.16, 393.38, 403.53, 388.88, 386.45, 382.9, 385.84, 394.94, 383.85, 387.62, 401.73, 415.93, 454.65, 435.42, 455.36, 445.05, 449.82, 463.18, 462.21, 475.97, 462.72, 449.21, 461.37, 482.2, 479.44, 471.32, 508.79, 548.84, 560.51, 608.27, 602.67, 568.28, 518.47, 517.55, 537.39, 574.75, 612.26, 589.58, 598.76, 616.51, 571.19, 595.92, 601.97, 592.39, 554.33, 573.9, 560.45, 545.98, 568.36, 590.32, 585.54, 589.07, 635.96, 644.07, 654.42, 659.32, 639.52, 610.43, 634.98, 587.96, 612.88, 626.46, 636.74, 689.66, 732.96, 735.59, 752.86 ]35:T71e,ETHPrices20201H = [ 129.19, 130.48, 127.05, 133.7, 134.14, 135.01, 143.81, 143.02, 140.27, 137.86, 144.6, 142.18, 145.42, 143.59, 165.99, 166.25, 163.81, 171.16, 174.24, 166.63, 166.94, 169.28, 167.83, 162.52, 162.41, 160.67, 167.65, 169.74, 175.19, 173.71, 184.73, 179.23, 183.34, 188.55, 189.86, 188.84, 203.86, 212.73, 223.28, 223.3, 228.29, 224.15, 236.79, 264.03, 267.67, 284.23, 263.9, 262.16, 267.94, 281.95, 259.18, 257.99, 265.16, 261, 274.63, 265.24, 248.32, 224.81, 225.43, 227.71, 218.35, 218.94, 231.68, 223.96, 224.13, 228.08, 244.24, 237.38, 198.82, 200.85, 200.75, 194.22, 110.6, 132.57, 123.03, 124.6, 110.99, 117.22, 117.7, 136.81, 131.96, 131.94, 122.52, 135.59, 138.78, 136.23, 138.77, 130.29, 131.42, 125.32, 132.36, 133.24, 136.22, 141.45, 141.26, 144.2, 142.85, 169.86, 164.52, 172.8, 170.1, 157.74, 158.33, 158.86, 156.7, 158.27, 153.22, 171.78, 170.45, 187.14, 180.06, 170.7, 170.45, 182.28, 184.59, 187.34, 194.11, 197.23, 196.46, 197.15, 215.55, 205.56, 211.97, 213.94, 210.02, 206.83, 205.23, 200.25, 212.29, 211.69, 210.43, 188.14, 185.67, 189.31, 199.37, 203.21, 194.27, 200.58, 206.77, 214.36, 213.69, 209.92, 198.92, 206.23, 206.41, 200.69, 203.81, 200.96, 207.85, 219.59, 220.49, 242.71, 232.33, 248.04, 237.27, 244.13, 243.71, 240.25, 242.02, 244.23, 246.21, 243.85, 247.54, 232, 237.59, 238.29, 232.11, 231.02, 235.29, 233.86, 231.68, 228.96, 228.87, 227.79, 243.36, 243.08, 234.56, 232.65, 229.64, 221.03, 225.12, 228.21 ]36:T58bc,data = { // Creat data Frame to store data for plotting let dataFrame = []; let normalisedETHPrices = []; for (let x = 0; x < ethReal.length; x++) { var normalisedPrice = ethReal[x].price / ethReal[0].price; normalisedETHPrices.push(normalisedPrice); } class AMMPool { constructor(tokenAName, tokenAAmount, tokenBName, tokenBAmount) { this.tokenAName = tokenAName.toUpperCase(); this.tokenAAmount = tokenAAmount; this.tokenBName = tokenBName.toUpperCase(); this.tokenBAmount = tokenBAmount; this.product = tokenAAmount * tokenBAmount; } swap(name, amount) { if (this.tokenAName == name.toUpperCase() && amount >= 0) { this.tokenAAmount += amount; var oldTokenBAmount = this.tokenBAmount; this.tokenBAmount = this.product / this.tokenAAmount; return oldTokenBAmount - this.tokenBAmount; } else if (this.tokenBName == name.toUpperCase() && amount >= 0) { this.tokenBAmount += amount; var oldTokenAAmount = this.tokenAAmount; this.tokenAAmount = this.product / this.tokenBAmount; return oldTokenAAmount - this.tokenAAmount; } else { //console.log('something went wrong - swapTokensForTokens'); return false; } } changeLiquidity(name, amount) { if ( this.tokenAName == name.toUpperCase() && this.tokenAAmount + amount >= 0 ) { var oldTokenAAmount = this.tokenAAmount; this.tokenAAmount += amount; var tokenMultiple = this.tokenAAmount / oldTokenAAmount; this.tokenBAmount *= tokenMultiple; this.product = this.tokenAAmount * this.tokenBAmount; return true; } else if ( this.tokenBName == name.toUpperCase() && this.tokenBAmount + amount >= 0 ) { var oldTokenBAmount = this.tokenBAmount; this.tokenBAmount += amount; var tokenMultiple = this.tokenBAmount / oldTokenBAmount; this.tokenAAmount *= tokenMultiple; this.product = this.tokenAAmount * this.tokenBAmount; return true; } else { //console.log('something went wrong - changeLiquidityInToken'); return false; } } priceInToken(name) { if (this.tokenAName == name.toUpperCase()) { return this.tokenAAmount / this.tokenBAmount; } else if (this.tokenBName == name.toUpperCase()) { return this.tokenBAmount / this.tokenAAmount; } else { //console.log('something went wrong - priceInToken'); return false; } } amountOfToken(name) { if (this.tokenAName == name.toUpperCase()) { return this.tokenAAmount; } else if (this.tokenBName == name.toUpperCase()) { return this.tokenBAmount; } else { //console.log('something went wrong - amountOfToken'); return false; } } neededSwapAmountToReceive(name, amount) { if (this.tokenAName == name.toUpperCase()) { var desiredTokenAAmount = this.tokenAAmount - amount; var newTokenBAmount = this.product / desiredTokenAAmount; var neededTokenBAmount = newTokenBAmount - this.tokenBAmount; return neededTokenBAmount; } else if (this.tokenBName == name.toUpperCase()) { var desiredTokenBAmount = this.tokenBAmount - amount; var newTokenAAmount = this.product / desiredTokenBAmount; var neededTokenAAmount = newTokenAAmount - this.tokenAAmount; return neededTokenAAmount; } else { //console.log('something went wrong - neededSwapAmountToReceive'); return false; } } amountToReceiveIfSwapped(name, amount) { if (this.tokenAName == name.toUpperCase()) { var newTokenAAmount = this.tokenAAmount + amount; var oldTokenBAmount = this.tokenBAmount; var newTokenBAmount = this.product / newTokenAAmount; return oldTokenBAmount - newTokenBAmount; } else if (this.tokenBName == name.toUpperCase()) { var newTokenBAmount = this.tokenBAmount + amount; var oldTokenAAmount = this.tokenAAmount; var newTokenAAmount = this.product / newTokenBAmount; return oldTokenAAmount - newTokenAAmount; } else { //console.log('something went wrong - amountToReceiveIfSwapped'); return false; } } } class Token { constructor(totalSupply) { this.totalSupply = totalSupply; } mint(amount) { this.totalSupply += amount; } burn(amount) { this.totalSupply -= amount; } } class Basket { constructor(ethBalance, targetRatio, floatToken) { this.ethBalance = ethBalance; this.targetRatio = targetRatio; this.floatToken = floatToken; } basketFactor(targetPriceFloatEth) { return ( this.ethBalance / (this.floatToken.totalSupply * targetPriceFloatEth) ); } add(ethBalance) { this.ethBalance += ethBalance; } sub(ethBalance) { this.ethBalance -= ethBalance; } } class Auction { constructor( targetPriceFloatEth, oraclePriceFloatEth, oraclePriceBankEth, float, bank, floatPool, bankPool, basket ) { this.targetPriceFloatEth = targetPriceFloatEth; this.oraclePriceFloatEth = oraclePriceFloatEth; //this is the market price that comes from the Sushiswap TWAP - FLOAT / ETH this.oraclePriceBankEth = oraclePriceBankEth; //this is the market price that comes from the Sushiswap TWAP - BANK / ETH this.float = float; //Float - Token Class object this.bank = bank; //Bank - Token Class object this.floatPool = floatPool; //FLOAT - ETH Sushiswap pool - AMMPool Class object this.bankPool = bankPool; // BANK - ETH Sushiswap pool - AMMPool Class object this.basket = basket; // Basket Class object this.maxSteps = 150; //hardcoded for simplicity this.startingPenalty = 0.1; // how much does the auction start in an unfavorable trade - in % this.blocksSinceLastAuction = 6450; // this is hardcoded for simplicity to roughly a day this.maxNumberOfBlocksForTPToAbsorbBF = 1000000; //2000000; this.minNumberOfBlocksForTPToAbsorbBF = 200000; this.maxBoundForTargetPrice = 4; } run() { //TODO where should the max amount of FLOAT we are willing to sell be set??? if (oraclePriceFloatEth > targetPriceFloatEth) { //EXPANSION //Calculate targetPrice if ( this.basket.basketFactor(this.targetPriceFloatEth) > this.basket.targetRatio ) { var marketPriceOverTargetPrice = this.oraclePriceFloatEth / this.targetPriceFloatEth - 1; var normalisedMPOverTP = marketPriceOverTargetPrice / this.maxBoundForTargetPrice; var normalisedSquareRoot = Math.pow(normalisedMPOverTP, 0.5); var numberOfBlocksForTPToAbsorbBF = this.maxNumberOfBlocksForTPToAbsorbBF - normalisedSquareRoot * (this.maxNumberOfBlocksForTPToAbsorbBF - this.minNumberOfBlocksForTPToAbsorbBF); var targetPriceChange = (this.basket.basketFactor(this.targetPriceFloatEth) - this.basket.targetRatio) / (numberOfBlocksForTPToAbsorbBF / this.blocksSinceLastAuction); this.targetPriceFloatEth *= 1 + targetPriceChange; } //Calculate auction starting price var startingAuctionPrice = this.oraclePriceFloatEth * (1 + this.startingPenalty); var auctionStep = (startingAuctionPrice - this.targetPriceFloatEth) / (this.maxSteps - 1); for (var i = 0; i < this.maxSteps; i++) { var auctionPriceAtStep = startingAuctionPrice - auctionStep * i; var portionOfPricePaidInETH = this.targetPriceFloatEth * this.basket.targetRatio + (auctionPriceAtStep - this.targetPriceFloatEth * this.basket.targetRatio) * (1 - Math.min( this.basket.basketFactor(this.targetPriceFloatEth), this.basket.targetRatio )); var portionOfPricePaidInBank = auctionPriceAtStep - portionOfPricePaidInETH; var amountOfFloatTillAuctionPrice = Math.sqrt((this.floatPool.product * 1) / auctionPriceAtStep) - this.floatPool.tokenAAmount; var ethToPayForAmountOfFloat = amountOfFloatTillAuctionPrice * portionOfPricePaidInETH; var bankToPayForAmountOfFLoat = (amountOfFloatTillAuctionPrice * portionOfPricePaidInBank) / oraclePriceBankEth; var ethAmountNeededToPurchasesBANK = this.bankPool.neededSwapAmountToReceive( "BANK", bankToPayForAmountOfFLoat ); var totalAmountOfETHNeededByArbitrageur = ethToPayForAmountOfFloat + ethAmountNeededToPurchasesBANK; var totalAmountOfETHReceivedByArbitrageur = this.floatPool.amountToReceiveIfSwapped( "FLOAT", amountOfFloatTillAuctionPrice ); if ( totalAmountOfETHReceivedByArbitrageur > totalAmountOfETHNeededByArbitrageur ) { //console.log('do step:', i); //console.log("priceAtStep: ", auctionPriceAtStep); if ( this.bankPool.swap("ETH", ethAmountNeededToPurchasesBANK) !== false && this.floatPool.swap("FLOAT", amountOfFloatTillAuctionPrice) !== false ) { this.float.mint(amountOfFloatTillAuctionPrice); this.bank.burn(bankToPayForAmountOfFLoat); this.basket.add(ethToPayForAmountOfFloat); } } else { //console.log("skip step: ", i); } } } else if (oraclePriceFloatEth < targetPriceFloatEth) { //CONTRACTION //Calculate targetPrice if ( this.basket.basketFactor(this.targetPriceFloatEth) < this.basket.targetRatio ) { var marketPriceOverTargetPrice = this.oraclePriceFloatEth / this.targetPriceFloatEth - 1; var normalisedMPOverTP = (1 / (1 + marketPriceOverTargetPrice) - 1) / this.maxBoundForTargetPrice; var normalisedSquareRoot = Math.pow(normalisedMPOverTP, 1); var numberOfBlocksForTPToAbsorbBF = this.maxNumberOfBlocksForTPToAbsorbBF - normalisedSquareRoot * (this.maxNumberOfBlocksForTPToAbsorbBF - this.minNumberOfBlocksForTPToAbsorbBF); var targetPriceChange = (this.basket.basketFactor(this.targetPriceFloatEth) - this.basket.targetRatio) / (numberOfBlocksForTPToAbsorbBF / this.blocksSinceLastAuction); this.targetPriceFloatEth *= 1 + targetPriceChange; } //Calculate auction starting price var startingAuctionPrice = this.oraclePriceFloatEth * (1 - this.startingPenalty); var auctionStep = (startingAuctionPrice - this.targetPriceFloatEth) / (this.maxSteps - 1); for (var i = 0; i < this.maxSteps; i++) { var auctionPriceAtStep = startingAuctionPrice - auctionStep * i; var portionOfPriceReceivedInETH = auctionPriceAtStep * Math.min( this.basket.basketFactor(this.targetPriceFloatEth), this.basket.targetRatio ); var portionOfPriceReceivedInBank = auctionPriceAtStep - portionOfPriceReceivedInETH; var amountOfFloatTillAuctionPrice = (Math.sqrt((this.floatPool.product * 1) / auctionPriceAtStep) - this.floatPool.tokenAAmount) * -1; var ethToReceiveForAmountOfFloat = amountOfFloatTillAuctionPrice * portionOfPriceReceivedInETH; var bankToReceiveForAmountOfFLoat = (amountOfFloatTillAuctionPrice * portionOfPriceReceivedInBank) / oraclePriceBankEth; var ethAmountToReceiveFromSellingBANK = this.bankPool.amountToReceiveIfSwapped( "BANK", bankToReceiveForAmountOfFLoat ); var totalAmountofETHReceivedByArbitrageur = ethToReceiveForAmountOfFloat + ethAmountToReceiveFromSellingBANK; var totalAmountOfETHNeededByArbitrageur = this.floatPool.neededSwapAmountToReceive( "FLOAT", amountOfFloatTillAuctionPrice ); if ( totalAmountofETHReceivedByArbitrageur > totalAmountOfETHNeededByArbitrageur || i == this.maxSteps - 1 ) { //Auction doesn't correct to target price perfectly in a contraction case because the model doesn't support partial fills in a step (which would be standard in a live auction with real participants). That's why for simplicity in the last step in ingores arbitraguer profitability. //console.log('do step:', i); //console.log("priceAtStep: ", auctionPriceAtStep); if ( this.bankPool.swap("BANK", bankToReceiveForAmountOfFLoat) !== false && this.floatPool.swap( "ETH", totalAmountOfETHNeededByArbitrageur ) !== false ) { this.float.burn(amountOfFloatTillAuctionPrice); this.bank.mint(bankToReceiveForAmountOfFLoat); this.basket.sub(ethToReceiveForAmountOfFloat); } } else { //console.log("skip step: ", i); } } } } } const startingTargetPrice = 1.618; const startingEthUsdPrice = currentEthereumUSDPrice; const startingPriceBankUsd = currentBankUSDPrice; const startingBasketFactor = 1; const targetBasketFactor = 1; const liquidBankQuotient = bankQuotient; // 0.15; //How much of the total supply is in the AMM const liquidFloatQuotient = floatQuotient; //0.3; //How much of the total supply is in the AMM const marketPriceVariance = marketVolatility; //0.4; const oraclePriceVariance = 0.05; const bankPriceReboundAfterAuction = bankDeltaSensitivity; let oraclePriceEthUsd = startingEthUsdPrice; let targetPriceFloatUsd = startingTargetPrice; let marketPriceFloatUsd = startingTargetPrice * startingBasketFactor; let marketPriceBankUsd = startingPriceBankUsd; let targetPriceFloatEth = targetPriceFloatUsd / oraclePriceEthUsd; let oraclePriceFloatEth = marketPriceFloatUsd / oraclePriceEthUsd; let oraclePriceBankEth = marketPriceBankUsd / oraclePriceEthUsd; let float = new Token(5000000); let bank = new Token(84000); let sushiFloatEthPool = new AMMPool( "FLOAT", float.totalSupply * liquidFloatQuotient, "ETH", float.totalSupply * liquidFloatQuotient * oraclePriceFloatEth ); let sushiBankEthPool = new AMMPool( "BANK", bank.totalSupply * liquidBankQuotient, "ETH", bank.totalSupply * liquidBankQuotient * oraclePriceBankEth ); let basket = new Basket( float.totalSupply * targetPriceFloatEth * startingBasketFactor, targetBasketFactor, float ); let auction = new Auction( targetPriceFloatEth, oraclePriceFloatEth, oraclePriceBankEth, float, bank, sushiFloatEthPool, sushiBankEthPool, basket ); //Auction over time var j = 0; for (j = 0; j < normalisedETHPrices.length; j++) { //Set ETH price oraclePriceEthUsd = startingEthUsdPrice * normalisedETHPrices[j]; //Set target price targetPriceFloatEth = targetPriceFloatUsd / oraclePriceEthUsd; //Set FLOAT price var basketFactor = basket.basketFactor(targetPriceFloatEth); let minMarketPrice = basketFactor * targetPriceFloatUsd * (1 - marketPriceVariance * (1 - (j / normalisedETHPrices.length) * 0.8)); let maxMarketPrice = basketFactor * targetPriceFloatUsd * (1 + marketPriceVariance * (1 - (j / normalisedETHPrices.length) * 0.8)); marketPriceFloatUsd = Math.random() * (maxMarketPrice - minMarketPrice) + minMarketPrice; var marketPriceFloatEth = marketPriceFloatUsd / oraclePriceEthUsd; var amountOfFloatToSwapToGetToPrice = Math.sqrt((sushiFloatEthPool.product * 1) / marketPriceFloatEth) - sushiFloatEthPool.tokenAAmount; if (amountOfFloatToSwapToGetToPrice > 0) { sushiFloatEthPool.swap("FLOAT", amountOfFloatToSwapToGetToPrice); } else if (amountOfFloatToSwapToGetToPrice < 0) { var ethNeededToReceiveSetAmountOfFloat = sushiFloatEthPool.neededSwapAmountToReceive( "FLOAT", Math.abs(amountOfFloatToSwapToGetToPrice) ); sushiFloatEthPool.swap("ETH", ethNeededToReceiveSetAmountOfFloat); } var floatSupplyChange = float.totalSupply * liquidFloatQuotient - sushiFloatEthPool.amountOfToken("FLOAT"); sushiFloatEthPool.changeLiquidity("FLOAT", floatSupplyChange); var minOraclePriceFloatEth = marketPriceFloatEth * (1 - oraclePriceVariance); var maxOraclePriceFloatEth = marketPriceFloatEth * (1 + oraclePriceVariance); oraclePriceFloatEth = Math.random() * (maxOraclePriceFloatEth - minOraclePriceFloatEth) + minOraclePriceFloatEth; //Set BANK price var marketBankPriceFloatEth = marketPriceBankUsd / oraclePriceEthUsd; var amountOfBankToSwapToGetToPrice = Math.sqrt((sushiBankEthPool.product * 1) / marketBankPriceFloatEth) - sushiBankEthPool.tokenAAmount; if (amountOfBankToSwapToGetToPrice > 0) { sushiBankEthPool.swap("BANK", amountOfBankToSwapToGetToPrice); } else if (amountOfBankToSwapToGetToPrice < 0) { var ethNeededToReceiveSetAmountOfBank = sushiBankEthPool.neededSwapAmountToReceive( "BANK", Math.abs(amountOfBankToSwapToGetToPrice) ); sushiBankEthPool.swap("ETH", ethNeededToReceiveSetAmountOfBank); } var bankSupplyChange = bank.totalSupply * liquidBankQuotient - sushiBankEthPool.amountOfToken("BANK"); sushiBankEthPool.changeLiquidity("BANK", bankSupplyChange); var minOraclePriceBankEth = marketBankPriceFloatEth * (1 - oraclePriceVariance); var maxOraclePriceBankEth = marketBankPriceFloatEth * (1 + oraclePriceVariance); oraclePriceBankEth = Math.random() * (maxOraclePriceBankEth - minOraclePriceBankEth) + minOraclePriceBankEth; //Update auction params auction.targetPriceFloatEth = targetPriceFloatEth; auction.oraclePriceFloatEth = oraclePriceFloatEth; auction.oraclePriceBankEth = oraclePriceBankEth; console.log( "***********************************************************************", j ); console.log(oraclePriceEthUsd, "oraclePriceEthUsd"); console.log(marketPriceFloatUsd, "FLOAT price before auction"); console.log(marketPriceBankUsd, "BANK price before auction"); console.log(basket.ethBalance, "basket.ethBalanceBefore"); console.log(targetPriceFloatUsd, "targetPriceBefore"); console.log( basket.basketFactor(auction.targetPriceFloatEth), "basket.basketFactorBefore" ); console.log(float.totalSupply, "floatsupplyBefore"); console.log(bank.totalSupply, "banksupplyBefore"); console.log( "-----------------------------------------------------------------------" ); auction.run(); targetPriceFloatUsd = auction.targetPriceFloatEth * oraclePriceEthUsd; marketPriceFloatUsd = sushiFloatEthPool.priceInToken("ETH") * oraclePriceEthUsd; marketPriceBankUsd = (sushiBankEthPool.priceInToken("ETH") * oraclePriceEthUsd - marketPriceBankUsd) * (1 - bankPriceReboundAfterAuction) + marketPriceBankUsd; console.log(marketPriceFloatUsd, "FLOAT price after auction"); console.log( sushiBankEthPool.priceInToken("ETH") * oraclePriceEthUsd, "BANK price after auction" ); console.log(basket.ethBalance, "basket.ethBalanceAfter"); console.log(targetPriceFloatUsd, "targetPriceAfter"); console.log( basket.basketFactor(auction.targetPriceFloatEth), "basket.basketFactorAfter" ); console.log(float.totalSupply, "floatsupplyAfter"); console.log(bank.totalSupply, "banksupplyAfter"); console.log( "***********************************************************************" ); dataFrame.push({ index: j, ethPrice: oraclePriceEthUsd, ethPercentage: oraclePriceEthUsd / startingEthUsdPrice, basketFactor: basket.basketFactor(auction.targetPriceFloatEth), targetPrice: targetPriceFloatUsd, targetPercentage: targetPriceFloatUsd / startingTargetPrice, bankPrice: marketPriceBankUsd, bankPercentage: marketPriceBankUsd / startingPriceBankUsd }); } //Collect data separately for plotting let ethData = []; let targetData = []; let bankData = []; let basketData = []; for (let i = 0; i < dataFrame.length; i++) { // Calculate percentage change in every dt step let targetGranularChange = 0; let ethGranularChange = 0; let bankGranularChange = 0; let basketGranularChange = 0; if (i > 0) { targetGranularChange = dataFrame[i].targetPrice / dataFrame[i - 1].targetPrice - 1; ethGranularChange = dataFrame[i].ethPrice / dataFrame[i - 1].ethPrice - 1; bankGranularChange = dataFrame[i].bankPrice / dataFrame[i - 1].bankPrice - 1; basketGranularChange = dataFrame[i].basketFactor / dataFrame[i - 1].basketFactor - 1; } ethData.push({ index: i, price: dataFrame[i].ethPrice, percentage: dataFrame[i].ethPercentage, granularChange: ethGranularChange, timestamp: ethReal[i].timestamp }); targetData.push({ index: i, price: dataFrame[i].targetPrice, percentage: dataFrame[i].targetPercentage, granularChange: targetGranularChange, timestamp: ethReal[i].timestamp }); basketData.push({ index: i, price: dataFrame[i].basketFactor, percentage: dataFrame[i].basketFactor, granularChange: basketGranularChange, timestamp: ethReal[i].timestamp }); bankData.push({ index: i, price: dataFrame[i].bankPrice, percentage: dataFrame[i].bankPercentage, granularChange: bankGranularChange, timestamp: ethReal[i].timestamp }); } dataFrame = [ethData, targetData, basketData, bankData]; return dataFrame; }37:T861,daily_chart = { // Pull data in const eth_change = data[0]; const target_change = data[1]; // Margin object with four properties const margin = { top: 20, right: 20, bottom: 50, left: 50 }; const height = 270; // Mapping const x = d3 .scaleLinear() .domain(d3.extent(eth_change, d => d.index)) .range([margin.left, width - margin.right]); const y = d3 .scaleLinear() .domain(d3.extent(eth_change, d => d.granularChange)) .range([height - margin.bottom, margin.top]); // Lines const change_line = d3 .line() .x(d => x(d.index)) .y(d => y(d.granularChange)); // Axes const xAxis = g => g.attr("transform", `translate(0,${height - margin.bottom})`).call( d3 .axisBottom(x) .ticks(width / 80) .tickSizeOuter(0) ); const yAxis = g => g .attr("transform", `translate(${margin.left}, 0)`) .call(d3.axisLeft(y).ticks(height / 40, ".0%")) .call(g => g.select(".domain").remove()); const data_points = t * eth_change.length; return html``; }38:T994,period_chart = { // Pull data in const eth_change = data[0]; const target_change = data[1]; const basket_change = data[2]; // Margin object with four properties const margin = { top: 20, right: 20, bottom: 50, left: 50 }; const height = 270; // Mapping const x = d3 .scaleLinear() .domain(d3.extent(eth_change, d => d.index)) .range([margin.left, width - margin.right]); const y = d3 .scaleLinear() .domain(d3.extent(eth_change, d => d.percentage)) .range([height - margin.bottom, margin.top]); // Lines const change_line = d3 .line() .x(d => x(d.index)) .y(d => y(d.percentage)); // Axes const xAxis = g => g.attr("transform", `translate(0,${height - margin.bottom})`).call( d3 .axisBottom(x) .ticks(width / 80) .tickSizeOuter(0) ); const yAxis = g => g .attr("transform", `translate(${margin.left}, 0)`) .call(d3.axisLeft(y).ticks(height / 40, ".0%")) .call(g => g.select(".domain").remove()); const data_points = t * eth_change.length; return html``; }39:[] 2f:{"title":"Advanced Simulation / Float Protocol ","cells":[{"id":0,"value":"md`\n

Advanced Simulation / Float Protocol

Float Protocol › Advanced Simulation

\n\n# 6 Month Simulation`","pinned":false,"hidden":false,"mode":"ojs"},{"id":365,"value":"$31","pinned":false,"hidden":false,"mode":"ojs"},{"id":72,"value":"html`Start Date: ${bind(html``, viewof from)}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":36,"value":"html`${bind(\n Scrubber(d3.ticks(0, 1, 1000), {\n autoplay: true,\n loop: false,\n initial: 0,\n format: x => `Simulation Period = ${x.toFixed(3)}`\n }),\n viewof t\n)}`","pinned":false,"hidden":false,"mode":"ojs"},{"id":344,"value":"$32","pinned":false,"hidden":false,"mode":"ojs"},{"id":349,"value":"$33","pinned":false,"hidden":false,"mode":"ojs"},{"id":476,"value":"md`ETH Daily Change Histogram`","pinned":false,"hidden":false,"mode":"ojs"},{"id":409,"value":"Plot.plot({\n color: {\n scheme: \"YlGnBu\"\n },\n marks: [\n Plot.dot(\n data[0],\n Plot.binX({ r: \"count\" }, { x: \"granularChange\", thresholds: 30 })\n )\n ]\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":479,"value":"md`FLOAT Daily Change Histogram`","pinned":false,"hidden":false,"mode":"ojs"},{"id":379,"value":"Plot.plot({\n r: {},\n color: {\n scheme: \"YlGnBu\"\n },\n marks: [\n Plot.dot(\n data[1],\n Plot.binX({ r: \"count\" }, { x: \"granularChange\", thresholds: 30 })\n )\n ]\n})","pinned":false,"hidden":false,"mode":"ojs"},{"id":321,"value":"html`${bind(\n Range([0, 1], {\n step: 0.05,\n width: \"50%\",\n label: html`Liquid FLOAT quotient ${tex`Q^{FLOAT}`}`\n }),\n viewof floatQuotient\n)} The proportion of FLOAT which is stored in FLOAT - ETH liquidity pools`","pinned":false,"hidden":false,"mode":"ojs"},{"id":326,"value":"html`${bind(\n Range([0, 1], {\n step: 0.05,\n width: \"50%\",\n label: html`Liquid BANK quotient ${tex`Q^{BANK}`}`\n }),\n viewof bankQuotient\n)} The proportion of BANK which is stored in BANK - ETH liquidity pools`","pinned":false,"hidden":false,"mode":"ojs"},{"id":331,"value":"html`${bind(\n Range([0, 1], {\n step: 0.01,\n width: \"50%\",\n label: html`FLOAT Market Price Volatility ${tex`\\sigma_{\\bar{m}} ^{FLOAT}`}`\n }),\n viewof marketVolatility\n)} The variance of the FLOAT market data used in simulation ${tex`\\sigma_{\\bar{m}} ^{FLOAT}`}.`","pinned":false,"hidden":false,"mode":"ojs"},{"id":434,"value":"html`${bind(\n Range([0, 1], {\n step: 0.01,\n width: \"50%\",\n label: html`BANK Market Price Pressure ${tex`\\nu^{BANK}`}`\n }),\n viewof bankDeltaSensitivity\n)} How much market selling / buying pressure there is on BANK after an auction, ${tex`\\nu^{BANK}`}.`","pinned":false,"hidden":false,"mode":"ojs"},{"id":417,"value":"md`Looks good, but what are the risks?\n\nNext`","pinned":false,"hidden":false,"mode":"ojs"},{"id":73,"value":"md`---\n# Appendix`","pinned":false,"hidden":false,"mode":"ojs"},{"id":44,"value":"md`### Data`","pinned":false,"hidden":false,"mode":"ojs"},{"id":163,"value":"from","pinned":false,"hidden":false,"mode":"ojs"},{"id":273,"value":"to","pinned":false,"hidden":false,"mode":"ojs"},{"id":79,"value":"coingeckoData = (await fetch(\n `https://api.coingecko.com/api/v3/coins/ethereum/market_chart/range?vs_currency=usd&from=${(\n from.getTime() / 1e3\n ).toFixed()}&to=${(to.getTime() / 1e3).toFixed()}`\n)).json()","pinned":false,"hidden":false,"mode":"ojs"},{"id":276,"value":"coingeckoPrice = (await fetch(\n `https://api.coingecko.com/api/v3/simple/price?ids=ethereum,float-protocol&vs_currencies=usd`\n)).json()","pinned":false,"hidden":false,"mode":"ojs"},{"id":278,"value":"currentEthereumUSDPrice = DEBUG ? 3000.00 : coingeckoPrice.ethereum.usd","pinned":false,"hidden":false,"mode":"ojs"},{"id":283,"value":"currentBankUSDPrice = DEBUG ? 700 : coingeckoPrice[\"float-protocol\"].usd","pinned":false,"hidden":false,"mode":"ojs"},{"id":80,"value":"ethReal = {\n const startingPrice = coingeckoData[\"prices\"][0][1];\n return coingeckoData.prices\n .map(([timestamp, price], index) => ({\n price: price,\n percentage: price / startingPrice,\n granularChange:\n price /\n ((index && coingeckoData[\"prices\"][index - 1][1] - 1) || price) -\n 1,\n timestamp: new Date(timestamp)\n }))\n .sort((a, b) => a.timestamp - b.timestamp);\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":49,"value":"$34","pinned":false,"hidden":false,"mode":"ojs"},{"id":45,"value":"$35","pinned":false,"hidden":false,"mode":"ojs"},{"id":60,"value":"md`#### Simulation`","pinned":false,"hidden":false,"mode":"ojs"},{"id":42,"value":"$36","pinned":false,"hidden":false,"mode":"ojs"},{"id":65,"value":"md`### Parameters`","pinned":false,"hidden":false,"mode":"ojs"},{"id":280,"value":"DEBUG = false","pinned":false,"hidden":false,"mode":"ojs"},{"id":34,"value":"viewof t = Input(0)","pinned":false,"hidden":false,"mode":"ojs"},{"id":505,"value":"new Date(\"2020-01-01\")","pinned":true,"hidden":false,"mode":"ojs"},{"id":129,"value":"default_period = {\n return {\n from: new Date(\"2020-01-01\"),\n to: new Date()\n };\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":84,"value":"viewof from = Input(default_period.from)","pinned":false,"hidden":false,"mode":"ojs"},{"id":83,"value":"to = {\n // Deep Copy from date object\n let start = new Date(JSON.parse(JSON.stringify(from)));\n\n // End Date Six months in advace maximum\n let endDate = new Date(start.setMonth(start.getMonth() + 6));\n if (endDate > new Date()) {\n return new Date();\n }\n return endDate;\n}","pinned":false,"hidden":false,"mode":"ojs"},{"id":304,"value":"viewof bankQuotient = Input(0.15) //How much of the total supply is in the AMM","pinned":false,"hidden":false,"mode":"ojs"},{"id":307,"value":"viewof floatQuotient = Input(0.3) //How much of the total supply is in the AMM","pinned":false,"hidden":false,"mode":"ojs"},{"id":315,"value":"viewof marketVolatility = Input(0.4)","pinned":false,"hidden":false,"mode":"ojs"},{"id":318,"value":"viewof oracleVolatility = Input(0.05)","pinned":false,"hidden":false,"mode":"ojs"},{"id":444,"value":"viewof bankDeltaSensitivity = Input(0.4)","pinned":false,"hidden":false,"mode":"ojs"},{"id":14,"value":"md`### Formatting`","pinned":false,"hidden":false,"mode":"ojs"},{"id":15,"value":"margin = ({top: 20, right: 30, bottom: 30, left: 40})","pinned":false,"hidden":false,"mode":"ojs"},{"id":18,"value":"height = 400","pinned":false,"hidden":false,"mode":"ojs"},{"id":20,"value":"formatDate = d3.utcFormat(\"%b %-d, '%y\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":22,"value":"formatPrice = d3.format(\"$.2f\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":358,"value":"md`##### Mock up plots`","pinned":false,"hidden":false,"mode":"ojs"},{"id":38,"value":"$37","pinned":false,"hidden":false,"mode":"ojs"},{"id":53,"value":"$38","pinned":false,"hidden":false,"mode":"ojs"},{"id":4,"value":"md`\n### Imports\n`","pinned":false,"hidden":false,"mode":"ojs"},{"id":383,"value":"Plot = require(\"@observablehq/plot@0.1\")","pinned":true,"hidden":false,"mode":"ojs"},{"id":6,"value":"d3 = require(\"d3@5\")","pinned":false,"hidden":false,"mode":"ojs"},{"id":10,"value":"import { Input, Range, bind, Radio } from \"@observablehq/inputs\"","pinned":true,"hidden":false,"mode":"ojs"},{"id":12,"value":"import { Scrubber } from \"@mbostock/scrubber\"","pinned":true,"hidden":false,"mode":"ojs"}],"files":"$W39","stdlib":"1","titling":"auto"}