Add a configurable spread to the ASB

Fixes #381.

Author: thomaseizinger

CHANGELOG.md

@@ -17,6 +17,9 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 - A changelog file.
 - Automatic resume of unfinished swaps for the `asb` upon startup.
   Unfinished swaps from earlier versions will be skipped.
+- A configurable spread for the ASB that is applied to the asking price received from the Kraken price ticker.
+  The default value is 2% and can be configured using the `--ask-spread` parameter.
+  See `./asb --help` for details.
 
 ### Fixed
 

swap/src/asb/command.rs

@@ -1,6 +1,7 @@
 use crate::bitcoin::Amount;
 use bitcoin::util::amount::ParseAmountError;
 use bitcoin::{Address, Denomination};
+use rust_decimal::Decimal;
 use std::path::PathBuf;
 
 #[derive(structopt::StructOpt, Debug)]
@@ -27,6 +28,12 @@ pub enum Command {
     Start {
         #[structopt(long = "max-buy-btc", help = "The maximum amount of BTC the ASB is willing to buy.", default_value="0.005", parse(try_from_str = parse_btc))]
         max_buy: Amount,
+        #[structopt(
+            long = "ask-spread",
+            help = "The spread in percent that should be applied to the asking price.",
+            default_value = "0.02"
+        )]
+        ask_spread: Decimal,
     },
     History,
     WithdrawBtc {

swap/src/asb/rate.rs

@@ -4,31 +4,47 @@ use rust_decimal::prelude::ToPrimitive;
 use rust_decimal::Decimal;
 use std::fmt::{Debug, Display, Formatter};
 
-/// Prices at which 1 XMR will be traded, in BTC (XMR/BTC pair)
-/// The `ask` represents the minimum price in BTC for which we are willing to
-/// sell 1 XMR.
+/// Represents the rate at which we are willing to trade 1 XMR.
 #[derive(Debug, Clone, Copy, PartialEq)]
 pub struct Rate {
+    /// Represents the asking price from the market.
     ask: bitcoin::Amount,
+    /// The spread which should be applied to the market asking price.
+    ask_spread: Decimal,
 }
 
+const ZERO_SPREAD: Decimal = Decimal::from_parts(0, 0, 0, false, 0);
+
 impl Rate {
     pub const ZERO: Rate = Rate {
         ask: bitcoin::Amount::ZERO,
+        ask_spread: ZERO_SPREAD,
     };
 
-    pub fn new(ask: bitcoin::Amount) -> Self {
-        Self { ask }
+    pub fn new(ask: bitcoin::Amount, ask_spread: Decimal) -> Self {
+        Self { ask, ask_spread }
     }
 
-    pub fn ask(&self) -> bitcoin::Amount {
-        self.ask
+    /// Computes the asking price at which we are willing to sell 1 XMR.
+    ///
+    /// This applies the spread to the market asking price.
+    pub fn ask(&self) -> Result<bitcoin::Amount> {
+        let sats = self.ask.as_sat();
+        let sats = Decimal::from(sats);
+
+        let additional_sats = sats * self.ask_spread;
+        let additional_sats = bitcoin::Amount::from_sat(
+            additional_sats
+                .to_u64()
+                .context("Failed to fit spread into u64")?,
+        );
+
+        Ok(self.ask + additional_sats)
     }
 
-    // This function takes the quote amount as it is what Bob sends to Alice in the
-    // swap request
+    /// Calculate a sell quote for a given BTC amount.
     pub fn sell_quote(&self, quote: bitcoin::Amount) -> Result<monero::Amount> {
-        Self::quote(self.ask, quote)
+        Self::quote(self.ask()?, quote)
     }
 
     fn quote(rate: bitcoin::Amount, quote: bitcoin::Amount) -> Result<monero::Amount> {
@@ -67,16 +83,51 @@ impl Display for Rate {
 mod tests {
     use super::*;
 
+    const TWO_PERCENT: Decimal = Decimal::from_parts(2, 0, 0, false, 2);
+    const ONE: Decimal = Decimal::from_parts(1, 0, 0, false, 0);
+
     #[test]
     fn sell_quote() {
-        let rate = Rate {
-            ask: bitcoin::Amount::from_btc(0.002_500).unwrap(),
-        };
+        let asking_price = bitcoin::Amount::from_btc(0.002_500).unwrap();
+        let rate = Rate::new(asking_price, ZERO_SPREAD);
 
         let btc_amount = bitcoin::Amount::from_btc(2.5).unwrap();
 
         let xmr_amount = rate.sell_quote(btc_amount).unwrap();
 
         assert_eq!(xmr_amount, monero::Amount::from_monero(1000.0).unwrap())
     }
+
+    #[test]
+    fn applies_spread_to_asking_price() {
+        let asking_price = bitcoin::Amount::from_sat(100);
+        let rate = Rate::new(asking_price, TWO_PERCENT);
+
+        let amount = rate.ask().unwrap();
+
+        assert_eq!(amount.as_sat(), 102);
+    }
+
+    #[test]
+    fn given_spread_of_two_percent_when_caluclating_sell_quote_factor_between_should_be_two_percent(
+    ) {
+        let asking_price = bitcoin::Amount::from_btc(0.004).unwrap();
+
+        let rate_no_spread = Rate::new(asking_price, ZERO_SPREAD);
+        let rate_with_spread = Rate::new(asking_price, TWO_PERCENT);
+
+        let xmr_no_spread = rate_no_spread.sell_quote(bitcoin::Amount::ONE_BTC).unwrap();
+        let xmr_with_spread = rate_with_spread
+            .sell_quote(bitcoin::Amount::ONE_BTC)
+            .unwrap();
+
+        let xmr_factor =
+            xmr_no_spread.as_piconero_decimal() / xmr_with_spread.as_piconero_decimal() - ONE;
+
+        assert!(xmr_with_spread < xmr_no_spread);
+        assert_eq!(xmr_factor.round_dp(8), TWO_PERCENT); // round to 8 decimal
+                                                         // places to show that
+                                                         // it is really close
+                                                         // to two percent
+    }
 }

swap/src/bin/asb.rs

@@ -26,6 +26,7 @@ use swap::env::GetConfig;
 use swap::fs::default_config_path;
 use swap::monero::Amount;
 use swap::network::swarm;
+use swap::protocol::alice::event_loop::KrakenRate;
 use swap::protocol::alice::{run, Behaviour, EventLoop};
 use swap::seed::Seed;
 use swap::trace::init_tracing;
@@ -74,7 +75,10 @@ async fn main() -> Result<()> {
     let env_config = env::Testnet::get_config();
 
     match opt.cmd {
-        Command::Start { max_buy } => {
+        Command::Start {
+            max_buy,
+            ask_spread,
+        } => {
             let bitcoin_wallet = init_bitcoin_wallet(&config, &seed, env_config).await?;
             let monero_wallet = init_monero_wallet(&config, env_config).await?;
 
@@ -104,7 +108,7 @@ async fn main() -> Result<()> {
                 Arc::new(bitcoin_wallet),
                 Arc::new(monero_wallet),
                 Arc::new(db),
-                kraken_price_updates,
+                KrakenRate::new(ask_spread, kraken_price_updates),
                 max_buy,
             )
             .unwrap();

swap/src/monero.rs

@@ -96,6 +96,10 @@ impl Amount {
         Self::from_decimal(decimal)
     }
 
+    pub fn as_piconero_decimal(&self) -> Decimal {
+        Decimal::from(self.as_piconero())
+    }
+
     fn from_decimal(amount: Decimal) -> Result<Self> {
         let piconeros_dec =
             amount.mul(Decimal::from_u64(PICONERO_OFFSET).expect("constant to fit into u64"));

swap/src/protocol/alice/event_loop.rs

@@ -13,6 +13,7 @@ use futures::stream::{FuturesUnordered, StreamExt};
 use libp2p::swarm::SwarmEvent;
 use libp2p::{PeerId, Swarm};
 use rand::rngs::OsRng;
+use rust_decimal::Decimal;
 use std::collections::HashMap;
 use std::convert::Infallible;
 use std::sync::Arc;
@@ -278,7 +279,7 @@ where
             .context("Failed to get latest rate")?;
 
         Ok(BidQuote {
-            price: rate.ask(),
+            price: rate.ask().context("Failed to compute asking price")?,
             max_quantity: max_buy,
         })
     }
@@ -360,8 +361,9 @@ impl FixedRate {
 impl Default for FixedRate {
     fn default() -> Self {
         let ask = bitcoin::Amount::from_btc(Self::RATE).expect("Static value should never fail");
+        let spread = Decimal::from(0u64);
 
-        Self(Rate::new(ask))
+        Self(Rate::new(ask, spread))
     }
 }
 
@@ -373,13 +375,31 @@ impl LatestRate for FixedRate {
     }
 }
 
-impl LatestRate for kraken::PriceUpdates {
+/// Produces [`Rate`]s based on [`PriceUpdate`]s from kraken and a configured
+/// spread.
+#[derive(Debug)]
+pub struct KrakenRate {
+    ask_spread: Decimal,
+    price_updates: kraken::PriceUpdates,
+}
+
+impl KrakenRate {
+    pub fn new(ask_spread: Decimal, price_updates: kraken::PriceUpdates) -> Self {
+        Self {
+            ask_spread,
+            price_updates,
+        }
+    }
+}
+
+impl LatestRate for KrakenRate {
     type Error = kraken::Error;
 
     fn latest_rate(&mut self) -> Result<Rate, Self::Error> {
-        let update = self.latest_update()?;
+        let update = self.price_updates.latest_update()?;
+        let rate = Rate::new(update.ask, self.ask_spread);
 
-        Ok(Rate::new(update.ask))
+        Ok(rate)
     }
 }