The source files for all examples can be found in /examples.

Liquidating a basket of tokens

This example illustrates how to use CFMMRouter.jl to liquidate a basket of tokens.

using CFMMRouter
using LinearAlgebra

# Create CFMMs
cfmms = [
    ProductTwoCoin([1e3, 1e4], 0.997, [1, 2]),
    ProductTwoCoin([1e3, 1e2], 0.997, [2, 3]),
    ProductTwoCoin([1e3, 2e4], 0.997, [1, 3])
]

# We want to liquidate a basket of tokens 2 & 3 into token 1
Δin = [0, 1e1, 1e2]

# Build a routing problem with liquidation objective
router = Router(
    BasketLiquidation(1, Δin),
    cfmms,
    maximum([maximum(cfmm.Ai) for cfmm in cfmms]),
)

# Optimize!
route!(router)

# Print results
Ψ = round.(Int, netflows(router))
println("Input Basket: $(round.(Int, Δin))")
println("Net trade: $Ψ")
println("Amount recieved: $(Ψ[1])")

Input Basket: [0, 10, 100]
Net trade: [60, -10, -100]
Amount recieved: 60

We can also see the list of individual trades with each CFMM:

# Print individual trades
for (i, (Δ, Λ)) in enumerate(zip(router.Δs, router.Λs))
    tokens = router.cfmms[i].Ai
    println("CFMM $i:")
    println("\tTendered basket:")
    for (ind, δ) in enumerate(Δ)
        if δ > eps()
            print("\t  $(tokens[ind]): $(round(Int, δ)), ")
        end
    end
    println("\n\tRecieved basket:")
    for (ind, λ) in enumerate(Λ)
        if λ > eps()
            print("\t  $(tokens[ind]): $(round(Int, λ)), ")
        end
    end
    print("\n")
end

CFMM 1:
	Tendered basket:
	  2: 766,
	Recieved basket:
	  1: 71,
CFMM 2:
	Tendered basket:
	  3: 310,
	Recieved basket:
	  2: 756,
CFMM 3:
	Tendered basket:
	  1: 11,
	Recieved basket:
	  3: 210,

Special Case: Trade Token 1 -> Token 2

Δin = [1e1, 0.0, 0.0]

# Build a routing problem with liquidation objective (output to token 2)
router = Router(
    BasketLiquidation(2, Δin),
    cfmms,
    maximum([maximum(cfmm.Ai) for cfmm in cfmms]),
)

# Optimize!
route!(router)

# Print results
Ψ = round.(Int, netflows(router))
println("Input Basket: $(round.(Int, Δin))")
println("Net trade: $Ψ")
println("Amount recieved: $(Ψ[1])")

Input Basket: [10, 0, 0]
Net trade: [-10, 698, 0]
Amount recieved: -10

List of individual trades with each CFMM:

# Print individual trades
for (i, (Δ, Λ)) in enumerate(zip(router.Δs, router.Λs))
    tokens = router.cfmms[i].Ai
    println("CFMM $i:")
    println("\tTendered basket:")
    for (ind, δ) in enumerate(Δ)
        if δ > eps()
            print("\t  $(tokens[ind]): $(round(Int, δ)), ")
        end
    end
    println("\n\tRecieved basket:")
    for (ind, λ) in enumerate(Λ)
        if λ > eps()
            print("\t  $(tokens[ind]): $(round(Int, λ)), ")
        end
    end
    print("\n")
end

CFMM 1:
	Tendered basket:
	  2: 72,
	Recieved basket:
	  1: 7,
CFMM 2:
	Tendered basket:
	  3: 336,
	Recieved basket:
	  2: 770,
CFMM 3:
	Tendered basket:
	  1: 17,
	Recieved basket:
	  3: 336,

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