DifferenceMomentumUpdateRule

Git Source

Inherits:QuantAMMGradientBasedRule, UpdateRule

Contains the logic for calculating the new weights of a QuantAMM pool using the difference momentum update rule

State Variables

ONE

int256 private constant ONE = 1 * 1e18;

REQUIRES_PREV_MAVG

uint16 private constant REQUIRES_PREV_MAVG = 0;

shortMovingAverages

mapping(address => int256[]) public shortMovingAverages;

Functions

constructor

constructor(address _updateWeightRunner) UpdateRule(_updateWeightRunner);

_getWeights

w(t) = w(t − 1) + κ · ( (EWMA_short - EWMA_long) / EWMA_long − ℓp(t)) where ℓp(t) = 1/N * ∑((EWMA_short - EWMA_long) / EWMA_long)_i

function _getWeights(
    int256[] calldata _prevWeights,
    int256[] memory _data,
    int256[][] calldata _parameters,
    QuantAMMPoolParameters memory _poolParameters
) internal override returns (int256[] memory newWeightsConverted);

Parameters

Name	Type	Description
_prevWeights	int256[]	the previous weights retrieved from the vault
_data	int256[]	the latest data from the signal, usually price
_parameters	int256[][]	The parameters of the rule that are not lambda_long: [0] = kappa: Can be per token (vector) or single for all tokens (scalar) [1] = lambda short: Can be per token (vector) or single for all tokens (scalar)
_poolParameters	QuantAMMPoolParameters

_setInitialIntermediateValues

Set the initial intermediate values for the pool, in this case the moving averages

function _setInitialIntermediateValues(address _poolAddress, int256[] memory _initialValues, uint256 _numberOfAssets)
    internal
    override;

Parameters

Name	Type	Description
_poolAddress	address	the target pool address
_initialValues	int256[]	the initial values of the pool
_numberOfAssets	uint256	the number of assets in the pool

_requiresPrevMovingAverage

Check if the rule requires the previous moving average

function _requiresPrevMovingAverage() internal pure override returns (uint16);

Returns

Name	Type	Description
<none>	uint16	0 if it does not require the previous moving average, 1 if it does

validParameters

Check if the given parameters are valid for the rule

If parameters are not valid, either reverts or returns false

function validParameters(int256[][] calldata _parameters) external pure override returns (bool);

Structs

QuantAMMDifferenceMomentumLocals

Struct to store local variables for the momentum calculation

struct to avoid stack too deep issues

struct QuantAMMDifferenceMomentumLocals {
    int256[] kappaStore;
    int256[] newWeights;
    int256 normalizationFactor;
    uint256 prevWeightLength;
    uint256 i;
    int256 denominator;
    int256 sumKappa;
    int256 res;
}

Properties

Name	Type	Description
kappaStore	int256[]	array of kappa value parameters
newWeights	int256[]	array of new weights
normalizationFactor	int256	normalization factor for the weights
prevWeightLength	uint256	length of the previous weights
i	uint256	index for looping
denominator	int256	denominator for the weights
sumKappa	int256	sum of all kappa values
res	int256	result of the calculation