MomentumUpdateRule

Git Source

Inherits:QuantAMMGradientBasedRule, UpdateRule

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

State Variables

ONE

int256 private constant ONE = 1 * 1e18;

REQUIRES_PREV_MAVG

uint16 private constant REQUIRES_PREV_MAVG = 0;

Functions

constructor

constructor(address _updateWeightRunner) UpdateRule(_updateWeightRunner);

_getWeights

w(t) = w(t − 1) + κ · ( 1/p(t) * ∂p(t)/∂t − ℓp(t)) where ℓp(t) = 1/N * ∑( 1/p(t)i * ∂p(t)i/∂t) - see whitepaper

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 [0]=kappa can be per token (vector) or single for all tokens (scalar), [1]=useRawPrice
_poolParameters	QuantAMMPoolParameters

_setInitialIntermediateValues

Set the initial intermediate values for the pool, in this case the gradient

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

QuantAMMMomentumLocals

Struct to store local variables for the momentum calculation

struct to avoid stack too deep issues

struct QuantAMMMomentumLocals {
    int256[] kappaStore;
    int256[] newWeights;
    int256 normalizationFactor;
    uint256 prevWeightLength;
    bool useRawPrice;
    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
useRawPrice	bool	boolean to determine if raw price should be used or average
i	uint256	index for looping
denominator	int256	denominator for the weights
sumKappa	int256	sum of all kappa values
res	int256	result of the calculation