[BAC-119] Use Uniswap V2 and Curve in DAI-USD oracle

__tests__/modules/TestContracts.ts

@@ -31,6 +31,7 @@ import { TestPriceOracle } from '../../build/testing_wrappers/TestPriceOracle';
 import { TestMakerOracle } from '../../build/testing_wrappers/TestMakerOracle';
 import { TestCurve } from '../../build/testing_wrappers/TestCurve';
 import { TestUniswapV2Pair } from '../../build/testing_wrappers/TestUniswapV2Pair';
+import { TestUniswapV2Pair2 } from '../../build/testing_wrappers/TestUniswapV2Pair2';
 import { TestInterestSetter } from '../../build/testing_wrappers/TestInterestSetter';
 import { TestPolynomialInterestSetter }
   from '../../build/testing_wrappers/TestPolynomialInterestSetter';
@@ -53,6 +54,7 @@ import testPriceOracleJson from '../../build/testing_contracts/TestPriceOracle.j
 import testMakerOracleJson from '../../build/testing_contracts/TestMakerOracle.json';
 import testCurveJson from '../../build/testing_contracts/TestCurve.json';
 import testUniswapV2PairJson from '../../build/testing_contracts/TestUniswapV2Pair.json';
+import testUniswapV2Pair2Json from '../../build/testing_contracts/TestUniswapV2Pair2.json';
 import testPolynomialInterestSetterJson
   from '../../build/testing_contracts/TestPolynomialInterestSetter.json';
 import testDoubleExponentInterestSetterJson
@@ -83,6 +85,7 @@ export class TestContracts extends Contracts {
   public testMakerOracle: TestMakerOracle;
   public testCurve: TestCurve;
   public testUniswapV2Pair: TestUniswapV2Pair;
+  public testUniswapV2Pair2: TestUniswapV2Pair2;
   public testPolynomialInterestSetter: TestPolynomialInterestSetter;
   public testDoubleExponentInterestSetter: TestDoubleExponentInterestSetter;
   public testInterestSetter: TestInterestSetter;
@@ -115,7 +118,10 @@ export class TestContracts extends Contracts {
     this.testCurve = new this.web3.eth.Contract(testCurveJson.abi) as TestCurve;
     this.testUniswapV2Pair = new this.web3.eth.Contract(
       testUniswapV2PairJson.abi,
-    ) as TestUniswapV2Pair;
+      ) as TestUniswapV2Pair;
+    this.testUniswapV2Pair2 = new this.web3.eth.Contract(
+      testUniswapV2Pair2Json.abi,
+    ) as TestUniswapV2Pair2;
     this.testInterestSetter = new this.web3.eth.Contract(
       testInterestSetterJson.abi) as TestInterestSetter;
     this.testPolynomialInterestSetter = new this.web3.eth.Contract(
@@ -157,6 +163,7 @@ export class TestContracts extends Contracts {
       { contract: this.testMakerOracle, json: testMakerOracleJson },
       { contract: this.testCurve, json: testCurveJson },
       { contract: this.testUniswapV2Pair, json: testUniswapV2PairJson },
+      { contract: this.testUniswapV2Pair2, json: testUniswapV2Pair2Json },
       { contract: this.testPolynomialInterestSetter, json: testPolynomialInterestSetterJson },
       { contract: this.testDoubleExponentInterestSetter,
         json: testDoubleExponentInterestSetterJson },
@@ -198,6 +205,7 @@ export class TestContracts extends Contracts {
     this.testMakerOracle.options.from = account;
     this.testCurve.options.from = account;
     this.testUniswapV2Pair.options.from = account;
+    this.testUniswapV2Pair2.options.from = account;
     this.testPolynomialInterestSetter.options.from = account;
     this.testDoubleExponentInterestSetter.options.from = account;
     this.testInterestSetter.options.from = account;

__tests__/oracles/DaiPriceOracle.test.ts

@@ -17,7 +17,6 @@ let poker: address;
 let rando: address;
 let marketMaker: address;
 const defaultPrice = new BigNumber('1e18');
-const defaultEthPrice = new BigNumber('1e20');
 
 describe('DaiPriceOracle', () => {
   let snapshotId: string;
@@ -34,7 +33,6 @@ describe('DaiPriceOracle', () => {
     const tokenAmount = new BigNumber('1e19');
     await Promise.all([
       solo.oracle.daiPriceOracle.setPokerAddress(poker, { from: admin }),
-      setEthPrice(defaultEthPrice, true),
       solo.testing.tokenB.issueTo(tokenAmount, marketMaker),
       solo.weth.wrap(marketMaker, tokenAmount),
     ]);
@@ -116,17 +114,6 @@ describe('DaiPriceOracle', () => {
       );
     });
 
-    it('Does not update price when stale ETH price', async () => {
-      await Promise.all([
-        setEthPrice(defaultEthPrice, false),
-        setCurvePrice('0.99'),
-        setUniswapPrice('1.00'),
-      ]);
-      await expectThrow(
-        updatePrice(),
-      );
-    });
-
     it('Updates timestamp correctly', async () => {
       await Promise.all([
         setCurvePrice('0.99'),
@@ -319,20 +306,6 @@ describe('DaiPriceOracle', () => {
     });
   });
 
-  describe('getMedianizerPrice', () => {
-    it('Fails for stale ETH price', async () => {
-      await setEthPrice(defaultEthPrice, false);
-      await expectThrow(
-        solo.oracle.daiPriceOracle.getMedianizerPrice(),
-      );
-    });
-
-    it('Succeeds for normal eth price', async () => {
-      const price = await solo.oracle.daiPriceOracle.getMedianizerPrice();
-      expect(price).toEqual(defaultEthPrice);
-    });
-  });
-
   describe('getCurvePrice', () => {
     it('Returns the price, adjusting for the fee', async () => {
       await setCurvePrice('1.05');
@@ -351,61 +324,44 @@ describe('DaiPriceOracle', () => {
       );
     });
 
-    it('Gets the right price for DAI = ETH', async () => {
-      const ethAmt = new BigNumber(4444);
-      const daiAmt = new BigNumber(4444);
-      await setUniswapBalances(ethAmt, daiAmt);
+    it('Gets the right price for ETH-DAI = ETH-USDC', async () => {
+      await setUniswapPrice(1);
       const price = await solo.oracle.daiPriceOracle.getUniswapPrice();
-      expect(price).toEqual(defaultEthPrice);
+      expect(price).toEqual(defaultPrice);
     });
 
-    it('Gets the right price for ETH > DAI', async () => {
-      const ethAmt = new BigNumber(4321);
-      const daiAmt = new BigNumber(1234);
-      await setUniswapBalances(ethAmt, daiAmt);
+    it('Gets the right price for ETH-DAI > ETH-USDC', async () => {
+      await setUniswapPrice(0.975);
       const price = await solo.oracle.daiPriceOracle.getUniswapPrice();
-      const expected = defaultEthPrice.times(ethAmt).div(daiAmt).integerValue(BigNumber.ROUND_DOWN);
-      expect(price).toEqual(expected);
+      expect(price).toEqual(new BigNumber(0.975).shiftedBy(18));
     });
 
-    it('Gets the right price for DAI > ETH', async () => {
-      const ethAmt = new BigNumber(1234);
-      const daiAmt = new BigNumber(4321);
-      await setUniswapBalances(ethAmt, daiAmt);
+    it('Gets the right price for ETH-DAI < ETH-USDC', async () => {
+      await setUniswapPrice(1.025);
       const price = await solo.oracle.daiPriceOracle.getUniswapPrice();
-      const expected = defaultEthPrice.times(ethAmt).div(daiAmt).integerValue(BigNumber.ROUND_DOWN);
-      expect(price).toEqual(expected);
+      expect(price).toEqual(new BigNumber(1.025).shiftedBy(18));
     });
 
-    it('Gets the right price for different ETH prices', async () => {
-      const ethAmt = new BigNumber(1500);
-      const daiAmt = new BigNumber(400000);
-      await setUniswapBalances(ethAmt, daiAmt);
-      const price1 = defaultPrice;
-      const price2 = defaultPrice.times(2);
-      const [daiPrice1, daiPrice2] = await Promise.all([
-        solo.oracle.daiPriceOracle.getUniswapPrice(price1),
-        solo.oracle.daiPriceOracle.getUniswapPrice(price2),
+    it('Does not overflow when the pools hold on the order of $100B in value', async () => {
+      await Promise.all([
+        // Suppose ETH has a price of $1.
+        setUniswapEthDaiBalances(
+          new BigNumber(100e9).shiftedBy(18), // ethAmt
+          new BigNumber(100e9).shiftedBy(18), // daiAmt
+        ),
+        setUniswapEthUsdcBalances(
+          new BigNumber(100e9).shiftedBy(18), // ethAmt
+          new BigNumber(100e9).shiftedBy(6),  // usdcAmt
+        ),
       ]);
-      expect(new BigNumber(daiPrice2)).toEqual(new BigNumber(daiPrice1).times(2));
+      const price = await solo.oracle.daiPriceOracle.getUniswapPrice();
+      expect(price).toEqual(defaultPrice);
     });
   });
 });
 
 // ============ Helper Functions ============
 
-async function setEthPrice(
-  price: BigNumber,
-  valid: boolean,
-) {
-  await solo.contracts.send(
-    solo.contracts.testMakerOracle.methods.setValues(
-      price.toFixed(0),
-      valid,
-    ),
-  );
-}
-
 async function setCurvePrice(
   price: BigNumberable,
 ) {
@@ -432,36 +388,41 @@ async function setCurvePrice(
 async function setUniswapPrice(
   price: BigNumberable,
 ) {
-  await setUniswapBalances(
-    new BigNumber('1e18'),
-    getNumberFromPrice('1e18', price),
-  );
+  const ethPrice = new BigNumber(100);
+  await Promise.all([
+    // Apply an arbitrary constant factor to the balances of each pool.
+    setUniswapEthDaiBalances(
+      new BigNumber(1).times(1.23).shiftedBy(18), // ethAmt
+      ethPrice.times(1.23).shiftedBy(18),         // daiAmt
+    ),
+    setUniswapEthUsdcBalances(
+      new BigNumber(1).times(2.34).shiftedBy(18),     // ethAmt
+      ethPrice.times(price).times(2.34).shiftedBy(6), // usdcAmt
+    ),
+  ]);
 }
 
-async function setUniswapBalances(
-  ethAmt: BigNumber,
-  daiAmt: BigNumber,
+async function setUniswapEthDaiBalances(
+  ethAmt: BigNumberable,
+  daiAmt: BigNumberable,
 ) {
   await solo.contracts.send(
     solo.contracts.testUniswapV2Pair.methods.setReserves(
-      daiAmt.toFixed(0),
-      ethAmt.toFixed(0),
+      new BigNumber(daiAmt).toFixed(0),
+      new BigNumber(ethAmt).toFixed(0),
     ),
   );
 }
 
-function getNumberFromPrice(
-  multiplier: BigNumberable,
-  price: BigNumberable,
+async function setUniswapEthUsdcBalances(
+  ethAmt: BigNumberable,
+  usdcAmt: BigNumberable,
 ) {
-  return new BigNumber(multiplier).times(
-    defaultEthPrice,
-  ).div(
-    defaultPrice,
-  ).div(
-    price,
-  ).integerValue(
-    BigNumber.ROUND_DOWN,
+  await solo.contracts.send(
+    solo.contracts.testUniswapV2Pair2.methods.setReserves(
+      new BigNumber(usdcAmt).toFixed(0),
+      new BigNumber(ethAmt).toFixed(0),
+    ),
   );
 }