Read per-pool AMM fees from the venue instead of assuming a constant

src/pricing/depth.ts

@@ -6,13 +6,28 @@ export interface DepthLevel {
   size: number
 }
 
+export interface ExcludedPool {
+  poolId: string
+  reason: string
+}
+
 export interface DepthResult {
+  status: 'ok'
+  network: string
+  pairKey: string
   spotPrice: number
   executionPrice: number
   slippagePct: number
   asks: DepthLevel[]
   bids: DepthLevel[]
-  source: 'AMM' | 'SDEX' | 'BOTH'
+  source: 'AMM'
+  pool: {
+    poolId: string
+    feeBp: number
+    feeReadAt: string
+    reservesObservedAt: string
+  }
+  excludedPools: ExcludedPool[]
 }
 
 export interface ImpactPoint {
@@ -180,19 +195,19 @@ export function generateAMMDepthLevels(
   reserveB: number,
   feeBp: number,
   numLevels: number = 10,
-  stepSize: number = 0.01
+  stepSize: number = 0.01,
 ): { asks: DepthLevel[]; bids: DepthLevel[] } {
   const asks: DepthLevel[] = []
   const bids: DepthLevel[] = []
 
-  // Generate asks (selling asset A for B) — price is B per A
+  // Asks: selling asset A for B. Price is B per A.
   for (let i = 1; i <= numLevels; i++) {
     const amountA = reserveA * stepSize * i
     const price = calculateAMMPrice(reserveA, reserveB, amountA, feeBp)
     asks.push({ price, size: amountA })
   }
 
-  // Generate bids (buying asset A with B)
+  // Bids: buying asset A with B. Price is B paid per A received.
   for (let i = 1; i <= numLevels; i++) {
     const amountB = reserveB * stepSize * i
     const fee = 1 - feeBp / 10000
@@ -222,49 +237,100 @@ export async function getAMMDepth(
          SELECT DISTINCT pool_id FROM price_points
          WHERE pair_key = $1 AND network = $2 AND source = 'AMM' AND pool_id IS NOT NULL
        )
-     ORDER BY ps.pool_id, ps.timestamp DESC
-     LIMIT 1`,
-    [pairKey, network]
+     ORDER BY ps.pool_id, ps.timestamp DESC`,
+    [pairKey, network],
   )
-  if (!result.rows[0]) return null
-
-  const { reserve_a, reserve_b, fee_bp } = result.rows[0]
-  const rA = parseFloat(reserve_a)
-  const rB = parseFloat(reserve_b)
-  const feeBp = parseInt(fee_bp ?? '30', 10)
-
-  const spotPrice = calculateAMMSpotPrice(rA, rB)
-  const executionPrice = calculateAMMPrice(rA, rB, amount, feeBp)
-  const slippagePct = calculateSlippage(spotPrice, executionPrice)
-  const { asks, bids } = generateAMMDepthLevels(rA, rB, feeBp)
-
-  return {
-    spotPrice,
-    executionPrice,
-    slippagePct,
-    asks,
-    bids,
-    source: 'AMM',
-  }
+  return result.rows
+    .map((r: { pool_id: string; reserve_a: string; reserve_b: string; timestamp: Date }) => ({
+      poolId: r.pool_id,
+      reserveA: parseFloat(r.reserve_a),
+      reserveB: parseFloat(r.reserve_b),
+      observedAt: r.timestamp,
+    }))
+    .sort((a, b) => (a.poolId < b.poolId ? -1 : a.poolId > b.poolId ? 1 : 0))
 }
 
+/**
+ * Prices an AMM swap using each pool's own fee, read from the venue.
+ *
+ * Pools whose fee cannot be read, or whose reserves are empty, are excluded and
+ * listed with the reason. If no pool survives, the result is "unavailable" with
+ * no numbers, never zeros.
+ */
 export async function getDepth(
+  network: string,
   pairKey: string,
   amount: number,
-  network: NetworkName = activeNetwork,
-): Promise<DepthResult> {
-  const ammDepth = await getAMMDepth(pairKey, amount, network)
+  feeOpts: PoolFeeOptions,
+): Promise<DepthOutcome> {
+  if (!(amount > 0)) {
+    throw new RangeError('amount must be greater than 0')
+  }
+
+  const pools = await loadLatestAmmPools(network, pairKey)
+  const excludedPools: ExcludedPool[] = []
+
+  if (pools.length === 0) {
+    return {
+      status: 'unavailable',
+      network,
+      pairKey,
+      reason: 'no AMM pool snapshots for this pair on this network',
+      excludedPools,
+    }
+  }
+
+  let chosen: DepthResult | null = null
+
+  for (const pool of pools) {
+    const feeRes = await getPoolFee(network, pool.poolId, feeOpts)
+    if (!feeRes.ok) {
+      excludedPools.push({ poolId: pool.poolId, reason: feeRes.reason })
+      continue
+    }
+    if (!(pool.reserveA > 0 && pool.reserveB > 0)) {
+      excludedPools.push({ poolId: pool.poolId, reason: 'pool has no reserves in its latest snapshot' })
+      continue
+    }
+    if (chosen) continue // keep checking fees so every excluded pool is reported
+
+    const { feeBp, feeReadAt } = feeRes.fee
+    const spotPrice = calculateAMMSpotPrice(pool.reserveA, pool.reserveB)
+    const executionPrice = calculateAMMPrice(pool.reserveA, pool.reserveB, amount, feeBp)
+    const slippagePct =
+      spotPrice > 0 ? Math.abs(((executionPrice - spotPrice) / spotPrice) * 100) : 0
+    const { asks, bids } = generateAMMDepthLevels(pool.reserveA, pool.reserveB, feeBp)
+
+    chosen = {
+      status: 'ok',
+      network,
+      pairKey,
+      spotPrice,
+      executionPrice,
+      slippagePct,
+      asks,
+      bids,
+      source: 'AMM',
+      pool: {
+        poolId: pool.poolId,
+        feeBp,
+        feeReadAt,
+        reservesObservedAt: pool.observedAt.toISOString(),
+      },
+      excludedPools,
+    }
+  }
 
-  if (ammDepth) {
-    return ammDepth
+  if (chosen) {
+    chosen.excludedPools = excludedPools
+    return chosen
   }
 
   return {
-    spotPrice: 0,
-    executionPrice: 0,
-    slippagePct: 0,
-    asks: [],
-    bids: [],
-    source: 'AMM',
+    status: 'unavailable',
+    network,
+    pairKey,
+    reason: 'every AMM pool for this pair was excluded',
+    excludedPools,
   }
 }

src/pricing/pool-fee.ts

@@ -0,0 +1,80 @@
+export interface PoolFee {
+  poolId: string
+  feeBp: number
+  /** ISO timestamp of when the venue was read. */
+  feeReadAt: string
+}
+
+export type PoolFeeResult =
+  | { ok: true; fee: PoolFee; cached: boolean }
+  | { ok: false; poolId: string; reason: string }
+
+export interface PoolFeeOptions {
+  /** Horizon base URL for the network being answered, e.g. https://horizon-testnet.stellar.org */
+  horizonUrl: string
+  /** Cache lifetime in milliseconds. Placeholder default; confirm before merge. */
+  ttlMs?: number
+  /** Injectable clock for tests. */
+  now?: () => number
+  /** Injectable fetch for tests. */
+  fetchImpl?: typeof fetch
+}
+
+const DEFAULT_TTL_MS = 10 * 60 * 1000
+
+interface CacheEntry {
+  fee: PoolFee
+  expiresAt: number
+}
+
+// Keyed by network and pool, so testnet and mainnet never share a fee.
+const cache = new Map<string, CacheEntry>()
+
+export function clearPoolFeeCache(): void {
+  cache.clear()
+}
+
+/**
+ * Reads a pool's fee from the venue (Horizon), with a TTL cache.
+ *
+ * Failures are never cached, so a transient outage is retried on the next call.
+ * A caller that receives { ok: false } must exclude the pool from execution
+ * estimates and report the reason. It must not fall back to a default fee.
+ */
+export async function getPoolFee(
+  network: string,
+  poolId: string,
+  opts: PoolFeeOptions,
+): Promise<PoolFeeResult> {
+  const now = opts.now ?? Date.now
+  const ttl = opts.ttlMs ?? DEFAULT_TTL_MS
+  const key = `${network}:${poolId}`
+
+  const hit = cache.get(key)
+  if (hit && hit.expiresAt > now()) {
+    return { ok: true, fee: hit.fee, cached: true }
+  }
+
+  const fetchImpl = opts.fetchImpl ?? fetch
+  let body: unknown
+  try {
+    const res = await fetchImpl(
+      `${opts.horizonUrl}/liquidity_pools/${encodeURIComponent(poolId)}`,
+    )
+    if (!res.ok) {
+      return { ok: false, poolId, reason: `venue responded ${res.status}` }
+    }
+    body = await res.json()
+  } catch (err) {
+    return { ok: false, poolId, reason: `venue unreachable: ${(err as Error).message}` }
+  }
+
+  const feeBp = (body as { fee_bp?: unknown } | null)?.fee_bp
+  if (typeof feeBp !== 'number' || !Number.isInteger(feeBp) || feeBp < 0 || feeBp >= 10000) {
+    return { ok: false, poolId, reason: 'venue did not return a valid fee_bp' }
+  }
+
+  const fee: PoolFee = { poolId, feeBp, feeReadAt: new Date(now()).toISOString() }
+  cache.set(key, { fee, expiresAt: now() + ttl })
+  return { ok: true, fee, cached: false }
+}