Merge branch 'staging' into s/forge-format

.github/workflows/test-python.yaml

@@ -26,11 +26,11 @@ jobs:
     steps:
       - uses: actions/checkout@v2
 
-      - name: Create env file
+      - name: Create .env
         run: |
           touch .env
           echo WEB3_INFURA_PROJECT_ID=${{ secrets.WEB3_INFURA_PROJECT_ID }} >> .env
-          echo ETHERSCAN_TOKEN=${{ secrets.ETHERSCAN_TOKEN }} >> .env
+          echo export ARBISCAN_TOKEN=${{ secrets.ARBISCAN_TOKEN }} >> .env
           cat .env
       - name: Cache Compiler Installations
         uses: actions/cache@v2
@@ -57,5 +57,9 @@ jobs:
       - name: Compile Code
         run: brownie compile --size
 
+      - name: Configure Arbitrum
+        run: |
+          brownie networks add Development arbitrum-main-fork name="Ganache-CLI (Aribtrum-Mainnet Fork)" host=http://127.0.0.1 cmd=ganache-cli accounts=10 evm_version=istanbul fork=arbitrum-main mnemonic=brownie port=8545
+          brownie networks modify arbitrum-main host="https://arbitrum-mainnet.infura.io/v3/\$WEB3_INFURA_PROJECT_ID" provider=infura
       - name: Run Tests
         run: brownie test -vv -s --gas

.gitignore

@@ -11,4 +11,8 @@ reports/
 
 # Foundry
 cache
-forge-out
+forge-out
+
+# Echidna
+crytic-export
+coverage-echidna

.gitmodules

@@ -1,9 +1,9 @@
 [submodule "lib/openzeppelin-contracts"]
 	path = lib/openzeppelin-contracts
 	url = https://github.com/Openzeppelin/openzeppelin-contracts
-[submodule "lib/v3-core"]
-	path = lib/v3-core
-	url = https://github.com/uniswap/v3-core
 [submodule "lib/forge-std"]
 	path = lib/forge-std
 	url = https://github.com/foundry-rs/forge-std
+[submodule "lib/chainlink"]
+	path = lib/chainlink
+	url = https://github.com/smartcontractkit/chainlink

README.md

@@ -6,7 +6,6 @@
 
 V1 core smart contracts
 
-
 ## Requirements
 
 To run the project you need:
@@ -19,28 +18,40 @@ To run the project you need:
 ```
 # required environment variables
 export WEB3_INFURA_PROJECT_ID=<INFURA_TOKEN>
-export ETHERSCAN_TOKEN=<ETHERSCAN_TOKEN>
+export ARBISCAN_TOKEN=<ETHERSCAN_TOKEN>
+```
+
+```
+# add Arbitrum Fork
+brownie networks add Development arbitrum-main-fork name="Ganache-CLI (Aribtrum-Mainnet Fork)" host=http://127.0.0.1 cmd=ganache-cli accounts=10 evm_version=istanbul fork=arbitrum-main mnemonic=brownie port=8545
+```
+
+```
+# modify network configuration to use API key
+brownie networks modify arbitrum-main host="https://arbitrum-mainnet.infura.io/v3/\$WEB3_INFURA_PROJECT_ID" provider=infura
 ```
 
 To generate the required tokens, see
 
-- `ETHERSCAN_TOKEN`: Creating an API key in [Etherscan's API docs](https://docs.etherscan.io/getting-started/viewing-api-usage-statistics)
+- `ARBISCAN_TOKEN`: Creating an API key in [Arbiscan's API docs](https://docs.arbiscan.io/getting-started/viewing-api-usage-statistics)
 - `WEB3_INFURA_PROJECT_ID`: Getting Started in [Infura's API docs](https://infura.io/docs)
 
-
 ## Diagram
 
 ![diagram](./docs/assets/diagram.svg)
 
-
 ## Modules
 
 V1 core relies on three modules:
 
-- [Markets Module](#markets-module)
-- [Feeds Module](#feeds-module)
-- [OV Module](#ov-module)
-
+- [v1-core](#v1-core)
+  - [Requirements](#requirements)
+  - [Diagram](#diagram)
+  - [Modules](#modules)
+    - [Markets Module](#markets-module)
+    - [Feeds Module](#feeds-module)
+    - [OV Module](#ov-module)
+  - [Deployment Process](#deployment-process)
 
 ### Markets Module
 
@@ -76,7 +87,6 @@ For each market contract, there is an associated feed contract that delivers the
 
 All markets are implemented by the contract `OverlayV1Market.sol`, regardless of the underlying feed type.
 
-
 ### Feeds Module
 
 The feed contract ingests the data stream directly from the oracle provider and formats the data in a format consumable by any market contract. The feed contract is limited to a single core external view function
@@ -105,6 +115,7 @@ library Oracle {
   }
 }
 ```
+
 from the [`Oracle.sol`](./contracts/libraries/Oracle.sol) library. `Oracle.Data` is consumed by each deployment of `OverlayV1Market.sol` for traders to take positions on the market of interest.
 
 For each oracle provider supported, there should be a specific implementation of a feed contract that inherits from `OverlayV1Feed.sol` (e.g. [`OverlayV1UniswapV3Feed.sol`](./contracts/feeds/uniswapv3/OverlayV1UniswapV3Feed.sol) for Uniswap V3 pools).
@@ -116,7 +127,6 @@ The OV module consists of an ERC20 token with permissioned mint and burn functio
 
 [`OverlayV1Factory.sol`](./contracts/OverlayV1Factory.sol) grants these mint and burn permissions on a call to `deployMarket()`. Because of this, the factory contract must have admin privileges on the OV token prior to deploying markets.
 
-
 ## Deployment Process
 
 The process to add a new market is as follows:

brownie-config.yaml

@@ -1,6 +1,6 @@
 # use Ganache's forked mainnet mode as the default network
 networks:
-  default: mainnet-fork
+  default: arbitrum-main-fork
 
 # automatically fetch contract sources from Etherscan
 autofetch_sources: True
@@ -11,7 +11,7 @@ dotenv: .env
 # require OpenZepplin, Uniswap Contracts
 dependencies:
   - OpenZeppelin/[email protected]
-  - Uniswap/[email protected]
+  - smartcontractkit/[email protected]
 
 # path remapping to support imports from GitHub/NPM
 compiler:
@@ -21,4 +21,4 @@ compiler:
       runs: 800
     remappings:
       - "@openzeppelin=OpenZeppelin/[email protected]"
-      - "@uniswap/v3-core=Uniswap/[email protected]"
+      - "@chainlink=smartcontractkit/[email protected]"

contracts/OverlayV1Factory.sol

@@ -31,7 +31,7 @@ contract OverlayV1Factory is IOverlayV1Factory {
         1e14, // MIN_TRADING_FEE_RATE = 0.01% (1 bps)
         0.000_001e18, // MIN_MINIMUM_COLLATERAL = 1e-6 OV
         0.01e14, // MIN_PRICE_DRIFT_UPPER_LIMIT = 0.01 bps/s
-        0 // MIN_AVERAGE_BLOCK_TIME = 0s
+        1 // MIN_AVERAGE_BLOCK_TIME = 1s
     ];
     uint256[15] public PARAMS_MAX = [
         0.04e14, // MAX_K = ~ 1000 bps / 8 hr
@@ -160,22 +160,22 @@ contract OverlayV1Factory is IOverlayV1Factory {
     }
 
     /// @notice checks market doesn't exist on feed and feed is from a supported factory
-    function _checkFeed(address feedFactory, address feed) private {
+    function _checkFeed(address feedFactory, address feed) private view {
         require(getMarket[feed] == address(0), "OVV1: market already exists");
         require(isFeedFactory[feedFactory], "OVV1: feed factory not supported");
         require(IOverlayV1FeedFactory(feedFactory).isFeed(feed), "OVV1: feed does not exist");
     }
 
     /// @notice Checks all risk params are within acceptable bounds
-    function _checkRiskParams(uint256[15] calldata params) private {
+    function _checkRiskParams(uint256[15] calldata params) private view{
         uint256 length = params.length;
         for (uint256 i = 0; i < length; i++) {
             _checkRiskParam(Risk.Parameters(i), params[i]);
         }
     }
 
     /// @notice Checks risk param is within acceptable bounds
-    function _checkRiskParam(Risk.Parameters name, uint256 value) private {
+    function _checkRiskParam(Risk.Parameters name, uint256 value) private view{
         uint256 minValue = PARAMS_MIN.get(name);
         uint256 maxValue = PARAMS_MAX.get(name);
         require(value >= minValue && value <= maxValue, "OVV1: param out of bounds");

contracts/OverlayV1Market.sol

@@ -343,18 +343,7 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
 
             // subtract unwound open interest from the side's aggregate oi value
             // and decrease number of oi shares issued
-            // NOTE: use subFloor to avoid reverts with oi rounding issues
-            if (pos.isLong) {
-                oiLong = oiLong.subFloor(
-                    pos.oiCurrent(fraction, oiTotalOnSide, oiTotalSharesOnSide)
-                );
-                oiLongShares -= pos.oiSharesCurrent(fraction);
-            } else {
-                oiShort = oiShort.subFloor(
-                    pos.oiCurrent(fraction, oiTotalOnSide, oiTotalSharesOnSide)
-                );
-                oiShortShares -= pos.oiSharesCurrent(fraction);
-            }
+            _reduceOIAndOIShares(pos, fraction);
 
             // register the amount to be minted/burned
             // capPayoff prevents overflow reverts with int256 cast
@@ -445,18 +434,7 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
 
             // subtract liquidated open interest from the side's aggregate oi value
             // and decrease number of oi shares issued
-            // NOTE: use subFloor to avoid reverts with oi rounding issues
-            if (pos.isLong) {
-                oiLong = oiLong.subFloor(
-                    pos.oiCurrent(fraction, oiTotalOnSide, oiTotalSharesOnSide)
-                );
-                oiLongShares -= pos.oiSharesCurrent(fraction);
-            } else {
-                oiShort = oiShort.subFloor(
-                    pos.oiCurrent(fraction, oiTotalOnSide, oiTotalSharesOnSide)
-                );
-                oiShortShares -= pos.oiSharesCurrent(fraction);
-            }
+            _reduceOIAndOIShares(pos, fraction);
 
             // register the amount to be burned
             _registerMintOrBurn(int256(value) - int256(cost) - int256(marginToBurn));
@@ -535,7 +513,7 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
     ) public view returns (uint256, uint256) {
         uint256 oiTotal = oiOverweight + oiUnderweight;
         uint256 oiImbalance = oiOverweight - oiUnderweight;
-        uint256 oiInvariant = oiUnderweight.mulUp(oiOverweight);
+        uint256 oiInvariant = oiUnderweight * oiOverweight;
 
         // If no OI or imbalance, no funding occurs. Handles div by zero case below
         if (oiTotal == 0 || oiImbalance == 0) {
@@ -574,7 +552,7 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
         // potential overflow reverts
         oiOverweight = (oiTotal + oiImbalance) / 2;
         if (oiOverweight != 0) {
-            oiUnderweight = oiInvariant.divUp(oiOverweight);
+            oiUnderweight = oiInvariant == 0 ? 0 : (oiInvariant - 1) / oiOverweight + 1; // round up
         }
         return (oiOverweight, oiUnderweight);
     }
@@ -633,14 +611,14 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
     }
 
     /// @dev bound on notional cap to mitigate front-running attack
-    /// @dev bound = lmbda * reserveInOvl
+    /// @dev bound = lmbda * reserveInOv
     function frontRunBound(Oracle.Data memory data) public view returns (uint256) {
         uint256 lmbda = params.get(Risk.Parameters.Lmbda);
         return lmbda.mulDown(data.reserveOverMicroWindow);
     }
 
     /// @dev bound on notional cap to mitigate back-running attack
-    /// @dev bound = macroWindowInBlocks * reserveInOvl * 2 * delta
+    /// @dev bound = macroWindowInBlocks * reserveInOv * 2 * delta
     function backRunBound(Oracle.Data memory data) public view returns (uint256) {
         uint256 averageBlockTime = params.get(Risk.Parameters.AverageBlockTime);
         uint256 window = (data.macroWindow * ONE) / averageBlockTime;
@@ -650,7 +628,7 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
 
     /// @dev Returns the open interest in number of contracts for a given notional
     /// @dev Uses _midFromFeed(data) price to calculate oi: OI = Q / P
-    function oiFromNotional(uint256 notional, uint256 midPrice) public view returns (uint256) {
+    function oiFromNotional(uint256 notional, uint256 midPrice) public pure returns (uint256) {
         return notional.divDown(midPrice);
     }
 
@@ -682,7 +660,7 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
 
     /// @dev mid price without impact/spread given oracle data and recent volume
     /// @dev used for gas savings to avoid accessing storage for delta, lmbda
-    function _midFromFeed(Oracle.Data memory data) private view returns (uint256 mid_) {
+    function _midFromFeed(Oracle.Data memory data) private pure returns (uint256 mid_) {
         mid_ = Math.average(data.priceOverMicroWindow, data.priceOverMacroWindow);
     }
 
@@ -749,6 +727,22 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
         return minted;
     }
 
+    /// @notice subtract open interest from the side's aggregate oi value
+    /// @notice and decrease number of oi shares issued
+    function _reduceOIAndOIShares(
+        Position.Info memory pos,
+        uint256 fraction
+    ) internal {
+        // NOTE: use subFloor to avoid reverts with oi rounding issues
+        if (pos.isLong) {
+            oiLong = oiLong.subFloor(pos.oiCurrent(fraction, oiLong, oiLongShares));
+            oiLongShares -= pos.oiSharesCurrent(fraction);
+        } else {
+            oiShort = oiShort.subFloor(pos.oiCurrent(fraction, oiShort, oiShortShares));
+            oiShortShares -= pos.oiSharesCurrent(fraction);
+        }
+    }
+
     /// @notice Updates the market for funding changes to open interest
     /// @notice since last time market was interacted with
     function _payFunding() private {
@@ -825,7 +819,7 @@ contract OverlayV1Market is IOverlayV1Market, Pausable {
     }
 
     /// @notice Checks the governance per-market risk parameter is valid
-    function _checkRiskParam(Risk.Parameters name, uint256 value) private {
+    function _checkRiskParam(Risk.Parameters name, uint256 value) private view {
         // checks delta won't cause position to be immediately
         // liquidatable given current leverage cap (capLeverage),
         // liquidation fee rate (liquidationFeeRate), and

contracts/OverlayV1Token.sol

@@ -2,30 +2,20 @@
 pragma solidity 0.8.10;
 
 import "@openzeppelin/contracts/token/ERC20/ERC20.sol";
-import "@openzeppelin/contracts/access/AccessControlEnumerable.sol";
+import "@openzeppelin/contracts/access/AccessControl.sol";
 
 import "./interfaces/IOverlayV1Token.sol";
 
-contract OverlayV1Token is IOverlayV1Token, AccessControlEnumerable, ERC20("Overlay", "OV") {
+contract OverlayV1Token is IOverlayV1Token, AccessControl, ERC20("Overlay", "OV") {
     constructor() {
         _grantRole(DEFAULT_ADMIN_ROLE, msg.sender);
     }
 
-    modifier onlyMinter() {
-        require(hasRole(MINTER_ROLE, msg.sender), "ERC20: !minter");
-        _;
-    }
-
-    modifier onlyBurner() {
-        require(hasRole(BURNER_ROLE, msg.sender), "ERC20: !burner");
-        _;
-    }
-
-    function mint(address _recipient, uint256 _amount) external onlyMinter {
+    function mint(address _recipient, uint256 _amount) external onlyRole(MINTER_ROLE) {
         _mint(_recipient, _amount);
     }
 
-    function burn(uint256 _amount) external onlyBurner {
+    function burn(uint256 _amount) external onlyRole(BURNER_ROLE) {
         _burn(msg.sender, _amount);
     }
 }