auth-server: add output net of fees

auth/auth-server/Cargo.toml

@@ -35,6 +35,7 @@ renegade-circuit-types = { workspace = true }
 renegade-common = { workspace = true }
 renegade-constants = { workspace = true }
 renegade-config = { workspace = true }
+renegade-crypto = { workspace = true }
 renegade-util = { workspace = true }
 renegade-api = { workspace = true }
 

auth/auth-server/src/telemetry/helpers.rs

@@ -25,9 +25,11 @@ use crate::{
         ASSET_METRIC_TAG, BASE_ASSET_METRIC_TAG, EXTERNAL_MATCH_BASE_VOLUME,
         EXTERNAL_MATCH_FILL_RATIO, EXTERNAL_MATCH_QUOTE_VOLUME, EXTERNAL_MATCH_SETTLED_BASE_VOLUME,
         EXTERNAL_MATCH_SETTLED_QUOTE_VOLUME, EXTERNAL_ORDER_BASE_VOLUME,
-        EXTERNAL_ORDER_QUOTE_VOLUME, NUM_EXTERNAL_MATCH_REQUESTS, OUR_OUTPUT_NET_OF_GAS_TAG,
-        OUR_PRICE_TAG, QUOTE_NET_OUT_VALUE_DIFF_BPS_METRIC, QUOTE_PRICE_DIFF_BPS_METRIC,
-        SETTLEMENT_STATUS_TAG, SOURCE_NAME_TAG, SOURCE_OUTPUT_NET_OF_GAS_TAG, SOURCE_PRICE_TAG,
+        EXTERNAL_ORDER_QUOTE_VOLUME, NUM_EXTERNAL_MATCH_REQUESTS, OUR_OUTPUT_NET_OF_FEE_TAG,
+        OUR_OUTPUT_NET_OF_GAS_TAG, OUR_PRICE_TAG, QUOTE_OUTPUT_NET_OF_FEE_DIFF_BPS_METRIC,
+        QUOTE_OUTPUT_NET_OF_GAS_DIFF_BPS_METRIC, QUOTE_PRICE_DIFF_BPS_METRIC,
+        SETTLEMENT_STATUS_TAG, SOURCE_NAME_TAG, SOURCE_OUTPUT_NET_OF_FEE_TAG,
+        SOURCE_OUTPUT_NET_OF_GAS_TAG, SOURCE_PRICE_TAG,
     },
 };
 
@@ -334,7 +336,7 @@ pub(crate) fn record_comparison(
     labels = extend_labels_with_base_asset(&base_token.get_addr(), labels);
 
     let price_diff_bps = comparison.price_diff_bps(side);
-    metrics::gauge!(QUOTE_PRICE_DIFF_BPS_METRIC, labels.as_slice()).set(price_diff_bps as f64);
+    metrics::gauge!(QUOTE_PRICE_DIFF_BPS_METRIC, labels.as_slice()).set(price_diff_bps);
 }
 
 /// Record a quote comparison net of gas cost
@@ -346,9 +348,8 @@ pub(crate) fn record_output_value_net_of_gas_comparison(
     let usdc_per_gas = comparison.usdc_per_gas;
     let output_diff_bps = comparison.output_value_net_of_gas_diff_bps(usdc_per_gas, side);
 
-    let our_output_net_of_gas = comparison.our_quote.output_value_net_of_gas(usdc_per_gas, side);
-    let source_output_net_of_gas =
-        comparison.source_quote.output_value_net_of_gas(usdc_per_gas, side);
+    let our_output_net_of_gas = comparison.our_quote.output_net_of_gas(usdc_per_gas, side);
+    let source_output_net_of_gas = comparison.source_quote.output_net_of_gas(usdc_per_gas, side);
 
     let side_label = if side == OrderSide::Sell { "sell" } else { "buy" };
     let base_token = Token::from_addr(&comparison.our_quote.base_mint);
@@ -361,5 +362,31 @@ pub(crate) fn record_output_value_net_of_gas_comparison(
     labels.extend(extra_labels.iter().cloned());
     labels = extend_labels_with_base_asset(&base_token.get_addr(), labels);
 
-    metrics::gauge!(QUOTE_NET_OUT_VALUE_DIFF_BPS_METRIC, labels.as_slice()).set(output_diff_bps);
+    metrics::gauge!(QUOTE_OUTPUT_NET_OF_GAS_DIFF_BPS_METRIC, labels.as_slice())
+        .set(output_diff_bps);
+}
+
+/// Record a quote comparison net of fee
+pub(crate) fn record_output_value_net_of_fee_comparison(
+    comparison: &QuoteComparison,
+    side: OrderSide,
+    extra_labels: &[(String, String)],
+) {
+    let fee_diff_bps = comparison.output_value_net_of_fee_diff_bps(side);
+
+    let our_output_net_of_fee = comparison.our_quote.output_net_of_fee(side);
+    let source_output_net_of_fee = comparison.source_quote.output_net_of_fee(side);
+
+    let side_label = if side == OrderSide::Sell { "sell" } else { "buy" };
+    let base_token = Token::from_addr(&comparison.our_quote.base_mint);
+    let mut labels = vec![
+        (SIDE_TAG.to_string(), side_label.to_string()),
+        (SOURCE_NAME_TAG.to_string(), comparison.source_quote.name.to_string()),
+        (OUR_OUTPUT_NET_OF_FEE_TAG.to_string(), our_output_net_of_fee.to_string()),
+        (SOURCE_OUTPUT_NET_OF_FEE_TAG.to_string(), source_output_net_of_fee.to_string()),
+    ];
+    labels.extend(extra_labels.iter().cloned());
+    labels = extend_labels_with_base_asset(&base_token.get_addr(), labels);
+
+    metrics::gauge!(QUOTE_OUTPUT_NET_OF_FEE_DIFF_BPS_METRIC, labels.as_slice()).set(fee_diff_bps);
 }

auth/auth-server/src/telemetry/labels.rs

@@ -32,9 +32,12 @@ pub const EXTERNAL_MATCH_SETTLED_QUOTE_VOLUME: &str = "external_match_settled_qu
 /// Metric describing the difference in price between our quote and the source
 /// quote, in basis points
 pub const QUOTE_PRICE_DIFF_BPS_METRIC: &str = "quote.price_diff_bps";
-/// Metric describing the difference in net output value between our quote and
-/// the source quote, in basis points
-pub const QUOTE_NET_OUT_VALUE_DIFF_BPS_METRIC: &str = "quote.net_out_value_diff_bps";
+/// Metric describing the difference in output value net of gas between our
+/// quote and the source quote, in basis points
+pub const QUOTE_OUTPUT_NET_OF_GAS_DIFF_BPS_METRIC: &str = "quote.output_net_of_gas_diff_bps";
+/// Metric describing the difference in output value net of fee between our
+/// quote and the source quote, in basis points
+pub const QUOTE_OUTPUT_NET_OF_FEE_DIFF_BPS_METRIC: &str = "quote.output_net_of_fee_diff_bps";
 
 // ---------------
 // | METRIC TAGS |
@@ -66,3 +69,7 @@ pub const SOURCE_PRICE_TAG: &str = "source_price";
 pub const OUR_OUTPUT_NET_OF_GAS_TAG: &str = "our_output_net_of_gas";
 /// Metric tag for the comparison source's output net of gas
 pub const SOURCE_OUTPUT_NET_OF_GAS_TAG: &str = "source_output_net_of_gas";
+/// Metric tag for our output net of fee
+pub const OUR_OUTPUT_NET_OF_FEE_TAG: &str = "our_output_net_of_fee";
+/// Metric tag for the comparison source's output net of fee
+pub const SOURCE_OUTPUT_NET_OF_FEE_TAG: &str = "source_output_net_of_fee";

auth/auth-server/src/telemetry/quote_comparison/handler.rs

@@ -11,7 +11,7 @@ use crate::telemetry::helpers::record_output_value_net_of_gas_comparison;
 use crate::{
     error::AuthServerError,
     telemetry::{
-        helpers::record_comparison,
+        helpers::{record_comparison, record_output_value_net_of_fee_comparison},
         sources::{QuoteResponse, QuoteSource},
     },
 };
@@ -82,6 +82,7 @@ impl QuoteComparisonHandler {
 
         record_comparison(&comparison, side, &labels);
         record_output_value_net_of_gas_comparison(&comparison, side, &labels);
+        record_output_value_net_of_fee_comparison(&comparison, side, &labels);
         Ok(())
     }
 }

auth/auth-server/src/telemetry/quote_comparison/mod.rs

@@ -10,6 +10,17 @@ use super::sources::QuoteResponse;
 /// Multiplier to convert decimal to basis points (1 basis point = 0.01%)
 const DECIMAL_TO_BPS: f64 = 10_000.0;
 
+/// Calculate the difference between two values in basis points.
+///
+/// Formula: ((value - baseline) / baseline) * 10000
+///
+/// Returns the relative difference in basis points. A positive result means
+/// `value` is higher than the `baseline` by that many basis points.
+fn calc_bps_diff(value: f64, baseline: f64) -> f64 {
+    let diff_ratio = (value - baseline) / baseline;
+    diff_ratio * DECIMAL_TO_BPS
+}
+
 /// Represents a single quote comparison between quotes from different sources
 pub struct QuoteComparison<'a> {
     /// Our quote
@@ -25,29 +36,31 @@ impl<'a> QuoteComparison<'a> {
     /// Positive bps indicates a better quote for the given side:
     /// - Sell: our price > source price
     /// - Buy: source price > our price
-    pub fn price_diff_bps(&self, side: OrderSide) -> i32 {
+    pub fn price_diff_bps(&self, side: OrderSide) -> f64 {
         let our_price = self.our_quote.price();
         let source_price = self.source_quote.price();
-        let price_diff_ratio = match side {
-            OrderSide::Sell => (our_price - source_price) / source_price,
-            OrderSide::Buy => (source_price - our_price) / our_price,
-        };
-
-        (price_diff_ratio * DECIMAL_TO_BPS) as i32
+        match side {
+            OrderSide::Sell => calc_bps_diff(our_price, source_price),
+            OrderSide::Buy => calc_bps_diff(source_price, our_price),
+        }
     }
 
     /// Calculate the output value net of gas difference in basis points (bps).
     /// Positive bps indicates our quote is better.
-    pub fn output_value_net_of_gas_diff_bps(&self, usdc_per_gas: f64, side: OrderSide) -> i32 {
-        let our_output_value_net_of_gas =
-            self.our_quote.output_value_net_of_gas(usdc_per_gas, side);
+    pub fn output_value_net_of_gas_diff_bps(&self, usdc_per_gas: f64, side: OrderSide) -> f64 {
+        let our_output_value_net_of_gas = self.our_quote.output_net_of_gas(usdc_per_gas, side);
         let source_output_value_net_of_gas =
-            self.source_quote.output_value_net_of_gas(usdc_per_gas, side);
+            self.source_quote.output_net_of_gas(usdc_per_gas, side);
 
-        let diff_ratio = (our_output_value_net_of_gas - source_output_value_net_of_gas)
-            / source_output_value_net_of_gas;
-        let bps_diff = diff_ratio * DECIMAL_TO_BPS;
+        calc_bps_diff(our_output_value_net_of_gas, source_output_value_net_of_gas)
+    }
+
+    /// Calculate the output value net of fee difference in basis points (bps).
+    /// Positive bps indicates our quote is better.
+    pub fn output_value_net_of_fee_diff_bps(&self, side: OrderSide) -> f64 {
+        let our_output_value_net_of_fee = self.our_quote.output_net_of_fee(side);
+        let source_output_value_net_of_fee = self.source_quote.output_net_of_fee(side);
 
-        bps_diff as i32
+        calc_bps_diff(our_output_value_net_of_fee, source_output_value_net_of_fee)
     }
 }

auth/auth-server/src/telemetry/sources/mod.rs

@@ -28,6 +28,8 @@ pub struct QuoteResponse {
     pub gas: u64,
     /// The name of the source that provided the quote
     pub name: String,
+    /// The fee taken by the source, in units of the received token
+    pub fee_take: Amount,
 }
 
 impl QuoteResponse {
@@ -48,41 +50,60 @@ impl QuoteResponse {
         gas_total * usdc_per_gas
     }
 
-    /// Calculates the net output value of a trade, accounting for gas costs.
-    pub fn output_value_net_of_gas(&self, usdc_per_gas: f64, side: OrderSide) -> f64 {
-        // Get decimal corrected amounts
-        let base_token = Token::from_addr(&self.base_mint);
-        let quote_token = Token::from_addr(&self.quote_mint);
-
-        let base_amt = base_token.convert_to_decimal(self.base_amount);
-        let quote_amt = quote_token.convert_to_decimal(self.quote_amount);
+    /// Calculates output value with gas costs deducted
+    pub fn output_net_of_gas(&self, usdc_per_gas: f64, side: OrderSide) -> f64 {
+        let (amount, token) = self.get_receive_amount_mint(side);
+        let value = token.convert_to_decimal(amount);
+        self.deduct_gas(value, side, usdc_per_gas)
+    }
 
-        // Get gas cost in USDC
-        let usdc_gas_cost = self.gas_cost(usdc_per_gas);
+    /// Calculates output value with fees deducted
+    pub fn output_net_of_fee(&self, side: OrderSide) -> f64 {
+        let (amount, token) = self.get_receive_amount_mint(side);
+        self.deduct_fees(amount, &token)
+    }
 
-        // Subtract gas cost from net output value
+    /// Helper to apply gas cost deduction based on order side
+    fn deduct_gas(&self, value: f64, side: OrderSide, usdc_per_gas: f64) -> f64 {
+        let gas_cost_usdc = self.gas_cost(usdc_per_gas);
         match side {
-            OrderSide::Sell => quote_amt - usdc_gas_cost,
+            OrderSide::Sell => value - gas_cost_usdc,
             OrderSide::Buy => {
                 let usdc_per_base = self.price();
-                let gas_cost_in_base = usdc_gas_cost / usdc_per_base;
-                base_amt - gas_cost_in_base
+                let gas_cost_in_base = gas_cost_usdc / usdc_per_base;
+                value - gas_cost_in_base
             },
         }
     }
+
+    /// Helper to apply fee deduction
+    fn deduct_fees(&self, amount: Amount, token: &Token) -> f64 {
+        let net_amount = amount - self.fee_take;
+        token.convert_to_decimal(net_amount)
+    }
+
+    /// Gets the amount and token that would be received based on order side
+    fn get_receive_amount_mint(&self, side: OrderSide) -> (Amount, Token) {
+        match side {
+            OrderSide::Sell => (self.quote_amount, Token::from_addr(&self.quote_mint)),
+            OrderSide::Buy => (self.base_amount, Token::from_addr(&self.base_mint)),
+        }
+    }
 }
 
 /// Converts the `AtomicMatchApiBundle` into a `QuoteResponse`.
 impl From<&AtomicMatchApiBundle> for QuoteResponse {
     fn from(bundle: &AtomicMatchApiBundle) -> Self {
         let gas = bundle.settlement_tx.gas().map_or(DEFAULT_GAS_ESTIMATION, |gas| gas.as_u64());
+        let fee_take = bundle.fees.total();
         Self {
             quote_mint: bundle.match_result.quote_mint.clone(),
             base_mint: bundle.match_result.base_mint.clone(),
             quote_amount: bundle.match_result.quote_amount,
             base_amount: bundle.match_result.base_amount,
             gas,
             name: RENEGADE_SOURCE_NAME.to_string(),
+            fee_take,
         }
     }
 }

auth/auth-server/src/telemetry/sources/odos/mod.rs

@@ -3,12 +3,14 @@ mod error;
 mod types;
 
 use super::QuoteResponse;
-use renegade_circuit_types::order::OrderSide;
+use renegade_circuit_types::{fixed_point::FixedPoint, order::OrderSide};
 use renegade_common::types::token::Token;
 
 use client::OdosClient;
 
 pub use client::OdosConfig;
+use renegade_constants::Scalar;
+use renegade_crypto::fields::scalar_to_u128;
 
 // -------------
 // | Constants |
@@ -17,6 +19,11 @@ pub use client::OdosConfig;
 /// The name of the Odos quote source
 const SOURCE_NAME: &str = "odos";
 
+/// The fee rate for Odos Simple Swap using "volatile tokens".
+///
+/// This is defined in https://docs.odos.xyz/build/fees#swap-fees
+const ODOS_FEE_RATE: f64 = 0.0025; // 0.25%
+
 // ----------
 // | Source |
 // ----------
@@ -66,13 +73,19 @@ impl OdosQuoteSource {
             OrderSide::Sell => (quote.get_in_amount().unwrap(), quote.get_out_amount().unwrap()),
         };
 
+        // Calculate the fee take
+        let fee_rate = FixedPoint::from_f64_round_down(ODOS_FEE_RATE);
+        let receive_amount = Scalar::from(quote.get_out_amount().unwrap());
+        let fee_take = (fee_rate * receive_amount).floor();
+
         QuoteResponse {
             base_amount,
             base_mint,
             quote_amount,
             quote_mint,
             gas: quote.gas_estimate as u64,
             name: SOURCE_NAME.to_string(),
+            fee_take: scalar_to_u128(&fee_take),
         }
     }
 }