errorDelta in math_with_fees.js does not always hold

[Eric Rafaloff]

Description

The BPool contract is tested to ensure that rounding errors do not introduce a delta into token calculations that exceeds 10**-8. This constant, errorDelta, does not hold when a pool's swap fee is set to its maximum allowed value, which is defined on line 27 of BConst.sol:

    uint256 constant MAX_FEE           = BONE / 10;

When the constant swapFee on line 6 of math_with_fees.js is changed to 0.1, the following test fails:

$ truffle test test/math_with_fees.js
Using network 'development'.


Compiling your contracts...
===========================
> Compiling ./contracts/BFactory.sol
> Compiling ./contracts/BMath.sol
> Compiling ./contracts/BPool.sol
> Compiling ./contracts/test/TMath.sol

[...]

  12 passing (2s)
  1 failing

  1) Contract: BPool
       With fees
         swap_ExactMarginalPrice:

      AssertionError: expected 0.0000491203806036733 to be at most 1e-8
      + expected - actual

      -0.0000491203806036733
      +1e-8

      at Context.it (test/math_with_fees.js:218:14)
      at <anonymous>
      at process._tickCallback (internal/process/next_tick.js:188:7)



error Command failed with exit code 1.

Exploit Scenario

A pool is created with the maximally allowed swap fee. As a result, rounding errors introduce unexpected variance into token calculations.

Recommendation

Update math_with_fees.js so that additional testing is performed using the maximally allowed swap fee. Then, either lower MAX_FEE or errorDelta to an acceptable number so that tests pass.

In addition, the amount of variance users should expect to see due to rounding errors should be clearly documented.

[Mike McDonald]

This was due to an approximation being done in swapExactMarginalPrice. This method has been removed and will be implemented in an offchain order router