TWAP Orders

Grant Title: Time-Weighted Average Price (TWAP) Orders

Author:

• GitHub: https://github.com/mfw78 (see also https://github.com/rndlabs).
• Gitcoin: https://gitcoin.co/mfw78

About You:

• Experienced in technical systems analysis, design and implementation with a strong emphasis on risk management / gap analysis.
• Experienced technical writer in mission-critical, highly regulated, and technical industries.
• Actively independently developing with emerging decentralised technologies, including Swarm and Waku.

Additional Links:

• safe-cow: https://github.com/rndlabs/safe-cow - implementing EIP-1271 signature aggregation for Safe trading via Cowswap API.

Grant category: Protocol Order Flow / Developer tools

Grant Description:

Problem: Currently DEX aggregators / AMM marketplaces only provide market and limit order types. Conversely, on a TradFi exchange, more advanced order types are available, providing utility to traders.

Solution: By making use of EIP-1271 smart contract orders, implement more advanced order types, with this grant specifically targetting TWAP (Time-weighted average price) orders.

Grant Goals and impact:

• Increase CoW protocol utility through DeFi-market unique order types (e.g dollar-cost averaging by use of TWAP orders).
• Increase concentration of orders by timing, leading to increased likelihood of CoWs.

Milestones:

Basic TWAP:

Basic TWAP logic would be implemented as multiple fixed size orders, with constant time spacing, enforcing a user-specified floor / ceiling price (sell / buy) as appropriate. Deliverables include:

1. Implement a user-upgradeable proxy contract with TWAP logic. This would allow users to upgrade their deployed proxy's implementation contract, yielding gas savings on token approvals, and contract deployments.
2. Implement a factory contract for user's to deploy contracts from (1).
3. Comprehensive test suite for contracts.
4. Example script for submitting TWAP orders off-chain to Cow protocol.
5. Documentation for integrators / developers.

Grant Timeline:

Complete by end of January 2023.

Note: The above timelines do not make for allowances / timing associated with audit completion.

Funding Request:

$10,000. Half paid up-front ($5,000), with the remainder paid upon satisfactory completion of code as determined by the member(s) of the CoW team.

Budget Breakdown:

• $10k: development / labor cost.

This budget does not include any costs associated with audit by a 3rd party. It is expected that CoW would undertake the necessary steps / cost for audit. Any cost overruns associated with meeting the standards of an external audit (additional testing / code fixes) would be paid out of the development cost.

Gnosis Chain Address (to receive the grant):

0x070E0a700E36D303a0Ce3fe37976dD70974D7883

Other Information: As an active member of the CowDAO Grants Committee, I hereby refrain from voting / signing on this proposal so as to eliminate conflicts of interest. In determining the timelines associated with this Grant, I have taken into consideration workloads due to my position as a Committee member, 3rd party work, and allowed appropriate buffer to ensure the Grant Committee's continuance.

Referral: N/A

Terms and conditions:

By applying for this grant, I agree to be bound by the CowDAO Participation Agreement and the COWDAO Grant Terms and Conditions