Source code for tradeexecutor.ethereum.uniswap_v2.uniswap_v2_live_pricing

"""Uniswap v2 live pricing.

Directly asks Uniswap v2 asset price from Uniswap pair contract
and JSON-RPC API.
"""
import logging
import datetime
from decimal import Decimal
from typing import Optional, Dict

from web3 import Web3

from eth_defi.uniswap_v2.deployment import UniswapV2Deployment
from eth_defi.uniswap_v2.fees import estimate_buy_received_amount_raw, estimate_sell_received_amount_raw

from tradeexecutor.ethereum.uniswap_v2.uniswap_v2_execution import UniswapV2Execution
from tradeexecutor.ethereum.uniswap_v2.uniswap_v2_execution_v0 import UniswapV2ExecutionModelVersion0
from tradeexecutor.ethereum.uniswap_v2.uniswap_v2_routing import UniswapV2Routing, route_tokens, get_uniswap_for_pair
from tradeexecutor.ethereum.eth_pricing_model import EthereumPricingModel, LP_FEE_VALIDATION_EPSILON
from tradeexecutor.state.identifier import TradingPairIdentifier
from tradeexecutor.strategy.dummy import DummyExecutionModel
from tradeexecutor.strategy.execution_model import ExecutionModel
from tradeexecutor.strategy.trade_pricing import TradePricing
from tradeexecutor.strategy.trading_strategy_universe import TradingStrategyUniverse

from tradingstrategy.pair import PandasPairUniverse


logger = logging.getLogger(__name__)


[docs]class UniswapV2LivePricing(EthereumPricingModel): """Always pull the latest dollar price for an asset from Uniswap v2 deployment. Supports - Two-way BUSD -> Cake - Three-way trades BUSD -> BNB -> Cake ... within a single exchange. .. note :: If a trade quantity/currency amount is not given uses a "default small value" that is 0.1. Depending on the token, this value might be too much/too little, as Uniswap fixed point math starts to break for very small amounts. For example, for USDC trade 10 cents is already quite low. More information - `About ask and bid <https://www.investopedia.com/terms/b/bid-and-ask.asp>`_: """
[docs] def __init__(self, web3: Web3, pair_universe: PandasPairUniverse, routing_model: UniswapV2Routing, very_small_amount=Decimal("0.10"), epsilon: Optional[float] = LP_FEE_VALIDATION_EPSILON, ): assert isinstance(routing_model, UniswapV2Routing) self.uniswap_cache: Dict[TradingPairIdentifier, UniswapV2Deployment] = {} super().__init__( web3, pair_universe, routing_model, very_small_amount, epsilon, )
[docs] def get_uniswap(self, target_pair: TradingPairIdentifier) -> UniswapV2Deployment: """Helper function to speed up Uniswap v2 deployment resolution.""" if target_pair not in self.uniswap_cache: self.uniswap_cache[target_pair] = get_uniswap_for_pair(self.web3, self.routing_model.factory_router_map, target_pair) return self.uniswap_cache[target_pair]
[docs] def get_sell_price(self, ts: datetime.datetime, pair: TradingPairIdentifier, quantity: Optional[Decimal], ) -> TradePricing: """Get live price on Uniswap.""" if quantity is None: quantity = Decimal(self.very_small_amount) assert isinstance(quantity, Decimal) target_pair, intermediate_pair = self.routing_model.route_pair(self.pair_universe, pair) base_addr, quote_addr, intermediate_addr = route_tokens(target_pair, intermediate_pair) uniswap = self.get_uniswap(target_pair) # In three token trades, be careful to use the correct reserve token quantity_raw = target_pair.base.convert_to_raw_amount(quantity) fee = self.get_pair_fee(ts, pair) assert fee is not None, f"Uniswap v2 fee data missing: {uniswap}" bps_fee = int(fee * 10000) received_raw = estimate_sell_received_amount_raw( uniswap, base_addr, quote_addr, quantity_raw, intermediate_token_address=intermediate_addr, fee=bps_fee, ) if intermediate_pair: received = intermediate_pair.quote.convert_to_decimal(received_raw) fee2 = self.get_pair_fee(ts, intermediate_pair) assert fee2 == fee, "Pairs for Uniswap V2 should have same fee" fees = [fee, fee2] total_fee_pct = 1 - (1-fees[0]) * (1-fees[1]) else: received = target_pair.quote.convert_to_decimal(received_raw) fees = [fee] total_fee_pct = 1 - (1 - fees[0]) price = float(received / quantity) if intermediate_pair: mid_price = price / (1 - fee) / (1 - fee) path = [intermediate_pair, target_pair] else: mid_price = price / (1 - fee) path = [target_pair] lp_fee = float(quantity) * total_fee_pct assert price <= mid_price, f"Bad pricing: {price}, {mid_price}" # self.validate_mid_price_for_sell(lp_fee, mid_price, price, quantity) return TradePricing( price=price, mid_price=mid_price, lp_fee=[lp_fee], pair_fee=fees, side=False, path=path )
[docs] def get_buy_price(self, ts: datetime.datetime, pair: TradingPairIdentifier, reserve: Optional[Decimal], ) -> TradePricing: """Get live price on Uniswap. :param reserve: The buy size in quote token e.g. in dollars :return: Price for one reserve unit e.g. a dollar """ if reserve is None: reserve = Decimal(self.very_small_amount) else: assert isinstance(reserve, Decimal), f"Reserve must be decimal, got {reserve.__class__}: {reserve}" target_pair, intermediate_pair = self.routing_model.route_pair(self.pair_universe, pair) base_addr, quote_addr, intermediate_addr = route_tokens(target_pair, intermediate_pair) uniswap = get_uniswap_for_pair(self.web3, self.routing_model.factory_router_map, target_pair) fee = self.get_pair_fee(ts, pair) assert fee is not None, f"Uniswap v2 fee data missing: exchange:{uniswap} pair:{pair}" # In three token trades, be careful to use the correct reserve token if intermediate_pair: reserve_raw = intermediate_pair.quote.convert_to_raw_amount(reserve) self.check_supported_quote_token(intermediate_pair) else: reserve_raw = target_pair.quote.convert_to_raw_amount(reserve) self.check_supported_quote_token(pair) bps_fee = int(fee * 10000) # Calculate base token received token_raw_received = estimate_buy_received_amount_raw( uniswap, base_addr, quote_addr, reserve_raw, intermediate_token_address=intermediate_addr, fee=bps_fee, ) token_received = target_pair.base.convert_to_decimal(token_raw_received) price = float(reserve / token_received) if intermediate_pair: fee2 = self.get_pair_fee(ts, intermediate_pair) assert fee2 == fee, "Pairs for Uniswap V2 should have same fee" # TODO: Verify calculation mid_price = price * (1 - fee) * (1 - fee) path = [intermediate_pair, target_pair] fees = [fee, fee2] total_fee_pct = 1 - (1-fees[0]) * (1-fees[1]) else: mid_price = price * (1 - fee) path = [target_pair] fees = [fee] total_fee_pct = 1 - (1 - fees[0]) # Reserve is not necessarily a dollar amount (quote token doesn't have to be dollars), so we need to calculate lp_fee = float(reserve) * total_fee_pct assert price >= mid_price, f"Bad pricing: {price}, {mid_price}" # self.validate_mid_price_for_buy(lp_fee, price, mid_price, reserve) return TradePricing( price=float(price), mid_price=float(mid_price), lp_fee=[lp_fee], pair_fee=fees, market_feed_delay=datetime.timedelta(seconds=0), side=True, path=path )
[docs]def uniswap_v2_live_pricing_factory( execution_model: ExecutionModel, universe: TradingStrategyUniverse, routing_model: UniswapV2Routing) -> UniswapV2LivePricing: assert isinstance(universe, TradingStrategyUniverse) assert isinstance(execution_model, (UniswapV2ExecutionModelVersion0, UniswapV2Execution, DummyExecutionModel)), f"Execution model not compatible with this execution model. Received {execution_model}" assert isinstance(routing_model, UniswapV2Routing), f"This pricing method only works with Uniswap routing model, we received {routing_model}" web3 = execution_model.web3 return UniswapV2LivePricing( web3, universe.data_universe.pairs, routing_model)