"""Uniswap v3 live pricing.
Directly asks Uniswap v3 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 tradeexecutor.ethereum.uniswap_v3_execution import UniswapV3ExecutionModel
from tradeexecutor.ethereum.uniswap_v3_routing import UniswapV3SimpleRoutingModel, route_tokens, get_uniswap_for_pair
from tradeexecutor.ethereum.eth_pricing_model import EthereumPricingModel
from tradeexecutor.state.identifier import TradingPairIdentifier
from tradeexecutor.strategy.execution_model import ExecutionModel
from tradeexecutor.state.types import USDollarAmount
from tradeexecutor.strategy.trading_strategy_universe import TradingStrategyUniverse
from tradeexecutor.strategy.trade_pricing import TradePricing
from tradingstrategy.pair import PandasPairUniverse
from eth_defi.uniswap_v3.price import UniswapV3PriceHelper
from eth_defi.uniswap_v3.deployment import UniswapV3Deployment
logger = logging.getLogger(__name__)
[docs]class UniswapV3LivePricing(EthereumPricingModel):
"""Always pull the latest dollar price for an asset from Uniswap v3 deployment.
Supports
- Two-way BUSD -> Cake
- Three-way trades BUSD -> BNB -> Cake
... within a single, uniswap v3 like 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: UniswapV3SimpleRoutingModel,
very_small_amount=Decimal("0.10")):
assert isinstance(routing_model, UniswapV3SimpleRoutingModel)
self.uniswap_cache: Dict[TradingPairIdentifier, UniswapV3Deployment] = {}
super().__init__(
web3,
pair_universe,
routing_model,
very_small_amount
)
[docs] def get_pair_fee_multiplier(self, ts, pair):
"""Uniswap V3 pairs get fees in raw format e.g. 3000 instead of 0.3%"""
return super().get_pair_fee(ts, pair)/1_000_000
[docs] def get_uniswap(self, target_pair: TradingPairIdentifier) -> UniswapV3Deployment:
"""Helper function to speed up Uniswap v3 deployment resolution."""
if target_pair not in self.uniswap_cache:
self.uniswap_cache[target_pair] = get_uniswap_for_pair(
self.web3,
self.routing_model.address_map,
target_pair
)
return self.uniswap_cache[target_pair]
def get_price_helper(self, target_pair: TradingPairIdentifier) -> UniswapV3PriceHelper:
uniswap_v3 = self.get_uniswap(target_pair)
return UniswapV3PriceHelper(uniswap_v3)
[docs] def get_sell_price(self,
ts: datetime.datetime,
pair: TradingPairIdentifier,
quantity: Optional[Decimal],
) -> USDollarAmount:
"""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)
# In three token trades, be careful to use the correct reserve token
quantity_raw = target_pair.base.convert_to_raw_amount(quantity)
# See eth_defi.uniswap_v2.fees.estimate_sell_received_amount_raw
if intermediate_pair:
path = [base_addr, intermediate_addr, quote_addr]
fees = [intermediate_pair.fee, target_pair.fee]
total_fee_pct = 1 - (1-fees[0]) * (1-fees[1])
else:
path = [base_addr, quote_addr]
fees = [target_pair.fee]
total_fee_pct = 1 - (1-fees[0])
raw_fees = [int(fee * 1_000_000) for fee in fees]
price_helper = self.get_price_helper(target_pair)
received_raw = price_helper.get_amount_out(
amount_in=quantity_raw,
path=path,
fees=raw_fees
)
if intermediate_pair:
received = intermediate_pair.quote.convert_to_decimal(received_raw)
path = [intermediate_pair, target_pair]
else:
received = target_pair.quote.convert_to_decimal(received_raw)
price = float(received / quantity)
path = [target_pair]
price = float(received / quantity)
if intermediate_pair:
mid_price = price * (1 + self.get_pair_fee_multiplier(ts, target_pair)) * (1 + self.get_pair_fee_multiplier(ts, intermediate_pair.fee))
else:
mid_price = price * (1 + self.get_pair_fee_multiplier(ts, target_pair))
assert price <= mid_price, f"Bad pricing: {price}, {mid_price}"
lp_fee = float(quantity) * total_fee_pct
#lp_fee = (mid_price - price) * float(quantity)
#assert lp_fee == float(quantity) * total_fee_pct
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],
) -> USDollarAmount:
"""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)
# In three token trades, be careful to use the correct reserve token
if intermediate_pair is not None:
reserve_raw = intermediate_pair.quote.convert_to_raw_amount(reserve)
self.check_supported_quote_token(intermediate_pair)
path = [quote_addr, intermediate_addr, base_addr]
fees = [intermediate_pair.fee, target_pair.fee]
total_fee_pct = 1 - (1 - fees[0]) * (1-fees[1])
else:
reserve_raw = target_pair.quote.convert_to_raw_amount(reserve)
self.check_supported_quote_token(pair)
path = [quote_addr, base_addr]
fees = [target_pair.fee]
total_fee_pct = 1 - (1 - fees[0])
raw_fees = [int(fee * 1_000_000) for fee in fees]
# See eth_defi.uniswap_v2.fees.estimate_buy_received_amount_raw
price_helper = self.get_price_helper(target_pair)
token_raw_received = price_helper.get_amount_out(
amount_in=reserve_raw,
path=path,
fees=raw_fees
)
token_received = target_pair.base.convert_to_decimal(token_raw_received)
fee = self.get_pair_fee_multiplier(ts, pair)
assert fee is not None, "Uniswap v3 fee data missing"
price = float(reserve / token_received)
lp_fee = float(reserve) * total_fee_pct
# TODO: Verify mid_price calculation
if intermediate_pair:
mid_price = price * (1 - self.get_pair_fee_multiplier(ts, intermediate_pair)) * (1 - self.get_pair_fee_multiplier(ts, target_pair))
path = [intermediate_pair, target_pair]
else:
mid_price = price * (1 - fee)
path = [target_pair]
assert price >= mid_price, f"Bad pricing: {price}, {mid_price}"
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_v3_live_pricing_factory(
execution_model: ExecutionModel,
universe: TradingStrategyUniverse,
routing_model: UniswapV3SimpleRoutingModel,
) -> UniswapV3LivePricing:
assert isinstance(universe, TradingStrategyUniverse)
assert isinstance(execution_model, (UniswapV3ExecutionModel)), f"Execution model not compatible with this execution model. Received {execution_model}"
assert isinstance(routing_model, UniswapV3SimpleRoutingModel), f"This pricing method only works with Uniswap routing model, we received {routing_model}"
web3 = execution_model.web3
return UniswapV3LivePricing(
web3,
universe.universe.pairs,
routing_model
)