Source code for tradeexecutor.strategy.trade_pricing

import datetime
from _decimal import Decimal
from logging import getLogger
from dataclasses import dataclass
from typing import Optional, List

from tradeexecutor.state.identifier import TradingPairIdentifier
from tradeexecutor.state.types import USDollarAmount, BPS, USDollarPrice
from dataclasses_json import dataclass_json


logger = getLogger(__name__)


[docs]@dataclass_json @dataclass(slots=True, frozen=True) class TradePricing: """Describe price results for a price query. - Each price result is tied to quantiy/amount - Each price result gets a split that describes liquidity provider fees A helper class to deal with problems of accounting and estimation of prices on Uniswap like exchange. """ #: The price we expect this transaction to clear. #: #: - LP fees included #: - Price impact included #: - Slippage = 0 #: price: USDollarPrice #: The theoretical market price during the transaction. #: #: This is the `(ask price + bid price) / 2` order book price #: that no one can obtain. #: #: No LP fees, price impact, etc. are included in this price. #: It can be used as a basis for other fee estimation #: calculations. #: #: See :term:`mid price` for more information. #: mid_price: USDollarPrice #: How much liquidity provider fees we are going to pay on this trade. #: #: Set to None if data is not available. #: #: Each trading pair on path will have its own fees. #: The list is the per path fees. #: lp_fee: Optional[list[USDollarAmount]] = None #: What was the LP fee % used as the base of the calculations. #: pair_fee: Optional[list[BPS]] = None #: How old price data we used for this estimate #: market_feed_delay: Optional[datetime.timedelta] = None #: Is this buy or sell trade. #: #: #: True for buy. #: False for sell. #: None for Unknown. side: Optional[bool] = None #: Path of the trade #: One trade can have multiple swaps if there is an intermediary pair. path: Optional[List[TradingPairIdentifier]] = None #: When the price read was performed read_at: Optional[datetime.datetime] = None #: What was the block number when the read was performed block_number: Optional[int] = None #: Amount of tokens we put in #: #: Tracked for debugging #: token_in: Optional[Decimal] = None #: Amount of tokens we got out #: #: Tracked for debugging #: token_out: Optional[Decimal] = None def __repr__(self): fee_list = [fee or 0 for fee in self.pair_fee] if self.block_number: block_text = "block:{self.block_number:,}" else: block_text = "" return f"<TradePricing:{self.price} mid:{self.mid_price} fee:{format_fees_percentage(fee_list)} {block_text}>" def __post_init__(self): """Validate parameters. Make sure we don't slip in e.g. NumPy types. """ assert type(self.price) == float assert type(self.mid_price) == float # Convert legacy single lp_fee model to path based model if type(self.lp_fee) != list: object.__setattr__(self, 'lp_fee', [self.lp_fee]) if type(self.pair_fee) != list: object.__setattr__(self, 'pair_fee', [self.pair_fee]) assert all([type(_lp_fee) in {float, type(None)} for _lp_fee in self.lp_fee]), f"lp_fee must be provided as type list with float or NoneType elements. Got Got lp_fee: {self.lp_fee} {type(self.lp_fee)}" assert all([type(_pair_fee) in {float, type(None)} for _pair_fee in self.pair_fee]), f"pair_fee must be provided as a list with float or NoneType elements. Got fee: {self.pair_fee} {type(self.pair_fee)} " if self.market_feed_delay is not None: assert isinstance(self.market_feed_delay, datetime.timedelta) # Do sanity checks for the price calculation, e.g. in the case there has been a negative price somewhere if self.side is not None: if self.side: assert self.price >= self.mid_price, f"Got bad buy pricing: {self.price} > {self.mid_price}" if not self.side: assert self.price <= self.mid_price, f"Got bad sell pricing: {self.price} < {self.mid_price}" if self.path: assert all([type(address) == TradingPairIdentifier for address in self.path]), "path must be provided as a list of TradePairIdentifier"
[docs] def get_total_lp_fees(self) -> USDollarAmount: """Returns the total lp fees paid (dollars) for the trade.""" if all(self.lp_fee): return sum(self.lp_fee) logger.warning("some trades don't have an associated lp fee") return sum(filter(None, self.lp_fee))
[docs] def get_fee_percentage(self): """Returns a single decimal value for the percentage of fees paid. This calculation represents the average of all the pair fees. Calculation is the same for v2 and v3. Calculation: -> x(1 - fee0)(1 - fee1) = x(1 - fee) -> (1 - fee0)(1 - fee1) = (1 - fee) -> fee = 1 - (1 - fee0)(1 - fee1) """ if all(self.pair_fee): if len(self.pair_fee) == 1: assert self.pair_fee[0] < 1 return self.pair_fee[0] elif len(self.pair_fee) == 2: assert all([0 <= fee < 1 for fee in self.pair_fee]) return 1 - (1 - self.pair_fee[0]) * (1 - self.pair_fee[1]) else: raise ValueError("Swap involves fees from more than two pairs") logger.warning("some pairs in the trade have a fee of None") return None
[docs]def format_fees_percentage(fees: list[BPS]) -> str: """Returns string of formatted fees e.g. fees = [0.03, 0.005] => 0.3000% 0.0500% :param fees: list of lp fees in float (multiplier) format :returns: formatted str """ _fees = [fee or 0 for fee in fees] strFormat = len(_fees) * '{:.4f}% ' return strFormat.format(*_fees)
[docs]def format_fees_dollars(fees: list[USDollarAmount] | USDollarAmount) -> str: """Returns string of formatted fees :param fees: Can either be a list of fees or a single fee e.g. fees = [30, 50] => $30.00 $50.00 :param fees: list of fees paid in absolute value (dollars) :returns: formatted str """ if type(fees) != list: return f"${fees:.2f}" _fees = [fee or 0 for fee in fees] strFormat = len(_fees) * '${:.2f} ' return strFormat.format(*_fees)