OneDeltaRouting#

API documentation for tradeexecutor.ethereum.one_delta.one_delta_routing.OneDeltaRouting Python class in Trading Strategy framework.

class OneDeltaRouting[source]#

Bases: EthereumRoutingModel

A simple router that does not optimise the trade execution cost.

  • Able to trade on multiple exchanges

  • Able to three-way trades through predefined intermediary hops, either on the exchange itself or some outside exchange

__init__(address_map, allowed_intermediary_pairs, reserve_token_address, chain_id=None)[source]#
Parameters:

  • address_map (Dict[str, HexAddress]) – Defines router smart contracts to be used with each DEX. Address map is a dict of factory, router, position_manager, and quoter addresses

  • allowed_intermediary_pairs (Dict[str, str]) –

    Quote token address -> pair smart contract address mapping.

    Because we hold our reserves only in one currecy e.g. BUSD and we want to trade e.g. Cake/BNB pairs, we need to whitelist BNB as an allowed intermediary token. This makes it possible to do BUSD -> BNB -> Cake trade. This set is the list of pair smart contract addresses that are allowed to be used as a hop.

  • chain_id (Optional[ChainId]) – Store the chain id for which these routes were generated for.

  • reserve_token_address (str) – Token address of our reserve currency. Relevent for buy/sell routing. Lowercase.

Methods

__init__(address_map, ...[, chain_id])

param address_map:

convert_address_dict_to_lower(address_dict)

Convert all key addresses to lowercase to avoid mix up with Ethereum address checksums

create_routing_state(universe, execution_details)

Create a new routing state for this cycle.

execute_trades_internal(pair_universe, ...)

Split for testability.

get_default_trading_fee()

Get the trading/LP fee applied to all trading pairs.

get_reserve_asset(pair_universe)

Translate our reserve token address tok an asset description.

intermediary_pair_assertion(intermediary_pair)

make_credit_supply_trade(routing_state, ...)

make_direct_trade(routing_state, ...[, ...])

Prepare a trade where target pair has out reserve asset as a quote token.

make_leverage_trade(routing_state, ...[, ...])

Prepare a short trade where target pair has out reserve asset as a quote token.

make_multihop_trade(routing_state, ...[, ...])

Prepare a trade where target pair has out reserve asset as a quote token.

perform_preflight_checks_and_logging(...)

"Checks the integrity of the routing.

pre_trade_assertions(reserve_asset_amount, ...)

Some basic assertions made at the beginning of the trade() method on child class.

reserve_asset_logging(pair_universe)

route_pair(pair_universe, trading_pair)

Return Uniswap routing information (path components) for a trading pair.

route_pair_assertions(trading_pair, ...)

route_trade(pair_universe, trade)

Figure out how to map an abstract trade to smart contracts.

settle_trade(web3, state, trade, receipts[, ...])

Post-trade

setup_trades(routing_state, trades[, ...])

Strategy and live execution connection.

trade(routing_state, target_pair, ...[, ...])

param routing_state:
__init__(address_map, allowed_intermediary_pairs, reserve_token_address, chain_id=None)[source]#
Parameters:

  • address_map (Dict[str, HexAddress]) – Defines router smart contracts to be used with each DEX. Address map is a dict of factory, router, position_manager, and quoter addresses

  • allowed_intermediary_pairs (Dict[str, str]) –

    Quote token address -> pair smart contract address mapping.

    Because we hold our reserves only in one currecy e.g. BUSD and we want to trade e.g. Cake/BNB pairs, we need to whitelist BNB as an allowed intermediary token. This makes it possible to do BUSD -> BNB -> Cake trade. This set is the list of pair smart contract addresses that are allowed to be used as a hop.

  • chain_id (Optional[ChainId]) – Store the chain id for which these routes were generated for.

  • reserve_token_address (str) – Token address of our reserve currency. Relevent for buy/sell routing. Lowercase.

create_routing_state(universe, execution_details)[source]#

Create a new routing state for this cycle.

  • Connect routing to web3 and hot wallet

  • Read on-chain data on what gas fee we are going to use

  • Setup transaction builder based on this information

Parameters:
Return type:

OneDeltaRoutingState

perform_preflight_checks_and_logging(pair_universe)[source]#

“Checks the integrity of the routing.

  • Called from check-wallet to see our routing and balances are good

Parameters:

pair_universe (PandasPairUniverse) –

make_leverage_trade(routing_state, target_pair, *, borrow_amount, collateral_amount, reserve_amount, max_slippage, trade_flags, check_balances=False, asset_deltas=None, notes='')[source]#

Prepare a short trade where target pair has out reserve asset as a quote token.

Parameters:
Returns:

List of approval transactions (if any needed)

Return type:

list[tradeexecutor.state.blockhain_transaction.BlockchainTransaction]

settle_trade(web3, state, trade, receipts, stop_on_execution_failure=False)[source]#

Post-trade

  • Read on-chain data about the execution success and performance

  • Mark trade succeed or failed

Parameters:

  • state (State) – Strategy state

  • web3 (Web3) –

    Web3 connection.

    TODO: Breaks abstraction. Figure better way to pass this around later. Maybe create an Ethereum-specific routing parent class?

  • trade (TradeExecution) – Trade executed in this execution batch

  • receipts (Dict[str, dict]) –

    Blockchain receipts we received in this execution batch.

    Hash -> receipt mapping.

  • stop_on_execution_failure –

    Raise an error if the trade failed.

    Used in unit testing.