EthereumExecutionModel#

tradeexecutor.ethereum.execution.EthereumExecutionModel Python class in Trading Strategy framework.

class EthereumExecutionModel[source]#

Bases: ExecutionModel

Run order execution on a single Uniswap v2 style exchanges.

abstract __init__(tx_builder, min_balance_threshold=Decimal('0.5'), confirmation_block_count=6, confirmation_timeout=datetime.timedelta(seconds=300), max_slippage=0.01, stop_on_execution_failure=True, swap_gas_fee_limit=2000000, mainnet_fork=False)[source]#
Parameters:

  • tx_builder (TransactionBuilder) – Hot wallet instance used for this execution

  • min_balance_threshold – Abort execution if our hot wallet gas fee balance drops below this

  • confirmation_block_count – How many blocks to wait for the receipt confirmations to mitigate unstable chain tip issues

  • confirmation_timeout – How long we wait transactions to clear

  • stop_on_execution_failure – Raise an exception if any of the trades fail top execute

  • max_slippage (float) –

    TODO: No longer used. Set in TradeExecution object.

    Max slippage tolerance per trade. 0.01 is 1%.

  • mainnet_fork – Is this Anvil in automining mainnet fork mode

Methods

__init__(tx_builder[, ...])

param tx_builder:

analyse_trade_by_receipt(web3, uniswap, tx, ...)

Links to either uniswap v2 or v3 implementation in eth_defi

broadcast_and_resolve(state, trades[, ...])

Do the live trade execution.

execute_trades(ts, state, trades, ...[, ...])

Execute the trades determined by the algo on a designed Uniswap v2 instance.

get_routing_state_details()

Get needed details to establish a routing state.

initialize()

Set up the wallet

is_live_trading()

is_stop_loss_supported()

Do we support stop-loss/take profit functionality with this execution model?

is_v3()

Returns true if instance is related to Uniswap V3, else false.

mock_partial_deployment_for_analysis()

Links to either uniswap v2 or v3 implementation in eth_defi

pre_execute_assertions(ts, routing_model, ...)

preflight_check()

Check that we can connect to the web3 node

repair_unconfirmed_trades(state)

Repair unconfirmed trades.

resolve_trades(ts, state, tx_map, receipts)

Resolve trade outcome.

update_confirmation_status(ts, tx_map, receipts)

First update the state of all transactions, as we now have receipt for them.

Attributes

chain_id

Which chain the live execution is connected to.

web3

abstract __init__(tx_builder, min_balance_threshold=Decimal('0.5'), confirmation_block_count=6, confirmation_timeout=datetime.timedelta(seconds=300), max_slippage=0.01, stop_on_execution_failure=True, swap_gas_fee_limit=2000000, mainnet_fork=False)[source]#
Parameters:

  • tx_builder (TransactionBuilder) – Hot wallet instance used for this execution

  • min_balance_threshold – Abort execution if our hot wallet gas fee balance drops below this

  • confirmation_block_count – How many blocks to wait for the receipt confirmations to mitigate unstable chain tip issues

  • confirmation_timeout – How long we wait transactions to clear

  • stop_on_execution_failure – Raise an exception if any of the trades fail top execute

  • max_slippage (float) –

    TODO: No longer used. Set in TradeExecution object.

    Max slippage tolerance per trade. 0.01 is 1%.

  • mainnet_fork – Is this Anvil in automining mainnet fork mode

property chain_id: int#

Which chain the live execution is connected to.

abstract analyse_trade_by_receipt(web3, uniswap, tx, tx_hash, tx_receipt, input_args)[source]#

Links to either uniswap v2 or v3 implementation in eth_defi

Parameters:
Return type:

eth_defi.trade.TradeSuccess | eth_defi.trade.TradeFail

abstract mock_partial_deployment_for_analysis()[source]#

Links to either uniswap v2 or v3 implementation in eth_defi

abstract is_v3()[source]#

Returns true if instance is related to Uniswap V3, else false. Kind of a hack to be able to share resolve trades function amongst v2 and v3.

repair_unconfirmed_trades(state)[source]#

Repair unconfirmed trades.

Repair trades that failed to properly broadcast or confirm due to blockchain node issues.

Parameters:

state (State) –

Return type:

List[TradeExecution]

is_stop_loss_supported()[source]#

Do we support stop-loss/take profit functionality with this execution model?

  • For backtesting we need to have data stream for candles used to calculate stop loss

  • For production execution, we need to have special oracle data streams for checking real-time stop loss

Return type:

bool

preflight_check()[source]#

Check that we can connect to the web3 node

initialize()[source]#

Set up the wallet

broadcast_and_resolve(state, trades, confirmation_timeout=datetime.timedelta(seconds=60), confirmation_block_count=0, stop_on_execution_failure=False)[source]#

Do the live trade execution.

  • Push trades to a live blockchain

  • Wait transactions to be mined

  • Based on the transaction result, update the state of the trade if it was success or not

Parameters:

  • confirmation_block_count (int) – How many blocks to wait until marking transaction as confirmed

  • stop_on_execution_failure – If any of the transactions fail, then raise an exception. Set for unit test.

  • state (State) –

  • trades (List[TradeExecution]) –

  • confirmation_timeout (timedelta) –

Confirmation_timeout:

Max time to wait for a confirmation.

We can use zero or negative values to simulate unconfirmed trades. See test_broadcast_failed_and_repair_state.

execute_trades(ts, state, trades, routing_model, routing_state, check_balances=False)[source]#

Execute the trades determined by the algo on a designed Uniswap v2 instance.

Returns:

Tuple List of succeeded trades, List of failed trades

Parameters:
get_routing_state_details()[source]#

Get needed details to establish a routing state.

Return type:

RoutingStateDetails

update_confirmation_status(ts, tx_map, receipts)[source]#

First update the state of all transactions, as we now have receipt for them. Update the transaction confirmation status

Parameters:
Return type:

set[tradeexecutor.state.trade.TradeExecution]

resolve_trades(ts, state, tx_map, receipts, stop_on_execution_failure=True)[source]#

Resolve trade outcome.

Read on-chain Uniswap swap data from the transaction receipt and record how it went.

Mutates the trade objects in-place.

Parameters: