Lending and borrowing data now available through Aave

Trading Strategy integrates with Aave to provide lending data to its comprehensive market data sets

We are happy to announce we have added Aave v3 to the Trading Strategy market data sets, which means users can now access lending and borrowing data through the lending reserve data module, available to view today.

This data comes directly from Aave v3 which shows common Aave v3 lending data across multiple blockchains including Ethereum, Arbitrum One and Polygon. The lending reserve data will be updated over time with more lending protocols and platforms to be added.

The addition of the lending market data comes as the first phase of the Aave integration rollout. The next phase will be to add backtesting and strategy deployment availability through the Trading Strategy framework, where users can add assets on Aave into trading algorithms just like any other DEX or trading pair we have available now. The final phase is to have live open strategies where users can leverage lending pools for trade execution and utilise shorting capabilities through Aave for algorithmic trading for DeFi, the first of its kind.

Aave integrated to the Trading Strategy protocol

  • You can now view lending and borrowing data from over 50 lending reserves.
  • View lending data such as total supply, supply rate, variable borrow rate, stable borrow rate and utilisation rate.
  • Trading Strategy market data sets now comprise data from 5 blockchains, 4,600+ DEXs, 2m+ trading pairs and 50+ lending reserves.
  • Trading Strategy's lending reserve data indexes $3.1bn of liquidity locked in across 3 blockchains.
  • Users will be able to utilise lending and borrowing capabilities for algorithmic trading strategies through Aave (coming soon).
  • Ability to automatically long and short positions through trading strategies (coming soon).
  • Utilise lending pools for trading strategies and earn yield from supplying liquidity on Aave (coming soon).
  • Create trading strategies that borrow against the collateral across multiple protocols and chains (coming soon).

Lending reserve data

The new set of lending data allows you to view current and historical interest rate data in similar format to the DEX market data available on Trading Strategy.

New lending data includes:

  • Support of multiple blockchains and protocols.
  • Raw data formatted into familiar OHLC candles for variable borrow APR, allowing easier understanding of market anomalies.
  • Supply APR data displayed as a purple line plotted on the chart.
  • Time frame slider for 1h, 4h, 1d, 7d and 30d periods, the same formats found on the market trading data charts.
Example chart with stable borrow APR and supply APR lines found on WETH - Aave v3 reserve on Ethereum

What lending reserve data points are available to view?

Example of data points available found on WETH - Aave v3 reserve on Ethereum

Supply rate - This is the APR earned when supplying the token that is listed for collateral.

Borrow rate (Variable) - This is the amount of APR paid when borrowing the listed token using the reserve’s variable rate. This is based on the offer and demand within the lending protocol or platform itself. This rate will fluctuate over time and could be the optimal rate depending on market conditions.

Borrow rate (Stable) - This is the amount of APR paid when borrowing the listed token using the reserves’ stable rate. Stable rates act as the fixed rate in the short term, but can be re-balanced in the long term in response to changes in market conditions.

Total supplied - Value of tokens currently deposited on the reserve compared to the supply cap (maximum amount that can be supplied).

Total borrowed - Value of tokens currently borrowed on the reserved compared to the borrow cap (maximum amount that can be supplied).

Utilization rate - Portion of the reserves supply that is currently being utilized by borrowers.

Protocol - This is what protocol or platform the reserve is hosted on.

Asset token - The underlying asset to be supplied as collateral and/or borrowing.

Blockchain - Which blockchain the asset or token is operating on.

Example calculated variable borrow rate - The cost of borrowing calculated from the variable borrow rate of the reserve per hour. The example borrowing cost is $5,000.

Total Value Locked (TVL) - The total amount of assets locked or invested in the reserve. In this case the TVL is displayed within the search table data.

Sort function using TVL found on Trading Strategy

The new lending reserve data joins the comprehensive market data sets already found on Trading Strategy today. Which includes data from 5 blockchains, 4,659 DEXs and  2 million+ trading pairs. View the full library of market data here.

Access borrowing and lending for algorithmic trading strategies

  • Use supply rate to estimate interest in simple supply-only strategy. E.g: deposit 10k USDC to Aave to earn almost risk free interest.
  • Use supply rate to estimate interest for temporary available capital. E.g: deposit available USDC to Aave between trading positions to earn interest, this usually doesn’t yield much but could possibly offset gas and trading fees.
  • Use borrow rate to estimate borrowing interest for a shorting strategy.
  • Use our candle data to see the fluctuation of supply/borrow rate, this is unique in the TradingStrategy dataset where the interest rates are candles, meaning you can see the fluctuation between highs and lows. E.g: check APR of USDT lending reserves on 11/03/2023 in the event of USDC depegging > many people borrowed USDT to buy USDC, speculating that the USDC would return to its peg.
Example of candle data spike during USDC de-peg found on Trading Strategy for USDT Aave v3 reserve on Ethereum

Start using this lending reserve data now by visiting our documentation to build your own backtests with long and short positions here. For further information or if you have any questions join our Discord here.