"""Route trades for 1delta."""
import logging
from _decimal import Decimal
from typing import Dict, Optional, List
from eth_defi.one_delta.constants import TradeOperation
from eth_typing import HexAddress
from hexbytes import HexBytes
from web3 import Web3
from web3.exceptions import ContractLogicError
from eth_defi.token import fetch_erc20_details
from eth_defi.trade import TradeSuccess
from tradeexecutor.ethereum.one_delta.analysis import (
analyse_leverage_trade_by_receipt,
analyse_credit_trade_by_receipt,
)
from tradeexecutor.ethereum.swap import get_swap_transactions, report_failure
from tradeexecutor.state.state import State
from tradeexecutor.state.trade import TradeExecution
from tradingstrategy.chain import ChainId
from tradingstrategy.pair import PandasPairUniverse
from eth_defi.abi import get_deployed_contract, ZERO_ADDRESS_STR
from eth_defi.tx import AssetDelta
from eth_defi.gas import estimate_gas_fees
from eth_defi.uniswap_v3.deployment import UniswapV3Deployment, mock_partial_deployment_for_analysis
from eth_defi.aave_v3.deployment import AaveV3Deployment, fetch_deployment as fetch_aave_v3_deployment
from eth_defi.one_delta.deployment import OneDeltaDeployment, fetch_deployment as fetch_one_delta_deployment
from eth_defi.one_delta.position import (
approve,
close_short_position,
open_short_position,
reduce_short_position,
)
from eth_defi.one_delta.lending import supply, withdraw
from eth_defi.one_delta.price import (
OneDeltaPriceHelper,
estimate_buy_received_amount,
estimate_sell_received_amount,
)
from eth_defi.aave_v3.constants import MAX_AMOUNT
from tradeexecutor.state.types import Percent
from tradeexecutor.ethereum.tx import HotWalletTransactionBuilder
from tradeexecutor.state.identifier import TradingPairIdentifier, AssetIdentifier
from tradeexecutor.state.blockhain_transaction import BlockchainTransaction
from tradeexecutor.state.trade import TradeFlag
from tradeexecutor.strategy.universe_model import StrategyExecutionUniverse
from tradeexecutor.strategy.interest import set_interest_checkpoint
from tradeexecutor.ethereum.routing_state import (
EthereumRoutingState,
route_tokens, # don't remove, forwarded import
OutOfBalance, # don't remove, forwarded import
get_base_quote,
get_base_quote_intermediary,
get_token_for_asset,
DEFAULT_APPROVE_GAS_LIMIT,
APPROVE_GAS_LIMITS,
)
from tradeexecutor.ethereum.routing_model import EthereumRoutingModel
from tradeexecutor.ethereum.uniswap_v3.uniswap_v3_routing import get_uniswap_for_pair
from tradeexecutor.utils.slippage import get_slippage_in_bps
from tradeexecutor.utils.blockchain import get_block_timestamp
logger = logging.getLogger(__name__)
[docs]class OneDeltaRoutingState(EthereumRoutingState):
[docs] def __init__(
self,
pair_universe: PandasPairUniverse,
tx_builder: Optional[HotWalletTransactionBuilder]=None,
swap_gas_limit=None,
approve_gas_limit=None,
):
super().__init__(pair_universe, tx_builder=tx_builder, swap_gas_limit=swap_gas_limit, approve_gas_limit=approve_gas_limit)
def __repr__(self):
return f"<OneDeltaRoutingState Tx builder: {self.tx_builder} web3: {self.web3}>"
[docs] def get_uniswap_for_pair(self, address_map: dict, target_pair: TradingPairIdentifier) -> UniswapV3Deployment:
"""Get a router for a trading pair."""
return get_uniswap_for_pair(self.web3, address_map, target_pair.get_pricing_pair())
def get_aave_v3_for_pair(self, address_map: dict, target_pair: TradingPairIdentifier) -> AaveV3Deployment:
try:
return fetch_aave_v3_deployment(
self.web3,
pool_address=Web3.to_checksum_address(address_map["aave_v3_pool"]),
data_provider_address=Web3.to_checksum_address(address_map["aave_v3_data_provider"]),
oracle_address=Web3.to_checksum_address(address_map["aave_v3_oracle"]),
)
except ContractLogicError as e:
raise RuntimeError(f"Could not fetch deployment data for router address {router_address} (factory {factory_address}) - data is likely wrong") from e
def get_one_delta_for_pair(self, address_map: dict, target_pair: TradingPairIdentifier) -> OneDeltaDeployment:
return get_one_delta(self.web3, address_map)
def trade_on_one_delta(
self,
*,
one_delta: OneDeltaDeployment,
uniswap: UniswapV3Deployment,
target_pair: TradingPairIdentifier,
collateral_amount: int,
borrow_amount: int,
reserve_amount: int,
max_slippage: Percent,
trade_flags: set[TradeFlag],
check_balances: bool = False,
asset_deltas: Optional[List[AssetDelta]] = None,
notes="",
):
assert one_delta
assert target_pair.kind.is_leverage()
base_token, quote_token = get_base_quote(self.web3, target_pair.get_pricing_pair(), target_pair.get_pricing_pair().quote)
atoken = get_token_for_asset(self.web3, target_pair.quote)
if check_balances:
self.check_has_enough_tokens(quote_token, collateral_amount)
logger.info(
"Creating a trade for %s, slippage tolerance %f, borrow amount %d, collateral amount %d. Trade flags are %s",
target_pair,
max_slippage,
borrow_amount,
collateral_amount,
trade_flags,
)
pool_fee_raw = int(target_pair.get_pricing_pair().fee * 1_000_000)
price_helper = OneDeltaPriceHelper(one_delta)
if TradeFlag.open in trade_flags:
assert borrow_amount < 0
# TODO: planned_reserve-planned_collateral_allocation refactor later
assert collateral_amount == 0
assert reserve_amount > 0
min_collateral_amount_out = price_helper.get_amount_out(
-borrow_amount,
[base_token.address, quote_token.address],
[pool_fee_raw],
slippage=get_slippage_in_bps(max_slippage),
)
bound_func = open_short_position(
one_delta_deployment=one_delta,
collateral_token=quote_token,
borrow_token=base_token,
pool_fee=pool_fee_raw,
collateral_amount=reserve_amount,
borrow_amount=-borrow_amount,
wallet_address=self.tx_builder.get_token_delivery_address(),
min_collateral_amount_out=min_collateral_amount_out,
)
elif TradeFlag.close in trade_flags or TradeFlag.close_protocol_last in trade_flags:
# TODO: planned_reserve-planned_collateral_allocation refactor later
assert collateral_amount < 0
assert reserve_amount == 0
if TradeFlag.close_protocol_last in trade_flags:
withdraw_collateral_amount = MAX_AMOUNT
else:
withdraw_collateral_amount = -collateral_amount
bound_func = close_short_position(
one_delta_deployment=one_delta,
collateral_token=quote_token,
borrow_token=base_token,
atoken=atoken,
pool_fee=pool_fee_raw,
wallet_address=self.tx_builder.get_token_delivery_address(),
withdraw_collateral_amount=withdraw_collateral_amount,
)
elif TradeFlag.increase in trade_flags:
assert borrow_amount < 0
min_collateral_amount_out = price_helper.get_amount_out(
-borrow_amount,
[base_token.address, quote_token.address],
[pool_fee_raw],
slippage=get_slippage_in_bps(max_slippage),
)
bound_func = open_short_position(
one_delta_deployment=one_delta,
collateral_token=quote_token,
borrow_token=base_token,
pool_fee=pool_fee_raw,
collateral_amount=reserve_amount,
borrow_amount=-borrow_amount,
wallet_address=self.tx_builder.get_token_delivery_address(),
min_collateral_amount_out=min_collateral_amount_out,
)
elif TradeFlag.reduce in trade_flags:
assert borrow_amount > 0
max_collateral_amount_in = price_helper.get_amount_in(
borrow_amount,
[base_token.address, quote_token.address],
[pool_fee_raw],
slippage=get_slippage_in_bps(max_slippage),
)
bound_func = reduce_short_position(
one_delta_deployment=one_delta,
collateral_token=quote_token,
borrow_token=base_token,
atoken=atoken,
pool_fee=pool_fee_raw,
wallet_address=self.tx_builder.get_token_delivery_address(),
reduce_borrow_amount=borrow_amount,
withdraw_collateral_amount=-collateral_amount,
max_collateral_amount_in=max_collateral_amount_in,
)
else:
raise ValueError(f"Wrong trade flags used: {trade_flags}")
return self.create_signed_transaction(
one_delta.broker_proxy,
bound_func,
self.swap_gas_limit,
asset_deltas,
notes=notes,
)
def lend_via_one_delta(
self,
*,
one_delta: OneDeltaDeployment,
target_pair: TradingPairIdentifier,
reserve_amount: int,
trade_flags: set[TradeFlag],
check_balances: bool = False,
asset_deltas: Optional[List[AssetDelta]] = None,
notes="",
):
base_token, quote_token = get_base_quote(self.web3, target_pair.get_pricing_pair(), target_pair.get_pricing_pair().quote)
atoken = get_token_for_asset(self.web3, target_pair.base)
token_delivery_address = self.tx_builder.get_token_delivery_address()
if check_balances:
self.check_has_enough_tokens(quote_token, reserve_amount)
logger.info(
"Creating a trade for %s, reserve amount %d. Trade flags are %s",
target_pair,
reserve_amount,
trade_flags,
)
price_helper = OneDeltaPriceHelper(one_delta)
if TradeFlag.open in trade_flags or TradeFlag.increase in trade_flags:
assert reserve_amount > 0
bound_func = supply(
one_delta_deployment=one_delta,
token=quote_token,
amount=reserve_amount,
wallet_address=token_delivery_address,
)
elif TradeFlag.reduce in trade_flags:
bound_func = withdraw(
one_delta_deployment=one_delta,
token=quote_token,
atoken=atoken,
amount=abs(reserve_amount),
wallet_address=token_delivery_address,
)
elif TradeFlag.close in trade_flags:
bound_func = withdraw(
one_delta_deployment=one_delta,
token=quote_token,
atoken=atoken,
amount=MAX_AMOUNT,
wallet_address=token_delivery_address,
)
else:
raise ValueError(f"Wrong trade flags used: {trade_flags}")
return self.create_signed_transaction(
one_delta.broker_proxy,
bound_func,
self.swap_gas_limit,
asset_deltas,
notes=notes,
)
[docs] def trade_on_router_two_way(
self,
uniswap: UniswapV3Deployment,
target_pair: TradingPairIdentifier,
reserve_asset: AssetIdentifier,
reserve_amount: int,
max_slippage: Percent,
check_balances: False,
asset_deltas: Optional[List[AssetDelta]] = None,
notes="",
one_delta: OneDeltaDeployment | None = None,
):
"""Not used for now"""
pass
[docs] def trade_on_router_three_way(
self,
uniswap: UniswapV3Deployment,
target_pair: TradingPairIdentifier,
intermediary_pair: TradingPairIdentifier,
reserve_asset: AssetIdentifier,
reserve_amount: int,
max_slippage: float,
check_balances: False,
asset_deltas: Optional[List[AssetDelta]] = None,
notes="",
one_delta: OneDeltaDeployment | None = None,
):
"""Not used for now"""
pass
[docs] def ensure_multiple_tokens_approved(
self,
*,
one_delta: OneDeltaDeployment,
aave_v3: AaveV3Deployment,
collateral_token_address: str,
borrow_token_address: str,
atoken_address: str,
vtoken_address: str,
uniswap_v3: UniswapV3Deployment | None = None,
) -> list[BlockchainTransaction]:
"""Make sure we have ERC-20 approve() for the 1delta
- Infinite approval on-chain
- ...or previous approval in this state,
:param token_address:
:return: Create 0 or 1 transactions if needs to be approved
"""
txs = []
broker_proxy_address = one_delta.broker_proxy.address
aave_v3_pool_address = aave_v3.pool.address
if uniswap_v3:
uniswap_router_address = uniswap_v3.swap_router.address
for token_address in [
collateral_token_address,
borrow_token_address,
atoken_address,
]:
txs += self.ensure_token_approved(token_address, broker_proxy_address)
txs += self.ensure_token_approved(token_address, aave_v3_pool_address)
if uniswap_v3:
txs += self.ensure_token_approved(token_address, uniswap_router_address)
txs += self.ensure_vtoken_delegation_approved(vtoken_address, broker_proxy_address)
return txs
[docs] def ensure_vtoken_delegation_approved(
self,
token_address: str,
destination_address: str,
amount: int = 2**256-1,
) -> list[BlockchainTransaction]:
"""Make sure we have approveDelegation() for the trade
- Infinite approval on-chain
- ...or previous approval in this state,
:param token_address:
:param destination_address:
:param amount: How much to approve, default to approve infinite amount
:return: Create 0 or 1 transactions if needs to be approved
"""
assert self.tx_builder is not None
if token_address in self.approved_routes[destination_address]:
# Already approved for this cycle in previous trade
return []
token_contract = get_deployed_contract(
self.web3,
"aave_v3/VariableDebtToken.json",
Web3.to_checksum_address(token_address),
)
# Set internal state we are approved
self.mark_router_approved(token_address, destination_address)
approve_address = self.tx_builder.get_token_delivery_address()
# TODO
# if token_contract.functions.allowance(approve_address, destination_address).call() > 0:
# # already approved in previous execution cycle
# return []
# Gas limit for ERC-20 approve() may vary per chain,
# see Arbitrum
gas_limit = APPROVE_GAS_LIMITS.get(self.tx_builder.chain_id, DEFAULT_APPROVE_GAS_LIMIT)
# Create infinite approval
tx = self.tx_builder.sign_transaction(
token_contract,
token_contract.functions.approveDelegation(destination_address, amount),
gas_limit=gas_limit,
gas_price_suggestion=None,
asset_deltas=[],
)
return [tx]
[docs]class OneDeltaRouting(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
"""
[docs] def __init__(
self,
address_map: Dict[str, HexAddress],
allowed_intermediary_pairs: Dict[str, str],
reserve_token_address: str,
chain_id: Optional[ChainId] = None,
):
"""
:param address_map:
Defines router smart contracts to be used with each DEX.
Address map is a dict of factory, router, position_manager,
and quoter addresses
:param allowed_intermediary_pairs:
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.
:param chain_id:
Store the chain id for which these routes were generated for.
:param reserve_token_address:
Token address of our reserve currency.
Relevent for buy/sell routing.
Lowercase.
"""
super().__init__(allowed_intermediary_pairs, reserve_token_address, chain_id)
assert type(address_map) == dict
self.address_map = self.convert_address_dict_to_lower(address_map)
[docs] def create_routing_state(
self,
universe: StrategyExecutionUniverse,
execution_details: dict
) -> OneDeltaRoutingState:
"""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
"""
return super().create_routing_state(universe, execution_details, OneDeltaRoutingState)
[docs] def make_leverage_trade(
self,
routing_state: EthereumRoutingState,
target_pair: TradingPairIdentifier,
*,
borrow_amount: int,
collateral_amount: int,
reserve_amount: int,
max_slippage: float,
trade_flags: set[TradeFlag],
check_balances: bool = False,
asset_deltas: Optional[List[AssetDelta]] = None,
notes="",
) -> list[BlockchainTransaction]:
return super().make_leverage_trade(
routing_state,
target_pair,
borrow_amount=borrow_amount,
collateral_amount=collateral_amount,
reserve_amount=reserve_amount,
max_slippage=max_slippage,
address_map=self.address_map,
trade_flags=trade_flags,
check_balances=check_balances,
asset_deltas=asset_deltas,
notes=notes,
)
def make_credit_supply_trade(
self,
routing_state: EthereumRoutingState,
target_pair: TradingPairIdentifier,
*,
reserve_asset: AssetIdentifier,
reserve_amount: int,
trade_flags: set[TradeFlag],
check_balances: bool = False,
asset_deltas: Optional[List[AssetDelta]] = None,
notes="",
) -> list[BlockchainTransaction]:
one_delta = routing_state.get_one_delta_for_pair(self.address_map, target_pair)
aave_v3 = routing_state.get_aave_v3_for_pair(self.address_map, target_pair)
spot_pair = target_pair.get_pricing_pair()
txs = routing_state.ensure_multiple_tokens_approved(
one_delta=one_delta,
aave_v3=aave_v3,
collateral_token_address=spot_pair.quote.address,
borrow_token_address=spot_pair.base.address,
atoken_address=target_pair.quote.address,
vtoken_address=target_pair.base.address,
)
logger.info(
"Doing credit supply trade. Pair:%s\n Reserve asset:%s Reserve amount: %s",
target_pair,
reserve_asset,
reserve_amount,
)
trade_txs = routing_state.lend_via_one_delta(
one_delta=one_delta,
target_pair=target_pair,
reserve_amount=reserve_amount,
trade_flags=trade_flags,
check_balances=check_balances,
asset_deltas=asset_deltas,
notes=notes,
)
txs += trade_txs
return txs
[docs] def settle_trade(
self,
web3: Web3,
state: State,
trade: TradeExecution,
receipts: Dict[str, dict],
stop_on_execution_failure=False,
):
pricing_pair = trade.pair.get_pricing_pair()
base_token_details = fetch_erc20_details(web3, pricing_pair.base.checksum_address)
quote_token_details = fetch_erc20_details(web3, pricing_pair.quote.checksum_address)
reserve = trade.reserve_currency
tx = get_swap_transactions(trade)
one_delta = fetch_one_delta_deployment(web3, tx.contract_address, tx.contract_address, ZERO_ADDRESS_STR)
uniswap = mock_partial_deployment_for_analysis(web3, ZERO_ADDRESS_STR)
aave = fetch_aave_v3_deployment(web3, ZERO_ADDRESS_STR, ZERO_ADDRESS_STR, ZERO_ADDRESS_STR)
tx_dict = tx.get_transaction()
receipt = receipts[HexBytes(tx.tx_hash)]
input_args = tx.get_actual_function_input_args()
ts = get_block_timestamp(web3, receipt["blockNumber"])
if trade.is_leverage():
result, collateral_amount = analyse_leverage_trade_by_receipt(
web3,
one_delta=one_delta,
uniswap=uniswap,
aave=aave,
tx=tx_dict,
tx_hash=tx.tx_hash,
tx_receipt=receipt,
input_args=input_args,
trade_operation=TradeOperation.OPEN if trade.is_sell() else TradeOperation.CLOSE,
)
if isinstance(result, TradeSuccess):
price = result.get_human_price(quote_token_details.address == result.token0.address)
if trade.is_buy():
executed_amount = -result.amount_out / Decimal(10 ** base_token_details.decimals)
executed_collateral_consumption = -result.amount_in / Decimal(10 ** reserve.decimals)
# TODO: planned_reserve-planned_collateral_allocation refactor later
executed_collateral_allocation = Decimal(collateral_amount) / Decimal(10 ** reserve.decimals)
executed_reserve = 0
else:
executed_amount = result.amount_in / Decimal(10 ** base_token_details.decimals)
executed_collateral_consumption = result.amount_out / Decimal(10 ** reserve.decimals)
executed_collateral_allocation = Decimal(0)
executed_reserve = Decimal(collateral_amount) / Decimal(10 ** reserve.decimals)
if trade.is_short():
executed_amount = -executed_amount
lp_fee_paid = result.lp_fee_paid
assert (executed_amount != 0) and (price > 0), f"Executed amount {executed_amount}, executed collateral consumption: {executed_collateral_consumption}, executed_reserve: {executed_reserve}, price: {price}"
logger.info("1delta routing\nPlanned: %f %f %f\nExecuted: %f %f %f", trade.planned_collateral_consumption, trade.planned_collateral_allocation, trade.planned_reserve, executed_collateral_consumption, executed_collateral_allocation, executed_reserve)
# Mark as success
state.mark_trade_success(
ts,
trade,
executed_price=float(price),
executed_amount=executed_amount,
executed_reserve=executed_reserve,
executed_collateral_consumption=executed_collateral_consumption,
executed_collateral_allocation=executed_collateral_allocation,
lp_fees=lp_fee_paid,
native_token_price=0, # won't fix
cost_of_gas=result.get_cost_of_gas(),
)
# TODO: This need to be properly accounted and currently there is no mechanism here
# Set the check point interest balances for new positions
last_block_number = trade.blockchain_transactions[-1].block_number
set_interest_checkpoint(state, ts, last_block_number)
else:
report_failure(ts, state, trade, stop_on_execution_failure)
elif trade.is_credit_supply():
result = analyse_credit_trade_by_receipt(
web3,
one_delta=one_delta,
uniswap=uniswap,
aave=aave,
tx=tx_dict,
tx_hash=tx.tx_hash,
tx_receipt=receipt,
input_args=input_args,
trade_operation=TradeOperation.OPEN if trade.is_buy() else TradeOperation.CLOSE,
)
if isinstance(result, TradeSuccess):
price = 1
if trade.is_buy():
executed_amount = result.amount_in / Decimal(10 ** base_token_details.decimals)
executed_reserve = executed_amount
else:
executed_amount = -result.amount_out / Decimal(10 ** base_token_details.decimals)
executed_reserve = -executed_amount
assert executed_amount != 0, f"Executed amount {executed_amount}, executed_reserve: {executed_reserve}"
logger.info("1delta routing\nPlanned: %f\nExecuted: %f", trade.planned_reserve, executed_reserve)
# Mark as success
state.mark_trade_success(
ts,
trade,
executed_price=float(1),
executed_amount=executed_amount,
executed_reserve=executed_reserve,
lp_fees=0,
native_token_price=0, # won't fix
cost_of_gas=result.get_cost_of_gas(),
)
# TODO: This need to be properly accounted and currently there is no mechanism here
# Set the check point interest balances for new positions
last_block_number = trade.blockchain_transactions[-1].block_number
set_interest_checkpoint(state, ts, last_block_number)
else:
report_failure(ts, state, trade, stop_on_execution_failure)
else:
raise ValueError(f"Unknown trade type {trade}")
[docs]def get_one_delta(web3: Web3, address_map: dict) -> OneDeltaDeployment:
broker_proxy_address = Web3.to_checksum_address(address_map["one_delta_broker_proxy"])
quoter_address = Web3.to_checksum_address(address_map["one_delta_quoter"])
try:
return fetch_one_delta_deployment(
web3,
broker_proxy_address,
broker_proxy_address,
quoter_address,
)
except ContractLogicError as e:
raise RuntimeError(f"Could not fetch deployment data with address map {address_map} - data is likely wrong") from e