"""Uniswap v2 live pricing.
Directly asks Uniswap v2 asset price from Uniswap pair contract
and JSON-RPC API.
"""
import logging
import datetime
from decimal import Decimal
from typing import Optional, Dict
from web3 import Web3
from eth_defi.uniswap_v2.deployment import UniswapV2Deployment
from eth_defi.uniswap_v2.fees import estimate_buy_received_amount_raw, estimate_sell_received_amount_raw
from tradeexecutor.ethereum.uniswap_v2.uniswap_v2_execution import UniswapV2Execution
from tradeexecutor.ethereum.uniswap_v2.uniswap_v2_execution_v0 import UniswapV2ExecutionModelVersion0
from tradeexecutor.ethereum.uniswap_v2.uniswap_v2_routing import UniswapV2Routing, route_tokens, get_uniswap_for_pair
from tradeexecutor.ethereum.eth_pricing_model import EthereumPricingModel, LP_FEE_VALIDATION_EPSILON
from tradeexecutor.state.identifier import TradingPairIdentifier
from tradeexecutor.strategy.dummy import DummyExecutionModel
from tradeexecutor.strategy.execution_model import ExecutionModel
from tradeexecutor.strategy.trade_pricing import TradePricing
from tradeexecutor.strategy.trading_strategy_universe import TradingStrategyUniverse
from tradingstrategy.pair import PandasPairUniverse
logger = logging.getLogger(__name__)
[docs]class UniswapV2LivePricing(EthereumPricingModel):
"""Always pull the latest dollar price for an asset from Uniswap v2 deployment.
Supports
- Two-way BUSD -> Cake
- Three-way trades BUSD -> BNB -> Cake
... within a single exchange.
.. note ::
If a trade quantity/currency amount is not given uses
a "default small value" that is 0.1. Depending on the token,
this value might be too much/too little, as Uniswap
fixed point math starts to break for very small amounts.
For example, for USDC trade 10 cents is already quite low.
More information
- `About ask and bid <https://www.investopedia.com/terms/b/bid-and-ask.asp>`_:
"""
[docs] def __init__(self,
web3: Web3,
pair_universe: PandasPairUniverse,
routing_model: UniswapV2Routing,
very_small_amount=Decimal("0.10"),
epsilon: Optional[float] = LP_FEE_VALIDATION_EPSILON,
):
assert isinstance(routing_model, UniswapV2Routing)
self.uniswap_cache: Dict[TradingPairIdentifier, UniswapV2Deployment] = {}
super().__init__(
web3,
pair_universe,
routing_model,
very_small_amount,
epsilon,
)
[docs] def get_uniswap(self, target_pair: TradingPairIdentifier) -> UniswapV2Deployment:
"""Helper function to speed up Uniswap v2 deployment resolution."""
if target_pair not in self.uniswap_cache:
self.uniswap_cache[target_pair] = get_uniswap_for_pair(self.web3, self.routing_model.factory_router_map, target_pair)
return self.uniswap_cache[target_pair]
[docs] def get_sell_price(self,
ts: datetime.datetime,
pair: TradingPairIdentifier,
quantity: Optional[Decimal],
) -> TradePricing:
"""Get live price on Uniswap."""
if quantity is None:
quantity = Decimal(self.very_small_amount)
assert isinstance(quantity, Decimal)
target_pair, intermediate_pair = self.routing_model.route_pair(self.pair_universe, pair)
base_addr, quote_addr, intermediate_addr = route_tokens(target_pair, intermediate_pair)
uniswap = self.get_uniswap(target_pair)
# In three token trades, be careful to use the correct reserve token
quantity_raw = target_pair.base.convert_to_raw_amount(quantity)
fee = self.get_pair_fee(ts, pair)
assert fee is not None, f"Uniswap v2 fee data missing: {uniswap}"
bps_fee = int(fee * 10000)
received_raw = estimate_sell_received_amount_raw(
uniswap,
base_addr,
quote_addr,
quantity_raw,
intermediate_token_address=intermediate_addr,
fee=bps_fee,
)
if intermediate_pair:
received = intermediate_pair.quote.convert_to_decimal(received_raw)
fee2 = self.get_pair_fee(ts, intermediate_pair)
assert fee2 == fee, "Pairs for Uniswap V2 should have same fee"
fees = [fee, fee2]
total_fee_pct = 1 - (1-fees[0]) * (1-fees[1])
else:
received = target_pair.quote.convert_to_decimal(received_raw)
fees = [fee]
total_fee_pct = 1 - (1 - fees[0])
price = float(received / quantity)
if intermediate_pair:
mid_price = price / (1 - fee) / (1 - fee)
path = [intermediate_pair, target_pair]
else:
mid_price = price / (1 - fee)
path = [target_pair]
lp_fee = float(quantity) * total_fee_pct
assert price <= mid_price, f"Bad pricing: {price}, {mid_price}"
# self.validate_mid_price_for_sell(lp_fee, mid_price, price, quantity)
return TradePricing(
price=price,
mid_price=mid_price,
lp_fee=[lp_fee],
pair_fee=fees,
side=False,
path=path
)
[docs] def get_buy_price(self,
ts: datetime.datetime,
pair: TradingPairIdentifier,
reserve: Optional[Decimal],
) -> TradePricing:
"""Get live price on Uniswap.
:param reserve:
The buy size in quote token e.g. in dollars
:return:
Price for one reserve unit e.g. a dollar
"""
if reserve is None:
reserve = Decimal(self.very_small_amount)
else:
assert isinstance(reserve, Decimal), f"Reserve must be decimal, got {reserve.__class__}: {reserve}"
target_pair, intermediate_pair = self.routing_model.route_pair(self.pair_universe, pair)
base_addr, quote_addr, intermediate_addr = route_tokens(target_pair, intermediate_pair)
uniswap = get_uniswap_for_pair(self.web3, self.routing_model.factory_router_map, target_pair)
fee = self.get_pair_fee(ts, pair)
assert fee is not None, f"Uniswap v2 fee data missing: exchange:{uniswap} pair:{pair}"
# In three token trades, be careful to use the correct reserve token
if intermediate_pair:
reserve_raw = intermediate_pair.quote.convert_to_raw_amount(reserve)
self.check_supported_quote_token(intermediate_pair)
else:
reserve_raw = target_pair.quote.convert_to_raw_amount(reserve)
self.check_supported_quote_token(pair)
bps_fee = int(fee * 10000)
# Calculate base token received
token_raw_received = estimate_buy_received_amount_raw(
uniswap,
base_addr,
quote_addr,
reserve_raw,
intermediate_token_address=intermediate_addr,
fee=bps_fee,
)
token_received = target_pair.base.convert_to_decimal(token_raw_received)
price = float(reserve / token_received)
if intermediate_pair:
fee2 = self.get_pair_fee(ts, intermediate_pair)
assert fee2 == fee, "Pairs for Uniswap V2 should have same fee"
# TODO: Verify calculation
mid_price = price * (1 - fee) * (1 - fee)
path = [intermediate_pair, target_pair]
fees = [fee, fee2]
total_fee_pct = 1 - (1-fees[0]) * (1-fees[1])
else:
mid_price = price * (1 - fee)
path = [target_pair]
fees = [fee]
total_fee_pct = 1 - (1 - fees[0])
# Reserve is not necessarily a dollar amount (quote token doesn't have to be dollars), so we need to calculate
lp_fee = float(reserve) * total_fee_pct
assert price >= mid_price, f"Bad pricing: {price}, {mid_price}"
# self.validate_mid_price_for_buy(lp_fee, price, mid_price, reserve)
return TradePricing(
price=float(price),
mid_price=float(mid_price),
lp_fee=[lp_fee],
pair_fee=fees,
market_feed_delay=datetime.timedelta(seconds=0),
side=True,
path=path
)
[docs]def uniswap_v2_live_pricing_factory(
execution_model: ExecutionModel,
universe: TradingStrategyUniverse,
routing_model: UniswapV2Routing) -> UniswapV2LivePricing:
assert isinstance(universe, TradingStrategyUniverse)
assert isinstance(execution_model, (UniswapV2ExecutionModelVersion0, UniswapV2Execution, DummyExecutionModel)), f"Execution model not compatible with this execution model. Received {execution_model}"
assert isinstance(routing_model, UniswapV2Routing), f"This pricing method only works with Uniswap routing model, we received {routing_model}"
web3 = execution_model.web3
return UniswapV2LivePricing(
web3,
universe.data_universe.pairs,
routing_model)