Source code for tradeexecutor.state.identifier

"""Asset and trading pair identifiers.

How executor internally knows how to connect trading pairs in data and in execution environment (on-chain).
import datetime
import enum
from dataclasses import dataclass, field
from decimal import Decimal
from typing import Optional, Literal, TypeAlias

from web3 import Web3
from dataclasses_json import dataclass_json
from eth_typing import HexAddress

from eth_defi.uniswap_v2.utils import sort_tokens
from tradingstrategy.chain import ChainId
from tradingstrategy.lending import LendingProtocolType
from tradingstrategy.stablecoin import is_stablecoin_like
from tradingstrategy.types import PrimaryKey

from tradeexecutor.utils.accuracy import sum_decimal, ensure_exact_zero, SUM_EPSILON
from tradeexecutor.state.types import JSONHexAddress, USDollarAmount, LeverageMultiplier, USDollarPrice, Percent

#: Asset unique id as a human-readable string.
#: chain id - address tuple as string.
#: Can be persisted.
#: Can be used in JSON serialisation.
AssetFriendlyId: TypeAlias = str

[docs]class AssetType(enum.Enum): """What kind of asset is this. We mark special tokens that are dynamically created by lending protocols. """ #: Normal ERC-20 token = "token" #: ERC-20 aToken with dynamic balance() collateral = "collateral" #: ERC-20 vToken with dynamic balance() borrowed = "borrowed"
[docs]@dataclass_json @dataclass class ExchangeType: """What kind of a DEX we use for this pair. Note that a trading pair can have several protocols associated with it, DEX is just one of them. """ #: El Classico uniswap_v2 = "uniswap_v2" #: ERC-20 aToken with dynamic balance() uniswap_v3 = "uniswap_v3"
[docs]@dataclass_json @dataclass class AssetIdentifier: """Identify a blockchain asset for trade execution. This is pass-by-copy (as opposite to pass-by-reference) asset identifier we use across the persistent state. Because we copy a lot of information about asset, not just its id, this makes data reads and diagnosing problems simpler. As internal token_ids and pair_ids may be unstable, trading pairs and tokens are explicitly referred by their smart contract addresses when a strategy decision moves to the execution. We duplicate data here to make sure we have a persistent record that helps to diagnose the sisues. """ #: See chain_id: int #: Smart contract address of the asset. #: Always lowercase. address: JSONHexAddress #: The ticker symbol of this token. token_symbol: str #: How many tokens this decimals. #: Must be always set and non-negative. decimals: int #: How this asset is referred in the internal database internal_id: Optional[PrimaryKey] = None #: Info page URL for this asset info_url: Optional[str] = None #: The underlying asset for aTokens, vTokens and such underlying: Optional["AssetIdentifier"] = None #: What kind of asset is this #: #: Legacy data will default to ``None``. #: type: Optional[AssetType] = None #: Aave liquidation threhold for this asset #: #: Set on aTokens that are used as collateral. #: liquidation_threshold: float | None = None def __str__(self): if self.underlying: return f"<{self.token_symbol} ({self.underlying.token_symbol}) at {self.address}>" else: return f"<{self.token_symbol} at {self.address}>" def __hash__(self): assert self.chain_id is not None, "chain_id needs to be set to be hashable" assert self.address, "address needs to be set to be hashable" return hash((self.chain_id, self.address)) def __eq__(self, other): assert isinstance(other, TradingPairIdentifier), f"Got {other}" return self.chain_id == other.chain_id and self.address == other.address def __post_init__(self): """Validate asset description initialisation.""" assert type(self.address) == str, f"Got address {self.address} as {type(self.address)}" assert self.address.startswith("0x") self.address= self.address.lower() assert type(self.chain_id) == int assert type(self.decimals) == int, f"Bad decimals {self.decimals}" assert self.decimals >= 0 if self.type: assert isinstance(self.type, AssetType), f"Got {self.type.__class__}: {self.type}"
[docs] def get_identifier(self) -> AssetFriendlyId: """Assets are identified by their smart contract address. JSON/Human friendly format to give hash keys to assets, in the format chain id-address. :return: JSON friendly hask key """ return f"{self.chain_id}-{self.address.lower()}"
@property def checksum_address(self) -> HexAddress: """Ethereum madness.""" return Web3.to_checksum_address(self.address) def __eq__(self, other: "AssetIdentifier") -> bool: """Assets are considered be identical if they share the same smart contract address.""" assert isinstance(other, AssetIdentifier), f"Compared to wrong class: {other} {other.__class__}" return self.address.lower() == other.address.lower()
[docs] def convert_to_raw_amount(self, amount: Decimal) -> int: """Return any amount in token native units. Convert decimal to fixed point integer. """ assert isinstance(amount, Decimal), "Input only exact numbers for the conversion, not fuzzy ones like floats" assert self.decimals is not None, f"Cannot perform human to raw token amount conversion, because no decimals given: {self}" return int(amount * Decimal(10**self.decimals))
def convert_to_decimal(self, raw_amount: int) -> Decimal: assert self.decimals is not None, f"Cannot perform human to raw token amount conversion, because no decimals given: {self}" return Decimal(raw_amount) / Decimal(10**self.decimals)
[docs] def is_stablecoin(self) -> bool: """Do we think this asset reprents a stablecoin""" return is_stablecoin_like(self.token_symbol)
[docs] def is_interest_accruing(self) -> bool: """Will this token gain on-chain interest thru rebase""" # TODO: this condition may change in the future when new asset types are introduced return self.underlying is not None
[docs] def is_credit(self) -> bool: """Is this a credit asset that accrue interest for us""" assert self.underlying return self.token_symbol.startswith("a") # TODO: Hardcoded Aave v3
[docs] def is_debt(self) -> bool: """Is this a credit asset that accrue interest for us""" assert self.underlying return self.token_symbol.startswith("v") # TODO: Hardcoded Aave v3
[docs] def get_pricing_asset(self) -> "AssetIdentifier": """Get the asset that delivers price for this asset. :return: If this asset is a derivative of another, then get the underlying, otherwise return self. """ return self.underlying if self.underlying else self
[docs]class TradingPairKind(enum.Enum): """What kind of trading position this is. - Spot markets are base:quote token pairs - Credit supplies are aToken:token pairs """ #: Bought tokens from DEX #: spot_market_hold = "spot_market_hold" #: Bought rebalancing tokens from DEX #: #: E.g. buy stETH or aUSD directly through DEX, #: instead of thru vault/reserves deposit. #: spot_market_hold_rebalancing_token = "spot_market_rebalancing token" #: Supplying credit to Aave reserves/gaining interest #: credit_supply = "credit_supply" #: Leveraged long constructd using lending protocols #: lending_protocol_long = "lending_protocol_long" #: Leveraged short constructd using lending protocols #: lending_protocol_short = "lending_protocol_short"
[docs] def is_interest_accruing(self) -> bool: """Do base or quote or both gain interest during when the position is open.""" return self in (TradingPairKind.lending_protocol_short, TradingPairKind.lending_protocol_long, TradingPairKind.credit_supply)
def is_credit_based(self) -> bool: return self.is_interest_accruing()
[docs] def is_credit_supply(self) -> bool: """This trading pair is for gaining interest.""" return self == TradingPairKind.credit_supply
[docs] def is_shorting(self) -> bool: """This trading pair is for shorting.""" return self == TradingPairKind.lending_protocol_short
[docs] def is_longing(self) -> bool: """This trading pair is for shorting.""" return self == TradingPairKind.lending_protocol_long
[docs] def is_leverage(self) -> bool: """This is a leverage trade on a lending protocol.""" return self.is_shorting() or self.is_longing()
[docs] def is_spot(self) -> bool: """This is a spot market pair.""" return self == TradingPairKind.spot_market_hold or self == TradingPairKind.spot_market_hold_rebalancing_token
[docs]@dataclass_json @dataclass(slots=True) class TradingPairIdentifier: """Uniquely identify one trading pair across all tradeable blockchain assets. This is pass-by-copy (as opposite to pass-by-reference) trading pair identifier we use across the persistent state. Because we copy a lot of information about asset, not just its id, this makes data reads and diagnosing problems simpler. - Tokens are converted from machine readable token0 - token1 pair to more human-friendly base and quote token pair. See :ref:`conversion <trading pair>`. - This class is a data class that is a copy-by-value in the persistent state: We copy both machine-readable information (smart contract addresses) and human readable information (symbols), as both are important to store for the persistent use - we do not expect to be able to lookup the information again with smart contract addresses in the future, as API access is expensive and blockchains may permanently be abandon. - This class is preferred to be used as immutable, but sometimes it is handy to manually override :py:attr`fee` for different backtesting scenarios - This identifier is also used for :term:`lending protocols <lending protocol>`. In this case :py:attr:`base` is aToken like aUSDC. and :py:attr:`quote` is USDC. """ #: Base token in this trading pair #: #: E.g. `WETH`. #: #: In leveraged positions this is borrowed asset with :py:attr:`AssetIdentifier.underlying` set. #: #: base: AssetIdentifier #: Quote token in this trading pair #: #: E.g. `USDC` #: #: In leveraged positions and credit supply positions, this is borrowed asset with :py:attr:`AssetIdentifier.underlying` set. #: quote: AssetIdentifier #: Smart contract address of the pool contract. #: #: - Uniswap v2 pair contract address #: #: - Uniswap v3 pool contract address #: #: Set to asset address for Aave pools. #: pool_address: str #: Exchange address. #: Identifies a decentralised exchange. #: Uniswap v2 likes are identified by their factor address. exchange_address: str #: How this asset is referred in the internal database #: #: Internal ids are not stable over the long duration. #: Internal ids are not also stable across different oracles. #: Always use `(chain_id, pool_address)` pair for persistent lookups. #: #: For synthetic pairs, like leveraged pairs on lending protocols, #: the internal id is the same as the underlying spot pair id. #: TODO: Confirm this, or missing? #: internal_id: Optional[PrimaryKey] = None #: What is the internal exchange id of this trading pair. internal_exchange_id: Optional[PrimaryKey] = None #: Info page URL for this trading pair e.g. with the price charts info_url: Optional[str] = None #: Trading fee for this pair. #: #: Liquidity provider fee expressed as the percent of the trade. #: #: E.g. `0.0030` for 0.30% fee. #: #: Should be filled for all Uniswap v2 and Uniswap v3 pairs. #: If the smaller Uni v2 forks do not have good data, 0.0030% is assumed. #: fee: Optional[float] = None #: The underlying token0/token1 for Uniswap pair is flipped compared to base token/quote token. #: #: Use :py:meth:`has_reverse_token_order` to access - might not be set. #: This is set when :py:class:`TradingPairIdentifier` is constructed. #: reverse_token_order: Optional[bool] = None #: What kind of position this is #: kind: TradingPairKind = TradingPairKind.spot_market_hold #: Underlying spot trading pair #: #: This is used e.g. by alpha models to track the underlying pairs #: when doing leveraged positions. #: underlying_spot_pair: Optional["TradingPairIdentifier"] = None #: Exchange name where this pair trades on. #: #: May or may not be filled. #: exchange_name: Optional[str] = None def __post_init__(self): assert self.base.chain_id == self.quote.chain_id, "Cross-chain trading pairs are not possible" # float/int zero fix # TODO: Can be carefully removed later if self.fee == 0: self.fee = 0.0 assert (type(self.fee) in {float, type(None)}) or (self.fee == 0) if self.reverse_token_order is None: # TODO: Make this lazy property self.reverse_token_order = int(self.base.address, 16) > int(self.quote.address, 16) def __repr__(self): fee = self.fee or 0 type_name = if self.kind else "spot" exchange_name = self.exchange_name if self.exchange_name else f"{self.exchange_address}" if self.chain_id not in (ChainId.unknown, ChainId.centralised_exchange): # DEX pair return f"<Pair {self.base.token_symbol}-{self.quote.token_symbol} {type_name} at {self.pool_address} ({fee * 100:.4f}% fee) on exchange {exchange_name}>" else: # Backtesting with CEX data return f"<Pair {self.base.token_symbol}-{self.quote.token_symbol} {type_name} at {exchange_name}>" def __hash__(self): """Trading pair hash is hash(base, quote, fee). This might not hold true for all upcoming markets. """ return hash((self.base.address, self.quote.address, self.fee)) def __eq__(self, other: "TradingPairIdentifier | None"): if other is None: return False assert isinstance(other, TradingPairIdentifier), f"Got {other}" return self.base == other.base and self.quote == other.quote @property def chain_id(self) -> int: """Return raw chain id. Get one from the base token, beacuse both tokens are on the same chain. See also :py:class:`tradingstrategy.chain.ChainId` """ return self.base.chain_id
[docs] def get_identifier(self) -> str: """We use the smart contract pool address to uniquely identify trading positions. Ethereum address is lowercased, not checksummed. """ return self.pool_address.lower()
[docs] def get_ticker(self) -> str: """Return base token symbol - quote token symbol human readable ticket. Example: ``WETH-USDC``, `` See also :py:meth:`get_human_description`. """ return f"{self.base.token_symbol}-{self.quote.token_symbol}"
[docs] def get_lending_protocol(self) -> LendingProtocolType | None: """Is this pair on a particular lending protocol.""" if self.kind in (TradingPairKind.lending_protocol_short, TradingPairKind.lending_protocol_long): return LendingProtocolType.aave_v3 return None
[docs] def get_human_description(self, describe_type=False) -> str: """Get short ticker human description for this pair. :param describe_type: Handle spot, short and such pairs. See :py:meth:`get_ticker`. """ if describe_type: underlying = self.underlying_spot_pair or self if self.is_short(): return f"{underlying.get_ticker()} short" elif self.is_spot(): return f"{self.get_ticker()} spot" elif self.is_credit_supply(): return f"{underlying.get_ticker()} credit" return self.get_ticker()
[docs] def has_complete_info(self) -> bool: """Check if the pair has good information. Because of the open-ended nature a lot of irrelevant broken data can be found on blockchains. Both base and quote token must have - Symbol - Decimals This check is mainly useful to filter out crap tokens from the trading decisions. """ return (self.base.decimals > 0 and self.base.token_symbol and self.quote.decimals > 0 and self.quote.token_symbol)
[docs] def has_reverse_token_order(self) -> bool: """Has Uniswap smart contract a flipped token order. - Is token0 base token or token0 is the quote token See :py:func:`eth_defi.uniswap_v3.price.get_onchain_price` """ assert self.reverse_token_order is not None, \ f"reverse_token_order not set for: {self}.\n" \ f"This is needed for Uniswap routing.\n" \ f"If you construct TradingPairIdentifier by hand remember to set TradingPairIdentifier.reverse_token_order" return self.reverse_token_order
[docs] def get_max_leverage_at_open( self, side: Literal["long", "short"] = "short", ) -> LeverageMultiplier: """Return the max leverage we can set for this position at open. E.g. for AAVE WETH short this is 0.8 because we can supply 1000 USDC to get 800 USDC loan. This gives us the health factor of 1.13 on open. Max Leverage in pair: l=1/(1-cfBuy); cfBuy = collateralFacor of Buy Asset - `See 1delta documentation <>`__. :param side: Order side: long or short """ assert self.kind in (TradingPairKind.lending_protocol_short, TradingPairKind.lending_protocol_long) max_long_leverage = 1 / (1 - self.get_collateral_factor()) max_short_leverage = max_long_leverage - 1 return max_short_leverage if side == "short" else max_long_leverage
def is_leverage(self) -> bool: return self.kind.is_leverage()
[docs] def is_short(self) -> bool: """Leveraged short.""" return self.kind.is_shorting()
[docs] def is_long(self) -> bool: """Leveraged long, not spot.""" return self.kind.is_longing()
def is_spot(self) -> bool: return self.kind.is_spot() def is_credit_supply(self) -> bool: return self.kind.is_credit_supply()
[docs] def get_liquidation_threshold(self) -> Percent: """What's the liqudation threshold for this leveraged pair""" assert self.kind.is_leverage() # Liquidation threshold comes from the collateral token threshold = self.quote.liquidation_threshold assert 0 < threshold < 1, f"Liquidation theshold must be 0..1, got {threshold}" return threshold
[docs] def get_collateral_factor(self) -> Percent: """Same as liquidation threshold. Alias for :py:meth:`get_liquidation_threshold` """ return self.get_liquidation_threshold()
[docs] def get_pricing_pair(self) -> Optional["TradingPairIdentifier"]: """Get the the trading pair that determines the price for the asset. - For spot pairs this is the trading pair itself - For pairs that may lack price feed data like USDC/USD pairs used in credit supply, return None :return: The trading pair we can use to query underlying asset price. Return ``None`` if the trading pair does not have price information. """ if self.is_spot(): return self elif self.is_credit_supply(): # Credit supply does not have a real trading pair, # but any position price is simply the amount of collateral return self elif self.is_leverage(): assert self.underlying_spot_pair is not None, f"For a leveraged pair, we lack the price feed for the underlying spot: {self}" return self.underlying_spot_pair raise AssertionError(f"Cannot figure out how to get the underlying pricing pair for: {self}")
[docs]@dataclass_json @dataclass(slots=True) class AssetWithTrackedValue: """Track one asset with a value. - Track asset quantity \ - The asset can be vToken/aToken for interest based tracking, in this case :py:attr:`presentation` is set - Any tracked asset must get USD oracle price from somewhere """ #: Asset we are tracking #: #: The is aToken or vToken asset. #: #: Use ``asset.underlying`` to get the token. #: asset: AssetIdentifier #: How many token units we have. #: #: In the case of loans this represents the underlying asset (WETH), #: not any gained interest (vWETH). #: quantity: Decimal #: What was the last known USD price of a single unit of quantity last_usd_price: USDollarPrice #: When the last pricing happened last_pricing_at: datetime.datetime #: Strategy cycle time stamp when the tracking was started #: created_at: datetime.datetime = field(default_factory=datetime.datetime.utcnow) #: Strategy cycle time stamp when the tracking was started #: created_strategy_cycle_at: datetime.datetime | None = None def __repr__(self): return f"<AssetWithTrackedValue {self.asset.token_symbol} {self.quantity} at price {self.last_usd_price} USD>" def __post_init__(self): assert isinstance(self.quantity, Decimal), f"Got {self.quantity.__class__}" # __post_init__ is also called on de-serialisation # Quantity si ze assert self.quantity >= 0, f"Any tracked asset must have positive quantity, received {self.asset} = {self.quantity}" assert self.last_usd_price is not None, "Price is None - asset price must set during initialisation" assert self.last_usd_price > 0
[docs] def get_usd_value(self) -> USDollarAmount: """Rrturn the approximate value of this tracked asset. Priced in the `last_usd_price` """ return float(self.quantity) * self.last_usd_price
[docs] def revalue(self, price: USDollarPrice, when: datetime.datetime): """Update the latest known price of the asset.""" assert isinstance(when, datetime.datetime) assert type(price) == float assert 0 < price < 1_000_000, f"Price sanity check {price}" self.last_usd_price = price self.last_pricing_at = when
[docs] def change_quantity_and_value( self, delta: Decimal, price: USDollarPrice, when: datetime.datetime, allow_negative: bool = False, available_accrued_interest: Decimal = Decimal(0), epsilon: Decimal = SUM_EPSILON, close_position=False, ): """The tracked asset amount is changing due to position increase/reduce. :param allow_negative: Backtesting helper parameter. Bail out with an exception if delta is too high and balance would go negative. :param available_accrued_interest: How much interest we have gained. To be used with ``allow_negative``. """ assert delta is not None, "Asset delta must be given" self.revalue(price, when) if not allow_negative: total_available = self.quantity + available_accrued_interest s = sum_decimal((total_available, delta,), epsilon=epsilon) # See close_position=True # # Round loan value to zero # if close_position and (abs(s) < abs(delta * epsilon)) and s != 0: delta = -self.quantity else: assert s >= 0, f"Tracked asset cannot go negative: {self}. delta: {delta}, total available: {total_available}, sum: {s}, quantity: {self.quantity}, interest: {available_accrued_interest}" self.quantity += delta # Fix decimal math issues self.quantity = ensure_exact_zero(self.quantity, epsilon=epsilon) # TODO: this is a temp hack for testing to make sure the borrowed quantity can be minimum 0 if self.quantity < 0: self.quantity = Decimal(0)