VaultPricing#

API documentation for tradeexecutor.ethereum.vault.vault_live_pricing.VaultPricing Python class in Trading Strategy framework.

class VaultPricing[source]#

Bases: PricingModel

Always pull the latest live share price of a vault.

Note

Only supports stablecoin-nominated vaults

__init__(web3)[source]#
Parameters:

web3 (Web3) –

Methods

__init__(web3)

calculate_trade_adjusted_slippage_tolerance(...)

Get slippage for a given trading pair, for a given trade.

get_buy_price(ts, pair, reserve)

Get live price on vault for dumping our shares.

get_mid_price(ts, pair)

Get the mid-price for an asset.

get_pair_fee(ts, pair)

Estimate the trading/LP fees for a trading pair.

get_quote_token_tvl(timestamp, pair)

Get the raw TVL of a trading pair.

get_sell_price(ts, pair, quantity)

Get live price on vault for dumping our shares.

get_usd_tvl(timestamp, pair)

Get the TVL of a vault pair.

get_vault(target_pair)

Helper function to speed up vault deployment resolution.

quantize_base_quantity(pair, quantity[, ...])

Convert any base token quantity to the native token units by its ERC-20 decimals.

set_trading_fee_override(trading_fee_override)

Set the trading fee override.
__init__(web3)[source]#
Parameters:

web3 (Web3) –

get_vault(target_pair)[source]#

Helper function to speed up vault deployment resolution.

Parameters:

target_pair (TradingPairIdentifier) –

Return type:

ERC4626Vault

get_sell_price(ts, pair, quantity)[source]#

Get live price on vault for dumping our shares.

Parameters:
Return type:

TradePricing

get_buy_price(ts, pair, reserve)[source]#

Get live price on vault for dumping our shares.

Parameters:
Return type:

TradePricing

get_mid_price(ts, pair)[source]#

Get the mid-price for an asset.

Mid price is an non-trddeable price between the best ask and the best pid.

Parameters:
Returns:

The mid price for the pair at a timestamp.

Return type:

float

get_pair_fee(ts, pair)[source]#

Estimate the trading/LP fees for a trading pair.

This information can come either from the exchange itself (Uni v2 compatibles), or from the trading pair (Uni v3).

The return value is used to fill the fee values for any newly opened trades.

Parameters:

  • ts (datetime) – Timestamp of the trade. Note that currently fees do not vary over time, but might do so in the future.

  • pair (TradingPairIdentifier) –

    Trading pair for which we want to have the fee.

    Can be left empty if the underlying exchange is always offering the same fee.

Returns:

The estimated trading fee, expressed as %.

Returns None if the fee information is not available. This can be different from zero fees.

Return type:

Optional[float]

get_usd_tvl(timestamp, pair)[source]#

Get the TVL of a vault pair.

Parameters:
Return type:

float

get_quote_token_tvl(timestamp, pair)[source]#

Get the raw TVL of a trading pair.

  • Used by tradeexecutor.strategy.tvl_size_risk.

  • Assumes to use raw data

  • Uses only half of the liquidity - namely locked quote token like USDC or WETH

  • This gives much more realistic estimation of a market depth than get_usd_tvl()

  • Optional: May not be available in all pricing model implementations

Returns:

Quote token locked in a pool

Parameters:
Return type:

float