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Require price difference to be less than 1% between swaps

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This commit is contained in:
Luke Van Seters 2022-01-07 13:06:41 -05:00
parent 69cad7537e
commit 11aebe078a
2 changed files with 14 additions and 4 deletions
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16
mev_inspect/arbitrages.py
View File

@ -4,6 +4,8 @@ from typing import List, Optional, Tuple
from mev_inspect.schemas.arbitrages import Arbitrage from mev_inspect.schemas.arbitrages import Arbitrage
from mev_inspect.schemas.swaps import Swap from mev_inspect.schemas.swaps import Swap
MAX_TOKEN_AMOUNT_PERCENT_DIFFERENCE = 0.01
def get_arbitrages(swaps: List[Swap]) -> List[Arbitrage]: def get_arbitrages(swaps: List[Swap]) -> List[Arbitrage]:
get_transaction_hash = lambda swap: swap.transaction_hash get_transaction_hash = lambda swap: swap.transaction_hash
@ -101,7 +103,7 @@ def _get_shortest_route(
return None return None
for end_swap in end_swaps: for end_swap in end_swaps:
if start_swap.token_out_address == end_swap.token_in_address: if _swap_outs_match_swap_ins(start_swap, end_swap):
return [start_swap, end_swap] return [start_swap, end_swap]
if max_route_length is not None and max_route_length == 2: if max_route_length is not None and max_route_length == 2:
@ -173,8 +175,16 @@ def _get_all_start_end_swaps(swaps: List[Swap]) -> List[Tuple[Swap, List[Swap]]]
def _swap_outs_match_swap_ins(swap_out, swap_in) -> bool: def _swap_outs_match_swap_ins(swap_out, swap_in) -> bool:
return swap_out.token_out_address == swap_in.token_in_address and ( if swap_out.token_out_address == swap_in.token_in_address and (
swap_out.contract_address == swap_in.from_address swap_out.contract_address == swap_in.from_address
or swap_out.to_address == swap_in.contract_address or swap_out.to_address == swap_in.contract_address
or swap_out.to_address == swap_in.from_address or swap_out.to_address == swap_in.from_address
) ):
amount_percent_difference = abs(
(float(swap_out.token_out_amount) / swap_in.token_in_amount) - 1.0
)
if amount_percent_difference < MAX_TOKEN_AMOUNT_PERCENT_DIFFERENCE:
return True
return False

2
tests/test_arbitrage_integration.py
View File

@ -67,7 +67,7 @@ def test_reverting_arbitrage(trace_classifier: TraceClassifier):
assert len(swaps) == 38 assert len(swaps) == 38
arbitrages = get_arbitrages(list(swaps)) arbitrages = get_arbitrages(list(swaps))
assert len(arbitrages) == 4 assert len(arbitrages) == 3
arbitrage_1 = [ arbitrage_1 = [
arb arb