Merge pull request #46 from flashbots/transfers-and-swaps

Find arbitrages in a block

.gitignore

@@ -13,3 +13,6 @@ __pycache__
 # coverage
 htmlcov
 .coverage*
+
+# don't commit cache
+cache

mev_inspect/abis/weth/WETH9.json

@@ -0,0 +1 @@
+[{"constant":true,"inputs":[],"name":"name","outputs":[{"name":"","type":"string"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":false,"inputs":[{"name":"guy","type":"address"},{"name":"wad","type":"uint256"}],"name":"approve","outputs":[{"name":"","type":"bool"}],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":true,"inputs":[],"name":"totalSupply","outputs":[{"name":"","type":"uint256"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":false,"inputs":[{"name":"src","type":"address"},{"name":"dst","type":"address"},{"name":"wad","type":"uint256"}],"name":"transferFrom","outputs":[{"name":"","type":"bool"}],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":false,"inputs":[{"name":"wad","type":"uint256"}],"name":"withdraw","outputs":[],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":true,"inputs":[],"name":"decimals","outputs":[{"name":"","type":"uint8"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":true,"inputs":[{"name":"","type":"address"}],"name":"balanceOf","outputs":[{"name":"","type":"uint256"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":true,"inputs":[],"name":"symbol","outputs":[{"name":"","type":"string"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":false,"inputs":[{"name":"dst","type":"address"},{"name":"wad","type":"uint256"}],"name":"transfer","outputs":[{"name":"","type":"bool"}],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":false,"inputs":[],"name":"deposit","outputs":[],"payable":true,"stateMutability":"payable","type":"function"},{"constant":true,"inputs":[{"name":"","type":"address"},{"name":"","type":"address"}],"name":"allowance","outputs":[{"name":"","type":"uint256"}],"payable":false,"stateMutability":"view","type":"function"},{"payable":true,"stateMutability":"payable","type":"fallback"},{"anonymous":false,"inputs":[{"indexed":true,"name":"src","type":"address"},{"indexed":true,"name":"guy","type":"address"},{"indexed":false,"name":"wad","type":"uint256"}],"name":"Approval","type":"event"},{"anonymous":false,"inputs":[{"indexed":true,"name":"src","type":"address"},{"indexed":true,"name":"dst","type":"address"},{"indexed":false,"name":"wad","type":"uint256"}],"name":"Transfer","type":"event"},{"anonymous":false,"inputs":[{"indexed":true,"name":"dst","type":"address"},{"indexed":false,"name":"wad","type":"uint256"}],"name":"Deposit","type":"event"},{"anonymous":false,"inputs":[{"indexed":true,"name":"src","type":"address"},{"indexed":false,"name":"wad","type":"uint256"}],"name":"Withdrawal","type":"event"}]

mev_inspect/arbitrage.py

@@ -0,0 +1,90 @@
+from itertools import groupby
+from typing import List, Optional
+
+from mev_inspect.schemas.arbitrage import Arbitrage
+from mev_inspect.schemas.swaps import Swap
+
+
+def get_arbitrages(swaps: List[Swap]) -> List[Arbitrage]:
+    get_transaction_hash = lambda swap: swap.transaction_hash
+    swaps_by_transaction = groupby(
+        sorted(swaps, key=get_transaction_hash),
+        key=get_transaction_hash,
+    )
+
+    all_arbitrages = []
+
+    for _, transaction_swaps in swaps_by_transaction:
+        all_arbitrages += _get_arbitrages_from_swaps(
+            list(transaction_swaps),
+        )
+
+    return all_arbitrages
+
+
+def _get_arbitrages_from_swaps(swaps: List[Swap]) -> List[Arbitrage]:
+    pool_addresses = {swap.pool_address for swap in swaps}
+
+    all_arbitrages = []
+
+    for index, first_swap in enumerate(swaps):
+        other_swaps = swaps[:index] + swaps[index + 1 :]
+
+        if first_swap.from_address not in pool_addresses:
+            arbitrage = _get_arbitrage_starting_with_swap(first_swap, other_swaps)
+
+            if arbitrage is not None:
+                all_arbitrages.append(arbitrage)
+
+    return all_arbitrages
+
+
+def _get_arbitrage_starting_with_swap(
+    start_swap: Swap,
+    other_swaps: List[Swap],
+) -> Optional[Arbitrage]:
+    swap_path = [start_swap]
+    current_swap: Swap = start_swap
+
+    while True:
+        next_swap = _get_swap_from_address(
+            current_swap.to_address,
+            current_swap.token_out_address,
+            other_swaps,
+        )
+
+        if next_swap is None:
+            return None
+
+        swap_path.append(next_swap)
+        current_swap = next_swap
+
+        if (
+            current_swap.to_address == start_swap.from_address
+            and current_swap.token_out_address == start_swap.token_in_address
+        ):
+
+            start_amount = start_swap.token_in_amount
+            end_amount = current_swap.token_out_amount
+            profit_amount = end_amount - start_amount
+
+            return Arbitrage(
+                swaps=swap_path,
+                account_address=start_swap.from_address,
+                profit_token_address=start_swap.token_in_address,
+                start_amount=start_amount,
+                end_amount=end_amount,
+                profit_amount=profit_amount,
+            )
+
+    return None
+
+
+def _get_swap_from_address(
+    address: str, token_address: str, swaps: List[Swap]
+) -> Optional[Swap]:
+    for swap in swaps:
+        if swap.pool_address == address and swap.token_in_address == token_address:
+            return swap
+
+    return None

mev_inspect/classifier_specs.py

@@ -101,16 +101,27 @@ ERC20_SPEC = ClassifierSpec(
 
 AAVE_SPEC = ClassifierSpec(
     abi_name="AaveLendingPool",
-    protocol= Protocol.aave,
+    protocol=Protocol.aave,
     classifications={
         "liquidationCall(address,address,address,uint256,bool)": Classification.liquidate,
     },
 )
 
+WETH_SPEC = ClassifierSpec(
+    abi_name="WETH9",
+    protocol=Protocol.weth,
+    valid_contract_addresses=["0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2"],
+    classifications={
+        "transferFrom(address,address,uint256)": Classification.transfer,
+        "transfer(address,uint256)": Classification.transfer,
+    },
+)
+
 
 CLASSIFIER_SPECS = [
     *UNISWAP_V3_CONTRACT_SPECS,
     *UNISWAPPY_V2_CONTRACT_SPECS,
+    WETH_SPEC,
     AAVE_SPEC,
     ERC20_SPEC,
     UNISWAP_V3_POOL_SPEC,

mev_inspect/schemas/__init__.py

@@ -1,2 +1,2 @@
 from .abi import ABI
-from .blocks import Block, NestedTrace, Trace, TraceType
+from .blocks import Block, Trace, TraceType

mev_inspect/schemas/arbitrage.py

@@ -0,0 +1,14 @@
+from typing import List
+
+from pydantic import BaseModel
+
+from .swaps import Swap
+
+
+class Arbitrage(BaseModel):
+    swaps: List[Swap]
+    account_address: str
+    profit_token_address: str
+    start_amount: int
+    end_amount: int
+    profit_amount: int

mev_inspect/schemas/blocks.py

@@ -1,7 +1,7 @@
 from enum import Enum
 from typing import Dict, List, Optional
 
-from pydantic import BaseModel, validator
+from pydantic import validator
 
 from mev_inspect.utils import hex_to_int
 from .utils import CamelModel, Web3Model
@@ -66,11 +66,3 @@ class Block(Web3Model):
 
     def get_filtered_traces(self, hash: str) -> List[Trace]:
         return [trace for trace in self.traces if trace.transaction_hash == hash]
-
-
-class NestedTrace(BaseModel):
-    trace: Trace
-    subtraces: List["NestedTrace"]
-
-
-NestedTrace.update_forward_refs()

mev_inspect/schemas/classified_traces.py

@@ -19,6 +19,7 @@ class Protocol(Enum):
     uniswap_v3 = "uniswap_v3"
     sushiswap = "sushiswap"
     aave = "aave"
+    weth = "weth"
 
 
 class ClassifiedTrace(BaseModel):

mev_inspect/schemas/swaps.py

@@ -0,0 +1,20 @@
+from typing import List, Optional
+
+from pydantic import BaseModel
+
+from mev_inspect.schemas.classified_traces import Protocol
+
+
+class Swap(BaseModel):
+    abi_name: str
+    transaction_hash: str
+    block_number: int
+    trace_address: List[int]
+    protocol: Optional[Protocol]
+    pool_address: str
+    from_address: str
+    to_address: str
+    token_in_address: str
+    token_in_amount: int
+    token_out_address: str
+    token_out_amount: int

mev_inspect/schemas/transfers.py

@@ -0,0 +1,38 @@
+from typing import List
+
+from pydantic import BaseModel
+
+from .classified_traces import Classification, ClassifiedTrace, Protocol
+
+
+class Transfer(BaseModel):
+    transaction_hash: str
+    trace_address: List[int]
+    from_address: str
+    to_address: str
+    amount: int
+    token_address: str
+
+    @classmethod
+    def from_trace(cls, trace: ClassifiedTrace) -> "Transfer":
+        if trace.classification != Classification.transfer or trace.inputs is None:
+            raise ValueError("Invalid transfer")
+
+        if trace.protocol == Protocol.weth:
+            return cls(
+                transaction_hash=trace.transaction_hash,
+                trace_address=trace.trace_address,
+                amount=trace.inputs["wad"],
+                to_address=trace.inputs["dst"],
+                from_address=trace.from_address,
+                token_address=trace.to_address,
+            )
+        else:
+            return cls(
+                transaction_hash=trace.transaction_hash,
+                trace_address=trace.trace_address,
+                amount=trace.inputs["amount"],
+                to_address=trace.inputs["recipient"],
+                from_address=trace.inputs.get("sender", trace.from_address),
+                token_address=trace.to_address,
+            )

mev_inspect/swaps.py

@@ -0,0 +1,123 @@
+from itertools import groupby
+from typing import List, Optional
+
+from mev_inspect.schemas.classified_traces import (
+    ClassifiedTrace,
+    Classification,
+)
+from mev_inspect.schemas.swaps import Swap
+from mev_inspect.schemas.transfers import Transfer
+from mev_inspect.transfers import (
+    get_child_transfers,
+    filter_transfers,
+    remove_child_transfers_of_transfers,
+)
+
+
+UNISWAP_V2_PAIR_ABI_NAME = "UniswapV2Pair"
+UNISWAP_V3_POOL_ABI_NAME = "UniswapV3Pool"
+
+
+def get_swaps(traces: List[ClassifiedTrace]) -> List[Swap]:
+    get_transaction_hash = lambda t: t.transaction_hash
+    traces_by_transaction = groupby(
+        sorted(traces, key=get_transaction_hash),
+        key=get_transaction_hash,
+    )
+
+    swaps = []
+
+    for _, transaction_traces in traces_by_transaction:
+        swaps += _get_swaps_for_transaction(list(transaction_traces))
+
+    return swaps
+
+
+def _get_swaps_for_transaction(traces: List[ClassifiedTrace]) -> List[Swap]:
+    ordered_traces = list(sorted(traces, key=lambda t: t.trace_address))
+
+    swaps: List[Swap] = []
+    prior_transfers: List[Transfer] = []
+
+    for trace in ordered_traces:
+        if trace.classification == Classification.transfer:
+            prior_transfers.append(Transfer.from_trace(trace))
+
+        elif trace.classification == Classification.swap:
+            child_transfers = get_child_transfers(
+                trace.transaction_hash,
+                trace.trace_address,
+                traces,
+            )
+
+            swap = _parse_swap(
+                trace,
+                remove_child_transfers_of_transfers(prior_transfers),
+                remove_child_transfers_of_transfers(child_transfers),
+            )
+
+            if swap is not None:
+                swaps.append(swap)
+
+    return swaps
+
+
+def _parse_swap(
+    trace: ClassifiedTrace,
+    prior_transfers: List[Transfer],
+    child_transfers: List[Transfer],
+) -> Optional[Swap]:
+    pool_address = trace.to_address
+    recipient_address = _get_recipient_address(trace)
+
+    if recipient_address is None:
+        return None
+
+    transfers_to_pool = filter_transfers(prior_transfers, to_address=pool_address)
+
+    if len(transfers_to_pool) == 0:
+        transfers_to_pool = filter_transfers(child_transfers, to_address=pool_address)
+
+    if len(transfers_to_pool) == 0:
+        return None
+
+    transfers_from_pool_to_recipient = filter_transfers(
+        child_transfers, to_address=recipient_address, from_address=pool_address
+    )
+
+    if len(transfers_from_pool_to_recipient) != 1:
+        return None
+
+    transfer_in = transfers_to_pool[-1]
+    transfer_out = transfers_from_pool_to_recipient[0]
+
+    return Swap(
+        abi_name=trace.abi_name,
+        transaction_hash=trace.transaction_hash,
+        block_number=trace.block_number,
+        trace_address=trace.trace_address,
+        pool_address=pool_address,
+        from_address=transfer_in.from_address,
+        to_address=transfer_out.to_address,
+        token_in_address=transfer_in.token_address,
+        token_in_amount=transfer_in.amount,
+        token_out_address=transfer_out.token_address,
+        token_out_amount=transfer_out.amount,
+    )
+
+
+def _get_recipient_address(trace: ClassifiedTrace) -> Optional[str]:
+    if trace.abi_name == UNISWAP_V3_POOL_ABI_NAME:
+        return (
+            trace.inputs["recipient"]
+            if trace.inputs is not None and "recipient" in trace.inputs
+            else trace.from_address
+        )
+    elif trace.abi_name == UNISWAP_V2_PAIR_ABI_NAME:
+        return (
+            trace.inputs["to"]
+            if trace.inputs is not None and "to" in trace.inputs
+            else trace.from_address
+        )
+    else:
+        return None

mev_inspect/traces.py

@@ -1,80 +1,33 @@
-from itertools import groupby
-from typing import Iterable, List
+from typing import List
 
-from mev_inspect.schemas import Trace, NestedTrace
+from mev_inspect.schemas.classified_traces import ClassifiedTrace
 
 
-def as_nested_traces(traces: Iterable[Trace]) -> List[NestedTrace]:
-    nested_traces = []
+def is_child_trace_address(
+    child_trace_address: List[int],
+    parent_trace_address: List[int],
+) -> bool:
+    parent_trace_length = len(parent_trace_address)
 
-    sorted_by_transaction_hash = sorted(traces, key=_get_transaction_hash)
-    for _, transaction_traces in groupby(
-        sorted_by_transaction_hash, _get_transaction_hash
-    ):
-        nested_traces += _as_nested_traces_by_transaction(transaction_traces)
-
-    return nested_traces
+    return (
+        len(child_trace_address) > parent_trace_length
+        and child_trace_address[:parent_trace_length] == parent_trace_address
+    )
 
 
-def _get_transaction_hash(trace) -> str:
-    return trace.transaction_hash
+def get_child_traces(
+    transaction_hash: str,
+    parent_trace_address: List[int],
+    traces: List[ClassifiedTrace],
+) -> List[ClassifiedTrace]:
+    ordered_traces = sorted(traces, key=lambda t: t.trace_address)
+    child_traces = []
 
+    for trace in ordered_traces:
+        if trace.transaction_hash == transaction_hash and is_child_trace_address(
+            trace.trace_address,
+            parent_trace_address,
+        ):
+            child_traces.append(trace)
 
-def _as_nested_traces_by_transaction(traces: Iterable[Trace]) -> List[NestedTrace]:
-    """
-    Turns a list of Traces into a a tree of NestedTraces
-    using their trace addresses
-
-    Right now this has an exponential (?) runtime because we rescan
-    most traces at each level of tree depth
-
-    TODO to write a better implementation if it becomes a bottleneck
-    Should be doable in linear time
-    """
-
-    nested_traces = []
-
-    parent = None
-    children: List[Trace] = []
-
-    sorted_traces = sorted(traces, key=lambda t: t.trace_address)
-
-    for trace in sorted_traces:
-        if parent is None:
-            parent = trace
-            children = []
-            continue
-
-        elif not _is_subtrace(trace, parent):
-            nested_traces.append(
-                NestedTrace(
-                    trace=parent,
-                    subtraces=as_nested_traces(children),
-                )
-            )
-
-            parent = trace
-            children = []
-
-        else:
-            children.append(trace)
-
-    if parent is not None:
-        nested_traces.append(
-            NestedTrace(
-                trace=parent,
-                subtraces=as_nested_traces(children),
-            )
-        )
-
-    return nested_traces
-
-
-def _is_subtrace(trace: Trace, parent: Trace):
-    parent_trace_length = len(parent.trace_address)
-
-    if len(trace.trace_address) > parent_trace_length:
-        prefix = trace.trace_address[:parent_trace_length]
-        return prefix == parent.trace_address
-
-    return False
+    return child_traces

mev_inspect/transfers.py

@@ -0,0 +1,62 @@
+from typing import Dict, List, Optional
+
+from mev_inspect.schemas.classified_traces import Classification, ClassifiedTrace
+from mev_inspect.schemas.transfers import Transfer
+from mev_inspect.traces import is_child_trace_address, get_child_traces
+
+
+def get_child_transfers(
+    transaction_hash: str,
+    parent_trace_address: List[int],
+    traces: List[ClassifiedTrace],
+) -> List[Transfer]:
+    child_transfers = []
+
+    for child_trace in get_child_traces(transaction_hash, parent_trace_address, traces):
+        if child_trace.classification == Classification.transfer:
+            child_transfers.append(Transfer.from_trace(child_trace))
+
+    return child_transfers
+
+
+def filter_transfers(
+    transfers: List[Transfer],
+    to_address: Optional[str] = None,
+    from_address: Optional[str] = None,
+) -> List[Transfer]:
+    filtered_transfers = []
+
+    for transfer in transfers:
+        if to_address is not None and transfer.to_address != to_address:
+            continue
+
+        if from_address is not None and transfer.from_address != from_address:
+            continue
+
+        filtered_transfers.append(transfer)
+
+    return filtered_transfers
+
+
+def remove_child_transfers_of_transfers(transfers: List[Transfer]) -> List[Transfer]:
+    updated_transfers = []
+    transfer_addresses_by_transaction: Dict[str, List[List[int]]] = {}
+
+    sorted_transfers = sorted(transfers, key=lambda t: t.trace_address)
+
+    for transfer in sorted_transfers:
+        existing_addresses = transfer_addresses_by_transaction.get(
+            transfer.transaction_hash, []
+        )
+
+        if not any(
+            is_child_trace_address(transfer.trace_address, parent_address)
+            for parent_address in existing_addresses
+        ):
+            updated_transfers.append(transfer)
+
+        transfer_addresses_by_transaction[
+            transfer.transaction_hash
+        ] = existing_addresses + [transfer.trace_address]
+
+    return updated_transfers

scripts/inspect_block.py

@@ -11,6 +11,8 @@ from mev_inspect.crud.classified_traces import (
 from mev_inspect.db import get_session
 from mev_inspect.classifier_specs import CLASSIFIER_SPECS
 from mev_inspect.trace_classifier import TraceClassifier
+from mev_inspect.arbitrage import get_arbitrages
+from mev_inspect.swaps import get_swaps
 
 
 @click.command()
@@ -39,6 +41,12 @@ def inspect_block(block_number: int, rpc: str):
     write_classified_traces(db_session, classified_traces)
     db_session.close()
 
+    swaps = get_swaps(classified_traces)
+    print(f"Found {len(swaps)} swaps")
+
+    arbitrages = get_arbitrages(swaps)
+    print(f"Found {len(arbitrages)} arbitrages")
+
     stats = get_stats(classified_traces)
     print(json.dumps(stats, indent=4))
 

tests/conftest.py

@@ -0,0 +1,26 @@
+from hashlib import sha3_256
+from typing import List
+
+import pytest
+
+
+@pytest.fixture(name="get_transaction_hashes")
+def fixture_get_transaction_hashes():
+    def _get_transaction_hashes(n: int):
+        return _hash_with_prefix(n, "transaction_hash")
+
+    return _get_transaction_hashes
+
+
+@pytest.fixture(name="get_addresses")
+def fixture_get_addresses():
+    def _get_addresses(n: int):
+        return [f"0x{hash_value[:40]}" for hash_value in _hash_with_prefix(n, "addr")]
+
+    return _get_addresses
+
+
+def _hash_with_prefix(n_hashes: int, prefix: str) -> List[str]:
+    return [
+        sha3_256(f"{prefix}{i}".encode("utf-8")).hexdigest() for i in range(n_hashes)
+    ]

tests/helpers.py

@@ -0,0 +1,81 @@
+from typing import List
+
+from mev_inspect.schemas.blocks import TraceType
+from mev_inspect.schemas.classified_traces import Classification, ClassifiedTrace
+
+
+def make_transfer_trace(
+    block_number: int,
+    transaction_hash: str,
+    trace_address: List[int],
+    from_address: str,
+    to_address: str,
+    token_address: str,
+    amount: int,
+):
+    return ClassifiedTrace(
+        transaction_hash=transaction_hash,
+        block_number=block_number,
+        trace_type=TraceType.call,
+        trace_address=trace_address,
+        classification=Classification.transfer,
+        from_address=from_address,
+        to_address=token_address,
+        inputs={
+            "recipient": to_address,
+            "amount": amount,
+        },
+    )
+
+
+def make_swap_trace(
+    block_number: int,
+    transaction_hash: str,
+    trace_address: List[int],
+    from_address: str,
+    pool_address: str,
+    abi_name: str,
+    recipient_address: str,
+    recipient_input_key: str,
+):
+    return ClassifiedTrace(
+        transaction_hash=transaction_hash,
+        block_number=block_number,
+        trace_type=TraceType.call,
+        trace_address=trace_address,
+        classification=Classification.swap,
+        from_address=from_address,
+        to_address=pool_address,
+        inputs={recipient_input_key: recipient_address},
+        abi_name=abi_name,
+    )
+
+
+def make_unknown_trace(
+    block_number,
+    transaction_hash,
+    trace_address,
+):
+    return ClassifiedTrace(
+        transaction_hash=transaction_hash,
+        block_number=block_number,
+        trace_type=TraceType.call,
+        trace_address=trace_address,
+        classification=Classification.unknown,
+    )
+
+
+def make_many_unknown_traces(
+    block_number,
+    transaction_hash,
+    trace_addresses,
+) -> List[ClassifiedTrace]:
+
+    return [
+        make_unknown_trace(
+            block_number,
+            transaction_hash,
+            trace_address,
+        )
+        for trace_address in trace_addresses
+    ]

tests/test_arbitrage_integration.py

@@ -0,0 +1,26 @@
+from mev_inspect.classifier_specs import CLASSIFIER_SPECS
+from mev_inspect.trace_classifier import TraceClassifier
+from mev_inspect.arbitrage import get_arbitrages
+from mev_inspect.swaps import get_swaps
+
+from .utils import load_test_block
+
+
+def test_arbitrage_real_block():
+    block = load_test_block(12914994)
+
+    trace_clasifier = TraceClassifier(CLASSIFIER_SPECS)
+    classified_traces = trace_clasifier.classify(block.traces)
+
+    swaps = get_swaps(classified_traces)
+    arbitrages = get_arbitrages(swaps)
+
+    assert len(arbitrages) == 1
+
+    arbitrage = arbitrages[0]
+
+    assert len(arbitrage.swaps) == 3
+    assert (
+        arbitrage.profit_token_address == "0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2"
+    )
+    assert arbitrage.profit_amount == 53560707941943273628

tests/test_arbitrages.py

@@ -0,0 +1,160 @@
+from mev_inspect.arbitrage import get_arbitrages
+from mev_inspect.schemas.swaps import Swap
+from mev_inspect.swaps import (
+    UNISWAP_V2_PAIR_ABI_NAME,
+    UNISWAP_V3_POOL_ABI_NAME,
+)
+
+
+def test_two_pool_arbitrage(get_transaction_hashes, get_addresses):
+    block_number = 123
+    [transaction_hash] = get_transaction_hashes(1)
+
+    [
+        account_address,
+        first_pool_address,
+        second_pool_address,
+        unrelated_pool_address,
+        first_token_address,
+        second_token_address,
+    ] = get_addresses(6)
+
+    first_token_in_amount = 10
+    first_token_out_amount = 10
+    second_token_amount = 15
+
+    arb_swaps = [
+        Swap(
+            abi_name=UNISWAP_V2_PAIR_ABI_NAME,
+            transaction_hash=transaction_hash,
+            block_number=block_number,
+            trace_address=[0],
+            pool_address=first_pool_address,
+            from_address=account_address,
+            to_address=second_pool_address,
+            token_in_address=first_token_address,
+            token_in_amount=first_token_in_amount,
+            token_out_address=second_token_address,
+            token_out_amount=second_token_amount,
+        ),
+        Swap(
+            abi_name=UNISWAP_V3_POOL_ABI_NAME,
+            transaction_hash=transaction_hash,
+            block_number=block_number,
+            trace_address=[1],
+            pool_address=second_pool_address,
+            from_address=first_pool_address,
+            to_address=account_address,
+            token_in_address=second_token_address,
+            token_in_amount=second_token_amount,
+            token_out_address=first_token_address,
+            token_out_amount=first_token_out_amount,
+        ),
+    ]
+
+    unrelated_swap = Swap(
+        abi_name=UNISWAP_V3_POOL_ABI_NAME,
+        transaction_hash=transaction_hash,
+        block_number=block_number,
+        trace_address=[2, 0],
+        pool_address=unrelated_pool_address,
+        from_address=account_address,
+        to_address=account_address,
+        token_in_address=second_token_address,
+        token_in_amount=first_token_in_amount,
+        token_out_address=first_token_address,
+        token_out_amount=first_token_out_amount,
+    )
+
+    swaps = [
+        unrelated_swap,
+        *arb_swaps,
+    ]
+
+    arbitrages = get_arbitrages(swaps)
+
+    assert len(arbitrages) == 1
+
+    arbitrage = arbitrages[0]
+
+    assert arbitrage.swaps == arb_swaps
+    assert arbitrage.account_address == account_address
+    assert arbitrage.profit_token_address == first_token_address
+    assert arbitrage.start_amount == first_token_in_amount
+    assert arbitrage.end_amount == first_token_out_amount
+    assert arbitrage.profit_amount == first_token_out_amount - first_token_in_amount
+
+
+def test_three_pool_arbitrage(get_transaction_hashes, get_addresses):
+    block_number = 123
+    [transaction_hash] = get_transaction_hashes(1)
+
+    [
+        account_address,
+        first_pool_address,
+        second_pool_address,
+        third_pool_address,
+        first_token_address,
+        second_token_address,
+        third_token_address,
+    ] = get_addresses(7)
+
+    first_token_in_amount = 10
+    first_token_out_amount = 10
+    second_token_amount = 15
+    third_token_amount = 40
+
+    swaps = [
+        Swap(
+            abi_name=UNISWAP_V2_PAIR_ABI_NAME,
+            transaction_hash=transaction_hash,
+            block_number=block_number,
+            trace_address=[0],
+            pool_address=first_pool_address,
+            from_address=account_address,
+            to_address=second_pool_address,
+            token_in_address=first_token_address,
+            token_in_amount=first_token_in_amount,
+            token_out_address=second_token_address,
+            token_out_amount=second_token_amount,
+        ),
+        Swap(
+            abi_name=UNISWAP_V3_POOL_ABI_NAME,
+            transaction_hash=transaction_hash,
+            block_number=block_number,
+            trace_address=[1],
+            pool_address=second_pool_address,
+            from_address=first_pool_address,
+            to_address=third_pool_address,
+            token_in_address=second_token_address,
+            token_in_amount=second_token_amount,
+            token_out_address=third_token_address,
+            token_out_amount=third_token_amount,
+        ),
+        Swap(
+            abi_name=UNISWAP_V3_POOL_ABI_NAME,
+            transaction_hash=transaction_hash,
+            block_number=block_number,
+            trace_address=[2],
+            pool_address=third_pool_address,
+            from_address=second_pool_address,
+            to_address=account_address,
+            token_in_address=third_token_address,
+            token_in_amount=third_token_amount,
+            token_out_address=first_token_address,
+            token_out_amount=first_token_out_amount,
+        ),
+    ]
+
+    arbitrages = get_arbitrages(swaps)
+
+    assert len(arbitrages) == 1
+
+    arbitrage = arbitrages[0]
+
+    assert arbitrage.swaps == swaps
+    assert arbitrage.account_address == account_address
+    assert arbitrage.profit_token_address == first_token_address
+    assert arbitrage.start_amount == first_token_in_amount
+    assert arbitrage.end_amount == first_token_out_amount
+    assert arbitrage.profit_amount == first_token_out_amount - first_token_in_amount

tests/test_swaps.py

@@ -0,0 +1,135 @@
+from mev_inspect.swaps import (
+    get_swaps,
+    UNISWAP_V2_PAIR_ABI_NAME,
+    UNISWAP_V3_POOL_ABI_NAME,
+)
+
+from .helpers import (
+    make_unknown_trace,
+    make_transfer_trace,
+    make_swap_trace,
+)
+
+
+def test_swaps(
+    get_transaction_hashes,
+    get_addresses,
+):
+    block_number = 123
+
+    [
+        first_transaction_hash,
+        second_transaction_hash,
+    ] = get_transaction_hashes(2)
+
+    [
+        alice_address,
+        bob_address,
+        carl_address,
+        first_token_in_address,
+        first_token_out_address,
+        first_pool_address,
+        second_token_in_address,
+        second_token_out_address,
+        second_pool_address,
+    ] = get_addresses(9)
+
+    first_token_in_amount = 10
+    first_token_out_amount = 20
+    second_token_in_amount = 30
+    second_token_out_amount = 40
+
+    traces = [
+        make_unknown_trace(block_number, first_transaction_hash, []),
+        make_transfer_trace(
+            block_number,
+            first_transaction_hash,
+            trace_address=[0],
+            from_address=alice_address,
+            to_address=first_pool_address,
+            token_address=first_token_in_address,
+            amount=first_token_in_amount,
+        ),
+        make_swap_trace(
+            block_number,
+            first_transaction_hash,
+            trace_address=[1],
+            from_address=alice_address,
+            pool_address=first_pool_address,
+            abi_name=UNISWAP_V2_PAIR_ABI_NAME,
+            recipient_address=bob_address,
+            recipient_input_key="to",
+        ),
+        make_transfer_trace(
+            block_number,
+            first_transaction_hash,
+            trace_address=[1, 0],
+            from_address=first_pool_address,
+            to_address=bob_address,
+            token_address=first_token_out_address,
+            amount=first_token_out_amount,
+        ),
+        make_swap_trace(
+            block_number,
+            second_transaction_hash,
+            trace_address=[],
+            from_address=bob_address,
+            pool_address=second_pool_address,
+            abi_name=UNISWAP_V3_POOL_ABI_NAME,
+            recipient_address=carl_address,
+            recipient_input_key="recipient",
+        ),
+        make_transfer_trace(
+            block_number,
+            second_transaction_hash,
+            trace_address=[0],
+            from_address=second_pool_address,
+            to_address=carl_address,
+            token_address=second_token_out_address,
+            amount=second_token_out_amount,
+        ),
+        make_transfer_trace(
+            block_number,
+            second_transaction_hash,
+            trace_address=[1],
+            from_address=bob_address,
+            to_address=second_pool_address,
+            token_address=second_token_in_address,
+            amount=second_token_in_amount,
+        ),
+    ]
+
+    swaps = get_swaps(traces)
+
+    assert len(swaps) == 2
+
+    if swaps[0].abi_name == UNISWAP_V2_PAIR_ABI_NAME:
+        [first_swap, second_swap] = swaps  # pylint: disable=unbalanced-tuple-unpacking
+    else:
+        [second_swap, first_swap] = swaps  # pylint: disable=unbalanced-tuple-unpacking
+
+    assert first_swap.abi_name == UNISWAP_V2_PAIR_ABI_NAME
+    assert first_swap.transaction_hash == first_transaction_hash
+    assert first_swap.block_number == block_number
+    assert first_swap.trace_address == [1]
+    assert first_swap.protocol is None
+    assert first_swap.pool_address == first_pool_address
+    assert first_swap.from_address == alice_address
+    assert first_swap.to_address == bob_address
+    assert first_swap.token_in_address == first_token_in_address
+    assert first_swap.token_in_amount == first_token_in_amount
+    assert first_swap.token_out_address == first_token_out_address
+    assert first_swap.token_out_amount == first_token_out_amount
+
+    assert second_swap.abi_name == UNISWAP_V3_POOL_ABI_NAME
+    assert second_swap.transaction_hash == second_transaction_hash
+    assert second_swap.block_number == block_number
+    assert second_swap.trace_address == []
+    assert second_swap.protocol is None
+    assert second_swap.pool_address == second_pool_address
+    assert second_swap.from_address == bob_address
+    assert second_swap.to_address == carl_address
+    assert second_swap.token_in_address == second_token_in_address
+    assert second_swap.token_in_amount == second_token_in_amount
+    assert second_swap.token_out_address == second_token_out_address
+    assert second_swap.token_out_amount == second_token_out_amount

tests/test_traces.py

@@ -0,0 +1,112 @@
+from typing import List
+
+from mev_inspect.schemas.classified_traces import ClassifiedTrace
+from mev_inspect.traces import is_child_trace_address, get_child_traces
+
+from .helpers import make_many_unknown_traces
+
+
+def test_is_child_trace_address():
+    assert is_child_trace_address([0], [])
+    assert is_child_trace_address([0, 0], [])
+    assert is_child_trace_address([0, 0], [0])
+    assert is_child_trace_address([100, 1, 10], [100])
+    assert is_child_trace_address([100, 1, 10], [100, 1])
+
+    assert not is_child_trace_address([0], [1])
+    assert not is_child_trace_address([1], [0])
+    assert not is_child_trace_address([1, 0], [0])
+    assert not is_child_trace_address([100, 2, 10], [100, 1])
+
+
+def test_get_child_traces(get_transaction_hashes):
+    block_number = 123
+    [first_hash, second_hash] = get_transaction_hashes(2)
+
+    traces = []
+
+    first_hash_trace_addresses = [
+        [],
+        [0],
+        [0, 0],
+        [1],
+        [1, 0],
+        [1, 0, 0],
+        [1, 0, 1],
+        [1, 1],
+        [1, 2],
+    ]
+
+    second_hash_trace_addresses = [[], [0], [1], [1, 0], [2]]
+
+    traces += make_many_unknown_traces(
+        block_number,
+        first_hash,
+        first_hash_trace_addresses,
+    )
+
+    traces += make_many_unknown_traces(
+        block_number,
+        second_hash,
+        second_hash_trace_addresses,
+    )
+
+    assert has_expected_child_traces(
+        first_hash,
+        [],
+        traces,
+        first_hash_trace_addresses[1:],
+    )
+
+    assert has_expected_child_traces(
+        first_hash,
+        [0],
+        traces,
+        [
+            [0, 0],
+        ],
+    )
+
+    assert has_expected_child_traces(
+        second_hash,
+        [2],
+        traces,
+        [],
+    )
+
+
+def has_expected_child_traces(
+    transaction_hash: str,
+    parent_trace_address: List[int],
+    traces: List[ClassifiedTrace],
+    expected_trace_addresses: List[List[int]],
+):
+    child_traces = get_child_traces(
+        transaction_hash,
+        parent_trace_address,
+        traces,
+    )
+
+    distinct_trace_addresses = distinct_lists(expected_trace_addresses)
+
+    if len(child_traces) != len(distinct_trace_addresses):
+        return False
+
+    for trace in child_traces:
+        if trace.transaction_hash != transaction_hash:
+            return False
+
+        if trace.trace_address not in distinct_trace_addresses:
+            return False
+
+    return True
+
+
+def distinct_lists(list_of_lists: List[List[int]]) -> List[List[int]]:
+    distinct_so_far = []
+
+    for list_of_values in list_of_lists:
+        if list_of_values not in distinct_so_far:
+            distinct_so_far.append(list_of_values)
+
+    return distinct_so_far

tests/test_transfers.py

@@ -0,0 +1,71 @@
+from mev_inspect.schemas.transfers import Transfer
+from mev_inspect.transfers import remove_child_transfers_of_transfers
+
+
+def test_remove_child_transfers_of_transfers(get_transaction_hashes, get_addresses):
+    [transaction_hash, other_transaction_hash] = get_transaction_hashes(2)
+
+    [
+        alice_address,
+        bob_address,
+        first_token_address,
+        second_token_address,
+        third_token_address,
+    ] = get_addresses(5)
+
+    outer_transfer = Transfer(
+        transaction_hash=transaction_hash,
+        trace_address=[0],
+        from_address=alice_address,
+        to_address=bob_address,
+        amount=10,
+        token_address=first_token_address,
+    )
+
+    inner_transfer = Transfer(
+        **{
+            **outer_transfer.dict(),
+            **dict(
+                trace_address=[0, 0],
+                token_address=second_token_address,
+            ),
+        }
+    )
+
+    other_transfer = Transfer(
+        transaction_hash=transaction_hash,
+        trace_address=[1],
+        from_address=bob_address,
+        to_address=alice_address,
+        amount=10,
+        token_address=third_token_address,
+    )
+
+    separate_transaction_transfer = Transfer(
+        **{
+            **inner_transfer.dict(),
+            **dict(transaction_hash=other_transaction_hash),
+        }
+    )
+
+    transfers = [
+        outer_transfer,
+        inner_transfer,
+        other_transfer,
+        separate_transaction_transfer,
+    ]
+
+    expected_transfers = [
+        outer_transfer,
+        other_transfer,
+        separate_transaction_transfer,
+    ]
+
+    removed_transfers = remove_child_transfers_of_transfers(transfers)
+    assert _equal_ignoring_order(removed_transfers, expected_transfers)
+
+
+def _equal_ignoring_order(first_list, second_list) -> bool:
+    return all(first in second_list for first in first_list) and all(
+        second in first_list for second in second_list
+    )

tests/tokenflow_test.py

@@ -1,12 +1,8 @@
-import json
-import os
 import unittest
 
 from mev_inspect import tokenflow
-from mev_inspect.schemas.blocks import Block
 
-THIS_FILE_DIRECTORY = os.path.dirname(__file__)
-TEST_BLOCKS_DIRECTORY = os.path.join(THIS_FILE_DIRECTORY, "blocks")
+from .utils import load_test_block
 
 
 class TestTokenFlow(unittest.TestCase):
@@ -37,13 +33,5 @@ class TestTokenFlow(unittest.TestCase):
         self.assertEqual(res["dollar_flows"], [0, 0])
 
 
-def load_test_block(block_number):
-    block_path = f"{TEST_BLOCKS_DIRECTORY}/{block_number}.json"
-
-    with open(block_path, "r") as block_file:
-        block_json = json.load(block_file)
-        return Block(**block_json)
-
-
 if __name__ == "__main__":
     unittest.main()

tests/trace_test.py

@@ -1,103 +0,0 @@
-import unittest
-from typing import List
-
-from mev_inspect.schemas import Trace, TraceType, NestedTrace
-from mev_inspect.traces import as_nested_traces
-
-
-DEFAULT_BLOCK_NUMBER = 123
-
-
-class TestTraces(unittest.TestCase):
-    def test_nested_traces(self):
-        trace_hash_address_pairs = [
-            ("abc", [0, 2]),
-            ("abc", []),
-            ("abc", [2]),
-            ("abc", [0]),
-            ("abc", [0, 0]),
-            ("abc", [0, 1]),
-            ("abc", [1]),
-            ("efg", []),
-            ("abc", [1, 0]),
-            ("abc", [0, 1, 0]),
-            ("efg", [0]),
-        ]
-
-        traces = [
-            build_trace_at_address(hash, address)
-            for (hash, address) in trace_hash_address_pairs
-        ]
-
-        nested_traces = as_nested_traces(traces)
-
-        assert len(nested_traces) == 2
-
-        abc_trace = nested_traces[0]
-        efg_trace = nested_traces[1]
-
-        # abc
-        assert abc_trace.trace.transaction_hash == "abc"
-        assert_trace_address(abc_trace, [])
-        assert len(abc_trace.subtraces) == 3
-
-        [trace_0, trace_1, trace_2] = abc_trace.subtraces
-
-        assert_trace_address(trace_0, [0])
-        assert_trace_address(trace_1, [1])
-        assert_trace_address(trace_2, [2])
-
-        assert len(trace_0.subtraces) == 3
-        assert len(trace_1.subtraces) == 1
-        assert len(trace_2.subtraces) == 0
-
-        [trace_0_0, trace_0_1, trace_0_2] = trace_0.subtraces
-        [trace_1_0] = trace_1.subtraces
-
-        assert_trace_address(trace_0_0, [0, 0])
-        assert_trace_address(trace_0_1, [0, 1])
-        assert_trace_address(trace_0_2, [0, 2])
-        assert_trace_address(trace_1_0, [1, 0])
-
-        assert len(trace_0_0.subtraces) == 0
-        assert len(trace_0_1.subtraces) == 1
-        assert len(trace_0_2.subtraces) == 0
-        assert len(trace_1_0.subtraces) == 0
-
-        [trace_0_1_0] = trace_0_1.subtraces
-        assert_trace_address(trace_0_1_0, [0, 1, 0])
-        assert len(trace_0_1_0.subtraces) == 0
-
-        # efg
-        assert efg_trace.trace.transaction_hash == "efg"
-        assert_trace_address(efg_trace, [])
-        assert len(efg_trace.subtraces) == 1
-
-        [efg_subtrace] = efg_trace.subtraces
-
-        assert_trace_address(efg_subtrace, [0])
-        assert len(efg_subtrace.subtraces) == 0
-
-
-def build_trace_at_address(
-    transaction_hash: str,
-    trace_address: List[int],
-) -> Trace:
-    return Trace(
-        # real values
-        transaction_hash=transaction_hash,
-        trace_address=trace_address,
-        # placeholders
-        action={},
-        block_hash="",
-        block_number=DEFAULT_BLOCK_NUMBER,
-        result=None,
-        subtraces=0,
-        transaction_position=None,
-        type=TraceType.call,
-        error=None,
-    )
-
-
-def assert_trace_address(nested_trace: NestedTrace, trace_address: List[int]):
-    assert nested_trace.trace.trace_address == trace_address

tests/utils.py

@@ -0,0 +1,16 @@
+import json
+import os
+
+from mev_inspect.schemas.blocks import Block
+
+
+THIS_FILE_DIRECTORY = os.path.dirname(__file__)
+TEST_BLOCKS_DIRECTORY = os.path.join(THIS_FILE_DIRECTORY, "blocks")
+
+
+def load_test_block(block_number: int) -> Block:
+    block_path = f"{TEST_BLOCKS_DIRECTORY}/{block_number}.json"
+
+    with open(block_path, "r") as block_file:
+        block_json = json.load(block_file)
+        return Block(**block_json)