historical price in eth/usdc

2021-10-04 05:41:55 -07:00 · 2021-10-04 05:41:55 -07:00 · 63275576a2
commit 63275576a2
parent 7dbbd9f545
2 changed files with 232 additions and 0 deletions
--- a/mev_inspect/historical_price.py
+++ b/mev_inspect/historical_price.py
@ -0,0 +1,176 @@
+import os
+
+from mev_inspect.schemas.classified_traces import Protocol
+from mev_inspect.abi import get_raw_abi
+from web3 import Web3
+
+WETH_ADDRESS = "0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2"
+USDC_ADDRESS = "0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48"
+ZERO_ADDRESS = "0x0000000000000000000000000000000000000000"
+
+UNISWAP_ROUTER = "0x7a250d5630B4cF539739dF2C5dAcb4c659F2488D"
+UNISWAP_FACTORY = "0x5C69bEe701ef814a2B6a3EDD4B1652CB9cc5aA6f"
+SUSHISWAP_ROUTER = "0xd9e1cE17f2641f24aE83637ab66a2cca9C378B9F"
+SUSHISWAP_FACTORY = "0xC0AEe478e3658e2610c5F7A4A2E1777cE9e4f2Ac"
+
+router_abi = get_raw_abi("UniswapV2Router", Protocol.uniswap_v2)
+factory_abi = get_raw_abi("UniswapV2Factory", Protocol.uniswap_v2)
+pool_abi = get_raw_abi("UniswapV2Pair", None)
+
+
+
+def get_erc20_token_decimals(token_address):
+    token_abi = get_raw_abi("ERC20", None)
+    token_instance = w3.eth.contract(address=token_address, abi=token_abi)
+    decimals = token_instance.functions.decimals().call()
+    return decimals
+
+
+# get the specific uniswap/sushiswap pools for a pair of tokens
+def get_uniswap_pair_pool(token_0, token_1):
+    factory_instance = w3.eth.contract(address=UNISWAP_FACTORY, abi=factory_abi)
+    pair_address = factory_instance.functions.getPair(token_0, token_1).call()
+    # 0x0 is returned when the pair does not have a pool
+    if pair_address != ZERO_ADDRESS:
+        return pair_address
+    else:
+        return None
+
+
+def get_sushiswap_pair_pool(token_0, token_1):
+    factory_instance = w3.eth.contract(address=SUSHISWAP_FACTORY, abi=factory_abi)
+    pair_address = factory_instance.functions.getPair(token_0, token_1).call()
+    if pair_address != ZERO_ADDRESS:
+        return pair_address
+    else:
+        return None
+
+
+# get reserves of a pool at a specific block number
+def get_uni_pool_reserves(pool_address, block_number):
+    if pool_address is None:  # pool ABC-XYZ does not exist
+        return None
+    pool_instance = w3.eth.contract(address=pool_address, abi=pool_abi)
+    token_0 = pool_instance.functions.token0().call()
+    token_1 = pool_instance.functions.token1().call()
+    token_0_reserve, token_1_reserve, _ = pool_instance.functions.getReserves().call(
+        block_identifier=block_number
+    )
+    return {token_0: token_0_reserve, token_1: token_1_reserve}
+
+
+def get_sushi_pool_reserves(pool_address, block_number):
+    if pool_address is None:  # pool ABC-XYZ does not exist
+        return None
+    pool_instance = w3.eth.contract(address=pool_address, abi=pool_abi)
+    token_0 = pool_instance.functions.token0().call()
+    token_1 = pool_instance.functions.token1().call()
+    token_0_reserve, token_1_reserve, _ = pool_instance.functions.getReserves().call(
+        block_identifier=block_number
+    )
+    return {token_0: token_0_reserve, token_1: token_1_reserve}
+
+
+# get the price of any token (in eth) at a specific block number
+def get_erc20_token_price_in_eth(token_amount, token_address, block_number, w3):
+    # get the TOKEN-ETH pool addresses from AMM factory
+    uni_pair_pool_address = get_uniswap_pair_pool(token_address, WETH_ADDRESS)
+    sushi_pair_pool_address = get_sushiswap_pair_pool(token_address, WETH_ADDRESS)
+
+    # get reserves from both pools, pick one with higher liquidity at that block height
+    uni_pool_reserves = get_uni_pool_reserves(uni_pair_pool_address, block_number)
+    sushi_pool_reserves = get_sushi_pool_reserves(sushi_pair_pool_address, block_number)
+
+    if sushi_pool_reserves is None and uni_pool_reserves is None:
+        return 0  # no liquidity exists in either pools
+
+    # if sushiswap pool doesn't exist, use uniswap pool
+    if sushi_pool_reserves is None and uni_pool_reserves != None:
+        router_instance = w3.eth.contract(address=UNISWAP_ROUTER, abi=router_abi)
+        token_price_in_wei = router_instance.functions.getAmountOut(
+            token_amount,
+            uni_pool_reserves[token_address],
+            uni_pool_reserves[WETH_ADDRESS],
+        ).call()
+        token_price_in_eth = w3.fromWei(token_price_in_wei, "ether")
+        return float(token_price_in_eth)
+
+    # conversely
+    if sushi_pool_reserves != None and uni_pool_reserves is None:
+        router_instance = w3.eth.contract(address=SUSHISWAP_ROUTER, abi=router_abi)
+        token_price_in_wei = router_instance.functions.getAmountOut(
+            token_amount,
+            uni_pool_reserves[token_address],
+            uni_pool_reserves[WETH_ADDRESS],
+        ).call()
+        token_price_in_eth = w3.fromWei(token_price_in_wei, "ether")
+        return float(token_price_in_eth)
+
+    # if both have liquidity and uniswap has better liquidity
+    if uni_pool_reserves[token_address] > sushi_pool_reserves[token_address]:
+        router_instance = w3.eth.contract(address=UNISWAP_ROUTER, abi=router_abi)
+        token_price_in_wei = router_instance.functions.getAmountOut(
+            token_amount,
+            uni_pool_reserves[token_address],
+            uni_pool_reserves[WETH_ADDRESS],
+        ).call()
+        token_price_in_eth = w3.fromWei(token_price_in_wei, "ether")
+        return float(token_price_in_eth)
+    else:  # sushiswap
+        router_instance = w3.eth.contract(address=SUSHISWAP_ROUTER, abi=router_abi)
+        token_price_in_wei = router_instance.functions.getAmountOut(
+            token_amount,
+            sushi_pool_reserves[token_address],
+            sushi_pool_reserves[WETH_ADDRESS],
+        ).call()
+        token_price_in_eth = w3.fromWei(token_price_in_wei, "ether")
+        return float(token_price_in_eth)
+
+
+# same as above but denominated in USDC
+def get_erc20_token_price_in_usdc(token_amount, token_address, block_number, w3):
+    uni_pair_pool_address = get_uniswap_pair_pool(token_address, USDC_ADDRESS)
+    sushi_pair_pool_address = get_sushiswap_pair_pool(token_address, USDC_ADDRESS)
+    uni_pool_reserves = get_uni_pool_reserves(uni_pair_pool_address, block_number)
+    sushi_pool_reserves = get_sushi_pool_reserves(sushi_pair_pool_address, block_number)
+    if sushi_pool_reserves is None and uni_pool_reserves is None:
+        return 0  # no liquidity exists in either pools
+
+    # if sushiswap pool doesn't exist, use uniswap pool
+    if sushi_pool_reserves is None and uni_pool_reserves != None:
+        router_instance = w3.eth.contract(address=UNISWAP_ROUTER, abi=router_abi)
+        token_price = router_instance.functions.getAmountOut(
+            token_amount,
+            uni_pool_reserves[token_address],
+            uni_pool_reserves[USDC_ADDRESS],
+        ).call()
+        # usdc has 6 decimals
+        return token_price / 10 ** 6
+
+    # conversely
+    if sushi_pool_reserves != None and uni_pool_reserves is None:
+        router_instance = w3.eth.contract(address=SUSHISWAP_ROUTER, abi=router_abi)
+        token_price = router_instance.functions.getAmountOut(
+            token_amount,
+            sushi_pool_reserves[token_address],
+            sushi_pool_reserves[USDC_ADDRESS],
+        ).call()
+        return token_price / 10 ** 6
+
+    if uni_pool_reserves[token_address] > sushi_pool_reserves[token_address]:
+        router_instance = w3.eth.contract(address=UNISWAP_ROUTER, abi=router_abi)
+        token_price = router_instance.functions.getAmountOut(
+            token_amount,
+            uni_pool_reserves[token_address],
+            uni_pool_reserves[USDC_ADDRESS],
+        ).call()
+        # usdc has 6 decimals
+        return token_price / 10 ** 6
+    else:
+        router_instance = w3.eth.contract(address=SUSHISWAP_ROUTER, abi=router_abi)
+        token_price = router_instance.functions.getAmountOut(
+            token_amount,
+            sushi_pool_reserves[token_address],
+            sushi_pool_reserves[USDC_ADDRESS],
+        ).call()
+        return token_price / 10 ** 6
--- a/tests/test_histortical_price.py
+++ b/tests/test_histortical_price.py
@ -0,0 +1,56 @@
+from mev_inspect.historical_price import (
+    get_erc20_token_price_in_eth,
+    get_erc20_token_price_in_usdc,
+    get_erc20_token_decimals,
+)
+
+
+rpc = os.getenv("RPC_URL")
+
+if rpc is None:
+    raise RuntimeError("Missing environment variable RPC_URL")
+else:
+    w3 = Web3(Web3.HTTPProvider(rpc))
+
+def test_historical_price():
+    uni_token_address = "0x1f9840a85d5aF5bf1D1762F925BDADdC4201F984"
+    uni_decimals = get_erc20_token_decimals(uni_token_address)
+    uni_amount = 1 * (10 ** uni_decimals)
+    block_number = 13320250
+    historical_uni_price_in_eth = get_erc20_token_price_in_eth(
+        uni_amount, uni_token_address, block_number, w3
+    )
+    historical_uni_price_in_usdc = get_erc20_token_price_in_usdc(
+        uni_amount, uni_token_address, block_number, w3
+    )
+    assert (
+        historical_uni_price_in_eth == 0.008136743925185488
+    )  # prices at that block height
+    assert historical_uni_price_in_usdc == 23.598414
+
+    # ALCX and NFTX have more liquidity on sushiswap than uni
+    alcx_token_address = "0xdBdb4d16EdA451D0503b854CF79D55697F90c8DF"
+    alcx_decimals = get_erc20_token_decimals(alcx_token_address)
+    alcx_amount = 1 * (10 ** alcx_decimals)
+    historical_alcx_price_in_eth = get_erc20_token_price_in_eth(
+        alcx_amount, alcx_token_address, block_number
+    )
+    historical_alcx_price_in_usdc = get_erc20_token_price_in_usdc(
+        alcx_amount, alcx_token_address, block_number, w3
+    )
+    assert historical_alcx_price_in_eth == 0.074379006845621186
+    assert (
+        historical_alcx_price_in_usdc == 0
+    )  # 0 because ALCX-USDC pair does not exist on sushiswap or uniswap
+
+    nftx_token_address = "0x87d73E916D7057945c9BcD8cdd94e42A6F47f776"
+    nftx_decimals = get_erc20_token_decimals(nftx_token_address)
+    nftx_amount = 1 * (10 ** nftx_decimals)
+    historical_nftx_price_in_eth = get_erc20_token_price_in_eth(
+        nftx_amount, nftx_token_address, block_number, w3
+    )
+    historical_nftx_price_in_usdc = get_erc20_token_price_in_usdc(
+        nftx_amount, nftx_token_address, block_number, w3
+    )
+    assert historical_nftx_price_in_eth == 0.045450080391748228
+    assert historical_nftx_price_in_usdc == 0