Merge pull request #183 from flashbots/fix-infinite-arbs

Only use each swap in a single arbitrage

mev_inspect/arbitrages.py

@@ -1,5 +1,5 @@
 from itertools import groupby
-from typing import List, Tuple
+from typing import List, Optional, Tuple
 
 from mev_inspect.schemas.arbitrages import Arbitrage
 from mev_inspect.schemas.swaps import Swap
@@ -45,14 +45,16 @@ def _get_arbitrages_from_swaps(swaps: List[Swap]) -> List[Arbitrage]:
     if len(start_ends) == 0:
         return []
 
-    # for (start, end) in filtered_start_ends:
+    used_swaps: List[Swap] = []
-    for (start, end) in start_ends:
-        potential_intermediate_swaps = [
-            swap for swap in swaps if swap is not start and swap is not end
-        ]
-        routes = _get_all_routes(start, end, potential_intermediate_swaps)
 
-        for route in routes:
+    for (start, ends) in start_ends:
+        if start in used_swaps:
+            continue
+
+        unused_ends = [end for end in ends if end not in used_swaps]
+        route = _get_shortest_route(start, unused_ends, swaps)
+
+        if route is not None:
             start_amount = route[0].token_in_amount
             end_amount = route[-1].token_out_amount
             profit_amount = end_amount - start_amount
@@ -72,7 +74,10 @@ def _get_arbitrages_from_swaps(swaps: List[Swap]) -> List[Arbitrage]:
                 profit_amount=profit_amount,
                 error=error,
             )
+
             all_arbitrages.append(arb)
+            used_swaps.extend(route)
+
     if len(all_arbitrages) == 1:
         return all_arbitrages
     else:
@@ -83,18 +88,63 @@ def _get_arbitrages_from_swaps(swaps: List[Swap]) -> List[Arbitrage]:
         ]
 
 
-def _get_all_start_end_swaps(swaps: List[Swap]) -> List[Tuple[Swap, Swap]]:
+def _get_shortest_route(
+    start_swap: Swap,
+    end_swaps: List[Swap],
+    all_swaps: List[Swap],
+) -> Optional[List[Swap]]:
+    for end_swap in end_swaps:
+        if start_swap.token_out_address == end_swap.token_in_address:
+            return [start_swap, end_swap]
+
+    other_swaps = [
+        swap for swap in all_swaps if (swap is not start_swap and swap not in end_swaps)
+    ]
+
+    if len(other_swaps) == 0:
+        return None
+
+    shortest_remaining_route = None
+
+    for next_swap in other_swaps:
+        if start_swap.token_out_address == next_swap.token_in_address and (
+            start_swap.contract_address == next_swap.from_address
+            or start_swap.to_address == next_swap.contract_address
+            or start_swap.to_address == next_swap.from_address
+        ):
+            shortest_from_next = _get_shortest_route(
+                next_swap,
+                end_swaps,
+                other_swaps,
+            )
+
+            if shortest_from_next is not None and (
+                shortest_remaining_route is None
+                or len(shortest_from_next) < len(shortest_remaining_route)
+            ):
+                shortest_remaining_route = shortest_from_next
+
+    if shortest_remaining_route is None:
+        return None
+    else:
+        return [start_swap] + shortest_remaining_route
+
+
+def _get_all_start_end_swaps(swaps: List[Swap]) -> List[Tuple[Swap, List[Swap]]]:
     """
-    Gets the set of all possible opening and closing swap pairs in an arbitrage via
+    Gets the set of all possible openings and corresponding closing swaps for an arbitrage via
     - swap[start].token_in == swap[end].token_out
     - swap[start].from_address == swap[end].to_address
     - not swap[start].from_address in all_pool_addresses
     - not swap[end].to_address in all_pool_addresses
     """
     pool_addrs = [swap.contract_address for swap in swaps]
-    valid_start_ends: List[Tuple[Swap, Swap]] = []
+    valid_start_ends: List[Tuple[Swap, List[Swap]]] = []
+
     for index, potential_start_swap in enumerate(swaps):
+        ends_for_start: List[Swap] = []
         remaining_swaps = swaps[:index] + swaps[index + 1 :]
+
         for potential_end_swap in remaining_swaps:
             if (
                 potential_start_swap.token_in_address
@@ -102,38 +152,10 @@ def _get_all_start_end_swaps(swaps: List[Swap]) -> List[Tuple[Swap, Swap]]:
                 and potential_start_swap.from_address == potential_end_swap.to_address
                 and not potential_start_swap.from_address in pool_addrs
             ):
-                valid_start_ends.append((potential_start_swap, potential_end_swap))
+
+                ends_for_start.append(potential_end_swap)
+
+        if len(ends_for_start) > 0:
+            valid_start_ends.append((potential_start_swap, ends_for_start))
+
     return valid_start_ends
-
-
-def _get_all_routes(
-    start_swap: Swap, end_swap: Swap, other_swaps: List[Swap]
-) -> List[List[Swap]]:
-    """
-    Returns all routes (List[Swap]) from start to finish between a start_swap and an end_swap only accounting for token_address_in and token_address_out.
-    """
-    # If the path is complete, return
-    if start_swap.token_out_address == end_swap.token_in_address:
-        return [[start_swap, end_swap]]
-    elif len(other_swaps) == 0:
-        return []
-
-    # Collect all potential next steps, check if valid, recursively find routes from next_step to end_swap
-    routes: List[List[Swap]] = []
-    for potential_next_swap in other_swaps:
-        if start_swap.token_out_address == potential_next_swap.token_in_address and (
-            start_swap.contract_address == potential_next_swap.from_address
-            or start_swap.to_address == potential_next_swap.contract_address
-            or start_swap.to_address == potential_next_swap.from_address
-        ):
-            remaining_swaps = [
-                swap for swap in other_swaps if swap != potential_next_swap
-            ]
-            next_swap_routes = _get_all_routes(
-                potential_next_swap, end_swap, remaining_swaps
-            )
-            if len(next_swap_routes) > 0:
-                for next_swap_route in next_swap_routes:
-                    next_swap_route.insert(0, start_swap)
-                    routes.append(next_swap_route)
-    return routes

tests/test_arbitrage_integration.py

@@ -67,7 +67,7 @@ def test_reverting_arbitrage(trace_classifier: TraceClassifier):
     assert len(swaps) == 38
 
     arbitrages = get_arbitrages(list(swaps))
-    assert len(arbitrages) == 21
+    assert len(arbitrages) == 4
 
     arbitrage_1 = [
         arb

tests/test_arbitrages.py

@@ -1,6 +1,6 @@
-from typing import List
+from typing import List, Tuple
 
-from mev_inspect.arbitrages import _get_all_routes, get_arbitrages
+from mev_inspect.arbitrages import _get_shortest_route, get_arbitrages
 from mev_inspect.classifiers.specs.uniswap import (
     UNISWAP_V2_PAIR_ABI_NAME,
     UNISWAP_V3_POOL_ABI_NAME,
@@ -171,39 +171,41 @@ def test_three_pool_arbitrage(get_transaction_hashes, get_addresses):
     assert arbitrage.profit_amount == first_token_out_amount - first_token_in_amount
 
 
-def test_get_all_routes():
+def test_get_shortest_route():
     # A -> B, B -> A
     start_swap = create_generic_swap("0xa", "0xb")
     end_swap = create_generic_swap("0xb", "0xa")
-    routes = _get_all_routes(start_swap, end_swap, [])
+    shortest_route = _get_shortest_route(start_swap, [end_swap], [])
-    assert len(routes) == 1
+    assert shortest_route is not None
+    assert len(shortest_route) == 2
 
     # A->B, B->C, C->A
     start_swap = create_generic_swap("0xa", "0xb")
     other_swaps = [create_generic_swap("0xb", "0xc")]
     end_swap = create_generic_swap("0xc", "0xa")
-    routes = _get_all_routes(start_swap, end_swap, other_swaps)
+    shortest_route = _get_shortest_route(start_swap, [end_swap], other_swaps)
-    assert len(routes) == 1
+    assert shortest_route is not None
+    assert len(shortest_route) == 3
 
     # A->B, B->C, C->A + A->D
     other_swaps.append(create_generic_swap("0xa", "0xd"))
-    routes = _get_all_routes(start_swap, end_swap, other_swaps)
+    shortest_route = _get_shortest_route(start_swap, [end_swap], other_swaps)
-    assert len(routes) == 1
+    assert shortest_route is not None
+    assert len(shortest_route) == 3
 
     # A->B, B->C, C->A + A->D B->E
     other_swaps.append(create_generic_swap("0xb", "0xe"))
-    routes = _get_all_routes(start_swap, end_swap, other_swaps)
+    shortest_route = _get_shortest_route(start_swap, [end_swap], other_swaps)
-    assert len(routes) == 1
+    assert shortest_route is not None
+    assert len(shortest_route) == 3
 
     # A->B, B->A, B->C, C->A
     other_swaps = [create_generic_swap("0xb", "0xa"), create_generic_swap("0xb", "0xc")]
-    routes = _get_all_routes(start_swap, end_swap, other_swaps)
+    actual_shortest_route = _get_shortest_route(start_swap, [end_swap], other_swaps)
-    assert len(routes) == 1
+    expected_shortest_route = [("0xa", "0xb"), ("0xb", "0xc"), ("0xc", "0xa")]
-    expect_simple_route = [["0xa", "0xb"], ["0xb", "0xc"], ["0xc", "0xa"]]
+
-    assert len(routes[0]) == len(expect_simple_route)
+    assert actual_shortest_route is not None
-    for i in range(len(expect_simple_route)):
+    _assert_route_tokens_equal(actual_shortest_route, expected_shortest_route)
-        assert expect_simple_route[i][0] == routes[0][i].token_in_address
-        assert expect_simple_route[i][1] == routes[0][i].token_out_address
 
     # A->B, B->C, C->D, D->A, B->D
     end_swap = create_generic_swap("0xd", "0xa")
@@ -212,8 +214,24 @@ def test_get_all_routes():
         create_generic_swap("0xc", "0xd"),
         create_generic_swap("0xb", "0xd"),
     ]
-    routes = _get_all_routes(start_swap, end_swap, other_swaps)
+    expected_shortest_route = [("0xa", "0xb"), ("0xb", "0xd"), ("0xd", "0xa")]
-    assert len(routes) == 2
+    actual_shortest_route = _get_shortest_route(start_swap, [end_swap], other_swaps)
+
+    assert actual_shortest_route is not None
+    _assert_route_tokens_equal(actual_shortest_route, expected_shortest_route)
+
+
+def _assert_route_tokens_equal(
+    route: List[Swap],
+    expected_token_in_out_pairs: List[Tuple[str, str]],
+) -> None:
+    assert len(route) == len(expected_token_in_out_pairs)
+
+    for i, [expected_token_in, expected_token_out] in enumerate(
+        expected_token_in_out_pairs
+    ):
+        assert expected_token_in == route[i].token_in_address
+        assert expected_token_out == route[i].token_out_address
 
 
 def create_generic_swap(