Adjust arbitrage path creation to not depend on pool_address, adjust tests accordingly
This commit is contained in:
Sam Ragsdale
parent
0f23046733
commit
d952287b2d
@ -1,5 +1,5 @@
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from itertools import groupby
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from typing import List, Optional
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from typing import List, Tuple
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from mev_inspect.schemas.arbitrages import Arbitrage
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from mev_inspect.schemas.swaps import Swap
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@ -23,70 +23,111 @@ def get_arbitrages(swaps: List[Swap]) -> List[Arbitrage]:
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def _get_arbitrages_from_swaps(swaps: List[Swap]) -> List[Arbitrage]:
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pool_addresses = {swap.pool_address for swap in swaps}
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"""
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An arbitrage is defined as multiple swaps in a series that result in the initial token being returned
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to the initial sender address.
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There are 2 types of swaps that are most common (99%+).
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Case I (fully routed):
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BOT -> A/B -> B/C -> C/A -> BOT
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Case II (always return to bot):
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BOT -> A/B -> BOT -> B/C -> BOT -> A/C -> BOT
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There is only 1 correct way to route Case I, but for Case II the following valid routes could be found:
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A->B->C->A / B->C->A->B / C->A->B->C. Thus when multiple valid routes are found we filter to the set that
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happen in valid order.
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"""
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all_arbitrages = []
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for index, first_swap in enumerate(swaps):
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other_swaps = swaps[:index] + swaps[index + 1 :]
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start_ends = _get_all_start_end_swaps(swaps)
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if len(start_ends) == 0:
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return []
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if first_swap.from_address not in pool_addresses:
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arbitrage = _get_arbitrage_starting_with_swap(first_swap, other_swaps)
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# for (start, end) in filtered_start_ends:
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for (start, end) in start_ends:
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potential_intermediate_swaps = [
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swap for swap in swaps if swap is not start and swap is not end
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]
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routes = _get_all_routes(start, end, potential_intermediate_swaps)
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if arbitrage is not None:
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all_arbitrages.append(arbitrage)
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return all_arbitrages
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def _get_arbitrage_starting_with_swap(
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start_swap: Swap,
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other_swaps: List[Swap],
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) -> Optional[Arbitrage]:
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swap_path = [start_swap]
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current_swap: Swap = start_swap
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while True:
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next_swap = _get_swap_from_address(
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current_swap.to_address,
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current_swap.token_out_address,
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other_swaps,
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)
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if next_swap is None:
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return None
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swap_path.append(next_swap)
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current_swap = next_swap
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if (
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current_swap.to_address == start_swap.from_address
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and current_swap.token_out_address == start_swap.token_in_address
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):
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start_amount = start_swap.token_in_amount
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end_amount = current_swap.token_out_amount
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for route in routes:
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start_amount = route[0].token_in_amount
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end_amount = route[-1].token_out_amount
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profit_amount = end_amount - start_amount
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return Arbitrage(
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swaps=swap_path,
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block_number=start_swap.block_number,
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transaction_hash=start_swap.transaction_hash,
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account_address=start_swap.from_address,
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profit_token_address=start_swap.token_in_address,
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arb = Arbitrage(
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swaps=route,
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block_number=route[0].block_number,
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transaction_hash=route[0].transaction_hash,
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account_address=route[0].from_address,
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profit_token_address=route[0].token_in_address,
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start_amount=start_amount,
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end_amount=end_amount,
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profit_amount=profit_amount,
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)
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return None
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all_arbitrages.append(arb)
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if len(all_arbitrages) == 1:
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return all_arbitrages
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else:
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return [
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arb
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for arb in all_arbitrages
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if (arb.swaps[0].trace_address < arb.swaps[-1].trace_address)
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]
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def _get_swap_from_address(
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address: str, token_address: str, swaps: List[Swap]
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) -> Optional[Swap]:
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for swap in swaps:
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if swap.pool_address == address and swap.token_in_address == token_address:
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return swap
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def _get_all_start_end_swaps(swaps: List[Swap]) -> List[Tuple[Swap, Swap]]:
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"""
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Gets the set of all possible opening and closing swap pairs in an arbitrage via
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- swap[start].token_in == swap[end].token_out
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- swap[start].from_address == swap[end].to_address
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- not swap[start].from_address in all_pool_addresses
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- not swap[end].to_address in all_pool_addresses
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"""
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pool_addrs = [swap.pool_address for swap in swaps]
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valid_start_ends: List[Tuple[Swap, Swap]] = []
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for potential_start_swap in swaps:
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for potential_end_swap in swaps:
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if (
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potential_start_swap.token_in_address
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== potential_end_swap.token_out_address
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and potential_start_swap.from_address == potential_end_swap.to_address
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and not potential_start_swap.from_address in pool_addrs
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):
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valid_start_ends.append((potential_start_swap, potential_end_swap))
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return valid_start_ends
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return None
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def _get_all_routes(
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start_swap: Swap, end_swap: Swap, other_swaps: List[Swap]
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) -> List[List[Swap]]:
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"""
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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.
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"""
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# If the path is complete, return
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if start_swap.token_out_address == end_swap.token_in_address:
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return [[start_swap, end_swap]]
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elif len(other_swaps) == 0:
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return []
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# Collect all potential next steps, check if valid, recursively find routes from next_step to end_swap
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routes: List[List[Swap]] = []
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for potential_next_swap in other_swaps:
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if start_swap.token_out_address == potential_next_swap.token_in_address and (
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start_swap.pool_address == potential_next_swap.from_address
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or start_swap.to_address == potential_next_swap.pool_address
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or start_swap.to_address == potential_next_swap.from_address
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):
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remaining_swaps = [
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swap for swap in other_swaps if swap != potential_next_swap
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]
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next_swap_routes = _get_all_routes(
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potential_next_swap, end_swap, remaining_swaps
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)
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if len(next_swap_routes) > 0:
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for next_swap_route in next_swap_routes:
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next_swap_route.insert(0, start_swap)
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routes.append(next_swap_route)
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return routes
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@ -15,12 +15,47 @@ def test_arbitrage_real_block():
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assert len(swaps) == 51
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arbitrages = get_arbitrages(list(swaps))
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assert len(arbitrages) == 1
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assert len(arbitrages) == 2
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arbitrage = arbitrages[0]
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arbitrage_1 = [
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arb
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for arb in arbitrages
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if arb.transaction_hash
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== "0x448245bf1a507b73516c4eeee01611927dada6610bf26d403012f2e66800d8f0"
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][0]
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arbitrage_2 = [
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arb
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for arb in arbitrages
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if arb.transaction_hash
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== "0xfcf4558f6432689ea57737fe63124a5ec39fd6ba6aaf198df13a825dd599bffc"
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][0]
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assert len(arbitrage.swaps) == 3
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assert len(arbitrage_1.swaps) == 3
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assert (
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arbitrage.profit_token_address == "0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2"
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arbitrage_1.profit_token_address == "0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2"
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)
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assert arbitrage.profit_amount == 53560707941943273628
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assert len(arbitrage_1.swaps) == 3
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assert (
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arbitrage_1.swaps[1].token_in_address
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== "0x25f8087ead173b73d6e8b84329989a8eea16cf73"
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)
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assert (
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arbitrage_1.swaps[1].token_out_address
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== "0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48"
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)
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assert arbitrage_1.profit_amount == 750005273675102326
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assert len(arbitrage_2.swaps) == 3
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assert (
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arbitrage_2.profit_token_address == "0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2"
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)
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assert len(arbitrage_2.swaps) == 3
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assert (
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arbitrage_2.swaps[1].token_in_address
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== "0x25f8087ead173b73d6e8b84329989a8eea16cf73"
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)
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assert (
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arbitrage_2.swaps[1].token_out_address
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== "0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48"
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)
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assert arbitrage_2.profit_amount == 53560707941943273628
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@ -1,4 +1,6 @@
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from mev_inspect.arbitrages import get_arbitrages
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from typing import List
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from mev_inspect.arbitrages import get_arbitrages, _get_all_routes
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from mev_inspect.schemas.swaps import Swap
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from mev_inspect.swaps import (
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UNISWAP_V2_PAIR_ABI_NAME,
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@ -17,10 +19,11 @@ def test_two_pool_arbitrage(get_transaction_hashes, get_addresses):
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unrelated_pool_address,
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first_token_address,
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second_token_address,
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] = get_addresses(6)
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third_token_address,
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] = get_addresses(7)
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first_token_in_amount = 10
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first_token_out_amount = 10
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first_token_out_amount = 11
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second_token_amount = 15
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arb_swaps = [
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@ -62,7 +65,7 @@ def test_two_pool_arbitrage(get_transaction_hashes, get_addresses):
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to_address=account_address,
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token_in_address=second_token_address,
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token_in_amount=first_token_in_amount,
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token_out_address=first_token_address,
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token_out_address=third_token_address,
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token_out_amount=first_token_out_amount,
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)
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@ -100,7 +103,7 @@ def test_three_pool_arbitrage(get_transaction_hashes, get_addresses):
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] = get_addresses(7)
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first_token_in_amount = 10
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first_token_out_amount = 10
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first_token_out_amount = 11
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second_token_amount = 15
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third_token_amount = 40
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@ -158,3 +161,70 @@ def test_three_pool_arbitrage(get_transaction_hashes, get_addresses):
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assert arbitrage.start_amount == first_token_in_amount
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assert arbitrage.end_amount == first_token_out_amount
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assert arbitrage.profit_amount == first_token_out_amount - first_token_in_amount
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def test_get_all_routes():
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# A -> B, B -> A
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start_swap = create_generic_swap("0xa", "0xb")
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end_swap = create_generic_swap("0xb", "0xa")
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routes = _get_all_routes(start_swap, end_swap, [])
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assert len(routes) == 1
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# A->B, B->C, C->A
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start_swap = create_generic_swap("0xa", "0xb")
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other_swaps = [create_generic_swap("0xb", "0xc")]
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end_swap = create_generic_swap("0xc", "0xa")
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routes = _get_all_routes(start_swap, end_swap, other_swaps)
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assert len(routes) == 1
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# A->B, B->C, C->A + A->D
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other_swaps.append(create_generic_swap("0xa", "0xd"))
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routes = _get_all_routes(start_swap, end_swap, other_swaps)
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assert len(routes) == 1
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# A->B, B->C, C->A + A->D B->E
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other_swaps.append(create_generic_swap("0xb", "0xe"))
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routes = _get_all_routes(start_swap, end_swap, other_swaps)
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assert len(routes) == 1
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# A->B, B->A, B->C, C->A
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other_swaps = [create_generic_swap("0xb", "0xa"), create_generic_swap("0xb", "0xc")]
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routes = _get_all_routes(start_swap, end_swap, other_swaps)
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assert len(routes) == 1
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expect_simple_route = [["0xa", "0xb"], ["0xb", "0xc"], ["0xc", "0xa"]]
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assert len(routes[0]) == len(expect_simple_route)
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for i in range(len(expect_simple_route)):
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assert expect_simple_route[i][0] == routes[0][i].token_in_address
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assert expect_simple_route[i][1] == routes[0][i].token_out_address
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# A->B, B->C, C->D, D->A, B->D
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end_swap = create_generic_swap("0xd", "0xa")
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other_swaps = [
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create_generic_swap("0xb", "0xc"),
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create_generic_swap("0xc", "0xd"),
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create_generic_swap("0xb", "0xd"),
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]
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routes = _get_all_routes(start_swap, end_swap, other_swaps)
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assert len(routes) == 2
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def create_generic_swap(
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tok_a: str = "0xa",
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tok_b: str = "0xb",
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amount_a_in: int = 1,
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amount_b_out: int = 1,
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trace_address: List[int] = [],
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):
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return Swap(
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abi_name=UNISWAP_V3_POOL_ABI_NAME,
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transaction_hash="0xfake",
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block_number=0,
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trace_address=trace_address,
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pool_address="0xfake",
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from_address="0xfake",
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to_address="0xfake",
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token_in_address=tok_a,
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token_in_amount=amount_a_in,
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token_out_address=tok_b,
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token_out_amount=amount_b_out,
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)
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