Merge pull request #219 from flashbots/require-small-difference-arbs

Require token amounts in arbitrage swaps to be close to each other

mev_inspect/arbitrages.py

@@ -4,6 +4,8 @@ from typing import List, Optional, Tuple
 from mev_inspect.schemas.arbitrages import Arbitrage
 from mev_inspect.schemas.swaps import Swap
 
+MAX_TOKEN_AMOUNT_PERCENT_DIFFERENCE = 0.01
+
 
 def get_arbitrages(swaps: List[Swap]) -> List[Arbitrage]:
     get_transaction_hash = lambda swap: swap.transaction_hash
@@ -101,7 +103,7 @@ def _get_shortest_route(
         return None
 
     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]
 
     if max_route_length is not None and max_route_length == 2:
@@ -120,11 +122,7 @@ def _get_shortest_route(
     )
 
     for next_swap in other_swaps:
-        if start_swap.token_out_address == next_swap.token_in_address and (
+        if _swap_outs_match_swap_ins(start_swap, next_swap):
-            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,
@@ -174,3 +172,19 @@ def _get_all_start_end_swaps(swaps: List[Swap]) -> List[Tuple[Swap, List[Swap]]]
             valid_start_ends.append((potential_start_swap, ends_for_start))
 
     return valid_start_ends
+
+
+def _swap_outs_match_swap_ins(swap_out, swap_in) -> bool:
+    if swap_out.token_out_address == swap_in.token_in_address and (
+        swap_out.contract_address == swap_in.from_address
+        or swap_out.to_address == swap_in.contract_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

tests/test_arbitrage_integration.py

@@ -60,20 +60,20 @@ def test_arbitrage_real_block(trace_classifier: TraceClassifier):
 
 
 def test_reverting_arbitrage(trace_classifier: TraceClassifier):
-    block = load_test_block(11473321)
+    block = load_test_block(12483198)
     classified_traces = trace_classifier.classify(block.traces)
 
     swaps = get_swaps(classified_traces)
     assert len(swaps) == 38
 
     arbitrages = get_arbitrages(list(swaps))
-    assert len(arbitrages) == 4
+    assert len(arbitrages) == 5
 
-    arbitrage_1 = [
+    reverting_arbitrage = [
         arb
         for arb in arbitrages
         if arb.transaction_hash
-        == "0x565146ec57af69208b4a37e3a138ab85c6a6ff358fffb0077824a7378a67c4d6"
+        == "0x23a4dc7044666d3d4cc2d394a8017fc9d6b87018c20390d35266cea1af783e8a"
     ][0]
 
-    assert arbitrage_1.error == "Reverted"
+    assert reverting_arbitrage.error == "Reverted"