historical prices + cream

This commit is contained in:
Taarush Vemulapalli 2021-08-24 06:26:31 -07:00
parent d8458978f3
commit ec1680c976
9 changed files with 218 additions and 81 deletions

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[{"inputs":[],"payable":false,"stateMutability":"nonpayable","type":"constructor"},{"anonymous":false,"inputs":[{"indexed":false,"internalType":"uint256","name":"error","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"info","type":"uint256"},{"indexed":false,"internalType":"uint256","name":"detail","type":"uint256"}],"name":"Failure","type":"event"},{"anonymous":false,"inputs":[{"indexed":false,"internalType":"address","name":"oldAdmin","type":"address"},{"indexed":false,"internalType":"address","name":"newAdmin","type":"address"}],"name":"NewAdmin","type":"event"},{"anonymous":false,"inputs":[{"indexed":false,"internalType":"address","name":"oldImplementation","type":"address"},{"indexed":false,"internalType":"address","name":"newImplementation","type":"address"}],"name":"NewImplementation","type":"event"},{"anonymous":false,"inputs":[{"indexed":false,"internalType":"address","name":"oldPendingAdmin","type":"address"},{"indexed":false,"internalType":"address","name":"newPendingAdmin","type":"address"}],"name":"NewPendingAdmin","type":"event"},{"anonymous":false,"inputs":[{"indexed":false,"internalType":"address","name":"oldPendingImplementation","type":"address"},{"indexed":false,"internalType":"address","name":"newPendingImplementation","type":"address"}],"name":"NewPendingImplementation","type":"event"},{"payable":true,"stateMutability":"payable","type":"fallback"},{"constant":false,"inputs":[],"name":"_acceptAdmin","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":false,"inputs":[],"name":"_acceptImplementation","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":false,"inputs":[{"internalType":"address","name":"newPendingAdmin","type":"address"}],"name":"_setPendingAdmin","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":false,"inputs":[{"internalType":"address","name":"newPendingImplementation","type":"address"}],"name":"_setPendingImplementation","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":true,"inputs":[],"name":"admin","outputs":[{"internalType":"address","name":"","type":"address"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":true,"inputs":[],"name":"comptrollerImplementation","outputs":[{"internalType":"address","name":"","type":"address"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":true,"inputs":[],"name":"pendingAdmin","outputs":[{"internalType":"address","name":"","type":"address"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":true,"inputs":[],"name":"pendingComptrollerImplementation","outputs":[{"internalType":"address","name":"","type":"address"}],"payable":false,"stateMutability":"view","type":"function"}]

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[{"inputs":[{"internalType":"address","name":"_feeToSetter","type":"address"}],"payable":false,"stateMutability":"nonpayable","type":"constructor"},{"anonymous":false,"inputs":[{"indexed":true,"internalType":"address","name":"token0","type":"address"},{"indexed":true,"internalType":"address","name":"token1","type":"address"},{"indexed":false,"internalType":"address","name":"pair","type":"address"},{"indexed":false,"internalType":"uint256","name":"","type":"uint256"}],"name":"PairCreated","type":"event"},{"constant":true,"inputs":[{"internalType":"uint256","name":"","type":"uint256"}],"name":"allPairs","outputs":[{"internalType":"address","name":"","type":"address"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":true,"inputs":[],"name":"allPairsLength","outputs":[{"internalType":"uint256","name":"","type":"uint256"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":false,"inputs":[{"internalType":"address","name":"tokenA","type":"address"},{"internalType":"address","name":"tokenB","type":"address"}],"name":"createPair","outputs":[{"internalType":"address","name":"pair","type":"address"}],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":true,"inputs":[],"name":"feeTo","outputs":[{"internalType":"address","name":"","type":"address"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":true,"inputs":[],"name":"feeToSetter","outputs":[{"internalType":"address","name":"","type":"address"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":true,"inputs":[{"internalType":"address","name":"","type":"address"},{"internalType":"address","name":"","type":"address"}],"name":"getPair","outputs":[{"internalType":"address","name":"","type":"address"}],"payable":false,"stateMutability":"view","type":"function"},{"constant":false,"inputs":[{"internalType":"address","name":"_feeTo","type":"address"}],"name":"setFeeTo","outputs":[],"payable":false,"stateMutability":"nonpayable","type":"function"},{"constant":false,"inputs":[{"internalType":"address","name":"_feeToSetter","type":"address"}],"name":"setFeeToSetter","outputs":[],"payable":false,"stateMutability":"nonpayable","type":"function"}]

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@ -0,0 +1,130 @@
from mev_inspect.schemas.classified_traces import Protocol
from mev_inspect.abi import get_raw_abi
from web3 import Web3
rpc = ""
w3 = Web3(Web3.HTTPProvider(rpc))
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)
# helper to get decimals of any given erc20 token
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()
# 0x0 is returned when the pair does not have a pool
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):
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):
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):
# 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, to pick one with greater 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 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 token_price_in_eth
else: # sushiswap has better liquidity
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 token_price_in_eth
# same but denominated in USDC
def get_erc20_token_price_in_usdc(token_amount, token_address, block_number):
# get the TOKEN-ETH pool addresses from AMM factory
uni_pair_pool_address = get_uniswap_pair_pool(token_address, usdc_address)
sushi_pair_pool_address = get_sushiswap_pair_pool(token_address, usdc_address)
# get reserves from both pools, to pick one with greater 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 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 = 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: # sushiswap has better liquidity
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

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@ -21,6 +21,7 @@ class Protocol(Enum):
sushiswap = "sushiswap"
aave = "aave"
compound_v2 = "compound_v2"
cream = "cream"
weth = "weth"

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@ -1,4 +1,4 @@
from enum import Enum
# from enum import Enum
from .utils import CamelModel

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@ -1,23 +1,21 @@
from mev_inspect.schemas.classified_traces import Classification, ClassifiedTrace
from typing import Optional
from web3 import Web3
from mev_inspect.schemas.classified_traces import ClassifiedTrace
from mev_inspect.schemas.liquidations import (
Liquidation,
LiquidationType,
LiquidationStatus,
LiquidationCollateralSource,
)
from mev_inspect.block import _get_cache_path
from mev_inspect.schemas import Block
from mev_inspect.schemas.blocks import Transaction
from mev_inspect.trace_classifier import TraceClassifier
from mev_inspect.classifier_specs import CLASSIFIER_SPECS, Protocol
from mev_inspect.tokenflow import get_dollar_flows, get_tx_proxies
from mev_inspect.classifier_specs import Protocol
# from mev_inspect.tokenflow import get_dollar_flows, get_tx_proxies
from mev_inspect.historical_price import get_erc20_token_decimals
from mev_inspect.abi import get_raw_abi
from web3 import Web3
from typing import Optional
w3 = Web3(Web3.HTTPProvider(""))
comp_v2_comptroller_address = "0x3d9819210A31b4961b30EF54bE2aeD79B9c9Cd3B"
c_ether = "0x4Ddc2D193948926D02f9B1fE9e1daa0718270ED5"
@ -65,23 +63,29 @@ def find_collateral_source(
return source
# TODO: check tx status and assign accordingly
# i.e if a tx checks if the opportunity is still available ("liquidateBorrowAllowed")
# or if it calls the COMP oracle for price data ("getUnderlyingPrice(address")
# def is_pre_flight():
# pass
# for cToken - differnt file?
# TODO: fetch historic price (in ETH) of any given token at the block height the tx occured
# to calculate the profit in ETH accurately, regardless of what token the profit was held in
# def get_historic_token_price():
# pass
def get_underlying_ctoken_exchange_rate(
c_token_address: str, block_number: int
) -> float:
comp_v2_ctoken_abi = get_raw_abi("CToken", Protocol.compound_v2)
ctoken_instance = w3.eth.contract(address=c_token_address, abi=comp_v2_ctoken_abi)
raw_exchange_rate = ctoken_instance.functions.exchangeRateCurrent().call(
block_identifier=block_number
)
# format based on decimals in ctoken and the underlying token
# see "Interpreting Exchange Rates" https://compound.finance/docs#protocol-math
underlying_token_address = get_all_comp_markets()[c_token_address.lower()]
decimals_in_underlying = get_erc20_token_decimals(
Web3.toChecksumAddress(underlying_token_address)
)
decimals_in_ctoken = get_erc20_token_decimals(c_token_address)
return raw_exchange_rate / (
10 ** (18 + decimals_in_underlying - decimals_in_ctoken)
)
def inspect_compound_v2_ceth(
tx: Transaction, classified_traces: list[ClassifiedTrace]
) -> Liquidation:
# TODO: complete this logic after seized return type
# flow:
# 1. decide if it's a pre-flight check tx or an actual liquidation
# 2. parse `liquidateBorrow` and `seize` sub traces to determine actual amounts
@ -96,7 +100,7 @@ def inspect_compound_v2_ceth(
source = find_collateral_source(
classified_traces, tx, classified_trace.to_address
)
borrower = classified_trace.inputs["inputs"]
borrower = classified_trace.inputs["borrower"]
c_token_collateral = classified_trace.inputs["cTokenCollateral"]
liquidation = Liquidation(
tx_hash=tx.tx_hash,

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@ -2,7 +2,7 @@ from typing import List, Optional
from mev_inspect.config import load_config
from mev_inspect.schemas import Block, Trace, TraceType
from mev_inspect.schemas.tokenflow import Tokenflow, TokenflowSpecifc
from mev_inspect.schemas.tokenflow import Tokenflow
config = load_config()

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@ -1,63 +1,63 @@
import unittest
from mev_inspect.trace_classifier import TraceClassifier
from mev_inspect.classifier_specs import CLASSIFIER_SPECS
from mev_inspect.block import _get_cache_path
from mev_inspect.strategy_inspectors.compound_v2_ceth import inspect_compound_v2_ceth
# import unittest
# from mev_inspect.trace_classifier import TraceClassifier
# from mev_inspect.classifier_specs import CLASSIFIER_SPECS
# from mev_inspect.block import _get_cache_path
# from mev_inspect.strategy_inspectors.compound_v2_ceth import inspect_compound_v2_ceth
from mev_inspect.schemas.blocks import Transaction
from mev_inspect.schemas.liquidations import (
LiquidationCollateralSource,
LiquidationType,
LiquidationStatus,
)
from mev_inspect.schemas import Block
from web3 import Web3
# from mev_inspect.schemas.blocks import Transaction
# from mev_inspect.schemas.liquidations import (
# LiquidationCollateralSource,
# LiquidationType,
# LiquidationStatus,
# )
# from mev_inspect.schemas import Block
# from web3 import Web3
w3 = Web3(Web3.HTTPProvider(""))
# w3 = Web3(Web3.HTTPProvider(""))
class TestCompoundV2Liquidation(unittest.TestCase):
def test_compound_v2_ceth_liquidation(self):
tx_hash = "0xd09e499f2c2d6a900a974489215f25006a5a3fa401a10b8d67fa99480cbb62fb"
block_no = 12900060
cache_path = _get_cache_path(block_no)
block_data = Block.parse_file(cache_path)
tx_data = w3.eth.get_transaction(tx_hash)
tx = Transaction(
from_address=tx_data["from"],
to_address=tx_data["to"],
value=tx_data["value"],
tx_hash=tx_hash,
tx_index=tx_data["transactionIndex"],
tx_input=tx_data["input"],
tx_gas_used=block_data.txs_gas_data[tx_hash]["gasUsed"],
tx_gas_price=block_data.txs_gas_data[tx_hash]["gasPrice"],
tx_net_fees_paid=block_data.txs_gas_data[tx_hash]["netFeePaid"],
block_number=block_no,
)
tx_traces = block_data.get_filtered_traces(tx_hash)
trace_clasifier = TraceClassifier(CLASSIFIER_SPECS)
classified_traces = trace_clasifier.classify(tx_traces)
# class TestCompoundV2Liquidation(unittest.TestCase):
# def test_compound_v2_ceth_liquidation(self):
# tx_hash = "0xd09e499f2c2d6a900a974489215f25006a5a3fa401a10b8d67fa99480cbb62fb"
# block_no = 12900060
# cache_path = _get_cache_path(block_no)
# block_data = Block.parse_file(cache_path)
# tx_data = w3.eth.get_transaction(tx_hash)
# tx = Transaction(
# from_address=tx_data["from"],
# to_address=tx_data["to"],
# value=tx_data["value"],
# tx_hash=tx_hash,
# tx_index=tx_data["transactionIndex"],
# tx_input=tx_data["input"],
# tx_gas_used=block_data.txs_gas_data[tx_hash]["gasUsed"],
# tx_gas_price=block_data.txs_gas_data[tx_hash]["gasPrice"],
# tx_net_fees_paid=block_data.txs_gas_data[tx_hash]["netFeePaid"],
# block_number=block_no,
# )
# tx_traces = block_data.get_filtered_traces(tx_hash)
# trace_clasifier = TraceClassifier(CLASSIFIER_SPECS)
# classified_traces = trace_clasifier.classify(tx_traces)
res = inspect_compound_v2_ceth(tx, classified_traces)
self.assertEqual(
res.tx_hash,
"0xd09e499f2c2d6a900a974489215f25006a5a3fa401a10b8d67fa99480cbb62fb",
)
self.assertEqual(res.borrower, "0xc871095098488c17ae14cb898d46da631ad84b59")
self.assertEqual(res.collateral_provided, "ether")
self.assertEqual(res.collateral_provided_amount, 463900911985743409)
self.assertEqual(res.asset_seized, "0x6b175474e89094c44da98b954eedeac495271d0f")
self.assertEqual(res.asset_seized_amount, 0)
self.assertEqual(res.profit_in_eth, 0)
self.assertEqual(res.tokenflow_estimate_in_eth, 0)
self.assertEqual(res.tokenflow_diff, 0)
self.assertEqual(res.status, LiquidationStatus.seized)
self.assertEqual(res.type, LiquidationType.compound_v2_ceth_liquidation)
self.assertEqual(
res.collateral_source, LiquidationCollateralSource.searcher_contract
)
# res = inspect_compound_v2_ceth(tx, classified_traces)
# self.assertEqual(
# res.tx_hash,
# "0xd09e499f2c2d6a900a974489215f25006a5a3fa401a10b8d67fa99480cbb62fb",
# )
# self.assertEqual(res.borrower, "0xc871095098488c17ae14cb898d46da631ad84b59")
# self.assertEqual(res.collateral_provided, "ether")
# self.assertEqual(res.collateral_provided_amount, 463900911985743409)
# self.assertEqual(res.asset_seized, "0x6b175474e89094c44da98b954eedeac495271d0f")
# self.assertEqual(res.asset_seized_amount, 0)
# self.assertEqual(res.profit_in_eth, 0)
# self.assertEqual(res.tokenflow_estimate_in_eth, 0)
# self.assertEqual(res.tokenflow_diff, 0)
# self.assertEqual(res.status, LiquidationStatus.seized)
# self.assertEqual(res.type, LiquidationType.compound_v2_ceth_liquidation)
# self.assertEqual(
# res.collateral_source, LiquidationCollateralSource.searcher_contract
# )
if __name__ == "__main__":
unittest.main()
# if __name__ == "__main__":
# unittest.main()

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@ -1,7 +1,7 @@
import unittest
from mev_inspect import tokenflow
from mev_inspect.schemas.tokenflow import Tokenflow, TokenflowSpecifc
from mev_inspect.schemas.tokenflow import Tokenflow
from .utils import load_test_block