def profitable_opportunities(self):
"""Identify all profitable arbitrage opportunities within given limits."""
entry_amount = Wad.min(self.base_token.balance_of(self.our_address), self.max_engagement)
opportunity_finder = OpportunityFinder(conversions=self.all_conversions())
opportunities = opportunity_finder.find_opportunities(self.base_token.address, entry_amount)
opportunities = filter(lambda op: op.total_rate() > Ray.from_number(1.000001), opportunities)
opportunities = filter(lambda op: op.net_profit(self.base_token.address) > self.min_profit, opportunities)
opportunities = sorted(opportunities, key=lambda op: op.net_profit(self.base_token.address), reverse=True)
return opportunities
def test_should_adjust_amounts_based_on_max_source_amount(
self, token1, token2, token3, token4):
# given
conversion1 = Conversion(token1, token2, Ray.from_number(2.0),
Wad.from_number(10000), 'met1')
conversion2 = Conversion(token2, token3, Ray.from_number(1.6),
Wad.from_number(10000), 'met2')
conversion3 = Conversion(token3, token4, Ray.from_number(1.2),
Wad.from_number(100), 'met3')
conversion4 = Conversion(token4, token1, Ray.from_number(1.1),
Wad.from_number(10000), 'met4')
conversions = [conversion1, conversion4, conversion3, conversion2]
base_token = token1
# when
opportunities = OpportunityFinder(conversions).find_opportunities(
base_token, Wad.from_number(100))
# then
assert len(opportunities) == 1
assert len(opportunities[0].steps) == 4
assert opportunities[0].steps[0].method == "met1"
assert opportunities[0].steps[0].source_amount == Wad.from_number(
31.25)
assert opportunities[0].steps[0].target_amount == Wad.from_number(62.5)
assert opportunities[0].steps[1].method == "met2"
assert opportunities[0].steps[1].source_amount == Wad.from_number(62.5)
assert opportunities[0].steps[1].target_amount == Wad.from_number(100)
assert opportunities[0].steps[2].method == "met3"
assert opportunities[0].steps[2].source_amount == Wad.from_number(100)
assert opportunities[0].steps[2].target_amount == Wad.from_number(120)
assert opportunities[0].steps[3].method == "met4"
assert opportunities[0].steps[3].source_amount == Wad.from_number(120)
assert opportunities[0].steps[3].target_amount == Wad.from_number(132)
def test_should_ignore_irrelevant_conversions(self, token1, token2, token3,
token4):
# given
conversion1 = Conversion(token1, token2, Ray.from_number(1.02),
Wad.from_number(10000), 'met1')
conversion2 = Conversion(token2, token1, Ray.from_number(1.03),
Wad.from_number(10000), 'met2')
conversion3 = Conversion(token1, token3, Ray.from_number(1.04),
Wad.from_number(10000), 'met3')
conversion4 = Conversion(token1, token4, Ray.from_number(1.07),
Wad.from_number(10000), 'met4')
conversion5 = Conversion(token2, token4, Ray.from_number(1.08),
Wad.from_number(10000), 'met5')
conversions = [
conversion1, conversion2, conversion3, conversion4, conversion5
]
base_token = token1
# when
opportunities = OpportunityFinder(conversions).find_opportunities(
base_token, Wad.from_number(100))
# then
assert len(opportunities) == 1
assert len(opportunities[0].steps) == 2
assert opportunities[0].steps[0].method == "met1"
assert opportunities[0].steps[1].method == "met2"
def test_should_identify_multi_step_opportunities(self, token1, token2,
token3, token4):
# given
conversion1 = Conversion(token1, token2, Ray.from_number(1.02),
Wad.from_number(10000), 'met1')
conversion2 = Conversion(token2, token3, Ray.from_number(1.03),
Wad.from_number(10000), 'met2')
conversion3 = Conversion(token3, token4, Ray.from_number(1.05),
Wad.from_number(10000), 'met3')
conversion4 = Conversion(token4, token1, Ray.from_number(1.07),
Wad.from_number(10000), 'met4')
conversions = [conversion1, conversion2, conversion3, conversion4]
base_token = token1
# when
opportunities = OpportunityFinder(conversions).find_opportunities(
base_token, Wad.from_number(100))
# then
assert len(opportunities) == 1
assert len(opportunities[0].steps) == 4
assert opportunities[0].steps[0].method == "met1"
assert opportunities[0].steps[1].method == "met2"
assert opportunities[0].steps[2].method == "met3"
assert opportunities[0].steps[3].method == "met4"
def test_should_recognize_if_there_are_no_opportunities(
self, token1, token2, token3):
# given
conversion1 = Conversion(token1, token2, Ray.from_number(1.02),
Wad.from_number(10000), 'met1')
conversion2 = Conversion(token2, token3, Ray.from_number(1.03),
Wad.from_number(10000), 'met2')
conversions = [conversion1, conversion2]
base_token = token1
# when
opportunities = OpportunityFinder(conversions).find_opportunities(
base_token, Wad.from_number(100))
# then
assert len(opportunities) == 0
def test_should_identify_opportunity(self, token1, token2):
# given
conversion1 = Conversion(token1, token2, Ray.from_number(1.02),
Wad.from_number(10000), 'met1')
conversion2 = Conversion(token2, token1, Ray.from_number(1.03),
Wad.from_number(10000), 'met2')
conversions = [conversion1, conversion2]
base_token = token1
# when
opportunities = OpportunityFinder(conversions).find_opportunities(
base_token, Wad.from_number(100))
# then
assert len(opportunities) == 1
assert len(opportunities[0].steps) == 2
assert opportunities[0].steps[0].method == "met1"
assert opportunities[0].steps[1].method == "met2"
def test_should_identify_all_opportunities_regardless_whether_they_are_profitable(
self, token1, token2):
# given
conversion1 = Conversion(token1, token2, Ray.from_number(1.1),
Wad.from_number(10000), 'met1')
conversion2 = Conversion(token2, token1, Ray.from_number(0.6),
Wad.from_number(10000), 'met2')
conversions = [conversion1, conversion2]
base_token = token1
# when
opportunities = OpportunityFinder(conversions).find_opportunities(
base_token, Wad.from_number(100))
# then
assert len(opportunities) == 1
assert len(opportunities[0].steps) == 2
assert opportunities[0].steps[0].method == "met1"
assert opportunities[0].steps[1].method == "met2"