def test_comparison(self, deployment: Deployment):
# expect
assert deployment.tap == deployment.tap
assert deployment.tap == Tap(web3=deployment.web3,
address=deployment.tap.address)
assert deployment.tap != Tap(web3=deployment.web3,
address=deployment.tub.address)
def __init__(self, web3, dai_tub = '0x448a5065aeBB8E423F0896E6c5D525C040f59af3'):
self.web3 = web3
self.tub = Tub(web3=web3, address=Address(dai_tub))
self.tap = Tap(web3=web3, address=self.tub.tap())
self.tokens = {
'MKR': ERC20Token(web3, self.tub.gov()),
'PETH': ERC20Token(web3, self.tub.skr()),
'WETH': ERC20Token(web3, self.tub.gem()),
'DAI': ERC20Token(web3, self.tub.sai()),
}
def bustable_amount_in_sai(self, tap: Tap):
#TODO we always try to bust 10 SAI less than what the Tub reports
#in order to discount the growth of `joy()` that might've have happened since the last drip
#of course this is not the right solution and it won't even work properly if the last
#drip happened enough time ago
bustable_woe = tap.woe() - tap.joy() - Wad.from_number(10)
# we deduct 0.000001 in order to avoid rounding errors
bustable_fog = tap.fog() * tap.ask(
Wad.from_number(1)) - Wad.from_number(0.000001)
return Wad.max(bustable_woe, bustable_fog, Wad.from_number(0))
def boomable_amount_in_skr(self, tap: Tap):
# we deduct 0.000001 in order to avoid rounding errors
return Wad.max(
Wad(
self.boomable_amount_in_sai(tap) /
(tap.bid(Wad.from_number(1)))) - Wad.from_number(0.000001),
Wad.from_number(0))
def __init__(self, tub: Tub, tap: Tap):
self.tub = tub
self.tap = tap
super().__init__(source_token=self.tub.skr(),
target_token=self.tub.sai(),
rate=Ray(tap.bid(Wad.from_number(1))),
max_source_amount=self.boomable_amount_in_skr(tap),
method="tub.boom()")
def __init__(self, tub: Tub, tap: Tap):
self.tub = tub
self.tap = tap
super().__init__(source_token=self.tub.sai(),
target_token=self.tub.skr(),
rate=(Ray.from_number(1) /
Ray(tap.ask(Wad.from_number(1)))),
max_source_amount=self.bustable_amount_in_sai(tap),
method="tub.bust()")
def __init__(self):
web3 = Web3(HTTPProvider("http://localhost:8555"))
web3.eth.defaultAccount = web3.eth.accounts[0]
our_address = Address(web3.eth.defaultAccount)
sai = DSToken.deploy(web3, 'DAI')
sin = DSToken.deploy(web3, 'SIN')
skr = DSToken.deploy(web3, 'PETH')
gem = DSToken.deploy(web3, 'WETH')
gov = DSToken.deploy(web3, 'MKR')
pip = DSValue.deploy(web3)
pep = DSValue.deploy(web3)
pit = DSVault.deploy(web3)
vox = Vox.deploy(web3, per=Ray.from_number(1))
tub = Tub.deploy(web3,
sai=sai.address,
sin=sin.address,
skr=skr.address,
gem=gem.address,
gov=gov.address,
pip=pip.address,
pep=pep.address,
vox=vox.address,
pit=pit.address)
tap = Tap.deploy(web3, tub.address)
top = Top.deploy(web3, tub.address, tap.address)
tub._contract.functions.turn(tap.address.address).transact()
etherdelta = EtherDelta.deploy(
web3,
admin=Address('0x1111100000999998888877777666665555544444'),
fee_account=Address('0x8888877777666665555544444111110000099999'),
account_levels_addr=Address(
'0x0000000000000000000000000000000000000000'),
fee_make=Wad.from_number(0.01),
fee_take=Wad.from_number(0.02),
fee_rebate=Wad.from_number(0.03))
# set permissions
dad = DSGuard.deploy(web3)
dad.permit(DSGuard.ANY, DSGuard.ANY, DSGuard.ANY).transact()
tub.set_authority(dad.address).transact()
for auth in [sai, sin, skr, gem, gov, pit, tap, top]:
auth.set_authority(dad.address).transact()
# approve
tub.approve(directly())
tap.approve(directly())
# mint some GEMs
gem.mint(Wad.from_number(1000000)).transact()
self.snapshot_id = web3.manager.request_blocking("evm_snapshot", [])
self.web3 = web3
self.our_address = our_address
self.sai = sai
self.sin = sin
self.skr = skr
self.gem = gem
self.gov = gov
self.vox = vox
self.tub = tub
self.tap = tap
self.top = top
self.etherdelta = etherdelta
def __init__(self):
web3 = Web3(EthereumTesterProvider())
web3.eth.defaultAccount = web3.eth.accounts[0]
our_address = Address(web3.eth.defaultAccount)
sai = DSToken.deploy(web3, 'DAI')
sin = DSToken.deploy(web3, 'SIN')
skr = DSToken.deploy(web3, 'PETH')
gem = DSToken.deploy(web3, 'WETH')
gov = DSToken.deploy(web3, 'MKR')
pip = DSValue.deploy(web3)
pep = DSValue.deploy(web3)
pit = DSVault.deploy(web3)
vox = Vox.deploy(web3, per=Ray.from_number(1))
tub = Tub.deploy(web3, sai=sai.address, sin=sin.address, skr=skr.address, gem=gem.address, gov=gov.address,
pip=pip.address, pep=pep.address, vox=vox.address, pit=pit.address)
tap = Tap.deploy(web3, tub.address)
top = Top.deploy(web3, tub.address, tap.address)
tub._contract.transact().turn(tap.address.address)
otc = MatchingMarket.deploy(web3, 2600000000)
etherdelta = EtherDelta.deploy(web3,
admin=Address('0x1111100000999998888877777666665555544444'),
fee_account=Address('0x8888877777666665555544444111110000099999'),
account_levels_addr=Address('0x0000000000000000000000000000000000000000'),
fee_make=Wad.from_number(0.01),
fee_take=Wad.from_number(0.02),
fee_rebate=Wad.from_number(0.03))
# set permissions
dad = DSGuard.deploy(web3)
dad.permit(DSGuard.ANY, DSGuard.ANY, DSGuard.ANY).transact()
tub.set_authority(dad.address).transact()
for auth in [sai, sin, skr, gem, gov, pit, tap, top]:
auth.set_authority(dad.address).transact()
# whitelist pairs
otc.add_token_pair_whitelist(sai.address, gem.address).transact()
# approve
tub.approve(directly())
tap.approve(directly())
# mint some GEMs
gem.mint(Wad.from_number(1000000)).transact()
web3.providers[0].rpc_methods.evm_snapshot()
self.web3 = web3
self.our_address = our_address
self.sai = sai
self.sin = sin
self.skr = skr
self.gem = gem
self.gov = gov
self.vox = vox
self.tub = tub
self.tap = tap
self.top = top
self.otc = otc
self.etherdelta = etherdelta
def test_fail_when_no_contract_under_that_address(self, deployment: Deployment):
# expect
with pytest.raises(Exception):
Tap(web3=deployment.web3, address=Address('0xdeadadd1e5500000000000000000000000000000'))
def __init__(self, args, **kwargs):
parser = argparse.ArgumentParser("arbitrage-keeper")
parser.add_argument("--rpc-host",
type=str,
default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port",
type=int,
default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout",
type=int,
default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument(
"--eth-from",
type=str,
required=True,
help="Ethereum account from which to send transactions")
parser.add_argument(
"--eth-key",
type=str,
nargs='*',
help=
"Ethereum private key(s) to use (e.g. 'key_file=aaa.json,pass_file=aaa.pass')"
)
parser.add_argument("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--tap-address",
type=str,
required=True,
help="Ethereum address of the Tap contract")
parser.add_argument(
"--exchange-address",
type=str,
help="Ethereum address of the 0x Exchange contract")
parser.add_argument("--oasis-address",
type=str,
required=True,
help="Ethereum address of the OasisDEX contract")
parser.add_argument(
"--oasis-support-address",
type=str,
required=False,
help="Ethereum address of the OasisDEX support contract")
parser.add_argument("--relayer-api-server",
type=str,
help="Address of the 0x Relayer API")
parser.add_argument(
"--relayer-per-page",
type=int,
default=100,
help=
"Number of orders to fetch per one page from the 0x Relayer API (default: 100)"
)
parser.add_argument(
"--tx-manager",
type=str,
help=
"Ethereum address of the TxManager contract to use for multi-step arbitrage"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price in Wei (default: node default)")
parser.add_argument(
"--base-token",
type=str,
required=True,
help="The token all arbitrage sequences will start and end with")
parser.add_argument(
"--min-profit",
type=float,
required=True,
help="Minimum profit (in base token) from one arbitrage operation")
parser.add_argument(
"--max-engagement",
type=float,
required=True,
help="Maximum engagement (in base token) in one arbitrage operation"
)
parser.add_argument(
"--max-errors",
type=int,
default=100,
help=
"Maximum number of allowed errors before the keeper terminates (default: 100)"
)
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(
HTTPProvider(
endpoint_uri=
f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
self.web3.eth.defaultAccount = self.arguments.eth_from
register_keys(self.web3, self.arguments.eth_key)
self.our_address = Address(self.arguments.eth_from)
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.tap = Tap(web3=self.web3,
address=Address(self.arguments.tap_address))
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.skr = ERC20Token(web3=self.web3, address=self.tub.skr())
self.zrx_exchange = ZrxExchange(web3=self.web3, address=Address(self.arguments.exchange_address)) \
if self.arguments.exchange_address is not None else None
self.zrx_relayer_api = ZrxRelayerApi(exchange=self.zrx_exchange, api_server=self.arguments.relayer_api_server) \
if self.arguments.relayer_api_server is not None else None
self.otc = MatchingMarket(
web3=self.web3,
address=Address(self.arguments.oasis_address),
support_address=Address(self.arguments.oasis_support_address)
if self.arguments.oasis_support_address is not None else None)
self.base_token = ERC20Token(web3=self.web3,
address=Address(
self.arguments.base_token))
self.min_profit = Wad.from_number(self.arguments.min_profit)
self.max_engagement = Wad.from_number(self.arguments.max_engagement)
self.max_errors = self.arguments.max_errors
self.errors = 0
if self.arguments.tx_manager:
self.tx_manager = TxManager(web3=self.web3,
address=Address(
self.arguments.tx_manager))
if self.tx_manager.owner() != self.our_address:
raise Exception(
f"The TxManager has to be owned by the address the keeper is operating from."
)
else:
self.tx_manager = None
logging.basicConfig(
format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))
class ArbitrageKeeper:
"""Keeper to arbitrage on OasisDEX, `join`, `exit`, `boom` and `bust`."""
logger = logging.getLogger('arbitrage-keeper')
def __init__(self, args, **kwargs):
parser = argparse.ArgumentParser("arbitrage-keeper")
parser.add_argument("--rpc-host",
type=str,
default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port",
type=int,
default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout",
type=int,
default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument(
"--eth-from",
type=str,
required=True,
help="Ethereum account from which to send transactions")
parser.add_argument(
"--eth-key",
type=str,
nargs='*',
help=
"Ethereum private key(s) to use (e.g. 'key_file=aaa.json,pass_file=aaa.pass')"
)
parser.add_argument("--tub-address",
type=str,
required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--tap-address",
type=str,
required=True,
help="Ethereum address of the Tap contract")
parser.add_argument(
"--exchange-address",
type=str,
help="Ethereum address of the 0x Exchange contract")
parser.add_argument("--oasis-address",
type=str,
required=True,
help="Ethereum address of the OasisDEX contract")
parser.add_argument(
"--oasis-support-address",
type=str,
required=False,
help="Ethereum address of the OasisDEX support contract")
parser.add_argument("--relayer-api-server",
type=str,
help="Address of the 0x Relayer API")
parser.add_argument(
"--relayer-per-page",
type=int,
default=100,
help=
"Number of orders to fetch per one page from the 0x Relayer API (default: 100)"
)
parser.add_argument(
"--tx-manager",
type=str,
help=
"Ethereum address of the TxManager contract to use for multi-step arbitrage"
)
parser.add_argument("--gas-price",
type=int,
default=0,
help="Gas price in Wei (default: node default)")
parser.add_argument(
"--base-token",
type=str,
required=True,
help="The token all arbitrage sequences will start and end with")
parser.add_argument(
"--min-profit",
type=float,
required=True,
help="Minimum profit (in base token) from one arbitrage operation")
parser.add_argument(
"--max-engagement",
type=float,
required=True,
help="Maximum engagement (in base token) in one arbitrage operation"
)
parser.add_argument(
"--max-errors",
type=int,
default=100,
help=
"Maximum number of allowed errors before the keeper terminates (default: 100)"
)
parser.add_argument("--debug",
dest='debug',
action='store_true',
help="Enable debug output")
self.arguments = parser.parse_args(args)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(
HTTPProvider(
endpoint_uri=
f"http://{self.arguments.rpc_host}:{self.arguments.rpc_port}",
request_kwargs={"timeout": self.arguments.rpc_timeout}))
self.web3.eth.defaultAccount = self.arguments.eth_from
register_keys(self.web3, self.arguments.eth_key)
self.our_address = Address(self.arguments.eth_from)
self.tub = Tub(web3=self.web3,
address=Address(self.arguments.tub_address))
self.tap = Tap(web3=self.web3,
address=Address(self.arguments.tap_address))
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.skr = ERC20Token(web3=self.web3, address=self.tub.skr())
self.zrx_exchange = ZrxExchange(web3=self.web3, address=Address(self.arguments.exchange_address)) \
if self.arguments.exchange_address is not None else None
self.zrx_relayer_api = ZrxRelayerApi(exchange=self.zrx_exchange, api_server=self.arguments.relayer_api_server) \
if self.arguments.relayer_api_server is not None else None
self.otc = MatchingMarket(
web3=self.web3,
address=Address(self.arguments.oasis_address),
support_address=Address(self.arguments.oasis_support_address)
if self.arguments.oasis_support_address is not None else None)
self.base_token = ERC20Token(web3=self.web3,
address=Address(
self.arguments.base_token))
self.min_profit = Wad.from_number(self.arguments.min_profit)
self.max_engagement = Wad.from_number(self.arguments.max_engagement)
self.max_errors = self.arguments.max_errors
self.errors = 0
if self.arguments.tx_manager:
self.tx_manager = TxManager(web3=self.web3,
address=Address(
self.arguments.tx_manager))
if self.tx_manager.owner() != self.our_address:
raise Exception(
f"The TxManager has to be owned by the address the keeper is operating from."
)
else:
self.tx_manager = None
logging.basicConfig(
format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))
def main(self):
with Lifecycle(self.web3) as lifecycle:
self.lifecycle = lifecycle
lifecycle.on_startup(self.startup)
lifecycle.on_block(self.process_block)
def startup(self):
self.approve()
def approve(self):
"""Approve all components that need to access our balances"""
approval_method = via_tx_manager(self.tx_manager, gas_price=self.gas_price()) if self.tx_manager \
else directly(gas_price=self.gas_price())
self.tub.approve(approval_method)
self.tap.approve(approval_method)
self.otc.approve([self.gem, self.sai, self.skr], approval_method)
if self.zrx_exchange:
self.zrx_exchange.approve([self.gem, self.sai], approval_method)
if self.tx_manager:
self.tx_manager.approve([self.gem, self.sai, self.skr],
directly(gas_price=self.gas_price()))
def token_name(self, address: Address) -> str:
if address == self.sai.address:
return "DAI"
elif address == self.gem.address:
return "WETH"
elif address == self.skr.address:
return "PETH"
else:
return str(address)
def tub_conversions(self) -> List[Conversion]:
return [
TubJoinConversion(self.tub),
TubExitConversion(self.tub),
TubBoomConversion(self.tub, self.tap),
TubBustConversion(self.tub, self.tap)
]
def otc_orders(self, tokens):
orders = []
for token1 in tokens:
for token2 in tokens:
if token1 != token2:
orders = orders + self.otc.get_orders(token1, token2)
return orders
def otc_conversions(self, tokens) -> List[Conversion]:
return list(
map(lambda order: OasisTakeConversion(self.otc, order),
self.otc_orders(tokens)))
def zrx_orders(self, tokens):
if self.zrx_exchange is None or self.zrx_relayer_api is None:
return []
orders = []
for token1 in tokens:
for token2 in tokens:
if token1 != token2:
orders = orders + self.zrx_relayer_api.get_orders(
token1, token2)
return list(
filter(lambda order: order.expiration <= time.time(), orders))
def zrx_conversions(self, tokens) -> List[Conversion]:
return list(
map(lambda order: ZrxFillOrderConversion(self.zrx_exchange, order),
self.zrx_orders(tokens)))
def all_conversions(self):
return self.tub_conversions() + \
self.otc_conversions([self.sai.address, self.skr.address, self.gem.address]) + \
self.zrx_conversions([self.sai.address, self.gem.address])
def process_block(self):
"""Callback called on each new block.
If too many errors, terminate the keeper to minimize potential damage."""
if self.errors >= self.max_errors:
self.lifecycle.terminate()
else:
self.execute_best_opportunity_available()
def execute_best_opportunity_available(self):
"""Find the best arbitrage opportunity present and execute it."""
opportunity = self.best_opportunity(self.profitable_opportunities())
if opportunity:
self.print_opportunity(opportunity)
self.execute_opportunity(opportunity)
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.profit(self.base_token.address) > self.min_profit,
opportunities)
opportunities = sorted(
opportunities,
key=lambda op: op.profit(self.base_token.address),
reverse=True)
return opportunities
def best_opportunity(self, opportunities: List[Sequence]):
"""Pick the best opportunity, or return None if no profitable opportunities."""
return opportunities[0] if len(opportunities) > 0 else None
def print_opportunity(self, opportunity: Sequence):
"""Print the details of the opportunity."""
self.logger.info(
f"Opportunity with id={opportunity.id()},"
f" profit={opportunity.profit(self.base_token.address)} {self.token_name(self.base_token.address)}"
)
for index, conversion in enumerate(opportunity.steps, start=1):
self.logger.info(
f"Step {index}/{len(opportunity.steps)}: {conversion.name()}"
f" (from {conversion.source_amount} {self.token_name(conversion.source_token)}"
f" to {conversion.target_amount} {self.token_name(conversion.target_token)})"
)
def execute_opportunity(self, opportunity: Sequence):
"""Execute the opportunity either in one Ethereum transaction or step-by-step.
Depending on whether `tx_manager` is available."""
if self.tx_manager:
self.execute_opportunity_in_one_transaction(opportunity)
else:
self.execute_opportunity_step_by_step(opportunity)
def execute_opportunity_step_by_step(self, opportunity: Sequence):
"""Execute the opportunity step-by-step."""
def incoming_transfer(our_address: Address):
return lambda transfer: transfer.to_address == our_address
def outgoing_transfer(our_address: Address):
return lambda transfer: transfer.from_address == our_address
all_transfers = []
for step in opportunity.steps:
receipt = step.transact().transact(gas_price=self.gas_price())
if receipt:
all_transfers += receipt.transfers
outgoing = TransferFormatter().format(
filter(outgoing_transfer(self.our_address),
receipt.transfers), self.token_name)
incoming = TransferFormatter().format(
filter(incoming_transfer(self.our_address),
receipt.transfers), self.token_name)
self.logger.info(f"Exchanged {outgoing} to {incoming}")
else:
self.errors += 1
return
self.logger.info(
f"The profit we made is {TransferFormatter().format_net(all_transfers, self.our_address, self.token_name)}"
)
def execute_opportunity_in_one_transaction(self, opportunity: Sequence):
"""Execute the opportunity in one transaction, using the `tx_manager`."""
tokens = [self.sai.address, self.skr.address, self.gem.address]
invocations = list(
map(lambda step: step.transact().invocation(), opportunity.steps))
receipt = self.tx_manager.execute(
tokens, invocations).transact(gas_price=self.gas_price())
if receipt:
self.logger.info(
f"The profit we made is {TransferFormatter().format_net(receipt.transfers, self.our_address, self.token_name)}"
)
else:
self.errors += 1
def gas_price(self):
if self.arguments.gas_price > 0:
return FixedGasPrice(self.arguments.gas_price)
else:
return DefaultGasPrice()
def boomable_amount_in_sai(self, tap: Tap):
return Wad.max(tap.joy() - tap.woe(), Wad.from_number(0))
class DAIv1(Market):
def __init__(self, web3, dai_tub = '0x448a5065aeBB8E423F0896E6c5D525C040f59af3'):
self.web3 = web3
self.tub = Tub(web3=web3, address=Address(dai_tub))
self.tap = Tap(web3=web3, address=self.tub.tap())
self.tokens = {
'MKR': ERC20Token(web3, self.tub.gov()),
'PETH': ERC20Token(web3, self.tub.skr()),
'WETH': ERC20Token(web3, self.tub.gem()),
'DAI': ERC20Token(web3, self.tub.sai()),
}
def get_cup(self, cup_id):
cup = self.tub.cups(cup_id)
return { 'id': cup.cup_id,
'lad': cup.lad.address,
'art': float(cup.art),
'ink': float(cup.ink),
'safe': self.tub.safe(cup_id)
}
def get_cups(self):
last_cup_id = self.tub.cupi()
cups = map(self.get_cup, range(1, last_cup_id+1))
not_empty_cups = filter(lambda cup: cup['lad'] != "0x0000000000000000000000000000000000000000", cups)
return list(not_empty_cups)
def get_pairs(self):
pairs = ['PETH/DAI', 'PETH/WETH']
return pairs
def get_orders(self, base, quote):
depth = {'bids': [], 'asks': []}
# PETH/DAI order book
if base == 'PETH' and quote == 'DAI':
# boom is a taker using a bid side from maker tap
# a taker convert PETH to DAI using tap.bid(1) as price
# maker side offer DAI in exchange for PETH (flap)
# DAI qty offered by is min(joy - woe, 0)
order = { 'price': float(self.tap.bid(Wad.from_number(1))),
'amount': float(min(self.tap.joy() - self.tap.woe(), Wad.from_number(0))),
'id': 'take:tap.boom()',
}
if order['amount'] > 0:
depth['bids'].append(order)
# bust is a taker using ask side from maker tap
# a taker convert DAI to PETH using tap.ask(1) as price
# maker side offer PETH from fog (flip) and PETH minted to cover woe (flop)
# PETH qty offered by maker is fog+min(woe-joy, 0)/ask
order = { 'price': float(self.tap.ask(Wad.from_number(1))),
'amount': float(self.tap.fog() + min(self.tap.woe() - self.tap.joy(), Wad.from_number(0)) / self.tap.ask(Wad.from_number(1))),
'id': 'take:tap.bust()',
}
if order['amount'] > 0:
depth['asks'].append(order)
# PETH/WETH order book
if base == 'PETH' and quote == 'WETH':
# exit is a taker using a bid side from maker tub
# a taker PETH to WETH using tub.bid(1) as price
# maker side offer WETH in exchange for PETH
# WETH qty offered by maker is infinity (2**32 as a large number for infinity ...)
order = { 'price': float(self.tub.bid(Wad.from_number(1))),
'amount': float(2**32),
'id': 'take:tub.exit()',
}
depth['bids'].append(order)
# join is a taker using ask side from maker tub
# a taker convert WETH to PETH usgin tub.ask(1) as price
# maker side offer PETH in exchange for WETH
# PETH qty offered by maker is infinity (2**32 as a large number for infinity ...)
order = { 'price': float(self.tub.ask(Wad.from_number(1))),
'amount': float(2**32),
'id': 'take:tub.join()',
}
depth['asks'].append(order)
return depth
def get_accounts(self, manager_url):
accounts = {}
for addr in requests.get(manager_url).json():
accounts[addr] = {
'balance' : self.web3.eth.getBalance(addr),
}
accounts[addr]['tokens'] = {}
for name, token in self.tokens.items():
balance = token.balance_of(Address(addr))
allowance = token.allowance_of(Address(addr), self.tub.address)
#TODO check tap allowance ...
if float(allowance) or float(balance):
accounts[addr]['tokens'][name] = {
'allowance': float(allowance),
'balance': float(balance),
}
return accounts
def __init__(self, args, **kwargs):
parser = argparse.ArgumentParser("arbitrage-keeper")
parser.add_argument("--rpc-host", type=str, default="localhost",
help="JSON-RPC host (default: `localhost')")
parser.add_argument("--rpc-port", type=int, default=8545,
help="JSON-RPC port (default: `8545')")
parser.add_argument("--rpc-timeout", type=int, default=10,
help="JSON-RPC timeout (in seconds, default: 10)")
parser.add_argument("--eth-from", type=str, required=True,
help="Ethereum account from which to send transactions")
parser.add_argument("--tub-address", type=str, required=True,
help="Ethereum address of the Tub contract")
parser.add_argument("--tap-address", type=str, required=True,
help="Ethereum address of the Tap contract")
parser.add_argument("--oasis-address", type=str, required=True,
help="Ethereum address of the OasisDEX contract")
parser.add_argument("--tx-manager", type=str,
help="Ethereum address of the TxManager contract to use for multi-step arbitrage")
parser.add_argument("--gas-price", type=int, default=0,
help="Gas price in Wei (default: node default)")
parser.add_argument("--base-token", type=str, required=True,
help="The token all arbitrage sequences will start and end with")
parser.add_argument("--min-profit", type=float, required=True,
help="Minimum profit (in base token) from one arbitrage operation")
parser.add_argument("--max-engagement", type=float, required=True,
help="Maximum engagement (in base token) in one arbitrage operation")
parser.add_argument("--max-errors", type=int, default=100,
help="Maximum number of allowed errors before the keeper terminates (default: 100)")
parser.add_argument("--debug", dest='debug', action='store_true',
help="Enable debug output")
parser.add_argument("--ipcpath", type=str, required=True,
help="Local IPC Path")
parser.add_argument("--eth-from-password", type=str, required=True,
help="Eth account password")
self.arguments = parser.parse_args(args)
self.web3 = kwargs['web3'] if 'web3' in kwargs else Web3(IPCProvider(ipc_path=self.arguments.ipcpath))
self.web3.eth.defaultAccount = self.arguments.eth_from
if !self.web3.personal.unlockAccount(self.web3.eth.defaultAccount, self.arguments.eth_from_password):
raise Exception(f"Incorrect account password")
self.our_address = Address(self.arguments.eth_from)
self.otc = MatchingMarket(web3=self.web3, address=Address(self.arguments.oasis_address))
self.tub = Tub(web3=self.web3, address=Address(self.arguments.tub_address))
self.tap = Tap(web3=self.web3, address=Address(self.arguments.tap_address))
self.gem = ERC20Token(web3=self.web3, address=self.tub.gem())
self.sai = ERC20Token(web3=self.web3, address=self.tub.sai())
self.skr = ERC20Token(web3=self.web3, address=self.tub.skr())
self.base_token = ERC20Token(web3=self.web3, address=Address(self.arguments.base_token))
self.min_profit = Wad.from_number(self.arguments.min_profit)
self.max_engagement = Wad.from_number(self.arguments.max_engagement)
self.max_errors = self.arguments.max_errors
self.errors = 0
if self.arguments.tx_manager:
self.tx_manager = TxManager(web3=self.web3, address=Address(self.arguments.tx_manager))
if self.tx_manager.owner() != self.our_address:
raise Exception(f"The TxManager has to be owned by the address the keeper is operating from.")
else:
self.tx_manager = None
logging.basicConfig(format='%(asctime)-15s %(levelname)-8s %(message)s',
level=(logging.DEBUG if self.arguments.debug else logging.INFO))