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_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_divide(self):
assert Ray.from_number(4) / Ray.from_number(2) == Ray.from_number(2)
assert Ray(4) / Ray.from_number(2) == Ray(2)
assert Ray(3) / Ray.from_number(2) == Ray(1)
assert Ray(39) / Ray.from_number(20) == Ray(1)
assert Ray(40) / Ray.from_number(20) == Ray(2)
assert Ray.from_number(0.2) / Ray.from_number(0.1) == Ray.from_number(2)
def __init__(self):
super().__init__()
self.liquidation_ratio = self.tub.mat()
self.minimum_ratio = self.liquidation_ratio + Ray.from_number(
self.arguments.min_margin)
self.target_ratio = self.liquidation_ratio + Ray.from_number(
self.arguments.top_up_margin)
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_coax_and_way(self, sai: SaiDeployment):
# given
assert sai.tub.way() == Ray.from_number(1)
# when
sai.tub.coax(Ray.from_number(1.00000000000000007))
# then
assert sai.tub.way() == Ray.from_number(1.00000000000000007)
def test_cuff_and_mat(self, sai: SaiDeployment):
# given
assert sai.tub.mat() == Ray.from_number(1)
# when
sai.tub.cuff(Ray.from_number(1.5))
# then
assert sai.tub.mat() == Ray.from_number(1.5)
def test_crop_and_tax(self, sai: SaiDeployment):
# given
assert sai.tub.tax() == Ray.from_number(1)
# when
sai.tub.crop(Ray.from_number(1.00000000000000002))
# then
assert sai.tub.tax() == Ray.from_number(1.00000000000000002)
def test_safe(self, sai: SaiDeployment):
# given
sai.tub.cuff(Ray.from_number(1.5))
sai.tub.chop(Ray.from_number(1.2))
# when
sai.tub.open()
# then
assert sai.tub.safe(1)
def test_chop_and_axe(self, sai: SaiDeployment):
# given
assert sai.tub.axe() == Ray.from_number(1)
sai.tub.cuff(Ray.from_number(1.5))
# when
sai.tub.chop(Ray.from_number(1.2))
# then
assert sai.tub.axe() == Ray.from_number(1.2)
def test_should_calculate_total_rate(self, token1, token2):
# given
step1 = Conversion(token1, token2, Ray.from_number(1.01),
Wad.from_number(1000), 'met1')
step2 = Conversion(token2, token1, Ray.from_number(1.02),
Wad.from_number(1000), 'met2')
# when
sequence = Sequence([step1, step2])
# then
assert sequence.total_rate() == Ray.from_number(1.0302)
def __init__(self, tub: Tub):
self.tub = tub
super().__init__(source_token=self.tub.gem(),
target_token=self.tub.skr(),
rate=(Ray.from_number(1) / tub.jar_ask()),
max_source_amount=Wad.from_number(1000000), #1 mio ETH = infinity ;)
method="tub.join()")
def total_rate(self) -> Ray:
"""Calculates the multiplication of all conversion rates forming this sequence.
A `total_rate` > 1.0 is a general indication that executing this sequence may be profitable.
"""
return reduce(operator.mul, map(lambda step: step.rate, self.steps),
Ray.from_number(1.0))
def test_multiply_by_ray(self):
assert Wad.from_number(2) * Ray.from_number(3) == Wad.from_number(6)
assert Wad.from_number(2) * Ray(3) == Wad(0)
assert Wad(2) * Ray(499999999999999999999999999) == Wad(0)
assert Wad(2) * Ray(500000000000000000000000000) == Wad(1)
assert Wad(2) * Ray(999999999999999999999999999) == Wad(1)
assert Wad(2) * Ray(1000000000000000000000000000) == Wad(2)
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 __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())),
max_source_amount=self.bustable_amount_in_sai(tap),
method="tub.bust()")
def test_nicely_convert_to_string_without_amounts(token1, token2):
# given
conversion = Conversion(token1, token2, Ray.from_number(1.01),
Wad.from_number(1000), 'met()')
# expect
assert str(
conversion
) == "[TK1 -> TK2 @1.010000000000000000000000000 by met() (max=1000.000000000000000000 TK1)]"
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_nicely_convert_to_string_with_amounts(token1, token2):
# given
conversion = Conversion(token1, token2, Ray.from_number(1.01),
Wad.from_number(1000), 'met()')
conversion.source_amount = Wad.from_number(50)
conversion.target_amount = Wad.from_number(50.5)
# expect
assert str(conversion) == "[50.000000000000000000 TK1 -> 50.500000000000000000 TK2 @1.010000000000000000000000000" \
" by met() (max=1000.000000000000000000 TK1)]"
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"
def test_should_calculate_profit_and_net_profit(self, token1, token2):
# given
step1 = Conversion(token1, token2, Ray.from_number(1.01),
Wad.from_number(1000), 'met1')
step1.source_amount = Wad.from_number(100)
step1.target_amount = Wad.from_number(101)
step2 = Conversion(token2, token1, Ray.from_number(1.02),
Wad.from_number(1000), 'met2')
step2.source_amount = Wad.from_number(101)
step2.target_amount = Wad.from_number(103.02)
# when
sequence = Sequence([step1, step2])
# then
assert sequence.profit(token1) == Wad.from_number(3.02)
assert sequence.profit(token2) == Wad.from_number(0)
assert sequence.net_profit(
token1) == sequence.profit(token1) - sequence.tx_costs()
assert sequence.net_profit(
token2) == sequence.profit(token2) - sequence.tx_costs()
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_multiply_by_int(self):
assert Ray.from_number(2) * 3 == Ray.from_number(6)
assert Ray.from_number(2) * 1 == Ray.from_number(2)
def test_multiply(self):
assert Ray.from_number(2) * Ray.from_number(3) == Ray.from_number(6)
assert Ray.from_number(2) * Ray(3) == Ray(6)
assert Ray.from_number(2.5) * Ray(3) == Ray(7)
assert Ray.from_number(2.99999) * Ray(3) == Ray(8)
def test_per(self, sai: SaiDeployment):
assert sai.tub.per() == Ray.from_number(1.0)
def test_multiply_by_wad(self):
assert Ray.from_number(2) * Wad.from_number(3) == Ray.from_number(6)
assert Ray.from_number(2) * Wad(3) == Ray(6000000000)
assert Ray(2) * Wad(3) == Ray(0)
assert Ray(2) * Wad(999999999999999999) == Ray(1)
assert Ray(2) * Wad(1000000000000000000) == Ray(2)
def test_should_have_nice_printable_representation(self):
for ray in [Ray(1), Ray(100), Ray.from_number(2.5), Ray(-1)]:
assert repr(ray) == f"Ray({ray.value})"