def test_should_execute_arbitrage_in_one_transaction_if_tx_manager_configured(
self, deployment: Deployment):
# given
tx_manager = TxManager.deploy(deployment.web3)
# and
keeper = ArbitrageKeeper(args=args(
f"--eth-from {deployment.our_address.address}"
f" --tub-address {deployment.tub.address}"
f" --tap-address {deployment.tap.address}"
f" --oasis-address {deployment.otc.address}"
f" --base-token {deployment.sai.address}"
f" --min-profit 13.0 --max-engagement 100.0"
f" --tx-manager {tx_manager.address}"),
web3=deployment.web3)
# and
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
deployment.tub.mold_gap(Wad.from_number(1.05)).transact()
deployment.tub.join(Wad.from_number(1000)).transact()
deployment.tap.mold_gap(Wad.from_number(1.05)).transact()
# and
deployment.sai.mint(Wad.from_number(1000)).transact()
# and
deployment.otc.approve(
[deployment.gem, deployment.sai, deployment.skr], directly())
deployment.otc.add_token_pair_whitelist(
deployment.sai.address, deployment.skr.address).transact()
deployment.otc.add_token_pair_whitelist(
deployment.skr.address, deployment.gem.address).transact()
deployment.otc.add_token_pair_whitelist(
deployment.gem.address, deployment.sai.address).transact()
deployment.otc.make(deployment.skr.address,
Wad.from_number(105), deployment.sai.address,
Wad.from_number(100)).transact()
deployment.otc.make(deployment.gem.address,
Wad.from_number(110), deployment.skr.address,
Wad.from_number(105)).transact()
deployment.otc.make(deployment.sai.address,
Wad.from_number(115), deployment.gem.address,
Wad.from_number(110)).transact()
assert len(deployment.otc.get_orders()) == 3
# when
keeper.approve()
block_number_before = deployment.web3.eth.blockNumber
keeper.process_block()
block_number_after = deployment.web3.eth.blockNumber
# then
assert len(deployment.otc.get_orders()) == 0
# and
# [keeper used only one transaction, as TxManager is configured]
assert (block_number_after - block_number_before) == 1
def test_should_obey_min_profit(self, deployment: Deployment):
# given
keeper = ArbitrageKeeper(args=args(
f"--eth-from {deployment.our_address.address}"
f" --tub-address {deployment.tub.address}"
f" --tap-address {deployment.tap.address}"
f" --oasis-address {deployment.otc.address}"
f" --base-token {deployment.sai.address}"
f" --min-profit 16.0 --max-engagement 1000.0"),
web3=deployment.web3)
# and
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
deployment.tub.mold_gap(Wad.from_number(1.05)).transact()
deployment.tub.join(Wad.from_number(1000)).transact()
deployment.tap.mold_gap(Wad.from_number(1.05)).transact()
# and
deployment.sai.mint(Wad.from_number(1000)).transact()
# and
deployment.otc.approve(
[deployment.gem, deployment.sai, deployment.skr], directly())
deployment.otc.add_token_pair_whitelist(
deployment.sai.address, deployment.skr.address).transact()
deployment.otc.add_token_pair_whitelist(
deployment.skr.address, deployment.gem.address).transact()
deployment.otc.add_token_pair_whitelist(
deployment.gem.address, deployment.sai.address).transact()
deployment.otc.make(deployment.skr.address,
Wad.from_number(105), deployment.sai.address,
Wad.from_number(100)).transact()
deployment.otc.make(deployment.gem.address,
Wad.from_number(110), deployment.skr.address,
Wad.from_number(105)).transact()
deployment.otc.make(deployment.sai.address,
Wad.from_number(115), deployment.gem.address,
Wad.from_number(110)).transact()
assert len(deployment.otc.get_orders()) == 3
# when
keeper.approve()
keeper.process_block()
# then
assert len(deployment.otc.get_orders()) == 3
assert deployment.otc.get_orders()[0].buy_amount == Wad.from_number(
100)
assert deployment.otc.get_orders()[1].buy_amount == Wad.from_number(
105)
assert deployment.otc.get_orders()[2].buy_amount == Wad.from_number(
110)
def test_should_identify_arbitrage_against_oasis_and_exit(
self, deployment: Deployment):
# given
keeper = ArbitrageKeeper(args=args(
f"--eth-from {deployment.our_address.address}"
f" --tub-address {deployment.tub.address}"
f" --tap-address {deployment.tap.address}"
f" --oasis-address {deployment.otc.address}"
f" --base-token {deployment.gem.address}"
f" --min-profit 5.0 --max-engagement 100.0"),
web3=deployment.web3)
# and
# [a price is set, so the arbitrage keeper knows prices of `boom` and `bust`]
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
# and
# [we have 100 WETH]
deployment.gem.mint(Wad.from_number(100)).transact()
# and
# [somebody else placed an order on OASIS offering 110 SKR for 100 WETH]
second_address = Address(deployment.web3.eth.accounts[1])
deployment.gem.mint(Wad.from_number(110)).transact()
deployment.tub.join(Wad.from_number(110)).transact()
deployment.skr.transfer(second_address,
Wad.from_number(110)).transact()
deployment.otc.add_token_pair_whitelist(
deployment.skr.address, deployment.gem.address).transact()
deployment.otc.approve([deployment.gem, deployment.skr],
directly(from_address=second_address))
deployment.otc.make(
deployment.skr.address, Wad.from_number(110),
deployment.gem.address,
Wad.from_number(100)).transact(from_address=second_address)
assert deployment.skr.total_supply() == Wad.from_number(110)
assert len(deployment.otc.get_orders()) == 1
# when
keeper.approve()
keeper.process_block()
# then
# [the order on Oasis has been taken by the keeper]
assert len(deployment.otc.get_orders()) == 0
# and
# [the total supply of SKR has decreased, so we know the keeper did call exit('110.0')]
assert deployment.skr.total_supply() == Wad.from_number(0)
def test_should_not_do_anything_if_no_arbitrage_opportunities(
self, deployment: Deployment):
# given
keeper = ArbitrageKeeper(args=args(
f"--eth-from {deployment.our_address.address}"
f" --tub-address {deployment.tub.address}"
f" --tap-address {deployment.tap.address}"
f" --oasis-address {deployment.otc.address}"
f" --base-token {deployment.sai.address}"
f" --min-profit 1.0 --max-engagement 1000.0"),
web3=deployment.web3)
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
deployment.tap.mold_gap(Wad.from_number(1.05)).transact()
# when
keeper.approve()
keeper.process_block()
def test_should_identify_arbitrage_against_0x_and_bust(
self, deployment: Deployment):
# given
# [0x protocol is in place]
zrx_token = ERC20Token(web3=deployment.web3,
address=deploy_contract(deployment.web3,
'ZRXToken'))
token_transfer_proxy_address = deploy_contract(deployment.web3,
'TokenTransferProxy')
exchange = ZrxExchange.deploy(deployment.web3, zrx_token.address,
token_transfer_proxy_address)
deployment.web3.eth.contract(abi=json.loads(
pkg_resources.resource_string(
'pymaker.deployment', f'abi/TokenTransferProxy.abi')))(
address=token_transfer_proxy_address.address).transact(
).addAuthorizedAddress(exchange.address.address)
# and
keeper = ArbitrageKeeper(args=args(
f"--eth-from {deployment.our_address.address}"
f" --tub-address {deployment.tub.address}"
f" --tap-address {deployment.tap.address}"
f" --oasis-address {deployment.otc.address}"
f" --exchange-address {exchange.address}"
f" --relayer-api-server http://127.0.0.1:9999/sra/v0"
f" --base-token {deployment.sai.address}"
f" --min-profit 950.0 --max-engagement 14250.0"),
web3=deployment.web3)
# and
# [we generate some bad debt available for `bust`]
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
deployment.tub.mold_cap(Wad.from_number(1000000)).transact()
deployment.tub.mold_mat(Ray.from_number(2.0)).transact()
deployment.tub.mold_axe(Ray.from_number(2.0)).transact()
deployment.gem.mint(Wad.from_number(100)).transact()
deployment.tub.join(Wad.from_number(100)).transact()
deployment.tub.open().transact()
deployment.tub.lock(1, Wad.from_number(100)).transact()
deployment.tub.draw(1, Wad.from_number(25000)).transact()
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(400).value).transact()
deployment.tub.bite(1).transact()
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
assert deployment.tap.woe() == Wad.from_number(25000)
assert deployment.tap.fog() == Wad.from_number(100)
# and
# [we add a boom/bust spread to make calculations a bit more difficult]
deployment.tap.mold_gap(Wad.from_number(0.95)).transact()
assert deployment.tap.ask(Wad.from_number(1)) == Wad.from_number(475.0)
assert deployment.tap.bid(Wad.from_number(1)) == Wad.from_number(525.0)
# and
# [we have some SKR to cover rounding errors]
deployment.skr.mint(Wad.from_number(0.000000000000000001)).transact()
# and
# [we should now have 30 SKR available for 14250 SAI on `bust`]
# [now lets pretend we placed an order on 0x offering 15250 SAI for 30 GEM]
# [this will be an arbitrage opportunity which can make the bot earn 1000 SAI]
deployment.sai.mint(Wad.from_number(15250)).transact()
exchange.approve([deployment.sai, deployment.gem], directly())
zrx_order = exchange.sign_order(
exchange.create_order(pay_token=deployment.sai.address,
pay_amount=Wad.from_number(15250),
buy_token=deployment.gem.address,
buy_amount=Wad.from_number(30),
expiration=int(time.time() + 3600)))
keeper.zrx_orders = lambda tokens: [zrx_order]
# when
keeper.approve()
keeper.process_block()
# then
# [the 0x order has been taken by the keeper]
assert exchange.get_unavailable_buy_amount(
zrx_order) == Wad.from_number(30)
# and
# [the amount of bad debt has decreased, so we know the keeper did call bust('14250.0')]
# [the inequality below is to cater for rounding errors]
assert deployment.tap.woe() < Wad.from_number(10800.0)
def test_should_identify_arbitrage_against_oasis_and_bust(
self, deployment: Deployment):
# given
keeper = ArbitrageKeeper(args=args(
f"--eth-from {deployment.our_address.address}"
f" --tub-address {deployment.tub.address}"
f" --tap-address {deployment.tap.address}"
f" --oasis-address {deployment.otc.address}"
f" --base-token {deployment.sai.address}"
f" --min-profit 950.0 --max-engagement 14250.0"),
web3=deployment.web3)
# and
# [we generate some bad debt available for `bust`]
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
deployment.tub.mold_cap(Wad.from_number(1000000)).transact()
deployment.tub.mold_mat(Ray.from_number(2.0)).transact()
deployment.tub.mold_axe(Ray.from_number(2.0)).transact()
deployment.gem.mint(Wad.from_number(100)).transact()
deployment.tub.join(Wad.from_number(100)).transact()
deployment.tub.open().transact()
deployment.tub.lock(1, Wad.from_number(100)).transact()
deployment.tub.draw(1, Wad.from_number(25000)).transact()
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(400).value).transact()
deployment.tub.bite(1).transact()
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
assert deployment.tap.woe() == Wad.from_number(25000)
assert deployment.tap.fog() == Wad.from_number(100)
# and
# [we add a boom/bust spread to make calculations a bit more difficult]
deployment.tap.mold_gap(Wad.from_number(0.95)).transact()
assert deployment.tap.ask(Wad.from_number(1)) == Wad.from_number(475.0)
assert deployment.tap.bid(Wad.from_number(1)) == Wad.from_number(525.0)
# and
# [we have some SKR to cover rounding errors]
deployment.skr.mint(Wad.from_number(0.000000000000000001)).transact()
# and
# [we should now have 30 SKR available for 14250 SAI on `bust`]
# [now lets pretend somebody else placed an order on OASIS offering 15250 SAI for 30 GEM]
# [this will be an arbitrage opportunity which can make the bot earn 1000 SAI]
second_address = Address(deployment.web3.eth.accounts[1])
deployment.sai.mint(Wad.from_number(15250)).transact()
deployment.sai.transfer(second_address,
Wad.from_number(15250)).transact()
deployment.otc.approve([deployment.sai, deployment.gem],
directly(from_address=second_address))
deployment.otc.make(
deployment.sai.address, Wad.from_number(15250),
deployment.gem.address,
Wad.from_number(30)).transact(from_address=second_address)
assert len(deployment.otc.get_orders()) == 1
# when
keeper.approve()
keeper.process_block()
# then
# [the order on Oasis has been taken by the keeper]
assert len(deployment.otc.get_orders()) == 0
# and
# [the amount of bad debt has decreased, so we know the keeper did call bust('14250.0')]
# [the inequality below is to cater for rounding errors]
assert deployment.tap.woe() < Wad.from_number(10800.0)
def test_should_identify_arbitrage_against_oasis_and_boom(
self, deployment: Deployment):
# given
keeper = ArbitrageKeeper(args=args(
f"--eth-from {deployment.our_address.address}"
f" --tub-address {deployment.tub.address}"
f" --tap-address {deployment.tap.address}"
f" --oasis-address {deployment.otc.address}"
f" --base-token {deployment.sai.address}"
f" --min-profit 100.0 --max-engagement 500000.0"),
web3=deployment.web3)
# and
# [we generate some Dai surplus available for `boom`]
DSValue(web3=deployment.web3,
address=deployment.tub.pip()).poke_with_int(
Wad.from_number(500).value).transact()
deployment.tub.mold_cap(Wad.from_number(10000000000)).transact()
deployment.tub.mold_mat(Ray.from_number(1.5)).transact()
deployment.tub.mold_axe(Ray.from_number(1.2)).transact()
deployment.tub.mold_tax(Ray.from_number(1.0000000001)).transact()
deployment.gem.mint(Wad.from_number(1000000)).transact()
deployment.tub.join(Wad.from_number(1000000)).transact()
deployment.tub.open().transact()
deployment.tub.lock(1, Wad.from_number(1000000)).transact()
deployment.tub.draw(1, Wad.from_number(250000000)).transact()
time_travel_by(deployment.web3, 60 * 60 * 24 * 180)
deployment.tub.wipe(1, Wad.from_number(250000000)).transact()
print(deployment.tap.joy())
assert Wad.from_number(
389102) < deployment.tap.joy() < Wad.from_number(389103)
# and
# [we add a boom/bust spread to make calculations a bit more difficult]
deployment.tap.mold_gap(Wad.from_number(0.95)).transact()
assert deployment.tap.ask(Wad.from_number(1)) == Wad.from_number(475.0)
assert deployment.tap.bid(Wad.from_number(1)) == Wad.from_number(525.0)
# and
# [we have lots of SAI to invest]
deployment.sai.mint(Wad.from_number(5000000.00)).transact()
# [we have some SKR to cover rounding errors]
deployment.skr.mint(Wad.from_number(0.000000000000000001)).transact()
# and
# [we should now have 389102.xx SAI available for 741.14 SKR on `boom`]
# [now lets pretend somebody else placed an order on OASIS offering 1000 GEM for 500000 SAI]
second_address = Address(deployment.web3.eth.accounts[1])
deployment.gem.mint(Wad.from_number(1000)).transact()
deployment.gem.transfer(second_address,
Wad.from_number(1000)).transact()
deployment.otc.approve([deployment.sai, deployment.gem],
directly(from_address=second_address))
deployment.otc.make(
deployment.gem.address,
Wad.from_number(1000), deployment.sai.address,
Wad.from_number(500000)).transact(from_address=second_address)
assert len(deployment.otc.get_orders()) == 1
# when
keeper.approve()
keeper.process_block()
# and
# [the amount of surplus is almost zero, so we know the keeper did call boom()]
# [the inequality below is to cater for rounding errors]
assert deployment.tap.joy() < Wad.from_number(0.1)