Merge pull request #17 from bancorprotocol/main_skl_flbot

Merging DEVSKL from the old repo into the new repo
bancorprotocol · Jul 26, 2023 · 5ed5a1f · 5ed5a1f
2 parents 031ab40 + 2ab4fef
commit 5ed5a1f
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Showing 130 changed files with 39,833 additions and 9,296 deletions.
diff --git a/fastlane_bot/helpers/univ3calc.py b/fastlane_bot/helpers/univ3calc.py
@@ -7,8 +7,8 @@
 NOTE: this class is not part of the API of the Carbon protocol, and you must expect breaking
 changes even in minor version updates. Use at your own risk.
 """
-__VERSION__ = "1.4" 
-__DATE__ = "07/May/2023"
+__VERSION__ = "1.4.1" 
+__DATE__ = "25/Jul/2023"
 
 from math import sqrt
 from dataclasses import dataclass, InitVar, asdict
@@ -39,12 +39,12 @@ class Univ3Calculator():
     tkn0decv: InitVar[int] = None
     tkn1decv: InitVar[int] = None
     addrdec: InitVar[dict] = None
-    ADDRDEC = dict(
+    ADDRDEC = {
         # only for testing
-        USDC = ("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48", 6),
-        WETH = ("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2", 18),
-    )
-
+        "USDC-eB48": ("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48", 6),
+        "WETH-6Cc2": ("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2", 18),
+    }
+    
     @classmethod
     def from_dict(cls, d, fee_const, *, addrdec=None, tkn0decv=None, tkn1decv=None):
         """

diff --git a/fastlane_bot/modes/pairwise_multi.py b/fastlane_bot/modes/pairwise_multi.py
@@ -11,7 +11,7 @@
 
 from fastlane_bot.modes.base_pairwise import ArbitrageFinderPairwiseBase
 from fastlane_bot.tools.cpc import CPCContainer
-from fastlane_bot.tools.optimizer import CPCArbOptimizer
+from fastlane_bot.tools.optimizer import MargPOptimizer
 
 
 class FindArbitrageMultiPairwise(ArbitrageFinderPairwiseBase):
@@ -162,7 +162,7 @@ def run_main_flow(
         Run main flow to find arbitrage.
         """
         CC_cc = CPCContainer(curves)
-        O = CPCArbOptimizer(CC_cc)
+        O = MargPOptimizer(CC_cc)
         pstart = {
             tkn0: CC_cc.bypairs(f"{tkn0}/{tkn1}")[0].p
         }  # this intentionally selects the non_carbon curve

diff --git a/fastlane_bot/modes/pairwise_single.py b/fastlane_bot/modes/pairwise_single.py
@@ -11,7 +11,7 @@
 
 from fastlane_bot.modes.base_pairwise import ArbitrageFinderPairwiseBase
 from fastlane_bot.tools.cpc import CPCContainer
-from fastlane_bot.tools.optimizer import CPCArbOptimizer
+from fastlane_bot.tools.optimizer import MargPOptimizer
 
 
 class FindArbitrageSinglePairwise(ArbitrageFinderPairwiseBase):
@@ -58,7 +58,7 @@ def find_arbitrage(self, candidates: List[Any] = None, ops: Tuple = None, best_p
 
             for curve_combo in curve_combos:
                 CC_cc = CPCContainer(curve_combo)
-                O = CPCArbOptimizer(CC_cc)
+                O = MargPOptimizer(CC_cc)
                 src_token = tkn1
                 try:
                     pstart = {tkn0: CC_cc.bypairs(f"{tkn0}/{tkn1}")[0].p}
@@ -68,6 +68,7 @@ def find_arbitrage(self, candidates: List[Any] = None, ops: Tuple = None, best_p
                     trade_instructions_dic = r.trade_instructions(O.TIF_DICTS)
                     trade_instructions = r.trade_instructions()
                 except Exception as e:
+                    print("[FindArbitrageSinglePairwise] Exception: ", e)
                     continue
 
                 # Get the candidate ids

diff --git a/fastlane_bot/modes/triangle_bancor_v3_two_hop.py b/fastlane_bot/modes/triangle_bancor_v3_two_hop.py
@@ -10,7 +10,7 @@
 
 from fastlane_bot.modes.base_triangle import ArbitrageFinderTriangleBase
 from fastlane_bot.tools.cpc import CPCContainer, T, ConstantProductCurve
-from fastlane_bot.tools.optimizer import CPCArbOptimizer
+from fastlane_bot.tools.optimizer import MargPOptimizer
 
 
 class ArbitrageFinderTriangleBancor3TwoHop(ArbitrageFinderTriangleBase):
@@ -292,7 +292,7 @@ def run_main_flow(
 
         # Instantiate the container and optimizer objects
         CC_cc = CPCContainer(miniverse)
-        O = CPCArbOptimizer(CC_cc)
+        O = MargPOptimizer(CC_cc)
 
         # Perform the optimization
         r = O.margp_optimizer(src_token)

diff --git a/fastlane_bot/modes/triangle_multi.py b/fastlane_bot/modes/triangle_multi.py
@@ -9,7 +9,7 @@
 
 from fastlane_bot.modes.base_triangle import ArbitrageFinderTriangleBase
 from fastlane_bot.tools.cpc import CPCContainer
-from fastlane_bot.tools.optimizer import CPCArbOptimizer
+from fastlane_bot.tools.optimizer import MargPOptimizer
 
 
 class ArbitrageFinderTriangleMulti(ArbitrageFinderTriangleBase):
@@ -38,7 +38,7 @@ def find_arbitrage(self, candidates: List[Any] = None, ops: Tuple = None, best_p
 
             r = None
             CC_cc = CPCContainer(miniverse)
-            O = CPCArbOptimizer(CC_cc)
+            O = MargPOptimizer(CC_cc)
             try:
                 r = O.margp_optimizer(src_token)
                 trade_instructions_df = r.trade_instructions(O.TIF_DFAGGR)
@@ -80,7 +80,7 @@ def find_arbitrage(self, candidates: List[Any] = None, ops: Tuple = None, best_p
 
                     # Rerun main flow with the new set of curves
                     CC_cc = CPCContainer(new_curves)
-                    O = CPCArbOptimizer(CC_cc)
+                    O = MargPOptimizer(CC_cc)
                     r = O.margp_optimizer(src_token)
                     profit_src = -r.result
                     trade_instructions_df = r.trade_instructions(O.TIF_DFAGGR)

diff --git a/fastlane_bot/modes/triangle_single.py b/fastlane_bot/modes/triangle_single.py
@@ -9,7 +9,7 @@
 
 from fastlane_bot.modes.base_triangle import ArbitrageFinderTriangleBase
 from fastlane_bot.tools.cpc import CPCContainer
-from fastlane_bot.tools.optimizer import CPCArbOptimizer
+from fastlane_bot.tools.optimizer import MargPOptimizer
 
 
 class ArbitrageFinderTriangleSingle(ArbitrageFinderTriangleBase):
@@ -38,7 +38,7 @@ def find_arbitrage(self, candidates: List[Any] = None, ops: Tuple = None, best_p
 
             # Instantiate the container and optimizer objects
             CC_cc = CPCContainer(miniverse)
-            O = CPCArbOptimizer(CC_cc)
+            O = MargPOptimizer(CC_cc)
 
             try:
                 # Perform the optimization

diff --git a/fastlane_bot/modes/triangle_single_bancor3.py b/fastlane_bot/modes/triangle_single_bancor3.py
@@ -10,7 +10,7 @@
 
 from fastlane_bot.modes.base_triangle import ArbitrageFinderTriangleBase
 from fastlane_bot.tools.cpc import CPCContainer, T, ConstantProductCurve
-from fastlane_bot.tools.optimizer import CPCArbOptimizer
+from fastlane_bot.tools.optimizer import MargPOptimizer
 
 
 class ArbitrageFinderTriangleSingleBancor3(ArbitrageFinderTriangleBase):
@@ -295,7 +295,7 @@ def run_main_flow(
 
         # Instantiate the container and optimizer objects
         CC_cc = CPCContainer(miniverse)
-        O = CPCArbOptimizer(CC_cc)
+        O = MargPOptimizer(CC_cc)
 
         # Perform the optimization
         r = O.margp_optimizer(src_token)

diff --git a/fastlane_bot/tests/__init__.py b/fastlane_bot/tests/__init__.py
diff --git a/...ests/nbtest_data/NBTEST_002_Curves.csv.gz → ...sts/nbtest/_data/NBTEST_002_Curves.csv.gz b/...ests/nbtest_data/NBTEST_002_Curves.csv.gz → ...sts/nbtest/_data/NBTEST_002_Curves.csv.gz
diff --git a/fastlane_bot/tests/nbtest/_data/NBTest_006-augmented.csv.gz b/fastlane_bot/tests/nbtest/_data/NBTest_006-augmented.csv.gz
diff --git a/fastlane_bot/tests/nbtest/_data/NBTest_006.csv.gz b/fastlane_bot/tests/nbtest/_data/NBTest_006.csv.gz
diff --git a/fastlane_bot/tests/nbtest/_data/README.md b/fastlane_bot/tests/nbtest/_data/README.md
@@ -0,0 +1,19 @@
+# NBTest Data
+
+All data referred to by NBTest notebooks is stored in this directory. It is copied into the respective directory in the test area by the `run_tests` script. Currently the data will be accessed differently in the notebooks and in the actual tests.
+
+- **Notebooks**. In the notebooks the data can be accessed via a relative path `_data\mydata.csv`.
+
+- **Tests**. In the actual tests the data must be imported via the relative path `fastlane_bot/tests/nbtest/_data/mydata.csv`
+
+
+Example
+
+    try:
+        with open("_data/mydata.csv", "r") as f:
+            data = f.read()
+    except:
+        with open("fastlane_bot/tests/nbtest/_data/mydata.csv", "r") as f:
+            data = f.read()
+
+