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feat: improved estimate_price_impact helper function; added factory contract for V3#202

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ErikBjare merged 4 commits intouniswap-python:masterfrom
liquid-8:dev
Nov 29, 2021
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feat: improved estimate_price_impact helper function; added factory contract for V3#202
ErikBjare merged 4 commits intouniswap-python:masterfrom
liquid-8:dev

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@liquid-8 liquid-8 commented Nov 13, 2021 •
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Test code (12 ETH to VXV):

address = None
private_key = None
version = 3
provider = "http://127.0.0.1:8545"
uniswap = Uniswap(address=address, private_key=private_key, version=version, provider=provider)

impact = uniswap.estimate_price_impact("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2","0x7D29A64504629172a429e64183D6673b9dAcbFCe", 1*10**18, 500)
print("12 ETH to VXV @ V3 (0.05pct fee pool): " + str(impact))
impact = uniswap.estimate_price_impact("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2","0x7D29A64504629172a429e64183D6673b9dAcbFCe", 12*10**18, 3000)
print("12 ETH to VXV @ V3 (0.3pct fee pool): " + str(impact))
impact = uniswap.estimate_price_impact("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2","0x7D29A64504629172a429e64183D6673b9dAcbFCe", 12*10**18, 10000)
print("12 ETH to VXV @ V3 (1pct fee pool): " + str(impact))

uniswap2 = Uniswap(address=address, private_key=private_key, version=2, provider=provider)
impact = uniswap2.estimate_price_impact("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2","0x7D29A64504629172a429e64183D6673b9dAcbFCe", 12*10**18)
print("12 ETH to VXV @ V2: " + str(impact))

Output:

12 ETH to VXV @ V3 (0.05pct fee pool): 1
12 ETH to VXV @ V3 (0.3pct fee pool): 1
12 ETH to VXV @ V3 (1pct fee pool): 0.03539237568834554
12 ETH to VXV @ V2: 0.9994777989075329

It is easy to see that there is the only a proper pool (UniV3 1% fee). Impact equal to 1 basically means that pool doesn't exist or has exact 0 liquidity. Also, this method works for direct pools only as it is not trivial to trace all pools' liquidity in the case of multihop.

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liquid-8 commented Nov 15, 2021

@ErikBjare ^^

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ErikBjare requested changes Nov 17, 2021
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Very nice! Just a couple things to fix

uniswap/uniswap.py Outdated
den0 = self.get_token(token_out).decimals
den1 = self.get_token(token_in).decimals
sqrtPriceX96 = pool_contract.functions.slot0().call()[0]
raw_price = (sqrtPriceX96*sqrtPriceX96*10**den1>>(96*2))/(10**den0)
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Wow, awesome work figuring this out! (I've been meaning to...)

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@liquid-8 liquid-8 Nov 17, 2021 •
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It's a kind of magic. Long story short
https://ethereum.stackexchange.com/questions/98685/computing-the-uniswap-v3-pair-price-from-q64-96-number
But I have to notice that mentioned snippet works correctly only if both tokens have decimals == 18 that is wrong in the general case. It needs to determine actual values. Also, if we need this price for ETH-USDC pair but pool.token0==USDC and pool.token1==ETH then we need to use denominators in reverse order. That's why it requires this ugly if-else just before the calculation.
Also, the final impact value differs a bit from uniswap's one. Delta is ~0.0x% I suppose they apply the taker's fee somewhere. I don't need absolute precision in my tasks (and I really doubt someone needs it in this particular case) so I've just omitted that fact in my own realization.
Regarding other comments - sure, I'll make a fix.

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ErikBjare commented Nov 29, 2021

Sorry for the delay. Looks like the typechecking fails, but gonna go ahead and merge this anyway.

@ErikBjare ErikBjare changed the title feat: improved estimate_price_impact helper function; added factory contract for V3. feat: improved estimate_price_impact helper function; added factory contract for V3 Nov 29, 2021
@ErikBjare ErikBjare merged commit d13ffc4 into uniswap-python:master Nov 29, 2021
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