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| 1 | +from src.Query import ( |
| 2 | + simulate_osmosis_swap, |
| 3 | + simulate_penumbra_swap, |
| 4 | + get_osmosis_balance, |
| 5 | + get_penumbra_balance, |
| 6 | +) |
| 7 | +from src.Consts import get_decimals, get_min |
| 8 | +from src.Swap import osmosis_swap, penumbra_swap |
| 9 | +import time |
| 10 | + |
| 11 | +min_diff = 0.01 |
| 12 | +# only search when at least 1% price difference at minimum size |
| 13 | + |
| 14 | + |
| 15 | +def arbitrage(A, B): |
| 16 | + minA = get_min(A) |
| 17 | + minB = get_min(B) |
| 18 | + maxOA = get_osmosis_balance(A) - minA |
| 19 | + maxOB = get_osmosis_balance(B) - minB |
| 20 | + maxPA = get_penumbra_balance(A) - minA |
| 21 | + maxPB = get_penumbra_balance(B) - minB |
| 22 | + OAB_cache = {} |
| 23 | + OBA_cache = {} |
| 24 | + PAB_cache = {} |
| 25 | + PBA_cache = {} |
| 26 | + |
| 27 | + def oab_swap(a): |
| 28 | + if a in OAB_cache: |
| 29 | + return OAB_cache[a] |
| 30 | + (o, path) = simulate_osmosis_swap(A, B, a) |
| 31 | + OAB_cache[a] = o |
| 32 | + return o |
| 33 | + |
| 34 | + def oba_swap(b): |
| 35 | + if B in OBA_cache: |
| 36 | + return OBA_cache[b] |
| 37 | + (o, path) = simulate_osmosis_swap(B, A, b) |
| 38 | + OBA_cache[b] = o |
| 39 | + return o |
| 40 | + |
| 41 | + def pab_swap(a): |
| 42 | + if a in PAB_cache: |
| 43 | + return PAB_cache[a] |
| 44 | + o = simulate_penumbra_swap(A, B, a) |
| 45 | + PAB_cache[a] = o |
| 46 | + return o |
| 47 | + |
| 48 | + def pba_swap(b): |
| 49 | + if b in PBA_cache: |
| 50 | + return PBA_cache[b] |
| 51 | + o = simulate_penumbra_swap(B, A, b) |
| 52 | + PBA_cache[b] = o |
| 53 | + return o |
| 54 | + |
| 55 | + def solve_direction(): |
| 56 | + oab_pba = pba_swap(oab_swap(minA)) / minA |
| 57 | + print(f"swap osmosis({A}=>{B}), penumbra({B} => {A})", oab_pba) |
| 58 | + oba_pab = pab_swap(oba_swap(minB)) / minB |
| 59 | + print(f"swap osmosis({B}=>{A}), penumbra({A} => {B})", oba_pab) |
| 60 | + |
| 61 | + if oab_pba > (1 + min_diff): |
| 62 | + print(f"potential arb: osmosis({A}=>{B}), penumbra({B} => {A})", oab_pba) |
| 63 | + return True |
| 64 | + elif oba_pab > (1 + min_diff): |
| 65 | + print(f"potential arb: osmosis({B}=>{A}), penumbra({A} => {B})", oba_pab) |
| 66 | + return False |
| 67 | + return None |
| 68 | + |
| 69 | + # successive approximation with 5 sample points spaces across range |
| 70 | + # recursively search subrange bounded by neighbors of best point |
| 71 | + def solve_func(f, low, high, tol): |
| 72 | + if (high - low) < tol: |
| 73 | + return (low + high) // 2 |
| 74 | + |
| 75 | + def i_to_x(i): |
| 76 | + return low + (i * (high - low)) // 4 |
| 77 | + |
| 78 | + points = [(f(i_to_x(i)), i) for i in range(5)] |
| 79 | + (besty, besti) = max(points) |
| 80 | + |
| 81 | + return solve_func( |
| 82 | + f, max(low, i_to_x(besti - 1)), min(high, i_to_x(besti + 1)), tol |
| 83 | + ) |
| 84 | + |
| 85 | + # solve A->B->A for max profit in A token |
| 86 | + def solve_A(dir): |
| 87 | + if dir: |
| 88 | + return solve_func( |
| 89 | + lambda x: pba_swap(min(maxPB, oab_swap(x))) - x, minA, maxOA, minA |
| 90 | + ) |
| 91 | + else: |
| 92 | + return solve_func( |
| 93 | + lambda x: oba_swap(min(maxOB, pab_swap(x))) - x, minA, maxPA, minA |
| 94 | + ) |
| 95 | + |
| 96 | + # solve B->A (assuming AIn -> EBout) for max balanced profit in A and B token |
| 97 | + def solve_B(dir, AIn, EBOut): |
| 98 | + if dir: |
| 99 | + return solve_func( |
| 100 | + lambda y: (pba_swap(y) - AIn) * (EBOut - y) * (EBOut / AIn), |
| 101 | + minB, |
| 102 | + min(EBOut, maxPB), |
| 103 | + minB, |
| 104 | + ) |
| 105 | + else: |
| 106 | + return solve_func( |
| 107 | + lambda y: (pba_swap(y) - AIn) * (EBOut - y) * (EBOut / AIn), |
| 108 | + minB, |
| 109 | + min(EBOut, maxOB), |
| 110 | + minB, |
| 111 | + ) |
| 112 | + |
| 113 | + dir = solve_direction() |
| 114 | + if dir is None: |
| 115 | + print("no arb found") |
| 116 | + print("sleeping 300 seconds") |
| 117 | + time.sleep(300) |
| 118 | + return |
| 119 | + |
| 120 | + if dir: |
| 121 | + AIn = solve_A(dir) |
| 122 | + print("A", AIn / get_decimals(A)) |
| 123 | + EBOut = oab_swap(AIn) |
| 124 | + BIn = solve_B(dir, AIn, EBOut) |
| 125 | + print("B", BIn / get_decimals(B)) |
| 126 | + EAOut = pba_swap(BIn) |
| 127 | + print( |
| 128 | + f"best solve: osmosis({AIn/get_decimals(A)} {A} => {EBOut/get_decimals(B)} {B}), penumbra({BIn/get_decimals(B)} {B} => {EAOut/get_decimals(A)} {A})" |
| 129 | + ) |
| 130 | + print( |
| 131 | + "Expected Net Effect: ", |
| 132 | + (EAOut - AIn) / get_decimals(A), |
| 133 | + A, |
| 134 | + (EBOut - BIn) / get_decimals(B), |
| 135 | + B, |
| 136 | + ) |
| 137 | + if (EAOut - AIn) > 0 and (EBOut - BIn) > 0: |
| 138 | + BOut = osmosis_swap(A, B, AIn) |
| 139 | + AOut = penumbra_swap(B, A, BIn) |
| 140 | + print( |
| 141 | + "Arb Completed, Net Effect: ", |
| 142 | + (AOut - AIn) / get_decimals(A), |
| 143 | + A, |
| 144 | + (BOut - BIn) / get_decimals(B), |
| 145 | + B, |
| 146 | + ) |
| 147 | + else: |
| 148 | + print("Expected Net Effect contains a negative profit, skipping") |
| 149 | + else: |
| 150 | + AIn = solve_A(dir) |
| 151 | + print("A", AIn / get_decimals(A)) |
| 152 | + EBOut = pab_swap(AIn) |
| 153 | + BIn = solve_B(dir, AIn, EBOut) |
| 154 | + print("B", BIn / get_decimals(B)) |
| 155 | + EAOut = oba_swap(BIn) |
| 156 | + print( |
| 157 | + f"best solve: osmosis({BIn/get_decimals(B)} {B} => {EAOut/get_decimals(A)} {A}), penumbra({AIn/get_decimals(A)} {A} => {EBOut/get_decimals(B)} {B})", |
| 158 | + ) |
| 159 | + print( |
| 160 | + "Expected Net Effect: ", |
| 161 | + (EAOut - AIn) / get_decimals(A), |
| 162 | + A, |
| 163 | + (EBOut - BIn) / get_decimals(B), |
| 164 | + B, |
| 165 | + ) |
| 166 | + if (EAOut - AIn) > 0 and (EBOut - BIn) > 0: |
| 167 | + AOut = osmosis_swap(B, A, BIn) |
| 168 | + BOut = penumbra_swap(A, B, AIn) |
| 169 | + print( |
| 170 | + "Arb Completed, Net Effect: ", |
| 171 | + (AOut - AIn) / get_decimals(A), |
| 172 | + A, |
| 173 | + (BOut - BIn) / get_decimals(B), |
| 174 | + B, |
| 175 | + ) |
| 176 | + else: |
| 177 | + print("Expected Net Effect contains a negative profit, skipping") |
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