| 1 | [ |
| 2 | "autonomous agent", |
| 3 | { |
| 4 | "doc_url": "https://oswap.io/v1-v2-arb.json", |
| 5 | "getters": "{ |
| 6 | |
| 7 | }", |
| 8 | "init": "{ |
| 9 | $v1_aa = params.oswap_v1_aa; |
| 10 | $v2_aa = params.oswap_v2_aa; |
| 11 | $v1_params = definition[$v1_aa][1].params; |
| 12 | $v2_params = definition[$v2_aa][1].params; |
| 13 | |
| 14 | $x_asset = $v2_params.x_asset; |
| 15 | $y_asset = $v2_params.y_asset; |
| 16 | |
| 17 | $non_base = $x_asset != 'base' AND $y_asset != 'base'; |
| 18 | |
| 19 | require( |
| 20 | $v1_params.asset0 == $x_asset AND $v1_params.asset1 == $y_asset |
| 21 | OR $v1_params.asset0 == $y_asset AND $v1_params.asset1 == $x_asset, |
| 22 | 'non-matching assets' |
| 23 | ); |
| 24 | |
| 25 | $get_param = ($name, $default) => { |
| 26 | $value = var[$v2_aa][$name]; |
| 27 | exists($value) ? $value : (exists($v2_params[$name]) ? $v2_params[$name] : $default) |
| 28 | }; |
| 29 | |
| 30 | $get_shifts = () => { |
| 31 | $mid_price = $get_param('mid_price', 0); |
| 32 | if ($mid_price){ |
| 33 | $alpha = $get_param('alpha', 0.5); |
| 34 | $beta = 1 - $alpha; |
| 35 | $gamma = $get_param('price_deviation', 0); |
| 36 | $lp_shares = var[$v2_aa]['lp_shares']; |
| 37 | $s_curve = $lp_shares.linear * $lp_shares.coef; |
| 38 | $x0 = $s_curve / $mid_price^$beta / $gamma; |
| 39 | $y0 = $x0 * $mid_price; |
| 40 | } |
| 41 | |
| 42 | |
| 43 | |
| 44 | |
| 45 | {x0: $x0, y0: $y0} |
| 46 | }; |
| 47 | |
| 48 | |
| 49 | $get_denom = ($balances, $l_balances, $shifts, $pxy, $beta) => { |
| 50 | |
| 51 | $leverages = [2, 5, 10, 20, 50, 100]; |
| 52 | |
| 53 | |
| 54 | $L_sums = {x: 0}; |
| 55 | foreach($leverages, 6, $L => { |
| 56 | $L_sums.x = $L_sums.x + ($L - 1) * ($l_balances[$L||'x'].balance + $l_balances[-$L||'x'].balance / $pxy); |
| 57 | }); |
| 58 | |
| 59 | $denom = $beta * ($balances.x + $shifts.x0) - $L_sums.x; |
| 60 | |
| 61 | require($denom > 0, "negative denom " || $denom); |
| 62 | $denom |
| 63 | }; |
| 64 | |
| 65 | $get_available_balance = ($asset) => balance[$asset] - ($asset == 'base' ? 10000 : 0); |
| 66 | |
| 67 | $scale_amounts_down_if_necessary = ($amounts, $x_balance, $y_balance) => { |
| 68 | if ($amounts.x > $x_balance AND $amounts.y > $y_balance){ |
| 69 | $x_factor = $x_balance/$amounts.x; |
| 70 | $y_factor = $y_balance/$amounts.y; |
| 71 | if ($x_factor >= $y_factor){ |
| 72 | $amounts.x = $x_balance; |
| 73 | $amounts.y = $x_factor * $amounts.y; |
| 74 | } |
| 75 | else { |
| 76 | $amounts.y = $y_balance; |
| 77 | $amounts.x = $y_factor * $amounts.x; |
| 78 | } |
| 79 | log('scaled down to', $amounts); |
| 80 | } |
| 81 | }; |
| 82 | |
| 83 | }", |
| 84 | "messages": { |
| 85 | "cases": [ |
| 86 | { |
| 87 | "if": "{ trigger.data.arb}", |
| 88 | "init": "{ |
| 89 | $share = trigger.data.share OTHERWISE 1; |
| 90 | $precalculated = trigger.data.amount AND trigger.data.from; |
| 91 | if (!$precalculated) { |
| 92 | |
| 93 | $v1_fee = $v1_params.swap_fee / 1e11; |
| 94 | $v2_fee = $get_param('swap_fee', 0.003); |
| 95 | |
| 96 | $v1_x_balance = balance[$v1_aa][$x_asset]; |
| 97 | $v1_y_balance = balance[$v1_aa][$y_asset]; |
| 98 | $p1 = $v1_y_balance / $v1_x_balance; |
| 99 | |
| 100 | $balances = var[$v2_aa]['balances']; |
| 101 | $l_balances = var[$v2_aa]['leveraged_balances']; |
| 102 | |
| 103 | $shifts = $get_shifts(); |
| 104 | $alpha = $get_param('alpha', 0.5); |
| 105 | $beta = 1 - $alpha; |
| 106 | $p2 = $alpha/$beta * ($balances.y + $shifts.y0) / ($balances.x + $shifts.x0); |
| 107 | |
| 108 | $denom1 = $v1_x_balance/2; |
| 109 | $denom2 = $get_denom($balances, $l_balances, $shifts, $p2, $beta); |
| 110 | |
| 111 | $Lambda = $get_param('pool_leverage', 1); |
| 112 | |
| 113 | $x_balance = $get_available_balance($x_asset); |
| 114 | $y_balance = $get_available_balance($y_asset); |
| 115 | |
| 116 | $amounts = {x: 0, y: 0}; |
| 117 | |
| 118 | |
| 119 | if ($p2 * (1 + $v2_fee) < $p1 * (1 - $v1_fee)){ |
| 120 | $p2_plus_fee = $p2 * (1 + $v2_fee); |
| 121 | $p1_minus_fee = $p1 * (1 - $v1_fee); |
| 122 | |
| 123 | $amounts.x = ($p1_minus_fee - $p2_plus_fee)/$p1_minus_fee / (1/$denom2 + 1/$denom1); |
| 124 | $amounts.y = $p1_minus_fee * $amounts.x; |
| 125 | $scale_amounts_down_if_necessary($amounts, $x_balance, $y_balance); |
| 126 | |
| 127 | $final_p = $p2 * (1 + $amounts.x/$denom2 * $share); |
| 128 | |
| 129 | |
| 130 | if ($amounts.y <= $y_balance){ |
| 131 | $from = 'v2y'; |
| 132 | $asset = $y_asset; |
| 133 | $amount = ceil($amounts.y); |
| 134 | $address = $v2_aa; |
| 135 | $data = { |
| 136 | final_price: $final_p, |
| 137 | hops: [ |
| 138 | { |
| 139 | address: $v1_aa, |
| 140 | change_address: this_address, |
| 141 | data: {to: this_address}, |
| 142 | }, |
| 143 | ] |
| 144 | }; |
| 145 | } |
| 146 | else{ |
| 147 | $from = 'v1x'; |
| 148 | $asset = $x_asset; |
| 149 | $amount = ceil($amounts.x); |
| 150 | $address = $v1_aa; |
| 151 | $data = {to: this_address}; |
| 152 | $stored_data = { |
| 153 | final_price: $final_p, |
| 154 | }; |
| 155 | } |
| 156 | } |
| 157 | |
| 158 | else if ($p2 * (1 - $v2_fee) > $p1 * (1 + $v1_fee)){ |
| 159 | $p2_minus_fee = $p2 * (1 - $v2_fee); |
| 160 | $p1_plus_fee = $p1 * (1 + $v1_fee); |
| 161 | |
| 162 | $amounts.x = ($p2_minus_fee - $p1_plus_fee)/$p2_minus_fee / (1/$denom2 + 1/$denom1); |
| 163 | $amounts.y = $amounts.x * $p2_minus_fee; |
| 164 | $scale_amounts_down_if_necessary($amounts, $x_balance, $y_balance); |
| 165 | |
| 166 | $final_pyx = 1/$p2 * (1 + $amounts.x/($denom2 + $beta * $Lambda * $amounts.x) * $share); |
| 167 | |
| 168 | |
| 169 | if ($amounts.x <= $x_balance){ |
| 170 | $from = 'v2x'; |
| 171 | $asset = $x_asset; |
| 172 | $amount = ceil($amounts.x); |
| 173 | $address = $v2_aa; |
| 174 | $data = { |
| 175 | final_price: $final_pyx, |
| 176 | hops: [ |
| 177 | { |
| 178 | address: $v1_aa, |
| 179 | change_address: this_address, |
| 180 | data: {to: this_address}, |
| 181 | }, |
| 182 | ] |
| 183 | }; |
| 184 | } |
| 185 | else { |
| 186 | $from = 'v1y'; |
| 187 | $asset = $y_asset; |
| 188 | $amount = ceil($amounts.y); |
| 189 | $address = $v1_aa; |
| 190 | $data = {to: this_address}; |
| 191 | $stored_data = { |
| 192 | final_price: $final_pyx, |
| 193 | }; |
| 194 | } |
| 195 | } |
| 196 | else |
| 197 | bounce("no arb opportunity exists"); |
| 198 | } |
| 199 | else { |
| 200 | $amount = trigger.data.amount; |
| 201 | $from = trigger.data.from; |
| 202 | if ($from == 'v2y'){ |
| 203 | $asset = $y_asset; |
| 204 | $address = $v2_aa; |
| 205 | $data = { |
| 206 | final_price: trigger.data.final_p, |
| 207 | hops: [ |
| 208 | { |
| 209 | address: $v1_aa, |
| 210 | change_address: this_address, |
| 211 | data: {to: this_address}, |
| 212 | }, |
| 213 | ] |
| 214 | }; |
| 215 | } |
| 216 | else if ($from == 'v1x'){ |
| 217 | $asset = $x_asset; |
| 218 | $address = $v1_aa; |
| 219 | $data = {to: this_address}; |
| 220 | $stored_data = { |
| 221 | final_price: trigger.data.final_p, |
| 222 | }; |
| 223 | } |
| 224 | else if ($from == 'v2x'){ |
| 225 | $asset = $x_asset; |
| 226 | $address = $v2_aa; |
| 227 | $data = { |
| 228 | final_price: trigger.data.final_pyx, |
| 229 | hops: [ |
| 230 | { |
| 231 | address: $v1_aa, |
| 232 | change_address: this_address, |
| 233 | data: {to: this_address}, |
| 234 | }, |
| 235 | ] |
| 236 | }; |
| 237 | } |
| 238 | else if ($from == 'v1y'){ |
| 239 | $asset = $y_asset; |
| 240 | $address = $v1_aa; |
| 241 | $data = {to: this_address}; |
| 242 | $stored_data = { |
| 243 | final_price: trigger.data.final_pyx, |
| 244 | }; |
| 245 | } |
| 246 | } |
| 247 | }", |
| 248 | "messages": [ |
| 249 | { |
| 250 | "app": "payment", |
| 251 | "payload": { |
| 252 | "asset": "{$asset}", |
| 253 | "outputs": [ |
| 254 | { |
| 255 | "address": "{$address}", |
| 256 | "amount": "{ $amount }" |
| 257 | } |
| 258 | ] |
| 259 | } |
| 260 | }, |
| 261 | { |
| 262 | "if": "{$non_base}", |
| 263 | "app": "payment", |
| 264 | "payload": { |
| 265 | "asset": "base", |
| 266 | "outputs": [ |
| 267 | { |
| 268 | "address": "{$address}", |
| 269 | "amount": 3000 |
| 270 | } |
| 271 | ] |
| 272 | } |
| 273 | }, |
| 274 | { |
| 275 | "app": "data", |
| 276 | "payload": "{$data}" |
| 277 | }, |
| 278 | { |
| 279 | "app": "state", |
| 280 | "state": "{ |
| 281 | $arb = { |
| 282 | from: $from, |
| 283 | avg_price: ($p1 + $p2) / 2, |
| 284 | sent: {}, |
| 285 | received: {}, |
| 286 | }; |
| 287 | $arb.sent[$asset] = $amount; |
| 288 | if ($stored_data) |
| 289 | $arb.stored_data = $stored_data; |
| 290 | var['arb'] = $arb; |
| 291 | |
| 292 | response['sent_amount'] = $amount; |
| 293 | if ($from == 'v2y') |
| 294 | response['message'] = 'will arb by buying X from v2 and selling to v1'; |
| 295 | else if ($from == 'v1x') |
| 296 | response['message'] = 'will arb by selling X to v1 and buying from v2'; |
| 297 | else if ($from == 'v2x') |
| 298 | response['message'] = 'will arb by selling X to v2 and buying from v1'; |
| 299 | else if ($from == 'v1y') |
| 300 | response['message'] = 'will arb by buying X from v1 and selling to v2'; |
| 301 | }" |
| 302 | } |
| 303 | ] |
| 304 | }, |
| 305 | { |
| 306 | "if": "{ |
| 307 | $received_x = trigger.output[[asset=$x_asset]]; |
| 308 | $received_y = trigger.output[[asset=$y_asset]]; |
| 309 | $arb = var['arb']; |
| 310 | ($received_x > 0 OR $received_y > 0) AND (trigger.address == $v1_aa OR trigger.address == $v2_aa) AND $arb |
| 311 | }", |
| 312 | "init": "{ |
| 313 | $from_v1 = $arb.from == 'v1x' OR $arb.from == 'v1y'; |
| 314 | if ($from_v1) |
| 315 | require($arb.stored_data, 'no data for v2'); |
| 316 | $forward = $from_v1 AND trigger.address == $v1_aa; |
| 317 | if ($forward){ |
| 318 | if ($received_x > 0 AND $received_y > 0) |
| 319 | bounce('received both assets from v1'); |
| 320 | $received_asset = $received_x > 0 ? $x_asset : $y_asset; |
| 321 | } |
| 322 | }", |
| 323 | "messages": [ |
| 324 | { |
| 325 | "if": "{$forward}", |
| 326 | "app": "payment", |
| 327 | "payload": { |
| 328 | "asset": "{$received_asset}", |
| 329 | "outputs": [ |
| 330 | { |
| 331 | "address": "{$v2_aa}", |
| 332 | "amount": "{ $received_x OTHERWISE $received_y }" |
| 333 | } |
| 334 | ] |
| 335 | } |
| 336 | }, |
| 337 | { |
| 338 | "if": "{$forward AND $non_base}", |
| 339 | "app": "payment", |
| 340 | "payload": { |
| 341 | "asset": "base", |
| 342 | "outputs": [ |
| 343 | { |
| 344 | "address": "{$v2_aa}", |
| 345 | "amount": 3000 |
| 346 | } |
| 347 | ] |
| 348 | } |
| 349 | }, |
| 350 | { |
| 351 | "if": "{$forward}", |
| 352 | "app": "data", |
| 353 | "payload": "{$arb.stored_data}" |
| 354 | }, |
| 355 | { |
| 356 | "app": "state", |
| 357 | "state": "{ |
| 358 | if ($forward){ |
| 359 | response['message'] = 'forwarded to v2'; |
| 360 | |
| 361 | return; |
| 362 | } |
| 363 | $arb.received[$x_asset] = $arb.received[$x_asset] + $received_x; |
| 364 | $arb.received[$y_asset] = $arb.received[$y_asset] + $received_y; |
| 365 | $change = !$from_v1 AND trigger.address == $v2_aa; |
| 366 | if ($change){ |
| 367 | var['arb'] = $arb; |
| 368 | response['message'] = 'received the change from v2'; |
| 369 | |
| 370 | return; |
| 371 | } |
| 372 | |
| 373 | $sent = $arb.sent[$y_asset] + $arb.sent[$x_asset] * $arb.avg_price; |
| 374 | $received = $arb.received[$y_asset] + $arb.received[$x_asset] * $arb.avg_price; |
| 375 | $profit = $received - $sent; |
| 376 | |
| 377 | require($profit > 0, "unprofitable " || $arb.from || ": " || $received || " < " || $sent); |
| 378 | response['profit'] = $profit; |
| 379 | var['arb'] = false; |
| 380 | }" |
| 381 | } |
| 382 | ] |
| 383 | }, |
| 384 | { |
| 385 | "if": "{ trigger.data.withdraw AND trigger.data.asset AND trigger.address == params.owner }", |
| 386 | "init": "{ |
| 387 | if (trigger.data.asset == 'x') |
| 388 | $asset = $x_asset; |
| 389 | else if (trigger.data.asset == 'y') |
| 390 | $asset = $y_asset; |
| 391 | else |
| 392 | $asset = trigger.data.asset; |
| 393 | }", |
| 394 | "messages": [ |
| 395 | { |
| 396 | "app": "payment", |
| 397 | "payload": { |
| 398 | "asset": "{$asset}", |
| 399 | "outputs": [ |
| 400 | { |
| 401 | "address": "{params.owner}", |
| 402 | "amount": "{ trigger.data.amount OTHERWISE '' }" |
| 403 | } |
| 404 | ] |
| 405 | } |
| 406 | } |
| 407 | ] |
| 408 | }, |
| 409 | { |
| 410 | "if": "{ trigger.output[[asset=$x_asset]] > 0 OR trigger.output[[asset=$y_asset]] > 0 }", |
| 411 | "messages": [ |
| 412 | { |
| 413 | "app": "state", |
| 414 | "state": "{ |
| 415 | response['message'] = 'added'; |
| 416 | }" |
| 417 | } |
| 418 | ] |
| 419 | } |
| 420 | ] |
| 421 | } |
| 422 | } |
| 423 | ] |