CarbonSim-Demo-4-1.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "id": "628697ff",
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "[carbon.ui] version 1.0 21/Nov/2022\n"
     ]
    }
   ],
   "source": [
    "from carbon import CarbonSimulatorUI\n",
    "from carbon.simulators.carbon_simulator import (\n",
    "    __version__ as uiversion,\n",
    "    __date__ as uidate,\n",
    ")\n",
    "print(\"[carbon.ui] version\", uiversion, uidate)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "8b9cc759",
   "metadata": {},
   "source": [
    "# Carbon Simulation - Demo 4-1\n",
    "\n",
    "In this demo we investigate the **Alpha Router performance** (a faster albeit possibly less precise routing method than the \"exact\" router we previously used), and show how it is impacted by setting a threshold to the number of orders that can be routed through."
   ]
  },
  {
   "cell_type": "markdown",
   "id": "d35e7016",
   "metadata": {},
   "source": [
    "Initialize an exact simulator and an alpha simulator"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "id": "0c3bdc28",
   "metadata": {},
   "outputs": [],
   "source": [
    "Sim = CarbonSimulatorUI(pair=\"ETHUSDC\", verbose=False)\n",
    "AlphaSim = CarbonSimulatorUI(pair=\"ETHUSDC\", verbose=False, matching_method='alpha')"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "5989c34a",
   "metadata": {},
   "source": [
    "Add 5 identical strategies to both simulators"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "id": "6f6dab0c",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>id</th>\n",
       "      <th>pair</th>\n",
       "      <th>tkn</th>\n",
       "      <th>y_int</th>\n",
       "      <th>y</th>\n",
       "      <th>y_unit</th>\n",
       "      <th>p_start</th>\n",
       "      <th>p_end</th>\n",
       "      <th>p_marg</th>\n",
       "      <th>p_unit</th>\n",
       "      <th>lid</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>ETH</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>ETH</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>1</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>USDC</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>2700.0</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>ETH</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>ETH</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>3</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>USDC</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>2700.0</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>4</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>ETH</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>ETH</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>5</th>\n",
       "      <td>5</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>USDC</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>2700.0</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>4</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>6</th>\n",
       "      <td>6</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>ETH</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>ETH</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>7</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>7</th>\n",
       "      <td>7</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>USDC</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>2700.0</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>6</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>8</th>\n",
       "      <td>8</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>ETH</td>\n",
       "      <td>10.0</td>\n",
       "      <td>10.0</td>\n",
       "      <td>ETH</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>2500.0</td>\n",
       "      <td>2000.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>9</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>9</th>\n",
       "      <td>9</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>USDC</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>2700.0</td>\n",
       "      <td>2800.0</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>8</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   id     pair   tkn   y_int       y y_unit  p_start   p_end  p_marg  \\\n",
       "0   0  ETHUSDC   ETH    10.0    10.0    ETH   2000.0  2500.0  2000.0   \n",
       "1   1  ETHUSDC  USDC  1000.0  1000.0   USDC   2800.0  2700.0  2800.0   \n",
       "2   2  ETHUSDC   ETH    10.0    10.0    ETH   2000.0  2500.0  2000.0   \n",
       "3   3  ETHUSDC  USDC  1000.0  1000.0   USDC   2800.0  2700.0  2800.0   \n",
       "4   4  ETHUSDC   ETH    10.0    10.0    ETH   2000.0  2500.0  2000.0   \n",
       "5   5  ETHUSDC  USDC  1000.0  1000.0   USDC   2800.0  2700.0  2800.0   \n",
       "6   6  ETHUSDC   ETH    10.0    10.0    ETH   2000.0  2500.0  2000.0   \n",
       "7   7  ETHUSDC  USDC  1000.0  1000.0   USDC   2800.0  2700.0  2800.0   \n",
       "8   8  ETHUSDC   ETH    10.0    10.0    ETH   2000.0  2500.0  2000.0   \n",
       "9   9  ETHUSDC  USDC  1000.0  1000.0   USDC   2800.0  2700.0  2800.0   \n",
       "\n",
       "         p_unit  lid  \n",
       "0  USDC per ETH    1  \n",
       "1  USDC per ETH    0  \n",
       "2  USDC per ETH    3  \n",
       "3  USDC per ETH    2  \n",
       "4  USDC per ETH    5  \n",
       "5  USDC per ETH    4  \n",
       "6  USDC per ETH    7  \n",
       "7  USDC per ETH    6  \n",
       "8  USDC per ETH    9  \n",
       "9  USDC per ETH    8  "
      ]
     },
     "execution_count": 3,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "strat = ['ETH', 10, 2000, 2500, 1000, 2800, 2700]\n",
    "for _ in range(5):\n",
    "    Sim.add_strategy(*strat)\n",
    "    AlphaSim.add_strategy(*strat)\n",
    "#Sim.state()['orders']\n",
    "AlphaSim.state()['orders']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "id": "7aa45c90",
   "metadata": {},
   "outputs": [],
   "source": [
    "# set test amounts\n",
    "usdc_trade_amount = 1000\n",
    "eth_trade_amount = 0.5"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "ddcb2714",
   "metadata": {},
   "source": [
    "## Route by Source"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "8184d9bc",
   "metadata": {},
   "source": [
    "#### AMM buys USDC"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "d12ee43f",
   "metadata": {},
   "source": [
    "First we test the standard simulator which should route through all 5 positions"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "id": "81ab139d",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th>uid</th>\n",
       "      <th>id</th>\n",
       "      <th>subid</th>\n",
       "      <th>note</th>\n",
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       "      <th>amt2</th>\n",
       "      <th>tkn2</th>\n",
       "      <th>pair</th>\n",
       "      <th>routeix</th>\n",
       "      <th>nroutes</th>\n",
       "      <th>price</th>\n",
       "      <th>p_unit</th>\n",
       "      <th>threshold_orders</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>route #0</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.099895</td>\n",
       "      <td>ETH</td>\n",
       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>2002.111456</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.1</td>\n",
       "      <td>0</td>\n",
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       "      <td>route #2</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.099895</td>\n",
       "      <td>ETH</td>\n",
       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>2</td>\n",
       "      <td>1</td>\n",
       "      <td>2002.111456</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.2</td>\n",
       "      <td>0</td>\n",
       "      <td>2</td>\n",
       "      <td>route #4</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.099895</td>\n",
       "      <td>ETH</td>\n",
       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>4</td>\n",
       "      <td>1</td>\n",
       "      <td>2002.111456</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.3</td>\n",
       "      <td>0</td>\n",
       "      <td>3</td>\n",
       "      <td>route #6</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.099895</td>\n",
       "      <td>ETH</td>\n",
       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>6</td>\n",
       "      <td>1</td>\n",
       "      <td>2002.111456</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.4</td>\n",
       "      <td>0</td>\n",
       "      <td>4</td>\n",
       "      <td>route #8</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.099895</td>\n",
       "      <td>ETH</td>\n",
       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>8</td>\n",
       "      <td>1</td>\n",
       "      <td>2002.111456</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>A</td>\n",
       "      <td>AMM sells 0ETH buys 1000USDC</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.499473</td>\n",
       "      <td>ETH</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[0, 2, 4, 6, 8]</td>\n",
       "      <td>5</td>\n",
       "      <td>2002.111456</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  \\\n",
       "0  0.0   0     0                      route #0  False  False      None   \n",
       "0  0.1   0     1                      route #2  False  False      None   \n",
       "0  0.2   0     2                      route #4  False  False      None   \n",
       "0  0.3   0     3                      route #6  False  False      None   \n",
       "0  0.4   0     4                      route #8  False  False      None   \n",
       "0    0   0     A  AMM sells 0ETH buys 1000USDC   True  False      None   \n",
       "\n",
       "       amt1 tkn1    amt2  tkn2     pair          routeix  nroutes  \\\n",
       "0  0.099895  ETH   200.0  USDC  ETHUSDC                0        1   \n",
       "0  0.099895  ETH   200.0  USDC  ETHUSDC                2        1   \n",
       "0  0.099895  ETH   200.0  USDC  ETHUSDC                4        1   \n",
       "0  0.099895  ETH   200.0  USDC  ETHUSDC                6        1   \n",
       "0  0.099895  ETH   200.0  USDC  ETHUSDC                8        1   \n",
       "0  0.499473  ETH  1000.0  USDC  ETHUSDC  [0, 2, 4, 6, 8]        5   \n",
       "\n",
       "         price        p_unit threshold_orders  \n",
       "0  2002.111456  USDC per ETH             None  \n",
       "0  2002.111456  USDC per ETH             None  \n",
       "0  2002.111456  USDC per ETH             None  \n",
       "0  2002.111456  USDC per ETH             None  \n",
       "0  2002.111456  USDC per ETH             None  \n",
       "0  2002.111456  USDC per ETH             None  "
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Sim.amm_buys('USDC',usdc_trade_amount, execute=False)['trades']  # route_trade_by_source"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "55d4fca4",
   "metadata": {},
   "source": [
    "Then we can set a threshold on the number of orders using the AlphaSim"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "id": "3b545a2d",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>amt1</th>\n",
       "      <th>tkn1</th>\n",
       "      <th>amt2</th>\n",
       "      <th>tkn2</th>\n",
       "      <th>pair</th>\n",
       "      <th>routeix</th>\n",
       "      <th>nroutes</th>\n",
       "      <th>price</th>\n",
       "      <th>p_unit</th>\n",
       "      <th>threshold_orders</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.0</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>route #0</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.166374</td>\n",
       "      <td>ETH</td>\n",
       "      <td>333.333333</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>2003.519094</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.1</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>route #2</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.166374</td>\n",
       "      <td>ETH</td>\n",
       "      <td>333.333333</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>2</td>\n",
       "      <td>1</td>\n",
       "      <td>2003.519094</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0.2</td>\n",
       "      <td>0</td>\n",
       "      <td>2</td>\n",
       "      <td>route #4</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.166374</td>\n",
       "      <td>ETH</td>\n",
       "      <td>333.333333</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>4</td>\n",
       "      <td>1</td>\n",
       "      <td>2003.519094</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "      <td>A</td>\n",
       "      <td>AMM sells 0ETH buys 1000USDC</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.499122</td>\n",
       "      <td>ETH</td>\n",
       "      <td>1000.000000</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[0, 2, 4]</td>\n",
       "      <td>3</td>\n",
       "      <td>2003.519094</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  \\\n",
       "0  0.0   0     0                      route #0  False  False      None   \n",
       "0  0.1   0     1                      route #2  False  False      None   \n",
       "0  0.2   0     2                      route #4  False  False      None   \n",
       "0    0   0     A  AMM sells 0ETH buys 1000USDC   True  False      None   \n",
       "\n",
       "       amt1 tkn1         amt2  tkn2     pair    routeix  nroutes        price  \\\n",
       "0  0.166374  ETH   333.333333  USDC  ETHUSDC          0        1  2003.519094   \n",
       "0  0.166374  ETH   333.333333  USDC  ETHUSDC          2        1  2003.519094   \n",
       "0  0.166374  ETH   333.333333  USDC  ETHUSDC          4        1  2003.519094   \n",
       "0  0.499122  ETH  1000.000000  USDC  ETHUSDC  [0, 2, 4]        3  2003.519094   \n",
       "\n",
       "         p_unit  threshold_orders  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  "
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "AlphaSim.amm_buys('USDC',usdc_trade_amount, execute=False, threshold_orders=3)['trades']  # route_trade_by_source"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "802c0a88",
   "metadata": {},
   "source": [
    "We would expect that routing through fewer orders should give a slightly worse price for the trader.\n",
    "\n",
    "Since here the amm is buying then the trader is selling 1000 USDC, then the Alpha buy amount of 0.499122 is slightly lower than the 0.49973 ETH achieved in exact routing. However, the difference here is only 7bp"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "id": "eab01cb0",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(0.499122, 0.499473)"
      ]
     },
     "execution_count": 7,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "AlphaSim.state()[\"trades\"].iloc[3][\"amt1\"],Sim.state()[\"trades\"].iloc[5][\"amt1\"]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "id": "9786fd74",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "-7.027406886858101"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(AlphaSim.state()[\"trades\"].iloc[3][\"amt1\"]/Sim.state()[\"trades\"].iloc[5][\"amt1\"]-1)*10000"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "4f29bbf7",
   "metadata": {},
   "source": [
    "#### AMM buys ETH"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "id": "bde2f261",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>uid</th>\n",
       "      <th>id</th>\n",
       "      <th>subid</th>\n",
       "      <th>note</th>\n",
       "      <th>aggr</th>\n",
       "      <th>exec</th>\n",
       "      <th>limitfail</th>\n",
       "      <th>amt1</th>\n",
       "      <th>tkn1</th>\n",
       "      <th>amt2</th>\n",
       "      <th>tkn2</th>\n",
       "      <th>pair</th>\n",
       "      <th>routeix</th>\n",
       "      <th>nroutes</th>\n",
       "      <th>price</th>\n",
       "      <th>p_unit</th>\n",
       "      <th>threshold_orders</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1.0</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>route #1</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>278.594364</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.1</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>2785.943638</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1.1</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>route #3</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>278.594364</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.1</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>3</td>\n",
       "      <td>1</td>\n",
       "      <td>2785.943638</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1.2</td>\n",
       "      <td>1</td>\n",
       "      <td>2</td>\n",
       "      <td>route #5</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>278.594364</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.1</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>5</td>\n",
       "      <td>1</td>\n",
       "      <td>2785.943638</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1.3</td>\n",
       "      <td>1</td>\n",
       "      <td>3</td>\n",
       "      <td>route #7</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>278.594364</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.1</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>7</td>\n",
       "      <td>1</td>\n",
       "      <td>2785.943638</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1.4</td>\n",
       "      <td>1</td>\n",
       "      <td>4</td>\n",
       "      <td>route #9</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>278.594364</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.1</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>9</td>\n",
       "      <td>1</td>\n",
       "      <td>2785.943638</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>A</td>\n",
       "      <td>AMM sells 1393USDC buys 0ETH</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>1392.971819</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.5</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[1, 3, 5, 7, 9]</td>\n",
       "      <td>5</td>\n",
       "      <td>2785.943638</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  \\\n",
       "0  1.0   1     0                      route #1  False  False      None   \n",
       "0  1.1   1     1                      route #3  False  False      None   \n",
       "0  1.2   1     2                      route #5  False  False      None   \n",
       "0  1.3   1     3                      route #7  False  False      None   \n",
       "0  1.4   1     4                      route #9  False  False      None   \n",
       "0    1   1     A  AMM sells 1393USDC buys 0ETH   True  False      None   \n",
       "\n",
       "          amt1  tkn1  amt2 tkn2     pair          routeix  nroutes  \\\n",
       "0   278.594364  USDC   0.1  ETH  ETHUSDC                1        1   \n",
       "0   278.594364  USDC   0.1  ETH  ETHUSDC                3        1   \n",
       "0   278.594364  USDC   0.1  ETH  ETHUSDC                5        1   \n",
       "0   278.594364  USDC   0.1  ETH  ETHUSDC                7        1   \n",
       "0   278.594364  USDC   0.1  ETH  ETHUSDC                9        1   \n",
       "0  1392.971819  USDC   0.5  ETH  ETHUSDC  [1, 3, 5, 7, 9]        5   \n",
       "\n",
       "         price        p_unit threshold_orders  \n",
       "0  2785.943638  USDC per ETH             None  \n",
       "0  2785.943638  USDC per ETH             None  \n",
       "0  2785.943638  USDC per ETH             None  \n",
       "0  2785.943638  USDC per ETH             None  \n",
       "0  2785.943638  USDC per ETH             None  \n",
       "0  2785.943638  USDC per ETH             None  "
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Sim.amm_buys('ETH',eth_trade_amount, execute=False)['trades']  # route_trade_by_source"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "id": "f56ac464",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>uid</th>\n",
       "      <th>id</th>\n",
       "      <th>subid</th>\n",
       "      <th>note</th>\n",
       "      <th>aggr</th>\n",
       "      <th>exec</th>\n",
       "      <th>limitfail</th>\n",
       "      <th>amt1</th>\n",
       "      <th>tkn1</th>\n",
       "      <th>amt2</th>\n",
       "      <th>tkn2</th>\n",
       "      <th>pair</th>\n",
       "      <th>routeix</th>\n",
       "      <th>nroutes</th>\n",
       "      <th>price</th>\n",
       "      <th>p_unit</th>\n",
       "      <th>threshold_orders</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1.0</td>\n",
       "      <td>1</td>\n",
       "      <td>0</td>\n",
       "      <td>route #1</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>462.775145</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.166667</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>2776.650873</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1.1</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>route #3</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>462.775145</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.166667</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>3</td>\n",
       "      <td>1</td>\n",
       "      <td>2776.650873</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1.2</td>\n",
       "      <td>1</td>\n",
       "      <td>2</td>\n",
       "      <td>route #5</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>462.775145</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.166667</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>5</td>\n",
       "      <td>1</td>\n",
       "      <td>2776.650873</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>A</td>\n",
       "      <td>AMM sells 1388USDC buys 0ETH</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>1388.325436</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[1, 3, 5]</td>\n",
       "      <td>3</td>\n",
       "      <td>2776.650873</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  \\\n",
       "0  1.0   1     0                      route #1  False  False      None   \n",
       "0  1.1   1     1                      route #3  False  False      None   \n",
       "0  1.2   1     2                      route #5  False  False      None   \n",
       "0    1   1     A  AMM sells 1388USDC buys 0ETH   True  False      None   \n",
       "\n",
       "          amt1  tkn1      amt2 tkn2     pair    routeix  nroutes        price  \\\n",
       "0   462.775145  USDC  0.166667  ETH  ETHUSDC          1        1  2776.650873   \n",
       "0   462.775145  USDC  0.166667  ETH  ETHUSDC          3        1  2776.650873   \n",
       "0   462.775145  USDC  0.166667  ETH  ETHUSDC          5        1  2776.650873   \n",
       "0  1388.325436  USDC  0.500000  ETH  ETHUSDC  [1, 3, 5]        3  2776.650873   \n",
       "\n",
       "         p_unit  threshold_orders  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  "
      ]
     },
     "execution_count": 10,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "AlphaSim.amm_buys('ETH',eth_trade_amount, execute=False, threshold_orders=3)['trades']  # route_trade_by_source"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "5832659a",
   "metadata": {},
   "source": [
    "Again, we expect that routing through fewer orders should give a slightly worse price for the trader.\n",
    "\n",
    "Since here the amm is buying then the trader is selling 0.5 ETH, then the Alpha price of 1388.32 USDC means that the return on 0.5 ETH sold is 1388.32 USDC. By comparison, the standard route gives a return of 1392.97 USDC which is slightly better for the trader (33bp)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "id": "ae9c61b8",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(1388.325436, 1392.971819)"
      ]
     },
     "execution_count": 11,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(AlphaSim.state()[\"trades\"].query(\"uid=='1'\").iloc[0][\"amt1\"],\n",
    " Sim.state()[\"trades\"].query(\"uid=='1'\").iloc[0][\"amt1\"])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "id": "19d5f92a",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "-33.35590093513585"
      ]
     },
     "execution_count": 12,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "10000*(AlphaSim.state()[\"trades\"].query(\"uid=='1'\").iloc[0][\"amt1\"]\n",
    "       /Sim.state()[\"trades\"].query(\"uid=='1'\").iloc[0][\"amt1\"]-1)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "02e69cb7",
   "metadata": {},
   "source": [
    "## Route by Target"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "3198de51",
   "metadata": {},
   "source": [
    "#### AMM sells USDC"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "57f99854",
   "metadata": {},
   "source": [
    "First we test the standard simulator which should route through all 5 positions"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "id": "2cb966d3",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>tkn1</th>\n",
       "      <th>amt2</th>\n",
       "      <th>tkn2</th>\n",
       "      <th>pair</th>\n",
       "      <th>routeix</th>\n",
       "      <th>nroutes</th>\n",
       "      <th>price</th>\n",
       "      <th>p_unit</th>\n",
       "      <th>threshold_orders</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2.0</td>\n",
       "      <td>2</td>\n",
       "      <td>0</td>\n",
       "      <td>route #1</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
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       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.071687</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>2789.909083</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2.1</td>\n",
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       "      <td>USDC</td>\n",
       "      <td>0.071687</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>3</td>\n",
       "      <td>1</td>\n",
       "      <td>2789.909083</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
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       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2.2</td>\n",
       "      <td>2</td>\n",
       "      <td>2</td>\n",
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       "      <td>False</td>\n",
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       "      <td>None</td>\n",
       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.071687</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>5</td>\n",
       "      <td>1</td>\n",
       "      <td>2789.909083</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2.3</td>\n",
       "      <td>2</td>\n",
       "      <td>3</td>\n",
       "      <td>route #7</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.071687</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>7</td>\n",
       "      <td>1</td>\n",
       "      <td>2789.909083</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2.4</td>\n",
       "      <td>2</td>\n",
       "      <td>4</td>\n",
       "      <td>route #9</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>200.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.071687</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>9</td>\n",
       "      <td>1</td>\n",
       "      <td>2789.909083</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
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       "      <td>2</td>\n",
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       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>1000.0</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.358435</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[1, 3, 5, 7, 9]</td>\n",
       "      <td>5</td>\n",
       "      <td>2789.909083</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  \\\n",
       "0  2.0   2     0                      route #1  False  False      None   \n",
       "0  2.1   2     1                      route #3  False  False      None   \n",
       "0  2.2   2     2                      route #5  False  False      None   \n",
       "0  2.3   2     3                      route #7  False  False      None   \n",
       "0  2.4   2     4                      route #9  False  False      None   \n",
       "0    2   2     A  AMM sells 1000USDC buys 0ETH   True  False      None   \n",
       "\n",
       "     amt1  tkn1      amt2 tkn2     pair          routeix  nroutes  \\\n",
       "0   200.0  USDC  0.071687  ETH  ETHUSDC                1        1   \n",
       "0   200.0  USDC  0.071687  ETH  ETHUSDC                3        1   \n",
       "0   200.0  USDC  0.071687  ETH  ETHUSDC                5        1   \n",
       "0   200.0  USDC  0.071687  ETH  ETHUSDC                7        1   \n",
       "0   200.0  USDC  0.071687  ETH  ETHUSDC                9        1   \n",
       "0  1000.0  USDC  0.358435  ETH  ETHUSDC  [1, 3, 5, 7, 9]        5   \n",
       "\n",
       "         price        p_unit threshold_orders  \n",
       "0  2789.909083  USDC per ETH             None  \n",
       "0  2789.909083  USDC per ETH             None  \n",
       "0  2789.909083  USDC per ETH             None  \n",
       "0  2789.909083  USDC per ETH             None  \n",
       "0  2789.909083  USDC per ETH             None  \n",
       "0  2789.909083  USDC per ETH             None  "
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Sim.amm_sells('USDC',usdc_trade_amount, execute=False)['trades']  # route_trade_by_target"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "0579ad03",
   "metadata": {},
   "source": [
    "Then we can set a threshold on the number of orders using the AlphaSim"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "id": "caf36235",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "  <thead>\n",
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       "      <th></th>\n",
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       "      <th>amt2</th>\n",
       "      <th>tkn2</th>\n",
       "      <th>pair</th>\n",
       "      <th>routeix</th>\n",
       "      <th>nroutes</th>\n",
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       "      <th>p_unit</th>\n",
       "      <th>threshold_orders</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2.0</td>\n",
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       "      <td>333.333333</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.119767</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>1</td>\n",
       "      <td>1</td>\n",
       "      <td>2783.181806</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
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       "      <th>0</th>\n",
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       "      <td>333.333333</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.119767</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>3</td>\n",
       "      <td>1</td>\n",
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       "      <th>0</th>\n",
       "      <td>2.2</td>\n",
       "      <td>2</td>\n",
       "      <td>2</td>\n",
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       "      <td>False</td>\n",
       "      <td>False</td>\n",
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       "      <td>333.333333</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.119767</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>5</td>\n",
       "      <td>1</td>\n",
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       "      <td>AMM sells 1000USDC buys 0ETH</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>1000.000000</td>\n",
       "      <td>USDC</td>\n",
       "      <td>0.359301</td>\n",
       "      <td>ETH</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[1, 3, 5]</td>\n",
       "      <td>3</td>\n",
       "      <td>2783.181806</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  \\\n",
       "0  2.0   2     0                      route #1  False  False      None   \n",
       "0  2.1   2     1                      route #3  False  False      None   \n",
       "0  2.2   2     2                      route #5  False  False      None   \n",
       "0    2   2     A  AMM sells 1000USDC buys 0ETH   True  False      None   \n",
       "\n",
       "          amt1  tkn1      amt2 tkn2     pair    routeix  nroutes        price  \\\n",
       "0   333.333333  USDC  0.119767  ETH  ETHUSDC          1        1  2783.181806   \n",
       "0   333.333333  USDC  0.119767  ETH  ETHUSDC          3        1  2783.181806   \n",
       "0   333.333333  USDC  0.119767  ETH  ETHUSDC          5        1  2783.181806   \n",
       "0  1000.000000  USDC  0.359301  ETH  ETHUSDC  [1, 3, 5]        3  2783.181806   \n",
       "\n",
       "         p_unit  threshold_orders  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  "
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "AlphaSim.amm_sells('USDC',usdc_trade_amount, execute=False, threshold_orders = 3)['trades'] # route_trade_by_target"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "aa9696f6",
   "metadata": {},
   "source": [
    "We would expect that routing through fewer orders should give a slightly worse price for the trader.\n",
    "\n",
    "Since here the amm is selling then the trader is buying 1000 USDC, then the Alpha price of 0.359301 ETH means the trader is required to pay more ETH for the same 1000 USDC than the standard approach (0.358435 ETH).\n",
    "\n",
    "This means that the higher ETH amount is a worse price as this is the amount that the trader will part with for a fixed target USDC amount (24bp)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "id": "5c34074a",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(0.359301, 0.358435)"
      ]
     },
     "execution_count": 15,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(AlphaSim.state()[\"trades\"].query(\"uid=='2'\").iloc[0][\"amt2\"],\n",
    " Sim.state()[\"trades\"].query(\"uid=='2'\").iloc[0][\"amt2\"])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "id": "a5437a65",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "24.160586996246902"
      ]
     },
     "execution_count": 16,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "10000*(AlphaSim.state()[\"trades\"].query(\"uid=='2'\").iloc[0][\"amt2\"]\n",
    "       /Sim.state()[\"trades\"].query(\"uid=='2'\").iloc[0][\"amt2\"]-1)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "89aa1c6c",
   "metadata": {},
   "source": [
    "#### AMM sells ETH"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "id": "ae3da716",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th>0</th>\n",
       "      <td>3.0</td>\n",
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       "      <th>0</th>\n",
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       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>3.2</td>\n",
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       "      <th>0</th>\n",
       "      <td>3.3</td>\n",
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       "      <td>False</td>\n",
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       "      <td>0.1</td>\n",
       "      <td>ETH</td>\n",
       "      <td>200.211369</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>6</td>\n",
       "      <td>1</td>\n",
       "      <td>2002.113688</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>3.4</td>\n",
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       "      <td>0.1</td>\n",
       "      <td>ETH</td>\n",
       "      <td>200.211369</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>8</td>\n",
       "      <td>1</td>\n",
       "      <td>2002.113688</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>3</td>\n",
       "      <td>3</td>\n",
       "      <td>A</td>\n",
       "      <td>AMM sells 0ETH buys 1001USDC</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.5</td>\n",
       "      <td>ETH</td>\n",
       "      <td>1001.056844</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[0, 2, 4, 6, 8]</td>\n",
       "      <td>5</td>\n",
       "      <td>2002.113688</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>None</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  amt1  \\\n",
       "0  3.0   3     0                      route #0  False  False      None   0.1   \n",
       "0  3.1   3     1                      route #2  False  False      None   0.1   \n",
       "0  3.2   3     2                      route #4  False  False      None   0.1   \n",
       "0  3.3   3     3                      route #6  False  False      None   0.1   \n",
       "0  3.4   3     4                      route #8  False  False      None   0.1   \n",
       "0    3   3     A  AMM sells 0ETH buys 1001USDC   True  False      None   0.5   \n",
       "\n",
       "  tkn1         amt2  tkn2     pair          routeix  nroutes        price  \\\n",
       "0  ETH   200.211369  USDC  ETHUSDC                0        1  2002.113688   \n",
       "0  ETH   200.211369  USDC  ETHUSDC                2        1  2002.113688   \n",
       "0  ETH   200.211369  USDC  ETHUSDC                4        1  2002.113688   \n",
       "0  ETH   200.211369  USDC  ETHUSDC                6        1  2002.113688   \n",
       "0  ETH   200.211369  USDC  ETHUSDC                8        1  2002.113688   \n",
       "0  ETH  1001.056844  USDC  ETHUSDC  [0, 2, 4, 6, 8]        5  2002.113688   \n",
       "\n",
       "         p_unit threshold_orders  \n",
       "0  USDC per ETH             None  \n",
       "0  USDC per ETH             None  \n",
       "0  USDC per ETH             None  \n",
       "0  USDC per ETH             None  \n",
       "0  USDC per ETH             None  \n",
       "0  USDC per ETH             None  "
      ]
     },
     "execution_count": 17,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Sim.amm_sells('ETH',eth_trade_amount, execute=False)['trades']  # route_trade_by_target"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 18,
   "id": "f20f0b3e",
   "metadata": {},
   "outputs": [
    {
     "data": {
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       "      <th></th>\n",
       "      <th>uid</th>\n",
       "      <th>id</th>\n",
       "      <th>subid</th>\n",
       "      <th>note</th>\n",
       "      <th>aggr</th>\n",
       "      <th>exec</th>\n",
       "      <th>limitfail</th>\n",
       "      <th>amt1</th>\n",
       "      <th>tkn1</th>\n",
       "      <th>amt2</th>\n",
       "      <th>tkn2</th>\n",
       "      <th>pair</th>\n",
       "      <th>routeix</th>\n",
       "      <th>nroutes</th>\n",
       "      <th>price</th>\n",
       "      <th>p_unit</th>\n",
       "      <th>threshold_orders</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>3.0</td>\n",
       "      <td>3</td>\n",
       "      <td>0</td>\n",
       "      <td>route #0</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.166667</td>\n",
       "      <td>ETH</td>\n",
       "      <td>333.920883</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>0</td>\n",
       "      <td>1</td>\n",
       "      <td>2003.525297</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>3.1</td>\n",
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       "      <td>0.166667</td>\n",
       "      <td>ETH</td>\n",
       "      <td>333.920883</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>2</td>\n",
       "      <td>1</td>\n",
       "      <td>2003.525297</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>3.2</td>\n",
       "      <td>3</td>\n",
       "      <td>2</td>\n",
       "      <td>route #4</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.166667</td>\n",
       "      <td>ETH</td>\n",
       "      <td>333.920883</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>4</td>\n",
       "      <td>1</td>\n",
       "      <td>2003.525297</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
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       "      <th>0</th>\n",
       "      <td>3</td>\n",
       "      <td>3</td>\n",
       "      <td>A</td>\n",
       "      <td>AMM sells 0ETH buys 1002USDC</td>\n",
       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.500000</td>\n",
       "      <td>ETH</td>\n",
       "      <td>1001.762648</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[0, 2, 4]</td>\n",
       "      <td>3</td>\n",
       "      <td>2003.525297</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>3</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  \\\n",
       "0  3.0   3     0                      route #0  False  False      None   \n",
       "0  3.1   3     1                      route #2  False  False      None   \n",
       "0  3.2   3     2                      route #4  False  False      None   \n",
       "0    3   3     A  AMM sells 0ETH buys 1002USDC   True  False      None   \n",
       "\n",
       "       amt1 tkn1         amt2  tkn2     pair    routeix  nroutes        price  \\\n",
       "0  0.166667  ETH   333.920883  USDC  ETHUSDC          0        1  2003.525297   \n",
       "0  0.166667  ETH   333.920883  USDC  ETHUSDC          2        1  2003.525297   \n",
       "0  0.166667  ETH   333.920883  USDC  ETHUSDC          4        1  2003.525297   \n",
       "0  0.500000  ETH  1001.762648  USDC  ETHUSDC  [0, 2, 4]        3  2003.525297   \n",
       "\n",
       "         p_unit  threshold_orders  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  \n",
       "0  USDC per ETH                 3  "
      ]
     },
     "execution_count": 18,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "AlphaSim.amm_sells('ETH',eth_trade_amount, execute=False, threshold_orders = 3)['trades'] # route_trade_by_target"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "1725f043",
   "metadata": {},
   "source": [
    "Again, we expect that routing through fewer orders should give a slightly worse price for the trader.\n",
    "\n",
    "Since here the amm is selling then the trader is buying 0.5 ETH, then the Alpha price of 1001.762648 USDC means the trader is required to pay more USDC for the same 0.5 ETH than the standard approach (1001.056844 USDC).\n",
    "\n",
    "This means that the higher USDC amount is a worse price as this is the amount that the trader will part with for a fixed target ETH amount (7bp)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "id": "10e8ff42",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(1001.762648, 1001.056844)"
      ]
     },
     "execution_count": 19,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(AlphaSim.state()[\"trades\"].query(\"uid=='3'\").iloc[0][\"amt2\"],\n",
    " Sim.state()[\"trades\"].query(\"uid=='3'\").iloc[0][\"amt2\"])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "id": "d5c5f0f5",
   "metadata": {
    "lines_to_next_cell": 2
   },
   "outputs": [
    {
     "data": {
      "text/plain": [
       "7.050588627712795"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "10000*(AlphaSim.state()[\"trades\"].query(\"uid=='3'\").iloc[0][\"amt2\"]\n",
    "       /Sim.state()[\"trades\"].query(\"uid=='3'\").iloc[0][\"amt2\"]-1)"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "69b92c20",
   "metadata": {},
   "source": [
    "### Decreasing the threshold number of orders"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "f6acd611",
   "metadata": {},
   "source": [
    "It follows that if we decrease the threshold then the price should get worse and vice-versa"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "id": "24c2e1c6",
   "metadata": {},
   "outputs": [
    {
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       "      <td>True</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.50</td>\n",
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       "      <td>1002.646305</td>\n",
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       "      <td>ETHUSDC</td>\n",
       "      <td>[0, 2]</td>\n",
       "      <td>2</td>\n",
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      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail  amt1  \\\n",
       "0  4.0   4     0                      route #0  False  False      None  0.25   \n",
       "0  4.1   4     1                      route #2  False  False      None  0.25   \n",
       "0    4   4     A  AMM sells 0ETH buys 1003USDC   True  False      None  0.50   \n",
       "\n",
       "  tkn1         amt2  tkn2     pair routeix  nroutes        price  \\\n",
       "0  ETH   501.323152  USDC  ETHUSDC       0        1  2005.292609   \n",
       "0  ETH   501.323152  USDC  ETHUSDC       2        1  2005.292609   \n",
       "0  ETH  1002.646305  USDC  ETHUSDC  [0, 2]        2  2005.292609   \n",
       "\n",
       "         p_unit  threshold_orders  \n",
       "0  USDC per ETH                 2  \n",
       "0  USDC per ETH                 2  \n",
       "0  USDC per ETH                 2  "
      ]
     },
     "execution_count": 21,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "AlphaSim.amm_sells('ETH',eth_trade_amount, execute=False, threshold_orders = 2)['trades'] # route_trade_by_target"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "id": "2f5ca12f",
   "metadata": {},
   "outputs": [
    {
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       "      <th>0</th>\n",
       "      <td>5.3</td>\n",
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       "      <td>3</td>\n",
       "      <td>route #6</td>\n",
       "      <td>False</td>\n",
       "      <td>False</td>\n",
       "      <td>None</td>\n",
       "      <td>0.125</td>\n",
       "      <td>ETH</td>\n",
       "      <td>250.330351</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>6</td>\n",
       "      <td>1</td>\n",
       "      <td>2002.642808</td>\n",
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       "    <tr>\n",
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       "      <td>False</td>\n",
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       "      <td>0.500</td>\n",
       "      <td>ETH</td>\n",
       "      <td>1001.321404</td>\n",
       "      <td>USDC</td>\n",
       "      <td>ETHUSDC</td>\n",
       "      <td>[0, 2, 4, 6]</td>\n",
       "      <td>4</td>\n",
       "      <td>2002.642808</td>\n",
       "      <td>USDC per ETH</td>\n",
       "      <td>4</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   uid  id subid                          note   aggr   exec limitfail   amt1  \\\n",
       "0  5.0   5     0                      route #0  False  False      None  0.125   \n",
       "0  5.1   5     1                      route #2  False  False      None  0.125   \n",
       "0  5.2   5     2                      route #4  False  False      None  0.125   \n",
       "0  5.3   5     3                      route #6  False  False      None  0.125   \n",
       "0    5   5     A  AMM sells 0ETH buys 1001USDC   True  False      None  0.500   \n",
       "\n",
       "  tkn1         amt2  tkn2     pair       routeix  nroutes        price  \\\n",
       "0  ETH   250.330351  USDC  ETHUSDC             0        1  2002.642808   \n",
       "0  ETH   250.330351  USDC  ETHUSDC             2        1  2002.642808   \n",
       "0  ETH   250.330351  USDC  ETHUSDC             4        1  2002.642808   \n",
       "0  ETH   250.330351  USDC  ETHUSDC             6        1  2002.642808   \n",
       "0  ETH  1001.321404  USDC  ETHUSDC  [0, 2, 4, 6]        4  2002.642808   \n",
       "\n",
       "         p_unit  threshold_orders  \n",
       "0  USDC per ETH                 4  \n",
       "0  USDC per ETH                 4  \n",
       "0  USDC per ETH                 4  \n",
       "0  USDC per ETH                 4  \n",
       "0  USDC per ETH                 4  "
      ]
     },
     "execution_count": 22,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "AlphaSim.amm_sells('ETH',eth_trade_amount, execute=False, threshold_orders = 4)['trades'] # route_trade_by_target"
   ]
  },
  {
   "cell_type": "markdown",
   "id": "fa4a254d",
   "metadata": {},
   "source": [
    "And indeed reducing to 2 orders gives a worse price (i.e. costs more) and increasing to 4 orders gives a better price (i.e. costs less; 13bp)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 23,
   "id": "4546998a",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "(1002.646305, 1001.321404)"
      ]
     },
     "execution_count": 23,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "(AlphaSim.state()[\"trades\"].query(\"uid=='4'\").iloc[0][\"amt2\"],\n",
    " AlphaSim.state()[\"trades\"].query(\"uid=='5'\").iloc[0][\"amt2\"])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 24,
   "id": "0603de3f",
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "13.231525808869993"
      ]
     },
     "execution_count": 24,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "10000*(AlphaSim.state()[\"trades\"].query(\"uid=='4'\").iloc[0][\"amt2\"]\n",
    "       / AlphaSim.state()[\"trades\"].query(\"uid=='5'\").iloc[0][\"amt2\"]-1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "cd60aa2e",
   "metadata": {},
   "outputs": [],
   "source": []
  }
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