Trade slippage & app Data

dbt_subprojects/hourly_spellbook/models/_project/cow_protocol/arbitrum/cow_protocol_arbitrum_app_data.sql

@@ -0,0 +1,58 @@
+{{ config(alias='app_data',
+
+        post_hook='{{ expose_spells(\'["arbitrum"]\',
+                                    "project",
+                                    "cow_protocol",
+                                    \'["bh2smith"]\') }}'
+)}}
+
+-- Find the PoC Query here: https://dune.com/queries/1751965
+with
+  partially_unpacked_app_content as (
+    select
+        distinct from_hex(app_hash) as app_hash,
+        content.appCode as app_code,
+        content.environment,
+        content.metadata.orderClass.orderClass as order_class,
+        content.metadata.partnerFee as partner_fee,
+        content.metadata.quote,
+        content.metadata.referrer,
+        content.metadata.utm,
+        content.metadata.widget
+    from {{ source('cowswap', 'raw_app_data') }}
+  ),
+  unpacked_referrer_app_data as (
+    select
+        app_hash,
+        app_code,
+        environment,
+        order_class,
+        partner_fee,
+        quote,
+        -- different app data versions put referrer in two possible places.
+        from_hex(coalesce(referrer.address, referrer.referrer)) as referrer,
+        utm,
+        widget
+    from partially_unpacked_app_content
+  ),
+  results as (
+    select
+        app_hash,
+        app_code,
+        environment,
+        order_class,
+        referrer,
+        partner_fee.bps as partner_fee_bps,
+        partner_fee.recipient as partner_recipient,
+        cast(quote.slippageBips as double) as slippage_bips,
+        utm,
+        utm.utmSource as utm_source,
+        utm.utmMedium as utm_medium,
+        utm.utmContent as utm_content,
+        utm.utmCampaign as utm_campaign,
+        utm.utmTerm as utm_term,
+        widget.appCode as widget_app_code,
+        widget.environment as widget_environment
+    from unpacked_referrer_app_data
+)
+select * from results

dbt_subprojects/hourly_spellbook/models/_project/cow_protocol/arbitrum/cow_protocol_arbitrum_schema.yml

@@ -23,3 +23,30 @@ models:
     data_tests:
       - unique:
           column_name: tx_hash
+
+  - name: cow_protocol_arbitrum_app_data
+    meta:
+      blockchain: arbitrum
+      project: cow_protocol
+      contributors: bh2smith
+    config:
+      tags: ['arbitrum','cow_protocol','app_data', "metadata"]
+    description: >
+      CoW Protocol App Data is JSON content stored on IPFS corresponding to order AppHash (cf. CoW Documentation https://docs.cow.fi/front-end/creating-app-ids).
+
+  - name: cow_protocol_arbitrum_trade_slippage
+    meta:
+      blockchain: arbitrum
+      project: cow_protocol
+      contributors: bh2smith, gentrexha, josojo
+    config:
+      tags: [ 'arbitrum','cow_protocol','trade_slippage' ]
+    description: >
+      The query contains several measurements between the quoted price on cowswap and 
+      the executed price. The price difference between the quote and the actual price 
+      is called price improvement and is measured as percentage or in absolute dollars.
+    data_tests:
+      - dbt_utils.unique_combination_of_columns:
+          combination_of_columns:
+            - order_uid
+            - block_number

dbt_subprojects/hourly_spellbook/models/_project/cow_protocol/arbitrum/cow_protocol_arbitrum_trade_slippage.sql

@@ -0,0 +1,63 @@
+{{ config(
+        alias='trade_slippage',
+
+        post_hook='{{ expose_spells(\'["arbitrum"]\',
+                                    "project",
+                                    "cow_protocol",
+                                    \'["bh2smith", "gentrexha", "josojo"]\') }}'
+)}}
+
+-- PoC Query: https://dune.com/queries/2279196
+with 
+raw_data as (
+select
+    order_uid,
+    block_number,
+    block_time,
+    order_type,
+    CASE
+        when order_type = 'SELL'
+        then cast(atoms_sold as double) / cast(limit_sell_amount as double)
+        else cast(atoms_bought as double) / cast(limit_buy_amount as double)
+        end as fill_proportion,
+    CASE when order_type = 'SELL'
+        THEN (cast(limit_buy_amount as double) / (1.0 - (cast(slippage_bips as double) / 10000.0)))
+        else cast(limit_buy_amount as double) end as buy_quote,
+    atoms_bought,
+    CASE when order_type = 'BUY'
+        THEN (cast(limit_sell_amount as double) / (1.0 + (cast(slippage_bips as double) / 10000.0)))
+        else cast(limit_sell_amount as double) end as sell_quote,
+    atoms_sold,
+    usd_value as trade_usd_value,
+    slippage_bips as tolerance_bips
+from {{ref('cow_protocol_arbitrum_app_data')}} as ad
+inner join {{ source('cow_protocol_arbitrum', 'trades') }} as t on t.app_data = ad.app_hash
+where slippage_bips is not null
+),
+
+results as (
+    select order_uid,
+           block_number,
+           block_time,
+           buy_quote,
+           sell_quote,
+           tolerance_bips,
+           trade_usd_value,
+           fill_proportion,
+           CASE
+               WHEN order_type = 'SELL' THEN (atoms_bought - (buy_quote * fill_proportion))
+               ELSE ((sell_quote * fill_proportion) - atoms_sold)
+               END  AS amount_atoms,
+           100.0 * (CASE
+                        WHEN order_type = 'SELL'
+                            THEN (atoms_bought - (buy_quote * fill_proportion)) / (buy_quote * fill_proportion)
+                        ELSE ((sell_quote * fill_proportion) - atoms_sold) / (sell_quote * fill_proportion)
+               END) AS amount_percentage,
+           CASE
+               WHEN order_type = 'SELL'
+                   THEN (atoms_bought - (buy_quote * fill_proportion)) * (trade_usd_value / atoms_bought)
+               ELSE ((sell_quote * fill_proportion) - atoms_sold) * (trade_usd_value / atoms_sold)
+               END  AS amount_usd
+    from raw_data
+)
+select * from results

dbt_subprojects/hourly_spellbook/models/_project/cow_protocol/base/cow_protocol_base_app_data.sql

@@ -0,0 +1,58 @@
+{{ config(alias='app_data',
+
+        post_hook='{{ expose_spells(\'["base"]\',
+                                    "project",
+                                    "cow_protocol",
+                                    \'["bh2smith"]\') }}'
+)}}
+
+-- Find the PoC Query here: https://dune.com/queries/1751965
+with
+  partially_unpacked_app_content as (
+    select
+        distinct from_hex(app_hash) as app_hash,
+        content.appCode as app_code,
+        content.environment,
+        content.metadata.orderClass.orderClass as order_class,
+        content.metadata.partnerFee as partner_fee,
+        content.metadata.quote,
+        content.metadata.referrer,
+        content.metadata.utm,
+        content.metadata.widget
+    from {{ source('cowswap', 'raw_app_data') }}
+  ),
+  unpacked_referrer_app_data as (
+    select
+        app_hash,
+        app_code,
+        environment,
+        order_class,
+        partner_fee,
+        quote,
+        -- different app data versions put referrer in two possible places.
+        from_hex(coalesce(referrer.address, referrer.referrer)) as referrer,
+        utm,
+        widget
+    from partially_unpacked_app_content
+  ),
+  results as (
+    select
+        app_hash,
+        app_code,
+        environment,
+        order_class,
+        referrer,
+        partner_fee.bps as partner_fee_bps,
+        partner_fee.recipient as partner_recipient,
+        cast(quote.slippageBips as double) as slippage_bips,
+        utm,
+        utm.utmSource as utm_source,
+        utm.utmMedium as utm_medium,
+        utm.utmContent as utm_content,
+        utm.utmCampaign as utm_campaign,
+        utm.utmTerm as utm_term,
+        widget.appCode as widget_app_code,
+        widget.environment as widget_environment
+    from unpacked_referrer_app_data
+)
+select * from results

dbt_subprojects/hourly_spellbook/models/_project/cow_protocol/base/cow_protocol_base_schema.yml

@@ -23,3 +23,30 @@ models:
     data_tests:
       - unique:
           column_name: tx_hash
+
+  - name: cow_protocol_base_app_data
+    meta:
+      blockchain: base
+      project: cow_protocol
+      contributors: bh2smith
+    config:
+      tags: ['base','cow_protocol','app_data', "metadata"]
+    description: >
+      CoW Protocol App Data is JSON content stored on IPFS corresponding to order AppHash (cf. CoW Documentation https://docs.cow.fi/front-end/creating-app-ids).
+
+  - name: cow_protocol_base_trade_slippage
+    meta:
+      blockchain: base
+      project: cow_protocol
+      contributors: bh2smith, gentrexha, josojo
+    config:
+      tags: [ 'base','cow_protocol','trade_slippage' ]
+    description: >
+      The query contains several measurements between the quoted price on cowswap and 
+      the executed price. The price difference between the quote and the actual price 
+      is called price improvement and is measured as percentage or in absolute dollars.
+    data_tests:
+      - dbt_utils.unique_combination_of_columns:
+          combination_of_columns:
+            - order_uid
+            - block_number

dbt_subprojects/hourly_spellbook/models/_project/cow_protocol/base/cow_protocol_base_trade_slippage.sql

@@ -0,0 +1,63 @@
+{{ config(
+        alias='trade_slippage',
+
+        post_hook='{{ expose_spells(\'["base"]\',
+                                    "project",
+                                    "cow_protocol",
+                                    \'["bh2smith", "gentrexha", "josojo"]\') }}'
+)}}
+
+-- PoC Query: https://dune.com/queries/2279196
+with 
+raw_data as (
+select
+    order_uid,
+    block_number,
+    block_time,
+    order_type,
+    CASE
+        when order_type = 'SELL'
+        then cast(atoms_sold as double) / cast(limit_sell_amount as double)
+        else cast(atoms_bought as double) / cast(limit_buy_amount as double)
+        end as fill_proportion,
+    CASE when order_type = 'SELL'
+        THEN (cast(limit_buy_amount as double) / (1.0 - (cast(slippage_bips as double) / 10000.0)))
+        else cast(limit_buy_amount as double) end as buy_quote,
+    atoms_bought,
+    CASE when order_type = 'BUY'
+        THEN (cast(limit_sell_amount as double) / (1.0 + (cast(slippage_bips as double) / 10000.0)))
+        else cast(limit_sell_amount as double) end as sell_quote,
+    atoms_sold,
+    usd_value as trade_usd_value,
+    slippage_bips as tolerance_bips
+from {{ref('cow_protocol_base_app_data')}} as ad
+inner join {{ source('cow_protocol_base', 'trades') }} as t on t.app_data = ad.app_hash
+where slippage_bips is not null
+),
+
+results as (
+    select order_uid,
+           block_number,
+           block_time,
+           buy_quote,
+           sell_quote,
+           tolerance_bips,
+           trade_usd_value,
+           fill_proportion,
+           CASE
+               WHEN order_type = 'SELL' THEN (atoms_bought - (buy_quote * fill_proportion))
+               ELSE ((sell_quote * fill_proportion) - atoms_sold)
+               END  AS amount_atoms,
+           100.0 * (CASE
+                        WHEN order_type = 'SELL'
+                            THEN (atoms_bought - (buy_quote * fill_proportion)) / (buy_quote * fill_proportion)
+                        ELSE ((sell_quote * fill_proportion) - atoms_sold) / (sell_quote * fill_proportion)
+               END) AS amount_percentage,
+           CASE
+               WHEN order_type = 'SELL'
+                   THEN (atoms_bought - (buy_quote * fill_proportion)) * (trade_usd_value / atoms_bought)
+               ELSE ((sell_quote * fill_proportion) - atoms_sold) * (trade_usd_value / atoms_sold)
+               END  AS amount_usd
+    from raw_data
+)
+select * from results

dbt_subprojects/hourly_spellbook/models/_project/cow_protocol/gnosis/cow_protocol_gnosis_app_data.sql

@@ -0,0 +1,58 @@
+{{ config(alias='app_data',
+
+        post_hook='{{ expose_spells(\'["gnosis"]\',
+                                    "project",
+                                    "cow_protocol",
+                                    \'["bh2smith"]\') }}'
+)}}
+
+-- Find the PoC Query here: https://dune.com/queries/1751965
+with
+  partially_unpacked_app_content as (
+    select
+        distinct from_hex(app_hash) as app_hash,
+        content.appCode as app_code,
+        content.environment,
+        content.metadata.orderClass.orderClass as order_class,
+        content.metadata.partnerFee as partner_fee,
+        content.metadata.quote,
+        content.metadata.referrer,
+        content.metadata.utm,
+        content.metadata.widget
+    from {{ source('cowswap', 'raw_app_data') }}
+  ),
+  unpacked_referrer_app_data as (
+    select
+        app_hash,
+        app_code,
+        environment,
+        order_class,
+        partner_fee,
+        quote,
+        -- different app data versions put referrer in two possible places.
+        from_hex(coalesce(referrer.address, referrer.referrer)) as referrer,
+        utm,
+        widget
+    from partially_unpacked_app_content
+  ),
+  results as (
+    select
+        app_hash,
+        app_code,
+        environment,
+        order_class,
+        referrer,
+        partner_fee.bps as partner_fee_bps,
+        partner_fee.recipient as partner_recipient,
+        cast(quote.slippageBips as double) as slippage_bips,
+        utm,
+        utm.utmSource as utm_source,
+        utm.utmMedium as utm_medium,
+        utm.utmContent as utm_content,
+        utm.utmCampaign as utm_campaign,
+        utm.utmTerm as utm_term,
+        widget.appCode as widget_app_code,
+        widget.environment as widget_environment
+    from unpacked_referrer_app_data
+)
+select * from results

dbt_subprojects/hourly_spellbook/models/_project/cow_protocol/gnosis/cow_protocol_gnosis_schema.yml

@@ -20,3 +20,30 @@ models:
       tags: ['gnosis','cow_protocol','trades', 'dex', 'aggregator', 'auction']
     description: >
       CoW Protocol enriched batches table on Gnosis Chain
+
+  - name: cow_protocol_gnosis_app_data
+    meta:
+      blockchain: gnosis
+      project: cow_protocol
+      contributors: bh2smith
+    config:
+      tags: ['gnosis','cow_protocol','app_data', "metadata"]
+    description: >
+      CoW Protocol App Data is JSON content stored on IPFS corresponding to order AppHash (cf. CoW Documentation https://docs.cow.fi/front-end/creating-app-ids).
+
+  - name: cow_protocol_gnosis_trade_slippage
+    meta:
+      blockchain: gnosis
+      project: cow_protocol
+      contributors: bh2smith, gentrexha, josojo
+    config:
+      tags: [ 'gnosis','cow_protocol','trade_slippage' ]
+    description: >
+      The query contains several measurements between the quoted price on cowswap and 
+      the executed price. The price difference between the quote and the actual price 
+      is called price improvement and is measured as percentage or in absolute dollars.
+    data_tests:
+      - dbt_utils.unique_combination_of_columns:
+          combination_of_columns:
+            - order_uid
+            - block_number