Added test with specific output of get_arb_swaps (#166)

* Added test with specific output of get_arb_swaps to compare against actual implementation * Fix test for github
galacticcouncil · Dec 14, 2023 · 24961c9 · 24961c9
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diff --git a/hydradx/tests/config/arbconfig2.txt b/hydradx/tests/config/arbconfig2.txt
@@ -0,0 +1,34 @@
+[
+    {"tkns": ["HDX", "USDT"], "tkn_ids": [0, 10], "exchange": "kraken", "order_book": ["HDX","USD"], "buffer": 0.0010},
+    {"tkns": ["DOT", "USDT"], "tkn_ids": [5, 10], "exchange": "kraken", "order_book": ["DOT","USDT"], "buffer": 0.0010},
+    {"tkns": ["WETH", "USDT"], "tkn_ids": [20, 10], "exchange": "kraken", "order_book": ["ETH","USDT"], "buffer": 0.0010},
+    {"tkns": ["WETH", "USDT"], "tkn_ids": [20, 18], "exchange": "kraken", "order_book": ["ETH","DAI"], "buffer": 0.0010},
+    {"tkns": ["DOT", "WETH"], "tkn_ids": [5, 20], "exchange": "kraken", "order_book": ["DOT","ETH"], "buffer": 0.0010},
+    {"tkns": ["WBTC", "USDT"], "tkn_ids": [19, 10], "exchange": "kraken", "order_book": ["BTC","USDT"], "buffer": 0.0010},
+    {"tkns": ["IBTC", "USDT"], "tkn_ids": [11, 10], "exchange": "kraken", "order_book": ["BTC","USDT"], "buffer": 0.0010},
+    {"tkns": ["WBTC", "USDT"], "tkn_ids": [19, 18], "exchange": "kraken", "order_book": ["BTC","DAI"], "buffer": 0.0010},
+    {"tkns": ["IBTC", "USDT"], "tkn_ids": [11, 18], "exchange": "kraken", "order_book": ["BTC","DAI"], "buffer": 0.0010},
+    {"tkns": ["DOT", "WBTC"], "tkn_ids": [5, 19], "exchange": "kraken", "order_book": ["DOT","BTC"], "buffer": 0.0010},
+    {"tkns": ["DOT", "IBTC"], "tkn_ids": [5, 11], "exchange": "kraken", "order_book": ["DOT","BTC"], "buffer": 0.0010},
+    {"tkns": ["WETH", "WBTC"], "tkn_ids": [20, 19], "exchange": "kraken", "order_book": ["ETH","BTC"], "buffer": 0.0010},
+    {"tkns": ["WETH", "IBTC"], "tkn_ids": [20, 11], "exchange": "kraken", "order_book": ["ETH","BTC"], "buffer": 0.0010},
+    {"tkns": ["ASTR", "USDT"], "tkn_ids": [9, 10], "exchange": "kraken", "order_book": ["ASTR","USD"], "buffer": 0.0010},
+    {"tkns": ["CFG", "USDT"], "tkn_ids": [13, 10], "exchange": "kraken", "order_book": ["CFG","USD"], "buffer": 0.0010},
+    {"tkns": ["BNC", "USDT"], "tkn_ids": [14, 10], "exchange": "kraken", "order_book": ["BNC","USD"], "buffer": 0.0010},
+    {"tkns": ["GLMR", "USDT"], "tkn_ids": [16, 10], "exchange": "kraken", "order_book": ["GLMR","USD"], "buffer": 0.0010},
+    {"tkns": ["INTR", "USDT"], "tkn_ids": [17, 10], "exchange": "kraken", "order_book": ["INTR","USD"], "buffer": 0.0010},
+    {"tkns": ["DOT", "USDT"], "tkn_ids": [5, 10], "exchange": "binance", "order_book": ["DOT","USDT"], "buffer": 0.0010},
+    {"tkns": ["DOT", "WETH"], "tkn_ids": [5, 20], "exchange": "binance", "order_book": ["DOT","ETH"], "buffer": 0.0010},
+    {"tkns": ["DOT", "WBTC"], "tkn_ids": [5, 19], "exchange": "binance", "order_book": ["DOT","BTC"], "buffer": 0.0010},
+    {"tkns": ["DOT", "IBTC"], "tkn_ids": [5, 11], "exchange": "binance", "order_book": ["DOT","BTC"], "buffer": 0.0010},
+    {"tkns": ["WETH", "USDT"], "tkn_ids": [20, 10], "exchange": "binance", "order_book": ["ETH","USDT"], "buffer": 0.0010},
+    {"tkns": ["WETH", "DAI"], "tkn_ids": [20, 18], "exchange": "binance", "order_book": ["ETH","DAI"], "buffer": 0.0010},
+    {"tkns": ["WETH", "WBTC"], "tkn_ids": [20, 19], "exchange": "binance", "order_book": ["ETH","BTC"], "buffer": 0.0010},
+    {"tkns": ["WETH", "IBTC"], "tkn_ids": [20, 11], "exchange": "binance", "order_book": ["ETH","BTC"], "buffer": 0.0010},
+    {"tkns": ["WBTC", "USDT"], "tkn_ids": [19, 10], "exchange": "binance", "order_book": ["BTC","USDT"], "buffer": 0.0010},
+    {"tkns": ["IBTC", "USDT"], "tkn_ids": [11, 10], "exchange": "binance", "order_book": ["BTC","USDT"], "buffer": 0.0010},
+    {"tkns": ["WBTC", "DAI"], "tkn_ids": [19, 18], "exchange": "binance", "order_book": ["BTC","DAI"], "buffer": 0.0010},
+    {"tkns": ["IBTC", "DAI"], "tkn_ids": [11, 18], "exchange": "binance", "order_book": ["BTC","DAI"], "buffer": 0.0010},
+    {"tkns": ["ASTR", "USDT"], "tkn_ids": [9, 10], "exchange": "binance", "order_book": ["ASTR","USDT"], "buffer": 0.0010},
+    {"tkns": ["GLMR", "USDT"], "tkn_ids": [16, 10], "exchange": "binance", "order_book": ["GLMR","USDT"], "buffer": 0.0010}
+]
diff --git a/hydradx/tests/config/liqconfig.txt b/hydradx/tests/config/liqconfig.txt
@@ -0,0 +1,9 @@
+{"cex": {"kraken":
+    {"USD": 1000, "USDT": 1000, "DAI": 1000, "DOT": 200, "BTC": 0.030, "ETH": 0.5, "HDX": 300000, "ASTR": 3000,
+     "CFG": 350, "INTR": 8000, "BNC": 800, "GLMR": 800},
+    "binance":
+        {"USD": 1000, "USDT": 1000, "DAI": 1000, "DOT": 200, "BTC": 0.03, "ETH": 0.5, "HDX": 300000, "ASTR": 3000,
+         "GLMR": 800}},
+"dex": {"USDT": 1000, "DAI": 1000, "DOT": 200, "iBTC": 0.03, "WBTC": 0.03, "WETH": 0.5, "HDX": 300000, "ASTR": 3000,
+     "CFG": 350, "INTR": 8000, "BNC": 800, "GLMR": 800}
+}
diff --git a/hydradx/tests/output/arb_swaps.json b/hydradx/tests/output/arb_swaps.json
@@ -0,0 +1 @@
+[{"dex": {"trade": "buy", "buy_asset": "iBTC", "sell_asset": "DAI001", "price": 38706.04, "amount": 0.01453, "max_sell": 514.1799334498644}, "cex": {"trade": "sell", "buy_asset": "DAI", "sell_asset": "BTC", "price": 38686.686980000006, "amount": 0.01453}, "exchange": "binance"}, {"dex": {"trade": "buy", "buy_asset": "iBTC", "sell_asset": "DAI001", "price": 38706.03, "amount": 0.02908, "max_sell": 1074.3511630808114}, "cex": {"trade": "sell", "buy_asset": "DAI", "sell_asset": "BTC", "price": 38686.676985, "amount": 0.02908}, "exchange": "binance"}, {"dex": {"trade": "buy", "buy_asset": "WBTC", "sell_asset": "DAI001", "price": 38706.02, "amount": 0.008306158332824706, "max_sell": 318.3454783473015}, "cex": {"trade": "sell", "buy_asset": "DAI", "sell_asset": "BTC", "price": 38686.66699, "amount": 0.008306158332824706}, "exchange": "binance"}, {"dex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "CFG", "price": 0.6818, "amount": 41.024, "min_buy": 28.101874021768573}, "cex": {"trade": "buy", "buy_asset": "CFG", "sell_asset": "USD", "price": 0.6821408999999999, "amount": 41.024}, "exchange": "kraken"}, {"dex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "CFG", "price": 0.682, "amount": 293.267, "min_buy": 200.77441141819955}, "cex": {"trade": "buy", "buy_asset": "CFG", "sell_asset": "USD", "price": 0.682341, "amount": 293.267}, "exchange": "kraken"}, {"dex": {"trade": "buy", "buy_asset": "WBTC", "sell_asset": "USDT", "price": 38821.39, "amount": 0.005976583435058594, "max_sell": 231.60450055789946}, "cex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "BTC", "price": 38801.979305, "amount": 0.005976583435058594}, "exchange": "binance"}, {"dex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "CFG", "price": 0.6826, "amount": 15.709000000000003, "min_buy": 10.750916699111462}, "cex": {"trade": "buy", "buy_asset": "CFG", "sell_asset": "USD", "price": 0.6829413, "amount": 15.709000000000003}, "exchange": "kraken"}, {"dex": {"trade": "buy", "buy_asset": "iBTC", "sell_asset": "USDT", "price": 38821.39, "amount": 0.0032848484389733064, "max_sell": 127.30795960825681}, "cex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "BTC", "price": 38801.979305, "amount": 0.0032848484389733064}, "exchange": "binance"}]
diff --git a/hydradx/tests/test_arbitrage_agent.py b/hydradx/tests/test_arbitrage_agent.py
@@ -1,6 +1,6 @@
 import copy
 from datetime import timedelta
-import os
+import os, json
 import pytest
 from hypothesis import given, strategies as st, settings, Phase
 from mpmath import mp, mpf
@@ -1076,3 +1076,73 @@ def test_combine_step():
             print(f'Second iteration also gained {iter_profit_total - combined_profit_total}.')
         else:
             print('Iteration did not improve profit.')
+
+
+def test_get_arb_swaps_output():
+
+    prefix = './'
+    if not os.path.exists(prefix + "data"):
+        prefix = 'hydradx/tests/'
+
+    asset_list, asset_map, tokens, fees = get_omnipool_data_from_file(prefix + "data/")
+
+    arb_file = "arbconfig2.txt"
+    with open(prefix + 'config/' + arb_file, 'r') as json_file:
+        cfg = json.load(json_file)
+
+    for d in cfg:
+        d['tkns'] = tuple(d['tkns'])
+        d['tkn_ids'] = tuple(d['tkn_ids'])
+        d['order_book'] = tuple(d['order_book'])
+
+    order_book_assets = {}
+
+    ob_objs = get_orderbooks_from_file(prefix + "data/")
+
+    for arb_cfg in cfg:
+        tkn_pair = arb_cfg['order_book']
+        exchange = arb_cfg['exchange']
+        for tkn in tkn_pair:
+            if exchange not in order_book_assets:
+                order_book_assets[exchange] = []
+            if tkn not in order_book_assets[exchange]:
+                order_book_assets[exchange].append(tkn)
+
+        arb_cfg['tkn_pair'] = (asset_map[arb_cfg['tkn_ids'][0]], asset_map[arb_cfg['tkn_ids'][1]])
+
+    cex_fees = {
+        'kraken': 0.0016,
+        'binance': 0.0010
+    }
+
+    lrna_fee = {asset: fees[asset]['protocol_fee'] for asset in asset_list}
+    asset_fee = {asset: fees[asset]['asset_fee'] for asset in asset_list}
+
+    cex_dict = {}
+    for exchange in ob_objs:
+        cex_dict[exchange] = CentralizedMarket(
+            order_book=ob_objs[exchange],
+            asset_list=order_book_assets[exchange],
+            trade_fee=cex_fees[exchange]
+        )
+
+    op_state = OmnipoolState(
+        tokens=tokens,
+        lrna_fee=lrna_fee,
+        asset_fee=asset_fee,
+        preferred_stablecoin='USDT',
+    )
+
+    liq_file = "liqconfig.txt"
+    with open(prefix + 'config/' + liq_file, 'r') as json_file:
+        max_liquidity = json.load(json_file)
+
+    all_swaps = get_arb_swaps(op_state, cex_dict, cfg, max_liquidity=max_liquidity)
+
+    # with open(f'./output/arb_swaps.json', 'w') as output_file:
+    #     json.dump(all_swaps, output_file)
+
+    with open(prefix + 'output/arb_swaps.json', 'r') as output_file:
+        loaded_swaps = json.load(output_file)
+
+    assert all_swaps == loaded_swaps
Original file line number	Diff line number	Diff line change
		@@ -0,0 +1 @@
		[{"dex": {"trade": "buy", "buy_asset": "iBTC", "sell_asset": "DAI001", "price": 38706.04, "amount": 0.01453, "max_sell": 514.1799334498644}, "cex": {"trade": "sell", "buy_asset": "DAI", "sell_asset": "BTC", "price": 38686.686980000006, "amount": 0.01453}, "exchange": "binance"}, {"dex": {"trade": "buy", "buy_asset": "iBTC", "sell_asset": "DAI001", "price": 38706.03, "amount": 0.02908, "max_sell": 1074.3511630808114}, "cex": {"trade": "sell", "buy_asset": "DAI", "sell_asset": "BTC", "price": 38686.676985, "amount": 0.02908}, "exchange": "binance"}, {"dex": {"trade": "buy", "buy_asset": "WBTC", "sell_asset": "DAI001", "price": 38706.02, "amount": 0.008306158332824706, "max_sell": 318.3454783473015}, "cex": {"trade": "sell", "buy_asset": "DAI", "sell_asset": "BTC", "price": 38686.66699, "amount": 0.008306158332824706}, "exchange": "binance"}, {"dex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "CFG", "price": 0.6818, "amount": 41.024, "min_buy": 28.101874021768573}, "cex": {"trade": "buy", "buy_asset": "CFG", "sell_asset": "USD", "price": 0.6821408999999999, "amount": 41.024}, "exchange": "kraken"}, {"dex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "CFG", "price": 0.682, "amount": 293.267, "min_buy": 200.77441141819955}, "cex": {"trade": "buy", "buy_asset": "CFG", "sell_asset": "USD", "price": 0.682341, "amount": 293.267}, "exchange": "kraken"}, {"dex": {"trade": "buy", "buy_asset": "WBTC", "sell_asset": "USDT", "price": 38821.39, "amount": 0.005976583435058594, "max_sell": 231.60450055789946}, "cex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "BTC", "price": 38801.979305, "amount": 0.005976583435058594}, "exchange": "binance"}, {"dex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "CFG", "price": 0.6826, "amount": 15.709000000000003, "min_buy": 10.750916699111462}, "cex": {"trade": "buy", "buy_asset": "CFG", "sell_asset": "USD", "price": 0.6829413, "amount": 15.709000000000003}, "exchange": "kraken"}, {"dex": {"trade": "buy", "buy_asset": "iBTC", "sell_asset": "USDT", "price": 38821.39, "amount": 0.0032848484389733064, "max_sell": 127.30795960825681}, "cex": {"trade": "sell", "buy_asset": "USDT", "sell_asset": "BTC", "price": 38801.979305, "amount": 0.0032848484389733064}, "exchange": "binance"}]