Merge branch 'master' of github.com:tradingstrategy-ai/trade-executor

tradeexecutor/ethereum/aave_v3/aave_v3_routing.py

@@ -60,9 +60,10 @@ def __init__(
         self,
         pair_universe: PandasPairUniverse,
         tx_builder: Optional[HotWalletTransactionBuilder]=None,
-        swap_gas_limit=2_000_000
+        swap_gas_limit=None,
+        approve_gas_limit=None,
     ):
-        super().__init__(pair_universe, tx_builder, swap_gas_limit)
+        super().__init__(pair_universe, tx_builder=tx_builder, swap_gas_limit=swap_gas_limit, approve_gas_limit=approve_gas_limit)
 
     def __repr__(self):
         return f"<OneDeltaRoutingState Tx builder: {self.tx_builder} web3: {self.web3}>"

tradeexecutor/ethereum/one_delta/one_delta_routing.py

@@ -72,9 +72,10 @@ def __init__(
         self,
         pair_universe: PandasPairUniverse,
         tx_builder: Optional[HotWalletTransactionBuilder]=None,
-        swap_gas_limit=2_000_000
+        swap_gas_limit=None,
+        approve_gas_limit=None,
     ):
-        super().__init__(pair_universe, tx_builder, swap_gas_limit)
+        super().__init__(pair_universe, tx_builder=tx_builder, swap_gas_limit=swap_gas_limit, approve_gas_limit=approve_gas_limit)
 
     def __repr__(self):
         return f"<OneDeltaRoutingState Tx builder: {self.tx_builder} web3: {self.web3}>"

tradeexecutor/ethereum/routing_state.py

@@ -37,13 +37,24 @@ class OutOfBalance(Exception):
 #:
 #:
 APPROVE_GAS_LIMITS = {
-    # Arbitrum default gas limit is 500_000
-    # and it is not enough
+    # Arbitrum default gas limit is 500_000 and it is not enough
     ChainId.arbitrum.value: 850_000,
+    ChainId.polygon.value: 250_000,
+    ChainId.ethereum.value: 50_000,
 }
 
 DEFAULT_APPROVE_GAS_LIMIT = 250_000
 
+#: How much maximum we can spend on a swap
+#:
+SWAP_GAS_LIMITS = {
+    ChainId.arbitrum.value: 1_000_000,
+    ChainId.polygon.value: 1_000_000,
+    ChainId.ethereum.value: 200_000,
+}
+
+DEFAULT_SWAP_GAS_LIMIT = 1_000_000
+
 
 deployment_types = UniswapV2Deployment | UniswapV3Deployment
 
@@ -68,10 +79,12 @@ class EthereumRoutingState(RoutingState):
 
     def __init__(
         self,
-         pair_universe: PandasPairUniverse,
-         tx_builder: Optional[TransactionBuilder] = None,
-         swap_gas_limit=2_000_000,
-         web3: Optional[Web3] = None,
+        pair_universe: PandasPairUniverse,
+        *,
+        tx_builder: Optional[TransactionBuilder] = None,
+        swap_gas_limit: int | None = None,
+        approve_gas_limit: int | None = None,
+        web3: Optional[Web3] = None,
     ):
         """
 
@@ -101,16 +114,23 @@ def __init__(
         if tx_builder is not None:
             self.tx_builder = tx_builder
             self.web3 = self.tx_builder.web3
+            self.chain_id = self.tx_builder.chain_id
         else:
             # DummyExecution model does not have a wallet
             # and cannot build transactions
             self.tx_builder = None
             self.hot_wallet = None
             self.web3 = web3
+            self.chain_id = web3.eth.chain_id
 
         # router -> erc-20 mappings
         self.approved_routes = defaultdict(set)
-        self.swap_gas_limit = swap_gas_limit
+
+        # set gas limits
+        if approve_gas_limit is None:
+            self.approve_gas_limit = APPROVE_GAS_LIMITS.get(self.chain_id, DEFAULT_APPROVE_GAS_LIMIT)
+        if swap_gas_limit is None:
+            self.swap_gas_limit = SWAP_GAS_LIMITS.get(self.chain_id, DEFAULT_SWAP_GAS_LIMIT)
 
     @abstractmethod
     def get_uniswap_for_pair():
@@ -210,29 +230,25 @@ def ensure_token_approved(
         if erc_20.functions.allowance(approve_address, router_address).call() > 0:
             # already approved in previous execution cycle
             return []
-
-        # Gas limit for ERC-20 approve() may vary per chain,
-        # see Arbitrum
-        gas_limit = APPROVE_GAS_LIMITS.get(self.tx_builder.chain_id, DEFAULT_APPROVE_GAS_LIMIT)
 
         # Create infinite approval
         tx = self.tx_builder.sign_transaction(
             erc_20,
             erc_20.functions.approve(router_address, amount),
-            gas_limit=gas_limit,
+            gas_limit=self.approve_gas_limit,
             gas_price_suggestion=None,
             asset_deltas=[],
         )
 
         return [tx]
 
     def create_signed_transaction(
-            self,
-            contract: Contract,
-            swap_func: ContractFunction,
-            gas_limit: int,
-            asset_deltas: List[AssetDelta],
-            notes="",
+        self,
+        contract: Contract,
+        swap_func: ContractFunction,
+        gas_limit: int,
+        asset_deltas: List[AssetDelta],
+        notes="",
     ):
         signed_tx = self.tx_builder.sign_transaction(
             contract,

tradeexecutor/ethereum/uniswap_v2/uniswap_v2_routing.py

@@ -43,16 +43,16 @@
 
 class UniswapV2RoutingState(EthereumRoutingState):
 
-    def __init__(self,
-                 pair_universe: PandasPairUniverse,
-                 tx_builder: Optional[TransactionBuilder] = None,
-                 web3: Optional[Web3] = None,
-                 swap_gas_limit=2_000_000):
-        super().__init__(pair_universe=pair_universe,
-                         tx_builder=tx_builder,
-                         swap_gas_limit=swap_gas_limit,
-                         web3=web3)
-
+    def __init__(
+        self,
+        pair_universe: PandasPairUniverse,
+        tx_builder: Optional[TransactionBuilder] = None,
+        web3: Optional[Web3] = None,
+        swap_gas_limit=None,
+        approve_gas_limit=None,
+    ):
+        super().__init__(pair_universe, tx_builder=tx_builder, swap_gas_limit=swap_gas_limit, approve_gas_limit=approve_gas_limit, web3=web3)
+        
     def __repr__(self):
         return f"<UniswapV2RoutingState Tx builder: {self.tx_builder} web3: {self.web3}>"
 

tradeexecutor/ethereum/uniswap_v3/uniswap_v3_routing.py

@@ -45,11 +45,14 @@
 
 class UniswapV3RoutingState(EthereumRoutingState):
 
-    def __init__(self,
-                 pair_universe: PandasPairUniverse,
-                 tx_builder: Optional[HotWalletTransactionBuilder]=None,
-                 swap_gas_limit=2_000_000):
-        super().__init__(pair_universe, tx_builder, swap_gas_limit)
+    def __init__(
+        self,
+        pair_universe: PandasPairUniverse,
+        tx_builder: Optional[HotWalletTransactionBuilder]=None,
+        swap_gas_limit=None,
+        approve_gas_limit=None,
+    ):
+        super().__init__(pair_universe, tx_builder=tx_builder, swap_gas_limit=swap_gas_limit, approve_gas_limit=approve_gas_limit)
 
     def __repr__(self):
         return f"<UniswapV3RoutingState Tx builder: {self.tx_builder} web3: {self.web3}>"

tradeexecutor/strategy/trading_strategy_universe.py

@@ -461,7 +461,8 @@ def clone(self) -> "TradingStrategyUniverse":
         new_universe = Universe(
             time_bucket=u.time_bucket,
             chains=u.chains,
-            exchanges=u.exchanges,
+            exchanges=u.exchanges or set(),
+            exchange_universe=u.exchange_universe,
             pairs=u.pairs,
             candles=u.candles,
             liquidity=u.liquidity,