- Removed modes for volume multiplier; changes from the default multipliers must be specified precisely through arguments.
- Volume query is now done through the new curve-prices API instead of the Curve subgraph. This means currently only Mainnet is supported for this query.
- RAI3CRV pool is currently unsupported by simulation pipelines. It will be reimplemented along with Stableswap-NG pools.
- PoolDataCache has been removed.
- Use Curve Prices API for the volume query (Mainnet only).
- Added PriceDepth (liquidity density) metric for Cryptoswap pools.
- Fully enabled 3-coin cryptoswap functionality based on Tricrypto-NG code:
- NG oracle behavior
- lp_price
- get_dy
- calc_withdraw_one_coin
- add_liquidity
- remove_liquidity (now returns amounts withdrawn)
- remove_liquidity_one_coin
- Stableswap pools now have:
- remove_liquidity
- remove_liquidity_imbalance
- curvesim.bonding_curve now handles Cryptoswap pools.
- Improved liquidity density calculation for robustness across pool types
- Enabled CurveCryptoPool._claim_admin_fees. For maintainability, Tricrypto_ng's implementation and usage patterns, which are in test/fixtures/curve/tricrypto_ng.vy, are used for both 2-coin and 3-coin Cryptoswap pools.
- Volume multipliers now computed individually for each asset pair
- Arbitrage optimizers exclude trades smaller than a pool's minimum trade size from optimization. This reduces variability in optimization and prevents some potential errors.
- Price error changes: - normalized by target price - now a dict mapping trading pair to each error value
- Cryptoswap state snapshotting was updated to include additional price and profit-related attributes. This is necessary for proper repegging mechanics during simulations.
- Fixed handling of integer signed division in Tricrypto-NG's get_y calc.
- Pool metadata no longer takes balancing options. This is handled by the the appropriate factory function, namely get_sim_pool.
- Removed default and test parameters from simulation pipelines (#222, #247). Users will have to explicitly choose the pool parameters to vary for sims.
- virtual_price is an allowed optional argument for pools.
- Added fixtures for TriCrypto-NG factory and views contracts for exact testing of view functionality. These contracts are copyrighted by Swiss Stake GmbH and used with permission.
- Each pool now has an internal method to handle conversion of the invariant to balances. This is helpful for use by "friend" classes/functions such as factory functions.
CurveCryptoPool can use calc_token_amount to determine LP tokens minted on deposits for 3-coin pools now.
Reset cryptoswap profit counters to initial values at the start of each sim run (SimCurveCryptoPool.prepare_for_run). (#246)
The pool snapshot is no longer augmented with calculated values and solely handles conversion of pulled subgraph data into appropriate python types.
The needed calculations are done in the factory function get_sim_pool where they can be done rigorously by invoking the pool's internal logic. This affects the rebalancing logic when initializing a pool for a sim run.
The computation of D in the snapshot actually had a bug, so removing this fixes that.
Test parameters are now defined within each pipeline test (#247)
Since asyncio.get_event_loop is deprecated in later versions of Python, we have replaced it by a custom function curvesim.utils.get_event_loop.
- The CurveCryptoPool.__init__ had several bugs: - pool creation failed if no tokens argument provided (#219) - wrong D was computed for 3-coin pools when not explicitly passed-in (#219) - different price-related state variables were initialized with the same object (#237)
- Pool snapshot from subgraph was being augmented with some calculated values, namely tokens and D. These were incorrect for stableswap pools and metapools. (#239)
- Fixed bug in SimCurveCryptoPool.prepare_for_run where the different price-related state variables were initialized pointing to the same object. (#238)
The cryptosim milestone enables simulation capability for cryptopools, such as 2-coin factory and 3-coin tricrypto-ng pools.
Note this is a beta release as some limitations exist due to data provider issues, which should resolve in the near future; in addition, while simulations are fully functioning, complete pythonic interaction with 3-coin cryptopools is not yet available.
- The CurveCryptoPool class was updated to handle 3 coins for the functionality required for cryptoswap simulations, namely exchange, _tweak_price, and the related calculations. The pythonic equivalents such as add_liquidity, remove_liquidity_one_coin, etc., were not updated. For supported calculations, the pool will give exact integer results as compared to the Tricrypto-NG contract.
- Add volume limiting in multiple denominations. Previously, volume limiting was only in USD. This update allows for volume limiting across multiple asset types (e.g., in v2 pools).
- Added get_y to CurveCryptoPool as with the stableswap pools. This breaks tight adherence to the vyper interface, but makes it easier for integrators.
- Added spot price methods dydx and dydxfee to the CurveCryptoPool.
- Cryptopools are now usable in the simulation framework, with some caveats. Currently the Curve subgraph returns erroneous total volumes, but a workaround is to use the vol_mult argument to scale volume appropriately. Additionally, Coingecko data provides one-hour resolution, which is likely not suitable.
- The bonding_curve function is now part of the tools module in anticipation of further tools, e.g. orderbook.
- vol_mult is a dictionary for the vol-limited arbitrage pipeline function. For backwards-compatability, autosim will still take in a float.
The v0.4.5 milestone incoporated many cleanups and refactorings for improved readability and maintainability in preparation for the cryptosim milestone. We highlight the main ones below.
- Unused Nomics wrapper and Coingecko code was removed.
- Old references to "freq" attribute from price sampler were removed (#118).
- Python 3.11 is now officially supported.
- Advanced custom metrics support (#117).
- SimPools now support token symbols for trade, price, and balances (#131, #150)
- CI now tests a matrix of OS and supported Python versions (#134)
- A simple pipeline was added to enable faster CI tests and serve as an easy example (#132).
- Integrated SimAssets into SimPools for simpler handling (#131).
- New classes Trade and TradeResult for better simulation results tracking.
- Support specifying end date when pulling data from Coingecko.
- Snapshot timestamp is now incorporated into metadata fetch (#133).
- Corrected layer 2 addresses in pool metadata (#130).
- An updated README and the docs, especially for advanced metrics and strategies.
- Multiple changes to simplify and conform to simulation interfaces.
- Defensive check for sim pool precisions was added (#126).
- Refactored SimStableswapBase into a mixin for better modularity (#146).
- ArbMetric updated for better numerical stability (#137).
- Python-native types are now used in price_sampler, pool_data, pipeline (#137).
- Nomics market data is no longer available, so we have removed all nomics related functionality.
- Removed pool lp token symbol lookup when creating pools from on-chain data.
- Standalone functions for AMM logic are removed. This eases the testing burden without impacting performance (due to other changes such as __slot__ usage).
- The matplotlib results plotter was replaced with an altair plotter.
- Curve pool types now use __slots__ for more performant attribute access.
- Revamped pool hierarchy so that the implementations of SimPool derive from Curve pools and SimStableSwapBase, which better organizes common logic across stableswap sim pool types and decouples sim logic from the core AMM pools.
- Pools now have a revert-to-snapshot functionality.
- Add CurveCryptoPool, a python implementation of the vyper factory cryptoswap pool.
- curvesim.pool.get can now be used to fetch and instantiate cryptopools.
- curvesim now uses python logging with log levels. This allows for debug logging and saving logs to files.
- Altair results plotter added to improve readability and support flexible plotting (e.g., across pool types)
- Metrics submodule added to facilitate simulation metric development.
- CurveMetaPool uses rate_multiplier as in the vyper logic instead of p
- By default, pool instantiation will now create balances in native token units. Previously it had normalized to 18 decimals. This option still exists but must now be chosen explicitly.
- Some internal objects used by curvesim were refactored for better maintainability, namely PoolData is now split into PoolDataCache and PoolMetaData.
- Use rates property consistently across stableswap types
- Add error handling for convex subgraph
- Timezone issue in subgraph queries.
- Multi-chain pool data support via the Convex Community subgraph.
- New network subpackage uses asyncio for concurrency.
- Pool_data and price_data submodules added.
- Single cpu-mode (ncpu=1) will run in a single process without the multiprocessing library. This makes it easier to profile using tools like cProfile.
- python3 -m curvesim will do a demo sim run so users can check everything is setup properly.
- Support use of environment variable (and loading from .env file) for NOMICS_API_KEY, ALCHEMY_API_KEY, and ETHERSCAN_API_KEY. The latter two are optional in that the package provides default keys, but it is recommended to use your own if you need the functionality (currently only for pulling coin data for lending pools).
- Pipeline and iterators submodules added to support custom simulation pipelines. This will allow more complex arbitrage scenarios and let users create bespoke simulations.
- Pool simulation interfaces added to decouple pool implementations from the simulation framework. The interfaces enable additional runtime optimizations.
- Standard volume-limited arbitrage simulation re-implemented using the new pipeline framework.
- Pools initiated from external data now store their metadata in pool.metadata for introspection and debugging.
- Create versioning structure to bump versions which will reflect in the changelog and future package releases.
- Added end-to-end tests for simulation runs that run in continuous integration. Unit tests added for pool calculations. Increasing test coverage with component-level tests will be a key part of getting to v1.
- sim() and psim() replaced by pipeline framework.
- PoolDF CSVs no longer used for pool data lookup.
- Transitioned repo organization to reflect standard packaging style.
- Frequently used calculations such as D, y, and dydxfee use the GNU Multiple Precision Arithmetic Library (GMP) to speed up big integer arithmetic.
- The spot pricing function, dydxfee, uses a derivation from calculus instead of bumping a pool balance and recalculating, with the exception of a certain case for metapools.
- The monolithic Pool class was split into a generic base class, with derived classes CurvePool, CurveMetaPool, and CurveRaiPool.
- Bonding curve and order-book Pool methods changed to standalone functions.
- "Price depth" metrics now report liquidity density (i.e., % change in holdings per % change in price).
- Curvesim.autosim() now only accepts ints or iterables of ints for pool parameters (e.g., A, D, fee).
- External pool data now referenced using pool address or LP token symbol and chain. This logic is used in autosim and pool_data.
- Subgraph volume query was updated due to a recent update.
- Fixed bug in vol_mode=2 for non-meta-pools
- Various updates to pool calculations to align the results with their on-chain equivalents.
- Codebase is much more PEP8 compliant with consistent style and formatting due to the enforced usage of tools such as black, flake8, and pylint. This is particularly important as we onboard more contributors to the repo.