Add min trade limit to pairwise optimizer

curveresearch · Oct 30, 2023 · 5895bb2 · 5895bb2
1 parent 389b58c
commit 5895bb2
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Showing 2 changed files with 24 additions and 13 deletions.
diff --git a/curvesim/pipelines/common/__init__.py b/curvesim/pipelines/common/__init__.py
@@ -56,20 +56,16 @@ def post_trade_price_error(dx, coin_in, coin_out, price_target):
     trades = []
 
     for pair in prices:
-        i, j = pair
-
-        if pool.price(i, j) - prices[pair] > 0:
-            price = prices[pair]
-            coin_in, coin_out = i, j
-        elif pool.price(j, i) - 1 / prices[pair] > 0:
-            price = 1 / prices[pair]
-            coin_in, coin_out = j, i
-        else:
-            trades.append(ArbTrade(i, j, 0, prices[pair]))
+        coin_in, coin_out, price = _get_optimizer_args(pair, pool, prices[pair])
+
+        lower_bound = pool.get_min_trade_size(coin_in)
+        min_price_diff = post_trade_price_error(lower_bound, coin_in, coin_out, price)
+        if min_price_diff <= 0:
+            trades.append(ArbTrade(coin_in, coin_out, 0, price))
             continue
 
-        high = pool.get_max_trade_size(coin_in, coin_out)
-        bounds = (0, high)
+        upper_bound = pool.get_max_trade_size(coin_in, coin_out)
+        bounds = (lower_bound, upper_bound)
         try:
             res = root_scalar(
                 post_trade_price_error,
@@ -94,3 +90,18 @@ def post_trade_price_error(dx, coin_in, coin_out, price_target):
         trades.append(ArbTrade(coin_in, coin_out, size, price))
 
     return trades
+
+
+def _get_optimizer_args(pair, pool, market_price):
+    i, j = pair
+    price_error_i = pool.price(i, j) - market_price
+    price_error_j = pool.price(j, i) - 1 / market_price
+
+    if price_error_i >= price_error_j:
+        target_price = market_price
+        coin_in, coin_out = i, j
+    else:
+        target_price = 1 / market_price
+        coin_in, coin_out = j, i
+
+    return coin_in, coin_out, target_price
diff --git a/curvesim/pipelines/vol_limited_arb/trader.py b/curvesim/pipelines/vol_limited_arb/trader.py
@@ -146,7 +146,7 @@ def _apply_volume_limits(arb_trades, limits, pool):
         limited_amount_in = min(limits[pair], trade.amount_in)
         lim_trade = trade.replace_amount_in(limited_amount_in)
 
-        if lim_trade.amount_in > pool.get_min_trade_size(lim_trade.coin_in):
+        if lim_trade.amount_in >= pool.get_min_trade_size(lim_trade.coin_in):
             limited_arb_trades.append(lim_trade)
         else:
             excluded_trades.append(lim_trade)