WIP

curvesim/exceptions/__init__.py

@@ -77,3 +77,11 @@ class StateLogError(CurvesimException):
 
 class UnregisteredPoolError(StateLogError):
     """Error raised when a pool type is not recognized by the metrics framework."""
+
+
+class TimeSequenceError(CurvesimException):
+    """Error using a TimeSequence object."""
+
+
+class DataSourceError(CurvesimException):
+    """Error using a DataSource object."""

curvesim/iterators/price_samplers/price_volume.py

@@ -1,7 +1,7 @@
 from typing import Iterator
 
 from curvesim.logging import get_logger
-from curvesim.price_data import get
+from curvesim.price_data import get_price_data
 from curvesim.templates.price_samplers import PriceSample, PriceSampler
 from curvesim.utils import dataclass, override
 
@@ -57,7 +57,7 @@ def __init__(
             Identifies pricing source: coingecko or local.
 
         """
-        prices, volumes, _ = get(
+        prices, volumes, _ = get_price_data(
             assets.addresses,
             chain=assets.chain,
             days=days,

curvesim/network/coingecko.py

@@ -3,13 +3,9 @@
 """
 # pylint: disable=redefined-outer-name
 import asyncio
-from datetime import datetime, timedelta, timezone
 
-import numpy as np
 import pandas as pd
 
-from curvesim.utils import get_pairs
-
 from .http import HTTP
 from .utils import sync
 
@@ -40,102 +36,14 @@ async def get_prices(coin_id, vs_currency, start, end):
     r = await _get_prices(coin_id, vs_currency, start, end)
 
     # Format data
-    data = pd.DataFrame(r["prices"], columns=["timestamp", "prices"])
-    data = data.merge(
-        pd.DataFrame(r["total_volumes"], columns=["timestamp", "volumes"])
-    )
+    data = pd.DataFrame(r["prices"], columns=["timestamp", "price"])
+    data = data.merge(pd.DataFrame(r["total_volumes"], columns=["timestamp", "volume"]))
     data["timestamp"] = pd.to_datetime(data["timestamp"], unit="ms", utc="True")
     data = data.set_index("timestamp")
 
     return data
 
 
-async def _pool_prices(coins, vs_currency, days, end=None):
-    if end is not None:
-        # Times to reindex to: daily intervals
-        # Coingecko only allows daily data when more than 90 days in the past
-        # for the free REST endpoint
-        t_end = datetime.fromtimestamp(end, tz=timezone.utc)
-        t_start = t_end - timedelta(days=days + 1)
-        t_samples = pd.date_range(start=t_start, end=t_end, freq="1D", tz=timezone.utc)
-    else:
-        # Times to reindex to: hourly intervals starting on half hour mark
-        t_end = datetime.now(timezone.utc) - timedelta(days=1)
-        t_end = t_end.replace(hour=23, minute=30, second=0, microsecond=0)
-        t_start = t_end - timedelta(days=days + 1)
-        t_samples = pd.date_range(start=t_start, end=t_end, freq="60T", tz=timezone.utc)
-        end = t_end.timestamp()
-
-    # Fetch data
-    tasks = []
-    for coin in coins:
-        start = t_start.timestamp() - 86400 * 3
-        tasks.append(get_prices(coin, vs_currency, start, end))
-
-    data = await asyncio.gather(*tasks)
-
-    # Format data
-    qprices = []
-    qvolumes = []
-    for d in data:
-        d.drop(d.tail(1).index, inplace=True)  # remove last row
-        d = d.reindex(t_samples, method="ffill")
-        qprices.append(d["prices"])
-        qvolumes.append(d["volumes"])
-
-    qprices = pd.concat(qprices, axis=1)
-    qvolumes = pd.concat(qvolumes, axis=1)
-    qvolumes = qvolumes / np.array(qprices)
-
-    return qprices, qvolumes
-
-
-def pool_prices(coins, vs_currency, days, chain="mainnet", end=None):
-    """
-    Pull price and volume data for given coins, quoted in given
-    quote currency for given days.
-
-    Parameters
-    ----------
-    coins: list of str
-        List of coin addresses.
-    vs_currency: str
-        Symbol for quote currency.
-    days: int
-        Number of days to pull data for.
-
-    Returns
-    -------
-    pair of pandas.Series
-        prices Series and volumes Series
-    """
-    # Get data
-    coins = coin_ids_from_addresses_sync(coins, chain)
-    qprices, qvolumes = _pool_prices_sync(coins, vs_currency, days, end)
-
-    # Compute prices by coin pairs
-    combos = get_pairs(len(coins))
-    prices = []
-    volumes = []
-
-    for pair in combos:
-        base_price = qprices.iloc[:, pair[0]]
-        base_volume = qvolumes.iloc[:, pair[0]]
-
-        quote_price = qprices.iloc[:, pair[1]]
-        quote_volume = qvolumes.iloc[:, pair[1]]
-
-        # divide prices: (usd/base) / (usd/quote) = quote/base
-        prices.append(base_price / quote_price)
-        # sum volumes and convert to base: usd / (usd/base) = base
-        volumes.append((base_volume + quote_volume) / base_price)
-
-    prices = pd.concat(prices, axis=1)
-    volumes = pd.concat(volumes, axis=1)
-
-    return prices, volumes
-
-
 async def _coin_id_from_address(address, chain):
     address = address.lower()
     chain = PLATFORMS[chain.lower()]
@@ -163,11 +71,12 @@ async def coin_ids_from_addresses(addresses, chain):
 
 
 # Sync
-_pool_prices_sync = sync(_pool_prices)
+get_prices_sync = sync(get_prices)
 coin_ids_from_addresses_sync = sync(coin_ids_from_addresses)
 
 
 if __name__ == "__main__":
+    # TODO: update
     coin_addresses = [
         "0x6B175474E89094C44Da98b954EedeAC495271d0F",
         "0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48",
@@ -179,6 +88,6 @@ async def coin_ids_from_addresses(addresses, chain):
 
     vs_ccy = "USD"
     days = 1
-    prices, volumes = pool_prices(coin_addresses, vs_ccy, days, chain)
+    prices, volumes = get_prices_sync(coin_addresses, vs_ccy, days, chain)
     print(prices.head())
     print(volumes.head())

curvesim/pool/sim_interface/cryptoswap.py

@@ -2,7 +2,6 @@
 from math import prod
 
 from curvesim.exceptions import SimPoolError
-from curvesim.templates import SimAssets
 from curvesim.templates.sim_pool import SimPool
 from curvesim.utils import cache, override
 
@@ -213,17 +212,3 @@ def prepare_for_run(self, prices):
         self.virtual_price = self.get_virtual_price()
         self.xcp_profit = 10**18
         self.xcp_profit_a = 10**18
-
-    @property
-    @override
-    @cache
-    def assets(self):
-        """
-        Return :class:`.SimAssets` object with the properties of the pool's assets.
-
-        Returns
-        -------
-        SimAssets
-            SimAssets object that stores the properties of the pool's assets.
-        """
-        return SimAssets(self.coin_names, self.coin_addresses, self.chain)

curvesim/pool/sim_interface/metapool.py

@@ -1,5 +1,4 @@
 from curvesim.exceptions import CurvesimValueError, SimPoolError
-from curvesim.templates import SimAssets
 from curvesim.templates.sim_pool import SimPool
 from curvesim.utils import cache, override
 
@@ -214,20 +213,3 @@ def get_min_trade_size(self, coin_in):
             The minimal trade size
         """
         return 0
-
-    @property
-    @override
-    @cache
-    def assets(self):
-        """
-        Return :class:`.SimAssets` object with the properties of the pool's assets.
-
-        Returns
-        -------
-        SimAssets
-            SimAssets object that stores the properties of the pool's assets.
-        """
-        symbols = self.coin_names[:-1] + self.basepool.coin_names
-        addresses = self.coin_addresses[:-1] + self.basepool.coin_addresses
-
-        return SimAssets(symbols, addresses, self.chain)

curvesim/pool/sim_interface/pool.py

@@ -1,5 +1,4 @@
 from curvesim.exceptions import SimPoolError
-from curvesim.templates import SimAssets
 from curvesim.templates.sim_pool import SimPool
 from curvesim.utils import cache, override
 
@@ -141,17 +140,3 @@ def get_min_trade_size(self, coin_in):
             The minimal trade size
         """
         return 0
-
-    @property
-    @override
-    @cache
-    def assets(self):
-        """
-        Return :class:`.SimAssets` object with the properties of the pool's assets.
-
-        Returns
-        -------
-        SimAssets
-            SimAssets object that stores the properties of the pool's assets.
-        """
-        return SimAssets(self.coin_names, self.coin_addresses, self.chain)

curvesim/pool_data/__init__.py

@@ -5,8 +5,9 @@
 and 2-token cryptopools.
 """
 
-__all__ = ["get_metadata", "get_pool_volume"]
+__all__ = ["get_metadata", "get_pool_assets", "get_pool_volume"]
 
 
 from .queries.metadata import get_metadata
+from .queries.pool_assets import get_pool_assets
 from .queries.pool_volume import get_pool_volume

curvesim/pool_data/queries/pool_assets.py

@@ -0,0 +1,27 @@
+from typing import List, Union
+
+from curvesim.constants import Chain
+from curvesim.pool_data.metadata import PoolMetaDataInterface
+from curvesim.pool_data.queries.metadata import get_metadata
+from curvesim.templates.sim_asset import OnChainAssetPair
+from curvesim.utils import get_pairs
+
+
+def get_pool_assets(
+    metadata_or_address, chain: Union[str, Chain] = Chain.MAINNET
+) -> List[OnChainAssetPair]:
+    if isinstance(metadata_or_address, str):
+        pool_metadata: PoolMetaDataInterface = get_metadata(metadata_or_address, chain)
+    else:
+        pool_metadata = metadata_or_address
+
+    symbol_pairs = get_pairs(pool_metadata.coin_names)
+    address_pairs = get_pairs(pool_metadata.coins)
+
+    sim_assets = []
+    for symbols, addresses in zip(symbol_pairs, address_pairs):
+        id = "-".join(symbols)
+        asset = OnChainAssetPair(id, *symbols, *addresses, pool_metadata.chain)
+        sim_assets.append(asset)
+
+    return sim_assets

curvesim/price_data/__init__.py

@@ -7,38 +7,30 @@
 Nomics data is deprecated.
 """
 
+
+from typing import List
+
 from curvesim.exceptions import NetworkError
+from curvesim.templates.sim_asset import SimAsset
+from curvesim.templates.time_sequence import TimeSequence
 
-from .sources import coingecko
+from .data_sources import CoinGeckoPriceVolumeDataSource
 
 
-def get(
-    coins,
-    chain="mainnet",
-    *,
-    days=60,
-    data_dir="data",
-    src="coingecko",
-    end=None,
+def get_price_data(
+    sim_assets: List[SimAsset],
+    time_sequence: TimeSequence,
+    data_source="coingecko",
 ):
     """
-    Pull price and volume data for given coins.
+    Pull price and volume data for each sim_asset.
 
-    Data is returned for all pairwise combinations of the input coins.
 
     Parameters
     ----------
-    coins : list of str
-        List of coin addresses.
-
-    days : int, default=60
-        Number of days to pull data for.
-
-    data_dir : str, default="data"
-        Directory to load local data from.
+    sim_assets: List[SimAsset]
 
-    src : str, default="coingecko"
-        Data source ("coingecko", "nomics", or "local").
+    time_sequence: TimeSequence
 
 
     Returns
@@ -49,17 +41,24 @@ def get(
     volumes : pandas.DataFrame
         Timestamped volumes for each pair of coins.
 
-    pzero : int or pandas.Series
-        Proportion of timestamps with zero volume.
-
     """
-    if src == "coingecko":
-        prices, volumes, pzero = coingecko(coins, chain=chain, days=days, end=end)
 
-    elif src == "nomics":
+    # Todo: replace this logic with SimAssetSeriesFactory
+
+    if data_source == "coingecko":
+        data_source = CoinGeckoPriceVolumeDataSource()
+
+    elif data_source == "nomics":
         raise NetworkError("Nomics data is no longer supported.")
 
-    elif src == "local":
+    elif data_source == "local":
         raise NetworkError("Local data currently not supported.")
 
-    return prices, volumes, pzero
+    prices = []
+    volumes = []
+    for sim_asset in sim_assets:
+        price, volume = data_source.query(sim_asset, time_sequence)
+        prices.append(price)
+        volumes.append(volume)
+
+    return prices, volumes

curvesim/price_data/data_sources/__init__.py

@@ -0,0 +1,5 @@
+__all__ = ["CoinGeckoPriceVolumeDataSource", "FileDataSource"]
+
+from curvesim.templates.data_source import FileDataSource
+
+from .coingecko import CoinGeckoPriceVolumeDataSource