Update volume limits

Updates volume limiting to support
multiple asset denominations.

Previously, all volume limits were in
dollars. This approximation worked for
v1 pools where all assets were worth
~1 dollar, but will not work for v2.

Coingecko volumes are now returned
in the base currency for each pair,
and volume limits for trades in the
opposite direction are computed using
the current price at each tick in the
volume limited arb pipeline.

changelog.d/20230728_150932_nagakingg_vol_mult_update.rst

@@ -0,0 +1,5 @@
+Added
+-----
+- 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).

curvesim/network/coingecko.py

@@ -4,11 +4,12 @@
 # pylint: disable=redefined-outer-name
 import asyncio
 from datetime import datetime, timedelta, timezone
-from itertools import combinations
 
 import numpy as np
 import pandas as pd
 
+from curvesim.utils import get_pairs
+
 from .http import HTTP
 from .utils import sync
 
@@ -113,17 +114,21 @@ def pool_prices(coins, vs_currency, days, chain="mainnet", end=None):
     qprices, qvolumes = _pool_prices_sync(coins, vs_currency, days, end)
 
     # Compute prices by coin pairs
-    combos = list(combinations(range(len(coins)), 2))
+    combos = get_pairs(len(coins))
     prices = []
     volumes = []
 
     for pair in combos:
-        prices.append(
-            qprices.iloc[:, pair[0]] / qprices.iloc[:, pair[1]]
-        )  # divide prices
-        volumes.append(
-            qvolumes.iloc[:, pair[0]] + qvolumes.iloc[:, pair[1]]
-        )  # sum volumes
+        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)

curvesim/pipelines/vol_limited_arb/strategy.py

@@ -29,11 +29,14 @@ def __init__(self, metrics, vol_mult):
         self.vol_mult = vol_mult
 
     def _get_trader_inputs(self, sample):  # pylint: disable=too-few-public-methods
-        volume_limits = _compute_volume_limits(sample.volumes, self.vol_mult)
+        volume_limits = _compute_volume_limits(sample, self.vol_mult)
         return sample.prices, volume_limits
 
 
-def _compute_volume_limits(volumes, vol_mult):
+def _compute_volume_limits(sample, vol_mult):
+    prices = sample.prices
+    volumes = sample.volumes
+
     limits = {key: volumes[key] * vol_mult[key] for key in volumes}
-    reversed_limits = {(j, i): lim for (i, j), lim in limits.items()}
+    reversed_limits = {(j, i): lim * prices[(i, j)] for (i, j), lim in limits.items()}
     return {**limits, **reversed_limits}