Update volume limits #182
Merged
Update volume limits #182
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
|
These changes do not affect the simple pipeline, but do affect the volume limited arbitrage pipeline. There, the volume limits are altered slightly for v1 pools because the limits are no longer in USD, but in units of the actual currency being traded. Testing with 3pool, the results are similar enough to be visually indistinguishable, but not numerically identical (as expected). Old volume limiter: New volume limiter: Full plot html files in this zip: |
nagakingg
force-pushed
the
vol-mult-update
branch
from
4758186
to
c0fc756
Compare
nagakingg
force-pushed
the
vol-mult-update
branch
3 times, most recently
from
d3346e8
to
995aa7b
Compare
Coverage reportThe coverage rate went from
Diff Coverage details (click to unfold)curvesim/network/coingecko.py
curvesim/pipelines/vol_limited_arb/strategy.py
|
nagakingg
force-pushed
the
vol-mult-update
branch
2 times, most recently
from
801a72e
to
d27b016
Compare
nagakingg
force-pushed
the
vol-mult-update
branch
2 times, most recently
from
779f3af
to
df79810
Compare
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.
chanhosuh
approved these changes
Aug 17, 2023
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
To do:
Description
vol_multparam inautosimno longer works as expected #168 )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.
Hygiene checklist
(modules, public functions, classes, and public methods)
and descriptive commit messages following Tim Pope's style
Cute Animal Picture