Update volume limits

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}