Add typst and tinymist to shell
Start writing notes Notes on Uniswap V2's optimum Fix error in formula Test `computeAmountInt` using various deltas Add `concurrency` to the default configuration file Remove unused imports Correctly propagate error Allow dead code Make the priority queue a real FIFO Refactor: remove priority queue as stream and use channels Increase buffer size New `flashArbitrage` function Comment with some ideas Add pragma version Refactor: decrease the amount of calls Remove unused code Re-enable tests Remove comment Process known pairs when started Avoid re-allocating a new provider every time Ignore `nixos.qcow2` file created by the VM Add support for `aarch64-linux` Add NixOS module and VM configuration Add `itertools` Add arbitrage opportunity detection Implement `fallback` method for non standard callbacks Add more logs Fix sign error in optimum formula Add deployment scripts and `agenix-shell` secrets Bump cargo packages Fix typo Print out an error if processing a pair goes wrong Add `actionlint` to formatters Fix typo Add TODO comment Remove not relevant anymore comment Big refactor - process actions always in the correct order avoiding corner cases - avoid using semaphores New API key Add `age` to dev shell Used by Emacs' `agenix-mode` on my system Fix parametric deploy scripts Add `run-forge-tests` flake app Remove fork URL from Solidity source Remove `pairDir` argument Add link to `ArbitrageManager`'s ABI WIP
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17 changed files with 1222 additions and 441 deletions
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@ -3,8 +3,10 @@ pragma solidity ^0.8.28;
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import {IUniswapV2Pair} from "./IUniswapV2Pair.sol";
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import {IERC20} from "./IERC20.sol";
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import {IUniswapV2Callee} from "./IUniswapV2Callee.sol";
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contract ArbitrageManager {
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contract ArbitrageManager is IUniswapV2Callee {
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uint256 constant f = 997;
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function sqrt(uint256 x)
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@ -54,36 +56,59 @@ contract ArbitrageManager {
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returns(uint256)
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{
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uint256 k = f * X_B / 1000 + f ** 2 / 1000 * X_A / 1000;
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uint256 phi = sqrt(f * X_A) * sqrt(Y_B * X_B / 1000 * Y_A);
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uint256 phi = sqrt(f ** 2 * X_A * Y_B * X_B * Y_A / 1000**2);
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uint256 psi = Y_A * X_B;
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if (psi >= phi) return 0;
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else return (phi - psi) / k;
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}
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function swap(address _pairA, address _pairB, uint256 amountIn, bool direction)
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external
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returns (uint256 amountOut)
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function flashArbitrage(address firstPair, address secondPair, bool tokenDir)
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public
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returns (uint256 gain)
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{
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IUniswapV2Pair pairA = IUniswapV2Pair(_pairA);
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IUniswapV2Pair pairB = IUniswapV2Pair(_pairB);
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IUniswapV2Pair pairA = IUniswapV2Pair(firstPair);
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IUniswapV2Pair pairB = IUniswapV2Pair(secondPair);
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IERC20 tokenA = direction ? IERC20(pairA.token0()) : IERC20(pairA.token1());
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IERC20 firstToken = tokenDir ? IERC20(pairA.token0()) : IERC20(pairA.token1());
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IERC20 secondToken = tokenDir ? IERC20(pairA.token1()) : IERC20(pairA.token0());
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(uint256 X_A, uint256 Y_A,) = pairA.getReserves();
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(uint256 X_B, uint256 Y_B,) = pairB.getReserves();
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// Transfer the input tokens from the sender to pairA
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tokenA.transferFrom(msg.sender, address(pairA), amountIn);
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uint256 amountIn = optimalIn(tokenDir ? X_B : X_A, tokenDir ? Y_B : Y_A, tokenDir ? X_A : X_B, tokenDir ? Y_A : Y_B);
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uint256 firstAmountOut = getAmountOut(amountIn, tokenDir ? X_A : Y_A, tokenDir ? Y_A : X_A);
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uint256 secondAmountOut = getAmountOut(firstAmountOut, tokenDir ? Y_B : X_B, tokenDir ? X_B : Y_B);
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// Perform the first swap on pairA
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(uint256 reserve0A, uint256 reserve1A,) = pairA.getReserves();
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amountOut = getAmountOut(amountIn, direction ? reserve0A : reserve1A, direction ? reserve1A : reserve0A);
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pairA.swap(direction ? 0 : amountOut, direction ? amountOut : 0, address(pairB), new bytes(0));
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require(secondAmountOut > amountIn, "Not profitable");
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// Perform the second swap on pairB
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(uint256 reserve0B, uint256 reserve1B,) = pairB.getReserves();
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amountOut = getAmountOut(amountOut, direction ? reserve1B : reserve0B, direction ? reserve0B : reserve1B);
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pairB.swap(direction ? amountOut : 0, direction ? 0 : amountOut, msg.sender, new bytes(0));
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bytes memory data = abi.encode(pairA, pairB, firstToken, secondToken, amountIn, secondAmountOut);
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pairA.swap(tokenDir ? 0 : firstAmountOut, tokenDir ? firstAmountOut : 0, address(this), data);
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uint256 profit = secondAmountOut - amountIn;
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firstToken.transfer(msg.sender, profit);
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return profit;
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}
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// Ensure that the arbitrage is profitable
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require(amountOut > amountIn, "Arbitrage not profitable");
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function uniswapV2Call(address sender, uint256 amount0, uint256 amount1, bytes memory data)
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public
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{
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(address pairA, address pairB, address firstToken, address secondToken, uint256 amountIn, uint256 secondAmountOut) = abi.decode(data, (address, address, address, address, uint256, uint256));
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bool tokenDir = amount0 == 0;
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IERC20(secondToken).transfer(pairB, tokenDir ? amount1 : amount0);
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IUniswapV2Pair(pairB).swap(tokenDir ? secondAmountOut : 0, tokenDir ? 0 : secondAmountOut, sender, new bytes(0));
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IERC20(firstToken).transfer(pairA, amountIn);
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}
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fallback() external {
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(
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address sender,
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uint256 amount0,
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uint256 amount1,
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bytes memory data
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) = abi.decode(msg.data[4:], (address, uint256, uint256, bytes));
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uniswapV2Call(sender, amount0, amount1, data);
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}
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}
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5
onchain/src/IUniswapV2Callee.sol
Normal file
5
onchain/src/IUniswapV2Callee.sol
Normal file
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@ -0,0 +1,5 @@
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pragma solidity ^0.8.28;
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interface IUniswapV2Callee {
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function uniswapV2Call(address sender, uint amount0, uint amount1, bytes calldata data) external;
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}
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@ -16,7 +16,6 @@ contract ArbitrageTest is Test {
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IUniswapV2Pair sushiswapPair = IUniswapV2Pair(0x397FF1542f962076d0BFE58eA045FfA2d347ACa0);
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function setUp() public {
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mainnetFork = vm.createFork("https://eth-mainnet.g.alchemy.com/v2/kkDMaLVYpWQA0GsCYNFvAODnAxCCiamv"); // TODO use an env variable
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vm.selectFork(mainnetFork);
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vm.rollFork(22_147_269);
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arbitrageManager = new ArbitrageManager();
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@ -34,12 +33,13 @@ contract ArbitrageTest is Test {
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n = 115792089237316195423570985008687907853269984665640564039457584007913129639935;
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assertEq(340282366920938463463374607431768211456 - 1, arbitrageManager.sqrt(n)); // +-1 is an acceptable rounding error
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}
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function test_computeAmountIn() public {
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function test_swapUsingOptimum() public {
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(uint256 X_A, uint256 Y_A, ) = uniswapPair.getReserves(); // (USDT, WETH)
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(uint256 X_B, uint256 Y_B, ) = sushiswapPair.getReserves(); // (USDT, WETH)
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console.log("Uniswap pair reserves", X_A, Y_A);
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console.log("Sushiswap pair reserves", X_B, Y_B);
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console.log("Uniswap pair ratio", Y_A/X_A);
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console.log("Sushiswap pair ratio", Y_B/X_B);
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@ -53,6 +53,7 @@ contract ArbitrageTest is Test {
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(X_A, Y_A, ) = uniswapPair.getReserves();
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(X_B, Y_B, ) = sushiswapPair.getReserves();
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console.log("Uniswap pair reserves", X_A, Y_A);
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console.log("Sushiswap pair reserves", X_B, Y_B);
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console.log("Uniswap pair ratio", Y_A/X_A);
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console.log("Sushiswap pair ratio", Y_B/X_B);
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@ -74,4 +75,47 @@ contract ArbitrageTest is Test {
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console.log("Uniswap pair ratio", Y_A/X_A);
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console.log("Sushiswap pair ratio", Y_B/X_B);
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}
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function computeGain(uint256 X_A, uint256 Y_A, uint256 X_B, uint256 Y_B, int256 delta)
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internal view returns(uint256)
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{
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uint256 optimum = (delta > 0) ?
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arbitrageManager.optimalIn(X_A, Y_A, X_B, Y_B) + uint256(delta)
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: arbitrageManager.optimalIn(X_A, Y_A, X_B, Y_B) - uint256(-delta);
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uint256 amountOut = arbitrageManager.getAmountOut(optimum, Y_A, X_A);
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amountOut = arbitrageManager.getAmountOut(amountOut, X_B, Y_B);
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return amountOut - optimum;
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}
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function test_computeOptimum() public view {
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(uint256 X_A, uint256 Y_A, ) = uniswapPair.getReserves(); // (USDT, WETH)
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(uint256 X_B, uint256 Y_B, ) = sushiswapPair.getReserves(); // (USDT, WETH)
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Y_A -= Y_A / 5; // unbalancing the pair
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// Using delta too low (~< 10**8) seems to produce a better gain,
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// I *believe this has to do to some rounding, it should be neglibile
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uint256[4] memory deltas = [uint256(0), uint256(10**8), uint256(10**9), uint256(10**10)];
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uint256 gain = computeGain(X_A, Y_A, X_B, Y_B, 0);
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for (uint256 i; i < deltas.length; i++) {
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assertGe(gain, computeGain(X_A, Y_A, X_B, Y_B, int256(deltas[i])), "Computed optimum isnt't really optimal");
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assertGe(gain, computeGain(X_A, Y_A, X_B, Y_B, -int256(deltas[i])), "Computed optimum isnt't really optimal");
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}
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}
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function test_flashArbitrage () public {
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uint256 initialWethBalance = weth.balanceOf(address(this));
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console.log("initial weth balance", initialWethBalance);
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(, uint256 Y_A, ) = uniswapPair.getReserves(); // (USDT, WETH)
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uint256 unbalance = Y_A / 5;
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vm.prank(address(uniswapPair)); // it works only for the next call
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weth.transfer(address(0), unbalance);
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uniswapPair.sync();
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uint256 profit = arbitrageManager.flashArbitrage(address(uniswapPair), address(sushiswapPair), false);
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console.log("profit", profit);
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assertEq(initialWethBalance + profit, weth.balanceOf(address(this)), "There was no profit");
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}
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}
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