ETH-USDC pool_design; uni4 quotes refactor
This commit is contained in:
tim
496
research/uni4_quotes/get_quotes.js
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496
research/uni4_quotes/get_quotes.js
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@@ -0,0 +1,496 @@
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import { ethers } from 'ethers';
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import { Token } from '@uniswap/sdk-core';
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import fs from 'fs';
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// Token definitions
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const ChainId = {
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MAINNET: 1
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};
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const USDC_TOKEN = new Token(
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ChainId.MAINNET,
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'0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
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6,
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'USDC',
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'USDC'
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);
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const WETH_TOKEN = new Token(
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ChainId.MAINNET,
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'0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2',
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18,
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'WETH',
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'WETH'
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);
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const USDT_TOKEN= new Token(
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ChainId.MAINNET,
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'0xdAC17F958D2ee523a2206206994597C13D831ec7',
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6,
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'USDT',
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'USDT'
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);
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const tokenA = USDC_TOKEN
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const tokenB = WETH_TOKEN
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// Pool ID to fetch pool key from
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// const POOL_ID = '0x8aa4e11cbdf30eedc92100f4c8a31ff748e201d44712cc8c90d189edaa8e4e47';
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const POOL_ID = '0xdce6394339af00981949f5f3baf27e3610c76326a700af57e4b3e3ae4977f78d';
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// Configuration
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const QUOTER_ADDRESS = '0x52f0e24d1c21c8a0cb1e5a5dd6198556bd9e1203';
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const POSITION_MANAGER_ADDRESS = '0xbD216513d74C8cf14cf4747E6AaA6420FF64ee9e';
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// Providers
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const anvilProvider = new ethers.providers.JsonRpcProvider('http://127.0.0.1:8545');
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// Quoter contract ABI
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const QUOTER_ABI = [
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{
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inputs: [
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{
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components: [
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{
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components: [
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{ name: 'currency0', type: 'address' },
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{ name: 'currency1', type: 'address' },
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{ name: 'fee', type: 'uint24' },
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{ name: 'tickSpacing', type: 'int24' },
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{ name: 'hooks', type: 'address' }
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],
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name: 'poolKey',
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type: 'tuple'
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},
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{ name: 'zeroForOne', type: 'bool' },
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{ name: 'exactAmount', type: 'uint128' },
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{ name: 'hookData', type: 'bytes' }
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],
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name: 'params',
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type: 'tuple'
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}
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],
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name: 'quoteExactInputSingle',
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outputs: [
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{
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components: [
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{ name: 'amountOut', type: 'uint256' }
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],
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name: 'result',
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type: 'tuple'
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}
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],
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stateMutability: 'view',
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type: 'function'
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}
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];
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// StateView ABI for getSlot0 and getLiquidity
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const STATE_VIEW_ABI = [
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{
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inputs: [
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// { name: 'manager', type: 'address' },
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{ name: 'poolId', type: 'bytes32' }
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],
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name: 'getSlot0',
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outputs: [
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{ name: 'sqrtPriceX96', type: 'uint160' },
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{ name: 'tick', type: 'int24' },
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{ name: 'protocolFee', type: 'uint24' },
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{ name: 'lpFee', type: 'uint24' }
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],
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stateMutability: 'view',
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type: 'function'
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},
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];
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// StateView contract address for reading pool state
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const STATE_VIEW_ADDRESS = '0x7ffe42c4a5deea5b0fec41c94c136cf115597227';
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// Position Manager ABI
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const POSITION_MANAGER_ABI = [
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{
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inputs: [{ name: 'poolId', type: 'bytes25' }],
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name: 'poolKeys',
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outputs: [
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{
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components: [
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{ name: 'currency0', type: 'address' },
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{ name: 'currency1', type: 'address' },
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{ name: 'fee', type: 'uint24' },
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{ name: 'tickSpacing', type: 'int24' },
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{ name: 'hooks', type: 'address' }
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],
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name: 'poolKey',
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type: 'tuple'
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}
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],
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stateMutability: 'view',
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type: 'function'
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}
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];
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// Function to get pool key from Position Manager (uses mainnet)
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async function getPoolKey() {
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try {
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const positionManager = new ethers.Contract(
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POSITION_MANAGER_ADDRESS,
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POSITION_MANAGER_ABI,
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anvilProvider
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);
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// Extract first 25 bytes (50 hex chars + 0x prefix = 52 chars)
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const poolIdBytes25 = POOL_ID.slice(0, 52);
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const poolKey = await positionManager.poolKeys(poolIdBytes25);
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return {
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currency0: poolKey.currency0,
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currency1: poolKey.currency1,
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fee: poolKey.fee,
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tickSpacing: poolKey.tickSpacing,
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hooks: poolKey.hooks
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};
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} catch (error) {
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console.error('Error fetching pool key:', error.message);
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throw error;
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}
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}
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// Helper function to format BigNumber for display (use only for console output)
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function formatBigNumberForDisplay(bigNumber, decimals) {
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const formatted = ethers.utils.formatUnits(bigNumber, decimals);
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return formatted;
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}
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// Helper function to convert BigNumber to fixed decimal string without scientific notation
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function bigNumberToFixed(bigNumber, decimals) {
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const str = ethers.utils.formatUnits(bigNumber, decimals);
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// Ensure no scientific notation
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if (str.includes('e')) {
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const num = parseFloat(str);
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return num.toFixed(decimals);
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}
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return str;
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}
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// Convert sqrtPriceX96 to price as a decimal string (maintains precision)
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// Returns price representing token1/token0
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function sqrtPriceX96ToPrice(sqrtPriceX96, decimals0, decimals1) {
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const sqrtPrice = ethers.BigNumber.from(sqrtPriceX96);
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console.log('DEBUG sqrtPriceX96ToPrice:');
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console.log(' sqrtPriceX96:', sqrtPriceX96.toString());
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console.log(' decimals0:', decimals0, 'decimals1:', decimals1);
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if (sqrtPrice.isZero()) {
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throw new Error('sqrtPriceX96 cannot be zero');
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}
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// Calculate price = (sqrtPriceX96 / 2^96)^2 * 10^(decimals0 - decimals1)
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// Using BigNumber arithmetic throughout to maintain precision
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const Q96 = ethers.BigNumber.from(2).pow(96);
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// price = sqrtPrice^2 / 2^192 * 10^(decimals0 - decimals1)
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// To maintain precision, we need to be careful about the order of operations
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// First square the sqrtPrice
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const sqrtPriceSquared = sqrtPrice.mul(sqrtPrice);
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console.log(' sqrtPriceSquared:', sqrtPriceSquared.toString());
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// Calculate 2^192
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const Q192 = Q96.mul(Q96);
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console.log(' Q192:', Q192.toString());
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// Adjust for decimals: if decimals0 > decimals1, we multiply, else divide
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const decimalDiff = decimals0 - decimals1;
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console.log(' decimalDiff:', decimalDiff);
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// We need to calculate: sqrtPriceSquared * 10^decimalDiff / Q192
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// Use a large precision scale to avoid truncation
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// We'll use 30 decimals to ensure we have enough precision even for extreme price ratios
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const PRECISION_DECIMALS = 30;
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const precisionScale = ethers.BigNumber.from(10).pow(PRECISION_DECIMALS);
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let price;
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if (decimalDiff >= 0) {
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const decimalAdjustment = ethers.BigNumber.from(10).pow(decimalDiff);
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const numerator = sqrtPriceSquared.mul(decimalAdjustment).mul(precisionScale);
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console.log(' numerator:', numerator.toString());
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price = numerator.div(Q192);
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} else {
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// When decimalDiff is negative, multiply denominator instead of dividing numerator
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// This avoids precision loss
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const decimalAdjustment = ethers.BigNumber.from(10).pow(-decimalDiff);
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const numerator = sqrtPriceSquared.mul(precisionScale);
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console.log(' numerator:', numerator.toString());
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const denominator = Q192.mul(decimalAdjustment);
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console.log(' denominator:', denominator.toString());
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price = numerator.div(denominator);
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}
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console.log(' price (raw):', price.toString());
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const priceFormatted = ethers.utils.formatUnits(price, PRECISION_DECIMALS);
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console.log(' price (formatted):', priceFormatted);
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return priceFormatted;
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}
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// Helper to calculate inverse price from a decimal string
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function inversePrice(priceStr) {
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const priceNum = parseFloat(priceStr);
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if (priceNum === 0 || !isFinite(priceNum)) {
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console.warn('Warning: Cannot calculate inverse of zero or invalid price');
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return '0';
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}
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// Calculate 1/price using standard division
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const inverse = 1.0 / priceNum;
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// If result is very large, format as integer-like
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// If result is normal decimal, format with precision
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if (inverse > 1e10) {
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return inverse.toExponential(18).replace(/e\+?/, 'e');
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}
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// Format with high precision, removing trailing zeros
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let formatted = inverse.toFixed(18);
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// Remove trailing zeros but keep at least one decimal place
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formatted = formatted.replace(/(\.\d*?)0+$/, '$1').replace(/\.$/, '.0');
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return formatted;
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}
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// Get pool price using StateView
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async function getPoolPriceWithSDK(blockNumber) {
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try {
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// Create StateView contract with ethers
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const stateViewContract = new ethers.Contract(
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STATE_VIEW_ADDRESS,
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STATE_VIEW_ABI,
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anvilProvider
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);
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// Get slot0 data
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const slot0 = await stateViewContract.getSlot0(POOL_ID, {
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blockTag: blockNumber
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});
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// Convert sqrtPriceX96 to price as BigNumber (maintains precision)
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console.log('\n=== Pool State (Debug) ===');
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console.log('Block:', blockNumber);
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console.log('sqrtPriceX96:', slot0.sqrtPriceX96.toString());
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console.log('Tick:', slot0.tick.toString());
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console.log('Token A decimals:', tokenA.decimals);
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console.log('Token B decimals:', tokenB.decimals);
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// Calculate price: token0/token1 = USDC/WETH
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// Using swapped decimals gives us the correct direction
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const token0PerToken1 = sqrtPriceX96ToPrice(slot0.sqrtPriceX96, tokenB.decimals, tokenA.decimals);
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console.log('Price USDC per WETH:', token0PerToken1);
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// Calculate the reciprocal to get WETH per USDC
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const token0PerToken1Num = parseFloat(token0PerToken1);
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const token1PerToken0 = (1.0 / token0PerToken1Num).toFixed(18).replace(/\.?0+$/, '');
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console.log('Price WETH per USDC (reciprocal):', token1PerToken0);
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console.log('\n=== Pool State ===');
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console.log('Block:', blockNumber);
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console.log('sqrtPriceX96:', slot0.sqrtPriceX96.toString());
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console.log('Tick:', slot0.tick.toString());
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console.log(`Price calculated as: token1/token0 where token0=${tokenA.symbol}(${tokenA.decimals}d), token1=${tokenB.symbol}(${tokenB.decimals}d)`);
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console.log(`${tokenB.symbol} per ${tokenA.symbol}:`, token1PerToken0);
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console.log(`${tokenA.symbol} per ${tokenB.symbol}:`, token0PerToken1);
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console.log('LP Fee:', slot0.lpFee, `(${(slot0.lpFee / 10000).toFixed(2)}%)`);
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// Sanity check with actual swap data
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console.log('\nSanity check: If swapping 1 USDC should get ~0.000256 WETH based on your data');
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return {
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sqrtPriceX96: slot0.sqrtPriceX96.toString(),
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tick: slot0.tick.toString(),
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priceStr: token1PerToken0, // WETH per USDC (tokenB per tokenA)
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inversePriceStr: token0PerToken1, // USDC per WETH (tokenA per tokenB)
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protocolFee: slot0.protocolFee,
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lpFee: slot0.lpFee
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};
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} catch (error) {
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console.error('Error getting pool price:', error.message);
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throw error;
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}
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}
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// Get quote from historical block (10 blocks back) with multiple amount testing
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async function getQuoteFromHistoricalBlock(poolKey, targetBlock) {
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try {
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// Get starting pool price using SDK
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try {
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await getPoolPriceWithSDK(targetBlock);
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} catch (error) {
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console.error('Error getting pool price with SDK:', error.message);
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}
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console.log('\n=== Testing Multiple Input Amounts ===');
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console.log('Testing amounts from 1 USDC, increasing by 30% each iteration (limited to 5 iterations)');
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console.log('Testing both directions: USDC→USDT and USDT→USDC\n');
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// Create a new provider instance that queries at specific block
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const quoterContract = new ethers.Contract(QUOTER_ADDRESS, QUOTER_ABI, anvilProvider);
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const resultsForward = []; // USDC→USDT
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const resultsReverse = []; // USDT→USDC
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// Start with 1 token as BigNumber
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let currentAmountBN = ethers.utils.parseUnits("1", tokenA.decimals);
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const multiplierNumerator = 13; // 130% = 13/10
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const multiplierDenominator = 10;
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const maxIterations = 200;
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const maxAmount = ethers.utils.parseUnits("1000000", tokenA.decimals); // 10 million limit
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// Test USDC→USDT (forward direction)
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console.log('\n=== USDC → USDT (Forward Direction) ===');
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for (let i = 0; i < maxIterations; i++) {
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// Check if currentAmountBN exceeds 10 million
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if (currentAmountBN.gt(maxAmount)) {
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console.log(`\nReached maximum amount limit of 10 million USDC. Stopping iterations.`);
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break;
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}
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const currentAmountFormatted = formatBigNumberForDisplay(currentAmountBN, tokenA.decimals);
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console.log(`\n--- Iteration ${i + 1}: ${currentAmountFormatted} USDC ---`);
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const amountIn = currentAmountBN;
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// Make the call at the specific block using overrides
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const quotedAmountOut = await quoterContract.callStatic.quoteExactInputSingle({
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poolKey: poolKey,
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zeroForOne: tokenA.address.toLowerCase() > tokenB.address.toLowerCase(),
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exactAmount: amountIn.toString(),
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hookData: '0x00',
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}, {
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blockTag: targetBlock // Query at specific historical block
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});
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console.log('in/out', amountIn, quotedAmountOut.amountIn, quotedAmountOut.amountOut);
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const actualAmountOut = ethers.BigNumber.from(quotedAmountOut.amountOut);
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// Calculate effective exchange rate as BigNumber (with extra precision)
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// effectiveRate = actualAmountOut / amountIn
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// Scale to show tokenB per 1 tokenA (use tokenB decimals for result)
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const scaleFactor = ethers.BigNumber.from(10).pow(tokenB.decimals);
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const effectiveRateBN = actualAmountOut.mul(scaleFactor).div(amountIn);
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// Log results for this amount (format only for display)
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console.log(`Amount In: ${currentAmountFormatted} ${tokenA.symbol}`);
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console.log(`Amount Out: ${formatBigNumberForDisplay(actualAmountOut, tokenB.decimals)} ${tokenB.symbol}`);
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// Store result with full precision (as strings)
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resultsForward.push({
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iteration: i + 1,
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amountInBN: amountIn.toString(),
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amountOutBN: actualAmountOut.toString(),
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effectiveRateBN: effectiveRateBN.toString(),
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});
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// Increase amount by 30% for next iteration using BigNumber math
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currentAmountBN = currentAmountBN.mul(multiplierNumerator).div(multiplierDenominator);
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}
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// Summary
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console.log('\n\n=== Summary of Results ===');
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console.log(`--- Forward Direction (${tokenA.symbol} → ${tokenB.symbol}) ---`);
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console.log('\nAmount In → Amount Out (Rate) [Slippage]');
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resultsForward.forEach(r => {
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const amountIn = formatBigNumberForDisplay(ethers.BigNumber.from(r.amountInBN), tokenA.decimals);
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const amountOut = formatBigNumberForDisplay(ethers.BigNumber.from(r.amountOutBN), tokenB.decimals);
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const rate = formatBigNumberForDisplay(ethers.BigNumber.from(r.effectiveRateBN), tokenB.decimals);
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console.log(`${amountIn} ${tokenA.symbol} → ${amountOut} ${tokenB.symbol} (${rate})`);
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});
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return {
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blockNumber: targetBlock,
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forward: resultsForward,
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reverse: resultsReverse
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};
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} catch (error) {
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console.error('Error getting historical quote:', error.message);
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throw error;
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}
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}
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// Function to write results to CSV with full precision
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function writeResultsToCSV(blockNumber, priceData, quoteResults) {
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const filename = `swap_results_block_${blockNumber}.csv`;
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// Create CSV header
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let csvContent = `block,${tokenB.symbol} per ${tokenA.symbol},${tokenA.symbol} per ${tokenB.symbol},Amount In,Amount Out,Effective Rate\n`;
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// Get max number of iterations
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const maxIterations = quoteResults.forward.length;
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// Add data rows
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for (let i = 0; i < maxIterations; i++) {
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const forwardResult = quoteResults.forward[i];
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// Use full precision for prices (no scientific notation)
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const priceStr = priceData.priceStr;
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const inversePriceStr = priceData.inversePriceStr;
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csvContent += `${blockNumber},${priceStr},${inversePriceStr},`;
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// Forward direction data with full precision
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const amountInFormatted = bigNumberToFixed(ethers.BigNumber.from(forwardResult.amountInBN), tokenA.decimals);
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const amountOutFormatted = bigNumberToFixed(ethers.BigNumber.from(forwardResult.amountOutBN), tokenB.decimals);
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const effectiveRate = bigNumberToFixed(ethers.BigNumber.from(forwardResult.effectiveRateBN), tokenB.decimals);
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|
||||
csvContent += `${amountInFormatted},${amountOutFormatted},${effectiveRate}\n`;
|
||||
}
|
||||
|
||||
// Write to file
|
||||
fs.writeFileSync(filename, csvContent);
|
||||
console.log(`\n✅ Results written to ${filename}`);
|
||||
}
|
||||
|
||||
// Main function
|
||||
async function main() {
|
||||
console.log('=== Uniswap V4 Quote and Gas Estimation ===\n');
|
||||
// Get current block
|
||||
const currentBlock = await anvilProvider.getBlockNumber();
|
||||
const targetBlock = currentBlock - 10;
|
||||
|
||||
|
||||
// Fetch pool key from Position Manager
|
||||
let poolKey;
|
||||
try {
|
||||
poolKey = await getPoolKey();
|
||||
} catch (error) {
|
||||
console.error('Failed to fetch pool key. Exiting.');
|
||||
return;
|
||||
}
|
||||
|
||||
// Get pool price data
|
||||
let poolPriceData;
|
||||
try {
|
||||
poolPriceData = await getPoolPriceWithSDK(targetBlock);
|
||||
} catch (error) {
|
||||
console.error('Failed to get pool price data:', error.message);
|
||||
return;
|
||||
}
|
||||
|
||||
// Get quotes for both directions
|
||||
try {
|
||||
const quoteResults = await getQuoteFromHistoricalBlock(poolKey, targetBlock);
|
||||
console.log('✅ Historical quote successful!');
|
||||
|
||||
// Write results to CSV
|
||||
writeResultsToCSV(targetBlock, poolPriceData, quoteResults);
|
||||
} catch (error) {
|
||||
console.error('❌ Failed to get historical quote:', error.message);
|
||||
}
|
||||
}
|
||||
|
||||
// Run the main function
|
||||
main().catch(console.error);
|
||||
18
research/uni4_quotes/package.json
Normal file
18
research/uni4_quotes/package.json
Normal file
@@ -0,0 +1,18 @@
|
||||
{
|
||||
"name": "uni4_quotes",
|
||||
"version": "1.0.0",
|
||||
"description": "",
|
||||
"license": "UNLICENSED",
|
||||
"author": "",
|
||||
"type": "module",
|
||||
"main": "get_quotes.js",
|
||||
"scripts": {
|
||||
"dev": "node get_quotes.js",
|
||||
"test": "echo \"Error: no test specified\" && exit 1"
|
||||
},
|
||||
"dependencies": {
|
||||
"@uniswap/sdk-core": "^7.8.0",
|
||||
"@uniswap/v4-sdk": "^1.22.0",
|
||||
"ethers": "^5.8.0"
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user