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Adding in-kind redemptions fix for realised PnL #665

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merged 4 commits into from
Nov 20, 2023
Merged

Adding in-kind redemptions fix for realised PnL #665

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4b9cd09
Adding in-kind redemptions fix for realised PnL
miohtama Nov 20, 2023
1d4945e
Realise profit w/redemption test pass
miohtama Nov 20, 2023
9fde5a3
Fix changed strat file name
miohtama Nov 20, 2023
8734093
Rerun realised PnL analysis notebook
miohtama Nov 20, 2023
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96 changes: 30 additions & 66 deletions notebooks/live-strategy-analysis/analyse-balance-events.ipynb
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -19,22 +19,35 @@
"outputs": [],
"source": [
"trade_executors = [\n",
" \"https://enzyme-polygon-eth-usdc-sls.tradingstrategy.ai\",\n",
" \"https://enzyme-polygon-eth-usdc.tradingstrategy.ai\",\n",
"]\n",
"\n"
],
"metadata": {
"collapsed": false,
"ExecuteTime": {
"end_time": "2023-07-25T08:53:26.565881Z",
"start_time": "2023-07-25T08:53:26.561871Z"
"end_time": "2023-11-20T14:15:42.895040Z",
"start_time": "2023-11-20T14:15:42.822895Z"
}
}
},
{
"cell_type": "code",
"execution_count": 2,
"outputs": [],
"outputs": [
{
"ename": "FileNotFoundError",
"evalue": "[Errno 2] No such file or directory: '../enzyme-polygon-eth-usdc.json'",
"output_type": "error",
"traceback": [
"\u001B[0;31m---------------------------------------------------------------------------\u001B[0m",
"\u001B[0;31mFileNotFoundError\u001B[0m Traceback (most recent call last)",
"Cell \u001B[0;32mIn[2], line 4\u001B[0m\n\u001B[1;32m 1\u001B[0m \u001B[38;5;28;01mfrom\u001B[39;00m \u001B[38;5;21;01mpathlib\u001B[39;00m \u001B[38;5;28;01mimport\u001B[39;00m Path\n\u001B[1;32m 2\u001B[0m \u001B[38;5;28;01mfrom\u001B[39;00m \u001B[38;5;21;01mtradeexecutor\u001B[39;00m\u001B[38;5;21;01m.\u001B[39;00m\u001B[38;5;21;01mstate\u001B[39;00m\u001B[38;5;21;01m.\u001B[39;00m\u001B[38;5;21;01mstate\u001B[39;00m \u001B[38;5;28;01mimport\u001B[39;00m State\n\u001B[0;32m----> 4\u001B[0m state \u001B[38;5;241m=\u001B[39m \u001B[43mState\u001B[49m\u001B[38;5;241;43m.\u001B[39;49m\u001B[43mread_json_file\u001B[49m\u001B[43m(\u001B[49m\u001B[43mPath\u001B[49m\u001B[43m(\u001B[49m\u001B[38;5;124;43m\"\u001B[39;49m\u001B[38;5;124;43m../enzyme-polygon-eth-usdc.json\u001B[39;49m\u001B[38;5;124;43m\"\u001B[39;49m\u001B[43m)\u001B[49m\u001B[43m)\u001B[49m\n",
"File \u001B[0;32m~/code/ts/trade-executor/tradeexecutor/state/state.py:880\u001B[0m, in \u001B[0;36mState.read_json_file\u001B[0;34m(path)\u001B[0m\n\u001B[1;32m 873\u001B[0m \u001B[38;5;250m\u001B[39m\u001B[38;5;124;03m\"\"\"Read state from the JSON file.\u001B[39;00m\n\u001B[1;32m 874\u001B[0m \n\u001B[1;32m 875\u001B[0m \u001B[38;5;124;03m- Deal with all serialisation quirks\u001B[39;00m\n\u001B[1;32m 876\u001B[0m \u001B[38;5;124;03m\"\"\"\u001B[39;00m\n\u001B[1;32m 878\u001B[0m \u001B[38;5;28;01massert\u001B[39;00m \u001B[38;5;28misinstance\u001B[39m(path, Path), \u001B[38;5;124mf\u001B[39m\u001B[38;5;124m\"\u001B[39m\u001B[38;5;124mExpected Path, got \u001B[39m\u001B[38;5;132;01m{\u001B[39;00mpath\u001B[38;5;241m.\u001B[39m\u001B[38;5;18m__class__\u001B[39m\u001B[38;5;132;01m}\u001B[39;00m\u001B[38;5;124m\"\u001B[39m\n\u001B[0;32m--> 880\u001B[0m \u001B[38;5;28;01mwith\u001B[39;00m \u001B[38;5;28;43mopen\u001B[39;49m\u001B[43m(\u001B[49m\u001B[43mpath\u001B[49m\u001B[43m,\u001B[49m\u001B[43m \u001B[49m\u001B[38;5;124;43m\"\u001B[39;49m\u001B[38;5;124;43mrt\u001B[39;49m\u001B[38;5;124;43m\"\u001B[39;49m\u001B[43m)\u001B[49m \u001B[38;5;28;01mas\u001B[39;00m inp:\n\u001B[1;32m 881\u001B[0m \u001B[38;5;28;01mreturn\u001B[39;00m State\u001B[38;5;241m.\u001B[39mread_json_blob(inp\u001B[38;5;241m.\u001B[39mread())\n",
"\u001B[0;31mFileNotFoundError\u001B[0m: [Errno 2] No such file or directory: '../enzyme-polygon-eth-usdc.json'"
]
}
],
"source": [
"\n",
"from pathlib import Path\n",
Expand All @@ -45,8 +58,8 @@
"metadata": {
"collapsed": false,
"ExecuteTime": {
"end_time": "2023-07-25T08:53:27.814346Z",
"start_time": "2023-07-25T08:53:26.568632Z"
"end_time": "2023-11-20T14:15:46.296483Z",
"start_time": "2023-11-20T14:15:42.823988Z"
}
}
},
Expand All @@ -61,23 +74,8 @@
},
{
"cell_type": "code",
"execution_count": 3,
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Number of reserve assets: 1\n",
"Reserves: <USDC at 0x2791bca1f2de4661ed88a30c99a7a9449aa84174> at 1.0 USDC / USD\n",
"Amount: 42.82953700000000044423131840 USDC\n",
"Equity: 42.829537 USD\n",
"Value: 42.829537 USD\n",
"Balance updates: -2.1552182261E-16 USDC\n",
"Number of balance updates events: 2\n",
"Number of events references in the portfolio overall: 1\n"
]
}
],
"execution_count": null,
"outputs": [],
"source": [
"\n",
"\n",
Expand All @@ -94,11 +92,7 @@
"print(f\"Number of events references in the portfolio overall: {len(state.sync.treasury.balance_update_refs)}\")"
],
"metadata": {
"collapsed": false,
"ExecuteTime": {
"end_time": "2023-07-25T08:53:27.818116Z",
"start_time": "2023-07-25T08:53:27.815760Z"
}
"collapsed": false
}
},
{
Expand All @@ -112,17 +106,8 @@
},
{
"cell_type": "code",
"execution_count": 4,
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"Vault deployment: <Deployment chain:polygon address:0x6E321256BE0ABd2726A234E8dBFc4d3caf255AE0 name:Degen Fault I token:DEGE1>\n",
"Treasury sync status: <Treasury updated:2023-07-23 18:04:40 cycle:2023-07-23 18:00:00 block scanned:45,431,463 refs:1>\n"
]
}
],
"execution_count": null,
"outputs": [],
"source": [
"treasury = state.sync.treasury\n",
"deployment = state.sync.deployment\n",
Expand All @@ -131,11 +116,7 @@
"print(f\"Treasury sync status: {treasury}\")"
],
"metadata": {
"collapsed": false,
"ExecuteTime": {
"end_time": "2023-07-25T08:53:27.820762Z",
"start_time": "2023-07-25T08:53:27.818770Z"
}
"collapsed": false
}
},
{
Expand All @@ -151,42 +132,25 @@
},
{
"cell_type": "code",
"execution_count": 5,
"outputs": [
{
"data": {
"text/plain": " Cause At Quantity \\\n1 deposit 2023-07-04 19:07:40 7.165562 \n2 correction 2023-07-13 23:47:27 -7.16556200000000021552182261 \n\n Dollar value Address Notes \n1 7.165562 reinit() at block 44683317 \n2 -7.165562 Accounting correction based on the actual on-c... ",
"text/html": "<div>\n<style scoped>\n .dataframe tbody tr th:only-of-type {\n vertical-align: middle;\n }\n\n .dataframe tbody tr th {\n vertical-align: top;\n }\n\n .dataframe thead th {\n text-align: right;\n }\n</style>\n<table border=\"1\" class=\"dataframe\">\n <thead>\n <tr style=\"text-align: right;\">\n <th></th>\n <th>Cause</th>\n <th>At</th>\n <th>Quantity</th>\n <th>Dollar value</th>\n <th>Address</th>\n <th>Notes</th>\n </tr>\n </thead>\n <tbody>\n <tr>\n <th>1</th>\n <td>deposit</td>\n <td>2023-07-04 19:07:40</td>\n <td>7.165562</td>\n <td>7.165562</td>\n <td></td>\n <td>reinit() at block 44683317</td>\n </tr>\n <tr>\n <th>2</th>\n <td>correction</td>\n <td>2023-07-13 23:47:27</td>\n <td>-7.16556200000000021552182261</td>\n <td>-7.165562</td>\n <td></td>\n <td>Accounting correction based on the actual on-c...</td>\n </tr>\n </tbody>\n</table>\n</div>"
},
"metadata": {},
"output_type": "display_data"
}
],
"execution_count": null,
"outputs": [],
"source": [
"from tradeexecutor.analysis.position import display_reserve_position_events\n",
"\n",
"df = display_reserve_position_events(position)\n",
"display(df)\n"
],
"metadata": {
"collapsed": false,
"ExecuteTime": {
"end_time": "2023-07-25T08:53:27.829033Z",
"start_time": "2023-07-25T08:53:27.822416Z"
}
"collapsed": false
}
},
{
"cell_type": "code",
"execution_count": 5,
"execution_count": null,
"outputs": [],
"source": [],
"metadata": {
"collapsed": false,
"ExecuteTime": {
"end_time": "2023-07-25T08:53:27.830311Z",
"start_time": "2023-07-25T08:53:27.829469Z"
}
"collapsed": false
}
}
],
Expand Down
316 changes: 316 additions & 0 deletions notebooks/live-strategy-analysis/analyse-eth-usdc.ipynb
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Large diffs are not rendered by default.

34 changes: 33 additions & 1 deletion tests/enzyme/conftest.py
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Original file line number Diff line number Diff line change
Expand Up @@ -8,6 +8,9 @@

import logging
import pytest
from tradingstrategy.timebucket import TimeBucket
from tradingstrategy.universe import Universe

from eth_defi.enzyme.vault import Vault
from pytest import FixtureRequest

Expand All @@ -30,7 +33,8 @@
from tradeexecutor.ethereum.token import translate_token_details
from tradeexecutor.ethereum.universe import create_pair_universe
from tradeexecutor.state.identifier import AssetIdentifier, TradingPairIdentifier

from tradeexecutor.strategy.trading_strategy_universe import TradingStrategyUniverse
from tradeexecutor.testing.synthetic_exchange_data import generate_exchange

logger = logging.getLogger(__name__)

Expand Down Expand Up @@ -543,3 +547,31 @@ def pairs(weth_usdc_trading_pair, pepe_usdc_trading_pair, bob_usdc_trading_pair,
@pytest.fixture()
def multipair_universe(web3, uniswap_v2_exchange, pairs) -> PandasPairUniverse:
return create_pair_universe(web3, uniswap_v2_exchange, pairs)


@pytest.fixture()
def single_pair_strategy_universe(web3, uniswap_v2, usdc_asset, pair_universe) -> TradingStrategyUniverse:

uni_v2_exchange = generate_exchange(
exchange_id=1,
chain_id=ChainId(web3.eth.chain_id),
address=uniswap_v2.factory.address,
)

data_universe = Universe(
time_bucket=TimeBucket.d1,
chains={ChainId(web3.eth.chain_id)},
exchanges={uni_v2_exchange},
pairs=pair_universe,
candles=None,
liquidity=None
)

strategy_universe = TradingStrategyUniverse(
reserve_assets={usdc_asset},
data_universe=data_universe,
)

return strategy_universe


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