Merge pull request #40 from White-Whale-Defi-Platform/feat/multi-hop-…

…support

feat: multihop messaging, config update, profit threshold absolute

.env.juno.example

@@ -1,8 +1,8 @@
 # The wallet mnemonic to send transactions from
 WALLET_MNEMONIC="" 
 USE_MEMPOOL="1"
-GAS_UNIT_USAGES="1400000,2750000"
-PROFIT_THRESHOLD="4"
+GAS_USAGE_PER_HOP="700000" #defines the gas usage per hop, 2 hop arb pays 1400000 gas, 3 hop will pay 2100000 etc
+PROFIT_THRESHOLD="10000"
 # LOGGING ENVIRONMENT VARIABLES 
 # SLACK_TOKEN = 
 # SLACK_CHANNEL = 
@@ -20,6 +20,7 @@ CHAIN_PREFIX="juno"
 RPC_URL="https://juno-rpc.reece.sh"
 GAS_UNIT_PRICE="0.0025"
 FLASHLOAN_ROUTER_ADDRESS="juno1qa7vdlm6zgq3radal5sltyl4t4qd32feug9qs50kcxda46q230pqzny48s"
+FLASHLOAN_FEE="0.3" #in %
 POOLS='{"pool": "juno1sg6chmktuhyj4lsrxrrdflem7gsnk4ejv6zkcc4d3vcqulzp55wsf4l4gl","inputfee": 0.301, "outputfee": 0},
 {"pool": "juno1ctsmp54v79x7ea970zejlyws50cj9pkrmw49x46085fn80znjmpqz2n642","inputfee": 0.42,"outputfee": 0},
 {"pool": "juno1e8n6ch7msks487ecznyeagmzd5ml2pq9tgedqt2u63vra0q0r9mqrjy6ys","inputfee": 0.301,"outputfee": 0},

.env.terra.example

@@ -2,8 +2,9 @@
 ##GENERAL SETTINGS
 WALLET_MNEMONIC="" ##change this
 USE_MEMPOOL="1"
-GAS_UNIT_USAGES="1400000,1900000"
-PROFIT_THRESHOLD="4"
+GAS_USAGE_PER_HOP="700000" #defines the gas usage per hop, 2 hop arb pays 1400000 gas, 3 hop will pay 2100000 etc
+PROFIT_THRESHOLD="5000"
+
 
 ##LOGGING ENVIRONMENT VARIABLES, optional
 #SLACK_TOKEN = ""
@@ -21,6 +22,7 @@ SKIP_URL= "http://phoenix-1-api.skip.money"
 SKIP_BID_WALLET= "terra1d5fzv2y8fpdax4u2nnzrn5uf9ghyu5sxr865uy"
 SKIP_BID_RATE="0.1" #e.g. 10% of the profit is used as a bid to win the auction
 FLASHLOAN_ROUTER_ADDRESS="terra1c8tpvta3umr4mpufvxmq39gyuw2knpyxyfgq8thpaeyw2r6a80qsg5wa00"
+FLASHLOAN_FEE="0.3" #in %
 # # List of pool addresses that will be used to find arbitrage paths, add more paths and factories/routers
 POOLS='{"pool": "terra1fd68ah02gr2y8ze7tm9te7m70zlmc7vjyyhs6xlhsdmqqcjud4dql4wpxr","inputfee": 0,"outputfee": 0.3},
 {"pool": "terra1zrs8p04zctj0a0f9azakwwennrqfrkh3l6zkttz9x89e7vehjzmqzg8v7n","inputfee": 0,"outputfee": 0.3},

src/chains/defaults/messages/getFlashArbMessages.ts

@@ -18,80 +18,52 @@ export function getFlashArbMessages(
 	walletAddress: string,
 	flashloancontract: string,
 ): [Array<EncodeObject>, number] {
-	let flashLoanMessage: FlashLoanMessage;
-	if (arbTrade.path.pools.length == 3) {
-		flashLoanMessage = getFlashArbMessages3Hop(arbTrade.path, arbTrade.offerAsset);
-	} else {
-		flashLoanMessage = getFlashArbMessages2Hop(arbTrade.path, arbTrade.offerAsset);
-	}
+	const flashloanMessage = getFlashArbMessage(arbTrade.path, arbTrade.offerAsset);
+
 	const encodedMsgObject: EncodeObject = {
 		typeUrl: "/cosmwasm.wasm.v1.MsgExecuteContract",
 		value: MsgExecuteContract.fromPartial({
 			sender: walletAddress,
 			contract: flashloancontract,
-			msg: toUtf8(JSON.stringify(flashLoanMessage)),
+			msg: toUtf8(JSON.stringify(flashloanMessage)),
 			funds: [],
 		}),
 	};
-	return [[encodedMsgObject], flashLoanMessage.flash_loan.msgs.length];
+	return [[encodedMsgObject], flashloanMessage.flash_loan.msgs.length];
 }
 
 /**
  *
  */
-function getFlashArbMessages2Hop(path: Path, offerAsset0: Asset): FlashLoanMessage {
-	// double swap message as we trade only native assets
-	const [wasmMsgs0, offerAsset1] = getWasmMessages(path.pools[0], offerAsset0);
-	const [wasmMsgs1, offerAsset2] = getWasmMessages(path.pools[1], offerAsset1);
-
-	const flashLoanMessage: FlashLoanMessage = {
-		flash_loan: {
-			assets: [offerAsset0],
-			msgs: [...wasmMsgs0, ...wasmMsgs1],
-		},
-	};
-	return flashLoanMessage;
-}
-/**
- *
- */
-function getFlashArbMessages3Hop(path: Path, offerAsset0: Asset): FlashLoanMessage {
-	// double swap message as we trade only native assets
-	const [wasmMsgs0, offerAsset1] = getWasmMessages(path.pools[0], offerAsset0);
-	const [wasmMsgs1, offerAsset2] = getWasmMessages(path.pools[1], offerAsset1);
-	const [wasmMsgs2, offerAsset3] = getWasmMessages(path.pools[2], offerAsset2);
+function getFlashArbMessage(path: Path, offerAsset0: Asset): FlashLoanMessage {
+	const wasmMsgs = [];
+	let offerAsset = offerAsset0;
+	for (const pool of path.pools) {
+		const [wasmMsgsPool, offerAssetNext] = getWasmMessages(pool, offerAsset);
+		wasmMsgs.push(...wasmMsgsPool);
+		offerAsset = offerAssetNext;
+	}
 	const flashLoanMessage: FlashLoanMessage = {
 		flash_loan: {
 			assets: [offerAsset0],
-			msgs: [...wasmMsgs0, ...wasmMsgs1, ...wasmMsgs2],
+			msgs: wasmMsgs,
 		},
 	};
 	return flashLoanMessage;
 }
-
 /**
  *
  */
 function getWasmMessages(pool: Pool, offerAsset: Asset) {
 	const [outGivenInTrade, returnAssetInfo] = outGivenIn(pool, offerAsset);
-	console.log(
-		pool.address,
-		": ",
-		"in: ",
-		offerAsset.amount,
-		isNativeAsset(offerAsset.info) ? offerAsset.info.native_token.denom : offerAsset.info.token.contract_addr,
-		"out: ",
-		outGivenInTrade,
-		isNativeAsset(returnAssetInfo) ? returnAssetInfo.native_token.denom : returnAssetInfo.token.contract_addr,
-	);
 	const beliefPrice = Math.round((+offerAsset.amount / outGivenInTrade) * 1e6) / 1e6; //gives price per token bought
 	const nextOfferAsset: Asset = { amount: String(outGivenInTrade), info: returnAssetInfo };
 	let msg: SwapMessage | JunoSwapMessage | SendMessage;
 	if (pool.dexname === AmmDexName.default || pool.dexname === AmmDexName.wyndex) {
 		if (isNativeAsset(offerAsset.info)) {
 			msg = <SwapMessage>{
 				swap: {
-					max_spread: "0.05",
+					max_spread: "0.01",
 					offer_asset:
 						pool.dexname === AmmDexName.default
 							? offerAsset
@@ -101,7 +73,7 @@ function getWasmMessages(pool: Pool, offerAsset: Asset) {
 			};
 		} else {
 			const innerSwapMsg: InnerSwapMessage = {
-				swap: { belief_price: String(beliefPrice), max_spread: "0.0005" },
+				swap: { belief_price: String(beliefPrice), max_spread: "0.01" },
 			};
 			const objJsonStr = JSON.stringify(innerSwapMsg);
 			const objJsonB64 = Buffer.from(objJsonStr).toString("base64");

src/core/arbitrage/arbitrage.ts

@@ -17,8 +17,10 @@ export function trySomeArb(paths: Array<Path>, botConfig: BotConfig): OptimalTra
 	if (path === undefined) {
 		return undefined;
 	} else {
-		const minProfit = path.pools.length == 2 ? botConfig.profitThreshold2Hop : botConfig.profitThreshold3Hop;
-		if (profit * 0.997 < minProfit) {
+		const profitThreshold =
+			botConfig.profitThresholds.get(path.pools.length) ??
+			Array.from(botConfig.profitThresholds.values())[botConfig.profitThresholds.size];
+		if (profit < profitThreshold) {
 			return undefined;
 		} else {
 			console.log("optimal tradesize: ", tradesize, " with profit: ", profit);

src/core/types/arbitrageloops/mempoolLoop.ts

@@ -140,13 +140,15 @@ export class MempoolLoop {
 			chainId: this.chainid,
 		};
 
-		const GAS_FEE = nrOfMessages === 2 ? this.botConfig.txFee2Hop : this.botConfig.txFee3Hop;
+		const TX_FEE =
+			this.botConfig.txFees.get(arbTrade.path.pools.length) ??
+			Array.from(this.botConfig.txFees.values())[this.botConfig.gasFees.size];
 
 		// sign, encode and broadcast the transaction
 		const txRaw = await this.botClients.SigningCWClient.sign(
 			this.account.address,
 			msgs,
-			GAS_FEE,
+			TX_FEE,
 			"memo",
 			signerData,
 		);

src/core/types/arbitrageloops/skipLoop.ts

@@ -8,10 +8,10 @@ import { WebClient } from "@slack/web-api";
 import { MsgSend } from "cosmjs-types/cosmos/bank/v1beta1/tx";
 import { TxRaw } from "cosmjs-types/cosmos/tx/v1beta1/tx";
 
+import { OptimalTrade } from "../../arbitrage/arbitrage";
 import { sendSlackMessage } from "../../logging/slacklogger";
 import { BotClients } from "../../node/chainoperator";
 import { SkipResult } from "../../node/skipclients";
-import { OptimalTrade } from "../../arbitrage/arbitrage";
 import { BotConfig } from "../base/botConfig";
 import { MempoolTrade, processMempool } from "../base/mempool";
 import { Path } from "../base/path";
@@ -87,21 +87,21 @@ export class SkipLoop extends MempoolLoop {
 	 */
 	private async skipTrade(arbTrade: OptimalTrade, toArbTrade: MempoolTrade) {
 		if (
-			!this.botConfig.useSkip ||
-			this.botConfig.skipRpcUrl === undefined ||
-			this.botConfig.skipBidRate === undefined ||
-			this.botConfig.skipBidWallet === undefined
+			!this.botConfig.skipConfig?.useSkip ||
+			this.botConfig.skipConfig?.skipRpcUrl === undefined ||
+			this.botConfig.skipConfig?.skipBidRate === undefined ||
+			this.botConfig.skipConfig?.skipBidWallet === undefined
 		) {
 			console.error("please setup skip variables in the config environment file", 1);
 			return;
 		}
 		const bidMsg: MsgSend = MsgSend.fromJSON({
 			fromAddress: this.account.address,
-			toAddress: this.botConfig.skipBidWallet,
+			toAddress: this.botConfig.skipConfig.skipBidWallet,
 			amount: [
 				{
 					denom: this.botConfig.offerAssetInfo.native_token.denom,
-					amount: String(Math.max(Math.round(arbTrade.profit * this.botConfig.skipBidRate), 651)),
+					amount: String(Math.max(Math.round(arbTrade.profit * this.botConfig.skipConfig.skipBidRate), 651)),
 				},
 			],
 		});
@@ -122,11 +122,14 @@ export class SkipLoop extends MempoolLoop {
 		);
 		msgs.push(bidMsgEncodedObject);
 
-		const GAS_FEE = nrOfWasms === 2 ? this.botConfig.txFee2Hop : this.botConfig.txFee3Hop;
+		//if gas fee cannot be found in the botconfig based on pathlengths, pick highest available
+		const TX_FEE =
+			this.botConfig.txFees.get(arbTrade.path.pools.length) ??
+			Array.from(this.botConfig.txFees.values())[this.botConfig.gasFees.size];
 		const txRaw: TxRaw = await this.botClients.SigningCWClient.sign(
 			this.account.address,
 			msgs,
-			GAS_FEE,
+			TX_FEE,
 			"",
 			signerData,
 		);

src/core/types/base/botConfig.ts

@@ -3,6 +3,12 @@ import { assert } from "console";
 
 import { NativeAssetInfo } from "./asset";
 
+interface SkipConfig {
+	useSkip: boolean;
+	skipRpcUrl: string;
+	skipBidWallet: string;
+	skipBidRate: number;
+}
 export interface BotConfig {
 	chainPrefix: string;
 	rpcUrl: string;
@@ -15,10 +21,9 @@ export interface BotConfig {
 	baseDenom: string;
 
 	gasPrice: string;
-	profitThreshold3Hop: number;
-	profitThreshold2Hop: number;
-	txFee3Hop: StdFee;
-	txFee2Hop: StdFee;
+	gasFees: Map<number, Coin>;
+	txFees: Map<number, StdFee>;
+	profitThresholds: Map<number, number>;
 
 	// logging specific (optionally)
 	// Slack OAuth2 token for the specific SlackApp
@@ -27,10 +32,7 @@ export interface BotConfig {
 	slackChannel?: string | undefined;
 
 	// Skip specific (optionally)
-	useSkip?: boolean;
-	skipRpcUrl?: string | undefined;
-	skipBidWallet?: string | undefined;
-	skipBidRate?: number | undefined;
+	skipConfig: SkipConfig | undefined;
 }
 
 /**
@@ -44,22 +46,40 @@ export function setBotConfig(envs: NodeJS.ProcessEnv): BotConfig {
 		JSON.parse(mapping),
 	);
 	const OFFER_ASSET_INFO: NativeAssetInfo = { native_token: { denom: envs.BASE_DENOM } };
-
-	const GAS_UNIT_USAGES = envs.GAS_UNIT_USAGES.split(",");
 	const GAS_UNIT_PRICE = envs.GAS_UNIT_PRICE; //price per gas unit in BASE_DENOM
-	const GAS_FEE_2HOP: Coin = { denom: envs.BASE_DENOM, amount: String(+GAS_UNIT_USAGES[0] * +GAS_UNIT_PRICE) };
-	const GAS_FEE_3HOP: Coin = { denom: envs.BASE_DENOM, amount: String(+GAS_UNIT_USAGES[1] * +GAS_UNIT_PRICE) };
-	const TX_FEE_2HOP: StdFee = { amount: [GAS_FEE_2HOP], gas: GAS_UNIT_USAGES[0] };
-	const TX_FEE_3HOP: StdFee = { amount: [GAS_FEE_3HOP], gas: GAS_UNIT_USAGES[1] };
 
-	//make sure amount is GAS_FEE.gas * GAS_PRICE at minimum
-	//make sure gas units used is adjusted based on amount of msgs in the arb
-	//make sure amount is GAS_FEE.gas * GAS_PRICE at minimum
-	//make sure gas units used is adjusted based on amount of msgs in the arb
-	const MIN_PROFIT_THRESHOLD3Hop = +envs.PROFIT_THRESHOLD * +GAS_FEE_3HOP.amount; //minimal profit threshold as multiplier of paid GAS_COIN.amount
-	const MIN_PROFIT_THRESHOLD2Hop = +envs.PROFIT_THRESHOLD * +GAS_FEE_2HOP.amount; //minimal profit threshold as multiplier of paid GAS_COIN.amount
+	const GAS_USAGE_PER_HOP = +envs.GAS_USAGE_PER_HOP;
+	const MAX_PATH_HOPS = +envs.MAX_PATH_HOPS; //required gas units per trade (hop)
+
+	// setup skipconfig if present
+	let skipConfig;
+	if (envs.USE_SKIP == "1") {
+		validateSkipEnvs(envs);
+		skipConfig = {
+			useSkip: true,
+			skipRpcUrl: envs.SKIP_URL ?? "",
+			skipBidWallet: envs.SKIP_BID_WALLET ?? "",
+			skipBidRate: envs.SKIP_BID_RATE === undefined ? 0 : +envs.SKIP_BID_RATE,
+		};
+	}
+	const FLASHLOAN_FEE = +envs.FLASHLOAN_FEE;
+	const PROFIT_THRESHOLD = +envs.PROFIT_THRESHOLD;
+
+	//set all required fees for the depth of the hops set by user;
+	const GAS_FEES = new Map<number, Coin>();
+	const TX_FEES = new Map<number, StdFee>();
+	const PROFIT_THRESHOLDS = new Map<number, number>();
+	for (let hops = 2; hops <= MAX_PATH_HOPS; hops++) {
+		const gasFee = { denom: envs.BASE_DENOM, amount: String(GAS_USAGE_PER_HOP * hops * +GAS_UNIT_PRICE) };
+		GAS_FEES.set(hops, gasFee);
+		TX_FEES.set(hops, { amount: [gasFee], gas: String(GAS_USAGE_PER_HOP * hops) });
+		const profitThreshold: number =
+			skipConfig === undefined
+				? PROFIT_THRESHOLD / (1 - FLASHLOAN_FEE) + +gasFee.amount //dont use skip bid on top of the threshold, include flashloan fee and gas fee
+				: PROFIT_THRESHOLD / (1 - FLASHLOAN_FEE) + +gasFee.amount + skipConfig.skipBidRate * PROFIT_THRESHOLD; //need extra profit to provide the skip bid
+		PROFIT_THRESHOLDS.set(hops, profitThreshold);
+	}
 
-	const SKIP_BID_RATE = envs.SKIP_BID_RATE !== undefined ? +envs.SKIP_BID_RATE : undefined;
 	const botConfig: BotConfig = {
 		chainPrefix: envs.CHAIN_PREFIX,
 		rpcUrl: envs.RPC_URL,
@@ -71,16 +91,12 @@ export function setBotConfig(envs: NodeJS.ProcessEnv): BotConfig {
 		useMempool: envs.USE_MEMPOOL == "1" ? true : false,
 		baseDenom: envs.BASE_DENOM,
 		gasPrice: envs.GAS_UNIT_PRICE,
-		profitThreshold3Hop: MIN_PROFIT_THRESHOLD3Hop,
-		profitThreshold2Hop: MIN_PROFIT_THRESHOLD2Hop,
-		txFee3Hop: TX_FEE_3HOP,
-		txFee2Hop: TX_FEE_2HOP,
+		profitThresholds: PROFIT_THRESHOLDS,
+		gasFees: GAS_FEES,
+		txFees: TX_FEES,
 		slackToken: envs.SLACK_TOKEN,
 		slackChannel: envs.SLACK_CHANNEL,
-		useSkip: envs.USE_SKIP == "1" ? true : false,
-		skipRpcUrl: envs.SKIP_URL,
-		skipBidWallet: envs.SKIP_BID_WALLET,
-		skipBidRate: SKIP_BID_RATE,
+		skipConfig: skipConfig,
 	};
 	return botConfig;
 }
@@ -100,5 +116,10 @@ function validateEnvs(envs: NodeJS.ProcessEnv) {
 }
 
 /**
- * Runs the main program.
+ *
  */
+function validateSkipEnvs(envs: NodeJS.ProcessEnv) {
+	assert(envs.SKIP_URL, `Please set SKIP_URL in env or ".env" file`);
+	assert(envs.SKIP_BID_WALLET, `Please set SKIP_BID_WALLET in env or ".env" file`);
+	assert(envs.SKIP_BID_RATE, `Please set SKIP_BID_RATE in env or ".env" file`);
+}

src/core/types/modules.d.ts

@@ -29,6 +29,10 @@ declare namespace NodeJS {
 		 * Flashloan router contract that handles the flashloan and execute the operations/messages.
 		 */
 		FLASHLOAN_ROUTER_ADDRESS: string;
+		/**
+		 * Fee used for taking a flashloan.
+		 */
+		FLASHLOAN_FEE: string;
 		/**
 		 * A list of all the pools to map, separated by ", \n".
 		 *
@@ -55,7 +59,8 @@ declare namespace NodeJS {
 		 */
 		PROFIT_THRESHOLD: string;
 
-		GAS_UNIT_USAGES: string;
+		GAS_USAGE_PER_HOP: string;
+		MAX_PATH_HOPS: string;
 
 		SLACK_TOKEN: string | undefined;
 		SLACK_CHANNEL: string | undefined;