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Remove internalizations from slippage #344

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Remove internalizations from slippage #344

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94 changes: 37 additions & 57 deletions queries/dune_v2/period_slippage.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -192,7 +192,7 @@ block_range as (
join pre_batch_transfers pbt
on bm.tx_hash = pbt.tx_hash
)
,incoming_and_outgoing as (
,incoming_and_outgoing_prelim as (
SELECT
block_time,
tx_hash,
Expand Down Expand Up @@ -225,26 +225,7 @@ block_range as (
SELECT from_hex(address_str) as address
FROM ( VALUES {{TokenList}} ) as _ (address_str)
)
,internalized_imbalances as (
select b.block_time,
b.tx_hash,
b.solver_address,
t.symbol,
from_hex(i.token) as token,
cast(cast(i.amount as varchar) as int256) as amount,
'PHANTOM_TRANSFER' as transfer_type
from cowswap.raw_internal_imbalance i
inner join cow_protocol_ethereum.batches b
on i.block_number = b.block_number
and from_hex(i.tx_hash) = b.tx_hash
join tokens.erc20 t
on contract_address = from_hex(token)
and blockchain = 'ethereum'
where i.block_number >= (select start_block from block_range) and i.block_number <= (select end_block from block_range)
and ('{{SolverAddress}}' = '0x' or b.solver_address = from_hex('{{SolverAddress}}'))
and ('{{TxHash}}' = '0x' or b.tx_hash = from_hex('{{TxHash}}'))
)
,incoming_and_outgoing_with_internalized_imbalances_temp as (
,incoming_and_outgoing as (
select * from (
select block_time,
tx_hash,
Expand All @@ -253,9 +234,7 @@ block_range as (
token,
amount,
transfer_type
from incoming_and_outgoing
union all
select * from internalized_imbalances
from incoming_and_outgoing_prelim
) as _
order by block_time
)
Expand Down Expand Up @@ -305,16 +284,6 @@ block_range as (
on from_hex(r.order_uid) = t.order_uid and from_hex(r.tx_hash) = t.tx_hash
where t.order_type='SELL'
)
,incoming_and_outgoing_with_internalized_imbalances as (
select * from (
select * from incoming_and_outgoing_with_internalized_imbalances_temp
union all
select * from buy_token_imbalance_due_to_protocol_fee
union all
select * from sell_token_imbalance_due_to_protocol_fee
) as _
order by block_time
)
-- These batches involve a token who do not emit standard transfer events.
,excluded_batches as (
select tx_hash from filtered_trades
Expand All @@ -334,49 +303,49 @@ block_range as (
symbol,
token,
tx_hash,
date_trunc('hour', block_time) as hour
date_add('minute', (-1) * (minute(date_trunc('minute', block_time)) % {{bucket_size_in_minutes}}), date_trunc('minute', block_time)) as time_slot
from
incoming_and_outgoing_with_internalized_imbalances
incoming_and_outgoing
where tx_hash not in (select tx_hash from excluded_batches)
group by
symbol, token, solver_address, tx_hash, block_time
having
sum(amount) != cast(0 as int256)
)
,token_times as (
select hour, token
select time_slot, token
from final_token_balance_sheet
group by hour, token
group by time_slot, token
)
,precise_prices as (
select
contract_address,
decimals,
date_trunc('hour', minute) as hour,
date_add('minute', (-1) * (minute(pusd.minute) % {{bucket_size_in_minutes}}), pusd.minute) as time_slot,
avg(price) as price
from
prices.usd pusd
inner join token_times tt
on minute between date(hour) and date(hour) + interval '1' day -- query execution speed optimization since minute is indexed
and date_trunc('hour', minute) = hour
on minute between date(time_slot) and date(time_slot) + interval '1' day -- query execution speed optimization since minute is indexed
and date_add('minute', (-1) * (minute(pusd.minute) % {{bucket_size_in_minutes}}), pusd.minute) = time_slot
and contract_address = token
and blockchain = 'ethereum'
group by
contract_address,
decimals,
date_trunc('hour', minute)
date_add('minute', (-1) * (minute(pusd.minute) % {{bucket_size_in_minutes}}), pusd.minute)
)
,intrinsic_prices as (
,intrinsic_prices_prelim as (
select
contract_address,
decimals,
hour,
minute,
AVG(price) as price
from (
select
buy_token_address as contract_address,
ROUND(LOG(10, atoms_bought / units_bought)) as decimals,
date_trunc('hour', block_time) as hour,
date_trunc('minute', block_time) as minute,
usd_value / units_bought as price
FROM cow_protocol_ethereum.trades
WHERE block_number >= (select start_block from block_range) and block_number <= (select end_block from block_range)
Expand All @@ -385,19 +354,30 @@ block_range as (
select
sell_token_address as contract_address,
ROUND(LOG(10, atoms_sold / units_sold)) as decimals,
date_trunc('hour', block_time) as hour,
date_trunc('minute', block_time) as minute,
usd_value / units_sold as price
FROM cow_protocol_ethereum.trades
WHERE block_number >= (select start_block from block_range) and block_number <= (select end_block from block_range)
AND units_sold > 0
) as combined
GROUP BY hour, contract_address, decimals
order by hour
GROUP BY minute, contract_address, decimals
order by minute
)
,intrinsic_prices as (
select
contract_address,
decimals,
date_add('minute', (-1) * (minute(minute) % {{bucket_size_in_minutes}}), minute) as time_slot,
AVG(price) as price
from
intrinsic_prices_prelim
group by date_add('minute', (-1) * (minute(minute) % {{bucket_size_in_minutes}}), minute), contract_address, decimals
order by date_add('minute', (-1) * (minute(minute) % {{bucket_size_in_minutes}}), minute)
)
-- -- Price Construction: https://dune.com/queries/1579091?
,prices as (
select
tt.hour as hour,
tt.time_slot as time_slot,
tt.token as contract_address,
COALESCE(
precise.decimals,
Expand All @@ -409,26 +389,26 @@ block_range as (
) as price
from token_times tt
LEFT JOIN precise_prices precise
ON precise.hour = tt.hour
ON precise.time_slot = tt.time_slot
AND precise.contract_address = token
LEFT JOIN intrinsic_prices intrinsic
ON intrinsic.hour = tt.hour
ON intrinsic.time_slot = tt.time_slot
and intrinsic.contract_address = token
)
-- -- ETH Prices: https://dune.com/queries/1578626?d=1
,eth_prices as (
select
date_trunc('hour', minute) as hour,
date_add('minute', (-1) * (minute(minute) % {{bucket_size_in_minutes}}), minute) as time_slot,
avg(price) as eth_price
from prices.usd
where blockchain = 'ethereum'
and contract_address = 0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2
and minute between cast('{{StartTime}}' as timestamp) and cast('{{EndTime}}' as timestamp)
group by date_trunc('hour', minute)
group by date_add('minute', (-1) * (minute(minute) % {{bucket_size_in_minutes}}), minute)
)
,results_per_tx as (
select
ftbs.hour,
ftbs.time_slot,
tx_hash,
solver_address,
sum(cast(token_imbalance_wei as double) * price / pow(10, p.decimals)) as usd_value,
Expand All @@ -438,11 +418,11 @@ block_range as (
final_token_balance_sheet ftbs
left join prices p
on token = p.contract_address
and p.hour = ftbs.hour
and p.time_slot = ftbs.time_slot
left join eth_prices ep
on ftbs.hour = ep.hour
on ftbs.time_slot = ep.time_slot
group by
ftbs.hour,
ftbs.time_slot,
solver_address,
tx_hash
having
Expand Down
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