Merge branch '178-bugfix-for-missing-pool-data' of https://github.com…

…/bancorprotocol/fastlane-bot into 178-bugfix-for-missing-pool-data
bancorprotocol · Oct 31, 2023 · 9ee7acb · 9ee7acb
2 parents 54d5eb4 + 4d8ca98
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -2,11 +2,26 @@
 
 ## [Unreleased](https://github.com/bancorprotocol/fastlane-bot/tree/HEAD)
 
-[Full Changelog](https://github.com/bancorprotocol/fastlane-bot/compare/v2.7.51...HEAD)
+[Full Changelog](https://github.com/bancorprotocol/fastlane-bot/compare/v2.7.52...HEAD)
 
-- Several bugs - static pool csv and validator [\#171](https://github.com/bancorprotocol/fastlane-bot/issues/171)
+- zero liquidity pool filters Carbon Orders where y0 is 0 but y1 isn't [\#176](https://github.com/bancorprotocol/fastlane-bot/issues/176)
 
 - Add the ability to get all pools [\#174](https://github.com/bancorprotocol/fastlane-bot/issues/174)
+
+Closed issues
+
+- unsupported operand type\(s\) for -: 'float' and 'decimal.Decimal' [\#180](https://github.com/bancorprotocol/fastlane-bot/issues/180)
+
+Merged pull requests
+
+- Fix a bug that filtered Carbon Strategies with an empty order 0 [\#177](https://github.com/bancorprotocol/fastlane-bot/pull/177) ([Lesigh-3100](https://github.com/Lesigh-3100))
+
+## [v2.7.52](https://github.com/bancorprotocol/fastlane-bot/tree/v2.7.52) (2023-10-25)
+
+[Full Changelog](https://github.com/bancorprotocol/fastlane-bot/compare/v2.7.51...v2.7.52)
+
+- Several bugs - static pool csv and validator [\#171](https://github.com/bancorprotocol/fastlane-bot/issues/171)
+
 - Create terraformer [\#175](https://github.com/bancorprotocol/fastlane-bot/pull/175) ([Lesigh-3100](https://github.com/Lesigh-3100))
 
 ## [v2.7.51](https://github.com/bancorprotocol/fastlane-bot/tree/v2.7.51) (2023-10-25)

diff --git a/fastlane_bot/__init__.py b/fastlane_bot/__init__.py
@@ -1,7 +1,7 @@
 from .bot import CarbonBot as Bot, __VERSION__, __DATE__
 from .config import Config, ConfigNetwork, ConfigDB, ConfigLogger, ConfigProvider
 
-__version__ = '2.7.52'
+__version__ = '2.7.53'
 
 
 
diff --git a/fastlane_bot/events/interface.py b/fastlane_bot/events/interface.py
@@ -102,24 +102,29 @@ def remove_unsupported_exchanges(self) -> None:
             pools = self.filter_pools(exchange_name)
             self.log_pool_numbers(pools, exchange_name)
 
-    def has_balance(self, pool: Dict[str, Any], key: str) -> bool:
+    def has_balance(self, pool: Dict[str, Any], keys: List[str]) -> bool:
         """
         Check if a pool has a balance for a given key
 
         Parameters
         ----------
         pool: Dict[str, Any]
             The pool to check
-        key: str
-            The key to check for a balance
+        keys: List[str]
+            The keys to check for a balance
 
         Returns
         -------
         bool
             True if the pool has a balance for the given key, False otherwise
 
         """
-        return key in pool and pool[key] > 0
+
+        for key in keys:
+            if key in pool and pool[key] > 0:
+                return True
+        return False
+
 
     def get_tokens_from_exchange(self, exchange_name: str) -> List[str]:
         """
@@ -148,28 +153,28 @@ def get_tokens_from_exchange(self, exchange_name: str) -> List[str]:
         tokens = list(set(tokens))
         return tokens
 
-    def filter_pools(self, exchange_name: str, key: str = "") -> List[Dict[str, Any]]:
+    def filter_pools(self, exchange_name: str, keys: List[str] = "") -> List[Dict[str, Any]]:
         """
         Filter pools by exchange name and key
 
         Parameters
         ----------
         exchange_name: str
             The exchange name to filter by
-        key: str
+        keys: str
             The key to filter by
 
         Returns
         -------
         List[Dict[str, Any]]
             The filtered pools
         """
-        if key:
+        if keys:
             return [
                 pool
                 for pool in self.state
                 if pool["exchange_name"] == exchange_name
-                and self.has_balance(pool, key)
+                and self.has_balance(pool, keys)
             ]
         else:
             return [
@@ -209,16 +214,16 @@ def remove_zero_liquidity_pools(self) -> None:
             "balancer",
         ]
         keys = [
-            "liquidity",
-            "tkn0_balance",
-            "tkn0_balance",
-            "tkn0_balance",
-            "tkn0_balance",
-            "y_0",
-            "y_0",
-            "tkn0_balance",
-            "liquidity",
-            "tkn0_balance",
+            ["liquidity"],
+            ["tkn0_balance"],
+            ["tkn0_balance"],
+            ["tkn0_balance"],
+            ["tkn0_balance"],
+            ["y_0"],
+            ["y_0", "y_1"],
+            ["tkn0_balance"],
+            ["liquidity"],
+            ["tkn0_balance"],
         ]
 
         self.state = [

diff --git a/fastlane_bot/helpers/poolandtokens.py b/fastlane_bot/helpers/poolandtokens.py
@@ -331,7 +331,8 @@ def _carbon_to_cpc(self) -> ConstantProductCurve:
             B = Decimal(self.B_1) if i == 0 else Decimal(self.B_0)
             y = Decimal(self.y_1) if i == 0 else Decimal(self.y_0)
             z = yint = Decimal(self.z_1) if i == 0 else Decimal(self.z_0)
-
+            if y <= 0:
+                continue
             encoded_order = EncodedOrder(
                 **{
                     "token": self.pair_name.split("/")[i].replace(

diff --git a/fastlane_bot/modes/base_triangle.py b/fastlane_bot/modes/base_triangle.py
@@ -122,6 +122,13 @@ def get_combos(
                         .byparams(exchange=self.base_exchange)
                         .curves
                     )
+                    if len(base_exchange_curves) == 0:
+                        continue
+
+                    base_direction_pair = base_exchange_curves[0].pair
+                    base_direction_one = [curve for curve in base_exchange_curves if curve.pair == base_direction_pair]
+                    base_direction_two = [curve for curve in base_exchange_curves if curve.pair != base_direction_pair]
+                    assert len(base_exchange_curves) == len(base_direction_one) + len(base_direction_two)
                     y_match_curves = CCm.bypairs(
                         set(CCm.filter_pairs(onein=target_tknx))
                         & set(CCm.filter_pairs(onein=flt))
@@ -130,24 +137,39 @@ def get_combos(
                         set(CCm.filter_pairs(onein=target_tkny))
                         & set(CCm.filter_pairs(onein=flt))
                     )
+
                     y_match_curves_not_carbon = [
                         x
                         for x in y_match_curves
                         if x.params.exchange != self.base_exchange
                     ]
+                    if len(y_match_curves_not_carbon) == 0:
+                        continue
                     x_match_curves_not_carbon = [
                         x
                         for x in x_match_curves
                         if x.params.exchange != self.base_exchange
                     ]
-                    combos = self.get_miniverse(
-                        y_match_curves_not_carbon,
-                        base_exchange_curves,
-                        x_match_curves_not_carbon,
-                        flt,
-                        arb_mode,
-                        combos,
-                    )
+                    if len(x_match_curves_not_carbon) == 0:
+                        continue
+                    if len(base_direction_one) > 0:
+                        combos = self.get_miniverse(
+                            y_match_curves_not_carbon,
+                            base_direction_one,
+                            x_match_curves_not_carbon,
+                            flt,
+                            arb_mode,
+                            combos,
+                        )
+                    if len(base_direction_two) > 0:
+                        combos = self.get_miniverse(
+                            y_match_curves_not_carbon,
+                            base_direction_two,
+                            x_match_curves_not_carbon,
+                            flt,
+                            arb_mode,
+                            combos,
+                        )
         return combos
 
     @staticmethod

diff --git a/fastlane_bot/modes/triangle_multi.py b/fastlane_bot/modes/triangle_multi.py
@@ -39,62 +39,31 @@ def find_arbitrage(self, candidates: List[Any] = None, ops: Tuple = None, best_p
             r = None
             CC_cc = CPCContainer(miniverse)
             O = MargPOptimizer(CC_cc)
-            try:
-                r = O.margp_optimizer(src_token)
-                trade_instructions_df = r.trade_instructions(O.TIF_DFAGGR)
-                trade_instructions_dic = r.trade_instructions(O.TIF_DICTS)
-                trade_instructions = r.trade_instructions()
-                """
-                The following handles an edge case until parallel execution is available:
-                1 Determine correct direction - opposite of non-Carbon pool
-                2 Get cids of wrong-direction Carbon pools
-                3 Create new CPCContainer with correct pools
-                4 Rerun optimizer
-                5 Resume normal flow
-                """
-                non_carbon_cids = [
-                    curve.cid
-                    for curve in miniverse
-                    if curve.params.get("exchange") != "carbon_v1"
-                ]
-                non_carbon_row = trade_instructions_df.loc[non_carbon_cids[0]]
-                tkn0_into_carbon = non_carbon_row[0] < 0
-                wrong_direction_cids = [
-                    idx
-                    for idx, row in trade_instructions_df.iterrows()
-                    if (
-                        (tkn0_into_carbon and row[0] < 0)
-                        or (not tkn0_into_carbon and row[0] > 0)
-                    )
-                    and ("-0" in idx or "-1" in idx)
-                ]
-                if non_carbon_cids and len(wrong_direction_cids) > 0:
-                    self.ConfigObj.logger.debug(
-                        f"\n\nRemoving wrong direction pools & rerunning optimizer\ntrade_instructions_df before: {trade_instructions_df.to_string()}"
-                    )
-                    new_curves = [
-                        curve
-                        for curve in miniverse
-                        if curve.cid not in wrong_direction_cids
-                    ]
-
-                    # Rerun main flow with the new set of curves
-                    CC_cc = CPCContainer(new_curves)
-                    O = MargPOptimizer(CC_cc)
-                    r = O.margp_optimizer(src_token)
-                    profit_src = -r.result
-                    trade_instructions_df = r.trade_instructions(O.TIF_DFAGGR)
-                    trade_instructions_dic = r.trade_instructions(O.TIF_DICTS)
-                    trade_instructions = r.trade_instructions()
-            except Exception as e:
+            #try:
+            r = O.margp_optimizer(src_token)
+            trade_instructions_dic = r.trade_instructions(O.TIF_DICTS)
+            if len(trade_instructions_dic) < 3:
+                # Failed to converge
                 continue
+            trade_instructions_df = r.trade_instructions(O.TIF_DFAGGR)
+            #print(trade_instructions_df)
+            trade_instructions = r.trade_instructions()
+            """
+            The following handles an edge case until parallel execution is available:
+            1 Determine correct direction - opposite of non-Carbon pool
+            2 Get cids of wrong-direction Carbon pools
+            3 Create new CPCContainer with correct pools
+            4 Rerun optimizer
+            5 Resume normal flow
+            """
+
+            profit_src = -r.result
 
             # Get the cids
             cids = [ti["cid"] for ti in trade_instructions_dic]
 
             # Calculate the profit
             profit = self.calculate_profit(src_token, profit_src, self.CCm, cids)
-
             if str(profit) == "nan":
                 self.ConfigObj.logger.debug("profit is nan, skipping")
                 continue

diff --git a/resources/NBTest/NBTest_034_Interface.ipynb b/resources/NBTest/NBTest_034_Interface.ipynb
@@ -15,13 +15,13 @@
      "name": "stdout",
      "output_type": "stream",
      "text": [
-      "ConstantProductCurve v2.14 (23/May/2023)\n",
+      "ConstantProductCurve v3.3.1 (05/Oct/2023)\n",
       "CarbonBot v3-b2.2 (20/June/2023)\n",
-      "UniswapV2 v0.0.1 (2023-07-03)\n",
-      "UniswapV3 v0.0.1 (2023-07-03)\n",
-      "SushiswapV2 v0.0.1 (2023-07-03)\n",
-      "CarbonV1 v0.0.1 (2023-07-03)\n",
-      "BancorV3 v0.0.1 (2023-07-03)\n",
+      "UniswapV2 v0.0.2 (2023-08-27)\n",
+      "UniswapV3 v0.0.2 (2023-08-27)\n",
+      "SushiswapV2 v0.0.2 (2023-08-27)\n",
+      "CarbonV1 v0.0.2 (2023-08-27)\n",
+      "BancorV3 v0.0.2 (2023-08-27)\n",
       "QueryInterface v0.0.1 (2023-07-03)\n",
       "Token v0.0.1 (2023-07-03)\n",
       "imported m, np, pd, plt, os, sys, decimal; defined iseq, raises, require\n",
@@ -123,8 +123,8 @@
    "outputs": [],
    "source": [
     "qi.state = [{'exchange_name': 'uniswap_v2', 'address': '0x123', 'tkn0_key': 'TKN-0x123', 'tkn1_key': 'TKN-0x456', 'pair_name': 'Pair-0x789', 'liquidity': 10}, {'exchange_name': 'sushiswap_v2', 'address': '0xabc', 'tkn0_key': 'TKN-0xabc', 'tkn1_key': 'TKN-0xdef', 'pair_name': 'Pair-0xghi', 'liquidity': 0}]\n",
-    "assert (qi.has_balance(qi.state[0], 'liquidity') == True)\n",
-    "assert (qi.has_balance(qi.state[1], 'liquidity') == False)"
+    "assert (qi.has_balance(qi.state[0], ['liquidity']) == True)\n",
+    "assert (qi.has_balance(qi.state[1], ['liquidity']) == False)"
    ]
   },
   {
@@ -268,7 +268,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.8.8"
+   "version": "3.10.1"
   }
  },
  "nbformat": 4,

diff --git a/resources/NBTest/NBTest_034_Interface.py b/resources/NBTest/NBTest_034_Interface.py
@@ -6,7 +6,7 @@
 #       extension: .py
 #       format_name: light
 #       format_version: '1.5'
-#       jupytext_version: 1.15.2
+#       jupytext_version: 1.14.5
 #   kernelspec:
 #     display_name: Python 3
 #     language: python
@@ -57,8 +57,8 @@
 # ## test_has_balance
 
 qi.state = [{'exchange_name': 'uniswap_v2', 'address': '0x123', 'tkn0_key': 'TKN-0x123', 'tkn1_key': 'TKN-0x456', 'pair_name': 'Pair-0x789', 'liquidity': 10}, {'exchange_name': 'sushiswap_v2', 'address': '0xabc', 'tkn0_key': 'TKN-0xabc', 'tkn1_key': 'TKN-0xdef', 'pair_name': 'Pair-0xghi', 'liquidity': 0}]
-assert (qi.has_balance(qi.state[0], 'liquidity') == True)
-assert (qi.has_balance(qi.state[1], 'liquidity') == False)
+assert (qi.has_balance(qi.state[0], ['liquidity']) == True)
+assert (qi.has_balance(qi.state[1], ['liquidity']) == False)
 
 # ## test_filter_pools
 

diff --git a/resources/NBTest/NBTest_038_TestBancorV3Mode.ipynb b/resources/NBTest/NBTest_038_TestBancorV3Mode.ipynb
@@ -567,7 +567,7 @@
     "\n",
     "combos = finder.get_combos(flashloan_tokens=flt, CCm=CCm, arb_mode=\"bancor_v3\")\n",
     "all_miniverses = finder.get_miniverse_combos(combos)\n",
-    "assert len(all_miniverses) == 144, f\"[test_bancor_v3] Different data used for tests, expected 144 miniverses, got {len(all_miniverses)}\""
+    "assert len(all_miniverses) >= 146, f\"[test_bancor_v3] Different data used for tests, expected 146 miniverses, found {len(all_miniverses)}\""
    ]
   },
   {

diff --git a/resources/NBTest/NBTest_038_TestBancorV3Mode.py b/resources/NBTest/NBTest_038_TestBancorV3Mode.py
@@ -6,7 +6,7 @@
 #       extension: .py
 #       format_name: light
 #       format_version: '1.5'
-#       jupytext_version: 1.15.2
+#       jupytext_version: 1.14.5
 #   kernelspec:
 #     display_name: Python 3
 #     language: python
@@ -307,7 +307,7 @@ def init_bot(mgr: Manager) -> CarbonBot:
 
 combos = finder.get_combos(flashloan_tokens=flt, CCm=CCm, arb_mode="bancor_v3")
 all_miniverses = finder.get_miniverse_combos(combos)
-assert len(all_miniverses) == 144, f"[test_bancor_v3] Different data used for tests, expected 144 miniverses, got {len(all_miniverses)}"
+assert len(all_miniverses) >= 146, f"[test_bancor_v3] Different data used for tests, expected 146 miniverses, found {len(all_miniverses)}"
 # -
 
 # ## Test_get_mono_direction_carbon_curves