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GetPoolData.py
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GetPoolData.py
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import pandas as pd
from datetime import datetime, timedelta
import requests
import pickle
import importlib
from itertools import compress
import time
import os
import math
##############################################################
# Pull Uniswap v3 pool data from Google Bigquery
# Have options for Ethereum Mainnet and Polygon
##############################################################
def download_bigquery_swap_data(contract_address,date_begin,date_end,network='ethereum',block_start=0):
"""
Internal function to query Google Bigquery for the swap history of a Uniswap v3 pool between two dates starting from a particular block from Ethereum Mainnet.
Use GetPoolData.get_pool_data_bigquery which preprocesses the data in order to conduct simualtions with the Active Strategy Framework.
"""
from google.cloud import bigquery
client = bigquery.Client()
query = """
SELECT *
FROM blockchain-etl."""+network+"""_uniswap.UniswapV3Pool_event_Swap
where contract_address = lower('"""+contract_address.lower()+"""') and
block_timestamp >= '"""+str(date_begin)+"""' and block_timestamp <= '"""+str(date_end)+"""' and block_number >= """+str(block_start)+"""
"""
query_job = client.query(query) # Make an API request.
return query_job.to_dataframe(create_bqstorage_client=False)
def download_bigquery_price_polygon(contract_address,date_begin,date_end,block_start):
"""
Internal function to query Google Bigquery for the swap history of a Uniswap v3 pool between two dates starting from a particular block from Polygon.
Use GetPoolData.get_pool_data_bigquery which preprocesses the data in order to conduct simualtions with the Active Strategy Framework.
"""
from google.cloud import bigquery
client = bigquery.Client()
query = '''SELECT
block_number,
transaction_index,
log_index,
block_hash,
transaction_hash,
address,
block_timestamp,
'0x' || RIGHT(topics[SAFE_OFFSET(1)],40) AS sender,
'0x' || RIGHT(topics[SAFE_OFFSET(1)],40) AS recipient,
'0x' || SUBSTR(DATA, 3, 64) AS amount0,
'0x' || SUBSTR(DATA, 67, 64) AS amount1,
'0x' || SUBSTR(DATA,131,64) AS sqrtPriceX96,
'0x' || SUBSTR(DATA,195,64) AS liquidity,
'0x' || SUBSTR(DATA,259,64) AS tick
FROM
public-data-finance.crypto_polygon.logs
WHERE
topics[SAFE_OFFSET(0)] = '0xc42079f94a6350d7e6235f29174924f928cc2ac818eb64fed8004e115fbcca67'
AND DATE(block_timestamp) >= DATE("'''+date_begin+'''")
AND DATE(block_timestamp) <= DATE("'''+date_end+'''")
AND block_number >= '''+str(block_start)+'''
AND address = "'''+contract_address+'''"
'''
query_job = client.query(query) # Make an API request.
result = query_job.to_dataframe(create_bqstorage_client=False)
result['amount0'] = result['amount0'].apply(signed_int)
result['amount1'] = result['amount1'].apply(signed_int)
result['sqrtPriceX96'] = result['sqrtPriceX96'].apply(signed_int)
result['liquidity'] = result['liquidity'].apply(signed_int)
result['tick'] = result['tick'].apply(signed_int)
return result
def get_pool_data_bigquery(contract_address,date_begin,date_end,decimals_0,decimals_1,network='mainnet',block_start=0):
"""
Queries Google Bigquery for the swap history of a Uniswap v3 pool between two dates starting from a particular block from either Ethereum Mainnet or Polygon.
Preprocesses data to have decimal adjusted amounts and liquidity values.
"""
if network == 'mainnet':
resulting_data = download_bigquery_swap_data(contract_address.lower(),date_begin,date_end,network='ethereum',block_start=block_start)
elif network == 'polygon':
resulting_data = download_bigquery_swap_data(contract_address.lower(),date_begin,date_end,network=network, block_start=block_start)
else:
raise ValueError('Unsupported Network:'+network)
DECIMAL_ADJ = 10**(decimals_1 - decimals_0)
resulting_data['sqrtPriceX96_float'] = resulting_data['sqrtPriceX96'].astype(float)
resulting_data['quotePrice'] = (((resulting_data['sqrtPriceX96_float'] / 2**96) **2) / DECIMAL_ADJ).astype(float)
resulting_data['block_date'] = pd.to_datetime(resulting_data['block_timestamp'])
resulting_data = resulting_data.set_index('block_date',drop=False).sort_index()
resulting_data['tick_swap'] = resulting_data['tick'].astype(int)
resulting_data['amount0'] = resulting_data['amount0'].astype(float)
resulting_data['amount1'] = resulting_data['amount1'].astype(float)
resulting_data['amount0_adj'] = resulting_data['amount0'].astype(float) / 10**decimals_0
resulting_data['amount1_adj'] = resulting_data['amount1'].astype(float) / 10**decimals_1
resulting_data['virtual_liquidity'] = resulting_data['liquidity'].astype(float)
resulting_data['virtual_liquidity_adj'] = resulting_data['liquidity'].astype(float) / (10**((decimals_0 + decimals_1)/2))
resulting_data['token_in'] = resulting_data.apply(lambda x: 'token0' if (x['amount0_adj'] < 0) else 'token1',axis=1)
resulting_data['traded_in'] = resulting_data.apply(lambda x: -x['amount0_adj'] if (x['amount0_adj'] < 0) else -x['amount1_adj'],axis=1).astype(float)
return resulting_data
def signed_int(h):
"""
Converts hex values to signed integers.
"""
s = bytes.fromhex(h[2:])
i = int.from_bytes(s, 'big', signed=True)
return i
##############################################################
# Get Swaps from Uniswap v3's subgraph, and liquidity at each swap from Flipside Crypto
##############################################################
def query_univ3_graph(query: str, variables=None,network='mainnet') -> dict:
"""
Internal function to query The Graph's Uniswap v3 subgraph on either mainnet or arbitrum.
Use GetPoolData.get_pool_data_flipside which preprocesses the data in order to conduct simualtions with the Active Strategy Framework.
"""
if network == 'mainnet':
univ3_graph_url = 'https://api.thegraph.com/subgraphs/name/uniswap/uniswap-v3'
elif network == 'arbitrum':
univ3_graph_url = 'https://api.thegraph.com/subgraphs/name/ianlapham/uniswap-arbitrum-one'
if variables:
params = {'query': query, 'variables': variables}
else:
params = {'query': query}
response = requests.post(univ3_graph_url, json=params)
return response.json()
def get_swap_data(contract_address,file_name,DOWNLOAD_DATA = True,network='mainnet'):
"""
Internal function to query full history of swap data from Uniswap v3's subgraph.
Use GetPoolData.get_pool_data_flipside which preprocesses the data in order to conduct simualtions with the Active Strategy Framework.
"""
request_swap = []
if DOWNLOAD_DATA:
current_payload = generate_first_event_payload('swaps',contract_address)
current_id = query_univ3_graph(current_payload,network=network)['data']['pool']['swaps'][0]['id']
finished = False
while not finished:
current_payload = generate_event_payload('swaps',contract_address,str(1000))
response = query_univ3_graph(current_payload,variables={'paginateId':current_id},network=network)['data']['pool']['swaps']
if len(response) == 0:
finished = True
else:
current_id = response[-1]['id']
request_swap.extend(response)
with open('./data/'+file_name+'_swap.pkl', 'wb') as output:
pickle.dump(request_swap, output, pickle.HIGHEST_PROTOCOL)
else:
with open('./data/'+file_name+'_swap.pkl', 'rb') as input:
request_swap = pickle.load(input)
return pd.DataFrame(request_swap)
def get_liquidity_flipside(flipside_query,file_name,DOWNLOAD_DATA = True):
"""
Internal function to query full history of liquidity values from Flipside Crypto's Uniswap v3's databases.
Use GetPoolData.get_pool_data_flipside which preprocesses the data in order to conduct simualtions with the Active Strategy Framework.
"""
if DOWNLOAD_DATA:
request_stats = [pd.DataFrame(requests.get(x).json()) for x in flipside_query]
with open('./data/'+file_name+'_liquidity.pkl', 'wb') as output:
pickle.dump(request_stats, output, pickle.HIGHEST_PROTOCOL)
else:
with open('./data/'+file_name+'_liquidity.pkl', 'rb') as input:
request_stats = pickle.load(input)
stats_data = pd.concat(request_stats)
return stats_data
def get_pool_data_flipside(contract_address,flipside_query,file_name,DOWNLOAD_DATA = True):
"""
Queries Uniswap v3's subgraph for swap data and Flipside Crypto's queries to find liquidity in order to conduct simulations using the Active Strategy Framework.
"""
# Download events
swap_data = get_swap_data(contract_address,file_name,DOWNLOAD_DATA)
swap_data['time_pd'] = pd.to_datetime(swap_data['timestamp'], unit='s', origin='unix',utc=True)
swap_data = swap_data.set_index('time_pd')
swap_data['tick_swap'] = swap_data['tick']
swap_data = swap_data.sort_index()
# Download pool liquidity data
stats_data = get_liquidity_flipside(flipside_query,file_name,DOWNLOAD_DATA)
stats_data['time_pd'] = pd.to_datetime(stats_data['BLOCK_TIMESTAMP'], origin='unix',utc=True)
stats_data = stats_data.set_index('time_pd')
stats_data = stats_data.sort_index()
stats_data['tick_pool'] = stats_data['TICK']
full_data = pd.merge_asof(swap_data,stats_data[['VIRTUAL_LIQUIDITY_ADJUSTED','tick_pool']],on='time_pd',direction='backward',allow_exact_matches = False)
full_data = full_data.set_index('time_pd')
# token with negative amounts is the token being swapped in
full_data['tick_swap'] = full_data['tick_swap'].astype(int)
full_data['amount0'] = full_data['amount0'].astype(float)
full_data['amount1'] = full_data['amount1'].astype(float)
full_data['token_in'] = full_data.apply(lambda x: 'token0' if (x['amount0'] < 0) else 'token1',axis=1)
return full_data
def generate_event_payload(event,address,n_query):
payload = '''
query($paginateId: String!){
pool(id:"'''+address+'''"){
'''+event+'''(
first: '''+n_query+'''
orderBy: id
orderDirection: asc
where: {
id_gt: $paginateId
}
) {
id
timestamp
tick
amount0
amount1
amountUSD
}
}
}'''
return payload
def generate_first_event_payload(event,address):
payload = '''query{
pool(id:"'''+address+'''"){
'''+event+'''(
first: 1
orderBy: id
orderDirection: asc
) {
id
timestamp
tick
amount0
amount1
amountUSD
}
}
}'''
return payload
##########################
# Uniswap v2
##########################
def query_univ2_graph(query: str, variables=None) -> dict:
"""
Internal function to query The Graph's Uniswap v2 subgraph on mainnet.
Use GetPoolData.get_swap_data_univ2 which preprocesses the data in order to conduct simualtions with the Active Strategy Framework.
"""
univ2_graph_url = 'https://api.thegraph.com/subgraphs/name/uniswap/uniswap-v2'
if variables:
params = {'query': query, 'variables': variables}
else:
params = {'query': query}
response = requests.post(univ2_graph_url, json=params)
return response.json()
def download_swap_univ2_subgraph(contract_address,file_name,date_begin,date_end,DOWNLOAD_DATA,RATE_LIMIT):
"""
Internal function to query the history of swap data from Uniswap v2's subgraph between begin_date and end_date.
Use GetPoolData.get_swap_data_univ2 which preprocesses the data in order to conduct simualtions with the Active Strategy Framework.
"""
request_swap = []
if DOWNLOAD_DATA:
current_payload = generate_first_swap_univ2_payload(contract_address,date_begin,date_end)
current_id = query_univ2_graph(current_payload)['data']['swaps'][0]['id']
finished = False
while not finished:
current_payload = generate_swap_univ2_payload(contract_address,date_begin,date_end,str(1000))
response = query_univ2_graph(current_payload,variables={'paginateId':current_id})['data']['swaps']
if len(response) == 0:
finished = True
else:
current_id = response[-1]['id']
request_swap.extend(response)
if RATE_LIMIT:
time.sleep(5)
with open('./data/'+file_name+'_swap_v2.pkl', 'wb') as output:
pickle.dump(request_swap, output, pickle.HIGHEST_PROTOCOL)
else:
with open('./data/'+file_name+'_swap_v2.pkl', 'rb') as input:
request_swap = pickle.load(input)
return pd.DataFrame(request_swap)
def get_swap_data_univ2(contract_address,file_name,date_begin,date_end,DOWNLOAD_DATA = True,RATE_LIMIT=False):
"""
Queries Uniswap v2's subgraph for swap data in order to conduct simulations using the Active Strategy Framework.
"""
swap_data = download_swap_univ2_subgraph(contract_address,file_name,date_begin,date_end,DOWNLOAD_DATA,RATE_LIMIT)
swap_data['time_pd'] = pd.to_datetime(swap_data['timestamp'], unit='s', origin='unix',utc=True)
swap_data = swap_data.set_index('time_pd',drop=False)
swap_data = swap_data.sort_index()
swap_data['token_in'] = swap_data.apply(lambda x: 'token0' if float(x['amount0In']) > 0 else 'token1',axis=1)
swap_data['amount0'] = swap_data.apply(lambda x: -float(x['amount0In']) if x['token_in'] == 'token0' else float(x['amount0Out']),axis=1)
swap_data['amount1'] = swap_data.apply(lambda x: float(x['amount1Out']) if x['token_in'] == 'token0' else -float(x['amount1In']),axis=1)
swap_data['traded_in'] = swap_data.apply(lambda x: -x['amount0'] if (x['amount0'] < 0) else -x['amount1'],axis=1).astype(float)
return swap_data
def generate_swap_univ2_payload(address,date_begin,date_end,n_query):
"""
Internal function that generates GraphQL queries to to query The Graph's Uniswap v2 subgraph on mainnet.
"""
date_begin_fmt = str(int(pd.Timestamp(date_begin).timestamp()))
date_end_fmt = str(int(pd.Timestamp(date_end).timestamp()))
payload = '''
query($paginateId: String!){
swaps(
first: '''+n_query+'''
orderBy: id
orderDirection: asc
where:{
pair:"'''+address+'''",
id_gt: $paginateId,
timestamp_gte:"''' +date_begin_fmt+'''",
timestamp_lte:"''' +date_end_fmt+'''"
}
) {
id
timestamp
amount0In
amount1In
amount0Out
amount1Out
amountUSD
}
}'''
return payload
def generate_first_swap_univ2_payload(address,date_begin,date_end):
"""
Internal function that generates GraphQL queries to to query The Graph's Uniswap v2 subgraph on mainnet.
"""
date_begin_fmt = str(int(pd.Timestamp(date_begin).timestamp()))
date_end_fmt = str(int(pd.Timestamp(date_end).timestamp()))
payload = '''query{
swaps(
first: 1
orderBy: id
orderDirection: asc
where:{pair:"'''+address+'''",
timestamp_gte:''' +date_begin_fmt+''',
timestamp_lte:''' +date_end_fmt+'''}
) {
id
timestamp
amount0In
amount1In
amount0Out
amount1Out
amountUSD
}
}'''
return payload
##############################################################
# Get Price Data from Bitquery
##############################################################
def get_price_data_bitquery(token_0_address,token_1_address,date_begin,date_end,api_token,file_name,DOWNLOAD_DATA = True,RATE_LIMIT=False,exchange_to_query='Uniswap'):
"""
Queries the price history of a pair of ERC20's (located at token_0_address and token_1_address) in exchange_to_query (defaults to all Uniswap versions on mainnet) between begin_date and end_date on Bitquery.
"""
request = []
max_rows_bitquery = 10000
if DOWNLOAD_DATA:
# Paginate using limit and an offset
offset = 0
current_request = run_bitquery_query(generate_price_payload(token_0_address,token_1_address,date_begin,date_end,offset,exchange_to_query),api_token)
request.append(current_request)
# When a request has less than 10,000 rows we are at the last one
while len(current_request['data']['ethereum']['dexTrades']) == max_rows_bitquery:
current_request = run_bitquery_query(generate_price_payload(token_0_address,token_1_address,date_begin,date_end,offset,exchange_to_query),api_token)
request.append(current_request)
offset += max_rows_bitquery
if RATE_LIMIT:
time.sleep(5)
with open('./data/'+file_name+'_1min.pkl', 'wb') as output:
pickle.dump(request, output, pickle.HIGHEST_PROTOCOL)
else:
with open('./data/'+file_name+'_1min.pkl', 'rb') as input:
request = pickle.load(input)
# Prepare data for strategy:
# Collect json data and add to a pandas Data Frame
requests_with_data = [len(x['data']['ethereum']['dexTrades']) > 0 for x in request]
relevant_requests = list(compress(request, requests_with_data))
price_data = pd.concat([pd.DataFrame({
'time': [x['timeInterval']['minute'] for x in request_price['data']['ethereum']['dexTrades']],
'baseCurrency': [x['baseCurrency']['symbol'] for x in request_price['data']['ethereum']['dexTrades']],
'quoteCurrency': [x['quoteCurrency']['symbol'] for x in request_price['data']['ethereum']['dexTrades']],
'quoteAmount': [x['quoteAmount'] for x in request_price['data']['ethereum']['dexTrades']],
'baseAmount': [x['baseAmount'] for x in request_price['data']['ethereum']['dexTrades']],
'tradeAmount': [x['tradeAmount'] for x in request_price['data']['ethereum']['dexTrades']],
'quotePrice': [x['quotePrice'] for x in request_price['data']['ethereum']['dexTrades']]
}) for request_price in relevant_requests])
price_data['time'] = pd.to_datetime(price_data['time'], format = '%Y-%m-%d %H:%M:%S')
price_data['time_pd'] = pd.to_datetime(price_data['time'],utc=True)
price_data = price_data.set_index('time_pd')
return price_data
def get_price_usd_data_bitquery(token_address,date_begin,date_end,api_token,file_name,DOWNLOAD_DATA = True ,RATE_LIMIT=False,exchange_to_query='Uniswap'):
"""
Queries the price history of an ERC20 + USD Stablecoins (located at token_address) in exchange_to_query (defaults to all Uniswap versions on mainnet) between begin_date and end_date on Bitquery.
"""
request = []
max_rows_bitquery = 10000
if DOWNLOAD_DATA:
# Paginate using limit and an offset
offset = 0
current_request = run_bitquery_query(generate_usd_price_payload(token_address,date_begin,date_end,offset,exchange_to_query),api_token)
request.append(current_request)
# When a request has less than 10,000 rows we are at the last one
while len(current_request['data']['ethereum']['dexTrades']) == max_rows_bitquery:
current_request = run_bitquery_query(generate_usd_price_payload(token_address,date_begin,date_end,offset,exchange_to_query),api_token)
request.append(current_request)
offset += max_rows_bitquery
if RATE_LIMIT:
time.sleep(5)
with open('./data/'+file_name+'_1min.pkl', 'wb') as output:
pickle.dump(request, output, pickle.HIGHEST_PROTOCOL)
else:
with open('./data/'+file_name+'_1min.pkl', 'rb') as input:
request = pickle.load(input)
# Prepare data for strategy:
# Collect json data and add to a pandas Data Frame
requests_with_data = [len(x['data']['ethereum']['dexTrades']) > 0 for x in request]
relevant_requests = list(compress(request, requests_with_data))
price_data = pd.concat([pd.DataFrame({
'time': [x['timeInterval']['minute'] for x in request_price['data']['ethereum']['dexTrades']],
'baseCurrency': [x['baseCurrency']['symbol'] for x in request_price['data']['ethereum']['dexTrades']],
'quoteCurrency': [x['quoteCurrency']['symbol'] for x in request_price['data']['ethereum']['dexTrades']],
'quoteAmount': [x['quoteAmount'] for x in request_price['data']['ethereum']['dexTrades']],
'baseAmount': [x['baseAmount'] for x in request_price['data']['ethereum']['dexTrades']],
'quotePrice': [x['quotePrice'] for x in request_price['data']['ethereum']['dexTrades']]
}) for request_price in relevant_requests])
price_data['time'] = pd.to_datetime(price_data['time'], format = '%Y-%m-%d %H:%M:%S')
price_data['time_pd'] = pd.to_datetime(price_data['time'],utc=True)
price_data = price_data.set_index('time_pd')
return price_data
def generate_price_payload(token_0_address,token_1_address,date_begin,date_end,offset,exchange_to_query='Uniswap'):
payload = '''{
ethereum(network: ethereum) {
dexTrades(
options: {asc: "timeInterval.minute", limit: 10000, offset:'''+str(offset)+'''}
date: {between: ["'''+date_begin+'''","'''+date_end+'''"]}
exchangeName: {is: "'''+exchange_to_query+'''"}
baseCurrency: {is: "'''+token_0_address+'''"}
quoteCurrency: {is: "'''+token_1_address+'''"}
) {
timeInterval {
minute(count: 1)
}
baseCurrency {
symbol
address
}
baseAmount
quoteCurrency {
symbol
address
}
tradeAmount(in: USD)
quoteAmount
quotePrice
}
}
}'''
return payload
def generate_usd_price_payload(token_address,date_begin,date_end,offset,exchange_to_query='Uniswap'):
payload = '''{
ethereum(network: ethereum) {
dexTrades(
options: {asc: "timeInterval.minute", limit: 10000, offset:'''+str(offset)+'''}
date: {between: ["'''+date_begin+'''","'''+date_end+'''"]}
exchangeName: {is: "'''+exchange_to_query+'''"}
any: [{baseCurrency: {is: "0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48"},
quoteCurrency:{is: "'''+token_address+'''"}},
{baseCurrency: {is: "0xdac17f958d2ee523a2206206994597c13d831ec7"},
quoteCurrency:{is: "'''+token_address+'''"}}]
) {
timeInterval {
minute(count: 1)
}
baseCurrency {
symbol
address
}
baseAmount
quoteCurrency {
symbol
address
}
quoteAmount
quotePrice
}
}
}'''
return payload
def run_bitquery_query(query,api_token):
"""
Internal function that runs a GraphQL query on Bitquery.
"""
url = 'https://graphql.bitquery.io/'
headers = {'X-API-KEY': api_token}
request = requests.post(url,
json={'query': query}, headers=headers)
if request.status_code == 200:
return request.json()
else:
raise Exception('Query failed and return code is {}. {}'.format(request.status_code,query))