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Adds support for custom flashloan fees #360

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Adds support for custom flashloan fees #360

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94c26e8
Adds support for custom flashloan fees
mikewcasale Feb 7, 2024
bdfa1f0
Updating with actual fee
mikewcasale Feb 8, 2024
3ad9f16
simplified the approach
mikewcasale Feb 10, 2024
ae4c773
Merge branch 'develop' into 346-add-handling-of-flashloan-fee-1
mikewcasale Feb 10, 2024
99b0b5b
Changes fee approach, corrects typing and docstrings
mikewcasale Feb 12, 2024
73c7254
Merge branch 'develop' into 346-add-handling-of-flashloan-fee-1
mikewcasale Feb 12, 2024
37b79ca
adding default fee to satisfy failing tests
mikewcasale Feb 12, 2024
5b44855
Merge branch '346-add-handling-of-flashloan-fee-1' of https://github.…
mikewcasale Feb 12, 2024
1be8460
Merge branch 'develop' into 346-add-handling-of-flashloan-fee-1
mikewcasale Feb 12, 2024
1a2fc0a
change to correct fee percentage
mikewcasale Feb 13, 2024
b521c4d
Update constants.py
mikewcasale Feb 13, 2024
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14 changes: 10 additions & 4 deletions fastlane_bot/bot.py
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Original file line number Diff line number Diff line change
Expand Up @@ -772,6 +772,7 @@ def calculate_profit(
CCm: CPCContainer,
best_profit: Decimal,
fl_token: str,
flashloan_fee_amt: int,
) -> Tuple[Decimal, Decimal, Decimal]:
"""
Calculate the actual profit in USD.
Expand All @@ -786,6 +787,8 @@ def calculate_profit(
The flashloan token.
fl_token_with_weth: str
The flashloan token with weth.
flashloan_fee_amt: int
The flashloan fee amount.

Returns
-------
Expand All @@ -795,6 +798,7 @@ def calculate_profit(
sort_sequence = ['bancor_v2','bancor_v3'] + self.ConfigObj.UNI_V2_FORKS + self.ConfigObj.UNI_V3_FORKS

best_profit_fl_token = best_profit
flashloan_fee_amt_fl_token = Decimal(str(flashloan_fee_amt))
if fl_token not in [self.ConfigObj.WRAPPED_GAS_TOKEN_ADDRESS, self.ConfigObj.NATIVE_GAS_TOKEN_ADDRESS]:
price_curves = self.get_prices_simple(CCm, self.ConfigObj.WRAPPED_GAS_TOKEN_ADDRESS, fl_token)
sorted_price_curves = self.custom_sort(price_curves, sort_sequence)
Expand All @@ -803,15 +807,16 @@ def calculate_profit(
self.ConfigObj.logger.debug(f"[bot.calculate_profit sorted_price_curves] {sorted_price_curves}")
if len(sorted_price_curves)>0:
fltkn_eth_conversion_rate = sorted_price_curves[0][-1]
best_profit_eth = Decimal(str(best_profit_fl_token)) / Decimal(str(fltkn_eth_conversion_rate))
flashloan_fee_amt_eth = Decimal(str(flashloan_fee_amt_fl_token)) / Decimal(str(fltkn_eth_conversion_rate))
best_profit_eth = Decimal(str(best_profit_fl_token)) / Decimal(str(fltkn_eth_conversion_rate)) - flashloan_fee_amt_eth
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self.ConfigObj.logger.debug(f"[bot.calculate_profit] {fl_token, best_profit_fl_token, fltkn_eth_conversion_rate, best_profit_eth, 'ETH'}")
else:
self.ConfigObj.logger.error(
f"[bot.calculate_profit] Failed to get conversion rate for {fl_token} and {self.ConfigObj.WRAPPED_GAS_TOKEN_ADDRESS}. Raise"
)
raise
else:
best_profit_eth = best_profit_fl_token
best_profit_eth = best_profit_fl_token - flashloan_fee_amt_fl_token
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try:
price_curves_usd = self.get_prices_simple(CCm, self.ConfigObj.WRAPPED_GAS_TOKEN_ADDRESS, self.ConfigObj.STABLECOIN_ADDRESS)
Expand All @@ -822,6 +827,7 @@ def calculate_profit(
usd_eth_conversion_rate = Decimal(str(sorted_price_curves_usd[0][-1]))
except Exception:
usd_eth_conversion_rate = Decimal("NaN")

best_profit_usd = best_profit_eth * usd_eth_conversion_rate
self.ConfigObj.logger.debug(f"[bot.calculate_profit_usd] {'ETH', best_profit_eth, usd_eth_conversion_rate, best_profit_usd, 'USD'}")
return best_profit_fl_token, best_profit_eth, best_profit_usd
Expand Down Expand Up @@ -967,7 +973,7 @@ def _handle_trade_instructions(
calculated_trade_instructions
)

flashloan_struct = tx_route_handler.generate_flashloan_struct(
flashloan_struct, flashloan_fee_amt = tx_route_handler.generate_flashloan_struct(
trade_instructions_objects=calculated_trade_instructions
)

Expand All @@ -981,7 +987,7 @@ def _handle_trade_instructions(

# Use helper function to calculate profit
best_profit_fl_token, best_profit_eth, best_profit_usd = self.calculate_profit(
CCm, best_profit, fl_token
CCm, best_profit, fl_token, flashloan_fee_amt
)

# Log the best trade instructions
Expand Down
13 changes: 13 additions & 0 deletions fastlane_bot/config/constants.py
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@@ -0,0 +1,13 @@
"""
This file constains the constants used in the fastlane_bot package.

(c) Copyright Bprotocol foundation 2023.
Licensed under MIT License.
"""

FLASHLOAN_FEE_MAP = {
# should be in the form of {network: fee * 1e6}
"ethereum": 0,
"coinbase_base": 0,
"fantom": 300, # Flashloans come with a 0.03% Fee from Beethoven X (Balancer fork)
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Why represent percentage like that?

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Is this not a standard approach in the industry, to specify in PPM? In any case, just following what we did in the simulator, and as well how Uniswap does it, etc. Happy to change if there is a more preferred method.

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  1. It is not standard, but an implementation-decision (typically per DEX).
  2. Unless this is related to something the you need to process before passing as input to a contract function or after receiving as output from a contract function, there is no reason for you to use this resolution to begin with; the only reason for it being used onchain, is the lack of non-integer-arithmetic support, which is obviously not an issue in offchain scripts.

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In this case, what is your preferred implementation approach / alternative?

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Why not just use 0.0003 (i.e., multiply by that value wherever needed)?

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I'd go with the most obvious - either 0.0003 # 0.03% or 0.03 # %

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This has been updated.

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@barakman barakman Feb 13, 2024 •
edited
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An important note to make here is that Mike's original decision to use a PPM factor, was actually a good one in the sense of avoiding floating-point calculations as much as possible (i.e., the calculation would subsequently turn into amount * fee // 1e6, which is purely integer-arithmetic).
But not critical at this point, especially after he's already changed that.

}
12 changes: 8 additions & 4 deletions fastlane_bot/helpers/routehandler.py
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Expand Up @@ -17,6 +17,7 @@
import pandas as pd

from .tradeinstruction import TradeInstruction
from ..config.constants import FLASHLOAN_FEE_MAP
from ..events.interface import Pool
from ..tools.cpc import T

Expand Down Expand Up @@ -501,13 +502,13 @@ def get_custom_address(
return pool.tkn0_address


def generate_flashloan_struct(self, trade_instructions_objects: List[TradeInstruction]) -> List:
def generate_flashloan_struct(self, trade_instructions_objects: List[TradeInstruction]) -> Tuple[List, int]:
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"""
Generates the flashloan struct for submitting FlashLoanAndArbV2 transactions
:param trade_instructions_objects: a list of TradeInstruction objects

:return:
int
Tuple[List, int], the flashloan struct and the flashloan fee amount
"""
return self._get_flashloan_struct(trade_instructions_objects=trade_instructions_objects)

Expand All @@ -529,7 +530,7 @@ def _get_flashloan_platform_id(self, tkn: str) -> int:
else:
return 7

def _get_flashloan_struct(self, trade_instructions_objects: List[TradeInstruction]) -> List:
def _get_flashloan_struct(self, trade_instructions_objects: List[TradeInstruction]) -> Tuple[List, int]:
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@zavelevsky zavelevsky Feb 11, 2024 •
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where do you actually return the fee? I can't find where you add the fee to the Tuple

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Should be corrected now.

"""
Turns an object containing trade instructions into a struct with flashloan tokens and amounts ready to send to the smart contract.
:param flash_tokens: an object containing flashloan tokens in the format {tkn: {"tkn": tkn_address, "flash_amt": tkn_amt}}
Expand All @@ -538,10 +539,13 @@ def _get_flashloan_struct(self, trade_instructions_objects: List[TradeInstructio
flashloans = []
balancer = {"platformId": 7, "sourceTokens": [], "sourceAmounts": []}
has_balancer = False
flashloan_fee_amt = 0
flashloan_fee = FLASHLOAN_FEE_MAP.get(self.ConfigObj.NETWORK, 0)
for tkn in flash_tokens.keys():
platform_id = self._get_flashloan_platform_id(tkn)
source_token = flash_tokens[tkn]["tkn"]
source_amounts = abs(flash_tokens[tkn]["flash_amt"])
flashloan_fee_amt += int(flashloan_fee * source_amounts // 1e6) if flashloan_fee > 0 else 0
if platform_id == 7:
has_balancer = True
balancer["sourceTokens"].append(source_token)
Expand All @@ -553,7 +557,7 @@ def _get_flashloan_struct(self, trade_instructions_objects: List[TradeInstructio
if has_balancer:
flashloans.append(balancer)

return flashloans
return flashloans, flashloan_fee_amt

def native_gas_token_to_wrapped(self, tkn: str):
"""
Expand Down
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