1Inch Quotes: Modeling DEX Slippage

This repo is being used as part of the crvUSD Risk Modeling effort.

About

As part of the crvUSD Risk Modeling effort, we have been storing quotes from the 1Inch Swap API for certain tokens pertaining to the crvUSD ecosystem (a full list can be found in src.configs.tokens.py and is reproduced below).

We query random trade sizes for each token pair every hour to generate a price impact curve. This allows us to model the expected price impact of traders arbitraging the various pools connected to Curve's new stablecoin. In turn, this gives us a reasonable idea of when price-sensitive arbitrageur would or would not arbitrage mispricings in these pools. A more detailed explanation of how these price impact curves are used can be found here: https://github.com/xenophonlabs/crvUSDrisk/blob/main/notebooks/demo_slippage_curves.ipynb.

Sample quotes for WETH -> USDC between December 1, 2023 and December 8, 2023.

Sample price impact curve for WETH -> USDC between December 1, 2023 and December 8, 2023.

Supported Tokens

All pairwise combinations of the below tokens have been stored every hour since Thursday, November 16, 2023 at 6pm UTC.

Image	Name	Parameters
	USDC	0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48
	USDT	0xdac17f958d2ee523a2206206994597c13d831ec7
	USDP	0x8e870d67f660d95d5be530380d0ec0bd388289e1
	TUSD	0x0000000000085d4780b73119b644ae5ecd22b376
	WETH	0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2
	wstETH	0x7f39c581f595b53c5cb19bd0b3f8da6c935e2ca0
	sfrxETH	0xac3e018457b222d93114458476f3e3416abbe38f
	WBTC	0x2260fac5e5542a773aa44fbcfedf7c193bc2c599
	tBTC	0x18084fba666a33d37592fa2633fd49a74dd93a88

Usage

All API requests should be made to the base URL: http://97.107.138.106/ with the endpoint quotes.

Below, we query quotes for all pairs of the supported tokens from December 12, 2023 to December 13, 2023. Notice that the start and end parameters are REQUIRED and that we use the --compressed flag to speed up the query.

curl --compressed "http://97.107.138.106/quotes?&start=1702166400&end=1702252800"

Please refer to notebooks/demo_slippage_curves.ipynb for a more detailed example.

Note that Python's requests will handle the gzip compression automatically.

Parameters

Parameter	Description	Default Value	Required
start	The start timestamp to get quotes for.	None	Yes
end	The end timestamp to get quotes for.	None	Yes
tokens	Comma-separated string of token addresses to get quotes for. All pairwise permutations of the provided tokens will be fetched. If not provided, all token pairs are returned.	None	No
cols	Comma-separated string of columns to return. If not provided, the following are returned: [src, dst, in_amount, out_amount, price, price_impact, timestamp].	None	No
process	Whether to process the quotes. If processed, the returned quotes will be grouped by hour and a price_impact column will be added. Refer to src.db.datahandler.DataHandler.process_quotes.	True	No
include-ref-price	Whether to include the inferred reference price for the price impact calc.	False	No

Further explanation on tokens parameter

Quotes for all pairwise permutations of the given tokens will be fetched (as long as they are supported).

For example: tokens=USDC,USDT,WETH will return quotes for:

• WETH -> USDC
• USDC -> WETH
• USDT -> USDC
• USDC -> USDT
• USDT -> WETH
• WETH -> USDT

Please note the parameter should specify token addresses not symbols.

To Do

There are a couple things we are still working on here:

• Cache common responses.

• Acquire and configure a domain name.

• Add more tokens to our queries.