Latest evaluation code

README.md

@@ -27,4 +27,3 @@ aggregator.
 export INFURA_PROJECT_ID=<key>
 make run
 ```
-

contracts/Trader.json

@@ -39,11 +39,16 @@
           "internalType": "uint256",
           "name": "executedOut",
           "type": "uint256"
+        },
+        {
+          "internalType": "uint256",
+          "name": "gasUsed",
+          "type": "uint256"
         }
       ],
       "stateMutability": "nonpayable",
       "type": "function"
     }
   ],
-  "bin-runtime": "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"
+  "bin-runtime": "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"
 }

contracts/Trader.sol

@@ -15,14 +15,16 @@ contract Trader {
         address spender,
         address exchange,
         bytes calldata cdata
-    ) external returns (uint256 executedIn, uint256 executedOut) {
+    ) external returns (uint256 executedIn, uint256 executedOut, uint256 gasUsed) {
         uint256 balanceIn = tokenIn.balanceOf(address(this));
         uint256 balanceOut = tokenOut.balanceOf(address(this));
 
         if (spender != address(0)) {
             tokenIn.safeApprove(spender, type(uint256).max);
         }
+        gasUsed = gasleft();
         exchange.doCall(cdata);
+        gasUsed -= gasleft();
 
         executedIn = balanceIn - tokenIn.balanceOf(address(this));
         executedOut = tokenOut.balanceOf(address(this)) - balanceOut;

src/exchange.js

@@ -41,7 +41,7 @@ export class Exchange {
     }
   }
 
-  async simulateTrade(order, swap, block_number, gasPrice) {
+  async simulateTrade(order, swap, block_number, gasPrice, ethPrice) {
     if (!swap) {
       return {
         uid: order.uid,
@@ -67,18 +67,19 @@ export class Exchange {
       };
     }
 
+    const data = this.trader.encodeFunctionData("trade", [
+      order.sellToken,
+      order.buyToken,
+      swap.spender,
+      swap.exchange,
+      swap.data,
+    ]);
     const eth_call_promise = this.provider
       .send("eth_call", [
         {
           from: order.owner,
           to: order.owner,
-          data: this.trader.encodeFunctionData("trade", [
-            order.sellToken,
-            order.buyToken,
-            swap.spender,
-            swap.exchange,
-            swap.data,
-          ]),
+          data: data,
         },
         block_number,
         {
@@ -90,17 +91,26 @@ export class Exchange {
       .catch((err) => {
         if (`${err.body}`.indexOf("execution reverted") >= 0) {
           log.warning(`${this.name} trade reverted`);
-          return this.trader.encodeFunctionResult("trade", [0, 0]);
+          return this.trader.encodeFunctionResult("trade", [0, 0, 0]);
         } else {
           throw err;
         }
       });
 
     const eth_call_result = await eth_call_promise;
 
-    const [executedSellAmount, executedBuyAmount] = this.trader
+    const [executedSellAmount, executedBuyAmount, gasUsed] = this.trader
       .decodeFunctionResult("trade", eth_call_result);
+    const txInitiationGasAmount = ethers.BigNumber.from("21000");
+    const gasCostJumpIntoExchangeContract = ethers.BigNumber.from("2100");
+    console.log(gasUsed.toString())
 
+    const realGasUsed = gasUsed.add(txInitiationGasAmount.sub(
+      gasCostJumpIntoExchangeContract));
+
+    console.log(realGasUsed.toString())
+    console.log( swap.exchange, "simulation gas costs", (realGasUsed * gasPrice) / ethPrice );
+    console.log(swap.exchange, "provided gas costs", swap.feeUsd );
     return {
       uid: order.uid,
       sellAmount: swap.sellAmount,
@@ -109,7 +119,7 @@ export class Exchange {
       executedBuyAmount,
       exchange: swap.exchange,
       data: swap.data,
-      gasCost: swap.feeUsd,
+      gasCost: (realGasUsed * gasPrice) / ethPrice,
     };
   }
 
@@ -150,12 +160,13 @@ export class Exchange {
       sellTokenPrice,
     );
     if (swap != null) {
-      let feeUsd = swap.feeUsd;
+      const feeUsd = swap.feeUsd;
       const trade = await this.simulateTrade(
         order,
         swap,
         block_number,
         gasPrice,
+        etherPrice,
       );
       let outPutValue = 0;
       if (this.name == "cowswap") {

src/index.js

@@ -18,8 +18,8 @@ const db = new DB("orders.db");
 const provider = new ethers.providers.JsonRpcProvider(
   `https://mainnet.infura.io/v3/${Deno.env.get("INFURA_PROJECT_ID")}`,
 );
+const orderbook = new Orderbook(db, false);
 const parameterStore = new ParameterStore(db);
-const orderbook = new Orderbook(db, true);
 await setup_log(log);
 const exchanges = generateExchangeConfig(db, provider).filter((exchange) =>
   ["zeroex", "ocean", "oneinch", "paraswap", "cowswap"].includes(exchange.name)

src/reader/best_solution_shared.js

@@ -0,0 +1,39 @@
+import { UNION_RAW_DATA_DEX_AG_ONLY } from "./shared.js";
+export function display_histogram_shared_solutions(db) {
+  const winners_query = `
+      raw_data_filtered as (
+      select * from raw_data where executed_buy_amount != 0
+      ),
+      winner_table as (
+       select uid, max(executed_buy_amount) as winning_buy_amount from raw_data_filtered group by uid
+      ),
+      raw_data_filtered_with_winning_bid as (
+        select rd.uid, * from raw_data_filtered rd left join winner_table on rd.uid = winner_table.uid where rd.executed_buy_amount = winning_buy_amount order by 1
+      ),
+      winning_party_count as (
+      select uid, count(*) as num_winners from raw_data_filtered_with_winning_bid group by 1
+      ),
+      solution_count as (
+      select uid, count(*) overall_count from raw_data_filtered group by uid
+      ),
+      results as (
+      select sc.uid, num_winners from solution_count sc left outer join winning_party_count on sc.uid = winning_party_count.uid  where overall_count > 2
+      )
+      select num_winners, count(*) from results group by num_winners
+      `;
+  const rows = db.query(
+    UNION_RAW_DATA_DEX_AG_ONLY + winners_query,
+  );
+  console.log(
+    "Histogram of shared best solution between dex-ags(wihout gas cost considerations): The following histogram shows how frequently the best solution was provided by 1 dex-ag, 2 dex-ags,...",
+  );
+  console.log(rows);
+  const x_val = [];
+  const labels = [];
+  for (let i = 0; i < rows.length; i++) {
+    x_val.push(rows[i][1]);
+    labels.push(rows[i][0]);
+  }
+  console.log(x_val);
+  console.log(labels);
+}

src/reader/histogram_bang_for_buck.js

@@ -0,0 +1,56 @@
+import { UNION_RAW_DATA_HIGH_GAS, UNION_RAW_DATA_LOW_GAS } from "./shared.js";
+export function display_histogram_winners(db) {
+  const winner_count_query = `
+      raw_data_filtered as (
+      select * from raw_data where executed_buy_amount != 0 or name='cowswap'
+      ),
+      result_count as (
+      select uid, count(*) as number_of_results from raw_data_filtered group by uid
+      ),
+      ranked_by_ouput as(
+      select rf.uid, output_value_usd, name, gas_cost_usd,
+       rank() over( partition by rf.uid order by output_value_usd DESC ) as rank
+       from raw_data_filtered rf left join result_count rc on rc.uid = rf.uid where rc.number_of_results > 2
+      ),
+      winner_count as (
+       select name, count(*) from ranked_by_ouput where name='cowswap' and rank=1 
+       UNION
+       select name, count(*) from ranked_by_ouput where name='oneinch' and rank=1
+       UNION
+       select name, count(*) from ranked_by_ouput where name='zeroex' and rank=1
+       UNION
+       select name, count(*) from ranked_by_ouput where name='ocean' and rank=1
+       UNION
+      select name, count(*) from ranked_by_ouput where name='paraswap' and rank=1
+       )
+      select * from winner_count 
+      `;
+  let rows = db.query(
+    UNION_RAW_DATA_LOW_GAS + winner_count_query,
+  );
+  console.log(
+    "Histogram of competition win per exchange (on bang for buck, considering gas costs, in low gas cost env):",
+  );
+  let x_val = [];
+  let labels = [];
+  for (let i = 0; i < rows.length; i++) {
+    x_val.push(rows[i][1]);
+    labels.push(rows[i][0]);
+  }
+  console.log(x_val);
+  console.log(labels);
+  rows = db.query(
+    UNION_RAW_DATA_HIGH_GAS + winner_count_query,
+  );
+  console.log(
+    "Histogram of competition win per exchange (on bang for buck, considering gas costs, in high gas cost env):",
+  );
+  x_val = [];
+  labels = [];
+  for (let i = 0; i < rows.length; i++) {
+    x_val.push(rows[i][1]);
+    labels.push(rows[i][0]);
+  }
+  console.log(x_val);
+  console.log(labels);
+}

src/reader/histogram_bang_for_buck_big_orders.js

@@ -0,0 +1,57 @@
+import { UNION_RAW_DATA_HIGH_GAS, UNION_RAW_DATA_LOW_GAS } from "./shared.js";
+export function display_histogram_winners_big_trades(db) {
+  const winners_query = `
+      raw_data_filtered as (
+      select * from raw_data where (executed_buy_amount != 0 or name='cowswap') and CAST(output_value_usd as INTEGER) > 100000.0
+      ),
+      result_count as (
+      select uid, count(*) as number_of_results from raw_data_filtered group by uid
+      ),
+      ranked_by_ouput as(
+      select rf.uid, output_value_usd, name, gas_cost_usd,
+       rank() over( partition by rf.uid order by output_value_usd DESC ) as rank
+       from raw_data_filtered rf left join result_count rc on rc.uid = rf.uid where rc.number_of_results > 2
+      ),
+      winner_count as (
+       select name, count(*) from ranked_by_ouput where name='cowswap' and rank=1 
+       UNION
+       select name, count(*) from ranked_by_ouput where name='oneinch' and rank=1
+       UNION
+       select name, count(*) from ranked_by_ouput where name='zeroex' and rank=1
+       UNION
+       select name, count(*) from ranked_by_ouput where name='ocean' and rank=1
+       UNION
+      select name, count(*) from ranked_by_ouput where name='paraswap' and rank=1
+       )
+      select * from winner_count 
+      `;
+  let rows = db.query(
+    UNION_RAW_DATA_LOW_GAS + winners_query,
+  );
+  console.log(
+    "Histogram of competition win per exchange on big orders(on bang for buck, considering gas costs, in low gas cost environment):",
+  );
+  let x_val = [];
+  let labels = [];
+  for (let i = 0; i < rows.length; i++) {
+    x_val.push(rows[i][1]);
+    labels.push(rows[i][0]);
+  }
+  console.log(x_val);
+  console.log(labels);
+  rows = db.query(
+    UNION_RAW_DATA_HIGH_GAS + winners_query,
+  );
+
+  console.log(
+    "Histogram of competition win per exchange on big orders(on bang for buck, considering gas costs, in high gas cost environment):",
+  );
+  x_val = [];
+  labels = [];
+  for (let i = 0; i < rows.length; i++) {
+    x_val.push(rows[i][1]);
+    labels.push(rows[i][0]);
+  }
+  console.log(x_val);
+  console.log(labels);
+}

src/reader/histogram_diff_to_cowswap.js

@@ -0,0 +1,73 @@
+import { UNION_RAW_DATA_LOW_GAS, UNION_RAW_DATA_HIGH_GAS } from "./shared.js";
+export function display_histogram_winners_diff_to_cowswap(db) {
+  const query = `
+      raw_data_filtered as (
+      select * from raw_data where executed_buy_amount != 0 or name='cowswap'
+      ),
+      ranked_by_ouput as(
+      select uid, output_value_usd, name,
+
+       rank() over( partition by uid order by output_value_usd DESC ) as rank
+       from raw_data_filtered
+      ),
+      winner as (
+      select * from ranked_by_ouput where rank=1
+      ),
+      difference_to_cowswap as(
+      select ro.uid, w.output_value_usd - ro.output_value_usd as diff from ranked_by_ouput ro left join winner w on ro.uid = w.uid 
+      where ro.name='cowswap'
+      ),
+      winner_count as (
+       select '[0,0]' as category, count(*) from difference_to_cowswap where diff=0
+       UNION
+       select '[0,0.001]' as category, count(*) from difference_to_cowswap where diff < 0.001 and diff >0
+       UNION
+       select '[0.001,0.01]' as category, count(*) from difference_to_cowswap where diff > 0.001 and diff < 0.01
+       UNION
+       select '[0.01,0.1]' as category, count(*) from difference_to_cowswap where diff > 0.01 and diff < 0.1
+       UNION
+       select '[0.1,1]' as category, count(*) from difference_to_cowswap where diff > 0.1 and diff < 1
+       UNION
+       select '[1,2]' as category, count(*) from difference_to_cowswap where diff >1 and diff < 2
+       UNION
+       select '[2,4]' as category, count(*) from difference_to_cowswap where diff >2 and diff < 4
+       UNION
+       select '[4,10]' as category, count(*) from difference_to_cowswap where diff >4 and diff < 10
+       UNION
+       select '[10,10000]' as category, count(*) from difference_to_cowswap where diff >10 
+       )
+      select * from winner_count
+`;
+  let rows = db.query(
+    UNION_RAW_DATA_LOW_GAS+ query,
+    [],
+  );
+  console.log(
+    "Histogram of output difference between cowswap and best solution in [usd] (on bang for the buck considering gas costs, in low gas cost env):",
+  );
+  console.log(rows);
+  let x_val = [];
+  let labels = [];
+  for (let i = 0; i < rows.length; i++) {
+    x_val.push(rows[i][1]);
+    labels.push(rows[i][0]);
+  }
+  console.log(x_val);
+  console.log(labels);
+  rows = db.query(
+    UNION_RAW_DATA_HIGH_GAS + query,
+    [],
+  );
+  console.log(
+    "Histogram of output difference between cowswap and best solution in [usd] (on bang for the buck considering gas costs, in high gas cost env):",
+  );
+  console.log(rows);
+  x_val = [];
+  labels = [];
+  for (let i = 0; i < rows.length; i++) {
+    x_val.push(rows[i][1]);
+    labels.push(rows[i][0]);
+  }
+  console.log(x_val);
+  console.log(labels);
+}