This project calculates current and historical market depth from Uniswap V3 liquidity pools and preform comparison against centralized exchange market depths.

Data requirement:

• Bigquery/Dune Analytics: to obtain all mint and burn events for each pool
  • Run bigquery_mintburn.sql on GCP
• Subgraph: to obtain block-level price data for pools (alternatively use Bigquery)
• Coinpaprika API (optional): to get historical price externally
• Kaiko API (optional): to obtain centralized exchange market depth

Files:

• depthutil.py Functions used to construct liquidity distribution retrospectively and generate market depth at each historical date and level
• depthutil2.py V2 version (more efficient) of constructing liquidity distribution and calculating market depth
• example.py Simple example of market depth calculation
• genbulkMarketDepth.py for bulk calculation and upload to GCP

To run example: ./run.sh