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BalancerV2Scraper.go
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BalancerV2Scraper.go
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package scrapers
import (
"context"
"fmt"
"math"
"math/big"
"sort"
"strconv"
"sync"
"time"
"golang.org/x/sync/errgroup"
"github.com/ethereum/go-ethereum/accounts/abi/bind"
"github.com/ethereum/go-ethereum/common"
"github.com/ethereum/go-ethereum/ethclient"
"github.com/pkg/errors"
"go.uber.org/ratelimit"
balancervault "github.com/diadata-org/diadata/pkg/dia/scraper/exchange-scrapers/balancerv2/vault"
models "github.com/diadata-org/diadata/pkg/model"
"github.com/diadata-org/diadata/pkg/utils"
"github.com/diadata-org/diadata/pkg/dia"
"github.com/diadata-org/diadata/pkg/dia/helpers/ethhelper"
)
const (
balancerV2RateLimitPerSec = 50
balancerV2FilterPageSize = 5000
balancerV2RestDial = ""
balancerV2WSDial = ""
)
var (
balancerV2VaultContract = ""
balancerV2StartBlockPoolRegister = 16896080
reverseBasetokensBalancer *[]string
reverseQuotetokensBalancer *[]string
)
// BalancerV2Swap is a swap information
type BalancerV2Swap struct {
SellToken string
BuyToken string
SellVolume float64
BuyVolume float64
ID string
Timestamp int64
}
// BalancerV2Scraper is a scraper for Balancer V2
type BalancerV2Scraper struct {
rest *ethclient.Client
ws *ethclient.Client
rl ratelimit.Limiter
relDB *models.RelDB
// signaling channels for session initialization and finishing
shutdown chan nothing
shutdownDone chan nothing
signalShutdown sync.Once
signalShutdownDone sync.Once
// error handling; err should be read from error(), closed should be read from isClosed()
// those two methods implement RW lock
errMutex sync.RWMutex
err error
closedMutex sync.RWMutex
closed bool
// used to keep track of trading pairs that we subscribed to
pairScrapers map[string]*BalancerV2PairScraper
exchangeName string
chanTrades chan *dia.Trade
tokensMap map[string]dia.Asset
poolsMap map[[32]byte]common.Address
admissiblePools map[common.Address]struct{}
cachedAssets sync.Map // map[string]dia.Asset
}
// NewBalancerV2Scraper returns a Balancer V2 scraper
func NewBalancerV2Scraper(exchange dia.Exchange, scrape bool, relDB *models.RelDB) *BalancerV2Scraper {
balancerV2VaultContract = exchange.Contract
scraper := &BalancerV2Scraper{
exchangeName: exchange.Name,
err: nil,
shutdown: make(chan nothing),
shutdownDone: make(chan nothing),
pairScrapers: make(map[string]*BalancerV2PairScraper),
chanTrades: make(chan *dia.Trade),
tokensMap: make(map[string]dia.Asset),
poolsMap: make(map[[32]byte]common.Address),
admissiblePools: make(map[common.Address]struct{}),
}
switch exchange.Name {
case dia.BalancerV2Exchange:
balancerV2StartBlockPoolRegister = 12272146
case dia.BalancerV2ExchangeArbitrum:
balancerV2StartBlockPoolRegister = 222832
case dia.BeetsExchange:
balancerV2StartBlockPoolRegister = 16896080
case dia.BalancerV2ExchangePolygon:
balancerV2StartBlockPoolRegister = 15832990
}
var err error
ws, err := ethclient.Dial(utils.Getenv("ETH_URI_WS", balancerV2WSDial))
if err != nil {
log.Fatal("init ws client: ", err)
}
rest, err := ethclient.Dial(utils.Getenv("ETH_URI_REST", balancerV2RestDial))
if err != nil {
log.Fatal("init rest client: ", err)
}
scraper.relDB = relDB
// Only include pools with (minimum) liquidity bigger than given env var.
liquidityThreshold, err := strconv.ParseFloat(utils.Getenv("LIQUIDITY_THRESHOLD", "0"), 64)
if err != nil {
liquidityThreshold = float64(0)
log.Warnf("parse liquidity threshold: %v. Set to default %v", err, liquidityThreshold)
}
// Only include pools with (minimum) liquidity USD value bigger than given env var.
liquidityThresholdUSD, err := strconv.ParseFloat(utils.Getenv("LIQUIDITY_THRESHOLD_USD", "0"), 64)
if err != nil {
liquidityThresholdUSD = float64(0)
log.Warnf("parse liquidity threshold: %v. Set to default %v", err, liquidityThresholdUSD)
}
scraper.fetchAdmissiblePools(liquidityThreshold, liquidityThresholdUSD)
scraper.ws = ws
scraper.rest = rest
scraper.rl = ratelimit.New(balancerV2RateLimitPerSec)
if scrape {
go scraper.mainLoop()
}
return scraper
}
func (s *BalancerV2Scraper) mainLoop() {
// Import tokens which appear as base token and we need a quotation for
var err error
reverseBasetokensBalancer, err = getReverseTokensFromConfig("balancer/reverse_tokens/" + s.exchangeName + "Basetoken")
if err != nil {
log.Error("error getting tokens for which pairs should be reversed: ", err)
}
log.Info("reverse basetokens: ", reverseBasetokensBalancer)
reverseQuotetokensBalancer, err = getReverseTokensFromConfig("balancer/reverse_tokens/" + s.exchangeName + "Quotetoken")
if err != nil {
log.Error("error getting tokens for which pairs should be reversed: ", err)
}
log.Info("reverse quotetokens: ", reverseQuotetokensBalancer)
defer s.cleanup()
filterer, err := balancervault.NewBalancerVaultFilterer(common.HexToAddress(balancerV2VaultContract), s.ws)
if err != nil {
s.setError(err)
log.Fatalf("%s: Cannot create vault filter, err=%s", s.exchangeName, err.Error())
}
balancerVaultCaller, err := balancervault.NewBalancerVaultCaller(common.HexToAddress(balancerV2VaultContract), s.rest)
if err != nil {
log.Error("balancer vault caller: ", err)
}
currBlock, err := s.rest.BlockNumber(context.Background())
if err != nil {
s.setError(err)
log.Fatalf("%s: Cannot get a current block number, err=%s", s.exchangeName, err.Error())
}
sink := make(chan *balancervault.BalancerVaultSwap)
sub, err := filterer.WatchSwap(&bind.WatchOpts{Start: &currBlock}, sink, nil, nil, nil)
if err != nil {
s.setError(err)
log.Fatalf("%s: Cannot watch swap events, err=%s", s.exchangeName, err.Error())
}
defer sub.Unsubscribe()
for {
select {
case <-s.shutdown:
log.Println("BalancerV2Scraper: Shutting down main loop")
case err := <-sub.Err():
s.setError(err)
log.Errorf("BalancerV2Scraper: Subscription error, err=%s", err.Error())
case event := <-sink:
// Fetch pool address in order to check admissibility.
poolAddress, ok := s.poolsMap[event.PoolId]
if !ok {
poolAddress, _, err = balancerVaultCaller.GetPool(&bind.CallOpts{}, event.PoolId)
if err != nil {
log.Error("get pool: ", err)
}
}
if _, ok = s.admissiblePools[poolAddress]; !ok {
log.Warnf("pool %s not admissible, skip trade.", poolAddress)
continue
}
assetIn, ok := s.tokensMap[event.TokenIn.Hex()]
if !ok {
asset, err := s.assetFromToken(event.TokenIn)
if err != nil {
log.Warnf("%s: Retrieving asset-in %s, err=%s", s.exchangeName, event.TokenIn.Hex(), err.Error())
continue
}
s.tokensMap[asset.Address] = asset
assetIn = asset
}
assetOut, ok := s.tokensMap[event.TokenOut.Hex()]
if !ok {
asset, err := s.assetFromToken(event.TokenOut)
if err != nil {
log.Warnf("%s: Retrieving asset-out %s, err=%s", s.exchangeName, event.TokenOut.Hex(), err.Error())
continue
}
s.tokensMap[asset.Address] = asset
assetOut = asset
}
decimalsIn := int(assetIn.Decimals)
decimalsOut := int(assetOut.Decimals)
amountIn, _ := new(big.Float).Quo(big.NewFloat(0).SetInt(event.AmountIn), new(big.Float).SetFloat64(math.Pow10(decimalsIn))).Float64()
amountOut, _ := new(big.Float).Quo(big.NewFloat(0).SetInt(event.AmountOut), new(big.Float).SetFloat64(math.Pow10(decimalsOut))).Float64()
swap := BalancerV2Swap{
SellToken: assetIn.Symbol,
BuyToken: assetOut.Symbol,
SellVolume: amountIn,
BuyVolume: amountOut,
ID: event.Raw.TxHash.String() + "-" + fmt.Sprint(event.Raw.Index),
Timestamp: time.Now().Unix(),
}
foreignName := swap.BuyToken + "-" + swap.SellToken
volume := swap.BuyVolume
trade := &dia.Trade{
Symbol: swap.BuyToken,
Pair: foreignName,
Price: swap.SellVolume / swap.BuyVolume,
Volume: volume,
Time: time.Unix(swap.Timestamp, 0),
PoolAddress: poolAddress.Hex(),
ForeignTradeID: swap.ID,
Source: s.exchangeName,
BaseToken: assetIn,
QuoteToken: assetOut,
VerifiedPair: true,
}
switch {
case utils.Contains(reverseBasetokensBalancer, trade.BaseToken.Address):
// If we need quotation of a base token, reverse pair
tSwapped, err := dia.SwapTrade(*trade)
if err == nil {
trade = &tSwapped
}
case utils.Contains(reverseQuotetokensBalancer, trade.QuoteToken.Address):
// If we don't need quotation of quote token, reverse pair.
tSwapped, err := dia.SwapTrade(*trade)
if err == nil {
trade = &tSwapped
}
}
select {
case <-s.shutdown:
case s.chanTrades <- trade:
// Take into account reversed trade as well in either of both cases
// 1. Base asset is not bluechip
// 2. Both assets are bluechip
if !utils.Contains(reverseQuotetokensBalancer, trade.BaseToken.Address) ||
(utils.Contains(reverseQuotetokensBalancer, trade.BaseToken.Address) && utils.Contains(reverseQuotetokensBalancer, trade.QuoteToken.Address)) {
tSwapped, err := dia.SwapTrade(*trade)
if err == nil {
s.chanTrades <- &tSwapped
}
}
log.Info("got trade: ", trade)
}
}
}
}
// Close unsubscribes data and closes any existing WebSocket connections, as well as channels of BalancerV2Scraper
func (s *BalancerV2Scraper) Close() error {
if s.isClosed() {
return errors.New("BalancerV2Scraper: Already closed")
}
s.signalShutdown.Do(func() {
close(s.shutdown)
})
<-s.shutdownDone
return s.error()
}
// Channel returns a channel that can be used to receive trades
func (s *BalancerV2Scraper) Channel() chan *dia.Trade {
return s.chanTrades
}
// ScrapePair returns a PairScraper that can be used to get trades for a single pair from the BalancerV2 scraper
func (s *BalancerV2Scraper) ScrapePair(pair dia.ExchangePair) (PairScraper, error) {
if err := s.error(); err != nil {
return nil, err
}
if s.isClosed() {
return nil, errors.New("BalancerV2Scraper: Call ScrapePair on closed scraper")
}
ps := &BalancerV2PairScraper{
parent: s,
pair: pair,
}
s.pairScrapers[pair.ForeignName] = ps
return ps, nil
}
// fetchAdmissiblePools fetches all pools from postgres with native liquidity > liquidityThreshold and
// (if available) liquidity in USD > liquidityThresholdUSD.
func (s *BalancerV2Scraper) fetchAdmissiblePools(liquidityThreshold float64, liquidityThresholdUSD float64) {
poolsPreselection, err := s.relDB.GetAllPoolsExchange(s.exchangeName, liquidityThreshold)
if err != nil {
log.Error("fetch all admissible pools: ", err)
}
log.Infof("Found %v pools after preselection.", len(poolsPreselection))
for _, pool := range poolsPreselection {
liquidity, lowerBound := pool.GetPoolLiquidityUSD()
// Discard pool if complete USD liquidity is below threshold.
if !lowerBound && liquidity < liquidityThresholdUSD {
continue
} else {
s.admissiblePools[common.HexToAddress(pool.Address)] = struct{}{}
}
}
log.Infof("Found %v pools after USD liquidity filtering.", len(s.admissiblePools))
}
func (s *BalancerV2Scraper) FetchAvailablePairs() (pairs []dia.ExchangePair, err error) {
pools, err := s.listPools()
if err != nil {
log.Warn("list pools: ", err)
// return nil, err
}
log.Infof("%s: Total pools are %v", s.exchangeName, len(pools))
pp, err := s.listPairs(pools)
if err != nil {
return nil, err
}
existingPair := make(map[string]struct{})
for _, p := range pp {
quoteAddr := p.UnderlyingPair.QuoteToken.Address
baseAddr := p.UnderlyingPair.BaseToken.Address
if _, ok := existingPair[baseAddr+":"+quoteAddr]; !ok {
pairs = append(pairs, p)
existingPair[baseAddr+":"+quoteAddr] = struct{}{}
}
}
log.Infof("%s: Total pairs are %v", s.exchangeName, len(pairs))
return
}
func (s *BalancerV2Scraper) assetFromToken(token common.Address) (dia.Asset, error) {
cached, ok := s.cachedAssets.Load(token.Hex())
if !ok {
asset, err := ethhelper.ETHAddressToAsset(token, s.rest, Exchanges[s.exchangeName].BlockChain.Name)
if err != nil {
return dia.Asset{}, err
}
s.cachedAssets.Store(token.Hex(), asset)
return asset, nil
}
asset := cached.(dia.Asset)
return asset, nil
}
func (s *BalancerV2Scraper) makePair(token0, token1 common.Address) (dia.ExchangePair, error) {
asset0, err := s.assetFromToken(token0)
if err != nil {
return dia.ExchangePair{}, err
}
asset1, err := s.assetFromToken(token1)
if err != nil {
return dia.ExchangePair{}, err
}
var pair dia.ExchangePair
pair.UnderlyingPair.QuoteToken = asset0
pair.UnderlyingPair.BaseToken = asset1
pair.ForeignName = asset0.Symbol + "-" + asset1.Symbol
pair.Verified = true
pair.Exchange = s.exchangeName
pair.Symbol = asset0.Symbol
return pair, nil
}
func (s *BalancerV2Scraper) listPairs(pools [][]common.Address) (pairs []dia.ExchangePair, err error) {
pairCount := 0
pairMap := make(map[int]dia.ExchangePair)
var g errgroup.Group
var mu sync.Mutex
for _, tokens := range pools {
if len(tokens) < 2 {
continue
}
for i := 0; i < len(tokens); i++ {
for j := i + 1; j < len(tokens); j++ {
pairCount++
i := i
j := j
pairCount := pairCount
tokens := tokens
g.Go(func() error {
s.rl.Take()
pair, err := s.makePair(tokens[i], tokens[j])
if err != nil {
log.Warn(err)
return nil
}
mu.Lock()
defer mu.Unlock()
pairMap[pairCount] = pair
return nil
})
}
}
}
if err := g.Wait(); err != nil {
return nil, err
}
keys := make([]int, 0, len(pairMap))
for k := range pairMap {
keys = append(keys, k)
}
sort.Ints(keys)
for _, k := range keys {
pairs = append(pairs, pairMap[k])
}
return
}
func (s *BalancerV2Scraper) listPools() ([][]common.Address, error) {
events, err := s.allRegisteredPools()
if err != nil {
return nil, err
}
caller, err := balancervault.NewBalancerVaultCaller(common.HexToAddress(balancerV2VaultContract), s.rest)
if err != nil {
return nil, err
}
var g errgroup.Group
var mu sync.Mutex
pools := make([][]common.Address, len(events))
for idx, evt := range events {
idx := idx
evt := evt
g.Go(func() error {
s.rl.Take()
pool, err := caller.GetPoolTokens(&bind.CallOpts{}, evt.PoolId)
if err != nil {
log.Warn("get pool tokens: ", err)
return err
}
mu.Lock()
defer mu.Unlock()
pools[idx] = pool.Tokens
return nil
})
}
if err := g.Wait(); err != nil {
return nil, err
}
return pools, nil
}
func (s *BalancerV2Scraper) allRegisteredPools() ([]*balancervault.BalancerVaultPoolRegistered, error) {
filterer, err := balancervault.NewBalancerVaultFilterer(common.HexToAddress(balancerV2VaultContract), s.rest)
if err != nil {
return nil, err
}
currBlock, err := s.rest.BlockNumber(context.Background())
if err != nil {
return nil, err
}
var offset uint64 = balancerV2FilterPageSize
var startBlock uint64 = uint64(balancerV2StartBlockPoolRegister)
var endBlock = startBlock + offset
var events []*balancervault.BalancerVaultPoolRegistered
for {
if endBlock > currBlock {
endBlock = currBlock
}
log.Infof("startblock - endblock: %v --- %v ", startBlock, endBlock)
it, err := filterer.FilterPoolRegistered(&bind.FilterOpts{
Start: startBlock,
End: &endBlock,
}, nil, nil)
if err != nil {
log.Warn("filterpoolregistered: ", err)
continue
}
for it.Next() {
events = append(events, it.Event)
}
if err := it.Close(); err != nil {
log.Warn("closing iterator: ", it)
}
if endBlock == currBlock {
break
}
startBlock = endBlock + 1
endBlock = endBlock + offset
}
return events, nil
}
// FillSymbolData adds the name to the asset underlying @symbol on BalancerV2
func (s *BalancerV2Scraper) FillSymbolData(symbol string) (dia.Asset, error) {
return dia.Asset{Symbol: symbol}, nil
}
func (s *BalancerV2Scraper) NormalizePair(pair dia.ExchangePair) (dia.ExchangePair, error) {
return pair, nil
}
func (s *BalancerV2Scraper) cleanup() {
close(s.chanTrades)
s.ws.Close()
s.rest.Close()
s.close()
s.signalShutdownDone.Do(func() {
close(s.shutdownDone)
})
}
func (s *BalancerV2Scraper) error() error {
s.errMutex.RLock()
defer s.errMutex.RUnlock()
return s.err
}
func (s *BalancerV2Scraper) setError(err error) {
s.errMutex.Lock()
defer s.errMutex.Unlock()
s.err = err
}
func (s *BalancerV2Scraper) isClosed() bool {
s.closedMutex.RLock()
defer s.closedMutex.RUnlock()
return s.closed
}
func (s *BalancerV2Scraper) close() {
s.closedMutex.Lock()
defer s.closedMutex.Unlock()
s.closed = true
}
// BalancerV2PairScraper implements PairScraper for BalancerV2
type BalancerV2PairScraper struct {
parent *BalancerV2Scraper
pair dia.ExchangePair
closed bool
}
// Error returns an error when the channel Channel() is closed
// and nil otherwise
func (p *BalancerV2PairScraper) Error() error {
return p.parent.error()
}
// Pair returns the pair this scraper is subscribed to
func (p *BalancerV2PairScraper) Pair() dia.ExchangePair {
return p.pair
}
// Close stops listening for trades of the pair associated with the BalancerV2Scraper
func (p *BalancerV2PairScraper) Close() error {
if err := p.parent.error(); err != nil {
return err
}
if p.closed {
return errors.New("BalancerV2Scraper: Already closed")
}
p.closed = true
return nil
}