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About Uniswap

The Uniswap protocol is a peer-to-peer system designed for exchanging cryptocurrencies (ERC-20 tokens) on the Ethereum blockchain. The protocol is implemented as a set of persistent, non-upgradable smart contracts, designed to prioritize censorship resistance, security, self-custody, and to function without any trusted intermediaries who may selectively restrict access.

Refer to Uniswap documentation for more information.

Glossary

  • Token is a representation of an asset, right, ownership, access, cryptocurrency, or anything else that is not unique in and of itself but can be transferred.
  • ERC-20 Token is the technical standard for fungible tokens created using the Ethereum blockchain. Learn more.
  • Pool is a contract deployed by the V3 factory that pairs two ERC-20 tokens. Different pools may have different fees despite containing the same token pair.
  • Smart contracts are conditions written into the coding that execute different aspects of a transaction between parties.
  • Subgraph is an open API for querying networks like Ethereum.

Uniswap Market Data Connector

Overview

We developed a Uniswap Market Data Connector to aggregate data from Uniswap protocol. The connector can collect two types of data from Uniswap: raw data and quotes.

Raw Data

Market data connector can be configured to query general information about Uniswap, information about pools, information about tokens etc.

Read more here to learn how to configure connector to get raw data.

In this case, the connector sends requests to Uniswap via The Subgraph and writes to TimeBase stream the received data. Below, you can see what this type of data looks like in JSON format in TimeBase Web Admin application.

You can get the following information from Uniswap with this configuration of the connector:

Model Type Description
FactoryAction Uniswap general information (e.g. number of pools, total volume of available liquidity, fees etc.)
BundleAction Quotes for ETH in USD.
PoolAction All pools with their details for the selected pair or a single token.
TokenAction Properties of the specific token (e.g. id, name, ticker, decimals, fees, liquidity volume, total number of pools etc.)
PositionAction List of all positions for the selected pair of tokens.
TickAction A list of all ticks. Tick - boundaries between discrete areas in a price space.
SwapAction A list of events emitted by the pool for any swaps between token0 and token1.
MintAction A list of events emitted when liquidity is minted for a given position.
BurnAction A list of events emitted when a position's liquidity is removed.
CollectAction A list of events emitted when fees are collected by the owner of a position.
FlashAction A list of events emitted by the pool for any flashes of token0/token1.
TransactionAction A list of all interactions with the blockchain.
PositionSnapshotAction General information about all the positions.
UniswapDayDataAction Data accumulated and condensed into day stats across the entire Uniswap.
TokenDayDataAction Data accumulated and condensed into day stats for the selected token.

Refer to Uniswap glossary for more information

Quotes

Market data connector can be configured to query quotes for tokens. We use this data to build a tiered order book.

Read more here to learn how to configure connector to get quotes.

We developed a Price Handler service to collect quotes from Uniswap. Price Handler uses Uniswap Alpha Router to get the best prices from V2 and V3 protocols for specific volumes of the selected tokens.

Quotes are returned in a JSON format as an array of prices and amounts for both market sides:

{
  "timestamp": 1661338904314,
  "asks": 
  [
    [
      21290.6492895,
      2
    ],
    [
      21293.4869725,
      4
    ]
  ],
  "bids": 
  [
    [
      21269.7888075,
      2
    ],
    [
      21264.23985775,
      4
    ],
  ]
}

Market Data Connector queries this data from Price Handler and uses them to build a tiered order book. Below, you can see what this type of data looks like in JSON format in TimeBase Web Admin application.

Or visualized as an order book:

Configuration

Configuration to Get Raw Data

Create an instance of the Uniswap Market Data Connector with this configuration to get raw data from Uniswap. Add this block to the application.yaml configuration file:

# example of a Uniswap market data connector configuration for application.yaml
uniswap:
   stream: uniswap
   type: uniswap
   model:
     - "CUSTOM"
   modelTypes:
     - "com.epam.deltix.data.uniswap.FactoryAction"
     - "com.epam.deltix.data.uniswap.BundleAction"
     - "com.epam.deltix.data.uniswap.PoolAction"
     - "com.epam.deltix.data.uniswap.TokenAction"
     - "com.epam.deltix.data.uniswap.PositionAction"
     - "com.epam.deltix.data.uniswap.TickAction"
     - "com.epam.deltix.data.uniswap.SwapAction"
     - "com.epam.deltix.data.uniswap.MintAction"
     - "com.epam.deltix.data.uniswap.BurnAction"
     - "com.epam.deltix.data.uniswap.CollectAction"
     - "com.epam.deltix.data.uniswap.FlashAction"
     - "com.epam.deltix.data.uniswap.TransactionAction"
     - "com.epam.deltix.data.uniswap.PositionSnapshotAction"
     - "com.epam.deltix.data.uniswap.UniswapDayDataAction"
     - "com.epam.deltix.data.uniswap.TokenDayDataAction"
     - "com.epam.deltix.data.uniswap.TokenHourDataAction"
   instruments: "USDC/WETH=USDC/WETH"

Connector-specific parameters:

  • type - must be uniswap.
  • model - must be CUSTOM.
  • modelTypes - see the list of supported types in the table below.
  • instruments - ERC20/ERC20 pair of tokens we create order book for.

Configuration to Get Quotes

Create an instance of the Uniswap Market Data Connector with this configuration to get quotes for the selected tokens from Uniswap. Add this block to the application.yaml configuration file:

# example of configuration for application.yaml
uniswap-l2:
   stream: uniswap-l2
   type: uniswap
   depth: 50
   amount: 100
   model:
     - "L2"
   instruments: "USDC/WETH=USDC/WETH"

Note: We build an order book based on quotes from V2 and V3 Uniswap protocols.

Connector-specific parameters:

  • type - must be uniswap.
  • model - must be L2.
  • depth - number of levels in the order book.
  • amount - max number of tokens for all order book levels.
  • instruments – token0/token1 trading pairs we create order book for.
    • token0 – quote token.
    • token1 – swapped token.

Example of how we calculate the number of tokens on each level in the order book: The value of amount we split between the value of depth. E.g.: depth=50 and amount=100 --> each order book level will include 2 tokens: 100/50=2.

Getting Quotes

Uniswap Market Data Connector with a certain periodicity sends REST calls to Price Handler with the following parameters to get quotes for each pair of tokens from V2 and V3 pools and builds the tiered order book:

  • token0
  • token1
  • amount
  • depth

Price Handler Configuration

Configure Price Handler service to fetch quotes from Uniswap.

  1. Navigate to infura.io and create a new account. Free infura.io plan allows up to 100k requests per day.
  2. Click CREATE NEW KEY to create a new key.
    • Select Web3 API (Formerly Ethereum) as a Network.
    • Enter any Key Name.
  3. Click Manage Key and select MAINNET in the Network Endpoints. This connector supports only MAINNET network.
  4. Copy the MAINNET network endpoint.
  5. In the config.js (under uniswap/service folder), pass the MAINNET network endpoint as blockchain_mainnet_node_url property value.

Launch

  1. Start Price Handler service:
    • In Docker: TBD
    • From the service location run npm install and then node index.js
  2. Launch the data connector itself:
    • Configure application.yaml
    • Run docker-compose.yml