Merge pull request #277 from curveresearch/curve-prices-volume

Use Curve Prices API for pool volume

changelog.d/20231025_203748_nagakingg_curve_prices_volume.rst

@@ -0,0 +1,27 @@
+Removed
+-------
+- Removed volume multiplier modes
+- Removed pipelines.utils
+- Removed PriceVolume.total_volumes()
+- Removed volume from PoolDataCache
+- Removed convex subgraph volume query
+- Removed PoolDataCache
+
+Added
+-----
+- Added Curve Prices API volume query (network.curve_prices)
+- Added pool_data.get_pool_volume() to fetch historical pool volume from
+  Curve Prices API
+
+Changed
+-------
+- Volume multipliers now computed individually for each asset pair
+- Replaced pool_data.queries with folder
+- Pool volume and volume limiting are only supported for Ethereum pools 
+  pending updates to Curve Prices API
+
+Deprecated
+----------
+- RAI3CRV pool is currently unsupported by simulation pipelines. It will
+  be reimplemented along with Stableswap-NG pools. 
+

curvesim/exceptions/__init__.py

@@ -59,6 +59,10 @@ class NetworkError(CurvesimException):
     """Error for network subpackage."""
 
 
+class ApiResultError(NetworkError):
+    """Raised when API results aren't as expected."""
+
+
 class SimPoolError(CurvesimException):
     """Error in a SimPool operation."""
 

curvesim/iterators/price_samplers/price_volume.py

@@ -89,12 +89,3 @@ def __iter__(self) -> Iterator[PriceVolumeSample]:
             volumes = volumes.to_dict()
 
             yield PriceVolumeSample(price_timestamp, prices, volumes)  # type:ignore
-
-    def total_volumes(self):
-        """
-        Returns
-        -------
-        pandas.Series
-            Total volume for each pairwise coin combination, summed accross timestamps.
-        """
-        return self.volumes.sum().to_dict()

curvesim/network/curve_prices.py

@@ -0,0 +1,129 @@
+"""
+Network connector for Curve Prices API.
+"""
+
+from typing import List
+
+from eth_utils import to_checksum_address
+from pandas import DataFrame, to_datetime
+
+from curvesim.exceptions import ApiResultError, CurvesimValueError
+
+from .http import HTTP
+from .utils import sync
+
+URL = "https://prices.curve.fi/v1/"
+
+CHAIN_ALIASES = {"mainnet": "ethereum"}
+
+
+async def _get_pool_pair_volume(
+    pool_address,
+    main_token_address,
+    reference_token_address,
+    start_ts,
+    end_ts,
+    *,
+    chain="ethereum",
+    interval="day",
+):
+    chain = _chain_from_alias(chain)
+    pool_address = to_checksum_address(pool_address)
+    main_token_address = to_checksum_address(main_token_address)
+    reference_token_address = to_checksum_address(reference_token_address)
+
+    url = URL + f"volume/{chain}/{pool_address}"
+    params = {
+        "main_token": main_token_address,
+        "reference_token": reference_token_address,
+        "start": start_ts,
+        "end": end_ts,
+        "interval": interval,
+    }
+    r = await HTTP.get(url, params=params)
+
+    try:
+        data = r["data"]
+    except KeyError as e:
+        raise ApiResultError(
+            "No historical volume returned for\n"
+            f"Pool: '{pool_address}', Chain: '{chain}',\n"
+            f"Tokens: (main: {main_token_address}, "
+            f"reference: {reference_token_address}),\n"
+            f"Timestamps: (start: {start_ts}, end: {end_ts})"
+        ) from e
+
+    return data
+
+
+async def get_pool_pair_volume(
+    pool_address: str,
+    main_token_address: str,
+    reference_token_address: str,
+    start_ts: int,
+    end_ts: int,
+    *,
+    chain: str = "ethereum",
+    interval: str = "day",
+) -> DataFrame:
+    """
+    Gets historical daily volume for a pair of coins traded in a Curve pool.
+
+    Parameters
+    ----------
+    pool_address: str
+        The Curve pool's address.
+
+    main_token_address: str
+        Address for the token volume will be denominated in.
+
+    reference_token_address: str
+        Address for the second token in the trading pair.
+
+    start_ts: int
+        Posix timestamp (UTC) for start of query period.
+
+    end_ts: int
+        Posix timestamp (UTC) for end of query period.
+
+    chain: str, default "ethereum"
+        The pool's blockchain (note: currently only "ethereum" supported)
+
+    interval: str, default "day"
+        The sampling interval for the data. Available values: week, day, hour
+
+    Returns
+    -------
+    DataFrame
+        Rows: DateTimeIndex; Columns: volume, fees
+
+    """
+    data: List[dict] = await _get_pool_pair_volume(
+        pool_address,
+        main_token_address,
+        reference_token_address,
+        start_ts,
+        end_ts,
+        chain=chain,
+        interval=interval,
+    )
+
+    df = DataFrame(data, columns=["timestamp", "volume", "fees"])
+    df["timestamp"] = to_datetime(df["timestamp"], unit="s")
+    df.set_index("timestamp", inplace=True)
+    return df
+
+
+def _chain_from_alias(chain):
+    if chain in CHAIN_ALIASES:  # pylint: disable=consider-using-get
+        chain = CHAIN_ALIASES[chain]
+
+    if chain != "ethereum":
+        raise CurvesimValueError(
+            "Curve Prices API currently only supports Ethereum chain."
+        )
+
+    return chain
+
+
+get_pool_pair_volume_sync = sync(get_pool_pair_volume)

curvesim/network/subgraph.py

@@ -2,7 +2,6 @@
 Network connector for subgraphs
 """
 
-from asyncio import gather
 from datetime import datetime, timedelta, timezone
 from decimal import Decimal
 
@@ -161,91 +160,6 @@ async def symbol_address(symbol, chain, env="prod"):
     return addr
 
 
-async def _volume(address, chain, env, days=60, end=None):
-    if end is None:
-        t_end = datetime.now(timezone.utc).replace(
-            hour=0, minute=0, second=0, microsecond=0
-        )
-    else:
-        t_end = datetime.fromtimestamp(end, tz=timezone.utc)
-    logger.info("Volume end date: %s", t_end)
-    t_start = t_end - timedelta(days=days)
-
-    # pylint: disable=consider-using-f-string
-    q = """
-        {
-          swapVolumeSnapshots(
-            orderBy: timestamp,
-            orderDirection: desc,
-            where:
-              {
-                pool: "%s"
-                period: "86400"
-                timestamp_gte: %d
-                timestamp_lt: %d
-              }
-          )
-          {
-            volume
-            timestamp
-          }
-        }
-    """ % (
-        address.lower(),
-        int(t_start.timestamp()),
-        int(t_end.timestamp()),
-    )
-
-    data = await convex(chain, q, env)
-    snapshots = data["swapVolumeSnapshots"]
-    num_snapshots = len(snapshots)
-
-    if num_snapshots < days:
-        logger.warning("Only %s/%s days of pool volume returned.", num_snapshots, days)
-
-    return snapshots
-
-
-async def volume(addresses, chain, env="prod", days=60, end=None):
-    """
-    Retrieves historical volume for a pool or multiple pools.
-
-    Parameters
-    ----------
-    addresses : str or iterable of str
-        The pool address(es).
-
-    chain : str
-        The blockchain the pool or pools are on.
-
-    days : int, default=60
-        Number of days to fetch data for.
-
-    Returns
-    -------
-    list of float
-        A list of total volumes for each day.
-
-    """
-    if isinstance(addresses, str):
-        r = await _volume(addresses, chain, env, days=days, end=end)
-        vol = [float(e["volume"]) for e in r]
-
-    else:
-        tasks = []
-        for addr in addresses:
-            tasks.append(_volume(addr, chain, env, days=days, end=end))
-
-        r = await gather(*tasks)
-
-        vol = []
-        for _r in r:
-            _vol = [float(e["volume"]) for e in _r]
-            vol.append(_vol)
-
-    return vol
-
-
 async def _pool_snapshot(address, chain, env, end_ts=None):
     if not end_ts:
         end_date = datetime.now(timezone.utc)
@@ -453,7 +367,6 @@ async def pool_snapshot(address, chain, env="prod", end_ts=None):
 
 convex_sync = sync(convex)
 symbol_address_sync = sync(symbol_address)
-volume_sync = sync(volume)
 pool_snapshot_sync = sync(pool_snapshot)
 
 
@@ -564,6 +477,3 @@ async def redemption_prices(
     print("Symbol:", symbol)
     address = symbol_address_sync(symbol, chain)
     print("Address:", address)
-    _volume_sync = sync(_volume)
-    volumes = _volume_sync(address, chain, days=2)
-    print("Volumes:", volumes)