Backtest.py

import pandas as pd
import matplotlib.pyplot as plt
import matplotlib.cbook as cbook
import matplotlib.dates as mdates
import numpy as np
import liquidity
import GraphBacktest
import charts

# network 1 ETH, 2 ARB, 3 OPT

Adress= "0x93f267fd92b432bebf4da4e13b8615bb8eb2095c"#snx eth
Adress= "0xcb0c5d9d92f4f2f80cce7aa271a1e148c226e19d" # Rai Dai
Adress= "0x8ad599c3a0ff1de082011efddc58f1908eb6e6d8" # ETH USDC Ethereum
Adress= "0x2e9c575206288f2219409289035facac0b670c2f" # ETH DAI Optimism
#Adress= "0x68f180fcce6836688e9084f035309e29bf0a2095" #  WBTC DAI
startfrom= 1632081600
network = 3

dpd=GraphBacktest.graph(network,Adress,startfrom)

       
decimal0=dpd.iloc[0]['pool.token0.decimals']
decimal1=dpd.iloc[0]['pool.token1.decimals']
decimal=decimal1-decimal0
dpd['fg0']=((dpd['feeGrowthGlobal0X128'])/(2**128))/(10**decimal0)
dpd['fg1']=((dpd['feeGrowthGlobal1X128'])/(2**128))/(10**decimal1)

mini = 3273.4 
maxi = 4038.3
target = 2711.53 #1 / dpd['close'].iloc[-1] 
base = 1


# mini = 1 / 3215    #optimism
# maxi = 1 / 2903.3 
# target = 1 #in base 0
# base = 0

# mini =  2892.9          #ethereum
# maxi =  3235  
# target = 5910 #in base 0
# base = 0

# mini =  1/4048         #ethereum
# maxi =  1/ 2892 
# target = 5910 / dpd['close'].iloc[0] #in base 0
# base = 1



#Calculate F0G and F1G (fee earned by an unbounded unit of liquidity in one period)

dpd['fg0shift']=dpd['fg0'].shift(-1)
dpd['fg1shift']=dpd['fg1'].shift(-1)
dpd['fee0token']=dpd['fg0']-dpd['fg0shift'] 
dpd['fee1token']=dpd['fg1']-dpd['fg1shift']

# calculate my liquidity

SMIN=np.sqrt(mini* 10 ** (decimal))   
SMAX=np.sqrt(maxi* 10 ** (decimal))  

if base == 0:

    sqrt0 = np.sqrt(dpd['close'].iloc[-1]* 10 ** (decimal))
    dpd['price0'] = dpd['close']

else:
    
    sqrt0= np.sqrt(1/dpd['close'].iloc[-1]* 10 ** (decimal))
    dpd['price0']= 1/dpd['close']
    
if sqrt0>SMIN and sqrt0<SMAX:

        deltaL = target / ((sqrt0 - SMIN)  + (((1 / sqrt0) - (1 / SMAX)) * (dpd['price0'].iloc[-1]* 10 ** (decimal))))
        amount1 = deltaL * (sqrt0-SMIN)
        amount0 = deltaL * ((1/sqrt0)-(1/SMAX))* 10 ** (decimal)
        
elif sqrt0<SMIN:

        deltaL = target / (((1 / SMIN) - (1 / SMAX)) * (dpd['price0'].iloc[-1]))
        amount1 = 0
        amount0 = deltaL * (( 1/SMIN ) - ( 1/SMAX ))

else:
        deltaL = target / (SMAX-SMIN) 
        amount1 = deltaL * (SMAX-SMIN)
        amount0 = 0


print("Amounts:",amount0,amount1)

#print(dpd['price0'].iloc[-1],mini,maxi)
#print((dpd['price0'].iloc[-1],mini,maxi,amount0,amount1,decimal0,decimal1))
myliquidity = liquidity.get_liquidity(dpd['price0'].iloc[-1],mini,maxi,amount0,amount1,decimal0,decimal1)

print("OK myliquidity",myliquidity)

# Calculate ActiveLiq

dpd['ActiveLiq'] = 0
dpd['amount0'] = 0
dpd['amount1'] = 0
dpd['amount0unb'] = 0
dpd['amount1unb'] = 0

if base == 0:

    for i, row in dpd.iterrows():
        if dpd['high'].iloc[i]>mini and dpd['low'].iloc[i]<maxi:
             dpd.iloc[i,dpd.columns.get_loc('ActiveLiq')] = (min(maxi,dpd['high'].iloc[i]) - max(dpd['low'].iloc[i],mini)) / (dpd['high'].iloc[i]-dpd['low'].iloc[i]) * 100
        else:
            dpd.iloc[i,dpd.columns.get_loc('ActiveLiq')] = 0
       
        amounts= liquidity.get_amounts(dpd['price0'].iloc[i],mini,maxi,myliquidity,decimal0,decimal1)
        dpd.iloc[i,dpd.columns.get_loc('amount0')] = amounts[1]
        dpd.iloc[i,dpd.columns.get_loc('amount1')]  = amounts[0]
        
        amountsunb= liquidity.get_amounts((dpd['price0'].iloc[i]),1.0001**(-887220),1.0001**887220,1,decimal0,decimal1)
        dpd.iloc[i,dpd.columns.get_loc('amount0unb')] = amountsunb[1]
        dpd.iloc[i,dpd.columns.get_loc('amount1unb')] = amountsunb[0]


else:

    for i, row in dpd.iterrows():

        if (1/ dpd['low'].iloc[i])>mini and (1/dpd['high'].iloc[i])<maxi:
            dpd.iloc[i,dpd.columns.get_loc('ActiveLiq')] = (min(maxi,1/dpd['low'].iloc[i]) - max(1/dpd['high'].iloc[i],mini)) / ((1/dpd['low'].iloc[i])-(1/dpd['high'].iloc[i])) * 100
        else:
            dpd.iloc[i,dpd.columns.get_loc('ActiveLiq')] = 0

        amounts= liquidity.get_amounts((dpd['price0'].iloc[i]*10**(decimal)),mini,maxi,myliquidity,decimal0,decimal1)
        dpd.iloc[i,dpd.columns.get_loc('amount0')] = amounts[0]
        dpd.iloc[i,dpd.columns.get_loc('amount1')] = amounts[1]

        amountsunb= liquidity.get_amounts((dpd['price0'].iloc[i]),1.0001**(-887220),1.0001**887220,1,decimal0,decimal1)
        dpd.iloc[i,dpd.columns.get_loc('amount0unb')] = amountsunb[0]
        dpd.iloc[i,dpd.columns.get_loc('amount1unb')] = amountsunb[1]



## Final fee calculation

dpd['myfee0'] = dpd['fee0token'] * myliquidity * dpd['ActiveLiq'] / 100
dpd['myfee1'] = dpd['fee1token'] * myliquidity * dpd['ActiveLiq'] / 100

#print(dpd)

a=charts.chart1(dpd,base,myliquidity)