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Add possibility to use rate oracle as provider of rates to calculate … #3492
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…profitability in amm-arb strategy
…profitability in amm-arb strategy
…CoinAlpha/hummingbot into feat/add_rate_oracle_to_amm_arb Rebase the branch with development
…agnitude between buy base token and sell base token
…profitability in amm-arb strategy
…agnitude between buy base token and sell base token
…CoinAlpha/hummingbot into feat/add_rate_oracle_to_amm_arb Rebase branch with development branch
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LGTM
…into feat/add_rate_oracle_to_amm_arb Rebasing with development branch
@RC-13, would it be possible to have more information about the scenario configured to trade LUNA-UST in Terra and LUNA-USDT in Binance? P_buyT_sellB = ((sell_price_B * rate_USDT-UST) - buy_price_T) / buy_price_T P_buyB_sellT = ((sell_price_T * rate_UST-USDT) - buy_price_B) / buy_price_B In both arbitrage proposals the profitability is negative, and for sure less than the minimum configured profitability. I am not considering the fees since I don't know their value, but I don't think they will impact too much in the result. |
… quote conversion rate
I have committed a change to make the scenario of uniswap (WETH-DAI) and binance (ETH-USDC) work. The profit calculation logic assumes that always the arbitrage sides have the same base token, and avoids looking for a base tokens conversion rate. In the example case the rate oracle would never find the conversion rate between WETH and ETH. |
I found an issue in the logic that displays the profitability status description. The issue was causing the client to display profitability 0.0% for any arbitrage proposal (because the profitability calculation was not being called with the correct rate source). It should now be fixed. |
… workflow causing the validation process to hang
Thanks, @aarmoa for looking into the reported issue. Confirming that the reported issue regarding the profitability not getting displayed accordingly has been resolved on the latest commit.:
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LGTM
Before submitting this PR, please make sure:
A description of the changes proposed in the pull request:
Add possibility in amm-arb strategy to use the rate oracle to get rates required to calculate arbitrage proposals profitability.
Added a new object called FixedRateSource, polymorphic with RateOracle, that is used when the user configures the strategy to use a provided quotes conversion rate instead of the oracle.
https://app.zenhub.com/workspaces/hummingbot-5f340755c5e17300167a8f30/issues/coinalpha/hummingbot/3216
https://github.com/CoinAlpha/hummingbot/issues/3216