feat: create v2-prep branch with comprehensive planning
Restructured project for V2 refactor: **Structure Changes:** - Moved all V1 code to orig/ folder (preserved with git mv) - Created docs/planning/ directory - Added orig/README_V1.md explaining V1 preservation **Planning Documents:** - 00_V2_MASTER_PLAN.md: Complete architecture overview - Executive summary of critical V1 issues - High-level component architecture diagrams - 5-phase implementation roadmap - Success metrics and risk mitigation - 07_TASK_BREAKDOWN.md: Atomic task breakdown - 99+ hours of detailed tasks - Every task < 2 hours (atomic) - Clear dependencies and success criteria - Organized by implementation phase **V2 Key Improvements:** - Per-exchange parsers (factory pattern) - Multi-layer strict validation - Multi-index pool cache - Background validation pipeline - Comprehensive observability **Critical Issues Addressed:** - Zero address tokens (strict validation + cache enrichment) - Parsing accuracy (protocol-specific parsers) - No audit trail (background validation channel) - Inefficient lookups (multi-index cache) - Stats disconnection (event-driven metrics) Next Steps: 1. Review planning documents 2. Begin Phase 1: Foundation (P1-001 through P1-010) 3. Implement parsers in Phase 2 4. Build cache system in Phase 3 5. Add validation pipeline in Phase 4 6. Migrate and test in Phase 5 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude <noreply@anthropic.com>
This commit is contained in:
Administrator
587
orig/pkg/arbitrum/profitability_tracker.go
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587
orig/pkg/arbitrum/profitability_tracker.go
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@@ -0,0 +1,587 @@
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package arbitrum
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import (
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"encoding/json"
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"fmt"
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"math"
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"math/big"
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"os"
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"sync"
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"time"
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"github.com/ethereum/go-ethereum/common"
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"github.com/fraktal/mev-beta/internal/logger"
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"github.com/fraktal/mev-beta/pkg/security"
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)
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// ProfitabilityTracker tracks detailed profitability metrics and analytics
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type ProfitabilityTracker struct {
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logger *logger.Logger
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mu sync.RWMutex
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// Performance metrics
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totalTrades uint64
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successfulTrades uint64
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failedTrades uint64
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totalProfit *big.Int
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totalGasCost *big.Int
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netProfit *big.Int
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// Time-based metrics
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hourlyStats map[string]*HourlyStats
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dailyStats map[string]*DailyStats
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weeklyStats map[string]*WeeklyStats
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// Token pair analytics
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tokenPairStats map[string]*TokenPairStats
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// Exchange analytics
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exchangeStats map[string]*ExchangeStats
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// Opportunity analytics
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opportunityStats *OpportunityStats
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// File handles for logging
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profitLogFile *os.File
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opportunityLogFile *os.File
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performanceLogFile *os.File
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startTime time.Time
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}
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// HourlyStats represents hourly performance statistics
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type HourlyStats struct {
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Hour string `json:"hour"`
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Trades uint64 `json:"trades"`
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SuccessfulTrades uint64 `json:"successful_trades"`
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TotalProfit string `json:"total_profit_wei"`
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TotalGasCost string `json:"total_gas_cost_wei"`
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NetProfit string `json:"net_profit_wei"`
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AverageROI float64 `json:"average_roi"`
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BestTrade string `json:"best_trade_profit_wei"`
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WorstTrade string `json:"worst_trade_loss_wei"`
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Timestamp time.Time `json:"timestamp"`
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}
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// DailyStats represents daily performance statistics
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type DailyStats struct {
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Date string `json:"date"`
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Trades uint64 `json:"trades"`
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SuccessfulTrades uint64 `json:"successful_trades"`
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TotalProfit string `json:"total_profit_wei"`
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TotalGasCost string `json:"total_gas_cost_wei"`
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NetProfit string `json:"net_profit_wei"`
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ProfitUSD float64 `json:"profit_usd"`
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ROI float64 `json:"roi"`
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SuccessRate float64 `json:"success_rate"`
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CapitalEfficiency float64 `json:"capital_efficiency"`
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Timestamp time.Time `json:"timestamp"`
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}
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// WeeklyStats represents weekly performance statistics
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type WeeklyStats struct {
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Week string `json:"week"`
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Trades uint64 `json:"trades"`
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SuccessfulTrades uint64 `json:"successful_trades"`
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TotalProfit string `json:"total_profit_wei"`
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TotalGasCost string `json:"total_gas_cost_wei"`
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NetProfit string `json:"net_profit_wei"`
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ProfitUSD float64 `json:"profit_usd"`
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WeeklyROI float64 `json:"weekly_roi"`
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BestDay string `json:"best_day"`
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WorstDay string `json:"worst_day"`
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Timestamp time.Time `json:"timestamp"`
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}
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// TokenPairStats represents statistics for specific token pairs
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type TokenPairStats struct {
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TokenIn string `json:"token_in"`
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TokenOut string `json:"token_out"`
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Trades uint64 `json:"trades"`
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SuccessfulTrades uint64 `json:"successful_trades"`
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TotalProfit string `json:"total_profit_wei"`
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TotalGasCost string `json:"total_gas_cost_wei"`
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NetProfit string `json:"net_profit_wei"`
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AverageProfit string `json:"average_profit_wei"`
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BestTrade string `json:"best_trade_profit_wei"`
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SuccessRate float64 `json:"success_rate"`
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AverageExecutionTime time.Duration `json:"average_execution_time"`
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LastTrade time.Time `json:"last_trade"`
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}
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// ExchangeStats represents statistics for specific exchanges
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type ExchangeStats struct {
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Exchange string `json:"exchange"`
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Trades uint64 `json:"trades"`
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SuccessfulTrades uint64 `json:"successful_trades"`
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TotalProfit string `json:"total_profit_wei"`
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TotalGasCost string `json:"total_gas_cost_wei"`
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NetProfit string `json:"net_profit_wei"`
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SuccessRate float64 `json:"success_rate"`
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AverageProfit string `json:"average_profit_wei"`
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LastTrade time.Time `json:"last_trade"`
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}
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// OpportunityStats represents overall opportunity statistics
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type OpportunityStats struct {
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TotalOpportunities uint64 `json:"total_opportunities"`
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ExecutedOpportunities uint64 `json:"executed_opportunities"`
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SkippedDueToCapital uint64 `json:"skipped_due_to_capital"`
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SkippedDueToGas uint64 `json:"skipped_due_to_gas"`
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SkippedDueToRisk uint64 `json:"skipped_due_to_risk"`
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ExecutionRate float64 `json:"execution_rate"`
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LastOpportunity time.Time `json:"last_opportunity"`
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}
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// TradeEvent represents a trade event for logging
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type TradeEvent struct {
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Timestamp time.Time `json:"timestamp"`
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TradeID string `json:"trade_id"`
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Type string `json:"type"` // "arbitrage", "sandwich", "liquidation"
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TokenIn string `json:"token_in"`
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TokenOut string `json:"token_out"`
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AmountIn string `json:"amount_in_wei"`
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ExpectedProfit string `json:"expected_profit_wei"`
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ActualProfit string `json:"actual_profit_wei"`
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GasCost string `json:"gas_cost_wei"`
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NetProfit string `json:"net_profit_wei"`
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ROI float64 `json:"roi"`
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ExecutionTime string `json:"execution_time"`
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Success bool `json:"success"`
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Exchange string `json:"exchange"`
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Pool string `json:"pool"`
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TxHash string `json:"tx_hash"`
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FailureReason string `json:"failure_reason,omitempty"`
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}
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// NewProfitabilityTracker creates a new profitability tracker
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func NewProfitabilityTracker(logger *logger.Logger) (*ProfitabilityTracker, error) {
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// Create log files
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profitFile, err := os.OpenFile("logs/profitability.jsonl", os.O_CREATE|os.O_WRONLY|os.O_APPEND, 0644)
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if err != nil {
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return nil, fmt.Errorf("failed to create profit log file: %w", err)
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}
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opportunityFile, err := os.OpenFile("logs/opportunities.jsonl", os.O_CREATE|os.O_WRONLY|os.O_APPEND, 0644)
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if err != nil {
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return nil, fmt.Errorf("failed to create opportunity log file: %w", err)
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}
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performanceFile, err := os.OpenFile("logs/performance.jsonl", os.O_CREATE|os.O_WRONLY|os.O_APPEND, 0644)
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if err != nil {
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return nil, fmt.Errorf("failed to create performance log file: %w", err)
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}
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return &ProfitabilityTracker{
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logger: logger,
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totalProfit: big.NewInt(0),
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totalGasCost: big.NewInt(0),
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netProfit: big.NewInt(0),
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hourlyStats: make(map[string]*HourlyStats),
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dailyStats: make(map[string]*DailyStats),
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weeklyStats: make(map[string]*WeeklyStats),
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tokenPairStats: make(map[string]*TokenPairStats),
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exchangeStats: make(map[string]*ExchangeStats),
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opportunityStats: &OpportunityStats{},
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profitLogFile: profitFile,
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opportunityLogFile: opportunityFile,
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performanceLogFile: performanceFile,
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startTime: time.Now(),
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}, nil
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}
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// LogTrade logs a completed trade and updates all relevant statistics
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func (pt *ProfitabilityTracker) LogTrade(trade *TradeEvent) {
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pt.mu.Lock()
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defer pt.mu.Unlock()
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// Update overall metrics
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pt.totalTrades++
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if trade.Success {
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pt.successfulTrades++
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if actualProfit, ok := new(big.Int).SetString(trade.ActualProfit, 10); ok {
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pt.totalProfit.Add(pt.totalProfit, actualProfit)
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}
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} else {
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pt.failedTrades++
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}
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if gasCost, ok := new(big.Int).SetString(trade.GasCost, 10); ok {
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pt.totalGasCost.Add(pt.totalGasCost, gasCost)
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}
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pt.netProfit = new(big.Int).Sub(pt.totalProfit, pt.totalGasCost)
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// Update time-based statistics
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pt.updateHourlyStats(trade)
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pt.updateDailyStats(trade)
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pt.updateWeeklyStats(trade)
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// Update token pair statistics
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pt.updateTokenPairStats(trade)
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// Update exchange statistics
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pt.updateExchangeStats(trade)
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// Log to file
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pt.logTradeToFile(trade)
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// Log performance metrics every 10 trades
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if pt.totalTrades%10 == 0 {
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pt.logPerformanceMetrics()
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}
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}
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// LogOpportunity logs an arbitrage opportunity (executed or skipped)
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func (pt *ProfitabilityTracker) LogOpportunity(tokenIn, tokenOut common.Address, profit *big.Int, executed bool, skipReason string) {
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pt.mu.Lock()
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defer pt.mu.Unlock()
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pt.opportunityStats.TotalOpportunities++
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pt.opportunityStats.LastOpportunity = time.Now()
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if executed {
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pt.opportunityStats.ExecutedOpportunities++
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} else {
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switch skipReason {
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case "capital":
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pt.opportunityStats.SkippedDueToCapital++
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case "gas":
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pt.opportunityStats.SkippedDueToGas++
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case "risk":
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pt.opportunityStats.SkippedDueToRisk++
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}
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}
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// Update execution rate
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if pt.opportunityStats.TotalOpportunities > 0 {
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pt.opportunityStats.ExecutionRate = float64(pt.opportunityStats.ExecutedOpportunities) / float64(pt.opportunityStats.TotalOpportunities)
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}
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// Log to opportunity file
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opportunityEvent := map[string]interface{}{
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"timestamp": time.Now(),
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"token_in": tokenIn.Hex(),
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"token_out": tokenOut.Hex(),
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"profit_wei": profit.String(),
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"executed": executed,
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"skip_reason": skipReason,
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}
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if data, err := json.Marshal(opportunityEvent); err == nil {
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if _, writeErr := pt.opportunityLogFile.Write(append(data, '\n')); writeErr != nil {
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pt.logger.Error("Failed to write opportunity log", "error", writeErr)
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}
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if syncErr := pt.opportunityLogFile.Sync(); syncErr != nil {
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pt.logger.Error("Failed to sync opportunity log", "error", syncErr)
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}
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}
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}
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// GetRealTimeStats returns current real-time statistics
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func (pt *ProfitabilityTracker) GetRealTimeStats() map[string]interface{} {
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pt.mu.RLock()
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defer pt.mu.RUnlock()
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runtime := time.Since(pt.startTime)
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successRate := 0.0
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if pt.totalTrades > 0 {
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successRate = float64(pt.successfulTrades) / float64(pt.totalTrades)
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}
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avgTradesPerHour := 0.0
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if runtime.Hours() > 0 {
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avgTradesPerHour = float64(pt.totalTrades) / runtime.Hours()
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}
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profitUSD := pt.weiToUSD(pt.netProfit)
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dailyProfitProjection := profitUSD * (24.0 / runtime.Hours())
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return map[string]interface{}{
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"runtime_hours": runtime.Hours(),
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"total_trades": pt.totalTrades,
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"successful_trades": pt.successfulTrades,
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"failed_trades": pt.failedTrades,
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"success_rate": successRate,
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"total_profit_wei": pt.totalProfit.String(),
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"total_gas_cost_wei": pt.totalGasCost.String(),
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"net_profit_wei": pt.netProfit.String(),
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"net_profit_usd": profitUSD,
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"daily_profit_projection": dailyProfitProjection,
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"avg_trades_per_hour": avgTradesPerHour,
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"execution_rate": pt.opportunityStats.ExecutionRate,
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"total_opportunities": pt.opportunityStats.TotalOpportunities,
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"executed_opportunities": pt.opportunityStats.ExecutedOpportunities,
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}
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}
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// GetTopTokenPairs returns the most profitable token pairs
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func (pt *ProfitabilityTracker) GetTopTokenPairs(limit int) []*TokenPairStats {
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pt.mu.RLock()
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defer pt.mu.RUnlock()
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var pairs []*TokenPairStats
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for _, stats := range pt.tokenPairStats {
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pairs = append(pairs, stats)
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}
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// Sort by net profit
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for i := 0; i < len(pairs)-1; i++ {
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for j := i + 1; j < len(pairs); j++ {
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profitI, _ := new(big.Int).SetString(pairs[i].NetProfit, 10)
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profitJ, _ := new(big.Int).SetString(pairs[j].NetProfit, 10)
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if profitI.Cmp(profitJ) < 0 {
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pairs[i], pairs[j] = pairs[j], pairs[i]
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}
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}
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}
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if len(pairs) > limit {
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pairs = pairs[:limit]
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}
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return pairs
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}
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// Private helper methods
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func (pt *ProfitabilityTracker) updateHourlyStats(trade *TradeEvent) {
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hour := trade.Timestamp.Format("2006-01-02-15")
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stats, exists := pt.hourlyStats[hour]
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if !exists {
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stats = &HourlyStats{
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Hour: hour,
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Timestamp: trade.Timestamp,
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}
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pt.hourlyStats[hour] = stats
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}
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stats.Trades++
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if trade.Success {
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stats.SuccessfulTrades++
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if profit, ok := new(big.Int).SetString(trade.ActualProfit, 10); ok && profit.Sign() > 0 {
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currentProfit, _ := new(big.Int).SetString(stats.TotalProfit, 10)
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newProfit := new(big.Int).Add(currentProfit, profit)
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stats.TotalProfit = newProfit.String()
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}
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}
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if gasCost, ok := new(big.Int).SetString(trade.GasCost, 10); ok {
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currentGas, _ := new(big.Int).SetString(stats.TotalGasCost, 10)
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newGas := new(big.Int).Add(currentGas, gasCost)
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stats.TotalGasCost = newGas.String()
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}
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// Calculate net profit
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profit, _ := new(big.Int).SetString(stats.TotalProfit, 10)
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gasCost, _ := new(big.Int).SetString(stats.TotalGasCost, 10)
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netProfit := new(big.Int).Sub(profit, gasCost)
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stats.NetProfit = netProfit.String()
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}
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func (pt *ProfitabilityTracker) updateDailyStats(trade *TradeEvent) {
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date := trade.Timestamp.Format("2006-01-02")
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stats, exists := pt.dailyStats[date]
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if !exists {
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stats = &DailyStats{
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Date: date,
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Timestamp: trade.Timestamp,
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}
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pt.dailyStats[date] = stats
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}
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stats.Trades++
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if trade.Success {
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stats.SuccessfulTrades++
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if profit, ok := new(big.Int).SetString(trade.ActualProfit, 10); ok && profit.Sign() > 0 {
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currentProfit, _ := new(big.Int).SetString(stats.TotalProfit, 10)
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newProfit := new(big.Int).Add(currentProfit, profit)
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stats.TotalProfit = newProfit.String()
|
||||
}
|
||||
}
|
||||
|
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if gasCost, ok := new(big.Int).SetString(trade.GasCost, 10); ok {
|
||||
currentGas, _ := new(big.Int).SetString(stats.TotalGasCost, 10)
|
||||
newGas := new(big.Int).Add(currentGas, gasCost)
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stats.TotalGasCost = newGas.String()
|
||||
}
|
||||
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||||
// Calculate derived metrics
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||||
profit, _ := new(big.Int).SetString(stats.TotalProfit, 10)
|
||||
gasCost, _ := new(big.Int).SetString(stats.TotalGasCost, 10)
|
||||
netProfit := new(big.Int).Sub(profit, gasCost)
|
||||
stats.NetProfit = netProfit.String()
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stats.ProfitUSD = pt.weiToUSD(netProfit)
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||||
|
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if stats.Trades > 0 {
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stats.SuccessRate = float64(stats.SuccessfulTrades) / float64(stats.Trades)
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||||
}
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||||
}
|
||||
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||||
func (pt *ProfitabilityTracker) updateWeeklyStats(trade *TradeEvent) {
|
||||
// Implementation similar to daily stats but for weekly periods
|
||||
year, week := trade.Timestamp.ISOWeek()
|
||||
weekKey := fmt.Sprintf("%d-W%02d", year, week)
|
||||
|
||||
stats, exists := pt.weeklyStats[weekKey]
|
||||
if !exists {
|
||||
stats = &WeeklyStats{
|
||||
Week: weekKey,
|
||||
Timestamp: trade.Timestamp,
|
||||
}
|
||||
pt.weeklyStats[weekKey] = stats
|
||||
}
|
||||
|
||||
stats.Trades++
|
||||
if trade.Success {
|
||||
stats.SuccessfulTrades++
|
||||
}
|
||||
}
|
||||
|
||||
func (pt *ProfitabilityTracker) updateTokenPairStats(trade *TradeEvent) {
|
||||
pairKey := fmt.Sprintf("%s-%s", trade.TokenIn, trade.TokenOut)
|
||||
stats, exists := pt.tokenPairStats[pairKey]
|
||||
if !exists {
|
||||
stats = &TokenPairStats{
|
||||
TokenIn: trade.TokenIn,
|
||||
TokenOut: trade.TokenOut,
|
||||
}
|
||||
pt.tokenPairStats[pairKey] = stats
|
||||
}
|
||||
|
||||
stats.Trades++
|
||||
stats.LastTrade = trade.Timestamp
|
||||
|
||||
if trade.Success {
|
||||
stats.SuccessfulTrades++
|
||||
if profit, ok := new(big.Int).SetString(trade.ActualProfit, 10); ok && profit.Sign() > 0 {
|
||||
currentProfit, _ := new(big.Int).SetString(stats.TotalProfit, 10)
|
||||
newProfit := new(big.Int).Add(currentProfit, profit)
|
||||
stats.TotalProfit = newProfit.String()
|
||||
}
|
||||
}
|
||||
|
||||
if gasCost, ok := new(big.Int).SetString(trade.GasCost, 10); ok {
|
||||
currentGas, _ := new(big.Int).SetString(stats.TotalGasCost, 10)
|
||||
newGas := new(big.Int).Add(currentGas, gasCost)
|
||||
stats.TotalGasCost = newGas.String()
|
||||
}
|
||||
|
||||
// Calculate derived metrics
|
||||
profit, _ := new(big.Int).SetString(stats.TotalProfit, 10)
|
||||
gasCost, _ := new(big.Int).SetString(stats.TotalGasCost, 10)
|
||||
netProfit := new(big.Int).Sub(profit, gasCost)
|
||||
stats.NetProfit = netProfit.String()
|
||||
|
||||
if stats.Trades > 0 {
|
||||
stats.SuccessRate = float64(stats.SuccessfulTrades) / float64(stats.Trades)
|
||||
}
|
||||
// Calculate average profit per successful trade
|
||||
if stats.SuccessfulTrades > 0 {
|
||||
successfulTradesInt64, err := security.SafeUint64ToInt64(stats.SuccessfulTrades)
|
||||
if err != nil {
|
||||
pt.logger.Error("Successful trades count exceeds int64 maximum", "successfulTrades", stats.SuccessfulTrades, "error", err)
|
||||
// Use maximum safe value as fallback to avoid division by zero
|
||||
successfulTradesInt64 = math.MaxInt64
|
||||
}
|
||||
avgProfit := new(big.Int).Div(profit, big.NewInt(successfulTradesInt64))
|
||||
stats.AverageProfit = avgProfit.String()
|
||||
} else {
|
||||
// If no successful trades, average profit is 0
|
||||
stats.AverageProfit = "0"
|
||||
}
|
||||
}
|
||||
|
||||
func (pt *ProfitabilityTracker) updateExchangeStats(trade *TradeEvent) {
|
||||
stats, exists := pt.exchangeStats[trade.Exchange]
|
||||
if !exists {
|
||||
stats = &ExchangeStats{
|
||||
Exchange: trade.Exchange,
|
||||
}
|
||||
pt.exchangeStats[trade.Exchange] = stats
|
||||
}
|
||||
|
||||
stats.Trades++
|
||||
stats.LastTrade = trade.Timestamp
|
||||
|
||||
if trade.Success {
|
||||
stats.SuccessfulTrades++
|
||||
if profit, ok := new(big.Int).SetString(trade.ActualProfit, 10); ok && profit.Sign() > 0 {
|
||||
currentProfit, _ := new(big.Int).SetString(stats.TotalProfit, 10)
|
||||
newProfit := new(big.Int).Add(currentProfit, profit)
|
||||
stats.TotalProfit = newProfit.String()
|
||||
}
|
||||
}
|
||||
|
||||
if stats.Trades > 0 {
|
||||
stats.SuccessRate = float64(stats.SuccessfulTrades) / float64(stats.Trades)
|
||||
}
|
||||
}
|
||||
|
||||
func (pt *ProfitabilityTracker) logTradeToFile(trade *TradeEvent) {
|
||||
if data, err := json.Marshal(trade); err == nil {
|
||||
if _, writeErr := pt.profitLogFile.Write(append(data, '\n')); writeErr != nil {
|
||||
pt.logger.Error("Failed to write trade data to profit log", "error", writeErr)
|
||||
}
|
||||
if syncErr := pt.profitLogFile.Sync(); syncErr != nil {
|
||||
pt.logger.Error("Failed to sync profit log file", "error", syncErr)
|
||||
}
|
||||
} else {
|
||||
pt.logger.Error("Failed to marshal trade event for logging", "error", err)
|
||||
}
|
||||
}
|
||||
|
||||
func (pt *ProfitabilityTracker) logPerformanceMetrics() {
|
||||
metrics := pt.GetRealTimeStats()
|
||||
metrics["timestamp"] = time.Now()
|
||||
metrics["type"] = "performance_snapshot"
|
||||
|
||||
if data, err := json.Marshal(metrics); err == nil {
|
||||
if _, writeErr := pt.performanceLogFile.Write(append(data, '\n')); writeErr != nil {
|
||||
pt.logger.Error("Failed to write performance metrics", "error", writeErr)
|
||||
}
|
||||
if syncErr := pt.performanceLogFile.Sync(); syncErr != nil {
|
||||
pt.logger.Error("Failed to sync performance log file", "error", syncErr)
|
||||
}
|
||||
} else {
|
||||
pt.logger.Error("Failed to marshal performance metrics", "error", err)
|
||||
}
|
||||
}
|
||||
|
||||
func (pt *ProfitabilityTracker) weiToUSD(wei *big.Int) float64 {
|
||||
// Assume ETH = $2000 for calculations
|
||||
ethPrice := 2000.0
|
||||
ethAmount := new(big.Float).Quo(new(big.Float).SetInt(wei), big.NewFloat(1e18))
|
||||
ethFloat, _ := ethAmount.Float64()
|
||||
return ethFloat * ethPrice
|
||||
}
|
||||
|
||||
// Close closes all log files
|
||||
func (pt *ProfitabilityTracker) Close() error {
|
||||
var errors []error
|
||||
|
||||
if pt.profitLogFile != nil {
|
||||
if err := pt.profitLogFile.Close(); err != nil {
|
||||
errors = append(errors, err)
|
||||
}
|
||||
}
|
||||
|
||||
if pt.opportunityLogFile != nil {
|
||||
if err := pt.opportunityLogFile.Close(); err != nil {
|
||||
errors = append(errors, err)
|
||||
}
|
||||
}
|
||||
|
||||
if pt.performanceLogFile != nil {
|
||||
if err := pt.performanceLogFile.Close(); err != nil {
|
||||
errors = append(errors, err)
|
||||
}
|
||||
}
|
||||
|
||||
if len(errors) > 0 {
|
||||
return fmt.Errorf("errors closing profitability tracker: %v", errors)
|
||||
}
|
||||
|
||||
return nil
|
||||
}
|
||||
Reference in New Issue
Block a user