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
2025-11-10 10:14:26 +01:00
parent 1773daffe7
commit 803de231ba
411 changed files with 20390 additions and 8680 deletions

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@@ -0,0 +1,481 @@
package risk
import (
"fmt"
"math/big"
"sync"
"time"
"github.com/ethereum/go-ethereum/common"
"github.com/fraktal/mev-beta/internal/logger"
)
// ProfitValidator validates profitability of MEV opportunities
type ProfitValidator struct {
logger *logger.Logger
mu sync.RWMutex
// Profit thresholds
minProfitUSD float64 // Minimum profit in USD
minProfitETH *big.Int // Minimum profit in ETH
minProfitMargin float64 // Minimum profit margin percentage
maxSlippage float64 // Maximum acceptable slippage
maxGasPrice *big.Int // Maximum gas price willing to pay
// Historical performance tracking
totalOpportunities uint64
profitableOps uint64
unprofitableOps uint64
totalProfitETH *big.Int
totalGasCostETH *big.Int
averageGasCost *big.Int
// Performance metrics
validationSuccessRate float64
averageProfitMargin float64
averageSlippage float64
// Token price tracking
tokenPrices map[common.Address]*TokenPrice
priceMu sync.RWMutex
// Validation configuration
strictValidation bool // Whether to use strict validation rules
}
// TokenPrice represents real-time token pricing data
type TokenPrice struct {
Address common.Address
PriceUSD float64
LastUpdated time.Time
Confidence float64 // Price confidence 0-1
Volume24h float64
Volatility float64
}
// ProfitValidationResult represents the result of a profit validation
type ProfitValidationResult struct {
OpportunityID string
Valid bool
Reason string
ExpectedProfitETH *big.Int
ExpectedProfitUSD float64
GasCostETH *big.Int
GasCostUSD float64
NetProfitETH *big.Int
NetProfitUSD float64
ProfitMargin float64
Slippage float64
GasPrice *big.Int
Acceptable bool
Recommendation string
Confidence float64
RiskScore float64
ValidationTime time.Duration
}
// NewProfitValidator creates a new profit validator
func NewProfitValidator(logger *logger.Logger) *ProfitValidator {
return &ProfitValidator{
logger: logger,
minProfitUSD: 5.0, // $5 minimum profit
minProfitETH: big.NewInt(10000000000000000), // 0.01 ETH minimum profit
minProfitMargin: 0.005, // 0.5% minimum margin
maxSlippage: 0.01, // 1% maximum slippage
maxGasPrice: big.NewInt(20000000000), // 20 gwei max gas price
totalOpportunities: 0,
profitableOps: 0,
unprofitableOps: 0,
totalProfitETH: big.NewInt(0),
totalGasCostETH: big.NewInt(0),
averageGasCost: big.NewInt(0),
validationSuccessRate: 0.0,
averageProfitMargin: 0.0,
averageSlippage: 0.0,
tokenPrices: make(map[common.Address]*TokenPrice),
strictValidation: true, // Default to strict validation
}
}
// ValidateProfit validates the profitability of an MEV opportunity
func (pv *ProfitValidator) ValidateProfit(opportunityID string, expectedProfitETH *big.Int, gasCostETH *big.Int, slippage float64, gasPrice *big.Int) *ProfitValidationResult {
startTime := time.Now()
pv.mu.Lock()
pv.totalOpportunities++
pv.mu.Unlock()
result := &ProfitValidationResult{
OpportunityID: opportunityID,
Valid: false,
Reason: "",
ExpectedProfitETH: expectedProfitETH,
ExpectedProfitUSD: 0.0,
GasCostETH: gasCostETH,
GasCostUSD: 0.0,
NetProfitETH: big.NewInt(0),
NetProfitUSD: 0.0,
ProfitMargin: 0.0,
Slippage: slippage,
GasPrice: gasPrice,
Acceptable: false,
Recommendation: "",
Confidence: 0.0,
RiskScore: 0.0,
ValidationTime: 0,
}
// Calculate USD values using token prices
expectedProfitUSD := pv.convertETHToUSD(expectedProfitETH)
gasCostUSD := pv.convertETHToUSD(gasCostETH)
result.ExpectedProfitUSD = expectedProfitUSD
result.GasCostUSD = gasCostUSD
// Calculate net profit
netProfitETH := new(big.Int).Sub(expectedProfitETH, gasCostETH)
if netProfitETH.Sign() < 0 {
netProfitETH = big.NewInt(0)
}
result.NetProfitETH = netProfitETH
result.NetProfitUSD = pv.convertETHToUSD(netProfitETH)
// Calculate profit margin
if expectedProfitETH.Sign() > 0 {
margin := new(big.Float).Quo(new(big.Float).SetInt(netProfitETH), new(big.Float).SetInt(expectedProfitETH))
marginFloat, _ := margin.Float64()
result.ProfitMargin = marginFloat * 100 // Convert to percentage
}
// Perform validation checks
valid, reason := pv.performValidationChecks(expectedProfitETH, netProfitETH, gasCostETH, slippage, gasPrice)
result.Valid = valid
result.Reason = reason
// Determine if opportunity is acceptable
acceptable, recommendation := pv.isAcceptable(expectedProfitETH, netProfitETH, gasCostETH, slippage, gasPrice)
result.Acceptable = acceptable
result.Recommendation = recommendation
// Calculate confidence based on validation results
result.Confidence = pv.calculateConfidence(valid, acceptable, result.ProfitMargin, slippage)
result.RiskScore = pv.calculateRiskScore(slippage, gasPrice)
// Update statistics
pv.mu.Lock()
if valid && acceptable {
pv.profitableOps++
pv.totalProfitETH.Add(pv.totalProfitETH, netProfitETH)
pv.totalGasCostETH.Add(pv.totalGasCostETH, gasCostETH)
} else {
pv.unprofitableOps++
}
pv.updateValidationMetrics()
pv.mu.Unlock()
result.ValidationTime = time.Since(startTime)
// Log validation result
if result.Valid && result.Acceptable {
pv.logger.Info(fmt.Sprintf("✅ Profit validation PASSED for %s: Net profit %s ETH ($%.2f), Margin %.2f%%",
opportunityID, formatEther(result.NetProfitETH), result.NetProfitUSD, result.ProfitMargin))
} else {
pv.logger.Debug(fmt.Sprintf("❌ Profit validation FAILED for %s: %s", opportunityID, result.Reason))
}
return result
}
// performValidationChecks performs all validation checks
func (pv *ProfitValidator) performValidationChecks(expectedProfitETH, netProfitETH, gasCostETH *big.Int, slippage float64, gasPrice *big.Int) (bool, string) {
// Check minimum profit in ETH
if expectedProfitETH.Cmp(pv.minProfitETH) < 0 {
return false, fmt.Sprintf("Expected profit %s ETH below minimum %s ETH",
formatEther(expectedProfitETH), formatEther(pv.minProfitETH))
}
// Check minimum profit in USD
expectedProfitUSD := pv.convertETHToUSD(expectedProfitETH)
if expectedProfitUSD < pv.minProfitUSD {
return false, fmt.Sprintf("Expected profit $%.2f below minimum $%.2f",
expectedProfitUSD, pv.minProfitUSD)
}
// Check net profit is positive
if netProfitETH.Sign() <= 0 {
return false, fmt.Sprintf("Net profit %s ETH is not positive",
formatEther(netProfitETH))
}
// Check slippage tolerance
if slippage > pv.maxSlippage {
return false, fmt.Sprintf("Slippage %.2f%% exceeds maximum %.2f%%",
slippage*100, pv.maxSlippage*100)
}
// Check gas price limits
if gasPrice.Cmp(pv.maxGasPrice) > 0 {
return false, fmt.Sprintf("Gas price %s gwei exceeds maximum %s gwei",
formatGwei(gasPrice), formatGwei(pv.maxGasPrice))
}
// Check gas cost vs profit ratio
if gasCostETH.Sign() > 0 && expectedProfitETH.Sign() > 0 {
gasRatio := new(big.Float).Quo(new(big.Float).SetInt(gasCostETH), new(big.Float).SetInt(expectedProfitETH))
gasRatioFloat, _ := gasRatio.Float64()
if gasRatioFloat > 0.5 { // Gas cost > 50% of expected profit
return false, fmt.Sprintf("Gas cost %s ETH (%.1f%%) too high relative to profit %s ETH",
formatEther(gasCostETH), gasRatioFloat*100, formatEther(expectedProfitETH))
}
}
return true, "All validation checks passed"
}
// isAcceptable determines if an opportunity is acceptable
func (pv *ProfitValidator) isAcceptable(expectedProfitETH, netProfitETH, gasCostETH *big.Int, slippage float64, gasPrice *big.Int) (bool, string) {
// Calculate profit margin
var profitMargin float64
if expectedProfitETH.Sign() > 0 {
margin := new(big.Float).Quo(new(big.Float).SetInt(netProfitETH), new(big.Float).SetInt(expectedProfitETH))
marginFloat, _ := margin.Float64()
profitMargin = marginFloat * 100 // Convert to percentage
}
// Check minimum profit margin
if profitMargin < pv.minProfitMargin*100 {
return false, fmt.Sprintf("Profit margin %.2f%% below minimum %.2f%%",
profitMargin, pv.minProfitMargin*100)
}
// For strict validation, apply additional checks
if pv.strictValidation {
// Check if net profit is at least 2x gas cost
doubleGasCost := new(big.Int).Mul(gasCostETH, big.NewInt(2))
if netProfitETH.Cmp(doubleGasCost) < 0 {
return false, fmt.Sprintf("Net profit %s ETH not at least 2x gas cost %s ETH",
formatEther(netProfitETH), formatEther(gasCostETH))
}
// Check if profit margin is at least 2x minimum
if profitMargin < pv.minProfitMargin*200 {
return false, fmt.Sprintf("Profit margin %.2f%% not at least 2x minimum %.2f%%",
profitMargin, pv.minProfitMargin*200)
}
}
return true, "Opportunity is acceptable"
}
// calculateConfidence calculates confidence in the validation result
func (pv *ProfitValidator) calculateConfidence(valid, acceptable bool, profitMargin, slippage float64) float64 {
if !valid || !acceptable {
return 0.1 // Low confidence for invalid opportunities
}
// Start with base confidence
confidence := 0.5
// Increase confidence based on profit margin
if profitMargin > pv.minProfitMargin*300 { // 3x minimum margin
confidence += 0.3
} else if profitMargin > pv.minProfitMargin*200 { // 2x minimum margin
confidence += 0.2
} else if profitMargin > pv.minProfitMargin*150 { // 1.5x minimum margin
confidence += 0.1
}
// Increase confidence for low slippage
if slippage < pv.maxSlippage*0.3 { // 30% of max slippage
confidence += 0.1
} else if slippage < pv.maxSlippage*0.5 { // 50% of max slippage
confidence += 0.05
}
// Cap at maximum confidence
if confidence > 0.95 {
confidence = 0.95
}
return confidence
}
// calculateRiskScore calculates a risk score for the opportunity
func (pv *ProfitValidator) calculateRiskScore(slippage float64, gasPrice *big.Int) float64 {
// Base risk (0-0.2)
baseRisk := 0.1
// Slippage risk (0-0.3)
slippageRisk := slippage / pv.maxSlippage * 0.3
if slippageRisk > 0.3 {
slippageRisk = 0.3
}
// Gas price risk (0-0.3)
gasRisk := 0.0
if gasPrice != nil && pv.maxGasPrice != nil && pv.maxGasPrice.Sign() > 0 {
gasRatio := new(big.Float).Quo(new(big.Float).SetInt(gasPrice), new(big.Float).SetInt(pv.maxGasPrice))
gasRatioFloat, _ := gasRatio.Float64()
gasRisk = gasRatioFloat * 0.3
if gasRisk > 0.3 {
gasRisk = 0.3
}
}
// Calculate total risk score
totalRisk := baseRisk + slippageRisk + gasRisk
if totalRisk > 1.0 {
totalRisk = 1.0
}
return totalRisk
}
// updateValidationMetrics updates validation metrics
func (pv *ProfitValidator) updateValidationMetrics() {
if pv.totalOpportunities > 0 {
pv.validationSuccessRate = float64(pv.profitableOps) / float64(pv.totalOpportunities)
}
// Update average metrics (simplified)
if pv.profitableOps > 0 {
avgProfitMargin := new(big.Float).Quo(new(big.Float).SetInt(pv.totalProfitETH), big.NewFloat(float64(pv.profitableOps)))
avgMarginFloat, _ := avgProfitMargin.Float64()
pv.averageProfitMargin = avgMarginFloat * 100 // Convert to percentage
}
}
// convertETHToUSD converts ETH amount to USD using current token prices
func (pv *ProfitValidator) convertETHToUSD(ethAmount *big.Int) float64 {
if ethAmount == nil {
return 0.0
}
// Get current ETH price in USD
ethPrice := pv.getTokenPriceUSD(common.HexToAddress("0x82af49447d8a07e3bd95bd0d56f35241523fbab1")) // WETH
if ethPrice == 0.0 {
ethPrice = 2000.0 // Default to $2000 ETH
}
// Convert ETH to USD
ethFloat := new(big.Float).SetInt(ethAmount)
ethDivisor := new(big.Float).SetFloat64(1e18) // Convert wei to ETH
ethETH := new(big.Float).Quo(ethFloat, ethDivisor)
usdFloat := new(big.Float).Mul(ethETH, big.NewFloat(ethPrice))
usdValue, _ := usdFloat.Float64()
return usdValue
}
// getTokenPriceUSD gets the USD price of a token
func (pv *ProfitValidator) getTokenPriceUSD(tokenAddr common.Address) float64 {
pv.priceMu.RLock()
defer pv.priceMu.RUnlock()
if price, exists := pv.tokenPrices[tokenAddr]; exists {
// Check if price is recent (within 5 minutes)
if time.Since(price.LastUpdated) < 5*time.Minute {
return price.PriceUSD
}
}
// Return known prices for common tokens
knownPrices := map[common.Address]float64{
common.HexToAddress("0x82af49447d8a07e3bd95bd0d56f35241523fbab1"): 2000.0, // WETH
common.HexToAddress("0xaf88d065e77c8cc2239327c5edb3a432268e5831"): 1.0, // USDC
common.HexToAddress("0xff970a61a04b1ca14834a43f5de4533ebddb5cc8"): 1.0, // USDC.e
common.HexToAddress("0xfd086bc7cd5c481dcc9c85ebe478a1c0b69fcbb9"): 1.0, // USDT
common.HexToAddress("0x2f2a2543b76a4166549f7aab2e75bef0aefc5b0f"): 43000.0, // WBTC
common.HexToAddress("0x912ce59144191c1204e64559fe8253a0e49e6548"): 0.75, // ARB
common.HexToAddress("0xfc5a1a6eb076a2c7ad06ed22c90d7e710e35ad0a"): 45.0, // GMX
common.HexToAddress("0xf97f4df75117a78c1a5a0dbb814af92458539fb4"): 12.0, // LINK
common.HexToAddress("0xfa7f8980b0f1e64a2062791cc3b0871572f1f7f0"): 8.0, // UNI
common.HexToAddress("0xba5ddd1f9d7f570dc94a51479a000e3bce967196"): 85.0, // AAVE
}
if price, exists := knownPrices[tokenAddr]; exists {
return price
}
// Default to $0 for unknown tokens
return 0.0
}
// UpdateTokenPrice updates the price of a token
func (pv *ProfitValidator) UpdateTokenPrice(tokenAddr common.Address, priceUSD float64, confidence float64) {
pv.priceMu.Lock()
defer pv.priceMu.Unlock()
pv.tokenPrices[tokenAddr] = &TokenPrice{
Address: tokenAddr,
PriceUSD: priceUSD,
LastUpdated: time.Now(),
Confidence: confidence,
Volume24h: 0.0, // Would be populated from real data
Volatility: 0.0, // Would be populated from real data
}
}
// GetStatistics returns validation statistics
func (pv *ProfitValidator) GetStatistics() map[string]interface{} {
pv.mu.RLock()
defer pv.mu.RUnlock()
return map[string]interface{}{
"total_opportunities": pv.totalOpportunities,
"profitable_opportunities": pv.profitableOps,
"unprofitable_opportunities": pv.unprofitableOps,
"validation_success_rate": pv.validationSuccessRate * 100, // Convert to percentage
"average_profit_margin": pv.averageProfitMargin,
"average_slippage": pv.averageSlippage * 100, // Convert to percentage
"total_profit_eth": formatEther(pv.totalProfitETH),
"total_gas_cost_eth": formatEther(pv.totalGasCostETH),
"tracked_tokens": len(pv.tokenPrices),
"strict_validation": pv.strictValidation,
}
}
// SetStrictValidation enables or disables strict validation
func (pv *ProfitValidator) SetStrictValidation(strict bool) {
pv.mu.Lock()
defer pv.mu.Unlock()
pv.strictValidation = strict
}
// SetMinProfitUSD sets the minimum profit threshold in USD
func (pv *ProfitValidator) SetMinProfitUSD(minProfit float64) {
pv.mu.Lock()
defer pv.mu.Unlock()
pv.minProfitUSD = minProfit
}
// SetMinProfitETH sets the minimum profit threshold in ETH
func (pv *ProfitValidator) SetMinProfitETH(minProfit *big.Int) {
pv.mu.Lock()
defer pv.mu.Unlock()
pv.minProfitETH = minProfit
}
// SetMinProfitMargin sets the minimum profit margin percentage
func (pv *ProfitValidator) SetMinProfitMargin(minMargin float64) {
pv.mu.Lock()
defer pv.mu.Unlock()
pv.minProfitMargin = minMargin
}
// SetMaxSlippage sets the maximum acceptable slippage
func (pv *ProfitValidator) SetMaxSlippage(maxSlippage float64) {
pv.mu.Lock()
defer pv.mu.Unlock()
pv.maxSlippage = maxSlippage
}
// SetMaxGasPrice sets the maximum gas price willing to pay
func (pv *ProfitValidator) SetMaxGasPrice(maxGasPrice *big.Int) {
pv.mu.Lock()
defer pv.mu.Unlock()
pv.maxGasPrice = maxGasPrice
}