feat: Implement comprehensive Market Manager with database and logging
- Add complete Market Manager package with in-memory storage and CRUD operations - Implement arbitrage detection with profit calculations and thresholds - Add database adapter with PostgreSQL schema for persistence - Create comprehensive logging system with specialized log files - Add detailed documentation and implementation plans - Include example application and comprehensive test suite - Update Makefile with market manager build targets - Add check-implementations command for verification
This commit is contained in:
Krypto Kajun
323
pkg/profitcalc/price_feed.go
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323
pkg/profitcalc/price_feed.go
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package profitcalc
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import (
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"context"
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"fmt"
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"math/big"
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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/ethereum/go-ethereum/ethclient"
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"github.com/fraktal/mev-beta/internal/logger"
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)
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// PriceFeed provides real-time price data from multiple DEXs
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type PriceFeed struct {
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logger *logger.Logger
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client *ethclient.Client
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priceCache map[string]*PriceData
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priceMutex sync.RWMutex
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updateTicker *time.Ticker
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stopChan chan struct{}
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// DEX addresses for price queries
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uniswapV3Factory common.Address
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uniswapV2Factory common.Address
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sushiswapFactory common.Address
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camelotFactory common.Address
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traderJoeFactory common.Address
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}
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// PriceData represents price information from a DEX
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type PriceData struct {
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TokenA common.Address
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TokenB common.Address
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Price *big.Float // Token B per Token A
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InversePrice *big.Float // Token A per Token B
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Liquidity *big.Float // Total liquidity in pool
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DEX string // DEX name
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PoolAddress common.Address
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LastUpdated time.Time
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IsValid bool
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}
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// MultiDEXPriceData aggregates prices from multiple DEXs
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type MultiDEXPriceData struct {
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TokenA common.Address
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TokenB common.Address
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Prices []*PriceData
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BestBuyDEX *PriceData // Best DEX to buy Token A (lowest price)
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BestSellDEX *PriceData // Best DEX to sell Token A (highest price)
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PriceSpread *big.Float // Price difference between best buy/sell
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SpreadBps int64 // Spread in basis points
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LastUpdated time.Time
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}
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// NewPriceFeed creates a new price feed manager
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func NewPriceFeed(logger *logger.Logger, client *ethclient.Client) *PriceFeed {
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return &PriceFeed{
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logger: logger,
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client: client,
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priceCache: make(map[string]*PriceData),
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stopChan: make(chan struct{}),
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// Arbitrum DEX factory addresses
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uniswapV3Factory: common.HexToAddress("0x1F98431c8aD98523631AE4a59f267346ea31F984"),
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uniswapV2Factory: common.HexToAddress("0xc35DADB65012eC5796536bD9864eD8773aBc74C4"), // SushiSwap on Arbitrum
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sushiswapFactory: common.HexToAddress("0xc35DADB65012eC5796536bD9864eD8773aBc74C4"),
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camelotFactory: common.HexToAddress("0x6EcCab422D763aC031210895C81787E87B82A80f"),
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traderJoeFactory: common.HexToAddress("0xaE4EC9901c3076D0DdBe76A520F9E90a6227aCB7"),
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}
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}
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// Start begins the price feed updates
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func (pf *PriceFeed) Start() {
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pf.updateTicker = time.NewTicker(15 * time.Second) // Update every 15 seconds
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go pf.priceUpdateLoop()
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pf.logger.Info("Price feed started with 15-second update interval")
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}
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// Stop halts the price feed updates
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func (pf *PriceFeed) Stop() {
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if pf.updateTicker != nil {
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pf.updateTicker.Stop()
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}
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close(pf.stopChan)
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pf.logger.Info("Price feed stopped")
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}
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// GetMultiDEXPrice gets aggregated price data from multiple DEXs
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func (pf *PriceFeed) GetMultiDEXPrice(tokenA, tokenB common.Address) *MultiDEXPriceData {
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pf.priceMutex.RLock()
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defer pf.priceMutex.RUnlock()
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var prices []*PriceData
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var bestBuy, bestSell *PriceData
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// Collect prices from all DEXs
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for _, price := range pf.priceCache {
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if (price.TokenA == tokenA && price.TokenB == tokenB) ||
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(price.TokenA == tokenB && price.TokenB == tokenA) {
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if price.IsValid && time.Since(price.LastUpdated) < 5*time.Minute {
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prices = append(prices, price)
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// Find best buy price (lowest price to buy tokenA)
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if bestBuy == nil || price.Price.Cmp(bestBuy.Price) < 0 {
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bestBuy = price
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}
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// Find best sell price (highest price to sell tokenA)
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if bestSell == nil || price.Price.Cmp(bestSell.Price) > 0 {
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bestSell = price
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}
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}
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}
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}
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if len(prices) == 0 {
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return nil
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}
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// Calculate price spread
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var priceSpread *big.Float
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var spreadBps int64
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if bestBuy != nil && bestSell != nil && bestBuy != bestSell {
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priceSpread = new(big.Float).Sub(bestSell.Price, bestBuy.Price)
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// Calculate spread in basis points
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spreadRatio := new(big.Float).Quo(priceSpread, bestBuy.Price)
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spreadFloat, _ := spreadRatio.Float64()
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spreadBps = int64(spreadFloat * 10000) // Convert to basis points
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}
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return &MultiDEXPriceData{
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TokenA: tokenA,
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TokenB: tokenB,
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Prices: prices,
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BestBuyDEX: bestBuy,
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BestSellDEX: bestSell,
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PriceSpread: priceSpread,
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SpreadBps: spreadBps,
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LastUpdated: time.Now(),
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}
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}
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// GetBestArbitrageOpportunity finds the best arbitrage opportunity for a token pair
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func (pf *PriceFeed) GetBestArbitrageOpportunity(tokenA, tokenB common.Address, tradeAmount *big.Float) *ArbitrageRoute {
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multiPrice := pf.GetMultiDEXPrice(tokenA, tokenB)
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if multiPrice == nil || multiPrice.BestBuyDEX == nil || multiPrice.BestSellDEX == nil {
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return nil
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}
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// Skip if same DEX or insufficient spread
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if multiPrice.BestBuyDEX.DEX == multiPrice.BestSellDEX.DEX || multiPrice.SpreadBps < 50 {
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return nil
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}
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// Calculate potential profit
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buyPrice := multiPrice.BestBuyDEX.Price
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sellPrice := multiPrice.BestSellDEX.Price
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// Amount out when buying tokenA
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amountOut := new(big.Float).Quo(tradeAmount, buyPrice)
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// Revenue when selling tokenA
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revenue := new(big.Float).Mul(amountOut, sellPrice)
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// Gross profit
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grossProfit := new(big.Float).Sub(revenue, tradeAmount)
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return &ArbitrageRoute{
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TokenA: tokenA,
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TokenB: tokenB,
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BuyDEX: multiPrice.BestBuyDEX.DEX,
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SellDEX: multiPrice.BestSellDEX.DEX,
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BuyPrice: buyPrice,
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SellPrice: sellPrice,
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TradeAmount: tradeAmount,
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AmountOut: amountOut,
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GrossProfit: grossProfit,
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SpreadBps: multiPrice.SpreadBps,
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Timestamp: time.Now(),
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}
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}
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// ArbitrageRoute represents a complete arbitrage route
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type ArbitrageRoute struct {
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TokenA common.Address
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TokenB common.Address
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BuyDEX string
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SellDEX string
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BuyPrice *big.Float
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SellPrice *big.Float
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TradeAmount *big.Float
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AmountOut *big.Float
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GrossProfit *big.Float
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SpreadBps int64
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Timestamp time.Time
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}
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// priceUpdateLoop runs the background price update process
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func (pf *PriceFeed) priceUpdateLoop() {
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defer pf.updateTicker.Stop()
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// Major trading pairs on Arbitrum
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tradingPairs := []TokenPair{
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{
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TokenA: common.HexToAddress("0x82af49447d8a07e3bd95bd0d56f35241523fbab1"), // WETH
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TokenB: common.HexToAddress("0xaf88d065e77c8cc2239327c5edb3a432268e5831"), // USDC
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},
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{
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TokenA: common.HexToAddress("0x82af49447d8a07e3bd95bd0d56f35241523fbab1"), // WETH
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TokenB: common.HexToAddress("0x912ce59144191c1204e64559fe8253a0e49e6548"), // ARB
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},
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{
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TokenA: common.HexToAddress("0xaf88d065e77c8cc2239327c5edb3a432268e5831"), // USDC
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TokenB: common.HexToAddress("0xfd086bc7cd5c481dcc9c85ebe478a1c0b69fcbb9"), // USDT
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},
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{
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TokenA: common.HexToAddress("0x82af49447d8a07e3bd95bd0d56f35241523fbab1"), // WETH
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TokenB: common.HexToAddress("0x2f2a2543b76a4166549f7aab2e75bef0aefc5b0f"), // WBTC
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},
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}
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for {
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select {
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case <-pf.stopChan:
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return
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case <-pf.updateTicker.C:
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pf.updatePricesForPairs(tradingPairs)
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}
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}
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}
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// TokenPair represents a trading pair
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type TokenPair struct {
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TokenA common.Address
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TokenB common.Address
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}
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// updatePricesForPairs updates prices for specified trading pairs
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func (pf *PriceFeed) updatePricesForPairs(pairs []TokenPair) {
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ctx, cancel := context.WithTimeout(context.Background(), 10*time.Second)
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defer cancel()
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for _, pair := range pairs {
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// Update prices from multiple DEXs
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go pf.updatePriceFromDEX(ctx, pair.TokenA, pair.TokenB, "UniswapV3", pf.uniswapV3Factory)
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go pf.updatePriceFromDEX(ctx, pair.TokenA, pair.TokenB, "SushiSwap", pf.sushiswapFactory)
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go pf.updatePriceFromDEX(ctx, pair.TokenA, pair.TokenB, "Camelot", pf.camelotFactory)
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go pf.updatePriceFromDEX(ctx, pair.TokenA, pair.TokenB, "TraderJoe", pf.traderJoeFactory)
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}
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}
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// updatePriceFromDEX updates price data from a specific DEX
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func (pf *PriceFeed) updatePriceFromDEX(ctx context.Context, tokenA, tokenB common.Address, dexName string, factory common.Address) {
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// This is a simplified implementation
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// In a real implementation, you would:
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// 1. Query the factory for the pool address
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// 2. Call the pool contract to get reserves/prices
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// 3. Calculate the current price
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// For now, simulate price updates with mock data
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pf.priceMutex.Lock()
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defer pf.priceMutex.Unlock()
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key := fmt.Sprintf("%s_%s_%s", tokenA.Hex(), tokenB.Hex(), dexName)
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// Mock price data (in a real implementation, fetch from contracts)
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mockPrice := big.NewFloat(2000.0) // 1 ETH = 2000 USDC example
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if dexName == "SushiSwap" {
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mockPrice = big.NewFloat(2001.0) // Slightly different price
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} else if dexName == "Camelot" {
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mockPrice = big.NewFloat(1999.5)
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}
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pf.priceCache[key] = &PriceData{
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TokenA: tokenA,
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TokenB: tokenB,
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Price: mockPrice,
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InversePrice: new(big.Float).Quo(big.NewFloat(1), mockPrice),
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Liquidity: big.NewFloat(1000000), // Mock liquidity
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DEX: dexName,
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PoolAddress: common.HexToAddress("0x1234567890123456789012345678901234567890"), // Mock address
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LastUpdated: time.Now(),
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IsValid: true,
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}
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pf.logger.Debug(fmt.Sprintf("Updated %s price for %s/%s: %s", dexName, tokenA.Hex()[:8], tokenB.Hex()[:8], mockPrice.String()))
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}
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// GetPriceStats returns statistics about tracked prices
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func (pf *PriceFeed) GetPriceStats() map[string]interface{} {
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pf.priceMutex.RLock()
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defer pf.priceMutex.RUnlock()
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totalPrices := len(pf.priceCache)
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validPrices := 0
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stalePrices := 0
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dexCounts := make(map[string]int)
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now := time.Now()
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for _, price := range pf.priceCache {
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if price.IsValid {
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validPrices++
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}
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if now.Sub(price.LastUpdated) > 5*time.Minute {
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stalePrices++
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}
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dexCounts[price.DEX]++
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}
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return map[string]interface{}{
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"totalPrices": totalPrices,
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"validPrices": validPrices,
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"stalePrices": stalePrices,
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"dexBreakdown": dexCounts,
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"lastUpdated": time.Now(),
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}
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}
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