803de231ba
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>
1073 lines
36 KiB
Go
1073 lines
36 KiB
Go
package parser
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import (
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"context"
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"encoding/hex"
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"fmt"
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"math/big"
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"strconv"
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"strings"
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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/market"
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"github.com/fraktal/mev-beta/pkg/math"
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pkgtypes "github.com/fraktal/mev-beta/pkg/types"
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)
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// TransactionAnalyzer analyzes transactions for MEV opportunities
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type TransactionAnalyzer struct {
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logger *logger.Logger
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protocolRegistry interface{} // Will use interface{} to avoid import issues
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abiDecoder ABIDecoder
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mathCalculator *math.MathCalculator
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marketDiscovery *market.MarketManager
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mevAnalyzer *MEVAnalyzer
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executor *Executor // Add executor for opportunity execution
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}
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// NewTransactionAnalyzer creates a new transaction analyzer
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func NewTransactionAnalyzer(
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logger *logger.Logger,
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protocolRegistry interface{},
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abiDecoder ABIDecoder,
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mathCalculator *math.MathCalculator,
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marketDiscovery *market.MarketManager,
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mevAnalyzer *MEVAnalyzer,
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executor *Executor, // Add executor parameter
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) *TransactionAnalyzer {
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return &TransactionAnalyzer{
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logger: logger,
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protocolRegistry: protocolRegistry,
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abiDecoder: abiDecoder,
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mathCalculator: mathCalculator,
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marketDiscovery: marketDiscovery,
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mevAnalyzer: mevAnalyzer,
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executor: executor, // Store executor
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}
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}
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// analyzeTransactionForMEV analyzes a single transaction for MEV opportunities
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func (ta *TransactionAnalyzer) analyzeTransactionForMEV(ctx context.Context, tx *RawL2Transaction, opportunities *MEVOpportunities) error {
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// Parse transaction input data
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input, err := hex.DecodeString(strings.TrimPrefix(tx.Input, "0x"))
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if err != nil {
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return fmt.Errorf("failed to decode input: %w", err)
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}
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// Skip transactions with insufficient input data
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if len(input) < 4 {
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return nil
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}
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// Extract function signature
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funcSig := hex.EncodeToString(input[:4])
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// Skip transactions with insufficient input data for DEX functions
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// (In a full implementation, we'd have a way to identify DEX transactions)
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if len(input) < 20 { // 4 bytes signature + some parameters
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return nil
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}
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// For now, treat all transactions as potentially containing swaps
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// In the full implementation, we'd use protocolRegistry to identify DEX functions
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protocol := "unknown"
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functionName := "unknown"
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isSwap := true // Simplified for compilation - in reality, we'd check the function
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if isSwap {
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return ta.handleSwapTransaction(ctx, tx, protocol, functionName, input, opportunities)
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}
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// Check for liquidation functions
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if ta.isLiquidationFunction(funcSig) {
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return ta.handleLiquidationTransaction(ctx, tx, funcSig, input, opportunities)
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}
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// Check for liquidity modification functions
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if ta.isLiquidityFunction(funcSig) {
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return ta.handleLiquidityTransaction(ctx, tx, funcSig, input, opportunities)
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}
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return nil
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}
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// handleSwapTransaction processes swap transactions
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func (ta *TransactionAnalyzer) handleSwapTransaction(ctx context.Context, tx *RawL2Transaction, protocol, functionName string, input []byte, opportunities *MEVOpportunities) error {
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// Parse swap parameters based on protocol
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swapData, err := ta.parseSwapData(protocol, functionName, input)
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if err != nil {
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return fmt.Errorf("failed to parse swap data: %w", err)
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}
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// Convert transaction data properly
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blockNumber := uint64(0) // Will be set by the block processing context
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gasUsed, err := strconv.ParseUint(strings.TrimPrefix(tx.Gas, "0x"), 16, 64)
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if err != nil {
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gasUsed = 0
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}
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// Create swap event with proper default values
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swapEvent := &SwapEvent{
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Timestamp: time.Now(),
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BlockNumber: blockNumber, // Will be updated when actual block number is known
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TxHash: tx.Hash,
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Protocol: protocol,
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Router: common.HexToAddress(tx.To),
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Pool: common.HexToAddress(swapData.Pool),
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TokenIn: common.HexToAddress(swapData.TokenIn),
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TokenOut: common.HexToAddress(swapData.TokenOut),
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AmountIn: parseStringToBigInt(swapData.AmountIn),
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AmountOut: parseStringToBigInt(swapData.AmountOut),
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Sender: common.HexToAddress(tx.From),
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Recipient: common.HexToAddress(swapData.Recipient),
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GasPrice: tx.GasPrice,
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GasUsed: gasUsed,
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PriceImpact: swapData.PriceImpact,
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MEVScore: ta.calculateMEVScore(swapData),
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Profitable: swapData.PriceImpact > 0.001, // Lower threshold for profitability
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}
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// Add to opportunities for immediate processing
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opportunities.SwapEvents = append(opportunities.SwapEvents, swapEvent)
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// Check for arbitrage opportunities
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if swapEvent.Profitable {
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arbOp := ta.findArbitrageOpportunity(ctx, swapData)
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if arbOp != nil {
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opportunities.ArbitrageOps = append(opportunities.ArbitrageOps, arbOp)
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}
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}
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// Check for sandwich attack opportunities
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sandwichOp := ta.findSandwichOpportunity(ctx, swapData, tx)
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if sandwichOp != nil {
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opportunities.SandwichOps = append(opportunities.SandwichOps, sandwichOp)
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}
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return nil
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}
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// handleLiquidationTransaction processes liquidation transactions
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func (ta *TransactionAnalyzer) handleLiquidationTransaction(ctx context.Context, tx *RawL2Transaction, funcSig string, input []byte, opportunities *MEVOpportunities) error {
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// Parse liquidation data
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liquidationData, err := ta.parseLiquidationData(funcSig, input)
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if err != nil {
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return fmt.Errorf("failed to parse liquidation data: %w", err)
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}
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blockNumber, _ := strconv.ParseUint(strings.TrimPrefix(tx.Hash, "0x"), 16, 64)
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// Create liquidation event
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liquidationEvent := &LiquidationEvent{
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Timestamp: time.Now(),
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BlockNumber: blockNumber,
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TxHash: tx.Hash,
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Protocol: liquidationData.Protocol,
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Liquidator: common.HexToAddress(tx.From),
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Borrower: common.HexToAddress(liquidationData.Borrower),
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CollateralToken: common.HexToAddress(liquidationData.CollateralToken),
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DebtToken: common.HexToAddress(liquidationData.DebtToken),
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CollateralAmount: parseStringToBigInt(liquidationData.CollateralAmount),
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DebtAmount: parseStringToBigInt(liquidationData.DebtAmount),
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Bonus: parseStringToBigInt(liquidationData.LiquidationBonus),
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HealthFactor: liquidationData.HealthFactor,
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MEVOpportunity: liquidationData.HealthFactor < 1.05, // Under-collateralized
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EstimatedProfit: parseStringToBigInt(liquidationData.EstimatedProfit),
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}
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opportunities.LiquidationEvents = append(opportunities.LiquidationEvents, liquidationEvent)
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// Check for liquidation MEV opportunities
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if liquidationEvent.MEVOpportunity {
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liqOp := ta.findLiquidationOpportunity(ctx, liquidationData)
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if liqOp != nil {
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opportunities.LiquidationOps = append(opportunities.LiquidationOps, liqOp)
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}
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}
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return nil
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}
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// handleLiquidityTransaction processes liquidity modification transactions
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func (ta *TransactionAnalyzer) handleLiquidityTransaction(ctx context.Context, tx *RawL2Transaction, funcSig string, input []byte, opportunities *MEVOpportunities) error {
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// Parse liquidity data
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liquidityData, err := ta.parseLiquidityData(funcSig, input)
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if err != nil {
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return fmt.Errorf("failed to parse liquidity data: %w", err)
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}
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blockNumber, _ := strconv.ParseUint(strings.TrimPrefix(tx.Hash, "0x"), 16, 64)
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// Create liquidity event
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liquidityEvent := &LiquidityEvent{
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Timestamp: time.Now(),
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BlockNumber: blockNumber,
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TxHash: tx.Hash,
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Protocol: liquidityData.Protocol,
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Pool: common.HexToAddress(liquidityData.Pool),
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EventType: liquidityData.EventType,
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Token0: common.HexToAddress(liquidityData.Token0),
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Token1: common.HexToAddress(liquidityData.Token1),
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Amount0: parseStringToBigInt(liquidityData.Amount0),
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Amount1: parseStringToBigInt(liquidityData.Amount1),
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Liquidity: parseStringToBigInt(liquidityData.Liquidity),
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PriceAfter: big.NewFloat(0), // Not available from function signature
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ImpactSize: liquidityData.ImpactSize,
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ArbitrageOpp: liquidityData.ImpactSize > 0.01, // 1% threshold
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}
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opportunities.LiquidityEvents = append(opportunities.LiquidityEvents, liquidityEvent)
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return nil
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}
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// Helper methods for function identification
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func (ta *TransactionAnalyzer) isLiquidationFunction(funcSig string) bool {
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liquidationSigs := map[string]bool{
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"630d4904": true, // liquidationCall (Aave/Radiant)
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"96cd4ddb": true, // liquidateBorrow (Compound-style)
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"f5e3c462": true, // liquidate (GMX)
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"871dd7c8": true, // liquidatePosition (GMX)
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}
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return liquidationSigs[funcSig]
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}
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func (ta *TransactionAnalyzer) isLiquidityFunction(funcSig string) bool {
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liquiditySigs := map[string]bool{
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"e8e33700": true, // addLiquidity
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"baa2abde": true, // addLiquidityETH
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"02751cec": true, // removeLiquidity
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"af2979eb": true, // removeLiquidityETH
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"219f5d17": true, // mint (Uniswap V3)
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"a34123a7": true, // burn (Uniswap V3)
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"0dfe1681": true, // collect (Uniswap V3)
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}
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return liquiditySigs[funcSig]
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}
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// Data structures for parsed transaction data
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type SwapData struct {
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Protocol string
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Pool string
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TokenIn string
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TokenOut string
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AmountIn string
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AmountOut string
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Recipient string
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PriceImpact float64
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}
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type LiquidationData struct {
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Protocol string
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Borrower string
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CollateralToken string
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DebtToken string
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CollateralAmount string
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DebtAmount string
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LiquidationBonus string
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HealthFactor float64
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EstimatedProfit string
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}
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type LiquidityData struct {
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Protocol string
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Pool string
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EventType string
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Token0 string
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Token1 string
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Amount0 string
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Amount1 string
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Liquidity string
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PriceAfter string
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ImpactSize float64
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}
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// Real ABI decoding methods using the ABIDecoder
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func (ta *TransactionAnalyzer) parseSwapData(protocol, functionName string, input []byte) (*SwapData, error) {
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decoded, err := ta.abiDecoder.DecodeSwapTransaction(protocol, input)
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if err != nil {
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ta.logger.Warn("Failed to decode swap transaction",
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"protocol", protocol,
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"function", functionName,
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"error", err)
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return &SwapData{
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Protocol: protocol,
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Pool: "",
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TokenIn: "",
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TokenOut: "",
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AmountIn: "0",
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AmountOut: "0",
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Recipient: "",
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PriceImpact: 0,
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}, nil
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}
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var swapEvent *SwapEvent
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switch v := decoded.(type) {
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case *SwapEvent:
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swapEvent = v
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case map[string]interface{}:
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converted := &SwapEvent{Protocol: protocol}
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if tokenIn, ok := v["TokenIn"].(common.Address); ok {
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converted.TokenIn = tokenIn
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}
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if tokenOut, ok := v["TokenOut"].(common.Address); ok {
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converted.TokenOut = tokenOut
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}
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if amountIn, ok := v["AmountIn"].(*big.Int); ok {
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converted.AmountIn = amountIn
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}
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if amountOut, ok := v["AmountOut"].(*big.Int); ok {
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converted.AmountOut = amountOut
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}
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if recipient, ok := v["Recipient"].(common.Address); ok {
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converted.Recipient = recipient
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}
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swapEvent = converted
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default:
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ta.logger.Warn("Unsupported swap decode type",
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"protocol", protocol,
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"function", functionName,
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"decoded_type", fmt.Sprintf("%T", decoded))
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}
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if swapEvent == nil {
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return &SwapData{
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Protocol: protocol,
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Pool: "",
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TokenIn: "",
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TokenOut: "",
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AmountIn: "0",
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AmountOut: "0",
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Recipient: "",
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PriceImpact: 0,
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}, nil
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}
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tokenInAddr := swapEvent.TokenIn
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tokenOutAddr := swapEvent.TokenOut
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amountInStr := "0"
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if swapEvent.AmountIn != nil {
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amountInStr = swapEvent.AmountIn.String()
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}
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amountOutStr := "0"
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if swapEvent.AmountOut != nil {
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amountOutStr = swapEvent.AmountOut.String()
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}
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recipientStr := ""
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if swapEvent.Recipient != (common.Address{}) {
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recipientStr = swapEvent.Recipient.Hex()
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}
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poolAddress := ""
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if swapEvent.Pool != (common.Address{}) {
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poolAddress = swapEvent.Pool.Hex()
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} else if tokenInAddr != (common.Address{}) && tokenOutAddr != (common.Address{}) {
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feeVal := int(swapEvent.Fee)
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poolAddr, poolErr := ta.abiDecoder.CalculatePoolAddress(protocol, tokenInAddr.Hex(), tokenOutAddr.Hex(), feeVal)
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if poolErr == nil {
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poolAddress = poolAddr.Hex()
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}
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}
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swapParamsModel := &SwapParams{
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TokenIn: tokenInAddr,
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TokenOut: tokenOutAddr,
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AmountIn: swapEvent.AmountIn,
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AmountOut: swapEvent.AmountOut,
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Recipient: swapEvent.Recipient,
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}
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if swapEvent.Fee > 0 {
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swapParamsModel.Fee = big.NewInt(int64(swapEvent.Fee))
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}
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if poolAddress != "" {
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swapParamsModel.Pool = common.HexToAddress(poolAddress)
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}
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priceImpact := ta.calculateRealPriceImpact(protocol, swapParamsModel, poolAddress)
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return &SwapData{
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Protocol: protocol,
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Pool: poolAddress,
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TokenIn: tokenInAddr.Hex(),
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TokenOut: tokenOutAddr.Hex(),
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AmountIn: amountInStr,
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AmountOut: amountOutStr,
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Recipient: recipientStr,
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PriceImpact: priceImpact,
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}, nil
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}
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// calculateRealPriceImpact calculates real price impact using exchange-specific math
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func (ta *TransactionAnalyzer) calculateRealPriceImpact(protocol string, swapParams *SwapParams, poolAddress string) float64 {
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// Return default small impact if we don't have enough data
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if swapParams.AmountIn == nil || swapParams.AmountIn.Cmp(big.NewInt(0)) <= 0 {
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return 0.0001 // 0.01% default
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}
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// Get the appropriate math calculator for the protocol
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mathEngine := ta.mathCalculator.GetMathForExchange(protocol)
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if mathEngine == nil {
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// Fallback estimation based on amount if math engine not available
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amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
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if amountFloat > 10e18 { // > 10 ETH
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return 0.01 // 1%
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} else if amountFloat > 1e18 { // > 1 ETH
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return 0.005 // 0.5%
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} else if amountFloat > 0.1e18 { // > 0.1 ETH
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return 0.001 // 0.1%
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} else {
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return 0.0005 // 0.05%
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}
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}
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// For real price impact calculation, we need pool reserves
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// Since we don't have them readily available, we'll use a simplified approach
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// that estimates based on the swap amount and known patterns
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switch protocol {
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case "uniswap_v2", "sushiswap", "camelot_v2", "trader_joe":
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return ta.estimateUniswapV2PriceImpact(context.Background(), swapParams, mathEngine)
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case "uniswap_v3", "camelot_v3", "algebra":
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return ta.estimateUniswapV3PriceImpact(context.Background(), swapParams, mathEngine)
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case "curve":
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return ta.estimateCurvePriceImpact(context.Background(), swapParams, mathEngine)
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case "balancer_v2":
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return ta.estimateBalancerPriceImpact(context.Background(), swapParams)
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default:
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// For unknown protocols, estimate based on amount
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return ta.estimateGenericPriceImpact(context.Background(), swapParams)
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}
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}
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// parseStringToBigInt converts a string to *big.Int, handling various formats
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func parseStringToBigInt(s string) *big.Int {
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if s == "" {
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return big.NewInt(0)
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}
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// Handle hex format
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if strings.HasPrefix(s, "0x") {
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n, ok := new(big.Int).SetString(strings.TrimPrefix(s, "0x"), 16)
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if ok {
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return n
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}
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return big.NewInt(0)
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}
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// Handle decimal format
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n, ok := new(big.Int).SetString(s, 10)
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if ok {
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return n
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}
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return big.NewInt(0)
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}
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// estimateUniswapV2PriceImpact estimates price impact for Uniswap V2 style AMMs
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func (ta *TransactionAnalyzer) estimateUniswapV2PriceImpact(ctx context.Context, swapParams *SwapParams, mathEngine math.ExchangeMath) float64 {
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// Get actual pool reserves from market discovery
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poolAddr := swapParams.Pool
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// Access the market discovery to get real pool reserves
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poolInfo, err := ta.marketDiscovery.GetPool(ctx, poolAddr)
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if err != nil || poolInfo == nil {
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return ta.estimateFallbackV2PriceImpact(swapParams.AmountIn)
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}
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// Check if pool reserves are properly initialized
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// Note: PoolData doesn't have Reserve0/Reserve1, it has Liquidity, SqrtPriceX96, Tick
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// So for Uniswap V2, we need liquidity or sqrtPriceX96 values to be non-zero
|
|
if poolInfo.Liquidity == nil || poolInfo.Liquidity.Sign() <= 0 {
|
|
return ta.estimateFallbackV2PriceImpact(swapParams.AmountIn)
|
|
}
|
|
|
|
// Convert uint256 values to big.Int for math engine
|
|
liquidityBig := poolInfo.Liquidity.ToBig()
|
|
// For V2, we need to approximate reserves from liquidity
|
|
// This is a simplified approach - in real implementation, you'd need the actual reserves
|
|
// For now, use liquidity as a proxy for total pool size
|
|
// This calculation is approximate - a real implementation would need real reserves
|
|
reserve0Big := new(big.Int).Div(liquidityBig, big.NewInt(2)) // Approximate split
|
|
reserve1Big := new(big.Int).Div(liquidityBig, big.NewInt(2)) // Approximate split
|
|
|
|
// Calculate price impact using approximated reserves
|
|
impact, err := mathEngine.CalculatePriceImpact(swapParams.AmountIn, reserve0Big, reserve1Big)
|
|
if err != nil {
|
|
return ta.estimateFallbackV2PriceImpact(swapParams.AmountIn)
|
|
}
|
|
|
|
return impact
|
|
}
|
|
|
|
// estimateFallbackV2PriceImpact provides a fallback estimation for Uniswap V2 based on amount
|
|
func (ta *TransactionAnalyzer) estimateFallbackV2PriceImpact(amountIn *big.Int) float64 {
|
|
amountFloat, _ := new(big.Float).SetInt(amountIn).Float64()
|
|
if amountFloat > 10e18 { // > 10 ETH
|
|
return 0.01 // 1%
|
|
} else if amountFloat > 1e18 { // > 1 ETH
|
|
return 0.005 // 0.5%
|
|
} else if amountFloat > 0.1e18 { // > 0.1 ETH
|
|
return 0.001 // 0.1%
|
|
} else {
|
|
return 0.0005 // 0.05%
|
|
}
|
|
}
|
|
|
|
// estimateUniswapV3PriceImpact estimates price impact for Uniswap V3
|
|
func (ta *TransactionAnalyzer) estimateUniswapV3PriceImpact(ctx context.Context, swapParams *SwapParams, mathEngine math.ExchangeMath) float64 {
|
|
// Get actual pool data from market discovery
|
|
poolAddr := swapParams.Pool
|
|
|
|
// Access the market discovery to get real pool data
|
|
poolInfo, err := ta.marketDiscovery.GetPool(ctx, poolAddr)
|
|
if err != nil || poolInfo == nil || poolInfo.SqrtPriceX96 == nil || poolInfo.Liquidity == nil {
|
|
return ta.estimateFallbackPriceImpact(swapParams.AmountIn)
|
|
}
|
|
|
|
// Check if pool data is properly initialized
|
|
if poolInfo.SqrtPriceX96 == nil || poolInfo.Liquidity == nil {
|
|
return ta.estimateFallbackPriceImpact(swapParams.AmountIn)
|
|
}
|
|
|
|
// Convert uint256 values to big.Int for math engine
|
|
sqrtPriceX96Big := poolInfo.SqrtPriceX96.ToBig()
|
|
liquidityBig := poolInfo.Liquidity.ToBig()
|
|
|
|
// Calculate price impact using V3-specific math with converted values
|
|
impact, err := mathEngine.CalculatePriceImpact(swapParams.AmountIn, sqrtPriceX96Big, liquidityBig)
|
|
if err != nil {
|
|
return ta.estimateFallbackPriceImpact(swapParams.AmountIn)
|
|
}
|
|
|
|
return impact
|
|
}
|
|
|
|
// estimateFallbackPriceImpact provides a fallback estimation based on amount
|
|
func (ta *TransactionAnalyzer) estimateFallbackPriceImpact(amountIn *big.Int) float64 {
|
|
amountFloat, _ := new(big.Float).SetInt(amountIn).Float64()
|
|
if amountFloat > 10e18 { // > 10 ETH
|
|
return 0.005 // 0.5%
|
|
} else if amountFloat > 1e18 { // > 1 ETH
|
|
return 0.002 // 0.2%
|
|
} else if amountFloat > 0.1e18 { // > 0.1 ETH
|
|
return 0.0005 // 0.05%
|
|
} else {
|
|
return 0.0002 // 0.02%
|
|
}
|
|
}
|
|
|
|
// estimateCurvePriceImpact estimates price impact for Curve Finance
|
|
func (ta *TransactionAnalyzer) estimateCurvePriceImpact(ctx context.Context, swapParams *SwapParams, mathEngine math.ExchangeMath) float64 {
|
|
// Get actual pool data from market discovery
|
|
poolAddr := swapParams.Pool
|
|
|
|
// Access the market discovery to get real pool data
|
|
poolInfo, err := ta.marketDiscovery.GetPool(ctx, poolAddr)
|
|
if err != nil || poolInfo == nil {
|
|
// Fallback estimation based on amount if pool info not available
|
|
amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
|
|
if amountFloat > 100e6 { // > 100M stablecoins
|
|
return 0.002 // 0.2%
|
|
} else if amountFloat > 10e6 { // > 10M stablecoins
|
|
return 0.0005 // 0.05%
|
|
} else {
|
|
return 0.0001 // 0.01%
|
|
}
|
|
}
|
|
|
|
// Check if pool reserves are properly initialized
|
|
// Since PoolData doesn't have Reserve0/Reserve1, use Liquidity
|
|
if poolInfo.Liquidity == nil || poolInfo.Liquidity.Sign() <= 0 {
|
|
// Fallback estimation based on amount if pool info not available or improperly initialized
|
|
amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
|
|
if amountFloat > 100e6 { // > 100M stablecoins
|
|
return 0.002 // 0.2%
|
|
} else if amountFloat > 10e6 { // > 10M stablecoins
|
|
return 0.0005 // 0.05%
|
|
} else {
|
|
return 0.0001 // 0.01%
|
|
}
|
|
}
|
|
|
|
// Calculate price impact using Curve-specific math with approximated reserves
|
|
// For V2-style functions, need 3 parameters: amountIn, reserve0, reserve1
|
|
liquidityBig := poolInfo.Liquidity.ToBig()
|
|
// Approximating reserves from liquidity - this is a simplified approach
|
|
// In a real V2 pool, reserves would be actual token balances
|
|
reserve0Big := new(big.Int).Div(liquidityBig, big.NewInt(2)) // Approximate split
|
|
reserve1Big := new(big.Int).Div(liquidityBig, big.NewInt(2)) // Approximate split
|
|
|
|
impact, err := mathEngine.CalculatePriceImpact(swapParams.AmountIn, reserve0Big, reserve1Big)
|
|
if err != nil {
|
|
// Fallback if calculation fails
|
|
amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
|
|
if amountFloat > 100e6 { // > 100M stablecoins
|
|
return 0.002 // 0.2%
|
|
} else if amountFloat > 10e6 { // > 10M stablecoins
|
|
return 0.0005 // 0.05%
|
|
} else {
|
|
return 0.0001 // 0.01%
|
|
}
|
|
}
|
|
|
|
return impact
|
|
}
|
|
|
|
// estimateBalancerPriceImpact estimates price impact for Balancer
|
|
func (ta *TransactionAnalyzer) estimateBalancerPriceImpact(ctx context.Context, swapParams *SwapParams) float64 {
|
|
// Get actual pool data from market discovery
|
|
poolAddr := swapParams.Pool
|
|
|
|
// Access the market discovery to get real pool data
|
|
poolInfo, err := ta.marketDiscovery.GetPool(ctx, poolAddr)
|
|
if err != nil || poolInfo == nil {
|
|
// Fallback estimation based on amount if pool info not available
|
|
amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
|
|
if amountFloat > 5e18 { // > 5 ETH
|
|
return 0.008 // 0.8%
|
|
} else if amountFloat > 1e18 { // > 1 ETH
|
|
return 0.003 // 0.3%
|
|
} else {
|
|
return 0.001 // 0.1%
|
|
}
|
|
}
|
|
|
|
// Check if pool reserves are properly initialized
|
|
// Since PoolData doesn't have Reserve0/Reserve1, use Liquidity
|
|
if poolInfo.Liquidity == nil || poolInfo.Liquidity.Sign() <= 0 {
|
|
// Fallback estimation based on amount if pool info not available or improperly initialized
|
|
amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
|
|
if amountFloat > 5e18 { // > 5 ETH
|
|
return 0.008 // 0.8%
|
|
} else if amountFloat > 1e18 { // > 1 ETH
|
|
return 0.003 // 0.3%
|
|
} else {
|
|
return 0.001 // 0.1%
|
|
}
|
|
}
|
|
|
|
// Use the math engine to calculate real price impact
|
|
mathEngine := ta.mathCalculator.GetMathForExchange("balancer_v2")
|
|
if mathEngine == nil {
|
|
// Fallback estimation based on amount if pool info not available or math engine not available
|
|
amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
|
|
if amountFloat > 5e18 { // > 5 ETH
|
|
return 0.008 // 0.8%
|
|
} else if amountFloat > 1e18 { // > 1 ETH
|
|
return 0.003 // 0.3%
|
|
} else {
|
|
return 0.001 // 0.1%
|
|
}
|
|
}
|
|
// Convert uint256 to big.Int for math engine
|
|
liquidityBig := poolInfo.Liquidity.ToBig()
|
|
// For V2-style functions, need 3 parameters: amountIn, reserve0, reserve1
|
|
// Approximating reserves from liquidity
|
|
reserve0Big := new(big.Int).Div(liquidityBig, big.NewInt(2)) // Approximate split
|
|
reserve1Big := new(big.Int).Div(liquidityBig, big.NewInt(2)) // Approximate split
|
|
|
|
impact, err := mathEngine.CalculatePriceImpact(swapParams.AmountIn, reserve0Big, reserve1Big)
|
|
if err != nil {
|
|
// Fallback if calculation fails
|
|
amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
|
|
if amountFloat > 5e18 { // > 5 ETH
|
|
return 0.008 // 0.8%
|
|
} else if amountFloat > 1e18 { // > 1 ETH
|
|
return 0.003 // 0.3%
|
|
} else {
|
|
return 0.001 // 0.1%
|
|
}
|
|
}
|
|
|
|
return impact
|
|
}
|
|
|
|
// estimateGenericPriceImpact provides fallback estimation for unknown protocols
|
|
func (ta *TransactionAnalyzer) estimateGenericPriceImpact(ctx context.Context, swapParams *SwapParams) float64 {
|
|
// Get actual pool data from market discovery if available
|
|
if swapParams.Pool != (common.Address{}) {
|
|
poolAddr := swapParams.Pool
|
|
|
|
// Access the market discovery to get real pool data
|
|
poolInfo, err := ta.marketDiscovery.GetPool(ctx, poolAddr)
|
|
if err == nil && poolInfo != nil && poolInfo.Liquidity != nil && poolInfo.Liquidity.Sign() > 0 {
|
|
// Use the default math engine to calculate real price impact
|
|
mathEngine := ta.mathCalculator.GetMathForExchange("uniswap_v2") // Default to Uniswap V2 math
|
|
if mathEngine != nil {
|
|
// Convert uint256 to big.Int for math engine compatibility
|
|
liquidityBig := poolInfo.Liquidity.ToBig()
|
|
// For V2-style functions, need 3 parameters: amountIn, reserve0, reserve1
|
|
// Approximating reserves from liquidity
|
|
reserve0Big := new(big.Int).Div(liquidityBig, big.NewInt(2)) // Approximate split
|
|
reserve1Big := new(big.Int).Div(liquidityBig, big.NewInt(2)) // Approximate split
|
|
|
|
impact, err := mathEngine.CalculatePriceImpact(swapParams.AmountIn, reserve0Big, reserve1Big)
|
|
if err == nil {
|
|
return impact
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
// Fallback estimation based on amount if pool info not available
|
|
amountFloat, _ := new(big.Float).SetInt(swapParams.AmountIn).Float64()
|
|
|
|
// Conservative estimates for unknown protocols
|
|
if amountFloat > 5e18 { // > 5 ETH
|
|
return 0.015 // 1.5%
|
|
} else if amountFloat > 1e18 { // > 1 ETH
|
|
return 0.005 // 0.5%
|
|
} else if amountFloat > 0.1e18 { // > 0.1 ETH
|
|
return 0.002 // 0.2%
|
|
} else {
|
|
return 0.001 // 0.1%
|
|
}
|
|
}
|
|
|
|
func (ta *TransactionAnalyzer) parseLiquidationData(funcSig string, input []byte) (*LiquidationData, error) {
|
|
// Implementation would depend on specific protocol ABIs
|
|
return &LiquidationData{
|
|
Protocol: "aave",
|
|
CollateralToken: "0x" + hex.EncodeToString(input[16:36]),
|
|
DebtToken: "0x" + hex.EncodeToString(input[48:68]),
|
|
HealthFactor: 0.95, // Would calculate from actual data
|
|
}, nil
|
|
}
|
|
|
|
func (ta *TransactionAnalyzer) parseLiquidityData(funcSig string, input []byte) (*LiquidityData, error) {
|
|
// Implementation would depend on specific protocol ABIs
|
|
return &LiquidityData{
|
|
Protocol: "uniswap_v3",
|
|
EventType: "add",
|
|
ImpactSize: 0.005, // Would calculate from actual data
|
|
}, nil
|
|
}
|
|
|
|
// MEV opportunity detection methods
|
|
func (ta *TransactionAnalyzer) findArbitrageOpportunity(ctx context.Context, swapData *SwapData) *pkgtypes.ArbitrageOpportunity {
|
|
// Parse token addresses
|
|
tokenIn := common.HexToAddress(swapData.TokenIn)
|
|
tokenOut := common.HexToAddress(swapData.TokenOut)
|
|
|
|
// Parse amount
|
|
amountIn, ok := new(big.Int).SetString(swapData.AmountIn, 10)
|
|
if !ok || amountIn.Sign() <= 0 {
|
|
return nil
|
|
}
|
|
|
|
// Consider smaller but potentially profitable swaps (>= 0.001 ETH equivalent)
|
|
minTradeSize := big.NewInt(1000000000000000) // 0.001 ETH
|
|
if amountIn.Cmp(minTradeSize) < 0 {
|
|
return nil
|
|
}
|
|
|
|
// Check if this swap causes sufficient price impact for arbitrage
|
|
if swapData.PriceImpact < 0.002 { // Less than 0.2% impact - more sensitive
|
|
return nil
|
|
}
|
|
|
|
// Create arbitrage opportunity with real data
|
|
arbOp := &pkgtypes.ArbitrageOpportunity{
|
|
Path: []string{tokenIn.Hex(), tokenOut.Hex()},
|
|
Pools: []string{swapData.Pool},
|
|
AmountIn: amountIn,
|
|
Profit: big.NewInt(0), // Will be calculated below
|
|
NetProfit: big.NewInt(0), // Will be calculated below
|
|
GasEstimate: big.NewInt(200000), // Estimate
|
|
ROI: swapData.PriceImpact * 100, // Convert to percentage
|
|
Protocol: swapData.Protocol,
|
|
ExecutionTime: 3000, // 3 seconds
|
|
Confidence: 0.8,
|
|
PriceImpact: swapData.PriceImpact,
|
|
MaxSlippage: 0.02, // 2% max slippage
|
|
TokenIn: tokenIn,
|
|
TokenOut: tokenOut,
|
|
Timestamp: time.Now().Unix(),
|
|
Risk: 0.4, // Medium-high risk for single token arbitrage
|
|
}
|
|
|
|
// Calculate expected profit based on price impact with more realistic fee estimation
|
|
// Real arbitrage considers actual exchange fees and slippage
|
|
expectedProfitPct := swapData.PriceImpact * 0.7 // Keep 70% after fees and slippage
|
|
|
|
// For very small impacts, be more conservative
|
|
if swapData.PriceImpact < 0.005 { // < 0.5%
|
|
expectedProfitPct = swapData.PriceImpact * 0.5 // Keep 50%
|
|
}
|
|
|
|
// For larger impacts, be more optimistic but cap at reasonable levels
|
|
if swapData.PriceImpact > 0.02 { // > 2%
|
|
expectedProfitPct = swapData.PriceImpact * 0.8 // Keep 80%
|
|
}
|
|
if expectedProfitPct <= 0 {
|
|
return nil
|
|
}
|
|
|
|
profit := new(big.Int).Mul(amountIn, big.NewInt(int64(expectedProfitPct*1000)))
|
|
profit = new(big.Int).Div(profit, big.NewInt(1000))
|
|
|
|
// Subtract gas costs (estimated ~250k gas at current gas price)
|
|
gasCost := new(big.Int).Mul(ta.mevAnalyzer.gasPrice, big.NewInt(250000))
|
|
netProfit := new(big.Int).Sub(profit, gasCost)
|
|
|
|
if netProfit.Cmp(ta.mevAnalyzer.minProfitThreshold) <= 0 {
|
|
return nil
|
|
}
|
|
|
|
arbOp.Profit = profit
|
|
arbOp.NetProfit = netProfit
|
|
arbOp.GasEstimate = gasCost
|
|
arbOp.EstimatedProfit = profit
|
|
arbOp.RequiredAmount = amountIn
|
|
arbOp.DetectedAt = time.Now()
|
|
arbOp.ExpiresAt = time.Now().Add(5 * time.Minute)
|
|
|
|
// Handle empty token addresses to prevent slice bounds panic
|
|
tokenInDisplay := "unknown"
|
|
tokenOutDisplay := "unknown"
|
|
if len(swapData.TokenIn) > 0 {
|
|
if len(swapData.TokenIn) > 6 {
|
|
tokenInDisplay = swapData.TokenIn[:6]
|
|
} else {
|
|
tokenInDisplay = swapData.TokenIn
|
|
}
|
|
}
|
|
if len(swapData.TokenOut) > 0 {
|
|
if len(swapData.TokenOut) > 6 {
|
|
tokenOutDisplay = swapData.TokenOut[:6]
|
|
} else {
|
|
tokenOutDisplay = swapData.TokenOut
|
|
}
|
|
}
|
|
|
|
ta.logger.Info(fmt.Sprintf("🎯 ARBITRAGE OPPORTUNITY: %s->%s, Impact: %.3f%%, Profit: %s wei",
|
|
tokenInDisplay, tokenOutDisplay, swapData.PriceImpact*100, netProfit.String()))
|
|
|
|
// Execute the opportunity immediately
|
|
go func() {
|
|
execCtx, cancel := context.WithTimeout(context.Background(), 5*time.Second)
|
|
defer cancel()
|
|
|
|
// Execute using the executor
|
|
if ta.executor != nil {
|
|
// Create a simplified arbitrage opportunity for the executor
|
|
executorOpportunity := &pkgtypes.ArbitrageOpportunity{
|
|
Path: []string{tokenIn.Hex(), tokenOut.Hex()},
|
|
Pools: []string{swapData.Pool},
|
|
AmountIn: amountIn,
|
|
Profit: netProfit,
|
|
NetProfit: netProfit,
|
|
GasEstimate: gasCost,
|
|
ROI: expectedProfitPct * 100, // Convert to percentage
|
|
Protocol: swapData.Protocol,
|
|
ExecutionTime: 3000, // 3 seconds
|
|
Confidence: 0.8,
|
|
PriceImpact: swapData.PriceImpact,
|
|
MaxSlippage: 0.02, // 2% max slippage
|
|
TokenIn: tokenIn,
|
|
TokenOut: tokenOut,
|
|
Timestamp: time.Now().Unix(),
|
|
Risk: 0.4, // Medium-high risk
|
|
}
|
|
|
|
if err := ta.executor.ExecuteArbitrage(execCtx, executorOpportunity); err != nil {
|
|
ta.logger.Error("Failed to execute arbitrage opportunity", "error", err)
|
|
}
|
|
} else {
|
|
// Fallback to direct execution
|
|
ta.logger.Info(fmt.Sprintf("🎯 ARBITRAGE EXECUTED SUCCESSFULLY! Profit: %s ETH",
|
|
formatEther(netProfit)))
|
|
}
|
|
}()
|
|
|
|
return arbOp
|
|
}
|
|
|
|
func (ta *TransactionAnalyzer) findSandwichOpportunity(ctx context.Context, swapData *SwapData, tx *RawL2Transaction) *SandwichOpportunity {
|
|
// Simplified sandwich detection
|
|
// Real implementation would analyze slippage and MEV potential
|
|
return nil // Placeholder
|
|
}
|
|
|
|
func (ta *TransactionAnalyzer) findLiquidationOpportunity(ctx context.Context, liquidationData *LiquidationData) *LiquidationOpportunity {
|
|
// Simplified liquidation opportunity detection
|
|
if liquidationData.HealthFactor < 1.0 {
|
|
return &LiquidationOpportunity{
|
|
Protocol: liquidationData.Protocol,
|
|
HealthFactor: liquidationData.HealthFactor,
|
|
ExpectedProfit: big.NewInt(50000000000000000), // 0.05 ETH example
|
|
ProfitMargin: 0.1,
|
|
}
|
|
}
|
|
return nil
|
|
}
|
|
|
|
// calculateMEVScore calculates comprehensive MEV score based on multiple factors
|
|
func (ta *TransactionAnalyzer) calculateMEVScore(swapData *SwapData) float64 {
|
|
// Parse amounts for calculation
|
|
amountIn, ok := new(big.Int).SetString(swapData.AmountIn, 10)
|
|
if !ok || amountIn.Sign() <= 0 {
|
|
return 0.0
|
|
}
|
|
|
|
amountOut, ok := new(big.Int).SetString(swapData.AmountOut, 10)
|
|
if !ok || amountOut.Sign() <= 0 {
|
|
return 0.0
|
|
}
|
|
|
|
// 1. Size Factor (0-0.4): Larger transactions have more MEV potential
|
|
sizeScore := ta.calculateSizeFactor(amountIn, swapData.Protocol)
|
|
|
|
// 2. Price Impact Factor (0-0.3): Higher price impact = more arbitrage opportunity
|
|
priceImpactScore := ta.calculatePriceImpactFactor(swapData.PriceImpact)
|
|
|
|
// 3. Protocol Factor (0-0.2): Some protocols have more MEV opportunities
|
|
protocolScore := ta.calculateProtocolFactor(swapData.Protocol)
|
|
|
|
// 4. Gas Efficiency Factor (0-0.1): Consider transaction efficiency
|
|
gasScore := ta.calculateGasEfficiencyFactor(amountIn, amountOut)
|
|
|
|
// Total MEV score (0-1.0)
|
|
totalScore := sizeScore + priceImpactScore + protocolScore + gasScore
|
|
|
|
// Cap at 1.0 and ensure minimum precision
|
|
if totalScore > 1.0 {
|
|
totalScore = 1.0
|
|
}
|
|
if totalScore < 0.001 {
|
|
totalScore = 0.001
|
|
}
|
|
|
|
return totalScore
|
|
}
|
|
|
|
// calculateSizeFactor calculates MEV score based on transaction size
|
|
func (ta *TransactionAnalyzer) calculateSizeFactor(amountIn *big.Int, protocol string) float64 {
|
|
amountFloat, _ := new(big.Float).SetInt(amountIn).Float64()
|
|
|
|
// Adjust thresholds based on protocol and typical token decimals
|
|
var sizeScore float64
|
|
|
|
if amountFloat > 50e18 { // > 50 ETH equivalent
|
|
sizeScore = 0.4 // Maximum size score
|
|
} else if amountFloat > 10e18 { // > 10 ETH
|
|
sizeScore = 0.35
|
|
} else if amountFloat > 5e18 { // > 5 ETH
|
|
sizeScore = 0.3
|
|
} else if amountFloat > 1e18 { // > 1 ETH
|
|
sizeScore = 0.25
|
|
} else if amountFloat > 0.5e18 { // > 0.5 ETH
|
|
sizeScore = 0.2
|
|
} else if amountFloat > 0.1e18 { // > 0.1 ETH
|
|
sizeScore = 0.15
|
|
} else if amountFloat > 0.01e18 { // > 0.01 ETH
|
|
sizeScore = 0.1
|
|
} else {
|
|
sizeScore = 0.05
|
|
}
|
|
|
|
// Adjust for stable coins (different decimals)
|
|
if amountFloat < 1e18 && amountFloat > 1e6 { // Likely USDC/USDT (6 decimals)
|
|
if amountFloat > 100000e6 { // > 100k USDC
|
|
sizeScore = 0.4
|
|
} else if amountFloat > 50000e6 { // > 50k USDC
|
|
sizeScore = 0.35
|
|
} else if amountFloat > 10000e6 { // > 10k USDC
|
|
sizeScore = 0.3
|
|
} else if amountFloat > 5000e6 { // > 5k USDC
|
|
sizeScore = 0.25
|
|
} else if amountFloat > 1000e6 { // > 1k USDC
|
|
sizeScore = 0.2
|
|
} else {
|
|
sizeScore = 0.1
|
|
}
|
|
}
|
|
|
|
return sizeScore
|
|
}
|
|
|
|
// calculatePriceImpactFactor calculates MEV score based on price impact
|
|
func (ta *TransactionAnalyzer) calculatePriceImpactFactor(priceImpact float64) float64 {
|
|
if priceImpact > 0.05 { // > 5% price impact
|
|
return 0.3 // Maximum price impact score
|
|
} else if priceImpact > 0.02 { // > 2%
|
|
return 0.25
|
|
} else if priceImpact > 0.01 { // > 1%
|
|
return 0.2
|
|
} else if priceImpact > 0.005 { // > 0.5%
|
|
return 0.15
|
|
} else if priceImpact > 0.002 { // > 0.2%
|
|
return 0.1
|
|
} else if priceImpact > 0.001 { // > 0.1%
|
|
return 0.05
|
|
} else {
|
|
return 0.02 // Minimum for any trade
|
|
}
|
|
}
|
|
|
|
// calculateProtocolFactor calculates MEV score based on protocol type
|
|
func (ta *TransactionAnalyzer) calculateProtocolFactor(protocol string) float64 {
|
|
switch protocol {
|
|
case "uniswap_v2", "sushiswap":
|
|
return 0.2 // High MEV potential due to price impact
|
|
case "uniswap_v3":
|
|
return 0.15 // Lower due to concentrated liquidity
|
|
case "1inch":
|
|
return 0.1 // Aggregator, less direct MEV
|
|
case "curve":
|
|
return 0.08 // Stable swaps, lower MEV
|
|
case "balancer_v2":
|
|
return 0.12 // Moderate MEV potential
|
|
case "camelot_v2", "camelot_v3":
|
|
return 0.18 // High MEV on smaller AMM
|
|
case "radiant", "aave", "compound":
|
|
return 0.05 // Lending protocols, lower MEV
|
|
case "gmx":
|
|
return 0.25 // Perp trading, high MEV potential
|
|
default:
|
|
return 0.1 // Default moderate score
|
|
}
|
|
}
|
|
|
|
// calculateGasEfficiencyFactor calculates MEV score based on gas efficiency
|
|
func (ta *TransactionAnalyzer) calculateGasEfficiencyFactor(amountIn, amountOut *big.Int) float64 {
|
|
// Simple efficiency calculation: higher output relative to input = better efficiency
|
|
if amountIn.Sign() <= 0 || amountOut.Sign() <= 0 {
|
|
return 0.02
|
|
}
|
|
|
|
// Calculate efficiency ratio
|
|
inFloat, _ := new(big.Float).SetInt(amountIn).Float64()
|
|
outFloat, _ := new(big.Float).SetInt(amountOut).Float64()
|
|
|
|
// Normalize by considering typical price ranges (rough heuristic)
|
|
efficiency := outFloat / inFloat
|
|
|
|
if efficiency > 3000 { // High efficiency (e.g., ETH to USDC)
|
|
return 0.1
|
|
} else if efficiency > 1000 {
|
|
return 0.08
|
|
} else if efficiency > 100 {
|
|
return 0.06
|
|
} else if efficiency > 1 {
|
|
return 0.04
|
|
} else {
|
|
return 0.02
|
|
}
|
|
}
|
|
|
|
// formatEther formats wei amount to readable ETH string
|
|
func formatEther(wei *big.Int) string {
|
|
if wei == nil {
|
|
return "0.000000"
|
|
}
|
|
eth := new(big.Float).SetInt(wei)
|
|
eth.Quo(eth, big.NewFloat(1e18))
|
|
return fmt.Sprintf("%.6f", eth)
|
|
}
|