✅ CRITICAL FIX #1: Connected swap analyzer to multi-hop scanner - Modified SubmitBridgeOpportunity() to trigger multi-hop scanner - Scanner uses token graph with 8 high-liquidity Arbitrum pools - Finds real multi-hop arbitrage paths (A→B→C→A) ✅ CRITICAL FIX #2: Lowered profit threshold 1000x - ExecuteArbitrageOpportunity: 0.01 ETH → 0.00001 ETH - Matches aggressive settings (/bin/bash.02 minimum) 🎯 Target: First profitable execution within 24 hours 🤖 Generated with [Claude Code](https://claude.ai/code) Co-Authored-By: Claude <noreply@anthropic.com>
1644 lines
55 KiB
Go
1644 lines
55 KiB
Go
package market
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import (
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"context"
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"errors"
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"fmt"
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"math/big"
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"os"
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"strings"
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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/core/types"
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"github.com/ethereum/go-ethereum/ethclient"
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"github.com/holiman/uint256"
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"golang.org/x/sync/singleflight"
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"github.com/fraktal/mev-beta/internal/config"
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"github.com/fraktal/mev-beta/internal/logger"
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"github.com/fraktal/mev-beta/internal/tokens"
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"github.com/fraktal/mev-beta/internal/validation"
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"github.com/fraktal/mev-beta/pkg/circuit"
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"github.com/fraktal/mev-beta/pkg/contracts"
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"github.com/fraktal/mev-beta/pkg/database"
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"github.com/fraktal/mev-beta/pkg/events"
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"github.com/fraktal/mev-beta/pkg/marketdata"
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"github.com/fraktal/mev-beta/pkg/pools"
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"github.com/fraktal/mev-beta/pkg/profitcalc"
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"github.com/fraktal/mev-beta/pkg/trading"
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stypes "github.com/fraktal/mev-beta/pkg/types"
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"github.com/fraktal/mev-beta/pkg/uniswap"
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)
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// safeConvertInt64ToUint64 safely converts an int64 to uint64, ensuring no negative values
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func safeConvertInt64ToUint64(v int64) uint64 {
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if v < 0 {
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return 0
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}
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return uint64(v)
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}
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// MarketScanner scans markets for price movement opportunities with concurrency
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type MarketScanner struct {
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config *config.BotConfig
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logger *logger.Logger
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workerPool chan chan events.Event
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workers []*EventWorker
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wg sync.WaitGroup
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cacheGroup singleflight.Group
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cache map[string]*CachedData
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cacheMutex sync.RWMutex
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cacheTTL time.Duration
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slippageProtector *trading.SlippageProtection
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circuitBreaker *circuit.CircuitBreaker
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contractExecutor *contracts.ContractExecutor
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create2Calculator *pools.CREATE2Calculator
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database *database.Database
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profitCalculator *profitcalc.ProfitCalculator
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opportunityRanker *profitcalc.OpportunityRanker
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marketDataLogger *marketdata.MarketDataLogger // Enhanced market data logging system
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addressValidator *validation.AddressValidator
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poolBlacklist map[common.Address]BlacklistReason // Pools that consistently fail RPC calls
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blacklistMutex sync.RWMutex
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}
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// BlacklistReason contains information about why a pool was blacklisted
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type BlacklistReason struct {
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Reason string
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FailCount int
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LastFailure time.Time
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AddedAt time.Time
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}
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// ErrInvalidPoolCandidate is returned when a pool address fails pre-validation
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// checks and should not be fetched from the RPC endpoint.
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var ErrInvalidPoolCandidate = errors.New("invalid pool candidate")
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// EventWorker represents a worker that processes event details
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type EventWorker struct {
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ID int
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WorkerPool chan chan events.Event
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JobChannel chan events.Event
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QuitChan chan bool
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scanner *MarketScanner
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}
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// NewMarketScanner creates a new market scanner with concurrency support
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func NewMarketScanner(cfg *config.BotConfig, logger *logger.Logger, contractExecutor *contracts.ContractExecutor, db *database.Database) *MarketScanner {
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var ethClient *ethclient.Client
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if contractExecutor != nil {
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ethClient = contractExecutor.GetClient()
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}
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var slippageProtector *trading.SlippageProtection
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if ethClient != nil {
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slippageProtector = trading.NewSlippageProtection(ethClient, logger)
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}
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var profitCalculator *profitcalc.ProfitCalculator
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if ethClient != nil {
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profitCalculator = profitcalc.NewProfitCalculatorWithClient(logger, ethClient)
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} else {
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profitCalculator = profitcalc.NewProfitCalculator(logger)
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}
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create2Calculator := pools.NewCREATE2Calculator(logger, ethClient)
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if ethClient == nil {
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logger.Debug("CREATE2 calculator initialized without Ethereum client; live pool discovery limited")
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}
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marketDataLogger := marketdata.NewMarketDataLogger(logger, db)
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addressValidator := validation.NewAddressValidator()
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addressValidator.InitializeKnownContracts()
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scanner := &MarketScanner{
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config: cfg,
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logger: logger,
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workerPool: make(chan chan events.Event, cfg.MaxWorkers),
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workers: make([]*EventWorker, 0, cfg.MaxWorkers),
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cache: make(map[string]*CachedData),
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cacheTTL: time.Duration(cfg.RPCTimeout) * time.Second,
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slippageProtector: slippageProtector,
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circuitBreaker: circuit.NewCircuitBreaker(&circuit.Config{
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Logger: logger,
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Name: "market_scanner",
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MaxFailures: 10,
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ResetTimeout: time.Minute * 5,
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MaxRequests: 3,
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SuccessThreshold: 2,
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}),
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contractExecutor: contractExecutor,
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create2Calculator: create2Calculator,
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database: db,
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profitCalculator: profitCalculator,
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opportunityRanker: profitcalc.NewOpportunityRanker(logger),
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marketDataLogger: marketDataLogger,
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addressValidator: addressValidator,
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poolBlacklist: make(map[common.Address]BlacklistReason),
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}
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// Initialize pool blacklist with known failing pools
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scanner.initializePoolBlacklist()
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// Initialize market data logger
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ctx, cancel := context.WithTimeout(context.Background(), 30*time.Second)
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defer cancel()
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if scanner.marketDataLogger != nil {
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if err := scanner.marketDataLogger.Initialize(ctx); err != nil {
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logger.Warn(fmt.Sprintf("Failed to initialize market data logger: %v", err))
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}
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} else {
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logger.Warn("Market data logger disabled: database not configured")
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}
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// Create workers
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for i := 0; i < cfg.MaxWorkers; i++ {
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worker := NewEventWorker(i, scanner.workerPool, scanner)
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scanner.workers = append(scanner.workers, worker)
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worker.Start()
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}
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// Start cache cleanup routine
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go scanner.cleanupCache()
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return scanner
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}
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// NewEventWorker creates a new event worker
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func NewEventWorker(id int, workerPool chan chan events.Event, scanner *MarketScanner) *EventWorker {
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return &EventWorker{
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ID: id,
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WorkerPool: workerPool,
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JobChannel: make(chan events.Event),
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QuitChan: make(chan bool),
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scanner: scanner,
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}
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}
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// Start begins the worker
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func (w *EventWorker) Start() {
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go func() {
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for {
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// Register the worker in the worker pool
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w.WorkerPool <- w.JobChannel
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select {
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case job := <-w.JobChannel:
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// Process the job
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w.Process(job)
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case <-w.QuitChan:
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// Stop the worker
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return
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}
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}
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}()
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}
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// Stop terminates the worker
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func (w *EventWorker) Stop() {
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go func() {
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w.QuitChan <- true
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}()
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}
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// Process handles an event detail
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func (w *EventWorker) Process(event events.Event) {
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// Analyze the event in a separate goroutine to maintain throughput
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go func() {
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defer w.scanner.wg.Done()
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// Log the processing
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w.scanner.logger.Debug(fmt.Sprintf("Worker %d processing %s event in pool %s from protocol %s",
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w.ID, event.Type.String(), event.PoolAddress, event.Protocol))
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// Analyze based on event type
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switch event.Type {
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case events.Swap:
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w.scanner.LogSwapEvent(event)
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case events.AddLiquidity:
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w.scanner.LogLiquidityEvent(event, "add")
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case events.RemoveLiquidity:
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w.scanner.LogLiquidityEvent(event, "remove")
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case events.NewPool:
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w.scanner.logger.Info(fmt.Sprintf("Worker %d detected new pool: %s", w.ID, event.PoolAddress.Hex()))
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default:
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w.scanner.logger.Debug(fmt.Sprintf("Worker %d received unknown event type: %d", w.ID, event.Type))
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}
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}()
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}
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// SubmitEvent submits an event for processing by the worker pool
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func (s *MarketScanner) SubmitEvent(event events.Event) {
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s.wg.Add(1)
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// CRITICAL FIX: Populate token addresses if they're missing (zero addresses)
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// This fixes the issue where events are logged with 0x00000000 token addresses
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zeroAddr := common.Address{}
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if event.Token0 == zeroAddr || event.Token1 == zeroAddr {
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// Try to get token addresses from cache first
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s.cacheMutex.RLock()
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poolKey := event.PoolAddress.Hex()
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if cachedPool, exists := s.cache[poolKey]; exists {
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event.Token0 = cachedPool.Token0
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event.Token1 = cachedPool.Token1
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s.logger.Debug(fmt.Sprintf("✅ Enriched event with cached tokens: %s ↔ %s for pool %s",
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event.Token0.Hex()[:10], event.Token1.Hex()[:10], poolKey[:10]))
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} else {
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s.cacheMutex.RUnlock()
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// Cache miss - fetch pool data to get token addresses
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poolData, err := s.fetchPoolData(poolKey)
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if err == nil {
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event.Token0 = poolData.Token0
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event.Token1 = poolData.Token1
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s.logger.Debug(fmt.Sprintf("✅ Enriched event with fetched tokens: %s ↔ %s for pool %s",
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event.Token0.Hex()[:10], event.Token1.Hex()[:10], poolKey[:10]))
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} else {
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s.logger.Debug(fmt.Sprintf("⚠️ Could not fetch tokens for pool %s: %v", poolKey[:10], err))
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}
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s.cacheMutex.RLock()
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}
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s.cacheMutex.RUnlock()
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}
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// Get an available worker job channel
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jobChannel := <-s.workerPool
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// Send the job to the worker
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jobChannel <- event
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}
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// GetTopOpportunities returns the top ranked arbitrage opportunities
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func (s *MarketScanner) GetTopOpportunities(limit int) []*profitcalc.RankedOpportunity {
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return s.opportunityRanker.GetTopOpportunities(limit)
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}
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// GetExecutableOpportunities returns executable arbitrage opportunities
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func (s *MarketScanner) GetExecutableOpportunities(limit int) []*profitcalc.RankedOpportunity {
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return s.opportunityRanker.GetExecutableOpportunities(limit)
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}
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// GetOpportunityStats returns statistics about tracked opportunities
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func (s *MarketScanner) GetOpportunityStats() map[string]interface{} {
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return s.opportunityRanker.GetStats()
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}
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// GetMarketDataStats returns comprehensive market data statistics
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func (s *MarketScanner) GetMarketDataStats() map[string]interface{} {
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if s.marketDataLogger != nil {
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return s.marketDataLogger.GetStatistics()
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}
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return map[string]interface{}{
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"status": "market data logger not available",
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}
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}
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// GetCachedTokenInfo returns information about a cached token
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func (s *MarketScanner) GetCachedTokenInfo(tokenAddr common.Address) (*marketdata.TokenInfo, bool) {
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if s.marketDataLogger != nil {
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return s.marketDataLogger.GetTokenInfo(tokenAddr)
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}
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return nil, false
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}
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// GetCachedPoolInfo returns information about a cached pool
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func (s *MarketScanner) GetCachedPoolInfo(poolAddr common.Address) (*marketdata.PoolInfo, bool) {
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if s.marketDataLogger != nil {
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return s.marketDataLogger.GetPoolInfo(poolAddr)
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}
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return nil, false
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}
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// GetPoolsForTokenPair returns all cached pools for a token pair
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func (s *MarketScanner) GetPoolsForTokenPair(token0, token1 common.Address) []*marketdata.PoolInfo {
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if s.marketDataLogger != nil {
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return s.marketDataLogger.GetPoolsForTokenPair(token0, token1)
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}
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return nil
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}
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// GetActiveFactories returns all active DEX factories
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func (s *MarketScanner) GetActiveFactories() []*marketdata.FactoryInfo {
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if s.marketDataLogger != nil {
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return s.marketDataLogger.GetActiveFactories()
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}
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return nil
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}
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// isSignificantMovement determines if a price movement is significant enough to exploit
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func (s *MarketScanner) isSignificantMovement(movement *PriceMovement, threshold float64) bool {
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// Check if the price impact is above our threshold
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if movement.PriceImpact > threshold {
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return true
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}
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// Also check if the absolute amount is significant
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if movement.AmountIn != nil && movement.AmountIn.Cmp(big.NewInt(1000000000000000000)) > 0 { // 1 ETH
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return true
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}
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// For smaller amounts, we need a higher price impact to be significant
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if movement.AmountIn != nil && movement.AmountIn.Cmp(big.NewInt(100000000000000000)) > 0 { // 0.1 ETH
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return movement.PriceImpact > threshold/2
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}
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return false
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}
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// findRelatedPools finds pools that trade the same token pair
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func (s *MarketScanner) findRelatedPools(token0, token1 common.Address) []*CachedData {
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s.logger.Debug(fmt.Sprintf("Finding related pools for token pair %s-%s", token0.Hex(), token1.Hex()))
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relatedPools := make([]*CachedData, 0)
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// Use dynamic pool discovery by checking known DEX factories
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poolAddresses := s.discoverPoolsForPair(token0, token1)
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s.logger.Debug(fmt.Sprintf("Found %d potential pools for pair %s-%s", len(poolAddresses), token0.Hex(), token1.Hex()))
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for _, poolAddr := range poolAddresses {
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poolData, err := s.getPoolData(poolAddr)
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if err != nil {
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s.logger.Debug(fmt.Sprintf("No data for pool %s: %v", poolAddr, err))
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continue
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}
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// Check if this pool trades the same token pair (in either direction)
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if (poolData.Token0 == token0 && poolData.Token1 == token1) ||
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(poolData.Token0 == token1 && poolData.Token1 == token0) {
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relatedPools = append(relatedPools, poolData)
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}
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}
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s.logger.Debug(fmt.Sprintf("Found %d related pools", len(relatedPools)))
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return relatedPools
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}
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// discoverPoolsForPair discovers pools for a specific token pair using real factory contracts
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func (s *MarketScanner) discoverPoolsForPair(token0, token1 common.Address) []string {
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poolAddresses := make([]string, 0)
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if s.create2Calculator == nil {
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s.logger.Debug("CREATE2 calculator unavailable; skipping pool discovery")
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return poolAddresses
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}
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// Use the CREATE2 calculator to find all possible pools
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pools, err := s.create2Calculator.FindPoolsForTokenPair(token0, token1)
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if err != nil {
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s.logger.Error(fmt.Sprintf("Failed to discover pools for pair %s/%s: %v", token0.Hex(), token1.Hex(), err))
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return poolAddresses
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}
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// Convert to string addresses
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for _, pool := range pools {
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poolAddresses = append(poolAddresses, pool.PoolAddr.Hex())
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}
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s.logger.Debug(fmt.Sprintf("Discovered %d potential pools for pair %s/%s", len(poolAddresses), token0.Hex(), token1.Hex()))
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return poolAddresses
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}
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// estimateProfit estimates the potential profit from an arbitrage opportunity using real slippage protection
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func (s *MarketScanner) estimateProfit(event events.Event, pool *CachedData, priceDiff float64) *big.Int {
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// Use comprehensive slippage analysis instead of simplified calculation
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if s.slippageProtector != nil {
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return s.calculateProfitWithSlippageProtection(event, pool, priceDiff)
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}
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// Fallback to simplified calculation if slippage protection not available
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return s.calculateSophisticatedProfit(event, pool, priceDiff)
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}
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// calculateProfitWithSlippageProtection uses slippage protection for accurate profit estimation
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func (s *MarketScanner) calculateProfitWithSlippageProtection(event events.Event, pool *CachedData, priceDiff float64) *big.Int {
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// Create trade parameters from event data
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tradeParams := &trading.TradeParameters{
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TokenIn: event.Token0,
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TokenOut: event.Token1,
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AmountIn: event.Amount0,
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MinAmountOut: new(big.Int).Div(event.Amount1, big.NewInt(100)), // Simplified min amount
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MaxSlippage: 3.0, // 3% max slippage
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Deadline: safeConvertInt64ToUint64(time.Now().Add(5 * time.Minute).Unix()),
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Pool: event.PoolAddress,
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ExpectedPrice: big.NewFloat(1.0), // Simplified expected price
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CurrentLiquidity: big.NewInt(1000000), // Simplified liquidity
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}
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// Analyze slippage protection
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slippageCheck, err := s.slippageProtector.ValidateTradeParameters(tradeParams)
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if err != nil {
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s.logger.Debug(fmt.Sprintf("Slippage analysis failed: %v", err))
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return s.calculateSophisticatedProfit(event, pool, priceDiff)
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}
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// Don't proceed if trade is not safe
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if !slippageCheck.IsValid {
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s.logger.Debug("Trade rejected by slippage protection")
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return big.NewInt(0)
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}
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// Calculate profit considering slippage
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expectedAmountOut := event.Amount1
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// Profit = (expected_out - amount_in) - gas_costs - slippage_buffer
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profit := new(big.Int).Sub(expectedAmountOut, event.Amount0)
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// REAL gas cost calculation for competitive MEV on Arbitrum
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// Base gas: 800k units, Price: 1.5 gwei, MEV premium: 15x = 0.018 ETH total
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baseGas := big.NewInt(800000) // 800k gas units for flash swap arbitrage
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gasPrice := big.NewInt(1500000000) // 1.5 gwei base price on Arbitrum
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mevPremium := big.NewInt(15) // 15x premium for MEV competition
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gasCostWei := new(big.Int).Mul(baseGas, gasPrice)
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totalGasCost := new(big.Int).Mul(gasCostWei, mevPremium)
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profit.Sub(profit, totalGasCost)
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// Apply safety margin for slippage
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if slippageCheck.CalculatedSlippage > 0 {
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slippageMarginFloat := slippageCheck.CalculatedSlippage / 100.0
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slippageMargin := new(big.Float).Mul(new(big.Float).SetInt(expectedAmountOut), big.NewFloat(slippageMarginFloat))
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slippageMarginInt, _ := slippageMargin.Int(nil)
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profit.Sub(profit, slippageMarginInt)
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}
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// Ensure profit is not negative
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if profit.Sign() < 0 {
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return big.NewInt(0)
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}
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return profit
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}
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// calculateSophisticatedProfit provides advanced profit calculation with MEV considerations
|
|
func (s *MarketScanner) calculateSophisticatedProfit(event events.Event, pool *CachedData, priceDiff float64) *big.Int {
|
|
amountIn := new(big.Int).Set(event.Amount0)
|
|
|
|
// Use sophisticated pricing calculation based on Uniswap V3 concentrated liquidity
|
|
var amountOut *big.Int
|
|
var err error
|
|
|
|
if pool.SqrtPriceX96 != nil && pool.Liquidity != nil {
|
|
// Calculate output using proper Uniswap V3 math
|
|
amountOut, err = s.calculateUniswapV3Output(amountIn, pool)
|
|
if err != nil {
|
|
s.logger.Debug(fmt.Sprintf("Failed to calculate V3 output, using fallback: %v", err))
|
|
amountOut = s.calculateFallbackOutput(amountIn, priceDiff)
|
|
}
|
|
} else {
|
|
amountOut = s.calculateFallbackOutput(amountIn, priceDiff)
|
|
}
|
|
|
|
// Calculate arbitrage profit considering market impact
|
|
marketImpact := s.calculateMarketImpact(amountIn, pool)
|
|
adjustedAmountOut := new(big.Int).Sub(amountOut, marketImpact)
|
|
|
|
// Calculate gross profit
|
|
grossProfit := new(big.Int).Sub(adjustedAmountOut, amountIn)
|
|
|
|
// Sophisticated gas cost calculation
|
|
gasCost := s.calculateDynamicGasCost(event, pool)
|
|
|
|
// MEV competition premium (front-running protection cost)
|
|
mevPremium := s.calculateMEVPremium(grossProfit, priceDiff)
|
|
|
|
// Calculate net profit after all costs
|
|
netProfit := new(big.Int).Sub(grossProfit, gasCost)
|
|
netProfit = netProfit.Sub(netProfit, mevPremium)
|
|
|
|
// Apply slippage tolerance
|
|
slippageTolerance := s.calculateSlippageTolerance(amountIn, pool)
|
|
finalProfit := new(big.Int).Sub(netProfit, slippageTolerance)
|
|
|
|
// Ensure profit is positive and meets minimum threshold
|
|
minProfitThreshold := big.NewInt(1000000000000000000) // 1 ETH minimum
|
|
if finalProfit.Cmp(minProfitThreshold) < 0 {
|
|
return big.NewInt(0)
|
|
}
|
|
|
|
s.logger.Debug(fmt.Sprintf("Sophisticated profit calculation: gross=%s, gas=%s, mev=%s, slippage=%s, net=%s",
|
|
grossProfit.String(), gasCost.String(), mevPremium.String(), slippageTolerance.String(), finalProfit.String()))
|
|
|
|
return finalProfit
|
|
}
|
|
|
|
// findTriangularArbitrageOpportunities looks for triangular arbitrage opportunities
|
|
func (s *MarketScanner) findTriangularArbitrageOpportunities(event events.Event) []stypes.ArbitrageOpportunity {
|
|
s.logger.Debug(fmt.Sprintf("Searching for triangular arbitrage opportunities involving pool %s", event.PoolAddress))
|
|
|
|
opportunities := make([]stypes.ArbitrageOpportunity, 0)
|
|
|
|
// Define common triangular paths on Arbitrum
|
|
// Get triangular arbitrage paths from token configuration
|
|
triangularPaths := tokens.GetTriangularPaths()
|
|
|
|
// Check if the event involves any tokens from our triangular paths
|
|
eventInvolvesPaths := make([]int, 0)
|
|
for i, path := range triangularPaths {
|
|
for _, token := range path.Tokens {
|
|
if token == event.Token0 || token == event.Token1 {
|
|
eventInvolvesPaths = append(eventInvolvesPaths, i)
|
|
break
|
|
}
|
|
}
|
|
}
|
|
|
|
// For each relevant triangular path, calculate potential profit
|
|
for _, pathIdx := range eventInvolvesPaths {
|
|
path := triangularPaths[pathIdx]
|
|
|
|
// Define test amounts for arbitrage calculation
|
|
testAmounts := []*big.Int{
|
|
big.NewInt(1000000), // 1 USDC (6 decimals)
|
|
big.NewInt(100000000), // 0.1 WETH (18 decimals)
|
|
big.NewInt(10000000), // 0.01 WETH (18 decimals)
|
|
}
|
|
|
|
for _, testAmount := range testAmounts {
|
|
profit, gasEstimate, err := s.calculateTriangularProfit(path.Tokens, testAmount)
|
|
if err != nil {
|
|
s.logger.Debug(fmt.Sprintf("Error calculating triangular profit for %s: %v", path.Name, err))
|
|
continue
|
|
}
|
|
|
|
// Check if profitable after gas costs
|
|
netProfit := new(big.Int).Sub(profit, gasEstimate)
|
|
if netProfit.Sign() > 0 {
|
|
// Calculate ROI
|
|
roi := 0.0
|
|
if testAmount.Sign() > 0 {
|
|
roiFloat := new(big.Float).Quo(new(big.Float).SetInt(netProfit), new(big.Float).SetInt(testAmount))
|
|
roi, _ = roiFloat.Float64()
|
|
roi *= 100 // Convert to percentage
|
|
}
|
|
|
|
// Create arbitrage opportunity
|
|
tokenPaths := make([]string, len(path.Tokens))
|
|
for i, token := range path.Tokens {
|
|
tokenPaths[i] = token.Hex()
|
|
}
|
|
// Close the loop by adding the first token at the end
|
|
tokenPaths = append(tokenPaths, path.Tokens[0].Hex())
|
|
|
|
// Properly initialize all required fields
|
|
now := time.Now()
|
|
opportunity := stypes.ArbitrageOpportunity{
|
|
ID: fmt.Sprintf("arb_%d_%s", now.Unix(), path.Tokens[0].Hex()[:10]),
|
|
Path: tokenPaths,
|
|
Pools: []string{}, // Pool addresses will be discovered dynamically
|
|
AmountIn: testAmount,
|
|
Profit: profit,
|
|
NetProfit: netProfit,
|
|
GasEstimate: gasEstimate,
|
|
GasCost: gasEstimate, // Set gas cost same as estimate
|
|
EstimatedProfit: netProfit,
|
|
RequiredAmount: testAmount,
|
|
ROI: roi,
|
|
Protocol: fmt.Sprintf("Triangular_%s", path.Name),
|
|
ExecutionTime: 500, // Estimated 500ms for triangular arb
|
|
Confidence: 0.5, // Medium confidence for triangular
|
|
PriceImpact: 0.0, // Will be calculated dynamically
|
|
MaxSlippage: 2.0, // 2% max slippage
|
|
TokenIn: path.Tokens[0],
|
|
TokenOut: path.Tokens[0], // Circular, starts and ends with same token
|
|
Timestamp: now.Unix(),
|
|
DetectedAt: now,
|
|
ExpiresAt: now.Add(5 * time.Second), // 5 second expiry
|
|
Urgency: 5, // Medium urgency
|
|
Risk: 0.3, // Low-medium risk
|
|
Profitable: netProfit.Sign() > 0,
|
|
}
|
|
|
|
opportunities = append(opportunities, opportunity)
|
|
s.logger.Info(fmt.Sprintf("Found triangular arbitrage opportunity: %s, Profit: %s, ROI: %.2f%%",
|
|
path.Name, netProfit.String(), roi))
|
|
}
|
|
}
|
|
}
|
|
|
|
return opportunities
|
|
}
|
|
|
|
// calculateTriangularProfit calculates the profit from a triangular arbitrage path
|
|
func (s *MarketScanner) calculateTriangularProfit(tokens []common.Address, initialAmount *big.Int) (*big.Int, *big.Int, error) {
|
|
if len(tokens) < 3 {
|
|
return nil, nil, fmt.Errorf("triangular arbitrage requires at least 3 tokens")
|
|
}
|
|
|
|
currentAmount := new(big.Int).Set(initialAmount)
|
|
totalGasCost := big.NewInt(0)
|
|
|
|
// Simulate trading through the triangular path
|
|
for i := 0; i < len(tokens); i++ {
|
|
nextIndex := (i + 1) % len(tokens)
|
|
tokenIn := tokens[i]
|
|
tokenOut := tokens[nextIndex]
|
|
|
|
// Get pools that trade this token pair
|
|
relatedPools := s.findRelatedPools(tokenIn, tokenOut)
|
|
if len(relatedPools) == 0 {
|
|
// No pools found for this pair, use estimation
|
|
// Apply a 0.3% fee reduction as approximation
|
|
currentAmount = new(big.Int).Mul(currentAmount, big.NewInt(997))
|
|
currentAmount = new(big.Int).Div(currentAmount, big.NewInt(1000))
|
|
} else {
|
|
// Use the best pool for this trade
|
|
bestPool := relatedPools[0]
|
|
|
|
// Calculate swap output using current amount
|
|
outputAmount, err := s.calculateSwapOutput(currentAmount, bestPool, tokenIn, tokenOut)
|
|
if err != nil {
|
|
s.logger.Debug(fmt.Sprintf("Error calculating swap output: %v", err))
|
|
// Fallback to simple fee calculation
|
|
currentAmount = new(big.Int).Mul(currentAmount, big.NewInt(997))
|
|
currentAmount = new(big.Int).Div(currentAmount, big.NewInt(1000))
|
|
} else {
|
|
currentAmount = outputAmount
|
|
}
|
|
}
|
|
|
|
// Add gas cost for this hop (estimated)
|
|
hopGasUnits := big.NewInt(150000) // ~150k gas units per swap
|
|
totalGasCost.Add(totalGasCost, hopGasUnits)
|
|
}
|
|
|
|
// FIXED: Convert gas units to wei (gas units * gas price)
|
|
// Use 0.1 gwei (100000000 wei) as conservative gas price estimate
|
|
gasPrice := big.NewInt(100000000) // 0.1 gwei in wei
|
|
totalGasCostWei := new(big.Int).Mul(totalGasCost, gasPrice)
|
|
|
|
// Calculate profit (final amount - initial amount)
|
|
profit := new(big.Int).Sub(currentAmount, initialAmount)
|
|
|
|
return profit, totalGasCostWei, nil
|
|
}
|
|
|
|
// calculateSwapOutput calculates the output amount for a token swap
|
|
func (s *MarketScanner) calculateSwapOutput(amountIn *big.Int, pool *CachedData, tokenIn, tokenOut common.Address) (*big.Int, error) {
|
|
if pool.SqrtPriceX96 == nil || pool.Liquidity == nil {
|
|
return nil, fmt.Errorf("missing pool price or liquidity data")
|
|
}
|
|
|
|
// Convert sqrtPriceX96 to price for calculation
|
|
price := uniswap.SqrtPriceX96ToPriceCached(pool.SqrtPriceX96.ToBig())
|
|
|
|
// Use sophisticated Uniswap V3 concentrated liquidity calculation
|
|
var amountOut *big.Int
|
|
var err error
|
|
|
|
// Try sophisticated V3 calculation first
|
|
amountOut, err = s.calculateUniswapV3Output(amountIn, pool)
|
|
if err != nil {
|
|
s.logger.Debug(fmt.Sprintf("V3 calculation failed, using price-based fallback: %v", err))
|
|
|
|
// Fallback to price-based calculation with proper fee handling
|
|
amountInFloat := new(big.Float).SetInt(amountIn)
|
|
var amountOutFloat *big.Float
|
|
|
|
if tokenIn == pool.Token0 {
|
|
// Token0 -> Token1: multiply by price
|
|
amountOutFloat = new(big.Float).Mul(amountInFloat, price)
|
|
} else {
|
|
// Token1 -> Token0: divide by price
|
|
amountOutFloat = new(big.Float).Quo(amountInFloat, price)
|
|
}
|
|
|
|
// Apply dynamic fee based on pool configuration
|
|
fee := pool.Fee
|
|
if fee == 0 {
|
|
fee = 3000 // Default 0.3%
|
|
}
|
|
|
|
// Calculate precise fee rate
|
|
feeRateFloat := big.NewFloat(1.0)
|
|
feeRateFloat.Sub(feeRateFloat, new(big.Float).Quo(big.NewFloat(float64(fee)), big.NewFloat(1000000)))
|
|
amountOutFloat.Mul(amountOutFloat, feeRateFloat)
|
|
|
|
// Convert back to big.Int
|
|
amountOut = new(big.Int)
|
|
amountOutFloat.Int(amountOut)
|
|
}
|
|
|
|
s.logger.Debug(fmt.Sprintf("Swap calculation: amountIn=%s, amountOut=%s, tokenIn=%s, tokenOut=%s",
|
|
amountIn.String(), amountOut.String(), tokenIn.Hex(), tokenOut.Hex()))
|
|
|
|
return amountOut, nil
|
|
}
|
|
|
|
// executeArbitrageOpportunity executes an arbitrage opportunity using the smart contract
|
|
func (s *MarketScanner) executeArbitrageOpportunity(opportunity stypes.ArbitrageOpportunity) {
|
|
// Check if contract executor is available
|
|
if s.contractExecutor == nil {
|
|
s.logger.Warn("Contract executor not available, skipping arbitrage execution")
|
|
return
|
|
}
|
|
|
|
// Only execute opportunities with sufficient profit
|
|
// AGGRESSIVE THRESHOLD: Lowered to match arbitrum_production.yaml settings (0.00001 ETH / $0.02)
|
|
minProfitThreshold := big.NewInt(10000000000000) // 0.00001 ETH minimum profit - VERY AGGRESSIVE
|
|
if opportunity.Profit.Cmp(minProfitThreshold) < 0 {
|
|
s.logger.Debug(fmt.Sprintf("Arbitrage opportunity profit too low: %s < %s (%.6f ETH)",
|
|
opportunity.Profit.String(), minProfitThreshold.String(), float64(opportunity.Profit.Int64())/1e18))
|
|
return
|
|
}
|
|
|
|
s.logger.Info(fmt.Sprintf("✅ PROFITABLE OPPORTUNITY FOUND! Profit: %.6f ETH (%.2f USD @ $2000/ETH)",
|
|
float64(opportunity.Profit.Int64())/1e18, float64(opportunity.Profit.Int64())*2000/1e18))
|
|
|
|
s.logger.Info(fmt.Sprintf("Executing arbitrage opportunity with profit: %s", opportunity.Profit.String()))
|
|
|
|
// Execute the arbitrage opportunity
|
|
ctx, cancel := context.WithTimeout(context.Background(), 30*time.Second)
|
|
defer cancel()
|
|
|
|
var tx *types.Transaction
|
|
var err error
|
|
|
|
// Determine if this is a triangular arbitrage or standard arbitrage
|
|
if len(opportunity.Path) == 3 && len(opportunity.Pools) == 3 {
|
|
// Triangular arbitrage
|
|
tx, err = s.contractExecutor.ExecuteTriangularArbitrage(ctx, opportunity)
|
|
} else {
|
|
// Standard arbitrage
|
|
tx, err = s.contractExecutor.ExecuteArbitrage(ctx, opportunity)
|
|
}
|
|
|
|
if err != nil {
|
|
s.logger.Error(fmt.Sprintf("Failed to execute arbitrage opportunity: %v", err))
|
|
return
|
|
}
|
|
|
|
s.logger.Info(fmt.Sprintf("Arbitrage transaction submitted: %s", tx.Hash().Hex()))
|
|
}
|
|
|
|
// logSwapEvent logs a swap event to the database
|
|
func (s *MarketScanner) logSwapEvent(event events.Event) {
|
|
if s.database == nil {
|
|
return // Database not available
|
|
}
|
|
|
|
// Convert event to database record
|
|
swapEvent := &database.SwapEvent{
|
|
Timestamp: time.Now(),
|
|
BlockNumber: event.BlockNumber,
|
|
TxHash: common.Hash{}, // TxHash not available in Event struct
|
|
PoolAddress: event.PoolAddress,
|
|
Token0: event.Token0,
|
|
Token1: event.Token1,
|
|
Amount0In: event.Amount0,
|
|
Amount1In: event.Amount1,
|
|
Amount0Out: big.NewInt(0), // Would need to calculate from event data
|
|
Amount1Out: big.NewInt(0), // Would need to calculate from event data
|
|
Sender: common.Address{}, // Would need to extract from transaction
|
|
Recipient: common.Address{}, // Would need to extract from transaction
|
|
Protocol: event.Protocol,
|
|
}
|
|
|
|
// Log the swap event asynchronously to avoid blocking
|
|
go func() {
|
|
if err := s.database.InsertSwapEvent(swapEvent); err != nil {
|
|
s.logger.Debug(fmt.Sprintf("Failed to log swap event: %v", err))
|
|
}
|
|
}()
|
|
}
|
|
|
|
// logLiquidityEvent logs a liquidity event to the database
|
|
func (s *MarketScanner) logLiquidityEvent(event events.Event, eventType string) {
|
|
if s.database == nil {
|
|
return // Database not available
|
|
}
|
|
|
|
// Convert event to database record
|
|
liquidityEvent := &database.LiquidityEvent{
|
|
Timestamp: time.Now(),
|
|
BlockNumber: event.BlockNumber,
|
|
TxHash: common.Hash{}, // TxHash not available in Event struct
|
|
LogIndex: uint(0), // Default log index (would need to be extracted from receipt)
|
|
PoolAddress: event.PoolAddress,
|
|
Factory: s.getFactoryForProtocol(event.Protocol),
|
|
Router: common.Address{}, // Would need router resolution based on transaction
|
|
Token0: event.Token0,
|
|
Token1: event.Token1,
|
|
Liquidity: event.Liquidity.ToBig(), // Convert uint256 to big.Int
|
|
Amount0: event.Amount0,
|
|
Amount1: event.Amount1,
|
|
TokenId: big.NewInt(0), // Default token ID for V3 positions
|
|
TickLower: int32(0), // Default tick range
|
|
TickUpper: int32(0), // Default tick range
|
|
Owner: common.Address{}, // Would need to extract from transaction
|
|
Recipient: common.Address{}, // Would need to extract from transaction
|
|
EventType: eventType,
|
|
Protocol: event.Protocol,
|
|
Amount0USD: 0.0, // Will be calculated by market data logger
|
|
Amount1USD: 0.0, // Will be calculated by market data logger
|
|
TotalUSD: 0.0, // Will be calculated by market data logger
|
|
}
|
|
|
|
// Log the liquidity event asynchronously to avoid blocking
|
|
go func() {
|
|
if err := s.database.InsertLiquidityEvent(liquidityEvent); err != nil {
|
|
s.logger.Debug(fmt.Sprintf("Failed to log liquidity event: %v", err))
|
|
}
|
|
}()
|
|
}
|
|
|
|
// logPoolData logs pool data to the database
|
|
func (s *MarketScanner) logPoolData(poolData *CachedData) {
|
|
if s.database == nil {
|
|
return // Database not available
|
|
}
|
|
|
|
// Convert cached data to database record
|
|
dbPoolData := &database.PoolData{
|
|
Address: poolData.Address,
|
|
Token0: poolData.Token0,
|
|
Token1: poolData.Token1,
|
|
Fee: poolData.Fee,
|
|
Liquidity: poolData.Liquidity.ToBig(),
|
|
SqrtPriceX96: poolData.SqrtPriceX96.ToBig(),
|
|
Tick: int64(poolData.Tick),
|
|
LastUpdated: time.Now(),
|
|
Protocol: poolData.Protocol,
|
|
}
|
|
|
|
// Log the pool data asynchronously to avoid blocking
|
|
go func() {
|
|
if err := s.database.InsertPoolData(dbPoolData); err != nil {
|
|
s.logger.Debug(fmt.Sprintf("Failed to log pool data: %v", err))
|
|
}
|
|
}()
|
|
}
|
|
|
|
// PriceMovement represents a potential price movement
|
|
type PriceMovement struct {
|
|
Token0 string // Token address
|
|
Token1 string // Token address
|
|
Pool string // Pool address
|
|
Protocol string // DEX protocol
|
|
AmountIn *big.Int // Amount of token being swapped in
|
|
AmountOut *big.Int // Amount of token being swapped out
|
|
PriceBefore *big.Float // Price before the swap
|
|
PriceAfter *big.Float // Price after the swap (to be calculated)
|
|
PriceImpact float64 // Calculated price impact
|
|
TickBefore int // Tick before the swap
|
|
TickAfter int // Tick after the swap (to be calculated)
|
|
Timestamp time.Time // Event timestamp
|
|
}
|
|
|
|
// CachedData represents cached pool data
|
|
type CachedData struct {
|
|
Address common.Address
|
|
Token0 common.Address
|
|
Token1 common.Address
|
|
Fee int64
|
|
Liquidity *uint256.Int
|
|
SqrtPriceX96 *uint256.Int
|
|
Tick int
|
|
TickSpacing int
|
|
LastUpdated time.Time
|
|
Protocol string
|
|
}
|
|
|
|
// normalizeAndValidatePoolAddress returns a canonical representation of the
|
|
// pool candidate and a validation result. It rejects obviously corrupted
|
|
// addresses and known non-pool contracts before any RPC work is attempted.
|
|
func (s *MarketScanner) normalizeAndValidatePoolAddress(candidate string) (string, *validation.AddressValidationResult, error) {
|
|
if s.addressValidator == nil {
|
|
trimmed := strings.TrimSpace(candidate)
|
|
return trimmed, nil, nil
|
|
}
|
|
|
|
trimmed := strings.TrimSpace(candidate)
|
|
if trimmed == "" {
|
|
return "", nil, fmt.Errorf("%w: empty address", ErrInvalidPoolCandidate)
|
|
}
|
|
|
|
if !strings.HasPrefix(trimmed, "0x") && len(trimmed) == 40 {
|
|
trimmed = "0x" + trimmed
|
|
}
|
|
|
|
// Lowercase for consistent cache keys and validation while preserving the
|
|
// ability to distinguish later via validation result if needed.
|
|
normalized := strings.ToLower(trimmed)
|
|
|
|
result := s.addressValidator.ValidateAddress(normalized)
|
|
|
|
if !result.IsValid || result.CorruptionScore >= 30 {
|
|
return "", result, fmt.Errorf("%w: validation_failed", ErrInvalidPoolCandidate)
|
|
}
|
|
|
|
switch result.ContractType {
|
|
case validation.ContractTypeERC20Token, validation.ContractTypeRouter, validation.ContractTypeFactory:
|
|
return "", result, fmt.Errorf("%w: non_pool_contract", ErrInvalidPoolCandidate)
|
|
}
|
|
|
|
return normalized, result, nil
|
|
}
|
|
|
|
// getPoolData retrieves pool data with caching
|
|
func (s *MarketScanner) getPoolData(poolAddress string) (*CachedData, error) {
|
|
normalized, validationResult, err := s.normalizeAndValidatePoolAddress(poolAddress)
|
|
if err != nil {
|
|
if errors.Is(err, ErrInvalidPoolCandidate) {
|
|
corruptionScore := -1
|
|
if validationResult != nil {
|
|
corruptionScore = validationResult.CorruptionScore
|
|
}
|
|
contractType := ""
|
|
if validationResult != nil {
|
|
contractType = validationResult.ContractType.String()
|
|
}
|
|
s.logger.Debug("Pool candidate rejected before fetch",
|
|
"address", poolAddress,
|
|
"normalized", normalized,
|
|
"error", err,
|
|
"corruption_score", corruptionScore,
|
|
"contract_type", contractType,
|
|
)
|
|
}
|
|
return nil, err
|
|
}
|
|
|
|
cacheKey := fmt.Sprintf("pool_%s", normalized)
|
|
|
|
s.cacheMutex.RLock()
|
|
if data, exists := s.cache[cacheKey]; exists && time.Since(data.LastUpdated) < s.cacheTTL {
|
|
s.cacheMutex.RUnlock()
|
|
s.logger.Debug(fmt.Sprintf("Cache hit for pool %s", normalized))
|
|
return data, nil
|
|
}
|
|
s.cacheMutex.RUnlock()
|
|
|
|
// Use singleflight to prevent duplicate requests
|
|
result, err, _ := s.cacheGroup.Do(cacheKey, func() (interface{}, error) {
|
|
return s.fetchPoolData(normalized)
|
|
})
|
|
|
|
if err != nil {
|
|
return nil, err
|
|
}
|
|
|
|
poolData := result.(*CachedData)
|
|
|
|
// Update cache
|
|
s.cacheMutex.Lock()
|
|
s.cache[cacheKey] = poolData
|
|
s.cacheMutex.Unlock()
|
|
|
|
s.logger.Debug(fmt.Sprintf("Fetched and cached pool data for %s", normalized))
|
|
return poolData, nil
|
|
}
|
|
|
|
// initializePoolBlacklist sets up the initial pool blacklist
|
|
func (s *MarketScanner) initializePoolBlacklist() {
|
|
// Known failing pools on Arbitrum that consistently revert on slot0() calls
|
|
knownFailingPools := []struct {
|
|
address common.Address
|
|
reason string
|
|
}{
|
|
{
|
|
address: common.HexToAddress("0xB1026b8e7276e7AC75410F1fcbbe21796e8f7526"),
|
|
reason: "slot0() consistently reverts - invalid pool contract",
|
|
},
|
|
// Add more known failing pools here as discovered
|
|
}
|
|
|
|
s.blacklistMutex.Lock()
|
|
defer s.blacklistMutex.Unlock()
|
|
|
|
for _, pool := range knownFailingPools {
|
|
s.poolBlacklist[pool.address] = BlacklistReason{
|
|
Reason: pool.reason,
|
|
FailCount: 0,
|
|
LastFailure: time.Time{},
|
|
AddedAt: time.Now(),
|
|
}
|
|
s.logger.Info(fmt.Sprintf("🚫 Blacklisted pool %s: %s", pool.address.Hex(), pool.reason))
|
|
}
|
|
}
|
|
|
|
// isPoolBlacklisted checks if a pool is in the blacklist
|
|
func (s *MarketScanner) isPoolBlacklisted(poolAddr common.Address) (bool, string) {
|
|
s.blacklistMutex.RLock()
|
|
defer s.blacklistMutex.RUnlock()
|
|
|
|
if reason, exists := s.poolBlacklist[poolAddr]; exists {
|
|
return true, reason.Reason
|
|
}
|
|
return false, ""
|
|
}
|
|
|
|
// addToPoolBlacklist adds a pool to the blacklist after repeated failures
|
|
func (s *MarketScanner) addToPoolBlacklist(poolAddr common.Address, reason string) {
|
|
s.blacklistMutex.Lock()
|
|
defer s.blacklistMutex.Unlock()
|
|
|
|
if existing, exists := s.poolBlacklist[poolAddr]; exists {
|
|
// Increment fail count
|
|
existing.FailCount++
|
|
existing.LastFailure = time.Now()
|
|
s.poolBlacklist[poolAddr] = existing
|
|
s.logger.Warn(fmt.Sprintf("🚫 Pool %s blacklist updated (fail count: %d): %s",
|
|
poolAddr.Hex(), existing.FailCount, reason))
|
|
} else {
|
|
// New blacklist entry
|
|
s.poolBlacklist[poolAddr] = BlacklistReason{
|
|
Reason: reason,
|
|
FailCount: 1,
|
|
LastFailure: time.Now(),
|
|
AddedAt: time.Now(),
|
|
}
|
|
s.logger.Warn(fmt.Sprintf("🚫 Pool %s added to blacklist: %s", poolAddr.Hex(), reason))
|
|
}
|
|
}
|
|
|
|
// recordPoolFailure records a pool failure and blacklists after threshold
|
|
func (s *MarketScanner) recordPoolFailure(poolAddr common.Address, errorMsg string) {
|
|
const failureThreshold = 5 // Blacklist after 5 consecutive failures
|
|
|
|
s.blacklistMutex.Lock()
|
|
defer s.blacklistMutex.Unlock()
|
|
|
|
if existing, exists := s.poolBlacklist[poolAddr]; exists {
|
|
// Already blacklisted, just increment counter
|
|
existing.FailCount++
|
|
existing.LastFailure = time.Now()
|
|
s.poolBlacklist[poolAddr] = existing
|
|
} else {
|
|
// Check if we should blacklist this pool
|
|
// Create temporary entry to track failures
|
|
tempEntry := BlacklistReason{
|
|
Reason: errorMsg,
|
|
FailCount: 1,
|
|
LastFailure: time.Now(),
|
|
AddedAt: time.Now(),
|
|
}
|
|
|
|
// If we've seen this pool fail before (would be in cache), increment
|
|
// For now, blacklist after first failure of specific error types
|
|
if strings.Contains(errorMsg, "execution reverted") ||
|
|
strings.Contains(errorMsg, "invalid pool contract") {
|
|
s.poolBlacklist[poolAddr] = tempEntry
|
|
s.logger.Warn(fmt.Sprintf("🚫 Pool %s blacklisted after critical error: %s",
|
|
poolAddr.Hex(), errorMsg))
|
|
}
|
|
}
|
|
}
|
|
|
|
// fetchPoolData fetches pool data from the blockchain
|
|
func (s *MarketScanner) fetchPoolData(poolAddress string) (*CachedData, error) {
|
|
s.logger.Debug(fmt.Sprintf("Fetching pool data for %s", poolAddress))
|
|
|
|
address := common.HexToAddress(poolAddress)
|
|
|
|
// Check blacklist before attempting expensive RPC calls
|
|
if blacklisted, reason := s.isPoolBlacklisted(address); blacklisted {
|
|
s.logger.Debug(fmt.Sprintf("Skipping blacklisted pool %s: %s", poolAddress, reason))
|
|
return nil, fmt.Errorf("pool is blacklisted: %s", reason)
|
|
}
|
|
|
|
// In test environment, return mock data to avoid network calls
|
|
if s.isTestEnvironment() {
|
|
return s.getMockPoolData(poolAddress), nil
|
|
}
|
|
|
|
// Use shared RPC client from contract executor to respect rate limits
|
|
// Creating new clients bypasses rate limiting and causes 429 errors
|
|
var client *ethclient.Client
|
|
if s.contractExecutor != nil {
|
|
client = s.contractExecutor.GetClient()
|
|
}
|
|
|
|
if client == nil {
|
|
// Fallback: create new client only if no shared client available
|
|
rpcEndpoint := os.Getenv("ARBITRUM_RPC_ENDPOINT")
|
|
if rpcEndpoint == "" {
|
|
rpcEndpoint = "wss://arbitrum-mainnet.core.chainstack.com/53c30e7a941160679fdcc396c894fc57"
|
|
}
|
|
var err error
|
|
client, err = ethclient.Dial(rpcEndpoint)
|
|
if err != nil {
|
|
return nil, fmt.Errorf("failed to connect to Ethereum node: %w", err)
|
|
}
|
|
defer client.Close()
|
|
}
|
|
|
|
// Create Uniswap V3 pool interface
|
|
pool := uniswap.NewUniswapV3Pool(address, client)
|
|
|
|
// Validate that this is a real pool contract
|
|
if !uniswap.IsValidPool(context.Background(), client, address) {
|
|
return nil, fmt.Errorf("invalid pool contract at address %s", address.Hex())
|
|
}
|
|
|
|
// Fetch real pool state from the blockchain
|
|
ctx, cancel := context.WithTimeout(context.Background(), 10*time.Second)
|
|
defer cancel()
|
|
|
|
poolState, err := pool.GetPoolState(ctx)
|
|
if err != nil {
|
|
s.logger.Warn(fmt.Sprintf("Failed to fetch real pool state for %s: %v", address.Hex(), err))
|
|
|
|
// Record failure for potential blacklisting
|
|
s.recordPoolFailure(address, err.Error())
|
|
|
|
return nil, fmt.Errorf("failed to fetch pool state: %w", err)
|
|
}
|
|
|
|
// Determine tick spacing based on fee tier
|
|
tickSpacing := 60 // Default for 0.3% fee
|
|
switch poolState.Fee {
|
|
case 100: // 0.01%
|
|
tickSpacing = 1
|
|
case 500: // 0.05%
|
|
tickSpacing = 10
|
|
case 3000: // 0.3%
|
|
tickSpacing = 60
|
|
case 10000: // 1%
|
|
tickSpacing = 200
|
|
}
|
|
|
|
// Determine protocol (assume UniswapV3 for now, could be enhanced to detect protocol)
|
|
protocol := "UniswapV3"
|
|
|
|
// Create pool data from real blockchain state
|
|
poolData := &CachedData{
|
|
Address: address,
|
|
Token0: poolState.Token0,
|
|
Token1: poolState.Token1,
|
|
Fee: poolState.Fee,
|
|
Liquidity: poolState.Liquidity,
|
|
SqrtPriceX96: poolState.SqrtPriceX96,
|
|
Tick: poolState.Tick,
|
|
TickSpacing: tickSpacing,
|
|
Protocol: protocol,
|
|
LastUpdated: time.Now(),
|
|
}
|
|
|
|
liquidityStr := "0"
|
|
if poolState.Liquidity != nil {
|
|
liquidityStr = poolState.Liquidity.String()
|
|
}
|
|
s.logger.Info(fmt.Sprintf("Fetched real pool data for %s: Token0=%s, Token1=%s, Fee=%d, Liquidity=%s",
|
|
address.Hex(), poolState.Token0.Hex(), poolState.Token1.Hex(), poolState.Fee, liquidityStr))
|
|
|
|
return poolData, nil
|
|
}
|
|
|
|
// updatePoolData updates cached pool data from an event
|
|
func (s *MarketScanner) updatePoolData(event events.Event) {
|
|
poolKey := event.PoolAddress.Hex()
|
|
|
|
s.cacheMutex.Lock()
|
|
defer s.cacheMutex.Unlock()
|
|
|
|
// Update existing cache entry or create new one
|
|
if pool, exists := s.cache[poolKey]; exists {
|
|
// Update liquidity if provided
|
|
if event.Liquidity != nil {
|
|
pool.Liquidity = event.Liquidity
|
|
}
|
|
|
|
// Update sqrtPriceX96 if provided
|
|
if event.SqrtPriceX96 != nil {
|
|
pool.SqrtPriceX96 = event.SqrtPriceX96
|
|
}
|
|
|
|
// Update tick if provided
|
|
if event.Tick != 0 {
|
|
pool.Tick = event.Tick
|
|
}
|
|
|
|
// Update last updated time
|
|
pool.LastUpdated = time.Now()
|
|
|
|
// Log updated pool data to database
|
|
s.logPoolData(pool)
|
|
} else {
|
|
// Create new pool entry
|
|
pool := &CachedData{
|
|
Address: event.PoolAddress,
|
|
Token0: event.Token0,
|
|
Token1: event.Token1,
|
|
Fee: 3000, // Default fee since not available in Event struct
|
|
Liquidity: event.Liquidity,
|
|
SqrtPriceX96: event.SqrtPriceX96,
|
|
Tick: event.Tick,
|
|
TickSpacing: getTickSpacing(3000), // Default fee
|
|
Protocol: event.Protocol,
|
|
LastUpdated: time.Now(),
|
|
}
|
|
|
|
s.cache[poolKey] = pool
|
|
|
|
// Log new pool data to database
|
|
s.logPoolData(pool)
|
|
}
|
|
|
|
s.logger.Debug(fmt.Sprintf("Updated cache for pool %s", event.PoolAddress.Hex()))
|
|
}
|
|
|
|
// cleanupCache removes expired cache entries
|
|
func (s *MarketScanner) cleanupCache() {
|
|
ticker := time.NewTicker(10 * time.Minute)
|
|
defer ticker.Stop()
|
|
|
|
for {
|
|
select {
|
|
case <-ticker.C:
|
|
s.cacheMutex.Lock()
|
|
for key, data := range s.cache {
|
|
if time.Since(data.LastUpdated) > s.cacheTTL {
|
|
delete(s.cache, key)
|
|
s.logger.Debug(fmt.Sprintf("Removed expired cache entry: %s", key))
|
|
}
|
|
}
|
|
s.cacheMutex.Unlock()
|
|
}
|
|
}
|
|
}
|
|
|
|
// isTestEnvironment checks if we're running in a test environment
|
|
func (s *MarketScanner) isTestEnvironment() bool {
|
|
// Check for explicit test environment variable
|
|
if os.Getenv("GO_TEST") == "true" {
|
|
return true
|
|
}
|
|
|
|
// Check for testing framework flags
|
|
for _, arg := range os.Args {
|
|
if strings.HasPrefix(arg, "-test.") || arg == "test" {
|
|
return true
|
|
}
|
|
}
|
|
|
|
// Check if the program name is from 'go test'
|
|
progName := os.Args[0]
|
|
if strings.Contains(progName, ".test") || strings.HasSuffix(progName, ".test") {
|
|
return true
|
|
}
|
|
|
|
// Check if running under go test command
|
|
if strings.Contains(progName, "go_build_") && strings.Contains(progName, "_test") {
|
|
return true
|
|
}
|
|
|
|
// Default to production mode - NEVER return true by default
|
|
return false
|
|
}
|
|
|
|
// getMockPoolData returns mock pool data for testing
|
|
func (s *MarketScanner) getMockPoolData(poolAddress string) *CachedData {
|
|
// Create deterministic mock data based on pool address
|
|
mockTokens := tokens.GetArbitrumTokens()
|
|
|
|
// Use different token pairs based on pool address
|
|
var token0, token1 common.Address
|
|
switch poolAddress {
|
|
case "0x88e6A0c2dDD26FEEb64F039a2c41296FcB3f5640":
|
|
token0 = mockTokens.USDC
|
|
token1 = mockTokens.WETH
|
|
case "0xB4e16d0168e52d35CaCD2c6185b44281Ec28C9Dc":
|
|
token0 = mockTokens.USDC
|
|
token1 = mockTokens.WETH
|
|
default:
|
|
token0 = mockTokens.USDC
|
|
token1 = mockTokens.WETH
|
|
}
|
|
|
|
// Convert big.Int to uint256.Int for compatibility
|
|
liquidity := uint256.NewInt(1000000000000000000) // 1 ETH equivalent
|
|
|
|
// Create a reasonable sqrtPriceX96 value for ~2000 USDC per ETH
|
|
sqrtPrice, _ := uint256.FromHex("0x668F0BD9C5DB9D2F2DF6A0E4C") // Reasonable value
|
|
|
|
return &CachedData{
|
|
Address: common.HexToAddress(poolAddress),
|
|
Token0: token0,
|
|
Token1: token1,
|
|
Fee: 3000, // 0.3%
|
|
TickSpacing: 60,
|
|
Liquidity: liquidity,
|
|
SqrtPriceX96: sqrtPrice,
|
|
Tick: -74959, // Corresponds to the sqrt price above
|
|
Protocol: "UniswapV3",
|
|
LastUpdated: time.Now(),
|
|
}
|
|
}
|
|
|
|
// getTickSpacing returns tick spacing based on fee tier
|
|
func getTickSpacing(fee int64) int {
|
|
switch fee {
|
|
case 100: // 0.01%
|
|
return 1
|
|
case 500: // 0.05%
|
|
return 10
|
|
case 3000: // 0.3%
|
|
return 60
|
|
case 10000: // 1%
|
|
return 200
|
|
default:
|
|
return 60 // Default to 0.3% fee spacing
|
|
}
|
|
}
|
|
|
|
// calculateUniswapV3Output calculates swap output using proper Uniswap V3 concentrated liquidity math
|
|
func (s *MarketScanner) calculateUniswapV3Output(amountIn *big.Int, pool *CachedData) (*big.Int, error) {
|
|
// Calculate the new sqrt price after the swap using Uniswap V3 formula
|
|
// Δ√P = (ΔY * √P) / (L + ΔY * √P)
|
|
|
|
sqrtPrice := pool.SqrtPriceX96.ToBig()
|
|
liquidity := pool.Liquidity.ToBig()
|
|
|
|
// Validate amount size for calculations
|
|
if amountIn.BitLen() > 256 {
|
|
return nil, fmt.Errorf("amountIn too large for calculations")
|
|
}
|
|
|
|
// FIXED: Properly scale calculations to avoid overflow
|
|
// Use big.Float for intermediate calculations to handle X96 scaling
|
|
sqrtPriceFloat := new(big.Float).SetInt(sqrtPrice)
|
|
liquidityFloat := new(big.Float).SetInt(liquidity)
|
|
amountInFloat := new(big.Float).SetInt(amountIn)
|
|
|
|
// Q96 constant = 2^96
|
|
Q96 := new(big.Float).SetInt(new(big.Int).Lsh(big.NewInt(1), 96))
|
|
|
|
// Calculate new sqrtPrice: newSqrtPrice = (L * sqrtPrice) / (L + amountIn)
|
|
// Note: This is simplified - proper V3 calculation would account for tick ranges
|
|
numerator := new(big.Float).Mul(liquidityFloat, sqrtPriceFloat)
|
|
denominator := new(big.Float).Add(liquidityFloat, amountInFloat)
|
|
newSqrtPriceFloat := new(big.Float).Quo(numerator, denominator)
|
|
|
|
// Calculate output: amountOut = L * (sqrtPrice - newSqrtPrice) / Q96
|
|
priceDiffFloat := new(big.Float).Sub(sqrtPriceFloat, newSqrtPriceFloat)
|
|
amountOutFloat := new(big.Float).Mul(liquidityFloat, priceDiffFloat)
|
|
amountOutFloat.Quo(amountOutFloat, Q96) // Divide by 2^96 to un-scale
|
|
|
|
// Convert back to big.Int
|
|
amountOut := new(big.Int)
|
|
amountOutFloat.Int(amountOut)
|
|
|
|
// Sanity check: if amountOut is still massive or negative, return error
|
|
if amountOut.BitLen() > 128 || amountOut.Sign() < 0 {
|
|
return nil, fmt.Errorf("calculated amountOut is invalid: %s", amountOut.String())
|
|
}
|
|
|
|
// Apply fee (get fee from pool or default to 3000 = 0.3%)
|
|
fee := pool.Fee
|
|
if fee == 0 {
|
|
fee = 3000 // Default 0.3%
|
|
}
|
|
|
|
// Calculate fee amount
|
|
feeAmount := new(big.Int).Mul(amountOut, big.NewInt(int64(fee)))
|
|
feeAmount = feeAmount.Div(feeAmount, big.NewInt(1000000))
|
|
|
|
// Subtract fee from output
|
|
finalAmountOut := new(big.Int).Sub(amountOut, feeAmount)
|
|
|
|
amountInStr := "0"
|
|
if amountIn != nil {
|
|
amountInStr = amountIn.String()
|
|
}
|
|
amountOutStr := "0"
|
|
if amountOut != nil {
|
|
amountOutStr = amountOut.String()
|
|
}
|
|
finalAmountOutStr := "0"
|
|
if finalAmountOut != nil {
|
|
finalAmountOutStr = finalAmountOut.String()
|
|
}
|
|
s.logger.Debug(fmt.Sprintf("V3 calculation: amountIn=%s, amountOut=%s, fee=%d, finalOut=%s",
|
|
amountInStr, amountOutStr, fee, finalAmountOutStr))
|
|
|
|
return finalAmountOut, nil
|
|
}
|
|
|
|
// calculateFallbackOutput provides fallback calculation when V3 math fails
|
|
func (s *MarketScanner) calculateFallbackOutput(amountIn *big.Int, priceDiff float64) *big.Int {
|
|
// Simple linear approximation based on price difference
|
|
priceDiffInt := big.NewInt(int64(priceDiff * 1000000))
|
|
amountOut := new(big.Int).Mul(amountIn, priceDiffInt)
|
|
amountOut = amountOut.Div(amountOut, big.NewInt(1000000))
|
|
|
|
// Apply standard 0.3% fee
|
|
fee := new(big.Int).Mul(amountOut, big.NewInt(3000))
|
|
fee = fee.Div(fee, big.NewInt(1000000))
|
|
|
|
return new(big.Int).Sub(amountOut, fee)
|
|
}
|
|
|
|
// calculateMarketImpact estimates the market impact of a large trade
|
|
func (s *MarketScanner) calculateMarketImpact(amountIn *big.Int, pool *CachedData) *big.Int {
|
|
if pool.Liquidity == nil {
|
|
return big.NewInt(0)
|
|
}
|
|
|
|
// Market impact increases with trade size relative to liquidity
|
|
liquidity := pool.Liquidity.ToBig()
|
|
|
|
// Calculate impact ratio: amountIn / liquidity
|
|
impactRatio := new(big.Float).Quo(new(big.Float).SetInt(amountIn), new(big.Float).SetInt(liquidity))
|
|
|
|
// Impact increases quadratically for large trades
|
|
impactSquared := new(big.Float).Mul(impactRatio, impactRatio)
|
|
|
|
// Convert back to wei amount (impact as percentage of trade)
|
|
impact := new(big.Float).Mul(new(big.Float).SetInt(amountIn), impactSquared)
|
|
result := new(big.Int)
|
|
impact.Int(result)
|
|
|
|
// Cap maximum impact at 10% of trade size
|
|
maxImpact := new(big.Int).Div(amountIn, big.NewInt(10))
|
|
if result.Cmp(maxImpact) > 0 {
|
|
result = maxImpact
|
|
}
|
|
|
|
return result
|
|
}
|
|
|
|
// calculateDynamicGasCost calculates gas cost based on current network conditions
|
|
func (s *MarketScanner) calculateDynamicGasCost(event events.Event, pool *CachedData) *big.Int {
|
|
// Base gas costs for different operation types
|
|
baseGas := big.NewInt(200000) // Simple swap
|
|
|
|
// Increase gas for complex operations
|
|
if pool.Fee == 500 { // V3 concentrated position
|
|
baseGas = big.NewInt(350000)
|
|
} else if event.Protocol == "UniswapV3" { // V3 operations generally more expensive
|
|
baseGas = big.NewInt(300000)
|
|
}
|
|
|
|
// Get current gas price (simplified - in production would fetch from network)
|
|
gasPrice := big.NewInt(2000000000) // 2 gwei base
|
|
|
|
// Add priority fee for MEV transactions
|
|
priorityFee := big.NewInt(5000000000) // 5 gwei priority
|
|
totalGasPrice := new(big.Int).Add(gasPrice, priorityFee)
|
|
|
|
// Calculate total gas cost
|
|
gasCost := new(big.Int).Mul(baseGas, totalGasPrice)
|
|
|
|
s.logger.Debug(fmt.Sprintf("Gas calculation: baseGas=%s, gasPrice=%s, totalCost=%s",
|
|
baseGas.String(), totalGasPrice.String(), gasCost.String()))
|
|
|
|
return gasCost
|
|
}
|
|
|
|
// calculateMEVPremium calculates the premium needed to compete with other MEV bots
|
|
func (s *MarketScanner) calculateMEVPremium(grossProfit *big.Int, priceDiff float64) *big.Int {
|
|
// MEV premium increases with profit potential
|
|
profitFloat := new(big.Float).SetInt(grossProfit)
|
|
|
|
// Base premium: 5% of gross profit
|
|
basePremium := new(big.Float).Mul(profitFloat, big.NewFloat(0.05))
|
|
|
|
// Increase premium for highly profitable opportunities (more competition)
|
|
if priceDiff > 0.02 { // > 2% price difference
|
|
competitionMultiplier := big.NewFloat(1.5 + priceDiff*10) // Scale with opportunity
|
|
basePremium.Mul(basePremium, competitionMultiplier)
|
|
}
|
|
|
|
// Convert to big.Int
|
|
premium := new(big.Int)
|
|
basePremium.Int(premium)
|
|
|
|
// Cap premium at 30% of gross profit
|
|
maxPremium := new(big.Int).Div(grossProfit, big.NewInt(3))
|
|
if premium.Cmp(maxPremium) > 0 {
|
|
premium = maxPremium
|
|
}
|
|
|
|
return premium
|
|
}
|
|
|
|
// calculateSlippageTolerance calculates acceptable slippage for the trade
|
|
func (s *MarketScanner) calculateSlippageTolerance(amountIn *big.Int, pool *CachedData) *big.Int {
|
|
// Base slippage tolerance: 0.5%
|
|
baseSlippage := new(big.Float).Mul(new(big.Float).SetInt(amountIn), big.NewFloat(0.005))
|
|
|
|
// Increase slippage tolerance for larger trades relative to liquidity
|
|
if pool.Liquidity != nil {
|
|
liquidity := pool.Liquidity.ToBig()
|
|
tradeRatio := new(big.Float).Quo(new(big.Float).SetInt(amountIn), new(big.Float).SetInt(liquidity))
|
|
|
|
// If trade is > 1% of liquidity, increase slippage tolerance
|
|
if ratio, _ := tradeRatio.Float64(); ratio > 0.01 {
|
|
multiplier := big.NewFloat(1 + ratio*5) // Scale slippage with trade size
|
|
baseSlippage.Mul(baseSlippage, multiplier)
|
|
}
|
|
}
|
|
|
|
// Convert to big.Int
|
|
slippage := new(big.Int)
|
|
baseSlippage.Int(slippage)
|
|
|
|
// Cap maximum slippage at 2% of trade amount
|
|
maxSlippage := new(big.Int).Div(amountIn, big.NewInt(50)) // 2%
|
|
if slippage.Cmp(maxSlippage) > 0 {
|
|
slippage = maxSlippage
|
|
}
|
|
|
|
return slippage
|
|
}
|
|
|
|
// getFactoryForProtocol returns the factory address for a known DEX protocol
|
|
func (s *MarketScanner) getFactoryForProtocol(protocol string) common.Address {
|
|
// Known factory addresses on Arbitrum
|
|
knownFactories := map[string]common.Address{
|
|
"UniswapV3": common.HexToAddress("0x1F98431c8aD98523631AE4a59f267346ea31F984"),
|
|
"UniswapV2": common.HexToAddress("0xc35DADB65012eC5796536bD9864eD8773aBc74C4"), // SushiSwap V2 factory
|
|
"SushiSwap": common.HexToAddress("0xc35DADB65012eC5796536bD9864eD8773aBc74C4"),
|
|
"Camelot": common.HexToAddress("0x6EcCab422D763aC031210895C81787E87B82A80f"),
|
|
"TraderJoe": common.HexToAddress("0xaE4EC9901c3076D0DdBe76A520F9E90a6227aCB7"),
|
|
"Balancer": common.HexToAddress("0xBA12222222228d8Ba445958a75a0704d566BF2C8"),
|
|
"Curve": common.HexToAddress("0x445FE580eF8d70FF569aB36e80c647af338db351"),
|
|
}
|
|
|
|
if factory, exists := knownFactories[protocol]; exists {
|
|
return factory
|
|
}
|
|
|
|
// Default to UniswapV3 if unknown
|
|
return knownFactories["UniswapV3"]
|
|
}
|
|
|
|
// GetMarketDataLogger returns the market data logger
|
|
func (s *MarketScanner) GetMarketDataLogger() *marketdata.MarketDataLogger {
|
|
return s.marketDataLogger
|
|
}
|
|
|
|
// GetProfitCalculator returns the profit calculator
|
|
func (s *MarketScanner) GetProfitCalculator() *profitcalc.ProfitCalculator {
|
|
return s.profitCalculator
|
|
}
|
|
|
|
// GetOpportunityRanker returns the opportunity ranker
|
|
func (s *MarketScanner) GetOpportunityRanker() *profitcalc.OpportunityRanker {
|
|
return s.opportunityRanker
|
|
}
|
|
|
|
// GetPoolData retrieves pool data with caching
|
|
func (s *MarketScanner) GetPoolData(poolAddress string) (*CachedData, error) {
|
|
return s.getPoolData(poolAddress)
|
|
}
|
|
|
|
// UpdatePoolData updates cached pool data from an event
|
|
func (s *MarketScanner) UpdatePoolData(event events.Event) {
|
|
s.updatePoolData(event)
|
|
}
|
|
|
|
// IsSignificantMovement determines if a price movement is significant enough to exploit
|
|
func (s *MarketScanner) IsSignificantMovement(movement *PriceMovement, threshold float64) bool {
|
|
return s.isSignificantMovement(movement, threshold)
|
|
}
|
|
|
|
// FindRelatedPools finds pools that trade the same token pair
|
|
func (s *MarketScanner) FindRelatedPools(token0, token1 common.Address) []*CachedData {
|
|
return s.findRelatedPools(token0, token1)
|
|
}
|
|
|
|
// EstimateProfit estimates the potential profit from an arbitrage opportunity using real slippage protection
|
|
func (s *MarketScanner) EstimateProfit(event events.Event, pool *CachedData, priceDiff float64) *big.Int {
|
|
return s.estimateProfit(event, pool, priceDiff)
|
|
}
|
|
|
|
// FindTriangularArbitrageOpportunities looks for triangular arbitrage opportunities
|
|
func (s *MarketScanner) FindTriangularArbitrageOpportunities(event events.Event) []stypes.ArbitrageOpportunity {
|
|
return s.findTriangularArbitrageOpportunities(event)
|
|
}
|
|
|
|
// ExecuteArbitrageOpportunity executes an arbitrage opportunity using the smart contract
|
|
func (s *MarketScanner) ExecuteArbitrageOpportunity(opportunity stypes.ArbitrageOpportunity) {
|
|
s.executeArbitrageOpportunity(opportunity)
|
|
}
|
|
|
|
// LogSwapEvent logs a swap event to the database
|
|
func (s *MarketScanner) LogSwapEvent(event events.Event) {
|
|
s.logSwapEvent(event)
|
|
}
|
|
|
|
// LogLiquidityEvent logs a liquidity event to the database
|
|
func (s *MarketScanner) LogLiquidityEvent(event events.Event, eventType string) {
|
|
s.logLiquidityEvent(event, eventType)
|
|
}
|
|
|
|
// LogPoolData logs pool data to the database
|
|
func (s *MarketScanner) LogPoolData(poolData *CachedData) {
|
|
s.logPoolData(poolData)
|
|
}
|
|
|
|
// GetFactoryForProtocol returns the factory address for a known DEX protocol
|
|
func (s *MarketScanner) GetFactoryForProtocol(protocol string) common.Address {
|
|
return s.getFactoryForProtocol(protocol)
|
|
}
|
|
|
|
// Config returns the scanner's configuration
|
|
func (s *MarketScanner) Config() *config.BotConfig {
|
|
return s.config
|
|
}
|