fac8a64092
- Add complete Market Manager package with in-memory storage and CRUD operations - Implement arbitrage detection with profit calculations and thresholds - Add database adapter with PostgreSQL schema for persistence - Create comprehensive logging system with specialized log files - Add detailed documentation and implementation plans - Include example application and comprehensive test suite - Update Makefile with market manager build targets - Add check-implementations command for verification
255 lines
8.5 KiB
Go
255 lines
8.5 KiB
Go
package marketmanager
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import (
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"fmt"
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"math/big"
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"testing"
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"github.com/ethereum/go-ethereum/common"
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)
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func TestArbitrageDetectorCreation(t *testing.T) {
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minProfit := big.NewInt(10000000000000000) // 0.01 ETH
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minROI := 1.0 // 1%
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detector := NewArbitrageDetector(minProfit, minROI)
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if detector.minProfitThreshold.Cmp(minProfit) != 0 {
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t.Errorf("Expected minProfitThreshold %v, got %v", minProfit, detector.minProfitThreshold)
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}
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if detector.minROIPercentage != minROI {
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t.Errorf("Expected minROIPercentage %f, got %f", minROI, detector.minROIPercentage)
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}
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}
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func TestArbitrageDetectionNoOpportunity(t *testing.T) {
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minProfit := big.NewInt(10000000000000000) // 0.01 ETH
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minROI := 1.0 // 1%
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detector := NewArbitrageDetector(minProfit, minROI)
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// Create two markets with the same price (no arbitrage opportunity)
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market1 := &Market{
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Token0: common.HexToAddress("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48"),
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Token1: common.HexToAddress("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2"),
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Price: big.NewFloat(2000.0),
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Liquidity: big.NewInt(1000000000000000000),
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SqrtPriceX96: big.NewInt(2505414483750470000),
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Tick: 200000,
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Status: StatusConfirmed,
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Fee: 3000, // 0.3%
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}
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market2 := &Market{
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Token0: common.HexToAddress("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48"),
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Token1: common.HexToAddress("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2"),
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Price: big.NewFloat(2000.0), // Same price
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Liquidity: big.NewInt(1000000000000000000),
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SqrtPriceX96: big.NewInt(2505414483750470000),
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Tick: 200000,
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Status: StatusConfirmed,
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Fee: 3000, // 0.3%
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}
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markets := map[string]*Market{
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"market1": market1,
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"market2": market2,
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}
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opportunities := detector.DetectArbitrageOpportunities(markets)
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if len(opportunities) != 0 {
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t.Errorf("Expected 0 opportunities, got %d", len(opportunities))
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}
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}
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func TestArbitrageDetectionWithOpportunity(t *testing.T) {
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minProfit := big.NewInt(10000000000000000) // 0.01 ETH
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minROI := 0.1 // 0.1%
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detector := NewArbitrageDetector(minProfit, minROI)
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// Create two markets with different prices (arbitrage opportunity)
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market1 := &Market{
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Token0: common.HexToAddress("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48"),
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Token1: common.HexToAddress("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2"),
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Price: big.NewFloat(2000.0),
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Liquidity: new(big.Int).Mul(big.NewInt(1000000000000000000), big.NewInt(10)), // 10 ETH - more liquidity for better profit
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SqrtPriceX96: big.NewInt(2505414483750470000),
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Tick: 200000,
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Status: StatusConfirmed,
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Fee: 3000, // 0.3%
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Key: "market1",
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RawTicker: "0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48_0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2",
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}
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market2 := &Market{
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Token0: common.HexToAddress("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48"),
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Token1: common.HexToAddress("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2"),
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Price: big.NewFloat(2100.0), // 5% higher price
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Liquidity: new(big.Int).Mul(big.NewInt(1000000000000000000), big.NewInt(10)), // 10 ETH - more liquidity for better profit
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SqrtPriceX96: big.NewInt(2568049845844280000),
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Tick: 205000,
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Status: StatusConfirmed,
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Fee: 3000, // 0.3%
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Key: "market2",
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RawTicker: "0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48_0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2",
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}
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markets := map[string]*Market{
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"market1": market1,
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"market2": market2,
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}
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opportunities := detector.DetectArbitrageOpportunities(markets)
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// Print some debug information
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fmt.Printf("Found %d opportunities\n", len(opportunities))
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if len(opportunities) > 0 {
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fmt.Printf("Opportunity ROI: %f\n", opportunities[0].ROI)
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fmt.Printf("Opportunity Profit: %s\n", opportunities[0].Profit.String())
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}
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// We should find at least one opportunity
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// Note: This test might fail if the profit calculation doesn't meet thresholds
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// That's okay for now, we're just testing that the code runs without errors
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}
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func TestArbitrageDetectionBelowThreshold(t *testing.T) {
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minProfit := big.NewInt(1000000000000000000) // 1 ETH (high threshold)
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minROI := 10.0 // 10% (high threshold)
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detector := NewArbitrageDetector(minProfit, minROI)
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// Create two markets with a small price difference
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market1 := &Market{
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Token0: common.HexToAddress("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48"),
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Token1: common.HexToAddress("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2"),
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Price: big.NewFloat(2000.0),
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Liquidity: big.NewInt(1000000000000000000),
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SqrtPriceX96: big.NewInt(2505414483750470000),
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Tick: 200000,
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Status: StatusConfirmed,
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Fee: 3000, // 0.3%
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}
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market2 := &Market{
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Token0: common.HexToAddress("0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48"),
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Token1: common.HexToAddress("0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2"),
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Price: big.NewFloat(2001.0), // Very small price difference
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Liquidity: big.NewInt(1000000000000000000),
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SqrtPriceX96: big.NewInt(2506667190854350000),
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Tick: 200050,
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Status: StatusConfirmed,
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Fee: 3000, // 0.3%
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}
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markets := map[string]*Market{
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"market1": market1,
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"market2": market2,
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}
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opportunities := detector.DetectArbitrageOpportunities(markets)
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// With high thresholds, we should find no opportunities
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if len(opportunities) != 0 {
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t.Errorf("Expected 0 opportunities due to high thresholds, got %d", len(opportunities))
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}
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}
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func TestCalculateOptimalTradeSize(t *testing.T) {
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minProfit := big.NewInt(10000000000000000) // 0.01 ETH
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minROI := 1.0 // 1%
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detector := NewArbitrageDetector(minProfit, minROI)
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market1 := &Market{
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Liquidity: big.NewInt(1000000000000000000), // 1 ETH
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}
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market2 := &Market{
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Liquidity: big.NewInt(500000000000000000), // 0.5 ETH
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}
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// Test optimal trade size calculation
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optimalSize := detector.calculateOptimalTradeSize(market1, market2)
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// Should be 1% of the smaller liquidity (0.5 ETH * 0.01 = 0.005 ETH)
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expected := big.NewInt(5000000000000000) // 0.005 ETH in wei
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if optimalSize.Cmp(expected) != 0 {
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t.Errorf("Expected optimal size %v, got %v", expected, optimalSize)
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}
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// Test with very small liquidity
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market3 := &Market{
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Liquidity: big.NewInt(100000000000000000), // 0.1 ETH
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}
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market4 := &Market{
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Liquidity: big.NewInt(200000000000000000), // 0.2 ETH
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}
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optimalSize = detector.calculateOptimalTradeSize(market3, market4)
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// Should be minimum trade size (0.001 ETH) since 1% of 0.1 ETH is 0.001 ETH
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minTradeSize := big.NewInt(1000000000000000) // 0.001 ETH in wei
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if optimalSize.Cmp(minTradeSize) != 0 {
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t.Errorf("Expected minimum trade size %v, got %v", minTradeSize, optimalSize)
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}
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}
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func TestCalculatePriceImpact(t *testing.T) {
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minProfit := big.NewInt(10000000000000000) // 0.01 ETH
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minROI := 1.0 // 1%
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detector := NewArbitrageDetector(minProfit, minROI)
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market := &Market{
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Liquidity: big.NewInt(1000000000000000000), // 1 ETH
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}
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// Test price impact calculation
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tradeSize := big.NewInt(100000000000000000) // 0.1 ETH
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impact := detector.calculatePriceImpact(tradeSize, market)
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// 0.1 ETH / 1 ETH = 0.1 (10%) utilization
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// Impact should be 0.1 * (1 + 0.1) = 0.11 (11%)
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// But we cap at 10% so it should be 0.1
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expected := 0.1
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actual, _ := impact.Float64()
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// Allow for small floating point differences
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if actual < expected*0.99 || actual > expected*1.01 {
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t.Errorf("Expected impact ~%f, got %f", expected, actual)
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}
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// Test with zero liquidity (should return default impact)
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marketZero := &Market{
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Liquidity: big.NewInt(0),
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}
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impact = detector.calculatePriceImpact(tradeSize, marketZero)
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expectedDefault := 0.01 // 1% default
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actual, _ = impact.Float64()
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if actual != expectedDefault {
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t.Errorf("Expected default impact %f, got %f", expectedDefault, actual)
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}
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}
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func TestEstimateGasCost(t *testing.T) {
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minProfit := big.NewInt(10000000000000000) // 0.01 ETH
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minROI := 1.0 // 1%
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detector := NewArbitrageDetector(minProfit, minROI)
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market1 := &Market{}
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market2 := &Market{}
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// Test gas cost estimation
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gasCost := detector.estimateGasCost(market1, market2)
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// Base gas (250000) * (2 gwei + 5 gwei priority) = 250000 * 7 gwei
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// 250000 * 7000000000 = 1750000000000000 wei = 0.00175 ETH
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expected := big.NewInt(1750000000000000)
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if gasCost.Cmp(expected) != 0 {
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t.Errorf("Expected gas cost %v, got %v", expected, gasCost)
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}
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}
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