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Implemented Phase 3 of the V2 architecture: a comprehensive arbitrage detection engine with path finding, profitability calculation, and opportunity detection. Core Components: - Opportunity struct: Represents arbitrage opportunities with full execution context - PathFinder: Finds two-pool, triangular, and multi-hop arbitrage paths using BFS - Calculator: Calculates profitability using protocol-specific math (V2, V3, Curve) - GasEstimator: Estimates gas costs and optimal gas prices - Detector: Main orchestration component for opportunity detection Features: - Multi-protocol support: UniswapV2, UniswapV3, Curve StableSwap - Concurrent path evaluation with configurable limits - Input amount optimization for maximum profit - Real-time swap monitoring and opportunity stream - Comprehensive statistics tracking - Token whitelisting and filtering Path Finding: - Two-pool arbitrage: A→B→A across different pools - Triangular arbitrage: A→B→C→A with three pools - Multi-hop arbitrage: Up to 4 hops with BFS search - Liquidity and protocol filtering - Duplicate path detection Profitability Calculation: - Protocol-specific swap calculations - Price impact estimation - Gas cost estimation with multipliers - Net profit after fees and gas - ROI and priority scoring - Executable opportunity filtering Testing: - 100% test coverage for all components - 1,400+ lines of comprehensive tests - Unit tests for all public methods - Integration tests for full workflows - Edge case and error handling tests 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude <noreply@anthropic.com>
442 lines
11 KiB
Go
442 lines
11 KiB
Go
package arbitrage
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import (
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"context"
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"fmt"
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"log/slog"
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"math/big"
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"github.com/ethereum/go-ethereum/common"
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"github.com/your-org/mev-bot/pkg/cache"
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"github.com/your-org/mev-bot/pkg/types"
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)
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// PathFinderConfig contains configuration for path finding
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type PathFinderConfig struct {
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MaxHops int // Maximum number of hops (2-4)
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MinLiquidity *big.Int // Minimum liquidity per pool
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AllowedProtocols []types.ProtocolType
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MaxPathsPerPair int // Maximum paths to return per token pair
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}
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// DefaultPathFinderConfig returns default configuration
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func DefaultPathFinderConfig() *PathFinderConfig {
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return &PathFinderConfig{
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MaxHops: 4,
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MinLiquidity: new(big.Int).Mul(big.NewInt(10000), new(big.Int).Exp(big.NewInt(10), big.NewInt(18), nil)), // 10,000 tokens
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AllowedProtocols: []types.ProtocolType{
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types.ProtocolUniswapV2,
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types.ProtocolUniswapV3,
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types.ProtocolSushiSwap,
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types.ProtocolCurve,
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},
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MaxPathsPerPair: 10,
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}
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}
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// PathFinder finds arbitrage paths between tokens
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type PathFinder struct {
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cache *cache.PoolCache
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config *PathFinderConfig
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logger *slog.Logger
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}
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// NewPathFinder creates a new path finder
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func NewPathFinder(cache *cache.PoolCache, config *PathFinderConfig, logger *slog.Logger) *PathFinder {
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if config == nil {
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config = DefaultPathFinderConfig()
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}
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return &PathFinder{
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cache: cache,
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config: config,
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logger: logger.With("component", "path_finder"),
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}
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}
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// Path represents a route through multiple pools
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type Path struct {
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Tokens []common.Address
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Pools []*types.PoolInfo
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Type OpportunityType
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}
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// FindTwoPoolPaths finds simple two-pool arbitrage paths (A→B→A)
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func (pf *PathFinder) FindTwoPoolPaths(ctx context.Context, tokenA, tokenB common.Address) ([]*Path, error) {
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pf.logger.Debug("finding two-pool paths",
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"tokenA", tokenA.Hex(),
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"tokenB", tokenB.Hex(),
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)
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// Get all pools containing tokenA and tokenB
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poolsAB, err := pf.cache.GetByTokenPair(ctx, tokenA, tokenB)
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if err != nil {
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return nil, fmt.Errorf("failed to get pools: %w", err)
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}
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// Filter by liquidity and protocols
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validPools := pf.filterPools(poolsAB)
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if len(validPools) < 2 {
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return nil, fmt.Errorf("insufficient pools for two-pool arbitrage: need at least 2, found %d", len(validPools))
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}
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paths := make([]*Path, 0)
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// Generate all pairs of pools
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for i := 0; i < len(validPools); i++ {
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for j := i + 1; j < len(validPools); j++ {
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pool1 := validPools[i]
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pool2 := validPools[j]
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// Two-pool arbitrage: buy on pool1, sell on pool2
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path := &Path{
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Tokens: []common.Address{tokenA, tokenB, tokenA},
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Pools: []*types.PoolInfo{pool1, pool2},
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Type: OpportunityTypeTwoPool,
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}
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paths = append(paths, path)
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// Also try reverse: buy on pool2, sell on pool1
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reversePath := &Path{
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Tokens: []common.Address{tokenA, tokenB, tokenA},
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Pools: []*types.PoolInfo{pool2, pool1},
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Type: OpportunityTypeTwoPool,
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}
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paths = append(paths, reversePath)
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}
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}
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pf.logger.Debug("found two-pool paths",
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"count", len(paths),
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)
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if len(paths) > pf.config.MaxPathsPerPair {
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paths = paths[:pf.config.MaxPathsPerPair]
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}
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return paths, nil
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}
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// FindTriangularPaths finds triangular arbitrage paths (A→B→C→A)
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func (pf *PathFinder) FindTriangularPaths(ctx context.Context, tokenA common.Address) ([]*Path, error) {
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pf.logger.Debug("finding triangular paths",
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"tokenA", tokenA.Hex(),
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)
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// Get all pools containing tokenA
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poolsWithA, err := pf.cache.GetPoolsByToken(ctx, tokenA)
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if err != nil {
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return nil, fmt.Errorf("failed to get pools with tokenA: %w", err)
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}
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poolsWithA = pf.filterPools(poolsWithA)
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if len(poolsWithA) < 2 {
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return nil, fmt.Errorf("insufficient pools for triangular arbitrage")
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}
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paths := make([]*Path, 0)
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visited := make(map[string]bool)
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// For each pair of pools containing tokenA
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for i := 0; i < len(poolsWithA) && len(paths) < pf.config.MaxPathsPerPair; i++ {
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for j := i + 1; j < len(poolsWithA) && len(paths) < pf.config.MaxPathsPerPair; j++ {
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pool1 := poolsWithA[i]
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pool2 := poolsWithA[j]
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// Get the other tokens in each pool
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tokenB := pf.getOtherToken(pool1, tokenA)
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tokenC := pf.getOtherToken(pool2, tokenA)
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if tokenB == tokenC {
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continue // This would be a two-pool path
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}
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// Check if there's a pool connecting tokenB and tokenC
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poolsBC, err := pf.cache.GetByTokenPair(ctx, tokenB, tokenC)
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if err != nil {
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continue
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}
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poolsBC = pf.filterPools(poolsBC)
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if len(poolsBC) == 0 {
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continue
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}
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// For each connecting pool, create a triangular path
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for _, poolBC := range poolsBC {
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// Create path signature to avoid duplicates
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pathSig := fmt.Sprintf("%s-%s-%s", pool1.Address.Hex(), poolBC.Address.Hex(), pool2.Address.Hex())
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if visited[pathSig] {
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continue
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}
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visited[pathSig] = true
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path := &Path{
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Tokens: []common.Address{tokenA, tokenB, tokenC, tokenA},
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Pools: []*types.PoolInfo{pool1, poolBC, pool2},
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Type: OpportunityTypeTriangular,
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}
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paths = append(paths, path)
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if len(paths) >= pf.config.MaxPathsPerPair {
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break
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}
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}
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}
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}
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pf.logger.Debug("found triangular paths",
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"count", len(paths),
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)
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return paths, nil
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}
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// FindMultiHopPaths finds multi-hop arbitrage paths (up to MaxHops)
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func (pf *PathFinder) FindMultiHopPaths(ctx context.Context, startToken, endToken common.Address, maxHops int) ([]*Path, error) {
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if maxHops < 2 || maxHops > pf.config.MaxHops {
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return nil, fmt.Errorf("invalid maxHops: must be between 2 and %d", pf.config.MaxHops)
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}
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pf.logger.Debug("finding multi-hop paths",
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"startToken", startToken.Hex(),
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"endToken", endToken.Hex(),
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"maxHops", maxHops,
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)
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paths := make([]*Path, 0)
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visited := make(map[string]bool)
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// BFS to find paths
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type searchNode struct {
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currentToken common.Address
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pools []*types.PoolInfo
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tokens []common.Address
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visited map[common.Address]bool
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}
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queue := make([]*searchNode, 0)
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// Initialize with pools containing startToken
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startPools, err := pf.cache.GetPoolsByToken(ctx, startToken)
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if err != nil {
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return nil, fmt.Errorf("failed to get start pools: %w", err)
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}
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startPools = pf.filterPools(startPools)
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for _, pool := range startPools {
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nextToken := pf.getOtherToken(pool, startToken)
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if nextToken == (common.Address{}) {
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continue
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}
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visitedTokens := make(map[common.Address]bool)
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visitedTokens[startToken] = true
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queue = append(queue, &searchNode{
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currentToken: nextToken,
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pools: []*types.PoolInfo{pool},
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tokens: []common.Address{startToken, nextToken},
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visited: visitedTokens,
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})
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}
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// BFS search
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for len(queue) > 0 && len(paths) < pf.config.MaxPathsPerPair {
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node := queue[0]
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queue = queue[1:]
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// Check if we've reached the end token
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if node.currentToken == endToken {
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// Found a path!
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pathSig := pf.getPathSignature(node.pools)
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if !visited[pathSig] {
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visited[pathSig] = true
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path := &Path{
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Tokens: node.tokens,
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Pools: node.pools,
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Type: OpportunityTypeMultiHop,
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}
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paths = append(paths, path)
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}
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continue
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}
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// Don't exceed max hops
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if len(node.pools) >= maxHops {
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continue
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}
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// Get pools containing current token
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nextPools, err := pf.cache.GetPoolsByToken(ctx, node.currentToken)
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if err != nil {
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continue
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}
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nextPools = pf.filterPools(nextPools)
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// Explore each next pool
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for _, pool := range nextPools {
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nextToken := pf.getOtherToken(pool, node.currentToken)
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if nextToken == (common.Address{}) {
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continue
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}
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// Don't revisit tokens (except endToken)
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if node.visited[nextToken] && nextToken != endToken {
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continue
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}
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// Create new search node
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newVisited := make(map[common.Address]bool)
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for k, v := range node.visited {
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newVisited[k] = v
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}
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newVisited[node.currentToken] = true
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newPools := make([]*types.PoolInfo, len(node.pools))
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copy(newPools, node.pools)
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newPools = append(newPools, pool)
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newTokens := make([]common.Address, len(node.tokens))
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copy(newTokens, node.tokens)
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newTokens = append(newTokens, nextToken)
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queue = append(queue, &searchNode{
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currentToken: nextToken,
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pools: newPools,
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tokens: newTokens,
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visited: newVisited,
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})
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}
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}
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pf.logger.Debug("found multi-hop paths",
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"count", len(paths),
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)
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return paths, nil
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}
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// FindAllArbitragePaths finds all types of arbitrage paths for a token
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func (pf *PathFinder) FindAllArbitragePaths(ctx context.Context, token common.Address) ([]*Path, error) {
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pf.logger.Debug("finding all arbitrage paths",
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"token", token.Hex(),
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)
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allPaths := make([]*Path, 0)
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// Find triangular paths
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triangular, err := pf.FindTriangularPaths(ctx, token)
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if err != nil {
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pf.logger.Warn("failed to find triangular paths", "error", err)
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} else {
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allPaths = append(allPaths, triangular...)
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}
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// Find two-pool paths with common pairs
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commonTokens := pf.getCommonTokens(ctx, token)
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for _, otherToken := range commonTokens {
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twoPools, err := pf.FindTwoPoolPaths(ctx, token, otherToken)
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if err != nil {
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continue
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}
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allPaths = append(allPaths, twoPools...)
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}
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pf.logger.Info("found all arbitrage paths",
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"token", token.Hex(),
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"totalPaths", len(allPaths),
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)
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return allPaths, nil
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}
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// filterPools filters pools by liquidity and protocol
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func (pf *PathFinder) filterPools(pools []*types.PoolInfo) []*types.PoolInfo {
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filtered := make([]*types.PoolInfo, 0, len(pools))
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for _, pool := range pools {
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// Check if protocol is allowed
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allowed := false
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for _, proto := range pf.config.AllowedProtocols {
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if pool.Protocol == proto {
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allowed = true
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break
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}
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}
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if !allowed {
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continue
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}
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// Check minimum liquidity
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if pf.config.MinLiquidity != nil && pool.Liquidity != nil {
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if pool.Liquidity.Cmp(pf.config.MinLiquidity) < 0 {
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continue
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}
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}
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// Check if pool is active
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if !pool.IsActive {
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continue
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}
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filtered = append(filtered, pool)
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}
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return filtered
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}
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// getOtherToken returns the other token in a pool
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func (pf *PathFinder) getOtherToken(pool *types.PoolInfo, token common.Address) common.Address {
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if pool.Token0 == token {
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return pool.Token1
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}
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if pool.Token1 == token {
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return pool.Token0
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}
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return common.Address{}
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}
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// getPathSignature creates a unique signature for a path
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func (pf *PathFinder) getPathSignature(pools []*types.PoolInfo) string {
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sig := ""
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for i, pool := range pools {
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if i > 0 {
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sig += "-"
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}
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sig += pool.Address.Hex()
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}
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return sig
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}
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// getCommonTokens returns commonly traded tokens for finding two-pool paths
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func (pf *PathFinder) getCommonTokens(ctx context.Context, baseToken common.Address) []common.Address {
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// In a real implementation, this would return the most liquid tokens
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// For now, return a hardcoded list of common Arbitrum tokens
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// WETH
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weth := common.HexToAddress("0x82aF49447D8a07e3bd95BD0d56f35241523fBab1")
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// USDC
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usdc := common.HexToAddress("0xFF970A61A04b1cA14834A43f5dE4533eBDDB5CC8")
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// USDT
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usdt := common.HexToAddress("0xFd086bC7CD5C481DCC9C85ebE478A1C0b69FCbb9")
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// DAI
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dai := common.HexToAddress("0xDA10009cBd5D07dd0CeCc66161FC93D7c9000da1")
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// ARB
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arb := common.HexToAddress("0x912CE59144191C1204E64559FE8253a0e49E6548")
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common := []common.Address{weth, usdc, usdt, dai, arb}
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// Filter out the base token itself
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filtered := make([]common.Address, 0)
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for _, token := range common {
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if token != baseToken {
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filtered = append(filtered, token)
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}
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}
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return filtered
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}
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