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Merge pull request #112 from tetu-io/alien-dev
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extract debt cost by profitability script
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@belbix
belbix authored Oct 19, 2023
2 parents 8bd8cdb + 169a1d8 commit da7894f
Showing 1 changed file with 103 additions and 11 deletions.
114 changes: 103 additions & 11 deletions scripts/profitability.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -3,23 +3,71 @@ import {formatUnits, parseUnits} from "ethers/lib/utils";
import {getApr} from "./uniswapV3Backtester/strategyBacktest";
import {writeFileSyncRestoreFolder} from "../test/baseUT/utils/FileUtils";
import fs, {writeFileSync} from "fs";
import {MaticAddresses} from "./addresses/MaticAddresses";
import {EnvSetup} from "./utils/EnvSetup";
import {ethers} from "hardhat";
import {
IPairBasedDefaultStateProvider__factory,
ITetuConverter__factory, ITetuLiquidator__factory,
} from "../typechain";
import {JsonRpcProvider} from "@ethersproject/providers/src.ts/json-rpc-provider";
import {BigNumber} from "ethers";

const whitelistedVaultsForInvesting = ['tUSDC',]
const SUBGRAPH = 'https://api.thegraph.com/subgraphs/name/a17/tetu-v2'
const SUBGRAPH = 'https://api.thegraph.com/subgraphs/name/a17/tetu-v2?version=pending'
const CONVERTER = MaticAddresses.TETU_CONVERTER

interface IDebtState {
tokenACollateral: string
tokenADebt: string
tokenBCollateral: string
tokenBDebt: string
}

async function getDebtState(
strategyAddress: string,
tokenA: string,
tokenB: string,
block: number,
provider: JsonRpcProvider
): Promise<IDebtState> {
const d: IDebtState = {
tokenACollateral: '0',
tokenADebt: '0',
tokenBCollateral: '0',
tokenBDebt: '0',
}

const converter = ITetuConverter__factory.connect(CONVERTER, provider)

const rAB = await converter.getDebtAmountStored(strategyAddress, tokenA, tokenB, false, {blockTag: block})
const rBA = await converter.getDebtAmountStored(strategyAddress, tokenB, tokenA, false, {blockTag: block})
d.tokenBDebt = rAB[0]
d.tokenACollateral = rAB[1]
d.tokenADebt = rBA[0]
d.tokenBCollateral = rBA[1]
return d
}

async function main() {
console.log('Tetu V2 strategies profitability');

const rpc = EnvSetup.getEnv().maticRpcUrl
const provider = new ethers.providers.JsonRpcProvider(rpc)
const liquidator = ITetuLiquidator__factory.connect(MaticAddresses.TETU_LIQUIDATOR, provider)

const pathOut = "./tmp/profitability.csv";
const headers = [
'Strategy',
'Date',
'Real APR',
'TVL',
'Claimed fees',
'Claimed rewards',
'Profit to cover',
'Loss covered by insurance',
'Loss covered by rewards',
'FixPrice profit',
'FixPrice Loss (covered by insurance)',
'Debt cost',
'Swap Loss (covered by rewards)',
]
let rows: string[][] = []

Expand All @@ -39,6 +87,12 @@ async function main() {
for (const strategy of vaultEntity.splitter.strategies) {
console.log(`Strategy ${strategy.specificName} [${strategy.version}]`)

const defaultState = await IPairBasedDefaultStateProvider__factory.connect(strategy.id, provider).getDefaultState()
const tokenA = defaultState.addr[0]
const tokenB = defaultState.addr[1]

let debtState: IDebtState | undefined = undefined

const dayHistories: {
day: string
realApr: number
Expand All @@ -47,6 +101,7 @@ async function main() {
profitCovered: string
lossCoveredFromInsurance: string
lossCoveredFromRewards: string
debtCost: string
lastHistory: {
time: number
tvl: string
Expand All @@ -70,6 +125,7 @@ async function main() {
dayIndexStr = dayStr
}


if (dayHistories[dayIndex] === undefined) {
dayHistories.push({
day: dayStr,
Expand All @@ -79,7 +135,8 @@ async function main() {
rewardsClaimed: '0',
profitCovered: '0',
lossCoveredFromInsurance: '0',
lossCoveredFromRewards: '0'
lossCoveredFromRewards: '0',
debtCost: '0',
})

if (dayIndex > 0) {
Expand Down Expand Up @@ -177,33 +234,67 @@ async function main() {

dayHistories[dayIndex].lastHistory = history
}

if (debtState === undefined) {
debtState = await getDebtState(strategy.id, tokenA, tokenB, history.block + 1, provider)
} else {
const newDebtState = await getDebtState(strategy.id, tokenA, tokenB, history.block - 1, provider)

let debtCost = '0'
if (BigNumber.from(debtState.tokenACollateral).gt(0)) {
const supplyProfit = BigNumber.from(newDebtState.tokenACollateral).sub(BigNumber.from(debtState.tokenACollateral))
const debtLoss = await liquidator.getPrice(tokenB, tokenA, BigNumber.from(newDebtState.tokenBDebt).sub(BigNumber.from(debtState.tokenBDebt)), {blockTag: history.block - 1})
debtCost = formatUnits(
debtLoss.sub(supplyProfit),
vaultEntity.decimals
)
}
if (BigNumber.from(debtState.tokenBCollateral).gt(0)) {
const supplyProfit = await liquidator.getPrice(tokenB, tokenA, BigNumber.from(newDebtState.tokenBCollateral).sub(BigNumber.from(debtState.tokenBCollateral)), {blockTag: history.block - 1})
const debtLoss = BigNumber.from(newDebtState.tokenADebt).sub(BigNumber.from(debtState.tokenADebt))
debtCost = formatUnits(
debtLoss.sub(supplyProfit),
vaultEntity.decimals
)
}

dayHistories[dayIndex].debtCost = formatUnits(
parseUnits(dayHistories[dayIndex].debtCost, vaultEntity.decimals).add(
parseUnits(debtCost, vaultEntity.decimals)
),
vaultEntity.decimals
)

debtState = await getDebtState(strategy.id, tokenA, tokenB, history.block + 1, provider)
}

}

rows.push(...dayHistories.map(day => [
`${strategy.specificName} [${strategy.version}]`,
day.day,
'' + day.realApr,
day.lastHistory.tvl,
day.feesClaimed,
day.rewardsClaimed,
day.profitCovered,
day.lossCoveredFromInsurance,
day.debtCost,
day.lossCoveredFromRewards,
]))

for (const day of dayHistories) {
console.log(` ${day.day}. Real APR: ${day.realApr}%. Fees: ${day.feesClaimed}. Rewards: ${day.rewardsClaimed}. Profit to cover: ${day.profitCovered}. Loss insurance: ${day.lossCoveredFromInsurance}. Loss rewards: ${day.lossCoveredFromRewards}.`)
console.log(` ${day.day}. Real APR: ${day.realApr}%. Fees: ${day.feesClaimed}. Rewards: ${day.rewardsClaimed}. Profit to cover: ${day.profitCovered}. Loss insurance: ${day.lossCoveredFromInsurance}. Loss rewards: ${day.lossCoveredFromRewards}. Debt cost: ${day.debtCost}.`)
}

// console.log(dayHistories)
}
console.log('')
}
}

fs.rmSync(pathOut, {force: true,})
writeFileSyncRestoreFolder(pathOut, headers.join(';') + '\n', { encoding: 'utf8', flag: 'a' })
writeFileSyncRestoreFolder(pathOut, headers.join(';') + '\n', {encoding: 'utf8', flag: 'a'})
for (const row of rows) {
writeFileSync(pathOut, row.join(';') + '\n', { encoding: 'utf8', flag: 'a' })
writeFileSync(pathOut, row.join(';') + '\n', {encoding: 'utf8', flag: 'a'})
}
}

Expand All @@ -214,11 +305,13 @@ function getStrategiesData() {
decimals
splitter {
strategies(where: {paused: false}) {
id
name
version
specificName
history(first: 100, orderBy: id, orderDirection: desc) {
time
block
tvl
feesClaimed
rewardsClaimed
Expand All @@ -236,4 +329,3 @@ main().catch((error) => {
console.error(error);
process.exitCode = 1;
});

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