UniswapV3 +作空永續對沖 -- 收益曲面預估

uni-v3-price-time-range-hedged-backtest.py

# coding=utf-8
import os,sys
import time
import math
import random


def getLowerFromUpper(
  P, # 當前幣價
  Pu, # 上界
  amountX,
  amountY
):
  pa_1 = amountY/(math.sqrt(Pu)*amountX) + math.sqrt(P) - amountY/(math.sqrt(P)*amountX)
  return pa_1*pa_1


def getTokenAmountsFromDepositAmounts(
  P, # 當前幣價
  Pl, # 下界
  Pu, # 上界
  priceUSDX, # 幣種1對美元
  priceUSDY, # 幣種2對美元
  targetAmounts # 投入資金美金計價
):
  deltaL = targetAmounts / ((math.sqrt(P) - math.sqrt(Pl)) * priceUSDY + 
          (1 / math.sqrt(P) - 1 / math.sqrt(Pu)) * priceUSDX)

  deltaY = deltaL * (math.sqrt(P) - math.sqrt(Pl))
  if (deltaY * priceUSDY < 0):
    deltaY = 0
  if (deltaY * priceUSDY > targetAmounts): 
    deltaY = targetAmounts / priceUSDY

  deltaX = deltaL * (1 / math.sqrt(P) - 1 / math.sqrt(Pu))
  if (deltaX * priceUSDX < 0):
    deltaX = 0;
  if (deltaX * priceUSDX > targetAmounts):
    deltaX = targetAmounts / priceUSDX

  return deltaX,deltaY



def getILPriceChange(
    price,
    newPrice,
    upper,
    lower,
    amountX,
    amountY
  ):
  Lx = amountX * (math.sqrt(price) * math.sqrt(upper)) / (math.sqrt(upper)-math.sqrt(price))
  Ly = amountY / (math.sqrt(price)-math.sqrt(lower))
  L = min(Lx,Ly)
  Lx2 = L * (math.sqrt(upper)-math.sqrt(newPrice)) / (math.sqrt(newPrice) * math.sqrt(upper))
  Ly2 = L * (math.sqrt(newPrice)-math.sqrt(lower))
  newAssetValue = Lx2 * newPrice + Ly2
  
  # 回傳當時價格手上的資產總額，幣種1剩餘數量，幣種2剩餘數量
  return newAssetValue,Lx2,Ly2


# ######################
# ##    參數
# ######################

# 初始資金
initialCapital = 6888
# 進場價
initialPrice = 4000 
USD_Price = 1
# 上界
upper = 5000
# 下界
lower = 1333 

# 池費率
fee_rate = 0.3
# 初始TVL(預估)
initTVL = 159.27 * 1000000
# TVL 成長率(月)(預估)
TVLGrowRate = 0.05
# 成交量上界(預估)
tradevol_upper = 4702.59 * 1000000
# 成交量下界(預估)
tradevol_lower = 551.57 * 1000000


# 空單開倉位置，從下界起算比例
hedge_rto = 0.05
# 資金費率(天)--參考幣安(較穩定)
# 資金費率上界
fundrate_upper = 0.03*0.01*3
# 資金費率下界
fundrate_lower = 0.01*0.01*3


# ######## 參數 End ########


# 決定當前價格跟下界哪個是開倉點(減少做空成本)
low_price = max(initialPrice,lower)

# 依照比例決定開空單的位置
hedge_price = low_price + (upper-low_price) * hedge_rto

# 根據開空單的位置和上下界找出實際需要 hedge 的 eth 數量
h_eth,h_usd = getTokenAmountsFromDepositAmounts(hedge_price,lower,upper,hedge_price,USD_Price,initialCapital)

# 進入資金池內的資金 = 所有資金 - 空單部位資金
poolAsset = initialCapital - h_eth*hedge_price

# 再次使用當前價位計算需要提供的數量
initialAmtEth,initialAmtUsd = getTokenAmountsFromDepositAmounts(initialPrice,lower,upper,initialPrice,USD_Price,poolAsset)

# 初始流動量(你提供的)
initialLq = math.sqrt(initialAmtEth * initialAmtUsd)

# 散點圖座標，不包含手續費(必賠)
scatter_points_noFee = []

# 散點圖座標，不包含手續費+空單避險
scatter_points_hdeged = []

# 散點圖座標，包含手續費+空單避險
scatter_points = []

# 預測範圍 : 幣價歸0 -> 幣價漲1倍
for k in range(1,initialPrice*2,10):
  
  # 手續費累加
  feeIncome_accu = 0
  # 資金費率累加
  fundrate_income_accu = 0
  for d in range(1,366):
    curp = k
    if(k>upper):
      curp = upper
    newAssetValue,_x,_y = getILPriceChange(initialPrice,curp,upper,lower,initialAmtEth,initialAmtUsd)
    if(newAssetValue<0):newAssetValue=0
    
    
    # 賺取手續費使用單利計算(Todo:每月再投入複利)
    
    # 今日的 tvl 
    nthDay_tvl = initTVL * (1+TVLGrowRate/30*d)
    
    # 今日的成交量預估 隨機從成交量高低區間取
    todayVolEstimation = tradevol_lower + random.uniform(0, 1) * (tradevol_upper - tradevol_lower)
    
    # 今日的手續費 = 流動量(自己) / 今日的流動量 * 今日的成交量 * 手續費率
    feeIncome = (initialLq / nthDay_tvl) * todayVolEstimation * (1+TVLGrowRate/30*d) * fee_rate * 0.01
    
    # 手續費累加
    feeIncome_accu += feeIncome
    
    # 空單損益含本金(低於0當作已爆倉，不列入計算)
    uPnL = max( h_eth*hedge_price + (hedge_price - k)*h_eth , 0 )
    # 資金費率
    fundrate = fundrate_lower + random.uniform(0, 1) * (fundrate_upper - fundrate_lower)
    fundrate_income =  h_eth * fundrate * hedge_price
    if(uPnL>0.001):
      fundrate_income_accu += fundrate_income
    
    # 原始無常損失資產價值
    scatter_points_noFee.append([d,k,newAssetValue])
    
    # 避險總資產
    hedged_asset = newAssetValue + uPnL + fundrate_income_accu
    scatter_points_hdeged.append([d,k,hedged_asset])
    
    # 資產+避險+資金費率+已賺手續費
    curCapital = hedged_asset + feeIncome_accu
    scatter_points.append([d,k,curCapital])
    
    
    print('day '+str(d)+ ' price $' + str(k)+ ' asset = '+ str(newAssetValue) +' fee='+ str(feeIncome_accu) +' heg='+str(uPnL+fundrate_income_accu) +' total='+str(curCapital) )