compcb.py

from decimal import Decimal
import itertools
import coinbasepro as cbp


def compute_coinbase_attack_cost():
    client = cbp.PublicClient()
    #get last 10000 trades, for good measure
    trades = list(itertools.islice(client.get_product_trades('DAI-USDC'), 10000))
    #filter for off-price trades
    relevant = [t for t in trades if t['price'] > Decimal('1.02')]
    #sanity check time-frames
    print(f"{relevant[-1]['time']} -- {relevant[0]['time']}")
    #compute total value paid, and total cost
    sum_paid = sum([t['price']*t['size']) for t in relevant])
    sum_value = sum([t['size'] for t in relevant])
    cost = sum_paid - sum_value
    print(f"Sum paid: {sum_paid}")
    print(f"Sum value: {sum_value}")
    print(f"Attack cost: {cost}")

    
# >>> import compcb 
# >>> compcb.compute_coinbase_attack_cost()    
# 2020-11-26 08:36:42.813000 -- 2020-11-26 09:07:02.573000          
# Sum paid: 381453.1254952848200000
# Sum value: 359692.471640000
# Attack cost: 21760.6538552848200000