dacf/deltaneutraldata

On Chain Analytics

DeltaNeutralData

Uniswap V2: Backtesting Liquidity pools

Dependencies:

• node v17.9
• npm v8.5.5
• Python v3.10
• axios
• pandas
• numpy

How to use:

Run the following command from this repos directory:

python3 backtest.py top days LP_rate B_rate S_rate

Where:

• top = number of top pairs
• days = number of days to backtest
• LP_rate = Liquidity pool fee rate
• B_rate = Borrow rate for shorting volatile token
• S_rate = Staking rate for stablecoin

Output:

1. Data (folder): contains csv tables with pairDayData (reserveUSD, dailyVolumeUSD, etc.) for a given pair, csv tables names are each pairs' pairAddress.

2. topPairs.csv: contains the outout of topPairs.js. top n pairs ordered by reserveUSD descending and contains the final product of the backtest running n days.