Add cryptoswap liquidity density metric

curveresearch / curvesim

Simulates Curve Finance pools

MIT License

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Add cryptoswap liquidity density metric #211

Closed nagakingg closed 1 year ago

nagakingg commented 1 year ago

Description

Use pool.get_min_trade_size() for cryptoswap liquidity density estimate
Add virtual price and block timestamp to get_cryptoswap_pool_state()
Reorganize PriceDepth metric to minimizie duplication
Re-add PriceDepth to default metrics

Closes #206

Hygiene checklist

[x] Changelog entry
[x] Everything public has a Numpy-style docstring (modules, public functions, classes, and public methods)
[x] Commit history is cleaned-up with minor changes squashed together and descriptive commit messages following Tim Pope's style

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github-actions[bot] commented 1 year ago

Coverage report

The coverage rate went from 78.27% to 79.8% :arrow_up: The branch rate is 66%.

100% of new lines are covered.

Diff Coverage details (click to unfold)

### curvesim/metrics/metrics.py `100%` of new lines are covered (`95.07%` of the complete file). ### curvesim/metrics/state_log/pool_state.py `100%` of new lines are covered (`100%` of the complete file). ### curvesim/pipelines/common/__init__.py `100%` of new lines are covered (`92.3%` of the complete file).

nagakingg commented 1 year ago

Tests at 0fc26a9ca909c31d430ab18bcf49b9243c9d7739 test against previous data (ignoring the liquidity density metric). After that the test.ci (volume limited arb) data was regenerated, and I re-tested to ensure consistency.

I also tested main vs. this branch locally, including the liquidity density metric for stableswap pools, and it was successful.

nagakingg commented 1 year ago

Converted back to draft pending more testing and formalized tests.