Uniswap V3 liquidity analysis

In this notebook we will show how to download liquidity events from Uniswap V3 to your computer as CSV files and use them to construct and analyse liquidity in each pool.

For more background information, see this blog post about the topic
You need to understand Jupyter Notebook and Pandas basics
You need to understand Ethereum and Web3.py basics
You will need to have Ethereum API node and its JSON-RPC URL in order to pull out the data from Ethereum blockchain. The notebook will interactively ask you for your API key.
You can click Launch binder button on this documentation page to automatically open this notebook to be run in Binder cloud notebook service. Note that we recommend to run the notebook on your local computer, as generated CSV needs are large and take long time to generate.

Download the raw data from Ethereum blockchain

For simplicity, you can sign up for free access to an Ethereum node for example at Infura, however we recommend you to run your own Ethereum node

[1]:

from web3 import Web3, HTTPProvider

# Get your node JSON-RPC URL
json_rpc_url = input("Please enter your Ethereum mainnet JSON-RPC URL here")
web3 = Web3(HTTPProvider(json_rpc_url))

As an example, here we download raw liquidity events from first 100000 blocks after Uniswap V3 factory is created, the events will be stored in several CSV files at /tmp folder.

Depends on your internet connection and latency to the Ethereum node, the scan might take hours. However it can resume in case there is a crash, as we save the last scanned block in a JSON state file.

[39]:

from eth_defi.uniswap_v3.constants import UNISWAP_V3_FACTORY_CREATED_AT_BLOCK
from eth_defi.uniswap_v3.events import fetch_events_to_csv
from eth_defi.event_reader.json_state import JSONFileScanState

start_block = UNISWAP_V3_FACTORY_CREATED_AT_BLOCK
end_block = UNISWAP_V3_FACTORY_CREATED_AT_BLOCK + 100_000

# Stores the last block number of event data we store
state = JSONFileScanState("/tmp/uniswap-v3-liquidity-scan.json")

fetch_events_to_csv(json_rpc_url, state, start_block=start_block, end_block=end_block)

No previous scan done, starting fresh from block 12,369,621, total 100,000 blocks
Scanning block range 12,369,621 - 12,469,621

Wrote 1113 PoolCreated events
Wrote 461356 Swap events
Wrote 20791 Mint events
Wrote 9791 Burn events

Construct intermediate data

A single raw liquidity event only tells us what happened to specific ticks in a specific pool. To be able to know how much liquidity is in each tick, we first need to construct intermediate data (we call them tick delta events) based on mint and burn events

[40]:

from eth_defi.uniswap_v3.liquidity import create_tick_delta_csv

tick_delta_csv = create_tick_delta_csv("/tmp/uniswap-v3-mint.csv", "/tmp/uniswap-v3-burn.csv")

Then we can use these delta events to aggregate into each tick liquidity

[41]:

from eth_defi.uniswap_v3.liquidity import create_tick_csv

tick_csv = create_tick_csv(tick_delta_csv)

Create a dataframe we can use for further analysis

[42]:

import pandas as pd

tick_df = pd.read_csv(tick_csv)
tick_df

[42]:

	Unnamed: 0	pool_contract_address	tick_id	liquidity_gross_delta	liquidity_net_delta
0	0	0x000ea4a83acefdd62b1b43e9ccc281f442651520	-82140	2060173899059917749827	2060173899059917749827
1	1	0x000ea4a83acefdd62b1b43e9ccc281f442651520	-82080	5508168315607950206	5508168315607950206
2	2	0x000ea4a83acefdd62b1b43e9ccc281f442651520	-82020	2060173899059917749827	-2060173899059917749827
3	3	0x000ea4a83acefdd62b1b43e9ccc281f442651520	-81960	5508168315607950206	-5508168315607950206
4	4	0x00323a300261042dd5d697e3f92a06279cc7d15b	62150	81896317601094011387162	81896317601094011387162
...	...	...	...	...	...
13645	13645	0xff90fb880da9738b2044b243daf8172bfe413b5c	-123120	0	0
13646	13646	0xff90fb880da9738b2044b243daf8172bfe413b5c	-122040	349127115575225137449	349127115575225137449
13647	13647	0xff90fb880da9738b2044b243daf8172bfe413b5c	-115140	0	0
13648	13648	0xff90fb880da9738b2044b243daf8172bfe413b5c	-111060	349127115575225137449	-349127115575225137449
13649	13649	0xff90fb880da9738b2044b243daf8172bfe413b5c	0	3965269664593024571814	-3965269664593024571814

13650 rows × 5 columns

Liquidity analysis example

Choose a random pool from the tick dataframe, for example: UNI/ETH 0.3%

[43]:

pool_address = "0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801"

Extract only the ticks relate to the pool we chose from the dataframe

[44]:

df = tick_df[tick_df.pool_contract_address == pool_address].sort_values(by="tick_id")
df.index = df.tick_id

df

[44]:

	Unnamed: 0	pool_contract_address	tick_id	liquidity_gross_delta	liquidity_net_delta
tick_id
-345420	1352	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	-345420	0	0
-253260	1353	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	-253260	9540245628022539790	9540245628022539790
-242640	1354	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	-242640	2032338076661281779	2032338076661281779
-207240	1355	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	-207240	911269521453131094	911269521453131094
-206220	1356	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	-206220	1409245106840294	1409245106840294
...	...	...	...	...	...
99060	1881	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	99060	0	0
115140	1882	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	115140	1077028788640831727	-1077028788640831727
131220	1883	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	131220	10666729901899493	-10666729901899493
138180	1884	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	138180	16150860901245802582	-16150860901245802582
391440	1885	0x1d42064fc4beb5f8aaf85f4617ae8b3b5b8bd801	391440	9540245628022539790	-9540245628022539790

534 rows × 5 columns

We then can plot the liquidity gross in this pool

[45]:

import matplotlib.pyplot as plt

plt.rcParams["figure.dpi"] = 200

df["liquidity_gross_delta"].astype(float).plot()

[45]:

<AxesSubplot:xlabel='tick_id'>

../_images/tutorials_uniswap-v3-liquidity-analysis_16_1.png

Compare the data with The Graph data

One way to verify whether the data we construct is correct is to compare it with official Uniswap V3 subgraph data

[46]:

tickdelta_df = pd.read_csv(tick_delta_csv)
last_processed_block = tickdelta_df[tickdelta_df.pool_contract_address == pool_address].tail(1).block_number
last_processed_block = int(last_processed_block.values[0])
last_processed_block

[46]:

12469604

Get pool’s state at the same last processed block

[47]:

from eth_defi.uniswap_v3.liquidity import get_pool_state_at_block

pool_state = get_pool_state_at_block(pool_address, last_processed_block)
ticks = pool_state["ticks"]

Then compare random ticks between our CSV data and the subgraph data

[53]:

import random

# get some random ticks from subgraph
for i in range(10):
    random_tick = random.choice(ticks)

    # get the same tick from dataframe
    random_tick_df = df[df.tick_id == int(random_tick["tickIdx"])]

    # compare data
    assert int(random_tick_df.liquidity_gross_delta.values[0]) == int(random_tick["liquidityGross"])
    assert int(random_tick_df.liquidity_net_delta.values[0]) == int(random_tick["liquidityNet"])