Readme

Introduction

This repository is an uniswap v3 backtest framework for LP provider.It is inspired by gammaStrategy and backtrader. with following features:

1. backtrader style
2. better abstraction and well-organised
3. tested

Feel free to make an issue or pr to help this repository.

Design rationale

data

We need log event to simulate pool status instead of graphQL as evm's event is better than graphQL. Event approach is cheaper and easier to use than subgraph approach. It is found that official subgraph had some bugs in some corner cases.

We provide an independent download tool, demeter-fetch to fetch data. It can download chain event log from rpc or google bigquery. Those logs will be resampled to minute to reduce calculation. demeter-fetch can abstract the data into human friendly csv format, which it widely used in our research.

abstraction

Strategy: quote/base price.

Broker: storage user asset and trade data.

pool: no state. just calculation. deal with tick, token0，decimal, total L.

plot and strategy performance

User may have different choices about plot and metrics of strategy performance. So we did not make such decisions for you. We provide some examples in strategy-example.Hope it can help you to write your own strategy.

We plan to improve metrics in recent.

how to use

try quickstart in our docs

license

MIT