Swuniswap-v3
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Swuniswap-v3

A Uniswap v3-esque implementation for Swivel's Orderbook.

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Introduction:

Setting up /constants:

1. Chose your Market (Token and Maturity)
2. Set up your position:
   • Set your upper and lower ranges
   • Set how many nTokens or zcTokens you want to use (assuming the current rate is in the middle of your range)

General Strategy Information: https://swivel.substack.com/p/market-making-in-yield-markets (We suggest you place your ranges equally around market rates)

This strategy takes a user-defined range and allocates user liquidity across that range, similar to Uniswap v3.

After this initial liquidity allocation, the strategy continuously adjusts prices according to the factors discussed in the article above (Underlying Rates and Theta).

Specifically, the strategy accomplishes this by ensuring orders are only valid for a limited time, and once expired are replaced with newly updated quotes.

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Installation

Install/ensure compatable python version

This is a python project, i'm just going to assume you have a python installed. If not, do that first. Scrivel expects at least a Python version of 3.7.3

Assure you have pip available

which pip. Depending on your system it may be aliased with ...3 so, which pip3. If not present install it.

Setting up a virtual environment

python3 -m venv /path/to/new/virtual/environment

https://docs.python.org/3/library/venv.html

With the env made, activate it.

../Scripts/activate.bat

Now you can move to installing things...

Installing dependencies

Clone this repo, cd into the directory, (activate your virtual env if you have not) then

pip install -r requirements.txt

Private key

If you are performing transactions via the Swivel.py Vendor a private key is expected to be available in the environment as PRIVATE_KEY. This used to sign offline, your private key is never exposed or broadcast in any way.

Constants

You'll need to modify the constants located in /constants/__init__.py:

E.g.

# Market
UNDERLYING = "0x5592EC0cfb4dbc12D3aB100b257153436a1f0FEa" # The underlying token address
MATURITY = float(1669957199) # The Swivel market maturity in unix
DECIMALS = float(18) # The decimals of the underlying token
NETWORK_STRING = "rinkeby"

# Position
AMOUNT = float(10000) # The amount of nTokens to use market-making
UPPER_RATE = float(13) # The highest rate at which to quote 
LOWER_RATE = float(9.5) # The lowest rate at which to quote 
NUM_TICKS = int(3) # The number of liquidity ticks to split your amount into (Per side + 1 at market price)
COMPOUND_RATE_LEAN = float(1) # How much your quote should change when Compound’s rate varies (e.g. 1 = 1:1 change in price) 
EXPIRY_LENGTH = float(60) # How often orders should be refreshed (in seconds) 

PUBLIC_KEY = "0x3f60008Dfd0EfC03F476D9B489D6C5B13B3eBF2C"

This is just one example market, it could, of course, be any other active market. USDC, etc... Feel free to make any constants you want for others obviously.

Run Swuniswap-v3

A range strategy on Swivel's exchange can then be run by

python swuniswap-v3.py

Todo

Profit.