Merge pull request #16 from cowprotocol/olgafetisova-patch-1

Create uni_v2_amm_lp_and_tvl_4047194

cow_amm/.sqlfluff

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+[sqlfluff:templater:jinja:context]
+start='2024-08-08 00:00'
+token_a='0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48'
+token_b='0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2'

cow_amm/uni_v2_amm_lp_and_tvl_4047194.sql

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+-- Computes the TVL, lp token total supply and lp token price of a uniswap pool over time
+-- Parameters
+--  {{token_a}} - either token of the desired uni pool
+--  {{token_b}} - other token of the desired uni pool
+--  {{start}} - date as of which the analysis should run
+
+-- Given that we might not have records every day in the source data (e.g. not every day the lp supply may change), 
+-- but still want to visualize development on a per day basis,  we create an auxiliary table with one record per 
+-- day between `start` and `now`
+with date_range as (
+    select t.day
+    from
+        unnest(sequence(
+            date(timestamp '{{start}}'),
+            date(now())
+        )) t (day) --noqa: AL01
+),
+
+-- Finds the uniswap v2 pool address given tokens specified in query parameters (regardless of order)
+pool as (
+    select
+        pool as contract_address,
+        token0,
+        token1
+    from uniswap_ethereum.pools
+    where
+        ((token0 = {{token_a}} and token1 = {{token_b}}) or (token1 = {{token_a}} and token0 = {{token_b}}))
+        and version = 'v2'
+    limit 1
+),
+
+-- per day lp token total supply changes of the uniswap pool by looking at burn/mint events
+lp_supply_delta as (
+    select
+        date(evt_block_time) as "day",
+        sum(case when "from" = 0x0000000000000000000000000000000000000000 then value else -value end) as delta
+    from erc20_ethereum.evt_transfer
+    where
+        contract_address = (select contract_address from pool)
+        and ("from" = 0x0000000000000000000000000000000000000000 or "to" = 0x0000000000000000000000000000000000000000)
+    group by 1
+),
+
+-- per day lp token total supply by summing up all deltas (may have missing records for some days)
+lp_total_supply_incomplete as (
+    select
+        day,
+        sum(delta) over (order by day) as total_lp
+    from lp_supply_delta
+),
+
+-- lp token total supply without date gaps
+lp_total_supply as (
+    select
+        day,
+        total_lp
+    from (
+        -- join full date range with potentially incomplete data. This results in many rows per day (all total supplies on or before that day)
+        -- rank() is then used to order join candidates by recency (rank = 1 is the latest lp supply)
+        select
+            date_range.day,
+            total_lp,
+            rank() over (partition by (date_range.day) order by lp.day desc) as latest
+        from date_range
+        inner join lp_total_supply_incomplete as lp
+            on date_range.day >= lp.day
+            -- performance optimisation: this assumes one week prior to start there was at least one lp supply change event
+            and lp.day >= (timestamp '{{start}}' - interval '7' day)
+    )
+    where latest = 1
+),
+
+-- TVL calculation is based on `Sync` events which are emitted on every swap and contain current reserve amounts.
+-- Get all sync events that happened on or before the end of each day in our date range and rank them by recency
+-- the entry with rank 1 is the latest sync event before a target day (allowing for days without any sync).
+latest_syncs_per_day as (
+    select
+        day,
+        pool.contract_address,
+        token0,
+        reserve0,
+        token1,
+        reserve1,
+        rank() over (partition by (date_range.day) order by (evt_block_number, evt_index) desc) as latest
+    from uniswap_v2_ethereum.Pair_evt_Sync as sync
+    inner join date_range
+        on day >= date(evt_block_time)
+    inner join pool
+        on sync.contract_address = pool.contract_address
+),
+
+-- Get reserve balances of token_a and token_b per day, by looking at the last `Sync` emitted event for each day
+reserve_balances as (
+    select
+        date_range.day,
+        contract_address,
+        token0,
+        reserve0,
+        token1,
+        reserve1
+    from date_range
+    left join latest_syncs_per_day
+        on
+            date_range.day = latest_syncs_per_day.day
+            and latest = 1
+),
+
+-- Compute tvl by multiplying each day's closing price with balance
+tvl as (
+    select
+        balances.day,
+        balances.contract_address,
+        sum(balance * price_close / pow(10, decimals)) as tvl
+    from (
+        -- turns (date, balance0, balance1) into (date, balance0) + (date, balance1)
+        select
+            day,
+            contract_address,
+            reserve0 as balance,
+            token0 as token
+        from reserve_balances
+        union distinct
+        select
+            day,
+            contract_address,
+            reserve1 as balance,
+            token1 as token
+        from reserve_balances
+    ) as balances
+    left join prices.usd_daily as prices
+        on
+            blockchain = 'ethereum'
+            and balances.token = prices.contract_address
+            and balances.day = prices.day
+    group by 1, 2
+),
+
+-- With this we can plot the lp token price (tvl/lp total supply) over time
+lp_token_price as (
+    select
+        tvl.day,
+        tvl,
+        total_lp,
+        tvl / total_lp as lp_token_price
+    from tvl
+    inner join lp_total_supply as lp
+        on tvl.day = lp.day
+)
+
+-- Compute current value of initial investment together with other relevant output columns
+select
+    day,
+    tvl,
+    total_lp,
+    lp_token_price,
+    (
+        -- Assess initial investment in lp tokens
+        select 10000 * lp_token_price as investment
+        from lp_token_price
+        where day = timestamp '{{start}}'
+    ) / lp_token_price as current_value_of_investment
+from lp_token_price
+order by 1 desc