[HotFix] Add missing ETH transfers to slippage (#180)

Add missing ETH transfers to slippage
cowprotocol · Feb 3, 2023 · c7d70fe · c7d70fe
1 parent 274a5b1
commit c7d70fe
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Showing 3 changed files with 131 additions and 27 deletions.
diff --git a/queries/dune_v2/period_slippage.sql b/queries/dune_v2/period_slippage.sql
@@ -1,7 +1,8 @@
--- https://github.com/cowprotocol/solver-rewards/pull/169
+-- https://github.com/cowprotocol/solver-rewards/pull/180
 with
-filtered_trades as (
+batch_meta as (
     select t.block_time,
+           t.block_number,
            t.tx_hash,
            case
             when dex_swaps = 0
@@ -10,7 +11,19 @@ filtered_trades as (
                 else dex_swaps
            end as dex_swaps,
            num_trades,
-           b.solver_address,
+           b.solver_address
+    from cow_protocol_ethereum.trades t
+    join cow_protocol_ethereum.batches b
+        on t.block_number = b.block_number
+        and t.tx_hash = b.tx_hash
+    where b.block_time between '{{StartTime}}' and '{{EndTime}}'
+    and t.block_time between '{{StartTime}}' and '{{EndTime}}'
+    and (b.solver_address = lower('{{SolverAddress}}') or '{{SolverAddress}}' = '0x')
+    and (t.tx_hash = lower('{{TxHash}}') or '{{TxHash}}' = '0x')
+),
+filtered_trades as (
+    select t.tx_hash,
+           t.block_number,
            trader                                       as trader_in,
            receiver                                     as trader_out,
            sell_token_address                           as sell_token,
@@ -33,18 +46,14 @@ filtered_trades as (
 batchwise_traders as (
     select
         tx_hash,
+        block_number,
         collect_set(trader_in) as traders_in,
         collect_set(trader_out) as traders_out
     from filtered_trades
-    group by tx_hash
+    group by tx_hash, block_number
 ),
-
 user_in as (
-    select block_time,
-          tx_hash,
-          dex_swaps,
-          num_trades,
-          solver_address,
+    select  tx_hash,
           trader_in        as sender,
           contract_address as receiver,
           sell_token       as token,
@@ -53,11 +62,7 @@ user_in as (
     from filtered_trades
 ),
 user_out as (
-    select block_time,
-          tx_hash,
-          dex_swaps,
-          num_trades,
-          solver_address,
+    select tx_hash,
           contract_address as sender,
           trader_out       as receiver,
           buy_token        as token,
@@ -66,16 +71,7 @@ user_out as (
     from filtered_trades
 ),
 other_transfers as (
-    select block_time,
-          b.tx_hash,
-          case
-            when dex_swaps = 0
-            -- Estimation made here: https://dune.com/queries/1646084
-                then ((gas_used - 73688 - (70528 * num_trades)) / 90000)::int
-                else dex_swaps
-        end as dex_swaps,
-          num_trades,
-          solver_address,
+    select b.tx_hash,
           from               as sender,
           to                 as receiver,
           t.contract_address as token,
@@ -103,12 +99,55 @@ other_transfers as (
       and (t.evt_tx_hash = lower('{{TxHash}}') or '{{TxHash}}' = '0x')
       and (solver_address = lower('{{SolverAddress}}') or '{{SolverAddress}}' = '0x')
 ),
-batch_transfers as (
+eth_transfers as (
+    select
+        bt.tx_hash,
+        from as sender,
+        to as receiver,
+        '0xeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee' as token,
+        cast(value as decimal(38, 0)) as amount_wei,
+        case
+          when '0x9008d19f58aabd9ed0d60971565aa8510560ab41' = to
+          then 'AMM_IN'
+          else 'AMM_OUT'
+        end as transfer_type
+    from batchwise_traders bt
+    inner join ethereum.traces et
+        on bt.block_number = et.block_number
+        and bt.tx_hash = et.tx_hash
+        and cast(value as decimal(38, 0)) > 0
+        and success = true
+    and '0x9008d19f58aabd9ed0d60971565aa8510560ab41' in (to, from)
+    -- WETH unwraps don't have cancelling WETH transfer.
+    and from != '0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2'
+    -- ETH transfers to traders are already part of USER_OUT
+    and not array_contains(traders_out, to)
+),
+pre_batch_transfers as (
     select * from user_in
     union all
     select * from user_out
     union all
     select * from other_transfers
+    union all
+    select * from eth_transfers
+),
+batch_transfers as (
+    select
+        block_time,
+        block_number,
+        pbt.tx_hash,
+        dex_swaps,
+        num_trades,
+        solver_address,
+        sender,
+        receiver,
+        token,
+        amount_wei,
+        transfer_type
+    from batch_meta bm
+    join pre_batch_transfers pbt
+        on bm.tx_hash = pbt.tx_hash
 ),
 -- These batches involve a token AXS (Old)
 -- whose transfer function doesn't align with the emitted transfer event.

diff --git a/src/queries.py b/src/queries.py
@@ -96,6 +96,6 @@ def with_params(
         name="Solver Slippage for Period",
         filepath="period_slippage.sql",
         v1_id=1728478,
-        v2_id=1836718,
+        v2_id=1956003,
     ),
 }
diff --git a/tests/queries/test_slippage_investigation.py b/tests/queries/test_slippage_investigation.py
@@ -4,6 +4,7 @@
 
 import pytest
 from dune_client.client import DuneClient
+from dune_client.query import Query
 from dune_client.types import QueryParameter
 
 from src.fetch.dune import DuneFetcher
@@ -17,6 +18,16 @@ def setUp(self) -> None:
         self.dune = DuneClient(os.environ["DUNE_API_KEY"])
         self.slippage_query = QUERIES["PERIOD_SLIPPAGE"]
 
+    @staticmethod
+    def slippage_query_for(period: AccountingPeriod, tx_hash: str) -> Query:
+        return QUERIES["PERIOD_SLIPPAGE"].with_params(
+            period.as_query_params()
+            + [
+                QueryParameter.text_type("TxHash", tx_hash),
+                QueryParameter.text_type("CTE_NAME", "results_per_tx"),
+            ]
+        )
+
     @pytest.mark.skip(
         reason="This takes a while to run and should probably be avoided without local testing."
     )
@@ -125,6 +136,60 @@ def test_positive_slippage_evaluation(self):
         # https://dune.com/queries/1836718?CTE_NAME_e15077=final_token_balance_sheet&EndTime_d83555=2023-01-02+00%3A00%3A00&StartTime_d83555=2023-01-01+00%3A00%3A00&TxHash_t6c1ea=0x5c4e410ce5d741f60e06a8621c6f12839ad39273f5abf78d4bbc1cd3b31de46c
         self.assertEqual(tx_slippage["num_entries"], 4)
 
+    def test_slippage_regression(self):
+        """
+        Two known batches with ETH transfers previously not captured.
+        The following hashes were picked up by this query: https://dune.com/queries/1957339
+        which displays batches where these missing ETH transfers occurred.
+        Bug was picked up by our Dune Alerts on Feb. 2, 2023
+        https://cowservices.slack.com/archives/C03PW4CR38A/p1675328564060139
+        """
+        period = AccountingPeriod("2023-02-01", 1)
+        # Previously having -210 USD negative slippage.
+        result_0x3b2e = exec_or_get(
+            self.dune,
+            query=self.slippage_query_for(
+                period,
+                "0x3b2e9675b6d71a34e9b7f4abb4c9e80922be311076fcbb345d7da9d91a05e048",
+            ),
+            result_id="01GRA2NSAVSQZH6B8BPHR0FAN8",
+        )
+        self.assertEqual(result_0x3b2e.query_id, self.slippage_query.v2_query.query_id)
+        self.assertEqual(
+            result_0x3b2e.get_rows(),
+            [
+                {
+                    "eth_slippage_wei": -4703807.681117934,
+                    "hour": "2023-02-01T01:00:00Z",
+                    "num_entries": 2,
+                    "solver_address": "0xc9ec550bea1c64d779124b23a26292cc223327b6",
+                    "usd_value": -7.454727687586665e-09,
+                }
+            ],
+        )
+        # Previously having -150 USD slippage
+        result_0x7a00 = exec_or_get(
+            self.dune,
+            query=self.slippage_query_for(
+                period,
+                "0x7a007eb8ad25f5f1f1f36459998ae758b0e699ca69cc7b4c38354d42092651bf",
+            ),
+            result_id="01GRA2Y006E4FGZMWSTACMHZDY",
+        )
+        self.assertEqual(result_0x7a00.query_id, self.slippage_query.v2_query.query_id)
+        self.assertEqual(
+            result_0x7a00.get_rows(),
+            [
+                {
+                    "eth_slippage_wei": -815874497.9746609,
+                    "hour": "2023-02-01T01:00:00Z",
+                    "num_entries": 2,
+                    "solver_address": "0xc9ec550bea1c64d779124b23a26292cc223327b6",
+                    "usd_value": -1.2930210208343511e-06,
+                }
+            ],
+        )
+
 
 if __name__ == "__main__":
     unittest.main()