Merge pull request #7 from cowprotocol/coincidence_of_wants

Coincidence of Wants query

cowprotocol/coincidence_of_wants/.sqlfluff

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+[sqlfluff:templater:jinja:context]
+start_time='2024-08-01 12:00'
+end_time='2024-08-02 12:00'
+blockchain='ethereum'

cowprotocol/coincidence_of_wants/balance_changes_4021257.sql

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+-- This is a base query for monitoring balance changes on CoW Protocol
+--
+-- The query collects all balance changes to the settlement contract. Those changes can come from
+-- - erc20 transfers
+-- - native transfers
+-- - chain specific event like deposits and withdrawals
+--
+-- Parameters:
+--  {{start_time}} - the timestamp for which the analysis should start (inclusively)
+--  {{end_time}} - the timestamp for which the analysis should end (exclusively)
+--  {{blockchain}} - network to run the analysis on
+--
+-- The columns of the result are:
+-- - block_time: time of settlement transaction
+-- - tx_hash: settlement transaction hash
+-- - token_address: address of token with a balance change. contract address for erc20 tokens,
+--   0xeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee for native token
+-- - sender: origin of transfers sending tokens to the settlement contract,
+--   0x0000000000000000000000000000000000000000 for deposits/withdrawals
+-- - receiver: destination of transfer sending tokens from the settlement contract,
+--   0x0000000000000000000000000000000000000000 for deposits/withdrawals
+-- - amount: value of the balance change in atoms of the token
+
+-- 1) data on all chains
+-- 1.1) erc20
+-- 1.2) native transfers
+
+-- 1.1) all the erc20 transfers to/from cow amms
+with erc20_transfers as (
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        "from" as sender,
+        to as receiver,
+        value as amount
+    from erc20_{{blockchain}}.evt_transfer
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and 0x9008D19f58AAbD9eD0D60971565AA8510560ab41 in ("from", to)
+),
+
+-- 1.2) all native token transfers
+native_transfers as (
+    select
+        block_time,
+        tx_hash,
+        0xeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee as token_address,
+        "from" as sender,
+        to as receiver,
+        value as amount
+    from {{blockchain}}.traces
+    where
+        block_time >= cast('{{start_time}}' as timestamp) and block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and value > cast(0 as uint256)
+        and success = true
+        and 0x9008d19f58aabd9ed0d60971565aa8510560ab41 in (to, "from")
+),
+
+-- 2) chain specific data
+-- 2.1) ethereum
+-- special treatmet of
+-- 2.1.1) WETH
+-- 2.1.2) sDAI
+
+-- 2.1.1) all deposit and withdrawal events for WETH
+weth_deposits_withdrawals_ethereum as (
+    -- deposits (contract deposits ETH to get WETH)
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x0000000000000000000000000000000000000000 as sender,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as receiver,
+        wad as amount
+    from zeroex_ethereum.WETH9_evt_Deposit
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and dst = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+    union distinct
+    -- withdrawals (contract withdraws ETH by returning WETH)
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as sender,
+        0x0000000000000000000000000000000000000000 as receiver,
+        wad as amount
+    from zeroex_ethereum.WETH9_evt_Withdrawal
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and src = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+),
+
+-- 2.1.2) all deposit and withdrawal events for sDAI
+sdai_deposits_withdraws_ethereum as (
+    -- deposits
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x0000000000000000000000000000000000000000 as sender,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as receiver,
+        shares as amount_wei
+    from maker_ethereum.SavingsDai_evt_Deposit
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and owner = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+    union distinct
+    -- withdraws
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as sender,
+        0x0000000000000000000000000000000000000000 as receiver,
+        shares as amount_wei
+    from maker_ethereum.SavingsDai_evt_Withdraw
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and owner = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+),
+
+special_balance_changes_ethereum as (
+    select * from weth_deposits_withdrawals_ethereum
+    union all
+    select * from sdai_deposits_withdraws_ethereum
+),
+
+-- 2.2) gnosis
+-- special treatmet of
+-- 2.2.1) WXDAI
+-- 2.2.2) sDAI
+
+-- 2.2.1) all deposit and withdrawal events for WXDAI
+wxdai_deposits_withdrawals_gnosis as (
+    -- deposits (contract deposits XDAI to get WXDAI)
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x0000000000000000000000000000000000000000 as sender,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as receiver,
+        wad as amount
+    from wxdai_gnosis.WXDAI_evt_Deposit
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and dst = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+    union distinct
+    -- withdrawals (contract withdraws XDAI by returning WXDAI)
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as sender,
+        0x0000000000000000000000000000000000000000 as receiver,
+        wad as amount
+    from wxdai_gnosis.WXDAI_evt_Withdrawal
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and src = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+),
+
+-- 2.2.2) all deposit and withdrawal events for sDAI
+sdai_deposits_withdraws_gnosis as (
+    -- deposits
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x0000000000000000000000000000000000000000 as sender,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as receiver,
+        shares as amount_wei
+    from sdai_gnosis.SavingsXDai_evt_Deposit
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and owner = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+    union distinct
+    -- withdraws
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as sender,
+        0x0000000000000000000000000000000000000000 as receiver,
+        shares as amount_wei
+    from sdai_gnosis.SavingsXDai_evt_Withdraw
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and owner = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+),
+
+special_balance_changes_gnosis as ( -- noqa: ST03
+    select * from wxdai_deposits_withdrawals_gnosis
+    union all
+    select * from sdai_deposits_withdraws_gnosis
+),
+
+-- 2.3) arbitrum
+-- special treatmet of
+-- 2.3.1) WETH
+
+-- 2.3.1) all deposit and withdrawal events for WETH
+weth_deposits_withdrawals_arbitrum as (
+    -- deposits (contract deposits ETH to get WETH)
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x0000000000000000000000000000000000000000 as sender,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as receiver,
+        wad as amount
+    from mindgames_weth_arbitrum.WETH9_evt_Deposit
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and dst = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+    union distinct
+    -- withdrawals (contract withdraws ETH by returning WETH)
+    select
+        evt_block_time as block_time,
+        evt_tx_hash as tx_hash,
+        contract_address as token_address,
+        0x9008d19f58aabd9ed0d60971565aa8510560ab41 as sender,
+        0x0000000000000000000000000000000000000000 as receiver,
+        wad as amount
+    from mindgames_weth_arbitrum.WETH9_evt_Withdrawal
+    where
+        evt_block_time >= cast('{{start_time}}' as timestamp) and evt_block_time < cast('{{end_time}}' as timestamp) -- partition column
+        and src = 0x9008d19f58aabd9ed0d60971565aa8510560ab41
+),
+
+special_balance_changes_arbitrum as ( -- noqa: ST03
+    select * from weth_deposits_withdrawals_arbitrum
+)
+
+-- combine results
+select * from erc20_transfers
+union all
+select * from native_transfers
+union all
+select * from special_balance_changes_{{blockchain}}

cowprotocol/coincidence_of_wants/classified_balance_changes_4021306.sql

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+-- This query is part of a base query for computing CoWs
+--
+-- Parameters:
+--  {{start_time}} - the timestamp for which the analysis should start (inclusively)
+--  {{end_time}} - the timestamp for which the analysis should end (exclusively)
+--  {{blockchain}} - network to run the analysis on
+--
+-- The query tags all transfers to and from the settlement contract as one of
+-- - user_in: amounts sent by users, tokens flowing into the settlement contract
+-- - user_out: amount sent to users, tokens flowing out of the settlement contract
+-- - amm_in: tokens flowing into the settlement contract but coming from users
+-- - amm_out:tokens flowing out of the settlement contract but not towards users
+-- - slippage_in: final imbalance of the settlement contract if that imbalance is positive
+-- - slippage_out: final imbalance of the settlement contract of that imbalance is negative
+--
+-- The classification into user transfers and amm transfers depends on a clear separation of addresses into
+-- trader addresses and amm addresses. If an address is used in a trade, all interactions with that address
+-- are classified as user transfers, even in other transactions.
+--
+-- The common edge case of the settlement contract acting as a trader is implicitly handled sa follows:
+-- The settlement contract will appear as a trader. There will be a transfer from the settlement contract to itself.
+-- The corresponding balance change is accounted for as 'user_in'.
+-- This behavior will be wrong when an order is created with receiver set to the settlement contract.
+
+with filtered_trades as (
+    select *
+    from cow_protocol_{{blockchain}}.trades
+    where block_time >= cast('{{start_time}}' as timestamp) and block_time < cast('{{end_time}}' as timestamp)
+),
+
+traders as (
+    select
+        trader as sender,
+        receiver
+    from filtered_trades
+),
+
+balance_changes as (
+    select *
+    from "query_4021257(blockchain='{{blockchain}}',start_time='{{start_time}}',end_time='{{end_time}}')"
+),
+
+-- classify balance changes
+balance_changes_with_types as (
+    select
+        block_time,
+        tx_hash,
+        token_address,
+        amount,
+        case
+            -- user in
+            when (
+                sender in (select sender from traders) -- transfer coming from a trader
+                or sender = 0x40a50cf069e992aa4536211b23f286ef88752187
+            ) -- transfer coming from ETH flow
+            and receiver = 0x9008D19f58AAbD9eD0D60971565AA8510560ab41 -- transfer going to the settlement contract
+                then 'user_in'
+            -- user out
+            when
+                receiver in (select receiver from traders) -- transfer going to a trader
+                and sender = 0x9008D19f58AAbD9eD0D60971565AA8510560ab41 -- transfer coming from the settlement contract
+                then 'user_out'
+            -- amm in
+            when receiver = 0x9008D19f58AAbD9eD0D60971565AA8510560ab41
+                then 'amm_in'
+            -- amm out
+            when sender = 0x9008D19f58AAbD9eD0D60971565AA8510560ab41
+                then 'amm_out'
+        end as transfer_type
+    from balance_changes
+),
+
+slippage as (
+    select
+        block_time,
+        tx_hash,
+        token_address,
+        case when amount >= 0 then cast(amount as uint256) else cast(-amount as uint256) end as amount,
+        case when amount >= 0 then 'slippage_in' else 'slippage_out' end as transfer_type
+    from "query_4021644(blockchain='{{blockchain}}',start_time='{{start_time}}',end_time='{{end_time}}')"
+)
+
+select * from balance_changes_with_types
+union all
+select * from slippage