FundMaker Strategy SDK

Getting started

First, make sure you have yarn installed. npm could work too, but yarn is preferred for this project. Then, run the following:

npm install -g yarn  # install yarn if not installed
yarn install   # install dependencies
yarn generate  # generate drizzle migrations
yarn migrate   # create the local db

Next, you can edit .env and src/config.js to set the settings you need.

.env example

SUBGRAPH_API_KEY="...your 32-symbol API key..."

After, you can use the commands below.

yarn strategy

Alias for node tools/strategy.js

The main tool, which executes trading strategies on cryptocurrency pools based on historical data. It processes input from CSV files, applies defined strategies, and outputs the results.

Usage: strategy [options]

Execute a strategy based on pools from the CSV file in the format of (poolType,poolAddress,startDate,endDate), and write output CSV with position history.

Options:
  -i, --input <inputCSV>         input CSV filename
  -s, --strategy <strategyJSON>  strategy JSON filename
  -o, --output <outputCSV>       output CSV filename
  -n, --no-checks                disable data integrity check & autofetching
  -h, --help                     display help for command

Example

Let's assume we 2 input files: input/pools.csv, input/strategy.json, which look like this:

input/pools.csv

poolType,poolAddress,startDate,endDate
"UniswapV3_ETH","0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640","2024-09-01","2024-09-30"

Notice that startDate defaults to the creation date of the pool, endDate defaults to now. You can write the data in any format supported by JavaScripts' new Date() constructor.

input/strategy.json

[
  {
    "strategyName": "ExampleStrat",
    "hoursCheckOpen": [11, 21],
    "volatilityThreshold": 10,
    "hoursCheckClose": [10],
    "positionOpenDays": 3,
    "priceRange": {
      "uptickPercent": 0.2,
      "downtickPercent": 0.3
    },
    "options": [
      {
        "optionType": "call",
        "strikePrice": 1
      },
      {
        "optionType": "put",
        "strikePrice": 1
      }
    ],
    "riskFreeRate": 0.03
  }
]

You can have multiple strategies in the same file, each strategy will be backtested with each pool. "options" section would be used later by yarn hedge.

Running yarn strategy

yarn strategy -i input/pools.csv -s input/strategy.json -o output.csv

The command above runs the backtesting system and saves the result to output.csv, which would contain position history, and PnL % for each position. In the end, you will see the average PnL and Sharpe ratio for each strategy.

yarn pool-finder

Alias for node tools/pool-finder.js

Find pool contract address by pair token symbols' names.

Please note that token0 and token1 order matters.

Usage: pool-finder [options] <token0> <token1> [feeTier]

Find the pool address by token symbols, ranked by TVL.

Arguments:
  token0                 token 0 symbol, _ means any
  token1                 token 1 symbol, _ means any
  feeTier                pool fee tier

Options:
  -t, --type <poolType>  pool type - UniswapV3_ETH | Thena_BSC (default: "UniswapV3_ETH")
  -h, --help             display help for command

Usage examples

1. Find a specific pool: yarn pool-finder usdc weth 500. Output:

Searching...
Search results:

Pair USDC WETH 0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640
Total Value Locked (USD): $431,368,361.80
Fee tier: 500 (0.0500000%)

2. List all available fee tiers for the pair: yarn pool-finder usdc weth

3. Find all pools with USDC as token1: yarn pool-finder _ usdc. Output:

[...]

Pair DAI USDC 0x5777d92f208679db4b9778590fa3cab3ac9e2168
Total Value Locked (USD): $75,454,086.55
Fee tier: 100 (0.0100000%)

Pair WBTC USDC 0x99ac8ca7087fa4a2a1fb6357269965a2014abc35
Total Value Locked (USD): $129,145,952.24
Fee tier: 3000 (0.300000%)

When there are multiple pools found, they are ordered by TVL (Total Value Locked), which is read from totalValueLockedUSD value returned by The Graph API.

4. Use Thena instead of the default (UniswapV3): yarn pool-finder -t Thena_BSC _ wbnb

5. List all pools ranked by TVL: yarn pool-finder _ _

yarn fetch-spot

Alias for node tools/fetch-spot-bv.js

Fetch spot price data from Binance API and save it to the database.

Usage: fetch-spot [options]

Options:
  -i, --interval <interval>  Interval (e.g., 15m, 1h, 1d) (default: "1h")
  -s, --start-date <date>    Start date (YYYY-MM-DD)
  -e, --end-date <date>      End date (YYYY-MM-DD)
  -h, --help                 display help for command

This command fetches historical spot price data for BTCUSDT, ETHUSDT, and BNBUSDT pairs from the Binance API. The data is then saved to the database.

Usage example

Fetch hourly data for 2024-09-12 to 2024-10-12:

yarn fetch-spot -i 1h -s 2024-09-12 -e 2024-10-12

yarn fetch-iv

Alias for node tools/fetch-iv.js

Fetch implied volatility (IV) data and save it to the database.

Usage: fetch-iv [options]

Options:
  -r, --resolution <resolution>  Resolution (e.g., 60) (default: "60")
  -f, --from <date>              From date (YYYY-MM-DD)
  -t, --to <date>                To date (YYYY-MM-DD)
  -h, --help                     display help for command

This command fetches historical implied volatility data for the symbols specified in CONFIG.IV_SYMBOLS from the data source. The data is then saved to the database.

Usage example

Fetch hourly IV data for 2024-09-12 to 2024-10-12:

yarn fetch-iv -r 60 -f 2024-09-12 -t 2024-10-12

yarn print-pools

Alias for node tools/pools-csv.js -p

Print a CSV file of all pools in the database.

yarn export-pools

Alias for node tools/pools-csv.js -e

Export all saved pools to a CSV file. Usage: yarn export-pools filename.csv.

yarn import-pools

Alias for node tools/pools-csv.js -i

Replace all saved pools with pools from the CSV file. Usage: yarn import-pools filename.csv.

yarn hedge

Alias for node tools/hedge.js

Simulates options-based hedging strategies for LP positions. Takes LP position data and applies option strategies to calculate combined PnL.

Usage: hedge [options]

Options:
  -i, --input <path>      Input directory path (generated by `yarn strategy`)
  -s, --strategy <path>   Path to the strategy JSON file
  -o, --output <path>     Output directory path
  -h, --help             display help for command

Output Data Structure

The tool outputs JSON files containing:

• pnlPercentLP: The LP position's PnL percentage
• pnlOptionsUSD: Combined PnL from all options in USD
• pnlOptionsPercent: Combined percentage return from options
• pnlTotalPercent: Combined PnL percentage (LP + options)

Note: Options premium calculation is scaled with respect to amountUSD/spotPrice ratio.

For each option:

• Base properties:

  • optionType: Type of option ("call" or "put")
  • strikePrice: Adjusted strike price in USD
  • spotSymbol: Trading pair (e.g., "ETHUSDT")
  • expirationDate: Option expiration timestamp
  • closedByCondition: Whether option was closed early by price conditions
  • closeDate: Actual closing timestamp
  • expired: Whether option reached expiration

• Opening and closing values (start and end objects):

  • spotPriceUSD: Underlying asset price
  • askPremiumUSD: Cost to buy the option (what you pay)
  • bidPremiumUSD: Selling price (what you receive), calculated as askPremium/askBidRatio ratio (askBidRatio is from strategy.json)
  • askIVPercent: Implied volatility for pricing, derived from market IV
  • delta, gamma, theta, vega, rho: Greeks
  • optionPnlUSD: Profit/loss in USD terms
  • optionPnlPercent: Percentage return on the option position