Extracting Block-by-Block Price Data

Extracting Block-by-Block Price Data#

Setting Up Oracle#

To set up a pricing oracle, a Full Node is required to extract historical swap events. When an oracle is initialized, it generates a list of all Uniswap V3 pools to extract prices from. It will also query the timestamp for every 10,000th block (configurable through timestamp_resolution param) to allow approximate block-to-date conversion.

import logging
from nethermind.entro import Factory
from eth_utils import to_checksum_address

project_logger = logging.getLogger("my_project")
project_logger.setLevel(logging.INFO)

factory = Factory(
    sqlalchemy_db_uri="postgresql://postgres:postgres@localhost:5432/postgres",
    w3="https://infura.io/v3/...",
    logger=project_logger,
)

oracle_instance = factory.initialize_oracle()

.. note::
    Unlike the Pool Simulations, the Oracle can be initialized from a standard full node (e.g. Infura) instead of
    a full archive node.  The RPC call requirements are also significantly reduced, which makes this a much more
    lightweight process.

Extracting Historical Prices#

WETH_ADDRESS = to_checksum_address("0xc02aaa39b223fe8d0a0e5c4f27ead9083c756cc2")
current_block = oracle_instance.w3.eth.block_number

# Backfill ~1 month of ETH prices.
oracle_instance.backfill_prices(token_id=WETH_ADDRESS, start=current_block - 225_000)

>>> Backfilling PoolCreated Events: 100%|██████████| 1/1 [00:00<00:00,  21.2s/it]
>>> Backfilling Swap Events: 100%|██████████| 225/225 [01:14<00:00,  3.03it/s]

Updating Backfilled prices#

Once prices are backfilled up to the current block, it is easy to create a cronjob or DAG to keep all price feeds up to date. The update_prices method will query the latest block and update all prices for the last 10,000 blocks.

If the price backfill for a token is more than 10k blocks behind the current chain head, the update_prices method will skip these tokens and log a warning to avoid stalling the update task backfilling years of history. First run the backfill_prices method to catch up to the current block, then run update_prices to keep prices up to date.

oracle_instance.update_prices()

>>> Backfilling Swap Events: 100%|██████████| 3/3 [00:01<00:00,  4.23it/s]
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