Create Markout queries over time

cowprotocol/execution_quality/markout/cow_markout_6031665.sql

@@ -8,11 +8,14 @@
 --  {{max_usd_amount}} - Maximum USD amount of the trade to be considered
 
 select 
+    block_time,
     tx_hash,
     token_bought_amount,
     token_sold_amount,
     token_bought_address,
     token_sold_address,
+    token_bought_symbol,
+    token_sold_symbol,
     sell.price as sellprice,
     buy.price as buyprice,
     amount_usd,
@@ -33,7 +36,5 @@ where
     and token_pair is not null
     and block_date >= timestamp '{{start_date}}'
     and block_date < timestamp '{{end_date}}'
-    and token_bought_amount * buy.price >= {{min_usd_amount}}
-    and token_bought_amount * buy.price <= {{max_usd_amount}}
-    and token_sold_amount * sell.price >= {{min_usd_amount}}
-    and token_sold_amount * sell.price <= {{max_usd_amount}}
+    and token_bought_amount * buy.price between {{min_usd_amount}} and {{max_usd_amount}}
+    and token_sold_amount * sell.price between {{min_usd_amount}} and {{max_usd_amount}}

cowprotocol/execution_quality/markout/markouts_over_time_6423541.sql

@@ -0,0 +1,89 @@
+-- Markout comparison across multiple DEX aggregators and CoW Protocol over time
+-- Returns markout avg and percentiles in basis points (bps) for each project over the specified time period
+
+-- Parameters:
+--  {{blockchain}} - The chain on which trades should be counted
+--  {{start_date}} - Start date for when trades should be counted
+--  {{end_date}} - End date for when trades should be counted
+--  {{min_usd_amount}} - Minimum USD amount of the trade to be considered
+--  {{max_usd_amount}} - Maximum USD amount of the trade to be considered
+
+select
+    'CoW' as project
+    , date_trunc('{{date_granularity}}', block_time) as date
+    , avg(markout) * 10000 as avg_markout_bps
+    , approx_percentile(markout, 0.25) * 10000 as p25_markout_bps
+    , approx_percentile(markout, 0.50) * 10000 as p50_markout_bps
+    , approx_percentile(markout, 0.75) * 10000 as p75_markout_bps
+from "query_6031665(blockchain='{{blockchain}}',start_date='{{start_date}}',end_date='{{end_date}}',min_usd_amount='{{min_usd_amount}}',max_usd_amount='{{max_usd_amount}}')"
+group by 1 , 2
+union all 
+select
+    '1inch (intent based)' as project
+    , date_trunc('{{date_granularity}}', block_time) as date
+    , avg(markout) * 10000 as avg_markout_bps
+    , approx_percentile(markout, 0.25) * 10000 as p25_markout_bps
+    , approx_percentile(markout, 0.50) * 10000 as p50_markout_bps
+    , approx_percentile(markout, 0.75) * 10000 as p75_markout_bps
+from "query_6031733(blockchain='{{blockchain}}',start_date='{{start_date}}',end_date='{{end_date}}',min_usd_amount='{{min_usd_amount}}',max_usd_amount='{{max_usd_amount}}')"
+group by 1 , 2
+union all 
+select 
+    'Uniswap X' as project
+    , date_trunc('{{date_granularity}}', block_time) as date
+    , avg(markout) * 10000 as avg_markout_bps
+    , approx_percentile(markout, 0.25) * 10000 as p25_markout_bps
+    , approx_percentile(markout, 0.50) * 10000 as p50_markout_bps
+    , approx_percentile(markout, 0.75) * 10000 as p75_markout_bps
+from "query_6033942(blockchain='{{blockchain}}',start_date='{{start_date}}',end_date='{{end_date}}',min_usd_amount='{{min_usd_amount}}',max_usd_amount='{{max_usd_amount}}')"
+group by 1 , 2
+union all 
+select 
+    '1inch (non intent based)' as project
+    , date_trunc('{{date_granularity}}', block_time) as date
+    , avg(markout) * 10000 as avg_markout_bps
+    , approx_percentile(markout, 0.25) * 10000 as p25_markout_bps
+    , approx_percentile(markout, 0.50) * 10000 as p50_markout_bps
+    , approx_percentile(markout, 0.75) * 10000 as p75_markout_bps
+from "query_6031688(blockchain='{{blockchain}}',start_date='{{start_date}}',end_date='{{end_date}}',min_usd_amount='{{min_usd_amount}}',max_usd_amount='{{max_usd_amount}}',project='1inch')"
+group by 1 , 2
+union all 
+select
+    'Kyberswap' as project
+    , date_trunc('{{date_granularity}}', block_time) as date
+    , avg(markout) * 10000 as avg_markout_bps
+    , approx_percentile(markout, 0.25) * 10000 as p25_markout_bps
+    , approx_percentile(markout, 0.50) * 10000 as p50_markout_bps
+    , approx_percentile(markout, 0.75) * 10000 as p75_markout_bps
+from "query_6031688(blockchain='{{blockchain}}',start_date='{{start_date}}',end_date='{{end_date}}',min_usd_amount='{{min_usd_amount}}',max_usd_amount='{{max_usd_amount}}',project='kyberswap')"
+group by 1 , 2
+union all 
+select
+    'Paraswap' as project
+    , date_trunc('{{date_granularity}}', block_time) as date
+    , avg(markout) * 10000 as avg_markout_bps
+    , approx_percentile(markout, 0.25) * 10000 as p25_markout_bps
+    , approx_percentile(markout, 0.50) * 10000 as p50_markout_bps
+    , approx_percentile(markout, 0.75) * 10000 as p75_markout_bps
+from "query_6031688(blockchain='{{blockchain}}',start_date='{{start_date}}',end_date='{{end_date}}',min_usd_amount='{{min_usd_amount}}',max_usd_amount='{{max_usd_amount}}',project='paraswap')"
+group by 1 , 2
+union all 
+select
+    'Odos' as project
+    , date_trunc('{{date_granularity}}', block_time) as date
+    , avg(markout) * 10000 as avg_markout_bps
+    , approx_percentile(markout, 0.25) * 10000 as p25_markout_bps
+    , approx_percentile(markout, 0.50) * 10000 as p50_markout_bps
+    , approx_percentile(markout, 0.75) * 10000 as p75_markout_bps
+from "query_6031688(blockchain='{{blockchain}}',start_date='{{start_date}}',end_date='{{end_date}}',min_usd_amount='{{min_usd_amount}}',max_usd_amount='{{max_usd_amount}}',project='odos')"
+group by 1 , 2
+union all 
+select
+    '0x' as project
+    , date_trunc('{{date_granularity}}', block_time) as date
+    , avg(markout) * 10000 as avg_markout_bps
+    , approx_percentile(markout, 0.25) * 10000 as p25_markout_bps
+    , approx_percentile(markout, 0.50) * 10000 as p50_markout_bps
+    , approx_percentile(markout, 0.75) * 10000 as p75_markout_bps
+from "query_6031688(blockchain='{{blockchain}}',start_date='{{start_date}}',end_date='{{end_date}}',min_usd_amount='{{min_usd_amount}}',max_usd_amount='{{max_usd_amount}}',project='0x')"
+group by 1 , 2

cowprotocol/execution_quality/markout/non_intent_aggregator_markout_6031688.sql

@@ -1,17 +1,19 @@
---- Markout calculation for non-intent DEX aggregator trades. Compares the price of dex.prices table at the time of the trade to the executed amounts and factors in gas costs.
---- Returns a per transaction hash buy and sell USD value, gas cost in USD and the resulting markout.
+-- Markout calculation for non-intent DEX aggregator trades. 
+-- Compares the price of prices.usd table at the time of the trade to the executed amounts and factors in gas costs.
+-- Returns buy and sell USD value, gas cost in USD and the resulting markout, all per tx hash.
 
 -- Parameters:
---  {{project}} - The aggregator to look at
---  {{start_date}} - Start date for when trades should be counted
---  {{end_date}} - End date for when trades should be counted
+--  {{project}} - The aggregator to consider
+--  {{start_date}} - Start date for when trades should be counted, inclusive
+--  {{end_date}} - End date for when trades should be counted, exclusive
 --  {{blockchain}} - The chain on which trades should be counted
---  {{native_token}} - The native token of the blockchain (e.g. ETH for Ethereum)
 --  {{min_usd_amount}} - Minimum USD amount of the trade to be considered
 --  {{max_usd_amount}} - Maximum USD amount of the trade to be considered
 
-with markout_per_trade as (
-    select 
+with
+markout_per_trade as (
+    select
+        block_time,
         tx_hash,
         token_bought_amount,
         token_sold_amount,
@@ -35,38 +37,56 @@ with markout_per_trade as (
         and buy.blockchain = t.blockchain
     where
         t.blockchain = '{{blockchain}}'
-        and project = '{{project}}'
+        and if(project='0x API', '0x', project) = '{{project}}' -- this fixes a weird parameter bug 
         and t.block_time >= timestamp '{{start_date}}'
         and t.block_time < timestamp '{{end_date}}'
-        and amount_usd >= {{min_usd_amount}} 
-        and amount_usd <= {{max_usd_amount}}
+        and amount_usd between {{min_usd_amount}} and {{max_usd_amount}}
 ),
-
-markout_by_tx as (
-    select 
-        tx_hash, 
+-- remove 1inch intent based txs
+oneinch_intent_based as (
+    select distinct tx_hash
+    from oneinch.swaps
+    where 
+        mode in ('fusion', 'cross-chain')
+        and block_time >= timestamp '{{start_date}}'
+        and block_time < timestamp '{{end_date}}'
+),
+agg_by_tx as (
+    select
+        a.block_time,
+        a.tx_hash, 
         sum(buy_usd_value) as buy_usd_value,
         sum(sell_usd_value) as sell_usd_value
-    from markout_per_trade
-    group by 1
+    from markout_per_trade as a
+    left join oneinch_intent_based as b
+        on a.tx_hash = b.tx_hash
+    where b.tx_hash is null
+    group by 1,2
+)
+, native_prices as (
+    select
+        minute,
+        price
+    from prices.usd
+    where 
+        contract_address = (select price_address from tokens.native where chain = '{{blockchain}}')
+        and blockchain = '{{blockchain}}'
+        and minute >= timestamp '{{start_date}}'
+        and minute < timestamp '{{end_date}}'
 )
-
 select 
-    tx_hash,
-    buy_usd_value,
-    sell_usd_value,
-    (gas_used * gas_price * eth.price) / 1e18 as gas_usd,
-    (buy_usd_value/(sell_usd_value + (gas_used * gas_price * eth.price) / 1e18 )) - 1.0000 as markout
-from markout_by_tx
-join {{blockchain}}.transactions
-    on tx_hash = hash
-join prices.usd as eth
-    on eth.contract_address = {{native_token}}
-    and eth.minute = date_trunc('minute', block_time)
-    and eth.blockchain = '{{blockchain}}'
-    -- filter out extreme native prices
-    and buy_usd_value >= {{min_usd_amount}}
-    and buy_usd_value <= {{max_usd_amount}}
-    and sell_usd_value >= {{min_usd_amount}}
-    and sell_usd_value <= {{max_usd_amount}}
-order by markout asc
+    aggtx.block_time,
+    aggtx.tx_hash,
+    aggtx.buy_usd_value,
+    aggtx.sell_usd_value,
+    (tx.gas_used * tx.gas_price * np.price) / 1e18 as gas_usd,
+    (aggtx.buy_usd_value/(aggtx.sell_usd_value + (tx.gas_used * tx.gas_price * np.price) / 1e18 )) - 1.0000 as markout
+from agg_by_tx as aggtx
+join {{blockchain}}.transactions as tx
+    on aggtx.tx_hash = tx.hash
+join native_prices as np
+    on np.minute = date_trunc('minute', tx.block_time)
+where
+    aggtx.buy_usd_value between {{min_usd_amount}} and {{max_usd_amount}}
+    and aggtx.sell_usd_value between {{min_usd_amount}} and {{max_usd_amount}}
+order by markout

cowprotocol/execution_quality/markout/oneich_fusion_markout_6031733.sql

@@ -1,4 +1,4 @@
--- 1inch fusion markout calculation. Compares the price of prices.usd table at the time of the trade to the executed amounts
+-- 1inch intent based modes markout calculation. Compares the price of prices.usd table at the time of the trade to the executed amounts
 
 -- Parameters:
 --  {{blockchain}} - The chain on which trades should be counted
@@ -8,30 +8,30 @@
 --  {{max_usd_amount}} - Maximum USD amount of the trade to be considered
 
 select
+    block_time,
     tx_hash,
-    dst_token_amount,
-    src_token_amount,
+    cast(dst_executed_amount as double) /pow(10, cast(complement['dst_decimals'] as bigint)) as dst_exec_amount,
+    cast(src_executed_amount as double) /pow(10, cast(complement['src_decimals'] as bigint)) as src_exec_amount,
     dst_token_address,
     src_token_address,
     sell.price as sellprice,
     buy.price as buyprice,
     amount_usd,
-    ((dst_token_amount/pow(10,dst_token_decimals))/(src_token_amount/pow(10,src_token_decimals)) / (sell.price / buy.price)) - 1.0000 as markout
+    (cast(dst_executed_amount as double) /pow(10, cast(complement['dst_decimals'] as bigint))) / (cast(src_executed_amount as double)/pow(10, cast(complement['src_decimals'] as bigint))) / (sell.price / buy.price) - 1.0000 as markout
 from oneinch.swaps as t
 join prices.usd as sell
     on sell.contract_address = src_token_address
     and sell.minute = date_trunc('minute', block_time)
     and sell.price > 0
-    and sell.blockchain = t.blockchain
+    and sell.blockchain = '{{blockchain}}'
 join prices.usd as buy
     on buy.contract_address = dst_token_address
     and buy.minute = date_trunc('minute', block_time)
     and buy.price > 0
-    and buy.blockchain = t.blockchain
+    and buy.blockchain = '{{blockchain}}'
 where
     t.blockchain = '{{blockchain}}'
     and block_time >= timestamp '{{start_date}}'
     and block_time < timestamp '{{end_date}}'
-    and amount_usd <= {{max_usd_amount}}
-    and amount_usd >= {{min_usd_amount}}
-    and flags['fusion']
+    and amount_usd between {{min_usd_amount}} and {{max_usd_amount}}
+    and mode in ('fusion', 'cross_chain')

cowprotocol/execution_quality/markout/uniswapx_markout_6033942.sql

@@ -8,11 +8,14 @@
 --  {{max_usd_amount}} - Maximum USD amount of the trade to be considered
 
 select 
+    block_time,
     tx_hash,
     token_bought_amount,
     token_sold_amount,
     token_bought_address,
     token_sold_address,
+    sell_token,
+    buy_token,
     sell_price as sellprice,
     buy_price as buyprice,
     amount_usd,
@@ -22,7 +25,5 @@ where
     blockchain = '{{blockchain}}'
     and block_time >= timestamp '{{start_date}}'
     and block_time < timestamp '{{end_date}}'
-    and token_bought_amount * buy_price >= {{min_usd_amount}}
-    and token_bought_amount * buy_price <= {{max_usd_amount}}
-    and token_sold_amount * sell_price >= {{min_usd_amount}}
-    and token_sold_amount * sell_price <= {{max_usd_amount}}
+    and token_bought_amount * buy_price between {{min_usd_amount}} and {{max_usd_amount}}
+    and token_sold_amount * sell_price between {{min_usd_amount}} and {{max_usd_amount}}