PRICER-TWAP

read_twap_quote.js

const hre = require("hardhat");
require("@nomiclabs/hardhat-ethers");

const weth = "0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2";
const vusd = "0x677ddbd918637E5F2c79e164D402454dE7dA8619"
const usdc = "0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48";
const uniswap_v3_usdc_eth_5 = '0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640';
const uniswap_v3_usdc_vusd_5 = '0x8dDE0A1481b4A14bC1015A5a8b260ef059E9FD89';
const eth_deployer = "0xE78388b4CE79068e89Bf8aA7f218eF6b9AB0e9d0";

describe("pricer-twap", function () {
 it("Should read twap from pricer", async function () {
	this.timeout(1000000);
  await hre.network.provider.request({method: "hardhat_impersonateAccount", params: [eth_deployer]});
	const txSigner = await ethers.provider.getSigner(eth_deployer);
	
	let blockNumber = await ethers.provider.getBlockNumber();
	
	const univ3Sim = await ethers.getContractFactory("UniV3SwapSimulator");	
	const univ3Simulator = await univ3Sim.connect(txSigner).deploy();
	
	const balancerSim = await ethers.getContractFactory("BalancerSwapSimulator");	
	const balancerSimulator = await balancerSim.connect(txSigner).deploy();
	
	const pricerLenient = await ethers.getContractFactory("OnChainPricingMainnetLenient");	
	const pricer = await pricerLenient.connect(txSigner).deploy(univ3Simulator.address, balancerSimulator.address);
	
	// https://uniswap.org/whitepaper-v3.pdf
	let poolSpacing = 10;	
	
	// around 10 minutes
	let oracleAgo = 50 * 12;
	let observeDuration = [oracleAgo, 0];
	
	const vusdPool = await ethers.getContractAt("contracts/OnChainPricerV3.sol:IUniswapV3Pool", uniswap_v3_usdc_vusd_5);
	let vusdObservations = await vusdPool.observe(observeDuration);
	let vusdObservedTick0 = ethers.utils.parseUnits(vusdObservations[0][0].toString(), 0);
	let vusdObservedTick1 = ethers.utils.parseUnits(vusdObservations[0][1].toString(), 0);
	let vusdTwapTick = (vusdObservedTick1 - vusdObservedTick0) / oracleAgo;
	let vusdAdjustDecimalFactor = 1 / Math.pow(10, Math.abs(6 - 18));
	let vusdTwapPrice0To1 = Math.pow(1.0001, vusdTwapTick) / vusdAdjustDecimalFactor;
	let vusdSqrtK = ethers.utils.parseUnits((await vusdPool.liquidity()).toString(), 0);
	let vusdSlot0 = await vusdPool.slot0();
	let vusdTick = ethers.utils.parseUnits(vusdSlot0[1].toString(), 0);
	let vusdSqrtTickP = Math.pow(Math.pow(1.0001, vusdTick), 0.5);
	let vusdQuotient = Math.floor(vusdTick / poolSpacing);
	let vusdTickLower = vusdQuotient * poolSpacing;
	let vusdTickUpper = (vusdQuotient + 1) * poolSpacing;
	let vusdSqrtTickLowerP = Math.pow(Math.pow(1.0001, vusdTickLower), 0.5);
	let vusdSqrtTickUpperP = Math.pow(Math.pow(1.0001, vusdTickUpper), 0.5);
	let vusdToken1Res = vusdSqrtK * (vusdSqrtTickP - vusdSqrtTickLowerP);
	let vusdToken0Res = vusdSqrtK * (vusdSqrtTickUpperP - vusdSqrtTickP) / (vusdSqrtTickP * vusdSqrtTickUpperP);
	let vusdAmt = ethers.utils.parseUnits("10000", 18);
	let vusdQuote = ethers.utils.parseUnits((await pricer.findOptimalSwap(vusd, usdc, vusdAmt))[1].toString(), 0);
	console.log("current block#=" + blockNumber + ',10000vusd->usdc=' + (vusdQuote.toNumber() / 1e6) + ', vusdRes=' + (vusdToken0Res / 1e18) + ', usdcRes=' + (vusdToken1Res / 1e6) + ', twapVusd2USDC=' + vusdTwapPrice0To1);	
			
	const wethPool = await ethers.getContractAt("contracts/OnChainPricerV3.sol:IUniswapV3Pool", uniswap_v3_usdc_eth_5);
	let wethObservations = await wethPool.observe(observeDuration);
	let wethObservedTick0 = ethers.utils.parseUnits(wethObservations[0][0].toString(), 0);
	let wethObservedTick1 = ethers.utils.parseUnits(wethObservations[0][1].toString(), 0);
	let wethTwapTick = (wethObservedTick1 - wethObservedTick0) / oracleAgo;
	let wethAdjustDecimalFactor = Math.pow(10, Math.abs(6 - 18));
	let wethTwapPrice0To1 = Math.pow(1.0001, wethTwapTick) / wethAdjustDecimalFactor;
	let wethTwapPrice1To0 = 1 / wethTwapPrice0To1;
	let wethSqrtK = ethers.utils.parseUnits((await wethPool.liquidity()).toString(), 0);
	//console.log('wethK=' + wethSqrtK);
	let wethSlot0 = await wethPool.slot0();
	let wethTick = ethers.utils.parseUnits(wethSlot0[1].toString(), 0);
	let wethSqrtTickP = Math.pow(Math.pow(1.0001, wethTick), 0.5);	
	//console.log('wethSqrtTickP=' + wethSqrtTickP + ', wethTick=' + wethTick);
	let wethQuotient = Math.floor(wethTick / poolSpacing);
	let wethTickLower = wethQuotient * poolSpacing;
	let wethTickUpper = (wethQuotient + 1) * poolSpacing;
	let wethSqrtTickLowerP = Math.pow(Math.pow(1.0001, wethTickLower), 0.5);	
	//console.log('wethSqrtTickLowerP=' + wethSqrtTickLowerP + ', wethTickLower=' + wethTickLower + ', wethTickUpper=' + wethTickUpper);
	let wethSqrtTickUpperP = Math.pow(Math.pow(1.0001, wethTickUpper), 0.5);
	let wethToken1Res = wethSqrtK * (wethSqrtTickP - wethSqrtTickLowerP);
	let wethToken0Res = wethSqrtK * (wethSqrtTickUpperP - wethSqrtTickP) / (wethSqrtTickP * wethSqrtTickUpperP);
	let wethAmt = ethers.utils.parseUnits("10", 18);
	let wethQuote = ethers.utils.parseUnits((await pricer.findOptimalSwap(weth, usdc, wethAmt))[1].toString(), 0);
	console.log("current block#=" + blockNumber + ',10weth->usdc=' + (wethQuote.toNumber() / 1e6) + ', usdcRes=' + (wethToken0Res / 1e6) + ', wethRes=' + (wethToken1Res / 1e18) + ', twapWeth2USDC=' + wethTwapPrice1To0);	
	
 });  
});

twap-calc.java

package hello.badgerdao;

import java.io.BufferedReader;
import java.io.File;
import java.io.FileReader;
import java.util.ArrayList;
import java.util.HashMap;
import java.util.List;
import java.util.Map;

public class PricerData {
    
    
    public static void main(String[] args) {
        generatePricerQuotesInUniV3("your-path-to-the-file/vusd-raw-data.csv");
    }
    
    private static void generatePricerQuotesInUniV3(String fileName) {
        File f = null;
        
        List<String> blocks = new ArrayList<String>();
        List<String> vusdQuotes = new ArrayList<String>();
        List<String> wethQuotes = new ArrayList<String>();
        List<String> vusdLiq0s = new ArrayList<String>();
        List<String> vusdLiq1s = new ArrayList<String>();
        List<String> wethLiq0s = new ArrayList<String>();
        List<String> wethLiq1s = new ArrayList<String>();
        List<String> vusdTwaps = new ArrayList<String>();
        List<String> wethTwaps = new ArrayList<String>();

        int count = 0;
        List<String> lines = new ArrayList<String>();
        try {
            f = new File(fileName);
            BufferedReader brdr = new BufferedReader(new FileReader(f));
            String blockLine = brdr.readLine();
            while(blockLine != null && blockLine.length() > 0) {
                lines.add(blockLine);                
                blockLine = brdr.readLine();
                count++;
            }            
            System.out.println("read " + count + " lines of block data in file: " + fileName); 
            brdr.close();
        } catch (Exception e) {                
            System.out.println("failed to reading file: " + fileName);
        }   

        for(int i = count - 1;i >= 0;i--) {
            String blockLine = lines.get(i);
            List<String> parsed = parseBlockLineForPricerQuoteInUniV3(blockLine);

            if (blockLine.contains("vusd")) {
                blocks.add(parsed.get(0)); 
                vusdQuotes.add(String.valueOf(Double.parseDouble(parsed.get(1)) / 10000));  
                vusdLiq0s.add(parsed.get(2));  
                vusdLiq1s.add(parsed.get(3));  
                vusdTwaps.add(parsed.get(4));                      
            } else if(blockLine.contains("weth")) {
                wethQuotes.add(String.valueOf(Double.parseDouble(parsed.get(1)) / 10));  
                wethLiq0s.add(parsed.get(2));  
                wethLiq1s.add(parsed.get(3));  
                wethTwaps.add(parsed.get(4));                              
            }
            
        }

        //printArraysInOneLine(blocks);
        //printArraysInOneLine(vusdQuotes);
        //printArraysInOneLine(vusdLiq0s);
        //printArraysInOneLine(vusdLiq1s);
        //printArraysInOneLine(vusdTwaps);
        //printArraysInOneLine(wethQuotes);
        //printArraysInOneLine(wethLiq0s);
        //printArraysInOneLine(wethLiq1s);
        //printArraysInOneLine(wethTwaps);
        
        // 50 blocks is 10 minutes 
        int windowSize = 50;
        // each block is 12 seconds
        int interval = 12;
        
        List<String> subBlocks = blocks.subList(windowSize - 1, blocks.size());
        printArraysInOneLine(subBlocks);
        
        /////////////////////////////////////////////////////////////////////////////////
        // pricer quotes TWAP
        /////////////////////////////////////////////////////////////////////////////////
        List<String> vusdQuotesTwap = calcTwap(vusdQuotes, interval, windowSize);
        //printArraysInOneLine(vusdQuotesTwap);
        List<String> subVusdTwaps = vusdTwaps.subList(windowSize - 1, blocks.size());
        //printArraysInOneLine(subVusdTwaps);
        
        List<String> wethQuotesTwap = calcTwap(wethQuotes, interval, windowSize);
        //printArraysInOneLine(wethQuotesTwap);
        List<String> subWethTwaps = wethTwaps.subList(windowSize - 1, blocks.size());
        //printArraysInOneLine(subWethTwaps);
        
        /////////////////////////////////////////////////////////////////////////////////
        // pricer liquidity reserve TWAP
        /////////////////////////////////////////////////////////////////////////////////
        List<String> vusdLiq0Twap = calcTwap(vusdLiq0s, interval, windowSize);
        //printArraysInOneLine(vusdLiq0Twap);
        List<String> subVusdLiq0s = vusdLiq0s.subList(windowSize - 1, blocks.size());
        //printArraysInOneLine(subVusdLiq0s);
        List<String> vusdLiq1Twap = calcTwap(vusdLiq1s, interval, windowSize);
        //printArraysInOneLine(vusdLiq1Twap);
        List<String> subVusdLiq1s = vusdLiq1s.subList(windowSize - 1, blocks.size());
        //printArraysInOneLine(subVusdLiq1s);
        
        List<String> wethLiq0Twap = calcTwap(wethLiq0s, interval, windowSize);
        printArraysInOneLine(wethLiq0Twap);
        List<String> subWethLiq0s = wethLiq0s.subList(windowSize - 1, blocks.size());
        printArraysInOneLine(subWethLiq0s);
        List<String> wethLiq1Twap = calcTwap(wethLiq1s, interval, windowSize);
        printArraysInOneLine(wethLiq1Twap);
        List<String> subWethLiq1s = wethLiq1s.subList(windowSize - 1, blocks.size());
        printArraysInOneLine(subWethLiq1s);
    }
    
    // current block#=13537865,10000vusd->usdc=9862.568695, vusdRes=1083.4437885867906, usdcRes=1071.4874892748078, twapVusd2USDC=0.9889645411809168
    // current block#=13537865,10weth->usdc=44682.835373, usdcRes=165595.3153182826, wethRes=55.5528579071808, twapWeth2USDC=4467.622887771037
    private static List<String> parseBlockLineForPricerQuoteInUniV3(String blockLine) {
        List<String> ret = new ArrayList<String>(4);
        
        String[] commaSplits = blockLine.split(",");
        
        String[] blockHeights = commaSplits[0].split("=");
        ret.add(blockHeights[1].trim());

        String[] pricerQuotes = commaSplits[1].split("=");
        ret.add(pricerQuotes[1].trim());

        String[] liq0 = commaSplits[2].split("=");
        ret.add(liq0[1].trim());

        String[] liq1 = commaSplits[3].split("=");
        ret.add(liq1[1].trim());

        String[] poolTwap = commaSplits[4].split("=");
        ret.add(poolTwap[1].trim());

        return ret;
    }
    
    private static String printArraysInOneLine(List<String> data) {
        StringBuilder sb = new StringBuilder();
        for(String s : data) {
            sb.append(s).append(",");            
        }
        sb.setLength(sb.length() - 1);
        String line = sb.toString();
        System.out.println(line);
        return line;
    }
    
    // for each quote, the value is multiplied by interval then added to an accumulative
    // returned list contains series of twap = (diff_accumulative / interval * windowSize) 
    private static List<String> calcTwap(List<String> quotes, int interval, int windowSize){
        List<String> ret = new ArrayList<String>(quotes.size() - windowSize);
        List<Double> accumulatives = new ArrayList<Double>(quotes.size());
        
        double accumulative = 0.0f;
        for(int i = 0;i < quotes.size();i++) { 
            accumulatives.add(accumulative); 
            accumulative += Double.parseDouble(quotes.get(i)) * interval;       
        }
        
        for(int i = windowSize - 1;i < accumulatives.size();i++) {
            double accumulativeHigh = accumulatives.get(i);
            double accumulativeLow = accumulatives.get(i + 1 - windowSize);
            double twap = (accumulativeHigh - accumulativeLow) / (interval * windowSize);
            ret.add(String.valueOf(twap));
        }
        
        return ret;
    }
}

vusd-liq-twap.py

import matplotlib.pyplot as plt
import numpy as np

## vusd-usdc hack in Rai Pool#23 on Nov 2nd 2021 https://twitter.com/RariCapital/status/1455569653820973057
x_block = [13537873,13537874,13537875,13537876,13537877,13537878,13537879,13537880,13537881,13537882,13537883,13537884,13537885,13537886,13537887,13537888,13537889,13537890,13537891,13537892,13537893,13537894,13537895,13537896,13537897,13537898,13537899,13537900,13537901,13537902,13537903,13537904,13537905,13537906,13537907,13537908,13537909,13537910,13537911,13537912,13537913,13537914,13537915,13537916,13537917,13537918,13537919,13537920,13537921,13537922,13537923]

## vusd in-range liquidity twap in the pool
vusd_in_range_twap = [1061.774912815054,1061.774912815054,1061.7749128150538,1061.7749128150538,1061.7749128150535,1061.7749128150535,1061.7749128150535,1061.7749128150535,1061.7749128150533,1061.7749128150533,1061.774912815053,1061.774912815053,1061.7749128150529,1061.7749128150529,1061.7749128150526,1061.7749128150526,1061.7749128150524,1061.7749128150524,1061.7749128150522,1061.7749128150522,1061.7749128150522,1061.7749128150522,1061.7749128150522,1061.774912815052,1061.7749128150517,1061.7749128150517,1061.7749128150517,1061.7749128150515,1061.7749128150513,1061.7749128150513,1061.7749128150513,1061.774912815051,1061.7749128150508,1061.7749128150508,1061.7749128150508,1061.7749128150508,1061.7749128150506,1061.7749128150506,1061.7749128150506,1061.7749128150504,1061.7749128150501,1061.7749128150501,1061.7749128150501,1061.7749128150501,1061.7749128150501,1061.7749128150501,1061.7749128150501,1061.7749128150501,1061.7749128150501,1061.7749128150501,1040.1060370433145]
## vusd in-range liquidity spot in the pool
vusd_in_range_spot = [1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,1083.4437885867906,0,0]
## usdc in-range liquidity twap in the pool
usdc_in_range_twap = [1050.0577394893126,1050.0577394893126,1050.0577394893126,1050.0577394893128,1050.0577394893128,1050.0577394893128,1050.0577394893128,1050.0577394893128,1050.057739489313,1050.057739489313,1050.057739489313,1050.057739489313,1050.057739489313,1050.057739489313,1050.057739489313,1050.057739489313,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.0577394893132,1050.057739489313,1050.057739489313,1050.0577394893126,1050.0577394893126,1050.057739489312,1050.057739489312,1050.0577394893116,1050.0577394893116,1050.0577394893116,1050.0577394893114,1050.0577394893112,1050.057739489311,1050.0577394893107,1050.0577394893105,1050.0577394893103,1050.0577394893103,1028.627989703814]
## usdc in-range liquidity spot in the pool
usdc_in_range_spot = [1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,1071.4874892748078,0,0]

fig, ax = plt.subplots(2, 1)

## token0
ax[0].plot(x_block, vusd_in_range_twap, marker="v", color="r", label="pool token0 liquidity twap")
ax[0].plot(x_block, vusd_in_range_spot, marker=">", color="b", label="pool token0 liquidity spot")
ax[0].plot(x_block, np.divide(vusd_in_range_spot, vusd_in_range_twap), marker="^", color="g", label="ratio")

ax[0].ticklabel_format(useOffset=False, axis='x', style='plain')
ax[0].set_yscale("log")
ax[0].set(xlabel="Block Height", ylabel="Token0 Liquidity(log scale)", title="Pool Token0 Liquidity TWAP VS Spot")
ax[0].grid()
ax[0].legend(loc="center left")

## token1
ax[1].plot(x_block, usdc_in_range_twap, marker="v", color="r", label="pool token1 liquidity twap")
ax[1].plot(x_block, usdc_in_range_spot, marker=">", color="b", label="pool token1 liquidity spot")
ax[1].plot(x_block, np.divide(usdc_in_range_spot, usdc_in_range_twap), marker="^", color="g", label="ratio")

ax[1].ticklabel_format(useOffset=False, axis='x', style='plain')
ax[1].set_yscale("log")
ax[1].set(xlabel="Block Height", ylabel="Token1 Liquidity(log scale)", title="Pool Token 1 Liquidity TWAP VS Spot")
ax[1].grid()
ax[1].legend(loc="center left")

fig.savefig("pool-reserve-twap-vusd.png")
#plt.legend(loc="upper left")
plt.show()

vusd-pricer-twap.py

import matplotlib.pyplot as plt
import numpy as np

## vusd-usdc hack in Rai Pool#23 on Nov 2nd 2021 https://twitter.com/RariCapital/status/1455569653820973057
x_block = [13537873,13537874,13537875,13537876,13537877,13537878,13537879,13537880,13537881,13537882,13537883,13537884,13537885,13537886,13537887,13537888,13537889,13537890,13537891,13537892,13537893,13537894,13537895,13537896,13537897,13537898,13537899,13537900,13537901,13537902,13537903,13537904,13537905,13537906,13537907,13537908,13537909,13537910,13537911,13537912,13537913,13537914,13537915,13537916,13537917,13537918,13537919,13537920,13537921,13537922,13537923]
## quoting price for 10000 vusd swapped to usdc
vusd_usdc_pricer_quote = [0.9665317321100008,0.9665317321100008,0.9665317321100008,0.9665317321100008,0.9665317321100008,0.966531732110001,0.966531732110001,0.966531732110001,0.966531732110001,0.966531732110001,0.966531732110001,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9665317321100012,0.9468065947200012]
## twap reading from uniswap v3 pool observe()
vusd_usdc_uni_twap = [0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,0.9889645411809168,1.7695532402418657,2313.5891045577014]

fig, ax = plt.subplots()
ax.plot(x_block, vusd_usdc_pricer_quote, marker="v", color="r", label="pricer twap quotes")
ax.plot(x_block, vusd_usdc_uni_twap, marker=">", color="b", label="uniswap v3 pool twap")
ax.plot(x_block, np.subtract(vusd_usdc_uni_twap, vusd_usdc_pricer_quote), marker="^", color="g", label="difference")

ax.ticklabel_format(useOffset=False, axis='x', style='plain')
ax.set_yscale("log")
ax.set(xlabel="Block Height", ylabel="TWAP(log scale)", title="Pricer Quote TWAP VS Uniswap V3 TWAP")
ax.grid()

fig.savefig("pool-pricer-twap-vusd.png")
plt.legend(loc="upper left")
plt.show()

vusd-raw-data.csv

weth-liq-twap.py

import matplotlib.pyplot as plt
import numpy as np

## weth-usdc pool in uniswap v3 0.05% https://info.uniswap.org/#/pools/0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640
x_block = [13537873,13537874,13537875,13537876,13537877,13537878,13537879,13537880,13537881,13537882,13537883,13537884,13537885,13537886,13537887,13537888,13537889,13537890,13537891,13537892,13537893,13537894,13537895,13537896,13537897,13537898,13537899,13537900,13537901,13537902,13537903,13537904,13537905,13537906,13537907,13537908,13537909,13537910,13537911,13537912,13537913,13537914,13537915,13537916,13537917,13537918,13537919,13537920,13537921,13537922,13537923]

## usdc in-range liquidity twap in the pool
usdc_in_range_twap = [170514.71134931935,176308.3744829501,182102.03761658084,184583.21501958632,186236.60211175334,187064.35103617702,187892.0999606007,190375.47089517946,189547.76335509523,188720.055815011,187892.34827492677,187892.34827492674,187892.34827492674,184581.93191664238,181271.51555835802,177961.09920007363,175478.34899959707,172995.59879912055,177962.21652145789,179617.59021934995,181272.96391724204,181272.96391724204,181272.96391724204,182100.58869484832,182928.2134724546,185410.96367293113,187893.7138734077,192858.1218146281,197822.5297558485,200304.44294391875,207757.95012879127,215211.45731366382,221836.6773893294,223493.12737606908,225149.57736280878,228462.47734042545,226803.78332123984,225973.21077868482,225143.30280098488,224313.3948232849,223483.48684558494,222653.57886788496,225136.47768568902,223480.85093582008,226791.7446270765,230102.63831833293,230929.67157707998,226787.63440105141,221819.18037229954,216850.72634354766,215198.89813042767]
## usdc in-range liquidity spot in the pool
usdc_in_range_spot = [331058.18915177125,331058.18915177125,331058.18915177125,289668.67360984907,289668.67360984907,289668.67360984907,372449.7741176027,206895.85038445223,206895.85038445223,206895.85038445223,206895.85038445223,206895.85038445223,41375.03247023375,41375.03247023375,41375.03247023375,41375.03247023375,41375.03247023375,413843.428610928,248281.22738866453,248281.22738866453,165512.54249406123,165512.54249406123,165512.54249406123,165512.54249406123,165512.54249406123,165512.54249406123,289595.4295312537,289595.4295312537,165470.69187374544,414050.39171386074,414050.39171386074,372636.03625351196,372636.03625351196,372636.03625351196,414050.39171386074,165470.69187374544,165470.69187374544,124099.91643328441,124099.91643328441,124099.91643328441,124099.91643328441,289740.2562084852,82813.97782483703,331139.99988110305,331139.99988110305,206946.9782556378,123956.33035033983,82635.48771417835,82635.48771417835,248466.778495772,248466.778495772]
## weth in-range liquidity twap in the pool
weth_in_range_twap = [52.60929212755235,51.312248416090604,50.015204704628864,49.45984743413734,49.08975433118022,48.90448090066971,48.71920747015919,48.163414967094155,48.34869766104528,48.53398035499641,48.71926304894753,48.71926304894754,48.719263048947546,49.460486468413244,50.201709887878934,50.94293330734463,51.49886476895678,52.05479623056893,50.943183432729775,50.57260878092511,50.202034129120435,50.202034129120435,50.202034129120435,50.01673290689996,49.83143168467948,49.27550022306733,48.71956876145518,47.606538607400495,46.49350845334581,45.935075583883126,44.26753132443183,42.599987064980525,41.11759585345753,40.74726198487421,40.376928116290884,39.63626037819925,40.00470403009624,40.187957601603784,40.37089608140145,40.55383456119912,40.73677304099678,40.91971152079445,40.36289129415263,40.729245189818556,39.987670082445405,39.24609497507226,39.058812222894154,39.97693864237436,41.07919144746933,42.1814442525643,42.54957536462045]
## weth in-range liquidity spot in the pool
weth_in_range_spot = [18.52502739947803,18.52502739947803,18.52502739947803,27.78823577619866,27.78823577619866,27.78823577619866,9.262282148471984,46.316041999280465,46.316041999280465,46.316041999280465,46.316041999280465,46.316041999280465,83.37721297256518,83.37721297256518,83.37721297256518,83.37721297256518,83.37721297256518,0,37.051907301724285,37.051907301724285,55.580639891957624,55.580639891957624,55.580639891957624,55.580639891957624,55.580639891957624,55.580639891957624,27.72570526983059,27.72570526983059,55.45556949943095,0,0,9.25765239641537,9.25765239641537,9.25765239641537,0,55.45556949943095,55.45556949943095,64.6997818970644,64.6997818970644,64.6997818970644,64.6997818970644,27.71184657508998,73.87055269047745,18.47410253852337,18.47410253852337,46.18872029827553,64.43134837348825,73.63766765422619,73.63766765422619,36.93158300228517,36.93158300228517]

fig, ax = plt.subplots(2, 1)

## token0
ax[0].plot(x_block, usdc_in_range_twap, marker="v", color="r", label="pool token0 liquidity twap")
ax[0].plot(x_block, usdc_in_range_spot, marker=">", color="b", label="pool token0 liquidity spot")
ax[0].plot(x_block, np.divide(usdc_in_range_spot, usdc_in_range_twap), marker="^", color="g", label="ratio")

ax[0].ticklabel_format(useOffset=False, axis='x', style='plain')
ax[0].set_yscale("log")
ax[0].set(xlabel="Block Height", ylabel="Token0 Liquidity(log scale)", title="Pool Token0 Liquidity TWAP VS Spot")
ax[0].grid()
ax[0].legend(loc="center left")

## token1
ax[1].plot(x_block, weth_in_range_twap, marker="v", color="r", label="pool token1 liquidity twap")
ax[1].plot(x_block, weth_in_range_spot, marker=">", color="b", label="pool token1 liquidity spot")
ax[1].plot(x_block, np.divide(weth_in_range_spot, weth_in_range_twap), marker="^", color="g", label="ratio")

ax[1].ticklabel_format(useOffset=False, axis='x', style='plain')
ax[1].set_yscale("log")
ax[1].set(xlabel="Block Height", ylabel="Token1 Liquidity(log scale)", title="Pool Token 1 Liquidity TWAP VS Spot")
ax[1].grid()
ax[1].legend(loc="center left")

fig.savefig("pool-reserve-twap-vusd.png")
#plt.legend(loc="upper left")
plt.show()

weth-pricer-twap.py

import matplotlib.pyplot as plt
import numpy as np

## weth-usdc pool in uniswap v3 0.05% https://info.uniswap.org/#/pools/0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640
x_block = [13537873,13537874,13537875,13537876,13537877,13537878,13537879,13537880,13537881,13537882,13537883,13537884,13537885,13537886,13537887,13537888,13537889,13537890,13537891,13537892,13537893,13537894,13537895,13537896,13537897,13537898,13537899,13537900,13537901,13537902,13537903,13537904,13537905,13537906,13537907,13537908,13537909,13537910,13537911,13537912,13537913,13537914,13537915,13537916,13537917,13537918,13537919,13537920,13537921,13537922,13537923]
## quoting price for 10 weth swapped to usdc
weth_usdc_pricer_quote = [4376.127082260001,4376.1920143040015,4376.256564988002,4376.186682180001,4376.111549136002,4376.122846378003,4376.134625260002,4376.165812822002,4376.158283584003,4376.150754346003,4376.143225108003,4376.140574940004,4376.137924772003,4376.102597168004,4376.067269564004,4376.030418216004,4376.008015570003,4375.985505114004,4376.044151652003,4376.063396178003,4376.082640704002,4376.086292658002,4376.092112962001,4376.104828620002,4376.117544278001,4376.144693402001,4376.172591256001,4376.407294716001,4376.641998176,4376.849169280002,4377.019485484,4377.189801688,4377.352675849998,4377.3721417239985,4377.391607597998,4377.424535007998,4377.4963912899975,4377.570244517999,4377.656235457998,4377.742226397999,4377.8282173379985,4377.914208277999,4378.117820613998,4378.374270543998,4378.592769337998,4378.811268131997,4379.003119671998,4379.403303663998,4379.793222811996,4380.183141959996,4380.517884465995]
## twap reading from uniswap v3 pool observe()
weth_usdc_uni_twap = [4467.937105920043,4467.956466054792,4468.041353789763,4468.0420984261455,4468.09050005768,4468.0964572178,4468.132200345297,4468.1441147846745,4468.1441147846745,4468.1441147846745,4468.1441147846745,4468.146348745596,4468.150072016277,4468.132200345297,4468.103159032433,4468.045076972952,4468.007100649973,4468.024971820578,4468.194751506459,4468.199219480054,4468.196240830491,4468.208155440634,4468.210389433574,4468.217091419085,4468.241665451995,4468.248367484416,4468.572311036966,4469.121951751861,4469.125675835504,4469.1159932244855,4469.167385784324,4469.205371969263,4469.2277169347635,4469.234420446191,4469.259000074132,4469.31486336766,4469.374451650407,4469.415419055635,4469.556200819667,4469.569608837991,4469.596424995306,4469.83330803922,4470.368948375539,4470.98736126584,4471.7698133946715,4472.176742616569,4472.458484539271,4473.376132188867,4473.912942692644,4474.166458933348,4475.250029930263]

fig, ax = plt.subplots()
ax.plot(x_block, weth_usdc_pricer_quote, marker="v", color="r", label="pricer twap quotes")
ax.plot(x_block, weth_usdc_uni_twap, marker=">", color="b", label="uniswap v3 pool twap")
ax.plot(x_block, np.subtract(weth_usdc_uni_twap, weth_usdc_pricer_quote), marker="^", color="g", label="difference")

ax.ticklabel_format(useOffset=False, axis='x', style='plain')
ax.set_yscale("log")
ax.set(xlabel="Block Height", ylabel="TWAP(log scale)", title="Pricer Quote TWAP VS Uniswap V3 TWAP")
ax.grid()

fig.savefig("pool-pricer-twap-weth.png")
plt.legend(loc="upper left")
plt.show()