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README.md

Topic: Onchain-Pricing

For a deeper dive into AMMs, I recommend reviewing the Uniswap v2 Explainer which dives into the most popular/forked/copied AMM model in crypto and its math and key vocabulary: slippage and price impact.

This report details an on-chain pricing methodology for historical block level pricing. Historical data on prices is available from central exchanges and 3rd parties like Coingecko. While point in time prices can be accessed on chain with oracles like Chainlink or pool-specific price reads from Decentralized Exchanges like Uniswap.

The motivation is 3-fold:

  1. Historical Prices should be usable for analysis of small time-windows, e.g., < 60 minutes.
  2. Historical Prices should be "realistic", that is, we should believe that our price could have been realized somewhere in the ecosystem within the small time-window.
  3. Historical Prices should be smooth in normal times, but reactive to sustained volatility that did occur.

For a deeper dive into the context, you can check out the report on our research site at onchain-pricing.

If you aren't interested in code and want the shortest summary of the situation, you can check out the email sized onchain-pricing on our research beehiiv and subscribe to get (summaries of) the best crypto research direct to your inbox.

Reproduce Analysis

All analysis is reproducible using the R programming language. You'll need (1) an shroomDK API key to copy our SQL queries and extract data from the FlipsideCrypto data app; and (2) renv to get the exact package versions we used.

shroomDK

shroomDK is an R package that accesses the FlipsideCrypto REST API; it is also available for Python. You pass SQL code as a string to our API and get up to 1M rows of data back!

Check out the documentation and get your free API Key today.

renv

renv is a package manager for the R programming language. It ensures analysis is fully reproducible by tracking the exact package versions used in the analysis.

install.packages('renv')

Instructions

To replicate this analysis please do the following:

  1. Clone this repo.
  2. Save your API key into a .txt file as 'api_key.txt' (this exact naming allows the provided .gitignore to ignore your key and keep it off github).
  3. Open the onchain-pricing R Project file in your R IDE (we recommend, RStudio).
  4. Confirm you have renv installed.
  5. Restore the R environment using renv::restore() while in the onchain-pricing R Project.
  6. You can now run onchain-pricing.Rmd

If any errors arise, double check you have saved your API key in the expected file name and format.