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Price Aggregator

The AggregatorStablePrice contract is designed to aggregate the prices of crvUSD based on multiple Curve Stableswap pools. This price is primarily used as an oracle for calculating the interest rate, but also for PegKeepers to determine whether to mint and deposit or withdraw and burn.

Contract Source & Deployment

AggregatorStablePrice contract is deployed to the Ethereum mainnet at: 0x18672b1b0c623a30089A280Ed9256379fb0E4E62. Source code available on Github.

Exponential Moving Average of TVL

The internal _ema_tvl() calculates the Exponential Moving Average (EMA) of the Total Value Locked (TVL) for multiple Curve StableSwap pools. There is a maximum of 20 pairs to consider, and each price pair (pool) must have at least 100k TVL.

New pairs can be added via add_price_pair.

Source code 
last_tvl: public(uint256[MAX_PAIRS])

@internal
@view
def _ema_tvl() -> DynArray[uint256, MAX_PAIRS]:
    tvls: DynArray[uint256, MAX_PAIRS] = []
    last_timestamp: uint256 = self.last_timestamp
    alpha: uint256 = 10**18
    if last_timestamp < block.timestamp:
        alpha = self.exp(- convert((block.timestamp - last_timestamp) * 10**18 / TVL_MA_TIME, int256))
    n_price_pairs: uint256 = self.n_price_pairs

    for i in range(MAX_PAIRS):
        if i == n_price_pairs:
            break
        tvl: uint256 = self.last_tvl[i]
        if alpha != 10**18:
            # alpha = 1.0 when dt = 0
            # alpha = 0.0 when dt = inf
            new_tvl: uint256 = self.price_pairs[i].pool.totalSupply()  # We don't do virtual price here to save on gas
            tvl = (new_tvl * (10**18 - alpha) + tvl * alpha) / 10**18
        tvls.append(tvl)

    return tvls
\[\text{alpha} = e^{ -\left(\frac{{(\text{block.timestamp} - \text{last_timestamp}) \cdot 10^{18}}}{{\text{TVL_MA_TIME}}}\right)}\]
\[\text{tvl} = \frac{(\text{new_tvl} * (10^{18} - \text{alpha}) + \text{tvl} * \text{alpha})}{10^{18}}\]
ema_tvl

PriceAggregator.ema_tvl() -> DynArray[uint256, MAX_PAIRS]

Getter for the exponential moving average of the TVL in price_pairs.

Returns: array of ema tvls (DynArray[uint256, MAX_PAIRS]).

Source code 
TVL_MA_TIME: public(constant(uint256)) = 50000  # s

last_tvl: public(uint256[MAX_PAIRS])

@external
@view
def ema_tvl() -> DynArray[uint256, MAX_PAIRS]:
    return self._ema_tvl()

@internal
@view
def _ema_tvl() -> DynArray[uint256, MAX_PAIRS]:
    tvls: DynArray[uint256, MAX_PAIRS] = []
    last_timestamp: uint256 = self.last_timestamp
    alpha: uint256 = 10**18
    if last_timestamp < block.timestamp:
        alpha = self.exp(- convert((block.timestamp - last_timestamp) * 10**18 / TVL_MA_TIME, int256))
    n_price_pairs: uint256 = self.n_price_pairs

    for i in range(MAX_PAIRS):
        if i == n_price_pairs:
            break
        tvl: uint256 = self.last_tvl[i]
        if alpha != 10**18:
            # alpha = 1.0 when dt = 0
            # alpha = 0.0 when dt = inf
            new_tvl: uint256 = self.price_pairs[i].pool.totalSupply()  # We don't do virtual price here to save on gas
            tvl = (new_tvl * (10**18 - alpha) + tvl * alpha) / 10**18
        tvls.append(tvl)

    return tvls

>>> PriceAggregator.ema_tvl()
59321570154325618129121893, 42600769394518064802429328, 8535901977675585449164114, 4775645754381802242168047
price

PriceAggregator.price() -> uint256:

Function to calculate the weighted price of crvUSD.

Returns: price (uint256).

Source code 
interface Stableswap:
    def price_oracle() -> uint256: view
    def coins(i: uint256) -> address: view
    def get_virtual_price() -> uint256: view
    def totalSupply() -> uint256: view

MAX_PAIRS: constant(uint256) = 20
MIN_LIQUIDITY: constant(uint256) = 100_000 * 10**18  # Only take into account pools with enough liquidity

price_pairs: public(PricePair[MAX_PAIRS])
n_price_pairs: uint256

@external
@view
def price() -> uint256:
    return self._price(self._ema_tvl())

@internal
@view
def _price(tvls: DynArray[uint256, MAX_PAIRS]) -> uint256:
    n: uint256 = self.n_price_pairs
    prices: uint256[MAX_PAIRS] = empty(uint256[MAX_PAIRS])
    D: uint256[MAX_PAIRS] = empty(uint256[MAX_PAIRS])
    Dsum: uint256 = 0
    DPsum: uint256 = 0
    for i in range(MAX_PAIRS):
        if i == n:
            break
        price_pair: PricePair = self.price_pairs[i]
        pool_supply: uint256 = tvls[i]
        if pool_supply >= MIN_LIQUIDITY:
            p: uint256 = price_pair.pool.price_oracle()
            if price_pair.is_inverse:
                p = 10**36 / p
            prices[i] = p
            D[i] = pool_supply
            Dsum += pool_supply
            DPsum += pool_supply * p
    if Dsum == 0:
        return 10**18  # Placeholder for no active pools
    p_avg: uint256 = DPsum / Dsum
    e: uint256[MAX_PAIRS] = empty(uint256[MAX_PAIRS])
    e_min: uint256 = max_value(uint256)
    for i in range(MAX_PAIRS):
        if i == n:
            break
        p: uint256 = prices[i]
        e[i] = (max(p, p_avg) - min(p, p_avg))**2 / (SIGMA**2 / 10**18)
        e_min = min(e[i], e_min)
    wp_sum: uint256 = 0
    w_sum: uint256 = 0
    for i in range(MAX_PAIRS):
        if i == n:
            break
        w: uint256 = D[i] * self.exp(-convert(e[i] - e_min, int256)) / 10**18
        w_sum += w
        wp_sum += w * prices[i]
    return wp_sum / w_sum

>>> PriceAggregator.price()
999964013300395878

Adding and Removing Price Pairs

price_pairs

PriceAggregator.price_pairs(arg0: uint256) -> tuple: view

Getter for the price pair at index arg0 and whether the price pair is inverse.

Returns: price pair (address) and true or false (bool).

Input Type Description
arg0 uint256 Index of the price pair
Source code 
price_pairs: public(PricePair[MAX_PAIRS])

>>> PriceAggregator.price_pairs(0)
'0x4DEcE678ceceb27446b35C672dC7d61F30bAD69E, false'

add_price_pair

PriceAggregator.add_price_pair(_pool: Stableswap):

Guarded Method

This function is only callable by the admin of the contract.

Function to add a price pair to the PriceAggregator.

Emits: AddPricePair

Input Type Description
_pool address Price pair to add
Source code 
event AddPricePair:
    n: uint256
    pool: Stableswap
    is_inverse: bool

@external
def add_price_pair(_pool: Stableswap):
    assert msg.sender == self.admin
    price_pair: PricePair = empty(PricePair)
    price_pair.pool = _pool
    coins: address[2] = [_pool.coins(0), _pool.coins(1)]
    if coins[0] == STABLECOIN:
        price_pair.is_inverse = True
    else:
        assert coins[1] == STABLECOIN
    n: uint256 = self.n_price_pairs
    self.price_pairs[n] = price_pair  # Should revert if too many pairs
    self.last_tvl[n] = _pool.totalSupply()
    self.n_price_pairs = n + 1
    log AddPricePair(n, _pool, price_pair.is_inverse)

>>> PriceAggregator.add_price_pair("0x0cd6f267b2086bea681e922e19d40512511be538")

remove_price_pair

PriceAggregator.remove_price_pair(n: uint256):

Guarded Method

This function is only callable by the admin of the contract.

Function to remove a price pair from the contract. If a prior pool than the latest added one gets removed, the function will move the latest added price pair to the removed pair pairs index to not mess up price_pairs.

Emits: RemovePricePair and possibly MovePricePair

Input Type Description
n uint256 Index of the price pair to remove
Source code 
event RemovePricePair:
    n: uint256

event MovePricePair:
    n_from: uint256
    n_to: uint256

@external
def remove_price_pair(n: uint256):
    assert msg.sender == self.admin
    n_max: uint256 = self.n_price_pairs - 1
    assert n <= n_max

    if n < n_max:
        self.price_pairs[n] = self.price_pairs[n_max]
        log MovePricePair(n_max, n)
    self.n_price_pairs = n_max
    log RemovePricePair(n)

>>> PriceAggregator.remove_price_pair("0x4DEcE678ceceb27446b35C672dC7d61F30bAD69E")

Admin Ownership

admin

PriceAggregator.admin() -> address: view

Getter for the admin of the contract, which is the Curve DAO OwnershipAgent.

Returns: admin (address).

Source code 
admin: public(address)

@external
def __init__(stablecoin: address, sigma: uint256, admin: address):
    STABLECOIN = stablecoin
    SIGMA = sigma  # The change is so rare that we can change the whole thing altogether
    self.admin = admin

>>> PriceAggregator.admin()
'0x40907540d8a6C65c637785e8f8B742ae6b0b9968'

set_admin

PriceAggregator.set_admin(_admin: address):

Guarded Method

This function is only callable by the admin of the contract.

Function to set a new admin.

Emits: SetAdmin

Input Type Description
_admin address new admin address
Source code 
event SetAdmin:
    admin: address

admin: public(address)

@external
def set_admin(_admin: address):
    # We are not doing commit / apply because the owner will be a voting DAO anyway
    # which has vote delays
    assert msg.sender == self.admin
    self.admin = _admin
    log SetAdmin(_admin)

>>> PriceAggregator.set_admin("0xd8dA6BF26964aF9D7eEd9e03E53415D37aA96045")

Contract Info Methods

SIGMA

PriceAggregator.SIGMA() -> uint256: view

Getter for the sigma value.

Returns: sigma (uint256).

Source code 
SIGMA: immutable(uint256)

@external
@view
def sigma() -> uint256:
    return SIGMA

>>> PriceAggregator.SIGMA()
1000000000000000

STABLECOIN

PriceAggregator.STABLECOIN() -> address: view

Getter for the stablecoin contract address.

Returns: crvUSD contract (address).

Source code 
STABLECOIN: immutable(address)

@external
@view
def stablecoin() -> address:
    return STABLECOIN

>>> PriceAggregator.STABLECOIN()
'0xf939E0A03FB07F59A73314E73794Be0E57ac1b4E'

last_timestamp

PriceAggregator.last_timestamp() -> uint256:

Getter for the latest timestamp. Variable is updated when price_w is called.

Returns: timestamp (uint256).

Source code 
last_timestamp: public(uint256)

>>> PriceAggregator.last_timestamp()
1689448067

last_tvl

PriceAggregator.last_tvl(arg0: uint256) -> uint256:

Getter for the total value locked of price pair (pool).

Returns: total value locked (uint256).

Input Type Description
arg0 uint256 Index of the price pair
Source code 
last_tvl: public(uint256[MAX_PAIRS])

>>> PriceAggregator.last_tvl()
1689448067

TVL_MA_TIME

PriceAggregator.TVL_MA_TIME() -> uint256: view

Getter for the time period for the calculation of the EMA prices.

Returns: timestamp (uint256).

Source code 
TVL_MA_TIME: public(constant(uint256)) = 50000  # s

>>> PriceAggregator.TVL_MA_TIME()
50000

last_price

PriceAggregator.last_price() -> uint256: view

Getter for the last price. This variable was set to \(10^{18}\) (1.00) when initializing the contract and is now updated every time calling price_w.

Returns: last price (uint256).

Source code 
last_price: public(uint256)

@external
def __init__(stablecoin: address, sigma: uint256, admin: address):
    STABLECOIN = stablecoin
    SIGMA = sigma  # The change is so rare that we can change the whole thing altogether
    self.admin = admin
    self.last_price = 10**18
    self.last_timestamp = block.timestamp

@external
def price_w() -> uint256:
    if self.last_timestamp == block.timestamp:
        return self.last_price
    else:
        ema_tvl: DynArray[uint256, MAX_PAIRS] = self._ema_tvl()
        self.last_timestamp = block.timestamp
        for i in range(MAX_PAIRS):
            if i == len(ema_tvl):
                break
            self.last_tvl[i] = ema_tvl[i]
        p: uint256 = self._price(ema_tvl)
        self.last_price = p
        return p

>>> PriceAggregator.last_price()
999385898759491513

price_w

PriceAggregator.price_w() -> uint256:

Function to calculate and write the price. If called successfully, updates last_tvl, last_price and last_timestamp.

Returns: price (uint256).

Source code 
@external
def price_w() -> uint256:
    if self.last_timestamp == block.timestamp:
        return self.last_price
    else:
        ema_tvl: DynArray[uint256, MAX_PAIRS] = self._ema_tvl()
        self.last_timestamp = block.timestamp
        for i in range(MAX_PAIRS):
            if i == len(ema_tvl):
                break
            self.last_tvl[i] = ema_tvl[i]
        p: uint256 = self._price(ema_tvl)
        self.last_price = p
        return p

@internal
@view
def _price(tvls: DynArray[uint256, MAX_PAIRS]) -> uint256:
    n: uint256 = self.n_price_pairs
    prices: uint256[MAX_PAIRS] = empty(uint256[MAX_PAIRS])
    D: uint256[MAX_PAIRS] = empty(uint256[MAX_PAIRS])
    Dsum: uint256 = 0
    DPsum: uint256 = 0
    for i in range(MAX_PAIRS):
        if i == n:
            break
        price_pair: PricePair = self.price_pairs[i]
        pool_supply: uint256 = tvls[i]
        if pool_supply >= MIN_LIQUIDITY:
            p: uint256 = price_pair.pool.price_oracle()
            if price_pair.is_inverse:
                p = 10**36 / p
            prices[i] = p
            D[i] = pool_supply
            Dsum += pool_supply
            DPsum += pool_supply * p
    if Dsum == 0:
        return 10**18  # Placeholder for no active pools
    p_avg: uint256 = DPsum / Dsum
    e: uint256[MAX_PAIRS] = empty(uint256[MAX_PAIRS])
    e_min: uint256 = max_value(uint256)
    for i in range(MAX_PAIRS):
        if i == n:
            break
        p: uint256 = prices[i]
        e[i] = (max(p, p_avg) - min(p, p_avg))**2 / (SIGMA**2 / 10**18)
        e_min = min(e[i], e_min)
    wp_sum: uint256 = 0
    w_sum: uint256 = 0
    for i in range(MAX_PAIRS):
        if i == n:
            break
        w: uint256 = D[i] * self.exp(-convert(e[i] - e_min, int256)) / 10**18
        w_sum += w
        wp_sum += w * prices[i]
    return wp_sum / w_sum

>>> PriceAggregator.price_w()
999385898759491513