High-level model for the returns to providing liquidity in Uniswap v2 liquidity pools. There are two assets X and Y in the pool with reserves x and y of each, with pool constant k = x * y and price p = x / y.
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Nice thread! I would love to see some graphical analysis of LP "implied volatility" over time compared to realised volatility!
Happy to oblige if someone wanted to hook me up with historical data on Uniswap pools ;)
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You can use thegraph for this (it’s GraphQL API for fetching historical on chain data) Other than that you can use a web3 library (brownie/web3py or ethers.js for example) to fetch events from a Uniswap pool contract
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@bantg has examples of the latter on his GitHub: https://github.com/banteg/woofy-snapshot/blob/master/scripts/snapshot.py …
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