Price Feeds
Just as adapters and external positions interact with external "integratees," so do price feeds interact with sources that provide them with the data they need to provide rates.
Converts an amount of a
AuraBalancerV2LpStakingWrapper token into its underlying Balancer Pool Token (rate is always 1:1)Mainnet contracts:
- each wrapper contract
Converts an amount of a gauge-staked Balancer Pool Token (BPT) into its underlying BPT (rate is always 1:1)
Prices Balancer Pool Tokens (BPTs) for pool types (e.g., ComposableStablePool, StablePool, etc) where all underlyings are assumed to hold a relative peg to the same invariant (e.g., USD stable coins, synthetic/wrapped representations of ETH, etc).
Remembering that deriving the underlying value for a derivative in Enzyme consists of returning underlying asset(s) and amount(s), there are two components for returning a value:
- 1.Underlying asset: each BPT is assigned an "invariant proxy asset," a supported asset in the protocol that is chosen to be the proxy (i.e., representative) of the pool invariant (e.g., WETH in the case of a wstETH pool).
- 2.Underlying amount: the amount of the invariant proxy asset is calculated via the pool's
getRate()that is based on internal balances and optional "rate providers" of its underlyings (provided natively in all such Balancer pools).
Considerations: See CurvePriceFeed, as the same considerations hold for the use of an "invariant proxy asset"
Prices Balancer Pool Tokens (BPTs) for weighted pools
Considerations: Always returns the value in terms of the
INTERMEDIARY_ASSET (same for all BPTs, per network), e.g., WETH on Ethereum mainnet.Each rate pair (we use those quoted in either USD or ETH) is provided by a Chainlink "aggregator," and we interact with the proxy contracts for those aggregators.
Considerations:
We do not check timestamps on every price lookup, rather we provide a function to allow quickly removing an aggregator that is considered to be stale. If an aggregator is removed, the corresponding primitive will cease to produce a price from the feed and will revert, causing any function that relies on that price to fail until it is re-instituted. This is the desired behavior.
Queries each Compound Token (cToken) directly for its rate.
Considerations:
We query the cached rate instead of the live rate for gas savings. cTokens rates change negligibly for long periods of time.
Converts an amount of a
ConvexCurveLpStakingWrapper token into its underlying Curve LP token (rate is always 1:1)Provides prices for all Curve LP tokens, both staked and unstaked. Staking LP tokens to the pool's "liquidity gauge" (or to a liquidity gauge wrapper contract) returns an equal amount of tokens representing the stake in that liquidity gauge. i.e., 1 LP token is equivalent to 1 liquidity gauge token in value.
Remembering that deriving the underlying value for a derivative in Enzyme consists of returning underlying asset(s) and amount(s), there are two components for returning a value:
- 1.Underlying asset: each LP token (staked or unstaked) is assigned an "invariant proxy asset," a supported asset in the protocol that is chosen to be the proxy (i.e., representative) of the pool invariant (e.g., WETH in the case of the stETH pool).
- 2.Underlying amount: the amount of the invariant proxy asset is calculated via the pool's "virtual price" (provided natively in all Curve pools).
Considerations:
Since an arbitrary asset is chosen for the single underlying asset returned by the price feed (rather than considering all values and balances of the pool's underlyings), the live value of an LP token within Enzyme will always deviate from the redeemable value by some small percentage. This deviation is insignificant for a couple reasons:
- Assets that temporarily lose their peg will generally lose it in the downward direction, which would cause the redeemable value of an LP token to be less than its virtual price-derived Enzyme value. This condition is not susceptible to investor-side arbitrage in Enzyme funds, where the concern is preventing the purchase of discounted shares (whereas using the virtual price results in temporarily inflated share price). Further, as long as the loss of peg is assumed to be temporary, using the virtual price rather than this ephemeral imbalance protects the fund from discounted shares.
- In the more extreme case of permanent loss of peg, Curve only works if all pooled assets generally hold their peg to the invariant. If any one asset were to permanently lose its peg to the invariant, the redeemable value of the LP token itself would capitulate, as arbitragers drain the pool of all but the fallen asset.
Prices tokenized vault shares following the ERC4626 standard.
Considerations:
- uses
ERC4626.convertToAssets()for pricing
Provides a value for each
IdleToken to its underlying asset.Considerations: Does not take into account user-specific fees (i.e., relative to the vault) that are charged upon redeeming
IdleToken for its underlyingImmediately reverts upon any price lookup.
The purpose of the
RevertingPriceFeed is to be able to keep an asset in our asset universe, while disabling any actions that rely on accurate GAV calculation. It is only to-be-used as a temporary stop gap to allow the continued functionality of integrations, at the cost of limited functionality in the core system.Tracking an asset that uses the RevertingPriceFeed causes an action that depends on GAV to revert, affecting, for example:
- deposits
- fees that depend on GAV
- policies that depend on GAV
Note that reverting fees are skipped during shares redemption, which would affect a fund that has GAV-dependent fees that settle upon redemption (e.g.,
PerformanceFee) and that tracks any asset that uses the RevertingPriceFeed.Uses a special pool manipulation-resistant formula that takes into consideration the current underlying asset balances and pool token balance in the given Uniswap pool (
UniswapV2Pair) along with a trusted rate between the two underlying tokens.See also the sample implementation we based this on: https://github.com/Uniswap/uniswap-v2-periphery/blob/267ba44471f3357071a2fe2573fe4da42d5ad969/contracts/libraries/UniswapV2LiquidityMathLibrary.sol
Considerations: Live prices
Provides a value for wrapped Lido stETH (wstETH)
Provides a value for each
yVault (Yearn vault v2) in terms of its underlying assetConsiderations:
- Live prices
- Note that while all Yearn vault v2 instances adhere to the same interface, each individual instance uses one of many particular versioned implementations (see registry contract above). Only the price feed interactions with expected behaviors of interface functions can be realistically audited.