Uniswap V3 TWAP Price Feed

Decentralized price feed based on Uniswap V3 TWAP oracles

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Uniswap V3 pools can be used as decentralized price feed oracles. However they have intrinsic limitations, for example:

• It's not possible to programmatically retrieve quotes for a currency pair without knowing the reference pool in advance;
• Since every currency pair has multiple pools, each with a different fee, it's possible to get a wrong quote by querying a pool with low liquidity;
• Liquidity constantly varies in pools, so the most active pool for a currency pair can change over time;
• Interacting with Uniswap V3 TWAP oracles can be challenging or expensive.

The aim of this price feed is to solve these issues while providing increasingly reliable and efficient quotes the more users benefit from it.

Rationale

Over sufficiently large time intervals, harmonic mean liquidity (TWAL) can be used to programmatically determine the main / most traded pool for a currency pair, among the ones with various fees.

You can learn more about TWAL and Liquidity Oracles in the Uniswap V3 Core whitepaper.

The price feed relies on the collaborative effort of users to keep updated the reference for the main pool for each currency pair. This is facilitated by getUpdatedPool and getQuoteAndUpdatePool which allow interacting with the feed while updating stale pools and increasing observation cardinality at the same time.

This design choice provides the following benefits:

1. Users can update pools and increase their cardinality more or less frequently, depending on their needs;
2. Users improve reliability of Uniswap V3 pools by increasing their cardinality as they interact with them;
3. The more the price feed is used, the higher its efficiency, reliability and usefulness for the Ethereum ecosystem.

At the same time anyone can use getPool to retrieve the current main pool for a currency pair, or getQuote to get a time-weighted quote by specifying the currency addresses, the amount of base currency to convert and the desired twap interval.

This makes it easy and efficient to interact with TWAP oracles or integrate them into other smart contracts.

The price feed is used by the Slice protocol to provide dynamic pricing for products in any ERC20 currency, periodically updating the pools it interacts with.

Functions

• getPool: Get the latest updated pool for a currency pair
• getQuote: Get quote from the latest updated pool for a currency pair
• updatePool: Update the main pool for a currency pair
• getUpdatedPool: Get the main pool for a currency pair, and update it if deemed stale
• getQuoteAndUpdatePool: Get quote given a currency pair and amount, and update main pool if deemed stale

See the specifics in the PriceFeed contract.

Gotchas

• Quotes and updates don't trigger reverts, so any quote or pool equal to respectively 0 or address(0) has to be handled appropriately from the caller.
• Quotes represent a time-weighted average price for a currency in a certain amount of time (see TWAP oracles), or based on a spot price. As such they're well suited to estimate the value of a currency with respect to another, but they shouldn't be used to estimate with precision the amount received for a swap.
• While Uniswap V3 TWAP oracles are much more resilient to attacks than V2 pools, an incentivised party may still be able to manipulate the price significantly. This is especially valid for low liquidity pools.
• The price feed doesn't impose a specific TWAP interval, so care should be taken by the caller in choosing an appropriate value.

Deployments

PriceFeed has been deployed to 0x71c96edD5D36935d5c8d6B78bCcD4113725297e3 on the following networks:

• Ethereum Mainnet
• Ethereum Goerli Testnet
• Optimism
• Base on 0x2b3...58F

Contribute

This project uses Foundry as development framework.

Merge to earn

This project uses Merge to earn to reward contributors with a piece of the Price feed slicer and its earnings, when pull requests are merged.