UNISWAP V3

Atis Elsts atis.e

[email protected]

2021 9 30

Uniswap (DEX) (DeFi) Uniswap

(AMM) Uniswap v3
concentrated liquidity

Uniswap v3

Uniswap v3 [1] [2 4]
Uniswap

P X Y
P X x Y
X x y Y P

1
Uniswap v3

2.1

[1] 6.5 6.6 L x y

√ yvirtual
L = xvirtual · P = √
P
1
For the accompanying example code, see https://github.com/atiselsts/uniswap-v3-liquidity-math/blob/
master/uniswap-v3-liquidity-math.py. Note that the code is meant to illustrate the math: it’s not directly suitable for
use in real projects!
 L IQUIDITY M ATH IN U NISWAP V 3

1
Symbol name Whitepaper Uniswap code Notes
√
Price P sqrtRatioX96 Code tracks P
for efficiency reasons
√
Lower bound of a price range pa sqrtRatioAX96 Code tracks √pa
Upper bound of a price range pb sqrtRatioBX96 Code tracks pb
The first asset X token0
The second asset Y token1
Amount of the first asset x amount0
Amount of the second asset y amount1
Virtual liquidity L liquidity,
amount

x y virtual x y
6.29 6.30 LiquidityAmounts.sol2

2.2
L √
(xreal + √ )(yreal + L pa ) = L2
pb
2.2 L
X Y

1. P ≤ pa X y=0
L √
(x + √ )L pa = L2 (1)
pb
√
√ pa
x pa + L √ = L (2)
pb
L L
x= √ −√ (3)
pa pb
√ √
pb − pa
x=L √ √ (4)
pa · pb

√ √
pa · pb
L = x√ √ (5)
pb − pa

2. P ≥ pb Y x=0
L √
√ (y + L pa ) = L2 (6)
pb
√
y pa
√ + L √ =L (7)
pb pb
√ √
y = L( pb − pa ) (8)

y
L= √ √ (9)
pb − pa
2https://github.com/Uniswap/uniswap-v3-periphery/blob/main/contracts/libraries/LiquidityAmounts.sol#L120

2
 L IQUIDITY M ATH IN U NISWAP V 3

3. pa < P < pb
x P, pb Lx y pa , P
Ly
5 9 P (pa , pb (
P, pb) X (pa , P ) Y 5 9
Lx (P, pb ) = Ly (pa , P )
√ √
P· pb y
x√ √ =√ √ (10)
pb − P P − pa
10 x, y, P, pa , pb x y
4 8
√ √
pb − P
x=L √ √ (11)
P · pb
√ √
y = L( P − pa ) (12)

P ≤ pa y=0 x 4 P ≥ pb x=
0 y 8 pa < P < pb x y 1
1 12

6.29 6.30 ∆

4-12 6.29 6.30

∆L = L

2.2

2.2.1
P both pa pb 10

P x y pa pb P x y pb pa P
x y z% pb pa %
pb pa
P P

pa < P < p b
L 12 11 pa pb

√ √
y
pa = P− (13)
√L
√ P
pb = L √ (14)
L− P ·x
3
The Uniswap source code calculates both Lx and Ly and returns the minimum of them: L = min(Lx , Ly ). Essentially, this
forces the position to be balanced, if it was unbalanced for whatever reasons – either because the user provided an incorrect amount
of x or y, or because of rounding errors that are likely if the current price is close to one of the boundaries of the range.

3
 L IQUIDITY M ATH IN U NISWAP V 3

10 pa pa
√ y √ y
pa = √ + P−√ (15)
pb · x P ·x
√
√ Py
pb = √ √ (16)
pa P x − P x + y
2.2.2
c d c2 P
d2 P r
def pb
c= (17)
P
r
def pa
d= (18)
P

√ √
pb
P = (19)
√ √c
pa
P = (20)
d√
√
pb = c · P (21)
√ √
pa = d · P (22)
10
y
c= (23)
(d − 1) · P · x + y
(1 − c) · y
d=1+ (24)
c·P ·x
pa 70% c2 70% = 0.7 24 d2
pb

3
3.1

[1]
Ticks. Uniswap (tick) i p(i) = 1.00
i
01 Tick spacing.
1% 200 0.
3% 60 0.05% 10 Fixed point math. Uniswap v
4
3 Solidity
Decimals ERC20

ERC20 10decimals ERC20

DAI 18 USDC 6 1 USDC
1 DAI 1 USDC DAI 1018−6 = 1012

4 Uniswap JavaScript JSBI

Python 3.8

4
 L IQUIDITY M ATH IN U NISWAP V 3

3.2

Uniswap U
I

3.2.1 1
Problem: x = 2 ETH ETH/USDC ETH P =2000 USD
C pa = 1500 pb = 2500 USDC USDC (y)

Solution: 5 pa P
√ √
P · pb
Lx = x √ √
pb − P

L 8 y
√ √
y = Lx ( P − pa )

y =5076.10 USDC

3.2.2 2
Problem: x = 2 ETH y = 4000 USDC pb = 3000 USDC/ETH
(pa)
Solution: 1 pa
15
y √ y
pa = ( √ + P−√ )2
pb · x P ·x

pa = 1333.33 USDC
USDC ETH

3.2.3 3
Problem: 2 ETH P = 2500 USDC

Solution: pa = 1333.33
√ √
P·
pb
Lx = x √ √
pb − P
y
Ly = √ √
P − pa

64 Lx = 487.41718030204123 Ly = 487.4144693682443 L
L = min(Lx , Ly ) Lx
P 0 = 2500 4 8 x0 y0
√ √
0 pb − P 0
x =L √ √
P 0 · pb
√ √
y 0 = L( P 0 − pa )

x = 0.85 ETH y = 6572.89 USDC

5
 L IQUIDITY M ATH IN U NISWAP V 3

6.14 6.16
√ √ √
∆ P = P0 − P
1 1 1
∆√ = √ − √
P P 0 P
1
∆x = ∆ √ · L
P
√
∆y = ∆ P · L
x0 = x + ∆x
y 0 = y + ∆y

∆x = −1.15 ETH ∆y = +2572.89 USDC

3.3 s

3.3.1 Uniswap v3
5
Tick Uniswap v3 API Uniswap v3
[1] Tick Uniswap v3 ticks
Tick tick base Uniswap 1.0001 i tick

p(i) = 1.0001i

i = log1.0001 p(i)

p
p(i) = 1.0001i/2
p
i = 2 · log1.0001 p(i)

3.3.2
y x UI X Y

Uniswap v3 NFT ID 600006 NFT 1 NFT

200240 200700

pa = 496452748.01
pb = 519821773.17

USDC X decimalsx = 6 ETH Y

y
decimalsy = 18 x
y x y 10decimalsx y
padjusted = / = · = · 10x−y = p · 10x−y
10decimalsy 10decimalsx x 10decimalsy x

496452748.01
padjusteda = 496452748.01 · 106−18 = = 0.00049645274801
1012
519821773.17
padjustedb = 519821773.17 · 106−18 = = 0.00051982177317
1012
5
https://thegraph.com/legacy-explorer/subgraph/uniswap/uniswap-v3
6
https://app.uniswap.org/#/pool/60000

6
 L IQUIDITY M ATH IN U NISWAP V 3

1 Uniswap NFT

f ETH USDC USDC ETH

1
= 2014.29
padjusteda
1
= 1923.74
padjustedb

3.3.3

Uniswap v2 Uniswap v3

7
The Graph The Graph
0.3% USDC/ETH
{ {id 0x8ad599c3a0ff1de082011efddc58f1908eb6e6d8 } {
}}

L = 22402462192838616433 tick = 195574 3211.84 USDC/ETH

The full code of this example can be found at https://github.com/atiselsts/uniswap-v3-liquidity-math/blob/

7

master/subgraph-liquidity-query-example.py

7
 L IQUIDITY M ATH IN U NISWAP V 3

0.3% 60 60

tickbottom = 195540
ticktop = 195600

pa = 1.0001tickbottom = 1.0001195540
pb = 1.0001ticktop = 1.0001195600

11 12 USDC ETH

√ √
pb − P
x=L √ √ = 1649346952148
P · pb
√ √
y = L( P − pa ) = 671393300975203516416

x
xadjusted = ≈ 1 649 347
106
y
yadjusted = 18 ≈ 671.39
10
165 671 ETH 165
671 ETH

Uniswap Discord

[1] H. Adams N. Zinsmeister M. Salem R. Keefer D. Robinson Uniswap v3 Core Uniswap Labs
2021 [2] M. Neuder R. Rao D. J. Moroz D. C. Parkes Uniswap v3
arXiv preprint arXiv:2106.12033 2021 [3] J. Clark
Available at SSRN 2021 [4] J. Yin M. Ren Uniswap v3
arXiv preprint arXiv:2108.05800 2021