demo-volatility-oracles

Chainsight platform demo to integrate with Uniswap V3

• Stores Uniswap V3 prices as time series data
• Calculates a financial index (Realized Volatility)
• Synchronizes the calculated index with other blockchains

Demo Application Images

Design

Uniswap v3 Pool Exchange Rate

The exchange_rate is calculated by using the value obtained from the following view function of UniswapPoolV3.

• sqrtPriceX96 from UniswapPoolV3#slot0
• blockTimestamp from UniswapPoolV3#observations
  • Used for mapping price to the relevant date and time

ex: USDC/WETH

exchange_rate = {(sqrtPriceX96)^2 / 2^192}
  * 10^6  // USDC decimals
  / 10^18 // WETH decimals

ref: A primer on Uniswap v3 math: As easy as 1, 2, v3

Realized Volatility (RVOL)

RVOL is derived by using the exchange_rate Pt corresponding to a certain time range t calculated by the above formula, using N number of data for the period under consideration, and applying the following formula.

ex: Calculate daily RVOL

• t: 1day
• N: 24
• Pt,i: The i th exchange rate belonging to period t
  • Pt,0 exchange_rate corresponds to YYYYMMDDT00:00:00Z
  • Pt,1 exchange_rate corresponds to YYYYMMDDT01:00:00Z

$$RVOL_{t} = \sqrt{N_{1}} \times \sqrt{\frac {\sum_{i=1}^N r_{t,i}^2} N}$$ $$r_{t,i} = 100 \times ln(P_{t,i}/P_{t,i-1})$$

More information

• About Chainsight
  • Introduction - Chainsight Network
• About Integration
  • In case of Uniswap: Decentralized Asset Rating Oracles powered by Uniswap v3 and Chainsight