ExponentialScience/svb-stablecoins-hourly-lp-positions

Hourly Raw Liquidity-Provider Positions on Uniswap V3 (Feb-Apr 2023)

Replication dataset for:

Hernandez Cruz, W., Xu, J., Tasca, P., and Campajola, C. (2024). No Questions Asked: Effects of Transparency on Stablecoin Liquidity During the Collapse of Silicon Valley Bank. arXiv:2407.11716 [q-fin.TR]. https://arxiv.org/abs/2407.11716

Raw Uniswap V3 subgraph response: one row per active NFT position per hourly snapshot. No USD valuation, no aggregation, no normalisation. Every primitive (id, owner, liquidity, tickLower, tickUpper) is preserved with the pool and snapshot context needed to reproduce per-position USD valuation. Companion: tick-level liquidity at ExponentialScience/svb-stablecoins-hourly-tick-liquidity.

Files

file	size	rows
lp_positions_hourly.parquet	~1546 MB	23,135,549
pools.csv	<1 MB	199

Schema

column	type	description
datetime_utc	timestamp	snapshot UTC time
block_number	int	Ethereum block of the snapshot
pool_address	string	Uniswap V3 pool contract
trading_pair	string	pool key, e.g. USDCWETH3000
fee_tier	int	fee tier in 0.01% units (100/500/3000/10000)
stablecoin	string	USDC or USDT
tick_spacing	int	tick spacing for the fee tier
token0_symbol/token1_symbol	string	underlying tokens
token0_decimals/token1_decimals	int	ERC-20 decimals
cross_tick	int	pool's active tick
sqrt_price_x96	string	pool's sqrtPriceX96
price_in_stablecoin	float	non-stablecoin mid-price
position_id	string	Uniswap V3 NFT id
owner	string	LP wallet (0x...)
liquidity	string	position's raw liquidity (uint as string)
tickLower/tickUpper	int	position's tick range

Coverage

28 Feb 2023 to 1 Apr 2023 (hourly, UTC). ~200 USDC and USDT pools. ~30 000 positions per hour.

Per-LP USD TVL (paper's pipeline)

import pandas as pd, sys
sys.path.append("path/to/svb-stablecoins-liquidity")
from src.data.collection.getPositionsData import compute_lp_tvls

df = pd.read_parquet("lp_positions_hourly.parquet", engine="fastparquet")
sub = df[(df["datetime_utc"] == "2023-03-11 03:00:00")
         & (df["pool_address"] == "0x88e6a0c2ddd26feeb64f039a2c41296fcb3f5640")]
state = {c: sub.iloc[0][c] for c in [
    "cross_tick", "sqrt_price_x96", "block_number", "fee_tier",
    "price_in_stablecoin", "token0_symbol", "token1_symbol",
    "token0_decimals", "token1_decimals", "trading_pair", "tick_spacing"]}
state["sqrt_price_x96"] = str(state["sqrt_price_x96"])
positions = [{
    "id": str(r.position_id), "owner": r.owner,
    "liquidity": str(r.liquidity),
    "tickLower": {"tickIdx": int(r.tickLower)},
    "tickUpper": {"tickIdx": int(r.tickUpper)}} for r in sub.itertuples()]
lp_df, raw_total = compute_lp_tvls(positions, state, sub.iloc[0]["pool_address"])

In-range / out-of-range classification (Appendix D)

df["in_range"] = ((df["tickLower"] <= df["cross_tick"])
                  & (df["cross_tick"] < df["tickUpper"]))

Companion repository

• Hourly tick-level liquidity: ExponentialScience/svb-stablecoins-hourly-tick-liquidity

Key dates

• Silvergate wind-down: 2023-03-08
• SVB stock collapse: 2023-03-09
• Circle's disclosure of $3.3B at SVB: 2023-03-11 03:11 UTC (Treatment 1)
• Fed/FDIC/Treasury Joint Statement: 2023-03-12 22:24 UTC (Treatment 2)
• Silicon Valley Bridge Bank, N.A. chartered: 2023-03-13
• SVB Financial Group Chapter 11: 2023-03-17 13:00 UTC (placebo anchor)
• First Citizens Bank acquires SVBB: 2023-03-26/27

License

CC-BY-4.0. Data derived from public Uniswap V3 smart-contract events and publicly-available archival node data. Please cite the accompanying paper.

Citation

@misc{cruz2024questionsaskedeffectstransparency,
      title={No Questions Asked: Effects of Transparency on Stablecoin Liquidity During the Collapse of Silicon Valley Bank},
      author={Walter Hernandez Cruz and Jiahua Xu and Paolo Tasca and Carlo Campajola},
      year={2024},
      eprint={2407.11716},
      archivePrefix={arXiv},
      primaryClass={q-fin.TR},
      url={https://arxiv.org/abs/2407.11716},
}

Contact

• Walter Hernandez Cruz - walter.hernandez.18@ucl.ac.uk (UCL Centre for Blockchain Technologies & Exponential Science)
• Jiahua Xu - jiahua.xu@ucl.ac.uk (UCL Centre for Blockchain Technologies)