Price Feed Sources

Just as adapters interact with external "integratees," so do price feeds interact with sources that provide them with the data they need to provide rates.

AavePriceFeed

Prices Aave aTokens , which are pegged 1:1 with the value of their underlying, e.g., 1 aAAVE is equal to 1 AAVE . aTokens accrue interest via a formulaic rebasing mechanism.

Docs: https://docs.aave.com/developers/the-core-protocol/atokens

Mainnet contracts:

ProtocolDataProvider : 0x057835Ad21a177dbdd3090bB1CAE03EaCF78Fc6d

Considerations: Always directly returns the input amount as the output amount (i.e., 1:1 pegging)

AlphaHomoraV1PriceFeed

Provides a price for ibETH .

Docs: https://github.com/AlphaFinanceLab/alphahomora/blob/master/contracts/5/Bank.sol

Mainnet contracts:

Bank (ibETH): 0x67B66C99D3Eb37Fa76Aa3Ed1ff33E8e39F0b9c7A

Considerations: Uses cached rate

ChainlinkPriceFeed

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.

Docs: https://docs.chain.link/docs/using-chainlink-reference-contracts

Mainnet contracts: each aggregator

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.

ChaiPriceFeed

This price feed mimics how Chai determines its rate in its codebase, by interacting with Maker DAO's DSR Pot contract.

Docs: https://github.com/dapphub/chai

Mainnet contracts:

Pot - 0x197E90f9FAD81970bA7976f33CbD77088E5D7cf7

Considerations:

We do not call Pot.drip() before calculating price as in Chai, in order to save gas (drip() updates storage). The CHAI-DAI rate changes negligibly for even long periods of time.

CompoundPriceFeed

Queries each Compound Token (cToken) directly for its rate.

Docs: https://compound.finance/docs

Mainnet contracts: each cToken

Considerations:

We query the cached rate instead of the live rate for gas savings. Like CHAI, cTokens rates change negligibly for long periods of time.

CurvePriceFeed

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 arbitrarily 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.

IdlePriceFeed

Provides a value for each IdleToken to its underlying asset.

Docs: https://developers.idle.finance/

Mainnet contracts: each IdleToken

Considerations: Does not take into account user-specific fees (i.e., relative to the vault) that are charged upon redeeming IdleToken for its underlying

LidoStethPriceFeed

Immediately returns that the input amount of Lido Staked ETH (stETH) is equal to the same numerical amount (at a 1:1 ratio) of WETH.

StakehoundEthPriceFeed

Immediately returns that the input amount of Stakehound Staked ETH (stETH) is equal to the same numerical amount (at a 1:1 ratio) of WETH.

SynthetixPriceFeed

Queries the Synthetix Exchanger contract to get the rate for a Synth in terms of sUSD .

Docs: https://docs.synthetix.io/

Mainnet contracts:

  • AddressResolver - 0x61166014E3f04E40C953fe4EAb9D9E40863C83AE

Considerations: Live prices

UniswapV2PoolPriceFeed

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.

Docs: https://uniswap.org/docs/v2/

Mainnet contracts:

  • UniswapV2Factory: 0x5C69bEe701ef814a2B6a3EDD4B1652CB9cc5aA6f

  • instances of UniswapV2Pair

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

WDGLDPriceFeed

This price feed uses a known formula for pricing DGLD based on the current rate of XAU. It uses Chainlink aggregators directly.

Docs: https://dgld.ch/

Mainnet Contracts:

  • XAU/USD Aggregator: 0x214eD9Da11D2fbe465a6fc601a91E62EbEc1a0D6

  • ETH/USD Aggregator 0x5f4eC3Df9cbd43714FE2740f5E3616155c5b8419

Considerations: Live prices