arb-rewind

Rewind mainnet to any block. Scan DEXes. Find the arbitrage you missed.

A Foundry-based historical arbitrage backtesting engine for EVM DEXes. Forks mainnet at any block, quotes 4 DEX families (Uniswap V2/V3, Curve, Balancer V2), and runs a log-space triangular arbitrage detector across every A→B→C→A cycle. An executor path simulates a Balancer V2 flashloan end-to-end to prove the winning cycle would settle.

No private keys. No live transactions. Everything runs inside forge test.

Quick start

cp .env.example .env   # set MAINNET_RPC_URL
forge install          # or: git submodule update --init --recursive
source .env && forge test

First run is cold-fork slow (30–120s per case); subsequent runs cache in ~/.foundry/cache/.

Example — USDC depeg, Mar 11 2023 @ block 16,804,000

A few hours after SVB froze Circle's USDC reserve, before MEV searchers had fully closed the window:

  UniV2 USDC->USDT rate: 0.902158493700000000
  UniV3 USDC->USDT rate: 0.903699397700000000
  Curve USDC->USDT rate: 0.905973036800000000
  UniV2 USDC->DAI rate:  0.974088341049807260
  UniV3 USDC->DAI rate:  0.977605082165469346
  ...
  profitable triangles: 4
  ------- top candidates -------
    logProfit (1e18): 1556908663373049   (USDC->WETH->DAI->USDC,  +0.1556%)
    logProfit (1e18): 1297802508273535   (USDC->DAI->USDT->USDC,  +0.1297%)
    logProfit (1e18):  888461768292190   (USDC->WETH->USDT->USDC, +0.0888%)
    logProfit (1e18):  503736545450560   (USDC->USDT->WETH->USDC, +0.0503%)

Four closed triangles with positive log-profit, peaking at +0.1556% — a real, MEV-available arb sitting on-chain at that block. The test pins it in place with assertGt(profitable.length, 0).

Point any case file's vm.createSelectFork at a different block to scan your own moment in history. See test/cases/ for three worked examples (USDC depeg, yen-carry unwind, PEPE spike) and docs/HISTORICAL_MOMENTS.md for per-case narrative.

Architecture

           +------------------+
           | Case test (fork) |
           +--------+---------+
                    |
                    v
           +------------------+       +------------------+
           |  Scanners x 4    | ----> |   PriceGraph     |
           |  V2/V3/Curve/Bal |       |  (edge index)    |
           +------------------+       +--------+---------+
                                               |
                                               v
                                      +------------------+
                                      |   ArbDetector    |
                                      |  (log-space,     |
                                      |   greedy/hop)    |
                                      +--------+---------+
                                               |
                     (optional execution path) |
                                               v
                                      +------------------+
                                      |   ArbExecutor    |
                                      |  (Balancer V2    |
                                      |   flashloan +    |
                                      |   multi-DEX)     |
                                      +------------------+

• Scanners read DEX state at the forked block (no writes).
• PriceGraph indexes directed rate edges per token pair.
• ArbDetector enumerates A→B→C→A triangles; ranks by ln(r_AB) + ln(r_BC) + ln(r_CA). Positive sum = profitable cycle.
• ArbExecutor runs the ranked cycle inside the fork via a zero-fee Balancer V2 flashloan. test/ArbExecutor.t.sol proves dispatch correctness (not profit — see limitations).

Math details in docs/ALGORITHM.md.

Limitations

• Triangles only. No 4+ cycles. Real 2024+ arb paths are often multi-hop.
• Greedy per-hop edge choice. Picks best-quoted venue per hop; does not jointly optimize edge selection with trade size.
• Fixed probe size per token. One quote size per case; no slippage curve sweep.
• Research surface, not a production searcher. No mempool awareness, no tick-level V3 math, no bundle competition. Surfaces market structure; does not capture it.

Repo layout

src/
  scanners/    4 DEX quote adapters
  ArbDetector  triangle enumeration (log-space)
  ArbExecutor  flashloan + multi-DEX dispatch
  PriceGraph   directed edge index
test/
  scanners/    per-DEX fork tests
  cases/       historical case studies
  ArbExecutor  end-to-end flashloan test

License

MIT. See LICENSE.