Chainlink Price Feeds

Chainlink Price Feed Contracts

Start with reading using price feeds.

Check out the feed contracts

Play around with the USDC/USD feed contract in the etherscan interface

• description shows the feed description (eg 'USDC / USD')
• decimals returns the number of decimals to use (eg 8)
• latestRoundData returns the most recent price feed data
• phaseId returns the id of the currently active aggregator
• phaseAggregators returns the aggregator contract address for the provided phase id

Using phaseAggregators(1) returns the first aggregator contract. Play around with the first USDC/USD aggregator contract

• getRoundData returns the price feed data for the specified round 1 ... latestRound
• latestRound returns the last round id for this feed contract that provided price feed data.

Dealing with Historical Price Feed Data

Working with the Chainlink price feed data is straight forwards as long as there is only a single active aggregator contract.

When more than a single aggregator contract is producing data for a given time frame the situation is less clear.

Attempt to clarify this point on Stackexchange

Data Extraction Pipeline

Extract raw data using chainlink price feed contract for USDC/USD on ethereum mainnet.

Extracting extensive amounts of data using a public RPC endpoint usually leads to running into limits rather soon. One option to deal with this is to work with Infura endpoints. Such an endpoint may be provided via in the RPC_MAINNET variable in the .env file.

The implemented mechanism runs though all available aggregator contracts for a feed contract starting with the oldest aggregator (phaseId = 1) and fetching all price values using getRoundData for values 1 ... latestRound. The phaseId is increased by one and the procedure is repeatet to get more data until all data of the current aggregator has been fetched.

USDC Step by Step

python scripts/price_feed.py --net mainnet --pair USDC/USD > chainlink_usdc_usd_all.txt

Convert price feed raw data into CSV format

cat chainlink_usdc_usd_all.txt | python scripts/feed2csv.py > chainlink_usdc_usd_all.csv

Compact CSV price feed file (remove duplicates from different phase IDs).

Currently, price data is sorted by propoerty updatedAt from the Chainlink price feed.

python scripts/compact_feed.py chainlink_usdc_usd_all.csv chainlink_usdc_usd.csv

Plot CSV file (answer against updatedAt)

python scripts/plot_feed.py chainlink_usdc_usd.csv chainlink_usdc_usd.png --title "USDC/USD"
python scripts/histogram_feed.py chainlink_usdc_usd.csv chainlink_usdc_usd_hist.png --title "USDC/USD"

Resulting plot

USDT Condensed

python scripts/price_feed.py --net mainnet --pair USDT/USD > chainlink_usdt_usd_all.txt
cat chainlink_usdt_usd_all.txt | python scripts/feed2csv.py > chainlink_usdt_usd_all.csv
python scripts/compact_feed.py chainlink_usdt_usd_all.csv chainlink_usdt_usd.csv
python scripts/plot_feed.py chainlink_usdt_usd.csv chainlink_usdt_usd.png --title "USDT/USD"
python scripts/histogram_feed.py chainlink_usdt_usd.csv chainlink_usdt_usd_hist.png --title "USDT/USD"

Resulting plot

Neutrino USDN Condensed

python scripts/price_feed.py --net mainnet --pair USDN/USD > chainlink_usdn_usd_all.txt
cat chainlink_usdn_usd_all.txt | python scripts/feed2csv.py > chainlink_usdn_usd_all.csv
python scripts/compact_feed.py chainlink_usdn_usd_all.csv chainlink_usdn_usd.csv
python scripts/plot_feed.py chainlink_usdn_usd.csv chainlink_usdn_usd.png --title "USDN/USD"
python scripts/histogram_feed.py chainlink_usdn_usd.csv chainlink_usdn_usd_hist.png --title "USDN/USD"

Resulting plot

Unity USDP Condensed

python scripts/price_feed.py --net mainnet --pair USDP/USD > chainlink_usdp_usd_all.txt
cat chainlink_usdp_usd_all.txt | python scripts/feed2csv.py > chainlink_usdp_usd_all.csv
python scripts/compact_feed.py chainlink_usdp_usd_all.csv chainlink_usdp_usd.csv
python scripts/plot_feed.py chainlink_usdp_usd.csv chainlink_usdp_usd.png --title "USDP/USD"
python scripts/histogram_feed.py chainlink_usdp_usd.csv chainlink_usdp_usd_hist.png --title "USDP/USD"

Resulting plot

True TUSD Condensed

python scripts/price_feed.py --net mainnet --pair TUSD/USD > chainlink_tusd_usd_all.txt
cat chainlink_tusd_usd_all.txt | python scripts/feed2csv.py > chainlink_tusd_usd_all.csv
python scripts/compact_feed.py chainlink_tusd_usd_all.csv chainlink_tusd_usd.csv
python scripts/plot_feed.py chainlink_tusd_usd.csv chainlink_tusd_usd.png --title "TUSD/USD"
python scripts/histogram_feed.py chainlink_tusd_usd.csv chainlink_tusd_usd_hist.png --title "TUSD/USD"

Resulting plot

Depeg Trigger (and Recovery)

USDC Depeg Analysis

python scripts/analyze_feed.py chainlink_usdc_usd.csv --triggerValue 0.995 --recoverValue 0.999 --maxDuration 1 --plotMinValue 0.97 --title "USDC/USD" --pngFile chainlink_usdc_depeg.png

Script output

triggerValue: 0.995 (99500000)
recoverValue: 0.999 (99900000)

Plot

python scripts/analyze_feed.py chainlink_usdc_usd.csv --triggerValue 0.995 --recoverValue 0.999 --maxDuration 1 --plotMinValue 0.96 --title "USDC/USD" --pngFile chainlink_usdc_depeg.png --plotDateMin 2022-01-01 --plotDateMax 2022-11-14

Zooming in (FTX implosion)

python scripts/analyze_feed.py chainlink_usdc_usd.csv --triggerValue 0.995 --recoverValue 0.999 --maxDuration 1 --plotMinValue 0.96 --title "USDC/USD" --pngFile chainlink_usdc_depeg_zoomed_post_ftx.png --plotDateMin 2022-11-08 --plotDateMax 2022-11-13

USDT Depeg Analysis

python scripts/analyze_feed.py chainlink_usdt_usd.csv --triggerValue 0.99 --recoverValue 0.995 --maxDuration 1 --plotMinValue 0.9 --title "USDT/USD" --pngFile chainlink_usdt_depeg.png

Script output

triggerValue: 0.99 (99000000)
recoverValue: 0.995 (99500000)
TRIGGER roundId 36893488147419103690 answer 98750000 trigger 99000000 dateTimeAt 2022-05-12 06:23:41
RECOVER ------- 0d 9:19:36 ticks 41 roundId 36893488147419103731 answer 99753476 dateTimeAt 2022-05-12 15:43:17
TRIGGER roundId 36893488147419103923 answer 98946866 trigger 99000000 dateTimeAt 2022-11-10 12:14:23
RECOVER ------- 0d 1:1:0 ticks 10 roundId 36893488147419103933 answer 99529660 dateTimeAt 2022-11-10 13:15:23

Plot

python scripts/analyze_feed.py chainlink_usdt_usd.csv --triggerValue 0.99 --recoverValue 0.995 --maxDuration 1 --plotMinValue 0.96 --title "USDT/USD" --pngFile chainlink_usdt_depeg.png --plotDateMin 2022-01-01 --plotDateMax 2022-11-14

Zooming in (UST depeg)

python scripts/analyze_feed.py chainlink_usdt_usd.csv --triggerValue 0.99 --recoverValue 0.995 --maxDuration 1 --plotMinValue 0.9 --title "USDT/USD" --pngFile chainlink_usdt_depeg_zoomed.png --plotDateMin 2022-05-10 --plotDateMax 2022-05-15

Zooming in (FTX implosion)

python scripts/analyze_feed.py chainlink_usdt_usd.csv --triggerValue 0.99 --recoverValue 0.995 --maxDuration 1 --plotMinValue 0.96 --title "USDT/USD" --pngFile chainlink_usdt_depeg_zoomed_post_ftx.png --plotDateMin 2022-11-08 --plotDateMax 2022-11-13

USDN Depeg Analysis

python scripts/analyze_feed.py chainlink_usdn_usd.csv --triggerValue 0.97 --recoverValue 0.985 --maxDuration 2 --plotMinValue 0.85 --title "USDN/USD" --pngFile chainlink_usdn_depeg.png  --plotDateMin 2022-01-01 --plotDateMax 2022-11-14

Script output

...
TRIGGER roundId 18446744073709552311 answer 96900000 trigger 97000000 dateTimeAt 2022-01-24 08:05:45
RECOVER ------- 1d 11:0:42 ticks 25 roundId 18446744073709552336 answer 98622300 dateTimeAt 2022-01-25 19:06:27
TRIGGER roundId 18446744073709552534 answer 96992500 trigger 97000000 dateTimeAt 2022-04-03 00:00:20
RECOVER ------- 11d 1:34:9 ticks 321 roundId 18446744073709552855 answer 98613144 dateTimeAt 2022-04-14 01:34:29
TRIGGER roundId 18446744073709552879 answer 96798900 trigger 97000000 dateTimeAt 2022-04-24 11:16:04
RECOVER ------- 10d 12:33:33 ticks 25 roundId 18446744073709552904 answer 98858013 dateTimeAt 2022-05-04 23:49:37
TRIGGER roundId 18446744073709552917 answer 96750659 trigger 97000000 dateTimeAt 2022-05-10 00:09:57
RECOVER ------- 20d 6:34:13 ticks 1592 roundId 18446744073709554509 answer 98603667 dateTimeAt 2022-05-30 06:44:10
...

Plot

Zooming in

python scripts/analyze_feed.py chainlink_usdn_usd.csv --triggerValue 0.97 --recoverValue 0.985 --maxDuration 2 --plotMinValue 0.7 --title "USDN/USD" --pngFile chainlink_usdn_depeg_zoomed.png --plotDateMin 2022-03-30 --plotDateMax 2022-04-15

Zoomed Plot

Zooming in (FTX implosion)

python scripts/analyze_feed.py chainlink_usdn_usd.csv --triggerValue 0.97 --recoverValue 0.985 --maxDuration 2 --plotMinValue 0.7 --title "USDN/USD" --pngFile chainlink_usdn_depeg_zoomed_post_ftx.png --plotDateMin 2022-11-05 --plotDateMax 2022-11-14

USDP Depeg Analysis

python scripts/analyze_feed.py chainlink_usdp_usd.csv --triggerValue 0.995 --recoverValue 0.999 --maxDuration 2 --plotMinValue 0.85 --title "USDP/USD" --pngFile chainlink_usdp_depeg.png  --plotDateMax 2022-11-14

Script output

triggerValue: 0.995 (99500000)
recoverValue: 0.999 (99900000)
TRIGGER roundId 18446744073709556709 answer 99491599 trigger 99500000 dateTimeAt 2022-04-21 16:06:37
RECOVER ------- 0d 6:1:51 ticks 6 roundId 18446744073709556715 answer 100002098 dateTimeAt 2022-04-21 22:08:28
TRIGGER roundId 18446744073709561679 answer 99459643 trigger 99500000 dateTimeAt 2022-11-13 13:05:11
RECOVER ------- 0d 22:12:36 ticks 22 roundId 18446744073709561701 answer 100111926 dateTimeAt 2022-11-14 11:17:47

Plot

Chainlink price feed does not show any depeg tencency. However, depending on individual data source this might look somewhat different:

• USDP on coingecko (depeg on Oct 5th?)
• USDP on coinmarketcap (gaps, Apr-Jun, no depeg)

TUSD Depeg

python scripts/analyze_feed.py chainlink_tusd_usd.csv --triggerValue 0.995 --recoverValue 0.999 --maxDuration 2 --plotMinValue 0.85 --title "TUSD/USD" --pngFile chainlink_tusd_depeg.png --plotDateMax 2022-11-14

Script output

triggerValue: 0.995 (99500000)
recoverValue: 0.999 (99900000)
TRIGGER roundId 18446744073709551976 answer 99298200 trigger 99500000 dateTimeAt 2022-11-09 23:08:11
RECOVER ------- 0d 0:43:0 ticks 2 roundId 18446744073709551978 answer 99972098 dateTimeAt 2022-11-09 23:51:11
TRIGGER roundId 18446744073709551985 answer 99475954 trigger 99500000 dateTimeAt 2022-11-10 04:18:23
RECOVER ------- 0d 0:55:24 ticks 2 roundId 18446744073709551987 answer 100143250 dateTimeAt 2022-11-10 05:13:47
TRIGGER roundId 18446744073709552032 answer 99390658 trigger 99500000 dateTimeAt 2022-11-13 14:06:59
RECOVER ------- 0d 16:37:24 ticks 2 roundId 18446744073709552034 answer 100064508 dateTimeAt 2022-11-14 06:44:23

Plot

Zoomed plot

python scripts/analyze_feed.py chainlink_tusd_usd.csv --triggerValue 0.995 --recoverValue 0.999 --maxDuration 2 --plotMinValue 0.85 --title "TUSD/USD" --pngFile chainlink_tusd_depeg_zoom.png --plotDateMin 2022-11-05 --plotDateMax 2022-11-14

USDC Latest Data (Mainnet)

python scripts/price_feed.py --net mainnet --pair USDC/USD --latest 200 > usdc_usd_mainnet_latest.txt
cat usdc_usd_mainnet_latest.txt| python scripts/feed2csv.py > usdc_usd_mainnet_latest.txt.csv
python scripts/compact_feed.py usdc_usd_mainnet_latest.txt.csv usdc_usd_mainnet_latest.csv
python scripts/analyze_feed.py usdc_usd_mainnet_latest.csv --triggerValue 0.995 --recoverValue 0.999 --maxDuration 1 --title "USDC/USD Latest" --pngFile usdc_usd_mainnet_latest.png --plotDateMin 2023-03-10 --plotDateMax 2023-03-13

Output of analyze_feed.py

triggerValue: 0.995 (99500000)
recoverValue: 0.999 (99900000)
TRIGGER roundId 36893488147419104091 answer 99209183 trigger 99500000 dateTimeAt 2023-03-11 01:18:11

USDC Latest Data (Goerli)

python scripts/price_feed.py --net goerli --pair USDC/USD --latest 200 > usdc_usd_goerli_latest.txt
cat usdc_usd_goerli_latest.txt| python scripts/feed2csv.py > usdc_usd_goerli_latest.txt.csv
python scripts/compact_feed.py usdc_usd_goerli_latest.txt.csv usdc_usd_goerli_latest.csv
python scripts/analyze_feed.py usdc_usd_goerli_latest.csv --triggerValue 0.995 --recoverValue 0.999 --maxDuration 1 --title "USDC/USD Latest (Goerli)" --pngFile usdc_usd_goerli_latest.png --plotDateMin 2023-03-10 --plotDateMax 2023-03-13

Output of analyze_feed.py

triggerValue: 0.995 (99500000)
recoverValue: 0.999 (99900000)
TRIGGER roundId 18446744073709551881 answer 99000000 trigger 99500000 dateTimeAt 2023-03-11 02:10:12