Uncovering hidden user relationships in crypto exchanges with Fuzzy Join on streaming data

Przemek Uznański·January 9, 2023·0 min read

In this article, we want to analyze a stream of transactions in a crypto exchange. We find all the pairs of users A and B such as A sells B the ETH coin, and buys from B BTC in a separate transaction.

First we import Pathway and load the two transactions logs.

import pathway as pw


transactions = pw.io.kafka.read(
    rdkafka_settings={
        "group.id": "$GROUP_NAME",
        "bootstrap.servers": "clean-panther-8776-eu1-kafka.upstash.io:9092",
        "session.timeout.ms": "6000",
    },
    topics=["eth_transactions"],
)

eth_transactions = transactions.filter(pw.this.currency == "ETH")
btc_transactions = transactions.filter(pw.this.currency == "BTC")

Now we just need to find all the pairs of buyers/sellers in both transactions and use our fuzzy_match_tables to extract the matching pairs.

eth_movement_totals = eth_transactions.groupby(pw.this.sender, pw.this.receiver).reduce(
    user_A=pw.this.sender,
    user_B=pw.this.receiver,
    usd_total_estimate=pw.reducers.sum(pw.this.usd_estimate),
)
btc_movement_totals = btc_transactions.groupby(pw.this.sender, pw.this.receiver).reduce(
    user_A=pw.this.receiver,
    user_B=pw.this.sender,
    usd_total_estimate=pw.reducers.sum(pw.this.usd_estimate),
)
left_projection = {"user_A": "C1", "user_B": "C2"}
right_projection = {"user_A": "C1", "user_B": "C2"}
matches = pw.ml.smart_table_ops.fuzzy_match_tables(
    eth_movement_totals,
    btc_movement_totals,
    left_projection=left_projection,
    right_projection=right_projection,
)

matched_users = matches.select(
    btc_sender=btc_movement_totals.ix(matches.right).user_B,
    btc_receiver=btc_movement_totals.ix(matches.right).user_A,
    eth_sender=eth_movement_totals.ix(matches.left).user_A,
    eth_receiver=eth_movement_totals.ix(matches.left).user_B,
    confidence=matches.weight,
)

We can now store the resulting table in postgres, or any other database supported by Pathway.

pw.io.postgres.write(
    matched_users,
    postgres_settings={
        "host": "localhost",
        "port": "5432",
        "dbname": "transactions",
        "user": "pathway",
        "password": "my_password",
    },
    table_name="matched_users_btc_eth_swapping",
)

Would you like to find users that match within given time-window? Take a look at recipes on group-by with a tumbling window.