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Get latest hourly tick to compute final tick for megavault PnL.
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@vincentwschau
vincentwschau committed Oct 3, 2024
1 parent 8fdf8c5 commit b5ecf95
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Showing 3 changed files with 97 additions and 31 deletions.
96 changes: 65 additions & 31 deletions indexer/services/comlink/__tests__/controllers/api/v4/vault-controller.test.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -25,20 +25,23 @@ import config from '../../../../src/config';

describe('vault-controller#V4', () => {
const latestBlockHeight: string = '25';
const currentBlockHeight: string = '9';
const currentHourBlockHeight: string = '10';
const currentDayBlockHeight: string = '9';
const twoHourBlockHeight: string = '7';
const almostTwoDayBlockHeight: string = '5';
const twoDayBlockHeight: string = '3';
const currentTime: DateTime = DateTime.utc().startOf('day').minus({ hour: 5 });
const latestTime: DateTime = currentTime.plus({ second: 5 });
const twoHoursAgo: DateTime = currentTime.minus({ hour: 2 });
const twoDaysAgo: DateTime = currentTime.minus({ day: 2 });
const almostTwoDaysAgo: DateTime = currentTime.minus({ hour: 47 });
const currentDay: DateTime = DateTime.utc().startOf('day').minus({ hour: 5 });
const currentHour: DateTime = currentDay.plus({ hour: 1 });
const latestTime: DateTime = currentDay.plus({ minute: 90 });
const twoHoursAgo: DateTime = currentDay.minus({ hour: 2 });
const twoDaysAgo: DateTime = currentDay.minus({ day: 2 });
const almostTwoDaysAgo: DateTime = currentDay.minus({ hour: 47 });
const initialFundingIndex: string = '10000';
const vault1Equity: number = 159500;
const vault2Equity: number = 10000;
const mainVaultEquity: number = 10000;
const vaultPnlHistoryHoursPrev: number = config.VAULT_PNL_HISTORY_HOURS;
const vaultPnlLastPnlWindowPrev: number = config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS;

beforeAll(async () => {
await dbHelpers.migrate();
Expand All @@ -52,6 +55,8 @@ describe('vault-controller#V4', () => {
beforeEach(async () => {
// Get a week of data for hourly pnl ticks.
config.VAULT_PNL_HISTORY_HOURS = 168;
// Use last 48 hours to get latest pnl tick for tests.
config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS = 48;
await testMocks.seedData();
await perpetualMarketRefresher.updatePerpetualMarkets();
await liquidityTierRefresher.updateLiquidityTiers();
Expand All @@ -68,8 +73,8 @@ describe('vault-controller#V4', () => {
}),
BlockTable.create({
...testConstants.defaultBlock,
time: currentTime.toISO(),
blockHeight: currentBlockHeight,
time: currentDay.toISO(),
blockHeight: currentDayBlockHeight,
}),
BlockTable.create({
...testConstants.defaultBlock,
Expand All @@ -81,6 +86,11 @@ describe('vault-controller#V4', () => {
time: almostTwoDaysAgo.toISO(),
blockHeight: almostTwoDayBlockHeight,
}),
BlockTable.create({
...testConstants.defaultBlock,
time: currentHour.toISO(),
blockHeight: currentHourBlockHeight,
}),
]);
await SubaccountTable.create(testConstants.vaultSubaccount);
await SubaccountTable.create({
Expand Down Expand Up @@ -114,6 +124,7 @@ describe('vault-controller#V4', () => {
afterEach(async () => {
await dbHelpers.clearData();
config.VAULT_PNL_HISTORY_HOURS = vaultPnlHistoryHoursPrev;
config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS = vaultPnlLastPnlWindowPrev;
});

it('Get /megavault/historicalPnl with no vault subaccounts', async () => {
Expand All @@ -126,13 +137,14 @@ describe('vault-controller#V4', () => {
});

it.each([
['no resolution', '', [1, 2]],
['daily resolution', '?resolution=day', [1, 2]],
['hourly resolution', '?resolution=hour', [1, 2, 3]],
['no resolution', '', [1, 2], 4],
['daily resolution', '?resolution=day', [1, 2], 4],
['hourly resolution', '?resolution=hour', [1, 2, 3, 4], 4],
])('Get /megavault/historicalPnl with single vault subaccount (%s)', async (
_name: string,
queryParam: string,
expectedTicksIndex: number[],
finalTickIndex: number,
) => {
await VaultTable.create({
...testConstants.defaultVault,
Expand All @@ -141,7 +153,7 @@ describe('vault-controller#V4', () => {
});
const createdPnlTicks: PnlTicksFromDatabase[] = await createPnlTicks();
const finalTick: PnlTicksFromDatabase = {
...createdPnlTicks[expectedTicksIndex[expectedTicksIndex.length - 1]],
...createdPnlTicks[finalTickIndex],
equity: Big(vault1Equity).toFixed(),
blockHeight: latestBlockHeight,
blockTime: latestTime.toISO(),
Expand All @@ -164,14 +176,14 @@ describe('vault-controller#V4', () => {
});

it.each([
['no resolution', '', [1, 2], [undefined, 6], [9, 10]],
['daily resolution', '?resolution=day', [1, 2], [undefined, 6], [9, 10]],
['no resolution', '', [1, 2], [undefined, 7], [11, 12]],
['daily resolution', '?resolution=day', [1, 2], [undefined, 7], [11, 12]],
[
'hourly resolution',
'?resolution=hour',
[1, undefined, 2, 3],
[undefined, 5, 6, 7],
[9, undefined, 10, 11],
[1, undefined, 2, 3, 4],
[undefined, 6, 7, 8, 9],
[11, undefined, 12, 13, 14],
],
])('Get /megavault/historicalPnl with 2 vault subaccounts and main subaccount (%s)', async (
_name: string,
Expand Down Expand Up @@ -212,7 +224,8 @@ describe('vault-controller#V4', () => {

const expectedPnlTickBase: any = {
equity: (parseFloat(testConstants.defaultPnlTick.equity) * 3).toString(),
totalPnl: (parseFloat(testConstants.defaultPnlTick.totalPnl) * 3).toString(),
// total pnl should be fetched from latest hourly pnl tick.
totalPnl: (parseFloat(testConstants.defaultPnlTick.totalPnl) * 4).toString(),
netTransfers: (parseFloat(testConstants.defaultPnlTick.netTransfers) * 3).toString(),
};
const finalTick: PnlTicksFromDatabase = {
Expand Down Expand Up @@ -268,7 +281,7 @@ describe('vault-controller#V4', () => {
it.each([
['no resolution', '', [1, 2]],
['daily resolution', '?resolution=day', [1, 2]],
['hourly resolution', '?resolution=hour', [1, 2, 3]],
['hourly resolution', '?resolution=hour', [1, 2, 3, 4]],
])('Get /vaults/historicalPnl with single vault subaccount (%s)', async (
_name: string,
queryParam: string,
Expand Down Expand Up @@ -306,9 +319,9 @@ describe('vault-controller#V4', () => {
});

it.each([
['no resolution', '', [1, 2], [5, 6]],
['daily resolution', '?resolution=day', [1, 2], [5, 6]],
['hourly resolution', '?resolution=hour', [1, 2, 3], [5, 6, 7]],
['no resolution', '', [1, 2], [6, 7]],
['daily resolution', '?resolution=day', [1, 2], [6, 7]],
['hourly resolution', '?resolution=hour', [1, 2, 3, 4], [6, 7, 8, 9]],
])('Get /vaults/historicalPnl with 2 vault subaccounts (%s)', async (
_name: string,
queryParam: string,
Expand Down Expand Up @@ -526,9 +539,16 @@ describe('vault-controller#V4', () => {
}),
PnlTicksTable.create({
...testConstants.defaultPnlTick,
blockTime: currentTime.toISO(),
createdAt: currentTime.toISO(),
blockHeight: currentBlockHeight,
blockTime: currentDay.toISO(),
createdAt: currentDay.toISO(),
blockHeight: currentDayBlockHeight,
}),
PnlTicksTable.create({
...testConstants.defaultPnlTick,
totalPnl: (2 * parseFloat(testConstants.defaultPnlTick.totalPnl)).toString(),
blockTime: currentHour.toISO(),
createdAt: currentHour.toISO(),
blockHeight: currentHourBlockHeight,
}),
PnlTicksTable.create({
...testConstants.defaultPnlTick,
Expand All @@ -551,9 +571,16 @@ describe('vault-controller#V4', () => {
PnlTicksTable.create({
...testConstants.defaultPnlTick,
subaccountId: testConstants.vaultSubaccountId,
blockTime: currentTime.toISO(),
createdAt: currentTime.toISO(),
blockHeight: currentBlockHeight,
blockTime: currentDay.toISO(),
createdAt: currentDay.toISO(),
blockHeight: currentDayBlockHeight,
}),
PnlTicksTable.create({
...testConstants.defaultPnlTick,
subaccountId: testConstants.vaultSubaccountId,
blockTime: currentHour.toISO(),
createdAt: currentHour.toISO(),
blockHeight: currentHourBlockHeight,
}),
]);

Expand All @@ -580,9 +607,16 @@ describe('vault-controller#V4', () => {
PnlTicksTable.create({
...testConstants.defaultPnlTick,
subaccountId: MEGAVAULT_SUBACCOUNT_ID,
blockTime: currentTime.toISO(),
createdAt: currentTime.toISO(),
blockHeight: currentBlockHeight,
blockTime: currentDay.toISO(),
createdAt: currentDay.toISO(),
blockHeight: currentDayBlockHeight,
}),
PnlTicksTable.create({
...testConstants.defaultPnlTick,
subaccountId: MEGAVAULT_SUBACCOUNT_ID,
blockTime: currentHour.toISO(),
createdAt: currentHour.toISO(),
blockHeight: currentHourBlockHeight,
}),
]);
createdTicks.push(...mainSubaccountTicks);
Expand Down
1 change: 1 addition & 0 deletions indexer/services/comlink/src/config.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -62,6 +62,7 @@ export const configSchema = {
// Vaults config
VAULT_PNL_HISTORY_DAYS: parseInteger({ default: 90 }),
VAULT_PNL_HISTORY_HOURS: parseInteger({ default: 72 }),
VAULT_LATEST_PNL_TICK_WINDOW_HOURS: parseInteger({ default: 1 }),
};

////////////////////////////////////////////////////////////////////////////////
Expand Down
31 changes: 31 additions & 0 deletions indexer/services/comlink/src/controllers/api/v4/vault-controller.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -80,16 +80,19 @@ class VaultController extends Controller {
vaultPositions,
latestBlock,
mainSubaccountEquity,
latestPnlTick,
] : [
PnlTicksFromDatabase[],
Map<string, VaultPosition>,
BlockFromDatabase,
string,
PnlTicksFromDatabase | undefined,
] = await Promise.all([
getVaultSubaccountPnlTicks(vaultSubaccountIdsWithMainSubaccount, getResolution(resolution)),
getVaultPositions(vaultSubaccounts),
BlockTable.getLatest(),
getMainSubaccountEquity(),
getLatestPnlTick(vaultSubaccountIdsWithMainSubaccount),
]);

// aggregate pnlTicks for all vault subaccounts grouped by blockHeight
Expand All @@ -105,6 +108,7 @@ class VaultController extends Controller {
currentEquity,
filterOutIntervalTicks(aggregatedPnlTicks, getResolution(resolution)),
latestBlock,
latestPnlTick,
);

return {
Expand Down Expand Up @@ -458,7 +462,17 @@ function getPnlTicksWithCurrentTick(
equity: string,
pnlTicks: PnlTicksFromDatabase[],
latestBlock: BlockFromDatabase,
latestTick: PnlTicksFromDatabase | undefined = undefined,
): PnlTicksFromDatabase[] {
if (latestTick !== undefined) {
return pnlTicks.concat({
...latestTick,
equity,
blockHeight: latestBlock.blockHeight,
blockTime: latestBlock.time,
createdAt: latestBlock.time,
});
}
if (pnlTicks.length === 0) {
return [];
}
Expand All @@ -472,6 +486,23 @@ function getPnlTicksWithCurrentTick(
return pnlTicks.concat([currentTick]);
}

export async function getLatestPnlTick(
vaultSubaccountIds: string[],
): Promise<PnlTicksFromDatabase | undefined> {
const pnlTicks: PnlTicksFromDatabase[] = await PnlTicksTable.getPnlTicksAtIntervals(
PnlTickInterval.hour,
config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS * 60 * 60,
vaultSubaccountIds,
);
// Aggregate and get pnl tick closest to the hour
const aggregatedTicks: PnlTicksFromDatabase[] = aggregateHourlyPnlTicks(pnlTicks);
const filteredTicks: PnlTicksFromDatabase[] = filterOutIntervalTicks(
aggregatedTicks,
PnlTickInterval.hour,
);
return _.maxBy(filteredTicks, 'blockTime');
}

/**
* Takes in an array of PnlTicks and filters out the closest pnl tick per interval.
* @param pnlTicks Array of pnl ticks.
Expand Down

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