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[TRA-890] Return nearest hour PnL as final data point for vaults pnl. #2616

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merged 3 commits into from
Nov 26, 2024
Merged

[TRA-890] Return nearest hour PnL as final data point for vaults pnl. #2616

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00808b2
[TRA-890] Return nearest hour PnL as final data point for vaults pnl.
vincentwschau Nov 26, 2024
014315c
Fix typos.
vincentwschau Nov 26, 2024
8ff8d07
Fix tests.
vincentwschau Nov 26, 2024
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25 changes: 15 additions & 10 deletions indexer/services/comlink/__tests__/controllers/api/v4/vault-controller.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -21,7 +21,7 @@ import {
import { RequestMethod, VaultHistoricalPnl } from '../../../../src/types';
import request from 'supertest';
import { getFixedRepresentation, sendRequest } from '../../../helpers/helpers';
import { DateTime } from 'luxon';
import { DateTime, Settings } from 'luxon';
import Big from 'big.js';
import config from '../../../../src/config';

Expand Down Expand Up @@ -124,6 +124,7 @@ describe('vault-controller#V4', () => {
effectiveAtHeight: twoDayBlockHeight,
}),
]);
Settings.now = () => latestTime.valueOf();
});

afterEach(async () => {
Expand All @@ -133,6 +134,7 @@ describe('vault-controller#V4', () => {
config.VAULT_PNL_HISTORY_HOURS = vaultPnlHistoryHoursPrev;
config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS = vaultPnlLastPnlWindowPrev;
config.VAULT_PNL_START_DATE = vaultPnlStartDatePrev;
Settings.now = () => new Date().valueOf();
});

it.each([
Expand Down Expand Up @@ -298,13 +300,14 @@ describe('vault-controller#V4', () => {
});

it.each([
['no resolution', '', [1, 2]],
['daily resolution', '?resolution=day', [1, 2]],
['hourly resolution', '?resolution=hour', [1, 2, 3, 4]],
['no resolution', '', [1, 2], 4],
['daily resolution', '?resolution=day', [1, 2], 4],
['hourly resolution', '?resolution=hour', [1, 2, 3, 4], 4],
])('Get /vaults/historicalPnl with single vault subaccount (%s)', async (
_name: string,
queryParam: string,
expectedTicksIndex: number[],
currentTickIndex: number,
) => {
await VaultTable.create({
...testConstants.defaultVault,
Expand All @@ -313,7 +316,7 @@ describe('vault-controller#V4', () => {
});
const createdPnlTicks: PnlTicksFromDatabase[] = await createPnlTicks();
const finalTick: PnlTicksFromDatabase = {
...createdPnlTicks[expectedTicksIndex[expectedTicksIndex.length - 1]],
...createdPnlTicks[currentTickIndex],
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equity: Big(vault1Equity).toFixed(),
blockHeight: latestBlockHeight,
blockTime: latestTime.toISO(),
Expand All @@ -338,14 +341,16 @@ describe('vault-controller#V4', () => {
});

it.each([
['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]],
['no resolution', '', [1, 2], [6, 7], 4, 9],
['daily resolution', '?resolution=day', [1, 2], [6, 7], 4, 9],
['hourly resolution', '?resolution=hour', [1, 2, 3, 4], [6, 7, 8, 9], 4, 9],
])('Get /vaults/historicalPnl with 2 vault subaccounts (%s)', async (
_name: string,
queryParam: string,
expectedTicksIndex1: number[],
expectedTicksIndex2: number[],
currentTickIndex1: number,
currentTickIndex2: number,
) => {
await Promise.all([
VaultTable.create({
Expand All @@ -361,14 +366,14 @@ describe('vault-controller#V4', () => {
]);
const createdPnlTicks: PnlTicksFromDatabase[] = await createPnlTicks();
const finalTick1: PnlTicksFromDatabase = {
...createdPnlTicks[expectedTicksIndex1[expectedTicksIndex1.length - 1]],
...createdPnlTicks[currentTickIndex1],
equity: Big(vault1Equity).toFixed(),
blockHeight: latestBlockHeight,
blockTime: latestTime.toISO(),
createdAt: latestTime.toISO(),
};
const finalTick2: PnlTicksFromDatabase = {
...createdPnlTicks[expectedTicksIndex2[expectedTicksIndex2.length - 1]],
...createdPnlTicks[currentTickIndex2],
equity: Big(vault2Equity).toFixed(),
blockHeight: latestBlockHeight,
blockTime: latestTime.toISO(),
Expand Down
48 changes: 42 additions & 6 deletions indexer/services/comlink/src/controllers/api/v4/vault-controller.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -35,7 +35,7 @@ import Big from 'big.js';
import bounds from 'binary-searching';
import express from 'express';
import { checkSchema, matchedData } from 'express-validator';
import _ from 'lodash';
import _, { Dictionary } from 'lodash';
import { DateTime } from 'luxon';
import {
Controller, Get, Query, Route,
Expand Down Expand Up @@ -152,15 +152,22 @@ class VaultController extends Controller {
vaultPnlTicks,
vaultPositions,
latestBlock,
latestTicks,
] : [
PnlTicksFromDatabase[],
Map<string, VaultPosition>,
BlockFromDatabase,
PnlTicksFromDatabase[],
] = await Promise.all([
getVaultSubaccountPnlTicks(_.keys(vaultSubaccounts), getResolution(resolution)),
getVaultPositions(vaultSubaccounts),
BlockTable.getLatest(),
getLatestPnlTicks(_.keys(vaultSubaccounts)),
]);
const latestTicksBySubaccountId: Dictionary<PnlTicksFromDatabase> = _.keyBy(
latestTicks,
'subaccountId',
);
Comment on lines +155 to +170
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🛠️ Refactor suggestion

Add error handling for undefined latest ticks

While the Dictionary organization is good, accessing latestTicksBySubaccountId[subaccountId] directly could be unsafe if the subaccountId doesn't exist in the dictionary.

Consider adding a null check or using optional chaining:

-          latestTicksBySubaccountId[subaccountId],
+          latestTicksBySubaccountId[subaccountId] ?? undefined,

Committable suggestion skipped: line range outside the PR's diff.


const groupedVaultPnlTicks: VaultHistoricalPnl[] = _(vaultPnlTicks)
.filter((pnlTickFromDatabsae: PnlTicksFromDatabase): boolean => {
Expand All @@ -185,6 +192,7 @@ class VaultController extends Controller {
currentEquity,
pnlTicks,
latestBlock,
latestTicksBySubaccountId[subaccountId],
);

return {
Expand Down Expand Up @@ -350,13 +358,13 @@ async function getVaultSubaccountPnlTicks(
VaultPnlTicksView.getVaultsPnl(
resolution,
windowSeconds,
getVautlPnlStartDate(),
getVaultPnlStartDate(),
),
PnlTicksTable.getLatestPnlTick(
vaultSubaccountIds,
// Add a buffer of 10 minutes to get the first PnL tick for PnL data as PnL ticks aren't
// created exactly on the hour.
getVautlPnlStartDate().plus({ minutes: 10 }),
getVaultPnlStartDate().plus({ minutes: 10 }),
),
]);

Expand Down Expand Up @@ -551,6 +559,34 @@ function getPnlTicksWithCurrentTick(
return pnlTicks.concat([currentTick]);
}

export async function getLatestPnlTicks(
vaultSubaccountIds: string[],
): Promise<PnlTicksFromDatabase[]> {
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const [
latestPnlTicks,
adjustByPnlTicks,
] : [
PnlTicksFromDatabase[],
PnlTicksFromDatabase[],
] = await Promise.all([
PnlTicksTable.getLatestPnlTick(
vaultSubaccountIds,
DateTime.now().toUTC(),
),
PnlTicksTable.getLatestPnlTick(
vaultSubaccountIds,
// Add a buffer of 10 minutes to get the first PnL tick for PnL data as PnL ticks aren't
// created exactly on the hour.
getVaultPnlStartDate().plus({ minutes: 10 }),
),
]);
const adjustedPnlTicks: PnlTicksFromDatabase[] = adjustVaultPnlTicks(
latestPnlTicks,
adjustByPnlTicks,
);
return adjustedPnlTicks;
}

export async function getLatestPnlTick(
vaultSubaccountIds: string[],
vaults: VaultFromDatabase[],
Expand All @@ -565,13 +601,13 @@ export async function getLatestPnlTick(
VaultPnlTicksView.getVaultsPnl(
PnlTickInterval.hour,
config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS * 60 * 60,
getVautlPnlStartDate(),
getVaultPnlStartDate(),
),
PnlTicksTable.getLatestPnlTick(
vaultSubaccountIds,
// Add a buffer of 10 minutes to get the first PnL tick for PnL data as PnL ticks aren't
// created exactly on the hour.
getVautlPnlStartDate().plus({ minutes: 10 }),
getVaultPnlStartDate().plus({ minutes: 10 }),
),
]);
const adjustedPnlTicks: PnlTicksFromDatabase[] = adjustVaultPnlTicks(
Expand Down Expand Up @@ -798,7 +834,7 @@ async function getVaultMapping(): Promise<VaultMapping> {
return validVaultMapping;
}

function getVautlPnlStartDate(): DateTime {
function getVaultPnlStartDate(): DateTime {
const startDate: DateTime = DateTime.fromISO(config.VAULT_PNL_START_DATE).toUTC();
return startDate;
}
Expand Down