fix: correct vault apr calculation (#693)

dydxprotocol · Oct 1, 2024 · 82e1128 · 82e1128
1 parent e13a869
commit 82e1128
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Showing 5 changed files with 12 additions and 7 deletions.
diff --git a/build.gradle.kts b/build.gradle.kts
@@ -52,7 +52,7 @@ allprojects {
 }
 
 group = "exchange.dydx.abacus"
-version = "1.12.10"
+version = "1.12.11"
 
 repositories {
     google()

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/functional/vault/Vault.kt b/src/commonMain/kotlin/exchange.dydx.abacus/functional/vault/Vault.kt
@@ -126,6 +126,11 @@ object VaultCalculator {
         val thirtyDaysAgoTotalPnl = thirtyDaysAgoEntry.totalPnl ?: 0.0
 
         val pnlDifference = latestTotalPnl - thirtyDaysAgoTotalPnl
+        val timeDifferenceMs = if (latestEntry.date != null && thirtyDaysAgoEntry.date != null) {
+            latestEntry.date - thirtyDaysAgoEntry.date
+        } else {
+            0.0
+        }
         val thirtyDaysAgoEquity = thirtyDaysAgoEntry.equity ?: 0.0
         val thirtyDayReturnPercent = if (thirtyDaysAgoEquity != 0.0) {
             (pnlDifference / thirtyDaysAgoEquity)
@@ -135,7 +140,7 @@ object VaultCalculator {
 
         return VaultDetails(
             totalValue = totalValue,
-            thirtyDayReturnPercent = thirtyDayReturnPercent,
+            thirtyDayReturnPercent = if (timeDifferenceMs > 0) thirtyDayReturnPercent * 365.days.inWholeMilliseconds / timeDifferenceMs else 0.0,
             history = history.toIList(),
         )
     }

diff --git a/src/commonTest/kotlin/exchange.dydx.abacus/functional/vault/VaultTests.kt b/src/commonTest/kotlin/exchange.dydx.abacus/functional/vault/VaultTests.kt
@@ -44,7 +44,7 @@ class VaultTests {
 
         val expectedVaultDetails = VaultDetails(
             totalValue = 10000.0,
-            thirtyDayReturnPercent = 0.1,
+            thirtyDayReturnPercent = 0.1 * 365,
             history = iListOf(
                 VaultHistoryEntry(
                     date = 1659465600000.0,
@@ -119,7 +119,7 @@ class VaultTests {
         val vaultDetails = calculateVaultSummary(historicalPnl)
 
         assertNotNull(vaultDetails)
-        assertEquals(0.05263157894736842, vaultDetails.thirtyDayReturnPercent)
+        assertEquals(0.6403508771929824, vaultDetails.thirtyDayReturnPercent)
     }
 
     @Test

diff --git a/src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4VaultTests.kt b/src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4VaultTests.kt
@@ -27,7 +27,7 @@ class V4VaultTests : V4BaseTests() {
 
         val vaultDetails = vault?.details
         assertEquals(10000.0, vaultDetails?.totalValue)
-        assertEquals(0.1, vaultDetails?.thirtyDayReturnPercent)
+        assertEquals(0.1 * 365, vaultDetails?.thirtyDayReturnPercent)
         assertEquals(2, vaultDetails?.history?.size)
         assertEquals(1000.0, vaultDetails?.history?.get(0)?.totalPnl)
         assertEquals(500.0, vaultDetails?.history?.get(1)?.totalPnl)
@@ -50,7 +50,7 @@ class V4VaultTests : V4BaseTests() {
 
         val vault = perp.internalState.vault
         assertEquals(10000.0, vault?.details?.totalValue)
-        assertEquals(0.1, vault?.details?.thirtyDayReturnPercent)
+        assertEquals(0.1 * 365, vault?.details?.thirtyDayReturnPercent)
         assertEquals(2, vault?.details?.history?.size)
         assertEquals(1000.0, vault?.details?.history?.get(0)?.totalPnl)
         assertEquals(500.0, vault?.details?.history?.get(1)?.totalPnl)

diff --git a/v4_abacus.podspec b/v4_abacus.podspec
@@ -1,6 +1,6 @@
 Pod::Spec.new do |spec|
     spec.name                     = 'v4_abacus'
-    spec.version                  = '1.12.10'
+    spec.version                  = '1.12.11'
     spec.homepage                 = 'https://github.com/dydxprotocol/v4-abacus'
     spec.source                   = { :http=> ''}
     spec.authors                  = ''