Allow configuring day vault PnL starts. (#2570)

indexer/packages/postgres/__tests__/stores/pnl-ticks-table.test.ts

@@ -460,22 +460,19 @@ describe('PnlTicks store', () => {
       interval,
       7 * 24 * 60 * 60, // 1 week
       [defaultSubaccountId, defaultSubaccountIdWithAlternateAddress],
+      DateTime.fromISO(createdTicks[8].blockTime).plus({ seconds: 1 }),
     );
     // See setup function for created ticks.
     // Should exclude tick that is within the same hour except the first.
     const expectedHourlyTicks: PnlTicksFromDatabase[] = [
-      createdTicks[8],
       createdTicks[7],
       createdTicks[5],
-      createdTicks[3],
       createdTicks[2],
       createdTicks[0],
     ];
     // Should exclude ticks that is within the same day except for the first.
     const expectedDailyTicks: PnlTicksFromDatabase[] = [
-      createdTicks[8],
       createdTicks[7],
-      createdTicks[3],
       createdTicks[2],
     ];
 
@@ -486,6 +483,33 @@ describe('PnlTicks store', () => {
     }
   });
 
+  it('Gets latest pnl ticks for subaccounts before or at given date', async () => {
+    const createdTicks: PnlTicksFromDatabase[] = await setupIntervalPnlTicks();
+    const latestTicks: PnlTicksFromDatabase[] = await PnlTicksTable.getLatestPnlTick(
+      [defaultSubaccountId, defaultSubaccountIdWithAlternateAddress],
+      DateTime.fromISO(createdTicks[8].blockTime).plus({ seconds: 1 }),
+    );
+    expect(latestTicks).toEqual([createdTicks[8], createdTicks[3]]);
+  });
+
+  it('Gets empty pnl ticks for subaccounts before or at date earlier than all pnl data', async () => {
+    const createdTicks: PnlTicksFromDatabase[] = await setupIntervalPnlTicks();
+    const latestTicks: PnlTicksFromDatabase[] = await PnlTicksTable.getLatestPnlTick(
+      [defaultSubaccountId, defaultSubaccountIdWithAlternateAddress],
+      DateTime.fromISO(createdTicks[0].blockTime).minus({ years: 1 }),
+    );
+    expect(latestTicks).toEqual([]);
+  });
+
+  it('Gets empty pnl ticks for subaccounts before or at date if no subaccounts given', async () => {
+    const createdTicks: PnlTicksFromDatabase[] = await setupIntervalPnlTicks();
+    const latestTicks: PnlTicksFromDatabase[] = await PnlTicksTable.getLatestPnlTick(
+      [],
+      DateTime.fromISO(createdTicks[0].blockTime).plus({ years: 1 }),
+    );
+    expect(latestTicks).toEqual([]);
+  });
+
 });
 
 async function setupRankedPnlTicksData() {

indexer/packages/postgres/src/stores/pnl-ticks-table.ts

@@ -1,4 +1,5 @@
 import _ from 'lodash';
+import { DateTime } from 'luxon';
 import { QueryBuilder } from 'objection';
 
 import {
@@ -465,7 +466,11 @@ export async function getPnlTicksAtIntervals(
   interval: PnlTickInterval,
   timeWindowSeconds: number,
   subaccountIds: string[],
+  earliestDate: DateTime,
 ): Promise <PnlTicksFromDatabase[]> {
+  if (subaccountIds.length === 0) {
+    return [];
+  }
   const result: {
     rows: PnlTicksFromDatabase[],
   } = await knexReadReplica.getConnection().raw(
@@ -493,6 +498,7 @@ export async function getPnlTicksAtIntervals(
       FROM pnl_ticks
       WHERE
         "subaccountId" IN (${subaccountIds.map((id: string) => { return `'${id}'`; }).join(',')}) AND
+        "blockTime" >= '${earliestDate.toUTC().toISO()}'::timestamp AND
         "blockTime" > NOW() - INTERVAL '${timeWindowSeconds} second'
     ) AS pnl_intervals
     WHERE
@@ -505,3 +511,40 @@ export async function getPnlTicksAtIntervals(
 
   return result.rows;
 }
+
+export async function getLatestPnlTick(
+  subaccountIds: string[],
+  beforeOrAt: DateTime,
+): Promise <PnlTicksFromDatabase[]> {
+  if (subaccountIds.length === 0) {
+    return [];
+  }
+  const result: {
+    rows: PnlTicksFromDatabase[],
+  } = await knexReadReplica.getConnection().raw(
+    `
+    SELECT
+      DISTINCT ON ("subaccountId")
+      "id",
+      "subaccountId",
+      "equity",
+      "totalPnl",
+      "netTransfers",
+      "createdAt",
+      "blockHeight",
+      "blockTime"
+    FROM
+      pnl_ticks
+    WHERE
+      "subaccountId" in (${subaccountIds.map((id: string) => { return `'${id}'`; }).join(',')}) AND
+      "blockTime" <= '${beforeOrAt.toUTC().toISO()}'::timestamp
+    ORDER BY
+      "subaccountId",
+      "blockTime" DESC
+    `,
+  ) as unknown as {
+    rows: PnlTicksFromDatabase[],
+  };
+
+  return result.rows;
+}

indexer/services/comlink/__tests__/controllers/api/v4/vault-controller.test.ts

@@ -43,6 +43,7 @@ describe('vault-controller#V4', () => {
   const mainVaultEquity: number = 10000;
   const vaultPnlHistoryHoursPrev: number = config.VAULT_PNL_HISTORY_HOURS;
   const vaultPnlLastPnlWindowPrev: number = config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS;
+  const vaultPnlStartDatePrev: string = config.VAULT_PNL_START_DATE;
 
   beforeAll(async () => {
     await dbHelpers.migrate();
@@ -58,6 +59,8 @@ describe('vault-controller#V4', () => {
       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;
+      // Use a time before all pnl ticks as the pnl start date.
+      config.VAULT_PNL_START_DATE = '2020-01-01T00:00:00Z';
       await testMocks.seedData();
       await perpetualMarketRefresher.updatePerpetualMarkets();
       await liquidityTierRefresher.updateLiquidityTiers();
@@ -126,6 +129,7 @@ describe('vault-controller#V4', () => {
       await dbHelpers.clearData();
       config.VAULT_PNL_HISTORY_HOURS = vaultPnlHistoryHoursPrev;
       config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS = vaultPnlLastPnlWindowPrev;
+      config.VAULT_PNL_START_DATE = vaultPnlStartDatePrev;
     });
 
     it('Get /megavault/historicalPnl with no vault subaccounts', async () => {
@@ -138,21 +142,32 @@ describe('vault-controller#V4', () => {
     });
 
     it.each([
-      ['no resolution', '', [1, 2], 4],
-      ['daily resolution', '?resolution=day', [1, 2], 4],
-      ['hourly resolution', '?resolution=hour', [1, 2, 3, 4], 4],
+      ['no resolution', '', [1, 2], 4, undefined],
+      ['daily resolution', '?resolution=day', [1, 2], 4, undefined],
+      ['hourly resolution', '?resolution=hour', [1, 2, 3, 4], 4, undefined],
+      ['start date adjust PnL', '?resolution=hour', [1, 2, 3, 4], 4, twoDaysAgo.toISO()],
     ])('Get /megavault/historicalPnl with single vault subaccount (%s)', async (
       _name: string,
       queryParam: string,
       expectedTicksIndex: number[],
       finalTickIndex: number,
+      startDate: string | undefined,
     ) => {
+      if (startDate !== undefined) {
+        config.VAULT_PNL_START_DATE = startDate;
+      }
       await VaultTable.create({
         ...testConstants.defaultVault,
         address: testConstants.defaultSubaccount.address,
         clobPairId: testConstants.defaultPerpetualMarket.clobPairId,
       });
       const createdPnlTicks: PnlTicksFromDatabase[] = await createPnlTicks();
+      // Adjust PnL by total pnl of start date
+      if (startDate !== undefined) {
+        for (const createdPnlTick of createdPnlTicks) {
+          createdPnlTick.totalPnl = Big(createdPnlTick.totalPnl).sub('10000').toFixed();
+        }
+      }
       const finalTick: PnlTicksFromDatabase = {
         ...createdPnlTicks[finalTickIndex],
         equity: Big(vault1Equity).toFixed(),

indexer/services/comlink/src/config.ts

@@ -62,8 +62,10 @@ export const configSchema = {
   // Vaults config
   VAULT_PNL_HISTORY_DAYS: parseInteger({ default: 90 }),
   VAULT_PNL_HISTORY_HOURS: parseInteger({ default: 72 }),
+  VAULT_PNL_START_DATE: parseString({ default: '2024-01-01T00:00:00Z' }),
   VAULT_LATEST_PNL_TICK_WINDOW_HOURS: parseInteger({ default: 1 }),
   VAULT_FETCH_FUNDING_INDEX_BLOCK_WINDOWS: parseInteger({ default: 250_000 }),
+
 };
 
 ////////////////////////////////////////////////////////////////////////////////

indexer/services/comlink/src/controllers/api/v4/vault-controller.ts

@@ -101,7 +101,7 @@ class VaultController extends Controller {
       BlockFromDatabase,
       string,
       PnlTicksFromDatabase | undefined,
-      DateTime | undefined
+      DateTime | undefined,
     ] = await Promise.all([
       getVaultSubaccountPnlTicks(vaultSubaccountIdsWithMainSubaccount, getResolution(resolution)),
       getVaultPositions(vaultSubaccounts),
@@ -114,7 +114,6 @@ class VaultController extends Controller {
       `${config.SERVICE_NAME}.${controllerName}.fetch_ticks_positions_equity.timing`,
       Date.now() - startTicksPositions,
     );
-
     // aggregate pnlTicks for all vault subaccounts grouped by blockHeight
     const aggregatedPnlTicks: PnlTicksFromDatabase[] = aggregateVaultPnlTicks(
       vaultPnlTicks,
@@ -337,13 +336,28 @@ async function getVaultSubaccountPnlTicks(
     windowSeconds = config.VAULT_PNL_HISTORY_HOURS * 60 * 60; // hours to seconds
   }
 
-  const pnlTicks: PnlTicksFromDatabase[] = await PnlTicksTable.getPnlTicksAtIntervals(
-    resolution,
-    windowSeconds,
-    vaultSubaccountIds,
-  );
+  const [
+    pnlTicks,
+    adjustByPnlTicks,
+  ] : [
+    PnlTicksFromDatabase[],
+    PnlTicksFromDatabase[],
+  ] = await Promise.all([
+    PnlTicksTable.getPnlTicksAtIntervals(
+      resolution,
+      windowSeconds,
+      vaultSubaccountIds,
+      getVautlPnlStartDate(),
+    ),
+    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 }),
+    ),
+  ]);
 
-  return pnlTicks;
+  return adjustVaultPnlTicks(pnlTicks, adjustByPnlTicks);
 }
 
 async function getVaultPositions(
@@ -538,14 +552,33 @@ export async function getLatestPnlTick(
   vaultSubaccountIds: string[],
   vaults: VaultFromDatabase[],
 ): Promise<PnlTicksFromDatabase | undefined> {
-  const pnlTicks: PnlTicksFromDatabase[] = await PnlTicksTable.getPnlTicksAtIntervals(
-    PnlTickInterval.hour,
-    config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS * 60 * 60,
-    vaultSubaccountIds,
+  const [
+    pnlTicks,
+    adjustByPnlTicks,
+  ] : [
+    PnlTicksFromDatabase[],
+    PnlTicksFromDatabase[],
+  ] = await Promise.all([
+    PnlTicksTable.getPnlTicksAtIntervals(
+      PnlTickInterval.hour,
+      config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS * 60 * 60,
+      vaultSubaccountIds,
+      getVautlPnlStartDate(),
+    ),
+    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 }),
+    ),
+  ]);
+  const adjustedPnlTicks: PnlTicksFromDatabase[] = adjustVaultPnlTicks(
+    pnlTicks,
+    adjustByPnlTicks,
   );
   // Aggregate and get pnl tick closest to the hour
   const aggregatedTicks: PnlTicksFromDatabase[] = aggregateVaultPnlTicks(
-    pnlTicks,
+    adjustedPnlTicks,
     vaults,
   );
   const filteredTicks: PnlTicksFromDatabase[] = filterOutIntervalTicks(
@@ -708,6 +741,29 @@ function aggregateVaultPnlTicks(
   }).map((aggregatedPnlTick: AggregatedPnlTick) => { return aggregatedPnlTick.pnlTick; });
 }
 
+function adjustVaultPnlTicks(
+  pnlTicks: PnlTicksFromDatabase[],
+  pnlTicksToAdjustBy: PnlTicksFromDatabase[],
+): PnlTicksFromDatabase[] {
+  const subaccountToPnlTick: {[subaccountId: string]: PnlTicksFromDatabase} = {};
+  for (const pnlTickToAdjustBy of pnlTicksToAdjustBy) {
+    subaccountToPnlTick[pnlTickToAdjustBy.subaccountId] = pnlTickToAdjustBy;
+  }
+
+  return pnlTicks.map((pnlTick: PnlTicksFromDatabase): PnlTicksFromDatabase => {
+    const adjustByPnlTick: PnlTicksFromDatabase | undefined = subaccountToPnlTick[
+      pnlTick.subaccountId
+    ];
+    if (adjustByPnlTick === undefined) {
+      return pnlTick;
+    }
+    return {
+      ...pnlTick,
+      totalPnl: Big(pnlTick.totalPnl).sub(Big(adjustByPnlTick.totalPnl)).toFixed(),
+    };
+  });
+}
+
 async function getVaultMapping(): Promise<VaultMapping> {
   const vaults: VaultFromDatabase[] = await VaultTable.findAll(
     {},
@@ -740,4 +796,9 @@ async function getVaultMapping(): Promise<VaultMapping> {
   return validVaultMapping;
 }
 
+function getVautlPnlStartDate(): DateTime {
+  const startDate: DateTime = DateTime.fromISO(config.VAULT_PNL_START_DATE).toUTC();
+  return startDate;
+}
+
 export default router;