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De-duplicate and filter out invalid pnl ticks for megavault. (backport …
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…#2540) (#2545)

Co-authored-by: vincentwschau <[email protected]>
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@mergify @vincentwschau
mergify[bot] and vincentwschau authored Oct 28, 2024
1 parent c49f48e commit c4348fb
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Showing 8 changed files with 187 additions and 39 deletions.
6 changes: 6 additions & 0 deletions indexer/pnpm-lock.yaml
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19 changes: 15 additions & 4 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 @@ -15,6 +15,7 @@ import {
VaultTable,
MEGAVAULT_MODULE_ADDRESS,
MEGAVAULT_SUBACCOUNT_ID,
TransferTable,
} from '@dydxprotocol-indexer/postgres';
import { RequestMethod, VaultHistoricalPnl } from '../../../../src/types';
import request from 'supertest';
Expand Down Expand Up @@ -181,11 +182,12 @@ describe('vault-controller#V4', () => {
[
'hourly resolution',
'?resolution=hour',
[1, undefined, 2, 3, 4],
[undefined, 6, 7, 8, 9],
[11, undefined, 12, 13, 14],
[1, 2, 3, 4],
[undefined, 7, 8, 9],
[11, 12, 13, 14],
],
])('Get /megavault/historicalPnl with 2 vault subaccounts and main subaccount (%s)', async (
])('Get /megavault/historicalPnl with 2 vault subaccounts and main subaccount (%s), ' +
'excludes tick with missing vault ticks', async (
_name: string,
queryParam: string,
expectedTicksIndex1: (number | undefined)[],
Expand All @@ -202,16 +204,24 @@ describe('vault-controller#V4', () => {
...testConstants.defaultVault,
address: testConstants.defaultAddress,
clobPairId: testConstants.defaultPerpetualMarket.clobPairId,
createdAt: twoDaysAgo.toISO(),
}),
// Single tick for this vault will be excluded from result.
VaultTable.create({
...testConstants.defaultVault,
address: testConstants.vaultAddress,
clobPairId: testConstants.defaultPerpetualMarket2.clobPairId,
createdAt: almostTwoDaysAgo.toISO(),
}),
AssetPositionTable.upsert({
...testConstants.defaultAssetPosition,
subaccountId: MEGAVAULT_SUBACCOUNT_ID,
}),
TransferTable.create({
...testConstants.defaultTransfer,
recipientSubaccountId: MEGAVAULT_SUBACCOUNT_ID,
createdAt: twoDaysAgo.toISO(),
}),
]);

const createdPnlTicks: PnlTicksFromDatabase[] = await createPnlTicks(
Expand Down Expand Up @@ -559,6 +569,7 @@ describe('vault-controller#V4', () => {
...testConstants.defaultPnlTick,
subaccountId: testConstants.vaultSubaccountId,
}),
// Invalid pnl tick to be excluded as only a single pnl tick but 2 pnl ticks should exist.
PnlTicksTable.create({
...testConstants.defaultPnlTick,
subaccountId: testConstants.vaultSubaccountId,
Expand Down
70 changes: 51 additions & 19 deletions indexer/services/comlink/__tests__/lib/helpers.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -58,7 +58,9 @@ import {
defaultTendermintEventId2,
defaultTendermintEventId3,
} from '@dydxprotocol-indexer/postgres/build/__tests__/helpers/constants';
import { AssetPositionsMap, PerpetualPositionWithFunding, SubaccountResponseObject } from '../../src/types';
import {
AggregatedPnlTick, AssetPositionsMap, PerpetualPositionWithFunding, SubaccountResponseObject,
} from '../../src/types';
import { ZERO, ZERO_USDC_POSITION } from '../../src/lib/constants';
import { DateTime } from 'luxon';

Expand Down Expand Up @@ -844,15 +846,20 @@ describe('helpers', () => {
),
};

const aggregatedPnlTicks: PnlTicksFromDatabase[] = aggregateHourlyPnlTicks([pnlTick]);
const aggregatedPnlTicks: AggregatedPnlTick[] = aggregateHourlyPnlTicks([pnlTick]);
expect(
aggregatedPnlTicks,
).toEqual(
[expect.objectContaining({ ...testConstants.defaultPnlTick })],
[expect.objectContaining(
{
pnlTick: expect.objectContaining(testConstants.defaultPnlTick),
numTicks: 1,
},
)],
);
});

it('aggregates multiple pnl ticks same height', () => {
it('aggregates multiple pnl ticks same height and de-dupes ticks', () => {
const pnlTick: PnlTicksFromDatabase = {
...testConstants.defaultPnlTick,
id: PnlTicksTable.uuid(
Expand All @@ -862,6 +869,7 @@ describe('helpers', () => {
};
const pnlTick2: PnlTicksFromDatabase = {
...testConstants.defaultPnlTick,
subaccountId: testConstants.defaultSubaccountId2,
id: PnlTicksTable.uuid(
testConstants.defaultSubaccountId2,
testConstants.defaultPnlTick.createdAt,
Expand All @@ -883,8 +891,9 @@ describe('helpers', () => {
const blockTime3: string = DateTime.fromISO(pnlTick.createdAt).plus({ minute: 61 }).toISO();
const pnlTick4: PnlTicksFromDatabase = {
...testConstants.defaultPnlTick,
subaccountId: testConstants.defaultSubaccountId2,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
testConstants.defaultSubaccountId2,
blockTime3,
),
equity: '1',
Expand All @@ -894,29 +903,52 @@ describe('helpers', () => {
blockTime: blockTime3,
createdAt: blockTime3,
};
const blockHeight4: string = '82';
const blockTime4: string = DateTime.fromISO(pnlTick.createdAt).startOf('hour').plus({ minute: 63 }).toISO();
// should be de-duped
const pnlTick5: PnlTicksFromDatabase = {
...testConstants.defaultPnlTick,
subaccountId: testConstants.defaultSubaccountId2,
id: PnlTicksTable.uuid(
testConstants.defaultSubaccountId2,
blockTime4,
),
equity: '1',
totalPnl: '2',
netTransfers: '3',
blockHeight: blockHeight4,
blockTime: blockTime4,
createdAt: blockTime4,
};

const aggregatedPnlTicks: PnlTicksFromDatabase[] = aggregateHourlyPnlTicks(
[pnlTick, pnlTick2, pnlTick3, pnlTick4],
const aggregatedPnlTicks: AggregatedPnlTick[] = aggregateHourlyPnlTicks(
[pnlTick, pnlTick2, pnlTick3, pnlTick4, pnlTick5],
);
expect(aggregatedPnlTicks).toEqual(
expect.arrayContaining([
// Combined pnl tick at initial hour
expect.objectContaining({
equity: (parseFloat(testConstants.defaultPnlTick.equity) +
parseFloat(pnlTick2.equity)).toString(),
totalPnl: (parseFloat(testConstants.defaultPnlTick.totalPnl) +
parseFloat(pnlTick2.totalPnl)).toString(),
netTransfers: (parseFloat(testConstants.defaultPnlTick.netTransfers) +
parseFloat(pnlTick2.netTransfers)).toString(),
pnlTick: expect.objectContaining({
equity: (parseFloat(testConstants.defaultPnlTick.equity) +
parseFloat(pnlTick2.equity)).toString(),
totalPnl: (parseFloat(testConstants.defaultPnlTick.totalPnl) +
parseFloat(pnlTick2.totalPnl)).toString(),
netTransfers: (parseFloat(testConstants.defaultPnlTick.netTransfers) +
parseFloat(pnlTick2.netTransfers)).toString(),
}),
numTicks: 2,
}),
// Combined pnl tick at initial hour + 1 hour and initial hour + 1 hour, 1 minute
expect.objectContaining({
equity: (parseFloat(pnlTick3.equity) +
parseFloat(pnlTick4.equity)).toString(),
totalPnl: (parseFloat(pnlTick3.totalPnl) +
parseFloat(pnlTick4.totalPnl)).toString(),
netTransfers: (parseFloat(pnlTick3.netTransfers) +
parseFloat(pnlTick4.netTransfers)).toString(),
pnlTick: expect.objectContaining({
equity: (parseFloat(pnlTick3.equity) +
parseFloat(pnlTick4.equity)).toString(),
totalPnl: (parseFloat(pnlTick3.totalPnl) +
parseFloat(pnlTick4.totalPnl)).toString(),
netTransfers: (parseFloat(pnlTick3.netTransfers) +
parseFloat(pnlTick4.netTransfers)).toString(),
}),
numTicks: 2,
}),
]),
);
Expand Down
3 changes: 2 additions & 1 deletion indexer/services/comlink/package.json
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Original file line number Diff line number Diff line change
Expand Up @@ -28,14 +28,15 @@
"@cosmjs/encoding": "^0.32.3",
"@dydxprotocol-indexer/base": "workspace:^0.0.1",
"@dydxprotocol-indexer/compliance": "workspace:^0.0.1",
"@dydxprotocol-indexer/notifications": "workspace:^0.0.1",
"@dydxprotocol-indexer/postgres": "workspace:^0.0.1",
"@dydxprotocol-indexer/redis": "workspace:^0.0.1",
"@dydxprotocol-indexer/v4-proto-parser": "workspace:^0.0.1",
"@dydxprotocol-indexer/v4-protos": "workspace:^0.0.1",
"@keplr-wallet/cosmos": "^0.12.122",
"@dydxprotocol-indexer/notifications": "workspace:^0.0.1",
"@tsoa/runtime": "^5.0.0",
"big.js": "^6.2.1",
"binary-searching": "^2.0.5",
"body-parser": "^1.20.0",
"cors": "^2.8.5",
"dd-trace": "^3.32.1",
Expand Down
6 changes: 5 additions & 1 deletion indexer/services/comlink/src/controllers/api/v4/historical-pnl-controller.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -11,6 +11,7 @@ import {
} from '@dydxprotocol-indexer/postgres';
import express from 'express';
import { matchedData } from 'express-validator';
import _ from 'lodash';
import {
Controller, Get, Query, Route,
} from 'tsoa';
Expand Down Expand Up @@ -156,7 +157,10 @@ class HistoricalPnlController extends Controller {
}

// aggregate pnlTicks for all subaccounts grouped by blockHeight
const aggregatedPnlTicks: PnlTicksFromDatabase[] = aggregateHourlyPnlTicks(pnlTicks);
const aggregatedPnlTicks: PnlTicksFromDatabase[] = _.map(
aggregateHourlyPnlTicks(pnlTicks),
'pnlTick',
);

return {
historicalPnl: aggregatedPnlTicks.map(
Expand Down
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