Merge pull request #28 from Synthetixio/apr-calculation

APR calculation

dashboard/modules/base_mainnet/core_stats.py

@@ -139,13 +139,14 @@ def make_charts(data):
             ["hourly_pnl"],
             "Hourly Pnl",
         ),
-        # "apr": chart_lines(
-        #     data["apr"],
-        #     "ts",
-        #     ["pnl_pct_24_hr", "pnl_pct_7_day", "apr"],
-        #     "APR",
-        #     smooth=True,
-        # ),
+        "apr": chart_lines(
+            data["apr"],
+            "ts",
+            ["apr_7d", "apy_7d"],
+            "APR and APY",
+            smooth=True,
+            y_format="%",
+        ),
     }
 
 
@@ -179,7 +180,7 @@ def main():
         st.plotly_chart(charts["delegation"], use_container_width=True)
         st.plotly_chart(charts["credit_capacity"], use_container_width=True)
         st.plotly_chart(charts["pnl"], use_container_width=True)
-        # st.plotly_chart(charts["apr"], use_container_width=True)
+        st.plotly_chart(charts["apr"], use_container_width=True)
 
     st.markdown("## Top Delegators")
     st.dataframe(

transformers/synthetix/models/marts/core/fct_core_market_updated.sql

@@ -18,7 +18,10 @@ WITH market_updated AS (
     {{ ref('core_market_updated') }}
 )
 SELECT
+  id,
   block_timestamp AS ts,
+  transaction_hash,
+  event_name,
   market_id,
   collateral_type,
   {{ convert_wei("credit_capacity") }} AS credit_capacity,

transformers/synthetix/models/marts/core_stat/fct_core_apr.sql

@@ -32,28 +32,28 @@ pnls AS (
     FROM
         {{ ref('fct_perp_pnl') }}
 ),
-debt AS (
+collateral AS (
     SELECT
         DISTINCT DATE_TRUNC(
             'hour',
             ts
         ) AS ts,
-        market_id,
-        LAST_VALUE(reported_debt) over (PARTITION BY DATE_TRUNC('hour', ts), market_id
+        2 AS market_id,
+        LAST_VALUE(amount_delegated) over (PARTITION BY DATE_TRUNC('hour', ts)
     ORDER BY
         ts rows BETWEEN unbounded preceding
-        AND unbounded following) AS debt
+        AND unbounded following) AS collateral_value
     FROM
-        {{ ref('fct_core_market_updated') }}
+        {{ ref('fct_core_pool_delegation') }}
     WHERE
-        collateral_type != 'USD'
+        pool_id = 1
 ),
 ffill AS (
     SELECT
         dim.ts,
         dim.market_id,
         pnls.pnl,
-        debt.debt,
+        collateral.collateral_value,
         SUM(
             CASE
                 WHEN pnls.pnl IS NOT NULL THEN 1
@@ -65,21 +65,21 @@ ffill AS (
         ) AS pnl_id,
         SUM(
             CASE
-                WHEN debt.debt IS NOT NULL THEN 1
+                WHEN collateral.collateral_value IS NOT NULL THEN 1
                 ELSE 0
             END
         ) over (
             ORDER BY
                 dim.ts
-        ) AS debt_id
+        ) AS collateral_id
     FROM
         dim
         LEFT JOIN pnls
         ON dim.ts = pnls.ts
         AND dim.market_id = pnls.market_id
-        LEFT JOIN debt
-        ON dim.ts = debt.ts
-        AND dim.market_id = debt.market_id
+        LEFT JOIN collateral
+        ON dim.ts = collateral.ts
+        AND dim.market_id = collateral.market_id
 ),
 hourly_pnl AS (
     SELECT
@@ -91,102 +91,91 @@ hourly_pnl AS (
             ORDER BY
                 ts
         ) AS pnl,
-        FIRST_VALUE(COALESCE(debt, 0)) over (
-            PARTITION BY debt_id
+        FIRST_VALUE(COALESCE(collateral_value, 0)) over (
+            PARTITION BY collateral_id,
+            market_id
             ORDER BY
                 ts
-        ) AS debt
+        ) AS collateral_value
     FROM
         ffill
 ),
-ranked_pnl AS (
+hourly_calculations AS (
     SELECT
         ts,
         market_id,
-        pnl,
-        debt,
-        LAG(pnl) over (
-            PARTITION BY market_id
+        COALESCE(pnl - LAG(pnl) over (PARTITION BY market_id
+    ORDER BY
+        ts), 0) AS hourly_pnl,
+        collateral_value,
+        COALESCE(
+            (pnl - LAG(pnl) over (PARTITION BY market_id
             ORDER BY
-                ts
-        ) AS prev_pnl
+                ts)) / NULLIF(
+                    collateral_value,
+                    0
+                ),
+                0
+        ) AS hourly_pnl_pct
     FROM
         hourly_pnl
 ),
-hourly_calculations AS (
+hourly_returns AS (
     SELECT
         ts,
         market_id,
-        COALESCE(
-            pnl - prev_pnl,
-            0
-        ) AS hourly_pnl,
-        debt,
-        (COALESCE(pnl - prev_pnl, 0) / NULLIF(debt, 0)) AS hourly_pnl_pct
+        collateral_value,
+        hourly_pnl,
+        hourly_pnl_pct,
+        AVG(hourly_pnl_pct) over (
+            PARTITION BY market_id
+            ORDER BY
+                ts RANGE BETWEEN INTERVAL '24 HOURS' preceding
+                AND CURRENT ROW
+        ) AS avg_24h_pnl_pct,
+        AVG(hourly_pnl_pct) over (
+            PARTITION BY market_id
+            ORDER BY
+                ts RANGE BETWEEN INTERVAL '7 DAYS' preceding
+                AND CURRENT ROW
+        ) AS avg_7d_pnl_pct
+    FROM
+        hourly_calculations
+),
+apr_calculations AS (
+    SELECT
+        ts,
+        market_id,
+        collateral_value,
+        hourly_pnl,
+        hourly_pnl_pct,
+        avg_24h_pnl_pct,
+        avg_7d_pnl_pct,
+        avg_24h_pnl_pct * 24 * 365 AS apr_24h,
+        avg_7d_pnl_pct * 24 * 365 AS apr_7d
     FROM
-        ranked_pnl
+        hourly_returns
+),
+apy_calculations AS (
+    SELECT
+        *,
+        (power(1 + apr_24h / 8760, 8760) - 1) AS apy_24h,
+        (power(1 + apr_7d / 8760, 8760) - 1) AS apy_7d
+    FROM
+        apr_calculations
 )
 SELECT
     ts,
     market_id,
+    collateral_value,
     hourly_pnl,
-    debt,
     hourly_pnl_pct,
-    (
-        COALESCE(
-            EXP(
-                SUM(
-                    LN(
-                        1 + hourly_pnl_pct
-                    )
-                ) over (
-                    PARTITION BY market_id
-                    ORDER BY
-                        ts rows BETWEEN 23 preceding
-                        AND CURRENT ROW
-                )
-            ) - 1,
-            0
-        )
-    ) AS pnl_pct_24_hr,
-    (
-        COALESCE(
-            (
-                EXP(
-                    SUM(
-                        LN(
-                            1 + hourly_pnl_pct
-                        )
-                    ) over (
-                        PARTITION BY market_id
-                        ORDER BY
-                            ts rows BETWEEN 168 preceding
-                            AND CURRENT ROW
-                    )
-                ) - 1
-            ) / 7,
-            0
-        )
-    ) AS pnl_pct_7_day,
-    (
-        COALESCE(
-            EXP(
-                SUM(
-                    LN(
-                        1 + hourly_pnl_pct
-                    )
-                ) over (
-                    PARTITION BY market_id
-                    ORDER BY
-                        ts rows BETWEEN 23 preceding
-                        AND CURRENT ROW
-                )
-            ) - 1,
-            0
-        )
-    ) * 365 AS apr
+    apr_24h,
+    apr_7d,
+    apy_24h,
+    apy_7d
 FROM
-    hourly_calculations
+    apy_calculations
 ORDER BY
     market_id,
     ts

transformers/synthetix/models/marts/perp/fct_perp_pnl.sql

@@ -1,52 +1,25 @@
 WITH market_updated AS (
     SELECT
-        DISTINCT block_number,
-        LAST_VALUE((reported_debt + token_amount) / 1e18) over (
-            PARTITION BY block_number
+        DISTINCT id,
+        ts,
+        market_id,
+        LAST_VALUE((-1 * net_issuance) - (reported_debt + token_amount)) over (
+            PARTITION BY ts,
+            market_id
             ORDER BY
                 id
-        ) AS reported_debt
+        ) AS market_pnl
     FROM
-        {{ ref('core_market_updated') }}
+        {{ ref('fct_core_market_updated') }}
     WHERE
         market_id = 2
-),
-net_transfers AS (
-    SELECT
-        DISTINCT block_timestamp,
-        block_number,
-        LAST_VALUE(net_transfers) over (
-            PARTITION BY block_number
-            ORDER BY
-                id
-        ) AS net_transfers
-    FROM
-        (
-            SELECT
-                id,
-                block_timestamp,
-                block_number,
-                SUM(
-                    amount_delta / 1e18
-                ) over (
-                    ORDER BY
-                        id
-                ) AS net_transfers
-            FROM
-                {{ ref('perp_collateral_modified') }}
-        ) modified
 )
 SELECT
-    nt.block_timestamp AS ts,
-    nt.block_number,
-    2 AS market_id,
-    nt.net_transfers,
-    mu.reported_debt,
-    mu.reported_debt - nt.net_transfers AS trader_pnl,
-    nt.net_transfers - mu.reported_debt AS market_pnl
+    id,
+    ts,
+    market_id,
+    market_pnl
 FROM
-    net_transfers nt
-    JOIN market_updated mu
-    ON nt.block_number = mu.block_number
+    market_updated
 ORDER BY
-    nt.block_number
+    id

transformers/synthetix/models/raw/block.sql

@@ -0,0 +1,11 @@
+SELECT
+    id,
+    "timestamp" AS ts,
+    CAST(
+        "number" AS INTEGER
+    ) AS block_number
+FROM
+    {{ source(
+        'raw_' ~ target.name,
+        'block'
+    ) }}

transformers/synthetix/models/raw/core/core_market_updated.sql

@@ -41,6 +41,24 @@ combined AS (
     FROM
         collateral_deposits
     UNION ALL
+    SELECT
+        id,
+        block_timestamp,
+        block_number,
+        transaction_hash,
+        contract,
+        event_name,
+        market_id,
+        net_issuance,
+        deposited_collateral_value,
+        sender,
+        collateral_type,
+        credit_capacity,
+        token_amount,
+        reported_debt
+    FROM
+        collateral_withdrawals
+    UNION ALL
     SELECT
         id,
         block_timestamp,

transformers/synthetix/models/raw/schema.yml

@@ -0,0 +1,10 @@
+version: 2
+
+models:
+  - name: block
+    description: "Block numbers and timestamps"
+    columns:
+      - name: id
+        tests:
+          - unique
+          - not_null