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[TRA-568] Initial vault PnL endpoints. #2121

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merged 10 commits into from
Aug 22, 2024
Merged

[TRA-568] Initial vault PnL endpoints. #2121

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edcaf94
Initial vault pnl endpoints.
vincentwschau Aug 21, 2024
2fe104c
Add TODO.
vincentwschau Aug 21, 2024
b7a0a4a
Fix lint errors / comments.
vincentwschau Aug 21, 2024
33ecaf0
Fix pnl ticks table test.
vincentwschau Aug 21, 2024
c0371c6
Remove extra 'v1' in path.
vincentwschau Aug 21, 2024
fb2d704
Fix lint.
vincentwschau Aug 21, 2024
100666a
Merge branch 'main' into vincentc/tra-568-megavault-pnl
vincentwschau Aug 22, 2024
b9336d9
Move vault subaccount initialization into vault tests.
vincentwschau Aug 22, 2024
168bf23
Update pnl ticks table test.
vincentwschau Aug 22, 2024
589af51
Fix missing import.
vincentwschau Aug 22, 2024
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2 changes: 0 additions & 2 deletions indexer/packages/postgres/__tests__/stores/pnl-ticks-table.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -22,7 +22,6 @@ import {
defaultSubaccountIdWithAlternateAddress,
defaultSubaccountWithAlternateAddress,
defaultWallet2,
vaultSubaccount,
vaultSubaccountId,
vaultWallet,
} from '../helpers/constants';
Expand Down Expand Up @@ -421,7 +420,6 @@ describe('PnlTicks store', () => {
await setupRankedPnlTicksData();

await WalletTable.create(vaultWallet);
await SubaccountTable.create(vaultSubaccount);
await PnlTicksTable.create({
subaccountId: vaultSubaccountId,
equity: '100',
Expand Down
255 changes: 255 additions & 0 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
@@ -0,0 +1,255 @@
import {
dbHelpers,
testConstants,
testMocks,
PnlTicksCreateObject,
PnlTicksTable,
perpetualMarketRefresher,
BlockTable,
liquidityTierRefresher,
SubaccountTable,
} from '@dydxprotocol-indexer/postgres';
import { PnlTicksResponseObject, RequestMethod, VaultHistoricalPnl } from '../../../../src/types';
import request from 'supertest';
import { sendRequest } from '../../../helpers/helpers';
import config from '../../../../src/config';

describe('vault-controller#V4', () => {
const experimentVaultsPrevVal: string = config.EXPERIMENT_VAULTS;
const experimentVaultMarketsPrevVal: string = config.EXPERIMENT_VAULT_MARKETS;
const blockHeight: string = '3';

beforeAll(async () => {
await dbHelpers.migrate();
});

afterAll(async () => {
await dbHelpers.teardown();
});

describe('GET /v1', () => {
beforeEach(async () => {
config.EXPERIMENT_VAULTS = testConstants.defaultPnlTick.subaccountId;
config.EXPERIMENT_VAULT_MARKETS = testConstants.defaultPerpetualMarket.clobPairId;
await testMocks.seedData();
await perpetualMarketRefresher.updatePerpetualMarkets();
await liquidityTierRefresher.updateLiquidityTiers();
await BlockTable.create({
...testConstants.defaultBlock,
blockHeight,
});
await SubaccountTable.create(testConstants.vaultSubaccount);
});

afterEach(async () => {
config.EXPERIMENT_VAULTS = experimentVaultsPrevVal;
config.EXPERIMENT_VAULT_MARKETS = experimentVaultMarketsPrevVal;
await dbHelpers.clearData();
});

it('Get /megavault/historicalPnl with single vault subaccount', async () => {
const createdAt: string = '2000-05-25T00:00:00.000Z';
const pnlTick2: PnlTicksCreateObject = {
...testConstants.defaultPnlTick,
createdAt,
blockHeight,
};
await Promise.all([
PnlTicksTable.create(testConstants.defaultPnlTick),
PnlTicksTable.create(pnlTick2),
]);

const response: request.Response = await sendRequest({
type: RequestMethod.GET,
path: '/v4/vault/v1/megavault/historicalPnl',
});

const expectedPnlTickResponse: PnlTicksResponseObject = {
...testConstants.defaultPnlTick,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
testConstants.defaultPnlTick.createdAt,
),
};

const expectedPnlTick2Response: any = {
...testConstants.defaultPnlTick,
createdAt,
blockHeight,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
createdAt,
),
};

expect(response.body.megavaultPnl).toEqual(
expect.arrayContaining([
expect.objectContaining({
...expectedPnlTick2Response,
}),
expect.objectContaining({
...expectedPnlTickResponse,
}),
]),
);
});

it('Get /megavault/historicalPnl with 2 vault subaccounts', async () => {
config.EXPERIMENT_VAULTS = [
testConstants.defaultPnlTick.subaccountId,
testConstants.vaultSubaccountId,
].join(',');
config.EXPERIMENT_VAULT_MARKETS = [
testConstants.defaultPerpetualMarket.clobPairId,
testConstants.defaultPerpetualMarket2.clobPairId,
].join(',');

const pnlTick2: PnlTicksCreateObject = {
...testConstants.defaultPnlTick,
subaccountId: testConstants.vaultSubaccountId,
};
await Promise.all([
PnlTicksTable.create(testConstants.defaultPnlTick),
PnlTicksTable.create(pnlTick2),
]);

const response: request.Response = await sendRequest({
type: RequestMethod.GET,
path: '/v4/vault/v1/megavault/historicalPnl',
});

const expectedPnlTickResponse: any = {
// id and subaccountId don't matter
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(),
createdAt: testConstants.defaultPnlTick.createdAt,
blockHeight: testConstants.defaultPnlTick.blockHeight,
blockTime: testConstants.defaultPnlTick.blockTime,
};

expect(response.body.megavaultPnl).toEqual(
expect.arrayContaining([
expect.objectContaining({
...expectedPnlTickResponse,
}),
]),
);
});

it('Get /vaults/historicalPnl with single vault subaccount', async () => {
const createdAt: string = '2000-05-25T00:00:00.000Z';
const pnlTick2: PnlTicksCreateObject = {
...testConstants.defaultPnlTick,
createdAt,
blockHeight,
};
await Promise.all([
PnlTicksTable.create(testConstants.defaultPnlTick),
PnlTicksTable.create(pnlTick2),
]);

const response: request.Response = await sendRequest({
type: RequestMethod.GET,
path: '/v4/vault/v1/vaults/historicalPnl',
});

const expectedPnlTickResponse: PnlTicksResponseObject = {
...testConstants.defaultPnlTick,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
testConstants.defaultPnlTick.createdAt,
),
};

const expectedPnlTick2Response: any = {
...testConstants.defaultPnlTick,
createdAt,
blockHeight,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
createdAt,
),
};

expect(response.body.vaultsPnl).toHaveLength(1);

expect(response.body.vaultsPnl[0]).toEqual({
ticker: testConstants.defaultPerpetualMarket.ticker,
historicalPnl: expect.arrayContaining([
expect.objectContaining({
...expectedPnlTick2Response,
}),
expect.objectContaining({
...expectedPnlTickResponse,
}),
]),
});
});

it('Get /vault/v1/vaults/historicalPnl with 2 vault subaccounts', async () => {
config.EXPERIMENT_VAULTS = [
testConstants.defaultPnlTick.subaccountId,
testConstants.vaultSubaccountId,
].join(',');
config.EXPERIMENT_VAULT_MARKETS = [
testConstants.defaultPerpetualMarket.clobPairId,
testConstants.defaultPerpetualMarket2.clobPairId,
].join(',');

const pnlTick2: PnlTicksCreateObject = {
...testConstants.defaultPnlTick,
subaccountId: testConstants.vaultSubaccountId,
};
await Promise.all([
PnlTicksTable.create(testConstants.defaultPnlTick),
PnlTicksTable.create(pnlTick2),
]);

const response: request.Response = await sendRequest({
type: RequestMethod.GET,
path: '/v4/vault/v1/vaults/historicalPnl',
});

const expectedVaultPnl: VaultHistoricalPnl = {
ticker: testConstants.defaultPerpetualMarket.ticker,
historicalPnl: [
{
...testConstants.defaultPnlTick,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
testConstants.defaultPnlTick.createdAt,
),
},
],
};

const expectedVaultPnl2: VaultHistoricalPnl = {
ticker: testConstants.defaultPerpetualMarket2.ticker,
historicalPnl: [
{
...pnlTick2,
id: PnlTicksTable.uuid(
pnlTick2.subaccountId,
pnlTick2.createdAt,
),
},
],
};

expect(response.body.vaultsPnl).toEqual(
expect.arrayContaining([
expect.objectContaining({
...expectedVaultPnl,
}),
expect.objectContaining({
...expectedVaultPnl2,
}),
]),
);
});
});
});
70 changes: 70 additions & 0 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 @@ -28,6 +28,8 @@ import {
LiquidityTiersFromDatabase,
LiquidityTiersTable,
liquidityTierRefresher,
PnlTicksFromDatabase,
PnlTicksTable,
} from '@dydxprotocol-indexer/postgres';
import {
adjustUSDCAssetPosition,
Expand All @@ -41,6 +43,7 @@ import {
getPerpetualPositionsWithUpdatedFunding,
initializePerpetualPositionsWithFunding,
getChildSubaccountNums,
aggregatePnlTicks,
} from '../../src/lib/helpers';
import _ from 'lodash';
import Big from 'big.js';
Expand Down Expand Up @@ -721,4 +724,71 @@ describe('helpers', () => {
expect(() => getChildSubaccountNums(128)).toThrowError('Parent subaccount number must be less than 128');
});
});

describe('aggregatePnlTicks', () => {
it('aggregates single pnl tick', () => {
const pnlTick: PnlTicksFromDatabase = {
...testConstants.defaultPnlTick,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
testConstants.defaultPnlTick.createdAt,
),
};

const aggregatedPnlTicks: Map<number, PnlTicksFromDatabase> = aggregatePnlTicks([pnlTick]);
expect(
aggregatedPnlTicks.get(parseInt(pnlTick.blockHeight, 10)),
).toEqual(expect.objectContaining({ ...testConstants.defaultPnlTick }));
});

it('aggregates multiple pnl ticks same height', () => {
const pnlTick: PnlTicksFromDatabase = {
...testConstants.defaultPnlTick,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
testConstants.defaultPnlTick.createdAt,
),
};
const pnlTick2: PnlTicksFromDatabase = {
...testConstants.defaultPnlTick,
id: PnlTicksTable.uuid(
testConstants.defaultSubaccountId2,
testConstants.defaultPnlTick.createdAt,
),
};
const blockHeight2: string = '80';
const pnlTick3: PnlTicksFromDatabase = {
...testConstants.defaultPnlTick,
id: PnlTicksTable.uuid(
testConstants.defaultPnlTick.subaccountId,
testConstants.defaultPnlTick.createdAt,
),
blockHeight: blockHeight2,
};

const aggregatedPnlTicks: Map<number, PnlTicksFromDatabase> = aggregatePnlTicks(
[pnlTick, pnlTick2, pnlTick3],
);
// Combined pnl tick at initial block height.
expect(
aggregatedPnlTicks.get(parseInt(pnlTick.blockHeight, 10)),
).toEqual(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(),
createdAt: testConstants.defaultPnlTick.createdAt,
blockHeight: testConstants.defaultPnlTick.blockHeight,
blockTime: testConstants.defaultPnlTick.blockTime,
}));
// Single pnl tick at second block height.
expect(
aggregatedPnlTicks.get(parseInt(blockHeight2, 10)),
).toEqual(expect.objectContaining({
...pnlTick3,
}));
});
});
});
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