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* Add a daily moving average utility * Update 30D avg on deposit and withdraw * Ignore test run file
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| Original file line number | Diff line number | Diff line change |
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@@ -8,3 +8,5 @@ node_modules | |
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| subgraph.yaml | ||
| src/config.ts | ||
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| tests/.latest.json | ||
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| Original file line number | Diff line number | Diff line change |
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| @@ -0,0 +1,101 @@ | ||
| import { BigDecimal, BigInt, log } from "@graphprotocol/graph-ts" | ||
| import { ZERO_BD, ZERO_BI } from "./decimal" | ||
| import { DAY } from "./time" | ||
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| export class DailyAvgState { | ||
| constructor( | ||
| public pendingValue: BigDecimal, | ||
| public pendingValueTimestamp: BigInt, | ||
| // a circular buffer of the last n values | ||
| // a closed value is a value that is not updated anymore | ||
| public closedValues: Array<BigDecimal>, | ||
| ) {} | ||
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| serialize(): Array<BigDecimal> { | ||
| let res = new Array<BigDecimal>() | ||
| res.push(this.pendingValue) | ||
| res.push(this.pendingValueTimestamp.toBigDecimal()) | ||
| for (let idx = 0; idx < this.closedValues.length; idx++) { | ||
| let entry = this.closedValues[idx] | ||
| res.push(entry) | ||
| } | ||
| return res | ||
| } | ||
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| static deserialize(data: Array<BigDecimal>): DailyAvgState { | ||
| let values = new Array<BigDecimal>() | ||
| if (data.length === 0) { | ||
| return new DailyAvgState(ZERO_BD, ZERO_BI, values) | ||
| } | ||
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| let pendingValue = data.shift() as BigDecimal | ||
| let pendingValueTimestamp = BigInt.fromString((data.shift() as BigDecimal).truncate(0).toString()) | ||
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| while (data.length > 0) { | ||
| let value = data.shift() as BigDecimal | ||
| values.push(value) | ||
| } | ||
| return new DailyAvgState(pendingValue, pendingValueTimestamp, values) | ||
| } | ||
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| public addValue(entry: BigDecimal): void { | ||
| this.closedValues.push(entry) | ||
| } | ||
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| public setPendingValue(value: BigDecimal, timestamp: BigInt): void { | ||
| this.pendingValue = value | ||
| this.pendingValueTimestamp = timestamp | ||
| } | ||
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| public resetPendingValue(): void { | ||
| this.pendingValue = ZERO_BD | ||
| this.pendingValueTimestamp = ZERO_BI | ||
| } | ||
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| public updatePendingValueTimestamp(timestamp: BigInt): void { | ||
| this.pendingValueTimestamp = timestamp | ||
| } | ||
| } | ||
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| export class DailyAvgCalc { | ||
| public static avg(entriesToUse: BigInt, state: DailyAvgState): BigDecimal { | ||
| // first, eliminate the entries that are not in the period anymore | ||
| state = DailyAvgCalc.evictOldEntries(entriesToUse, state) | ||
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| // we need at least 1 entry to compute the apr | ||
| if (state.closedValues.length === 0) { | ||
| return state.pendingValue | ||
| } | ||
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| const closedSeconds = DAY.times(BigInt.fromI32(state.closedValues.length)) | ||
| const pendingSeconds = state.pendingValueTimestamp.mod(DAY) | ||
| let res = ZERO_BD | ||
| for (let idx = 0; idx < state.closedValues.length; idx++) { | ||
| const entry = state.closedValues[idx] | ||
| res = res.plus(entry.times(DAY.toBigDecimal())) | ||
| } | ||
| res = res.plus(state.pendingValue.times(pendingSeconds.toBigDecimal())) | ||
| return res.div(closedSeconds.plus(pendingSeconds).toBigDecimal()) | ||
| } | ||
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| /** | ||
| * Evict entries that do not belong to the period anymore | ||
| */ | ||
| public static evictOldEntries(entriesToUse: BigInt, state: DailyAvgState): DailyAvgState { | ||
| if (entriesToUse.lt(ZERO_BI) || entriesToUse.equals(ZERO_BI)) { | ||
| log.error("DailyAvgCalc: entriesToUse cannot be negative or zero, got {}", [entriesToUse.toString()]) | ||
| throw new Error("DailyAvgCalc: entriesToUse cannot be negative or zero") | ||
| } | ||
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| let lastEntryIdx = state.closedValues.length - 1 | ||
| let firstEntryIdx = lastEntryIdx - entriesToUse.toI32() + 1 | ||
| let firstEntryIdxClamped = Math.max(firstEntryIdx, 0) as i32 | ||
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| const newEntries = new Array<BigDecimal>() | ||
| for (let idx = firstEntryIdxClamped; idx <= lastEntryIdx; idx++) { | ||
| newEntries.push(state.closedValues[idx]) | ||
| } | ||
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| return new DailyAvgState(state.pendingValue, state.pendingValueTimestamp, newEntries) | ||
| } | ||
| } |
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