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Discrepancies in outputs of influx_metrics.py #16

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deepsp94 opened this issue Jul 8, 2021 · 1 comment
Open

Discrepancies in outputs of influx_metrics.py #16

deepsp94 opened this issue Jul 8, 2021 · 1 comment
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@deepsp94
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deepsp94 commented Jul 8, 2021

I've compared values at the same time (or nearest time) between each of our (@mikeyrf's and mine) ovl_metrics buckets.

Some problematic pairs:
ALPHA/WETH
RUNE/WETH
CRV/WETH
WETH/DAI
WETH/USDC

I noticed that value at risk for these pairs is nearly the same until a point of time and then deviates by a huge percentage after that point. In these cases, when I switch over to 'mu' on the filter, i see that value_x (@mikeyrf) and value_y (@deepsp94) deviate at the aforementioned point of time but are close together before and after.

You can see the diff percentage between our VaR values goes from 0 to around 25 and then 35
image

This happens at the same time when, for some reason, our mu values suddenly diverge by a lot and then snap back
image

@deepsp94
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deepsp94 commented Jul 8, 2021

Attaching the excel with these charts
bucket_comparison.xlsx

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