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taoshidev · Jan 8, 2025 · 02bc74b · 02bc74b
1 parent 5189e7c
commit 02bc74b
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Showing 2 changed files with 38 additions and 23 deletions.
diff --git a/tests/vali_tests/test_perf_ledgers.py b/tests/vali_tests/test_perf_ledgers.py
@@ -6,7 +6,7 @@
 from vali_objects.enums.order_type_enum import OrderType
 from vali_objects.position import Position
 from vali_objects.vali_dataclasses.order import Order
-from vali_objects.vali_dataclasses.perf_ledger import PerfLedgerManager
+from vali_objects.vali_dataclasses.perf_ledger import PerfLedgerManager, TP_ID_PORTFOLIO
 
 class TestPerfLedgers(TestBase):
 
@@ -36,9 +36,13 @@ def test_basic(self, mock_unified_candle_fetcher):
         perf_ledger_manager = PerfLedgerManager(metagraph=None, running_unit_tests=True)
         hotkey_to_positions = {self.DEFAULT_MINER_HOTKEY: [self.default_open_position]}
         ans = perf_ledger_manager.generate_perf_ledgers_for_analysis(hotkey_to_positions)
-        for x in ans[self.DEFAULT_MINER_HOTKEY].cps:
-            last_update_formated = TimeUtil.millis_to_timestamp(x.last_update_ms)
-            print(x, last_update_formated)
-        print('max_perf_ledger_return:', ans[self.DEFAULT_MINER_HOTKEY].max_return)
+        for hk, dat in ans.items():
+            for tp_id, pl in dat.items():
+                print('-----------', tp_id, '-----------')
+                for idx, x in enumerate(pl.cps):
+                    last_update_formatted = TimeUtil.millis_to_timestamp(x.last_update_ms)
+                    if idx == 0 or idx == len(pl.cps) - 1:
+                        print(x, last_update_formatted)
+                print(tp_id, 'max_perf_ledger_return:', pl.max_return)
         assert len(ans) == 1, ans
 
diff --git a/vali_objects/vali_dataclasses/perf_ledger.py b/vali_objects/vali_dataclasses/perf_ledger.py
@@ -416,7 +416,7 @@ def __init__(self, metagraph, live_price_fetcher=None, running_unit_tests=False,
         self.hotkey_to_checkpointed_ledger = {}
 
 
-    def load_perf_ledgers_from_disk(self, read_as_pydantic=True) -> dict[str, PerfLedgerData]:
+    def load_perf_ledgers_from_disk(self, read_as_pydantic=True) -> dict[str, dict[str, PerfLedgerData]]:
         file_path = ValiBkpUtils.get_perf_ledgers_path(self.running_unit_tests)
         if not os.path.exists(file_path):
             return {}
@@ -425,13 +425,13 @@ def load_perf_ledgers_from_disk(self, read_as_pydantic=True) -> dict[str, PerfLe
             data = json.load(file)
 
         perf_ledgers = {}
-        for key, ledger_data in data.items():
-            if read_as_pydantic:
-                ledger_data['cps'] = [PerfCheckpoint(**cp) for cp in ledger_data['cps']]
-                perf_ledgers[key] = PerfLedger(**ledger_data)
-            else:
-                ledger_data['cps'] = [PerfCheckpointData(**cp) for cp in ledger_data['cps']]
-                perf_ledgers[key] = PerfLedgerData(**ledger_data)
+        for hk, ledger_data in data.items():
+            perf_ledgers[hk] = {}
+            for key, ledger in ledger_data.items():
+                if read_as_pydantic:
+                    perf_ledgers[hk][key] = PerfLedger(**ledger)
+                else:
+                    perf_ledgers[hk][key] = PerfLedgerData(**ledger)
 
         return perf_ledgers
 
@@ -764,8 +764,12 @@ def condense_positions(self, tp_to_historical_positions: dict[str: Position]) ->
             tp_to_historical_positions_dense[tp_id] = dense_positions
         return tp_to_initial_return, tp_to_initial_spread_fee, tp_to_initial_carry_fee, tp_to_historical_positions_dense
 
-    def build_perf_ledger(self, perf_ledger_bundle: dict[str:PerfLedgerData], tp_to_historical_positions: dict[str: Position], start_time_ms, end_time_ms, miner_hotkey, realtime_position_to_pop) -> bool:
+    def build_perf_ledger(self, perf_ledger_bundle: dict[str:dict[str, PerfLedgerData]], tp_to_historical_positions: dict[str: Position], start_time_ms, end_time_ms, miner_hotkey, realtime_position_to_pop) -> bool:
         #print(f"Building perf ledger for {miner_hotkey} from {start_time_ms} to {end_time_ms} ({(end_time_ms - start_time_ms) // 1000} s)")
+        portfolio_pl = perf_ledger_bundle[TP_ID_PORTFOLIO]
+        if len(portfolio_pl.cps) == 0:
+            portfolio_pl.init_with_first_order(end_time_ms, point_in_time_dd=1.0, current_portfolio_value=1.0,
+                                              current_portfolio_fee_spread=1.0, current_portfolio_carry=1.0)
 
         # Init per-trade-pair perf ledgers
         tp_ids_to_build = [TP_ID_PORTFOLIO]
@@ -780,8 +784,9 @@ def build_perf_ledger(self, perf_ledger_bundle: dict[str:PerfLedgerData], tp_to_
                 relevant_position = realtime_position_to_pop
                 initialization_time_ms = relevant_position.open_ms
                 perf_ledger_bundle[tp_id] = PerfLedgerData(initialization_time_ms=initialization_time_ms)
+                perf_ledger_bundle[tp_id].init_with_first_order(end_time_ms, point_in_time_dd=1.0, current_portfolio_value=1.0,
+                                                   current_portfolio_fee_spread=1.0, current_portfolio_carry=1.0)
 
-        portfolio_pl = perf_ledger_bundle[TP_ID_PORTFOLIO]
         if portfolio_pl.initialization_time_ms == end_time_ms:
             return False  # Can only build perf ledger between orders or after all orders have passed.
 
@@ -1037,12 +1042,16 @@ def get_positions_perf_ledger(self, testing_one_hotkey=None):
 
         return hotkey_to_positions, hotkeys_with_no_positions
 
-    def generate_perf_ledgers_for_analysis(self, hotkey_to_positions: dict[str, List[Position]], t_ms: int = None) -> dict[str, PerfLedger]:
+    def generate_perf_ledgers_for_analysis(self, hotkey_to_positions: dict[str, List[Position]], t_ms: int = None) -> dict[str, dict[str, PerfLedger]]:
         if t_ms is None:
             t_ms = TimeUtil.now_in_millis()  # Time to build the perf ledgers up to. Goes back 30 days from this time.
         existing_perf_ledgers = {}
-        ans_data = self.update_all_perf_ledgers(hotkey_to_positions, existing_perf_ledgers, t_ms, return_dict=True)
-        ans_pydantic = {k: PerfLedger.from_data(v) for k, v in ans_data.items()}
+        dat = self.update_all_perf_ledgers(hotkey_to_positions, existing_perf_ledgers, t_ms, return_dict=True)
+        ans_pydantic = {}
+        for k, v in dat.items():
+            ans_pydantic[k] = {}
+            for tp_id, pl in v.items():
+                ans_pydantic[k][tp_id] = PerfLedger.from_data(pl)
         return ans_pydantic
 
     def update(self, testing_one_hotkey=None, regenerate_all_ledgers=False):
@@ -1167,12 +1176,14 @@ def sort_key(x):
                 print('    total loss product', pl.get_product_of_loss())
                 print('    total product', pl.get_total_product())
 
-    def save_perf_ledgers_to_disk(self, perf_ledgers: dict[str, PerfLedgerData] | dict[str, dict], raw_json=False):
+    def save_perf_ledgers_to_disk(self, perf_ledgers: dict[str, dict[str, PerfLedgerData]] | dict[str, dict], raw_json=False):
         # Convert to PerfLedger (pydantic validation)
-        if raw_json:
-            pydantic_perf_ledgers = {key: PerfLedger.from_dict(value) for key, value in perf_ledgers.items()}
-        else:
-            pydantic_perf_ledgers = {key: PerfLedger.from_data(value) for key, value in perf_ledgers.items()}
+        pydantic_perf_ledgers = {}
+        for hk, dat in perf_ledgers.items():
+            pydantic_perf_ledgers[hk] = {}
+            for tp_id, pl in dat.items():
+                pydantic_perf_ledgers[hk][tp_id] = PerfLedger.from_dict(pl) if raw_json else PerfLedger.from_data(pl)
+
         file_path = ValiBkpUtils.get_perf_ledgers_path(self.running_unit_tests)
         ValiBkpUtils.write_to_dir(file_path, pydantic_perf_ledgers)