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fixes #27

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merged 1 commit into from
Oct 25, 2023
Merged

fixes #27

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32 changes: 16 additions & 16 deletions components/home/charts/hlp.tsx
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Original file line number Diff line number Diff line change
Expand Up @@ -61,6 +61,7 @@ export default function Hlp() {
coin: string;
avg_oracle_px: number;
first_oracle_px: number;
last_oracle_px: number;
avg_open_interest: number;
};

Expand All @@ -77,12 +78,15 @@ export default function Hlp() {
hedged_pnl: number;
};

const getOraclePxs = (assetCtxs: AssetCtx[]): Map<string, number> => {
const map = new Map<string, number>();
const getOraclePxs = (assetCtxs: AssetCtx[]): {firstOraclePxs: Map<string, number>, lastOraclePxs: Map<string, number>} => {
const firstOraclePxs = new Map<string, number>();
const lastOraclePxs = new Map<string, number>();

assetCtxs.forEach((item) => {
map.set(item.coin + item.time, item.first_oracle_px);
firstOraclePxs.set(item.coin + item.time, item.first_oracle_px);
lastOraclePxs.set(item.coin + item.time, item.last_oracle_px)
});
return map;
return {firstOraclePxs, lastOraclePxs};
};

const makeHlpPnl = (
Expand Down Expand Up @@ -122,9 +126,8 @@ export default function Hlp() {
const map = new Map<string, GroupedData>();
const uniqueTopCoins = new Set<string>();

let prevTime: string | null = null;
let hedgedCumulativePnl = 0;
const oraclePxs = getOraclePxs(assetCtxs);
const {firstOraclePxs, lastOraclePxs} = getOraclePxs(assetCtxs);

hlpPositions.forEach((item: HlpPosition) => {
let { time, coin, daily_ntl } = item;
Expand All @@ -138,23 +141,20 @@ export default function Hlp() {
hedged_cumulative_pnl: hedgedCumulativePnl,
Other: 0,
});
prevTime = time;
}

const existingEntry = map.get(time)!;
existingEntry[`${coin}`] = (existingEntry[`${coin}`] || 0) + daily_ntl;
existingEntry.daily_ntl += daily_ntl;

const oraclePx = oraclePxs.get(coin + time);
const firstOraclePx = firstOraclePxs.get(coin + time);
let hedgedPnl = 0;
const nextTime = getNextTime(time);
let oraclePxNext = oraclePxs.get(coin + nextTime);
let prevTimeData = prevTime ? map.get(prevTime) : null;
let prevDayNtlPosition = prevTimeData ? prevTimeData[`${coin}`] : null;

if (oraclePxNext && oraclePx && prevDayNtlPosition) {
const pxChange = 1 - oraclePx / oraclePxNext;
const pnl = -1 * prevDayNtlPosition * pxChange;
let lastOraclePx = lastOraclePxs.get(coin + time);
let curDayData = map.get(time);
let coinNtlPosition = curDayData ? curDayData[`${coin}`] : null;
if (lastOraclePx && firstOraclePx && coinNtlPosition) {
const pxChange = 1 - firstOraclePx / lastOraclePx;
const pnl = -1 * coinNtlPosition * pxChange;
hedgedPnl += pnl;
}

Expand Down