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flatter ux. add risk history.
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daviidarr committed Apr 26, 2024
1 parent f4181f5 commit 814f0b7
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224 changes: 121 additions & 103 deletions pnl_explain.py
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Original file line number Diff line number Diff line change
Expand Up @@ -40,19 +40,19 @@
st.session_state.pnl_explainer = PnlExplainer(st.session_state.plex_db.query_categories(),st.secrets['alchemy_key'])

addresses = st.session_state.parameters['profile']['addresses']
risk_tab, pnl_tab = st.tabs(
["risk", "pnl"])
risk_tab, risk_history_tab, pnl_tab, pnl_history_tab = st.tabs(
["risk", "risk_history", "pnl", "pnl_history"])

with risk_tab:
with st.form("snapshot_form"):
refresh_tab, historical_tab = st.columns(2)
historical_tab, refresh_tab = st.columns(2)
with historical_tab:
historical = st.form_submit_button("fetch historical date", help="fetch from db")
timestamp = prompt_snapshot_timestamp(st.session_state.plex_db, addresses)
with refresh_tab:
if refresh := st.form_submit_button("fetch live from debank", help="fetch from debank costs credits !"):
timestamp = int(datetime.now().timestamp())
debank_credits = st.session_state.api.get_credits()
with historical_tab:
timestamp = prompt_snapshot_timestamp(st.session_state.plex_db, addresses)
historical = st.form_submit_button("fetch historical date", help="fetch from db")

if refresh or historical:
all_fetch = asyncio.run(
Expand All @@ -70,10 +70,22 @@

download_db_button(st.session_state.plex_db, file_name='snapshot.db', label='Download database')

# dynamic categorization
if 'snapshot' in st.session_state:
# dynamic categorization
if missing_category := set(st.session_state.snapshot['asset']) - set(st.session_state.pnl_explainer.categories.keys()):
st.warning(f"New underlyings {missing_category} -> Edit 'underlying' below to group exposures by underlying")
with st.form("categorization_form"):
# categorization
st.write("Edit 'underlying' below to group exposures by underlying")
categorization = pd.DataFrame({'underlying': {coin: coin for coin in missing_category}
| st.session_state.pnl_explainer.categories})
categorization['exposure'] = st.session_state.snapshot.groupby('asset').sum()['value']
edited_categorization = st.data_editor(categorization, use_container_width=True)['underlying'].to_dict()
if st.form_submit_button("Override categorization"):
st.session_state.pnl_explainer.categories = edited_categorization
st.session_state.plex_db.overwrite_categories(edited_categorization)
st.session_state.plex_db.upload_to_s3()
st.success("Categories updated (not exposure!)")

# display risk
st.write("Risk pivot table: group exposures by underlying")
Expand All @@ -89,102 +101,108 @@

download_button(st.session_state.snapshot, file_name='snapshot.csv', label='Download snapshot')

with st.form("categorization_form"):
# categorization
st.write("Edit 'underlying' below to group exposures by underlying")
categorization = pd.DataFrame({'underlying': {coin: coin for coin in missing_category}
| st.session_state.pnl_explainer.categories})
categorization['exposure'] = st.session_state.snapshot.groupby('asset').sum()['value']
edited_categorization = st.data_editor(categorization, use_container_width=True)['underlying'].to_dict()
if st.form_submit_button("Override categorization"):
st.session_state.pnl_explainer.categories = edited_categorization
st.session_state.plex_db.overwrite_categories(edited_categorization)
st.session_state.plex_db.upload_to_s3()
st.success("Categories updated (not exposure!)")
with risk_history_tab:
risk_start_timestamp, risk_end_timestamp = prompt_plex_interval(st.session_state.plex_db, addresses, nonce='risk', default_dt=timedelta(days=7))
# snapshots
risk_snapshots_within = st.session_state.plex_db.query_table_between(st.session_state.parameters['profile']['addresses'],
risk_start_timestamp, risk_end_timestamp, "snapshots")
risk_snapshots_within['timestamp'] = pd.to_datetime(risk_snapshots_within['timestamp'], unit='s', utc=True)
risk_snapshots_within['underlying'] = risk_snapshots_within['asset'].map(
st.session_state.pnl_explainer.categories)
'''
plot timeseries of explain by some staked_columns
'''
categoricals = ['underlying', 'asset', 'protocol', 'chain', 'hold_mode', 'type']
values = ['value']
rows = ['timestamp']
granularity_field = st.selectbox("granularity field", categoricals, index=2)
totals = pd.pivot_table(risk_snapshots_within, values=values, columns=[granularity_field], index=rows, aggfunc='sum')
totals = totals.stack().reset_index()

fig = px.bar(totals, x=rows[0], y=values[0],
color=granularity_field, title='value',
barmode='stack')
min_dt = 4 * 3600 # 4h
fig.update_traces(width=min_dt * 1000)
st.plotly_chart(fig, use_container_width=True)

download_button(risk_snapshots_within, file_name='risk_history.csv', label='Download risk history')

with pnl_tab:
start_timestamp, end_timestamp = prompt_plex_interval(st.session_state.plex_db, addresses)

details_tab, history_tab = st.tabs(["details", "history"])

with details_tab:
## display_pivot plex
st.subheader("Pnl Explain")

st.latex(r'PnL_{\text{full delta}} = \sum (P_{\text{asset}}^1-P_{\text{asset}}^0) \times N^{\text{start}}')
st.latex(r'PnL_{\text{delta}} = \sum (\frac{P_{\text{underlying}}^1}{P_{\text{underlying}}^0}-1) \times N^{\text{start}} \frac{P_{\text{underlying}}^0}{P_{\text{asset}}^0}')
st.latex(r'PnL_{\text{basis}} = PnL_{\text{full delta}} - PnL_{\text{delta}}')
st.latex(r'PnL_{\text{amt\_chng}} = \sum \Delta N \times P^{\text{end}}')

start_snapshot = st.session_state.plex_db.query_table_at(addresses, start_timestamp, "snapshots")
end_snapshot = st.session_state.plex_db.query_table_at(addresses, end_timestamp, "snapshots")
st.session_state.plex = st.session_state.pnl_explainer.explain(start_snapshot=start_snapshot, end_snapshot=end_snapshot)

display_pivot(st.session_state.plex.loc[st.session_state.plex['pnl'].apply(lambda x: abs(x) > start_snapshot['value'].sum() * 1e-4)],
rows=['underlying', 'asset'],
columns=['pnl_bucket'],
values=['pnl'],
hidden=['protocol', 'chain', 'hold_mode', 'type'])

## display_pivot transactions
st.subheader("Transactions")

transactions = st.session_state.plex_db.query_table_between(addresses, start_timestamp, end_timestamp, "transactions")
st.session_state.transactions = st.session_state.pnl_explainer.format_transactions(start_timestamp, end_timestamp, transactions)
st.session_state.transactions.rename(columns={'pnl': 'value'}, inplace=True)
display_pivot(st.session_state.transactions,
rows=['underlying', 'asset'],
columns=['type'],
values=['gas', 'value'],
hidden=['id', 'protocol', 'chain'])

if 'plex' in st.session_state:
plex_download_col, tx_download_col = st.columns(2)
with plex_download_col:
download_button(st.session_state.plex, file_name='plex.csv', label="Download plex data")
with tx_download_col:
download_button(st.session_state.transactions, file_name='tx.csv', label="Download tx data")
st.session_state.transactions.to_csv('tx.csv')

with history_tab:
# snapshots
snapshots_within = st.session_state.plex_db.query_table_between(st.session_state.parameters['profile']['addresses'], start_timestamp, end_timestamp, "snapshots")
# explains and transactions btw snapshots
explain_list = []
transactions_list = []
for start, end in zip(
snapshots_within['timestamp'].unique()[:-1],
snapshots_within['timestamp'].unique()[1:],
):
start_snapshots = snapshots_within[snapshots_within['timestamp'] == start]
end_snapshots = snapshots_within[snapshots_within['timestamp'] == end]
explain = st.session_state.pnl_explainer.explain(start_snapshots, end_snapshots)
explain_list.append(explain)

# transactions
transactions = st.session_state.plex_db.query_table_between(addresses, start, end, "transactions")
transactions = st.session_state.pnl_explainer.format_transactions(start, end, transactions)
transactions_list.append(transactions)
explains = pd.concat(explain_list, axis=0, ignore_index=True)
tx_pnl = pd.concat(transactions_list, axis=0, ignore_index=True)

'''
plot timeseries of explain by some staked_columns
'''
categoricals = ['underlying', 'asset', 'protocol', 'pnl_bucket', 'chain', 'hold_mode', 'type']
values = ['pnl']
rows = ['timestamp_end']
granularity_field = st.selectbox("granularity field", categoricals, index=0)
totals = pd.pivot_table(explains, values=values, columns=[granularity_field], index=rows, aggfunc='sum').cumsum()
totals = totals.stack().reset_index()

fig = px.bar(totals, x='timestamp_end', y='pnl',
color=granularity_field, title='cum_pnl',
barmode='stack')
min_dt = 4*3600 # 4h
fig.update_traces(width=min_dt*1000)
st.plotly_chart(fig, use_container_width=True)

if 'history' in st.session_state:
download_button(st.session_state.history, file_name='history.csv', label="Download history data")
pnl_start_timestamp, pnl_end_timestamp = prompt_plex_interval(st.session_state.plex_db, addresses, nonce='pnl', default_dt=timedelta(days=1))

## display_pivot plex
st.subheader("Pnl Explain")

st.latex(r'PnL_{\text{full delta}} = \sum (P_{\text{asset}}^1-P_{\text{asset}}^0) \times N^{\text{start}}')
st.latex(r'PnL_{\text{delta}} = \sum (\frac{P_{\text{underlying}}^1}{P_{\text{underlying}}^0}-1) \times N^{\text{start}} \frac{P_{\text{underlying}}^0}{P_{\text{asset}}^0}')
st.latex(r'PnL_{\text{basis}} = PnL_{\text{full delta}} - PnL_{\text{delta}}')
st.latex(r'PnL_{\text{amt\_chng}} = \sum \Delta N \times P^{\text{end}}')

start_snapshot = st.session_state.plex_db.query_table_at(addresses, pnl_start_timestamp, "snapshots")
end_snapshot = st.session_state.plex_db.query_table_at(addresses, pnl_end_timestamp, "snapshots")
st.session_state.plex = st.session_state.pnl_explainer.explain(start_snapshot=start_snapshot, end_snapshot=end_snapshot)

display_pivot(st.session_state.plex.loc[st.session_state.plex['pnl'].apply(lambda x: abs(x) > start_snapshot['value'].sum() * 1e-4)],
rows=['underlying', 'asset'],
columns=['pnl_bucket'],
values=['pnl'],
hidden=['protocol', 'chain', 'hold_mode', 'type'])

download_button(st.session_state.plex, file_name='plex.csv', label='Download pnl explain')

## display_pivot transactions
st.subheader("Transactions")

transactions = st.session_state.plex_db.query_table_between(addresses, pnl_start_timestamp, pnl_end_timestamp, "transactions")
st.session_state.transactions = st.session_state.pnl_explainer.format_transactions(pnl_start_timestamp, pnl_end_timestamp, transactions)
st.session_state.transactions.rename(columns={'pnl': 'value'}, inplace=True)
display_pivot(st.session_state.transactions,
rows=['underlying', 'asset'],
columns=['type'],
values=['gas', 'value'],
hidden=['id', 'protocol', 'chain'])

download_button(st.session_state.transactions, file_name='tx.csv', label="Download tx data")

with pnl_history_tab:
# snapshots
pnl_snapshots_within = st.session_state.plex_db.query_table_between(st.session_state.parameters['profile']['addresses'], pnl_start_timestamp, pnl_end_timestamp, "snapshots")
# explains and transactions btw snapshots
explain_list = []
transactions_list = []
for start, end in zip(
pnl_snapshots_within['timestamp'].unique()[:-1],
pnl_snapshots_within['timestamp'].unique()[1:],
):
start_snapshots = pnl_snapshots_within[pnl_snapshots_within['timestamp'] == start]
end_snapshots = pnl_snapshots_within[pnl_snapshots_within['timestamp'] == end]
explain = st.session_state.pnl_explainer.explain(start_snapshots, end_snapshots)
explain_list.append(explain)

# transactions
transactions = st.session_state.plex_db.query_table_between(addresses, start, end, "transactions")
transactions = st.session_state.pnl_explainer.format_transactions(start, end, transactions)
transactions_list.append(transactions)
explains = pd.concat(explain_list, axis=0, ignore_index=True)
tx_pnl = pd.concat(transactions_list, axis=0, ignore_index=True)

'''
plot timeseries of explain by some staked_columns
'''
categoricals = ['underlying', 'asset', 'protocol', 'pnl_bucket', 'chain', 'hold_mode', 'type']
values = ['pnl']
rows = ['timestamp_end']
granularity_field = st.selectbox("granularity field", categoricals, index=0)
totals = pd.pivot_table(explains, values=values, columns=[granularity_field], index=rows, aggfunc='sum').cumsum()
totals = totals.stack().reset_index()

fig = px.bar(totals, x=rows[0], y=values[0],
color=granularity_field, title='cum_pnl',
barmode='stack')
min_dt = 4*3600 # 4h
fig.update_traces(width=min_dt*1000)
st.plotly_chart(fig, use_container_width=True)

download_button(pnl_snapshots_within, file_name='snapshot.csv', label='Download pnl history')

10 changes: 5 additions & 5 deletions utils/streamlit_utils.py
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Original file line number Diff line number Diff line change
Expand Up @@ -69,15 +69,15 @@ def prompt_snapshot_timestamp(plex_db: SQLiteDB, addresses: list[str]) -> int:

return int(timestamp)

def prompt_plex_interval(plex_db: SQLiteDB, addresses: list[str]) -> tuple[int, int]:
def prompt_plex_interval(plex_db: SQLiteDB, addresses: list[str], nonce: str='', default_dt=timedelta(days=7)) -> tuple[int, int]:
date_col, time_col = st.columns(2)
now_datetime = datetime.now()
with time_col:
start_time = st.time_input("start time", value=now_datetime.time())
end_time = st.time_input("end time", value=now_datetime.time())
start_time = st.time_input("start time", value=now_datetime.time(), key=f'st_{nonce}')
end_time = st.time_input("end time", value=now_datetime.time(), key=f'et_{nonce}')
with date_col:
start_date = st.date_input("start date", value=now_datetime - timedelta(days=1))
end_date = st.date_input("end date", value=now_datetime)
start_date = st.date_input("start date", value=now_datetime - default_dt, key=f'sd_{nonce}')
end_date = st.date_input("end date", value=now_datetime, key=f'ed_{nonce}')
start_datetime = datetime.combine(start_date, start_time)
end_datetime = datetime.combine(end_date, end_time)

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