[TRA-890] Return nearest hour PnL as final data point for vaults pnl.…

… (backport #2616) (#2617)

Co-authored-by: vincentwschau <[email protected]>

indexer/services/comlink/__tests__/controllers/api/v4/vault-controller.test.ts

@@ -21,7 +21,7 @@ import {
 import { RequestMethod, VaultHistoricalPnl } from '../../../../src/types';
 import request from 'supertest';
 import { getFixedRepresentation, sendRequest } from '../../../helpers/helpers';
-import { DateTime } from 'luxon';
+import { DateTime, Settings } from 'luxon';
 import Big from 'big.js';
 import config from '../../../../src/config';
 
@@ -124,6 +124,7 @@ describe('vault-controller#V4', () => {
           effectiveAtHeight: twoDayBlockHeight,
         }),
       ]);
+      Settings.now = () => latestTime.valueOf();
     });
 
     afterEach(async () => {
@@ -133,6 +134,7 @@ describe('vault-controller#V4', () => {
       config.VAULT_PNL_HISTORY_HOURS = vaultPnlHistoryHoursPrev;
       config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS = vaultPnlLastPnlWindowPrev;
       config.VAULT_PNL_START_DATE = vaultPnlStartDatePrev;
+      Settings.now = () => new Date().valueOf();
     });
 
     it.each([
@@ -298,13 +300,14 @@ describe('vault-controller#V4', () => {
     });
 
     it.each([
-      ['no resolution', '', [1, 2]],
-      ['daily resolution', '?resolution=day', [1, 2]],
-      ['hourly resolution', '?resolution=hour', [1, 2, 3, 4]],
+      ['no resolution', '', [1, 2], 4],
+      ['daily resolution', '?resolution=day', [1, 2], 4],
+      ['hourly resolution', '?resolution=hour', [1, 2, 3, 4], 4],
     ])('Get /vaults/historicalPnl with single vault subaccount (%s)', async (
       _name: string,
       queryParam: string,
       expectedTicksIndex: number[],
+      currentTickIndex: number,
     ) => {
       await VaultTable.create({
         ...testConstants.defaultVault,
@@ -313,7 +316,7 @@ describe('vault-controller#V4', () => {
       });
       const createdPnlTicks: PnlTicksFromDatabase[] = await createPnlTicks();
       const finalTick: PnlTicksFromDatabase = {
-        ...createdPnlTicks[expectedTicksIndex[expectedTicksIndex.length - 1]],
+        ...createdPnlTicks[currentTickIndex],
         equity: Big(vault1Equity).toFixed(),
         blockHeight: latestBlockHeight,
         blockTime: latestTime.toISO(),
@@ -338,14 +341,16 @@ describe('vault-controller#V4', () => {
     });
 
     it.each([
-      ['no resolution', '', [1, 2], [6, 7]],
-      ['daily resolution', '?resolution=day', [1, 2], [6, 7]],
-      ['hourly resolution', '?resolution=hour', [1, 2, 3, 4], [6, 7, 8, 9]],
+      ['no resolution', '', [1, 2], [6, 7], 4, 9],
+      ['daily resolution', '?resolution=day', [1, 2], [6, 7], 4, 9],
+      ['hourly resolution', '?resolution=hour', [1, 2, 3, 4], [6, 7, 8, 9], 4, 9],
     ])('Get /vaults/historicalPnl with 2 vault subaccounts (%s)', async (
       _name: string,
       queryParam: string,
       expectedTicksIndex1: number[],
       expectedTicksIndex2: number[],
+      currentTickIndex1: number,
+      currentTickIndex2: number,
     ) => {
       await Promise.all([
         VaultTable.create({
@@ -361,14 +366,14 @@ describe('vault-controller#V4', () => {
       ]);
       const createdPnlTicks: PnlTicksFromDatabase[] = await createPnlTicks();
       const finalTick1: PnlTicksFromDatabase = {
-        ...createdPnlTicks[expectedTicksIndex1[expectedTicksIndex1.length - 1]],
+        ...createdPnlTicks[currentTickIndex1],
         equity: Big(vault1Equity).toFixed(),
         blockHeight: latestBlockHeight,
         blockTime: latestTime.toISO(),
         createdAt: latestTime.toISO(),
       };
       const finalTick2: PnlTicksFromDatabase = {
-        ...createdPnlTicks[expectedTicksIndex2[expectedTicksIndex2.length - 1]],
+        ...createdPnlTicks[currentTickIndex2],
         equity: Big(vault2Equity).toFixed(),
         blockHeight: latestBlockHeight,
         blockTime: latestTime.toISO(),

indexer/services/comlink/src/controllers/api/v4/vault-controller.ts

@@ -35,7 +35,7 @@ import Big from 'big.js';
 import bounds from 'binary-searching';
 import express from 'express';
 import { checkSchema, matchedData } from 'express-validator';
-import _ from 'lodash';
+import _, { Dictionary } from 'lodash';
 import { DateTime } from 'luxon';
 import {
   Controller, Get, Query, Route,
@@ -152,15 +152,22 @@ class VaultController extends Controller {
       vaultPnlTicks,
       vaultPositions,
       latestBlock,
+      latestTicks,
     ] : [
       PnlTicksFromDatabase[],
       Map<string, VaultPosition>,
       BlockFromDatabase,
+      PnlTicksFromDatabase[],
     ] = await Promise.all([
       getVaultSubaccountPnlTicks(_.keys(vaultSubaccounts), getResolution(resolution)),
       getVaultPositions(vaultSubaccounts),
       BlockTable.getLatest(),
+      getLatestPnlTicks(_.keys(vaultSubaccounts)),
     ]);
+    const latestTicksBySubaccountId: Dictionary<PnlTicksFromDatabase> = _.keyBy(
+      latestTicks,
+      'subaccountId',
+    );
 
     const groupedVaultPnlTicks: VaultHistoricalPnl[] = _(vaultPnlTicks)
       .filter((pnlTickFromDatabsae: PnlTicksFromDatabase): boolean => {
@@ -185,6 +192,7 @@ class VaultController extends Controller {
           currentEquity,
           pnlTicks,
           latestBlock,
+          latestTicksBySubaccountId[subaccountId],
         );
 
         return {
@@ -350,13 +358,13 @@ async function getVaultSubaccountPnlTicks(
     VaultPnlTicksView.getVaultsPnl(
       resolution,
       windowSeconds,
-      getVautlPnlStartDate(),
+      getVaultPnlStartDate(),
     ),
     PnlTicksTable.getLatestPnlTick(
       vaultSubaccountIds,
       // Add a buffer of 10 minutes to get the first PnL tick for PnL data as PnL ticks aren't
       // created exactly on the hour.
-      getVautlPnlStartDate().plus({ minutes: 10 }),
+      getVaultPnlStartDate().plus({ minutes: 10 }),
     ),
   ]);
 
@@ -551,6 +559,34 @@ function getPnlTicksWithCurrentTick(
   return pnlTicks.concat([currentTick]);
 }
 
+export async function getLatestPnlTicks(
+  vaultSubaccountIds: string[],
+): Promise<PnlTicksFromDatabase[]> {
+  const [
+    latestPnlTicks,
+    adjustByPnlTicks,
+  ] : [
+    PnlTicksFromDatabase[],
+    PnlTicksFromDatabase[],
+  ] = await Promise.all([
+    PnlTicksTable.getLatestPnlTick(
+      vaultSubaccountIds,
+      DateTime.now().toUTC(),
+    ),
+    PnlTicksTable.getLatestPnlTick(
+      vaultSubaccountIds,
+      // Add a buffer of 10 minutes to get the first PnL tick for PnL data as PnL ticks aren't
+      // created exactly on the hour.
+      getVaultPnlStartDate().plus({ minutes: 10 }),
+    ),
+  ]);
+  const adjustedPnlTicks: PnlTicksFromDatabase[] = adjustVaultPnlTicks(
+    latestPnlTicks,
+    adjustByPnlTicks,
+  );
+  return adjustedPnlTicks;
+}
+
 export async function getLatestPnlTick(
   vaultSubaccountIds: string[],
   vaults: VaultFromDatabase[],
@@ -565,13 +601,13 @@ export async function getLatestPnlTick(
     VaultPnlTicksView.getVaultsPnl(
       PnlTickInterval.hour,
       config.VAULT_LATEST_PNL_TICK_WINDOW_HOURS * 60 * 60,
-      getVautlPnlStartDate(),
+      getVaultPnlStartDate(),
     ),
     PnlTicksTable.getLatestPnlTick(
       vaultSubaccountIds,
       // Add a buffer of 10 minutes to get the first PnL tick for PnL data as PnL ticks aren't
       // created exactly on the hour.
-      getVautlPnlStartDate().plus({ minutes: 10 }),
+      getVaultPnlStartDate().plus({ minutes: 10 }),
     ),
   ]);
   const adjustedPnlTicks: PnlTicksFromDatabase[] = adjustVaultPnlTicks(
@@ -798,7 +834,7 @@ async function getVaultMapping(): Promise<VaultMapping> {
   return validVaultMapping;
 }
 
-function getVautlPnlStartDate(): DateTime {
+function getVaultPnlStartDate(): DateTime {
   const startDate: DateTime = DateTime.fromISO(config.VAULT_PNL_START_DATE).toUTC();
   return startDate;
 }