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nym21
2026-03-19 14:13:37 +01:00
parent b18cca92ab
commit 2df9ee4a1d
7 changed files with 569 additions and 876 deletions
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86
crates/brk_client/src/lib.rs
View File

@@ -1077,7 +1077,7 @@ pub struct CapGrossInvestorLossMvrvNetPeakPriceProfitSellSoprPattern {
pub loss: BaseCapitulationCumulativeNegativeSumToValuePattern,
pub mvrv: SeriesPattern1<StoredF32>,
pub net_pnl: BaseChangeCumulativeDeltaSumToPattern,
pub peak_regret: BaseCumulativeToPattern,
pub peak_regret: BaseCumulativeSumToPattern,
pub price: BpsCentsPercentilesRatioSatsSmaStdUsdPattern,
pub profit: BaseCumulativeDistributionSumToValuePattern,
pub profit_to_loss_ratio: _1m1w1y24hPattern<StoredF64>,
@@ -1259,7 +1259,7 @@ pub struct BaseCapitulationCumulativeNegativeSumToValuePattern {
pub base: CentsUsdPattern2,
pub capitulation_flow: SeriesPattern1<Dollars>,
pub cumulative: CentsUsdPattern2,
pub negative: SeriesPattern1<Dollars>,
pub negative: BaseSumPattern,
pub sum: _1m1w1y24hPattern4,
pub to_rcap: BpsPercentRatioPattern4,
pub value_created: BaseCumulativeSumPattern<Cents>,
@@ -2042,7 +2042,7 @@ impl BaseCumulativeDeltaSumPattern {
pub struct BaseCumulativeNegativeSumPattern {
pub base: CentsUsdPattern2,
pub cumulative: CentsUsdPattern2,
pub negative: SeriesPattern1<Dollars>,
pub negative: BaseSumPattern,
pub sum: _1m1w1y24hPattern4,
}
@@ -2052,12 +2052,32 @@ impl BaseCumulativeNegativeSumPattern {
Self {
base: CentsUsdPattern2::new(client.clone(), _m(&acc, "realized_loss")),
cumulative: CentsUsdPattern2::new(client.clone(), _m(&acc, "realized_loss_cumulative")),
negative: SeriesPattern1::new(client.clone(), _m(&acc, "neg_realized_loss")),
negative: BaseSumPattern::new(client.clone(), _m(&acc, "neg_realized_loss")),
sum: _1m1w1y24hPattern4::new(client.clone(), _m(&acc, "realized_loss_sum")),
}
}
}
/// Pattern struct for repeated tree structure.
pub struct BaseCumulativeSumToPattern {
pub base: CentsUsdPattern2,
pub cumulative: CentsUsdPattern2,
pub sum: _1m1w1y24hPattern4,
pub to_rcap: BpsPercentRatioPattern4,
}
impl BaseCumulativeSumToPattern {
/// Create a new pattern node with accumulated series name.
pub fn new(client: Arc<BrkClientBase>, acc: String) -> Self {
Self {
base: CentsUsdPattern2::new(client.clone(), acc.clone()),
cumulative: CentsUsdPattern2::new(client.clone(), _m(&acc, "cumulative")),
sum: _1m1w1y24hPattern4::new(client.clone(), _m(&acc, "sum")),
to_rcap: BpsPercentRatioPattern4::new(client.clone(), _m(&acc, "to_rcap")),
}
}
}
/// Pattern struct for repeated tree structure.
pub struct BothReactivatedReceivingSendingPattern {
pub both: _1m1w1y24hBasePattern<StoredU32>,
@@ -2244,24 +2264,6 @@ impl BaseCumulativeSumPattern4 {
}
}
/// Pattern struct for repeated tree structure.
pub struct BaseCumulativeToPattern {
pub base: SeriesPattern1<Cents>,
pub cumulative: SeriesPattern1<Cents>,
pub to_rcap: BpsPercentRatioPattern4,
}
impl BaseCumulativeToPattern {
/// Create a new pattern node with accumulated series name.
pub fn new(client: Arc<BrkClientBase>, acc: String) -> Self {
Self {
base: SeriesPattern1::new(client.clone(), acc.clone()),
cumulative: SeriesPattern1::new(client.clone(), _m(&acc, "cumulative")),
to_rcap: BpsPercentRatioPattern4::new(client.clone(), _m(&acc, "to_rcap")),
}
}
}
/// Pattern struct for repeated tree structure.
pub struct BaseCumulativeSumPattern3 {
pub base: CentsUsdPattern2,
@@ -2682,6 +2684,22 @@ impl AllSthPattern {
}
}
/// Pattern struct for repeated tree structure.
pub struct BaseSumPattern {
pub base: SeriesPattern1<Dollars>,
pub sum: _1m1w1y24hPattern<Dollars>,
}
impl BaseSumPattern {
/// Create a new pattern node with accumulated series name.
pub fn new(client: Arc<BrkClientBase>, acc: String) -> Self {
Self {
base: SeriesPattern1::new(client.clone(), acc.clone()),
sum: _1m1w1y24hPattern::new(client.clone(), _m(&acc, "sum")),
}
}
}
/// Pattern struct for repeated tree structure.
pub struct BaseDeltaPattern {
pub base: SeriesPattern1<StoredU64>,
@@ -6322,7 +6340,7 @@ pub struct SeriesTree_Cohorts_Utxo_All_Realized {
pub net_pnl: BaseChangeCumulativeDeltaSumToPattern,
pub gross_pnl: BaseCumulativeSumPattern3,
pub sell_side_risk_ratio: _1m1w1y24hPattern6,
pub peak_regret: BaseCumulativeToPattern,
pub peak_regret: BaseCumulativeSumToPattern,
pub investor: PricePattern,
pub profit_to_loss_ratio: _1m1w1y24hPattern<StoredF64>,
}
@@ -6339,7 +6357,7 @@ impl SeriesTree_Cohorts_Utxo_All_Realized {
net_pnl: BaseChangeCumulativeDeltaSumToPattern::new(client.clone(), "net".to_string()),
gross_pnl: BaseCumulativeSumPattern3::new(client.clone(), "realized_gross_pnl".to_string()),
sell_side_risk_ratio: _1m1w1y24hPattern6::new(client.clone(), "sell_side_risk_ratio".to_string()),
peak_regret: BaseCumulativeToPattern::new(client.clone(), "realized_peak_regret".to_string()),
peak_regret: BaseCumulativeSumToPattern::new(client.clone(), "realized_peak_regret".to_string()),
investor: PricePattern::new(client.clone(), "investor_price".to_string()),
profit_to_loss_ratio: _1m1w1y24hPattern::new(client.clone(), "realized_profit_to_loss_ratio".to_string()),
}
@@ -6376,7 +6394,7 @@ pub struct SeriesTree_Cohorts_Utxo_All_Realized_Loss {
pub base: CentsUsdPattern2,
pub cumulative: CentsUsdPattern2,
pub sum: _1m1w1y24hPattern4,
pub negative: SeriesPattern1<Dollars>,
pub negative: BaseSumPattern,
pub to_rcap: BpsPercentRatioPattern4,
pub value_created: BaseCumulativeSumPattern<Cents>,
pub value_destroyed: BaseCumulativeSumPattern<Cents>,
@@ -6389,7 +6407,7 @@ impl SeriesTree_Cohorts_Utxo_All_Realized_Loss {
base: CentsUsdPattern2::new(client.clone(), "realized_loss".to_string()),
cumulative: CentsUsdPattern2::new(client.clone(), "realized_loss_cumulative".to_string()),
sum: _1m1w1y24hPattern4::new(client.clone(), "realized_loss_sum".to_string()),
negative: SeriesPattern1::new(client.clone(), "neg_realized_loss".to_string()),
negative: BaseSumPattern::new(client.clone(), "neg_realized_loss".to_string()),
to_rcap: BpsPercentRatioPattern4::new(client.clone(), "realized_loss_to_rcap".to_string()),
value_created: BaseCumulativeSumPattern::new(client.clone(), "loss_value_created".to_string()),
value_destroyed: BaseCumulativeSumPattern::new(client.clone(), "loss_value_destroyed".to_string()),
@@ -6817,7 +6835,7 @@ pub struct SeriesTree_Cohorts_Utxo_Sth_Realized {
pub net_pnl: BaseChangeCumulativeDeltaSumToPattern,
pub gross_pnl: BaseCumulativeSumPattern3,
pub sell_side_risk_ratio: _1m1w1y24hPattern6,
pub peak_regret: BaseCumulativeToPattern,
pub peak_regret: BaseCumulativeSumToPattern,
pub investor: PricePattern,
pub profit_to_loss_ratio: _1m1w1y24hPattern<StoredF64>,
}
@@ -6834,7 +6852,7 @@ impl SeriesTree_Cohorts_Utxo_Sth_Realized {
net_pnl: BaseChangeCumulativeDeltaSumToPattern::new(client.clone(), "sth_net".to_string()),
gross_pnl: BaseCumulativeSumPattern3::new(client.clone(), "sth_realized_gross_pnl".to_string()),
sell_side_risk_ratio: _1m1w1y24hPattern6::new(client.clone(), "sth_sell_side_risk_ratio".to_string()),
peak_regret: BaseCumulativeToPattern::new(client.clone(), "sth_realized_peak_regret".to_string()),
peak_regret: BaseCumulativeSumToPattern::new(client.clone(), "sth_realized_peak_regret".to_string()),
investor: PricePattern::new(client.clone(), "sth_investor_price".to_string()),
profit_to_loss_ratio: _1m1w1y24hPattern::new(client.clone(), "sth_realized_profit_to_loss_ratio".to_string()),
}
@@ -6871,7 +6889,7 @@ pub struct SeriesTree_Cohorts_Utxo_Sth_Realized_Loss {
pub base: CentsUsdPattern2,
pub cumulative: CentsUsdPattern2,
pub sum: _1m1w1y24hPattern4,
pub negative: SeriesPattern1<Dollars>,
pub negative: BaseSumPattern,
pub to_rcap: BpsPercentRatioPattern4,
pub value_created: BaseCumulativeSumPattern<Cents>,
pub value_destroyed: BaseCumulativeSumPattern<Cents>,
@@ -6884,7 +6902,7 @@ impl SeriesTree_Cohorts_Utxo_Sth_Realized_Loss {
base: CentsUsdPattern2::new(client.clone(), "sth_realized_loss".to_string()),
cumulative: CentsUsdPattern2::new(client.clone(), "sth_realized_loss_cumulative".to_string()),
sum: _1m1w1y24hPattern4::new(client.clone(), "sth_realized_loss_sum".to_string()),
negative: SeriesPattern1::new(client.clone(), "sth_neg_realized_loss".to_string()),
negative: BaseSumPattern::new(client.clone(), "sth_neg_realized_loss".to_string()),
to_rcap: BpsPercentRatioPattern4::new(client.clone(), "sth_realized_loss_to_rcap".to_string()),
value_created: BaseCumulativeSumPattern::new(client.clone(), "sth_loss_value_created".to_string()),
value_destroyed: BaseCumulativeSumPattern::new(client.clone(), "sth_loss_value_destroyed".to_string()),
@@ -7255,7 +7273,7 @@ pub struct SeriesTree_Cohorts_Utxo_Lth_Realized {
pub net_pnl: BaseChangeCumulativeDeltaSumToPattern,
pub gross_pnl: BaseCumulativeSumPattern3,
pub sell_side_risk_ratio: _1m1w1y24hPattern6,
pub peak_regret: BaseCumulativeToPattern,
pub peak_regret: BaseCumulativeSumToPattern,
pub investor: PricePattern,
pub profit_to_loss_ratio: _1m1w1y24hPattern<StoredF64>,
}
@@ -7272,7 +7290,7 @@ impl SeriesTree_Cohorts_Utxo_Lth_Realized {
net_pnl: BaseChangeCumulativeDeltaSumToPattern::new(client.clone(), "lth_net".to_string()),
gross_pnl: BaseCumulativeSumPattern3::new(client.clone(), "lth_realized_gross_pnl".to_string()),
sell_side_risk_ratio: _1m1w1y24hPattern6::new(client.clone(), "lth_sell_side_risk_ratio".to_string()),
peak_regret: BaseCumulativeToPattern::new(client.clone(), "lth_realized_peak_regret".to_string()),
peak_regret: BaseCumulativeSumToPattern::new(client.clone(), "lth_realized_peak_regret".to_string()),
investor: PricePattern::new(client.clone(), "lth_investor_price".to_string()),
profit_to_loss_ratio: _1m1w1y24hPattern::new(client.clone(), "lth_realized_profit_to_loss_ratio".to_string()),
}
@@ -7309,7 +7327,7 @@ pub struct SeriesTree_Cohorts_Utxo_Lth_Realized_Loss {
pub base: CentsUsdPattern2,
pub cumulative: CentsUsdPattern2,
pub sum: _1m1w1y24hPattern4,
pub negative: SeriesPattern1<Dollars>,
pub negative: BaseSumPattern,
pub to_rcap: BpsPercentRatioPattern4,
pub value_created: BaseCumulativeSumPattern<Cents>,
pub value_destroyed: BaseCumulativeSumPattern<Cents>,
@@ -7322,7 +7340,7 @@ impl SeriesTree_Cohorts_Utxo_Lth_Realized_Loss {
base: CentsUsdPattern2::new(client.clone(), "lth_realized_loss".to_string()),
cumulative: CentsUsdPattern2::new(client.clone(), "lth_realized_loss_cumulative".to_string()),
sum: _1m1w1y24hPattern4::new(client.clone(), "lth_realized_loss_sum".to_string()),
negative: SeriesPattern1::new(client.clone(), "lth_neg_realized_loss".to_string()),
negative: BaseSumPattern::new(client.clone(), "lth_neg_realized_loss".to_string()),
to_rcap: BpsPercentRatioPattern4::new(client.clone(), "lth_realized_loss_to_rcap".to_string()),
value_created: BaseCumulativeSumPattern::new(client.clone(), "lth_loss_value_created".to_string()),
value_destroyed: BaseCumulativeSumPattern::new(client.clone(), "lth_loss_value_destroyed".to_string()),

29
crates/brk_computer/src/distribution/metrics/realized/core.rs
View File

@@ -10,7 +10,7 @@ use crate::{
distribution::state::{CohortState, CostBasisOps, RealizedOps},
internal::{
FiatPerBlockCumulativeWithSumsAndDeltas, LazyPerBlock, NegCentsUnsignedToDollars,
RatioCents64, RollingWindow24hPerBlock,
RatioCents64, RollingWindow24hPerBlock, Windows,
},
prices,
};
@@ -19,6 +19,13 @@ use crate::distribution::metrics::ImportConfig;
use super::RealizedMinimal;
#[derive(Clone, Traversable)]
pub struct NegRealizedLoss {
#[traversable(flatten)]
pub base: LazyPerBlock<Dollars, Cents>,
pub sum: Windows<LazyPerBlock<Dollars, Cents>>,
}
#[derive(Traversable)]
pub struct RealizedSoprCore<M: StorageMode = Rw> {
pub ratio: RollingWindow24hPerBlock<StoredF64, M>,
@@ -32,7 +39,7 @@ pub struct RealizedCore<M: StorageMode = Rw> {
pub minimal: RealizedMinimal<M>,
#[traversable(wrap = "loss", rename = "negative")]
pub neg_loss: LazyPerBlock<Dollars, Cents>,
pub neg_loss: NegRealizedLoss,
pub net_pnl: FiatPerBlockCumulativeWithSumsAndDeltas<CentsSigned, CentsSigned, BasisPointsSigned32, M>,
pub sopr: RealizedSoprCore<M>,
}
@@ -43,13 +50,27 @@ impl RealizedCore {
let minimal = RealizedMinimal::forced_import(cfg)?;
let neg_realized_loss = LazyPerBlock::from_height_source::<NegCentsUnsignedToDollars>(
let neg_loss_base = LazyPerBlock::from_height_source::<NegCentsUnsignedToDollars>(
&cfg.name("neg_realized_loss"),
cfg.version + Version::ONE,
minimal.loss.base.cents.height.read_only_boxed_clone(),
cfg.indexes,
);
let neg_loss_sum = minimal.loss.sum.0.map_with_suffix(|suffix, slot| {
LazyPerBlock::from_height_source::<NegCentsUnsignedToDollars>(
&cfg.name(&format!("neg_realized_loss_sum_{suffix}")),
cfg.version + Version::ONE,
slot.cents.height.read_only_boxed_clone(),
cfg.indexes,
)
});
let neg_loss = NegRealizedLoss {
base: neg_loss_base,
sum: neg_loss_sum,
};
let net_pnl = FiatPerBlockCumulativeWithSumsAndDeltas::forced_import(
cfg.db,
&cfg.name("net_realized_pnl"),
@@ -61,7 +82,7 @@ impl RealizedCore {
Ok(Self {
minimal,
neg_loss: neg_realized_loss,
neg_loss,
net_pnl,
sopr: RealizedSoprCore {
ratio: cfg.import("sopr", v1)?,

12
crates/brk_computer/src/distribution/metrics/realized/full.rs
View File

@@ -14,7 +14,7 @@ use crate::{
blocks,
distribution::state::{WithCapital, CohortState, CostBasisData, RealizedState},
internal::{
CentsUnsignedToDollars, PerBlockCumulative,
CentsUnsignedToDollars,
PerBlockCumulativeWithSums, FiatPerBlockCumulativeWithSums,
LazyPerBlock, PercentPerBlock, PercentRollingWindows,
PriceWithRatioExtendedPerBlock, RatioCents64, RatioCentsBp32,
@@ -63,7 +63,7 @@ pub struct RealizedSopr<M: StorageMode = Rw> {
#[derive(Traversable)]
pub struct RealizedPeakRegret<M: StorageMode = Rw> {
#[traversable(flatten)]
pub value: PerBlockCumulative<Cents, M>,
pub value: FiatPerBlockCumulativeWithSums<Cents, M>,
pub to_rcap: PercentPerBlock<BasisPoints32, M>,
}
@@ -227,7 +227,7 @@ impl RealizedFull {
.min(self.investor.price.cents.height.len())
.min(self.cap_raw.len())
.min(self.investor.cap_raw.len())
.min(self.peak_regret.value.base.height.len())
.min(self.peak_regret.value.base.cents.height.len())
}
#[inline(always)]
@@ -269,6 +269,7 @@ impl RealizedFull {
self.peak_regret
.value
.base
.cents
.height
.push(state.realized.peak_regret());
}
@@ -282,7 +283,7 @@ impl RealizedFull {
vecs.push(&mut self.investor.price.cents.height);
vecs.push(&mut self.cap_raw as &mut dyn AnyStoredVec);
vecs.push(&mut self.investor.cap_raw as &mut dyn AnyStoredVec);
vecs.push(&mut self.peak_regret.value.base.height);
vecs.push(&mut self.peak_regret.value.base.cents.height);
vecs
}
@@ -346,6 +347,7 @@ impl RealizedFull {
self.peak_regret
.value
.base
.cents
.height
.push(accum.peak_regret());
}
@@ -470,7 +472,7 @@ impl RealizedFull {
.to_rcap
.compute_binary::<Cents, Cents, RatioCentsBp32>(
starting_indexes.height,
&self.peak_regret.value.base.height,
&self.peak_regret.value.base.cents.height,
&self.core.minimal.cap.cents.height,
exit,
)?;