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nym21
446
crates/brk_computer/src/distribution/metrics/realized/full.rs
Normal file
446
crates/brk_computer/src/distribution/metrics/realized/full.rs
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@@ -0,0 +1,446 @@
|
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use brk_error::Result;
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use brk_traversable::Traversable;
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use brk_types::{
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BasisPoints32, BasisPointsSigned32, Bitcoin, Cents, CentsSats, CentsSigned, CentsSquaredSats,
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Dollars, Height, Indexes, StoredF64, Version,
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};
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use derive_more::{Deref, DerefMut};
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use vecdb::{
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AnyStoredVec, AnyVec, BytesVec, Exit, ReadableCloneableVec, ReadableVec, Rw, StorageMode,
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WritableVec,
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};
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use crate::{
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blocks,
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distribution::state::RealizedState,
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internal::{
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CentsUnsignedToDollars, ComputedFromHeight, ComputedFromHeightCumulative,
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ComputedFromHeightRatio, ComputedFromHeightRatioPercentiles,
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ComputedFromHeightRatioStdDevBands, LazyFromHeight, PercentFromHeight,
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PercentRollingEmas1w1m, PercentRollingWindows, Price, RatioCents64, RatioCentsBp32,
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RatioCentsSignedCentsBps32, RatioCentsSignedDollarsBps32, RatioDollarsBp32,
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RollingWindows,
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},
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prices,
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};
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use crate::distribution::metrics::ImportConfig;
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use super::RealizedBase;
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#[derive(Deref, DerefMut, Traversable)]
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pub struct RealizedFull<M: StorageMode = Rw> {
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#[deref]
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#[deref_mut]
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#[traversable(flatten)]
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pub core: RealizedBase<M>,
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pub profit_value_created: ComputedFromHeight<Cents, M>,
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pub profit_value_destroyed: ComputedFromHeight<Cents, M>,
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pub loss_value_created: ComputedFromHeight<Cents, M>,
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pub loss_value_destroyed: ComputedFromHeight<Cents, M>,
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pub capitulation_flow: LazyFromHeight<Dollars, Cents>,
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pub profit_flow: LazyFromHeight<Dollars, Cents>,
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pub gross_pnl_sum: RollingWindows<Cents, M>,
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pub net_pnl_change_1m: ComputedFromHeight<CentsSigned, M>,
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pub net_pnl_change_1m_rel_to_realized_cap: PercentFromHeight<BasisPointsSigned32, M>,
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pub net_pnl_change_1m_rel_to_market_cap: PercentFromHeight<BasisPointsSigned32, M>,
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pub investor_price: Price<ComputedFromHeight<Cents, M>>,
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pub investor_price_ratio: ComputedFromHeightRatio<M>,
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pub lower_price_band: Price<ComputedFromHeight<Cents, M>>,
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pub upper_price_band: Price<ComputedFromHeight<Cents, M>>,
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pub cap_raw: M::Stored<BytesVec<Height, CentsSats>>,
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pub investor_cap_raw: M::Stored<BytesVec<Height, CentsSquaredSats>>,
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pub sell_side_risk_ratio: PercentRollingWindows<BasisPoints32, M>,
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pub sell_side_risk_ratio_24h_ema: PercentRollingEmas1w1m<BasisPoints32, M>,
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pub peak_regret: ComputedFromHeightCumulative<Cents, M>,
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pub peak_regret_rel_to_realized_cap: PercentFromHeight<BasisPoints32, M>,
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pub realized_cap_rel_to_own_market_cap: PercentFromHeight<BasisPoints32, M>,
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pub realized_profit_sum: RollingWindows<Cents, M>,
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pub realized_loss_sum: RollingWindows<Cents, M>,
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pub realized_profit_to_loss_ratio: RollingWindows<StoredF64, M>,
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pub realized_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands<M>,
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pub investor_price_ratio_percentiles: ComputedFromHeightRatioPercentiles<M>,
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pub investor_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands<M>,
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}
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impl RealizedFull {
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pub(crate) fn forced_import(cfg: &ImportConfig) -> Result<Self> {
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let v0 = Version::ZERO;
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let v1 = Version::ONE;
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let core = RealizedBase::forced_import(cfg)?;
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let profit_value_created = cfg.import_computed("profit_value_created", v0)?;
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let profit_value_destroyed = cfg.import_computed("profit_value_destroyed", v0)?;
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let loss_value_created = cfg.import_computed("loss_value_created", v0)?;
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let loss_value_destroyed = cfg.import_computed("loss_value_destroyed", v0)?;
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|
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let capitulation_flow = LazyFromHeight::from_computed::<CentsUnsignedToDollars>(
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&cfg.name("capitulation_flow"),
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cfg.version,
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loss_value_destroyed.height.read_only_boxed_clone(),
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&loss_value_destroyed,
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);
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let profit_flow = LazyFromHeight::from_computed::<CentsUnsignedToDollars>(
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&cfg.name("profit_flow"),
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cfg.version,
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profit_value_destroyed.height.read_only_boxed_clone(),
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&profit_value_destroyed,
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);
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let gross_pnl_sum = cfg.import_rolling("gross_pnl_sum", Version::ONE)?;
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let investor_price = cfg.import_price("investor_price", v0)?;
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let investor_price_ratio = cfg.import_ratio("investor_price", v0)?;
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let lower_price_band = cfg.import_price("lower_price_band", v0)?;
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let upper_price_band = cfg.import_price("upper_price_band", v0)?;
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let cap_raw = cfg.import_bytes("cap_raw", v0)?;
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let investor_cap_raw = cfg.import_bytes("investor_cap_raw", v0)?;
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let sell_side_risk_ratio =
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cfg.import_percent_rolling_bp32("sell_side_risk_ratio", Version::new(2))?;
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let sell_side_risk_ratio_24h_ema =
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cfg.import_percent_emas_1w_1m_bp32("sell_side_risk_ratio_24h", Version::new(2))?;
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let peak_regret = cfg.import_cumulative("realized_peak_regret", Version::new(2))?;
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let peak_regret_rel_to_realized_cap =
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cfg.import_percent_bp32("realized_peak_regret_rel_to_realized_cap", Version::new(2))?;
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let realized_price_name = cfg.name("realized_price");
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let realized_price_version = cfg.version + v1;
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let investor_price_name = cfg.name("investor_price");
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let investor_price_version = cfg.version;
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Ok(Self {
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core,
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profit_value_created,
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profit_value_destroyed,
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loss_value_created,
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loss_value_destroyed,
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capitulation_flow,
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profit_flow,
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gross_pnl_sum,
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net_pnl_change_1m: cfg.import_computed("net_pnl_change_1m", Version::new(3))?,
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net_pnl_change_1m_rel_to_realized_cap: cfg
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.import_percent_bps32("net_pnl_change_1m_rel_to_realized_cap", Version::new(4))?,
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net_pnl_change_1m_rel_to_market_cap: cfg
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.import_percent_bps32("net_pnl_change_1m_rel_to_market_cap", Version::new(4))?,
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investor_price,
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investor_price_ratio,
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lower_price_band,
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||||
upper_price_band,
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cap_raw,
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investor_cap_raw,
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||||
sell_side_risk_ratio,
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sell_side_risk_ratio_24h_ema,
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peak_regret,
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peak_regret_rel_to_realized_cap,
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realized_cap_rel_to_own_market_cap: cfg
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.import_percent_bp32("realized_cap_rel_to_own_market_cap", v1)?,
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realized_profit_sum: cfg.import_rolling("realized_profit", v1)?,
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realized_loss_sum: cfg.import_rolling("realized_loss", v1)?,
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realized_profit_to_loss_ratio: cfg
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.import_rolling("realized_profit_to_loss_ratio", v1)?,
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realized_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands::forced_import(
|
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cfg.db,
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&realized_price_name,
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realized_price_version,
|
||||
cfg.indexes,
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)?,
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investor_price_ratio_percentiles: ComputedFromHeightRatioPercentiles::forced_import(
|
||||
cfg.db,
|
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&investor_price_name,
|
||||
investor_price_version,
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||||
cfg.indexes,
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)?,
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investor_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands::forced_import(
|
||||
cfg.db,
|
||||
&investor_price_name,
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||||
investor_price_version,
|
||||
cfg.indexes,
|
||||
)?,
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||||
})
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}
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pub(crate) fn min_stateful_height_len(&self) -> usize {
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self.core
|
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.min_stateful_height_len()
|
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.min(self.profit_value_created.height.len())
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.min(self.profit_value_destroyed.height.len())
|
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.min(self.loss_value_created.height.len())
|
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.min(self.loss_value_destroyed.height.len())
|
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.min(self.investor_price.cents.height.len())
|
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.min(self.cap_raw.len())
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.min(self.investor_cap_raw.len())
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.min(self.peak_regret.height.len())
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}
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|
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pub(crate) fn truncate_push(&mut self, height: Height, state: &RealizedState) -> Result<()> {
|
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self.core.truncate_push(height, state)?;
|
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self.profit_value_created
|
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.height
|
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.truncate_push(height, state.profit_value_created())?;
|
||||
self.profit_value_destroyed
|
||||
.height
|
||||
.truncate_push(height, state.profit_value_destroyed())?;
|
||||
self.loss_value_created
|
||||
.height
|
||||
.truncate_push(height, state.loss_value_created())?;
|
||||
self.loss_value_destroyed
|
||||
.height
|
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.truncate_push(height, state.loss_value_destroyed())?;
|
||||
self.investor_price
|
||||
.cents
|
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.height
|
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.truncate_push(height, state.investor_price())?;
|
||||
self.cap_raw.truncate_push(height, state.cap_raw())?;
|
||||
self.investor_cap_raw
|
||||
.truncate_push(height, state.investor_cap_raw())?;
|
||||
self.peak_regret
|
||||
.height
|
||||
.truncate_push(height, state.peak_regret())?;
|
||||
|
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Ok(())
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}
|
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pub(crate) fn collect_vecs_mut(&mut self) -> Vec<&mut dyn AnyStoredVec> {
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let mut vecs = self.core.collect_vecs_mut();
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vecs.push(&mut self.profit_value_created.height as &mut dyn AnyStoredVec);
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vecs.push(&mut self.profit_value_destroyed.height);
|
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vecs.push(&mut self.loss_value_created.height);
|
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vecs.push(&mut self.loss_value_destroyed.height);
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vecs.push(&mut self.investor_price.cents.height);
|
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vecs.push(&mut self.cap_raw as &mut dyn AnyStoredVec);
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vecs.push(&mut self.investor_cap_raw as &mut dyn AnyStoredVec);
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vecs.push(&mut self.peak_regret.height);
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||||
vecs
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||||
}
|
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|
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/// Aggregate Core-level fields from source cohorts.
|
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/// investor_price, cap_raw, investor_cap_raw come from the stateful scan, not aggregated.
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pub(crate) fn compute_from_stateful(
|
||||
&mut self,
|
||||
starting_indexes: &Indexes,
|
||||
others: &[&RealizedBase],
|
||||
exit: &Exit,
|
||||
) -> Result<()> {
|
||||
self.core
|
||||
.compute_from_stateful(starting_indexes, others, exit)?;
|
||||
|
||||
Ok(())
|
||||
}
|
||||
|
||||
pub(crate) fn compute_rest_part1(
|
||||
&mut self,
|
||||
starting_indexes: &Indexes,
|
||||
exit: &Exit,
|
||||
) -> Result<()> {
|
||||
self.core.compute_rest_part1(starting_indexes, exit)?;
|
||||
self.peak_regret
|
||||
.compute_rest(starting_indexes.height, exit)?;
|
||||
Ok(())
|
||||
}
|
||||
|
||||
pub(crate) fn compute_rest_part2(
|
||||
&mut self,
|
||||
blocks: &blocks::Vecs,
|
||||
prices: &prices::Vecs,
|
||||
starting_indexes: &Indexes,
|
||||
height_to_supply: &impl ReadableVec<Height, Bitcoin>,
|
||||
height_to_market_cap: &impl ReadableVec<Height, Dollars>,
|
||||
exit: &Exit,
|
||||
) -> Result<()> {
|
||||
self.core.compute_rest_part2(
|
||||
blocks,
|
||||
prices,
|
||||
starting_indexes,
|
||||
height_to_supply,
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Gross PnL rolling sum
|
||||
let window_starts = blocks.count.window_starts();
|
||||
self.gross_pnl_sum.compute_rolling_sum(
|
||||
starting_indexes.height,
|
||||
&window_starts,
|
||||
&self.core.gross_pnl.cents.height,
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Net PnL change 1m
|
||||
self.net_pnl_change_1m.height.compute_rolling_change(
|
||||
starting_indexes.height,
|
||||
&blocks.count.height_1m_ago,
|
||||
&self.core.net_realized_pnl.cumulative.height,
|
||||
exit,
|
||||
)?;
|
||||
self.net_pnl_change_1m_rel_to_realized_cap
|
||||
.compute_binary::<CentsSigned, Cents, RatioCentsSignedCentsBps32>(
|
||||
starting_indexes.height,
|
||||
&self.net_pnl_change_1m.height,
|
||||
&self.core.minimal.realized_cap_cents.height,
|
||||
exit,
|
||||
)?;
|
||||
self.net_pnl_change_1m_rel_to_market_cap
|
||||
.compute_binary::<CentsSigned, Dollars, RatioCentsSignedDollarsBps32>(
|
||||
starting_indexes.height,
|
||||
&self.net_pnl_change_1m.height,
|
||||
height_to_market_cap,
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Peak regret
|
||||
self.peak_regret_rel_to_realized_cap
|
||||
.compute_binary::<Cents, Cents, RatioCentsBp32>(
|
||||
starting_indexes.height,
|
||||
&self.peak_regret.height,
|
||||
&self.core.minimal.realized_cap_cents.height,
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Investor price ratio and price bands
|
||||
self.investor_price_ratio.compute_ratio(
|
||||
starting_indexes,
|
||||
&prices.price.cents.height,
|
||||
&self.investor_price.cents.height,
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Use explicit field paths for split borrows
|
||||
self.lower_price_band.cents.height.compute_transform2(
|
||||
starting_indexes.height,
|
||||
&self.core.minimal.realized_price.cents.height,
|
||||
&self.investor_price.cents.height,
|
||||
|(i, rp, ip, ..)| {
|
||||
let rp = rp.as_u128();
|
||||
let ip = ip.as_u128();
|
||||
if ip == 0 {
|
||||
(i, Cents::ZERO)
|
||||
} else {
|
||||
(i, Cents::from(rp * rp / ip))
|
||||
}
|
||||
},
|
||||
exit,
|
||||
)?;
|
||||
|
||||
self.upper_price_band.cents.height.compute_transform2(
|
||||
starting_indexes.height,
|
||||
&self.investor_price.cents.height,
|
||||
&self.core.minimal.realized_price.cents.height,
|
||||
|(i, ip, rp, ..)| {
|
||||
let ip = ip.as_u128();
|
||||
let rp = rp.as_u128();
|
||||
if rp == 0 {
|
||||
(i, Cents::ZERO)
|
||||
} else {
|
||||
(i, Cents::from(ip * ip / rp))
|
||||
}
|
||||
},
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Sell-side risk ratios
|
||||
for (ssrr, rv) in self
|
||||
.sell_side_risk_ratio
|
||||
.as_mut_array()
|
||||
.into_iter()
|
||||
.zip(self.gross_pnl_sum.as_array())
|
||||
{
|
||||
ssrr.compute_binary::<Cents, Cents, RatioCentsBp32>(
|
||||
starting_indexes.height,
|
||||
&rv.height,
|
||||
&self.core.minimal.realized_cap_cents.height,
|
||||
exit,
|
||||
)?;
|
||||
}
|
||||
|
||||
self.sell_side_risk_ratio_24h_ema.compute_from_24h(
|
||||
starting_indexes.height,
|
||||
&blocks.count.height_1w_ago,
|
||||
&blocks.count.height_1m_ago,
|
||||
&self.sell_side_risk_ratio._24h.bps.height,
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Extended: realized profit/loss rolling sums
|
||||
let window_starts = blocks.count.window_starts();
|
||||
self.realized_profit_sum.compute_rolling_sum(
|
||||
starting_indexes.height,
|
||||
&window_starts,
|
||||
&self.core.minimal.realized_profit.height,
|
||||
exit,
|
||||
)?;
|
||||
self.realized_loss_sum.compute_rolling_sum(
|
||||
starting_indexes.height,
|
||||
&window_starts,
|
||||
&self.core.minimal.realized_loss.height,
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Realized cap relative to own market cap
|
||||
self.realized_cap_rel_to_own_market_cap
|
||||
.compute_binary::<Dollars, Dollars, RatioDollarsBp32>(
|
||||
starting_indexes.height,
|
||||
&self.core.minimal.realized_cap.height,
|
||||
height_to_market_cap,
|
||||
exit,
|
||||
)?;
|
||||
|
||||
// Realized profit to loss ratios
|
||||
for ((ratio, profit), loss) in self
|
||||
.realized_profit_to_loss_ratio
|
||||
.as_mut_array()
|
||||
.into_iter()
|
||||
.zip(self.realized_profit_sum.as_array())
|
||||
.zip(self.realized_loss_sum.as_array())
|
||||
{
|
||||
ratio.compute_binary::<Cents, Cents, RatioCents64>(
|
||||
starting_indexes.height,
|
||||
&profit.height,
|
||||
&loss.height,
|
||||
exit,
|
||||
)?;
|
||||
}
|
||||
|
||||
// Realized price stddev bands
|
||||
self.realized_price_ratio_std_dev.compute(
|
||||
blocks,
|
||||
starting_indexes,
|
||||
exit,
|
||||
&self.core.minimal.realized_price_ratio.ratio.height,
|
||||
&self.core.minimal.realized_price.cents.height,
|
||||
)?;
|
||||
|
||||
// Investor price: percentiles + stddev bands
|
||||
let investor_price = &self.investor_price.cents.height;
|
||||
self.investor_price_ratio_percentiles.compute(
|
||||
blocks,
|
||||
starting_indexes,
|
||||
exit,
|
||||
&self.investor_price_ratio.ratio.height,
|
||||
investor_price,
|
||||
)?;
|
||||
self.investor_price_ratio_std_dev.compute(
|
||||
blocks,
|
||||
starting_indexes,
|
||||
exit,
|
||||
&self.investor_price_ratio.ratio.height,
|
||||
investor_price,
|
||||
)?;
|
||||
|
||||
Ok(())
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user