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nym21
2026-03-08 00:11:06 +01:00
parent 81ab1886d1
commit cf6c755e51
5 changed files with 90 additions and 37 deletions
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crates/brk_client/src/lib.rs
+16 -6
View File
@@ -960,8 +960,11 @@ pub struct CapCapitulationGrossInvestorLossLowerMvrvNegNetPeakProfitRealizedSell
pub net_pnl_change_1m_rel_to_realized_cap: BpsPercentRatioPattern,
pub net_pnl_delta: ChangeRatePattern<CentsSigned>,
pub net_pnl_delta_extended: _24hChangeRatePattern<CentsSigned>,
pub net_realized_pnl: CumulativeHeightPattern<CentsSigned>,
pub net_realized_pnl: MetricPattern1<CentsSigned>,
pub net_realized_pnl_cumulative: MetricPattern1<CentsSigned>,
pub net_realized_pnl_rel_to_realized_cap: BpsPercentRatioPattern,
pub net_realized_pnl_sum: _24hPattern<CentsSigned>,
pub net_realized_pnl_sum_extended: _1m1w1yPattern<CentsSigned>,
pub peak_regret: CumulativeHeightPattern<Cents>,
pub peak_regret_rel_to_realized_cap: BpsPercentRatioPattern,
pub profit_flow: MetricPattern1<Dollars>,
@@ -1028,8 +1031,11 @@ impl CapCapitulationGrossInvestorLossLowerMvrvNegNetPeakProfitRealizedSellSentSo
net_pnl_change_1m_rel_to_realized_cap: BpsPercentRatioPattern::new(client.clone(), _m(&acc, "net_pnl_change_1m_rel_to_realized_cap")),
net_pnl_delta: ChangeRatePattern::new(client.clone(), _m(&acc, "net_pnl_delta")),
net_pnl_delta_extended: _24hChangeRatePattern::new(client.clone(), _m(&acc, "net_pnl_delta")),
net_realized_pnl: CumulativeHeightPattern::new(client.clone(), _m(&acc, "net_realized_pnl")),
net_realized_pnl: MetricPattern1::new(client.clone(), _m(&acc, "net_realized_pnl")),
net_realized_pnl_cumulative: MetricPattern1::new(client.clone(), _m(&acc, "net_realized_pnl_cumulative")),
net_realized_pnl_rel_to_realized_cap: BpsPercentRatioPattern::new(client.clone(), _m(&acc, "net_realized_pnl_rel_to_realized_cap")),
net_realized_pnl_sum: _24hPattern::new(client.clone(), _m(&acc, "net_realized_pnl_24h")),
net_realized_pnl_sum_extended: _1m1w1yPattern::new(client.clone(), _m(&acc, "net_realized_pnl")),
peak_regret: CumulativeHeightPattern::new(client.clone(), _m(&acc, "realized_peak_regret")),
peak_regret_rel_to_realized_cap: BpsPercentRatioPattern::new(client.clone(), _m(&acc, "realized_peak_regret_rel_to_realized_cap")),
profit_flow: MetricPattern1::new(client.clone(), _m(&acc, "profit_flow")),
@@ -1147,7 +1153,8 @@ impl _0sdM0M1M1sdM2M2sdM3sdP0P1P1sdP2P2sdP3sdSdSmaZscorePattern {
pub struct MvrvNegNetRealizedSentSoprValuePattern {
pub mvrv: MetricPattern1<StoredF32>,
pub neg_realized_loss: MetricPattern1<Dollars>,
pub net_realized_pnl: CumulativeHeightPattern<CentsSigned>,
pub net_realized_pnl: MetricPattern1<CentsSigned>,
pub net_realized_pnl_sum: _24hPattern<CentsSigned>,
pub realized_cap: MetricPattern1<Dollars>,
pub realized_cap_cents: MetricPattern1<Cents>,
pub realized_cap_delta: ChangeRatePattern<CentsSigned>,
@@ -1174,7 +1181,8 @@ impl MvrvNegNetRealizedSentSoprValuePattern {
Self {
mvrv: MetricPattern1::new(client.clone(), _m(&acc, "mvrv")),
neg_realized_loss: MetricPattern1::new(client.clone(), _m(&acc, "neg_realized_loss")),
net_realized_pnl: CumulativeHeightPattern::new(client.clone(), _m(&acc, "net_realized_pnl")),
net_realized_pnl: MetricPattern1::new(client.clone(), _m(&acc, "net_realized_pnl")),
net_realized_pnl_sum: _24hPattern::new(client.clone(), _m(&acc, "net_realized_pnl_24h")),
realized_cap: MetricPattern1::new(client.clone(), _m(&acc, "realized_cap")),
realized_cap_cents: MetricPattern1::new(client.clone(), _m(&acc, "realized_cap_cents")),
realized_cap_delta: ChangeRatePattern::new(client.clone(), _m(&acc, "realized_cap_delta")),
@@ -1251,7 +1259,8 @@ impl Pct05Pct10Pct15Pct20Pct25Pct30Pct35Pct40Pct45Pct50Pct55Pct60Pct65Pct70Pct75
pub struct MvrvNegNetRealizedSoprValuePattern {
pub mvrv: MetricPattern1<StoredF32>,
pub neg_realized_loss: MetricPattern1<Dollars>,
pub net_realized_pnl: CumulativeHeightPattern<CentsSigned>,
pub net_realized_pnl: MetricPattern1<CentsSigned>,
pub net_realized_pnl_sum: _24hPattern<CentsSigned>,
pub realized_cap: MetricPattern1<Dollars>,
pub realized_cap_cents: MetricPattern1<Cents>,
pub realized_cap_delta: ChangeRatePattern<CentsSigned>,
@@ -1274,7 +1283,8 @@ impl MvrvNegNetRealizedSoprValuePattern {
Self {
mvrv: MetricPattern1::new(client.clone(), _m(&acc, "mvrv")),
neg_realized_loss: MetricPattern1::new(client.clone(), _m(&acc, "neg_realized_loss")),
net_realized_pnl: CumulativeHeightPattern::new(client.clone(), _m(&acc, "net_realized_pnl")),
net_realized_pnl: MetricPattern1::new(client.clone(), _m(&acc, "net_realized_pnl")),
net_realized_pnl_sum: _24hPattern::new(client.clone(), _m(&acc, "net_realized_pnl_24h")),
realized_cap: MetricPattern1::new(client.clone(), _m(&acc, "realized_cap")),
realized_cap_cents: MetricPattern1::new(client.clone(), _m(&acc, "realized_cap_cents")),
realized_cap_delta: ChangeRatePattern::new(client.clone(), _m(&acc, "realized_cap_delta")),
crates/brk_computer/src/distribution/metrics/realized/core.rs
+26 -20
View File
@@ -10,8 +10,8 @@ use crate::{
blocks,
distribution::state::RealizedOps,
internal::{
ComputedFromHeight, ComputedFromHeightCumulative, LazyFromHeight,
NegCentsUnsignedToDollars, RatioCents64, RollingDelta1m, RollingWindow24h,
ComputedFromHeight, LazyFromHeight, NegCentsUnsignedToDollars, RatioCents64,
RollingDelta1m, RollingWindow24h,
},
prices,
};
@@ -30,7 +30,8 @@ pub struct RealizedCore<M: StorageMode = Rw> {
pub realized_cap_delta: RollingDelta1m<Cents, CentsSigned, M>,
pub neg_realized_loss: LazyFromHeight<Dollars, Cents>,
pub net_realized_pnl: ComputedFromHeightCumulative<CentsSigned, M>,
pub net_realized_pnl: ComputedFromHeight<CentsSigned, M>,
pub net_realized_pnl_sum: RollingWindow24h<CentsSigned, M>,
pub value_created: ComputedFromHeight<Cents, M>,
pub value_destroyed: ComputedFromHeight<Cents, M>,
@@ -53,7 +54,8 @@ impl RealizedCore {
cfg.indexes,
);
let net_realized_pnl = cfg.import("net_realized_pnl", v0)?;
let net_realized_pnl = cfg.import("net_realized_pnl", v1)?;
let net_realized_pnl_sum = cfg.import("net_realized_pnl", v1)?;
let value_created = cfg.import("value_created", v0)?;
let value_destroyed = cfg.import("value_destroyed", v0)?;
@@ -66,6 +68,7 @@ impl RealizedCore {
realized_cap_delta: cfg.import("realized_cap_delta", v1)?,
neg_realized_loss,
net_realized_pnl,
net_realized_pnl_sum,
value_created,
value_destroyed,
value_created_sum,
@@ -123,22 +126,18 @@ impl RealizedCore {
) -> Result<()> {
self.minimal.compute_rest_part1(blocks, starting_indexes, exit)?;
self.net_realized_pnl
.compute(starting_indexes.height, exit, |vec| {
vec.compute_transform2(
starting_indexes.height,
&self.minimal.realized_profit.height,
&self.minimal.realized_loss.height,
|(i, profit, loss, ..)| {
(
i,
CentsSigned::new(profit.inner() as i64 - loss.inner() as i64),
)
},
exit,
)?;
Ok(())
})?;
self.net_realized_pnl.height.compute_transform2(
starting_indexes.height,
&self.minimal.realized_profit.height,
&self.minimal.realized_loss.height,
|(i, profit, loss, ..)| {
(
i,
CentsSigned::new(profit.inner() as i64 - loss.inner() as i64),
)
},
exit,
)?;
Ok(())
}
@@ -161,6 +160,13 @@ impl RealizedCore {
exit,
)?;
self.net_realized_pnl_sum.compute_rolling_sum(
starting_indexes.height,
&blocks.count.height_24h_ago,
&self.net_realized_pnl.height,
exit,
)?;
self.value_created_sum.compute_rolling_sum(
starting_indexes.height,
&blocks.count.height_24h_ago,
crates/brk_computer/src/distribution/metrics/realized/full.rs
+24 -2
View File
@@ -56,6 +56,9 @@ pub struct RealizedFull<M: StorageMode = Rw> {
pub gross_pnl_sum: RollingWindows<Cents, M>,
pub net_realized_pnl_cumulative: ComputedFromHeight<CentsSigned, M>,
pub net_realized_pnl_sum_extended: RollingWindowsFrom1w<CentsSigned, M>,
pub net_pnl_delta: RollingDelta1m<CentsSigned, CentsSigned, M>,
pub net_pnl_delta_extended: RollingDeltaExcept1m<CentsSigned, CentsSigned, M>,
pub net_pnl_change_1m_rel_to_realized_cap: PercentFromHeight<BasisPointsSigned32, M>,
@@ -179,6 +182,8 @@ impl RealizedFull {
capitulation_flow,
profit_flow,
gross_pnl_sum,
net_realized_pnl_cumulative: cfg.import("net_realized_pnl_cumulative", Version::ONE)?,
net_realized_pnl_sum_extended: cfg.import("net_realized_pnl", Version::ONE)?,
net_pnl_delta: cfg.import("net_pnl_delta", Version::new(5))?,
net_pnl_delta_extended: cfg.import("net_pnl_delta", Version::new(5))?,
net_pnl_change_1m_rel_to_realized_cap: cfg
@@ -300,6 +305,15 @@ impl RealizedFull {
exit: &Exit,
) -> Result<()> {
self.base.compute_rest_part1(blocks, starting_indexes, exit)?;
self.net_realized_pnl_cumulative
.height
.compute_cumulative(
starting_indexes.height,
&self.base.core.net_realized_pnl.height,
exit,
)?;
self.peak_regret
.compute_rest(starting_indexes.height, exit)?;
Ok(())
@@ -324,6 +338,14 @@ impl RealizedFull {
let window_starts = blocks.count.window_starts();
// Extended rolling sum (1w, 1m, 1y) for net_realized_pnl
self.net_realized_pnl_sum_extended.compute_rolling_sum(
starting_indexes.height,
&window_starts,
&self.base.core.net_realized_pnl.height,
exit,
)?;
// Extended rolling windows (1w, 1m, 1y) for value_created/destroyed/sopr
self.value_created_sum_extended.compute_rolling_sum(
starting_indexes.height,
@@ -434,13 +456,13 @@ impl RealizedFull {
self.net_pnl_delta.compute(
starting_indexes.height,
&blocks.count.height_1m_ago,
&self.base.core.net_realized_pnl.cumulative.height,
&self.net_realized_pnl_cumulative.height,
exit,
)?;
self.net_pnl_delta_extended.compute(
starting_indexes.height,
&window_starts,
&self.base.core.net_realized_pnl.cumulative.height,
&self.net_realized_pnl_cumulative.height,
exit,
)?;
self.net_pnl_change_1m_rel_to_realized_cap