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nym21
2026-03-07 18:36:53 +01:00
parent 9bea14b341
commit efefd39439
9 changed files with 411 additions and 253 deletions
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106
crates/brk_computer/src/distribution/metrics/realized/full.rs
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@@ -2,7 +2,7 @@ use brk_error::Result;
use brk_traversable::Traversable;
use brk_types::{
BasisPoints32, BasisPointsSigned32, Bitcoin, Cents, CentsSats, CentsSigned, CentsSquaredSats,
Dollars, Height, Indexes, StoredF64, Version,
Dollars, Height, Indexes, Sats, StoredF64, Version,
};
use derive_more::{Deref, DerefMut};
use vecdb::{
@@ -19,7 +19,7 @@ use crate::{
ComputedFromHeightRatioStdDevBands, LazyFromHeight, PercentFromHeight,
PercentRollingEmas1w1m, PercentRollingWindows, Price, RatioCents64, RatioCentsBp32,
RatioCentsSignedCentsBps32, RatioCentsSignedDollarsBps32, RatioDollarsBp32,
RollingEmas1w1m, RollingEmas2w, RollingWindows, RollingWindowsFrom1w,
RollingEmas1w1m, RollingWindows, RollingWindowsFrom1w,
},
prices,
};
@@ -33,7 +33,7 @@ pub struct RealizedFull<M: StorageMode = Rw> {
#[deref]
#[deref_mut]
#[traversable(flatten)]
pub core: RealizedBase<M>,
pub base: RealizedBase<M>,
pub gross_pnl: FiatFromHeight<Cents, M>,
@@ -86,8 +86,8 @@ pub struct RealizedFull<M: StorageMode = Rw> {
pub value_destroyed_sum_extended: RollingWindowsFrom1w<Cents, M>,
pub sopr_extended: RollingWindowsFrom1w<StoredF64, M>,
pub sent_in_profit_ema: RollingEmas2w<M>,
pub sent_in_loss_ema: RollingEmas2w<M>,
pub sent_in_profit_sum: RollingWindows<Sats, M>,
pub sent_in_loss_sum: RollingWindows<Sats, M>,
pub realized_price_ratio_percentiles: ComputedFromHeightRatioPercentiles<M>,
pub realized_price_ratio_std_dev: ComputedFromHeightRatioStdDevBands<M>,
@@ -99,7 +99,7 @@ impl RealizedFull {
let v0 = Version::ZERO;
let v1 = Version::ONE;
let core = RealizedBase::forced_import(cfg)?;
let base = RealizedBase::forced_import(cfg)?;
let gross_pnl = cfg.import("realized_gross_pnl", v0)?;
@@ -161,11 +161,9 @@ impl RealizedFull {
let value_created_sum_extended = cfg.import("value_created", v1)?;
let value_destroyed_sum_extended = cfg.import("value_destroyed", v1)?;
let sopr_extended = cfg.import("sopr", v1)?;
let sent_in_profit_ema = cfg.import("sent_in_profit", v0)?;
let sent_in_loss_ema = cfg.import("sent_in_loss", v0)?;
Ok(Self {
core,
base,
gross_pnl,
realized_profit_rel_to_realized_cap,
realized_loss_rel_to_realized_cap,
@@ -205,8 +203,8 @@ impl RealizedFull {
value_created_sum_extended,
value_destroyed_sum_extended,
sopr_extended,
sent_in_profit_ema,
sent_in_loss_ema,
sent_in_profit_sum: cfg.import("sent_in_profit", v1)?,
sent_in_loss_sum: cfg.import("sent_in_loss", v1)?,
realized_price_ratio_percentiles: ComputedFromHeightRatioPercentiles::forced_import(
cfg.db,
&realized_price_name,
@@ -229,7 +227,7 @@ impl RealizedFull {
}
pub(crate) fn min_stateful_height_len(&self) -> usize {
self.core
self.base
.min_stateful_height_len()
.min(self.profit_value_created.height.len())
.min(self.profit_value_destroyed.height.len())
@@ -242,7 +240,7 @@ impl RealizedFull {
}
pub(crate) fn truncate_push(&mut self, height: Height, state: &RealizedState) -> Result<()> {
self.core.truncate_push(height, state)?;
self.base.truncate_push(height, state)?;
self.profit_value_created
.height
.truncate_push(height, state.profit_value_created())?;
@@ -270,7 +268,7 @@ impl RealizedFull {
}
pub(crate) fn collect_vecs_mut(&mut self) -> Vec<&mut dyn AnyStoredVec> {
let mut vecs = self.core.collect_vecs_mut();
let mut vecs = self.base.collect_vecs_mut();
vecs.push(&mut self.profit_value_created.height as &mut dyn AnyStoredVec);
vecs.push(&mut self.profit_value_destroyed.height);
vecs.push(&mut self.loss_value_created.height);
@@ -282,15 +280,13 @@ impl RealizedFull {
vecs
}
/// Aggregate Core-level fields from source cohorts.
/// investor_price, cap_raw, investor_cap_raw come from the stateful scan, not aggregated.
pub(crate) fn compute_from_stateful(
&mut self,
starting_indexes: &Indexes,
others: &[&RealizedBase],
exit: &Exit,
) -> Result<()> {
self.core
self.base
.compute_from_stateful(starting_indexes, others, exit)?;
Ok(())
@@ -301,7 +297,7 @@ impl RealizedFull {
starting_indexes: &Indexes,
exit: &Exit,
) -> Result<()> {
self.core.compute_rest_part1(starting_indexes, exit)?;
self.base.compute_rest_part1(starting_indexes, exit)?;
self.peak_regret
.compute_rest(starting_indexes.height, exit)?;
Ok(())
@@ -316,7 +312,7 @@ impl RealizedFull {
height_to_market_cap: &impl ReadableVec<Height, Dollars>,
exit: &Exit,
) -> Result<()> {
self.core.compute_rest_part2(
self.base.core.compute_rest_part2(
blocks,
prices,
starting_indexes,
@@ -329,13 +325,13 @@ impl RealizedFull {
self.value_created_sum_extended.compute_rolling_sum(
starting_indexes.height,
&window_starts,
&self.core.value_created.height,
&self.base.core.value_created.height,
exit,
)?;
self.value_destroyed_sum_extended.compute_rolling_sum(
starting_indexes.height,
&window_starts,
&self.core.value_destroyed.height,
&self.base.core.value_destroyed.height,
exit,
)?;
for ((sopr, vc), vd) in self
@@ -357,22 +353,22 @@ impl RealizedFull {
self.realized_profit_rel_to_realized_cap
.compute_binary::<Cents, Cents, RatioCentsBp32>(
starting_indexes.height,
&self.core.minimal.realized_profit.height,
&self.core.minimal.realized_cap_cents.height,
&self.base.core.minimal.realized_profit.height,
&self.base.core.minimal.realized_cap_cents.height,
exit,
)?;
self.realized_loss_rel_to_realized_cap
.compute_binary::<Cents, Cents, RatioCentsBp32>(
starting_indexes.height,
&self.core.minimal.realized_loss.height,
&self.core.minimal.realized_cap_cents.height,
&self.base.core.minimal.realized_loss.height,
&self.base.core.minimal.realized_cap_cents.height,
exit,
)?;
self.net_realized_pnl_rel_to_realized_cap
.compute_binary::<CentsSigned, Cents, RatioCentsSignedCentsBps32>(
starting_indexes.height,
&self.core.net_realized_pnl.height,
&self.core.minimal.realized_cap_cents.height,
&self.base.core.net_realized_pnl.height,
&self.base.core.minimal.realized_cap_cents.height,
exit,
)?;
@@ -380,48 +376,49 @@ impl RealizedFull {
self.realized_profit_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.core.minimal.realized_profit.height,
&self.base.core.minimal.realized_profit.height,
exit,
)?;
self.realized_loss_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.core.minimal.realized_loss.height,
&self.base.core.minimal.realized_loss.height,
exit,
)?;
self.net_realized_pnl_ema_1w.height.compute_rolling_ema(
starting_indexes.height,
&blocks.count.height_1w_ago,
&self.core.net_realized_pnl.height,
&self.base.core.net_realized_pnl.height,
exit,
)?;
self.sopr_24h_ema.compute_from_24h(
starting_indexes.height,
&blocks.count.height_1w_ago,
&blocks.count.height_1m_ago,
&self.core.sopr._24h.height,
&self.base.core.sopr._24h.height,
exit,
)?;
self.sent_in_profit_ema.compute(
// Sent in profit/loss rolling sums
let window_starts = blocks.count.window_starts();
self.sent_in_profit_sum.compute_rolling_sum(
starting_indexes.height,
&blocks.count.height_2w_ago,
&self.core.sent_in_profit.base.sats.height,
&self.core.sent_in_profit.base.cents.height,
&window_starts,
&self.base.sent_in_profit.height,
exit,
)?;
self.sent_in_loss_ema.compute(
self.sent_in_loss_sum.compute_rolling_sum(
starting_indexes.height,
&blocks.count.height_2w_ago,
&self.core.sent_in_loss.base.sats.height,
&self.core.sent_in_loss.base.cents.height,
&window_starts,
&self.base.sent_in_loss.height,
exit,
)?;
// Gross PnL
self.gross_pnl.cents.height.compute_add(
starting_indexes.height,
&self.core.minimal.realized_profit.height,
&self.core.minimal.realized_loss.height,
&self.base.core.minimal.realized_profit.height,
&self.base.core.minimal.realized_loss.height,
exit,
)?;
@@ -437,14 +434,14 @@ impl RealizedFull {
self.net_pnl_change_1m.height.compute_rolling_change(
starting_indexes.height,
&blocks.count.height_1m_ago,
&self.core.net_realized_pnl.cumulative.height,
&self.base.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,
&self.base.core.minimal.realized_cap_cents.height,
exit,
)?;
self.net_pnl_change_1m_rel_to_market_cap
@@ -460,7 +457,7 @@ impl RealizedFull {
.compute_binary::<Cents, Cents, RatioCentsBp32>(
starting_indexes.height,
&self.peak_regret.height,
&self.core.minimal.realized_cap_cents.height,
&self.base.core.minimal.realized_cap_cents.height,
exit,
)?;
@@ -472,10 +469,9 @@ impl RealizedFull {
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.base.core.minimal.realized_price.cents.height,
&self.investor_price.cents.height,
|(i, rp, ip, ..)| {
let rp = rp.as_u128();
@@ -492,7 +488,7 @@ impl RealizedFull {
self.upper_price_band.cents.height.compute_transform2(
starting_indexes.height,
&self.investor_price.cents.height,
&self.core.minimal.realized_price.cents.height,
&self.base.core.minimal.realized_price.cents.height,
|(i, ip, rp, ..)| {
let ip = ip.as_u128();
let rp = rp.as_u128();
@@ -515,7 +511,7 @@ impl RealizedFull {
ssrr.compute_binary::<Cents, Cents, RatioCentsBp32>(
starting_indexes.height,
&rv.height,
&self.core.minimal.realized_cap_cents.height,
&self.base.core.minimal.realized_cap_cents.height,
exit,
)?;
}
@@ -533,13 +529,13 @@ impl RealizedFull {
self.realized_profit_sum.compute_rolling_sum(
starting_indexes.height,
&window_starts,
&self.core.minimal.realized_profit.height,
&self.base.core.minimal.realized_profit.height,
exit,
)?;
self.realized_loss_sum.compute_rolling_sum(
starting_indexes.height,
&window_starts,
&self.core.minimal.realized_loss.height,
&self.base.core.minimal.realized_loss.height,
exit,
)?;
@@ -547,7 +543,7 @@ impl RealizedFull {
self.realized_cap_rel_to_own_market_cap
.compute_binary::<Dollars, Dollars, RatioDollarsBp32>(
starting_indexes.height,
&self.core.minimal.realized_cap.height,
&self.base.core.minimal.realized_cap.height,
height_to_market_cap,
exit,
)?;
@@ -572,16 +568,16 @@ impl RealizedFull {
blocks,
starting_indexes,
exit,
&self.core.minimal.realized_price_ratio.ratio.height,
&self.core.minimal.realized_price.cents.height,
&self.base.core.minimal.realized_price_ratio.ratio.height,
&self.base.core.minimal.realized_price.cents.height,
)?;
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,
&self.base.core.minimal.realized_price_ratio.ratio.height,
&self.base.core.minimal.realized_price.cents.height,
)?;
// Investor price: percentiles