fix occasional hr skips in pnl computation

dydxprotocol · Jan 10, 2024 · 39a35f0 · 39a35f0
1 parent 4f2d72a
commit 39a35f0
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Showing 2 changed files with 47 additions and 8 deletions.
diff --git a/indexer/services/roundtable/__tests__/helpers/pnl-ticks-helper.test.ts b/indexer/services/roundtable/__tests__/helpers/pnl-ticks-helper.test.ts
@@ -25,6 +25,7 @@ import {
   getNewPnlTick,
   getPnlTicksCreateObjects,
   getUsdcTransfersSinceLastPnlTick,
+  getAccountsToUpdate,
 } from '../../src/helpers/pnl-ticks-helper';
 import { defaultPnlTickForSubaccounts } from '../../src/helpers/constants';
 import Big from 'big.js';
@@ -35,6 +36,7 @@ import { ZERO } from '../../src/lib/constants';
 import { SubaccountUsdcTransferMap } from '../../src/helpers/types';
 import config from '../../src/config';
 import _ from 'lodash';
+import { ONE_HOUR_IN_MILLISECONDS } from '@dydxprotocol-indexer/base';
 
 describe('pnl-ticks-helper', () => {
   const positions: PerpetualPositionFromDatabase[] = [
@@ -228,6 +230,25 @@ describe('pnl-ticks-helper', () => {
     }));
   });
 
+  it('getAccountsToUpdate', () => {
+    const accountToLastUpdatedBlockTime: _.Dictionary<IsoString> = {
+      account1: '2024-01-01T10:00:00Z',
+      account2: '2024-01-01T11:00:00Z',
+      account3: '2024-01-01T11:01:00Z',
+      account4: '2024-01-01T11:10:00Z',
+      account5: '2024-01-01T12:00:00Z',
+    };
+    const blockTime: IsoString = '2024-01-01T12:00:00Z';
+    config.PNL_TICK_UPDATE_INTERVAL_MS = ONE_HOUR_IN_MILLISECONDS;
+
+    const expectedAccountsToUpdate: string[] = ['account1', 'account2', 'account3'];
+    const accountsToUpdate: string[] = getAccountsToUpdate(
+      accountToLastUpdatedBlockTime,
+      blockTime,
+    );
+    expect(accountsToUpdate).toEqual(expectedAccountsToUpdate);
+  });
+
   it('calculateEquity', () => {
     const usdcPosition: Big = new Big('100');
     const equity: Big = calculateEquity(

diff --git a/indexer/services/roundtable/src/helpers/pnl-ticks-helper.ts b/indexer/services/roundtable/src/helpers/pnl-ticks-helper.ts
@@ -3,6 +3,7 @@ import {
   AssetPositionTable,
   FundingIndexMap,
   FundingIndexUpdatesTable,
+  helpers,
   IsoString,
   OraclePriceTable,
   PerpetualPositionFromDatabase,
@@ -15,7 +16,6 @@ import {
   SubaccountTable,
   SubaccountToPerpetualPositionsMap,
   TransferTable,
-  helpers,
 } from '@dydxprotocol-indexer/postgres';
 import { LatestAccountPnlTicksCache, PnlTickForSubaccounts } from '@dydxprotocol-indexer/redis';
 import Big from 'big.js';
@@ -62,13 +62,7 @@ export async function getPnlTicksCreateObjects(
   );
   // get accounts to update based on last updated block height
   const accountsToUpdate: string[] = [
-    ..._.keys(accountToLastUpdatedBlockTime).filter(
-      (accountId) => {
-        const lastUpdatedBlockTime: string = accountToLastUpdatedBlockTime[accountId];
-        return new Date(blockTime).getTime() - new Date(lastUpdatedBlockTime).getTime() >=
-          config.PNL_TICK_UPDATE_INTERVAL_MS;
-      },
-    ),
+    ...getAccountsToUpdate(accountToLastUpdatedBlockTime, blockTime),
     ...newSubaccountIds,
   ];
   stats.gauge(
@@ -166,6 +160,30 @@ export async function getPnlTicksCreateObjects(
   return newTicksToCreate;
 }
 
+/**
+ * Gets a list of subaccounts that were last updated more than 0.9 *
+ * PNL_TICK_UPDATE_INTERVAL_MS ago.
+ *
+ * @param mostRecentPnlTicks
+ * @param blockTime
+ */
+export function getAccountsToUpdate(
+  accountToLastUpdatedBlockTime: _.Dictionary<IsoString>,
+  blockTime: IsoString,
+): string[] {
+  // get accounts to update based on last updated block time
+  const accountsToUpdate: string[] = [
+    ..._.keys(accountToLastUpdatedBlockTime).filter(
+      (accountId) => {
+        const lastUpdatedBlockTime: string = accountToLastUpdatedBlockTime[accountId];
+        return new Date(blockTime).getTime() - new Date(lastUpdatedBlockTime).getTime() >=
+          0.9 * config.PNL_TICK_UPDATE_INTERVAL_MS;
+      },
+    ),
+  ];
+  return accountsToUpdate;
+}
+
 /**
  * Get a map of block height to funding index state.
  * Funding index state represents the most recent funding index value for every perpetual market.