Feat/switch to implied rates (#735)

* fix: adding spot rates to oracle registry * fix: change fcash rate source * fix: testing lend fixed borrow fixed * fix: convert fcash * fix: order details bugs
notional-finance · Apr 4, 2024 · 445af8c · 445af8c
1 parent 6441c2a
commit 445af8c
Show file tree

Hide file tree

Showing 12 changed files with 109 additions and 78 deletions.
diff --git a/apps/localAPI.js b/apps/localAPI.js
@@ -22,15 +22,15 @@ const vaultsProxy = createProxyMiddleware(['/*/vaults'], {
   changeOrigin: true,
 });
 const oraclesProxy = createProxyMiddleware(['/*/oracles'], {
-  target: 'https://registry-oracles-dev.notional-finance.workers.dev',
+  target: 'http://localhost:8890',
   changeOrigin: true,
 });
 const exchangesProxy = createProxyMiddleware(['/*/exchanges'], {
   target: 'https://registry-exchanges-dev.notional-finance.workers.dev',
   changeOrigin: true,
 });
 const dataProxy = createProxyMiddleware(['/*/views/*'], {
-  target: 'http://localhost:8890',
+  target: 'https://data-dev.notional-finance.workers.dev',
   changeOrigin: true,
 });
 

diff --git a/apps/serveLocalRegistry.sh b/apps/serveLocalRegistry.sh
@@ -1,2 +1,2 @@
-yarn nx serve data --env dev --port 8890 &
+yarn nx serve registry-oracles --port 8890 &
 yarn node apps/localAPI.js
diff --git a/packages/core-entities/src/.graphclient/index.ts b/packages/core-entities/src/.graphclient/index.ts
@@ -9048,7 +9048,9 @@ export type AllConfigurationByBlockQuery = { currencyConfigurations: Array<(
     & { primaryBorrowCurrency: Pick<Token, 'id'>, secondaryBorrowCurrencies?: Maybe<Array<Pick<Token, 'id'>>> }
   )>, _meta?: Maybe<{ block: Pick<_Block_, 'number'> }> };
 
-export type AllOraclesQueryVariables = Exact<{ [key: string]: never; }>;
+export type AllOraclesQueryVariables = Exact<{
+  skip: Scalars['Int'];
+}>;
 
 
 export type AllOraclesQuery = { oracles: Array<(
@@ -9597,10 +9599,11 @@ export const AllConfigurationByBlockDocument = gql`
 }
     ` as unknown as DocumentNode<AllConfigurationByBlockQuery, AllConfigurationByBlockQueryVariables>;
 export const AllOraclesDocument = gql`
-    query AllOracles {
+    query AllOracles($skip: Int!) {
   oracles(
-    where: {oracleType_in: [Chainlink, fCashOracleRate, fCashSettlementRate, PrimeCashToUnderlyingExchangeRate, PrimeDebtToUnderlyingExchangeRate, VaultShareOracleRate, nTokenToUnderlyingExchangeRate], matured: false}
+    where: {oracleType_in: [Chainlink, fCashOracleRate, fCashSettlementRate, PrimeCashToUnderlyingExchangeRate, PrimeDebtToUnderlyingExchangeRate, VaultShareOracleRate, nTokenToUnderlyingExchangeRate, fCashSpotRate], matured: false}
     first: 1000
+    skip: $skip
   ) {
     id
     lastUpdateBlockNumber
@@ -9965,7 +9968,7 @@ export function getSdk<C, E>(requester: Requester<C, E>) {
     AllConfigurationByBlock(variables?: AllConfigurationByBlockQueryVariables, options?: C): Promise<AllConfigurationByBlockQuery> {
       return requester<AllConfigurationByBlockQuery, AllConfigurationByBlockQueryVariables>(AllConfigurationByBlockDocument, variables, options) as Promise<AllConfigurationByBlockQuery>;
     },
-    AllOracles(variables?: AllOraclesQueryVariables, options?: C): Promise<AllOraclesQuery> {
+    AllOracles(variables: AllOraclesQueryVariables, options?: C): Promise<AllOraclesQuery> {
       return requester<AllOraclesQuery, AllOraclesQueryVariables>(AllOraclesDocument, variables, options) as Promise<AllOraclesQuery>;
     },
     AllOraclesByBlock(variables?: AllOraclesByBlockQueryVariables, options?: C): Promise<AllOraclesByBlockQuery> {

diff --git a/packages/core-entities/src/client/analytics-registry-client.ts b/packages/core-entities/src/client/analytics-registry-client.ts
@@ -33,6 +33,7 @@ import { TokenBalance } from '../token-balance';
 import { FiatKeys } from '../config/fiat-config';
 import { fetchGraph, loadGraphClientDeferred } from '../server/server-registry';
 import { parseTransaction } from './accounts/transaction-history';
+// eslint-disable-next-line @nrwl/nx/enforce-module-boundaries
 import { Transaction } from '../.graphclient';
 
 const APY_ORACLES = [

diff --git a/packages/core-entities/src/client/oracle-registry-client.ts b/packages/core-entities/src/client/oracle-registry-client.ts
@@ -35,10 +35,13 @@ interface Node {
 type AdjList = Map<string, Map<string, Node>>;
 const UNIT_RATE = 'UNIT_RATE';
 
+// Can change this to fCashOracleRate to use oracle rates
+const FCASH_RATE_SOURCE = 'fCashSpotRate';
+
 export const PRICE_ORACLES = [
   'sNOTE',
   'Chainlink',
-  'fCashOracleRate',
+  FCASH_RATE_SOURCE,
   'fCashSettlementRate',
   'PrimeCashToUnderlyingExchangeRate',
   'PrimeDebtToUnderlyingExchangeRate',
@@ -93,8 +96,11 @@ export class OracleRegistryClient extends ClientRegistry<OracleDefinition> {
           // Only add whitelisted oracles to the adj list
           if (!PRICE_ORACLES.includes(oracle.oracleType)) return;
 
-          if (oracle.oracleType === 'fCashOracleRate') {
-            // Suppress historical oracle rates
+          if (
+            oracle.oracleType === 'fCashOracleRate' ||
+            oracle.oracleAddress === 'fCashSpotRate'
+          ) {
+            // Suppress historical fcash rates
             const { maturity } = decodeERC1155Id(oracle.quote);
             if (maturity < getNowSeconds()) return;
           }
@@ -203,10 +209,10 @@ export class OracleRegistryClient extends ClientRegistry<OracleDefinition> {
                 network,
                 currencyId
               );
-              // fCashOracleRate is from underlying => fCash id, settlement rates are from
+              // FCASH_RATE_SOURCE is from underlying => fCash id, settlement rates are from
               // fCash id => prime cash
               o = subjects
-                .get(`${underlying.id}:${base}:fCashOracleRate`)
+                .get(`${underlying.id}:${base}:${FCASH_RATE_SOURCE}`)
                 ?.asObservable();
             }
           }
@@ -224,7 +230,7 @@ export class OracleRegistryClient extends ClientRegistry<OracleDefinition> {
           if (!o) return null;
 
           // fCash rates are interest rates so convert them to exchange rates in SCALAR_PRECISION here
-          if (o.oracleType === 'fCashOracleRate') {
+          if (o.oracleType === FCASH_RATE_SOURCE) {
             // Adjustment is set to identity values if riskAdjusted is set to None.
             const { interestAdjustment, maxDiscountFactor, oracleRateLimit } =
               config.getInterestRiskAdjustment(o, node.inverted, riskAdjusted);

diff --git a/packages/core-entities/src/queries/AllOracles.graphql b/packages/core-entities/src/queries/AllOracles.graphql
@@ -1,4 +1,4 @@
-query AllOracles {
+query AllOracles($skip: Int!) {
   oracles(where: { oracleType_in: [
     Chainlink,
     fCashOracleRate,
@@ -7,15 +7,15 @@ query AllOracles {
     PrimeDebtToUnderlyingExchangeRate,
     VaultShareOracleRate,
     nTokenToUnderlyingExchangeRate
+    fCashSpotRate,
     # NOT used in exchange rate path finding algorithm and excluded
     # from the active query to reduce the amount of data stored in the
     # oracle durable object storage.
     # PrimeCashPremiumInterestRate,
     # PrimeDebtPremiumInterestRate,
-    # fCashSpotRate,
     # PrimeCashToUnderlyingOracleInterestRate,
     # fCashToUnderlyingExchangeRate
-  ], matured: false}, first: 1000) {
+  ], matured: false}, first: 1000, skip: $skip) {
     id
     lastUpdateBlockNumber
     lastUpdateTimestamp

diff --git a/packages/core-entities/src/server/oracle-registry-server.ts b/packages/core-entities/src/server/oracle-registry-server.ts
@@ -77,7 +77,9 @@ export class OracleRegistryServer extends ServerRegistry<OracleDefinition> {
       },
       {
         blockNumber,
-      }
+        skip: 0,
+      },
+      'oracles'
     );
   }
 

diff --git a/packages/core-entities/src/server/server-registry.ts b/packages/core-entities/src/server/server-registry.ts
@@ -177,9 +177,16 @@ export abstract class ServerRegistry<T> extends BaseRegistry<T> {
     network: Network,
     query: TypedDocumentNode<R, V>,
     transform: (r: R) => Record<string, T>,
-    variables?: V
+    variables?: V,
+    rootVariable?: string
   ): Promise<CacheSchema<T>> {
-    return fetchUsingGraph<T, R, V>(network, query, transform, variables);
+    return fetchUsingGraph<T, R, V>(
+      network,
+      query,
+      transform,
+      variables,
+      rootVariable
+    );
   }
 
   protected getProvider(network: Network) {

diff --git a/packages/shared/notionable-hooks/src/use-summary.tsx b/packages/shared/notionable-hooks/src/use-summary.tsx
@@ -1,8 +1,6 @@
 import {
   TokenBalance,
   TokenDefinition,
-  YieldData,
-  fCashMarket,
   FiatKeys,
 } from '@notional-finance/core-entities';
 import {
@@ -12,12 +10,12 @@ import {
 } from '@notional-finance/helpers';
 import {
   BaseTradeState,
+  TokenOption,
   TradeState,
   VaultTradeState,
 } from '@notional-finance/notionable';
 import {
   RATE_DECIMALS,
-  RATE_PRECISION,
   HEALTH_FACTOR_RISK_LEVELS,
 } from '@notional-finance/util';
 import {
@@ -26,7 +24,6 @@ import {
   defineMessages,
   useIntl,
 } from 'react-intl';
-import { useAllMarkets } from './use-market';
 import { useFiat } from './use-user-settings';
 import { colors } from '@notional-finance/styles';
 import { useTheme } from '@mui/material';
@@ -72,9 +69,10 @@ const OrderDetailLabels = defineMessages({
 function getOrderDetails(
   b: TokenBalance,
   realized: TokenBalance,
+  feeValue: TokenBalance,
   intl: IntlShape,
   isLeverageOrRoll: boolean,
-  yieldData: YieldData[]
+  options: TokenOption[] | undefined
 ): DetailItem[] {
   const { title, caption } = formatTokenType(b.token);
   const apyLabel =
@@ -89,14 +87,7 @@ function getOrderDetails(
     b.tokenType === 'fCash' || b.tokenType === 'VaultShare'
       ? OrderDetailLabels.captionPrice
       : OrderDetailLabels.price;
-  let apy: number;
-  if (b.tokenType === 'fCash') {
-    apy =
-      ((fCashMarket.getImpliedInterestRate(realized, b) || 0) * 100) /
-      RATE_PRECISION;
-  } else {
-    apy = yieldData.find((y) => y.token.id === b.tokenId)?.totalAPY || 0;
-  }
+  const apy = options?.find((o) => o.token.id === b.tokenId)?.interestRate;
 
   let valueLabel: MessageDescriptor;
   switch (b.tokenType) {
@@ -125,7 +116,7 @@ function getOrderDetails(
       throw Error('Unknown token type');
   }
 
-  return [
+  const orderDetails = [
     {
       label: intl.formatMessage(valueLabel, { title, caption }),
       value: {
@@ -143,32 +134,16 @@ function getOrderDetails(
     },
     {
       label: intl.formatMessage(feeLabel, { title, caption }),
-      // Fee: diff between PV and realized cash
       value: {
         data: [
           {
-            displayValue: realized
-              .abs()
+            displayValue: feeValue
               .toUnderlying()
-              .sub(b.abs().toUnderlying())
               .toDisplayStringWithSymbol(4, true),
           },
         ],
       },
     },
-    {
-      // APY: for fCash look at implied rate, otherwise look at yield
-      label: intl.formatMessage(apyLabel, { title, caption }),
-      value: {
-        data: [
-          {
-            displayValue: `${formatNumberAsPercent(apy, 2)}`,
-            isNegative: apy < 0,
-          },
-        ],
-      },
-      showOnExpand: true,
-    },
     {
       // Price: realized cash / total units
       label: intl.formatMessage(priceLabel, { title, caption }),
@@ -187,20 +162,39 @@ function getOrderDetails(
       showOnExpand: true,
     },
   ];
+
+  if (apy !== undefined) {
+    orderDetails.push({
+      label: intl.formatMessage(apyLabel, { title, caption }),
+      value: {
+        data: [
+          {
+            displayValue: `${formatNumberAsPercent(apy, 2)}`,
+            isNegative: apy < 0,
+          },
+        ],
+      },
+      showOnExpand: true,
+    });
+  }
+
+  return orderDetails;
 }
 
 export function useOrderDetails(state: BaseTradeState): OrderDetails {
   const {
     debtBalance,
+    debtFee,
+    collateralFee,
+    debtOptions,
+    collateralOptions,
     collateralBalance,
     netRealizedDebtBalance,
     netRealizedCollateralBalance,
     depositBalance,
     tradeType,
-    selectedNetwork,
   } = state;
   const intl = useIntl();
-  const { nonLeveragedYields } = useAllMarkets(selectedNetwork);
   const orderDetails: DetailItem[] = [];
   // Only show positive values if one of the values is defined
   const isLeverageOrRoll = !!debtBalance && !!collateralBalance;
@@ -232,9 +226,10 @@ export function useOrderDetails(state: BaseTradeState): OrderDetails {
       ...getOrderDetails(
         balance.unwrapVaultToken(),
         netRealizedDebtBalance,
+        debtFee?.toUnderlying() || netRealizedDebtBalance.copy(0),
         intl,
         isLeverageOrRoll,
-        nonLeveragedYields
+        debtOptions
       )
     );
   }
@@ -245,9 +240,10 @@ export function useOrderDetails(state: BaseTradeState): OrderDetails {
       ...getOrderDetails(
         collateralBalance.unwrapVaultToken(),
         netRealizedCollateralBalance,
+        collateralFee?.toUnderlying() || netRealizedCollateralBalance.copy(0),
         intl,
         isLeverageOrRoll,
-        nonLeveragedYields
+        collateralOptions
       )
     );
   }
@@ -408,6 +404,8 @@ export function useTradeSummary(state: VaultTradeState | TradeState) {
     netDebtBalance,
     debtBalance,
     collateralBalance,
+    collateralFee,
+    debtFee,
     tradeType,
     inputsSatisfied,
     calculationSuccess,
@@ -594,10 +592,9 @@ export function useTradeSummary(state: VaultTradeState | TradeState) {
   } else if (isLeverageOrRoll) {
     // Do not include roll vault position because the margin will be
     // incorrectly included in the fee value
-    feeValue = collateralBalance
-      .toUnderlying()
-      .sub(depositBalance || TokenBalance.zero(underlying))
-      .add(debtBalance.toUnderlying());
+    feeValue = (collateralFee?.toUnderlying() || feeValue).add(
+      debtFee?.toUnderlying() || feeValue
+    );
   } else if (
     collateralBalance &&
     depositBalance &&
@@ -606,15 +603,13 @@ export function useTradeSummary(state: VaultTradeState | TradeState) {
     // we move the calculations into the observable so this is hidden
     collateralBalance.currencyId === depositBalance.currencyId
   ) {
-    feeValue = depositBalance
-      .toUnderlying()
-      .sub(collateralBalance.toUnderlying());
+    feeValue = collateralFee?.toUnderlying() || feeValue;
   } else if (
     debtBalance &&
     depositBalance &&
     debtBalance.currencyId === depositBalance.currencyId
   ) {
-    feeValue = depositBalance.toUnderlying().sub(debtBalance.toUnderlying());
+    feeValue = debtFee?.toUnderlying() || feeValue;
   }
 
   summary.push({
-Original file line number
+Diff line change
@@ Expand Up @@
           },
           {
             blockNumber,
-          }
+            skip: 0,
+          },
+          'oracles'
         );
       }
@@ Expand Down @@