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Merge pull request #11189 from vegaprotocol/11158
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fix: various fixes for supporting the difference between no metric an…
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@jeremyletang
jeremyletang authored Apr 24, 2024
2 parents 66290aa + f9a4919 commit ed8d9d5
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Showing 11 changed files with 657 additions and 149 deletions.
10 changes: 9 additions & 1 deletion core/banking/recurring_transfers.go
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Original file line number Diff line number Diff line change
Expand Up @@ -194,7 +194,15 @@ func (e *Engine) dispatchRequired(ctx context.Context, ds *vegapb.DispatchStrate
vegapb.DispatchMetric_DISPATCH_METRIC_RETURN_VOLATILITY,
vegapb.DispatchMetric_DISPATCH_METRIC_REALISED_RETURN:
if ds.EntityScope == vegapb.EntityScope_ENTITY_SCOPE_INDIVIDUALS {
return len(e.marketActivityTracker.CalculateMetricForIndividuals(ctx, ds)) > 0
hasNonZeroMetric := false
partyMetrics := e.marketActivityTracker.CalculateMetricForIndividuals(ctx, ds)
for _, pm := range partyMetrics {
if !pm.Score.IsZero() {
hasNonZeroMetric = true
break
}
}
return hasNonZeroMetric || (len(partyMetrics) > 0 && ds.DistributionStrategy == vegapb.DistributionStrategy_DISTRIBUTION_STRATEGY_RANK)
} else {
tcs, _ := e.marketActivityTracker.CalculateMetricForTeams(ctx, ds)
return len(tcs) > 0
Expand Down
58 changes: 39 additions & 19 deletions core/execution/common/market_activity_tracker.go
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Original file line number Diff line number Diff line change
Expand Up @@ -554,7 +554,7 @@ func (mat *MarketActivityTracker) RecordM2M(asset, party, market string, amount
}
}

// RecordM2M passes the mark to market win/loss transfer amount to the asset/market tracker to be recorded.
// RecordFundingPayment passes the mark to market win/loss transfer amount to the asset/market tracker to be recorded.
func (mat *MarketActivityTracker) RecordFundingPayment(asset, party, market string, amount num.Decimal) {
if tracker, ok := mat.getMarketTracker(asset, market); ok {
tracker.allPartiesCache[party] = struct{}{}
Expand Down Expand Up @@ -664,8 +664,8 @@ func (mat *MarketActivityTracker) calculateMetricForIndividuals(ctx context.Cont
if !mat.isEligibleForReward(ctx, asset, party, markets, minStakingBalanceRequired, notionalTimeWeightedAveragePositionRequired, gameID) {
continue
}
score := mat.calculateMetricForParty(asset, party, markets, metric, windowSize)
if score.IsZero() {
score, ok := mat.calculateMetricForParty(asset, party, markets, metric, windowSize)
if !ok {
continue
}
ret = append(ret, &types.PartyContributionScore{Party: party, Score: score})
Expand Down Expand Up @@ -710,15 +710,17 @@ func calculateMetricForTeamUtil(ctx context.Context,
windowSize int,
topN num.Decimal,
isEligibleForReward func(ctx context.Context, asset, party string, markets []string, minStakingBalanceRequired *num.Uint, notionalTimeWeightedAveragePositionRequired *num.Uint, gameID string) bool,
calculateMetricForParty func(asset, party string, marketsInScope []string, metric vega.DispatchMetric, windowSize int) num.Decimal,
calculateMetricForParty func(asset, party string, marketsInScope []string, metric vega.DispatchMetric, windowSize int) (num.Decimal, bool),
gameID string,
) (num.Decimal, []*types.PartyContributionScore) {
teamPartyScores := []*types.PartyContributionScore{}
for _, party := range parties {
if !isEligibleForReward(ctx, asset, party, marketsInScope, minStakingBalanceRequired, notionalTimeWeightedAveragePositionRequired, gameID) {
continue
}
teamPartyScores = append(teamPartyScores, &types.PartyContributionScore{Party: party, Score: calculateMetricForParty(asset, party, marketsInScope, metric, windowSize)})
if score, ok := calculateMetricForParty(asset, party, marketsInScope, metric, windowSize); ok {
teamPartyScores = append(teamPartyScores, &types.PartyContributionScore{Party: party, Score: score})
}
}

if len(teamPartyScores) == 0 {
Expand Down Expand Up @@ -750,7 +752,7 @@ func calculateMetricForTeamUtil(ctx context.Context,
}

// calculateMetricForParty returns the value of a reward metric score for the given party for markets of the given assets which are in scope over the given window size.
func (mat *MarketActivityTracker) calculateMetricForParty(asset, party string, marketsInScope []string, metric vega.DispatchMetric, windowSize int) num.Decimal {
func (mat *MarketActivityTracker) calculateMetricForParty(asset, party string, marketsInScope []string, metric vega.DispatchMetric, windowSize int) (num.Decimal, bool) {
// exclude unsupported metrics
if metric == vega.DispatchMetric_DISPATCH_METRIC_MARKET_VALUE {
mat.log.Panic("unexpected dispatch metric market value here")
Expand All @@ -762,10 +764,11 @@ func (mat *MarketActivityTracker) calculateMetricForParty(asset, party string, m
total := num.DecimalZero()
marketTotal := num.DecimalZero()
returns := make([]*num.Decimal, windowSize)
found := false

assetTrackers, ok := mat.assetToMarketTrackers[asset]
if !ok {
return num.DecimalZero()
return num.DecimalZero(), false
}

markets := marketsInScope
Expand All @@ -785,21 +788,25 @@ func (mat *MarketActivityTracker) calculateMetricForParty(asset, party string, m
switch metric {
case vega.DispatchMetric_DISPATCH_METRIC_AVERAGE_POSITION:
if t, ok := marketTracker.getPositionMetricTotal(party, windowSize); ok {
found = true
uTotal += t
}
case vega.DispatchMetric_DISPATCH_METRIC_RELATIVE_RETURN:
if t, ok := marketTracker.getRelativeReturnMetricTotal(party, windowSize); ok {
found = true
total = total.Add(t)
}
case vega.DispatchMetric_DISPATCH_METRIC_REALISED_RETURN:
if t, ok := marketTracker.getRealisedReturnMetricTotal(party, windowSize); ok {
found = true
total = total.Add(t)
}
case vega.DispatchMetric_DISPATCH_METRIC_RETURN_VOLATILITY:
r, ok := marketTracker.getReturns(party, windowSize)
if !ok {
continue
}
found = true
for i, ret := range r {
if ret != nil {
if returns[i] != nil {
Expand All @@ -811,16 +818,25 @@ func (mat *MarketActivityTracker) calculateMetricForParty(asset, party string, m
}
case vega.DispatchMetric_DISPATCH_METRIC_MAKER_FEES_PAID:
if t, ok := getFees(marketTracker.epochMakerFeesPaid, party, windowSize); ok {
if t.IsPositive() {
found = true
}
total = total.Add(t)
}
marketTotal = marketTotal.Add(getTotalFees(marketTracker.epochTotalMakerFeesPaid, windowSize))
case vega.DispatchMetric_DISPATCH_METRIC_MAKER_FEES_RECEIVED:
if t, ok := getFees(marketTracker.epochMakerFeesReceived, party, windowSize); ok {
if t.IsPositive() {
found = true
}
total = total.Add(t)
}
marketTotal = marketTotal.Add(getTotalFees(marketTracker.epochTotalMakerFeesReceived, windowSize))
case vega.DispatchMetric_DISPATCH_METRIC_LP_FEES_RECEIVED:
if t, ok := getFees(marketTracker.epochLpFees, party, windowSize); ok {
if t.IsPositive() {
found = true
}
total = total.Add(t)
}
marketTotal = marketTotal.Add(getTotalFees(marketTracker.epochTotalLpFees, windowSize))
Expand All @@ -830,33 +846,33 @@ func (mat *MarketActivityTracker) calculateMetricForParty(asset, party string, m
switch metric {
case vega.DispatchMetric_DISPATCH_METRIC_AVERAGE_POSITION:
// descaling the total tw position metric by dividing by the scaling factor
return num.DecimalFromInt64(int64(uTotal)).Div(num.DecimalFromInt64(int64(windowSize) * scalingFactor))
return num.DecimalFromInt64(int64(uTotal)).Div(num.DecimalFromInt64(int64(windowSize) * scalingFactor)), found
case vega.DispatchMetric_DISPATCH_METRIC_RELATIVE_RETURN, vega.DispatchMetric_DISPATCH_METRIC_REALISED_RETURN:
return total.Div(num.DecimalFromInt64(int64(windowSize)))
return total.Div(num.DecimalFromInt64(int64(windowSize))), found
case vega.DispatchMetric_DISPATCH_METRIC_RETURN_VOLATILITY:
filteredReturns := []num.Decimal{}
for _, d := range returns {
if d != nil {
filteredReturns = append(filteredReturns, *d)
}
}
if len(filteredReturns) == 0 {
return num.DecimalZero()
if len(filteredReturns) < 2 {
return num.DecimalZero(), false
}
variance, _ := num.Variance(filteredReturns)
if !variance.IsZero() {
return num.DecimalOne().Div(variance)
return num.DecimalOne().Div(variance), found
}
return variance
return variance, found
case vega.DispatchMetric_DISPATCH_METRIC_MAKER_FEES_PAID, vega.DispatchMetric_DISPATCH_METRIC_MAKER_FEES_RECEIVED, vega.DispatchMetric_DISPATCH_METRIC_LP_FEES_RECEIVED:
if marketTotal.IsZero() {
return num.DecimalZero()
return num.DecimalZero(), found
}
return total.Div(marketTotal)
return total.Div(marketTotal), found
default:
mat.log.Panic("unexpected metric")
}
return num.DecimalZero()
return num.DecimalZero(), found
}

func (mat *MarketActivityTracker) RecordNotionalTakerVolume(marketID string, party string, volumeToAdd *num.Uint) {
Expand Down Expand Up @@ -1061,6 +1077,12 @@ func (mt *marketTracker) processPositionEndOfEpoch(epochStartTime time.Time, end
mt.epochTimeWeightedPosition = mt.epochTimeWeightedPosition[1:]
}
mt.epochTimeWeightedPosition = append(mt.epochTimeWeightedPosition, m)
for p, twp := range mt.twPosition {
// if the position at the beginning of the epoch is 0 clear it so we don't keep zero positions forever
if twp.currentEpochTWPosition == 0 && twp.position == 0 {
delete(mt.twPosition, p)
}
}
}

// //// return metric //////
Expand All @@ -1072,11 +1094,9 @@ func (mt *marketTracker) recordM2M(party string, amount num.Decimal) {
}
if _, ok := mt.partyM2M[party]; !ok {
mt.partyM2M[party] = amount
mt.partyRealisedReturn[party] = amount
return
}
mt.partyM2M[party] = mt.partyM2M[party].Add(amount)
mt.partyRealisedReturn[party] = mt.partyRealisedReturn[party].Add(amount)
}

func (mt *marketTracker) recordFundingPayment(party string, amount num.Decimal) {
Expand All @@ -1091,7 +1111,7 @@ func (mt *marketTracker) recordFundingPayment(party string, amount num.Decimal)
}

func (mt *marketTracker) recordRealisedPosition(party string, realisedPosition num.Decimal) {
if party == "network" || realisedPosition.IsZero() {
if party == "network" {
return
}
if _, ok := mt.partyRealisedReturn[party]; !ok {
Expand Down
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