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Merge pull request #156 from Synthetixio/yield-tokens
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Add yield token support
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@Tburm
Tburm authored Dec 16, 2024
2 parents 414b7bf + 4a2d4f2 commit 7867924
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Showing 12 changed files with 701 additions and 405 deletions.
209 changes: 77 additions & 132 deletions transformers/synthetix/models/marts/arbitrum/mainnet/core/fct_core_apr_arbitrum_mainnet.sql
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Original file line number Diff line number Diff line change
Expand Up @@ -17,137 +17,68 @@ with pnl_hourly as (
hourly_pnl_pct,
hourly_rewards_pct,
hourly_total_pct,
SUM(
COALESCE(
hourly_issuance,
0
)
) over (
partition by
pool_id,
collateral_type
order by
ts
sum(coalesce(hourly_issuance, 0)) over (
partition by pool_id, collateral_type
order by ts
) as cumulative_issuance,
SUM(
hourly_pnl
) over (
partition by
pool_id,
collateral_type
order by
ts
sum(hourly_pnl) over (
partition by pool_id, collateral_type
order by ts
) as cumulative_pnl
from
{{ ref('fct_pool_pnl_hourly_arbitrum_mainnet') }}
from {{ ref('fct_pool_pnl_hourly_arbitrum_mainnet') }}
),

avg_returns as (
select
ts,
pool_id,
collateral_type,
AVG(
hourly_pnl_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '24 HOURS' preceding
and current row
avg(hourly_pnl_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '24 HOURS' preceding and current row
) as avg_24h_pnl_pct,
AVG(
hourly_pnl_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '7 DAYS' preceding
and current row
avg(hourly_pnl_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '7 DAYS' preceding and current row
) as avg_7d_pnl_pct,
AVG(
hourly_pnl_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '28 DAYS' preceding
and current row
avg(hourly_pnl_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '28 DAYS' preceding and current row
) as avg_28d_pnl_pct,
AVG(
hourly_rewards_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '24 HOURS' preceding
and current row
avg(hourly_rewards_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '24 HOURS' preceding and current row
) as avg_24h_rewards_pct,
AVG(
hourly_rewards_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '7 DAYS' preceding
and current row
avg(hourly_rewards_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '7 DAYS' preceding and current row
) as avg_7d_rewards_pct,
AVG(
hourly_rewards_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '28 DAYS' preceding
and current row
avg(hourly_rewards_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '28 DAYS' preceding and current row
) as avg_28d_rewards_pct,
AVG(
hourly_total_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '24 HOURS' preceding
and current row
avg(hourly_total_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '24 HOURS' preceding and current row
) as avg_24h_total_pct,
AVG(
hourly_total_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '7 DAYS' preceding
and current row
avg(hourly_total_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '7 DAYS' preceding and current row
) as avg_7d_total_pct,
AVG(
hourly_total_pct
) over (
partition by
pool_id,
collateral_type
order by
ts
range between interval '28 DAYS' preceding
and current row
avg(hourly_total_pct) over (
partition by pool_id, collateral_type
order by ts
range between interval '28 DAYS' preceding and current row
) as avg_28d_total_pct
from
pnl_hourly
from pnl_hourly
),

apr_calculations as (
Expand Down Expand Up @@ -175,30 +106,40 @@ apr_calculations as (
-- rewards pnls
avg_returns.avg_24h_rewards_pct * 24 * 365 as apr_24h_rewards,
avg_returns.avg_7d_rewards_pct * 24 * 365 as apr_7d_rewards,
avg_returns.avg_28d_rewards_pct * 24 * 365 as apr_28d_rewards
from
pnl_hourly
avg_returns.avg_28d_rewards_pct * 24 * 365 as apr_28d_rewards,
-- underlying yields
coalesce(yr.apr_24h_underlying, 0) as apr_24h_underlying,
coalesce(yr.apr_7d_underlying, 0) as apr_7d_underlying,
coalesce(yr.apr_28d_underlying, 0) as apr_28d_underlying
from pnl_hourly
inner join avg_returns
on
pnl_hourly.ts = avg_returns.ts
and pnl_hourly.pool_id = avg_returns.pool_id
and pnl_hourly.collateral_type = avg_returns.collateral_type
left join {{ ref('fct_token_yields_arbitrum_mainnet') }} as yr
on
pnl_hourly.ts = yr.ts
and pnl_hourly.pool_id = yr.pool_id
and pnl_hourly.collateral_type = yr.collateral_type
),

apy_calculations as (
select
*,
(POWER(1 + apr_24h / 8760, 8760) - 1) as apy_24h,
(POWER(1 + apr_7d / 8760, 8760) - 1) as apy_7d,
(POWER(1 + apr_28d / 8760, 8760) - 1) as apy_28d,
(POWER(1 + apr_24h_pnl / 8760, 8760) - 1) as apy_24h_pnl,
(POWER(1 + apr_7d_pnl / 8760, 8760) - 1) as apy_7d_pnl,
(POWER(1 + apr_28d_pnl / 8760, 8760) - 1) as apy_28d_pnl,
(POWER(1 + apr_24h_rewards / 8760, 8760) - 1) as apy_24h_rewards,
(POWER(1 + apr_7d_rewards / 8760, 8760) - 1) as apy_7d_rewards,
(POWER(1 + apr_28d_rewards / 8760, 8760) - 1) as apy_28d_rewards
from
apr_calculations
(power(1 + apr_24h / 8760, 8760) - 1) as apy_24h,
(power(1 + apr_7d / 8760, 8760) - 1) as apy_7d,
(power(1 + apr_28d / 8760, 8760) - 1) as apy_28d,
(power(1 + apr_24h_pnl / 8760, 8760) - 1) as apy_24h_pnl,
(power(1 + apr_7d_pnl / 8760, 8760) - 1) as apy_7d_pnl,
(power(1 + apr_28d_pnl / 8760, 8760) - 1) as apy_28d_pnl,
(power(1 + apr_24h_rewards / 8760, 8760) - 1) as apy_24h_rewards,
(power(1 + apr_7d_rewards / 8760, 8760) - 1) as apy_7d_rewards,
(power(1 + apr_28d_rewards / 8760, 8760) - 1) as apy_28d_rewards,
(power(1 + apr_24h_underlying / 8760, 8760) - 1) as apy_24h_underlying,
(power(1 + apr_7d_underlying / 8760, 8760) - 1) as apy_7d_underlying,
(power(1 + apr_28d_underlying / 8760, 8760) - 1) as apy_28d_underlying
from apr_calculations
)

select
Expand Down Expand Up @@ -231,8 +172,12 @@ select
apr_7d_rewards,
apy_7d_rewards,
apr_28d_rewards,
apy_28d_rewards
from
apy_calculations
order by
ts
apy_28d_rewards,
apr_24h_underlying,
apy_24h_underlying,
apr_7d_underlying,
apy_7d_underlying,
apr_28d_underlying,
apy_28d_underlying
from apy_calculations
order by ts
84 changes: 84 additions & 0 deletions ...ormers/synthetix/models/marts/arbitrum/mainnet/core/fct_token_yields_arbitrum_mainnet.sql
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Original file line number Diff line number Diff line change
@@ -0,0 +1,84 @@
with dim as (
select distinct
p.ts,
p.pool_id,
p.collateral_type,
t.token_symbol,
t.yield_token_symbol
from
{{ ref('fct_pool_pnl_hourly_arbitrum_mainnet') }}
as p
inner join
{{ ref('arbitrum_mainnet_tokens') }}
as t
on lower(p.collateral_type) = lower(t.token_address)
where
t.yield_token_symbol is not null
),

token_prices as (
select
dim.ts,
dim.pool_id,
dim.collateral_type,
dim.token_symbol,
dim.yield_token_symbol,
tp.price as token_price,
yp.price as yield_token_price,
tp.price / yp.price as exchange_rate
from
dim
inner join {{ ref('fct_prices_hourly_arbitrum_mainnet') }} as tp
on
dim.token_symbol = tp.market_symbol
and dim.ts = tp.ts
inner join {{ ref('fct_prices_hourly_arbitrum_mainnet') }} as yp
on
dim.yield_token_symbol = yp.market_symbol
and dim.ts = yp.ts
),

rate_changes as (
select
ts,
pool_id,
collateral_type,
exchange_rate,
exchange_rate / lag(exchange_rate) over (
partition by token_symbol, yield_token_symbol
order by
ts
) - 1 as hourly_exchange_rate_pnl
from
token_prices
)

select
ts,
pool_id,
collateral_type,
exchange_rate,
hourly_exchange_rate_pnl,
avg(hourly_exchange_rate_pnl) over (
partition by collateral_type
order by
ts
range between interval '24 HOURS' preceding
and current row
) * 24 * 365 as apr_24h_underlying,
avg(hourly_exchange_rate_pnl) over (
partition by collateral_type
order by
ts
range between interval '7 DAYS' preceding
and current row
) * 24 * 365 as apr_7d_underlying,
avg(hourly_exchange_rate_pnl) over (
partition by collateral_type
order by
ts
range between interval '28 DAYS' preceding
and current row
) * 24 * 365 as apr_28d_underlying
from
rate_changes
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