From c2b7d6e9cbd28dc8c88966164e4ced0743f67b33 Mon Sep 17 00:00:00 2001
From: sebastienverreault <sebver@hotmail.com>
Date: Fri, 6 May 2022 17:52:21 +0900
Subject: [PATCH] Fix: annualized funding yield (#95)

* fix: annualize funding yield
* chore: add supplemental annualized funding yield
* chore: use annualized funding yield in exporter
Co-authored-by: Sebastien Verreault <sebver@pm.me>
---
 dealer/src/Dealer.ts                          |  4 ++--
 .../repositories/FundingRatesRepository.ts    | 22 +++++++++++++++++++
 .../sql/funding_rates/get_funding_yield.sql   |  4 ++--
 dealer/src/servers/exporter/exporter.ts       |  2 +-
 4 files changed, 27 insertions(+), 5 deletions(-)

diff --git a/dealer/src/Dealer.ts b/dealer/src/Dealer.ts
index dc275e90..61959244 100644
--- a/dealer/src/Dealer.ts
+++ b/dealer/src/Dealer.ts
@@ -542,7 +542,7 @@ export class Dealer {
     return result.value
   }
 
-  public async getFundingYieldMetrics(): Promise<FundingYieldMetrics> {
+  public async getAnnualFundingYieldMetrics(): Promise<FundingYieldMetrics> {
     const ret: FundingYieldMetrics = {
       fundingYield1d: NaN,
       fundingYield1W: NaN,
@@ -572,7 +572,7 @@ export class Dealer {
       { tenor: "5Y", numberOfDays: 5 * 365 },
     ]
     for (const tenor of tenors) {
-      const result = await database.fundingRates.getFundingYield(
+      const result = await database.fundingRates.getAnnualFundingYield(
         ExchangeNames.Okex,
         tenor.numberOfDays,
       )
diff --git a/dealer/src/database/repositories/FundingRatesRepository.ts b/dealer/src/database/repositories/FundingRatesRepository.ts
index 0a8e0716..fa55fbc5 100644
--- a/dealer/src/database/repositories/FundingRatesRepository.ts
+++ b/dealer/src/database/repositories/FundingRatesRepository.ts
@@ -69,6 +69,28 @@ export class FundingRatesRepository {
     }
   }
 
+  public async getAnnualFundingYield(
+    exchangeName: ExchangeNames,
+    numberOfDays: number,
+  ): Promise<Result<number>> {
+    try {
+      const annualFundingYield = await this.db.one(
+        sql.get_funding_yield,
+        { exchangeName, numberOfDays },
+        (a: { annualFundingYield: number }) => a && a.annualFundingYield,
+      )
+      this.logger.info(
+        { annualFundingYield },
+        "getAnnualFundingYield() returned: {result}.",
+      )
+
+      return { ok: true, value: annualFundingYield }
+    } catch (error) {
+      this.logger.error({ error }, "Error: getAnnualFundingYield() failed.")
+      return { ok: false, error: error }
+    }
+  }
+
   public async getLastFundingTime(): Promise<Result<number | null>> {
     try {
       const fundingTime = await this.db.oneOrNone(
diff --git a/dealer/src/database/sql/funding_rates/get_funding_yield.sql b/dealer/src/database/sql/funding_rates/get_funding_yield.sql
index 297e4ecb..96ac45e1 100644
--- a/dealer/src/database/sql/funding_rates/get_funding_yield.sql
+++ b/dealer/src/database/sql/funding_rates/get_funding_yield.sql
@@ -1,7 +1,7 @@
 SELECT 
-    ROUND(COALESCE(dealer.mul( COALESCE(1 + funding_rate, 1) ) - 1, 0), 15) as  funding_yield
+    ROUND(COALESCE(dealer.mul( COALESCE(1 + funding_rate, 1) ) - 1, 0), 15) as  funding_yield,
+    ((1. + ROUND(COALESCE(dealer.mul( COALESCE(1 + funding_rate, 1) ) - 1, 0), 15))^(365.25 / COALESCE(NULLIF(${numberOfDays}, 0), 0.0000001))) - 1. as annual_funding_yield
 FROM dealer.funding_rates 
 WHERE funding_rate IS NOT NULL
 AND exchange_id = (SELECT id FROM dealer.exchanges where exchange_name = lower(${exchangeName}))
 AND timestamp >= current_timestamp - make_interval(days => ${numberOfDays});
-
diff --git a/dealer/src/servers/exporter/exporter.ts b/dealer/src/servers/exporter/exporter.ts
index 3925d8b0..4c2cf3a3 100644
--- a/dealer/src/servers/exporter/exporter.ts
+++ b/dealer/src/servers/exporter/exporter.ts
@@ -640,7 +640,7 @@ export async function exporter() {
           )
 
           // Funding Yields
-          const fundingYieldMetrics = await dealer.getFundingYieldMetrics()
+          const fundingYieldMetrics = await dealer.getAnnualFundingYieldMetrics()
           Metrics.set(metrics["fundingYield1d"], fundingYieldMetrics.fundingYield1d)
           Metrics.set(metrics["fundingYield1W"], fundingYieldMetrics.fundingYield1W)
           Metrics.set(metrics["fundingYield2W"], fundingYieldMetrics.fundingYield2W)