Skip to content

Add hourly_twap_data table for time-weighted average pricing #13

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Open
wants to merge 2 commits into
base: main
Choose a base branch
from
Open

Add hourly_twap_data table for time-weighted average pricing #13

Changes from all commits
Commits
Show all changes
2 commits
Select commit Hold shift + click to select a range
507ab5e
Add hourly_twap_data table for time-weighted average pricing
mentatbot[bot] Jun 1, 2025
2cd6cbb
Improve TWAP calculation with liquidity weighting
mentatbot[bot] Jun 1, 2025
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
125 changes: 125 additions & 0 deletions src/dao.ts
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -293,6 +293,19 @@ export class DAO {
PRIMARY KEY (token0, token1, hour)
);

CREATE TABLE IF NOT EXISTS hourly_twap_data
(
token0 NUMERIC,
token1 NUMERIC,
hour timestamptz,
liquidity_weighted_tick NUMERIC,
total_liquidity_seconds NUMERIC,
total_time_seconds NUMERIC,
swap_count NUMERIC,
pool_count NUMERIC,
PRIMARY KEY (token0, token1, hour)
);


CREATE TABLE IF NOT EXISTS hourly_tvl_delta_by_token
(
Expand Down Expand Up @@ -985,6 +998,118 @@ export class DAO {
values: [since],
});

await this.pg.query({
text: `
INSERT INTO hourly_twap_data
(WITH swap_times AS (
SELECT s.pool_key_hash,
pk.token0,
pk.token1,
date_bin(INTERVAL '1 hour', b.time, '2000-01-01 00:00:00'::TIMESTAMP WITHOUT TIME ZONE) AS hour,
b.time,
s.tick_after,
s.liquidity_after,
LAG(b.time) OVER (PARTITION BY s.pool_key_hash,
date_bin(INTERVAL '1 hour', b.time, '2000-01-01 00:00:00'::TIMESTAMP WITHOUT TIME ZONE)
ORDER BY b.time) AS prev_time,
LAG(s.tick_after) OVER (PARTITION BY s.pool_key_hash,
date_bin(INTERVAL '1 hour', b.time, '2000-01-01 00:00:00'::TIMESTAMP WITHOUT TIME ZONE)
ORDER BY b.time) AS prev_tick,
LAG(s.liquidity_after) OVER (PARTITION BY s.pool_key_hash,
date_bin(INTERVAL '1 hour', b.time, '2000-01-01 00:00:00'::TIMESTAMP WITHOUT TIME ZONE)
ORDER BY b.time) AS prev_liquidity
FROM swaps s
JOIN event_keys ek ON s.event_id = ek.id
JOIN blocks b ON ek.block_number = b.number
JOIN pool_keys pk ON s.pool_key_hash = pk.key_hash
WHERE DATE_TRUNC('hour', b.time) >= DATE_TRUNC('hour', $1::timestamptz)
AND delta0 != 0
AND delta1 != 0
),
tick_liquidity_durations AS (
SELECT pool_key_hash,
token0,
token1,
hour,
tick_after,
liquidity_after,
CASE
WHEN prev_time IS NULL THEN
EXTRACT(EPOCH FROM (time - hour))
ELSE
EXTRACT(EPOCH FROM (time - prev_time))
END AS duration_seconds,
CASE
WHEN prev_tick IS NULL THEN tick_after
ELSE prev_tick
END AS effective_tick,
CASE
WHEN prev_liquidity IS NULL THEN liquidity_after
ELSE prev_liquidity
END AS effective_liquidity
FROM swap_times
UNION ALL
SELECT pool_key_hash,
token0,
token1,
hour,
tick_after,
liquidity_after,
EXTRACT(EPOCH FROM ((hour + INTERVAL '1 hour') - time)) AS duration_seconds,
tick_after AS effective_tick,
liquidity_after AS effective_liquidity
FROM (
SELECT DISTINCT ON (pool_key_hash, hour)
pool_key_hash, token0, token1, hour, time, tick_after, liquidity_after
FROM swap_times
ORDER BY pool_key_hash, hour, time DESC
) last_swaps
),
pool_twaps AS (
SELECT pool_key_hash,
token0,
token1,
hour,
SUM(effective_tick * duration_seconds * effective_liquidity) AS tick_liquidity_seconds,
SUM(duration_seconds * effective_liquidity) AS liquidity_seconds,
SUM(duration_seconds) AS total_time_seconds,
COUNT(*) / 2 AS swap_count
FROM tick_liquidity_durations
WHERE duration_seconds > 0 AND effective_liquidity > 0
GROUP BY pool_key_hash, token0, token1, hour
),
aggregated_twaps AS (
SELECT token0,
token1,
hour,
SUM(tick_liquidity_seconds) / NULLIF(SUM(liquidity_seconds), 0) AS liquidity_weighted_tick,
SUM(liquidity_seconds) AS total_liquidity_seconds,
SUM(total_time_seconds) AS total_time_seconds,
SUM(swap_count) AS swap_count,
COUNT(DISTINCT pool_key_hash) AS pool_count
FROM pool_twaps
GROUP BY token0, token1, hour
)
SELECT token0,
token1,
hour,
liquidity_weighted_tick,
total_liquidity_seconds,
total_time_seconds,
swap_count,
pool_count
FROM aggregated_twaps
WHERE liquidity_weighted_tick IS NOT NULL)
ON CONFLICT (token0, token1, hour)
DO UPDATE SET liquidity_weighted_tick = excluded.liquidity_weighted_tick,
total_liquidity_seconds = excluded.total_liquidity_seconds,
total_time_seconds = excluded.total_time_seconds,
swap_count = excluded.swap_count,
pool_count = excluded.pool_count;
`,
values: [since],
});

await this.pg.query({
text: `
INSERT INTO hourly_tvl_delta_by_token
Expand Down