scripts/profitability.py

#   -*- coding: utf-8 -*-
#   ------------------------------------------------------------------------------
#
#     Copyright 2023 Valory AG
#
#     Licensed under the Apache License, Version 2.0 (the "License");
#     you may not use this file except in compliance with the License.
#     You may obtain a copy of the License at
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#         http://www.apache.org/licenses/LICENSE-2.0
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#     distributed under the License is distributed on an "AS IS" BASIS,
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import time
import datetime
import pandas as pd
from typing import Any
from enum import Enum
from tqdm import tqdm
import numpy as np
import os
from web3_utils import query_conditional_tokens_gc_subgraph
from get_mech_info import (
    DATETIME_60_DAYS_AGO,
    update_fpmmTrades_parquet,
    update_tools_parquet,
    update_all_trades_parquet,
)
from utils import wei_to_unit, convert_hex_to_int, JSON_DATA_DIR, DATA_DIR, TMP_DIR
from staking import label_trades_by_staking

DUST_THRESHOLD = 10000000000000
INVALID_ANSWER = -1
DEFAULT_FROM_DATE = "1970-01-01T00:00:00"
DEFAULT_TO_DATE = "2038-01-19T03:14:07"

DEFAULT_60_DAYS_AGO_TIMESTAMP = (DATETIME_60_DAYS_AGO).timestamp()

WXDAI_CONTRACT_ADDRESS = "0xe91D153E0b41518A2Ce8Dd3D7944Fa863463a97d"
DEFAULT_MECH_FEE = 0.01
DUST_THRESHOLD = 10000000000000


class MarketState(Enum):
    """Market state"""

    OPEN = 1
    PENDING = 2
    FINALIZING = 3
    ARBITRATING = 4
    CLOSED = 5

    def __str__(self) -> str:
        """Prints the market status."""
        return self.name.capitalize()


class MarketAttribute(Enum):
    """Attribute"""

    NUM_TRADES = "Num_trades"
    WINNER_TRADES = "Winner_trades"
    NUM_REDEEMED = "Num_redeemed"
    INVESTMENT = "Investment"
    FEES = "Fees"
    MECH_CALLS = "Mech_calls"
    MECH_FEES = "Mech_fees"
    EARNINGS = "Earnings"
    NET_EARNINGS = "Net_earnings"
    REDEMPTIONS = "Redemptions"
    ROI = "ROI"

    def __str__(self) -> str:
        """Prints the attribute."""
        return self.value

    def __repr__(self) -> str:
        """Prints the attribute representation."""
        return self.name

    @staticmethod
    def argparse(s: str) -> "MarketAttribute":
        """Performs string conversion to MarketAttribute."""
        try:
            return MarketAttribute[s.upper()]
        except KeyError as e:
            raise ValueError(f"Invalid MarketAttribute: {s}") from e


ALL_TRADES_STATS_DF_COLS = [
    "trader_address",
    "market_creator",
    "trade_id",
    "creation_timestamp",
    "title",
    "market_status",
    "collateral_amount",
    "outcome_index",
    "trade_fee_amount",
    "outcomes_tokens_traded",
    "current_answer",
    "is_invalid",
    "winning_trade",
    "earnings",
    "redeemed",
    "redeemed_amount",
    "num_mech_calls",
    "mech_fee_amount",
    "net_earnings",
    "roi",
]

SUMMARY_STATS_DF_COLS = [
    "trader_address",
    "num_trades",
    "num_winning_trades",
    "num_redeemed",
    "total_investment",
    "total_trade_fees",
    "num_mech_calls",
    "total_mech_fees",
    "total_earnings",
    "total_redeemed_amount",
    "total_net_earnings",
    "total_net_earnings_wo_mech_fees",
    "total_roi",
    "total_roi_wo_mech_fees",
    "mean_mech_calls_per_trade",
    "mean_mech_fee_amount_per_trade",
]


def _is_redeemed(user_json: dict[str, Any], fpmmTrade: dict[str, Any]) -> bool:
    """Returns whether the user has redeemed the position."""
    user_positions = user_json["data"]["user"]["userPositions"]
    condition_id = fpmmTrade["fpmm.condition.id"]
    for position in user_positions:
        position_condition_ids = position["position"]["conditionIds"]
        balance = int(position["balance"])

        if condition_id in position_condition_ids:
            if balance == 0:
                return True
            # return early
            return False
    return False


def prepare_profitalibity_data(
    rpc: str,
    tools_filename: str,
    trades_filename: str,
) -> pd.DataFrame:
    """Prepare data for profitalibity analysis."""

    # Check if tools.parquet is in the same directory
    try:
        tools = pd.read_parquet(DATA_DIR / tools_filename)

        # make sure creator_address is in the columns
        assert "trader_address" in tools.columns, "trader_address column not found"

        # lowercase and strip creator_address
        tools["trader_address"] = tools["trader_address"].str.lower().str.strip()

        tools.drop_duplicates(
            subset=["request_id", "request_block"], keep="last", inplace=True
        )
        tools.to_parquet(DATA_DIR / tools_filename)
        print(f"{tools_filename} loaded")
    except FileNotFoundError:
        print("tools.parquet not found. Please run tools.py first.")
        return

    # Check if fpmmTrades.parquet is in the same directory
    print("Reading the trades file")
    try:
        fpmmTrades = pd.read_parquet(DATA_DIR / trades_filename)
    except FileNotFoundError:
        print(f"Error reading {trades_filename} file .")

    # make sure trader_address is in the columns
    assert "trader_address" in fpmmTrades.columns, "trader_address column not found"

    # lowercase and strip creator_address
    fpmmTrades["trader_address"] = fpmmTrades["trader_address"].str.lower().str.strip()

    return fpmmTrades


def determine_market_status(trade, current_answer):
    """Determine the market status of a trade."""
    if (current_answer is np.nan or current_answer is None) and time.time() >= int(
        trade["fpmm.openingTimestamp"]
    ):
        return MarketState.PENDING
    elif current_answer is np.nan or current_answer is None:
        return MarketState.OPEN
    elif trade["fpmm.isPendingArbitration"]:
        return MarketState.ARBITRATING
    elif time.time() < int(trade["fpmm.answerFinalizedTimestamp"]):
        return MarketState.FINALIZING
    return MarketState.CLOSED


def analyse_trader(
    trader_address: str,
    fpmmTrades: pd.DataFrame,
    tools: pd.DataFrame,
    daily_info: bool = False,
) -> pd.DataFrame:
    """Analyse a trader's trades"""
    # Filter trades and tools for the given trader
    trades = fpmmTrades[fpmmTrades["trader_address"] == trader_address]
    tools_usage = tools[tools["trader_address"] == trader_address]

    # Prepare the DataFrame
    trades_df = pd.DataFrame(columns=ALL_TRADES_STATS_DF_COLS)
    if trades.empty:
        return trades_df

    # Fetch user's conditional tokens gc graph
    try:
        user_json = query_conditional_tokens_gc_subgraph(trader_address)
    except Exception as e:
        print(f"Error fetching user data: {e}")
        return trades_df

    # Iterate over the trades
    for i, trade in tqdm(trades.iterrows(), total=len(trades), desc="Analysing trades"):
        try:
            market_answer = trade["fpmm.currentAnswer"]
            if not daily_info and not market_answer:
                print(f"Skipping trade {i} because currentAnswer is NaN")
                continue
            # Parsing and computing shared values

            creation_timestamp_utc = datetime.datetime.fromtimestamp(
                int(trade["creationTimestamp"]), tz=datetime.timezone.utc
            )
            collateral_amount = wei_to_unit(float(trade["collateralAmount"]))
            fee_amount = wei_to_unit(float(trade["feeAmount"]))
            outcome_tokens_traded = wei_to_unit(float(trade["outcomeTokensTraded"]))
            earnings, winner_trade = (0, False)
            redemption = _is_redeemed(user_json, trade)
            current_answer = market_answer if market_answer else None
            market_creator = trade["market_creator"]

            # Determine market status
            market_status = determine_market_status(trade, current_answer)

            # Skip non-closed markets
            if not daily_info and market_status != MarketState.CLOSED:
                print(
                    f"Skipping trade {i} because market is not closed. Market Status: {market_status}"
                )
                continue
            if current_answer is not None:
                current_answer = convert_hex_to_int(current_answer)

            # Compute invalidity
            is_invalid = current_answer == INVALID_ANSWER

            # Compute earnings and winner trade status
            if current_answer is None:
                earnings = 0.0
                winner_trade = None
            elif is_invalid:
                earnings = collateral_amount
                winner_trade = False
            elif int(trade["outcomeIndex"]) == current_answer:
                earnings = outcome_tokens_traded
                winner_trade = True

            # Compute mech calls
            if len(tools_usage) == 0:
                print("No tools usage information")
                num_mech_calls = 0
            else:
                try:
                    num_mech_calls = (
                        tools_usage["prompt_request"]
                        .apply(lambda x: trade["title"] in x)
                        .sum()
                    )
                except Exception:
                    print(f"Error while getting the number of mech calls")
                    num_mech_calls = 2  # Average value

            net_earnings = (
                earnings
                - fee_amount
                - (num_mech_calls * DEFAULT_MECH_FEE)
                - collateral_amount
            )

            # Assign values to DataFrame
            trades_df.loc[i] = {
                "trader_address": trader_address,
                "market_creator": market_creator,
                "trade_id": trade["id"],
                "market_status": market_status.name,
                "creation_timestamp": creation_timestamp_utc,
                "title": trade["title"],
                "collateral_amount": collateral_amount,
                "outcome_index": trade["outcomeIndex"],
                "trade_fee_amount": fee_amount,
                "outcomes_tokens_traded": outcome_tokens_traded,
                "current_answer": current_answer,
                "is_invalid": is_invalid,
                "winning_trade": winner_trade,
                "earnings": earnings,
                "redeemed": redemption,
                "redeemed_amount": earnings if redemption else 0,
                "num_mech_calls": num_mech_calls,
                "mech_fee_amount": num_mech_calls * DEFAULT_MECH_FEE,
                "net_earnings": net_earnings,
                "roi": net_earnings
                / (collateral_amount + fee_amount + num_mech_calls * DEFAULT_MECH_FEE),
            }

        except Exception as e:
            print(f"Error processing trade {i}: {e}")
            print(trade)
            continue

    return trades_df


def analyse_all_traders(
    trades: pd.DataFrame, tools: pd.DataFrame, daily_info: bool = False
) -> pd.DataFrame:
    """Analyse all creators."""
    all_traders = []
    for trader in tqdm(
        trades["trader_address"].unique(),
        total=len(trades["trader_address"].unique()),
        desc="Analysing creators",
    ):
        all_traders.append(analyse_trader(trader, trades, tools, daily_info))

    # concat all creators
    all_creators_df = pd.concat(all_traders)

    return all_creators_df


def summary_analyse(df):
    """Summarise profitability analysis."""
    # Ensure DataFrame is not empty
    if df.empty:
        return pd.DataFrame(columns=SUMMARY_STATS_DF_COLS)

    # Group by trader_address
    grouped = df.groupby("trader_address")

    # Create summary DataFrame
    summary_df = grouped.agg(
        num_trades=("trader_address", "size"),
        num_winning_trades=("winning_trade", lambda x: float((x).sum())),
        num_redeemed=("redeemed", lambda x: float(x.sum())),
        total_investment=("collateral_amount", "sum"),
        total_trade_fees=("trade_fee_amount", "sum"),
        num_mech_calls=("num_mech_calls", "sum"),
        total_mech_fees=("mech_fee_amount", "sum"),
        total_earnings=("earnings", "sum"),
        total_redeemed_amount=("redeemed_amount", "sum"),
        total_net_earnings=("net_earnings", "sum"),
    )

    # Calculating additional columns
    summary_df["total_roi"] = (
        summary_df["total_net_earnings"] / summary_df["total_investment"]
    )
    summary_df["mean_mech_calls_per_trade"] = (
        summary_df["num_mech_calls"] / summary_df["num_trades"]
    )
    summary_df["mean_mech_fee_amount_per_trade"] = (
        summary_df["total_mech_fees"] / summary_df["num_trades"]
    )
    summary_df["total_net_earnings_wo_mech_fees"] = (
        summary_df["total_net_earnings"] + summary_df["total_mech_fees"]
    )
    summary_df["total_roi_wo_mech_fees"] = (
        summary_df["total_net_earnings_wo_mech_fees"] / summary_df["total_investment"]
    )

    # Resetting index to include trader_address
    summary_df.reset_index(inplace=True)

    return summary_df


def run_profitability_analysis(
    rpc: str,
    tools_filename: str,
    trades_filename: str,
    merge: bool = False,
):
    """Create all trades analysis."""

    # load dfs from data folder for analysis
    print(f"Preparing data with {tools_filename} and {trades_filename}")
    fpmmTrades = prepare_profitalibity_data(rpc, tools_filename, trades_filename)
    if merge:
        update_tools_parquet(rpc, tools_filename)
    tools = pd.read_parquet(DATA_DIR / "tools.parquet")

    print("Analysing trades...")
    all_trades_df = analyse_all_traders(fpmmTrades, tools)

    # # merge previous files if requested
    if merge:
        update_fpmmTrades_parquet(trades_filename)
        all_trades_df = update_all_trades_parquet(all_trades_df)

    # debugging purposes
    all_trades_df.to_parquet(JSON_DATA_DIR / "all_trades_df.parquet", index=False)

    # filter trades coming from non-Olas traders that are placing no mech calls
    no_mech_calls_mask = (all_trades_df["staking"] == "non_Olas") & (
        all_trades_df.loc["num_mech_calls"] == 0
    )
    no_mech_calls_df = all_trades_df.loc[no_mech_calls_mask]
    no_mech_calls_df.to_parquet(TMP_DIR / "no_mech_calls_trades.parquet", index=False)
    all_trades_df = all_trades_df.loc[~no_mech_calls_mask]

    # filter invalid markets. Condition: "is_invalid" is True
    invalid_trades = all_trades_df.loc[all_trades_df["is_invalid"] == True]
    if len(invalid_trades) == 0:
        print("No new invalid trades")
    else:
        if merge:
            try:
                print("Merging invalid trades parquet file")
                old_invalid_trades = pd.read_parquet(
                    DATA_DIR / "invalid_trades.parquet"
                )
                merge_df = pd.concat(
                    [old_invalid_trades, invalid_trades], ignore_index=True
                )
                invalid_trades = merge_df.drop_duplicates()
            except Exception as e:
                print(f"Error updating the invalid trades parquet {e}")
        invalid_trades.to_parquet(DATA_DIR / "invalid_trades.parquet", index=False)

    all_trades_df = all_trades_df.loc[all_trades_df["is_invalid"] == False]

    # summarize profitability df
    print("Summarising trades...")
    summary_df = summary_analyse(all_trades_df)

    # add staking labels
    label_trades_by_staking(trades_df=all_trades_df)

    # save to parquet
    all_trades_df.to_parquet(DATA_DIR / "all_trades_profitability.parquet", index=False)
    summary_df.to_parquet(DATA_DIR / "summary_profitability.parquet", index=False)

    print("Done!")

    return all_trades_df, summary_df


if __name__ == "__main__":
    rpc = "https://lb.nodies.app/v1/406d8dcc043f4cb3959ed7d6673d311a"
    if os.path.exists(DATA_DIR / "fpmmTrades.parquet"):
        os.remove(DATA_DIR / "fpmmTrades.parquet")
    run_profitability_analysis(rpc)