add erc4626 token pricing to balancer.trades (#7301)

* add erc4626 token pricing to balancer.trades * fix copypasta * add missing comma * remove extra comma * remove extra comma * fix erc4626_token_prices * fix group by * fix wrong reference
duneanalytics · Dec 12, 2024 · ddb63e1 · ddb63e1
1 parent fbbdd8c
commit ddb63e1
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Showing 3 changed files with 49 additions and 6 deletions.
diff --git a/...subprojects/dex/models/_projects/balancer/trades/ethereum/balancer_v3_ethereum_trades.sql b/...subprojects/dex/models/_projects/balancer/trades/ethereum/balancer_v3_ethereum_trades.sql
@@ -91,6 +91,18 @@ WITH
                 AND bpt_prices.day <= DATE_TRUNC('day', dexs.block_time)
                 AND bpt_prices.blockchain = 'ethereum'
         GROUP BY 1, 2, 3, 4, 5
+    ),
+
+    erc4626_prices AS(
+        SELECT
+            minute,
+            wrapped_token,
+            decimals,
+            APPROX_PERCENTILE(median_price, 0.5) AS price,
+            LEAD(minute, 1, NOW()) OVER (PARTITION BY wrapped_token ORDER BY minute) AS time_of_next_change
+        FROM {{ source('balancer_v3', 'erc4626_token_prices') }}
+        WHERE blockchain = 'ethereum'
+        GROUP BY 1, 2, 3
     )
 
 SELECT
@@ -110,8 +122,8 @@ SELECT
     dexs.token_sold_amount_raw,
     COALESCE(
         dexs.amount_usd,
-        dexs.token_bought_amount_raw / POWER(10, COALESCE(erc20a.decimals, 18)) * bpa_bpt_prices.bpt_price,
-        dexs.token_sold_amount_raw / POWER(10, COALESCE(erc20b.decimals, 18))  * bpb_bpt_prices.bpt_price
+        dexs.token_bought_amount_raw / POWER(10, COALESCE(erc20a.decimals, erc4626a.decimals, 18)) * COALESCE(bpa_bpt_prices.bpt_price, erc4626a.price),
+        dexs.token_sold_amount_raw / POWER(10, COALESCE(erc20b.decimals, erc4626b.decimals, 18))  * COALESCE(bpb_bpt_prices.bpt_price, erc4626b.price)
     ) AS amount_usd,
     dexs.token_bought_address,
     dexs.token_sold_address,
@@ -148,4 +160,12 @@ FROM dexs
     LEFT JOIN {{ source('balancer', 'bpt_prices') }} bpb_bpt_prices
         ON bpb_bpt_prices.contract_address = bpb.contract_address
         AND bpb_bpt_prices.day = bpb.bpb_max_block_date
-        AND bpb_bpt_prices.blockchain = 'ethereum'
+        AND bpb_bpt_prices.blockchain = 'ethereum'
+    LEFT JOIN erc4626_prices erc4626a
+        ON erc4626a.wrapped_token = dexs.token_bought_address
+        AND erc4626a.minute <= dexs.block_time
+        AND dexs.block_time < erc4626a.time_of_next_change
+    LEFT JOIN erc4626_prices erc4626b
+        ON erc4626b.wrapped_token = dexs.token_sold_address
+        AND erc4626b.minute <= dexs.block_time
+        AND dexs.block_time < erc4626b.time_of_next_change   
diff --git a/dbt_subprojects/dex/models/_projects/balancer/trades/gnosis/balancer_v3_gnosis_trades.sql b/dbt_subprojects/dex/models/_projects/balancer/trades/gnosis/balancer_v3_gnosis_trades.sql
@@ -91,6 +91,18 @@ WITH
                 AND bpt_prices.day <= DATE_TRUNC('day', dexs.block_time)
                 AND bpt_prices.blockchain = 'gnosis'
         GROUP BY 1, 2, 3, 4, 5
+    ),
+
+    erc4626_prices AS(
+        SELECT
+            minute,
+            wrapped_token,
+            decimals,
+            APPROX_PERCENTILE(median_price, 0.5) AS price,
+            LEAD(minute, 1, NOW()) OVER (PARTITION BY wrapped_token ORDER BY minute) AS time_of_next_change
+        FROM {{ source('balancer_v3', 'erc4626_token_prices') }}
+        WHERE blockchain = 'gnosis'
+        GROUP BY 1, 2, 3
     )
 
 SELECT
@@ -110,8 +122,8 @@ SELECT
     dexs.token_sold_amount_raw,
     COALESCE(
         dexs.amount_usd,
-        dexs.token_bought_amount_raw / POWER(10, COALESCE(erc20a.decimals, 18)) * bpa_bpt_prices.bpt_price,
-        dexs.token_sold_amount_raw / POWER(10, COALESCE(erc20b.decimals, 18))  * bpb_bpt_prices.bpt_price
+        dexs.token_bought_amount_raw / POWER(10, COALESCE(erc20a.decimals, erc4626a.decimals, 18)) * COALESCE(bpa_bpt_prices.bpt_price, erc4626a.price),
+        dexs.token_sold_amount_raw / POWER(10, COALESCE(erc20b.decimals, erc4626b.decimals, 18))  * COALESCE(bpb_bpt_prices.bpt_price, erc4626b.price)
     ) AS amount_usd,
     dexs.token_bought_address,
     dexs.token_sold_address,
@@ -148,4 +160,12 @@ FROM dexs
     LEFT JOIN {{ source('balancer', 'bpt_prices') }} bpb_bpt_prices
         ON bpb_bpt_prices.contract_address = bpb.contract_address
         AND bpb_bpt_prices.day = bpb.bpb_max_block_date
-        AND bpb_bpt_prices.blockchain = 'gnosis'
+        AND bpb_bpt_prices.blockchain = 'gnosis'
+    LEFT JOIN erc4626_prices erc4626a
+        ON erc4626a.wrapped_token = dexs.token_bought_address
+        AND erc4626a.minute <= dexs.block_time
+        AND dexs.block_time < erc4626a.time_of_next_change
+    LEFT JOIN erc4626_prices erc4626b
+        ON erc4626b.wrapped_token = dexs.token_sold_address
+        AND erc4626b.minute <= dexs.block_time
+        AND dexs.block_time < erc4626b.time_of_next_change   
diff --git a/sources/_subprojects_outputs/spellbook/_sources.yml b/sources/_subprojects_outputs/spellbook/_sources.yml
@@ -116,6 +116,9 @@ sources:
   - name: balancer_v3_gnosis
     tables:
       - name: bpt_prices
+  - name: balancer_v3
+    tables:
+      - name: erc4626_token_prices
 
   - name: addresses_ethereum
     tables: