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JulissaDantes
approved these changes
Apr 8, 2025
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| The impact is at most 40 BPS | ||
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| The issue seems to be tied to the following: | ||
| - If you update the TWAP you will make the previous average match the current one, meaning after a week your average will be equal to the `valueToTrack` | ||
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| If you don't update the TWAP, the following happens: | ||
| - After 1 week, the relative delta time and value is the highest, causing up to 40 BPS of discrepancy between the correct value (which should be equal to `valueToTrack`) and the value the math will report | ||
| - Every subsequent week the value will trend towards `valueToTrack` (never reaching it) | ||
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| ## Logs from the test | ||
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| https://gist.github.com/GalloDaSballo/5cdc0170a6c2481eb616cfd5c57eb84b | ||
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| We can see that the maximum impact is 40 BPS and happens after one week has passed |
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Suggested change
| The impact is at most 40 BPS | |
| The issue seems to be tied to the following: | |
| - If you update the TWAP you will make the previous average match the current one, meaning after a week your average will be equal to the `valueToTrack` | |
| If you don't update the TWAP, the following happens: | |
| - After 1 week, the relative delta time and value is the highest, causing up to 40 BPS of discrepancy between the correct value (which should be equal to `valueToTrack`) and the value the math will report | |
| - Every subsequent week the value will trend towards `valueToTrack` (never reaching it) | |
| ## Logs from the test | |
| https://gist.github.com/GalloDaSballo/5cdc0170a6c2481eb616cfd5c57eb84b | |
| We can see that the maximum impact is 40 BPS and happens after one week has passed | |
| The impact is at most 40 BPS. | |
| The issue seems to be tied to the following: | |
| - If you update the TWAP you will make the previous average match the current one, meaning after a week your average will be equal to the `valueToTrack`. | |
| If you don't update the TWAP, the following happens: | |
| - After 1 week, the relative delta time and value is the highest, causing up to 40 BPS of discrepancy between the correct value (which should be equal to `valueToTrack`) and the value the math will report. | |
| - Every subsequent week the value will trend towards `valueToTrack` (never reaching it). | |
| ## Logs from the test | |
| https://gist.github.com/GalloDaSballo/5cdc0170a6c2481eb616cfd5c57eb84b | |
| We can see that the maximum impact is 40 BPS and happens after one week has passed. |
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