Realized Volatility

For any price feed, Pragma offers a realized volatility feed. The realized volatility feed uses checkpoints to calculate the annualized volatility of an asset over a period of time.

Sample Code

If you are just trying to get started with our realized volatility feed, see this self-contained code snippet here. You can find the full Oracle interface specification is available here.

%lang starknet

from starkware.cairo.common.math_cmp import is_le
from starkware.cairo.common.pow import pow

from oracle.ISummaryStats import ISummaryStats

const PRAGMA_VOL_ADDRESS = 0x00b63d77cbf599e72ab23f2746edd1197ce45960910ea048b4898c4866d7f300;
const KEY = 19514442401534788; // str_to_felt("ETH/USD")

@view
func check_vol_threshold{syscall_ptr: felt\*, range_check_ptr}(threshold: felt) -> (
is_above_threshold: felt
) {
alloc_locals;

    let (volatility) = ISummaryStats.calculate_volatility(KEY, 1665051301, 0, 100);
    let (multiplier) = pow(10, decimals);

    let shifted_threshold = threshold * multiplier;
    let is_above_threshold = is_le(shifted_threshold, eth_price);
    return (is_above_threshold,);

}

How Realized Volatility is Calculated

We calculate realized volatility under the Geometric Brownian Motion assumption using the following equation:

Where σ is in units of 1/ $\sqrt{T}$ . We then multiply σ by $\sqrt{ΔTyear}$ to get the annualized volatility of the underlying asset.

Technical Specification

Function: `calculate_volatility`

This function allows you to query realized volatility for any price feed calculated over a requested period of time. The function accesses checkpoints within the requested timeframe, and uses the above equation to calculate realized volatility. Currently, Pragma sets a checkpoint every 5 minutes. If you need more granular data, you can set more checkpoint via the set_checkpoint function.

Inputs

pair_id: uppercased utf8-encoded string
start_key: timestamp at the beginning of the period over which you want to calculate realized volatility
end_key: timestamp at the end of the period over which you want to calculate realized volatility. If set to 0, it defaults to the timestamp of the last published block
num_samples: number of samples on which you want to calculate volatility. Starknet currently limits computation, so there is a max of 200 for this input

Returns

volatility: annualized realized volatility percentage. Volatility is reported with 8 decimals of precision. To convert it to percentage, divide the output by 10^8 (e.g. 7076538586 means annualized volatility is around 70%)