graph LR
Start(["`Start`"])
1["`<strong>set</strong><br>config`"]
2["`<strong>binance</strong><br>fetch historical prices`"]
3["`<strong>set</strong><br>prepare returns data`"]
4["`<strong>portfolioAnalytics</strong><br>calculate tracking error`"]
5["`<strong>set</strong><br>transform tracking error result`"]
6["`<strong>set</strong><br>assess risk level`"]
7["`<strong>telegram</strong><br>send tracking error report`"]
Start ---> 1
1 ---> 2
2 ---> 3
3 ---> 4
4 ---> 5
5 ---> 6
6 ---> 7
Stablecoin Tracking Error Calculation
Calculates tracking error to measure how stablecoin prices deviate from the $1.00 peg over time, providing insights into price stability and systemic risk patterns.
Who is this for?
This workflow is designed for quantitative analysts, risk managers, and DeFi researchers who need to measure stablecoin price stability over time and understand systemic risk patterns beyond instantaneous price movements.
What problem is this workflow solving? / Use case
While instantaneous price deviation shows current risk, tracking error reveals how stable a stablecoin is over time. A stablecoin might have small instantaneous deviations but high volatility (high tracking error), indicating systemic instability. This workflow calculates tracking error using historical price data to help you identify stablecoins with underlying stability issues that might not be apparent from spot prices alone.
What this workflow does
- Fetches historical price data (configurable interval and number of candles, default: 168 hours of 1-hour candles for 7 days)
- Calculates tracking error using portfolio analytics to measure how prices deviate from the $1.00 benchmark over time
- Computes annualized tracking error for standardized comparison
- Determines risk level based on tracking error thresholds
- Sends a comprehensive Telegram report with tracking error metrics, active return, and risk assessment
Setup
- Configure the Stablecoin Symbol in the config node (default: USDT/USD)
- Select the Exchange (binance or okx) and Market Type (spot or perpetual) in the config node
- Set the Kline Interval (default: 1h for hourly data) and Number of Candles (default: 168 for 7 days of hourly data)
- Configure the Annualization Factor (default: 365 for daily data) to standardize tracking error calculations
- The Telegram Chat ID will be automatically injected at runtime
Nodes in Use
-
Binance - Get OHLCV Data: Fetches historical OHLCV (Open, High, Low, Close, Volume) data for technical analysis
-
System - Code Box (Sandbox Execution): Executes JavaScript code in a secure sandbox. Can combine existing nodes to implement complex logic
-
PortfolioAnalytics - Calculate Tracking Error: calculates tracking error between portfolio and benchmark using portfolioReturns,benchmarkReturns,annualizationFactor
-
Telegram - Send Telegram Message: Sends text messages through Telegram's bot API using _chatId, message, and optional parameters
Tip: This executable workflow was automatically generated by SeamFlux Bot. To use it, create an execution and test it with your data to ensure it meets your needs.
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