Vault data

This document describes the vault data format available over Trading Strategy API.

Vault datasets are

1. Vault metadata and real-time summaries

2. Historical returns data

Vault metadata format

The vault metadata contains descriptions of all vaults.

The vault metadata is served as a JSON file.

The field descriptions:

Key	Label	Description
name	Name	Human‑readable vault name. May include chain information to ensure uniqueness.
vault_slug	Vault Slug	URL‑safe slug for the vault name, used in links and identifiers.
protocol_slug	Protocol Slug	URL‑safe slug for the protocol name (e.g., morpho, yearn).
curator_slug	Curator Slug	Slug identifying the vault curator, or null if unknown.
curator_name	Curator Name	Human‑readable curator name, or null if unknown.
protocol_curator	Protocol Curator	Boolean indicating whether the curator is the protocol itself (not a third party).
share_token_address	Share Token Address	On‑chain address of the vault’s ERC‑20 share token. Usually the vault contract address itself.
denomination_token_address	Denomination Token Addr.	On‑chain address of the denomination (underlying) token.
lifetime_return	Lifetime Return (Gross)	All‑time gross return from first to last price as a decimal fraction (e.g., 0.10 = 10%).
lifetime_return_net	Lifetime Return (Net)	All‑time net return after fees as a decimal fraction. Present only when fee data is available.
cagr	CAGR (Gross)	Annualised gross return (Compound Annual Growth Rate) over the full history.
cagr_net	CAGR (Net)	Annualised net return after fees over the full history.
three_months_returns	3M Return (Gross)	Absolute gross return over the last ~90 days as a decimal fraction.
three_months_returns_net	3M Return (Net)	Absolute net return over the last ~90 days after fees as a decimal fraction.
three_months_cagr	3M CAGR (Gross)	Annualised gross return computed from the last ~90 days window.
three_months_cagr_net	3M CAGR (Net)	Annualised net return after fees computed from the last ~90 days window.
three_months_sharpe	3M Sharpe Ratio (Gross)	Sharpe ratio over the last ~90 days using daily returns annualised to 365. Higher indicates better risk‑adjusted performance.
three_months_sharpe_net	3M Sharpe Ratio (Net)	Net Sharpe ratio over the last ~90 days. Currently calculated from the same daily series as gross and may be identical.
three_months_volatility	3M Volatility (Ann.)	Annualised volatility over the last ~90 days: daily standard deviation scaled by sqrt(365).
one_month_returns	1M Return (Gross)	Absolute gross return over the last ~30 days as a decimal fraction.
one_month_returns_net	1M Return (Net)	Absolute net return over the last ~30 days after fees as a decimal fraction.
one_month_cagr	1M CAGR (Gross)	Annualised gross return computed from the last ~30 days window.
one_month_cagr_net	1M CAGR (Net)	Annualised net return after fees computed from the last ~30 days window.
denomination	Denomination	Underlying denomination token (e.g., USDC). Indicates the unit of account for share price and TVL.
normalised_denomination	Normalised Denomination	Canonical token symbol after normalisation (e.g., USDC.e → USDC).
denomination_slug	Denomination Slug	Lower‑case slug of the normalised denomination, used for filtering.
share_token	Share Token	The vault’s share token identifier (symbol or address), representing depositor shares.
chain	Chain	Human‑readable blockchain name (e.g., Ethereum, Arbitrum).
peak_nav	Peak TVL/NAV	All‑time high TVL by the vault. Reported in the denomination currency.
current_nav	Current TVL/NAV	Latest TVL by the vault. Reported in the denomination currency.
years	Age (Years)	Vault observation window length in years from first to last data point.
mgmt_fee	Management Fee	Annual management fee as a decimal (e.g., 0.02 = 2%). May be missing if not detected.
perf_fee	Performance Fee	Performance fee as a decimal (e.g., 0.20 = 20% of profits). May be missing if not detected.
deposit_fee	Deposit Fee	Fee applied on deposits as a decimal (e.g., 0.01 = 1%). May be null if no fee.
withdraw_fee	Withdrawal Fee	Fee applied on withdrawals as a decimal (e.g., 0.01 = 1%). May be null if no fee.
fee_mode	Fee Mode	How fees are applied: externalised (charged at deposit/withdraw) or internalised (deducted from NAV).
fee_internalised	Fee Internalised	Boolean shorthand: true if fees are deducted from NAV (share price already reflects fees).
fee_label	Fee Label	Human‑readable fee summary, e.g., 2% / 20% or including deposit/withdrawal fees if present.
lockup	Lock‑up (Estimated)	Estimated lock‑up period before funds can be withdrawn. May be zero or missing.
event_count	Deposit/Withdraw Events	Total number of observed deposit and redeem events for the vault.
protocol	Protocol	Name of the protocol implementing the vault (e.g., Yearn, Beefy).
risk	Risk (Category)	Technical risk classification object; renderable to a human label via its API.
risk_numeric	Risk (Numeric)	Numeric representation of the technical risk category for sorting or filtering.
id	Vault ID	Unique identifier combining chain and address (<chainId>-<address>). Can be used as a stable primary key.
start_date	Start Date	Timestamp of the first available price observation used in metrics.
end_date	End Date	Timestamp of the last available price observation used in metrics.
address	Address	Vault contract address on the blockchain.
chain_id	Chain ID	Numeric EVM chain identifier (e.g., 1 for Ethereum).
stablecoinish	Stablecoin‑Like	Boolean indicating whether the vault is denominated in a stablecoin-like token (could be yield bearing).
first_updated_at	First Updated At	Timestamp of the earliest recorded on‑chain observation for this vault.
first_updated_block	First Updated Block	Block number corresponding to the earliest recorded observation.
last_updated_at	Last Updated At	Timestamp of the latest recorded on‑chain observation for this vault.
last_updated_block	Last Updated Block	Block number corresponding to the latest recorded observation.
last_share_price	Last Share Price	Most recent share price observation in the denomination currency.
features	Detected Features	List of detected vault features (e.g., ERC‑4626/7540 capabilities) as feature names.
flags	Vault Flags	Set of VaultFlag values indicating vault status (e.g., deposit, redeem, paused, morpho_issues).
notes	Notes	Human‑readable note text for the vault (e.g., risk warnings, Morpho flag summaries). May be null.
link	Link	URL to the vault on the protocol’s website. May be null.
trading_strategy_link	Trading Strategy Link	URL to the vault page on tradingstrategy.ai. May be null.
deposit_closed_reason	Deposit Closed Reason	Reason why deposits are closed (e.g., "paused"). Empty string if deposits are open.
redemption_closed_reason	Redemption Closed Reason	Reason why redemptions are closed. Empty string if redemptions are open.
deposit_next_open	Deposit Next Open	Estimated timestamp when deposits will next open. null if unknown or already open.
redemption_next_open	Redemption Next Open	Estimated timestamp when redemptions will next open. null if unknown or already open.
available_liquidity	Available Liquidity	Available liquidity for withdrawals in the denomination currency (lending vaults). null if not applicable.
utilisation	Utilisation	Current utilisation ratio (0.0–1.0) for lending vaults. null if not applicable.
leader_fraction	Leader Fraction	Fraction of vault assets controlled by the leader (Hypercore vaults). null for other protocols.
leader_commission	Leader Commission	Commission rate charged by the vault leader (Hypercore). null for other protocols.
follower_count	Follower Count	Number of followers in a Hypercore leader vault. null for other protocols.
account_pnl	Account PnL	Cumulative PnL of the vault leader account (Hypercore). null for other protocols.
cumulative_volume	Cumulative Volume	Cumulative trading volume of the vault (Hypercore). null for other protocols.
netflow	Netflow Metrics	List of NetflowMetrics objects for 1d, 7d, 30d deposit/withdrawal flows. null if not available.
description	Description	Long‑form vault description from offchain metadata (Euler, Lagoon, etc.). null if not available.
short_description	Short Description	Brief vault description from offchain metadata. null if not available.
manual_review_status	Manual Review Status	Manual review decision (e.g., "ok", "avoid"). Currently used for Hyperliquid vaults. null if not reviewed.
other_data	Protocol Extension Data	Protocol‑specific extension dict. See `other_data and Morpho flags`_ below. Empty lists for non‑Morpho vaults.
period_results	Period Results	List of PeriodMetrics objects for 1W, 1M, 3M, 6M, 1Y, and lifetime windows. See Structured period metrics below.

Structured period metrics

In addition to the legacy flat fields (three_months_cagr, one_month_returns, etc.), each vault record includes a period_results list containing PeriodMetrics objects for six standard lookback windows: 1W, 1M, 3M, 6M, 1Y, and lifetime.

Each PeriodMetrics object contains:

Field	Description
period	Period label ("1W", "1M", "3M", "6M", "1Y", "lifetime").
error_reason	Error string if metrics could not be calculated (e.g., insufficient data), otherwise null.
period_start_at	Timestamp when the period’s start share price was sampled.
period_end_at	Timestamp when the period’s end share price was sampled.
share_price_start	Share price at the beginning of the period.
share_price_end	Share price at the end of the period.
returns_gross	Absolute gross return over the period as a decimal fraction.
returns_net	Absolute net return after fees over the period as a decimal fraction.
cagr_gross	Annualised gross CAGR over the period.
cagr_net	Annualised net CAGR after fees over the period.
volatility	Annualised volatility based on daily returns.
sharpe	Sharpe ratio for the period.
max_drawdown	Maximum drawdown during the period as a decimal fraction.
tvl_start	TVL at the start of the period in denomination currency.
tvl_end	TVL at the end of the period in denomination currency.
tvl_low	Minimum TVL observed during the period.
tvl_high	Maximum TVL observed during the period.
ranking_overall	Rank among all vaults (1 = best), based on CAGR. Requires minimum $50,000 TVL.
ranking_chain	Rank among vaults on the same chain (1 = best). Requires minimum $10,000 TVL.
ranking_protocol	Rank among vaults in the same protocol (1 = best). Requires minimum $10,000 TVL.
avg_utilisation	Average utilisation over the period (lending vaults only, 0.0–1.0).
raw_samples	Number of raw (hourly) data points used.
daily_samples	Number of daily data points used for volatility/Sharpe calculation.

Rankings are calculated by calculate_vault_rankings() and use net CAGR (falling back to gross when net is unavailable). Vaults are excluded from rankings if they are blacklisted, have zero/NaN CAGR, or fall below the TVL thresholds.

other_data field for vault-protocol specific metadata

The other_data field is a protocol‑specific extension dict included in every vault record. Currently it is populated only for Morpho vaults; all other protocols return empty lists. Future protocols should add their own keys here rather than adding top‑level fields.

The Morpho‑specific keys are sourced from the Morpho Blue API via analyze_morpho_flags() and the MorphoFlagAnalytics dataclass:

Key	Description
morpho_vault_flags	List of vault‑level governance warning type strings from the Morpho Blue API. Example: ["not_whitelisted", "short_timelock"].
morpho_market_flags	List of market‑level risk warning type strings from the vault’s underlying Morpho market allocations. Example: ["bad_debt_unrealized"].
morpho_red_flags	Combined RED‑level warning types across vault and market warnings. Non‑empty when morpho_issues is in flags. Example: ["bad_debt_unrealized", "short_timelock"].
morpho_yellow_flags	Combined YELLOW‑level warning types. YELLOW flags do not trigger morpho_issues. Example: ["bad_debt_realized", "not_whitelisted"].

When any RED‑level flags are present, the vault is automatically blacklisted (risk set to blacklisted) and the VaultFlag.morpho_issues flag is added to the flags set.

Historical vault data

Historical vault data is the past performance metrics of a vault.

• TVL

• Total supply (as in the share token count)

• Returns (also known as CAGR, APY)

Historical data is served as a compressed Parquet file.

General columns (all protocols)

These columns are present for every vault regardless of protocol.

Column	Description
chain	EVM chain id. Native protocols use synthetic ids: 9999 (Hypercore), 9998 (Lighter), 9997 (Hibachi), 325 (GRVT).
address	Vault address, lowercase. Format varies: 0x… (EVM, Hypercore), vlt:… (GRVT), lighter-pool-… (Lighter), hibachi-vault-… (Hibachi).
block_number	Block number of the on-chain read. Synthetic sequence number for native protocols.
timestamp	Naive UTC timestamp (also the DatetimeIndex).
share_price	Share price in denomination token units. Read from contract for ERC-4626; from API for GRVT, Lighter, Hibachi; internally calculated for Hypercore (see note below).
total_assets	Total assets under management (TVL) in denomination token units.
total_supply	Total supply of vault share tokens.
performance_fee	Performance fee at time of read (e.g. 0.20 = 20%). NaN if unknown.
management_fee	Management fee at time of read (e.g. 0.02 = 2%). NaN if unknown.
errors	Comma-separated RPC error messages (e.g. "total_supply call failed"), or empty string. Always empty for native protocols.
vault_poll_frequency	Dynamic poll frequency (e.g. "1h", "4h", "24h"). Low-TVL vaults may be polled less frequently.
id	Vault identifier: "<chain_id>-<address>".
name	Human-readable vault name (unique within the dataset).
event_count	Total deposit + redeem events observed for this vault.
protocol	Protocol name (e.g. "Morpho", "Yearn", "Hyperliquid").
returns_1h	Return as pct_change() of share_price within each vault. Despite the name, the interval may be daily for native protocols.
deposit_closed_reason	Why deposits are closed (e.g. "Vault deposits disabled"). Empty string when open.
written_at	When this row was written/fetched (naive UTC). NaT for old data.

ERC-4626 only columns

These columns come from on-chain ERC-4626 contract calls and are NaN or empty for native protocols.

Column	Description
max_deposit	Maximum deposit amount allowed (maxDeposit), in denomination token units.
max_redeem	Maximum redeem amount allowed (maxRedeem), in share token units.
deposits_open	Whether deposits were open: "true", "false", or "".
redemption_open	Whether redemptions were open: "true", "false", or "".
trading	Whether the vault was actively trading. Currently only D2 Finance.

Lending protocol only columns

These columns are populated for lending protocol vaults (IPOR, Euler, Morpho, Gearbox, Silo, etc.) and NaN for other protocols.

Column	Description
available_liquidity	Available liquidity for immediate withdrawal in denomination token units.
utilisation	Utilisation ratio (0.0–1.0). Caution: this measures capital deployment, not redeemable liquidity. Multi-market aggregators (Morpho, Euler Earn, IPOR) can show high utilisation yet have substantial instantly redeemable liquidity in underlying markets.

Hypercore only columns

These columns are populated for native Hyperliquid vaults (chain 9999) and NaN for all others.

Column	Description
leader_fraction	Fraction of vault assets controlled by the leader (0.0–1.0).
leader_commission	Commission rate charged by the vault leader (0.0–1.0).
follower_count	Number of followers in the vault.
account_pnl	Cumulative PnL of the vault leader account in USD.
cumulative_volume	Cumulative trading volume of the vault in USD.

Native protocol flow columns

These columns are populated for native protocols with daily deposit/withdrawal data (Hypercore, GRVT, Lighter, Hibachi) and NaN for ERC-4626 vaults.

Column	Description
daily_deposit_count	Number of deposit events in the latest day.
daily_withdrawal_count	Number of withdrawal events in the latest day.
daily_deposit_usd	Total USD deposited in the latest day.
daily_withdrawal_usd	Total USD withdrawn in the latest day.

Hypercore share price

Most native protocols (GRVT, Lighter, Hibachi) provide share prices directly from their APIs. Hypercore (native Hyperliquid vaults) is the exception — it does not expose a share price. Instead, the share price is internally calculated as total_assets / total_supply from reconstructed equity curves and deposit/withdrawal histories. The process involves:

• Tracking deposits and withdrawals to maintain a virtual share ledger

• Computing total_assets from the vault’s account value (NAV) at each point in time

• Minting/burning shares at the current share price when deposits/withdrawals occur

• Chain-linked epoch resets when all shares are redeemed but equity remains

See eth_defi.hyperliquid.combined_analysis for the Hypercore share price derivation.

Vault technical risk

The data contains vault technical risk labels. These are based on the beta vault technical risk framework.

See this blog post for details.

Stablecoin vs. crypto-denominated vaults

Currently only stablecoin-denominated vault data is available.

Raw data for BTC-nominated and ETH-nominated vault is collected, but not published yet. Ask if needed.