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validate_market_price_updates.go
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validate_market_price_updates.go
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package keeper
import (
errorsmod "cosmossdk.io/errors"
"fmt"
errorlib "github.com/dydxprotocol/v4-chain/protocol/lib/error"
"math/big"
"time"
gometrics "github.com/armon/go-metrics"
"github.com/cosmos/cosmos-sdk/telemetry"
sdk "github.com/cosmos/cosmos-sdk/types"
pricefeedmetrics "github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/metrics"
"github.com/dydxprotocol/v4-chain/protocol/lib"
"github.com/dydxprotocol/v4-chain/protocol/lib/metrics"
"github.com/dydxprotocol/v4-chain/protocol/x/prices/types"
)
const (
CrossingPriceUpdateCutoffPpm = uint32(500_000) // 50%
)
// PerformStatefulPriceUpdateValidation performs stateful validations on `MsgUpdateMarketPrices`.
// Depending on the input, this func performs non-deterministic stateful validation.
func (k Keeper) PerformStatefulPriceUpdateValidation(
ctx sdk.Context,
marketPriceUpdates *types.MsgUpdateMarketPrices,
performNonDeterministicValidation bool,
) error {
var determinismMetricKeyValue string
if performNonDeterministicValidation {
determinismMetricKeyValue = metrics.NonDeterministic
} else {
determinismMetricKeyValue = metrics.Deterministic
}
defer telemetry.ModuleMeasureSince(
types.ModuleName,
time.Now(),
metrics.StatefulPriceUpdateValidation,
determinismMetricKeyValue,
metrics.Latency,
)
marketParamPrices, err := k.GetAllMarketParamPrices(ctx)
if err != nil {
telemetry.IncrCounter(
1,
types.ModuleName,
metrics.StatefulPriceUpdateValidation,
metrics.Error,
)
return errorlib.WrapErrorWithSourceModuleContext(
errorsmod.Wrap(err, "failed to get all market param prices"),
types.ModuleName,
)
}
if err := k.performDeterministicStatefulValidation(ctx, marketPriceUpdates, marketParamPrices); err != nil {
telemetry.IncrCounter(
1,
types.ModuleName,
metrics.StatefulPriceUpdateValidation,
metrics.Deterministic,
metrics.Error,
)
return errorlib.WrapErrorWithSourceModuleContext(err, types.ModuleName)
}
if performNonDeterministicValidation {
err := k.performNonDeterministicStatefulValidation(ctx, marketPriceUpdates, marketParamPrices)
if err != nil {
telemetry.IncrCounter(
1,
types.ModuleName,
metrics.StatefulPriceUpdateValidation,
metrics.NonDeterministic,
metrics.Error,
)
return errorlib.WrapErrorWithSourceModuleContext(err, types.ModuleName)
}
}
return nil
}
// performNonDeterministicStatefulValidation performs stateful validations that are non-deterministic.
//
// Specificically, for each price update, validate the following:
// - The index price exists.
// - The price is "accurate". See `validatePriceAccuracy` for how "accuracy" is determined.
//
// Note: this is NOT determistic, because it relies on "index price" that is subject to each validator.
func (k Keeper) performNonDeterministicStatefulValidation(
ctx sdk.Context,
marketPriceUpdates *types.MsgUpdateMarketPrices,
allMarketParamPrices []types.MarketParamPrice,
) error {
idToMarket := getIdToMarketParamPrice(allMarketParamPrices)
allMarketParams := make([]types.MarketParam, len(allMarketParamPrices))
for i, marketParamPrice := range allMarketParamPrices {
allMarketParams[i] = marketParamPrice.Param
}
idToIndexPrice := k.indexPriceCache.GetValidMedianPrices(allMarketParams, k.timeProvider.Now())
for _, priceUpdate := range marketPriceUpdates.GetMarketPriceUpdates() {
// Check market exists.
marketParamPrice, err := getMarketParamPrice(priceUpdate.MarketId, idToMarket)
if err != nil {
return err
}
// Check index price exists.
indexPrice, indexPriceExists := idToIndexPrice[priceUpdate.MarketId]
if !indexPriceExists {
// Index price not available, so the update price accuracy cannot be determined.
telemetry.IncrCounterWithLabels(
[]string{types.ModuleName, metrics.IndexPriceNotAvailForAccuracyCheck, metrics.Count},
1,
[]gometrics.Label{ // To track per market, include the id as a label.
pricefeedmetrics.GetLabelForMarketId(marketParamPrice.Param.Id),
},
)
return errorsmod.Wrapf(
types.ErrIndexPriceNotAvailable,
"index price for market (%d) is not available",
priceUpdate.MarketId,
)
}
// Check price is "accurate".
if err := k.validatePriceAccuracy(marketParamPrice, priceUpdate, indexPrice); err != nil {
telemetry.IncrCounterWithLabels(
[]string{types.ModuleName, metrics.IndexPriceNotAccurate, metrics.Count},
1,
[]gometrics.Label{ // To track per market, include the id as a label.
pricefeedmetrics.GetLabelForMarketId(marketParamPrice.Param.Id),
},
)
return err
}
}
// Report missing markets in the price updates.
missingMarketIds := k.GetMarketsMissingFromPriceUpdates(ctx, marketPriceUpdates.MarketPriceUpdates)
if len(missingMarketIds) > 0 {
telemetry.SetGauge(
float32(len(missingMarketIds)),
types.ModuleName,
metrics.MissingPriceUpdates,
metrics.Count,
)
k.Logger(ctx).Info(fmt.Sprintf("markets were not included in the price updates: %+v", missingMarketIds))
}
return nil
}
// performDeterministicStatefulValidation performs stateful validations that are deterministic.
//
// Specificically, for each price update, validate the following:
// - The market exists.
// - The price update is greater than the min price change.
func (k Keeper) performDeterministicStatefulValidation(
ctx sdk.Context,
marketPriceUpdates *types.MsgUpdateMarketPrices,
allMarketParamPrices []types.MarketParamPrice,
) error {
idToMarketParamPrice := getIdToMarketParamPrice(allMarketParamPrices)
for _, priceUpdate := range marketPriceUpdates.GetMarketPriceUpdates() {
// Check market exists.
marketParamPrice, err := getMarketParamPrice(priceUpdate.MarketId, idToMarketParamPrice)
if err != nil {
return err
}
// Check price respects min price change.
if !isAboveRequiredMinPriceChange(marketParamPrice, priceUpdate.Price) {
return errorsmod.Wrapf(
types.ErrInvalidMarketPriceUpdateDeterministic,
"update price (%d) for market (%d) does not meet min price change requirement"+
" (%d ppm) based on the current market price (%d)",
priceUpdate.Price,
priceUpdate.MarketId,
marketParamPrice.Param.MinPriceChangePpm,
marketParamPrice.Price.Price,
)
}
}
return nil
}
// validatePriceAccuracy checks if the price update is "accurate".
//
// "Accurate" means either one of the following conditions must be met:
//
// - Towards condition: the price update is between the index price and the current price, inclusive
//
// - Crossing condition: if the proposed price crosses the index price, then the absolute difference
// in ticks between the index price and the current price, in ticks (old_ticks), must be:
// -- old_ticks > 1: greater than or equal to the square of the absolute difference between this node's
// index price and the proposed price update, in ticks (new_ticks),
// -- old_ticks <= 1: greater than or equal to the absolute difference between this node's index price
// and the proposed price update
//
// Note that ticks are defined as the minimum price change of the currency at the current price
func (k Keeper) validatePriceAccuracy(
currMarketParamPrice types.MarketParamPrice,
priceUpdate *types.MsgUpdateMarketPrices_MarketPrice,
indexPrice uint64,
) error {
if isTowardsIndexPrice(PriceTuple{
OldPrice: currMarketParamPrice.Price.Price,
IndexPrice: indexPrice,
NewPrice: priceUpdate.Price,
}) {
return nil
}
if !isCrossingIndexPrice(PriceTuple{
OldPrice: currMarketParamPrice.Price.Price,
IndexPrice: indexPrice,
NewPrice: priceUpdate.Price,
}) {
return errorsmod.Wrapf(
types.ErrInvalidMarketPriceUpdateNonDeterministic,
"update price (%d) for market (%d) trends in the opposite direction of the index price (%d) compared "+
"to the current price (%d)",
priceUpdate.Price,
priceUpdate.MarketId,
indexPrice,
currMarketParamPrice.Price.Price,
)
}
tickSizePpm := computeTickSizePpm(currMarketParamPrice.Price.Price, currMarketParamPrice.Param.MinPriceChangePpm)
oldDelta := new(big.Int).SetUint64(lib.AbsDiffUint64(currMarketParamPrice.Price.Price, indexPrice))
newDelta := new(big.Int).SetUint64(lib.AbsDiffUint64(indexPrice, priceUpdate.Price))
// If the index price is <= 1 tick from the old price, we want to compare absolute values of old_delta
// and new_delta to determine if the price change is valid.
if priceDeltaIsWithinOneTick(oldDelta, tickSizePpm) {
if newDelta.Cmp(oldDelta) > 0 {
return errorsmod.Wrapf(
types.ErrInvalidMarketPriceUpdateNonDeterministic,
"update price (%d) for market (%d) crosses the index price (%d) with current price (%d) "+
"and deviates from index price (%d) more than minimum allowed (%d)",
priceUpdate.Price,
priceUpdate.MarketId,
indexPrice,
currMarketParamPrice.Price.Price,
newDelta.Uint64(),
oldDelta.Uint64(),
)
}
return nil
}
// Update price crosses index price and old_ticks > 1: check new_ticks <= sqrt(old_ticks)
if !newPriceMeetsSqrtCondition(oldDelta, newDelta, tickSizePpm) {
return errorsmod.Wrapf(
types.ErrInvalidMarketPriceUpdateNonDeterministic,
"update price (%d) for market (%d) crosses the index price (%d) with current price (%d) "+
"and deviates from index price (%d) more than minimum allowed (%d)",
priceUpdate.Price,
priceUpdate.MarketId,
indexPrice,
currMarketParamPrice.Price.Price,
newDelta.Uint64(),
maximumAllowedPriceDelta(oldDelta, tickSizePpm),
)
}
return nil
}
// GetMarketsMissingFromPriceUpdates returns a list of market ids that should have been included but
// not present in the `MsgUpdateMarketPrices`.
//
// Note: this is NOT determistic, because it relies on "index price" that is subject to each validator.
func (k Keeper) GetMarketsMissingFromPriceUpdates(
ctx sdk.Context,
marketPriceUpdates []*types.MsgUpdateMarketPrices_MarketPrice,
) []uint32 {
// Gather all markets that are part of the proposed updates.
proposedUpdatesMap := make(map[uint32]struct{}, len(marketPriceUpdates))
for _, proposedUpdate := range marketPriceUpdates {
proposedUpdatesMap[proposedUpdate.MarketId] = struct{}{}
}
// Gather all markets that we think should be updated.
var missingMarkets []uint32
// Note that `GetValidMarketPriceUpdates` return value is ordered by market id.
// This is NOT deterministic, because the returned values are based on "index price".
allLocalUpdates := k.GetValidMarketPriceUpdates(ctx).MarketPriceUpdates
for _, localUpdate := range allLocalUpdates {
if _, exists := proposedUpdatesMap[localUpdate.MarketId]; !exists {
missingMarkets = append(missingMarkets, localUpdate.MarketId)
}
}
return missingMarkets
}
// getIdToMarketParamPrice returns a map of market id to market param price given a slice of market param prices.
func getIdToMarketParamPrice(marketParamPrices []types.MarketParamPrice) map[uint32]types.MarketParamPrice {
idToMarketParamPrice := make(map[uint32]types.MarketParamPrice, len(marketParamPrices))
for _, marketParamPrice := range marketParamPrices {
idToMarketParamPrice[marketParamPrice.Param.Id] = marketParamPrice
}
return idToMarketParamPrice
}
// getMarketParamPrice returns a market param price given a market id. Returns an error if a market
// param price does not exist.
func getMarketParamPrice(
marketId uint32,
idToMarketParamPrice map[uint32]types.MarketParamPrice,
) (
types.MarketParamPrice,
error,
) {
marketParamPrice, marketParamPriceExists := idToMarketParamPrice[marketId]
if !marketParamPriceExists {
return marketParamPrice, errorsmod.Wrapf(
types.ErrInvalidMarketPriceUpdateDeterministic,
"market param price (%d) does not exist",
marketId,
)
}
return marketParamPrice, nil
}