/
convert.go
214 lines (186 loc) · 6.44 KB
/
convert.go
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package oracle
import (
"fmt"
"strings"
sdk "github.com/cosmos/cosmos-sdk/types"
"github.com/rs/zerolog"
"github.com/umee-network/umee/price-feeder/v2/config"
"github.com/umee-network/umee/price-feeder/v2/oracle/provider"
"github.com/umee-network/umee/price-feeder/v2/oracle/types"
)
// getUSDBasedProviders retrieves which providers for an asset have a USD-based pair,
// given the asset and the map of providers to currency pairs.
func getUSDBasedProviders(
asset string,
providerPairs map[provider.Name][]types.CurrencyPair,
) (map[provider.Name]struct{}, error) {
conversionProviders := make(map[provider.Name]struct{})
for provider, pairs := range providerPairs {
for _, pair := range pairs {
if strings.ToUpper(pair.Quote) == config.DenomUSD && strings.ToUpper(pair.Base) == asset {
conversionProviders[provider] = struct{}{}
}
}
}
if len(conversionProviders) == 0 {
return nil, fmt.Errorf("no providers have a usd conversion for this asset")
}
return conversionProviders, nil
}
// ConvertCandlesToUSD converts any candles which are not quoted in USD
// to USD by other price feeds. It will also filter out any candles not
// within the deviation threshold set by the config.
//
// Ref: https://github.com/umee-network/umee/blob/4348c3e433df8c37dd98a690e96fc275de609bc1/price-feeder/oracle/filter.go#L41
func ConvertCandlesToUSD(
logger zerolog.Logger,
candles provider.AggregatedProviderCandles,
providerPairs map[provider.Name][]types.CurrencyPair,
deviationThresholds map[string]sdk.Dec,
) (provider.AggregatedProviderCandles, error) {
if len(candles) == 0 {
return candles, nil
}
conversionRates := make(map[string]sdk.Dec)
requiredConversions := make(map[provider.Name][]types.CurrencyPair)
for pairProviderName, pairs := range providerPairs {
for _, pair := range pairs {
if strings.ToUpper(pair.Quote) != config.DenomUSD {
// Get valid providers and use them to generate a USD-based price for this asset.
validProviders, err := getUSDBasedProviders(pair.Quote, providerPairs)
if err != nil {
return nil, err
}
// Find candles which we can use for conversion, and calculate the tvwap
// to find the conversion rate.
validCandleList := provider.AggregatedProviderCandles{}
for providerName, candleSet := range candles {
if _, ok := validProviders[providerName]; ok {
for base, candle := range candleSet {
if base == pair.Quote {
if _, ok := validCandleList[providerName]; !ok {
validCandleList[providerName] = make(map[string][]types.CandlePrice)
}
validCandleList[providerName][base] = candle
}
}
}
}
if len(validCandleList) == 0 {
return nil, fmt.Errorf("there are no valid conversion rates for %s", pair.Quote)
}
filteredCandles, err := FilterCandleDeviations(
logger,
validCandleList,
deviationThresholds,
)
if err != nil {
return nil, err
}
// TODO: we should revise ComputeTVWAP to avoid return empty slices
// Ref: https://github.com/umee-network/umee/issues/1261
tvwap, err := ComputeTVWAP(filteredCandles)
if err != nil {
return nil, err
}
cvRate, ok := tvwap[pair.Quote]
if !ok {
return nil, fmt.Errorf("error on computing tvwap for quote: %s, base: %s", pair.Quote, pair.Base)
}
conversionRates[pair.Quote] = cvRate
requiredConversions[pairProviderName] = append(requiredConversions[pairProviderName], pair)
}
}
}
// Convert assets to USD.
for provider, assetMap := range candles {
for _, requiredConversion := range requiredConversions[provider] {
conversionRate, ok := conversionRates[requiredConversion.Quote]
if !ok {
continue
}
for asset, assetCandles := range assetMap {
if requiredConversion.Base == asset {
for i := range assetCandles {
assetCandles[i].Price = assetCandles[i].Price.Mul(
conversionRate,
)
}
}
}
}
}
return candles, nil
}
// ConvertTickersToUSD converts any tickers which are not quoted in USD to USD,
// using the conversion rates of other tickers. It will also filter out any tickers
// not within the deviation threshold set by the config.
//
// Ref: https://github.com/umee-network/umee/blob/4348c3e433df8c37dd98a690e96fc275de609bc1/price-feeder/oracle/filter.go#L41
func ConvertTickersToUSD(
logger zerolog.Logger,
tickers provider.AggregatedProviderPrices,
providerPairs map[provider.Name][]types.CurrencyPair,
deviationThresholds map[string]sdk.Dec,
) (provider.AggregatedProviderPrices, error) {
if len(tickers) == 0 {
return tickers, nil
}
conversionRates := make(map[string]sdk.Dec)
requiredConversions := make(map[provider.Name]types.CurrencyPair)
for pairProviderName, pairs := range providerPairs {
for _, pair := range pairs {
if strings.ToUpper(pair.Quote) != config.DenomUSD {
// Get valid providers and use them to generate a USD-based price for this asset.
validProviders, err := getUSDBasedProviders(pair.Quote, providerPairs)
if err != nil {
return nil, err
}
// Find valid candles, and then let's re-compute the tvwap.
validTickerList := provider.AggregatedProviderPrices{}
for providerName, candleSet := range tickers {
// Find tickers which we can use for conversion, and calculate the vwap
// to find the conversion rate.
if _, ok := validProviders[providerName]; ok {
for base, ticker := range candleSet {
if base == pair.Quote {
if _, ok := validTickerList[providerName]; !ok {
validTickerList[providerName] = make(map[string]types.TickerPrice)
}
validTickerList[providerName][base] = ticker
}
}
}
}
if len(validTickerList) == 0 {
return nil, fmt.Errorf("there are no valid conversion rates for %s", pair.Quote)
}
filteredTickers, err := FilterTickerDeviations(
logger,
validTickerList,
deviationThresholds,
)
if err != nil {
return nil, err
}
vwap := ComputeVWAP(filteredTickers)
conversionRates[pair.Quote] = vwap[pair.Quote]
requiredConversions[pairProviderName] = pair
}
}
}
// Convert assets to USD.
for providerName, assetMap := range tickers {
for asset := range assetMap {
if requiredConversions[providerName].Base == asset {
assetMap[asset] = types.TickerPrice{
Price: assetMap[asset].Price.Mul(
conversionRates[requiredConversions[providerName].Quote],
),
Volume: assetMap[asset].Volume,
}
}
}
}
return tickers, nil
}