/
util.go
222 lines (186 loc) · 6.52 KB
/
util.go
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package oracle
import (
"fmt"
"sort"
"time"
sdk "github.com/cosmos/cosmos-sdk/types"
"github.com/umee-network/umee/price-feeder/v2/oracle/provider"
)
var (
minimumTimeWeight = sdk.MustNewDecFromStr("0.2000")
minimumCandleVolume = sdk.MustNewDecFromStr("0.0001")
)
const (
// tvwapCandlePeriod represents the time period we use for tvwap in minutes
tvwapCandlePeriod = 5 * time.Minute
)
// compute VWAP for each base by dividing the Σ {P * V} by Σ {V}
func vwap(weightedPrices, volumeSum map[string]sdk.Dec) map[string]sdk.Dec {
vwap := make(map[string]sdk.Dec)
for base, p := range weightedPrices {
if !volumeSum[base].Equal(sdk.ZeroDec()) {
if _, ok := vwap[base]; !ok {
vwap[base] = sdk.ZeroDec()
}
vwap[base] = p.Quo(volumeSum[base])
}
}
return vwap
}
// ComputeVWAP computes the volume weighted average price for all price points
// for each ticker/exchange pair. The provided prices argument reflects a mapping
// of provider => {<base> => <TickerPrice>, ...}.
//
// Ref: https://en.wikipedia.org/wiki/Volume-weighted_average_price
func ComputeVWAP(prices provider.AggregatedProviderPrices) map[string]sdk.Dec {
var (
weightedPrices = make(map[string]sdk.Dec)
volumeSum = make(map[string]sdk.Dec)
)
for _, providerPrices := range prices {
for base, tp := range providerPrices {
if _, ok := weightedPrices[base]; !ok {
weightedPrices[base] = sdk.ZeroDec()
}
if _, ok := volumeSum[base]; !ok {
volumeSum[base] = sdk.ZeroDec()
}
// weightedPrices[base] = Σ {P * V} for all TickerPrice
weightedPrices[base] = weightedPrices[base].Add(tp.Price.Mul(tp.Volume))
// track total volume for each base
volumeSum[base] = volumeSum[base].Add(tp.Volume)
}
}
return vwap(weightedPrices, volumeSum)
}
// ComputeTVWAP computes the time volume weighted average price for all points
// for each exchange pair. Filters out any candles that did not occur within
// timePeriod. The provided prices argument reflects a mapping of
// provider => {<base> => <TickerPrice>, ...}.
//
// Ref : https://en.wikipedia.org/wiki/Time-weighted_average_price
func ComputeTVWAP(prices provider.AggregatedProviderCandles) (map[string]sdk.Dec, error) {
var (
weightedPrices = make(map[string]sdk.Dec)
volumeSum = make(map[string]sdk.Dec)
now = provider.PastUnixTime(0)
timePeriod = provider.PastUnixTime(tvwapCandlePeriod)
)
for _, providerPrices := range prices {
for base := range providerPrices {
cp := providerPrices[base]
if len(cp) == 0 {
continue
}
if _, ok := weightedPrices[base]; !ok {
weightedPrices[base] = sdk.ZeroDec()
}
if _, ok := volumeSum[base]; !ok {
volumeSum[base] = sdk.ZeroDec()
}
// Sort by timestamp old -> new
sort.SliceStable(cp, func(i, j int) bool {
return cp[i].TimeStamp < cp[j].TimeStamp
})
period := sdk.NewDec(now - cp[0].TimeStamp)
if period.Equal(sdk.ZeroDec()) {
return nil, fmt.Errorf("unable to divide by zero")
}
// weightUnit = (1 - minimumTimeWeight) / period
weightUnit := sdk.OneDec().Sub(minimumTimeWeight).Quo(period)
// get weighted prices, and sum of volumes
for _, candle := range cp {
// we only want candles within the last timePeriod
if timePeriod < candle.TimeStamp {
// timeDiff = now - candle.TimeStamp
timeDiff := sdk.NewDec(now - candle.TimeStamp)
// set minimum candle volume for low-trading assets
if candle.Volume.Equal(sdk.ZeroDec()) {
candle.Volume = minimumCandleVolume
}
// volume = candle.Volume * (weightUnit * (period - timeDiff) + minimumTimeWeight)
volume := candle.Volume.Mul(
weightUnit.Mul(period.Sub(timeDiff).Add(minimumTimeWeight)),
)
volumeSum[base] = volumeSum[base].Add(volume)
weightedPrices[base] = weightedPrices[base].Add(candle.Price.Mul(volume))
}
}
}
}
return vwap(weightedPrices, volumeSum), nil
}
// StandardDeviation returns maps of the standard deviations and means of assets.
// Will skip calculating for an asset if there are less than 3 prices.
func StandardDeviation(
prices map[provider.Name]map[string]sdk.Dec,
) (map[string]sdk.Dec, map[string]sdk.Dec, error) {
var (
deviations = make(map[string]sdk.Dec)
means = make(map[string]sdk.Dec)
priceSlice = make(map[string][]sdk.Dec)
priceSums = make(map[string]sdk.Dec)
)
for _, providerPrices := range prices {
for base, p := range providerPrices {
if _, ok := priceSums[base]; !ok {
priceSums[base] = sdk.ZeroDec()
}
if _, ok := priceSlice[base]; !ok {
priceSlice[base] = []sdk.Dec{}
}
priceSums[base] = priceSums[base].Add(p)
priceSlice[base] = append(priceSlice[base], p)
}
}
for base, sum := range priceSums {
// Skip if standard deviation would not be meaningful
if len(priceSlice[base]) < 3 {
continue
}
if _, ok := deviations[base]; !ok {
deviations[base] = sdk.ZeroDec()
}
if _, ok := means[base]; !ok {
means[base] = sdk.ZeroDec()
}
numPrices := int64(len(priceSlice[base]))
means[base] = sum.QuoInt64(numPrices)
varianceSum := sdk.ZeroDec()
for _, price := range priceSlice[base] {
deviation := price.Sub(means[base])
varianceSum = varianceSum.Add(deviation.Mul(deviation))
}
variance := varianceSum.QuoInt64(numPrices)
standardDeviation, err := variance.ApproxSqrt()
if err != nil {
return make(map[string]sdk.Dec), make(map[string]sdk.Dec), err
}
deviations[base] = standardDeviation
}
return deviations, means, nil
}
// ComputeTvwapsByProvider computes the tvwap prices from candles for each provider separately and returns them
// in a map separated by provider name
func ComputeTvwapsByProvider(prices provider.AggregatedProviderCandles) (map[provider.Name]map[string]sdk.Dec, error) {
tvwaps := make(map[provider.Name]map[string]sdk.Dec)
var err error
for providerName, candles := range prices {
singleProviderCandles := provider.AggregatedProviderCandles{"providerName": candles}
tvwaps[providerName], err = ComputeTVWAP(singleProviderCandles)
if err != nil {
return nil, err
}
}
return tvwaps, nil
}
// ComputeVwapsByProvider computes the vwap prices from tickers for each provider separately and returns them
// in a map separated by provider name
func ComputeVwapsByProvider(prices provider.AggregatedProviderPrices) map[provider.Name]map[string]sdk.Dec {
vwaps := make(map[provider.Name]map[string]sdk.Dec)
for providerName, tickers := range prices {
singleProviderCandles := provider.AggregatedProviderPrices{"providerName": tickers}
vwaps[providerName] = ComputeVWAP(singleProviderCandles)
}
return vwaps
}