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docs: update historacle API and computation docs (#1631)
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* docs: update historacle API and computation docs

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robert-zaremba committed Dec 5, 2022
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- Nov 14, 2022: Additional scenario description (@brentxu)
- Nov 15, 2022: Add AcceptList functionality (@adamewozniak)
- Nov 28, 2022: Remove AcceptList functionality & Add Median Stamps (@adamewozniak)
- Dec 1, 2022: Update computation (@robert-zaremba)

## Status

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We define two epoch periods, during which additional computation will be performed:

- `Historic Stamp Period`: will determine how often exchange rates are stamped & stored, until the `Maximum Price Stamps` is met.
- `Median Stamp Period`: will determine how often the Median and the `Standard Deviation around the Median` are calculated, which will also be stored in the state machine.
- `Median Stamp Period`: will determine how often the Median and the Standard Deviations around the Median are calculated, which will also be stored in the state machine.

### Maximums

Expand All @@ -53,18 +54,18 @@ We define two Maximum values, which correspond to the most we will store of a me

### Historic Data Table

| Name | Description | How often it is recorded | When it is pruned |
| -------------- | -------------------------------------------------------------------- | ----------------------------- | ------------------------------------ |
| `Price Stamp` | A price for an asset recorded at a given block | Every `Historic Stamp Period` | After `Maximum Price Stamps` is met. |
| `Median Stamp` | Of a given asset & block, the median of the stored `Price Stamps` | Every `Median Stamp Period` | After `Maximum Median Stamps` is met. |
| Name | Description | How often it is recorded | When it is pruned |
| -------------- | ----------------------------------------------------------------- | ----------------------------- | ------------------------------------- |
| `Price Stamp` | A price for an asset recorded at a given block | Every `Historic Stamp Period` | After `Maximum Price Stamps` is met. |
| `Median Stamp` | Of a given asset & block, the median of the stored `Price Stamps` | Every `Median Stamp Period` | After `Maximum Median Stamps` is met. |

### Proposed API

Modules will have access to the following `keeper` functions from the `x/oracle` module:

- `HistoricMedian(denom) (sdk.Dec, error)` returns the median price of an asset in the last `Pruning Period`
- `WithinHistoricDeviation(denom) (bool, error)` returns whether or not the current price of an asset is within the `Standard Deviation around the Median`.
- `MedianOfMedians(denom string, blockNum int) sdk.Dec` returns the Median of the all the Medians recorded within the past `blockNum`.
- `HistoricMedian(denom) ([]sdk.Dec, error)` returns list median prices of an asset in the last `Pruning Period`
- `WithinHistoricDeviation(denom) (bool, error)` returns whether or not the current price of an asset is within the Standard Deviation around the Median.
- `MedianOfMedians(denom string, blockNum int) sdk.Dec` returns the Median of the all the Medians recorded within the past `blockNum`. TODO: what does it mean "within the past blockNum"?
- `AverageOfMedians(denom string, blockNum int) sdk.Dec` returns the Average of all the Medians recorded within the past `blockNum`.
- `MaxMedian(denom string, blockNum int) sdk.Dec` returns the Maximum of all the Medians recorded within the past `blockNum`.
- `MinMedian(denom string, blockNum int) sdk.Dec` returns the Minimum of all the Medians recorded within the past `blockNum`.
Expand Down Expand Up @@ -103,6 +104,7 @@ This will not introduce a new module, and it is relatively backwards compatible.
- We can continue listing low-volume assets for collateral.
- Use of an existing module rather than creating a new one.
- Protects against "borrowing + price dump" attacks which are not prevented by disabling low-volume asset collateral
- Storing multiple amount of medians allow clients to do their own calculation: average of medians, median of medians ...

### Negative

Expand Down Expand Up @@ -133,31 +135,31 @@ Alternatively, the Attacker can also dump the price of FOO and withdraw their US

Where we define:

> `Amount of Active Exchange Rates` = *ER*
> `Amount of Price Stamps` = *PS*
> `Sorting algorithm` = *Sort*
- `ER` = amount of Active Exchange Rates
- `PS` = amount of Price Stamps
- `D` = amount of denoms

At the end of each `Stamp Period`, we will :

Each `Stamp Period`, we will :
1. Prune `Historic Prices` (Median, Avg, ...) any which are past `Pruning Period`.
1. Collect current set of exchange rates, and copy them into the state with a key of `{Denom}{Block}` and value of TVWAP `ExchangeRate` (of that denom).
1. Prune exchange rates.

1. Iterate over `Historic Prices`, and prune any which are past `Pruning Period`.
2. Iterate over the current set of exchange rates, and copy them into the state with a key of `{Denom}{Block}` and value of `ExchangeRate`
Complexity: `D*(PS*(pruning_period/stamp_period) + 2*ER + 1)`

> *PS* + 2*ER* + 1
At the end of each `Median Period`, we will :

Each `Median Period`, we will :
- For each Denom, collect and sort price stamps.
- Find Median, and store it in state.
- Compute Standard Deviation around the Median, and store it in state.

- For each `Active Exchange Rate`, iterate over the price stamps and sort by ExchangeRate
- Find the `Median`, and store it in state
- Find the `Standard Deviation around the Median`, and store it in state
Given a standard deviation where we have the median of each denom, find the square of each price stamp's distance from the median, sum those values up, and average them:

Given a standard deviation where we have the median of each denom, find the square of each price stamp's distance from the median, sum those values up, and average them:

> *STD* = *ER*(2*H* + 2)
> STD = ER\*(2H + 2)
The cost of the `Median Period` is:

> (*ER* x *Sort*(*HP*) + 4) + (*ER* x *STD*)
> (ER x Sort(HP) + 4) + (ER x STD)
## References

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