-
Notifications
You must be signed in to change notification settings - Fork 19
/
perpetual_snapshot.go
131 lines (118 loc) · 3.99 KB
/
perpetual_snapshot.go
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
// Copyright (C) 2023 Gobalsky Labs Limited
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU Affero General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU Affero General Public License for more details.
//
// You should have received a copy of the GNU Affero General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>.
package products
import (
"context"
"time"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/logging"
snapshotpb "code.vegaprotocol.io/vega/protos/vega/snapshot/v1"
)
func NewCachedTWAPFromSnapshot(
log *logging.Logger,
t int64,
auctions *auctionIntervals,
state *snapshotpb.TWAPData,
points []*snapshotpb.DataPoint,
) *cachedTWAP {
sum, _ := num.UintFromString(state.SumProduct, 10)
c := &cachedTWAP{
log: log,
periodStart: t,
start: state.Start,
end: state.End,
sumProduct: sum,
auctions: auctions,
}
c.points = make([]*dataPoint, 0, len(points))
for _, v := range points {
price, overflow := num.UintFromString(v.Price, 10)
if overflow {
log.Panic("invalid snapshot state in external data point", logging.String("price", v.Price), logging.Bool("overflow", overflow))
}
c.points = append(c.points, &dataPoint{price: price, t: v.Timestamp})
}
return c
}
func (c *cachedTWAP) serialise() *snapshotpb.TWAPData {
return &snapshotpb.TWAPData{
Start: c.start,
End: c.end,
SumProduct: c.sumProduct.String(),
}
}
func NewPerpetualFromSnapshot(
ctx context.Context,
log *logging.Logger,
p *types.Perps,
marketID string,
ts TimeService,
oe OracleEngine,
broker Broker,
state *snapshotpb.Perps,
assetDP uint32,
) (*Perpetual, error) {
// set next trigger from the settlement cue, it'll roll forward from `initial` to the next trigger time after `now`
tt := p.DataSourceSpecForSettlementSchedule.Data.GetInternalTimeTriggerSpecConfiguration()
tt.SetNextTrigger(ts.GetTimeNow().Truncate(time.Second))
perps, err := NewPerpetual(ctx, log, p, marketID, ts, oe, broker, assetDP)
if err != nil {
return nil, err
}
perps.startedAt = state.StartedAt
perps.seq = state.Seq
perps.auctions = &auctionIntervals{
auctionStart: state.AuctionIntervals.AuctionStart,
auctions: state.AuctionIntervals.T,
total: state.AuctionIntervals.Total,
}
perps.externalTWAP = NewCachedTWAPFromSnapshot(log, state.StartedAt, perps.auctions, state.ExternalTwapData, state.ExternalDataPoint)
perps.internalTWAP = NewCachedTWAPFromSnapshot(log, state.StartedAt, perps.auctions, state.InternalTwapData, state.InternalDataPoint)
return perps, nil
}
func (p *Perpetual) Serialize() *snapshotpb.Product {
perps := &snapshotpb.Perps{
Id: p.id,
Seq: p.seq,
StartedAt: p.startedAt,
ExternalDataPoint: make([]*snapshotpb.DataPoint, 0, len(p.internalTWAP.points)),
InternalDataPoint: make([]*snapshotpb.DataPoint, 0, len(p.externalTWAP.points)),
AuctionIntervals: &snapshotpb.AuctionIntervals{
AuctionStart: p.auctions.auctionStart,
T: p.auctions.auctions,
Total: p.auctions.total,
},
ExternalTwapData: p.externalTWAP.serialise(),
InternalTwapData: p.internalTWAP.serialise(),
}
for _, v := range p.externalTWAP.points {
perps.ExternalDataPoint = append(perps.ExternalDataPoint, &snapshotpb.DataPoint{
Price: v.price.String(),
Timestamp: v.t,
})
}
for _, v := range p.internalTWAP.points {
perps.InternalDataPoint = append(perps.InternalDataPoint, &snapshotpb.DataPoint{
Price: v.price.String(),
Timestamp: v.t,
})
}
return &snapshotpb.Product{
Type: &snapshotpb.Product_Perps{
Perps: perps,
},
}
}