feat: multi-quote deviation logic (backport #1110) (#1132)

* feat: multi-quote deviation logic (#1110) * fix multi quote deviation logic * test++ * tests++ * cl++ * add reddit as a provider * tests++ * cl++ * moar tests * fix this test just a tiny bit * add the multi-quote test case * make tests less lenient * add another btc pair to test cases for deviation logic * cleanup * cleanliness * cleanup tests * compute tests * clear up some comments & change this to a feature Co-authored-by: Robert Zaremba <robert@zaremba.ch> (cherry picked from commit a85f6dd) # Conflicts: # price-feeder/CHANGELOG.md # price-feeder/oracle/oracle.go * remove some of this stuff Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com>
umee-network · Jul 14, 2022 · a373b4b · a373b4b
1 parent b666930
commit a373b4b
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diff --git a/price-feeder/CHANGELOG.md b/price-feeder/CHANGELOG.md
@@ -48,6 +48,24 @@ Ref: https://keepachangelog.com/en/1.0.0/
 ### Improvements
 
 - [#978](https://github.com/umee-network/umee/pull/978) Cleanup the oracle package by moving deviation & conversion logic.
+
+### Features
+
+- [1110](https://github.com/umee-network/umee/pull/1110) Add the ability to detect deviations with multi-quoted prices, ex. using BTC/USD and BTC/ETH at the same time.
+- [#1038](https://github.com/umee-network/umee/pull/1038) Adds the option for validators to override API endpoints in our config.
+- [#1002](https://github.com/umee-network/umee/pull/1002) Add linting to the price feeder CI.
+- [#998](https://github.com/umee-network/umee/pull/998) Make deviation thresholds configurable for stablecoin support.
+
+## [v0.2.3](https://github.com/umee-network/umee/releases/tag/price-feeder%2Fv0.2.3) - 2022-06-30
+
+### Improvements
+
+- [#1069](https://github.com/umee-network/umee/pull/1069) Subscribe to node event EventNewBlockHeader to have the current chain height.
+
+## [v0.2.2](https://github.com/umee-network/umee/releases/tag/price-feeder%2Fv0.2.2) - 2022-06-27
+
+### Improvements
+
 - [#1050](https://github.com/umee-network/umee/pull/1050) Cache x/oracle params to decrease the number of queries to nodes.
 - [#1069](https://github.com/umee-network/umee/pull/1069) Subscribe to node event EventNewBlockHeader to have the current chain height.
 

diff --git a/price-feeder/oracle/convert.go b/price-feeder/oracle/convert.go
@@ -5,6 +5,7 @@ import (
 	"strings"
 
 	sdk "github.com/cosmos/cosmos-sdk/types"
+	"github.com/rs/zerolog"
 	"github.com/umee-network/umee/price-feeder/config"
 	"github.com/umee-network/umee/price-feeder/oracle/provider"
 	"github.com/umee-network/umee/price-feeder/oracle/types"
@@ -30,10 +31,15 @@ func getUSDBasedProviders(asset string, providerPairs map[string][]types.Currenc
 }
 
 // ConvertCandlesToUSD converts any candles which are not quoted in USD
-// to USD by other price feeds.
+// 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[string][]types.CurrencyPair,
+	deviationThresholds map[string]sdk.Dec,
 ) (provider.AggregatedProviderCandles, error) {
 	if len(candles) == 0 {
 		return candles, nil
@@ -71,7 +77,17 @@ func convertCandlesToUSD(
 				if len(validCandleList) == 0 {
 					return nil, fmt.Errorf("there are no valid conversion rates for %s", pair.Quote)
 				}
-				tvwap, err := ComputeTVWAP(validCandleList)
+
+				filteredCandles, err := FilterCandleDeviations(
+					logger,
+					validCandleList,
+					deviationThresholds,
+				)
+				if err != nil {
+					return nil, err
+				}
+
+				tvwap, err := ComputeTVWAP(filteredCandles)
 				if err != nil {
 					return nil, err
 				}
@@ -99,10 +115,15 @@ func convertCandlesToUSD(
 }
 
 // convertTickersToUSD converts any tickers which are not quoted in USD to USD,
-// using the conversion rates of other tickers.
+// 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[string][]types.CurrencyPair,
+	deviationThresholds map[string]sdk.Dec,
 ) (provider.AggregatedProviderPrices, error) {
 	if len(tickers) == 0 {
 		return tickers, nil
@@ -141,7 +162,17 @@ func convertTickersToUSD(
 				if len(validTickerList) == 0 {
 					return nil, fmt.Errorf("there are no valid conversion rates for %s", pair.Quote)
 				}
-				vwap, err := ComputeVWAP(validTickerList)
+
+				filteredTickers, err := FilterTickerDeviations(
+					logger,
+					validTickerList,
+					deviationThresholds,
+				)
+				if err != nil {
+					return nil, err
+				}
+
+				vwap, err := ComputeVWAP(filteredTickers)
 				if err != nil {
 					return nil, err
 				}

diff --git a/price-feeder/oracle/convert_test.go b/price-feeder/oracle/convert_test.go
@@ -5,12 +5,29 @@ import (
 	"time"
 
 	sdk "github.com/cosmos/cosmos-sdk/types"
+	"github.com/rs/zerolog"
 	"github.com/stretchr/testify/require"
 	"github.com/umee-network/umee/price-feeder/config"
 	"github.com/umee-network/umee/price-feeder/oracle/provider"
 	"github.com/umee-network/umee/price-feeder/oracle/types"
 )
 
+var (
+	atomPrice  = sdk.MustNewDecFromStr("29.93")
+	atomVolume = sdk.MustNewDecFromStr("894123.00")
+	usdtPrice  = sdk.MustNewDecFromStr("0.98")
+	usdtVolume = sdk.MustNewDecFromStr("894123.00")
+
+	atomPair = types.CurrencyPair{
+		Base:  "ATOM",
+		Quote: "USDT",
+	}
+	usdtPair = types.CurrencyPair{
+		Base:  "USDT",
+		Quote: "USD",
+	}
+)
+
 func TestGetUSDBasedProviders(t *testing.T) {
 	providerPairs := make(map[string][]types.CurrencyPair, 3)
 	providerPairs["coinbase"] = []types.CurrencyPair{
@@ -59,49 +76,97 @@ func TestGetUSDBasedProviders(t *testing.T) {
 
 func TestConvertCandlesToUSD(t *testing.T) {
 	providerCandles := make(provider.AggregatedProviderCandles, 2)
-	pairs := []types.CurrencyPair{
-		{
-			Base:  "ATOM",
-			Quote: "USDT",
-		},
-		{
-			Base:  "USDT",
-			Quote: "USD",
-		},
+
+	binanceCandles := map[string][]provider.CandlePrice{
+		"ATOM": {{
+			Price:     atomPrice,
+			Volume:    atomVolume,
+			TimeStamp: provider.PastUnixTime(1 * time.Minute),
+		}},
 	}
+	providerCandles[config.ProviderBinance] = binanceCandles
 
-	atomPrice := sdk.MustNewDecFromStr("29.93")
-	atomVolume := sdk.MustNewDecFromStr("894123.00")
+	krakenCandles := map[string][]provider.CandlePrice{
+		"USDT": {{
+			Price:     usdtPrice,
+			Volume:    usdtVolume,
+			TimeStamp: provider.PastUnixTime(1 * time.Minute),
+		}},
+	}
+	providerCandles[config.ProviderKraken] = krakenCandles
 
-	usdtPrice := sdk.MustNewDecFromStr("0.98")
-	usdtVolume := sdk.MustNewDecFromStr("894123.00")
+	providerPairs := map[string][]types.CurrencyPair{
+		config.ProviderBinance: {atomPair},
+		config.ProviderKraken:  {usdtPair},
+	}
 
-	binanceCandles := make(map[string][]provider.CandlePrice, 1)
-	binanceCandles["ATOM"] = []provider.CandlePrice{
-		{
+	convertedCandles, err := convertCandlesToUSD(
+		zerolog.Nop(),
+		providerCandles,
+		providerPairs,
+		make(map[string]sdk.Dec),
+	)
+	require.NoError(t, err)
+
+	require.Equal(
+		t,
+		atomPrice.Mul(usdtPrice),
+		convertedCandles["binance"]["ATOM"][0].Price,
+	)
+}
+
+func TestConvertCandlesToUSDFiltering(t *testing.T) {
+	providerCandles := make(provider.AggregatedProviderCandles, 2)
+
+	binanceCandles := map[string][]provider.CandlePrice{
+		"ATOM": {{
 			Price:     atomPrice,
 			Volume:    atomVolume,
 			TimeStamp: provider.PastUnixTime(1 * time.Minute),
-		},
+		}},
 	}
 	providerCandles[config.ProviderBinance] = binanceCandles
 
-	krakenCandles := make(map[string][]provider.CandlePrice, 1)
-	krakenCandles["USDT"] = []provider.CandlePrice{
-		{
+	krakenCandles := map[string][]provider.CandlePrice{
+		"USDT": {{
 			Price:     usdtPrice,
 			Volume:    usdtVolume,
 			TimeStamp: provider.PastUnixTime(1 * time.Minute),
-		},
+		}},
 	}
 	providerCandles[config.ProviderKraken] = krakenCandles
 
+	gateCandles := map[string][]provider.CandlePrice{
+		"USDT": {{
+			Price:     usdtPrice,
+			Volume:    usdtVolume,
+			TimeStamp: provider.PastUnixTime(1 * time.Minute),
+		}},
+	}
+	providerCandles[config.ProviderGate] = gateCandles
+
+	okxCandles := map[string][]provider.CandlePrice{
+		"USDT": {{
+			Price:     sdk.MustNewDecFromStr("100.0"),
+			Volume:    usdtVolume,
+			TimeStamp: provider.PastUnixTime(1 * time.Minute),
+		}},
+	}
+	providerCandles[config.ProviderOkx] = okxCandles
+
 	providerPairs := map[string][]types.CurrencyPair{
-		config.ProviderBinance: {pairs[0]},
-		config.ProviderKraken:  {pairs[1]},
+		config.ProviderBinance: {atomPair},
+		config.ProviderKraken:  {usdtPair},
+		config.ProviderGate:    {usdtPair},
+		config.ProviderOkx:     {usdtPair},
 	}
 
-	convertedCandles, err := convertCandlesToUSD(providerCandles, providerPairs)
+	convertedCandles, err := convertCandlesToUSD(
+		zerolog.Nop(),
+		providerCandles,
+		providerPairs,
+		make(map[string]sdk.Dec),
+	)
 	require.NoError(t, err)
 
 	require.Equal(
@@ -113,48 +178,93 @@ func TestConvertCandlesToUSD(t *testing.T) {
 
 func TestConvertTickersToUSD(t *testing.T) {
 	providerPrices := make(provider.AggregatedProviderPrices, 2)
-	pairs := []types.CurrencyPair{
-		{
-			Base:  "ATOM",
-			Quote: "USDT",
+
+	binanceTickers := map[string]provider.TickerPrice{
+		"ATOM": {
+			Price:  atomPrice,
+			Volume: atomVolume,
 		},
-		{
-			Base:  "USDT",
-			Quote: "USD",
+	}
+	providerPrices[config.ProviderBinance] = binanceTickers
+
+	krakenTicker := map[string]provider.TickerPrice{
+		"USDT": {
+			Price:  usdtPrice,
+			Volume: usdtVolume,
 		},
 	}
+	providerPrices[config.ProviderKraken] = krakenTicker
 
-	atomPrice := sdk.MustNewDecFromStr("29.93")
-	atomVolume := sdk.MustNewDecFromStr("894123.00")
+	providerPairs := map[string][]types.CurrencyPair{
+		config.ProviderBinance: {atomPair},
+		config.ProviderKraken:  {usdtPair},
+	}
 
-	usdtPrice := sdk.MustNewDecFromStr("0.98")
-	usdtVolume := sdk.MustNewDecFromStr("894123.00")
+	convertedTickers, err := convertTickersToUSD(
+		zerolog.Nop(),
+		providerPrices,
+		providerPairs,
+		make(map[string]sdk.Dec),
+	)
+	require.NoError(t, err)
+
+	require.Equal(
+		t,
+		atomPrice.Mul(usdtPrice),
+		convertedTickers["binance"]["ATOM"].Price,
+	)
+}
+
+func TestConvertTickersToUSDFiltering(t *testing.T) {
+	providerPrices := make(provider.AggregatedProviderPrices, 2)
 
-	binanceTickers := make(map[string]provider.TickerPrice, 1)
-	binanceTickers["ATOM"] = provider.TickerPrice{
-		Price:  atomPrice,
-		Volume: atomVolume,
+	binanceTickers := map[string]provider.TickerPrice{
+		"ATOM": {
+			Price:  atomPrice,
+			Volume: atomVolume,
+		},
 	}
 	providerPrices[config.ProviderBinance] = binanceTickers
 
-	krakenTicker := make(map[string]provider.TickerPrice, 1)
-	krakenTicker["USDT"] = provider.TickerPrice{
-		Price:  usdtPrice,
-		Volume: usdtVolume,
+	krakenTicker := map[string]provider.TickerPrice{
+		"USDT": {
+			Price:  usdtPrice,
+			Volume: usdtVolume,
+		},
 	}
 	providerPrices[config.ProviderKraken] = krakenTicker
 
+	gateTicker := map[string]provider.TickerPrice{
+		"USDT": krakenTicker["USDT"],
+	}
+	providerPrices[config.ProviderGate] = gateTicker
+
+	huobiTicker := map[string]provider.TickerPrice{
+		"USDT": {
+			Price:  sdk.MustNewDecFromStr("10000"),
+			Volume: usdtVolume,
+		},
+	}
+	providerPrices[config.ProviderHuobi] = huobiTicker
+
 	providerPairs := map[string][]types.CurrencyPair{
-		config.ProviderBinance: {pairs[0]},
-		config.ProviderKraken:  {pairs[1]},
+		config.ProviderBinance: {atomPair},
+		config.ProviderKraken:  {usdtPair},
+		config.ProviderGate:    {usdtPair},
+		config.ProviderHuobi:   {usdtPair},
 	}
 
-	convertedTickers, err := convertTickersToUSD(providerPrices, providerPairs)
+	covertedDeviation, err := convertTickersToUSD(
+		zerolog.Nop(),
+		providerPrices,
+		providerPairs,
+		make(map[string]sdk.Dec),
+	)
 	require.NoError(t, err)
 
 	require.Equal(
 		t,
 		atomPrice.Mul(usdtPrice),
-		convertedTickers["binance"]["ATOM"].Price,
+		covertedDeviation["binance"]["ATOM"].Price,
 	)
 }