feat: Add keeper methods for historacle prices and medians (#1548)

* Add keeper methods for historacle prices and medians * Add HistoraclePricing test * fix sim-non-determinism * get rid of getstampperiodhistoricprices * Update x/oracle/keeper/params.go Co-authored-by: Robert Zaremba <robert@zaremba.ch> * Update x/oracle/keeper/params.go Co-authored-by: Robert Zaremba <robert@zaremba.ch> * Update x/oracle/keeper/historic_price.go Co-authored-by: Robert Zaremba <robert@zaremba.ch> * Update x/oracle/keeper/historic_price.go Co-authored-by: Robert Zaremba <robert@zaremba.ch> * Update x/oracle/keeper/historic_price.go Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com> * Update x/oracle/keeper/historic_price.go Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com> * Update x/oracle/types/params.go Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com> * Update x/oracle/keeper/historic_price.go Co-authored-by: Robert Zaremba <robert@zaremba.ch> * PR suggestions * Add median deviation keeper * gofmt * Update proto with MedianPeriod and leaner HistoricPrice type * Add delete methods for median and median deviation * Update proto/umee/oracle/v1/oracle.proto Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com> * Update proto/umee/oracle/v1/oracle.proto Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com> * Update x/oracle/keeper/historic_price.go Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com> * Update x/oracle/keeper/historic_price.go Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com> * Make historic price getter private and create error types for medians * Add method for appending denom and block to key * Empty-Commit Co-authored-by: Robert Zaremba <robert@zaremba.ch> Co-authored-by: Adam Wozniak <29418299+adamewozniak@users.noreply.github.com>
umee-network · Nov 10, 2022 · efd74a6 · efd74a6
1 parent acad48b
commit efd74a6
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Showing 10 changed files with 622 additions and 75 deletions.
diff --git a/proto/umee/oracle/v1/oracle.proto b/proto/umee/oracle/v1/oracle.proto
@@ -47,6 +47,10 @@ message Params {
   // Prune Period represents the maximum amount of blocks which we want
   // to keep a record of our set of exchange rates.
   uint64 prune_period = 10;
+  // Median Period represents the amount blocks we will wait between
+  // calculating the median and standard deviation of the median of
+  // historic prices in the last Prune Period.
+  uint64 median_period = 11;
 }
 
 // Denom - the object to hold configurations of each denom
@@ -107,9 +111,9 @@ message ExchangeRateTuple {
 
 // HistoricPrice is an instance of a price "stamp"
 message HistoricPrice {
-  ExchangeRateTuple exchange_rates = 1 [
-    (gogoproto.castrepeated) = "ExchangeRateTuples",
-    (gogoproto.nullable)     = false
+  ExchangeRateTuple exchange_rate = 1 [
+    (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
+    (gogoproto.nullable)   = false
   ];
   uint64 block_num = 2;
 }
diff --git a/x/oracle/keeper/historic_price.go b/x/oracle/keeper/historic_price.go
@@ -0,0 +1,205 @@
+package keeper
+
+import (
+	"fmt"
+	"sort"
+
+	sdk "github.com/cosmos/cosmos-sdk/types"
+	sdkerrors "github.com/cosmos/cosmos-sdk/types/errors"
+
+	"github.com/umee-network/umee/v3/x/oracle/types"
+)
+
+// median returns the median of a list of historic prices.
+func median(prices []types.HistoricPrice) sdk.Dec {
+	lenPrices := len(prices)
+	if lenPrices == 0 {
+		return sdk.ZeroDec()
+	}
+
+	sort.Slice(prices, func(i, j int) bool {
+		return prices[i].ExchangeRate.BigInt().
+			Cmp(prices[j].ExchangeRate.BigInt()) > 0
+	})
+
+	if lenPrices%2 == 0 {
+		return prices[lenPrices/2-1].ExchangeRate.
+			Add(prices[lenPrices/2].ExchangeRate).
+			QuoInt64(2)
+	}
+	return prices[lenPrices/2].ExchangeRate
+}
+
+// medianDeviation returns the standard deviation around the
+// median of a list of prices.
+// medianDeviation = ∑((price - median)^2 / len(prices))
+func medianDeviation(median sdk.Dec, prices []types.HistoricPrice) sdk.Dec {
+	lenPrices := len(prices)
+	medianDeviation := sdk.ZeroDec()
+
+	for _, price := range prices {
+		medianDeviation = medianDeviation.Add(price.ExchangeRate.
+			Sub(median).Abs().Power(2).
+			QuoInt64(int64(lenPrices)))
+	}
+
+	return medianDeviation
+}
+
+// GetMedian returns a given denom's median price in the last prune
+// period since a given block.
+func (k Keeper) GetMedian(
+	ctx sdk.Context,
+	denom string,
+	blockNum uint64,
+) (sdk.Dec, error) {
+	store := ctx.KVStore(k.storeKey)
+	bz := store.Get(types.GetMedianKey(denom, blockNum))
+	if bz == nil {
+		return sdk.ZeroDec(), sdkerrors.Wrap(types.ErrNoMedian, fmt.Sprintf("denom: %s block: %d", denom, blockNum))
+	}
+
+	decProto := sdk.DecProto{}
+	k.cdc.MustUnmarshal(bz, &decProto)
+
+	return decProto.Dec, nil
+}
+
+// SetMedian uses all the historic prices of a given denom to calculate
+// its median price in the last prune period since the current block and
+// set it to the store. It will also call setMedianDeviation with the
+// calculated median.
+func (k Keeper) SetMedian(
+	ctx sdk.Context,
+	denom string,
+) {
+	store := ctx.KVStore(k.storeKey)
+	historicPrices := k.getHistoricPrices(ctx, denom)
+	median := median(historicPrices)
+	bz := k.cdc.MustMarshal(&sdk.DecProto{Dec: median})
+	store.Set(types.GetMedianKey(denom, uint64(ctx.BlockHeight())), bz)
+	k.setMedianDeviation(ctx, denom, median, historicPrices)
+}
+
+// GetMedianDeviation returns a given denom's standard deviation around
+// its median price in the last prune period since a given block.
+func (k Keeper) GetMedianDeviation(
+	ctx sdk.Context,
+	denom string,
+	blockNum uint64,
+) (sdk.Dec, error) {
+	store := ctx.KVStore(k.storeKey)
+	bz := store.Get(types.GetMedianDeviationKey(denom, blockNum))
+	if bz == nil {
+		return sdk.ZeroDec(), sdkerrors.Wrap(types.ErrNoMedianDeviation, fmt.Sprintf("denom: %s block: %d", denom, blockNum))
+	}
+
+	decProto := sdk.DecProto{}
+	k.cdc.MustUnmarshal(bz, &decProto)
+
+	return decProto.Dec, nil
+}
+
+// setMedianDeviation sets a given denom's standard deviation around
+// its median price in the last prune period since the current block.
+func (k Keeper) setMedianDeviation(
+	ctx sdk.Context,
+	denom string,
+	median sdk.Dec,
+	prices []types.HistoricPrice,
+) {
+	store := ctx.KVStore(k.storeKey)
+	medianDeviation := medianDeviation(median, prices)
+	bz := k.cdc.MustMarshal(&sdk.DecProto{Dec: medianDeviation})
+	store.Set(types.GetMedianDeviationKey(denom, uint64(ctx.BlockHeight())), bz)
+}
+
+// getHistoricPrices returns all the historic prices of a given denom.
+func (k Keeper) getHistoricPrices(
+	ctx sdk.Context,
+	denom string,
+) []types.HistoricPrice {
+	historicPrices := []types.HistoricPrice{}
+
+	k.IterateHistoricPrices(ctx, denom, func(exchangeRate sdk.Dec, blockNum uint64) bool {
+		historicPrices = append(historicPrices, types.HistoricPrice{
+			ExchangeRate: exchangeRate,
+			BlockNum:     blockNum,
+		})
+
+		return false
+	})
+
+	return historicPrices
+}
+
+// IterateHistoricPrices iterates over historic prices of a given
+// denom in the store.
+// Iterator stops when exhausting the source, or when the handler returns `true`.
+func (k Keeper) IterateHistoricPrices(
+	ctx sdk.Context,
+	denom string,
+	handler func(sdk.Dec, uint64) bool,
+) {
+	store := ctx.KVStore(k.storeKey)
+
+	iter := sdk.KVStorePrefixIterator(store, append(types.KeyPrefixHistoricPrice, []byte(denom)...))
+	defer iter.Close()
+
+	for ; iter.Valid(); iter.Next() {
+		var historicPrice types.HistoricPrice
+		k.cdc.MustUnmarshal(iter.Value(), &historicPrice)
+		if handler(historicPrice.ExchangeRate, historicPrice.BlockNum) {
+			break
+		}
+	}
+}
+
+// AddHistoricPrice adds the historic price of a denom at the current
+// block height.
+func (k Keeper) AddHistoricPrice(
+	ctx sdk.Context,
+	denom string,
+	exchangeRate sdk.Dec,
+) {
+	store := ctx.KVStore(k.storeKey)
+	block := uint64(ctx.BlockHeight())
+	bz := k.cdc.MustMarshal(&types.HistoricPrice{
+		ExchangeRate: exchangeRate,
+		BlockNum:     block,
+	})
+	store.Set(types.GetHistoricPriceKey(denom, block), bz)
+}
+
+// DeleteHistoricPrice deletes the historic price of a denom at a
+// given block.
+func (k Keeper) DeleteHistoricPrice(
+	ctx sdk.Context,
+	denom string,
+	blockNum uint64,
+) {
+	store := ctx.KVStore(k.storeKey)
+	store.Delete(types.GetHistoricPriceKey(denom, blockNum))
+}
+
+// DeleteMedian deletes a given denom's median price in the last prune
+// period since a given block.
+func (k Keeper) DeleteMedian(
+	ctx sdk.Context,
+	denom string,
+	blockNum uint64,
+) {
+	store := ctx.KVStore(k.storeKey)
+	store.Delete(types.GetMedianKey(denom, blockNum))
+}
+
+// DeleteMedianDeviation deletes a given denom's standard deviation around
+// its median price in the last prune period since a given block.
+func (k Keeper) DeleteMedianDeviation(
+	ctx sdk.Context,
+	denom string,
+	blockNum uint64,
+) {
+	store := ctx.KVStore(k.storeKey)
+	store.Delete(types.GetMedianDeviationKey(denom, blockNum))
+}
diff --git a/x/oracle/keeper/historic_price_test.go b/x/oracle/keeper/historic_price_test.go
@@ -0,0 +1,50 @@
+package keeper_test
+
+import (
+	sdk "github.com/cosmos/cosmos-sdk/types"
+	sdkerrors "github.com/cosmos/cosmos-sdk/types/errors"
+
+	"github.com/umee-network/umee/v3/x/oracle/types"
+)
+
+func (s *IntegrationTestSuite) TestSetHistoraclePricing() {
+	app, ctx := s.app, s.ctx
+
+	// set exchange rate in store before adding a historic price
+	app.OracleKeeper.SetExchangeRate(ctx, displayDenom, sdk.OneDec())
+	rate, err := app.OracleKeeper.GetExchangeRate(ctx, displayDenom)
+	s.Require().NoError(err)
+	s.Require().Equal(rate, sdk.OneDec())
+
+	// add multiple historic prices to store
+	exchangeRates := []string{"1.0", "1.2", "1.1", "1.4"}
+	for _, exchangeRate := range exchangeRates {
+		app.OracleKeeper.AddHistoricPrice(ctx, displayDenom, sdk.MustNewDecFromStr(exchangeRate))
+
+		// update blockheight
+		ctx = ctx.WithBlockHeight(ctx.BlockHeight() + 1)
+	}
+
+	// set and check median and median standard deviation
+	app.OracleKeeper.SetMedian(ctx, displayDenom)
+	median, err := app.OracleKeeper.GetMedian(ctx, displayDenom, uint64(ctx.BlockHeight()))
+	s.Require().NoError(err)
+	s.Require().Equal(median, sdk.MustNewDecFromStr("1.15"))
+
+	medianDeviation, err := app.OracleKeeper.GetMedianDeviation(ctx, displayDenom, uint64(ctx.BlockHeight()))
+	s.Require().NoError(err)
+	s.Require().Equal(medianDeviation, sdk.MustNewDecFromStr("0.0225"))
+
+	// delete first historic price, median, and median standard deviation
+	app.OracleKeeper.DeleteHistoricPrice(ctx, displayDenom, uint64(ctx.BlockHeight()-3))
+	app.OracleKeeper.DeleteMedian(ctx, displayDenom, uint64(ctx.BlockHeight()))
+	app.OracleKeeper.DeleteMedianDeviation(ctx, displayDenom, uint64(ctx.BlockHeight()))
+
+	median, err = app.OracleKeeper.GetMedian(ctx, displayDenom, uint64(ctx.BlockHeight()))
+	s.Require().Error(err, sdkerrors.Wrap(types.ErrUnknownDenom, displayDenom))
+	s.Require().Equal(median, sdk.ZeroDec())
+
+	medianDeviation, err = app.OracleKeeper.GetMedianDeviation(ctx, displayDenom, uint64(ctx.BlockHeight()))
+	s.Require().Error(err, sdkerrors.Wrap(types.ErrUnknownDenom, displayDenom))
+	s.Require().Equal(median, sdk.ZeroDec())
+}
diff --git a/x/oracle/keeper/params.go b/x/oracle/keeper/params.go
@@ -63,6 +63,47 @@ func (k Keeper) MinValidPerWindow(ctx sdk.Context) (res sdk.Dec) {
 	return
 }
 
+// StampPeriod returns the amount of blocks the oracle module waits
+// between recording a set of prices.
+func (k Keeper) StampPeriod(ctx sdk.Context) (res uint64) {
+	k.paramSpace.Get(ctx, types.KeyStampPeriod, &res)
+	return
+}
+
+// SetStampPeriod updates the amount of blocks the oracle module waits
+// between recording a set of prices.
+func (k Keeper) SetStampPeriod(ctx sdk.Context, stampPeriod uint64) {
+	k.paramSpace.Set(ctx, types.KeyStampPeriod, stampPeriod)
+}
+
+// PrunePeriod returns the max amount of blocks that a record of the set
+// of exchanges is kept.
+func (k Keeper) PrunePeriod(ctx sdk.Context) (res uint64) {
+	k.paramSpace.Get(ctx, types.KeyPrunePeriod, &res)
+	return
+}
+
+// SetPrunePeriod updates the max amount of blocks that a record of the set
+// of exchanges is kept.
+func (k Keeper) SetPrunePeriod(ctx sdk.Context, prunePeriod uint64) {
+	k.paramSpace.Set(ctx, types.KeyPrunePeriod, prunePeriod)
+}
+
+// MedianPeriod returns the amount blocks we will wait between calculating the
+// median and standard deviation of the median of historic prices in the
+// last Prune Period.
+func (k Keeper) MedianPeriod(ctx sdk.Context) (res uint64) {
+	k.paramSpace.Get(ctx, types.KeyMedianPeriod, &res)
+	return
+}
+
+// MedianPeriod updates the amount blocks we will wait between calculating the
+// median and standard deviation of the median of historic prices in the
+// last Prune Period.
+func (k Keeper) SetMedianPeriod(ctx sdk.Context, medianPeriod uint64) {
+	k.paramSpace.Set(ctx, types.KeyMedianPeriod, medianPeriod)
+}
+
 // GetParams returns the total set of oracle parameters.
 func (k Keeper) GetParams(ctx sdk.Context) (params types.Params) {
 	k.paramSpace.GetParamSet(ctx, &params)

diff --git a/x/oracle/simulations/genesis.go b/x/oracle/simulations/genesis.go
@@ -19,6 +19,9 @@ const (
 	slashFractionKey            = "slash_fraction"
 	slashWindowKey              = "slash_window"
 	minValidPerWindowKey        = "min_valid_per_window"
+	stampPeriodKey              = "stamp_period"
+	prunePeriodKey              = "prune_period"
+	medianPeriodKey             = "median_period"
 )
 
 // GenVotePeriod produces a randomized VotePeriod in the range of [5, 100]
@@ -56,6 +59,21 @@ func GenMinValidPerWindow(r *rand.Rand) sdk.Dec {
 	return sdk.ZeroDec().Add(sdk.NewDecWithPrec(int64(r.Intn(500)), 3))
 }
 
+// GenStampPeriod produces a randomized StampPeriod in the range of [100, 1000]
+func GenStampPeriod(r *rand.Rand) uint64 {
+	return uint64(100 + r.Intn(1000))
+}
+
+// GenPrunePeriod produces a randomized PrunePeriod in the range of [10001, 100000]
+func GenPrunePeriod(r *rand.Rand) uint64 {
+	return uint64(10001 + r.Intn(100000))
+}
+
+// GenMedianPeriod produces a randomized MedianPeriod in the range of [1001, 10000]
+func GenMedianPeriod(r *rand.Rand) uint64 {
+	return uint64(1001 + r.Intn(10000))
+}
+
 // RandomizedGenState generates a random GenesisState for oracle
 func RandomizedGenState(simState *module.SimulationState) {
 	var votePeriod uint64
@@ -100,6 +118,24 @@ func RandomizedGenState(simState *module.SimulationState) {
 		func(r *rand.Rand) { minValidPerWindow = GenMinValidPerWindow(r) },
 	)
 
+	var stampPeriod uint64
+	simState.AppParams.GetOrGenerate(
+		simState.Cdc, stampPeriodKey, &stampPeriod, simState.Rand,
+		func(r *rand.Rand) { stampPeriod = GenStampPeriod(r) },
+	)
+
+	var prunePeriod uint64
+	simState.AppParams.GetOrGenerate(
+		simState.Cdc, prunePeriodKey, &prunePeriod, simState.Rand,
+		func(r *rand.Rand) { prunePeriod = GenPrunePeriod(r) },
+	)
+
+	var medianPeriod uint64
+	simState.AppParams.GetOrGenerate(
+		simState.Cdc, medianPeriodKey, &medianPeriod, simState.Rand,
+		func(r *rand.Rand) { medianPeriod = GenMedianPeriod(r) },
+	)
+
 	oracleGenesis := types.NewGenesisState(
 		types.Params{
 			VotePeriod:               votePeriod,
@@ -112,6 +148,9 @@ func RandomizedGenState(simState *module.SimulationState) {
 			SlashFraction:     slashFraction,
 			SlashWindow:       slashWindow,
 			MinValidPerWindow: minValidPerWindow,
+			StampPeriod:       stampPeriod,
+			PrunePeriod:       prunePeriod,
+			MedianPeriod:      medianPeriod,
 		},
 		[]types.ExchangeRateTuple{},
 		[]types.FeederDelegation{},