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change twap/twac to emap/emac #23

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merged 2 commits into from
Mar 3, 2022
Merged

change twap/twac to emap/emac #23

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79fcd44
change twap/twac to emap/emac
cctdaniel Mar 3, 2022
f304adf
use ema price and ema confidence for the enums
cctdaniel Mar 3, 2022
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23 changes: 10 additions & 13 deletions pythclient/pythaccounts.py
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Original file line number Diff line number Diff line change
Expand Up @@ -37,20 +37,17 @@ class PythPriceStatus(Enum):
class PythPriceType(Enum):
UNKNOWN = 0
PRICE = 1
# TWAP/VOL removed after V2
TWAP = 2
VOLATILITY = 3


# Join time-weighted exponential moving average for TWAP and TWAC
class TwEmaType(Enum):
# Join exponential moving average for EMA price and EMA confidence
class EmaType(Enum):
UNKNOWN = 0
TWAPVALUE = 1
TWAPNUMERATOR = 2
TWAPDENOMINATOR = 3
TWACVALUE = 4
TWACNUMERATOR = 5
TWACDENOMINATOR = 6
EMA_PRICE_VALUE = 1
EMA_PRICE_NUMERATOR = 2
EMA_PRICE_DENOMINATOR = 3
EMA_CONFIDENCE_VALUE = 4
EMA_CONFIDENCE_NUMERATOR = 5
EMA_CONFIDENCE_DENOMINATOR = 6


def _check_base64(format: str):
Expand Down Expand Up @@ -489,7 +486,7 @@ def __init__(self, key: SolanaPublicKey, solana: SolanaClient, *, product: Optio
self.next_price_account_key: Optional[SolanaPublicKey] = None
self.aggregate_price_info: Optional[PythPriceInfo] = None
self.price_components: List[PythPriceComponent] = []
self.derivations: Dict[TwEmaType, int] = {}
self.derivations: Dict[EmaType, int] = {}
self.min_publishers: Optional[int] = None

@property
Expand Down Expand Up @@ -557,7 +554,7 @@ def update_from(self, buffer: bytes, *, version: int, offset: int = 0) -> None:
last_slot, valid_slot = struct.unpack_from("<QQ", buffer, offset)
offset += 16 # QQ
derivations = list(struct.unpack_from("<6q", buffer, offset))
self.derivations = dict((type_, derivations[type_.value - 1]) for type_ in [TwEmaType.TWACVALUE, TwEmaType.TWAPVALUE])
self.derivations = dict((type_, derivations[type_.value - 1]) for type_ in [EmaType.EMA_CONFIDENCE_VALUE, EmaType.EMA_PRICE_VALUE])
offset += 48 # 6q
# All drv*_ fields sans min_publishers are currently unused
_, min_publishers = struct.unpack_from("<qQ", buffer, offset)
Expand Down