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refactor: move upd_twap from upd_aggregate to rust upd_price #398

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Mar 25, 2024
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refactor: move upd_twap from upd_aggregate to rust upd_price #398

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a7c3877
move upd_twap from upd_aggregate to rust upd_price
cctdaniel Mar 21, 2024
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cctdaniel Mar 21, 2024
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cctdaniel Mar 21, 2024
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cctdaniel Mar 22, 2024
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9 changes: 0 additions & 9 deletions program/c/src/oracle/upd_aggregate.h
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Original file line number Diff line number Diff line change
Expand Up @@ -134,14 +134,6 @@ static inline void upd_twap(
// update aggregate price
static inline bool upd_aggregate( pc_price_t *ptr, uint64_t slot, int64_t timestamp )
{
// only re-compute aggregate in next slot
if ( slot <= ptr->agg_.pub_slot_ ) {
return false;
}

// get number of slots from last published valid price
int64_t agg_diff = ( int64_t )slot - ( int64_t )( ptr->last_slot_ );

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something to watch out for going forward is the if statement below this comment which updates the previous price. There's a chance that we introduce a bug that updates this multiple times on a single slot, which would make prev_slot == agg_.pub_slot_

// Update the value of the previous price, if it had TRADING status.
if ( ptr->agg_.status_ == PC_STATUS_TRADING ) {
ptr->prev_slot_ = ptr->agg_.pub_slot_;
Expand Down Expand Up @@ -224,7 +216,6 @@ static inline bool upd_aggregate( pc_price_t *ptr, uint64_t slot, int64_t timest
ptr->agg_.price_ = agg_price;
ptr->agg_.conf_ = (uint64_t)agg_conf;

upd_twap( ptr, agg_diff );
return true;
}

Expand Down
33 changes: 22 additions & 11 deletions program/rust/src/processor/upd_price.rs
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Expand Up @@ -177,21 +177,32 @@ pub fn upd_price(

// Try to update the aggregate
#[allow(unused_variables)]
let mut aggregate_updated = false;

// NOTE: c_upd_aggregate must use a raw pointer to price
// data. Solana's `<account>.borrow_*` methods require exclusive
// access, i.e. no other borrow can exist for the account.
#[allow(unused_assignments)]
if clock.slot > latest_aggregate_price.pub_slot_ {
unsafe {
aggregate_updated = c_upd_aggregate(
let aggregate_updated = if clock.slot > latest_aggregate_price.pub_slot_ {
let updated = unsafe {
// NOTE: c_upd_aggregate must use a raw pointer to price
// data. Solana's `<account>.borrow_*` methods require exclusive
// access, i.e. no other borrow can exist for the account.
c_upd_aggregate(
price_account.try_borrow_mut_data()?.as_mut_ptr(),
clock.slot,
clock.unix_timestamp,
);
)
};

// If the aggregate was successfully updated, calculate the difference and update TWAP.
if updated {
let agg_diff = (clock.slot as i64)
- load_checked::<PriceAccount>(price_account, cmd_args.header.version)?.prev_slot_
as i64;
// Encapsulate TWAP update logic in a function to minimize unsafe block scope.
unsafe {
c_upd_twap(price_account.try_borrow_mut_data()?.as_mut_ptr(), agg_diff);
}
}
}
updated
} else {
false
};

// Reload price data as a struct after c_upd_aggregate() borrow is dropped
let mut price_data = load_checked::<PriceAccount>(price_account, cmd_args.header.version)?;
Expand Down
8 changes: 0 additions & 8 deletions program/rust/src/tests/test_upd_aggregate.rs
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Expand Up @@ -100,8 +100,6 @@ fn test_upd_aggregate() {

assert_eq!(price_data.agg_.price_, 100);
assert_eq!(price_data.agg_.conf_, 10);
assert_eq!(price_data.twap_.val_, 100);
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Maybe better to keep the asserts and run c_upd_twap after c_upd_aggregate above

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hmm we already have a test_ema.rs which runs c_upd_twap do we need it here again?

assert_eq!(price_data.twac_.val_, 10);
assert_eq!(price_data.num_qt_, 1);
assert_eq!(price_data.timestamp_, 1);
assert_eq!(price_data.prev_slot_, 0);
Expand Down Expand Up @@ -134,8 +132,6 @@ fn test_upd_aggregate() {

assert_eq!(price_data.agg_.price_, 145);
assert_eq!(price_data.agg_.conf_, 55);
assert_eq!(price_data.twap_.val_, 106);
assert_eq!(price_data.twac_.val_, 16);
assert_eq!(price_data.num_qt_, 2);
assert_eq!(price_data.timestamp_, 2);
assert_eq!(price_data.prev_slot_, 1000);
Expand Down Expand Up @@ -169,8 +165,6 @@ fn test_upd_aggregate() {

assert_eq!(price_data.agg_.price_, 200);
assert_eq!(price_data.agg_.conf_, 90);
assert_eq!(price_data.twap_.val_, 114);
assert_eq!(price_data.twac_.val_, 23);
assert_eq!(price_data.num_qt_, 3);
assert_eq!(price_data.timestamp_, 3);
assert_eq!(price_data.prev_slot_, 1000);
Expand Down Expand Up @@ -205,8 +199,6 @@ fn test_upd_aggregate() {

assert_eq!(price_data.agg_.price_, 245);
assert_eq!(price_data.agg_.conf_, 85);
assert_eq!(price_data.twap_.val_, 125);
assert_eq!(price_data.twac_.val_, 28);
assert_eq!(price_data.num_qt_, 4);
assert_eq!(price_data.timestamp_, 4);
assert_eq!(price_data.last_slot_, 1001);
Expand Down
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