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Fix trade prices (#3915)
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@tamirms
tamirms authored Sep 14, 2021
1 parent 7b83dc4 commit 9e69521
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Showing 7 changed files with 122 additions and 88 deletions.
113 changes: 76 additions & 37 deletions protocols/horizon/main.go
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,7 @@ package horizon
import (
"encoding/base64"
"encoding/json"
"math/big"
"strconv"
"time"

Expand Down Expand Up @@ -297,7 +298,7 @@ func (p Path) PagingToken() string {
return ""
}

// Price represents a price
// Price represents a price for an offer
type Price base.Price

// PriceLevel represents an aggregation of offers that share a given price
Expand Down Expand Up @@ -356,6 +357,44 @@ type Signer struct {
Sponsor string `json:"sponsor,omitempty"`
}

// TradePrice represents a price for a trade
type TradePrice struct {
N int64 `json:"n,string"`
D int64 `json:"d,string"`
}

// String returns a string representation of the trade price
func (p TradePrice) String() string {
return big.NewRat(p.N, p.D).FloatString(7)
}

// UnmarshalJSON implements a custom unmarshaler for TradePrice
// which can handle a numerator and denominator fields which can be a string or int
func (p *TradePrice) UnmarshalJSON(data []byte) error {
v := struct {
N json.Number `json:"n"`
D json.Number `json:"d"`
}{}
err := json.Unmarshal(data, &v)
if err != nil {
return err
}

if v.N != "" {
p.N, err = v.N.Int64()
if err != nil {
return err
}
}
if v.D != "" {
p.D, err = v.D.Int64()
if err != nil {
return err
}
}
return nil
}

// Trade represents a horizon digested trade
type Trade struct {
Links struct {
Expand All @@ -365,28 +404,28 @@ type Trade struct {
Operation hal.Link `json:"operation"`
} `json:"_links"`

ID string `json:"id"`
PT string `json:"paging_token"`
LedgerCloseTime time.Time `json:"ledger_close_time"`
OfferID string `json:"offer_id,omitempty"`
TradeType string `json:"trade_type"`
LiquidityPoolFeeBP uint32 `json:"liquidity_pool_fee_bp,omitempty"`
BaseLiquidityPoolID string `json:"base_liquidity_pool_id,omitempty"`
BaseOfferID string `json:"base_offer_id,omitempty"`
BaseAccount string `json:"base_account,omitempty"`
BaseAmount string `json:"base_amount"`
BaseAssetType string `json:"base_asset_type"`
BaseAssetCode string `json:"base_asset_code,omitempty"`
BaseAssetIssuer string `json:"base_asset_issuer,omitempty"`
CounterLiquidityPoolID string `json:"counter_liquidity_pool_id,omitempty"`
CounterOfferID string `json:"counter_offer_id,omitempty"`
CounterAccount string `json:"counter_account"`
CounterAmount string `json:"counter_amount"`
CounterAssetType string `json:"counter_asset_type"`
CounterAssetCode string `json:"counter_asset_code,omitempty"`
CounterAssetIssuer string `json:"counter_asset_issuer,omitempty"`
BaseIsSeller bool `json:"base_is_seller"`
Price *Price `json:"price"`
ID string `json:"id"`
PT string `json:"paging_token"`
LedgerCloseTime time.Time `json:"ledger_close_time"`
OfferID string `json:"offer_id,omitempty"`
TradeType string `json:"trade_type"`
LiquidityPoolFeeBP uint32 `json:"liquidity_pool_fee_bp,omitempty"`
BaseLiquidityPoolID string `json:"base_liquidity_pool_id,omitempty"`
BaseOfferID string `json:"base_offer_id,omitempty"`
BaseAccount string `json:"base_account,omitempty"`
BaseAmount string `json:"base_amount"`
BaseAssetType string `json:"base_asset_type"`
BaseAssetCode string `json:"base_asset_code,omitempty"`
BaseAssetIssuer string `json:"base_asset_issuer,omitempty"`
CounterLiquidityPoolID string `json:"counter_liquidity_pool_id,omitempty"`
CounterOfferID string `json:"counter_offer_id,omitempty"`
CounterAccount string `json:"counter_account"`
CounterAmount string `json:"counter_amount"`
CounterAssetType string `json:"counter_asset_type"`
CounterAssetCode string `json:"counter_asset_code,omitempty"`
CounterAssetIssuer string `json:"counter_asset_issuer,omitempty"`
BaseIsSeller bool `json:"base_is_seller"`
Price TradePrice `json:"price,omitempty"`
}

// PagingToken implementation for hal.Pageable
Expand Down Expand Up @@ -421,19 +460,19 @@ type TradeEffect struct {

// TradeAggregation represents trade data aggregation over a period of time
type TradeAggregation struct {
Timestamp int64 `json:"timestamp,string"`
TradeCount int64 `json:"trade_count,string"`
BaseVolume string `json:"base_volume"`
CounterVolume string `json:"counter_volume"`
Average string `json:"avg"`
High string `json:"high"`
HighR xdr.Price `json:"high_r"`
Low string `json:"low"`
LowR xdr.Price `json:"low_r"`
Open string `json:"open"`
OpenR xdr.Price `json:"open_r"`
Close string `json:"close"`
CloseR xdr.Price `json:"close_r"`
Timestamp int64 `json:"timestamp,string"`
TradeCount int64 `json:"trade_count,string"`
BaseVolume string `json:"base_volume"`
CounterVolume string `json:"counter_volume"`
Average string `json:"avg"`
High string `json:"high"`
HighR TradePrice `json:"high_r"`
Low string `json:"low"`
LowR TradePrice `json:"low_r"`
Open string `json:"open"`
OpenR TradePrice `json:"open_r"`
Close string `json:"close"`
CloseR TradePrice `json:"close_r"`
}

// PagingToken implementation for hal.Pageable. Not actually used
Expand Down Expand Up @@ -524,7 +563,7 @@ func (t Transaction) MarshalJSON() ([]byte, error) {
}

// UnmarshalJSON implements a custom unmarshaler for Transaction
// which can handle a max_fee field which can be a string of int
// which can handle a max_fee field which can be a string or int
func (t *Transaction) UnmarshalJSON(data []byte) error {
type Alias Transaction // we define Alias to avoid infinite recursion when calling UnmarshalJSON()
v := &struct {
Expand Down
6 changes: 3 additions & 3 deletions services/horizon/internal/actions_trade_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -311,8 +311,8 @@ func assertResponseTradeEqualsDBTrade(ht *HTTPT, row history.Trade, record horiz
ht.Assert.Equal(uint32(row.LiquidityPoolFee.Int64), record.LiquidityPoolFeeBP)
ht.Assert.Equal(row.PagingToken(), record.PagingToken())
ht.Assert.Equal(row.LedgerCloseTime.Unix(), record.LedgerCloseTime.Unix())
ht.Assert.Equal(int32(row.PriceN.Int64), record.Price.N)
ht.Assert.Equal(int32(row.PriceD.Int64), record.Price.D)
ht.Assert.Equal(row.PriceN.Int64, record.Price.N)
ht.Assert.Equal(row.PriceD.Int64, record.Price.D)

if row.BaseLiquidityPoolID.Valid || row.CounterLiquidityPoolID.Valid {
ht.Assert.Equal(history.LiquidityPoolTrades, record.TradeType)
Expand All @@ -338,7 +338,7 @@ func unsetAssetQuery(q *url.Values, prefix string) {
}

//testPrice ensures that the price float string is equal to the rational price
func testPrice(t *HTTPT, priceStr string, priceR xdr.Price) {
func testPrice(t *HTTPT, priceStr string, priceR horizon.TradePrice) {
price, err := strconv.ParseFloat(priceStr, 64)
if t.Assert.NoError(err) {
t.Assert.Equal(price, float64(priceR.N)/float64(priceR.D))
Expand Down
33 changes: 8 additions & 25 deletions services/horizon/internal/db2/history/trade_aggregation.go
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Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,6 @@ import (
"github.com/stellar/go/services/horizon/internal/toid"
"github.com/stellar/go/support/errors"
strtime "github.com/stellar/go/support/time"
"github.com/stellar/go/xdr"
)

// AllowedResolutions is the set of trade aggregation time windows allowed to be used as the
Expand All @@ -36,30 +35,14 @@ type TradeAggregation struct {
BaseVolume string `db:"base_volume"`
CounterVolume string `db:"counter_volume"`
Average float64 `db:"avg"`
HighN int32 `db:"high_n"`
HighD int32 `db:"high_d"`
LowN int32 `db:"low_n"`
LowD int32 `db:"low_d"`
OpenN int32 `db:"open_n"`
OpenD int32 `db:"open_d"`
CloseN int32 `db:"close_n"`
CloseD int32 `db:"close_d"`
}

func (t TradeAggregation) High() xdr.Price {
return xdr.Price{N: xdr.Int32(t.HighN), D: xdr.Int32(t.HighD)}
}

func (t TradeAggregation) Low() xdr.Price {
return xdr.Price{N: xdr.Int32(t.LowN), D: xdr.Int32(t.LowD)}
}

func (t TradeAggregation) Open() xdr.Price {
return xdr.Price{N: xdr.Int32(t.OpenN), D: xdr.Int32(t.OpenD)}
}

func (t TradeAggregation) Close() xdr.Price {
return xdr.Price{N: xdr.Int32(t.CloseN), D: xdr.Int32(t.CloseD)}
HighN int64 `db:"high_n"`
HighD int64 `db:"high_d"`
LowN int64 `db:"low_n"`
LowD int64 `db:"low_d"`
OpenN int64 `db:"open_n"`
OpenD int64 `db:"open_d"`
CloseN int64 `db:"close_n"`
CloseD int64 `db:"close_d"`
}

// TradeAggregationsQ is a helper struct to aid in configuring queries to
Expand Down
4 changes: 2 additions & 2 deletions services/horizon/internal/integration/protocol18_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -442,8 +442,8 @@ func TestLiquidityPoolHappyPath(t *testing.T) {
tt.Equal("1.0353642", trade1.CounterAmount)
tt.Equal("native", trade1.CounterAssetType)

tt.Equal(int32(10353642), trade1.Price.N)
tt.Equal(int32(20000000), trade1.Price.D)
tt.Equal(int64(10353642), trade1.Price.N)
tt.Equal(int64(20000000), trade1.Price.D)
}

func TestLiquidityPoolRevoke(t *testing.T) {
Expand Down
6 changes: 3 additions & 3 deletions services/horizon/internal/resourceadapter/trade.go
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Original file line number Diff line number Diff line change
Expand Up @@ -67,9 +67,9 @@ func PopulateTrade(
}

if row.HasPrice() {
dest.Price = &protocol.Price{
N: int32(row.PriceN.Int64),
D: int32(row.PriceD.Int64),
dest.Price = protocol.TradePrice{
N: row.PriceN.Int64,
D: row.PriceD.Int64,
}
}

Expand Down
30 changes: 21 additions & 9 deletions services/horizon/internal/resourceadapter/trade_aggregation.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -9,7 +9,7 @@ import (
"github.com/stellar/go/services/horizon/internal/db2/history"
)

// Populate fills out the details of a trade using a row from the history_trades
// PopulateTradeAggregation fills out the details of a trade aggregation using a row from the trade aggregations
// table.
func PopulateTradeAggregation(
ctx context.Context,
Expand All @@ -28,13 +28,25 @@ func PopulateTradeAggregation(
return err
}
dest.Average = price.StringFromFloat64(row.Average)
dest.High = row.High().String()
dest.HighR = row.High()
dest.Low = row.Low().String()
dest.LowR = row.Low()
dest.Open = row.Open().String()
dest.OpenR = row.Open()
dest.Close = row.Close().String()
dest.CloseR = row.Close()
dest.HighR = protocol.TradePrice{
N: row.HighN,
D: row.HighD,
}
dest.High = dest.HighR.String()
dest.LowR = protocol.TradePrice{
N: row.LowN,
D: row.LowD,
}
dest.Low = dest.LowR.String()
dest.OpenR = protocol.TradePrice{
N: row.OpenN,
D: row.OpenD,
}
dest.Open = dest.OpenR.String()
dest.CloseR = protocol.TradePrice{
N: row.CloseN,
D: row.CloseD,
}
dest.Close = dest.CloseR.String()
return nil
}
18 changes: 9 additions & 9 deletions services/ticker/internal/scraper/trade_scraper_test.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -23,10 +23,10 @@ func TestReverseAssets(t *testing.T) {

baseIsSeller := true

n := int32(10)
d := int32(50)
n := int64(10)
d := int64(50)

price := hProtocol.Price{
price := hProtocol.TradePrice{
N: n,
D: d,
}
Expand All @@ -43,7 +43,7 @@ func TestReverseAssets(t *testing.T) {
CounterAssetType: counterAssetType,
CounterAssetIssuer: counterAssetIssuer,
BaseIsSeller: baseIsSeller,
Price: &price,
Price: price,
}

fmt.Println(trade1)
Expand Down Expand Up @@ -92,10 +92,10 @@ func TestNormalizeTradeAssets(t *testing.T) {
baseAssetType := "BASEASSETTYPE"
baseAssetIssuer := "BASEASSETISSUER"

n := int32(10)
d := int32(50)
n := int64(10)
d := int64(50)

price := hProtocol.Price{
price := hProtocol.TradePrice{
N: n,
D: d,
}
Expand All @@ -107,7 +107,7 @@ func TestNormalizeTradeAssets(t *testing.T) {
BaseAssetType: baseAssetType,
BaseAssetIssuer: baseAssetIssuer,
CounterAssetType: "native",
Price: &price,
Price: price,
}

NormalizeTradeAssets(&trade1)
Expand All @@ -134,7 +134,7 @@ func TestNormalizeTradeAssets(t *testing.T) {
CounterAssetCode: "AAA",
CounterAssetType: counterAssetType,
CounterAssetIssuer: counterAssetIssuer,
Price: &price,
Price: price,
}
NormalizeTradeAssets(&trade2)
assert.Equal(t, baseAmount, trade2.CounterAmount)
Expand Down

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