code.vegaprotocol.io/vega@v0.79.0/core/monitor/price/statevar.go (about)

     1  // Copyright (C) 2023 Gobalsky Labs Limited
     2  //
     3  // This program is free software: you can redistribute it and/or modify
     4  // it under the terms of the GNU Affero General Public License as
     5  // published by the Free Software Foundation, either version 3 of the
     6  // License, or (at your option) any later version.
     7  //
     8  // This program is distributed in the hope that it will be useful,
     9  // but WITHOUT ANY WARRANTY; without even the implied warranty of
    10  // MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
    11  // GNU Affero General Public License for more details.
    12  //
    13  // You should have received a copy of the GNU Affero General Public License
    14  // along with this program.  If not, see <http://www.gnu.org/licenses/>.
    15  
    16  package price
    17  
    18  import (
    19  	"context"
    20  	"errors"
    21  
    22  	"code.vegaprotocol.io/vega/core/types/statevar"
    23  	"code.vegaprotocol.io/vega/libs/num"
    24  	"code.vegaprotocol.io/vega/logging"
    25  )
    26  
    27  type boundFactorsConverter struct{}
    28  
    29  func (boundFactorsConverter) BundleToInterface(kvb *statevar.KeyValueBundle) statevar.StateVariableResult {
    30  	return &boundFactors{
    31  		up:   kvb.KVT[0].Val.(*statevar.DecimalVector).Val,
    32  		down: kvb.KVT[1].Val.(*statevar.DecimalVector).Val,
    33  	}
    34  }
    35  
    36  func (boundFactorsConverter) InterfaceToBundle(res statevar.StateVariableResult) *statevar.KeyValueBundle {
    37  	value := res.(*boundFactors)
    38  	return &statevar.KeyValueBundle{
    39  		KVT: []statevar.KeyValueTol{
    40  			{Key: "up", Val: &statevar.DecimalVector{Val: value.up}, Tolerance: tolerance},
    41  			{Key: "down", Val: &statevar.DecimalVector{Val: value.down}, Tolerance: tolerance},
    42  		},
    43  	}
    44  }
    45  
    46  func (e *Engine) IsBoundFactorsInitialised() bool {
    47  	return e.boundFactorsInitialised
    48  }
    49  
    50  // startCalcPriceRanges kicks off the bounds factors calculation, done asynchronously for illustration.
    51  func (e *Engine) startCalcPriceRanges(eventID string, endOfCalcCallback statevar.FinaliseCalculation) {
    52  	if e.log.GetLevel() <= logging.DebugLevel {
    53  		e.log.Debug("price range factors calculation started", logging.String("event-id", eventID))
    54  	}
    55  
    56  	down := make([]num.Decimal, 0, len(e.bounds))
    57  	up := make([]num.Decimal, 0, len(e.bounds))
    58  
    59  	// if we have no reference price, just abort and wait for the next round
    60  	if len(e.pricesPast) < 1 && len(e.pricesNow) < 1 {
    61  		e.log.Info("no reference price available for market - cannot calculate price ranges", logging.String("event-id", eventID))
    62  		endOfCalcCallback.CalculationFinished(eventID, nil, errors.New("no reference price available for market - cannot calculate price ranges"))
    63  		return
    64  	}
    65  
    66  	for _, b := range e.bounds {
    67  		ref := e.getRefPriceNoUpdate(b.Trigger.Horizon)
    68  		minPrice, maxPrice := e.riskModel.PriceRange(ref, e.fpHorizons[b.Trigger.Horizon], b.Trigger.Probability)
    69  		down = append(down, minPrice.Div(ref))
    70  		up = append(up, maxPrice.Div(ref))
    71  	}
    72  	res := &boundFactors{
    73  		down: down,
    74  		up:   up,
    75  	}
    76  
    77  	if e.log.GetLevel() <= logging.DebugLevel {
    78  		e.log.Debug("price range factors calculation completed", logging.String("event-id", eventID), logging.String("asset", e.asset), logging.String("market", e.market))
    79  	}
    80  	endOfCalcCallback.CalculationFinished(eventID, res, nil)
    81  }
    82  
    83  // updatePriceBounds is called back from the state variable consensus engine when consensus is reached for the down/up factors and updates the price bounds.
    84  func (e *Engine) updatePriceBounds(ctx context.Context, res statevar.StateVariableResult) error {
    85  	bRes := res.(*boundFactors)
    86  	e.updateFactors(bRes.down, bRes.up)
    87  	if e.log.GetLevel() <= logging.DebugLevel {
    88  		e.log.Debug("consensus reached for price ranges", logging.String("asset", e.asset), logging.String("market", e.market))
    89  	}
    90  	return nil
    91  }
    92  
    93  func (e *Engine) updateFactors(down, up []num.Decimal) {
    94  	for i, b := range e.bounds {
    95  		b.DownFactor = down[i]
    96  		b.UpFactor = up[i]
    97  	}
    98  	e.boundFactorsInitialised = true
    99  	// force invalidation of the price range cache
   100  	if len(e.pricesNow) > 0 {
   101  		e.getCurrentPriceRanges(true)
   102  	}
   103  
   104  	e.clearStalePrices()
   105  	e.stateChanged = true
   106  }