oracle

func CalcCurrencyPairRates ¶ added in v0.1.4

func CalcCurrencyPairRates(
	candles types.AggregatedProviderCandles,
	tickers types.AggregatedProviderPrices,
	deviationThresholds map[string]math.LegacyDec,
	currencyPairs []types.CurrencyPair,
	logger zerolog.Logger,
) (types.CurrencyPairDec, error)

CalcCurrencyPairRates filters the candles and tickers to the currency pair list provided, then filters candles/tickers outside of the deviation threshold, and finally computes the rates for the given currency pairs using TVWAP for candles and VWAP for tickers. It will first compute rates with candles and then attempt to fill in any missing prices with ticker data.

func ComputeTVWAP ¶

func ComputeTVWAP(prices types.AggregatedProviderCandles) (types.CurrencyPairDec, error)

ComputeTVWAP computes the time volume weighted average price for all points for each exchange pair. Filters out any candles that did not occur within timePeriod. The provided prices argument reflects a mapping of provider => {<base> => <TickerPrice>, ...}.

Ref : https://en.wikipedia.org/wiki/Time-weighted_average_price

func ComputeTvwapsByProvider ¶

func ComputeTvwapsByProvider(prices types.AggregatedProviderCandles) (types.CurrencyPairDecByProvider, error)

ComputeTvwapsByProvider computes the tvwap prices from candles for each provider separately and returns them in a map separated by provider name

func ComputeVWAP ¶

func ComputeVWAP(prices types.AggregatedProviderPrices) types.CurrencyPairDec

ComputeVWAP computes the volume weighted average price for all price points for each ticker/exchange pair. The provided prices argument reflects a mapping of provider => {<base> => <TickerPrice>, ...}.

Ref: https://en.wikipedia.org/wiki/Volume-weighted_average_price

func ComputeVwapsByProvider ¶

func ComputeVwapsByProvider(prices types.AggregatedProviderPrices) types.CurrencyPairDecByProvider

ComputeVwapsByProvider computes the vwap prices from tickers for each provider separately and returns them in a map separated by provider name

func Connect ¶

func Connect(protoAddr string) (net.Conn, error)

Connect dials the given address and returns a net.Conn. The protoAddr argument should be prefixed with the protocol, eg. "tcp://127.0.0.1:8080" or "unix:///tmp/test.sock".

func ConvertAggregatedCandles ¶ added in v0.1.4

func ConvertAggregatedCandles(
	candles types.AggregatedProviderCandles,
	rates types.CurrencyPairDec,
) types.AggregatedProviderCandles

ConvertAggregatedCandles converts the candles to USD and updates the currency pair with a USD quote. If no conversion exists the rate is omitted in the return.

func ConvertAggregatedTickers ¶ added in v0.1.4

func ConvertAggregatedTickers(
	tickers types.AggregatedProviderPrices,
	rates types.CurrencyPairDec,
) types.AggregatedProviderPrices

ConvertAggregatedTickers converts the tickers to USD and updates the currency pair with a USD quote. If no conversion exists the rate is omitted in the return.

func ConvertRatesToUSD ¶ added in v0.1.4

func ConvertRatesToUSD(rates types.CurrencyPairDec) types.CurrencyPairDec

ConvertRatesToUSD converts the rates to USD and updates the currency pair with a USD quote. If no conversion exists the rate is omitted in the return.

func CreateDeviationsFromCurrencyDeviationThresholdList ¶ added in v0.2.0

func CreateDeviationsFromCurrencyDeviationThresholdList(
	deviationList oracletypes.CurrencyDeviationThresholdList,
) (map[string]math.LegacyDec, error)

CreateDeviationsFromCurrencyDeviationThresholdList will create the deviations map used by the price feeder Oracle from a CurrencyDeviationThresholdList defined by Ojo's oracle module.

func CreatePairProvidersFromCurrencyPairProvidersList ¶ added in v0.2.0

func CreatePairProvidersFromCurrencyPairProvidersList(
	currencyPairs oracletypes.CurrencyPairProvidersList,
) map[types.ProviderName][]types.CurrencyPair

CreatePairProvidersFromCurrencyPairProvidersList will create the pair providers map used by the price feeder Oracle from a CurrencyPairProvidersList defined by Ojo's oracle module.

func FilterCandleDeviations ¶

func FilterCandleDeviations(
	logger zerolog.Logger,
	candles types.AggregatedProviderCandles,
	deviationThresholds map[string]math.LegacyDec,
) (types.AggregatedProviderCandles, error)

FilterCandleDeviations finds the standard deviations of the tvwaps of all assets, and filters out any providers that are not within 2𝜎 of the mean.

func FilterTickerDeviations ¶

func FilterTickerDeviations(
	logger zerolog.Logger,
	prices types.AggregatedProviderPrices,
	deviationThresholds map[string]math.LegacyDec,
) (types.AggregatedProviderPrices, error)

FilterTickerDeviations finds the standard deviations of the prices of all assets, and filters out any providers that are not within 2𝜎 of the mean.

func GenerateExchangeRatesString ¶

func GenerateExchangeRatesString(prices types.CurrencyPairDec) string

GenerateExchangeRatesString generates a canonical string representation of the aggregated exchange rates.

func GenerateSalt ¶

func GenerateSalt(length int) (string, error)

GenerateSalt generates a random salt, size length/2, as a HEX encoded string.

func NewProvider ¶

func NewProvider(
	ctx context.Context,
	providerName types.ProviderName,
	logger zerolog.Logger,
	endpoint provider.Endpoint,
	providerPairs ...types.CurrencyPair,
) (provider.Provider, error)

func ProtocolAndAddress ¶

func ProtocolAndAddress(listenAddr string) (string, string)

ProtocolAndAddress splits an address into the protocol and address components. For instance, "tcp://127.0.0.1:8080" will be split into "tcp" and "127.0.0.1:8080". If the address has no protocol prefix, the default is "tcp".

func SetProviderTickerPricesAndCandles ¶

func SetProviderTickerPricesAndCandles(
	providerName types.ProviderName,
	providerPrices types.AggregatedProviderPrices,
	providerCandles types.AggregatedProviderCandles,
	prices types.CurrencyPairTickers,
	candles types.CurrencyPairCandles,
	pair types.CurrencyPair,
) (success bool)

SetProviderTickerPricesAndCandles flattens and collects prices for candles and tickers based on the base currency per provider. Returns true if at least one of price or candle exists.

func StandardDeviation ¶

func StandardDeviation(
	prices types.CurrencyPairDecByProvider,
) (types.CurrencyPairDec, types.CurrencyPairDec, error)

StandardDeviation returns maps of the standard deviations and means of assets. Will skip calculating for an asset if there are less than 3 prices.