Sma3 (#288)

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Author: guibescos

program/c/src/oracle/oracle.h

@@ -9,9 +9,9 @@ extern "C" {
 
 // The size of the "time machine" account defined in the
 // Rust portion of the codebase.
-const uint64_t TIME_MACHINE_STRUCT_SIZE = 1864ULL;
+const uint64_t TIME_MACHINE_STRUCT_SIZE = 1200ULL;
 
-const uint64_t EXTRA_PUBLISHER_SPACE = 1000ULL;
+const uint64_t EXTRA_PUBLISHER_SPACE = 3072ULL;
 
 
 // magic number at head of account

program/rust/Cargo.toml

@@ -21,6 +21,8 @@ solana-program-test = "=1.10.29"
 solana-sdk = "=1.10.29"
 tokio = "1.14.1"
 hex = "0.3.1"
+quickcheck = "1"
+quickcheck_macros = "1"
 
 [features]
 debug = []

program/rust/src/tests/mod.rs

@@ -11,9 +11,12 @@ mod test_init_price;
 mod test_resize_account;
 mod test_set_min_pub;
 mod test_sizes;
+mod test_sma;
+mod test_sma_epoch_transition;
 mod test_upd_aggregate;
 mod test_upd_permissions;
 mod test_upd_price;
 mod test_upd_price_no_fail_on_error;
 mod test_upd_product;
+mod test_upd_sma;
 mod test_utils;

program/rust/src/tests/test_resize_account.rs

@@ -28,4 +28,10 @@ async fn test_resize_account() {
     assert!(sim.resize_price_account(&price1).await.is_ok());
     let price1_account = sim.get_account(price1.pubkey()).await.unwrap();
     assert_eq!(price1_account.data.len(), size_of::<PriceAccountWrapper>());
+    let price1_account_data = sim
+        .get_account_data_as::<PriceAccountWrapper>(price1.pubkey())
+        .await
+        .unwrap();
+    assert_eq!(price1_account_data.time_machine.granularity, 0);
+    assert_eq!(price1_account_data.time_machine.threshold, 0);
 }

program/rust/src/tests/test_sma.rs

@@ -0,0 +1,179 @@
+use quickcheck::Arbitrary;
+use quickcheck_macros::quickcheck;
+
+use crate::time_machine_types::{
+    DataPoint,
+    SmaTracker,
+    NUM_BUCKETS_THIRTY_MIN,
+};
+
+#[derive(Clone, Debug, Copy)]
+struct DataEvent {
+    time_gap: i64,
+    slot_gap: u64,
+    price:    i64,
+}
+
+impl Arbitrary for DataEvent {
+    fn arbitrary(g: &mut quickcheck::Gen) -> Self {
+        DataEvent {
+            time_gap: i64::from(u8::arbitrary(g)),
+            slot_gap: u64::from(u8::arbitrary(g)) + 1, /* Slot gap is always > 1, because there
+                                                        * has been a succesful aggregation */
+            price:    i64::arbitrary(g),
+        }
+    }
+}
+
+/// This is a generative test for the sma struct. quickcheck will generate a series of
+/// vectors of DataEvents of different length. The generation is based on the arbitrary trait
+/// above.
+/// For each DataEvent :
+/// - time_gap is a random number between 0 and u8::MAX (255)
+/// - slot_gap is a random number between 1 and u8::MAX + 1 (256)
+/// - price is a random i64
+#[quickcheck]
+fn test_sma(input: Vec<DataEvent>) -> bool {
+    // No gaps, no skipped epochs
+    let mut tracker1 = SmaTracker::<NUM_BUCKETS_THIRTY_MIN>::zero();
+    tracker1.initialize(i64::from(u8::MAX), u64::from(u8::MAX));
+
+    // Skipped and gaps
+    let mut tracker2 = SmaTracker::<NUM_BUCKETS_THIRTY_MIN>::zero();
+    tracker2.initialize(i64::from(u8::MAX / 5), u64::from(u8::MAX / 5));
+
+    // Gaps, no skips
+    let mut tracker3 = SmaTracker::<NUM_BUCKETS_THIRTY_MIN>::zero();
+    tracker3.initialize(i64::from(u8::MAX), u64::from(u8::MAX / 5));
+
+    // No skips, gaps
+    let mut tracker4 = SmaTracker::<NUM_BUCKETS_THIRTY_MIN>::zero();
+    tracker4.initialize(i64::from(u8::MAX), u64::from(u8::MAX / 5) * 4);
+
+    // Each epoch is 1 second
+    let mut tracker5 = SmaTracker::<NUM_BUCKETS_THIRTY_MIN>::zero();
+    tracker5.initialize(1, u64::from(u8::MAX / 5));
+
+    let mut data = Vec::<DataPoint>::new();
+
+    let mut current_time = 0i64;
+    for data_event in input.clone() {
+        let datapoint = DataPoint {
+            previous_timestamp: current_time,
+            current_timestamp:  current_time + data_event.time_gap,
+            slot_gap:           data_event.slot_gap,
+            price:              data_event.price,
+        };
+
+        tracker1.add_datapoint(&datapoint).unwrap();
+        tracker2.add_datapoint(&datapoint).unwrap();
+        tracker3.add_datapoint(&datapoint).unwrap();
+        tracker4.add_datapoint(&datapoint).unwrap();
+        tracker5.add_datapoint(&datapoint).unwrap();
+        data.push(datapoint);
+        current_time += data_event.time_gap;
+
+        tracker1.check_current_epoch_fields(&data, current_time);
+        tracker2.check_current_epoch_fields(&data, current_time);
+        tracker3.check_current_epoch_fields(&data, current_time);
+        tracker4.check_current_epoch_fields(&data, current_time);
+        tracker5.check_current_epoch_fields(&data, current_time);
+        tracker1.check_array_fields(&data, current_time);
+        tracker2.check_array_fields(&data, current_time);
+        tracker3.check_array_fields(&data, current_time);
+        tracker4.check_array_fields(&data, current_time);
+        tracker5.check_array_fields(&data, current_time);
+    }
+
+    return true;
+}
+
+
+impl<const NUM_ENTRIES: usize> SmaTracker<NUM_ENTRIES> {
+    pub fn zero() -> Self {
+        return SmaTracker::<NUM_ENTRIES> {
+            granularity:                   0,
+            threshold:                     0,
+            current_epoch_denominator:     0,
+            current_epoch_is_valid:        false,
+            current_epoch_numerator:       0,
+            running_valid_epoch_counter:   [0u64; NUM_ENTRIES],
+            running_sum_of_price_averages: [0i128; NUM_ENTRIES],
+        };
+    }
+
+    pub fn check_current_epoch_fields(&self, data: &Vec<DataPoint>, time: i64) {
+        let curent_epoch = self.time_to_epoch(time).unwrap();
+
+        let result = self.compute_epoch_expected_values(data, curent_epoch);
+        assert_eq!(self.current_epoch_denominator, result.0);
+        assert_eq!(self.current_epoch_numerator, result.1);
+        assert_eq!(self.current_epoch_is_valid, result.2);
+    }
+
+    pub fn check_array_fields(&self, data: &Vec<DataPoint>, time: i64) {
+        let current_epoch = self.time_to_epoch(time).unwrap();
+        let mut values = vec![];
+
+        // Compute all epoch averages
+        for i in 0..current_epoch {
+            values.push(self.compute_epoch_expected_values(data, i));
+        }
+
+        // Get running sums
+        let running_sum_price_iter = values.iter().scan((0, 0), |res, &y| {
+            res.0 = res.0 + y.1 / i128::from(y.0);
+            res.1 = res.1 + u64::from(y.2);
+            Some(*res)
+        });
+
+        // Compare to running_sum_of_price_averages
+        let mut i = (current_epoch + NUM_ENTRIES - 1).rem_euclid(NUM_ENTRIES);
+        for x in running_sum_price_iter
+            .collect::<Vec<(i128, u64)>>()
+            .iter()
+            .rev()
+            .take(NUM_ENTRIES)
+        {
+            assert_eq!(self.running_sum_of_price_averages[i], x.0);
+            assert_eq!(self.running_valid_epoch_counter[i], x.1);
+            i = (i + NUM_ENTRIES - 1).rem_euclid(NUM_ENTRIES);
+        }
+    }
+
+    pub fn compute_epoch_expected_values(
+        &self,
+        data: &Vec<DataPoint>,
+        epoch_number: usize,
+    ) -> (u64, i128, bool) {
+        let left_bound = self
+            .granularity
+            .checked_mul(epoch_number.try_into().unwrap())
+            .unwrap();
+
+        let right_bound = self
+            .granularity
+            .checked_mul((epoch_number + 1).try_into().unwrap())
+            .unwrap();
+
+
+        let mut result = data.iter().fold((0, 0, true), |x: (u64, i128, bool), y| {
+            if !((left_bound > y.current_timestamp) || (right_bound <= y.previous_timestamp))
+            //Check interval intersection
+            {
+                let is_valid = y.slot_gap <= self.threshold;
+                return (
+                    x.0 + y.slot_gap,
+                    x.1 + i128::from(y.slot_gap) * i128::from(y.price),
+                    x.2 && is_valid,
+                );
+            }
+            return x;
+        });
+
+        if epoch_number == 0 {
+            result.2 = false;
+        }
+        return result;
+    }
+}