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richardbrooks2000richardbrooks2000
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weight twap contributions inversely with confidence interval; added testnet keys
1 parent f2d4343 commit 91d6eb0

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7 files changed

+402
-40
lines changed

7 files changed

+402
-40
lines changed

‎CMakeLists.txt

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Original file line numberDiff line numberDiff line change
@@ -98,6 +98,8 @@ add_executable( test_publish pctest/test_publish.cpp )
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target_link_libraries( test_publish ${PC_DEP} )
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add_executable( test_qset pctest/test_qset.cpp )
100100
target_link_libraries( test_qset ${PC_DEP} )
101+
add_executable( test_twap pctest/test_twap.cpp )
102+
target_link_libraries( test_twap ${PC_DEP} )
101103
add_executable( slots_info pctest/slots_info.cpp )
102104
target_link_libraries( slots_info ${PC_DEP} )
103105
add_executable( leader_stats pctest/leader_stats.cpp )

‎pctest/test_twap.cpp

Lines changed: 107 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,107 @@
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char heap_start[8192];
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#define PC_HEAP_START (heap_start)
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#include <stdint.h>
5+
#include <stdlib.h>
6+
#include <stdio.h>
7+
#include <oracle/oracle.h>
8+
#include <oracle/upd_aggregate.h>
9+
#include <pc/mem_map.hpp>
10+
#include <math.h>
11+
#include <ctype.h>
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#include <iostream>
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using namespace pc;
15+
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int usage()
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{
18+
std::cerr << "usage: test_twap <twap.csv>" << std::endl;
19+
return 1;
20+
}
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class csv_parser
23+
{
24+
public:
25+
csv_parser( const char *buf, size_t len )
26+
: ptr_( buf ),
27+
eol_( buf ),
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end_( &buf[len] ),
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first_( false ) {
30+
}
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bool fetch_line() {
32+
for( ptr_ = eol_;;++ptr_ ) {
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if ( ptr_ == end_ ) return false;
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if ( *ptr_ != '\n' && *ptr_ != '\r' ) break;
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}
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for( eol_ = ptr_;ptr_ != end_ && *eol_ != '\n' && *eol_ != '\r';++eol_ );
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first_ = true;
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return true;
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}
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void fetch( int64_t& val ) {
41+
if ( ptr_ != eol_ && *ptr_ == ',' && !first_ ) {
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++ptr_;
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}
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first_ = false;
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const char *ptxt = ptr_;
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for( ; ptr_ != eol_ && *ptr_ != ','; ++ptr_ );
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char *etxt[1];
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etxt[0] = (char*)ptr_;
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val = strtol( ptxt, etxt, 10 );
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}
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private:
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const char *ptr_;
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const char *eol_;
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const char *end_;
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bool first_;
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};
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int main( int argc,char** argv )
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{
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if ( argc < 2 ) {
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return usage();
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}
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// read price file
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mem_map mf;
66+
std::string file = argv[1];
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mf.set_file(file );
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if ( !mf.init() ) {
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std::cerr << "test_qset: failed to read file[" << file << "]"
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<< std::endl;
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return 1;
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}
73+
pc_price_t px[1];
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__builtin_memset( px, 0, sizeof( pc_price_t ) );
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uint64_t slot = 1000;
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px->last_slot_ = slot;
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px->agg_.pub_slot_ = slot;
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px->num_ = 0;
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upd_aggregate( px, slot+1 );
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pc_qset_t *qs = qset_new( px->expo_ );
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// skip first line
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csv_parser cp( mf.data(), mf.size( ));
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// update twap for each update
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std::cout << "price,conf,expo,nslots,twap,twac" << std::endl;
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for( cp.fetch_line(); cp.fetch_line(); ) {
88+
int64_t nslots = 0, price = 0, conf = 0, expo = 0;
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cp.fetch( price );
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cp.fetch( conf );
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cp.fetch( expo );
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cp.fetch( nslots );
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px->expo_ = expo;
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px->agg_.price_ = price;
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px->agg_.conf_ = conf;
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upd_twap( px, nslots, qs );
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std::cout << price << ','
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<< conf << ','
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<< expo << ','
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<< nslots << ','
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<< px->twap_.val_ << ','
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<< px->twac_.val_
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<< std::endl;
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}
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return 0;
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}

‎pctest/test_twap.txt

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@@ -0,0 +1,121 @@
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price,conf,expo,nslots,twap,twac
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100,10,0,5000,100,10
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147,48,0,1,108,16
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191,74,0,1,116,22
5+
235,99,0,1,124,27
6+
100,10,0,1,114,20
7+
147,48,0,1,117,22
8+
191,13,0,1,133,20
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235,22,0,1,145,20
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100,10,0,1,136,18
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147,15,0,1,137,18
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191,74,0,1,138,19
13+
235,99,0,1,140,20
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235,99,0,1,142,22
15+
235,99,0,1,143,23
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235,99,0,1,145,24
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235,99,0,1,146,25
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235,99,0,1,148,27
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235,99,0,1,149,28
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235,99,0,1,150,29
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235,99,0,1,152,30
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235,99,0,1,153,31
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235,99,0,20,154,32
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235,99,0,1,155,33
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235,99,0,1,156,34
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235,99,0,1,158,35
27+
235,99,0,1,159,36
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235,99,0,1,160,37
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235,99,0,1,161,37
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235,99,0,1,162,38
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235,99,0,40,163,39
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235,99,0,1,164,40
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235,99,0,1,165,41
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235,99,0,1,165,41
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235,99,0,1,166,42
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235,99,0,1,167,43
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235,99,0,1,168,43
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235,99,0,1,169,44
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235,99,0,1,170,45
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235,15,0,1,174,43
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235,99,0,1,175,43
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235,20,0,1,178,42
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235,99,0,1,179,43
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235,50,0,1,180,43
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235,99,0,1,180,43
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235,99,0,1,181,44
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235,99,0,1,182,44
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235,99,0,1,182,45
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235,33,0,1,184,45
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235,33,0,1,185,44
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235,33,0,1,186,44
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235,33,0,1,188,44
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235,33,0,1,189,43
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235,99,0,1,189,44
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235,99,0,1,190,44
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235,99,0,1,190,45
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235,99,0,1,190,45
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235,99,0,1,191,46
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235,99,0,1,191,46
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235,99,0,1,191,46
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235,99,0,1,192,47
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235,99,0,1,192,47
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235,99,0,1,192,48
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235,99,0,1,193,48
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235,99,0,1,193,48
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235,99,0,1,193,49
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235,99,0,1,194,49
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235,99,0,1,194,50
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235,99,0,1,194,50
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235,99,0,1,195,50
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235,99,0,1,195,51
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235,99,0,1,195,51
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235,99,0,1,195,51
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235,99,0,1,196,52
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235,99,0,1,196,52
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235,99,0,1,196,52
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235,99,0,1,197,53
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235,99,0,1,197,53
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235,99,0,1,197,53
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235,99,0,1,197,54
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235,99,0,1,198,54
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235,99,0,1,198,54
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235,99,0,1,198,55
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235,99,0,1,198,55
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235,99,0,1,199,55
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235,99,0,1,199,55
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235,99,0,1,199,56
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235,99,0,1,199,56
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235,99,0,1,200,56
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235,99,0,1,200,57
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235,99,0,1,200,57
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235,99,0,1,200,57
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235,99,0,1,200,57
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235,99,0,1,201,58
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235,99,0,1,201,58
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235,99,0,1,201,58
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235,99,0,1,201,58
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235,99,0,1,202,59
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235,99,0,1,202,59
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235,99,0,1,202,59
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235,99,0,1,202,59
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180,5,0,1,200,53
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180,5,0,1,198,49
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180,5,0,1,196,45
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180,5,0,1,195,42
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180,5,0,1,194,39
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180,5,0,1,193,36
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180,5,0,1,192,34
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180,5,0,1,191,32
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180,5,0,1,190,31
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180,5,0,1,190,29
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180,5,0,1,189,28
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180,5,0,1,189,27
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180,5,0,1,188,26
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180,5,0,1,188,25
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180,5,0,1,188,24
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180,5,0,1,187,23
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180,5,0,1,187,22
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180,5,0,1,187,22
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180,5,0,1,186,21
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180,5,0,1,186,21

‎pctest/test_twap_1.csv

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price,conf,expo,nslots
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100,10,0,5000
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147,48,0,1
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191,74,0,1
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235,99,0,1
6+
100,10,0,1
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147,48,0,1
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191,13,0,1
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235,22,0,1
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100,10,0,1
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147,15,0,1
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191,74,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,20
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,40
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,15,0,1
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235,99,0,1
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235,20,0,1
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235,99,0,1
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235,50,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,33,0,1
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235,33,0,1
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235,33,0,1
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235,33,0,1
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235,33,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
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235,99,0,1
99+
235,99,0,1
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235,99,0,1
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235,99,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
112+
180,5,0,1
113+
180,5,0,1
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180,5,0,1
115+
180,5,0,1
116+
180,5,0,1
117+
180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1
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180,5,0,1

‎program/src/oracle/oracle.h

Lines changed: 1 addition & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -170,6 +170,7 @@ typedef struct pc_qset
170170
uint64_t decay_[1+PC_MAX_SEND_LATENCY];
171171
uint64_t fact_[PC_FACTOR_SIZE];
172172
uint32_t num_;
173+
int32_t expo_;
173174
} pc_qset_t;
174175

175176
// command enumeration

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