Filter out publisher quotes with wide CIs (#166)

* add ci filter to upd_price

* update logic

* fix comment

* update test

* update test

* fix tests

* fix tests

* Update pyth/tests/test_update_price.py

accept pr comment

Co-authored-by: Tom Pointon <tom@teepeestudios.net>

Co-authored-by: Jayant Krishnamurthy <jkrishnamurthy@jumptrading.com>
Co-authored-by: Jayant Krishnamurthy <jayant@jumpcrypto.com>
Co-authored-by: Tom Pointon <tom@teepeestudios.net>

Author: 4 people

program/src/oracle/oracle.c

@@ -6,7 +6,7 @@
 #include "upd_aggregate.h"
 
 // Returns the minimum number of lamports required to make an account
-// with dlen bytes of data rent exempt. These values were calculated 
+// with dlen bytes of data rent exempt. These values were calculated
 // using the getMinimumBalanceForRentExemption RPC call, and are
 // guaranteed never to increase.
 static uint64_t rent_exempt_amount( uint64_t dlen )
@@ -561,9 +561,21 @@ static uint64_t upd_price( SolParameters *prm, SolAccountInfo *ka )
 
   // update component price if required
   if ( cptr->cmd_ == e_cmd_upd_price || cptr->cmd_ == e_cmd_upd_price_no_fail_on_error ) {
+    uint32_t status = cptr->status_;
+
+    // Set publisher's status to unknown unless their CI is sufficiently tight.
+    int64_t threshold_conf = (cptr->price_ / PC_MAX_CI_DIVISOR);
+    if (threshold_conf < 0) {
+      // Safe as long as threshold_conf isn't the min int64, which it isn't as long as PC_MAX_CI_DIVISOR > 1.
+      threshold_conf = -threshold_conf;
+    }
+    if ( cptr->conf_ > (uint64_t) threshold_conf ) {
+      status = PC_STATUS_UNKNOWN;
+    }
+
     fptr->price_    = cptr->price_;
     fptr->conf_     = cptr->conf_;
-    fptr->status_   = cptr->status_;
+    fptr->status_   = status;
     fptr->pub_slot_ = cptr->pub_slot_;
   }
   return SUCCESS;

program/src/oracle/oracle.h

@@ -23,6 +23,9 @@ extern "C" {
 #define PC_MAX_NUM_DECIMALS  16
 #define PC_PROD_ACC_SIZE    512
 #define PC_EXP_DECAY         -9
+// If ci > price / PC_MAX_CI_DIVISOR, set publisher status to unknown.
+// (e.g., 20 means ci must be < 5% of price)
+#define PC_MAX_CI_DIVISOR    20
 
 #ifndef PC_HEAP_START
 #define PC_HEAP_START (0x300000000)

program/src/oracle/test_oracle.c

@@ -303,7 +303,7 @@ Test( oracle, add_publisher ) {
 
   // Now give the price account enough lamports to be rent exempt
   acc[1].lamports = &PRICE_ACCOUNT_LAMPORTS;
-  
+
   cr_assert( SUCCESS == dispatch( &prm, acc ) );
   cr_assert( sptr->num_ == 1 );
   cr_assert( pc_pub_key_equal( &idata.pub_, &sptr->comp_[0].pub_ ) );
@@ -348,7 +348,7 @@ Test(oracle, pc_size ) {
 }
 
 Test( oracle, upd_test ) {
-  
+
   // Initialize the test account
   SolPubkey p_id  = {.x = { 0xff, }};
   SolPubkey pkey = {.x = { 1, }};
@@ -416,7 +416,7 @@ Test( oracle, upd_price ) {
     .cmd_    = e_cmd_upd_price,
     .status_ = PC_STATUS_TRADING,
     .price_  = 42L,
-    .conf_   = 9L,
+    .conf_   = 2L,
     .pub_slot_ = 1
   };
   SolPubkey p_id  = {.x = { 0xff, }};
@@ -474,7 +474,7 @@ Test( oracle, upd_price ) {
   };
   cr_assert( SUCCESS == dispatch( &prm, acc ) );
   cr_assert( sptr->comp_[0].latest_.price_ == 42L );
-  cr_assert( sptr->comp_[0].latest_.conf_ == 9L );
+  cr_assert( sptr->comp_[0].latest_.conf_ == 2L );
   cr_assert( sptr->comp_[0].latest_.pub_slot_ == 1 );
   cr_assert( sptr->agg_.pub_slot_ == 1 );
   cr_assert( sptr->valid_slot_ == 0 );
@@ -519,6 +519,30 @@ Test( oracle, upd_price ) {
   // try to publish back-in-time
   idata.pub_slot_ = 1;
   cr_assert( ERROR_INVALID_ARGUMENT == dispatch( &prm, acc ) );
+
+
+  // Publishing a wide CI results in a status of unknown.
+
+  // check that someone doesn't accidentally break the test.
+  cr_assert(sptr->comp_[0].latest_.status_ == PC_STATUS_TRADING);
+  idata.pub_slot_ = 5;
+  cvar.slot_ = 6;
+  idata.price_ = 50;
+  idata.conf_ = 6;
+  cr_assert( SUCCESS == dispatch( &prm, acc ) );
+  cr_assert( sptr->comp_[0].latest_.price_ == 50L );
+  cr_assert( sptr->comp_[0].latest_.conf_ == 6L );
+  cr_assert( sptr->comp_[0].latest_.status_ == PC_STATUS_UNKNOWN );
+  cr_assert( sptr->comp_[0].latest_.pub_slot_ == 5 );
+  cr_assert( sptr->agg_.pub_slot_ == 6 );
+  // Aggregate is still trading because it uses price from previous slot
+  cr_assert( sptr->agg_.status_ == PC_STATUS_TRADING );
+
+  // Crank one more time and aggregate should be unknown
+  idata.pub_slot_ = 6;
+  cvar.slot_ = 7;
+  cr_assert( SUCCESS == dispatch( &prm, acc ) );
+  cr_assert( sptr->agg_.status_ == PC_STATUS_UNKNOWN );
 }
 
 Test( oracle, upd_price_no_fail_on_error ) {
@@ -544,7 +568,7 @@ Test( oracle, upd_price_no_fail_on_error ) {
   sptr->ptype_ = PC_PTYPE_PRICE;
   sptr->type_  = PC_ACCTYPE_PRICE;
   sptr->num_   = 1;
-  
+
   SolAccountInfo acc[] = {{
       .key         = &pkey,
       .lamports    = &pqty,
@@ -592,7 +616,7 @@ Test( oracle, upd_price_no_fail_on_error ) {
   cr_assert( sptr->comp_[0].latest_.conf_ == 0L );
   cr_assert( sptr->comp_[0].latest_.pub_slot_ == 0 );
   cr_assert( sptr->agg_.pub_slot_ == 0 );
-  cr_assert( sptr->valid_slot_ == 0 );  
+  cr_assert( sptr->valid_slot_ == 0 );
 
   // Now permission the publish account for the price account.
   pc_pub_key_assign( &sptr->comp_[0].pub_, (pc_pub_key_t*)&pkey );
@@ -605,7 +629,7 @@ Test( oracle, upd_price_no_fail_on_error ) {
   cr_assert( sptr->agg_.pub_slot_ == 1 );
   cr_assert( sptr->valid_slot_ == 0 );
 
-  // Invalid updates, such as publishing an update for the current slot, 
+  // Invalid updates, such as publishing an update for the current slot,
   // should still fail silently and have no effect.
   idata.price_ = 55L;
   idata.conf_ = 22L;

pyth/tests/test_publish.py

@@ -28,7 +28,7 @@ def get_price_acct():
     cmd = [
         'pyth', 'upd_price_val',
         pyth_init_price['LTC'],
-        '150', '10', 'trading',
+        '150', '7', 'trading',
         '-r', 'localhost',
         '-k', pyth_dir,
         '-c', 'finalized',
@@ -52,5 +52,5 @@ def get_price_acct():
 
     after = get_price_acct()
     assert after['publisher_accounts'][0]['price'] == 150
-    assert after['publisher_accounts'][0]['conf'] == 10
+    assert after['publisher_accounts'][0]['conf'] == 7
     assert after['publisher_accounts'][0]['status'] == 'trading'

pyth/tests/test_update_price.py

@@ -115,4 +115,7 @@ def get_publisher_acc(product_acc):
 
             assert publisher_acc['price'] == new_values[product]['price']
             assert publisher_acc['conf'] == new_values[product]['conf']
-            assert publisher_acc['status'] == new_values[product]['status']
+
+            conf_threshold = new_values[product]['price'] / 20
+            expected_status = 'unknown' if new_values[product]['conf'] > conf_threshold else 'trading'
+            assert publisher_acc['status'] == expected_status