rollback twap and avol

Author: richardbrooks2000

pctest/test_qset.cpp

@@ -54,11 +54,7 @@ int main( int argc,char** argv )
   pd_t m[1], s[1];
   pc_qs_new( qs, prm );
 
-  pc_drv_t qd[1];
-  pc_drv_new( qd, prm );
-  pd_t twap[1], avol[1], prev[1];
-
-  // read scenario file
+  // construct quotes
   mem_map mf;
   std::string file = argv[1];
   mf.set_file(file );
@@ -74,24 +70,7 @@ int main( int argc,char** argv )
               << std::endl;
     return 1;
   }
-
-  // previous values of price, vol and twap
   int expo = pt.get_int( pt.find_val( 1, "exponent" ) );
-  uint32_t vt = pt.find_val( 1, "derived" );
-  if ( vt ) {
-    int64_t iprev = pt.get_int( pt.find_val( vt,  "prev_price"  ) );
-    int64_t itwap = pt.get_int( pt.find_val( vt,  "twap"  ) );
-    int64_t iavol = pt.get_int( pt.find_val( vt,  "avol"  ) );
-    pd_new_scale( prev, iprev, expo );
-    pd_new_scale( twap, itwap, expo );
-    pd_new_scale( avol, iavol, expo );
-  } else {
-    pd_new( prev, 0, 0 );
-    pd_new( twap, 0, 0 );
-    pd_new( avol, 0, 0 );
-  }
-
-  // construct quotes
   uint32_t qt =pt.find_val( 1, "quotes" );
   for( uint32_t it = pt.get_first( qt ); it; it = pt.get_next( it ) ) {
     int64_t px = pt.get_int( pt.find_val( it,  "price"  ) );
@@ -109,25 +88,18 @@ int main( int argc,char** argv )
     pc_qs_add( qs, m, s );
   }
   pc_qs_calc( qs );
-  pc_twap_calc( qd, twap, qs->m_ );
-  pc_avol_calc( qd, avol, qs->m_, prev );
 
-  // scale results
   expo = std::min( qs->m_->e_, qs->s_->e_ );
   if ( expo <= 0 ) expo = -9;
   pd_adjust( qs->m_, qs->m_, expo, prm->fact_ );
   pd_adjust( qs->s_, qs->s_, expo, prm->fact_ );
-  pd_adjust( twap, twap, expo, prm->fact_ );
-  pd_adjust( avol, avol, expo, prm->fact_ );
 
   // generate result
   json_wtr jw;
   jw.add_val( json_wtr::e_obj );
   jw.add_key( "exponent", (int64_t)expo );
   jw.add_key( "price", qs->m_->v_ );
   jw.add_key( "conf", qs->s_->v_ );
-  jw.add_key( "twap", twap->v_ );
-  jw.add_key( "avol", avol->v_ );
   jw.pop();
   net_buf *hd, *tl;
   jw.detach( hd, tl );

program/src/oracle/oracle.c

@@ -580,43 +580,18 @@ static void upd_aggregate( pc_price_t *ptr,
       pc_qs_add( qs, m, s );
     }
   }
-  pc_drv_t qd[1];
-  pc_drv_new( qd, prm );
-  pd_t twap[1], avol[1], px[1], prev[1];
-  pd_new_scale( twap, ptr->twap_tmp_, PD_EXP_NORMAL );
-  pd_new_scale( avol, ptr->avol_tmp_, PD_EXP_NORMAL );
-  pd_new_scale( prev, ptr->agg_.price_, ptr->expo_ );
-
   // check for zero contributors
   if ( qs->num_ == 0 ) {
     ptr->agg_.status_ = PC_STATUS_UNKNOWN;
-    // decay twap with the same price
-    pd_new_scale( px, ptr->agg_.price_, ptr->expo_ );
-    pc_twap_calc( qd, twap, px );
-    pd_adjust( twap, twap, PD_EXP_NORMAL, prm->fact_ );
-    ptr->twap_tmp_ = twap->v_;
-    pd_adjust( twap, twap, ptr->expo_, prm->fact_ );
-    ptr->twap_ = twap->v_;
     return;
   }
-
-  // compute and assign aggregate price and derived values
+  // compute and assign aggregate price
   pc_qs_calc( qs );
-  pc_twap_calc( qd, twap, qs->m_ );
-  pc_avol_calc( qd, avol, qs->m_, prev );
   pd_adjust( qs->m_, qs->m_, ptr->expo_, prm->fact_ );
   pd_adjust( qs->s_, qs->s_, ptr->expo_, prm->fact_ );
-  pd_adjust( twap, twap, PD_EXP_NORMAL, prm->fact_ );
-  pd_adjust( avol, avol, PD_EXP_NORMAL, prm->fact_ );
   ptr->agg_.price_  = qs->m_->v_;
   ptr->agg_.conf_   = qs->s_->v_;
-  ptr->twap_tmp_    = twap->v_;
-  ptr->avol_tmp_    = avol->v_;
   ptr->agg_.status_ = PC_STATUS_TRADING;
-  pd_adjust( twap, twap, ptr->expo_, prm->fact_ );
-  pd_adjust( avol, avol, ptr->expo_, prm->fact_ );
-  ptr->twap_ = twap->v_;
-  ptr->avol_ = avol->v_;
 }
 
 static uint64_t upd_price( SolParameters *prm, SolAccountInfo *ka )

program/src/oracle/oracle.h

@@ -212,16 +212,6 @@ typedef struct pc_qs
   uint64_t *norm_;
 } pc_qs_t;
 
-typedef struct pc_drv
-{
-  pd_t      f0_[1];
-  pd_t      f1_[1];
-  pd_t      f2_[1];
-  pd_t      pn_[1];
-  pd_t      pp_[1];
-  uint64_t *fact_;
-} pc_drv_t;
-
 // command enumeration
 typedef enum {
 

program/src/oracle/pd.h

@@ -7,13 +7,6 @@ extern "C" {
 #define PD_MAX_NORMAL (6000-1)
 #define PD_EXP_NORMAL -9
 #define PD_SCALE9     (1000000000L)
-#define PD_EXP_DECAY0 -8
-#define PD_EXP_DECAY1 -8
-#define PD_EXP_DECAY2 -4
-#define PD_DECAY0     99984128
-#define PD_DECAY1     15872
-#define PD_DECAY2     87594394
-#define PD_ANN_FACT   55188000
 
 #define pd_new( n,v,e ) {(n)->v_=v;(n)->e_=e;}
 #define pd_set( r,n ) (r)[0] = (n)[0]
@@ -382,48 +375,6 @@ static void pc_qs_calc( pc_qs_t *q )
   pd_sqrt( q->s_, t1, p );
 }
 
-static void pc_drv_new( pc_drv_t *d, pc_prm_t *prm )
-{
-  pd_new( d->f0_, PD_DECAY0, PD_EXP_DECAY0 );
-  pd_new( d->f1_, PD_DECAY1, PD_EXP_DECAY1 );
-  pd_new( d->f2_, PD_DECAY2, PD_EXP_DECAY2 );
-  d->fact_ = prm->fact_;
-}
-
-static void pc_twap_calc( pc_drv_t *d, pd_t *twap, pd_t *pn )
-{
-  pd_t t[1];
-  if ( twap->v_ ) {
-    pd_mul( twap, twap, d->f0_ );
-    pd_mul( t, pn, d->f1_ );
-    pd_add( twap, twap, t, d->fact_ );
-  } else {
-    // initial twap
-    pd_set( twap, pn );
-  }
-}
-
-static void pc_avol_calc( pc_drv_t *d, pd_t *vol, pd_t *pn, pd_t *pp )
-{
-  // check for previous price
-  if ( pp->v_ == 0 ) {
-    return;
-  }
-  pd_t t[1], fa[1];
-  pd_sub( t, pn, pp, d->fact_ );
-  pd_mul( t, t, t );
-  if ( vol->v_ ) {
-    pd_mul( vol, vol, vol );
-    pd_mul( vol, vol, d->f0_ );
-    pd_mul( t, t, d->f2_ );
-    pd_add( vol, vol, t, d->fact_ );
-  } else {
-    // initial vol
-    pd_new( fa, PD_ANN_FACT, 0 );
-    pd_mul( vol, t, fa );
-  }
-  pd_sqrt( vol, vol, d->fact_ );
-}
 
 #ifdef __cplusplus
 }