Helper method for pricing a base currency in a quote currency (#8)

* Add method for getting twap

* initial implementation, seems to work

* minor

* minor

* refactor

* found bad case

* use u128

* working on it

* clarify

* cleanup

* more cleanup

* pretty sure i need this

* better

* bad merge

* no println

* adding solana tx stuff

* change approach a bit

* this seems to work

* comment

* cleanup

* refactor

* refactor

* initial implementation of mul

* exponent

* tests for normalize

* tests for normalize

* negative numbers in div

* handle negative numbers

* comments

* stuff

* cleanup

* unused

* minor

Co-authored-by: Jayant Krishnamurthy <[email protected]>

Author: jayantk

Cargo.toml

@@ -10,10 +10,23 @@ description = "pyth price oracle data structures and example usage"
 keywords = [ "pyth", "solana", "oracle" ]
 readme = "README.md"
 
-# See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html
+[features]
+test-bpf = []
+no-entrypoint = []
+
+[dependencies]
+solana-program = "1.8.1"
+borsh = "0.9"
+borsh-derive = "0.9.0"
 
 [dev-dependencies]
-solana-client = "1.6.7"
-solana-sdk = "1.6.7"
-solana-program = "1.6.7"
+solana-program-test = "1.8.1"
+solana-client = "1.8.1"
+solana-sdk = "1.8.1"
+
+[lib]
+crate-type = ["cdylib", "lib"]
+
+[package.metadata.docs.rs]
+targets = ["x86_64-unknown-linux-gnu"]
 

README.md

@@ -1,6 +1,6 @@
 # pyth-client-rs
 
-A rust API for desribing on-chain pyth account structures.  A primer on pyth accounts can be found at https://github.com/pyth-network/pyth-client/blob/main/doc/aggregate_price.md
+A rust API for describing on-chain pyth account structures.  A primer on pyth accounts can be found at https://github.com/pyth-network/pyth-client/blob/main/doc/aggregate_price.md
 
 
 Contains a library for use in on-chain program development and an off-chain example program for loading and printing product reference data and aggregate prices from all devnet pyth accounts.
@@ -37,4 +37,4 @@ product_account .. 6MEwdxe4g1NeAF9u6KDG14anJpFsVEa2cvr5H6iriFZ8
     publish_slot . 91340925
     twap ......... 7426390900
     twac ......... 2259870
-```
+```

Xargo.toml

@@ -0,0 +1,2 @@
+[target.bpfel-unknown-unknown.dependencies.std]
+features = []

examples/get_accounts.rs

@@ -117,9 +117,9 @@ fn main() {
 
           let maybe_price = pa.get_current_price();
           match maybe_price {
-            Some((price, confidence, expo)) => {
-              println!("    price ........ {} x 10^{}", price, expo);
-              println!("    conf ......... {} x 10^{}", confidence, expo);
+            Some(p) => {
+              println!("    price ........ {} x 10^{}", p.price, p.expo);
+              println!("    conf ......... {} x 10^{}", p.conf, p.expo);
             }
             None => {
               println!("    price ........ unavailable");
@@ -138,16 +138,16 @@ fn main() {
 
           let maybe_twap = pa.get_twap();
           match maybe_twap {
-            Some((twap, expo)) => {
-              println!( "    twap ......... {} x 10^{}", twap, expo );
+            Some(twap) => {
+              println!( "    twap ......... {} x 10^{}", twap.price, twap.expo );
+              println!( "    twac ......... {} x 10^{}", twap.conf, twap.expo );
             }
             None => {
               println!( "    twap ......... unavailable");
+              println!( "    twac ......... unavailable");
             }
           }
 
-          println!( "    twac ......... {}", pa.twac.val );
-
           // go to next price account in list
           if pa.next.is_valid() {
             px_pkey = Pubkey::new( &pa.next.val );

src/entrypoint.rs

@@ -0,0 +1,16 @@
+//! Program entrypoint
+
+#![cfg(not(feature = "no-entrypoint"))]
+
+use solana_program::{
+  account_info::AccountInfo, entrypoint, entrypoint::ProgramResult, pubkey::Pubkey,
+};
+
+entrypoint!(process_instruction);
+fn process_instruction(
+  program_id: &Pubkey,
+  accounts: &[AccountInfo],
+  instruction_data: &[u8],
+) -> ProgramResult {
+  crate::processor::process_instruction(program_id, accounts, instruction_data)
+}

src/instruction.rs

@@ -0,0 +1,55 @@
+//! Program instructions, used for end-to-end testing and instruction counts
+
+use {
+  crate::id,
+  borsh::{BorshDeserialize, BorshSerialize},
+  solana_program::instruction::Instruction,
+  crate::PriceConf,
+};
+
+/// Instructions supported by the pyth-client program, used for testing and
+/// instruction counts
+#[derive(Clone, Debug, BorshSerialize, BorshDeserialize, PartialEq)]
+pub enum PythClientInstruction {
+  Divide {
+    numerator: PriceConf,
+    denominator: PriceConf,
+  },
+  Multiply {
+    x: PriceConf,
+    y: PriceConf,
+  },
+  /// Don't do anything for comparison
+  ///
+  /// No accounts required for this instruction
+  Noop,
+}
+
+pub fn divide(numerator: PriceConf, denominator: PriceConf) -> Instruction {
+  Instruction {
+    program_id: id(),
+    accounts: vec![],
+    data: PythClientInstruction::Divide { numerator, denominator }
+      .try_to_vec()
+      .unwrap(),
+  }
+}
+
+pub fn multiply(x: PriceConf, y: PriceConf) -> Instruction {
+  Instruction {
+    program_id: id(),
+    accounts: vec![],
+    data: PythClientInstruction::Multiply { x, y }
+      .try_to_vec()
+      .unwrap(),
+  }
+}
+
+/// Noop instruction for comparison purposes
+pub fn noop() -> Instruction {
+  Instruction {
+    program_id: id(),
+    accounts: vec![],
+    data: PythClientInstruction::Noop.try_to_vec().unwrap(),
+  }
+}

src/lib.rs

@@ -1,3 +1,12 @@
+pub use self::price_conf::PriceConf;
+
+mod entrypoint;
+pub mod processor;
+pub mod instruction;
+
+mod price_conf;
+solana_program::declare_id!("PythC11111111111111111111111111111111111111");
+
 pub const MAGIC          : u32   = 0xa1b2c3d4;
 pub const VERSION_2      : u32   = 2;
 pub const VERSION        : u32   = VERSION_2;
@@ -134,34 +143,68 @@ pub struct Price
 impl Price {
   /**
    * Get the current price and confidence interval as fixed-point numbers of the form a * 10^e.
-   * Returns a triple of the current price, confidence interval, and the exponent for both
-   * numbers. For example:
-   *
-   * get_current_price() -> Some((12345, 267, -2)) // represents 123.45 +- 2.67
-   * get_current_price() -> Some((123, 1, 2)) // represents 12300 +- 100
-   *
-   * Returns None if price information is currently unavailable.
+   * Returns a struct containing the current price, confidence interval, and the exponent for both
+   * numbers. Returns None if price information is currently unavailable.
    */
-  pub fn get_current_price(&self) -> Option<(i64, u64, i32)> {
+  pub fn get_current_price(&self) -> Option<PriceConf> {
     if !matches!(self.agg.status, PriceStatus::Trading) {
       None
     } else {
-      Some((self.agg.price, self.agg.conf, self.expo))
+      Some(PriceConf {
+        price: self.agg.price,
+        conf: self.agg.conf,
+        expo: self.expo
+      })
     }
   }
 
   /**
-   * Get the time-weighted average price (TWAP) as a fixed point number of the form a * 10^e.
-   * Returns a tuple of the current twap and its exponent. For example:
-   *
-   * get_twap() -> Some((123, -2)) // represents 1.23
-   * get_twap() -> Some((45, 3)) // represents 45000
-   *
+   * Get the time-weighted average price (TWAP) and a confidence interval on the result.
    * Returns None if the twap is currently unavailable.
+   *
+   * At the moment, the confidence interval returned by this method is computed in
+   * a somewhat questionable way, so we do not recommend using it for high-value applications.
    */
-  pub fn get_twap(&self) -> Option<(i64, i32)> {
+  pub fn get_twap(&self) -> Option<PriceConf> {
     // This method currently cannot return None, but may do so in the future.
-    Some((self.twap.val, self.expo))
+    // Note that the twac is a positive number in i64, so safe to cast to u64.
+    Some(PriceConf { price: self.twap.val, conf: self.twac.val as u64, expo: self.expo })
+  }
+
+  /**
+   * Get the current price of this account in a different quote currency. If this account
+   * represents the price of the product X/Z, and `quote` represents the price of the product Y/Z,
+   * this method returns the price of X/Y. Use this method to get the price of e.g., mSOL/SOL from
+   * the mSOL/USD and SOL/USD accounts.
+   *
+   * `result_expo` determines the exponent of the result, i.e., the number of digits below the decimal
+   * point. This method returns `None` if either the price or confidence are too large to be
+   * represented with the requested exponent.
+   */
+  pub fn get_price_in_quote(&self, quote: &Price, result_expo: i32) -> Option<PriceConf> {
+    return match (self.get_current_price(), quote.get_current_price()) {
+      (Some(base_price_conf), Some(quote_price_conf)) =>
+        base_price_conf.div(&quote_price_conf)?.scale_to_exponent(result_expo),
+      (_, _) => None,
+    }
+  }
+
+  /**
+   * Get the price of a basket of currencies. Each entry in `amounts` is of the form
+   * `(price, qty, qty_expo)`, and the result is the sum of `price * qty * 10^qty_expo`.
+   * The result is returned with exponent `result_expo`.
+   *
+   * An example use case for this function is to get the value of an LP token.
+   */
+  pub fn price_basket(amounts: &[(Price, i64, i32)], result_expo: i32) -> Option<PriceConf> {
+    assert!(amounts.len() > 0);
+    let mut res = PriceConf { price: 0, conf: 0, expo: result_expo };
+    for i in 0..amounts.len() {
+      res = res.add(
+        &amounts[i].0.get_current_price()?.cmul(amounts[i].1, amounts[i].2)?.scale_to_exponent(result_expo)?
+      )?
+    }
+    Some(res)
   }
 }