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jhunsakerjhunsaker
committed
use some bits for storing exponent to avoid overflow
1 parent a819a9e commit 0b65cd4

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7 files changed

+390
-357
lines changed

7 files changed

+390
-357
lines changed

‎program/src/oracle/pd.h‎

Lines changed: 36 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -10,6 +10,9 @@ extern "C" {
1010
#define PD_EMA_DECAY (-117065) // 1e9*-log(2)/5921
1111
#define PC_FACTOR_SIZE 18
1212

13+
#define EXP_BITS 5
14+
#define EXP_MASK ( ( 1L << EXP_BITS ) - 1 )
15+
1316
#define pd_new( n,v,e ) {(n)->v_=v;(n)->e_=e;}
1417
#define pd_set( r,n ) (r)[0] = (n)[0]
1518
#define pd_new_scale(n,v,e) {(n)->v_=v;(n)->e_=e;pd_scale(n);}
@@ -29,6 +32,39 @@ static void pd_scale( pd_t *n )
2932
n->v_ = neg ? -v : v;
3033
}
3134

35+
static bool pd_store( int64_t *r, pd_t const *n )
36+
{
37+
int64_t v = n->v_;
38+
int32_t e = n->e_;
39+
while ( v < -( 1L << 58 ) ) {
40+
v /= 10;
41+
++e;
42+
}
43+
while ( v > ( 1L << 58 ) - 1 ) {
44+
v /= 10;
45+
++e;
46+
}
47+
while ( e < -( 1 << ( EXP_BITS - 1 ) ) ) {
48+
v /= 10;
49+
++e;
50+
}
51+
while ( e > ( 1 << ( EXP_BITS - 1 ) ) - 1 ) {
52+
v *= 10;
53+
if ( v < -( 1L << 58 ) || v > ( 1L << 58 ) - 1 ) {
54+
return false;
55+
}
56+
--e;
57+
}
58+
*r = ( v << EXP_BITS ) | ( e & EXP_MASK );
59+
return true;
60+
}
61+
62+
void pd_load( pd_t *r, int64_t const n )
63+
{
64+
pd_new( r, n >> EXP_BITS, ( ( n & EXP_MASK ) << 59 ) >> 59 );
65+
pd_scale( r );
66+
}
67+
3268
static void pd_adjust( pd_t *n, int e, const int64_t *p )
3369
{
3470
int64_t v = n->v_;

‎program/src/oracle/upd_aggregate.h‎

Lines changed: 4 additions & 7 deletions
Original file line numberDiff line numberDiff line change
@@ -10,7 +10,6 @@
1010
extern "C" {
1111
#endif
1212

13-
// quote info for aggregate price calc
1413
typedef struct pc_qset
1514
{
1615
pd_t iprice_[PC_COMP_SIZE];
@@ -103,8 +102,8 @@ static void upd_ema(
103102
pd_add( decay, decay, one, qs->fact_ );
104103

105104
// compute numer/denom and new value from decay factor
106-
pd_new_scale( numer, ptr->numer_, PD_EMA_EXPO );
107-
pd_new_scale( denom, ptr->denom_, PD_EMA_EXPO );
105+
pd_load( numer, ptr->numer_ );
106+
pd_load( denom, ptr->denom_ );
108107
pd_mul( numer, numer, decay );
109108
pd_mul( wval, val, cwgt );
110109
pd_add( numer, numer, wval, qs->fact_ );
@@ -115,11 +114,9 @@ static void upd_ema(
115114

116115
// adjust and store results
117116
pd_adjust( val, qs->expo_, qs->fact_ );
118-
pd_adjust( numer, PD_EMA_EXPO, qs->fact_ );
119-
pd_adjust( denom, PD_EMA_EXPO, qs->fact_ );
120117
ptr->val_ = val->v_;
121-
ptr->numer_ = numer->v_;
122-
ptr->denom_ = denom->v_;
118+
pd_store( &ptr->numer_, numer );
119+
pd_store( &ptr->denom_, denom );
123120
}
124121

125122
static inline void upd_twap(

‎pyth/tests/twap/audit_overflow.result‎

Lines changed: 39 additions & 39 deletions
Original file line numberDiff line numberDiff line change
@@ -17,42 +17,42 @@ price,conf,expo,nslots,twap,twac
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5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5399999900,10
20-
5400000000,10,0,1,-4317908700,10
21-
5400000000,10,0,1,-3831472600,10
22-
5400000000,10,0,1,-3391363800,10
23-
5400000000,10,0,1,-2991264900,10
24-
5400000000,10,0,1,-2625957220,10
25-
5400000000,10,0,1,-2291091870,10
26-
5400000000,10,0,1,-1983015760,10
27-
5400000000,10,0,1,-1698637830,10
28-
5400000000,10,0,1,-1435324970,10
29-
5400000000,10,0,1,-1190820180,10
30-
5400000000,10,0,1,-963177770,10
31-
5400000000,10,0,1,-750711560,10
32-
5400000000,10,0,1,-551952870,10
33-
5400000000,10,0,1,-365616590,10
34-
5400000000,10,0,1,-190573435,10
35-
5400000000,10,0,1,-25826945,10
36-
5400000000,10,0,1,129505450,10
37-
5400000000,10,0,1,276208260,10
38-
5400000000,10,0,1,414981170,10
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5400000000,10,0,1,546450240,10
40-
5400000000,10,0,1,671177310,10
41-
5400000000,10,0,1,789668000,10
42-
5400000000,10,0,1,902378650,10
43-
5400000000,10,0,1,1009722100,10
44-
5400000000,10,0,1,1112072850,10
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5400000000,10,0,1,1209771270,10
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5400000000,10,0,1,1303127550,10
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5400000000,10,0,1,1392424830,10
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5400000000,10,0,1,1477922240,10
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5400000000,10,0,1,1559857230,10
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5400000000,10,0,1,1638447910,10
51-
5400000000,10,0,1,1713894980,10
52-
5400000000,10,0,1,1786383320,10
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5400000000,10,0,1,1856083660,10
54-
5400000000,10,0,1,-1567561520,10
55-
5400000000,10,0,1,-1438131840,10
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5400000000,10,0,1,-1313408720,10
57-
5400000000,10,0,1,-1193139990,10
58-
5400000000,10,0,1,-1077091250,10
20+
5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5399999900,10
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5400000000,10,0,1,5400000100,10
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5400000000,10,0,1,5400000100,10
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5400000000,10,0,1,5400000200,10
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5400000000,10,0,1,5400000300,10
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5400000000,10,0,1,5400000300,10
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5400000000,10,0,1,5400000300,10
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5400000000,10,0,1,5400000500,10
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5400000000,10,0,1,5400000500,10
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5400000000,10,0,1,5400000500,10
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5400000000,10,0,1,5400000500,10
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5400000000,10,0,1,5400000600,10
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5400000000,10,0,1,5400000700,10
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5400000000,10,0,1,5400000700,10
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5400000000,10,0,1,5400000800,10
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5400000000,10,0,1,5400000800,10
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5400000000,10,0,1,5400000900,10
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5400000000,10,0,1,5400000900,10
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5400000000,10,0,1,5400001000,10
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5400000000,10,0,1,5400001000,10
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5400000000,10,0,1,5400001100,10
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5400000000,10,0,1,5400001100,10
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5400000000,10,0,1,5400001100,10
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5400000000,10,0,1,5400001100,10
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5400000000,10,0,1,5400001100,10
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5400000000,10,0,1,5400001100,10
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5400000000,10,0,1,5400001000,10
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5400000000,10,0,1,5400000900,10
56+
5400000000,10,0,1,5400000800,10
57+
5400000000,10,0,1,5400000700,10
58+
5400000000,10,0,1,5400000600,10

‎pyth/tests/twap/price10_conf1.result‎

Lines changed: 36 additions & 36 deletions
Original file line numberDiff line numberDiff line change
@@ -7,39 +7,39 @@ price,conf,expo,nslots,twap,twac
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1234567890,1,0,1,1234567820,1
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1234567890,1,0,1,1234567830,1
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1234567890,1,0,1,1234567830,1
10-
1234567890,1,0,1,-815790370,1
11-
1234567890,1,0,1,-610646500,1
12-
1234567890,1,0,1,-442801510,1
13-
1234567890,1,0,1,-302930690,1
14-
1234567890,1,0,1,-184578473,1
15-
1234567890,1,0,1,-83133713,1
16-
1234567890,1,0,1,4785076,1
17-
1234567890,1,0,1,81714014,1
18-
1234567890,1,0,1,149592486,1
19-
1234567890,1,0,1,209928901,1
20-
1234567890,1,0,1,263914106,1
21-
1234567890,1,0,1,312500780,1
22-
1234567890,1,0,1,356460160,1
23-
1234567890,1,0,1,396423230,1
24-
1234567890,1,0,1,432911250,1
25-
1234567890,1,0,1,-303200950,1
26-
1234567890,1,0,1,-241603736,1
27-
1234567890,1,0,1,-184744771,1
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1234567890,1,0,1,-132097585,1
29-
1234567890,1,0,1,-83210916,1
30-
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36-
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38-
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1234567890,1,0,1,-115510112,1
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1234567890,1,0,1,-23238224,1
10+
1234567890,1,0,1,1234567830,1
11+
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12+
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1234567890,1,0,1,1234567460,1
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1234567890,1,0,1,1234567460,1
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1234567890,1,0,1,1234567440,1
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1234567890,1,0,1,1234567430,1
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1234567890,1,0,1,1234567430,1
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1234567890,1,0,1,1234567440,1
45+
1234567890,1,0,1,1234567430,1

‎pyth/tests/twap/price10_conf2.result‎

Lines changed: 59 additions & 59 deletions
Original file line numberDiff line numberDiff line change
@@ -75,62 +75,62 @@ price,conf,expo,nslots,twap,twac
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1234567890,10,0,1,-1171506650,10
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1234567890,10,0,1,-1140520280,10
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1234567890,10,0,1,-1110318390,10
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1234567890,10,0,1,-1080871540,10
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1234567890,10,0,1,-1052151780,10
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1234567890,10,0,1,-1024132510,10
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1234567890,10,0,1,-996788410,10
85-
1234567890,10,0,1,-970095360,10
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1234567890,10,0,1,-944030390,10
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1234567890,10,0,1,-918571600,10
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1234567890,10,0,1,-893698060,10
89-
1234567890,10,0,1,-869389830,10
90-
1234567890,10,0,1,-845627850,10
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1234567890,10,0,1,-822393920,10
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119-
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136-
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78+
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79+
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82+
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89+
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90+
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