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Implement custom deviation function for pendle
Does NOT include any integration tests. Experimental alpha.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,107 @@ | ||
| package config | ||
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| import ( | ||
| "context" | ||
| "encoding/json" | ||
| "errors" | ||
| "fmt" | ||
| "math" | ||
| "math/big" | ||
| "time" | ||
|
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| "github.com/smartcontractkit/libocr/offchainreporting2/reportingplugin/median" | ||
| ) | ||
|
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| var DefaultMultiplier = new(big.Int).SetInt64(1e18) | ||
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| type DeviationFunctionDefinition struct { | ||
| f median.DeviationFunc | ||
| } | ||
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| func (d DeviationFunctionDefinition) Func() median.DeviationFunc { | ||
| return d.f | ||
| } | ||
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| // UnmarshalJSON for DeviationFunctionDefinition expects a JSON object with a | ||
| // "type" field and additional fields depending on the type. | ||
| // e.g. {"type": "pendle", "expiresAt": 1739828109} | ||
| func (d *DeviationFunctionDefinition) UnmarshalJSON(data []byte) error { | ||
| // Parse JSON object | ||
| var obj map[string]interface{} | ||
| if err := json.Unmarshal(data, &obj); err != nil { | ||
| err = fmt.Errorf("failed to unmarshal deviation function definition: %w", err) | ||
| return err | ||
| } | ||
|
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| // Check for type field | ||
| typeVal, ok := obj["type"].(string) | ||
| if !ok { | ||
| return errors.New("missing or invalid 'type' field in deviation function definition") | ||
| } | ||
|
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| switch typeVal { | ||
| case "pendle": | ||
| expiresAt, ok := obj["expiresAt"].(float64) // Assume its a unix TS, it can have fractions of a second | ||
| if !ok { | ||
| return errors.New("missing or invalid 'expiresAt' field in deviation function definition") | ||
| } | ||
| var multiplier *big.Int | ||
| if multiplierStr, ok := obj["multiplier"].(string); ok { // Multiplier could be huge so we use string | ||
| multiplier = new(big.Int) | ||
| if _, ok := multiplier.SetString(multiplierStr, 10); !ok { | ||
| return fmt.Errorf("invalid 'multiplier' field in deviation function definition: %s", multiplierStr) | ||
| } | ||
| } else { | ||
| multiplier = DefaultMultiplier | ||
| } | ||
|
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| d.f = makePendleDeviationFunc(expiresAt, SystemClock{}, multiplier) | ||
| return nil | ||
| default: | ||
| return fmt.Errorf("unsupported function type in deviation function definition: %s", typeVal) | ||
| } | ||
| } | ||
|
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| const SecondsInYear = float64(365 * 24 * 60 * 60) | ||
|
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| type Clock interface { | ||
| Now() time.Time | ||
| } | ||
|
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| type SystemClock struct{} | ||
|
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| func (SystemClock) Now() time.Time { | ||
| return time.Now() | ||
| } | ||
|
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| // makePendleDeviationFunc makes a pendle-specific deviation func | ||
| // | ||
| // NOTE: This is non-deterministic if clock.Now() is non-deterministic (the usual case) | ||
| // expiresAt expected as float64 number of seconds since epoch | ||
| func makePendleDeviationFunc(expiresAt float64, clock Clock, valMultiplier *big.Int) median.DeviationFunc { | ||
| valMultiplierF := new(big.Float).SetInt(valMultiplier) | ||
| return func(ctx context.Context, thresholdPPB uint64, oldVal, newVal *big.Int) (bool, error) { | ||
| if oldVal == nil || newVal == nil { | ||
| return false, errors.New("oldVal and newVal must be non-nil") | ||
| } | ||
|
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| nowF64 := float64(clock.Now().UnixNano()) / 1e9 | ||
| // Convert expirationSeconds to years | ||
| yearsToExpiration := (expiresAt - nowF64) / SecondsInYear | ||
|
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| // Compute absolute difference |oldVal - newVal| | ||
| diff := newVal.Sub(newVal, oldVal) | ||
| diff.Abs(diff) // Take absolute value | ||
| // Convert big.Int to float64 for calculation | ||
| diffFloat := new(big.Float).SetInt(diff) | ||
| // Divide by multiplier | ||
| diffFloat = diffFloat.Quo(diffFloat, valMultiplierF) | ||
| diffF64, _ := diffFloat.Float64() | ||
|
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| // Compute logarithmic threshold | ||
| logThreshold := math.Log(1 + float64(thresholdPPB)/1e9) | ||
|
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| // Return the comparison result | ||
| return (diffF64 * yearsToExpiration) > logThreshold, nil | ||
| } | ||
| } |
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