new feed type "function" with "max" and "invert" functions operating recursively on price feeds (closes stellar-deprecated#338) (stellar-deprecated#339)

* 1 - initial implementation, function feed and max function

* 2 - tests for extractFunctionParts with a fix for extractFunctionParts

* 3 - priceFeed_test

* 4 - updated sample config files

* 5 - invert function type added

Author: nikhilsaraf

examples/configs/trader/sample_buysell.cfg

@@ -2,7 +2,7 @@
 
 # Price Feeds
 # Note: we take the value from the A feed and divide it by the value retrieved from the B feed below.
-# the type of feeds can be one of crypto, fiat, fixed, exchange, sdex.
+# the type of feeds can be one of crypto, fiat, fixed, exchange, sdex, function.
 
 # specification of feed type "exchange"
 DATA_TYPE_A="exchange"
@@ -51,6 +51,16 @@ DATA_FEED_B_URL="1.0"
 # for XLM leave the issuer string blank
 # DATA_FEED_A_URL="COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI/XLM:"
 
+# sample priceFeed of type "function"
+# this feed type uses one of the pre-defined functions to recursively operate on other price feeds
+# all URLs for this type of feed are formatted like so: function_name(feed_type/feed_url[,feed_type/feed_url])
+#DATA_TYPE_A = "function"
+# the supported functions for now are only the "max" and "invert" functions, example usage:
+#    "max": max(exchange/ccxt-kraken/XLM/USD/mid,exchange/ccxt-binance/XLM/USDT/mid) -- will give you the larger price
+#           between kraken's mid price and binance's mid price
+#    "invert": invert(exchange/ccxt-kraken/XLM/USD/mid) -- will give you the effective USD/XLM price
+#DATA_FEED_A_URL = "max(exchange/ccxt-kraken/XLM/USD/mid,exchange/ccxt-binance/XLM/USDT/mid)"
+
 # what value of a price change triggers re-creating an offer. Price change refers to the existing price of the offer vs. what price we want to set. value is a percentage specified as a decimal number (0 < value < 1.00)
 PRICE_TOLERANCE=0.001
 

examples/configs/trader/sample_sell.cfg

@@ -4,7 +4,7 @@
 
 # Price Feeds
 # Note: we take the value from the A feed and divide it by the value retrieved from the B feed below.
-# the type of feeds can be one of crypto, fiat, fixed, exchange, sdex.
+# the type of feeds can be one of crypto, fiat, fixed, exchange, sdex, function.
 
 # specification of feed type "exchange"
 DATA_TYPE_A="exchange"
@@ -53,6 +53,16 @@ DATA_FEED_B_URL="1.0"
 # for XLM leave the issuer string blank
 # DATA_FEED_A_URL="COUPON:GBMMZMK2DC4FFP4CAI6KCVNCQ7WLO5A7DQU7EC7WGHRDQBZB763X4OQI/XLM:"
 
+# sample priceFeed of type "function"
+# this feed type uses one of the pre-defined functions to recursively operate on other price feeds
+# all URLs for this type of feed are formatted like so: function_name(feed_type/feed_url[,feed_type/feed_url])
+#DATA_TYPE_A = "function"
+# the supported functions for now are only the "max" and "invert" functions, example usage:
+#    "max": max(exchange/ccxt-kraken/XLM/USD/mid,exchange/ccxt-binance/XLM/USDT/mid) -- will give you the larger price
+#           between kraken's mid price and binance's mid price
+#    "invert": invert(exchange/ccxt-kraken/XLM/USD/mid) -- will give you the effective USD/XLM price
+#DATA_FEED_A_URL = "max(exchange/ccxt-kraken/XLM/USD/mid,exchange/ccxt-binance/XLM/USDT/mid)"
+
 # what value of a price change triggers re-creating an offer. Price change refers to the existing price of the offer vs. what price we want to set. value is a percentage specified as a decimal number (0 < value < 1.00)
 PRICE_TOLERANCE=0.001
 

plugins/functionFeed.go

@@ -0,0 +1,87 @@
+package plugins
+
+import (
+	"fmt"
+	"regexp"
+	"strings"
+
+	"github.com/stellar/kelp/api"
+)
+
+type functionFeed struct {
+	getPriceFn func() (float64, error)
+}
+
+var _ api.PriceFeed = &functionFeed{}
+
+// makeFeedFromFn is a convenience factory method that converts a GetPrice function in a PriceFeed struct
+func makeFunctionFeed(fn func() (float64, error)) api.PriceFeed {
+	return &functionFeed{
+		getPriceFn: fn,
+	}
+}
+
+// GetPrice delegator function
+func (f *functionFeed) GetPrice() (float64, error) {
+	return f.getPriceFn()
+}
+
+func makeFunctionPriceFeed(url string) (api.PriceFeed, error) {
+	name, argsString, e := extractFunctionParts(url)
+	if e != nil {
+		return nil, fmt.Errorf("unable to extract function name from URL: %s", e)
+	}
+
+	f, ok := fnFactoryMap[name]
+	if !ok {
+		return nil, fmt.Errorf("the passed in URL does not have the registered function '%s'", name)
+	}
+
+	feeds, e := makeFeedsArray(argsString)
+	if e != nil {
+		return nil, fmt.Errorf("error when makings feeds array: %s", e)
+	}
+
+	pf, e := f(feeds)
+	if e != nil {
+		return nil, fmt.Errorf("error when invoking price feed function '%s': %s", name, e)
+	}
+
+	return pf, nil
+}
+
+func extractFunctionParts(url string) (name string, args string, e error) {
+	fnNameRegex, e := regexp.Compile("^([a-zA-Z]+)\\((.*)\\)$")
+	if e != nil {
+		return "", "", fmt.Errorf("unable to make regexp (programmer error)")
+	}
+
+	submatches := fnNameRegex.FindStringSubmatch(url)
+	if len(submatches) != 3 {
+		return "", "", fmt.Errorf("incorrect number of matches, expected 3 entries in the returned array (matchedString, subgroup1, subgroup2), but found %v", submatches)
+	}
+
+	return submatches[1], submatches[2], nil
+}
+
+func makeFeedsArray(feedsStringCSV string) ([]api.PriceFeed, error) {
+	parts := strings.Split(feedsStringCSV, ",")
+	arr := []api.PriceFeed{}
+
+	for _, argPart := range parts {
+		feedSpecParts := strings.SplitN(argPart, "/", 2)
+		if len(feedSpecParts) != 2 {
+			return nil, fmt.Errorf("unable to correctly split arg into a price feed spec: %s", argPart)
+		}
+		priceFeedType := feedSpecParts[0]
+		priceFeedURL := feedSpecParts[1]
+
+		feed, e := MakePriceFeed(priceFeedType, priceFeedURL)
+		if e != nil {
+			return nil, fmt.Errorf("error creating a price feed (typ='%s', url='%s'): %s", priceFeedType, priceFeedURL, e)
+		}
+		arr = append(arr, feed)
+	}
+
+	return arr, nil
+}

plugins/functionFeed_test.go

@@ -0,0 +1,41 @@
+package plugins
+
+import (
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+func TestExtractFunctionParts(t *testing.T) {
+	testCases := []struct {
+		inputURL string
+		wantName string
+		wantArgs string
+	}{
+		{
+			inputURL: "max(test)",
+			wantName: "max",
+			wantArgs: "test",
+		}, {
+			inputURL: "invert(max(test))",
+			wantName: "invert",
+			wantArgs: "max(test)",
+		}, {
+			inputURL: "max(fixed/0.02,crypto/https://api.coinmarketcap.com/v1/ticker/stellar/)",
+			wantName: "max",
+			wantArgs: "fixed/0.02,crypto/https://api.coinmarketcap.com/v1/ticker/stellar/",
+		},
+	}
+
+	for _, k := range testCases {
+		t.Run(k.inputURL, func(t *testing.T) {
+			fnName, fnArgs, e := extractFunctionParts(k.inputURL)
+			if !assert.NoError(t, e) {
+				return
+			}
+
+			assert.Equal(t, k.wantName, fnName)
+			assert.Equal(t, k.wantArgs, fnArgs)
+		})
+	}
+}

plugins/priceFeed.go

@@ -79,6 +79,12 @@ func MakePriceFeed(feedType string, url string) (api.PriceFeed, error) {
 			return nil, fmt.Errorf("error occurred while making the SDEX price feed: %s", e)
 		}
 		return sdex, nil
+	case "function":
+		fnFeed, e := makeFunctionPriceFeed(url)
+		if e != nil {
+			return nil, fmt.Errorf("error while making function feed for URL '%s': %s", url, e)
+		}
+		return fnFeed, nil
 	}
 	return nil, fmt.Errorf("unable to make price feed for feedType=%s and url=%s", feedType, url)
 }

plugins/priceFeedFunctions.go

@@ -0,0 +1,58 @@
+package plugins
+
+import (
+	"fmt"
+
+	"github.com/stellar/kelp/api"
+)
+
+type fnFactory func(feeds []api.PriceFeed) (api.PriceFeed, error)
+
+var fnFactoryMap = map[string]fnFactory{
+	"max":    max,
+	"invert": invert,
+}
+
+func max(feeds []api.PriceFeed) (api.PriceFeed, error) {
+	if len(feeds) < 2 {
+		return nil, fmt.Errorf("need to provide at least 2 price feeds to the 'max' price feed function but found only %d price feeds", len(feeds))
+	}
+
+	return makeFunctionFeed(func() (float64, error) {
+		max := -1.0
+		for i, f := range feeds {
+			innerPrice, e := f.GetPrice()
+			if e != nil {
+				return 0.0, fmt.Errorf("error fetching price from feed (index=%d) in 'max' function feed: %s", i, e)
+			}
+
+			if innerPrice <= 0.0 {
+				return 0.0, fmt.Errorf("inner price of feed at index %d was <= 0.0 (%.10f)", i, innerPrice)
+			}
+
+			if innerPrice > max {
+				max = innerPrice
+			}
+		}
+		return max, nil
+	}), nil
+}
+
+func invert(feeds []api.PriceFeed) (api.PriceFeed, error) {
+	if len(feeds) != 1 {
+		return nil, fmt.Errorf("need to provide exactly 1 price feed to the 'invert' function but found %d price feeds", len(feeds))
+	}
+
+	return makeFunctionFeed(func() (float64, error) {
+		innerPrice, e := feeds[0].GetPrice()
+		if e != nil {
+			return 0.0, fmt.Errorf("error fetching price from feed in 'invert' function feed: %s", e)
+		}
+
+		if innerPrice <= 0.0 {
+			return 0.0, fmt.Errorf("inner price of feed was <= 0.0 (%.10f)", innerPrice)
+		}
+
+		return 1 / innerPrice, nil
+	}), nil
+}

plugins/priceFeed_test.go

@@ -0,0 +1,92 @@
+package plugins
+
+import (
+	"fmt"
+	"testing"
+
+	"github.com/stretchr/testify/assert"
+)
+
+const wantLowerBoundXLM = 0.04
+const wantUpperBoundXLM = 0.08
+
+func TestMakePriceFeed(t *testing.T) {
+	testCases := []struct {
+		typ                    string
+		url                    string
+		wantLowerOrEqualBound  float64
+		wantHigherOrEqualBound float64
+	}{
+		{
+			typ:                    "exchange",
+			url:                    "kraken/XXLM/ZUSD/mid",
+			wantLowerOrEqualBound:  wantLowerBoundXLM,
+			wantHigherOrEqualBound: wantUpperBoundXLM,
+		}, {
+			typ:                    "exchange",
+			url:                    "ccxt-kraken/XLM/USD/last",
+			wantLowerOrEqualBound:  wantLowerBoundXLM,
+			wantHigherOrEqualBound: wantUpperBoundXLM,
+		}, {
+			typ:                    "exchange",
+			url:                    "ccxt-binance/XLM/USDT/bid",
+			wantLowerOrEqualBound:  wantLowerBoundXLM,
+			wantHigherOrEqualBound: wantUpperBoundXLM,
+		}, {
+			typ:                    "exchange",
+			url:                    "ccxt-coinbasepro/XLM/USD/ask",
+			wantLowerOrEqualBound:  wantLowerBoundXLM,
+			wantHigherOrEqualBound: wantUpperBoundXLM,
+		}, {
+			typ:                    "fixed",
+			url:                    "1.23456",
+			wantLowerOrEqualBound:  1.23456,
+			wantHigherOrEqualBound: 1.23456,
+		}, {
+			typ:                    "sdex",
+			url:                    "XLM:/USD:GDUKMGUGDZQK6YHYA5Z6AY2G4XDSZPSZ3SW5UN3ARVMO6QSRDWP5YLEX",
+			wantLowerOrEqualBound:  wantLowerBoundXLM,
+			wantHigherOrEqualBound: wantUpperBoundXLM,
+		}, {
+			typ:                    "sdex",
+			url:                    "USD:GDUKMGUGDZQK6YHYA5Z6AY2G4XDSZPSZ3SW5UN3ARVMO6QSRDWP5YLEX/XLM:",
+			wantLowerOrEqualBound:  1 / wantUpperBoundXLM,
+			wantHigherOrEqualBound: 1 / wantLowerBoundXLM,
+		}, {
+			typ:                    "function",
+			url:                    "max(fixed/1.0,fixed/1.4)",
+			wantLowerOrEqualBound:  1.4,
+			wantHigherOrEqualBound: 1.4,
+		}, {
+			typ:                    "function",
+			url:                    "max(fixed/0.02,exchange/ccxt-kraken/XLM/USD/last)",
+			wantLowerOrEqualBound:  wantLowerBoundXLM,
+			wantHigherOrEqualBound: wantUpperBoundXLM,
+		}, {
+			typ:                    "function",
+			url:                    "invert(fixed/0.02)",
+			wantLowerOrEqualBound:  50.0,
+			wantHigherOrEqualBound: 50.0,
+		},
+		// not testing fiat here because it requires an access key
+		// not testing crypto here because it's returning an error when passed an actual URL but works in practice
+	}
+
+	// cannot run this in parallel because ccxt fails (by not recognizing exchanges) when hit with too many requests at once
+	for _, k := range testCases {
+		t.Run(k.typ+"/"+k.url, func(t *testing.T) {
+			pf, e := MakePriceFeed(k.typ, k.url)
+			if !assert.NoError(t, e) {
+				return
+			}
+
+			price, e := pf.GetPrice()
+			if !assert.NoError(t, e) {
+				return
+			}
+
+			assert.True(t, price >= k.wantLowerOrEqualBound, fmt.Sprintf("price was %.10f, should have been >= %.10f", price, k.wantLowerOrEqualBound))
+			assert.True(t, price <= k.wantHigherOrEqualBound, fmt.Sprintf("price was %.10f, should have been <= %.10f", price, k.wantHigherOrEqualBound))
+		})
+	}
+}