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feat(pricefeed): Add QuandlPriceFeed and use as backup for commodity …
…identifiers (UMAprotocol#2728) * feat(fallback-pricefeed): Create FallBackPriceFeed Higher level pricefeed initialied by priority set of pricefeeds, all PriceFeedInterface methods are called on constituent pricefeeds in order and only fail if all constituents fail. Signed-off-by: Nick Pai <[email protected]> * add FallBackPriceFeed to CreatePriceFeeds Signed-off-by: Nick Pai <[email protected]> * add ForexDailyPriceFeed Signed-off-by: Nick Pai <[email protected]> * add ForexDailyPriceFeed to CreatePriceFeed Signed-off-by: Nick Pai <[email protected]> * add ForexDailyPriceFeed config tests to CreatePriceFeed Signed-off-by: Nick Pai <[email protected]> * change CNYUSD and EURUSD default configs Signed-off-by: Nick Pai <[email protected]> * Fix tests Signed-off-by: Nick Pai <[email protected]> * Respond to Matt's comments - Rename `_createConstituentPriceFeed` to `_createConstituentPriceFeeds` - Change `hourlyLookback` and daily lookback to 3 days - FallBackPriceFeed: update() all constituent pricefeeds and catch errors (unless they ALL fail, then throw array of errors), getLastUpdateTime() returns latest update time or null if they're all empty Signed-off-by: Nick Pai <[email protected]> - Simplify ForexDailyPriceFeed API response parsing * feat(pricefeed): Add QuandlPriceFeed as fallback for commodity prices Signed-off-by: Nick Pai <[email protected]> * use endOf(day) Signed-off-by: Nick Pai <[email protected]>
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packages/financial-templates-lib/src/price-feed/QuandlPriceFeed.js
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| const { PriceFeedInterface } = require("./PriceFeedInterface"); | ||
| const { parseFixed } = require("@uma/common"); | ||
| const moment = require("moment"); | ||
|
|
||
| // An implementation of PriceFeedInterface that uses the Quandl free API to retrieve prices. | ||
| // API details can be found here: https://docs.quandl.com/docs | ||
| class QuandlPriceFeed extends PriceFeedInterface { | ||
| /** | ||
| * @notice Constructs the QuandlPriceFeed. | ||
| * @param {Object} logger Winston module used to send logs. | ||
| * @param {Object} web3 Provider from truffle instance to connect to Ethereum network. | ||
| * @param {String} quandlApiKey Quandl Data API key. Will get rate-limited without an API key. | ||
| * @param {String} datasetCode Code identifying the database to which the dataset belongs. Example: "CHRIS". | ||
| * @param {String} databaseCode Code identifying the dataset. Example: "CME_MGC1". | ||
| * @param {Integer} lookback How far in the past the historical prices will be available using getHistoricalPrice. | ||
| * @param {Object} networker Used to send the API requests. | ||
| * @param {Function} getTime Returns the current time. | ||
| * @param {Number} priceFeedDecimals Number of priceFeedDecimals to use to convert price to wei. | ||
| * @param {Integer} minTimeBetweenUpdates Min number of seconds between updates. If update() is called again before | ||
| * this number of seconds has passed, it will be a no-op. | ||
| */ | ||
| constructor( | ||
| logger, | ||
| web3, | ||
| quandlApiKey, | ||
| datasetCode, | ||
| databaseCode, | ||
| lookback, | ||
| networker, | ||
| getTime, | ||
| priceFeedDecimals = 18, | ||
| minTimeBetweenUpdates = 43200 | ||
| // 12 hours is a reasonable default since this pricefeed returns daily granularity at best. | ||
| ) { | ||
| super(); | ||
| this.logger = logger; | ||
| this.web3 = web3; | ||
|
|
||
| this.apiKey = quandlApiKey; | ||
| this.datasetCode = datasetCode.toUpperCase(); | ||
| this.databaseCode = databaseCode.toUpperCase(); | ||
| this.lookback = lookback; | ||
| this.uuid = `Quandl-${datasetCode}-${databaseCode}`; | ||
| this.networker = networker; | ||
| this.getTime = getTime; | ||
| this.minTimeBetweenUpdates = minTimeBetweenUpdates; | ||
| this.priceFeedDecimals = priceFeedDecimals; | ||
|
|
||
| this.toBN = this.web3.utils.toBN; | ||
|
|
||
| this.convertPriceFeedDecimals = number => { | ||
| // Converts price result to wei | ||
| // returns price conversion to correct decimals as a big number. | ||
| // Note: Must ensure that `number` has no more decimal places than `priceFeedDecimals`. | ||
| return this.toBN(parseFixed(number.toString().substring(0, priceFeedDecimals), priceFeedDecimals).toString()); | ||
| }; | ||
| } | ||
|
|
||
| getCurrentPrice() { | ||
| return this.currentPrice; | ||
| } | ||
|
|
||
| async getHistoricalPrice(time, verbose = false) { | ||
| if (this.lastUpdateTime === undefined) { | ||
| throw new Error(`${this.uuid}: undefined lastUpdateTime`); | ||
| } | ||
|
|
||
| // Set first price period in `historicalPricePeriods` to first non-null price. | ||
| let firstPricePeriod; | ||
| for (let p in this.historicalPricePeriods) { | ||
| if (this.historicalPricePeriods[p] && this.historicalPricePeriods[p].openTime) { | ||
| firstPricePeriod = this.historicalPricePeriods[p]; | ||
| break; | ||
| } | ||
| } | ||
|
|
||
| // If there are no valid price periods, return null. | ||
| if (!firstPricePeriod) { | ||
| throw new Error(`${this.uuid}: no valid price periods`); | ||
| } | ||
|
|
||
| // If the time is before the first piece of data in the set, return null because | ||
| // the price is before the lookback window. | ||
| if (time < firstPricePeriod.openTime) { | ||
| throw new Error(`${this.uuid}: time ${time} is before firstPricePeriod.openTime`); | ||
| } | ||
|
|
||
| // historicalPricePeriods are ordered from oldest to newest. | ||
| // This finds the first pricePeriod whose closeTime is after the provided time. | ||
| const match = this.historicalPricePeriods.find(pricePeriod => { | ||
| return time < pricePeriod.closeTime; | ||
| }); | ||
|
|
||
| // If there is no match, that means that the time was past the last data point. | ||
| // In this case, the best match for this price is the current price. | ||
| let returnPrice; | ||
| if (match === undefined) { | ||
| returnPrice = this.currentPrice; | ||
| if (verbose) { | ||
| console.group(`\n(${this.datasetCode}:${this.databaseCode}) No OHLC available @ ${time}`); | ||
| console.log( | ||
| `- ✅ Time is later than earliest historical time, fetching current price: ${this.web3.utils.fromWei( | ||
| returnPrice.toString() | ||
| )}` | ||
| ); | ||
| console.log( | ||
| `- ⚠️ If you want to manually verify the specific exchange prices, you can make a GET request to: \n- https://www.quandl.com/api/v3/datasets/${this.datasetCode}/${this.databaseCode}/data.json` | ||
| ); | ||
| console.groupEnd(); | ||
| } | ||
| return returnPrice; | ||
| } | ||
|
|
||
| returnPrice = match.openPrice; | ||
| if (verbose) { | ||
| console.group(`\n(${this.datasetCode}:${this.databaseCode}) Historical OHLC @ ${match.closeTime}`); | ||
| console.log(`- ✅ Open Price:${this.web3.utils.fromWei(returnPrice.toString())}`); | ||
| console.log( | ||
| `- ⚠️ If you want to manually verify the specific exchange prices, you can make a GET request to: \n- https://www.quandl.com/api/v3/datasets/${this.datasetCode}/${this.databaseCode}/data.json` | ||
| ); | ||
| console.log( | ||
| '- This will return an OHLC data packet as "result", which contains in order: \n- ["Date","Open","High","Low","Last","Change","Settle","Volume","Previous Day Open Interest"].' | ||
| ); | ||
| console.log("- We use the OpenPrice to compute the median."); | ||
| console.groupEnd(); | ||
| } | ||
| return returnPrice; | ||
| } | ||
|
|
||
| getHistoricalPricePeriods() { | ||
| return this.historicalPricePeriods.map(historicalPrice => { | ||
| return [historicalPrice.closeTime, historicalPrice.closePrice]; | ||
| }); | ||
| } | ||
| getLastUpdateTime() { | ||
| return this.lastUpdateTime; | ||
| } | ||
|
|
||
| getLookback() { | ||
| return this.lookback; | ||
| } | ||
|
|
||
| getPriceFeedDecimals() { | ||
| return this.priceFeedDecimals; | ||
| } | ||
|
|
||
| async update() { | ||
| const currentTime = this.getTime(); | ||
|
|
||
| // Return early if the last call was too recent. | ||
| if (this.lastUpdateTime !== undefined && this.lastUpdateTime + this.minTimeBetweenUpdates > currentTime) { | ||
| this.logger.debug({ | ||
| at: "QuandlPriceFeed", | ||
| message: "Update skipped because the last one was too recent", | ||
| currentTime: currentTime, | ||
| lastUpdateTimestamp: this.lastUpdateTime, | ||
| timeRemainingUntilUpdate: this.lastUpdateTimes + this.minTimeBetweenUpdates - currentTime | ||
| }); | ||
| return; | ||
| } | ||
|
|
||
| this.logger.debug({ | ||
| at: "QuandlPriceFeed", | ||
| message: "Updating QuandlPriceFeed", | ||
| currentTime: currentTime, | ||
| lastUpdateTimestamp: this.lastUpdateTime | ||
| }); | ||
|
|
||
| // Find the closest day that completed before the beginning of the lookback window, and use | ||
| // it as the start date. | ||
| const startLookbackWindow = currentTime - this.lookback; | ||
| const startDateString = this._secondToDateTime(startLookbackWindow); | ||
| const endDateString = this._secondToDateTime(currentTime); | ||
|
|
||
| // 1. Construct URL. | ||
| // See https://docs.quandl.com/docs/parameters-2 for how this url is constructed. | ||
| const url = [ | ||
| `https://www.quandl.com/api/v3/datasets/${this.datasetCode}/${this.databaseCode}/data.json?`, | ||
| `start_date=${startDateString}&end_date=${endDateString}`, | ||
| `&collapse=daily&api_key=${this.apiKey}` | ||
| // Theoretically you could change granularity to be greater than daily but this doesn't seem | ||
| // useful to implement flexibility for right now. | ||
| ].join(""); | ||
|
|
||
| // 2. Send request. | ||
| const historyResponse = await this.networker.getJson(url); | ||
|
|
||
| // 3. Check responses. | ||
| if ( | ||
| !historyResponse?.dataset_data?.data || | ||
| historyResponse.dataset_data.data.length === 0 || | ||
| historyResponse.dataset_data.data.some(dailyData => dailyData.length === 0) | ||
| ) { | ||
| throw new Error(`🚨Could not parse price result from url ${url}: ${JSON.stringify(historyResponse)}`); | ||
| } | ||
|
|
||
| // 4. Parse results. | ||
| // Return data structure: | ||
| // { | ||
| // "dataset_data": { | ||
| // "data": [ | ||
| // [ | ||
| // "2021-03-16", | ||
| // 1730.2, | ||
| // 1740.5, | ||
| // 1724.4, | ||
| // 1730.1, | ||
| // 1.7, | ||
| // 1730.9, | ||
| // 41843.0, | ||
| // 21285.0 | ||
| // ] | ||
| // ...more data for different days | ||
| // ], | ||
| // ...other data we don't care about | ||
| // } | ||
| // } | ||
| const newHistoricalPricePeriods = historyResponse.dataset_data.data | ||
| .map(dailyData => ({ | ||
| // Output data should be a list of objects with only the open and close times and prices. | ||
| // Note: Data is formatted as [Date, Open, High, Low, Last, Change, Settle, Volume, Previous Day Open Interest] | ||
| openTime: this._dateTimeToSecond(dailyData[0]), | ||
| closeTime: this._dateTimeToSecond(dailyData[0], true), | ||
| // Note: We make the assumption that prices apply for a full 24 hours starting | ||
| // from the beginning of the day denoted by the datetime string. | ||
| openPrice: this.convertPriceFeedDecimals(dailyData[1]), | ||
| closePrice: this.convertPriceFeedDecimals(dailyData[4]) | ||
| })) | ||
| .sort((a, b) => { | ||
| // Sorts the data such that the oldest elements come first. | ||
| return a.openTime - b.openTime; | ||
| }); | ||
|
|
||
| // 5. Store results. | ||
| this.currentPrice = newHistoricalPricePeriods[newHistoricalPricePeriods.length - 1].closePrice; | ||
| this.historicalPricePeriods = newHistoricalPricePeriods; | ||
| this.lastUpdateTime = currentTime; | ||
| } | ||
|
|
||
| _secondToDateTime(inputSecond) { | ||
| return moment.unix(inputSecond).format("YYYY-MM-DD"); | ||
| } | ||
| _dateTimeToSecond(inputDateTime, endOfDay = false) { | ||
| if (endOfDay) { | ||
| return moment(inputDateTime, "YYYY-MM-DD") | ||
| .endOf("day") | ||
| .unix(); | ||
| } else { | ||
| return moment(inputDateTime, "YYYY-MM-DD").unix(); | ||
| } | ||
| } | ||
| } | ||
|
|
||
| module.exports = { | ||
| QuandlPriceFeed | ||
| }; |
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