fix: helix requires uppercase, and doesn't provide volume

cmd/price-feeder.go

@@ -234,6 +234,7 @@ func priceFeederCmdHandler(cmd *cobra.Command, args []string) error {
 		cfg.Decimals,
 		cfg.Periods,
 		volumeDatabase,
+		cfg.Helix,
 	)
 
 	telemetryCfg := telemetry.Config{}

config/config.go

@@ -119,6 +119,7 @@ type (
 		Decimals             map[string]map[string]int     `toml:"decimals"`
 		Periods              map[string]map[string]int     `toml:"periods"`
 		UrlSets              map[string]UrlSet             `toml:"url_set"`
+		Helix                Helix                         `toml:"helix"`
 	}
 
 	// Server defines the API server configuration.
@@ -230,6 +231,10 @@ type (
 	UrlSet struct {
 		Urls []string `toml:"urls"`
 	}
+
+	Helix struct {
+		TokenFile string `toml:"token_file"`
+	}
 )
 
 // telemetryValidation is custom validation for the Telemetry struct.

go.mod

@@ -86,6 +86,7 @@ require (
 	github.com/go-logfmt/logfmt v0.6.0 // indirect
 	github.com/go-playground/locales v0.14.0 // indirect
 	github.com/go-playground/universal-translator v0.18.0 // indirect
+	github.com/go-stack/stack v1.8.0 // indirect
 	github.com/go-toolsmith/astcast v1.0.0 // indirect
 	github.com/go-toolsmith/astcopy v1.0.2 // indirect
 	github.com/go-toolsmith/astequal v1.0.3 // indirect

go.sum

@@ -310,6 +310,7 @@ github.com/go-playground/validator/v10 v10.11.1/go.mod h1:i+3WkQ1FvaUjjxh1kSvIA4
 github.com/go-sourcemap/sourcemap v2.1.3+incompatible/go.mod h1:F8jJfvm2KbVjc5NqelyYJmf/v5J0dwNLS2mL4sNA1Jg=
 github.com/go-sql-driver/mysql v1.4.0/go.mod h1:zAC/RDZ24gD3HViQzih4MyKcchzm+sOG5ZlKdlhCg5w=
 github.com/go-sql-driver/mysql v1.4.1/go.mod h1:zAC/RDZ24gD3HViQzih4MyKcchzm+sOG5ZlKdlhCg5w=
+github.com/go-stack/stack v1.8.0 h1:5SgMzNM5HxrEjV0ww2lTmX6E2Izsfxas4+YHWRs3Lsk=
 github.com/go-stack/stack v1.8.0/go.mod h1:v0f6uXyyMGvRgIKkXu+yp6POWl0qKG85gN/melR3HDY=
 github.com/go-task/slim-sprig v0.0.0-20210107165309-348f09dbbbc0/go.mod h1:fyg7847qk6SyHyPtNmDHnmrv/HOrqktSC+C9fM+CJOE=
 github.com/go-toolsmith/astcast v1.0.0 h1:JojxlmI6STnFVG9yOImLeGREv8W2ocNUM+iOhR6jE7g=

oracle/oracle.go

@@ -60,9 +60,10 @@ type Oracle struct {
 	periods              map[string]map[string]int
 	volumeDatabase       *sql.DB
 
-	mtx          sync.RWMutex
-	prices       map[string]sdk.Dec
-	healthchecks map[string]http.Client
+	mtx            sync.RWMutex
+	prices         map[string]sdk.Dec
+	healthchecks   map[string]http.Client
+	helixTokenFile string
 }
 
 func New(
@@ -82,6 +83,7 @@ func New(
 	decimals map[string]map[string]int,
 	periods map[string]map[string]int,
 	volumeDatabase *sql.DB,
+	helix config.Helix,
 ) *Oracle {
 	providerPairs := make(map[provider.Name][]types.CurrencyPair)
 	for _, pair := range currencyPairs {
@@ -125,6 +127,7 @@ func New(
 		decimals:             decimals,
 		periods:              periods,
 		volumeDatabase:       volumeDatabase,
+		helixTokenFile:       helix.TokenFile,
 	}
 }
 
@@ -178,7 +181,7 @@ func (o *Oracle) GetPrices() sdk.DecCoins {
 // SetPrices retrieves all the prices and candles from our set of providers as
 // determined in the config. If candles are available, uses TVWAP in order
 // to determine prices. If candles are not available, uses the most recent prices
-// with VWAP. Warns the the user of any missing prices, and filters out any faulty
+// with VWAP. Warns the user of any missing prices, and filters out any faulty
 // providers which do not report prices or candles within 2𝜎 of the others.
 func (o *Oracle) SetPrices(ctx context.Context) error {
 	g := new(errgroup.Group)
@@ -206,6 +209,7 @@ func (o *Oracle) SetPrices(ctx context.Context) error {
 				providerName,
 				o.logger,
 				endpoint,
+				o.helixTokenFile,
 				o.providerPairs[providerName]...,
 			)
 			if err != nil {
@@ -383,6 +387,7 @@ func NewProvider(
 	providerName provider.Name,
 	logger zerolog.Logger,
 	endpoint provider.Endpoint,
+	helixTokenFile string,
 	providerPairs ...types.CurrencyPair,
 ) (provider.Provider, error) {
 	endpoint.Name = providerName
@@ -431,7 +436,7 @@ func NewProvider(
 	case provider.ProviderGate:
 		return provider.NewGateProvider(ctx, providerLogger, endpoint, providerPairs...)
 	case provider.ProviderHelix:
-		return provider.NewHelixProvider(ctx, providerLogger, endpoint, providerPairs...)
+		return provider.NewHelixProvider(ctx, providerLogger, endpoint, helixTokenFile, providerPairs...)
 	case provider.ProviderHitBtc:
 		return provider.NewHitBtcProvider(ctx, providerLogger, endpoint, providerPairs...)
 	case provider.ProviderHuobi:

oracle/provider/helix.go

@@ -3,6 +3,9 @@ package provider
 import (
 	"context"
 	"encoding/json"
+	"io"
+	"net/http"
+	"strings"
 	"time"
 
 	"price-feeder/oracle/types"
@@ -26,6 +29,7 @@ type (
 	HelixProvider struct {
 		provider
 		contracts map[string]string
+		token     map[string]HelixToken
 	}
 
 	HelixMarketsResponse struct {
@@ -34,18 +38,31 @@ type (
 
 	HelixMarket struct {
 		Market struct {
-			Ticker string `json:"ticker"`
+			Ticker     string `json:"ticker"`
+			BaseDenom  string `json:"base_denom"`
+			QuoteDenom string `json:"quote_denom"`
 		} `json:"market"`
 		MidPriceAndTob struct {
 			Price string `json:"mid_price"`
+			Buy   string `json:"best_buy_price"`
+			Sell  string `json:"best_sell_price"`
 		} `json:"mid_price_and_tob"`
 	}
+
+	HelixToken struct {
+		Address  string `json:"address"`
+		Decimals uint64 `json:"decimals"`
+		Symbol   string `json:"symbol"`
+		Name     string `json:"name"`
+		Denom    string `json:"denom"`
+	}
 )
 
 func NewHelixProvider(
 	ctx context.Context,
 	logger zerolog.Logger,
 	endpoints Endpoint,
+	helixTokenFile string,
 	pairs ...types.CurrencyPair,
 ) (*HelixProvider, error) {
 	provider := &HelixProvider{}
@@ -58,6 +75,26 @@ func NewHelixProvider(
 		nil,
 	)
 
+	res, err := http.Get(helixTokenFile)
+	if err != nil {
+		return nil, err
+	}
+	body, err := io.ReadAll(res.Body)
+	if err != nil {
+		panic(err.Error())
+	}
+
+	var response []HelixToken
+	err = json.Unmarshal(body, &response)
+	if err != nil {
+		return nil, err
+	}
+	tokens := map[string]HelixToken{}
+	for _, helixToken := range response {
+		tokens[strings.ToUpper(helixToken.Denom)] = helixToken
+	}
+	provider.token = tokens
+
 	provider.contracts = provider.endpoints.ContractAddresses
 
 	availablePairs, _ := provider.GetAvailablePairs()
@@ -83,10 +120,60 @@ func (p *HelixProvider) Poll() error {
 			continue
 		}
 
+		pair, found := p.getPair(market.Market.Ticker)
+		if !found {
+			continue
+		}
+
+		rawPrice := strToDec(market.MidPriceAndTob.Price)
+		if rawPrice.IsNil() {
+			p.logger.Info().Str("ticker", market.Market.Ticker).Msg("No Price available from Helix")
+			continue
+		}
+		buyPrice := strToDec(market.MidPriceAndTob.Buy)
+		if buyPrice.IsNil() {
+			p.logger.Info().Str("ticker", market.Market.Ticker).Msg("No Buy Price available from Helix")
+			continue
+		}
+		sellPrice := strToDec(market.MidPriceAndTob.Sell)
+		if sellPrice.IsNil() {
+			p.logger.Info().Str("ticker", market.Market.Ticker).Msg("No Sell Price available from Helix")
+			continue
+		}
+
+		// |((sell-buy)/sell)*100|
+		ratio := sellPrice.Sub(buyPrice).Quo(sellPrice).Mul(sdk.NewDec(100)).Abs()
+		if ratio.GT(sdk.NewDec(10)) {
+			p.logger.Warn().Str("ticker", market.Market.Ticker).Msg("buy/sell spread is larger than 10%. Skipping")
+			continue
+		}
+
+		baseToken, found := p.token[strings.ToUpper(market.Market.BaseDenom)]
+		if !found {
+			p.logger.Warn().Str("token", pair.Base).Str("denom", market.Market.BaseDenom).Msg("token not found in helix Token list")
+			continue
+		}
+		quoteToken, found := p.token[strings.ToUpper(market.Market.QuoteDenom)]
+		if !found {
+			p.logger.Warn().Str("token", pair.Quote).Str("denom", market.Market.QuoteDenom).Msg("token not found in helix Token list")
+			continue
+		}
+		var decimalDifference uint64
+		var multiplier sdk.Dec
+		if quoteToken.Decimals > baseToken.Decimals {
+			decimalDifference = quoteToken.Decimals - baseToken.Decimals
+			multiplier = sdk.NewDec(10).Power(decimalDifference)
+			rawPrice = rawPrice.Mul(invertDec(multiplier))
+		} else {
+			decimalDifference = baseToken.Decimals - quoteToken.Decimals
+			multiplier = sdk.NewDec(10).Power(decimalDifference)
+			rawPrice = rawPrice.Mul(multiplier)
+		}
+
 		p.setTickerPrice(
 			market.Market.Ticker,
-			strToDec(market.MidPriceAndTob.Price),
-			sdk.ZeroDec(),
+			rawPrice,
+			sdk.OneDec(), // helix doesn't appear to report volume
 			timestamp,
 		)
 	}
@@ -108,7 +195,13 @@ func (p *HelixProvider) GetMarkets() ([]HelixMarket, error) {
 		return nil, err
 	}
 
-	return response.Markets, nil
+	var markets []HelixMarket
+	for _, market := range response.Markets {
+		market.Market.Ticker = strings.ToUpper(market.Market.Ticker)
+		markets = append(markets, market)
+	}
+
+	return markets, nil
 }
 
 func (p *HelixProvider) GetAvailablePairs() (map[string]struct{}, error) {