Account for confidence interval in price difference check (#55)

* adjusted price difference * pre-commit * add test * Bump version --------- Co-authored-by: Jayant Krishnamurthy <[email protected]> Co-authored-by: Ali Behjati <[email protected]>
pyth-network · Feb 8, 2023 · 7c05112 · 7c05112
1 parent e5fb272
commit 7c05112
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Showing 4 changed files with 56 additions and 6 deletions.
diff --git a/pyproject.toml b/pyproject.toml
@@ -4,7 +4,7 @@ ignore_missing_imports = true
 
 [tool.poetry]
 name = "pyth-observer"
-version = "0.1.9"
+version = "0.1.10"
 description = "Alerts and stuff"
 authors = []
 readme = "README.md"

diff --git a/pyth_observer/check/publisher.py b/pyth_observer/check/publisher.py
@@ -194,8 +194,7 @@ def run(self) -> bool:
         if self.__state.price == 0:
             return True
 
-        price_diff = abs(self.__state.price - self.__state.price_aggregate)
-        deviation = (price_diff / self.__state.price_aggregate) * 100
+        deviation = (self.ci_adjusted_price_diff() / self.__state.price_aggregate) * 100
 
         # Pass if deviation is less than max distance
         if deviation <= self.__max_aggregate_distance:
@@ -205,8 +204,7 @@ def run(self) -> bool:
         return False
 
     def error_message(self) -> str:
-        price_diff = abs(self.__state.price - self.__state.price_aggregate)
-        deviation = (price_diff / self.__state.price_aggregate) * 100
+        deviation = (self.ci_adjusted_price_diff() / self.__state.price_aggregate) * 100
 
         return dedent(
             f"""
@@ -219,6 +217,12 @@ def error_message(self) -> str:
             """
         ).strip()
 
+    # Returns the distance between the aggregate price and the closest side of the publisher's confidence interval
+    # Returns 0 if the aggregate price is within the publisher's confidence interval.
+    def ci_adjusted_price_diff(self) -> float:
+        price_only_diff = abs(self.__state.price - self.__state.price_aggregate)
+        return max(price_only_diff - self.__state.confidence_interval, 0)
+
 
 PUBLISHER_CHECKS = [
     PublisherWithinAggregateConfidenceCheck,

diff --git a/tests/test_checks_price_feed.py b/tests/test_checks_price_feed.py
@@ -4,7 +4,7 @@
 from pyth_observer.check.price_feed import PriceFeedOfflineCheck, PriceFeedState
 
 
-def test_price_feed_aggregate_check():
+def test_price_feed_offline_check():
     state = PriceFeedState(
         symbol="Crypto.BTC/USD",
         asset_type="Crypto",

diff --git a/tests/test_checks_publisher.py b/tests/test_checks_publisher.py
@@ -0,0 +1,46 @@
+from pythclient.pythaccounts import PythPriceStatus
+from pythclient.solana import SolanaPublicKey
+
+from pyth_observer.check.publisher import PublisherPriceCheck, PublisherState
+
+
+def make_state(
+    pub_slot: int,
+    pub_price: float,
+    pub_conf: float,
+    agg_slot: int,
+    agg_price: float,
+    agg_conf: float,
+) -> PublisherState:
+    return PublisherState(
+        publisher_name="publisher",
+        symbol="Crypto.BTC/USD",
+        public_key=SolanaPublicKey("2hgu6Umyokvo8FfSDdMa9nDKhcdv9Q4VvGNhRCeSWeD3"),
+        status=PythPriceStatus.TRADING,
+        aggregate_status=PythPriceStatus.TRADING,
+        slot=pub_slot,
+        aggregate_slot=agg_slot,
+        latest_block_slot=agg_slot,
+        price=pub_price,
+        price_aggregate=agg_price,
+        confidence_interval=pub_conf,
+        confidence_interval_aggregate=agg_conf,
+    )
+
+
+def test_publisher_price_check():
+    def check_is_ok(
+        state: PublisherState, max_aggregate_distance: int, max_slot_distance: int
+    ) -> bool:
+        return PublisherPriceCheck(
+            state,
+            {
+                "max_aggregate_distance": max_aggregate_distance,
+                "max_slot_distance": max_slot_distance,
+            },
+        ).run()
+
+    # check triggering threshold for price difference
+    state1 = make_state(1, 100.0, 2.0, 1, 110.0, 1.0)
+    assert check_is_ok(state1, 10, 25)
+    assert not check_is_ok(state1, 6, 25)