added num_qt field representing number of quoters that make up the aggregate price

Author: richardbrooks2000

dashboard/dashboard.js

@@ -55,6 +55,7 @@ class Prices
     this.draw_cell( row.cells[col++], twap.toFixed(expo), color );
     this.draw_cell( row.cells[col++], twac.toFixed(expo), color );
     this.draw_cell( row.cells[col++], res.status, color );
+    this.draw_cell( row.cells[col++], res.num_qt, color );
     this.draw_cell( row.cells[col++], res.valid_slot, color );
     this.draw_cell( row.cells[col++], res.pub_slot, color );
     row.cells[col++].style.color = color;
@@ -104,6 +105,7 @@ class Prices
         row.appendChild( document.createElement( 'TD' ) );
         row.appendChild( document.createElement( 'TD' ) );
         row.appendChild( document.createElement( 'TD' ) );
+        row.appendChild( document.createElement( 'TD' ) );
         row.appendChild( this.get_title( att, 'tenor') );
         row.appendChild( this.get_title( att, 'quote_currency') );
         row.appendChild( this.get_title( att, 'description') );

dashboard/index.html

@@ -20,6 +20,7 @@ <h2>pyth dashboard
           <th width=100px>twap</th>
           <th width=100px>twac</th>
           <th width=80>status</th>
+          <th>nqt</th>
           <th>valid_slot</th>
           <th>pub_slot</th>
           <th>tenor</th>

pc/request.cpp

@@ -1924,6 +1924,11 @@ symbol_status price::get_status() const
   return (symbol_status)pptr_->agg_.status_;
 }
 
+uint32_t price::get_num_qt() const
+{
+  return pptr_->num_qt_;
+}
+
 uint64_t price::get_lamports() const
 {
   return lamports_;

pc/request.hpp

@@ -687,6 +687,7 @@ namespace pc
     int64_t       get_price() const;
     uint64_t      get_conf() const;
     symbol_status get_status() const;
+    uint32_t      get_num_qt() const;
     uint64_t      get_lamports() const;
     int64_t       get_twap() const;
     uint64_t      get_twac() const;

pc/user.cpp

@@ -357,6 +357,7 @@ void user::on_response( price *rptr, uint64_t idx )
   jw_.add_key( "twap", rptr->get_twap() );
   jw_.add_key( "twac", rptr->get_twac() );
   jw_.add_key( "status", symbol_status_to_str( rptr->get_status() ) );
+  jw_.add_key( "num_qt", (uint64_t)rptr->get_num_qt() );
   jw_.add_key( "valid_slot", rptr->get_valid_slot() );
   jw_.add_key( "pub_slot", rptr->get_pub_slot() );
   jw_.pop();

pcapps/pyth_csv.cpp

@@ -77,6 +77,7 @@ void csv_print::print_header()
             << ",conf"
             << ",twap"
             << ",twac"
+            << ",num_qt"
             << ",valid_slot"
             << ",pub_slot"
             << ",prev_slot"
@@ -140,6 +141,7 @@ void csv_print::parse_price( replay& rep )
             << ',' << ptr->agg_.conf_
             << ',' << ptr->twap_.val_
             << ',' << ptr->twac_.val_
+            << ',' << ptr->num_qt_
             << ',' << ptr->valid_slot_
             << ',' << ptr->agg_.pub_slot_
             << ',' << ptr->prev_slot_

pctest/test_publish.cpp

@@ -238,6 +238,7 @@ void test_publish::on_response( pc::price *sym, uint64_t )
     .add( "agg_spread", spread )
     .add( "twap", expo_*(double)sym->get_twap() )
     .add( "twac", expo_*(double)sym->get_twac() )
+    .add( "num_qt", sym->get_num_qt() )
     .add( "valid_slot", sym->get_valid_slot() )
     .add( "pub_slot", sym->get_pub_slot() )
     .add( "my_price", my_price )

program/src/oracle/oracle.h

@@ -135,7 +135,7 @@ typedef struct pc_price
   uint32_t        ptype_;             // price or calculation type
   int32_t         expo_;              // price exponent
   uint32_t        num_;               // number of component prices
-  uint32_t        unused_;
+  uint32_t        num_qt_;            // number of quoters that make up aggregate
   uint64_t        last_slot_;         // slot of last valid aggregate price
   uint64_t        valid_slot_;        // valid on-chain slot of agg. price
   pc_ema_t        twap_;              // time-weighted average price

program/src/oracle/test_oracle.c

@@ -469,9 +469,10 @@ Test( oracle, upd_aggregate ) {
   px->comp_[0].latest_ = p1;
   upd_aggregate( px, 1001 );
   cr_assert( px->agg_.price_ == 100 );
-  cr_assert( px->agg_.conf_ == 50 );
+  cr_assert( px->agg_.conf_ == 10 );
   cr_assert( px->twap_.val_ == 100 );
-  cr_assert( px->twac_.val_ == 50 );
+  cr_assert( px->twac_.val_ == 10 );
+  cr_assert( px->num_qt_ == 1 );
 
   // two publishers
   px->num_ = 0;
@@ -483,7 +484,8 @@ Test( oracle, upd_aggregate ) {
   cr_assert( px->agg_.price_ == 147 );
   cr_assert( px->agg_.conf_ == 48 );
   cr_assert( px->twap_.val_ == 123 );
-  cr_assert( px->twac_.val_ == 48 );
+  cr_assert( px->twac_.val_ == 29 );
+  cr_assert( px->num_qt_ == 2 );
 
   // three publishers
   px->num_ = 0;
@@ -496,7 +498,8 @@ Test( oracle, upd_aggregate ) {
   cr_assert( px->agg_.price_ == 191 );
   cr_assert( px->agg_.conf_ == 74 );
   cr_assert( px->twap_.val_ == 146 );
-  cr_assert( px->twac_.val_ == 57 );
+  cr_assert( px->twac_.val_ == 44 );
+  cr_assert( px->num_qt_ == 3 );
 
   // four publishers
   px->num_ = 0;
@@ -510,17 +513,20 @@ Test( oracle, upd_aggregate ) {
   cr_assert( px->agg_.price_ == 235 );
   cr_assert( px->agg_.conf_ == 99 );
   cr_assert( px->twap_.val_ == 168 );
-  cr_assert( px->twac_.val_ == 67 );
+  cr_assert( px->twac_.val_ == 57 );
   cr_assert( px->last_slot_ == 1001 );
+  cr_assert( px->num_qt_ == 4 );
 
   upd_aggregate( px, 1025 );
   cr_assert( px->agg_.status_ == PC_STATUS_TRADING );
   cr_assert( px->last_slot_ == 1025 );
+  cr_assert( px->num_qt_ == 4 );
 
   // check what happens when nothing publishes for a while
   upd_aggregate( px, 1026 );
   cr_assert( px->agg_.status_ == PC_STATUS_UNKNOWN );
   cr_assert( px->last_slot_ == 1025 );
+  cr_assert( px->num_qt_ == 0 );
 }
 
 Test( oracle, del_publisher ) {

program/src/oracle/upd_aggregate.h

@@ -301,7 +301,8 @@ static void upd_aggregate( pc_price_t *ptr, uint64_t slot )
     }
   }
 
-  // zero quotes
+  // zero quoters
+  ptr->num_qt_ = numa;
   if ( numa == 0 ) {
     ptr->agg_.status_ = PC_STATUS_UNKNOWN;
     upd_twap( ptr, agg_diff, qs );
@@ -311,10 +312,12 @@ static void upd_aggregate( pc_price_t *ptr, uint64_t slot )
   // update status and publish slot of last trading status price
   ptr->agg_.status_ = PC_STATUS_TRADING;
   ptr->last_slot_ = slot;
+
+  // single quoter
   if ( numa == 1 ) {
-    int64_t price = ptr->comp_[aidx[0]].agg_.price_;
-    ptr->agg_.price_ = price;
-    ptr->agg_.conf_ = (price>0?price:-price)/2L;
+    pc_price_comp_t *iptr = &ptr->comp_[aidx[0]];
+    ptr->agg_.price_ = iptr->agg_.price_;
+    ptr->agg_.conf_  = iptr->agg_.conf_;
     upd_twap( ptr, agg_diff, qs );
     return;
   }