remove medianizer (#236)

* remove medianizer * medianizer -> resolver * add resolver file * add comment
dydxprotocol · Sep 13, 2023 · 086d891 · 086d891
1 parent a0efdc8
commit 086d891
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Showing 39 changed files with 130 additions and 239 deletions.
diff --git a/protocol/daemons/pricefeed/client/handler/exchange_query_handler.go b/protocol/daemons/pricefeed/client/handler/exchange_query_handler.go
@@ -156,7 +156,7 @@ func (eqh *ExchangeQueryHandlerImpl) Query(
 	prices, unavailableTickers, err := exchangeQueryDetails.PriceFunction(
 		response,
 		tickerToPriceExponent,
-		&lib.MedianizerImpl{},
+		lib.Median[uint64],
 	)
 	if err != nil {
 		return nil, nil, price_function.NewExchangeError(exchangeQueryDetails.Exchange, err.Error())

diff --git a/protocol/daemons/pricefeed/client/handler/exchange_query_handler_test.go b/protocol/daemons/pricefeed/client/handler/exchange_query_handler_test.go
@@ -4,18 +4,18 @@ import (
 	"context"
 	"errors"
 	"fmt"
-	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function"
-	"github.com/dydxprotocol/v4-chain/protocol/testutil/daemons/pricefeed"
 	"net/http"
 	"testing"
 	"time"
 
 	pf_constants "github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/constants"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/constants/exchange_common"
+	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/types"
-	"github.com/dydxprotocol/v4-chain/protocol/lib"
+	pft "github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/types"
 	"github.com/dydxprotocol/v4-chain/protocol/mocks"
 	"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
+	"github.com/dydxprotocol/v4-chain/protocol/testutil/daemons/pricefeed"
 	"github.com/stretchr/testify/mock"
 	"github.com/stretchr/testify/require"
 )
@@ -71,7 +71,7 @@ func TestQuery(t *testing.T) {
 		priceFunc func(
 			response *http.Response,
 			tickerToPriceExponent map[string]int32,
-			medianizer lib.Medianizer,
+			resolver pft.Resolver,
 		) (prices map[string]uint64, unavailable map[string]error, err error)
 		marketIds      []types.MarketId
 		requestHandler *mocks.RequestHandler
@@ -319,7 +319,7 @@ func generateTestMarketPriceExponentMap() map[types.MarketId]types.Exponent {
 func priceFunc(
 	response *http.Response,
 	tickerToPriceExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver pft.Resolver,
 ) (prices map[string]uint64, unavailable map[string]error, err error) {
 	prices = make(map[string]uint64, len(tickerToPriceExponent))
 	for ticker := range tickerToPriceExponent {
@@ -331,7 +331,7 @@ func priceFunc(
 func priceFuncWithInvalidResponse(
 	response *http.Response,
 	tickerToPriceExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver pft.Resolver,
 ) (prices map[string]uint64, unavailable map[string]error, err error) {
 	prices = make(map[string]uint64, len(tickerToPriceExponent))
 	for range tickerToPriceExponent {
@@ -343,7 +343,7 @@ func priceFuncWithInvalidResponse(
 func priceFuncWithValidAndUnavailableTickers(
 	response *http.Response,
 	tickerToPriceExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver pft.Resolver,
 ) (prices map[string]uint64, unavailable map[string]error, err error) {
 	prices = make(map[string]uint64, len(tickerToPriceExponent))
 	for ticker := range tickerToPriceExponent {
@@ -357,15 +357,15 @@ func priceFuncWithValidAndUnavailableTickers(
 func priceFuncReturnsInvalidUnavailableTicker(
 	response *http.Response,
 	tickerToPriceExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver pft.Resolver,
 ) (prices map[string]uint64, unavailable map[string]error, err error) {
 	return nil, map[string]error{noMarketTicker: tickerNotAvailableError}, nil
 }
 
 func priceFuncWithErr(
 	response *http.Response,
 	tickerToPriceExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver pft.Resolver,
 ) (prices map[string]uint64, unavailable map[string]error, err error) {
 	return nil, nil, priceFuncError
 }
diff --git a/protocol/daemons/pricefeed/client/price_encoder/price_encoder.go b/protocol/daemons/pricefeed/client/price_encoder/price_encoder.go
@@ -155,7 +155,7 @@ func (p PriceEncoderImpl) convertPriceUpdate(marketPriceTimestamp *types.MarketP
 		adjustByIndexPrice, numPricesMedianized := p.exchangeToMarketPrices.GetIndexPrice(
 			conversionDetails.AdjustByMarketDetails.MarketId,
 			time.Now().Add(-pricefeedtypes.MaxPriceAge),
-			&lib.MedianizerImpl{},
+			lib.Median[uint64],
 		)
 		// If the index price is not valid due to insufficient pricing data, return an error.
 		if numPricesMedianized < int(conversionDetails.AdjustByMarketDetails.MinExchanges) {

diff --git a/protocol/daemons/pricefeed/client/price_encoder/price_encoder_test.go b/protocol/daemons/pricefeed/client/price_encoder/price_encoder_test.go
@@ -6,7 +6,7 @@ import (
 	pf_constants "github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/constants"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_fetcher"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/types"
-	"github.com/dydxprotocol/v4-chain/protocol/lib"
+	pft "github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/types"
 	"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
 	"github.com/stretchr/testify/require"
 	"testing"
@@ -98,7 +98,7 @@ type MockExchangeToMarketPrices struct {
 	numPricesMedianized int
 }
 
-func (m *MockExchangeToMarketPrices) GetIndexPrice(types.MarketId, time.Time, lib.Medianizer) (uint64, int) {
+func (m *MockExchangeToMarketPrices) GetIndexPrice(types.MarketId, time.Time, pft.Resolver) (uint64, int) {
 	return m.indexPrice, m.numPricesMedianized
 }
 

diff --git a/protocol/daemons/pricefeed/client/price_function/binance/binance.go b/protocol/daemons/pricefeed/client/price_function/binance/binance.go
@@ -5,7 +5,7 @@ import (
 	"net/http"
 
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function"
-	"github.com/dydxprotocol/v4-chain/protocol/lib"
+	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/types"
 )
 
 // BinanceTicker is our representation of ticker information returned in Binance response.
@@ -39,7 +39,7 @@ func (t BinanceTicker) GetLastPrice() string {
 func BinancePriceFunction(
 	response *http.Response,
 	tickerToExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver types.Resolver,
 ) (tickerToPrice map[string]uint64, unavailableTickers map[string]error, err error) {
 	// Unmarshal response body into a list of tickers.
 	var binanceTickers []BinanceTicker
@@ -51,6 +51,6 @@ func BinancePriceFunction(
 	return price_function.GetMedianPricesFromTickers(
 		binanceTickers,
 		tickerToExponent,
-		medianizer,
+		resolver,
 	)
 }
diff --git a/protocol/daemons/pricefeed/client/price_function/binance/binance_test.go b/protocol/daemons/pricefeed/client/price_function/binance/binance_test.go
@@ -3,16 +3,13 @@ package binance_test
 import (
 	"errors"
 	"fmt"
-	"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
 	"testing"
 
-	"github.com/dydxprotocol/v4-chain/protocol/testutil/daemons/pricefeed"
-
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function/binance"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function/testutil"
 	"github.com/dydxprotocol/v4-chain/protocol/lib"
-	"github.com/dydxprotocol/v4-chain/protocol/mocks"
-	"github.com/stretchr/testify/mock"
+	"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
+	"github.com/dydxprotocol/v4-chain/protocol/testutil/daemons/pricefeed"
 	"github.com/stretchr/testify/require"
 )
 
@@ -215,11 +212,9 @@ func TestBinancePriceFunction_Mixed(t *testing.T) {
 			var unavailable map[string]error
 			var err error
 			if tc.medianFunctionFails {
-				medianizer := &mocks.Medianizer{}
-				medianizer.On("MedianUint64", mock.Anything).Return(uint64(0), testutil.MedianizationError)
-				prices, unavailable, err = binance.BinancePriceFunction(response, tc.exponentMap, medianizer)
+				prices, unavailable, err = binance.BinancePriceFunction(response, tc.exponentMap, testutil.MedianErr)
 			} else {
-				prices, unavailable, err = binance.BinancePriceFunction(response, tc.exponentMap, &lib.MedianizerImpl{})
+				prices, unavailable, err = binance.BinancePriceFunction(response, tc.exponentMap, lib.Median[uint64])
 			}
 
 			if tc.expectedError != nil {

diff --git a/protocol/daemons/pricefeed/client/price_function/bitfinex/bitfinex.go b/protocol/daemons/pricefeed/client/price_function/bitfinex/bitfinex.go
@@ -6,7 +6,7 @@ import (
 	"net/http"
 
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function"
-	"github.com/dydxprotocol/v4-chain/protocol/lib"
+	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/types"
 )
 
 // These indices into the REST API response are defined in https://docs.bitfinex.com/reference/rest-public-tickers
@@ -52,7 +52,7 @@ func (t BitfinexTicker) GetLastPrice() string {
 func BitfinexPriceFunction(
 	response *http.Response,
 	tickerToExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver types.Resolver,
 ) (tickerToPrice map[string]uint64, unavailableTickers map[string]error, err error) {
 	// Unmarshal response body into raw format first.
 	var rawResponse [][]interface{}
@@ -105,7 +105,7 @@ func BitfinexPriceFunction(
 	tickerToPrice, unavailableTickers, err = price_function.GetMedianPricesFromTickers(
 		bitfinexTickers,
 		tickerToExponent,
-		medianizer,
+		resolver,
 	)
 
 	// Mark as unavailable requested tickers whose raw ticker response was invalid.

diff --git a/protocol/daemons/pricefeed/client/price_function/bitfinex/bitfinex_test.go b/protocol/daemons/pricefeed/client/price_function/bitfinex/bitfinex_test.go
@@ -11,8 +11,6 @@ import (
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function/bitfinex"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function/testutil"
 	"github.com/dydxprotocol/v4-chain/protocol/lib"
-	"github.com/dydxprotocol/v4-chain/protocol/mocks"
-	"github.com/stretchr/testify/mock"
 	"github.com/stretchr/testify/require"
 )
 
@@ -252,11 +250,9 @@ func TestBitfinexPriceFunction_Mixed(t *testing.T) {
 			var unavailable map[string]error
 			var err error
 			if tc.medianFunctionFails {
-				medianizer := &mocks.Medianizer{}
-				medianizer.On("MedianUint64", mock.Anything).Return(uint64(0), testutil.MedianizationError)
-				prices, unavailable, err = bitfinex.BitfinexPriceFunction(response, tc.exponentMap, medianizer)
+				prices, unavailable, err = bitfinex.BitfinexPriceFunction(response, tc.exponentMap, testutil.MedianErr)
 			} else {
-				prices, unavailable, err = bitfinex.BitfinexPriceFunction(response, tc.exponentMap, &lib.MedianizerImpl{})
+				prices, unavailable, err = bitfinex.BitfinexPriceFunction(response, tc.exponentMap, lib.Median[uint64])
 			}
 
 			if tc.expectedError != nil {

diff --git a/protocol/daemons/pricefeed/client/price_function/bitstamp/bitstamp.go b/protocol/daemons/pricefeed/client/price_function/bitstamp/bitstamp.go
@@ -5,7 +5,7 @@ import (
 	"net/http"
 
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function"
-	"github.com/dydxprotocol/v4-chain/protocol/lib"
+	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/types"
 )
 
 // BitstampTicker is our representation of ticker information returned in Bitstamp response.
@@ -38,7 +38,7 @@ func (t BitstampTicker) GetLastPrice() string {
 func BitstampPriceFunction(
 	response *http.Response,
 	tickerToExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver types.Resolver,
 ) (tickerToPrice map[string]uint64, unavailableTickers map[string]error, err error) {
 	// Unmarshal response body into a list of tickers.
 	var bitstampTickers []BitstampTicker
@@ -50,6 +50,6 @@ func BitstampPriceFunction(
 	return price_function.GetMedianPricesFromTickers(
 		bitstampTickers,
 		tickerToExponent,
-		medianizer,
+		resolver,
 	)
 }
diff --git a/protocol/daemons/pricefeed/client/price_function/bitstamp/bitstamp_test.go b/protocol/daemons/pricefeed/client/price_function/bitstamp/bitstamp_test.go
@@ -3,16 +3,13 @@ package bitstamp_test
 import (
 	"errors"
 	"fmt"
-	"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
 	"testing"
 
-	"github.com/dydxprotocol/v4-chain/protocol/testutil/daemons/pricefeed"
-
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function/bitstamp"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function/testutil"
 	"github.com/dydxprotocol/v4-chain/protocol/lib"
-	"github.com/dydxprotocol/v4-chain/protocol/mocks"
-	"github.com/stretchr/testify/mock"
+	"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
+	"github.com/dydxprotocol/v4-chain/protocol/testutil/daemons/pricefeed"
 	"github.com/stretchr/testify/require"
 )
 
@@ -39,11 +36,11 @@ var (
 
 // Test response strings.
 var (
-	btcTicker = `{"timestamp": "1686600672", "open": "25940", "high": "26209", "low": "25634", "last": "25846", 
-		"volume": "1903.95560640", "vwap": "25868", "bid": "25841", "ask": "25842", "open_24": "26183", 
+	btcTicker = `{"timestamp": "1686600672", "open": "25940", "high": "26209", "low": "25634", "last": "25846",
+		"volume": "1903.95560640", "vwap": "25868", "bid": "25841", "ask": "25842", "open_24": "26183",
 		"percent_change_24": "-1.29", "pair": "BTC/USD"}`
-	ethTicker = `{"timestamp": "1686600672", "open": "1753.4", "high": "1777.7", "low": "1720.1", "last": "1734.9", 
-		"volume": "6462.32622552", "vwap": "1738.6", "bid": "1734.3", "ask": "1734.9", "open_24": "1777.0", 
+	ethTicker = `{"timestamp": "1686600672", "open": "1753.4", "high": "1777.7", "low": "1720.1", "last": "1734.9",
+		"volume": "6462.32622552", "vwap": "1738.6", "bid": "1734.3", "ask": "1734.9", "open_24": "1777.0",
 		"percent_change_24": "-2.37", "pair": "ETH/USD"}`
 
 	BtcResponseString       = fmt.Sprintf("[%s]", btcTicker)
@@ -193,11 +190,9 @@ func TestBitstampPriceFunction_Mixed(t *testing.T) {
 			var unavailable map[string]error
 			var err error
 			if tc.medianFunctionFails {
-				medianizer := &mocks.Medianizer{}
-				medianizer.On("MedianUint64", mock.Anything).Return(uint64(0), testutil.MedianizationError)
-				prices, unavailable, err = bitstamp.BitstampPriceFunction(response, tc.exponentMap, medianizer)
+				prices, unavailable, err = bitstamp.BitstampPriceFunction(response, tc.exponentMap, testutil.MedianErr)
 			} else {
-				prices, unavailable, err = bitstamp.BitstampPriceFunction(response, tc.exponentMap, &lib.MedianizerImpl{})
+				prices, unavailable, err = bitstamp.BitstampPriceFunction(response, tc.exponentMap, lib.Median[uint64])
 			}
 
 			if tc.expectedError != nil {

diff --git a/protocol/daemons/pricefeed/client/price_function/bybit/bybit.go b/protocol/daemons/pricefeed/client/price_function/bybit/bybit.go
@@ -6,7 +6,7 @@ import (
 	"net/http"
 
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function"
-	"github.com/dydxprotocol/v4-chain/protocol/lib"
+	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/types"
 )
 
 // BybitResponseBody defines the overall Bybit response.
@@ -50,7 +50,7 @@ func (t BybitTicker) GetLastPrice() string {
 func BybitPriceFunction(
 	response *http.Response,
 	tickerToExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver types.Resolver,
 ) (tickerToPrice map[string]uint64, unavailableTickers map[string]error, err error) {
 	// Unmarshal response body into a list of tickers.
 	var bybitResponseBody BybitResponseBody
@@ -66,6 +66,6 @@ func BybitPriceFunction(
 	return price_function.GetMedianPricesFromTickers(
 		bybitResponseBody.Result.Tickers,
 		tickerToExponent,
-		medianizer,
+		resolver,
 	)
 }
diff --git a/protocol/daemons/pricefeed/client/price_function/bybit/bybit_test.go b/protocol/daemons/pricefeed/client/price_function/bybit/bybit_test.go
@@ -3,16 +3,13 @@ package bybit_test
 import (
 	"errors"
 	"fmt"
-	"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
 	"testing"
 
-	"github.com/dydxprotocol/v4-chain/protocol/testutil/daemons/pricefeed"
-
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function/bybit"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function/testutil"
 	"github.com/dydxprotocol/v4-chain/protocol/lib"
-	"github.com/dydxprotocol/v4-chain/protocol/mocks"
-	"github.com/stretchr/testify/mock"
+	"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
+	"github.com/dydxprotocol/v4-chain/protocol/testutil/daemons/pricefeed"
 	"github.com/stretchr/testify/require"
 )
 
@@ -201,11 +198,9 @@ func TestBybitPriceFunction_Mixed(t *testing.T) {
 			var unavailable map[string]error
 			var err error
 			if tc.medianFunctionFails {
-				medianizer := &mocks.Medianizer{}
-				medianizer.On("MedianUint64", mock.Anything).Return(uint64(0), testutil.MedianizationError)
-				prices, unavailable, err = bybit.BybitPriceFunction(response, tc.exponentMap, medianizer)
+				prices, unavailable, err = bybit.BybitPriceFunction(response, tc.exponentMap, testutil.MedianErr)
 			} else {
-				prices, unavailable, err = bybit.BybitPriceFunction(response, tc.exponentMap, &lib.MedianizerImpl{})
+				prices, unavailable, err = bybit.BybitPriceFunction(response, tc.exponentMap, lib.Median[uint64])
 			}
 
 			if tc.expectedError != nil {

diff --git a/protocol/daemons/pricefeed/client/price_function/coinbase_pro/coinbase_pro.go b/protocol/daemons/pricefeed/client/price_function/coinbase_pro/coinbase_pro.go
@@ -6,7 +6,7 @@ import (
 
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/constants/exchange_common"
 	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/client/price_function"
-	"github.com/dydxprotocol/v4-chain/protocol/lib"
+	"github.com/dydxprotocol/v4-chain/protocol/daemons/pricefeed/types"
 )
 
 // CoinbaseProTicker is our representation of ticker information returned in CoinbasePro response.
@@ -40,7 +40,7 @@ func (t CoinbaseProTicker) GetLastPrice() string {
 func CoinbaseProPriceFunction(
 	response *http.Response,
 	tickerToExponent map[string]int32,
-	medianizer lib.Medianizer,
+	resolver types.Resolver,
 ) (tickerToPrice map[string]uint64, unavailableTickers map[string]error, err error) {
 	// Get ticker. The API response should only contain information for one market.
 	ticker, _, err := price_function.GetOnlyTickerAndExponent(
@@ -64,6 +64,6 @@ func CoinbaseProPriceFunction(
 	return price_function.GetMedianPricesFromTickers(
 		[]CoinbaseProTicker{coinbaseProTicker},
 		tickerToExponent,
-		medianizer,
+		resolver,
 	)
 }