frank/oracle max conf multipliers (#142)

.bumpversion.cfg

@@ -1,5 +1,5 @@
 [bumpversion]
-current_version = 0.7.37
+current_version = 0.7.38
 commit = True
 tag = True
 tag_name = {new_version}

CHANGELOG.md

@@ -194,4 +194,8 @@ Add support for prelisting oracles
 
 ## [0.7.37] - 2024-3-11
 
-Fix bug where prelisting & switchboard oracles weren't properly decoded for cached drift client subscriptions
+Fix bug where prelisting & switchboard oracles weren't properly decoded for cached drift client subscriptions
+
+## [0.7.38] - 2024-3-11
+
+Add max confidence interval multiplier to oracle validity calculations

pyproject.toml

@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "driftpy"
-version = "0.7.37"
+version = "0.7.38"
 description = "A Python client for the Drift DEX"
 authors = ["x19 <https://twitter.com/[email protected]>", "bigz <https://twitter.com/bigz_pubkey>", "frank <https://twitter.com/soundsonacid>"]
 license = "MIT"

src/driftpy/__init__.py

@@ -1 +1 @@
-__version__ = "0.7.37"
+__version__ = "0.7.38"

src/driftpy/math/oracles.py

@@ -1,5 +1,12 @@
 from driftpy.constants.numeric_constants import BID_ASK_SPREAD_PRECISION, FIVE_MINUTE
-from driftpy.types import AMM, HistoricalOracleData, OracleGuardRails, OraclePriceData
+from driftpy.types import (
+    AMM,
+    ContractTier,
+    HistoricalOracleData,
+    OracleGuardRails,
+    OraclePriceData,
+    PerpMarketAccount,
+)
 
 
 def calculate_live_oracle_twap(
@@ -77,13 +84,15 @@ def get_new_oracle_conf_pct(
 
 
 def is_oracle_valid(
-    amm: AMM,
+    market: PerpMarketAccount,
     oracle_price_data: OraclePriceData,
     oracle_guard_rails: OracleGuardRails,
     slot: int,
 ) -> bool:
     is_oracle_price_non_positive = oracle_price_data.price <= 0
 
+    amm = market.amm
+
     lhs = (
         oracle_price_data.price
         // (max(1, amm.historical_oracle_data.last_oracle_price_twap))
@@ -95,10 +104,15 @@ def is_oracle_valid(
 
     is_oracle_price_too_volatile = lhs or rhs
 
+    max_confidence_multiplier = get_max_confidence_interval_multiplier(market)
+
     is_confidence_too_large = (
         (max(1, oracle_price_data.confidence) * BID_ASK_SPREAD_PRECISION)
         // oracle_price_data.price
-    ) > oracle_guard_rails.validity.confidence_interval_max_size
+    ) > (
+        oracle_guard_rails.validity.confidence_interval_max_size
+        * max_confidence_multiplier
+    )
 
     is_oracle_stale = (
         slot - oracle_price_data.slot
@@ -111,3 +125,17 @@ def is_oracle_valid(
         or is_oracle_price_too_volatile
         or is_confidence_too_large
     )
+
+
+def get_max_confidence_interval_multiplier(market: PerpMarketAccount) -> int:
+    match market.contract_tier:
+        case ContractTier.A():
+            return 1
+        case ContractTier.B():
+            return 1
+        case ContractTier.C():
+            return 2
+        case ContractTier.Speculative():
+            return 10
+        case ContractTier.Isolated():
+            return 50

tests/math/spreads.py

@@ -702,35 +702,37 @@ async def test_live_update_functions():
     )
 
     # good oracle
-    assert is_oracle_valid(amm, oracle_price_data, oracle_guard_rails, slot + 5)
+    assert is_oracle_valid(perp_market, oracle_price_data, oracle_guard_rails, slot + 5)
 
     # too confident
     oracle_price_data.confidence = int(13.553 * PRICE_PRECISION * 0.021)
-    assert not is_oracle_valid(amm, oracle_price_data, oracle_guard_rails, slot)
+    assert not is_oracle_valid(perp_market, oracle_price_data, oracle_guard_rails, slot)
 
     # not enough data points
     oracle_price_data.confidence = 1
     oracle_price_data.has_sufficient_number_of_data_points = False
-    assert not is_oracle_valid(amm, oracle_price_data, oracle_guard_rails, slot)
+    assert not is_oracle_valid(perp_market, oracle_price_data, oracle_guard_rails, slot)
 
     # negative oracle price
     oracle_price_data.has_sufficient_number_of_data_points = True
     oracle_price_data.price = -1 * PRICE_PRECISION
-    assert not is_oracle_valid(amm, oracle_price_data, oracle_guard_rails, slot)
+    assert not is_oracle_valid(perp_market, oracle_price_data, oracle_guard_rails, slot)
 
     # too delayed for amm
     oracle_price_data.price = int(13.553 * PRICE_PRECISION)
-    assert not is_oracle_valid(amm, oracle_price_data, oracle_guard_rails, slot + 100)
+    assert not is_oracle_valid(
+        perp_market, oracle_price_data, oracle_guard_rails, slot + 100
+    )
 
     # oracle slot is stale (should be valid)
     oracle_price_data.slot += 100
-    assert is_oracle_valid(amm, oracle_price_data, oracle_guard_rails, slot)
+    assert is_oracle_valid(perp_market, oracle_price_data, oracle_guard_rails, slot)
 
     # too volatile (>5x higher)
     oracle_price_data.slot = slot + 5
     oracle_price_data.price = int(113.553 * PRICE_PRECISION)
-    assert not is_oracle_valid(amm, oracle_price_data, oracle_guard_rails, slot)
+    assert not is_oracle_valid(perp_market, oracle_price_data, oracle_guard_rails, slot)
 
     # too volatile (>5x lower)
     oracle_price_data.price = int(0.553 * PRICE_PRECISION)
-    assert not is_oracle_valid(amm, oracle_price_data, oracle_guard_rails, slot)
+    assert not is_oracle_valid(perp_market, oracle_price_data, oracle_guard_rails, slot)