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rfq+priceoraclerpc: add counterparty field to QueryAssetRatesRequest #1161

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rfq+priceoraclerpc: add counterparty field to QueryAssetRatesRequest #1161

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5886072
rfqmsg: add new AssetRate type
ffranr Oct 28, 2024
ba845b0
rfq+rfqmsg: use new AssetRate type in BuyRequest.AssetRateHint
ffranr Oct 28, 2024
6a8536e
rfqmsg: update SellRequest to use AssetRate type in AssetRateHint
ffranr Oct 28, 2024
37eeb7c
rfq: add AssetRateHint arg to queryBidFromPriceOracle and QueryBidPrice
ffranr Oct 28, 2024
3e4ffb5
rfq+rfqmsg: use new AssetRate type in NewSellRequest func argument
ffranr Oct 28, 2024
cf2c53e
rfq+rfqmsg: use new AssetRate type in NewBuyRequest func argument
ffranr Oct 28, 2024
4751d72
rfq: OracleResponse uses new AssetRate type
ffranr Oct 28, 2024
be5c05f
rfq+priceoraclerpc: add counterparty field to QueryAssetRatesRequest
ffranr Oct 28, 2024
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91 changes: 49 additions & 42 deletions rfq/negotiator.go
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Original file line number Diff line number Diff line change
Expand Up @@ -106,8 +106,8 @@ func NewNegotiator(cfg NegotiatorCfg) (*Negotiator, error) {
// queryBidFromPriceOracle queries the price oracle for a bid price. It returns
// an appropriate outgoing response message which should be sent to the peer.
func (n *Negotiator) queryBidFromPriceOracle(peer route.Vertex,
assetId *asset.ID, assetGroupKey *btcec.PublicKey,
assetAmount uint64) (*rfqmath.BigIntFixedPoint, uint64, error) {
assetId *asset.ID, assetGroupKey *btcec.PublicKey, assetAmount uint64,
assetRateHint fn.Option[rfqmsg.AssetRate]) (*rfqmsg.AssetRate, error) {

// TODO(ffranr): Optionally accept a peer's proposed ask price as an
// arg to this func and pass it to the price oracle. The price oracle
Expand All @@ -119,32 +119,34 @@ func (n *Negotiator) queryBidFromPriceOracle(peer route.Vertex,
ctx, cancel := n.WithCtxQuitNoTimeout()
defer cancel()

counterparty := fn.Some[route.Vertex](peer)
oracleResponse, err := n.cfg.PriceOracle.QueryBidPrice(
ctx, assetId, assetGroupKey, assetAmount,
ctx, counterparty, assetId, assetGroupKey, assetAmount,
assetRateHint,
)
if err != nil {
return nil, 0, fmt.Errorf("failed to query price oracle for "+
return nil, fmt.Errorf("failed to query price oracle for "+
"bid: %w", err)
}

// Now we will check for an error in the response from the price oracle.
// If present, we will convert it to a string and return it as an error.
if oracleResponse.Err != nil {
return nil, 0, fmt.Errorf("failed to query price oracle for "+
return nil, fmt.Errorf("failed to query price oracle for "+
"bid price: %s", oracleResponse.Err)
}

// By this point, the price oracle did not return an error or a bid
// price. We will therefore return an error.
if oracleResponse.AssetRate.Coefficient.ToUint64() == 0 {
return nil, 0, fmt.Errorf("price oracle did not specify a " +
if oracleResponse.AssetRate.Rate.ToUint64() == 0 {
return nil, fmt.Errorf("price oracle did not specify a " +
"bid price")
}

// TODO(ffranr): Check that the bid price is reasonable.
// TODO(ffranr): Ensure that the expiry time is valid and sufficient.

return &oracleResponse.AssetRate, oracleResponse.Expiry, nil
return &oracleResponse.AssetRate, nil
}

// HandleOutgoingBuyOrder handles an outgoing buy order by constructing buy
Expand All @@ -161,13 +163,14 @@ func (n *Negotiator) HandleOutgoingBuyOrder(buyOrder BuyOrder) error {
// We calculate a proposed bid price for our peer's
// consideration. If a price oracle is not specified we will
// skip this step.
var assetRateBid fn.Option[rfqmath.BigIntFixedPoint]
var assetRateHint fn.Option[rfqmsg.AssetRate]

if n.cfg.PriceOracle != nil {
// Query the price oracle for a bid price.
rate, _, err := n.queryBidFromPriceOracle(
assetRate, err := n.queryBidFromPriceOracle(
*buyOrder.Peer, buyOrder.AssetID,
buyOrder.AssetGroupKey, buyOrder.MinAssetAmount,
fn.None[rfqmsg.AssetRate](),
)
if err != nil {
// If we fail to query the price oracle for a
Expand All @@ -178,13 +181,15 @@ func (n *Negotiator) HandleOutgoingBuyOrder(buyOrder BuyOrder) error {
"request: %v", err)
}

assetRateBid = fn.Some[rfqmath.BigIntFixedPoint](*rate)
assetRateHint = fn.Some[rfqmsg.AssetRate](
*assetRate,
)
}

request, err := rfqmsg.NewBuyRequest(
*buyOrder.Peer, buyOrder.AssetID,
buyOrder.AssetGroupKey, buyOrder.MinAssetAmount,
assetRateBid,
assetRateHint,
)
if err != nil {
err := fmt.Errorf("unable to create buy request "+
Expand Down Expand Up @@ -213,41 +218,42 @@ func (n *Negotiator) HandleOutgoingBuyOrder(buyOrder BuyOrder) error {
// queryAskFromPriceOracle queries the price oracle for an asking price. It
// returns an appropriate outgoing response message which should be sent to the
// peer.
func (n *Negotiator) queryAskFromPriceOracle(peer *route.Vertex,
func (n *Negotiator) queryAskFromPriceOracle(peer route.Vertex,
assetId *asset.ID, assetGroupKey *btcec.PublicKey, assetAmount uint64,
suggestedAssetRate fn.Option[rfqmath.BigIntFixedPoint]) (
*rfqmath.BigIntFixedPoint, uint64, error) {
assetRateHint fn.Option[rfqmsg.AssetRate]) (*rfqmsg.AssetRate, error) {

// Query the price oracle for an asking price.
ctx, cancel := n.WithCtxQuitNoTimeout()
defer cancel()

counterparty := fn.Some[route.Vertex](peer)
oracleResponse, err := n.cfg.PriceOracle.QueryAskPrice(
ctx, assetId, assetGroupKey, assetAmount, suggestedAssetRate,
ctx, counterparty, assetId, assetGroupKey, assetAmount,
assetRateHint,
)
if err != nil {
return nil, 0, fmt.Errorf("failed to query price oracle for "+
return nil, fmt.Errorf("failed to query price oracle for "+
"ask price: %w", err)
}

// Now we will check for an error in the response from the price oracle.
// If present, we will convert it to a string and return it as an error.
if oracleResponse.Err != nil {
return nil, 0, fmt.Errorf("failed to query price oracle for "+
return nil, fmt.Errorf("failed to query price oracle for "+
"ask price: %s", oracleResponse.Err)
}

// By this point, the price oracle did not return an error or an asking
// price. We will therefore return an error.
if oracleResponse.AssetRate.Coefficient.ToUint64() == 0 {
return nil, 0, fmt.Errorf("price oracle did not specify an " +
if oracleResponse.AssetRate.Rate.Coefficient.ToUint64() == 0 {
return nil, fmt.Errorf("price oracle did not specify an " +
"asset to BTC rate")
}

// TODO(ffranr): Check that the asking price is reasonable.
// TODO(ffranr): Ensure that the expiry time is valid and sufficient.

return &oracleResponse.AssetRate, oracleResponse.Expiry, nil
return &oracleResponse.AssetRate, nil
}

// HandleIncomingBuyRequest handles an incoming asset buy quote request.
Expand Down Expand Up @@ -310,9 +316,9 @@ func (n *Negotiator) HandleIncomingBuyRequest(
defer n.Wg.Done()

// Query the price oracle for an asking price.
assetRate, rateExpiry, err := n.queryAskFromPriceOracle(
nil, request.AssetID, request.AssetGroupKey,
request.AssetAmount, request.SuggestedAssetRate,
assetRate, err := n.queryAskFromPriceOracle(
request.Peer, request.AssetID, request.AssetGroupKey,
request.AssetAmount, request.AssetRateHint,
)
if err != nil {
// Send a reject message to the peer.
Expand All @@ -330,8 +336,9 @@ func (n *Negotiator) HandleIncomingBuyRequest(
}

// Construct and send a buy accept message.
expiry := uint64(assetRate.Expiry.Unix())
msg := rfqmsg.NewBuyAcceptFromRequest(
request, *assetRate, rateExpiry,
request, assetRate.Rate, expiry,
)
sendOutgoingMsg(msg)
}()
Expand Down Expand Up @@ -405,9 +412,9 @@ func (n *Negotiator) HandleIncomingSellRequest(
// Query the price oracle for a bid price. This is the price we
// are willing to pay for the asset that our peer is trying to
// sell to us.
assetRate, rateExpiry, err := n.queryBidFromPriceOracle(
assetRate, err := n.queryBidFromPriceOracle(
request.Peer, request.AssetID, request.AssetGroupKey,
request.AssetAmount,
request.AssetAmount, request.AssetRateHint,
)
if err != nil {
// Send a reject message to the peer.
Expand All @@ -425,8 +432,9 @@ func (n *Negotiator) HandleIncomingSellRequest(
}

// Construct and send a sell accept message.
expiry := uint64(assetRate.Expiry.Unix())
msg := rfqmsg.NewSellAcceptFromRequest(
request, *assetRate, rateExpiry,
request, assetRate.Rate, expiry,
)
sendOutgoingMsg(msg)
}()
Expand All @@ -448,14 +456,14 @@ func (n *Negotiator) HandleOutgoingSellOrder(order SellOrder) {
// We calculate a proposed ask price for our peer's
// consideration. If a price oracle is not specified we will
// skip this step.
var assetRate fn.Option[rfqmath.BigIntFixedPoint]
var assetRateHint fn.Option[rfqmsg.AssetRate]

if n.cfg.PriceOracle != nil {
// Query the price oracle for an asking price.
rate, _, err := n.queryAskFromPriceOracle(
order.Peer, order.AssetID, order.AssetGroupKey,
assetRate, err := n.queryAskFromPriceOracle(
*order.Peer, order.AssetID, order.AssetGroupKey,
order.MaxAssetAmount,
fn.None[rfqmath.BigIntFixedPoint](),
fn.None[rfqmsg.AssetRate](),
)
if err != nil {
err := fmt.Errorf("negotiator failed to "+
Expand All @@ -464,12 +472,12 @@ func (n *Negotiator) HandleOutgoingSellOrder(order SellOrder) {
return
}

assetRate = fn.Some[rfqmath.BigIntFixedPoint](*rate)
assetRateHint = fn.Some[rfqmsg.AssetRate](*assetRate)
}

request, err := rfqmsg.NewSellRequest(
*order.Peer, order.AssetID, order.AssetGroupKey,
order.MaxAssetAmount, assetRate,
order.MaxAssetAmount, assetRateHint,
)
if err != nil {
err := fmt.Errorf("unable to create sell request "+
Expand Down Expand Up @@ -566,10 +574,9 @@ func (n *Negotiator) HandleIncomingBuyAccept(msg rfqmsg.BuyAccept,
// We will sanity check that price by querying our price oracle
// for an ask price. We will then compare the ask price returned
// by the price oracle with the ask price provided by the peer.
assetRate, _, err := n.queryAskFromPriceOracle(
&msg.Peer, msg.Request.AssetID, nil,
msg.Request.AssetAmount,
fn.None[rfqmath.BigIntFixedPoint](),
assetRate, err := n.queryAskFromPriceOracle(
msg.Peer, msg.Request.AssetID, nil,
msg.Request.AssetAmount, fn.None[rfqmsg.AssetRate](),
)
if err != nil {
// The price oracle returned an error. We will return
Expand Down Expand Up @@ -601,7 +608,7 @@ func (n *Negotiator) HandleIncomingBuyAccept(msg rfqmsg.BuyAccept,
big.NewInt(0).SetUint64(n.cfg.AcceptPriceDeviationPpm),
)
acceptablePrice := msg.AssetRate.WithinTolerance(
*assetRate, tolerance,
assetRate.Rate, tolerance,
)
if !acceptablePrice {
// The price is not within the acceptable tolerance.
Expand Down Expand Up @@ -691,9 +698,9 @@ func (n *Negotiator) HandleIncomingSellAccept(msg rfqmsg.SellAccept,
// We will sanity check that price by querying our price oracle
// for a bid price. We will then compare the bid price returned
// by the price oracle with the bid price provided by the peer.
assetRate, _, err := n.queryBidFromPriceOracle(
assetRate, err := n.queryBidFromPriceOracle(
msg.Peer, msg.Request.AssetID, nil,
msg.Request.AssetAmount,
msg.Request.AssetAmount, msg.Request.AssetRateHint,
)
if err != nil {
// The price oracle returned an error. We will return
Expand Down Expand Up @@ -725,7 +732,7 @@ func (n *Negotiator) HandleIncomingSellAccept(msg rfqmsg.SellAccept,
big.NewInt(0).SetUint64(n.cfg.AcceptPriceDeviationPpm),
)
acceptablePrice := msg.AssetRate.WithinTolerance(
*assetRate, tolerance,
assetRate.Rate, tolerance,
)
if !acceptablePrice {
// The price is not within the acceptable bounds.
Expand Down
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