Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

rfq+priceoraclerpc: add counterparty field to QueryAssetRatesRequest #1161

Draft
wants to merge 8 commits into
base: main
Choose a base branch
from
+354 −219
Draft

rfq+priceoraclerpc: add counterparty field to QueryAssetRatesRequest #1161

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
8 commits
Select commit Hold shift + click to select a range
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
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
91 changes: 49 additions & 42 deletions rfq/negotiator.go
View file
Open in desktop
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
Loading
Loading