From 44d7608d8e0749c5468f9d88d0a671bb72a4a971 Mon Sep 17 00:00:00 2001
From: skrrb <skrrb@pm.me>
Date: Thu, 14 Sep 2023 16:19:21 +0200
Subject: [PATCH] fix confidence if combined variance

---
 programs/openbook-v2/src/state/market.rs | 15 ++-------------
 programs/openbook-v2/src/state/oracle.rs | 22 ++++++++++++++++------
 2 files changed, 18 insertions(+), 19 deletions(-)

diff --git a/programs/openbook-v2/src/state/market.rs b/programs/openbook-v2/src/state/market.rs
index 16a2c76d9..96e407982 100644
--- a/programs/openbook-v2/src/state/market.rs
+++ b/programs/openbook-v2/src/state/market.rs
@@ -250,24 +250,13 @@ impl Market {
 
         if oracle_a.is_stale(oracle_a_acc.key(), &self.oracle_config, now_slot)
             || oracle_b.is_stale(oracle_b_acc.key(), &self.oracle_config, now_slot)
+            || !oracle_a.has_valid_combined_confidence(&oracle_b, &self.oracle_config)
         {
-            return Ok(None);
-        }
-
-        let (price, var) = oracle_a.combine_div_with_var(&oracle_b);
-
-        let target_var = self.oracle_config.conf_filter.powi(2);
-        if var > target_var {
-            msg!(
-                "Combined variance too high; value {}, target {}",
-                var,
-                target_var
-            );
             Ok(None)
         } else {
+            let price = oracle_a.price / oracle_b.price;
             let decimals = (self.quote_decimals as i8) - (self.base_decimals as i8);
             let decimal_adj = oracle::power_of_ten_float(decimals);
-
             Ok(I80F48::checked_from_num(price * decimal_adj))
         }
     }
diff --git a/programs/openbook-v2/src/state/oracle.rs b/programs/openbook-v2/src/state/oracle.rs
index f6a03ce31..ff920f2f3 100644
--- a/programs/openbook-v2/src/state/oracle.rs
+++ b/programs/openbook-v2/src/state/oracle.rs
@@ -111,16 +111,26 @@ impl OracleState {
         }
     }
 
-    pub fn combine_div_with_var(&self, other: &Self) -> (f64, f64) {
-        let price = self.price / other.price;
-
+    pub fn has_valid_combined_confidence(&self, other: &Self, config: &OracleConfig) -> bool {
         // target uncertainty reads
         //   $ \sigma \approx \frac{A}{B} * \sqrt{(\sigma_A/A)^2 + (\sigma_B/B)^2} $
         // but alternatively, to avoid costly operations, we compute the square
-        let var = ((self.deviation / self.price).powi(2) + (other.deviation / other.price).powi(2))
-            * price.powi(2);
+        // Also note that the relative scaled var, i.e. without the \frac{A}{B} factor, is computed
+        let relative_var =
+            (self.deviation / self.price).powi(2) + (other.deviation / other.price).powi(2);
+
+        let relative_target_var = config.conf_filter.powi(2);
 
-        (price, var)
+        if relative_var > relative_target_var {
+            msg!(
+                "Combined confidence too high: computed^2: {}, conf_filter^2: {}",
+                relative_var,
+                relative_target_var
+            );
+            false
+        } else {
+            true
+        }
     }
 }