feat: add dex price source support

README.md

@@ -27,6 +27,8 @@ docker run --restart always -d -v /path/on/host:/app/data script3/auctioneer-bot
 
 The auctioneer bot requires access to a Soroban RPC server, and is fairly chatty. We recommend running an Soroban RPC server on the same host to avoid issues with rate limiting / usage. Please see the Stellar documentation for running a [Soroban RPC](https://developers.stellar.org/docs/data/rpc). We recommend running the [Soroban RPC as a docker container](https://developers.stellar.org/docs/data/rpc/admin-guide#docker-image). The Auctioneer bot itself is not very resource intensive, and should work fine alongside an RPC with the suggested hardware requirements for the Soroban RPC server.
 
+The auctioneer bot also (optionally) uses Horizon to fetch prices from the DEX. If you use this, the bot keeps requests fairly quite (up to 1 request a minute per asset), so using a public Horizon endpoint sgould be OK. However, it is recommended to use a Horizon hosting solution to ensure uptime (e.g. Blockdaemon or Quicknode).
+
 Auctions filled by the bot will have an entry populated in the `filled_auctions` table of the DB, with the bots estimated profit on the trade included.
 
 ## Important Info
@@ -77,18 +79,34 @@ The `fillers` array contains configurations for individual filler accounts. The
 
 The `priceSources` array defines the additional sources for price data. If an asset has a price source, the oracle prices will not be used when calculating profit, and instead the price fetched from the price source will be. 
 
+##### Exchange Price Sources
+
 Prices are fetched from the following endpoints:
 * Coinbase: https://api.coinbase.com/api/v3/brokerage/market/products?product_ids=SYMBOL
 * Binance: https://api.binance.com/api/v3/ticker/price?symbols=[SYMBOL]
 
-Each price source has the following fields:
+Each exchange price source has the following fields:
 
 | Field | Description |
 |-------|-------------|
 | `assetId` | The address of the asset for which this price source provides data. |
 | `type` | The type of price source (e.g., "coinbase", "binance"). |
 | `symbol` | The trading symbol used by the price source for this asset. |
 
+##### DEX Prices Sources
+
+DEX prices sources are calculated via Horizon's "find strict receive payment path" endpoint. The specified `destAmount` will be received via the `sourceAsset` asset, and the price will be computed such that `sourceAmount / destAmount`, or the average price for the full path payment operation on that block. This can be useful to fetch prices for assets that are not on centralized exchanges.
+
+Each DEX price source has the following fields:
+
+| Field | Description |
+|-------|-------------|
+| `assetId` | The address of the asset for which this price source provides data. |
+| `type` | The type of price source (e.g., "dex"). |
+| `sourceAsset` | The Stellar Asset being used as the source asset. Should align with the contract address in `assetId`. The string is formatted as `code:issuer` or `XLM:native`. |
+| `destAsset` | The Stellar Asset being used as the destination asset. This should be what the oracle is reporting in (e.g. USDC). The string is formatted as `code:issuer` or `XLM:native`.
+| `destAmount` | The amount of `destAsset` that must be received to calculate the final price of `sourceAsset` |
+
 #### Profits
 
 The `profits` list defines target profit percentages based on the assets that make up the bid and lot of a given auction. This allows fillers to have flexability in the profit they target. The profit percentage chosen will be the first entry in the `profits` list that supports all bid and lot assets in the auction. If no profit entry is found, the `defaultProfitPct` value defined by the filler will be used.

example.config.json

@@ -2,6 +2,7 @@
     "name": "Example Bot",
     "rpcURL": "http://localhost:8000",
     "networkPassphrase": "Public Global Stellar Network ; September 2015",
+    "horizonURL": "http://horizon:8000",
     "poolAddress": "C...",
     "backstopAddress": "CAO3AGAMZVRMHITL36EJ2VZQWKYRPWMQAPDQD5YEOF3GIF7T44U4JAL3",
     "backstopTokenAddress": "CAS3FL6TLZKDGGSISDBWGGPXT3NRR4DYTZD7YOD3HMYO6LTJUVGRVEAM",
@@ -52,6 +53,13 @@
             "assetId": "CAS3J7GYLGXMF6TDJBBYYSE3HQ6BBSMLNUQ34T6TZMYMW2EVH34XOWMA",
             "type": "binance",
             "symbol": "XLMUSDT"
+        },
+        {
+            "assetId": "CAS3J7GYLGXMF6TDJBBYYSE3HQ6BBSMLNUQ34T6TZMYMW2EVH34XOWMA",
+            "type": "dex",
+            "sourceAsset": "XLM:native",
+            "destAsset": "USDC:GA5ZSEJYB37JRC5AVCIA5MOP4RHTM335X2KGX3IHOJAPP5RE34K4KZVN",
+            "destAmount": "1000"
         }
     ]
 }

package.json

@@ -1,6 +1,6 @@
 {
   "name": "auctioneer-bot",
-  "version": "0.2.0",
+  "version": "0.2.1",
   "main": "index.js",
   "type": "module",
   "scripts": {

src/utils/config.ts

@@ -14,12 +14,31 @@ export interface Filler {
   supportedLot: string[];
 }
 
-export interface PriceSource {
+export enum PriceSourceType {
+  BINANCE = 'binance',
+  COINBASE = 'coinbase',
+  DEX = 'dex',
+}
+
+export interface PriceSourceBase {
   assetId: string;
-  type: 'coinbase' | 'binance';
+  type: PriceSourceType;
+}
+
+export interface ExchangePriceSource extends PriceSourceBase {
+  type: PriceSourceType.BINANCE | PriceSourceType.COINBASE;
   symbol: string;
 }
 
+export interface DexPriceSource extends PriceSourceBase {
+  type: PriceSourceType.DEX;
+  sourceAsset: string;
+  destAsset: string;
+  destAmount: string;
+}
+
+export type PriceSource = ExchangePriceSource | DexPriceSource;
+
 export interface AuctionProfit {
   profitPct: number;
   supportedBid: string[];
@@ -37,6 +56,7 @@ export interface AppConfig {
   blndAddress: string;
   keypair: Keypair;
   fillers: Filler[];
+  horizonURL: string | undefined;
   priceSources: PriceSource[] | undefined;
   profits: AuctionProfit[] | undefined;
   slackWebhook: string | undefined;
@@ -68,6 +88,7 @@ export function validateAppConfig(config: any): boolean {
     typeof config.blndAddress !== 'string' ||
     typeof config.keypair !== 'string' ||
     !Array.isArray(config.fillers) ||
+    (config.horizonURL !== undefined && typeof config.horizonURL !== 'string') ||
     (config.priceSources !== undefined && !Array.isArray(config.priceSources)) ||
     (config.profits !== undefined && !Array.isArray(config.profits)) ||
     (config.slackWebhook !== undefined && typeof config.slackWebhook !== 'string')
@@ -112,17 +133,38 @@ export function validateFiller(filler: any): boolean {
 }
 
 export function validatePriceSource(priceSource: any): boolean {
-  if (typeof priceSource !== 'object' || priceSource === null) {
+  if (
+    typeof priceSource !== 'object' ||
+    priceSource === null ||
+    priceSource.type === undefined ||
+    typeof priceSource.assetId !== 'string'
+  ) {
     return false;
   }
 
-  if (
-    typeof priceSource.assetId === 'string' &&
-    (priceSource.type === 'binance' || priceSource.type === 'coinbase') &&
-    typeof priceSource.symbol === 'string'
-  ) {
-    return true;
+  switch (priceSource.type) {
+    case PriceSourceType.BINANCE:
+    case PriceSourceType.COINBASE:
+      if (typeof priceSource.symbol === 'string') {
+        return true;
+      }
+      break;
+    case PriceSourceType.DEX:
+      if (
+        typeof priceSource.sourceAsset === 'string' &&
+        priceSource.sourceAsset.includes(':') &&
+        typeof priceSource.destAsset === 'string' &&
+        priceSource.destAsset.includes(':') &&
+        typeof priceSource.destAmount === 'string'
+      ) {
+        return true;
+      }
+      break;
+    default:
+      console.log('Invalid price source (unkown type)', priceSource);
+      return false;
   }
+
   console.log('Invalid price source', priceSource);
   return false;
 }

src/utils/horizon_helper.ts

@@ -0,0 +1,62 @@
+import { PoolUser, PositionsEstimate } from '@blend-capital/blend-sdk';
+import { Asset, Horizon } from '@stellar/stellar-sdk';
+import { APP_CONFIG } from './config.js';
+import { logger } from './logger.js';
+
+export interface PoolUserEst {
+  estimate: PositionsEstimate;
+  user: PoolUser;
+}
+
+export class HorizonHelper {
+  url: string;
+
+  constructor() {
+    this.url = APP_CONFIG.horizonURL ?? '';
+  }
+
+  /**
+   * Fetch a price based on a strict receive path payment
+   * @param soureAsset - A stellar asset as a string
+   * @param destAsset - A stellar asset as a string
+   * @param destAmount - The amount of the destination asset (as a whole number, 0 decimals)
+   * @returns The price of the destination asset in terms of the source asset
+   * @panics If no path exists or if Horizon throws an error
+   */
+  async loadStrictReceivePrice(
+    soureAsset: string,
+    destAsset: string,
+    destAmount: string
+  ): Promise<number> {
+    try {
+      let horizon = new Horizon.Server(this.url, {
+        allowHttp: true,
+      });
+      let result = await horizon
+        .strictReceivePaths(
+          [this.toAssetFromString(soureAsset)],
+          this.toAssetFromString(destAsset),
+          destAmount
+        )
+        .call();
+      if (result.records.length === 0) {
+        throw new Error('No paths found');
+      }
+      let firstRecord = result.records[0];
+      return Number(firstRecord.destination_amount) / Number(firstRecord.source_amount);
+    } catch (e) {
+      logger.error(`Error loading latest ledger: ${e}`);
+      throw e;
+    }
+  }
+
+  /**
+   * Construct an asset from it's string representation
+   * @param asset - 'assetCode:issuer' or 'XLM:native'
+   * @returns The asset object
+   */
+  toAssetFromString(asset: string): Asset {
+    let parts = asset.split(':');
+    return parts[0] === 'XLM' ? Asset.native() : new Asset(parts[0], parts[1]);
+  }
+}

src/utils/prices.ts

@@ -1,5 +1,6 @@
-import { APP_CONFIG } from './config.js';
+import { APP_CONFIG, DexPriceSource, ExchangePriceSource } from './config.js';
 import { AuctioneerDatabase, PriceEntry } from './db.js';
+import { HorizonHelper } from './horizon_helper.js';
 import { stringify } from './json.js';
 import { logger } from './logger.js';
 
@@ -13,27 +14,97 @@ interface ExchangePrice {
  * @param db - The database to set prices in
  */
 export async function setPrices(db: AuctioneerDatabase): Promise<void> {
+  const exchangePrices: ExchangePriceSource[] = [];
+  const dexPrices: DexPriceSource[] = [];
+
+  for (const source of APP_CONFIG.priceSources ?? []) {
+    switch (source.type) {
+      case 'binance':
+      case 'coinbase':
+        exchangePrices.push(source as ExchangePriceSource);
+        break;
+      case 'dex':
+        dexPrices.push(source as DexPriceSource);
+        break;
+    }
+  }
+
+  const [exchangePricesResult, dexPricesResult] = await Promise.all([
+    getExchangePrices(exchangePrices),
+    getDexPrices(dexPrices),
+  ]);
+
+  const priceEntries = exchangePricesResult.concat(dexPricesResult);
+  if (priceEntries.length !== 0) {
+    db.setPriceEntries(exchangePricesResult.concat(dexPricesResult));
+    logger.info(`Set ${priceEntries.length} prices in the database.`);
+  } else {
+    logger.info('No prices set.');
+  }
+}
+
+/**
+ * Fetch prices via path payments on the Stellar DEX.
+ * @param priceSources - The DEX price sources to fetch prices for
+ * @returns An array of price entries. If a price cannot be fetched, it is not included in the array.
+ */
+export async function getDexPrices(priceSources: DexPriceSource[]): Promise<PriceEntry[]> {
+  // process DEX prices one at a time to avoid strict Horizon rate limits on the public
+  // Horizon instance
+  const priceEntries: PriceEntry[] = [];
+  const timestamp = Math.floor(Date.now() / 1000);
+  const horizonHelper = new HorizonHelper();
+  for (const priceSource of priceSources) {
+    try {
+      const price = await horizonHelper.loadStrictReceivePrice(
+        priceSource.sourceAsset,
+        priceSource.destAsset,
+        priceSource.destAmount
+      );
+
+      priceEntries.push({
+        asset_id: priceSource.assetId,
+        price: price,
+        timestamp: timestamp,
+      });
+    } catch (e) {
+      logger.error(`Error fetching dex price for ${priceSource}: ${e}`);
+      continue;
+    }
+  }
+  return priceEntries;
+}
+
+/**
+ * Fetch exchange prices.
+ * @param exchangePriceSources - The exchange price sources to fetch prices for
+ * @returns An array of price entries. If a price cannot be fetched, it is not included in the array.
+ */
+export async function getExchangePrices(
+  exchangePriceSources: ExchangePriceSource[]
+): Promise<PriceEntry[]> {
+  const timestamp = Math.floor(Date.now() / 1000);
+
   const coinbaseSymbols: string[] = [];
   const binanceSymbols: string[] = [];
-  for (const source of APP_CONFIG.priceSources ?? []) {
+  for (const source of exchangePriceSources) {
     if (source.type === 'coinbase') {
       coinbaseSymbols.push(source.symbol);
     } else if (source.type === 'binance') {
       binanceSymbols.push(source.symbol);
     }
   }
 
-  const timestamp = Math.floor(Date.now() / 1000);
+  // If these API calls fail, it is assumed the functions return an empty array
   const [coinbasePricesResult, binancePricesResult] = await Promise.all([
     coinbasePrices(coinbaseSymbols),
     binancePrices(binanceSymbols),
   ]);
   const exchangePriceResult = coinbasePricesResult.concat(binancePricesResult);
 
-  const priceSources = APP_CONFIG.priceSources ?? [];
   const priceEntries: PriceEntry[] = [];
   for (const price of exchangePriceResult) {
-    const assetId = priceSources.find((source) => source.symbol === price.symbol)?.assetId;
+    const assetId = exchangePriceSources.find((source) => source.symbol === price.symbol)?.assetId;
     if (assetId) {
       priceEntries.push({
         asset_id: assetId,
@@ -42,7 +113,7 @@ export async function setPrices(db: AuctioneerDatabase): Promise<void> {
       });
     }
   }
-  db.setPriceEntries(priceEntries);
+  return priceEntries;
 }
 
 /**