filter out quoters far from median

Author: jhunsaker

CMakeLists.txt

@@ -15,7 +15,8 @@ set( CMAKE_INCLUDE_CURRENT_DIR ON )
 include_directories( program/src/ )
 
 # gcc compiler/linker flags
-add_compile_options( -ggdb -Wall -Wextra -Werror -std=c++11 -m64 )
+add_compile_options( -ggdb -Wall -Wextra -Werror -m64 )
+set( CMAKE_CXX_FLAGS -std=c++11 )
 set( CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS} -pthread")
 
 #
@@ -37,6 +38,7 @@ set( PC_SRC
   pc/request.cpp;
   pc/rpc_client.cpp;
   pc/user.cpp;
+  program/src/oracle/sort.c
   )
 
 set( PC_HDR

program/src/oracle/sort.c

@@ -0,0 +1,44 @@
+#include "sort.h"
+
+static inline void swap_int64( int64_t *a, int64_t *b )
+{
+  int64_t const temp = *a;
+  *a = *b;
+  *b = temp;
+}
+
+static inline int partition_int64( int64_t* v, int i, int j )
+{
+  int const p = i;
+  int64_t const pv = v[ p ];
+
+  while ( i < j ) {
+    while ( v[ i ] <= pv ) {
+      ++i;
+    }
+    while ( v[ j ] > pv ) {
+      --j;
+    }
+    if ( i < j ) {
+      swap_int64( &v[ i ], &v[ j ] );
+    }
+  }
+  swap_int64( &v[ p ], &v[ j ] );
+  return j;
+}
+
+static void qsort_help_int64( int64_t* const v, int i, int j )
+{
+  if ( i >= j ) {
+    return;
+  }
+  int p = partition_int64( v, i, j );
+  qsort_help_int64( v, i, p - 1 );
+  qsort_help_int64( v, p + 1, j );
+}
+
+void qsort_int64( int64_t* const v, unsigned const size )
+{
+  qsort_help_int64( v, 0, ( int )size - 1 );
+}
+

program/src/oracle/sort.h

@@ -0,0 +1,18 @@
+#pragma once
+
+#ifdef __x86_64__
+#include <stdint.h>
+#else
+#include <solana_sdk.h>
+#endif
+
+#ifdef __cplusplus
+extern "C" {
+#endif
+
+void qsort_int64( int64_t* v, unsigned size );
+
+#ifdef __cplusplus
+}
+#endif
+

program/src/oracle/test_oracle.c

@@ -1,6 +1,7 @@
 char heap_start[8192];
 #define PC_HEAP_START (heap_start)
 #include "oracle.c"
+#include "sort.c"
 #include <criterion/criterion.h>
 
 Test(oracle, init_mapping) {

program/src/oracle/upd_aggregate.h

@@ -1,5 +1,9 @@
 #pragma once
 
+#include "sort.h"
+
+#include <limits.h>
+
 #ifdef __cplusplus
 extern "C" {
 #endif
@@ -294,31 +298,59 @@ static void upd_aggregate( pc_price_t *ptr, uint64_t slot )
   ptr->valid_slot_ = ptr->agg_.pub_slot_;// valid slot-time of agg. price
   ptr->agg_.pub_slot_ = slot;            // publish slot-time of agg. price
 
+  uint32_t numv = 0;
+  uint32_t vidx[ PC_COMP_SIZE ];
   // identify valid quotes and order them by price
-  uint32_t numa = 0 ;
-  uint32_t aidx[PC_COMP_SIZE];
-  for( uint32_t i=0; i != ptr->num_; ++i ) {
+  for ( uint32_t i = 0; i != ptr->num_; ++i ) {
     pc_price_comp_t *iptr = &ptr->comp_[i];
     // copy contributing price to aggregate snapshot
     iptr->agg_ = iptr->latest_;
     // add quote to sorted permutation array if it is valid
     int64_t slot_diff = ( int64_t )slot - ( int64_t )( iptr->agg_.pub_slot_ );
     if ( iptr->agg_.status_ == PC_STATUS_TRADING &&
          iptr->agg_.conf_ != 0UL &&
-         iptr->agg_.price_ != 0L &&
+         iptr->agg_.price_ > 0L &&
          slot_diff >= 0 && slot_diff <= PC_MAX_SEND_LATENCY ) {
-      int64_t ipx = iptr->agg_.price_;
-      uint32_t j = numa++;
-      for( ; j > 0 && ptr->comp_[aidx[j-1]].agg_.price_ > ipx; --j ) {
-        aidx[j] = aidx[j-1];
+      vidx[numv++] = i;
+    }
+  }
+
+  uint32_t nprcs = 0;
+  int64_t prcs[ PC_COMP_SIZE * 2 ];
+  for ( uint32_t i = 0; i < numv; ++i ) {
+    pc_price_comp_t const *iptr = &ptr->comp_[ vidx[ i ] ];
+    int64_t const price = iptr->agg_.price_;
+    int64_t const conf = ( int64_t )( iptr->agg_.conf_ );
+    prcs[ nprcs++ ] = price - conf;
+    prcs[ nprcs++ ] = price + conf;
+  }
+  qsort_int64( prcs, nprcs );
+
+  uint32_t numa = 0;
+  uint32_t aidx[PC_COMP_SIZE];
+
+  if ( nprcs ) {
+    int64_t const mprc = ( prcs[ numv - 1 ] + prcs[ numv ] ) / 2;
+    int64_t const lb = mprc / 5;
+    int64_t const ub = ( mprc > LONG_MAX / 5 ) ? LONG_MAX : mprc * 5;
+
+    for ( uint32_t i = 0; i < numv; ++i ) {
+      uint32_t const idx = vidx[ i ];
+      pc_price_comp_t const *iptr = &ptr->comp_[ idx ];
+      int64_t const prc = iptr->agg_.price_;
+      if ( prc >= lb && prc <= ub ) {
+        uint32_t j = numa++;
+        for( ; j > 0 && ptr->comp_[ aidx[ j - 1 ] ].agg_.price_ > prc; --j ) {
+          aidx[ j ] = aidx[ j - 1 ];
+        }
+        aidx[ j ] = idx;
       }
-      aidx[j] = i;
     }
   }
 
   // zero quoters
   ptr->num_qt_ = numa;
-  if ( numa == 0 ) {
+  if ( numa == 0 || numa * 2 <= numv ) {
     ptr->agg_.status_ = PC_STATUS_UNKNOWN;
     upd_twap( ptr, agg_diff, qs );
     return;

pyth/tests/qset/11.result

@@ -1 +1 @@
-{"exponent":-3,"price":500501440000,"conf":499530000,"status":"trading"}
+{"exponent":-3,"price":500502460000,"conf":498770000,"status":"trading"}

pyth/tests/qset/2.result

@@ -1 +1 @@
-{"exponent":-3,"price":-10000,"conf":1000,"status":"trading"}
+{"exponent":-3,"price":0,"conf":0,"status":"unknown"}

pyth/tests/qset/31.result

@@ -1 +1 @@
-{"exponent":-8,"price":4329782800000,"conf":2616650000,"status":"trading"}
+{"exponent":-8,"price":4329847900000,"conf":3031550000,"status":"trading"}

pyth/tests/qset/33.result

@@ -1 +1 @@
-{"exponent":-8,"price":4329782800000,"conf":2616650000,"status":"trading"}
+{"exponent":-8,"price":4329847900000,"conf":3031550000,"status":"trading"}

pyth/tests/qset/35.result

@@ -1 +1 @@
-{"exponent":-8,"price":40000000000,"conf":1698517500000,"status":"trading"}
+{"exponent":-8,"price":4000200000000,"conf":1000000000,"status":"trading"}