fix(hermes): improve TWAP reliability - non-optional price selection and consistent time windows #2521
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…ds and add LatestTimeEarliestSlot request time
…ps_with_update_data function
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tejasbadadare
changed the title
tejasbadadare
commented
Mar 25, 2025
| @@ -285,6 +285,28 @@ async fn retrieve_message_state( | |||
| Some(key_cache) => { | |||
| match request_time { | |||
| RequestTime::Latest => key_cache.last_key_value().map(|(_, v)| v).cloned(), | |||
| RequestTime::LatestTimeEarliestSlot => { | |||
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Thought i had while working on this... should we use this for all our latest endpoints, not just TWAP?
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I don't know. If we change it to the earliest slot then effectively we'll have 1 price per second. I think the poll users (and subscribers) would still like to get the latest price.
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Yeah that makes sense. I guess they are on the hook for ensuring the price they use is canonical?
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Summary
This PR refactors how Hermes fetches the data for the TWAP calculation to improve reliability.
Rationale
window_seconds: u64andend_time: RequestTime, instead ofstart_time: RequestTimeandend_time: RequestTime.start_timebased on the publish time of the end messages. Previously, the actual time difference between start and end messages could differ from the intended window size since the latest timestamp in the cache could be older than the wall time. This change guarantees that the start and end messages arewindow_secondsapart.RequestTime::LatestTimeEarliestSlotrequest mode to the cache that selects messages with the latest publish time but earliest slot number. This follows the same semantics asFirstAfter, and helps choose non-optional (canonical) prices.prev_publish_time == publish_time. This is done to avoid optionality of prices, and we consider only the message whereprev_publish_time < publish_timeas the canonical price for that timestamp. Previously we were using theRequestTime::Latestmode, which just returns the latest message for a feed, NOT the latest canonical message. The new mode provides these semantics.How has this been tested?
test_get_verified_twaps_with_update_data_uses_non_optional_pricesto verify correct message selectiontest_latest_time_earliest_slot_request_worksto test theLatestTimeEarliestSlotcache request modewindow_secondsapart.