itchysats/daemon/src/model.rs

use crate::{impl_sqlx_type_display_from_str, olivia};
use anyhow::{Context, Result};
use bdk::bitcoin::{Address, Amount, Denomination};
use chrono::DateTime;
use reqwest::Url;
use rust_decimal::prelude::ToPrimitive;
use rust_decimal::Decimal;
use serde::de::Error as _;
use serde::{Deserialize, Serialize};
use serde_with::{DeserializeFromStr, SerializeDisplay};
use std::convert::TryInto;
use std::num::NonZeroU8;
use std::ops::{Add, Div, Mul, Sub};
use std::time::{SystemTime, UNIX_EPOCH};
use std::{fmt, str};
use time::{OffsetDateTime, PrimitiveDateTime, Time};

pub mod cfd;

#[derive(thiserror::Error, Debug)]
pub enum Error {
    #[error("Price of zero is not allowed.")]
    ZeroPrice,
    #[error("Negative Price is unimplemented.")]
    NegativePrice,
}

#[derive(Debug, Copy, Clone, PartialEq, PartialOrd, Serialize, Deserialize)]
pub struct Usd(Decimal);

impl Usd {
    pub fn new(value: Decimal) -> Self {
        Self(value)
    }

    pub fn try_into_u64(&self) -> Result<u64> {
        self.0.to_u64().context("could not fit decimal into u64")
    }

    pub fn try_into_f64(&self) -> Result<f64> {
        self.0.to_f64().context("Could not fit decimal into f64")
    }

    #[must_use]
    pub fn into_decimal(self) -> Decimal {
        self.0
    }
}

impl fmt::Display for Usd {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        self.0.round_dp(2).fmt(f)
    }
}

impl str::FromStr for Usd {
    type Err = anyhow::Error;

    fn from_str(s: &str) -> Result<Self, Self::Err> {
        let dec = Decimal::from_str(s)?;
        Ok(Usd(dec))
    }
}

impl_sqlx_type_display_from_str!(Usd);

#[derive(Debug, Copy, Clone, PartialEq, PartialOrd, Serialize, Deserialize)]
pub struct Price(Decimal);

impl_sqlx_type_display_from_str!(Price);

impl Price {
    pub fn new(value: Decimal) -> Result<Self, Error> {
        if value == Decimal::ZERO {
            return Result::Err(Error::ZeroPrice);
        }

        if value < Decimal::ZERO {
            return Result::Err(Error::NegativePrice);
        }

        Ok(Self(value))
    }

    pub fn try_into_u64(&self) -> Result<u64> {
        self.0.to_u64().context("Could not fit decimal into u64")
    }

    pub fn try_into_f64(&self) -> Result<f64> {
        self.0.to_f64().context("Could not fit decimal into f64")
    }

    #[must_use]
    pub fn into_decimal(self) -> Decimal {
        self.0
    }
}

impl fmt::Display for Price {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        self.0.fmt(f)
    }
}

impl str::FromStr for Price {
    type Err = anyhow::Error;

    fn from_str(s: &str) -> Result<Self, Self::Err> {
        let dec = Decimal::from_str(s)?;
        Ok(Price(dec))
    }
}

#[derive(Debug, Copy, Clone, PartialEq, PartialOrd, Serialize, Deserialize)]
pub struct InversePrice(Decimal);

impl InversePrice {
    pub fn new(value: Price) -> Result<Self, Error> {
        if value.0 == Decimal::ZERO {
            return Result::Err(Error::ZeroPrice);
        }

        if value.0 < Decimal::ZERO {
            return Result::Err(Error::NegativePrice);
        }

        Ok(Self(Decimal::ONE / value.0))
    }

    pub fn try_into_u64(&self) -> Result<u64> {
        self.0.to_u64().context("Could not fit decimal into u64")
    }

    pub fn try_into_f64(&self) -> Result<f64> {
        self.0.to_f64().context("Could not fit decimal into f64")
    }
}

#[derive(Debug, Copy, Clone, Serialize, Deserialize, PartialEq, sqlx::Type)]
#[sqlx(transparent)]
pub struct Leverage(u8);

impl Leverage {
    pub fn new(value: u8) -> Result<Self> {
        let val = NonZeroU8::new(value).context("Cannot use non-positive values")?;
        Ok(Self(u8::from(val)))
    }

    pub fn get(&self) -> u8 {
        self.0
    }
}

// add impl's to do algebra with Usd, Leverage, and ExhangeRate as required
impl Mul<Leverage> for Usd {
    type Output = Usd;

    fn mul(self, rhs: Leverage) -> Self::Output {
        let value = self.0 * Decimal::from(rhs.0);
        Self(value)
    }
}

impl Div<Leverage> for Usd {
    type Output = Usd;

    fn div(self, rhs: Leverage) -> Self::Output {
        Self(self.0 / Decimal::from(rhs.0))
    }
}

impl Mul<Usd> for Leverage {
    type Output = Usd;

    fn mul(self, rhs: Usd) -> Self::Output {
        let value = Decimal::from(self.0) * rhs.0;
        Usd(value)
    }
}

impl Mul<u8> for Usd {
    type Output = Usd;

    fn mul(self, rhs: u8) -> Self::Output {
        let value = self.0 * Decimal::from(rhs);
        Self(value)
    }
}

impl Div<u8> for Usd {
    type Output = Usd;

    fn div(self, rhs: u8) -> Self::Output {
        let value = self.0 / Decimal::from(rhs);
        Self(value)
    }
}

impl Div<u8> for Price {
    type Output = Price;

    fn div(self, rhs: u8) -> Self::Output {
        let value = self.0 / Decimal::from(rhs);
        Self(value)
    }
}

impl Add<Usd> for Usd {
    type Output = Usd;

    fn add(self, rhs: Usd) -> Self::Output {
        let value = self.0 + rhs.0;
        Self(value)
    }
}

impl Sub<Usd> for Usd {
    type Output = Usd;

    fn sub(self, rhs: Usd) -> Self::Output {
        let value = self.0 - rhs.0;
        Self(value)
    }
}

impl Div<Price> for Usd {
    type Output = Amount;

    fn div(self, rhs: Price) -> Self::Output {
        let mut btc = self.0 / rhs.0;
        btc.rescale(8);
        Amount::from_str_in(&btc.to_string(), Denomination::Bitcoin)
            .expect("Error computing BTC amount")
    }
}

impl Mul<Leverage> for Price {
    type Output = Price;

    fn mul(self, rhs: Leverage) -> Self::Output {
        let value = self.0 * Decimal::from(rhs.0);
        Self(value)
    }
}

impl Mul<Price> for Leverage {
    type Output = Price;

    fn mul(self, rhs: Price) -> Self::Output {
        let value = Decimal::from(self.0) * rhs.0;
        Price(value)
    }
}

impl Div<Leverage> for Price {
    type Output = Price;

    fn div(self, rhs: Leverage) -> Self::Output {
        let value = self.0 / Decimal::from(rhs.0);
        Self(value)
    }
}

impl Mul<InversePrice> for Usd {
    type Output = Amount;

    fn mul(self, rhs: InversePrice) -> Self::Output {
        let mut btc = self.0 * rhs.0;
        btc.rescale(8);
        Amount::from_str_in(&btc.to_string(), Denomination::Bitcoin)
            .expect("Error computing BTC amount")
    }
}

impl Mul<Leverage> for InversePrice {
    type Output = InversePrice;

    fn mul(self, rhs: Leverage) -> Self::Output {
        let value = self.0 * Decimal::from(rhs.0);
        Self(value)
    }
}

impl Mul<InversePrice> for Leverage {
    type Output = InversePrice;

    fn mul(self, rhs: InversePrice) -> Self::Output {
        let value = Decimal::from(self.0) * rhs.0;
        InversePrice(value)
    }
}

impl Div<Leverage> for InversePrice {
    type Output = InversePrice;

    fn div(self, rhs: Leverage) -> Self::Output {
        let value = self.0 / Decimal::from(rhs.0);
        Self(value)
    }
}

impl Add<Price> for Price {
    type Output = Price;

    fn add(self, rhs: Price) -> Self::Output {
        Self(self.0 + rhs.0)
    }
}

impl Sub<Price> for Price {
    type Output = Price;

    fn sub(self, rhs: Price) -> Self::Output {
        Self(self.0 - rhs.0)
    }
}

impl Add<InversePrice> for InversePrice {
    type Output = InversePrice;

    fn add(self, rhs: InversePrice) -> Self::Output {
        Self(self.0 + rhs.0)
    }
}

impl Sub<InversePrice> for InversePrice {
    type Output = InversePrice;

    fn sub(self, rhs: InversePrice) -> Self::Output {
        Self(self.0 - rhs.0)
    }
}

impl Add<u8> for Leverage {
    type Output = Leverage;

    fn add(self, rhs: u8) -> Self::Output {
        Self(self.0 + rhs)
    }
}

impl Add<Leverage> for u8 {
    type Output = Leverage;

    fn add(self, rhs: Leverage) -> Self::Output {
        Leverage(self + rhs.0)
    }
}

impl Div<Leverage> for Leverage {
    type Output = Decimal;

    fn div(self, rhs: Leverage) -> Self::Output {
        Decimal::from(self.0) / Decimal::from(rhs.0)
    }
}

#[derive(Debug, Copy, Clone, PartialEq, Serialize, Deserialize)]
pub struct Percent(Decimal);

impl Percent {
    #[must_use]
    pub fn round_dp(self, digits: u32) -> Self {
        Self(self.0.round_dp(digits))
    }
}

impl fmt::Display for Percent {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        self.0.round_dp(2).fmt(f)
    }
}

impl From<Decimal> for Percent {
    fn from(decimal: Decimal) -> Self {
        Percent(decimal)
    }
}

#[derive(Debug, Clone, Serialize, Deserialize, PartialEq, sqlx::Type)]
pub enum TradingPair {
    BtcUsd,
}

#[derive(Debug, Clone, Copy, Serialize, Deserialize, PartialEq, sqlx::Type)]
pub enum Position {
    Long,
    Short,
}

#[derive(Debug, Copy, Clone, PartialEq, Eq, Hash)]
pub struct Identity(x25519_dalek::PublicKey);

impl Identity {
    pub fn new(key: x25519_dalek::PublicKey) -> Self {
        Self(key)
    }
}

impl Serialize for Identity {
    fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
    where
        S: serde::Serializer,
    {
        serializer.collect_str(self)
    }
}

impl<'de> Deserialize<'de> for Identity {
    fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
    where
        D: serde::Deserializer<'de>,
    {
        let hex = String::deserialize(deserializer)?;

        let mut bytes = [0u8; 32];
        hex::decode_to_slice(&hex, &mut bytes).map_err(D::Error::custom)?;

        Ok(Self(x25519_dalek::PublicKey::from(bytes)))
    }
}

impl fmt::Display for Identity {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        write!(f, "{}", hex::encode(self.0.as_bytes()))
    }
}

impl str::FromStr for Identity {
    type Err = hex::FromHexError;

    fn from_str(s: &str) -> Result<Self, Self::Err> {
        let mut key = [0u8; 32];

        hex::decode_to_slice(s, &mut key)?;

        Ok(Self(key.into()))
    }
}

impl_sqlx_type_display_from_str!(Identity);

#[derive(Debug, Clone)]
pub struct WalletInfo {
    pub balance: Amount,
    pub address: Address,
    pub last_updated_at: Timestamp,
}

#[derive(
    Debug, Clone, Copy, SerializeDisplay, DeserializeFromStr, PartialEq, Eq, Hash, PartialOrd, Ord,
)]
pub struct BitMexPriceEventId {
    /// The timestamp this price event refers to.
    timestamp: OffsetDateTime,
    digits: usize,
}

impl BitMexPriceEventId {
    pub fn new(timestamp: OffsetDateTime, digits: usize) -> Self {
        let (hours, minutes, seconds) = timestamp.time().as_hms();
        let time_without_nanos =
            Time::from_hms(hours, minutes, seconds).expect("original timestamp was valid");

        let timestamp_without_nanos = timestamp.replace_time(time_without_nanos);

        Self {
            timestamp: timestamp_without_nanos,
            digits,
        }
    }

    pub fn with_20_digits(timestamp: OffsetDateTime) -> Self {
        Self::new(timestamp, 20)
    }

    /// Checks whether this event has likely already occurred.
    ///
    /// We can't be sure about it because our local clock might be off from the oracle's clock.
    pub fn has_likely_occured(&self) -> bool {
        let now = OffsetDateTime::now_utc();

        now > self.timestamp
    }

    pub fn to_olivia_url(self) -> Url {
        "https://h00.ooo"
            .parse::<Url>()
            .expect("valid URL from constant")
            .join(&self.to_string())
            .expect("Event id can be joined")
    }

    pub fn timestamp(&self) -> OffsetDateTime {
        self.timestamp
    }
}

impl fmt::Display for BitMexPriceEventId {
    fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
        write!(
            f,
            "/x/BitMEX/BXBT/{}.price?n={}",
            self.timestamp
                .format(&olivia::EVENT_TIME_FORMAT)
                .expect("should always format and we can't return an error here"),
            self.digits
        )
    }
}

impl str::FromStr for BitMexPriceEventId {
    type Err = anyhow::Error;

    fn from_str(s: &str) -> Result<Self, Self::Err> {
        let remaining = s.trim_start_matches("/x/BitMEX/BXBT/");
        let (timestamp, rest) = remaining.split_at(19);
        let digits = rest.trim_start_matches(".price?n=");

        Ok(Self {
            timestamp: PrimitiveDateTime::parse(timestamp, &olivia::EVENT_TIME_FORMAT)
                .with_context(|| format!("Failed to parse {} as timestamp", timestamp))?
                .assume_utc(),
            digits: digits.parse()?,
        })
    }
}

impl_sqlx_type_display_from_str!(BitMexPriceEventId);

#[derive(Debug, Copy, Clone, Serialize, Deserialize, PartialEq, sqlx::Type)]
pub struct Timestamp(i64);

impl Timestamp {
    pub fn new(seconds: i64) -> Self {
        Self(seconds)
    }

    pub fn now() -> Self {
        let seconds: i64 = SystemTime::now()
            .duration_since(UNIX_EPOCH)
            .expect("time not to go backwards")
            .as_secs()
            .try_into()
            .expect("seconds of system time to fit into i64");

        Self(seconds)
    }

    pub fn parse_from_rfc3339(datetime_str: &str) -> Result<Self> {
        let datetime = DateTime::parse_from_rfc3339(datetime_str)
            .context("Unable to parse datetime as RFC3339")?;
        let seconds = datetime.timestamp();

        Ok(Self(seconds))
    }

    pub fn seconds(&self) -> i64 {
        self.0
    }

    pub fn seconds_u64(&self) -> Result<u64> {
        let out = self.0.try_into().context("Unable to convert i64 to u64")?;
        Ok(out)
    }
}

#[cfg(test)]
mod tests {
    use rust_decimal_macros::dec;
    use time::macros::datetime;

    use super::*;

    #[test]
    fn to_olivia_url() {
        let url = BitMexPriceEventId::with_20_digits(datetime!(2021-09-23 10:00:00).assume_utc())
            .to_olivia_url();

        assert_eq!(
            url,
            "https://h00.ooo/x/BitMEX/BXBT/2021-09-23T10:00:00.price?n=20"
                .parse()
                .unwrap()
        );
    }

    #[test]
    fn parse_event_id() {
        let parsed = "/x/BitMEX/BXBT/2021-09-23T10:00:00.price?n=20"
            .parse::<BitMexPriceEventId>()
            .unwrap();
        let expected =
            BitMexPriceEventId::with_20_digits(datetime!(2021-09-23 10:00:00).assume_utc());

        assert_eq!(parsed, expected);
    }

    #[test]
    fn new_event_has_no_nanos() {
        let now = BitMexPriceEventId::with_20_digits(OffsetDateTime::now_utc());

        assert_eq!(now.timestamp.nanosecond(), 0);
    }

    #[test]
    fn has_occured_if_in_the_past() {
        let past_event =
            BitMexPriceEventId::with_20_digits(datetime!(2021-09-23 10:00:00).assume_utc());

        assert!(past_event.has_likely_occured());
    }

    #[test]
    fn algebra_with_usd() {
        let usd_0 = Usd::new(dec!(1.234));
        let usd_1 = Usd::new(dec!(9.876));

        let usd_sum = usd_0 + usd_1;
        let usd_diff = usd_0 - usd_1;
        let half = usd_0 / 2;
        let double = usd_1 * 2;

        assert_eq!(usd_sum.0, dec!(11.110));
        assert_eq!(usd_diff.0, dec!(-8.642));
        assert_eq!(half.0, dec!(0.617));
        assert_eq!(double.0, dec!(19.752));
    }

    #[test]
    fn usd_for_1_btc_buys_1_btc() {
        let usd = Usd::new(dec!(61234.5678));
        let price = Price::new(dec!(61234.5678)).unwrap();
        let inv_price = InversePrice::new(price).unwrap();
        let res_0 = usd / price;
        let res_1 = usd * inv_price;

        assert_eq!(res_0, Amount::ONE_BTC);
        assert_eq!(res_1, Amount::ONE_BTC);
    }

    #[test]
    fn leverage_does_not_alter_type() {
        let usd = Usd::new(dec!(61234.5678));
        let leverage = Leverage::new(3).unwrap();
        let res = usd * leverage / leverage;

        assert_eq!(res.0, usd.0);
    }

    #[test]
    fn test_algebra_with_types() {
        let usd = Usd::new(dec!(61234.5678));
        let leverage = Leverage::new(5).unwrap();
        let price = Price::new(dec!(61234.5678)).unwrap();
        let expected_buyin = Amount::from_str_in("0.2", Denomination::Bitcoin).unwrap();

        let liquidation_price = price * leverage / (leverage + 1);
        let inv_price = InversePrice::new(price).unwrap();
        let inv_liquidation_price = InversePrice::new(liquidation_price).unwrap();

        let long_buyin = usd / (price * leverage);
        let long_payout =
            (usd / leverage) * ((leverage + 1) * inv_price - leverage * inv_liquidation_price);

        assert_eq!(long_buyin, expected_buyin);
        assert_eq!(long_payout, Amount::ZERO);
    }

    #[test]
    fn test_timestamp() {
        let datetime_str_a = "1999-12-31T23:59:00.00Z";
        let datetime_str_b = "1999-12-31T23:59:00.00+10:00";
        let ts_a = Timestamp::parse_from_rfc3339(datetime_str_a).unwrap();
        let ts_b = Timestamp::parse_from_rfc3339(datetime_str_b).unwrap();

        assert_eq!(ts_b.seconds() - ts_a.seconds(), -36000);
    }

    #[test]
    fn roundtrip_taker_id_serde() {
        let id = Identity::new(x25519_dalek::PublicKey::from([42u8; 32]));

        serde_test::assert_tokens(
            &id,
            &[serde_test::Token::String(
                "2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a",
            )],
        );
    }
}