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Fix precision of Usd and Percent to 2 decimal upon serialization

hotfix/0.1.1
Thomas Eizinger 3 years ago
parent
094979181f
commit
75cd6a1ea2
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6 changed files with 128 additions and 43 deletions
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  1. 11
      Cargo.lock
  2. 3
      daemon/Cargo.toml
  3. 15
      daemon/src/bitmex_price_feed.rs
  4. 46
      daemon/src/db.rs
  5. 78
      daemon/src/model.rs
  6. 18
      daemon/src/payout_curve.rs

11
Cargo.lock
View File

@ -541,6 +541,7 @@ dependencies = [
"serde",
"serde_json",
"serde_plain",
"serde_test",
"serde_with",
"sha2",
"sqlx",
@ -2245,7 +2246,6 @@ dependencies = [
"arrayvec",
"num-traits",
"serde",
"serde_json",
]
[[package]]
@ -2478,6 +2478,15 @@ dependencies = [
"serde",
]
[[package]]
name = "serde_test"
version = "1.0.130"
source = "registry+https://github.com/rust-lang/crates.io-index"
checksum = "d82178225dbdeae2d5d190e8649287db6a3a32c6d24da22ae3146325aa353e4c"
dependencies = [
"serde",
]
[[package]]
name = "serde_urlencoded"
version = "0.7.0"

3
daemon/Cargo.toml
View File

@ -24,7 +24,7 @@ reqwest = { version = "0.11", default-features = false, features = ["json", "rus
rocket = { version = "0.5.0-rc.1", features = ["json"] }
rocket-basicauth = { version = "2", default-features = false }
rust-embed = "6.2"
rust_decimal = { version = "1.16", features = ["serde-float", "serde-arbitrary-precision"] }
rust_decimal = "1.16"
rust_decimal_macros = "1.16"
serde = { version = "1", features = ["derive"] }
serde_json = "1"
@ -52,6 +52,7 @@ path = "src/maker.rs"
[dev-dependencies]
pretty_assertions = "1"
serde_test = "1"
time = { version = "0.3", features = ["std"] }
[build-dependencies]

15
daemon/src/bitmex_price_feed.rs
View File

@ -1,8 +1,7 @@
use crate::model::Usd;
use anyhow::{Context, Result};
use anyhow::Result;
use futures::{StreamExt, TryStreamExt};
use rust_decimal::Decimal;
use rust_decimal_macros::dec;
use std::convert::TryFrom;
use std::future::Future;
use std::time::SystemTime;
@ -81,10 +80,10 @@ impl Quote {
}
fn mid_range(&self) -> Result<Usd> {
Ok(Usd((self.bid.checked_add(self.ask))?
.0
.checked_div(dec!(2))
.context("division error")?))
let sum = self.bid.checked_add(self.ask)?;
let half = sum.half();
Ok(half)
}
}
@ -120,7 +119,7 @@ mod tests {
let quote = Quote::from_message(message).unwrap().unwrap();
assert_eq!(quote.bid, Usd(dec!(42640.5)));
assert_eq!(quote.ask, Usd(dec!(42641)));
assert_eq!(quote.bid, Usd::new(dec!(42640.5)));
assert_eq!(quote.ask, Usd::new(dec!(42641)));
}
}

46
daemon/src/db.rs
View File

@ -101,11 +101,11 @@ pub async fn load_order_by_id(
id: row.uuid,
trading_pair: row.trading_pair,
position: row.position,
price: Usd(Decimal::from_str(&row.initial_price)?),
min_quantity: Usd(Decimal::from_str(&row.min_quantity)?),
max_quantity: Usd(Decimal::from_str(&row.max_quantity)?),
price: Usd::new(Decimal::from_str(&row.initial_price)?),
min_quantity: Usd::new(Decimal::from_str(&row.min_quantity)?),
max_quantity: Usd::new(Decimal::from_str(&row.max_quantity)?),
leverage: row.leverage,
liquidation_price: Usd(Decimal::from_str(&row.liquidation_price)?),
liquidation_price: Usd::new(Decimal::from_str(&row.liquidation_price)?),
creation_timestamp: convert_to_system_time(row.ts_secs, row.ts_nanos)?,
term: Duration::new(row.term_secs, row.term_nanos),
origin: row.origin,
@ -317,11 +317,11 @@ pub async fn load_cfd_by_order_id(
id: row.uuid,
trading_pair: row.trading_pair,
position: row.position,
price: Usd(Decimal::from_str(&row.initial_price)?),
min_quantity: Usd(Decimal::from_str(&row.min_quantity)?),
max_quantity: Usd(Decimal::from_str(&row.max_quantity)?),
price: Usd::new(Decimal::from_str(&row.initial_price)?),
min_quantity: Usd::new(Decimal::from_str(&row.min_quantity)?),
max_quantity: Usd::new(Decimal::from_str(&row.max_quantity)?),
leverage: row.leverage,
liquidation_price: Usd(Decimal::from_str(&row.liquidation_price)?),
liquidation_price: Usd::new(Decimal::from_str(&row.liquidation_price)?),
creation_timestamp: convert_to_system_time(row.ts_secs, row.ts_nanos)?,
term: Duration::new(row.term_secs, row.term_nanos),
origin: row.origin,
@ -333,7 +333,7 @@ pub async fn load_cfd_by_order_id(
// via https://github.com/comit-network/hermes/issues/290
Ok(Cfd {
order,
quantity_usd: Usd(Decimal::from_str(&row.quantity_usd)?),
quantity_usd: Usd::new(Decimal::from_str(&row.quantity_usd)?),
state: serde_json::from_str(row.state.as_str())?,
})
}
@ -419,11 +419,11 @@ pub async fn load_all_cfds(conn: &mut PoolConnection<Sqlite>) -> anyhow::Result<
id: row.uuid,
trading_pair: row.trading_pair,
position: row.position,
price: Usd(Decimal::from_str(&row.initial_price)?),
min_quantity: Usd(Decimal::from_str(&row.min_quantity)?),
max_quantity: Usd(Decimal::from_str(&row.max_quantity)?),
price: Usd::new(Decimal::from_str(&row.initial_price)?),
min_quantity: Usd::new(Decimal::from_str(&row.min_quantity)?),
max_quantity: Usd::new(Decimal::from_str(&row.max_quantity)?),
leverage: row.leverage,
liquidation_price: Usd(Decimal::from_str(&row.liquidation_price)?),
liquidation_price: Usd::new(Decimal::from_str(&row.liquidation_price)?),
creation_timestamp: convert_to_system_time(row.ts_secs, row.ts_nanos)?,
term: Duration::new(row.term_secs, row.term_nanos),
origin: row.origin,
@ -432,7 +432,7 @@ pub async fn load_all_cfds(conn: &mut PoolConnection<Sqlite>) -> anyhow::Result<
Ok(Cfd {
order,
quantity_usd: Usd(Decimal::from_str(&row.quantity_usd)?),
quantity_usd: Usd::new(Decimal::from_str(&row.quantity_usd)?),
state: serde_json::from_str(row.state.as_str())?,
})
})
@ -529,11 +529,11 @@ pub async fn load_cfds_by_oracle_event_id(
id: row.uuid,
trading_pair: row.trading_pair,
position: row.position,
price: Usd(Decimal::from_str(&row.initial_price)?),
min_quantity: Usd(Decimal::from_str(&row.min_quantity)?),
max_quantity: Usd(Decimal::from_str(&row.max_quantity)?),
price: Usd::new(Decimal::from_str(&row.initial_price)?),
min_quantity: Usd::new(Decimal::from_str(&row.min_quantity)?),
max_quantity: Usd::new(Decimal::from_str(&row.max_quantity)?),
leverage: row.leverage,
liquidation_price: Usd(Decimal::from_str(&row.liquidation_price)?),
liquidation_price: Usd::new(Decimal::from_str(&row.liquidation_price)?),
creation_timestamp: convert_to_system_time(row.ts_secs, row.ts_nanos)?,
term: Duration::new(row.term_secs, row.term_nanos),
origin: row.origin,
@ -542,7 +542,7 @@ pub async fn load_cfds_by_oracle_event_id(
Ok(Cfd {
order,
quantity_usd: Usd(Decimal::from_str(&row.quantity_usd)?),
quantity_usd: Usd::new(Decimal::from_str(&row.quantity_usd)?),
state: serde_json::from_str(row.state.as_str())?,
})
})
@ -787,7 +787,7 @@ mod tests {
fn dummy() -> Self {
Cfd::new(
Order::dummy(),
Usd(dec!(1000)),
Usd::new(dec!(1000)),
CfdState::outgoing_order_request(),
)
}
@ -809,9 +809,9 @@ mod tests {
impl Order {
fn dummy() -> Self {
Order::new(
Usd(dec!(1000)),
Usd(dec!(100)),
Usd(dec!(1000)),
Usd::new(dec!(1000)),
Usd::new(dec!(100)),
Usd::new(dec!(1000)),
Origin::Theirs,
BitMexPriceEventId::with_20_digits(OffsetDateTime::now_utc()),
)

78
daemon/src/model.rs
View File

@ -4,6 +4,7 @@ use bdk::bitcoin::{Address, Amount};
use reqwest::Url;
use rust_decimal::prelude::ToPrimitive;
use rust_decimal::Decimal;
use rust_decimal_macros::dec;
use serde::{Deserialize, Serialize};
use serde_with::{DeserializeFromStr, SerializeDisplay};
use std::time::SystemTime;
@ -13,10 +14,14 @@ use uuid::Uuid;
pub mod cfd;
#[derive(Debug, Copy, Clone, Serialize, Deserialize, PartialEq, PartialOrd)]
pub struct Usd(pub Decimal);
#[derive(Debug, Copy, Clone, PartialEq, PartialOrd)]
pub struct Usd(Decimal);
impl Usd {
pub fn new(dec: Decimal) -> Self {
Self(dec)
}
pub fn checked_add(&self, other: Usd) -> Result<Usd> {
let result = self.0.checked_add(other.0).context("addition error")?;
Ok(Usd(result))
@ -27,6 +32,7 @@ impl Usd {
Ok(Usd(result))
}
// TODO: Usd * Usd = Usd^2 not Usd !!!
pub fn checked_mul(&self, other: Usd) -> Result<Usd> {
let result = self
.0
@ -43,6 +49,35 @@ impl Usd {
pub fn try_into_u64(&self) -> Result<u64> {
self.0.to_u64().context("could not fit decimal into u64")
}
pub fn half(&self) -> Usd {
let half = self
.0
.checked_div(dec!(2))
.expect("can always divide by two");
Usd(half)
}
}
impl Serialize for Usd {
fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
where
S: serde::Serializer,
{
<Decimal as Serialize>::serialize(&self.0.round_dp(2), serializer)
}
}
impl<'de> Deserialize<'de> for Usd {
fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
where
D: serde::Deserializer<'de>,
{
let dec = <Decimal as Deserialize>::deserialize(deserializer)?.round_dp(2);
Ok(Usd(dec))
}
}
impl fmt::Display for Usd {
@ -57,8 +92,8 @@ impl From<Decimal> for Usd {
}
}
#[derive(Debug, Copy, Clone, Serialize, Deserialize, PartialEq)]
pub struct Percent(pub Decimal);
#[derive(Debug, Copy, Clone, PartialEq)]
pub struct Percent(Decimal);
impl fmt::Display for Percent {
fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result {
@ -66,6 +101,26 @@ impl fmt::Display for Percent {
}
}
impl Serialize for Percent {
fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
where
S: serde::Serializer,
{
<Decimal as Serialize>::serialize(&self.0.round_dp(2), serializer)
}
}
impl<'de> Deserialize<'de> for Percent {
fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
where
D: serde::Deserializer<'de>,
{
let dec = <Decimal as Deserialize>::deserialize(deserializer)?.round_dp(2);
Ok(Percent(dec))
}
}
impl From<Decimal> for Percent {
fn from(decimal: Decimal) -> Self {
Percent(decimal)
@ -186,10 +241,25 @@ impl str::FromStr for BitMexPriceEventId {
#[cfg(test)]
mod tests {
use serde_test::{assert_de_tokens, assert_ser_tokens, Token};
use time::macros::datetime;
use super::*;
#[test]
fn usd_serializes_with_only_cents() {
let usd = Usd::new(dec!(1000.12345));
assert_ser_tokens(&usd, &[Token::Str("1000.12")]);
}
#[test]
fn usd_deserializes_trims_precision() {
let usd = Usd::new(dec!(1000.12));
assert_de_tokens(&usd, &[Token::Str("1000.12345")]);
}
#[test]
fn to_olivia_url() {
let url = BitMexPriceEventId::with_20_digits(datetime!(2021-09-23 10:00:00).assume_utc())

18
daemon/src/payout_curve.rs
View File

@ -503,9 +503,12 @@ mod tests {
#[test]
fn calculate_snapshot() {
let actual_payouts =
calculate_payout_parameters(Usd(dec!(54000.00)), Usd(dec!(3500.00)), Leverage(5))
.unwrap();
let actual_payouts = calculate_payout_parameters(
Usd::new(dec!(54000.00)),
Usd::new(dec!(3500.00)),
Leverage(5),
)
.unwrap();
let expected_payouts = vec![
payout(0..=45000, 7777777, 0),
@ -716,9 +719,12 @@ mod tests {
#[test]
fn verfiy_tails() {
let actual_payouts =
calculate_payout_parameters(Usd(dec!(54000.00)), Usd(dec!(3500.00)), Leverage(5))
.unwrap();
let actual_payouts = calculate_payout_parameters(
Usd::new(dec!(54000.00)),
Usd::new(dec!(3500.00)),
Leverage(5),
)
.unwrap();
let lower_tail = payout(0..=45000, 7777777, 0);
let upper_tail = payout(107765..=108000, 3240740, 4537037);

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