service backend

api/fx/oracle/internal/service/oracle/cross.go

@@ -0,0 +1,221 @@
+package oracle
+
+import (
+	"context"
+	"fmt"
+	"math/big"
+	"strings"
+	"time"
+
+	"github.com/tech/sendico/fx/storage/model"
+	"github.com/tech/sendico/pkg/merrors"
+)
+
+type priceSet struct {
+	bid *big.Rat
+	ask *big.Rat
+	mid *big.Rat
+}
+
+func (s *Service) computeCrossRate(ctx context.Context, pair *model.Pair, provider string) (*model.RateSnapshot, error) {
+	if pair == nil || pair.Cross == nil || !pair.Cross.Enabled {
+		return nil, merrors.ErrNoData
+	}
+
+	baseSnap, err := s.fetchCrossLegSnapshot(ctx, pair.Cross.BaseLeg, provider)
+	if err != nil {
+		return nil, err
+	}
+	quoteSnap, err := s.fetchCrossLegSnapshot(ctx, pair.Cross.QuoteLeg, provider)
+	if err != nil {
+		return nil, err
+	}
+
+	basePrices, err := buildPriceSet(baseSnap)
+	if err != nil {
+		return nil, err
+	}
+	quotePrices, err := buildPriceSet(quoteSnap)
+	if err != nil {
+		return nil, err
+	}
+
+	if pair.Cross.BaseLeg.Invert {
+		basePrices, err = invertPriceSet(basePrices)
+		if err != nil {
+			return nil, err
+		}
+	}
+	if pair.Cross.QuoteLeg.Invert {
+		quotePrices, err = invertPriceSet(quotePrices)
+		if err != nil {
+			return nil, err
+		}
+	}
+
+	result := multiplyPriceSets(basePrices, quotePrices)
+	if result.ask.Cmp(result.bid) < 0 {
+		result.ask, result.bid = result.bid, result.ask
+	}
+
+	spread := calcSpreadBps(result)
+
+	asOfMs := minNonZero(baseSnap.AsOfUnixMs, quoteSnap.AsOfUnixMs)
+	if asOfMs == 0 {
+		asOfMs = time.Now().UnixMilli()
+	}
+	asOf := time.UnixMilli(asOfMs)
+
+	rateRef := fmt.Sprintf("cross|%s/%s|%s|%s+%s", pair.Pair.Base, pair.Pair.Quote, provider, baseSnap.RateRef, quoteSnap.RateRef)
+
+	return &model.RateSnapshot{
+		RateRef:     rateRef,
+		Pair:        pair.Pair,
+		Provider:    provider,
+		Mid:         formatPrice(result.mid),
+		Bid:         formatPrice(result.bid),
+		Ask:         formatPrice(result.ask),
+		SpreadBps:   formatPrice(spread),
+		AsOfUnixMs:  asOfMs,
+		AsOf:        &asOf,
+		Source:      "cross_rate",
+		ProviderRef: rateRef,
+	}, nil
+}
+
+func (s *Service) fetchCrossLegSnapshot(ctx context.Context, leg model.CrossRateLeg, fallbackProvider string) (*model.RateSnapshot, error) {
+	provider := fallbackProvider
+	if strings.TrimSpace(leg.Provider) != "" {
+		provider = leg.Provider
+	}
+	if provider == "" {
+		return nil, merrors.InvalidArgument("oracle: cross leg provider missing")
+	}
+	return s.storage.Rates().LatestSnapshot(ctx, leg.Pair, provider)
+}
+
+func buildPriceSet(rate *model.RateSnapshot) (priceSet, error) {
+	if rate == nil {
+		return priceSet{}, merrors.InvalidArgument("oracle: cross rate requires underlying snapshot")
+	}
+	ask, err := parsePrice(rate.Ask)
+	if err != nil {
+		return priceSet{}, err
+	}
+	bid, err := parsePrice(rate.Bid)
+	if err != nil {
+		return priceSet{}, err
+	}
+	mid, err := parsePrice(rate.Mid)
+	if err != nil {
+		return priceSet{}, err
+	}
+
+	if ask == nil && bid == nil {
+		if mid == nil {
+			return priceSet{}, merrors.InvalidArgument("oracle: cross rate snapshot missing price data")
+		}
+		ask = new(big.Rat).Set(mid)
+		bid = new(big.Rat).Set(mid)
+	}
+	if ask == nil && mid != nil {
+		ask = new(big.Rat).Set(mid)
+	}
+	if bid == nil && mid != nil {
+		bid = new(big.Rat).Set(mid)
+	}
+	if ask == nil || bid == nil {
+		return priceSet{}, merrors.InvalidArgument("oracle: cross rate snapshot missing bid/ask data")
+	}
+
+	ps := priceSet{
+		bid: new(big.Rat).Set(bid),
+		ask: new(big.Rat).Set(ask),
+		mid: averageOrMid(bid, ask, mid),
+	}
+	if ps.ask.Cmp(ps.bid) < 0 {
+		ps.ask, ps.bid = ps.bid, ps.ask
+	}
+	return ps, nil
+}
+
+func parsePrice(value string) (*big.Rat, error) {
+	if strings.TrimSpace(value) == "" {
+		return nil, nil
+	}
+	return ratFromString(value)
+}
+
+func averageOrMid(bid, ask, mid *big.Rat) *big.Rat {
+	if mid != nil {
+		return new(big.Rat).Set(mid)
+	}
+	sum := new(big.Rat).Add(bid, ask)
+	return sum.Quo(sum, big.NewRat(2, 1))
+}
+
+func invertPriceSet(ps priceSet) (priceSet, error) {
+	if ps.ask.Sign() == 0 || ps.bid.Sign() == 0 {
+		return priceSet{}, merrors.InvalidArgument("oracle: cannot invert zero price")
+	}
+	one := big.NewRat(1, 1)
+	invBid := new(big.Rat).Quo(one, ps.ask)
+	invAsk := new(big.Rat).Quo(one, ps.bid)
+	var invMid *big.Rat
+	if ps.mid != nil && ps.mid.Sign() != 0 {
+		invMid = new(big.Rat).Quo(one, ps.mid)
+	} else {
+		invMid = averageOrMid(invBid, invAsk, nil)
+	}
+	result := priceSet{
+		bid: invBid,
+		ask: invAsk,
+		mid: invMid,
+	}
+	if result.ask.Cmp(result.bid) < 0 {
+		result.ask, result.bid = result.bid, result.ask
+	}
+	return result, nil
+}
+
+func multiplyPriceSets(a, b priceSet) priceSet {
+	result := priceSet{
+		bid: mulRat(a.bid, b.bid),
+		ask: mulRat(a.ask, b.ask),
+	}
+	result.mid = averageOrMid(result.bid, result.ask, nil)
+	return result
+}
+
+func calcSpreadBps(ps priceSet) *big.Rat {
+	if ps.mid == nil || ps.mid.Sign() == 0 {
+		return nil
+	}
+	spread := new(big.Rat).Sub(ps.ask, ps.bid)
+	if spread.Sign() < 0 {
+		spread.Neg(spread)
+	}
+	spread.Quo(spread, ps.mid)
+	spread.Mul(spread, big.NewRat(10000, 1))
+	return spread
+}
+
+func minNonZero(values ...int64) int64 {
+	var result int64
+	for _, v := range values {
+		if v <= 0 {
+			continue
+		}
+		if result == 0 || v < result {
+			result = v
+		}
+	}
+	return result
+}
+
+func formatPrice(r *big.Rat) string {
+	if r == nil {
+		return ""
+	}
+	return r.FloatString(8)
+}