mango-explorer/mango/oracle.py

# # ⚠ Warning
#
# THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT
# LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN
# NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY,
# WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE
# SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
#
# [🥭 Mango Markets](https://mango.markets/) support is available at:
#   [Docs](https://docs.mango.markets/)
#   [Discord](https://discord.gg/67jySBhxrg)
#   [Twitter](https://twitter.com/mangomarkets)
#   [Github](https://github.com/blockworks-foundation)
#   [Email](mailto:hello@blockworks.foundation)

import abc
import enum
import logging
import rx
import typing

from datetime import datetime
from decimal import Decimal

from .context import Context
from .loadedmarket import LoadedMarket


# # 🥭 Oracles
#
# This file deals with fetching prices from exchanges and oracles.
#

# # 🥭 SupportedOracleFeature enum
#
# Some oracles provide a mid price. Some provide bid and ask but no mid price. Some provide a confidence score.
# Some done. This enum allows an oracle to say which features it supports.
#
class SupportedOracleFeature(enum.Flag):
    MID_PRICE = enum.auto()
    TOP_BID_AND_OFFER = enum.auto()
    CONFIDENCE = enum.auto()

    def has_feature(self, feature: "SupportedOracleFeature") -> bool:
        return (self & feature) == 0  # type: ignore[comparison-overlap]


# # 🥭 OracleSource class
#
# This class describes an oracle and can be used to tell apart `Prices` from different `Oracle`s
# apart.
#
class OracleSource:
    def __init__(
        self,
        provider_name: str,
        source_name: str,
        supports: SupportedOracleFeature,
        market: LoadedMarket,
    ) -> None:
        self.provider_name = provider_name
        self.source_name = source_name
        self.supports: SupportedOracleFeature = supports
        self.market = market

    def __str__(self) -> str:
        return f"« OracleSource '{self.source_name}' from '{self.provider_name}' for market '{self.market.fully_qualified_symbol}' [{self.supports}] »"

    def __repr__(self) -> str:
        return f"{self}"


# # 🥭 Price class
#
# This class contains all relevant info for a price.
#
class Price:
    def __init__(
        self,
        source: OracleSource,
        timestamp: datetime,
        market: LoadedMarket,
        top_bid: Decimal,
        mid_price: Decimal,
        top_ask: Decimal,
        confidence: Decimal,
    ) -> None:
        self.source: OracleSource = source
        self.timestamp: datetime = timestamp
        self.market: LoadedMarket = market
        self.top_bid: Decimal = top_bid
        self.mid_price: Decimal = mid_price
        self.top_ask: Decimal = top_ask
        self.confidence: Decimal = confidence

    @property
    def spread(self) -> Decimal:
        return (self.top_ask - self.top_bid) / 2

    def __str__(self) -> str:
        confidence = ""
        if self.source.supports & SupportedOracleFeature.CONFIDENCE:
            confidence = f" +/- {self.confidence:,.8f}"
        return f"« Price [{self.source.provider_name}] {self.market.fully_qualified_symbol} at {self.timestamp}: {self.mid_price:,.8f}{confidence} »"

    def __repr__(self) -> str:
        return f"{self}"


# # 🥭 Oracle class
#
# Derived versions of this class can fetch prices for a specific market.
#
class Oracle(metaclass=abc.ABCMeta):
    def __init__(self, name: str, market: LoadedMarket) -> None:
        self._logger: logging.Logger = logging.getLogger(self.__class__.__name__)
        self.name = name
        self.market = market

    @property
    def symbol(self) -> str:
        return self.market.symbol

    @abc.abstractmethod
    def fetch_price(self, context: Context) -> Price:
        raise NotImplementedError(
            "Oracle.fetch_price() is not implemented on the base type."
        )

    @abc.abstractmethod
    def to_streaming_observable(
        self, context: Context
    ) -> rx.core.typing.Observable[Price]:
        raise NotImplementedError(
            "Oracle.fetch_price() is not implemented on the base type."
        )

    def __str__(self) -> str:
        return f"« Oracle {self.name} [{self.market.fully_qualified_symbol}] »"

    def __repr__(self) -> str:
        return f"{self}"


# # 🥭 OracleProvider class
#
# Derived versions of this class allow creation of oracles for markets.
#
class OracleProvider(metaclass=abc.ABCMeta):
    def __init__(self, name: str) -> None:
        self.name = name

    @abc.abstractmethod
    def oracle_for_market(
        self, context: Context, market: LoadedMarket
    ) -> typing.Optional[Oracle]:
        raise NotImplementedError(
            "OracleProvider.create_oracle_for_market() is not implemented on the base type."
        )

    @abc.abstractmethod
    def all_available_symbols(self, context: Context) -> typing.Sequence[str]:
        raise NotImplementedError(
            "OracleProvider.all_available_symbols() is not implemented on the base type."
        )

    def __str__(self) -> str:
        return f"« OracleProvider {self.name} »"

    def __repr__(self) -> str:
        return f"{self}"