Add stale price check: check current slot when parsing price data (#20)

- Checks current slot when parsing a Price account and set status to unknown if price is stale. Being stale means it is not updated in `MAX_SLOT_DIFFERENCE` slots (currently 25).
- Adds status field in PriceData to access the current status (considering price getting stale) easier.
- Also converts Some type/status structs to enums to be able to use them in a cleaner way. It's backward compatible.

Author: ali-behjati

README.md

@@ -31,7 +31,7 @@ const pythConnection = new PythConnection(solanaWeb3Connection, getPythProgramKe
 pythConnection.onPriceChange((product, price) => {
   // sample output:
   // SRM/USD: $8.68725 ±$0.0131
-  console.log(`${product.symbol}: $${price.price} \xB1$${price.confidence}`)
+  console.log(`${product.symbol}: $${price.price} \xB1$${price.confidence} Status: ${PriceStatus[price.status]}`)
 })
 
 // Start listening for price change events.

package-lock.json

@@ -12,6 +12,8 @@ import {
   ProductData,
   Version,
   AccountType,
+  MAX_SLOT_DIFFERENCE,
+  PriceStatus,
 } from './index'
 
 const ONES = '11111111111111111111111111111111'
@@ -44,7 +46,7 @@ export class PythConnection {
     }
   }
 
-  private handlePriceAccount(key: PublicKey, account: AccountInfo<Buffer>) {
+  private handlePriceAccount(key: PublicKey, account: AccountInfo<Buffer>, slot: number) {
     const product = this.productAccountKeyToProduct[this.priceAccountKeyToProductAccountKey[key.toString()]]
     if (product === undefined) {
       // This shouldn't happen since we're subscribed to all of the program's accounts,
@@ -54,29 +56,30 @@ export class PythConnection {
       )
     }
 
-    const priceData = parsePriceData(account.data)
+    const priceData = parsePriceData(account.data, slot)
+
     for (const callback of this.callbacks) {
       callback(product, priceData)
     }
   }
 
-  private handleAccount(key: PublicKey, account: AccountInfo<Buffer>, productOnly: boolean) {
+  private handleAccount(key: PublicKey, account: AccountInfo<Buffer>, productOnly: boolean, slot: number) {
     const base = parseBaseData(account.data)
     // The pyth program owns accounts that don't contain pyth data, which we can safely ignore.
     if (base) {
-      switch (AccountType[base.type]) {
-        case 'Mapping':
+      switch (base.type) {
+        case AccountType.Mapping:
           // We can skip these because we're going to get every account owned by this program anyway.
           break
-        case 'Product':
+        case AccountType.Product:
           this.handleProductAccount(key, account)
           break
-        case 'Price':
+        case AccountType.Price:
           if (!productOnly) {
-            this.handlePriceAccount(key, account)
+            this.handlePriceAccount(key, account, slot)
           }
           break
-        case 'Test':
+        case AccountType.Test:
           break
         default:
           throw new Error(`Unknown account type: ${base.type}. Try upgrading pyth-client.`)
@@ -98,14 +101,15 @@ export class PythConnection {
    */
   public async start() {
     const accounts = await this.connection.getProgramAccounts(this.pythProgramKey, this.commitment)
+    const currentSlot = await this.connection.getSlot(this.commitment)
     for (const account of accounts) {
-      this.handleAccount(account.pubkey, account.account, true)
+      this.handleAccount(account.pubkey, account.account, true, currentSlot)
     }
 
     this.connection.onProgramAccountChange(
       this.pythProgramKey,
       (keyedAccountInfo, context) => {
-        this.handleAccount(keyedAccountInfo.accountId, keyedAccountInfo.accountInfo, false)
+        this.handleAccount(keyedAccountInfo.accountId, keyedAccountInfo.accountInfo, false, context.slot)
       },
       this.commitment,
     )

src/PythConnection.ts

@@ -43,15 +43,16 @@ export class PythHttpClient {
     // Popolate producs and prices
     const priceDataQueue = new Array<PriceData>();
     const productAccountKeyToProduct = new Map<string, Product>();
+    const currentSlot = await this.connection.getSlot(this.commitment);
 
     accountList.forEach(singleAccount => {
       const base = parseBaseData(singleAccount.account.data);
       if (base) {
-        switch (AccountType[base.type]) {
-          case 'Mapping':
+        switch (base.type) {
+          case AccountType.Mapping:
             // We can skip these because we're going to get every account owned by this program anyway.
             break;
-          case 'Product':
+          case AccountType.Product:
             const productData = parseProductData(singleAccount.account.data)
 
             productAccountKeyToProduct.set(singleAccount.pubkey.toBase58(), productData.product)
@@ -60,11 +61,11 @@ export class PythHttpClient {
             products.add(productData.product);
             productFromSymbol.set(productData.product.symbol, productData.product);
             break;
-          case 'Price':
-            const priceData = parsePriceData(singleAccount.account.data)
+          case AccountType.Price:
+            const priceData = parsePriceData(singleAccount.account.data, currentSlot)
             priceDataQueue.push(priceData)
             break;
-          case 'Test':
+          case AccountType.Test:
             break;
           default:
             throw new Error(`Unknown account type: ${base.type}. Try upgrading pyth-client.`)

src/PythHttpClient.ts

@@ -1,5 +1,5 @@
 import { clusterApiUrl, Connection, PublicKey } from '@solana/web3.js'
-import { Magic, parseMappingData, parsePriceData, parseProductData, Version } from '../index'
+import { Magic, MAX_SLOT_DIFFERENCE, parseMappingData, parsePriceData, parseProductData, PriceStatus, Version } from '../index'
 
 test('Price', (done) => {
   jest.setTimeout(60000)
@@ -39,3 +39,69 @@ test('Price', (done) => {
       done(error)
     })
 })
+
+test('Handle price getting stale', (done) => {
+  jest.setTimeout(60000)
+
+  const b64_data = 
+      '1MOyoQIAAAADAAAAEAsAAAEAAAD4////GwAAABUAAAC6yDcHAAAAALnINwcAAAAA4Gbo+kgAAAB/BW14AQAAAHyfF3gAAAAAEF8QBg' +
+      'AAAAB8ZS16AAAAAHyfF3gAAAAAAQAAAAAAAAADAAAAAAAAAMZ5QL5A4Mx/+qGssI7j+rMJVaGX2h7Cl6sTPU1D2G7mAAAAAAAAAAAA' +
+      'AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAC4yDcHAAAAAKASKJtIAAAAWKPpBgAAAAAAAAAAAAAAAFADCptIAAAAYJmfBwAAAAABAAAAAA' +
+      'AAALrINwcAAAAA45Qx5CsqvbDhOJtnIpvcng1PorJw47e2KQXX0YVPmjUAzIpLSQAAAID7mioAAAAAAQAAAAAAAAAftTYHAAAAAADM' +
+      'iktJAAAAgPuaKgAAAAABAAAAAAAAAB+1NgcAAAAAFg+6wTr33dgF0xcKPeDGvZcSah4CwNJZ0Khu+CHW5cdABUKUSAAAAO7GFQMAAA' +
+      'AAAQAAAAAAAAC1yDcHAAAAAEAFQpRIAAAA7sYVAwAAAAABAAAAAAAAALfINwcAAAAAefrfLNzEqEaqlX3ag5+StobUMoSgAaOeei6y' +
+      '+250Ge1YoKVkWQAAAFjkyAgAAAAAAQAAAAAAAABAmaMGAAAAAFigpWRZAAAAWOTICAAAAAABAAAAAAAAAECZowYAAAAAibazYiCMIT' +
+      'lc2drXqvTlt3fSCnk7W1heG3EouJogjZfz93OeSAAAAPaTSwkAAAAAAQAAAAAAAAC0yDcHAAAAAM9xPZ5IAAAA/IxLCQAAAAABAAAA' +
+      'AAAAALfINwcAAAAAGuUCo+lCuLEcw3RJa02cXDn4DF2sH0WfNaIOwbhzCJ1AE2mbSAAAAACZDQQAAAAAAQAAAAAAAACPyDcHAAAAAC' +
+      'BXqppIAAAAYIVhBAAAAAABAAAAAAAAAJHINwcAAAAABdIGTzMc/93Kvpb6NlUk3WT0s4bohaNNFSy+rgQs6vWuk/6fSAAAACOqFQcA' +
+      'AAAAAQAAAAAAAAC1yDcHAAAAAK6T/p9IAAAA3dsNBgAAAAABAAAAAAAAALfINwcAAAAACdnkh8pVcvbU1GrqbrtPcukAy9tzmqwQXg' +
+      'CzlnP/Vh4GUx+WSAAAAD2NsRYAAAAAAQAAAAAAAAC0yDcHAAAAAJ82B5NIAAAAgD0pGQAAAAABAAAAAAAAALbINwcAAAAAqerT49NL' +
+      'zIU0uyxlDrJ6jIw/GiLWiChDKFOMQqjoI0NAm9HAPAAAAH+7Iw8AAAAAAQAAAAAAAABgMhoHAAAAAECb0cA8AAAAf7sjDwAAAAABAA' +
+      'AAAAAAAGAyGgcAAAAA4rmPJpCE1IgFEcgRXc7wT1PH4geZLgP/0SbflE3k2wRACZWNSAAAAEBCDwAAAAAAAQAAAAAAAAC1yDcHAAAA' +
+      'AEAJlY1IAAAAQEIPAAAAAAABAAAAAAAAALXINwcAAAAAB/LLOf2wKdxReE0o7xeRHZfBppyFcjobYlWzQlNDrXWAXrWbSAAAAAAtMQ' +
+      'EAAAAAAQAAAAAAAACzyDcHAAAAAIBetZtIAAAAAC0xAQAAAAABAAAAAAAAALPINwcAAAAAJP62d6a8xTc1CmcY+0DmTwuAo2S1z/fu' +
+      'ZczNVzwgzQ9jMkmaSAAAAMCuOygAAAAAAQAAAAAAAAC1yDcHAAAAAEuP0plIAAAAwK47KAAAAAABAAAAAAAAALfINwcAAAAADcO86p' +
+      'FVaXYIsF8EpwrQmkFRcqqbtfdAhzrAeCsrGkVAZ0qJSAAAAATCjLsAAAAAAQAAAAAAAADDZzYHAAAAAEBnSolIAAAABMKMuwAAAAAB' +
+      'AAAAAAAAAMNnNgcAAAAAnz6le9QJugDEDZKuVxNBwn48L37frOHCSlGxoVwxsrfgISuUSAAAAMB68gQAAAAAAQAAAAAAAACzyDcHAA' +
+      'AAAOAhK5RIAAAAwHryBAAAAAABAAAAAAAAALbINwcAAAAAQ4KPo2Gdpryu1okX3h18zpIX3scrrhIwY/97590vlj4g2VOXSAAAAC9z' +
+      'zQIAAAAAAQAAAAAAAAC1yDcHAAAAAEBxHpdIAAAASNHFAgAAAAABAAAAAAAAALfINwcAAAAAGIOxJG3aXQcXPb041WcABxWELB/Q6J' +
+      'bnCwpt0uUaT5cgYOeaSAAAAGCOngQAAAAAAQAAAAAAAACxyDcHAAAAAMBY3JlIAAAAgC+mBAAAAAABAAAAAAAAALbINwcAAAAAn2pD' +
+      'Hx87OIRmUmOPitxO8uWtC/ysp/PHeaLfwhx8dSf/ytiGSAAAAP/g9QUAAAAAAQAAAAAAAAB3yDcHAAAAAP/K2IZIAAAA/+D1BQAAAA' +
+      'ABAAAAAAAAAHfINwcAAAAAQ7d4S2+FZssyg2X7zgtARhUjuuznhRezFVwx2qM4KY/AfNCaSAAAAP8foQcAAAAAAQAAAAAAAAC0yDcH' +
+      'AAAAAKClWplIAAAAH8GoBwAAAAABAAAAAAAAALfINwcAAAAA9Z3d78wWay2JpKPM8/7Eu0uYoVG0wDf/YV67eELjPXWgGnScSAAAAO' +
+      'BRaAYAAAAAAQAAAAAAAACwyDcHAAAAAKAadJxIAAAA4FFoBgAAAAABAAAAAAAAALDINwcAAAAA0MozHPXZ7nFryMaQowCrqEA7NxQc' +
+      'tjsCZcCYwMWOY6zAhQ2bSAAAAAYqPgUAAAAAAQAAAAAAAAC1yDcHAAAAACBXqppIAAAATTbqBAAAAAABAAAAAAAAALfINwcAAAAAvF' +
+      'RslRVZlbwHP1fHn9TC4H0gHT4cvadEJLsMYazqQb7g9PmSSAAAACA//woAAAAAAQAAAAAAAAC0yDcHAAAAAOD0+ZJIAAAAID//CgAA' +
+      'AAABAAAAAAAAALfINwcAAAAAMRuB0W8DQxLQhWNGn9A26Vs6Zd9SkHugsRL/ifhdwmamhD2jSAAAAKthmBIAAAAAAQAAAAAAAAC1yD' +
+      'cHAAAAAKaEPaNIAAAAq2GYEgAAAAABAAAAAAAAALXINwcAAAAAf4BTJ2kp9OgaB+ZMWleZBpkj76iE3CdHHzO3YVCMTh/gL1KbSAAA' +
+      'AOBwcgAAAAAAAQAAAAAAAAC0yDcHAAAAAGBaDplIAAAAIMX7AAAAAAABAAAAAAAAALfINwcAAAAABHkihWa8qHaHujLYgFXDIwjMb1' +
+      'piz6Z/GIGZQeOFsrLAalaaSAAAAAB6AwoAAAAAAQAAAAAAAACxyDcHAAAAAIAoR5pIAAAAgEpdBQAAAAABAAAAAAAAALfINwcAAAAA' +
+      'fcK1rXWbYoQKtCq2nzJiCmvpYCTjfvXYuWgji0GQsGpqxReTSAAAAGQrxgkAAAAAAQAAAAAAAAC1yDcHAAAAALKht5JIAAAADJRqCQ' +
+      'AAAAABAAAAAAAAALfINwcAAAAAQzSbO2mHWTxl9wARIruF2PbxX/03UasIR4i2h2B6He3A+iaeSAAAAACVugoAAAAAAQAAAAAAAAC0' +
+      'yDcHAAAAAICdYJ1IAAAAAJW6CgAAAAABAAAAAAAAALfINwcAAAAAE3OB0D0ZD0KqsBVhd9DT6HJgQCrpXa9YKWoFPY/jselAjNWXSA' +
+      'AAAD8jBQYAAAAAAQAAAAAAAAC0yDcHAAAAAECM1ZdIAAAAPyMFBgAAAAABAAAAAAAAALfINwcAAAAAsdAzM1QQJ5F9okFqcfs4Y6PP' +
+      'cqPB7MdqSFXQjYAY9UEgV6qaSAAAAEDgBgsAAAAAAQAAAAAAAAC1yDcHAAAAAGBaDplIAAAAwObOBwAAAAABAAAAAAAAALfINwcAAA' +
+      'AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA' +
+      'AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA' +
+      'AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA' +
+      'AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA' +
+      'AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA' +
+      'AAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAAA' +
+      'AAAAAAAAAAAAAAAAAAAAAAAAAAAAAA'
+
+  const data = Buffer.from(b64_data, 'base64')
+  const price = parsePriceData(data)
+  console.log(price)
+  expect(price.magic).toBe(Magic)
+  expect(price.version).toBe(Version)
+  expect(price.status).toBe(PriceStatus.Trading);
+
+  expect(parsePriceData(data, price.aggregate.publishSlot + MAX_SLOT_DIFFERENCE).status).toBe(PriceStatus.Trading)
+
+  const stalePrice = parsePriceData(data, price.aggregate.publishSlot + MAX_SLOT_DIFFERENCE + 1)
+  expect(stalePrice.status).toBe(PriceStatus.Unknown)
+  expect(stalePrice.price).toBeUndefined()
+  expect(stalePrice.confidence).toBeUndefined()
+
+  done()
+})

src/__tests__/Price.test.ts

@@ -1,6 +1,7 @@
 import { Cluster, clusterApiUrl, Connection, PublicKey } from '@solana/web3.js'
 import { PythConnection } from './PythConnection'
 import { getPythProgramKeyForCluster } from './cluster'
+import { PriceStatus } from '.'
 
 const SOLANA_CLUSTER_NAME: Cluster = 'devnet'
 const connection = new Connection(clusterApiUrl(SOLANA_CLUSTER_NAME))
@@ -15,7 +16,7 @@ pythConnection.onPriceChange((product, price) => {
     console.log(`${product.symbol}: $${price.price} \xB1$${price.confidence}`)
   } else {
     // tslint:disable-next-line:no-console
-    console.log(`${product.symbol}: price currently unavailable`)
+    console.log(`${product.symbol}: price currently unavailable. status is ${PriceStatus[price.status]}`)
   }
 })
 

src/example_usage.ts

@@ -7,22 +7,46 @@ import { readBigInt64LE, readBigUInt64LE } from './readBig'
 export const Magic = 0xa1b2c3d4
 export const Version2 = 2
 export const Version = Version2
-export const PriceStatus = ['Unknown', 'Trading', 'Halted', 'Auction']
-export const CorpAction = ['NoCorpAct']
-export const PriceType = ['Unknown', 'Price']
-export const DeriveType = ['Unknown', 'TWAP', 'Volatility']
-export const AccountType = ['Unknown', 'Mapping', 'Product', 'Price', 'Test']
-
 /** Number of slots that can pass before a publisher's price is no longer included in the aggregate. */
 export const MAX_SLOT_DIFFERENCE = 25
 
+export enum PriceStatus {
+  Unknown,
+  Trading,
+  Halted,
+  Auction
+}
+
+export enum CorpAction {
+  NoCorpAct
+}
+
+export enum PriceType {
+  Unknown,
+  Price
+}
+
+export enum DeriveType {
+  Unknown,
+  TWAP,
+  Volatility
+}
+
+export enum AccountType {
+  Unknown,
+  Mapping,
+  Product,
+  Price,
+  Test
+}
+
 const empty32Buffer = Buffer.alloc(32)
 const PKorNull = (data: Buffer) => (data.equals(empty32Buffer) ? null : new PublicKey(data))
 
 export interface Base {
   magic: number
   version: number
-  type: number
+  type: AccountType
   size: number
 }
 
@@ -49,9 +73,9 @@ export interface Price {
   price: number
   confidenceComponent: bigint
   confidence: number
-  status: number
-  corporateAction: number
-  publishSlot: bigint
+  status: PriceStatus
+  corporateAction: CorpAction
+  publishSlot: number
 }
 
 export interface PriceComponent {
@@ -68,7 +92,7 @@ export interface Ema {
 }
 
 export interface PriceData extends Base {
-  priceType: number
+  priceType: PriceType
   exponent: number
   numComponentPrices: number
   numQuoters: number
@@ -93,14 +117,15 @@ export interface PriceData extends Base {
   drv5: number
   priceComponents: PriceComponent[]
   aggregate: Price
-  // The current price and confidence. The typical use of this interface is to consume these two fields.
+  // The current price and confidence and status. The typical use of this interface is to consume these three fields.
   // If undefined, Pyth does not currently have price information for this product. This condition can
   // happen for various reasons (e.g., US equity market is closed, or insufficient publishers), and your
   // application should handle it gracefully. Note that other raw price information fields (such as
   // aggregate.price) may be defined even if this is undefined; you most likely should not use those fields,
   // as their value can be arbitrary when this is undefined.
   price: number | undefined
   confidence: number | undefined
+  status: PriceStatus
 }
 
 /** Parse data as a generic Pyth account. Use this method if you don't know the account type. */
@@ -115,7 +140,7 @@ export function parseBaseData(data: Buffer): Base | undefined {
     // program version
     const version = data.readUInt32LE(4)
     // account type
-    const type = data.readUInt32LE(8)
+    const type: AccountType = data.readUInt32LE(8)
     // account used size
     const size = data.readUInt32LE(12)
     return { magic, version, type, size }
@@ -207,11 +232,11 @@ const parsePriceInfo = (data: Buffer, exponent: number): Price => {
   const confidenceComponent = readBigUInt64LE(data, 8)
   const confidence = Number(confidenceComponent) * 10 ** exponent
   // aggregate status
-  const status = data.readUInt32LE(16)
+  const status: PriceStatus = data.readUInt32LE(16)
   // aggregate corporate action
-  const corporateAction = data.readUInt32LE(20)
-  // aggregate publish slot
-  const publishSlot = readBigUInt64LE(data, 24)
+  const corporateAction: CorpAction = data.readUInt32LE(20)
+  // aggregate publish slot. It is converted to number to be consistent with Solana's library interface (Slot there is number)
+  const publishSlot = Number(readBigUInt64LE(data, 24))
   return {
     priceComponent,
     price,
@@ -223,7 +248,9 @@ const parsePriceInfo = (data: Buffer, exponent: number): Price => {
   }
 }
 
-export const parsePriceData = (data: Buffer): PriceData => {
+// Provide currentSlot when available to allow status to consider the case when price goes stale. It is optional because 
+// it requires an extra request to get it when it is not available which is not always efficient.
+export const parsePriceData = (data: Buffer, currentSlot?: number): PriceData => {
   // pyth magic number
   const magic = data.readUInt32LE(0)
   // program version
@@ -233,7 +260,7 @@ export const parsePriceData = (data: Buffer): PriceData => {
   // price account size
   const size = data.readUInt32LE(12)
   // price or calculation type
-  const priceType = data.readUInt32LE(16)
+  const priceType: PriceType = data.readUInt32LE(16)
   // price exponent
   const exponent = data.readInt32LE(20)
   // number of component prices
@@ -276,9 +303,17 @@ export const parsePriceData = (data: Buffer): PriceData => {
   const drv5 = Number(drv5Component) * 10 ** exponent
   const aggregate = parsePriceInfo(data.slice(208, 240), exponent)
 
+  let status = aggregate.status
+
+  if (currentSlot && status === PriceStatus.Trading) {
+    if(currentSlot - aggregate.publishSlot > MAX_SLOT_DIFFERENCE) {
+      status = PriceStatus.Unknown
+    }
+  }
+
   let price
   let confidence
-  if (aggregate.status === 1) {
+  if (status === PriceStatus.Trading) {
     price = aggregate.price
     confidence = aggregate.confidence
   }
@@ -333,6 +368,7 @@ export const parsePriceData = (data: Buffer): PriceData => {
     priceComponents,
     price,
     confidence,
+    status,
   }
 }