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Make sure the rate of the merchant is using the ask of a divided exchange

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This commit is contained in:
nicolas.dorier 2018-05-23 02:18:38 +09:00
parent ead67887ab
commit ba3d13d56c
9 changed files with 253 additions and 48 deletions
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6
BTCPayServer.Tests/BTCPayServerTester.cs
View file

@ -129,19 +129,19 @@ namespace BTCPayServer.Tests
{
Exchange = "coinaverage",
CurrencyPair = CurrencyPair.Parse("BTC_USD"),
Value = 5000m
BidAsk = new BidAsk(5000m)
});
coinAverageMock.ExchangeRates.Add(new Rating.ExchangeRate()
{
Exchange = "coinaverage",
CurrencyPair = CurrencyPair.Parse("BTC_CAD"),
Value = 4500m
BidAsk = new BidAsk(4500m)
});
coinAverageMock.ExchangeRates.Add(new Rating.ExchangeRate()
{
Exchange = "coinaverage",
CurrencyPair = CurrencyPair.Parse("LTC_USD"),
Value = 500m
BidAsk = new BidAsk(500m)
});
rateProvider.DirectProviders.Add("coinaverage", coinAverageMock);
}

24
BTCPayServer.Tests/RateRulesTest.cs
View file

@ -94,12 +94,12 @@ namespace BTCPayServer.Tests
Assert.Equal(test.ExpectedExchangeRates, string.Join(',', rule.ExchangeRates.OfType<object>().ToArray()));
}
var rule2 = rules.GetRuleFor(CurrencyPair.Parse("DOGE_CAD"));
rule2.ExchangeRates.SetRate("bittrex", CurrencyPair.Parse("DOGE_BTC"), 5000);
rule2.ExchangeRates.SetRate("bittrex", CurrencyPair.Parse("DOGE_BTC"), new BidAsk(5000m));
rule2.Reevaluate();
Assert.True(rule2.HasError);
Assert.Equal("5000 * ERR_RATE_UNAVAILABLE(coinbase, BTC_CAD) * 1.1", rule2.ToString(true));
Assert.Equal("bittrex(DOGE_BTC) * coinbase(BTC_CAD) * 1.1", rule2.ToString(false));
rule2.ExchangeRates.SetRate("coinbase", CurrencyPair.Parse("BTC_CAD"), 2000.4m);
rule2.ExchangeRates.SetRate("coinbase", CurrencyPair.Parse("BTC_CAD"), new BidAsk(2000.4m));
rule2.Reevaluate();
Assert.False(rule2.HasError);
Assert.Equal("5000 * 2000.4 * 1.1", rule2.ToString(true));
@ -116,7 +116,7 @@ namespace BTCPayServer.Tests
rule2 = rules.GetRuleFor(CurrencyPair.Parse("DOGE_USD"));
Assert.Equal("(2000 * (-3 + coinbase(BTC_CAD) + 50 - 5)) * 1.1", rule2.ToString());
rule2.ExchangeRates.SetRate("coinbase", CurrencyPair.Parse("BTC_CAD"), 1000m);
rule2.ExchangeRates.SetRate("coinbase", CurrencyPair.Parse("BTC_CAD"), new BidAsk(1000m));
Assert.True(rule2.Reevaluate());
Assert.Equal("(2000 * (-3 + 1000 + 50 - 5)) * 1.1", rule2.ToString(true));
Assert.Equal((2000m * (-3m + 1000m + 50m - 5m)) * 1.1m, rule2.Value.Value);
@ -124,7 +124,7 @@ namespace BTCPayServer.Tests
// Test inverse
rule2 = rules.GetRuleFor(CurrencyPair.Parse("USD_DOGE"));
Assert.Equal("(1 / (2000 * (-3 + coinbase(BTC_CAD) + 50 - 5))) * 1.1", rule2.ToString());
rule2.ExchangeRates.SetRate("coinbase", CurrencyPair.Parse("BTC_CAD"), 1000m);
rule2.ExchangeRates.SetRate("coinbase", CurrencyPair.Parse("BTC_CAD"), new BidAsk(1000m));
Assert.True(rule2.Reevaluate());
Assert.Equal("(1 / (2000 * (-3 + 1000 + 50 - 5))) * 1.1", rule2.ToString(true));
Assert.Equal(( 1.0m / (2000m * (-3m + 1000m + 50m - 5m))) * 1.1m, rule2.Value.Value);
@ -135,8 +135,22 @@ namespace BTCPayServer.Tests
builder.AppendLine("BTC_USD = kraken(BTC_USD)");
Assert.True(RateRules.TryParse(builder.ToString(), out rules));
rule2 = rules.GetRuleFor(CurrencyPair.Parse("BTC_USD"));
rule2.ExchangeRates.SetRate("kraken", CurrencyPair.Parse("BTC_USD"), 1000m);
rule2.ExchangeRates.SetRate("kraken", CurrencyPair.Parse("BTC_USD"), new BidAsk(1000m));
Assert.True(rule2.Reevaluate());
// Make sure can handle pairs
builder = new StringBuilder();
builder.AppendLine("BTC_USD = kraken(BTC_USD)");
rule2 = rules.GetRuleFor(CurrencyPair.Parse("BTC_USD"));
rule2.ExchangeRates.SetRate("kraken", CurrencyPair.Parse("BTC_USD"), new BidAsk(6000m, 6100m));
Assert.True(rule2.Reevaluate());
Assert.Equal("(6000, 6100)", rule2.ToString(true));
Assert.Equal(6000m, rule2.Value.Value);
rule2 = rules.GetRuleFor(CurrencyPair.Parse("USD_BTC"));
rule2.ExchangeRates.SetRate("kraken", CurrencyPair.Parse("BTC_USD"), new BidAsk(6000m, 6100m));
Assert.True(rule2.Reevaluate());
Assert.Equal("1 / (6000, 6100)", rule2.ToString(true));
Assert.Equal(1m/6100m, rule2.Value.Value);
}
}
}

10
BTCPayServer.Tests/UnitTest1.cs
View file

@ -1464,10 +1464,10 @@ namespace BTCPayServer.Tests
var quadri = new QuadrigacxRateProvider();
var rates = quadri.GetRatesAsync().GetAwaiter().GetResult();
Assert.NotEmpty(rates);
Assert.NotEqual(0.0m, rates.First().Value);
Assert.NotEqual(0.0m, rates.GetRate(QuadrigacxRateProvider.QuadrigacxName, CurrencyPair.Parse("BTC_CAD")).Value);
Assert.NotEqual(0.0m, rates.GetRate(QuadrigacxRateProvider.QuadrigacxName, CurrencyPair.Parse("BTC_USD")).Value);
Assert.NotEqual(0.0m, rates.GetRate(QuadrigacxRateProvider.QuadrigacxName, CurrencyPair.Parse("LTC_CAD")).Value);
Assert.NotEqual(0.0m, rates.First().BidAsk.Bid);
Assert.NotEqual(0.0m, rates.GetRate(QuadrigacxRateProvider.QuadrigacxName, CurrencyPair.Parse("BTC_CAD")).Bid);
Assert.NotEqual(0.0m, rates.GetRate(QuadrigacxRateProvider.QuadrigacxName, CurrencyPair.Parse("BTC_USD")).Bid);
Assert.NotEqual(0.0m, rates.GetRate(QuadrigacxRateProvider.QuadrigacxName, CurrencyPair.Parse("LTC_CAD")).Bid);
Assert.Null(rates.GetRate(QuadrigacxRateProvider.QuadrigacxName, CurrencyPair.Parse("LTC_USD")));
}
@ -1492,7 +1492,7 @@ namespace BTCPayServer.Tests
e => (e.CurrencyPair == new CurrencyPair("BTC", "USD") ||
e.CurrencyPair == new CurrencyPair("BTC", "EUR") ||
e.CurrencyPair == new CurrencyPair("BTC", "USDT"))
&& e.Value > 1.0m // 1BTC will always be more than 1USD
&& e.BidAsk.Bid > 1.0m // 1BTC will always be more than 1USD
);
}
}

148
BTCPayServer/Rating/ExchangeRates.cs
View file

@ -41,9 +41,9 @@ namespace BTCPayServer.Rating
}
else
{
if (rate.Value.HasValue)
if (rate.BidAsk != null)
{
_AllRates[key].Value = rate.Value;
_AllRates[key].BidAsk = rate.BidAsk;
}
}
}
@ -58,39 +58,167 @@ namespace BTCPayServer.Rating
return GetEnumerator();
}
public void SetRate(string exchangeName, CurrencyPair currencyPair, decimal value)
public void SetRate(string exchangeName, CurrencyPair currencyPair, BidAsk bidAsk)
{
if (ByExchange.TryGetValue(exchangeName, out var rates))
{
var rate = rates.FirstOrDefault(r => r.CurrencyPair == currencyPair);
if (rate != null)
rate.Value = value;
rate.BidAsk = bidAsk;
}
}
public decimal? GetRate(string exchangeName, CurrencyPair currencyPair)
public BidAsk GetRate(string exchangeName, CurrencyPair currencyPair)
{
if (currencyPair.Left == currencyPair.Right)
return 1.0m;
return BidAsk.One;
if (ByExchange.TryGetValue(exchangeName, out var rates))
{
var rate = rates.FirstOrDefault(r => r.CurrencyPair == currencyPair);
if (rate != null)
return rate.Value;
return rate.BidAsk;
}
return null;
}
}
public class BidAsk
{
private readonly static BidAsk _One = new BidAsk(1.0m);
public static BidAsk One
{
get
{
return _One;
}
}
private readonly static BidAsk _Zero = new BidAsk(0.0m);
public static BidAsk Zero
{
get
{
return _Zero;
}
}
public BidAsk(decimal bid, decimal ask)
{
if (bid > ask)
throw new ArgumentException("the bid should be lower than ask", nameof(bid));
_Ask = ask;
_Bid = bid;
}
public BidAsk(decimal v) : this(v, v)
{
}
private readonly decimal _Bid;
public decimal Bid
{
get
{
return _Bid;
}
}
private readonly decimal _Ask;
public decimal Ask
{
get
{
return _Ask;
}
}
public BidAsk Inverse()
{
return new BidAsk(1.0m / Ask, 1.0m / Bid);
}
public static BidAsk operator+(BidAsk a, BidAsk b)
{
return new BidAsk(a.Bid + b.Bid, a.Ask + b.Ask);
}
public static BidAsk operator +(BidAsk a)
{
return new BidAsk(a.Bid, a.Ask);
}
public static BidAsk operator -(BidAsk a)
{
return new BidAsk(-a.Bid, -a.Ask);
}
public static BidAsk operator *(BidAsk a, BidAsk b)
{
return new BidAsk(a.Bid * b.Bid, a.Ask * b.Ask);
}
public static BidAsk operator /(BidAsk a, BidAsk b)
{
// This one is tricky.
// BTC_EUR = (6000, 6100)
// Implicit rule give
// EUR_BTC = 1 / BTC_EUR
// Or
// EUR_BTC = (1, 1) / BTC_EUR
// Naive calculation would give us ( 1/6000, 1/6100) = (0.000166, 0.000163)
// However, this is an invalid BidAsk!!! because 0.000166 > 0.000163
// So instead, we need to calculate (1/6100, 1/6000)
return new BidAsk(a.Bid / b.Ask, a.Ask / b.Bid);
}
public static BidAsk operator-(BidAsk a, BidAsk b)
{
return new BidAsk(a.Bid - b.Bid, a.Ask - b.Ask);
}
public override bool Equals(object obj)
{
BidAsk item = obj as BidAsk;
if (item == null)
return false;
return Bid == item.Bid && Ask == item.Ask;
}
public static bool operator ==(BidAsk a, BidAsk b)
{
if (System.Object.ReferenceEquals(a, b))
return true;
if (((object)a == null) || ((object)b == null))
return false;
return a.Bid == b.Bid && a.Ask == b.Ask;
}
public static bool operator !=(BidAsk a, BidAsk b)
{
return !(a == b);
}
public override int GetHashCode()
{
return ToString().GetHashCode(StringComparison.InvariantCulture);
}
public override string ToString()
{
if (Bid == Ask)
return Bid.ToString(CultureInfo.InvariantCulture);
return $"({Bid.ToString(CultureInfo.InvariantCulture)} , {Ask.ToString(CultureInfo.InvariantCulture)})";
}
}
public class ExchangeRate
{
public string Exchange { get; set; }
public CurrencyPair CurrencyPair { get; set; }
public decimal? Value { get; set; }
public BidAsk BidAsk { get; set; }
public override string ToString()
{
if (Value == null)
if (BidAsk == null)
return $"{Exchange}({CurrencyPair})";
return $"{Exchange}({CurrencyPair}) == {Value.Value.ToString(CultureInfo.InvariantCulture)}";
return $"{Exchange}({CurrencyPair}) == {BidAsk.ToString()}";
}
}
}

55
BTCPayServer/Rating/RateRules.cs
View file

@ -18,6 +18,7 @@ namespace BTCPayServer.Rating
UnsupportedOperator,
MissingArgument,
DivideByZero,
InvalidNegative,
PreprocessError,
RateUnavailable,
InvalidExchangeName,
@ -139,7 +140,7 @@ namespace BTCPayServer.Rating
}
return new RateRule(this, currencyPair, candidate);
}
public ExpressionSyntax FindBestCandidate(CurrencyPair p)
{
var invP = p.Inverse();
@ -216,8 +217,7 @@ namespace BTCPayServer.Rating
}
else
{
var token = SyntaxFactory.ParseToken(rate.Value.ToString(CultureInfo.InvariantCulture));
return SyntaxFactory.LiteralExpression(SyntaxKind.NumericLiteralExpression, token);
return RateRules.CreateExpression(rate.ToString());
}
}
}
@ -225,7 +225,7 @@ namespace BTCPayServer.Rating
class CalculateWalker : CSharpSyntaxWalker
{
public Stack<decimal> Values = new Stack<decimal>();
public Stack<BidAsk> Values = new Stack<BidAsk>();
public List<RateRulesErrors> Errors = new List<RateRulesErrors>();
public override void VisitPrefixUnaryExpression(PrefixUnaryExpressionSyntax node)
@ -254,7 +254,15 @@ namespace BTCPayServer.Rating
switch (node.Kind())
{
case SyntaxKind.UnaryMinusExpression:
Values.Push(-Values.Pop());
var v = Values.Pop();
if(v.Bid == v.Ask)
{
Values.Push(-v);
}
else
{
Errors.Add(RateRulesErrors.InvalidNegative);
}
break;
case SyntaxKind.UnaryPlusExpression:
Values.Push(+Values.Pop());
@ -299,7 +307,7 @@ namespace BTCPayServer.Rating
Values.Push(a * b);
break;
case SyntaxKind.DivideExpression:
if (b == decimal.Zero)
if (a.Ask == decimal.Zero || b.Ask == decimal.Zero)
{
Errors.Add(RateRulesErrors.DivideByZero);
}
@ -309,19 +317,48 @@ namespace BTCPayServer.Rating
}
break;
case SyntaxKind.SubtractExpression:
Values.Push(a - b);
if (b.Bid == b.Ask)
{
Values.Push(a - b);
}
else
{
Errors.Add(RateRulesErrors.InvalidNegative);
}
break;
default:
throw new NotSupportedException("Should never happen");
}
}
Stack<decimal> _TupleValues = null;
public override void VisitTupleExpression(TupleExpressionSyntax node)
{
_TupleValues = new Stack<decimal>();
base.VisitTupleExpression(node);
if(_TupleValues.Count != 2)
{
Errors.Add(RateRulesErrors.MissingArgument);
}
else
{
var ask = _TupleValues.Pop();
var bid = _TupleValues.Pop();
Values.Push(new BidAsk(bid, ask));
}
_TupleValues = null;
}
public override void VisitLiteralExpression(LiteralExpressionSyntax node)
{
switch (node.Kind())
{
case SyntaxKind.NumericLiteralExpression:
Values.Push(decimal.Parse(node.ToString(), CultureInfo.InvariantCulture));
var v = decimal.Parse(node.ToString(), CultureInfo.InvariantCulture);
if (_TupleValues == null)
Values.Push(new BidAsk(v));
else
_TupleValues.Push(v);
break;
}
}
@ -487,7 +524,7 @@ namespace BTCPayServer.Rating
Errors.AddRange(calculate.Errors);
return false;
}
_Value = calculate.Values.Pop();
_Value = calculate.Values.Pop().Bid;
_EvaluatedNode = result;
return true;
}

2
BTCPayServer/Services/Rates/BitpayRateProvider.cs
View file

@ -24,7 +24,7 @@ namespace BTCPayServer.Services.Rates
{
return new ExchangeRates((await _Bitpay.GetRatesAsync().ConfigureAwait(false))
.AllRates
.Select(r => new ExchangeRate() { Exchange = BitpayName, CurrencyPair = new CurrencyPair("BTC", r.Code), Value = r.Value })
.Select(r => new ExchangeRate() { Exchange = BitpayName, CurrencyPair = new CurrencyPair("BTC", r.Code), BidAsk = new BidAsk(r.Value) })
.ToList());
}
}

34
BTCPayServer/Services/Rates/CoinAverageRateProvider.cs
View file

@ -54,7 +54,7 @@ namespace BTCPayServer.Services.Rates
public const string CoinAverageName = "coinaverage";
public CoinAverageRateProvider()
{
}
static HttpClient _Client = new HttpClient();
@ -69,10 +69,30 @@ namespace BTCPayServer.Services.Rates
public ICoinAverageAuthenticator Authenticator { get; set; }
private bool TryToDecimal(JProperty p, out decimal v)
private bool TryToBidAsk(JProperty p, out BidAsk bidAsk)
{
JToken token = p.Value[Exchange == CoinAverageName ? "last" : "bid"];
return decimal.TryParse(token.Value<string>(), System.Globalization.NumberStyles.AllowExponent | System.Globalization.NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out v);
bidAsk = null;
if (Exchange == CoinAverageName)
{
JToken last = p.Value["last"];
if (!decimal.TryParse(last.Value<string>(), System.Globalization.NumberStyles.AllowExponent | System.Globalization.NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out var v) ||
v <= 0)
return false;
bidAsk = new BidAsk(v);
return true;
}
else
{
JToken bid = p.Value["bid"];
JToken ask = p.Value["bid"];
if (!decimal.TryParse(bid.Value<string>(), System.Globalization.NumberStyles.AllowExponent | System.Globalization.NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out var v1) ||
!decimal.TryParse(ask.Value<string>(), System.Globalization.NumberStyles.AllowExponent | System.Globalization.NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out var v2) ||
v1 > v2 ||
v1 <= 0 || v2 <= 0)
return false;
bidAsk = new BidAsk(v1, v2);
return true;
}
}
public async Task<ExchangeRates> GetRatesAsync()
@ -108,10 +128,10 @@ namespace BTCPayServer.Services.Rates
{
ExchangeRate exchangeRate = new ExchangeRate();
exchangeRate.Exchange = Exchange;
if (!TryToDecimal(prop, out decimal value))
if (!TryToBidAsk(prop, out var value))
continue;
exchangeRate.Value = value;
if(CurrencyPair.TryParse(prop.Name, out var pair))
exchangeRate.BidAsk = value;
if (CurrencyPair.TryParse(prop.Name, out var pair))
{
exchangeRate.CurrencyPair = pair;
exchangeRates.Add(exchangeRate);

2
BTCPayServer/Services/Rates/ExchangeSharpRateProvider.cs
View file

@ -61,7 +61,7 @@ namespace BTCPayServer.Services.Rates
var rate = new ExchangeRate();
rate.CurrencyPair = pair;
rate.Exchange = _ExchangeName;
rate.Value = ticker.Value.Bid;
rate.BidAsk = new BidAsk(ticker.Value.Bid, ticker.Value.Ask);
return rate;
}
catch (ArgumentException)

20
BTCPayServer/Services/Rates/QuadrigacxRateProvider.cs
View file

@ -14,13 +14,19 @@ namespace BTCPayServer.Services.Rates
public const string QuadrigacxName = "quadrigacx";
static HttpClient _Client = new HttpClient();
private bool TryToDecimal(JObject p, out decimal v)
private bool TryToBidAsk(JObject p, out BidAsk v)
{
v = 0.0m;
JToken token = p.Property("bid")?.Value;
if (token == null)
v = null;
JToken bid = p.Property("bid")?.Value;
JToken ask = p.Property("ask")?.Value;
if (bid == null || ask == null)
return false;
return decimal.TryParse(token.Value<string>(), System.Globalization.NumberStyles.AllowExponent | System.Globalization.NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out v);
if (!decimal.TryParse(bid.Value<string>(), System.Globalization.NumberStyles.AllowExponent | System.Globalization.NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out var v1) ||
!decimal.TryParse(bid.Value<string>(), System.Globalization.NumberStyles.AllowExponent | System.Globalization.NumberStyles.AllowDecimalPoint, CultureInfo.InvariantCulture, out var v2) ||
v1 <= 0m || v2 <= 0m || v1 > v2)
return false;
v = new BidAsk(v1, v2);
return true;
}
public async Task<ExchangeRates> GetRatesAsync()
@ -37,9 +43,9 @@ namespace BTCPayServer.Services.Rates
continue;
rate.CurrencyPair = pair;
rate.Exchange = QuadrigacxName;
if (!TryToDecimal((JObject)prop.Value, out var v))
if (!TryToBidAsk((JObject)prop.Value, out var v))
continue;
rate.Value = v;
rate.BidAsk = v;
exchangeRates.Add(rate);
}
return exchangeRates;