fix: source round (#7)

* fix: source round detection Signed-off-by: Reinis Martinsons <[email protected]> * feat: implement round updates in mean adapter Signed-off-by: Reinis Martinsons <[email protected]> * feat: add delayed source data Signed-off-by: Reinis Martinsons <[email protected]> * feat: add todos Signed-off-by: Reinis Martinsons <[email protected]> * feat: chainlink round traversal Signed-off-by: Reinis Martinsons <[email protected]> * fix: remove latest round Signed-off-by: Reinis Martinsons <[email protected]> * fix: remove latest round from mock Signed-off-by: Reinis Martinsons <[email protected]> * fix: internal function naming Signed-off-by: Reinis Martinsons <[email protected]> * fix: return round data Signed-off-by: Reinis Martinsons <[email protected]> * fix: comments Signed-off-by: Reinis Martinsons <[email protected]> * fix: return latest in source if no historical data Signed-off-by: Reinis Martinsons <[email protected]> * fix: add comment on updated at Signed-off-by: Reinis Martinsons <[email protected]> * feat: move all permission window logic to oev Signed-off-by: Reinis Martinsons <[email protected]> * feat: pass max traversal from oev Signed-off-by: Reinis Martinsons <[email protected]> --------- Signed-off-by: Reinis Martinsons <[email protected]>
UMAprotocol · Sep 11, 2023 · ff96808 · ff96808
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commit ff96808
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Showing 13 changed files with 224 additions and 41 deletions.
diff --git a/src/OevOracle.sol b/src/OevOracle.sol
@@ -1,12 +1,18 @@
 // SPDX-License-Identifier: UNLICENSED
 pragma solidity 0.8.17;
 
+import "openzeppelin-contracts/contracts/access/Ownable.sol";
 import "./interfaces/IBaseOracleAdapter.sol";
 import "./interfaces/IOevOracle.sol";
 
-abstract contract OevOracle is IOevOracle {
+abstract contract OevOracle is IOevOracle, Ownable {
     IBaseOracleAdapter public sourceAdapter;
 
+    uint256 public permissionWindow = 10 minutes;
+
+    // TODO: Test gas costs of traversing history to decide on reasonable value.
+    uint256 public maxTraversal = 10; // Max number of historical source updates to traverse.
+
     int256 public cachedLatestAnswer; // Always 18 decimals.
     uint256 public cachedLatestTimestamp;
     uint256 public lastUpdateTimestamp;
@@ -28,20 +34,34 @@ abstract contract OevOracle is IOevOracle {
     // TODO: Decide how to handle negative values. Since not all source oracles support negative values we may need to
     // limit the support only to positive values.
     function internalLatestAnswer() public view override returns (int256) {
-        if (canReturnCache(cachedLatestTimestamp, lastUpdateTimestamp)) return cachedLatestAnswer;
-        return sourceAdapter.latestAnswer();
+        if (canReturnCache(lastUpdateTimestamp)) return cachedLatestAnswer;
+        // Attempt to return latest answer as of before permission window. If this is not available return latest answer.
+        return sourceAdapter.tryLatestAnswerAt(block.timestamp - permissionWindow, maxTraversal);
     }
 
     function internalLatestTimestamp() public view override returns (uint256) {
-        if (canReturnCache(cachedLatestTimestamp, lastUpdateTimestamp)) return cachedLatestTimestamp;
-        return sourceAdapter.latestTimestamp();
+        if (canReturnCache(lastUpdateTimestamp)) return cachedLatestTimestamp;
+        // Attempt to return latest timestamp as of before permission window. If this is not available return latest timestamp.
+        return sourceAdapter.tryLatestTimestampAt(block.timestamp - permissionWindow, maxTraversal);
     }
 
     function canUpdate(address caller, uint256 cachedLatestTimestamp) public view virtual returns (bool);
 
-    function canReturnCache(uint256 _cachedLatestTimestamp, uint256 _updateTimestamp)
+    function setPermissionWindow(uint256 _permissionWindow) public onlyOwner {
+        permissionWindow = _permissionWindow;
+    }
+
+    function setMaxTraversal(uint256 _maxTraversal) public onlyOwner {
+        maxTraversal = _maxTraversal;
+    }
+
+    function canReturnCache(uint256 updateTimestamp)
         public
         view
-        virtual
-        returns (bool);
+        override
+        returns (bool)
+    {
+        // If cache was updated within the permission window, return the cached value.
+        return (block.timestamp - updateTimestamp < permissionWindow);
+    }
 }
diff --git a/src/adapters/BaseDestinationOracleAdapter.sol b/src/adapters/BaseDestinationOracleAdapter.sol
@@ -3,7 +3,7 @@ pragma solidity 0.8.17;
 import "../controllers/BaseController.sol";
 import "../interfaces/IBaseOracleAdapter.sol";
 
-contract BaseDestinationOracleAdapter is BaseController, IBaseOracleAdapter {
+abstract contract BaseDestinationOracleAdapter is BaseController, IBaseOracleAdapter {
     constructor(address _sourceAdapter) BaseController(_sourceAdapter) {}
 
     function decimals() public view override returns (uint8) {

diff --git a/src/adapters/MeanSourceOracleAdapter.sol b/src/adapters/MeanSourceOracleAdapter.sol
@@ -33,4 +33,16 @@ contract MeanSourceOracleAdapter is IBaseOracleAdapter {
     function decimals() public view override returns (uint8) {
         return 18;
     }
+
+    function tryLatestAnswerAt(uint256 timestamp, uint256 maxTraversal) public view override returns (int256) {
+        // TODO: implement traversing source rounds to get latest data as of requested timestamp.
+        // TODO: this also requires adding update method to store historical data on source adapter.
+        return latestAnswer();
+    }
+
+    function tryLatestTimestampAt(uint256 timestamp, uint256 maxTraversal) public view override returns (uint256) {
+        // TODO: implement traversing source rounds to get latest data as of requested timestamp.
+        // TODO: this also requires adding update method to store historical data on source adapter.
+        return latestTimestamp();
+    }
 }
diff --git a/src/adapters/chainlink/ChainlinkSourceOracleAdapter.sol b/src/adapters/chainlink/ChainlinkSourceOracleAdapter.sol
@@ -2,13 +2,21 @@
 pragma solidity 0.8.17;
 
 import "../../interfaces/IBaseOracleAdapter.sol";
-import "../../interfaces/chainlink/IAggregatorV3.sol";
+import "../../interfaces/chainlink/IAggregatorV3Source.sol";
 
 contract ChainlinkSourceOracleAdapter is IBaseOracleAdapter {
-    IAggregatorV3 public source;
+    struct RoundData {
+        uint80 roundId;
+        int256 answer;
+        uint256 startedAt;
+        uint256 updatedAt;
+        uint80 answeredInRound;
+    }
+
+    IAggregatorV3Source public source;
 
     constructor(address _source) {
-        source = IAggregatorV3(_source);
+        source = IAggregatorV3Source(_source);
     }
 
     function latestAnswer() public view override returns (int256) {
@@ -22,4 +30,106 @@ contract ChainlinkSourceOracleAdapter is IBaseOracleAdapter {
     function decimals() public view override returns (uint8) {
         return source.decimals();
     }
+
+    // Tries getting latest answer as of requested timestamp. If this is not available returns the current latest answer.
+    function tryLatestAnswerAt(
+        uint256 timestamp,
+        uint256 maxTraversal
+    ) public view override returns (int256) {
+        return _tryLatestRoundDataAt(timestamp, maxTraversal).answer;
+    }
+
+    // Tries getting latest timestamp as of requested timestamp. If this is not available returns the current latest timestamp.
+    function tryLatestTimestampAt(
+        uint256 timestamp,
+        uint256 maxTraversal
+    ) public view override returns (uint256) {
+        return _tryLatestRoundDataAt(timestamp, maxTraversal).updatedAt;
+    }
+
+    // Tries getting latest round data as of requested timestamp. If this is not available returns the current latest round data.
+    function _tryLatestRoundDataAt(
+        uint256 timestamp,
+        uint256 maxTraversal
+    )
+        internal
+        view
+        returns (RoundData memory)
+    {
+        (
+            uint80 roundId,
+            int256 answer,
+            uint256 startedAt,
+            uint256 updatedAt,
+            uint80 answeredInRound
+        ) = source.latestRoundData();
+        RoundData memory latestRoundData = RoundData({
+            roundId: roundId,
+            answer: answer,
+            startedAt: startedAt,
+            updatedAt: updatedAt,
+            answeredInRound: answeredInRound
+        });
+        // In the happy path there have been no source updates since requested time, so we can return the latest data.
+        // We can use updatedAt property as it matches the block timestamp of the latest source transmission.
+        if (latestRoundData.updatedAt <= timestamp) return latestRoundData;
+
+        // Attempt traversing historical round data.
+        RoundData memory historicalRoundData = _searchRoundDataAt(timestamp, latestRoundData.roundId - 1, maxTraversal);
+
+        // Validate returned data. If it is not valid this means we failed to find data at requested timestamp so we
+        // fallback to returning the current latest round data.
+        if (historicalRoundData.updatedAt > 0) return historicalRoundData;
+        return latestRoundData;
+    }
+
+    // This returns uninitialized data if traversed all rounds of the current phase aggregator or exceeded maximum
+    // allowed round traversal. The caller should check if updatedAt is 0 to determine if the data is valid.
+    function _searchRoundDataAt(
+        uint256 timestamp,
+        uint80 roundId,
+        uint256 maxTraversal
+    )
+        internal
+        view
+        returns (RoundData memory)
+    {
+        RoundData memory roundData;
+        uint80 traversedRounds = 0;
+
+        while (traversedRounds < uint80(maxTraversal)) {
+            (
+                uint80 _roundId,
+                int256 answer,
+                uint256 startedAt,
+                uint256 updatedAt,
+                uint80 answeredInRound
+            ) = source.getRoundData(roundId);
+            roundData = RoundData({
+                roundId: _roundId,
+                answer: answer,
+                startedAt: startedAt,
+                updatedAt: updatedAt,
+                answeredInRound: answeredInRound
+            });
+            // As per Chainlink documentation https://docs.chain.link/data-feeds/historical-data#roundid-in-proxy
+            // roundId on the aggregator proxy is composed of phaseId (higher 16 bits) and roundId from phase aggregator
+            // (lower 64 bits). The aggregator proxy does not keep track when its phase aggregators got switched. This
+            // means that we can only traverse rounds of the current phase aggregator. When phase aggregators are
+            // switched there is normally an overlap period when both new and old phase aggregators receive updates.
+            // Without knowing exact time when the aggregator proxy switched them we might end up returning historical
+            // data from the new phase aggregator that was not yet available on the aggregator proxy at the requested
+            // timestamp.
+            // Since phase aggregators are starting at round 1 we can detect unitialized round 0 (as in phase
+            // aggregator) in updatedAt and return unitialized round data that should be handled by the caller.
+            if (roundData.updatedAt <= timestamp || roundData.updatedAt == 0) return roundData;
+            roundId = roundData.roundId - 1;
+            traversedRounds++;
+        }
+
+        // Since we traversed past maximum allowed round traversal without finding latest data at requested timestamp,
+        // we must invalidate it so that the caller can fallback to the current latest data.
+        roundData.updatedAt = 0;
+        return roundData;
+    }
 }
diff --git a/src/adapters/compound/UniswapAnchoredViewSourceOracleAdapter.sol b/src/adapters/compound/UniswapAnchoredViewSourceOracleAdapter.sol
@@ -2,7 +2,7 @@
 pragma solidity 0.8.17;
 
 import "../../interfaces/IBaseOracleAdapter.sol";
-import "../../interfaces/chainlink/IAggregatorV3.sol";
+import "../../interfaces/chainlink/IAggregatorV3Source.sol";
 import "../../interfaces/compound/IUniswapAnchoredView.sol";
 import "../../interfaces/compound/ICToken.sol";
 import "../../interfaces/compound/IValidatorProxy.sol";
@@ -14,7 +14,7 @@ contract UniswapAnchoredViewSourceOracleAdapter is IBaseOracleAdapter {
 
     uint8 public decimals;
 
-    IAggregatorV3 public aggregator;
+    IAggregatorV3Source public aggregator;
 
     constructor(IUniswapAnchoredView _source, address _cToken) {
         source = _source;
@@ -24,7 +24,7 @@ contract UniswapAnchoredViewSourceOracleAdapter is IBaseOracleAdapter {
         IUniswapAnchoredView.TokenConfig memory tokenConfig = source.getTokenConfigByCToken(address(cToken));
         // TODO: make sure this does not change over time
         (address current,,) = IValidatorProxy(tokenConfig.reporter).getAggregators();
-        aggregator = IAggregatorV3(current);
+        aggregator = IAggregatorV3Source(current);
     }
 
     function latestAnswer() public view override returns (int256) {
@@ -36,4 +36,14 @@ contract UniswapAnchoredViewSourceOracleAdapter is IBaseOracleAdapter {
     function latestTimestamp() public view override returns (uint256) {
         return aggregator.latestTimestamp();
     }
+
+    function tryLatestAnswerAt(uint256 timestamp, uint256 maxTraversal) public view override returns (int256) {
+        // TODO: implement traversing source rounds to get latest data as of requested timestamp.
+        return latestAnswer();
+    }
+
+    function tryLatestTimestampAt(uint256 timestamp, uint256 maxTraversal) public view override returns (uint256) {
+        // TODO: implement traversing source rounds to get latest data as of requested timestamp.
+        return latestTimestamp();
+    }
 }
diff --git a/src/adapters/makerdao/ChronicleSourceOracleAdapter.sol b/src/adapters/makerdao/ChronicleSourceOracleAdapter.sol
@@ -23,4 +23,16 @@ contract ChronicleSourceOracleAdapter is IBaseOracleAdapter {
     function latestTimestamp() public view override returns (uint256) {
         return source.zzz();
     }
+
+    function tryLatestAnswerAt(uint256 timestamp, uint256 maxTraversal) public view override returns (int256) {
+        // TODO: implement traversing source rounds to get latest data as of requested timestamp.
+        // TODO: this also requires adding update method to store historical data on source adapter.
+        return latestAnswer();
+    }
+
+    function tryLatestTimestampAt(uint256 timestamp, uint256 maxTraversal) public view override returns (uint256) {
+        // TODO: implement traversing source rounds to get latest data as of requested timestamp.
+        // TODO: this also requires adding update method to store historical data on source adapter.
+        return latestTimestamp();
+    }
 }
diff --git a/src/controllers/BaseController.sol b/src/controllers/BaseController.sol
@@ -1,25 +1,18 @@
 // SPDX-License-Identifier: UNLICENSED
 pragma solidity 0.8.17;
 
-import "openzeppelin-contracts/contracts/access/Ownable.sol";
 import "../OevOracle.sol";
 import "../interfaces/IBaseController.sol";
 
-contract BaseController is IBaseController, OevOracle, Ownable {
+contract BaseController is IBaseController, OevOracle {
     constructor(address _sourceAdapter) OevOracle(_sourceAdapter) {}
 
     mapping(address => bool) public updaters;
 
-    uint256 public permissionWindow = 10 minutes;
-
     function setUpdater(address _updater, bool allowed) public onlyOwner {
         updaters[_updater] = allowed;
     }
 
-    function setPermissionWindow(uint256 _permissionWindow) public onlyOwner {
-        permissionWindow = _permissionWindow;
-    }
-
     function canUpdate(address caller, uint256 cachedLatestTimestamp)
         public
         view
@@ -28,17 +21,4 @@ contract BaseController is IBaseController, OevOracle, Ownable {
     {
         return updaters[caller];
     }
-
-    function canReturnCache(uint256 cachedLatestTimestamp, uint256 updateTimestamp)
-        public
-        view
-        override(IBaseController, OevOracle)
-        returns (bool)
-    {
-        // If cache was updated within the permission window, return the cached value.
-        if (block.timestamp - updateTimestamp < permissionWindow) return true;
-
-        // Otherwise check against last update time on source adapter.
-        return (sourceAdapter.latestTimestamp() - updateTimestamp < permissionWindow);
-    }
 }
diff --git a/src/interfaces/IBaseController.sol b/src/interfaces/IBaseController.sol
@@ -3,6 +3,4 @@ pragma solidity 0.8.17;
 
 interface IBaseController {
     function canUpdate(address caller, uint256 cachedLatestTimestamp) external view returns (bool);
-
-    function canReturnCache(uint256 cachedLatestTimestamp, uint256 updateTimestamp) external view returns (bool);
 }
diff --git a/src/interfaces/IBaseOracleAdapter.sol b/src/interfaces/IBaseOracleAdapter.sol
@@ -8,4 +8,8 @@ interface IBaseOracleAdapter {
     function latestTimestamp() external view returns (uint256);
 
     function decimals() external view returns (uint8);
+
+    function tryLatestAnswerAt(uint256 timestamp, uint256 maxTraversal) external view returns (int256);
+
+    function tryLatestTimestampAt(uint256 timestamp, uint256 maxTraversal) external view returns (uint256);
 }
diff --git a/src/interfaces/IOevOracle.sol b/src/interfaces/IOevOracle.sol
@@ -5,4 +5,6 @@ interface IOevOracle {
     function internalLatestAnswer() external view returns (int256);
 
     function internalLatestTimestamp() external view returns (uint256);
+
+    function canReturnCache(uint256 updateTimestamp) external view returns (bool);
 }
diff --git a/src/interfaces/chainlink/IAggregatorV3Source.sol b/src/interfaces/chainlink/IAggregatorV3Source.sol
@@ -0,0 +1,17 @@
+// SPDX-License-Identifier: MIT
+pragma solidity 0.8.17;
+
+import "./IAggregatorV3.sol";
+
+interface IAggregatorV3Source is IAggregatorV3 {
+
+    function latestRoundData()
+        external
+        view
+        returns (uint80 roundId, int256 answer, uint256 startedAt, uint256 updatedAt, uint80 answeredInRound);
+
+    function getRoundData(uint80 _roundId)
+        external
+        view
+        returns (uint80 roundId, int256 answer, uint256 startedAt, uint256 updatedAt, uint80 answeredInRound);
+}
diff --git a/test/mocks/MockSourceOracleAdapter.sol b/test/mocks/MockSourceOracleAdapter.sol
@@ -7,6 +7,8 @@ contract MockSourceOracleAdapter is IBaseOracleAdapter {
     int256 public latestAnswer;
     uint256 public latestTimestamp;
     uint8 public decimals;
+    mapping(uint256 => int256) public _latestAnswerAt;
+    mapping(uint256 => uint256) public _latestTimestampAt;
 
     constructor(uint8 _decimals) {
         decimals = _decimals;
@@ -19,4 +21,20 @@ contract MockSourceOracleAdapter is IBaseOracleAdapter {
     function setLatestTimestamp(uint256 _latestTimestamp) public {
         latestTimestamp = _latestTimestamp;
     }
+
+    function tryLatestAnswerAt(uint256 timestamp, uint256 maxTraversal) public view override returns (int256) {
+        return _latestAnswerAt[timestamp];
+    }
+
+    function tryLatestTimestampAt(uint256 timestamp, uint256 maxTraversal) public view override returns (uint256) {
+        return _latestTimestampAt[timestamp];
+    }
+
+    function setLatestAnswerAt(uint256 timestamp, int256 _latestAnswer) public {
+        _latestAnswerAt[timestamp] = _latestAnswer;
+    }
+
+    function setLatestTimestampAt(uint256 timestamp, uint256 _latestTimestamp) public {
+        _latestTimestampAt[timestamp] = _latestTimestamp;
+    }
 }