Add EMA support for custom oracle

Author: askibin

programs/perpetuals/src/instructions/set_custom_oracle_price.rs

@@ -64,6 +64,7 @@ pub struct SetCustomOraclePriceParams {
     pub price: u64,
     pub expo: i32,
     pub conf: u64,
+    pub ema: u64,
     pub publish_time: i64,
 }
 
@@ -92,6 +93,7 @@ pub fn set_custom_oracle_price<'info>(
     oracle_account.price = params.price;
     oracle_account.expo = params.expo;
     oracle_account.conf = params.conf;
+    oracle_account.ema = params.ema;
     oracle_account.publish_time = params.publish_time;
 
     Ok(0)

programs/perpetuals/src/state/oracle.rs

@@ -43,6 +43,7 @@ pub struct CustomOracle {
     pub price: u64,
     pub expo: i32,
     pub conf: u64,
+    pub ema: u64,
     pub publish_time: i64,
 }
 
@@ -94,6 +95,7 @@ impl OraclePrice {
                 oracle_params.max_price_error,
                 oracle_params.max_price_age_sec,
                 current_time,
+                use_ema,
             ),
             OracleType::Pyth => Self::get_pyth_price(
                 oracle_account,
@@ -231,6 +233,7 @@ impl OraclePrice {
         max_price_error: u64,
         max_price_age_sec: u32,
         current_time: i64,
+        use_ema: bool,
     ) -> Result<OraclePrice> {
         require!(
             !Perpetuals::is_empty_account(custom_price_info)?,
@@ -244,11 +247,16 @@ impl OraclePrice {
             msg!("Error: Custom oracle price is stale");
             return err!(PerpetualsError::StaleOraclePrice);
         }
+        let price = if use_ema {
+            oracle_acc.ema
+        } else {
+            oracle_acc.price
+        };
 
-        if oracle_acc.price == 0
+        if price == 0
             || math::checked_div(
                 math::checked_mul(oracle_acc.conf as u128, Perpetuals::BPS_POWER)?,
-                oracle_acc.price as u128,
+                price as u128,
             )? > max_price_error as u128
         {
             msg!("Error: Custom oracle price is out of bounds");
@@ -257,7 +265,7 @@ impl OraclePrice {
 
         Ok(OraclePrice {
             // price is i64 and > 0 per check above
-            price: oracle_acc.price,
+            price,
             exponent: oracle_acc.expo,
         })
     }

programs/perpetuals/tests/anchor/basic.ts

@@ -396,6 +396,7 @@ describe("perpetuals", () => {
       price: new BN(123000),
       expo: -3,
       conf: new BN(0),
+      ema: new BN(123000),
       publishTime: oracle.publishTime,
     };
     expect(JSON.stringify(oracle)).to.equal(JSON.stringify(oracleExpected));

programs/perpetuals/tests/anchor/test_client.ts

@@ -676,6 +676,7 @@ export class TestClient {
             price: new BN(price * 1000),
             expo: -3,
             conf: new BN(0),
+            ema: new BN(price * 1000),
             publishTime: new BN(this.getTime()),
           })
           .accounts({

programs/perpetuals/tests/native/tests_suite/lp_token/lp_token_price.rs

@@ -108,6 +108,7 @@ pub async fn lp_token_price() {
                     price: utils::scale(1_650, ETH_DECIMALS),
                     expo: -(ETH_DECIMALS as i32),
                     conf: utils::scale(10, ETH_DECIMALS),
+                    ema: utils::scale(1_650, ETH_DECIMALS),
                     publish_time,
                 },
                 &multisig_signers,
@@ -151,6 +152,7 @@ pub async fn lp_token_price() {
                     price: utils::scale(1_320, ETH_DECIMALS),
                     expo: -(ETH_DECIMALS as i32),
                     conf: utils::scale(10, ETH_DECIMALS),
+                    ema: utils::scale(1_320, ETH_DECIMALS),
                     publish_time,
                 },
                 &multisig_signers,

programs/perpetuals/tests/native/tests_suite/position/liquidate_position.rs

@@ -151,6 +151,7 @@ pub async fn liquidate_position() {
                 price: utils::scale(1_350, ETH_DECIMALS),
                 expo: -(ETH_DECIMALS as i32),
                 conf: utils::scale(10, ETH_DECIMALS),
+                ema: utils::scale(1_350, ETH_DECIMALS),
                 publish_time,
             },
             &multisig_signers,

programs/perpetuals/tests/native/tests_suite/position/max_user_profit.rs

@@ -133,6 +133,7 @@ pub async fn max_user_profit() {
                 price: utils::scale(3_000, ETH_DECIMALS),
                 expo: -(ETH_DECIMALS as i32),
                 conf: utils::scale(10, ETH_DECIMALS),
+                ema: utils::scale(3_000, ETH_DECIMALS),
                 publish_time,
             },
             &multisig_signers,

programs/perpetuals/tests/native/utils/test_setup.rs

@@ -348,6 +348,7 @@ impl TestSetup {
                         price: custody_param.setup_custody_params.initial_price,
                         expo: -(mint_info.decimals as i32),
                         conf: custody_param.setup_custody_params.initial_conf,
+                        ema: custody_param.setup_custody_params.initial_price,
                         publish_time,
                     },
                     &multisig_signers,