Fix prevPrice logic (#5)

* Fix prevPrice logic

* Add CI for build and test

* rename getPrevPrice to getLatestAvailablePrice

- Also add getLatestAvailablePriceWithinDuration

Co-authored-by: Jayant Krishnamurthy <jkrishnamurthy@jumptrading.com>

.github/workflows/node.js.yml

@@ -0,0 +1,29 @@
+name: Node.js CI
+
+on:
+  push:
+    branches: [ main ]
+  pull_request:
+    branches: [ main ]
+
+jobs:
+  build:
+
+    runs-on: ubuntu-latest
+
+    strategy:
+      matrix:
+        node-version: [14.x, 16.x, 18.x]
+        # See supported Node.js release schedule at https://nodejs.org/en/about/releases/
+
+    steps:
+    - uses: actions/checkout@v2
+    - name: Use Node.js ${{ matrix.node-version }}
+      uses: actions/setup-node@v2
+      with:
+        node-version: ${{ matrix.node-version }}
+        cache: 'npm'
+    - run: npm ci
+    - run: npm run build
+    - run: npm run lint
+    - run: npm test

package.json

@@ -1,6 +1,6 @@
 {
   "name": "@pythnetwork/pyth-sdk-js",
-  "version": "0.1.0",
+  "version": "0.2.0",
   "description": "Pyth Network SDK in JS",
   "homepage": "https://pyth.network",
   "main": "lib/index.js",

src/__tests__/PriceFeed.test.ts

@@ -1,5 +1,9 @@
 import { Price, PriceFeed, PriceStatus } from "../index";
 
+beforeAll(() => {
+  jest.useFakeTimers();
+});
+
 test("Parsing Price Feed works as expected", () => {
   const data = {
     conf: "1",
@@ -28,11 +32,17 @@ test("Parsing Price Feed works as expected", () => {
   expect(priceFeed.publishTime).toBe(11);
   expect(priceFeed.getCurrentPrice()).toStrictEqual(new Price("1", 4, "10"));
   expect(priceFeed.getEmaPrice()).toStrictEqual(new Price("2", 4, "3"));
-  expect(priceFeed.getPrevPriceUnchecked()).toStrictEqual([
-    new Price("7", 4, "8"),
-    9,
+  expect(priceFeed.getLatestAvailablePriceUnchecked()).toStrictEqual([
+    new Price("1", 4, "10"),
+    11,
   ]);
 
+  jest.setSystemTime(20000);
+  expect(priceFeed.getLatestAvailablePriceWithinDuration(15)).toStrictEqual(
+    new Price("1", 4, "10")
+  );
+  expect(priceFeed.getLatestAvailablePriceWithinDuration(5)).toBeUndefined();
+
   expect(priceFeed.toJson()).toStrictEqual(data);
 });
 
@@ -57,3 +67,35 @@ test("getCurrentPrice returns undefined if status is not Trading", () => {
   const priceFeed = PriceFeed.fromJson(data);
   expect(priceFeed.getCurrentPrice()).toBeUndefined();
 });
+
+test("getLatestAvailablePrice returns prevPrice when status is not Trading", () => {
+  const data = {
+    conf: "1",
+    ema_conf: "2",
+    ema_price: "3",
+    expo: 4,
+    id: "abcdef0123456789",
+    max_num_publishers: 6,
+    num_publishers: 5,
+    prev_conf: "7",
+    prev_price: "8",
+    prev_publish_time: 9,
+    price: "10",
+    product_id: "0123456789abcdef",
+    publish_time: 11,
+    status: PriceStatus.Unknown,
+  };
+
+  const priceFeed = PriceFeed.fromJson(data);
+
+  expect(priceFeed.getLatestAvailablePriceUnchecked()).toStrictEqual([
+    new Price("7", 4, "8"),
+    9,
+  ]);
+
+  jest.setSystemTime(20000);
+  expect(priceFeed.getLatestAvailablePriceWithinDuration(15)).toStrictEqual(
+    new Price("7", 4, "8")
+  );
+  expect(priceFeed.getLatestAvailablePriceWithinDuration(10)).toBeUndefined();
+});

src/index.ts

@@ -1,6 +1,7 @@
 import { Convert, PriceFeed as JsonPriceFeed } from "./schemas/PriceFeed";
 
 export type UnixTimestamp = number;
+export type DurationInSeconds = number;
 export type HexString = string;
 
 /**
@@ -190,9 +191,14 @@ export class PriceFeed {
 
   /**
    * Get the current price and confidence interval as fixed-point numbers of the form a * 10^e.
+   * This function returns the current best estimate of the price at the time that this `PriceFeed` was
+   * published (`publish_time`). This function returns `undefined` if the oracle was unable to determine
+   * the price at that time; this condition can happen for various reasons, such as certain markets only
+   * trading during certain times.
    *
-   * @returns a struct containing the current price, confidence interval, and the exponent for
-   * both numbers. Returns `undefined` if price information is currently unavailable for any reason.
+   * @returns a struct containing the price and confidence interval as of `publish_time`, along with
+   * the exponent for both numbers. Returns `undefined` if price information is currently unavailable
+   * for any reason.
    */
   getCurrentPrice(): Price | undefined {
     if (this.status !== PriceStatus.Trading) {
@@ -216,20 +222,55 @@ export class PriceFeed {
   }
 
   /**
-   * Get the "unchecked" previous price with Trading status, along with the timestamp at which it was generated.
+   * Get the latest available price, along with the timestamp when it was generated.
+   * This function returns the same price as `getCurrentPrice` in the case where a price was available
+   * at the time this `PriceFeed` was published (`publish_time`). However, if a price was not available
+   * at that time, this function returns the price from the latest time at which the price was available.
+   * The returned price can be from arbitrarily far in the past; this function makes no guarantees that
+   * the returned price is recent or useful for any particular application.
    *
-   * @returns a struct containing the previous price, confidence interval, and the exponent for
-   * both numbers along with the timestamp that the price was generated.
+   * Users of this function should check the returned timestamp to ensure that the returned price is
+   * sufficiently recent for their application. If you are considering using this function, it may be
+   * safer / easier to use either `getCurrentPrice` or `getLatestAvailablePriceWithinDuration`.
    *
-   * WARNING:
-   * We make no guarantees about the unchecked price and confidence returned by
-   * this function: it could differ significantly from the current price.
-   * We strongly encourage you to use `get_current_price` instead.
+   * @returns a struct containing the latest available price, confidence interval, and the exponent for
+   * both numbers along with the timestamp when that price was generated.
    */
-  getPrevPriceUnchecked(): [Price, UnixTimestamp] {
+  getLatestAvailablePriceUnchecked(): [Price, UnixTimestamp] {
+    // If the price status is Trading then it's the latest price
+    // with the Trading status.
+    if (this.status === PriceStatus.Trading) {
+      return [new Price(this.conf, this.expo, this.price), this.publishTime];
+    }
+
     return [
       new Price(this.prevConf, this.expo, this.prevPrice),
       this.prevPublishTime,
     ];
   }
+
+  /**
+   * Get the latest price as long as it was updated within `duration` seconds of the current time.
+   * This function is a sanity-checked version of `getLatestAvailablePriceUnchecked` which is useful in
+   * applications that require a sufficiently-recent price. Returns `undefined` if the price wasn't
+   * updated sufficiently recently.
+   *
+   * @param duration return a price as long as it has been updated within this number of seconds
+   * @returns a struct containing the latest available price, confidence interval and the exponent for
+   * both numbers, or `undefined` if no price update occurred within `duration` seconds of the current time.
+   */
+  getLatestAvailablePriceWithinDuration(duration: DurationInSeconds): Price | undefined {
+    const [price, timestamp] = this.getLatestAvailablePriceUnchecked();
+
+    const currentTime: UnixTimestamp = Math.floor(Date.now() / 1000);
+
+    // This checks the absolute difference as a sanity check
+    // for the cases that the system time is behind or price
+    // feed timestamp happen to be in the future (a bug). 
+    if (Math.abs(currentTime - timestamp) > duration) {
+      return undefined;
+    }
+
+    return price;
+  }
 }