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feat(target_chains/ethereum): implement TWAP calculation directly in Pyth contract #2611

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Apr 24, 2025
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feat(target_chains/ethereum): implement TWAP calculation directly in Pyth contract #2611

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e8b4981
feat(pyth): implement TWAP calculation directly in Pyth contract
cctdaniel Apr 24, 2025
c1b60b4
refactor: remove unused calculateTwap function definition from PythUt…
cctdaniel Apr 24, 2025
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52 changes: 44 additions & 8 deletions target_chains/ethereum/contracts/contracts/pyth/Pyth.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -7,7 +7,6 @@ import "@pythnetwork/pyth-sdk-solidity/AbstractPyth.sol";
import "@pythnetwork/pyth-sdk-solidity/PythStructs.sol";

import "@pythnetwork/pyth-sdk-solidity/PythErrors.sol";
import "@pythnetwork/pyth-sdk-solidity/PythUtils.sol";
import "./PythAccumulator.sol";
import "./PythGetters.sol";
import "./PythSetters.sol";
Expand Down Expand Up @@ -628,16 +627,53 @@ abstract contract Pyth is
return "1.4.4-alpha.5";
}

/// @notice Calculates TWAP from two price points
/// @dev The calculation is done by taking the difference of cumulative values and dividing by the time difference
/// @param priceId The price feed ID
/// @param twapPriceInfoStart The starting price point
/// @param twapPriceInfoEnd The ending price point
/// @return twapPriceFeed The calculated TWAP price feed
function calculateTwap(
bytes32 priceId,
PythStructs.TwapPriceInfo memory twapPriceInfoStart,
PythStructs.TwapPriceInfo memory twapPriceInfoEnd
) private pure returns (PythStructs.TwapPriceFeed memory) {
return
PythUtils.calculateTwap(
priceId,
twapPriceInfoStart,
twapPriceInfoEnd
);
) private pure returns (PythStructs.TwapPriceFeed memory twapPriceFeed) {
twapPriceFeed.id = priceId;
twapPriceFeed.startTime = twapPriceInfoStart.publishTime;
twapPriceFeed.endTime = twapPriceInfoEnd.publishTime;

// Calculate differences between start and end points for slots and cumulative values
uint64 slotDiff = twapPriceInfoEnd.publishSlot -
twapPriceInfoStart.publishSlot;
int128 priceDiff = twapPriceInfoEnd.cumulativePrice -
twapPriceInfoStart.cumulativePrice;
uint128 confDiff = twapPriceInfoEnd.cumulativeConf -
twapPriceInfoStart.cumulativeConf;

// Calculate time-weighted average price (TWAP) and confidence by dividing
// the difference in cumulative values by the number of slots between data points
int128 twapPrice = priceDiff / int128(uint128(slotDiff));
uint128 twapConf = confDiff / uint128(slotDiff);

// The conversion from int128 to int64 is safe because:
// 1. Individual prices fit within int64 by protocol design
// 2. TWAP is essentially an average price over time (cumulativePrice₂-cumulativePrice₁)/slotDiff
// 3. This average must be within the range of individual prices that went into the calculation
// We use int128 only as an intermediate type to safely handle cumulative sums
twapPriceFeed.twap.price = int64(twapPrice);
twapPriceFeed.twap.conf = uint64(twapConf);
twapPriceFeed.twap.expo = twapPriceInfoStart.expo;
twapPriceFeed.twap.publishTime = twapPriceInfoEnd.publishTime;

// Calculate downSlotsRatio as a value between 0 and 1,000,000
// 0 means no slots were missed, 1,000,000 means all slots were missed
uint64 totalDownSlots = twapPriceInfoEnd.numDownSlots -
twapPriceInfoStart.numDownSlots;
uint64 downSlotsRatio = (totalDownSlots * 1_000_000) / slotDiff;

// Safely downcast to uint32 (sufficient for value range 0-1,000,000)
twapPriceFeed.downSlotsRatio = uint32(downSlotsRatio);

return twapPriceFeed;
}
}
50 changes: 0 additions & 50 deletions target_chains/ethereum/sdk/solidity/PythUtils.sol
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Expand Up @@ -33,54 +33,4 @@ library PythUtils {
10 ** uint32(priceDecimals - targetDecimals);
}
}

/// @notice Calculates TWAP from two price points
/// @dev The calculation is done by taking the difference of cumulative values and dividing by the time difference
/// @param priceId The price feed ID
/// @param twapPriceInfoStart The starting price point
/// @param twapPriceInfoEnd The ending price point
/// @return twapPriceFeed The calculated TWAP price feed
function calculateTwap(
bytes32 priceId,
PythStructs.TwapPriceInfo memory twapPriceInfoStart,
PythStructs.TwapPriceInfo memory twapPriceInfoEnd
) public pure returns (PythStructs.TwapPriceFeed memory twapPriceFeed) {
twapPriceFeed.id = priceId;
twapPriceFeed.startTime = twapPriceInfoStart.publishTime;
twapPriceFeed.endTime = twapPriceInfoEnd.publishTime;

// Calculate differences between start and end points for slots and cumulative values
uint64 slotDiff = twapPriceInfoEnd.publishSlot -
twapPriceInfoStart.publishSlot;
int128 priceDiff = twapPriceInfoEnd.cumulativePrice -
twapPriceInfoStart.cumulativePrice;
uint128 confDiff = twapPriceInfoEnd.cumulativeConf -
twapPriceInfoStart.cumulativeConf;

// Calculate time-weighted average price (TWAP) and confidence by dividing
// the difference in cumulative values by the number of slots between data points
int128 twapPrice = priceDiff / int128(uint128(slotDiff));
uint128 twapConf = confDiff / uint128(slotDiff);

// The conversion from int128 to int64 is safe because:
// 1. Individual prices fit within int64 by protocol design
// 2. TWAP is essentially an average price over time (cumulativePrice₂-cumulativePrice₁)/slotDiff
// 3. This average must be within the range of individual prices that went into the calculation
// We use int128 only as an intermediate type to safely handle cumulative sums
twapPriceFeed.twap.price = int64(twapPrice);
twapPriceFeed.twap.conf = uint64(twapConf);
twapPriceFeed.twap.expo = twapPriceInfoStart.expo;
twapPriceFeed.twap.publishTime = twapPriceInfoEnd.publishTime;

// Calculate downSlotsRatio as a value between 0 and 1,000,000
// 0 means no slots were missed, 1,000,000 means all slots were missed
uint64 totalDownSlots = twapPriceInfoEnd.numDownSlots -
twapPriceInfoStart.numDownSlots;
uint64 downSlotsRatio = (totalDownSlots * 1_000_000) / slotDiff;

// Safely downcast to uint32 (sufficient for value range 0-1,000,000)
twapPriceFeed.downSlotsRatio = uint32(downSlotsRatio);

return twapPriceFeed;
}
}
152 changes: 0 additions & 152 deletions target_chains/ethereum/sdk/solidity/abis/PythUtils.json
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Original file line number Diff line number Diff line change
@@ -1,156 +1,4 @@
[
{
"inputs": [
{
"internalType": "bytes32",
"name": "priceId",
"type": "bytes32"
},
{
"components": [
{
"internalType": "int128",
"name": "cumulativePrice",
"type": "int128"
},
{
"internalType": "uint128",
"name": "cumulativeConf",
"type": "uint128"
},
{
"internalType": "uint64",
"name": "numDownSlots",
"type": "uint64"
},
{
"internalType": "uint64",
"name": "publishSlot",
"type": "uint64"
},
{
"internalType": "uint64",
"name": "publishTime",
"type": "uint64"
},
{
"internalType": "uint64",
"name": "prevPublishTime",
"type": "uint64"
},
{
"internalType": "int32",
"name": "expo",
"type": "int32"
}
],
"internalType": "struct PythStructs.TwapPriceInfo",
"name": "twapPriceInfoStart",
"type": "tuple"
},
{
"components": [
{
"internalType": "int128",
"name": "cumulativePrice",
"type": "int128"
},
{
"internalType": "uint128",
"name": "cumulativeConf",
"type": "uint128"
},
{
"internalType": "uint64",
"name": "numDownSlots",
"type": "uint64"
},
{
"internalType": "uint64",
"name": "publishSlot",
"type": "uint64"
},
{
"internalType": "uint64",
"name": "publishTime",
"type": "uint64"
},
{
"internalType": "uint64",
"name": "prevPublishTime",
"type": "uint64"
},
{
"internalType": "int32",
"name": "expo",
"type": "int32"
}
],
"internalType": "struct PythStructs.TwapPriceInfo",
"name": "twapPriceInfoEnd",
"type": "tuple"
}
],
"name": "calculateTwap",
"outputs": [
{
"components": [
{
"internalType": "bytes32",
"name": "id",
"type": "bytes32"
},
{
"internalType": "uint64",
"name": "startTime",
"type": "uint64"
},
{
"internalType": "uint64",
"name": "endTime",
"type": "uint64"
},
{
"components": [
{
"internalType": "int64",
"name": "price",
"type": "int64"
},
{
"internalType": "uint64",
"name": "conf",
"type": "uint64"
},
{
"internalType": "int32",
"name": "expo",
"type": "int32"
},
{
"internalType": "uint256",
"name": "publishTime",
"type": "uint256"
}
],
"internalType": "struct PythStructs.Price",
"name": "twap",
"type": "tuple"
},
{
"internalType": "uint32",
"name": "downSlotsRatio",
"type": "uint32"
}
],
"internalType": "struct PythStructs.TwapPriceFeed",
"name": "twapPriceFeed",
"type": "tuple"
}
],
"stateMutability": "pure",
"type": "function"
},
{
"inputs": [
{
Expand Down
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