Update DEX TWAP endpoint

proto/dex/params.proto

@@ -7,6 +7,8 @@ option go_package = "github.com/sei-protocol/sei-chain/x/dex/types";
 
 // Params defines the parameters for the module.
 message Params {
+  option (gogoproto.equal)            = true;
   option (gogoproto.goproto_stringer) = false;
-
+
+  uint64 price_snapshot_retention    = 1 [(gogoproto.moretags) = "yaml:\"price_snapshot_retention\""];
 }

proto/dex/price.proto

@@ -0,0 +1,18 @@
+syntax = "proto3";
+package seiprotocol.seichain.dex;
+
+import "gogoproto/gogo.proto";
+import "dex/pair.proto";
+
+option go_package = "github.com/sei-protocol/sei-chain/x/dex/types";
+
+message Price {
+
+  uint64 snapshotTimestampInSeconds = 1;
+  string price = 2 [
+      (gogoproto.moretags)   = "yaml:\"price\"",
+      (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
+      (gogoproto.nullable)   = false
+  ];
+  Pair pair = 3;
+}

proto/dex/query.proto

@@ -8,8 +8,9 @@ import "dex/params.proto";
 import "dex/long_book.proto";
 import "dex/short_book.proto";
 import "dex/settlement.proto";
-import "dex/twap.proto";
 import "dex/enums.proto";
+import "dex/price.proto";
+import "dex/twap.proto";
 // this line is used by starport scaffolding # 1
 
 option go_package = "github.com/sei-protocol/sei-chain/x/dex/types";
@@ -44,9 +45,12 @@ service Query {
 		option (google.api.http).get = "/sei-protocol/seichain/dex/settlement";
 	}
 
-// Queries a list of GetTwap items.
-	rpc GetTwap(QueryGetTwapRequest) returns (QueryGetTwapResponse) {
-		option (google.api.http).get = "/sei-protocol/seichain/dex/get_twap/{priceDenom}/{assetDenom}";
+	rpc GetPrices(QueryGetPricesRequest) returns (QueryGetPricesResponse) {
+		option (google.api.http).get = "/sei-protocol/seichain/dex/get_prices/{contractAddr}/{priceDenom}/{assetDenom}";
+	}
+
+	rpc GetTwaps(QueryGetTwapsRequest) returns (QueryGetTwapsResponse) {
+		option (google.api.http).get = "/sei-protocol/seichain/dex/get_twaps/{contractAddr}/{lookbackSeconds}";
 	}
 
 // this line is used by starport scaffolding # 2
@@ -127,14 +131,23 @@ message QueryAllSettlementsResponse {
 	cosmos.base.query.v1beta1.PageResponse pagination = 2;
 }
 
-message QueryGetTwapRequest {
-	Denom priceDenom = 1;
-	Denom assetDenom = 2;
+message QueryGetPricesRequest {
+  Denom priceDenom = 1;
+  Denom assetDenom = 2;
   string contractAddr = 3;
 }
 
-message QueryGetTwapResponse {
-	Twap twaps = 1;
+message QueryGetPricesResponse {
+	repeated Price prices = 1;
 }
 
+message QueryGetTwapsRequest {
+	string contractAddr = 1;
+	uint64 lookbackSeconds = 2;
+  }
+
+  message QueryGetTwapsResponse {
+	  repeated Twap twaps = 1;
+  }
+
 // this line is used by starport scaffolding # 3

proto/dex/twap.proto

@@ -1,13 +1,19 @@
 syntax = "proto3";
 package seiprotocol.seichain.dex;
 
+import "gogoproto/gogo.proto";
+import "dex/pair.proto";
+
 option go_package = "github.com/sei-protocol/sei-chain/x/dex/types";
 
+
 message Twap {
-
-  uint64 lastEpoch = 1; 
-  repeated uint64 prices = 2; 
-  uint64 twapPrice = 3; 
-  string priceDenom = 4;
-  string assetDenom = 5;
+
+  Pair pair = 1;
+  string twap = 2 [
+      (gogoproto.moretags)   = "yaml:\"twap\"",
+      (gogoproto.customtype) = "github.com/cosmos/cosmos-sdk/types.Dec",
+      (gogoproto.nullable)   = false
+  ];
+	uint64 lookbackSeconds = 3;
 }

x/dex/client/cli/query.go

@@ -29,7 +29,8 @@ func GetQueryCmd(queryRoute string) *cobra.Command {
 	cmd.AddCommand(CmdShowLongBook())
 	cmd.AddCommand(CmdListShortBook())
 	cmd.AddCommand(CmdShowShortBook())
-	cmd.AddCommand(CmdGetTwap())
+	cmd.AddCommand(CmdGetPrice())
+	cmd.AddCommand(CmdGetTwaps())
 
 	// this line is used by starport scaffolding # 1
 

x/dex/client/cli/query_get_prices.go

@@ -0,0 +1,55 @@
+package cli
+
+import (
+	"strconv"
+
+	"github.com/cosmos/cosmos-sdk/client"
+	"github.com/cosmos/cosmos-sdk/client/flags"
+	"github.com/sei-protocol/sei-chain/x/dex/types"
+	"github.com/spf13/cobra"
+)
+
+var _ = strconv.Itoa(0)
+
+func CmdGetPrice() *cobra.Command {
+	cmd := &cobra.Command{
+		Use:   "get-prices [contract-address] [price-denom] [asset-denom]",
+		Short: "Query getPrices",
+		Args:  cobra.ExactArgs(3),
+		RunE: func(cmd *cobra.Command, args []string) (err error) {
+			reqContractAddr := args[0]
+			reqPriceDenom, _, err := types.GetDenomFromStr(args[1])
+			if err != nil {
+				return err
+			}
+			reqAssetDenom, _, err := types.GetDenomFromStr(args[2])
+			if err != nil {
+				return err
+			}
+
+			clientCtx, err := client.GetClientTxContext(cmd)
+			if err != nil {
+				return err
+			}
+
+			queryClient := types.NewQueryClient(clientCtx)
+
+			params := &types.QueryGetPricesRequest{
+				ContractAddr: reqContractAddr,
+				PriceDenom:   reqPriceDenom,
+				AssetDenom:   reqAssetDenom,
+			}
+
+			res, err := queryClient.GetPrices(cmd.Context(), params)
+			if err != nil {
+				return err
+			}
+
+			return clientCtx.PrintProto(res)
+		},
+	}
+
+	flags.AddQueryFlagsToCmd(cmd)
+
+	return cmd
+}

x/dex/client/cli/query_get_twaps.go

@@ -0,0 +1,49 @@
+package cli
+
+import (
+	"strconv"
+
+	"github.com/cosmos/cosmos-sdk/client"
+	"github.com/cosmos/cosmos-sdk/client/flags"
+	"github.com/sei-protocol/sei-chain/x/dex/types"
+	"github.com/spf13/cobra"
+)
+
+var _ = strconv.Itoa(0)
+
+func CmdGetTwaps() *cobra.Command {
+	cmd := &cobra.Command{
+		Use:   "get-twaps [contract-address] [lookback]",
+		Short: "Query getPrice",
+		Args:  cobra.ExactArgs(2),
+		RunE: func(cmd *cobra.Command, args []string) (err error) {
+			reqContractAddr := args[0]
+			reqLookback, err := strconv.ParseUint(args[1], 10, 64)
+			if err != nil {
+				return err
+			}
+
+			clientCtx, err := client.GetClientTxContext(cmd)
+			if err != nil {
+				return err
+			}
+			queryClient := types.NewQueryClient(clientCtx)
+
+			params := &types.QueryGetTwapsRequest{
+				ContractAddr:    reqContractAddr,
+				LookbackSeconds: reqLookback,
+			}
+
+			res, err := queryClient.GetTwaps(cmd.Context(), params)
+			if err != nil {
+				return err
+			}
+
+			return clientCtx.PrintProto(res)
+		},
+	}
+
+	flags.AddQueryFlagsToCmd(cmd)
+
+	return cmd
+}

x/dex/genesis.go

@@ -22,12 +22,6 @@ func InitGenesis(ctx sdk.Context, k keeper.Keeper, genState types.GenesisState)
 	// this line is used by starport scaffolding # genesis/module/init
 	k.SetParams(ctx, genState.Params)
 
-	for _, twap := range genState.TwapList {
-		twap.LastEpoch = 0
-		twap.TwapPrice = twap.Prices[0]
-		k.SetTwap(ctx, *twap, "genesis")
-	}
-
 	k.SetEpoch(ctx, genState.LastEpoch)
 }
 

x/dex/keeper/grpc_query_get_twap.go → x/dex/keeper/grpc_query_get_prices.go

@@ -9,16 +9,16 @@ import (
 	"google.golang.org/grpc/status"
 )
 
-func (k Keeper) GetTwap(goCtx context.Context, req *types.QueryGetTwapRequest) (*types.QueryGetTwapResponse, error) {
+func (k Keeper) GetPrices(goCtx context.Context, req *types.QueryGetPricesRequest) (*types.QueryGetPricesResponse, error) {
 	if req == nil {
 		return nil, status.Error(codes.InvalidArgument, "invalid request")
 	}
 
 	ctx := sdk.UnwrapSDKContext(goCtx)
 
-	twap := k.GetTwapState(ctx, req.ContractAddr, req.PriceDenom, req.AssetDenom)
+	prices := k.GetAllPrices(ctx, req.ContractAddr, types.Pair{PriceDenom: req.PriceDenom, AssetDenom: req.AssetDenom})
 
-	return &types.QueryGetTwapResponse{
-		Twaps: &twap,
+	return &types.QueryGetPricesResponse{
+		Prices: prices,
 	}, nil
 }

x/dex/keeper/grpc_query_get_twaps.go

@@ -0,0 +1,61 @@
+package keeper
+
+import (
+	"context"
+	"sort"
+
+	sdk "github.com/cosmos/cosmos-sdk/types"
+	"github.com/sei-protocol/sei-chain/x/dex/types"
+	"google.golang.org/grpc/codes"
+	"google.golang.org/grpc/status"
+)
+
+func (k Keeper) GetTwaps(goCtx context.Context, req *types.QueryGetTwapsRequest) (*types.QueryGetTwapsResponse, error) {
+	if req == nil {
+		return nil, status.Error(codes.InvalidArgument, "invalid request")
+	}
+
+	ctx := sdk.UnwrapSDKContext(goCtx)
+	allRegisteredPairs := k.GetAllRegisteredPairs(ctx, req.ContractAddr)
+	twaps := []*types.Twap{}
+	for _, pair := range allRegisteredPairs {
+		prices := k.GetAllPrices(ctx, req.ContractAddr, pair)
+		twaps = append(twaps, &types.Twap{
+			Pair:            &pair,
+			Twap:            calculateTwap(ctx, prices, req.LookbackSeconds),
+			LookbackSeconds: req.LookbackSeconds,
+		})
+	}
+
+	return &types.QueryGetTwapsResponse{
+		Twaps: twaps,
+	}, nil
+}
+
+func calculateTwap(ctx sdk.Context, prices []*types.Price, lookback uint64) sdk.Dec {
+	// sort prices in descending order to start iteration from the latest
+	sort.Slice(prices, func(p1, p2 int) bool {
+		return prices[p1].SnapshotTimestampInSeconds > prices[p2].SnapshotTimestampInSeconds
+	})
+	var timeTraversed uint64 = 0
+	var weightedPriceSum sdk.Dec = sdk.ZeroDec()
+	for _, price := range prices {
+		newTimeTraversed := uint64(ctx.BlockTime().Unix()) - price.SnapshotTimestampInSeconds
+		if newTimeTraversed > lookback {
+			weightedPriceSum = weightedPriceSum.Add(
+				price.Price.MulInt64(int64(lookback - timeTraversed)),
+			)
+			timeTraversed = lookback
+			break
+		}
+		weightedPriceSum = weightedPriceSum.Add(
+			price.Price.MulInt64(int64(newTimeTraversed - timeTraversed)),
+		)
+		timeTraversed = newTimeTraversed
+	}
+	if timeTraversed == 0 {
+		return sdk.ZeroDec()
+	} else {
+		return weightedPriceSum.QuoInt64(int64(timeTraversed))
+	}
+}