Merge pull request #172 from convergence-rfq/dev

Dev

CHANGELOG.md

@@ -8,6 +8,12 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 **Note:** Version 0 of Semantic Versioning is handled differently from version 1 and above.
 The minor version will be incremented upon a breaking change and the patch version will be incremented for features.
 
+## [2.2.14] - 2023-10-31
+
+### Features
+
+- response: added response expiration timestamp field to Response state and validation to check response expiration. See PR ([#170](https://github.com/convergence-rfq/convergence-program-library/pull/170)) for full details.
+
 ## [2.2.13] - 2023-10-04
 
 ### Fixes

psyoptions-american-instrument/js/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@convergence-rfq/psyoptions-american-instrument",
-  "version": "2.2.13",
+  "version": "2.2.14",
   "license": "MIT",
   "publishConfig": {
     "access": "public",
@@ -31,4 +31,4 @@
     "typescript": "^4.8.4",
     "rimraf": "^4.1.2"
   }
-}
+}

psyoptions-european-instrument/js/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@convergence-rfq/psyoptions-european-instrument",
-  "version": "2.2.13",
+  "version": "2.2.14",
   "license": "MIT",
   "publishConfig": {
     "access": "public",
@@ -31,4 +31,4 @@
     "typescript": "^4.8.4",
     "rimraf": "^4.1.2"
   }
-}
+}

rfq/js/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@convergence-rfq/rfq",
-  "version": "2.2.13",
+  "version": "2.2.14",
   "license": "MIT",
   "publishConfig": {
     "access": "public",
@@ -31,4 +31,4 @@
     "typescript": "^4.8.4",
     "rimraf": "^4.1.2"
   }
-}
+}

rfq/program/src/errors.rs

@@ -20,6 +20,8 @@ pub enum ProtocolError {
     NotARiskEngine,
     #[msg("Recent timestamp is too different from on-chain time")]
     InvalidRecentTimestamp,
+    #[msg("Expiration timestamp is invalid")]
+    InvalidExpirationTimestamp,
     #[msg("An Rfq without legs is not supported")]
     EmptyLegsNotSupported,
     #[msg("Legs size does not match specified expected leg size")]

rfq/program/src/instructions/rfq/respond_to_rfq.rs

@@ -51,8 +51,21 @@ fn validate(
     ctx: &Context<RespondToRfqAccounts>,
     bid: Option<Quote>,
     ask: Option<Quote>,
+    expiration_timestamp: i64,
 ) -> Result<()> {
     let RespondToRfqAccounts { maker, rfq, .. } = &ctx.accounts;
+    //checks for expiration timestamp
+    let current_timestamp = Clock::get()?.unix_timestamp;
+    let rfq_expiration_timestamp = rfq.creation_timestamp + rfq.active_window as i64;
+    require!(
+        expiration_timestamp > current_timestamp,
+        ProtocolError::InvalidExpirationTimestamp
+    );
+
+    require!(
+        expiration_timestamp <= rfq_expiration_timestamp,
+        ProtocolError::InvalidExpirationTimestamp
+    );
 
     require!(maker.key() != rfq.taker, ProtocolError::TakerCanNotRespond);
 
@@ -112,8 +125,9 @@ pub fn respond_to_rfq_instruction<'info>(
     bid: Option<Quote>,
     ask: Option<Quote>,
     _pda_distinguisher: u16,
+    expiration_timestamp: i64,
 ) -> Result<()> {
-    validate(&ctx, bid, ask)?;
+    validate(&ctx, bid, ask, expiration_timestamp)?;
 
     let RespondToRfqAccounts {
         maker,
@@ -140,6 +154,7 @@ pub fn respond_to_rfq_instruction<'info>(
         leg_preparations_initialized_by: vec![],
         bid,
         ask,
+        expiration_timestamp,
     });
     response.exit(ctx.program_id)?;
 

rfq/program/src/lib.rs

@@ -215,8 +215,9 @@ pub mod rfq {
         bid: Option<Quote>,
         ask: Option<Quote>,
         pda_distinguisher: u16, // allows creation of the same response multiple times specifying a different distinguisher
+        expiration_timestamp: i64,
     ) -> Result<()> {
-        respond_to_rfq_instruction(ctx, bid, ask, pda_distinguisher)
+        respond_to_rfq_instruction(ctx, bid, ask, pda_distinguisher, expiration_timestamp)
     }
 
     pub fn confirm_response<'info>(

rfq/program/src/state/response.rs

@@ -16,6 +16,7 @@ pub struct Response {
     pub rfq: Pubkey,
 
     pub creation_timestamp: i64,
+    pub expiration_timestamp: i64,
     pub maker_collateral_locked: u64,
     pub taker_collateral_locked: u64,
     pub state: StoredResponseState,
@@ -43,7 +44,7 @@ impl Response {
 
     pub fn get_state(&self, rfq: &Rfq) -> Result<ResponseState> {
         let current_time = Clock::get()?.unix_timestamp;
-        let active_window_ended = rfq.active_window_ended(current_time);
+        let active_window_ended = self.active_window_ended(current_time);
         let settle_window_ended = rfq.settle_window_ended(current_time);
         let state = match self.state {
             StoredResponseState::Active => {
@@ -81,6 +82,10 @@ impl Response {
         Ok(state)
     }
 
+    pub fn active_window_ended(&self, current_time: i64) -> bool {
+        current_time >= self.expiration_timestamp
+    }
+
     pub fn get_asset_amount_to_transfer(
         &self,
         rfq: &Rfq,

risk-engine/js/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@convergence-rfq/risk-engine",
-  "version": "2.2.13",
+  "version": "2.2.14",
   "license": "MIT",
   "publishConfig": {
     "access": "public",
@@ -31,4 +31,4 @@
     "typescript": "^4.8.4",
     "rimraf": "^4.1.2"
   }
-}
+}

spot-instrument/js/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@convergence-rfq/spot-instrument",
-  "version": "2.2.13",
+  "version": "2.2.14",
   "license": "MIT",
   "publishConfig": {
     "access": "public",
@@ -31,4 +31,4 @@
     "typescript": "^4.8.4",
     "rimraf": "^4.1.2"
   }
-}
+}

tests/integration/psyoptionsAmerican.spec.ts

@@ -206,6 +206,7 @@ describe("Psyoptions American instrument integration tests", async () => {
       // response with agreeing to buy 5 options for 45$
       const response = await rfq.respond({
         bid: Quote.getStandard(toAbsolutePrice(withTokenDecimals(45)), toLegMultiplier(5)),
+        expirationTimestamp: Date.now() / 1000 + 1,
       });
 
       // taker confirms to sell 2 options
@@ -249,6 +250,7 @@ describe("Psyoptions American instrument integration tests", async () => {
       // response with agreeing to buy 5 options for 45$
       const response = await rfq.respond({
         bid: Quote.getStandard(toAbsolutePrice(withTokenDecimals(45)), toLegMultiplier(5)),
+        expirationTimestamp: Date.now() / 1000 + 1,
       });
 
       // taker confirms to sell 2 options

tests/integration/psyoptionsEuropean.spec.ts

@@ -60,7 +60,10 @@ describe("Psyoptions European instrument integration tests", () => {
       ask: Quote.getStandard(toAbsolutePrice(withTokenDecimals(500)), toLegMultiplier(2)),
     });
     // taker confirms to buy 1 option
-    await response.confirm({ side: QuoteSide.Ask, legMultiplierBps: toLegMultiplier(1) });
+    await response.confirm({
+      side: QuoteSide.Ask,
+      legMultiplierBps: toLegMultiplier(1),
+    });
 
     await response.prepareSettlement(AuthoritySide.Taker);
 
@@ -70,7 +73,11 @@ describe("Psyoptions European instrument integration tests", () => {
     // taker should receive 1 option, maker should receive 500$ and lose 1 bitcoin as option collateral
     await response.settle(maker, [taker]);
     await tokenMeasurer.expectChange([
-      { token: options.callMint, user: taker, delta: new BN(1).mul(CONTRACT_DECIMALS_BN) },
+      {
+        token: options.callMint,
+        user: taker,
+        delta: new BN(1).mul(CONTRACT_DECIMALS_BN),
+      },
       { token: "quote", user: taker, delta: withTokenDecimals(-500) },
       { token: "quote", user: maker, delta: withTokenDecimals(500) },
       { token: "asset", user: maker, delta: withTokenDecimals(-1) },
@@ -98,9 +105,13 @@ describe("Psyoptions European instrument integration tests", () => {
       // response with agreeing to buy 5 options for 450$
       const response = await rfq.respond({
         bid: Quote.getStandard(toAbsolutePrice(withTokenDecimals(450)), toLegMultiplier(5)),
+        expirationTimestamp: Date.now() / 1000 + 1,
       });
       // taker confirms to sell 2 options
-      await response.confirm({ side: QuoteSide.Bid, legMultiplierBps: toLegMultiplier(2) });
+      await response.confirm({
+        side: QuoteSide.Bid,
+        legMultiplierBps: toLegMultiplier(2),
+      });
 
       await options.mintOptions(context.taker, new BN(2), OptionType.PUT);
 
@@ -169,7 +180,10 @@ describe("Psyoptions European instrument integration tests", () => {
       bid: Quote.getStandard(toAbsolutePrice(withTokenDecimals(450)), toLegMultiplier(5)),
       ask: Quote.getStandard(toAbsolutePrice(withTokenDecimals(500)), toLegMultiplier(2)),
     });
-    await response.confirm({ side: QuoteSide.Ask, legMultiplierBps: toLegMultiplier(1) });
+    await response.confirm({
+      side: QuoteSide.Ask,
+      legMultiplierBps: toLegMultiplier(1),
+    });
 
     // mint options
     await Promise.all(options.map(async (option) => option.mintOptions(context.maker, new BN(2), OptionType.CALL)));