Merge branch 'main' into jakob-dydx/oracle-price-deleveraging

indexer/packages/postgres/src/constants.ts

@@ -110,6 +110,7 @@ Record<SpecifiedClobPairStatus, PerpetualMarketStatus> = {
   [ClobPairStatus.CLOB_PAIR_STATUS_PAUSED]: PerpetualMarketStatus.PAUSED,
   [ClobPairStatus.CLOB_PAIR_STATUS_POST_ONLY]: PerpetualMarketStatus.POST_ONLY,
   [ClobPairStatus.CLOB_PAIR_STATUS_INITIALIZING]: PerpetualMarketStatus.INITIALIZING,
+  [ClobPairStatus.CLOB_PAIR_STATUS_FINAL_SETTLEMENT]: PerpetualMarketStatus.FINAL_SETTLEMENT,
 };
 
 export const DEFAULT_POSTGRES_OPTIONS : Options = config.USE_READ_REPLICA

indexer/packages/postgres/src/types/perpetual-market-types.ts

@@ -60,4 +60,5 @@ export enum PerpetualMarketStatus {
   CANCEL_ONLY = 'CANCEL_ONLY',
   POST_ONLY = 'POST_ONLY',
   INITIALIZING = 'INITIALIZING',
+  FINAL_SETTLEMENT = 'FINAL_SETTLEMENT',
 }

indexer/packages/v4-protos/src/codegen/dydxprotocol/clob/clob_pair.ts

@@ -33,6 +33,14 @@ export enum ClobPair_Status {
    * both short-term and post-only.
    */
   STATUS_INITIALIZING = 5,
+
+  /**
+   * STATUS_FINAL_SETTLEMENT - STATUS_FINAL_SETTLEMENT represents a clob pair which is deactivated
+   * and trading has ceased. All open positions will be closed by the
+   * protocol. Open stateful orders will be cancelled. Open short-term
+   * orders will be left to expire.
+   */
+  STATUS_FINAL_SETTLEMENT = 6,
   UNRECOGNIZED = -1,
 }
 /** Status of the CLOB. */
@@ -68,6 +76,14 @@ export enum ClobPair_StatusSDKType {
    * both short-term and post-only.
    */
   STATUS_INITIALIZING = 5,
+
+  /**
+   * STATUS_FINAL_SETTLEMENT - STATUS_FINAL_SETTLEMENT represents a clob pair which is deactivated
+   * and trading has ceased. All open positions will be closed by the
+   * protocol. Open stateful orders will be cancelled. Open short-term
+   * orders will be left to expire.
+   */
+  STATUS_FINAL_SETTLEMENT = 6,
   UNRECOGNIZED = -1,
 }
 export function clobPair_StatusFromJSON(object: any): ClobPair_Status {
@@ -96,6 +112,10 @@ export function clobPair_StatusFromJSON(object: any): ClobPair_Status {
     case "STATUS_INITIALIZING":
       return ClobPair_Status.STATUS_INITIALIZING;
 
+    case 6:
+    case "STATUS_FINAL_SETTLEMENT":
+      return ClobPair_Status.STATUS_FINAL_SETTLEMENT;
+
     case -1:
     case "UNRECOGNIZED":
     default:
@@ -122,6 +142,9 @@ export function clobPair_StatusToJSON(object: ClobPair_Status): string {
     case ClobPair_Status.STATUS_INITIALIZING:
       return "STATUS_INITIALIZING";
 
+    case ClobPair_Status.STATUS_FINAL_SETTLEMENT:
+      return "STATUS_FINAL_SETTLEMENT";
+
     case ClobPair_Status.UNRECOGNIZED:
     default:
       return "UNRECOGNIZED";

indexer/packages/v4-protos/src/codegen/dydxprotocol/clob/matches.ts

@@ -128,6 +128,14 @@ export interface MatchPerpetualDeleveraging {
   /** An ordered list of fills created by this liquidation. */
 
   fills: MatchPerpetualDeleveraging_Fill[];
+  /**
+   * Flag denoting whether the deleveraging operation was for the purpose
+   * of final settlement. Final settlement matches are at the oracle price,
+   * whereas deleveraging happens at the bankruptcy price of the deleveraged
+   * subaccount.
+   */
+
+  isFinalSettlement: boolean;
 }
 /**
  * MatchPerpetualDeleveraging is an injected message used for deleveraging a
@@ -143,6 +151,14 @@ export interface MatchPerpetualDeleveragingSDKType {
   /** An ordered list of fills created by this liquidation. */
 
   fills: MatchPerpetualDeleveraging_FillSDKType[];
+  /**
+   * Flag denoting whether the deleveraging operation was for the purpose
+   * of final settlement. Final settlement matches are at the oracle price,
+   * whereas deleveraging happens at the bankruptcy price of the deleveraged
+   * subaccount.
+   */
+
+  is_final_settlement: boolean;
 }
 /** Fill represents a fill between the liquidated and offsetting subaccount. */
 
@@ -451,7 +467,8 @@ function createBaseMatchPerpetualDeleveraging(): MatchPerpetualDeleveraging {
   return {
     liquidated: undefined,
     perpetualId: 0,
-    fills: []
+    fills: [],
+    isFinalSettlement: false
   };
 }
 
@@ -469,6 +486,10 @@ export const MatchPerpetualDeleveraging = {
       MatchPerpetualDeleveraging_Fill.encode(v!, writer.uint32(26).fork()).ldelim();
     }
 
+    if (message.isFinalSettlement === true) {
+      writer.uint32(32).bool(message.isFinalSettlement);
+    }
+
     return writer;
   },
 
@@ -493,6 +514,10 @@ export const MatchPerpetualDeleveraging = {
           message.fills.push(MatchPerpetualDeleveraging_Fill.decode(reader, reader.uint32()));
           break;
 
+        case 4:
+          message.isFinalSettlement = reader.bool();
+          break;
+
         default:
           reader.skipType(tag & 7);
           break;
@@ -507,6 +532,7 @@ export const MatchPerpetualDeleveraging = {
     message.liquidated = object.liquidated !== undefined && object.liquidated !== null ? SubaccountId.fromPartial(object.liquidated) : undefined;
     message.perpetualId = object.perpetualId ?? 0;
     message.fills = object.fills?.map(e => MatchPerpetualDeleveraging_Fill.fromPartial(e)) || [];
+    message.isFinalSettlement = object.isFinalSettlement ?? false;
     return message;
   }
 

indexer/packages/v4-protos/src/codegen/dydxprotocol/indexer/events/events.ts

@@ -465,12 +465,20 @@ export interface DeleveragingEventV1 {
    */
 
   fillAmount: Long;
-  /** Bankruptcy price of liquidated subaccount, in USDC quote quantums. */
+  /** Fill price of deleveraging event, in USDC quote quantums. */
 
   price: Long;
   /** `true` if liquidating a short position, `false` otherwise. */
 
   isBuy: boolean;
+  /**
+   * `true` if the deleveraging event is for final settlement, indicating
+   * the match occurred at the oracle price rather than bankruptcy price.
+   * When this flag is `false`, the fill price is the bankruptcy price
+   * of the liquidated subaccount.
+   */
+
+  isFinalSettlement: boolean;
 }
 /**
  * DeleveragingEvent message contains all the information for a deleveraging
@@ -493,12 +501,20 @@ export interface DeleveragingEventV1SDKType {
    */
 
   fill_amount: Long;
-  /** Bankruptcy price of liquidated subaccount, in USDC quote quantums. */
+  /** Fill price of deleveraging event, in USDC quote quantums. */
 
   price: Long;
   /** `true` if liquidating a short position, `false` otherwise. */
 
   is_buy: boolean;
+  /**
+   * `true` if the deleveraging event is for final settlement, indicating
+   * the match occurred at the oracle price rather than bankruptcy price.
+   * When this flag is `false`, the fill price is the bankruptcy price
+   * of the liquidated subaccount.
+   */
+
+  is_final_settlement: boolean;
 }
 /**
  * LiquidationOrder represents the liquidation taker order to be included in a
@@ -1782,7 +1798,8 @@ function createBaseDeleveragingEventV1(): DeleveragingEventV1 {
     perpetualId: 0,
     fillAmount: Long.UZERO,
     price: Long.UZERO,
-    isBuy: false
+    isBuy: false,
+    isFinalSettlement: false
   };
 }
 
@@ -1812,6 +1829,10 @@ export const DeleveragingEventV1 = {
       writer.uint32(48).bool(message.isBuy);
     }
 
+    if (message.isFinalSettlement === true) {
+      writer.uint32(56).bool(message.isFinalSettlement);
+    }
+
     return writer;
   },
 
@@ -1848,6 +1869,10 @@ export const DeleveragingEventV1 = {
           message.isBuy = reader.bool();
           break;
 
+        case 7:
+          message.isFinalSettlement = reader.bool();
+          break;
+
         default:
           reader.skipType(tag & 7);
           break;
@@ -1865,6 +1890,7 @@ export const DeleveragingEventV1 = {
     message.fillAmount = object.fillAmount !== undefined && object.fillAmount !== null ? Long.fromValue(object.fillAmount) : Long.UZERO;
     message.price = object.price !== undefined && object.price !== null ? Long.fromValue(object.price) : Long.UZERO;
     message.isBuy = object.isBuy ?? false;
+    message.isFinalSettlement = object.isFinalSettlement ?? false;
     return message;
   }
 

indexer/packages/v4-protos/src/codegen/dydxprotocol/indexer/protocol/v1/clob.ts

@@ -307,6 +307,14 @@ export enum ClobPairStatus {
    * both short-term and post-only.
    */
   CLOB_PAIR_STATUS_INITIALIZING = 5,
+
+  /**
+   * CLOB_PAIR_STATUS_FINAL_SETTLEMENT - CLOB_PAIR_STATUS_FINAL_SETTLEMENT represents a clob pair that has been
+   * deactivated. Clob pairs in this state do not accept new orders and trading
+   * is blocked. All open positions are closed by the protocol when the clob
+   * pair gains this status.
+   */
+  CLOB_PAIR_STATUS_FINAL_SETTLEMENT = 6,
   UNRECOGNIZED = -1,
 }
 /**
@@ -348,6 +356,14 @@ export enum ClobPairStatusSDKType {
    * both short-term and post-only.
    */
   CLOB_PAIR_STATUS_INITIALIZING = 5,
+
+  /**
+   * CLOB_PAIR_STATUS_FINAL_SETTLEMENT - CLOB_PAIR_STATUS_FINAL_SETTLEMENT represents a clob pair that has been
+   * deactivated. Clob pairs in this state do not accept new orders and trading
+   * is blocked. All open positions are closed by the protocol when the clob
+   * pair gains this status.
+   */
+  CLOB_PAIR_STATUS_FINAL_SETTLEMENT = 6,
   UNRECOGNIZED = -1,
 }
 export function clobPairStatusFromJSON(object: any): ClobPairStatus {
@@ -376,6 +392,10 @@ export function clobPairStatusFromJSON(object: any): ClobPairStatus {
     case "CLOB_PAIR_STATUS_INITIALIZING":
       return ClobPairStatus.CLOB_PAIR_STATUS_INITIALIZING;
 
+    case 6:
+    case "CLOB_PAIR_STATUS_FINAL_SETTLEMENT":
+      return ClobPairStatus.CLOB_PAIR_STATUS_FINAL_SETTLEMENT;
+
     case -1:
     case "UNRECOGNIZED":
     default:
@@ -402,6 +422,9 @@ export function clobPairStatusToJSON(object: ClobPairStatus): string {
     case ClobPairStatus.CLOB_PAIR_STATUS_INITIALIZING:
       return "CLOB_PAIR_STATUS_INITIALIZING";
 
+    case ClobPairStatus.CLOB_PAIR_STATUS_FINAL_SETTLEMENT:
+      return "CLOB_PAIR_STATUS_FINAL_SETTLEMENT";
+
     case ClobPairStatus.UNRECOGNIZED:
     default:
       return "UNRECOGNIZED";

indexer/packages/v4-protos/src/codegen/dydxprotocol/indexer/shared/removal_reason.ts

@@ -75,6 +75,9 @@ export enum OrderRemovalReason {
    * equity tier requirements.
    */
   ORDER_REMOVAL_REASON_EQUITY_TIER = 13,
+
+  /** ORDER_REMOVAL_REASON_FINAL_SETTLEMENT - The order has been removed since its ClobPair has entered final settlement. */
+  ORDER_REMOVAL_REASON_FINAL_SETTLEMENT = 14,
   UNRECOGNIZED = -1,
 }
 /** OrderRemovalReason is an enum of all the reasons an order was removed. */
@@ -155,6 +158,9 @@ export enum OrderRemovalReasonSDKType {
    * equity tier requirements.
    */
   ORDER_REMOVAL_REASON_EQUITY_TIER = 13,
+
+  /** ORDER_REMOVAL_REASON_FINAL_SETTLEMENT - The order has been removed since its ClobPair has entered final settlement. */
+  ORDER_REMOVAL_REASON_FINAL_SETTLEMENT = 14,
   UNRECOGNIZED = -1,
 }
 export function orderRemovalReasonFromJSON(object: any): OrderRemovalReason {
@@ -215,6 +221,10 @@ export function orderRemovalReasonFromJSON(object: any): OrderRemovalReason {
     case "ORDER_REMOVAL_REASON_EQUITY_TIER":
       return OrderRemovalReason.ORDER_REMOVAL_REASON_EQUITY_TIER;
 
+    case 14:
+    case "ORDER_REMOVAL_REASON_FINAL_SETTLEMENT":
+      return OrderRemovalReason.ORDER_REMOVAL_REASON_FINAL_SETTLEMENT;
+
     case -1:
     case "UNRECOGNIZED":
     default:
@@ -265,6 +275,9 @@ export function orderRemovalReasonToJSON(object: OrderRemovalReason): string {
     case OrderRemovalReason.ORDER_REMOVAL_REASON_EQUITY_TIER:
       return "ORDER_REMOVAL_REASON_EQUITY_TIER";
 
+    case OrderRemovalReason.ORDER_REMOVAL_REASON_FINAL_SETTLEMENT:
+      return "ORDER_REMOVAL_REASON_FINAL_SETTLEMENT";
+
     case OrderRemovalReason.UNRECOGNIZED:
     default:
       return "UNRECOGNIZED";

indexer/services/comlink/public/api-documentation.md

@@ -2816,6 +2816,7 @@ or
 |*anonymous*|CANCEL_ONLY|
 |*anonymous*|POST_ONLY|
 |*anonymous*|INITIALIZING|
+|*anonymous*|FINAL_SETTLEMENT|
 
 ## PerpetualMarketResponseObject
 

indexer/services/comlink/public/swagger.json

@@ -686,7 +686,8 @@
           "PAUSED",
           "CANCEL_ONLY",
           "POST_ONLY",
-          "INITIALIZING"
+          "INITIALIZING",
+          "FINAL_SETTLEMENT"
         ],
         "type": "string"
       },

indexer/services/ender/__tests__/helpers/constants.ts

@@ -288,6 +288,7 @@ export const defaultDeleveragingEvent: DeleveragingEventV1 = {
   fillAmount: Long.fromValue(10_000, true),
   price: Long.fromValue(1_000_000_000, true),
   isBuy: true,
+  isFinalSettlement: false,
 };
 export const defaultDepositEvent: TransferEventV1 = {
   assetId: 0,

indexer/services/ender/src/scripts/dydx_clob_pair_status_to_market_status.sql

@@ -17,6 +17,7 @@ BEGIN
         WHEN '3'::jsonb THEN RETURN 'CANCEL_ONLY'; /** CLOB_PAIR_STATUS_CANCEL_ONLY */
         WHEN '4'::jsonb THEN RETURN 'POST_ONLY'; /** CLOB_PAIR_STATUS_POST_ONLY */
         WHEN '5'::jsonb THEN RETURN 'INITIALIZING'; /** CLOB_PAIR_STATUS_INITIALIZING */
+        WHEN '6'::jsonb THEN RETURN 'FINAL_SETTLEMENT'; /** CLOB_PAIR_STATUS_FINAL_SETTLEMENT */
         ELSE RAISE EXCEPTION 'Invalid clob pair status: %', status;
     END CASE;
 END;

proto/dydxprotocol/clob/clob_pair.proto

@@ -65,6 +65,11 @@ message ClobPair {
     // Clob pairs in this state only accept orders which are
     // both short-term and post-only.
     STATUS_INITIALIZING = 5;
+    // STATUS_FINAL_SETTLEMENT represents a clob pair which is deactivated
+    // and trading has ceased. All open positions will be closed by the
+    // protocol. Open stateful orders will be cancelled. Open short-term
+    // orders will be left to expire.
+    STATUS_FINAL_SETTLEMENT = 6;
   }
 
   Status status = 7;

proto/dydxprotocol/clob/matches.proto

@@ -75,4 +75,10 @@ message MatchPerpetualDeleveraging {
   }
   // An ordered list of fills created by this liquidation.
   repeated Fill fills = 3 [ (gogoproto.nullable) = false ];
+
+  // Flag denoting whether the deleveraging operation was for the purpose
+  // of final settlement. Final settlement matches are at the oracle price,
+  // whereas deleveraging happens at the bankruptcy price of the deleveraged
+  // subaccount.
+  bool is_final_settlement = 4;
 }

proto/dydxprotocol/indexer/events/events.proto

@@ -180,10 +180,15 @@ message DeleveragingEventV1 {
   // The amount filled between the liquidated and offsetting position, in
   // base quantums.
   uint64 fill_amount = 4;
-  // Bankruptcy price of liquidated subaccount, in USDC quote quantums.
+  // Fill price of deleveraging event, in USDC quote quantums.
   uint64 price = 5;
   // `true` if liquidating a short position, `false` otherwise.
   bool is_buy = 6;
+  // `true` if the deleveraging event is for final settlement, indicating
+  // the match occurred at the oracle price rather than bankruptcy price.
+  // When this flag is `false`, the fill price is the bankruptcy price
+  // of the liquidated subaccount.
+  bool is_final_settlement = 7;
 }
 
 // LiquidationOrder represents the liquidation taker order to be included in a

proto/dydxprotocol/indexer/protocol/v1/clob.proto

@@ -173,4 +173,9 @@ enum ClobPairStatus {
   // Clob pairs in this state only accept orders which are
   // both short-term and post-only.
   CLOB_PAIR_STATUS_INITIALIZING = 5;
+  // CLOB_PAIR_STATUS_FINAL_SETTLEMENT represents a clob pair that has been
+  // deactivated. Clob pairs in this state do not accept new orders and trading
+  // is blocked. All open positions are closed by the protocol when the clob
+  // pair gains this status.
+  CLOB_PAIR_STATUS_FINAL_SETTLEMENT = 6;
 }