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[IND-482]: Send timing fields for orders when possible
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@Christopher-Li
Christopher-Li committed Nov 7, 2023
1 parent 32e07b2 commit 8720e04
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Showing 7 changed files with 59 additions and 3 deletions.
1 change: 1 addition & 0 deletions indexer/packages/postgres/__tests__/helpers/constants.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -226,6 +226,7 @@ export const defaultOrderGoodTilBlockTime: OrderCreateObject = {
clientId: '2',
goodTilBlock: undefined,
goodTilBlockTime: '2023-01-22T00:00:00.000Z',
createdAtHeight: '1',
orderFlags: ORDER_FLAG_LONG_TERM.toString(),
};

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1 change: 1 addition & 0 deletions indexer/packages/postgres/src/types/db-model-types.ts
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Expand Up @@ -66,6 +66,7 @@ export interface OrderFromDatabase extends IdBasedModelFromDatabase {
updatedAtHeight: string;
goodTilBlock?: string;
goodTilBlockTime?: string;
// createdAtHeight is optional because short term orders do not have a createdAtHeight.
createdAtHeight?: string;
clientMetadata: string;
triggerPrice?: string;
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1 change: 1 addition & 0 deletions indexer/packages/postgres/src/types/order-types.ts
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Expand Up @@ -62,6 +62,7 @@ export interface OrderCreateObject {
updatedAtHeight: string;
goodTilBlock?: string;
goodTilBlockTime?: string;
// createdAtHeight is optional because short term orders do not have a createdAtHeight.
createdAtHeight?: string;
clientMetadata: string;
triggerPrice?: string,
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7 changes: 5 additions & 2 deletions indexer/services/vulcan/__tests__/handlers/order-place-handler.test.ts
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Expand Up @@ -62,7 +62,7 @@ import { onMessage } from '../../src/lib/on-message';
import { expectCanceledOrderStatus, expectOpenOrderIds, handleInitialOrderPlace } from '../helpers/helpers';
import { expectOffchainUpdateMessage, expectWebsocketOrderbookMessage, expectWebsocketSubaccountMessage } from '../helpers/websocket-helpers';
import { OrderbookSide } from '../../src/lib/types';
import { getOrderIdHash } from '@dydxprotocol-indexer/v4-proto-parser';
import { getOrderIdHash, isStatefulOrder } from '@dydxprotocol-indexer/v4-proto-parser';

jest.mock('@dydxprotocol-indexer/base', () => ({
...jest.requireActual('@dydxprotocol-indexer/base'),
Expand Down Expand Up @@ -1078,6 +1078,7 @@ function expectWebsocketMessagesSent(
const orderTIF: TimeInForce = protocolTranslations.protocolOrderTIFToTIF(
redisOrder.order!.timeInForce,
);
const isStateful: boolean = isStatefulOrder(redisOrder.order!.orderId!.orderFlags);
const contents: SubaccountMessageContents = {
orders: [
{
Expand All @@ -1104,7 +1105,9 @@ function expectWebsocketMessagesSent(
?.toString(),
goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(redisOrder.order!),
ticker: redisOrder.ticker,
...(dbOrder.createdAtHeight && { createdAtHeight: dbOrder.createdAtHeight }),
...(isStateful && { createdAtHeight: dbOrder.createdAtHeight }),
...(isStateful && { updatedAt: dbOrder.updatedAt }),
...(isStateful && { updatedAtHeight: dbOrder.updatedAtHeight }),
clientMetadata: redisOrder.order!.clientMetadata.toString(),
triggerPrice: getTriggerPrice(redisOrder.order!, perpetualMarket),
},
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27 changes: 27 additions & 0 deletions indexer/services/vulcan/__tests__/handlers/order-remove-handler.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -341,6 +341,9 @@ describe('OrderRemoveHandler', () => {
goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(removedRedisOrder.order!),
ticker: redisTestConstants.defaultRedisOrder.ticker,
removalReason: OrderRemovalReason[defaultOrderRemove.reason],
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
clientMetadata: removedRedisOrder.order!.clientMetadata.toString(),
triggerPrice,
},
Expand Down Expand Up @@ -475,6 +478,9 @@ describe('OrderRemoveHandler', () => {
goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(removedRedisOrder.order!),
ticker: redisTestConstants.defaultRedisOrder.ticker,
removalReason: OrderRemovalReason[defaultOrderRemove.reason],
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
clientMetadata: removedRedisOrder.order!.clientMetadata.toString(),
triggerPrice,
},
Expand Down Expand Up @@ -610,6 +616,9 @@ describe('OrderRemoveHandler', () => {
goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(removedRedisOrder.order!),
ticker: redisTestConstants.defaultRedisOrder.ticker,
removalReason: OrderRemovalReason[defaultOrderRemove.reason],
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
clientMetadata: removedRedisOrder.order!.clientMetadata.toString(),
triggerPrice,
}],
Expand Down Expand Up @@ -746,6 +755,9 @@ describe('OrderRemoveHandler', () => {
goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(removedRedisOrder.order!),
ticker: redisTestConstants.defaultRedisOrder.ticker,
removalReason: OrderRemovalReason[defaultOrderRemove.reason],
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
clientMetadata: removedRedisOrder.order!.clientMetadata.toString(),
triggerPrice,
}],
Expand Down Expand Up @@ -1041,6 +1053,9 @@ describe('OrderRemoveHandler', () => {
goodTilBlockTime: removedOrder.goodTilBlockTime,
ticker: removedRedisOrder.ticker,
removalReason: OrderRemovalReason[statefulCancelationOrderRemove.reason],
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
clientMetadata: removedOrder.clientMetadata.toString(),
triggerPrice,
}],
Expand Down Expand Up @@ -1152,6 +1167,9 @@ describe('OrderRemoveHandler', () => {
goodTilBlockTime: removedOrder.goodTilBlockTime,
ticker: removedRedisOrder.ticker,
removalReason: OrderRemovalReason[statefulCancelationOrderRemove.reason],
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
clientMetadata: removedOrder.clientMetadata.toString(),
triggerPrice,
}],
Expand Down Expand Up @@ -1271,6 +1289,9 @@ describe('OrderRemoveHandler', () => {
goodTilBlockTime: removedOrder.goodTilBlockTime,
ticker: removedRedisOrder.ticker,
removalReason: OrderRemovalReason[statefulCancelationOrderRemove.reason],
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
clientMetadata: removedOrder.clientMetadata.toString(),
triggerPrice,
}],
Expand Down Expand Up @@ -1406,6 +1427,9 @@ describe('OrderRemoveHandler', () => {
goodTilBlockTime: removedOrder.goodTilBlockTime,
ticker: removedRedisOrder.ticker,
removalReason: OrderRemovalReason[statefulCancelationOrderRemove.reason],
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
clientMetadata: removedOrder.clientMetadata.toString(),
triggerPrice,
}],
Expand Down Expand Up @@ -1536,6 +1560,9 @@ describe('OrderRemoveHandler', () => {
?.toString(),
goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(removedRedisOrder.order!),
ticker: redisTestConstants.defaultRedisOrder.ticker,
createdAtHeight: removedOrder.createdAtHeight,
updatedAt: removedOrder.updatedAt,
updatedAtHeight: removedOrder.updatedAtHeight,
removalReason: OrderRemovalReason[indexerExpiredOrderRemoved.reason],
clientMetadata: testConstants.defaultOrderGoodTilBlockTime.clientMetadata.toString(),
},
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5 changes: 5 additions & 0 deletions indexer/services/vulcan/src/handlers/order-place-handler.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@ import {
perpetualMarketRefresher,
protocolTranslations,
OrderFromDatabase,
IsoString,
} from '@dydxprotocol-indexer/postgres';
import {
OpenOrdersCache,
Expand Down Expand Up @@ -280,6 +281,8 @@ export class OrderPlaceHandler extends Handler {
: APIOrderStatusEnum.BEST_EFFORT_OPENED
);
const createdAtHeight: string | undefined = order?.createdAtHeight;
const updatedAt: IsoString | undefined = order?.updatedAt;
const updatedAtHeight: string | undefined = order?.updatedAtHeight;
const contents: SubaccountMessageContents = {
orders: [
{
Expand All @@ -305,6 +308,8 @@ export class OrderPlaceHandler extends Handler {
goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(redisOrder.order!),
ticker: redisOrder.ticker,
...(createdAtHeight && { createdAtHeight }),
...(updatedAt && { updatedAt }),
...(updatedAtHeight && { updatedAtHeight }),
clientMetadata: redisOrder.order!.clientMetadata.toString(),
triggerPrice: getTriggerPrice(redisOrder.order!, perpetualMarket),
},
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20 changes: 19 additions & 1 deletion indexer/services/vulcan/src/handlers/order-remove-handler.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -13,6 +13,7 @@ import {
SubaccountTable,
apiTranslations,
TimeInForce,
IsoString,
} from '@dydxprotocol-indexer/postgres';
import {
OpenOrdersCache,
Expand Down Expand Up @@ -276,16 +277,23 @@ export class OrderRemoveHandler extends Handler {

// If the remaining amount of the order in state is <= 0, the order is filled and
// does not need to have it's status updated
let canceledOrder: OrderFromDatabase | undefined;
if (stateRemainingQuantums.gt(0)) {
await runFuncWithTimingStat(
canceledOrder = await runFuncWithTimingStat(
this.cancelOrderInPostgres(orderRemove),
this.generateTimingStatsOptions('cancel_order_in_postgres'),
);
} else {
await runFuncWithTimingStat(
OrderTable.findById(OrderTable.orderIdToUuid(orderRemove.removedOrderId!)),
this.generateTimingStatsOptions('find_order'),
);
}

const subaccountMessage: Message = {
value: this.createSubaccountWebsocketMessageFromRemoveOrderResult(
removeOrderResult,
canceledOrder,
orderRemove,
perpetualMarket,
),
Expand Down Expand Up @@ -505,13 +513,17 @@ export class OrderRemoveHandler extends Handler {

protected createSubaccountWebsocketMessageFromRemoveOrderResult(
removeOrderResult: RemoveOrderResult,
canceledOrder: OrderFromDatabase | undefined,
orderRemove: OrderRemoveV1,
perpetualMarket: PerpetualMarketFromDatabase,
): Buffer {
const redisOrder: RedisOrder = removeOrderResult.removedOrder!;
const orderTIF: TimeInForce = protocolTranslations.protocolOrderTIFToTIF(
redisOrder.order!.timeInForce,
);
const createdAtHeight: string | undefined = canceledOrder?.createdAtHeight;
const updatedAt: IsoString | undefined = canceledOrder?.updatedAt;
const updatedAtHeight: string | undefined = canceledOrder?.updatedAtHeight;
const contents: SubaccountMessageContents = {
orders: [
{
Expand Down Expand Up @@ -541,6 +553,9 @@ export class OrderRemoveHandler extends Handler {
goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(redisOrder.order!),
ticker: redisOrder.ticker,
removalReason: OrderRemovalReason[orderRemove.reason],
...(createdAtHeight && { createdAtHeight }),
...(updatedAt && { updatedAt }),
...(updatedAtHeight && { updatedAtHeight }),
clientMetadata: redisOrder.order!.clientMetadata.toString(),
triggerPrice: getTriggerPrice(redisOrder.order!, perpetualMarket),
},
Expand Down Expand Up @@ -584,6 +599,9 @@ export class OrderRemoveHandler extends Handler {
goodTilBlockTime: order.goodTilBlockTime ?? undefined,
ticker: orderTicker,
removalReason: OrderRemovalReason[orderRemove.reason],
createdAtHeight: order.createdAtHeight,
updatedAt: order.updatedAt,
updatedAtHeight: order.updatedAtHeight,
clientMetadata: order.clientMetadata,
triggerPrice: order.triggerPrice ?? undefined,
},
Expand Down

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