[IND-461] handle deleveraging events

indexer/packages/postgres/src/db/migrations/migration_files/20220727134954_create_fills.ts

@@ -19,6 +19,8 @@ export async function up(knex: Knex): Promise<void> {
         'LIMIT',
         'LIQUIDATED',
         'LIQUIDATION',
+        'DELEVERAGED',
+        'OFFSETTING',
       ]).notNullable();
       table.bigInteger('clobPairId').notNullable();
       table.uuid('orderId').nullable();

indexer/packages/postgres/src/db/migrations/migration_files/20231101173444_update_fills_type_with_deleverage.ts

@@ -0,0 +1,23 @@
+import * as Knex from 'knex';
+
+export async function up(knex: Knex): Promise<void> {
+  return knex.raw(`
+    ALTER TABLE ONLY fills
+    DROP CONSTRAINT IF EXISTS fills_type_check;
+
+    ALTER TABLE ONLY fills
+    ADD CONSTRAINT fills_type_check
+    CHECK (type = ANY (ARRAY['MARKET'::text, 'LIMIT'::text, 'LIQUIDATED'::text, 'LIQUIDATION'::text, 'DELEVERAGED'::text, 'OFFSETTING'::text]));
+  `);
+}
+
+export async function down(knex: Knex): Promise<void> {
+  return knex.raw(`
+    ALTER TABLE ONLY fills
+    DROP CONSTRAINT IF EXISTS fills_type_check;
+
+    ALTER TABLE ONLY fills
+    ADD CONSTRAINT fills_type_check
+    CHECK (type = ANY (ARRAY['MARKET'::text, 'LIMIT'::text, 'LIQUIDATED'::text, 'LIQUIDATION'::text]));
+  `);
+}

indexer/packages/postgres/src/types/fill-types.ts

@@ -23,6 +23,12 @@ export enum FillType {
   LIQUIDATED = 'LIQUIDATED',
   // LIQUIDATION is for the maker side of the fill, never used for orders
   LIQUIDATION = 'LIQUIDATION',
+  // DELEVERAGED is for the subaccount that was deleveraged in a deleveraging event.
+  // The fill type will be set to taker.
+  DELEVERAGED = 'DELEVERAGED',
+  // OFFSETTING is for the offsetting subaccount in a deleveraging event.
+  // The fill type will be set to maker.
+  OFFSETTING = 'OFFSETTING',
 }
 
 export interface FillCreateObject {

indexer/packages/postgres/src/types/websocket-message-types.ts

@@ -175,7 +175,8 @@ export interface TradeContent {
   price: string,
   side: string,
   createdAt: IsoString,
-  liquidation: boolean,
+  liquidation?: boolean,
+  deleveraging?: boolean,
 }
 
 /* ------- MarketMessageContents ------- */

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

@@ -444,6 +444,68 @@ export interface OrderFillEventV1SDKType {
 
   total_filled_taker: Long;
 }
+/**
+ * DeleveragingEvent message contains all the information for a deleveraging
+ * on the dYdX chain. This includes the liquidated/offsetting subaccounts and
+ * the amount filled.
+ */
+
+export interface DeleveragingEventV1 {
+  /** ID of the subaccount that was liquidated. */
+  liquidated?: IndexerSubaccountId;
+  /** ID of the subaccount that was used to offset the position. */
+
+  offsetting?: IndexerSubaccountId;
+  /** The ID of the clob pair that was liquidated. */
+
+  clobPairId: number;
+  /**
+   * The amount filled between the liquidated and offsetting position, in
+   * base quantums.
+   */
+
+  fillAmount: Long;
+  /**
+   * The closing price in subticks. Bankruptcy price of liquidated subaccount
+   * is not guaranteed to be a multiple of subticks_per_tick.
+   */
+
+  subticks: Long;
+  /** `true` if liquidating a short position, `false` otherwise. */
+
+  isBuy: boolean;
+}
+/**
+ * DeleveragingEvent message contains all the information for a deleveraging
+ * on the dYdX chain. This includes the liquidated/offsetting subaccounts and
+ * the amount filled.
+ */
+
+export interface DeleveragingEventV1SDKType {
+  /** ID of the subaccount that was liquidated. */
+  liquidated?: IndexerSubaccountIdSDKType;
+  /** ID of the subaccount that was used to offset the position. */
+
+  offsetting?: IndexerSubaccountIdSDKType;
+  /** The ID of the clob pair that was liquidated. */
+
+  clob_pair_id: number;
+  /**
+   * The amount filled between the liquidated and offsetting position, in
+   * base quantums.
+   */
+
+  fill_amount: Long;
+  /**
+   * The closing price in subticks. Bankruptcy price of liquidated subaccount
+   * is not guaranteed to be a multiple of subticks_per_tick.
+   */
+
+  subticks: Long;
+  /** `true` if liquidating a short position, `false` otherwise. */
+
+  is_buy: boolean;
+}
 /**
  * LiquidationOrder represents the liquidation taker order to be included in a
  * liquidation order fill event.
@@ -1719,6 +1781,101 @@ export const OrderFillEventV1 = {
 
 };
 
+function createBaseDeleveragingEventV1(): DeleveragingEventV1 {
+  return {
+    liquidated: undefined,
+    offsetting: undefined,
+    clobPairId: 0,
+    fillAmount: Long.UZERO,
+    subticks: Long.UZERO,
+    isBuy: false
+  };
+}
+
+export const DeleveragingEventV1 = {
+  encode(message: DeleveragingEventV1, writer: _m0.Writer = _m0.Writer.create()): _m0.Writer {
+    if (message.liquidated !== undefined) {
+      IndexerSubaccountId.encode(message.liquidated, writer.uint32(10).fork()).ldelim();
+    }
+
+    if (message.offsetting !== undefined) {
+      IndexerSubaccountId.encode(message.offsetting, writer.uint32(18).fork()).ldelim();
+    }
+
+    if (message.clobPairId !== 0) {
+      writer.uint32(24).uint32(message.clobPairId);
+    }
+
+    if (!message.fillAmount.isZero()) {
+      writer.uint32(32).uint64(message.fillAmount);
+    }
+
+    if (!message.subticks.isZero()) {
+      writer.uint32(40).uint64(message.subticks);
+    }
+
+    if (message.isBuy === true) {
+      writer.uint32(48).bool(message.isBuy);
+    }
+
+    return writer;
+  },
+
+  decode(input: _m0.Reader | Uint8Array, length?: number): DeleveragingEventV1 {
+    const reader = input instanceof _m0.Reader ? input : new _m0.Reader(input);
+    let end = length === undefined ? reader.len : reader.pos + length;
+    const message = createBaseDeleveragingEventV1();
+
+    while (reader.pos < end) {
+      const tag = reader.uint32();
+
+      switch (tag >>> 3) {
+        case 1:
+          message.liquidated = IndexerSubaccountId.decode(reader, reader.uint32());
+          break;
+
+        case 2:
+          message.offsetting = IndexerSubaccountId.decode(reader, reader.uint32());
+          break;
+
+        case 3:
+          message.clobPairId = reader.uint32();
+          break;
+
+        case 4:
+          message.fillAmount = (reader.uint64() as Long);
+          break;
+
+        case 5:
+          message.subticks = (reader.uint64() as Long);
+          break;
+
+        case 6:
+          message.isBuy = reader.bool();
+          break;
+
+        default:
+          reader.skipType(tag & 7);
+          break;
+      }
+    }
+
+    return message;
+  },
+
+  fromPartial(object: DeepPartial<DeleveragingEventV1>): DeleveragingEventV1 {
+    const message = createBaseDeleveragingEventV1();
+    message.liquidated = object.liquidated !== undefined && object.liquidated !== null ? IndexerSubaccountId.fromPartial(object.liquidated) : undefined;
+    message.offsetting = object.offsetting !== undefined && object.offsetting !== null ? IndexerSubaccountId.fromPartial(object.offsetting) : undefined;
+    message.clobPairId = object.clobPairId ?? 0;
+    message.fillAmount = object.fillAmount !== undefined && object.fillAmount !== null ? Long.fromValue(object.fillAmount) : Long.UZERO;
+    message.subticks = object.subticks !== undefined && object.subticks !== null ? Long.fromValue(object.subticks) : Long.UZERO;
+    message.isBuy = object.isBuy ?? false;
+    return message;
+  }
+
+};
+
 function createBaseLiquidationOrderV1(): LiquidationOrderV1 {
   return {
     liquidated: undefined,

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

@@ -2287,6 +2287,8 @@ This operation does not require authentication
 |*anonymous*|LIMIT|
 |*anonymous*|LIQUIDATED|
 |*anonymous*|LIQUIDATION|
+|*anonymous*|DELEVERAGED|
+|*anonymous*|OFFSETTING|
 
 ## MarketType
 

indexer/services/comlink/public/swagger.json

@@ -304,7 +304,9 @@
           "MARKET",
           "LIMIT",
           "LIQUIDATED",
-          "LIQUIDATION"
+          "LIQUIDATION",
+          "DELEVERAGED",
+          "OFFSETTING"
         ],
         "type": "string"
       },