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[IND-486] update trades api with fill type #779

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merged 4 commits into from
Nov 9, 2023
Merged

[IND-486] update trades api with fill type #779

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3351d10
update trades api with fill type
dydxwill Nov 9, 2023
ea2117e
lint
dydxwill Nov 9, 2023
7b74826
address cmts
dydxwill Nov 9, 2023
830e352
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dydxwill Nov 9, 2023
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2 changes: 1 addition & 1 deletion indexer/packages/kafka/src/constants.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -2,6 +2,6 @@ export const TO_ENDER_TOPIC: string = 'to-ender';

export const ORDERBOOKS_WEBSOCKET_MESSAGE_VERSION: string = '1.0.0';
export const SUBACCOUNTS_WEBSOCKET_MESSAGE_VERSION: string = '2.4.0';
export const TRADES_WEBSOCKET_MESSAGE_VERSION: string = '1.1.0';
export const TRADES_WEBSOCKET_MESSAGE_VERSION: string = '2.1.0';
export const MARKETS_WEBSOCKET_MESSAGE_VERSION: string = '1.0.0';
export const CANDLES_WEBSOCKET_MESSAGE_VERSION: string = '1.0.0';
3 changes: 1 addition & 2 deletions indexer/packages/postgres/src/types/websocket-message-types.ts
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Expand Up @@ -175,8 +175,7 @@ export interface TradeContent {
price: string,
side: string,
createdAt: IsoString,
liquidation: boolean,
deleveraging: boolean,
type: FillType,
}

/* ------- MarketMessageContents ------- */
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4 changes: 4 additions & 0 deletions indexer/services/comlink/public/api-documentation.md
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Expand Up @@ -1639,6 +1639,7 @@ fetch('https://indexer.v4testnet.dydx.exchange/v4/trades/perpetualMarket/{ticker
"side": "BUY",
"size": "string",
"price": "string",
"type": "LIMIT",
"createdAt": "string",
"createdAtHeight": "string"
}
Expand Down Expand Up @@ -3062,6 +3063,7 @@ or
"side": "BUY",
"size": "string",
"price": "string",
"type": "LIMIT",
"createdAt": "string",
"createdAtHeight": "string"
}
Expand All @@ -3076,6 +3078,7 @@ or
|side|[OrderSide](#schemaorderside)|true|none|none|
|size|string|true|none|none|
|price|string|true|none|none|
|type|[FillType](#schemafilltype)|true|none|none|
|createdAt|[IsoString](#schemaisostring)|true|none|none|
|createdAtHeight|string|true|none|none|

Expand All @@ -3094,6 +3097,7 @@ or
"side": "BUY",
"size": "string",
"price": "string",
"type": "LIMIT",
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are you manually editing this? It should be autogenerated when comlink is built

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ah yeah, cc @johnqh

"createdAt": "string",
"createdAtHeight": "string"
}
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4 changes: 4 additions & 0 deletions indexer/services/comlink/public/swagger.json
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Expand Up @@ -859,6 +859,9 @@
"price": {
"type": "string"
},
"type": {
"$ref": "#/components/schemas/FillType"
},
"createdAt": {
"$ref": "#/components/schemas/IsoString"
},
Expand All @@ -871,6 +874,7 @@
"side",
"size",
"price",
"type",
"createdAt",
"createdAtHeight"
],
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10 changes: 5 additions & 5 deletions indexer/services/comlink/public/websocket-documentation.md
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Expand Up @@ -714,7 +714,7 @@ interface TradeContent {
price: string,
side: string,
createdAt: IsoString,
liquidation: boolean,
type: FillType,
}
```

Expand All @@ -736,31 +736,31 @@ interface TradeContent {
"price": "27839",
"side": "BUY",
"createdAt": "2023-04-04T00:29:19.353Z",
"liquidation": false
"type": "LIQUIDATION"
},
{
"id": "38e64479-af09-5417-a795-195f83879156",
"size": "0.000000004",
"price": "27839",
"side": "BUY",
"createdAt": "2023-04-04T00:29:19.353Z",
"liquidation": false
"type": "LIQUIDATION"
},
{
"id": "d310c32c-f066-5ba8-a97d-10a29d9a6c84",
"size": "0.000000005",
"price": "27837",
"side": "SELL",
"createdAt": "2023-04-04T00:29:19.353Z",
"liquidation": false
"type": "MARKET"
},
{
"id": "dd1088b5-5cab-518f-a59c-4d5f735ab861",
"size": "0.000118502",
"price": "27837",
"side": "SELL",
"createdAt": "2023-04-04T00:29:19.353Z",
"liquidation": false
"type": "LIMIT"
},
],
},
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1 change: 1 addition & 0 deletions indexer/services/comlink/src/request-helpers/request-transformer.ts
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Expand Up @@ -177,6 +177,7 @@ export function fillToTradeResponseObject(
side: fill.side,
size: fill.size,
price: fill.price,
type: fill.type,
createdAt: fill.createdAt,
createdAtHeight: fill.createdAtHeight,
};
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1 change: 1 addition & 0 deletions indexer/services/comlink/src/types.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -174,6 +174,7 @@ export interface TradeResponseObject {
side: OrderSide,
size: string,
price: string,
type: FillType,
createdAt: IsoString,
createdAtHeight: string,
}
Expand Down
36 changes: 18 additions & 18 deletions indexer/services/ender/__tests__/helpers/constants.ts
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@@ -1,36 +1,36 @@
import { SUBACCOUNTS_WEBSOCKET_MESSAGE_VERSION } from '@dydxprotocol-indexer/kafka';
import { testConstants, TradeContent } from '@dydxprotocol-indexer/postgres';
import { FillType, testConstants, TradeContent } from '@dydxprotocol-indexer/postgres';
import {
bigIntToBytes,
ORDER_FLAG_CONDITIONAL,
ORDER_FLAG_LONG_TERM,
ORDER_FLAG_SHORT_TERM,
ORDER_FLAG_CONDITIONAL,
} from '@dydxprotocol-indexer/v4-proto-parser';
import {
AssetCreateEventV1,
ClobPairStatus,
DeleveragingEventV1,
FundingEventV1_Type,
LiquidationOrderV1,
MarketBaseEventV1,
MarketEventV1,
IndexerOrder,
IndexerOrder_ConditionType,
IndexerOrder_Side,
IndexerOrder_TimeInForce,
OrderFillEventV1,
IndexerOrderId,
StatefulOrderEventV1,
IndexerSubaccountId,
LiquidationOrderV1,
LiquidityTierUpsertEventV1,
MarketBaseEventV1,
MarketEventV1,
OrderFillEventV1,
OrderRemovalReason,
PerpetualMarketCreateEventV1,
StatefulOrderEventV1,
SubaccountMessage,
SubaccountUpdateEventV1,
Timestamp,
TransferEventV1,
IndexerOrder_ConditionType,
OrderRemovalReason,
AssetCreateEventV1,
PerpetualMarketCreateEventV1,
ClobPairStatus,
LiquidityTierUpsertEventV1,
UpdatePerpetualEventV1,
UpdateClobPairEventV1,
DeleveragingEventV1,
UpdatePerpetualEventV1,
} from '@dydxprotocol-indexer/v4-protos';
import Long from 'long';
import { DateTime } from 'luxon';
Expand All @@ -40,7 +40,8 @@ import { SubaccountUpdate } from '../../src/lib/translated-types';
import {
ConsolidatedKafkaEvent,
FundingEventMessage,
OrderFillEventWithLiquidation, OrderFillEventWithOrder,
OrderFillEventWithLiquidation,
OrderFillEventWithOrder,
SingleTradeMessage,
} from '../../src/lib/types';
import { contentToSingleTradeMessage, createConsolidatedKafkaEventFromTrade } from './kafka-publisher-helpers';
Expand Down Expand Up @@ -324,8 +325,7 @@ export const defaultTradeContent: TradeContent = {
price: '10000',
side: 'BUY',
createdAt: 'createdAt',
liquidation: true,
deleveraging: false,
type: FillType.MARKET,
};
export const defaultTradeMessage: SingleTradeMessage = contentToSingleTradeMessage(
defaultTradeContent,
Expand Down
5 changes: 1 addition & 4 deletions indexer/services/ender/__tests__/helpers/indexer-proto-helpers.ts
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Expand Up @@ -58,8 +58,6 @@ import {
generateFillSubaccountMessage,
generatePerpetualMarketMessage,
generatePerpetualPositionsContents,
isDeleveraging,
isLiquidation,
} from '../../src/helpers/kafka-helper';
import { protoTimestampToDate } from '../../src/lib/helper';
import { DydxIndexerSubtypes, VulcanMessage } from '../../src/lib/types';
Expand Down Expand Up @@ -807,8 +805,7 @@ export async function expectDefaultTradeKafkaMessageFromTakerFillId(
price: takerFill!.price,
side: takerFill!.side.toString(),
createdAt: takerFill!.createdAt,
liquidation: isLiquidation(takerFill!),
deleveraging: isDeleveraging(takerFill!),
type: takerFill!.type,
},
],
};
Comment on lines 805 to 811
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The type property of the takerFill object is directly assigned to the type property of the trade object in the contents variable. This could potentially lead to incorrect data if the type property of the takerFill object does not match the expected values for the type property of the trade object. It would be safer to map the type property of the takerFill object to the corresponding value for the type property of the trade object.

- type: takerFill!.type,
+ type: mapFillTypeToTradeType(takerFill!.type),

Please ensure that the mapFillTypeToTradeType function is implemented to correctly map the type property of the takerFill object to the corresponding value for the type property of the trade object.

Commitable suggestion

[!IMPORTANT]
Carefully review the code before committing. Make sure it correctly replaces the highlighted code, has no missing lines and indentaion issues.

Suggested change
price: takerFill!.price,
side: takerFill!.side.toString(),
createdAt: takerFill!.createdAt,
liquidation: isLiquidation(takerFill!),
deleveraging: isDeleveraging(takerFill!),
type: takerFill!.type,
},
],
};
price: takerFill!.price,
side: takerFill!.side.toString(),
createdAt: takerFill!.createdAt,
type: mapFillTypeToTradeType(takerFill!.type),
},
],
};

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I am OK with using FillType directly here. It wouldn't hurt to create a new TradeType and do the mapping, but it won't make any difference to FE at this moment.

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@johnqh Understood. If you're confident that the FillType values will always align with the expected TradeType values, then using FillType directly should be fine. However, if there's any chance that these could diverge in the future, implementing a mapping function like mapFillTypeToTradeType could provide an extra layer of safety. But for now, we can proceed as is. Thank you for your input.

Expand Down
15 changes: 4 additions & 11 deletions indexer/services/ender/__tests__/lib/kafka-publisher.test.ts
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Expand Up @@ -19,11 +19,7 @@ import {
import { IndexerSubaccountId, SubaccountMessage, TradeMessage } from '@dydxprotocol-indexer/v4-protos';
import Big from 'big.js';
import _ from 'lodash';
import {
AnnotatedSubaccountMessage,
ConsolidatedKafkaEvent,
SingleTradeMessage,
} from '../../src/lib/types';
import { AnnotatedSubaccountMessage, ConsolidatedKafkaEvent, SingleTradeMessage } from '../../src/lib/types';

import { KafkaPublisher } from '../../src/lib/kafka-publisher';
import {
Expand Down Expand Up @@ -413,8 +409,7 @@ describe('kafka-publisher', () => {
price: '10000',
side: 'side',
createdAt: 'today',
liquidation: false,
deleveraging: false,
type: FillType.LIMIT,
};
const singleTrade1: SingleTradeMessage = contentToSingleTradeMessage(
tradeContent1,
Expand All @@ -427,8 +422,7 @@ describe('kafka-publisher', () => {
price: '12000',
side: 'side',
createdAt: 'today',
liquidation: false,
deleveraging: false,
type: FillType.LIMIT,
};
const singleTrade2: SingleTradeMessage = contentToSingleTradeMessage(
tradeContent2,
Expand All @@ -442,8 +436,7 @@ describe('kafka-publisher', () => {
price: '1000',
side: 'side',
createdAt: 'today',
liquidation: false,
deleveraging: false,
type: FillType.LIMIT,
};
const singleTrade3: SingleTradeMessage = contentToSingleTradeMessage(
tradeContent3,
Expand Down
5 changes: 1 addition & 4 deletions indexer/services/ender/src/handlers/order-fills/abstract-order-fill-handler.ts
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Expand Up @@ -45,8 +45,6 @@ import {
generateFillSubaccountMessage,
generateOrderSubaccountMessage,
generatePerpetualPositionsContents,
isDeleveraging,
isLiquidation,
} from '../../helpers/kafka-helper';
import {
getPrice,
Expand Down Expand Up @@ -428,8 +426,7 @@ export abstract class AbstractOrderFillHandler<T> extends Handler<T> {
price: fill.price,
side: fill.side.toString(),
createdAt: fill.createdAt,
liquidation: isLiquidation(fill),
deleveraging: isDeleveraging(fill),
type: fill.type,
},
],
};
Expand Down
29 changes: 10 additions & 19 deletions indexer/services/ender/src/helpers/kafka-helper.ts
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Expand Up @@ -2,32 +2,31 @@ import {
apiTranslations,
AssetFromDatabase,
AssetPositionFromDatabase,
AssetPositionSubaccountMessageContents,
AssetsMap,
FillFromDatabase,
FillSubaccountMessageContents,
FillType,
helpers,
liquidityTierRefresher,
LiquidityTiersFromDatabase,
LiquidityTiersMap,
MarketMessageContents,
MarketsMap,
OraclePriceFromDatabase,
OrderFromDatabase,
OrderSubaccountMessageContents,
PerpetualMarketColumns,
PerpetualMarketFromDatabase,
PerpetualMarketsMap,
PerpetualPositionFromDatabase,
PerpetualPositionSubaccountMessageContents,
PositionSide,
SubaccountMessageContents,
TransferFromDatabase,
helpers,
UpdatedPerpetualPositionSubaccountKafkaObject,
PerpetualPositionFromDatabase,
AssetPositionSubaccountMessageContents,
SubaccountTable,
LiquidityTiersFromDatabase,
liquidityTierRefresher,
LiquidityTiersMap,
PerpetualMarketColumns,
TradingPerpetualMarketMessage,
TradingMarketMessageContents,
TradingPerpetualMarketMessage,
TransferFromDatabase,
UpdatedPerpetualPositionSubaccountKafkaObject,
} from '@dydxprotocol-indexer/postgres';
import { SubaccountId } from '@dydxprotocol-indexer/v4-protos';
import Big from 'big.js';
Expand Down Expand Up @@ -274,14 +273,6 @@ export function generateOraclePriceContents(
};
}

export function isLiquidation(fill: FillFromDatabase): boolean {
return fill.type === FillType.LIQUIDATION || fill.type === FillType.LIQUIDATED;
}

export function isDeleveraging(fill: FillFromDatabase): boolean {
return fill.type === FillType.DELEVERAGED || fill.type === FillType.OFFSETTING;
}

export function generateFillSubaccountMessage(
fill: FillFromDatabase,
ticker: string,
Expand Down
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