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

dydxprotocol · Nov 9, 2023 · 52c8fb7 · 52c8fb7
1 parent 7db0ebf
commit 52c8fb7
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Showing 12 changed files with 51 additions and 64 deletions.
diff --git a/indexer/packages/kafka/src/constants.ts b/indexer/packages/kafka/src/constants.ts
@@ -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';
diff --git a/indexer/packages/postgres/src/types/websocket-message-types.ts b/indexer/packages/postgres/src/types/websocket-message-types.ts
@@ -175,8 +175,7 @@ export interface TradeContent {
   price: string,
   side: string,
   createdAt: IsoString,
-  liquidation: boolean,
-  deleveraging: boolean,
+  type: FillType,
 }
 
 /* ------- MarketMessageContents ------- */

diff --git a/indexer/services/comlink/public/api-documentation.md b/indexer/services/comlink/public/api-documentation.md
@@ -1639,6 +1639,7 @@ fetch('https://indexer.v4testnet.dydx.exchange/v4/trades/perpetualMarket/{ticker
       "side": "BUY",
       "size": "string",
       "price": "string",
+      "type": "MARKET",
       "createdAt": "string",
       "createdAtHeight": "string"
     }
@@ -3062,6 +3063,7 @@ or
   "side": "BUY",
   "size": "string",
   "price": "string",
+  "type": "MARKET",
   "createdAt": "string",
   "createdAtHeight": "string"
 }
@@ -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|
 
@@ -3094,6 +3097,7 @@ or
       "side": "BUY",
       "size": "string",
       "price": "string",
+      "type": "MARKET",
       "createdAt": "string",
       "createdAtHeight": "string"
     }

diff --git a/indexer/services/comlink/public/swagger.json b/indexer/services/comlink/public/swagger.json
@@ -859,6 +859,9 @@
           "price": {
             "type": "string"
           },
+          "type": {
+            "$ref": "#/components/schemas/FillType"
+          },
           "createdAt": {
             "$ref": "#/components/schemas/IsoString"
           },
@@ -871,6 +874,7 @@
           "side",
           "size",
           "price",
+          "type",
           "createdAt",
           "createdAtHeight"
         ],

diff --git a/indexer/services/comlink/public/websocket-documentation.md b/indexer/services/comlink/public/websocket-documentation.md
@@ -714,7 +714,7 @@ interface TradeContent {
   price: string,
   side: string,
   createdAt: IsoString,
-  liquidation: boolean,
+  type: FillType,
 }
 ```
 
@@ -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"
       },
     ],
   },

diff --git a/indexer/services/comlink/src/request-helpers/request-transformer.ts b/indexer/services/comlink/src/request-helpers/request-transformer.ts
@@ -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,
   };

diff --git a/indexer/services/comlink/src/types.ts b/indexer/services/comlink/src/types.ts
@@ -174,6 +174,7 @@ export interface TradeResponseObject {
   side: OrderSide,
   size: string,
   price: string,
+  type: FillType,
   createdAt: IsoString,
   createdAtHeight: string,
 }

diff --git a/indexer/services/ender/__tests__/helpers/constants.ts b/indexer/services/ender/__tests__/helpers/constants.ts
@@ -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';
@@ -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';
@@ -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,

diff --git a/indexer/services/ender/__tests__/helpers/indexer-proto-helpers.ts b/indexer/services/ender/__tests__/helpers/indexer-proto-helpers.ts
@@ -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';
@@ -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,
       },
     ],
   };

diff --git a/indexer/services/ender/__tests__/lib/kafka-publisher.test.ts b/indexer/services/ender/__tests__/lib/kafka-publisher.test.ts
@@ -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 {
@@ -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,
@@ -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,
@@ -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,

diff --git a/indexer/services/ender/src/handlers/order-fills/abstract-order-fill-handler.ts b/indexer/services/ender/src/handlers/order-fills/abstract-order-fill-handler.ts
@@ -45,8 +45,6 @@ import {
   generateFillSubaccountMessage,
   generateOrderSubaccountMessage,
   generatePerpetualPositionsContents,
-  isDeleveraging,
-  isLiquidation,
 } from '../../helpers/kafka-helper';
 import {
   getPrice,
@@ -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,
         },
       ],
     };

diff --git a/indexer/services/ender/src/helpers/kafka-helper.ts b/indexer/services/ender/src/helpers/kafka-helper.ts
@@ -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';
@@ -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,