[CT-515] Combine place, cancel, batch cancel rate limiters (#1165)

* combine place and cancel rate limiters, add batch cancel * fixups * remove cancel rate limit genesis * fix json files for genesis * update sample pregenesis * get tests to work * update protos to deprecate instead of remove * lint fix * empty commit * fix tests * lint * basic tests with only batch cancel orders submitted * fix cli rate limit test * e2e tests * rate limit 2 -> 3 * more explicit replay test * todo comment * linty lint * constants for the tests * rate limit proto deprecate => reserved * sample pregenesis update * indexer proto regen * fix tests * fix test * upgrade handler for batch cancel configs * upgrade handler * proto swap reserved back to deprecated * more test fix * try upgrade * fix test * regen indexer protos * proto lint * test fix * upgrade file comment
dydxprotocol · Mar 19, 2024 · be4ba54 · be4ba54
1 parent d7333d4
commit be4ba54
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Showing 33 changed files with 786 additions and 376 deletions.
diff --git a/indexer/packages/v4-protos/src/codegen/dydxprotocol/clob/block_rate_limit_config.ts b/indexer/packages/v4-protos/src/codegen/dydxprotocol/clob/block_rate_limit_config.ts
@@ -10,7 +10,11 @@ export interface BlockRateLimitConfiguration {
    * configurations.
    * 
    * Specifying 0 values disables this rate limit.
+   * Deprecated in favor of `max_short_term_orders_and_cancels_per_n_blocks`
+   * for v5.x onwards.
    */
+
+  /** @deprecated */
   maxShortTermOrdersPerNBlocks: MaxPerNBlocksRateLimit[];
   /**
    * How many stateful order attempts (successful and failed) are allowed for
@@ -22,7 +26,10 @@ export interface BlockRateLimitConfiguration {
    */
 
   maxStatefulOrdersPerNBlocks: MaxPerNBlocksRateLimit[];
+  /** @deprecated */
+
   maxShortTermOrderCancellationsPerNBlocks: MaxPerNBlocksRateLimit[];
+  maxShortTermOrdersAndCancelsPerNBlocks: MaxPerNBlocksRateLimit[];
 }
 /** Defines the block rate limits for CLOB specific operations. */
 
@@ -34,7 +41,11 @@ export interface BlockRateLimitConfigurationSDKType {
    * configurations.
    * 
    * Specifying 0 values disables this rate limit.
+   * Deprecated in favor of `max_short_term_orders_and_cancels_per_n_blocks`
+   * for v5.x onwards.
    */
+
+  /** @deprecated */
   max_short_term_orders_per_n_blocks: MaxPerNBlocksRateLimitSDKType[];
   /**
    * How many stateful order attempts (successful and failed) are allowed for
@@ -46,7 +57,10 @@ export interface BlockRateLimitConfigurationSDKType {
    */
 
   max_stateful_orders_per_n_blocks: MaxPerNBlocksRateLimitSDKType[];
+  /** @deprecated */
+
   max_short_term_order_cancellations_per_n_blocks: MaxPerNBlocksRateLimitSDKType[];
+  max_short_term_orders_and_cancels_per_n_blocks: MaxPerNBlocksRateLimitSDKType[];
 }
 /** Defines a rate limit over a specific number of blocks. */
 
@@ -83,7 +97,8 @@ function createBaseBlockRateLimitConfiguration(): BlockRateLimitConfiguration {
   return {
     maxShortTermOrdersPerNBlocks: [],
     maxStatefulOrdersPerNBlocks: [],
-    maxShortTermOrderCancellationsPerNBlocks: []
+    maxShortTermOrderCancellationsPerNBlocks: [],
+    maxShortTermOrdersAndCancelsPerNBlocks: []
   };
 }
 
@@ -101,6 +116,10 @@ export const BlockRateLimitConfiguration = {
       MaxPerNBlocksRateLimit.encode(v!, writer.uint32(26).fork()).ldelim();
     }
 
+    for (const v of message.maxShortTermOrdersAndCancelsPerNBlocks) {
+      MaxPerNBlocksRateLimit.encode(v!, writer.uint32(34).fork()).ldelim();
+    }
+
     return writer;
   },
 
@@ -125,6 +144,10 @@ export const BlockRateLimitConfiguration = {
           message.maxShortTermOrderCancellationsPerNBlocks.push(MaxPerNBlocksRateLimit.decode(reader, reader.uint32()));
           break;
 
+        case 4:
+          message.maxShortTermOrdersAndCancelsPerNBlocks.push(MaxPerNBlocksRateLimit.decode(reader, reader.uint32()));
+          break;
+
         default:
           reader.skipType(tag & 7);
           break;
@@ -139,6 +162,7 @@ export const BlockRateLimitConfiguration = {
     message.maxShortTermOrdersPerNBlocks = object.maxShortTermOrdersPerNBlocks?.map(e => MaxPerNBlocksRateLimit.fromPartial(e)) || [];
     message.maxStatefulOrdersPerNBlocks = object.maxStatefulOrdersPerNBlocks?.map(e => MaxPerNBlocksRateLimit.fromPartial(e)) || [];
     message.maxShortTermOrderCancellationsPerNBlocks = object.maxShortTermOrderCancellationsPerNBlocks?.map(e => MaxPerNBlocksRateLimit.fromPartial(e)) || [];
+    message.maxShortTermOrdersAndCancelsPerNBlocks = object.maxShortTermOrdersAndCancelsPerNBlocks?.map(e => MaxPerNBlocksRateLimit.fromPartial(e)) || [];
     return message;
   }
 

diff --git a/proto/dydxprotocol/clob/block_rate_limit_config.proto b/proto/dydxprotocol/clob/block_rate_limit_config.proto
@@ -13,8 +13,10 @@ message BlockRateLimitConfiguration {
   // configurations.
   //
   // Specifying 0 values disables this rate limit.
+  // Deprecated in favor of `max_short_term_orders_and_cancels_per_n_blocks`
+  // for v5.x onwards.
   repeated MaxPerNBlocksRateLimit max_short_term_orders_per_n_blocks = 1
-      [ (gogoproto.nullable) = false ];
+      [ (gogoproto.nullable) = false, deprecated = true ];
 
   // How many stateful order attempts (successful and failed) are allowed for
   // an account per N blocks. Note that the rate limits are applied
@@ -31,8 +33,20 @@ message BlockRateLimitConfiguration {
   // rate limit configurations.
   //
   // Specifying 0 values disables this rate limit.
+  // Deprecated in favor of `max_short_term_orders_and_cancels_per_n_blocks`
+  // for v5.x onwards.
   repeated MaxPerNBlocksRateLimit
       max_short_term_order_cancellations_per_n_blocks = 3
+      [ (gogoproto.nullable) = false, deprecated = true ];
+
+  // How many short term order place and cancel attempts (successful and failed)
+  // are allowed for an account per N blocks. Note that the rate limits are
+  // applied in an AND fashion such that an order placement must pass all rate
+  // limit configurations.
+  //
+  // Specifying 0 values disables this rate limit.
+  repeated MaxPerNBlocksRateLimit
+      max_short_term_orders_and_cancels_per_n_blocks = 4
       [ (gogoproto.nullable) = false ];
 }
 

diff --git a/protocol/app/app.go b/protocol/app/app.go
@@ -1022,8 +1022,7 @@ func New(
 		app.GrpcStreamingManager,
 		txConfig.TxDecoder(),
 		clobFlags,
-		rate_limit.NewPanicRateLimiter[*clobmoduletypes.MsgPlaceOrder](),
-		rate_limit.NewPanicRateLimiter[*clobmoduletypes.MsgCancelOrder](),
+		rate_limit.NewPanicRateLimiter[sdk.Msg](),
 		daemonLiquidationInfo,
 	)
 	clobModule := clobmodule.NewAppModule(

diff --git a/protocol/app/testdata/default_genesis_state.json b/protocol/app/testdata/default_genesis_state.json
@@ -86,9 +86,10 @@
       }
     },
     "block_rate_limit_config": {
+      "max_short_term_order_cancellations_per_n_blocks": [],
       "max_short_term_orders_per_n_blocks": [],
-      "max_stateful_orders_per_n_blocks": [],
-      "max_short_term_order_cancellations_per_n_blocks": []
+      "max_short_term_orders_and_cancels_per_n_blocks": [],
+      "max_stateful_orders_per_n_blocks": []
     },
     "equity_tier_limit_config": {
       "short_term_order_equity_tiers": [],

diff --git a/protocol/app/upgrades.go b/protocol/app/upgrades.go
@@ -31,6 +31,7 @@ func (app *App) setupUpgradeHandlers() {
 			app.ModuleManager,
 			app.configurator,
 			app.PerpetualsKeeper,
+			app.ClobKeeper,
 		),
 	)
 }

diff --git a/protocol/app/upgrades/v5.0.0/upgrade.go b/protocol/app/upgrades/v5.0.0/upgrade.go
@@ -6,6 +6,7 @@ import (
 
 	sdk "github.com/cosmos/cosmos-sdk/types"
 
+	clobtypes "github.com/dydxprotocol/v4-chain/protocol/x/clob/types"
 	perptypes "github.com/dydxprotocol/v4-chain/protocol/x/perpetuals/types"
 
 	upgradetypes "cosmossdk.io/x/upgrade/types"
@@ -30,10 +31,63 @@ func perpetualsUpgrade(
 	}
 }
 
+// blockRateLimitConfigUpdate upgrades the block rate limit. It searches for the
+// 1-block window limit for short term and cancellations, sums them, and creates a new
+// combined rate limit.
+func blockRateLimitConfigUpdate(
+	ctx sdk.Context,
+	clobKeeper clobtypes.ClobKeeper,
+) {
+	oldBlockRateLimitConfig := clobKeeper.GetBlockRateLimitConfiguration(ctx)
+	numAllowedShortTermOrderPlacementsInOneBlock := 0
+	numAllowedShortTermOrderCancellationsInOneBlock := 0
+	oldShortTermOrderRateLimits := oldBlockRateLimitConfig.MaxShortTermOrdersPerNBlocks
+	for _, limit := range oldShortTermOrderRateLimits {
+		if limit.NumBlocks == 1 {
+			numAllowedShortTermOrderPlacementsInOneBlock += int(limit.NumBlocks)
+			break
+		}
+	}
+	if numAllowedShortTermOrderPlacementsInOneBlock == 0 {
+		panic("Failed to find MaxShortTermOrdersPerNBlocks with window 1.")
+	}
+
+	oldShortTermOrderCancellationRateLimits := oldBlockRateLimitConfig.MaxShortTermOrderCancellationsPerNBlocks
+	for _, limit := range oldShortTermOrderCancellationRateLimits {
+		if limit.NumBlocks == 1 {
+			numAllowedShortTermOrderCancellationsInOneBlock += int(limit.NumBlocks)
+			break
+		}
+	}
+	if numAllowedShortTermOrderCancellationsInOneBlock == 0 {
+		panic("Failed to find MaxShortTermOrdersPerNBlocks with window 1.")
+	}
+
+	allowedNumShortTermPlaceAndCancelInFiveBlocks :=
+		(numAllowedShortTermOrderPlacementsInOneBlock + numAllowedShortTermOrderCancellationsInOneBlock) * 5
+
+	blockRateLimitConfig := clobtypes.BlockRateLimitConfiguration{
+		// Kept the same
+		MaxStatefulOrdersPerNBlocks: oldBlockRateLimitConfig.MaxStatefulOrdersPerNBlocks,
+		// Combine place and cancel, gate over 5 blocks to allow burst
+		MaxShortTermOrdersAndCancelsPerNBlocks: []clobtypes.MaxPerNBlocksRateLimit{
+			{
+				NumBlocks: 5,
+				Limit:     uint32(allowedNumShortTermPlaceAndCancelInFiveBlocks),
+			},
+		},
+	}
+
+	if err := clobKeeper.InitializeBlockRateLimit(ctx, blockRateLimitConfig); err != nil {
+		panic(fmt.Sprintf("failed to update the block rate limit configuration: %s", err))
+	}
+}
+
 func CreateUpgradeHandler(
 	mm *module.Manager,
 	configurator module.Configurator,
 	perpetualsKeeper perptypes.PerpetualsKeeper,
+	clobKeeper clobtypes.ClobKeeper,
 ) upgradetypes.UpgradeHandler {
 	return func(ctx context.Context, plan upgradetypes.Plan, vm module.VersionMap) (module.VersionMap, error) {
 		sdkCtx := lib.UnwrapSDKContext(ctx, "app/upgrades")
@@ -42,6 +96,9 @@ func CreateUpgradeHandler(
 		// Set all perpetuals to cross market type
 		perpetualsUpgrade(sdkCtx, perpetualsKeeper)
 
+		// Set block rate limit configuration
+		blockRateLimitConfigUpdate(sdkCtx, clobKeeper)
+
 		// TODO(TRA-93): Initialize `x/vault` module.
 
 		return mm.RunMigrations(ctx, configurator, vm)

diff --git a/protocol/lib/metrics/constants.go b/protocol/lib/metrics/constants.go
@@ -92,6 +92,7 @@ const (
 	// CLOB.
 	AddPerpetualFillAmount                                  = "add_perpetual_fill_amount"
 	BaseQuantums                                            = "base_quantums"
+	BatchCancel                                             = "batch_cancel"
 	BestAsk                                                 = "best_ask"
 	BestAskClobPair                                         = "best_ask_clob_pair"
 	BestBid                                                 = "best_bid"

diff --git a/protocol/mocks/ClobKeeper.go b/protocol/mocks/ClobKeeper.go
diff --git a/protocol/scripts/genesis/sample_pregenesis.json b/protocol/scripts/genesis/sample_pregenesis.json
@@ -100,18 +100,14 @@
     },
     "clob": {
       "block_rate_limit_config": {
-        "max_short_term_order_cancellations_per_n_blocks": [
+        "max_short_term_order_cancellations_per_n_blocks": [],
+        "max_short_term_orders_and_cancels_per_n_blocks": [
           {
-            "limit": 200,
-            "num_blocks": 1
-          }
-        ],
-        "max_short_term_orders_per_n_blocks": [
-          {
-            "limit": 200,
+            "limit": 400,
             "num_blocks": 1
           }
         ],
+        "max_short_term_orders_per_n_blocks": [],
         "max_stateful_orders_per_n_blocks": [
           {
             "limit": 2,
@@ -1830,7 +1826,7 @@
       ]
     }
   },
-  "app_version": "4.0.0-dev0-101-g18028fd0",
+  "app_version": "4.0.0-dev0-134-gc65a2bfe",
   "chain_id": "dydx-sample-1",
   "consensus": {
     "params": {

diff --git a/protocol/testing/genesis.sh b/protocol/testing/genesis.sh
@@ -1404,14 +1404,10 @@ function edit_genesis() {
 	dasel put -t int -f "$GENESIS" '.app_state.clob.liquidations_config.fillable_price_config.spread_to_maintenance_margin_ratio_ppm' -v '1500000'  # 150%
 
 	# Block Rate Limit
-	# Max 50 short term orders per block
-	dasel put -t json -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_orders_per_n_blocks.[]' -v "{}"
-	dasel put -t int -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_orders_per_n_blocks.[0].limit' -v '200'
-	dasel put -t int -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_orders_per_n_blocks.[0].num_blocks' -v '1'
-	# Max 50 short term order cancellations per block
-	dasel put -t json -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_order_cancellations_per_n_blocks.[]' -v "{}"
-	dasel put -t int -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_order_cancellations_per_n_blocks.[0].limit' -v '200'
-	dasel put -t int -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_order_cancellations_per_n_blocks.[0].num_blocks' -v '1'
+	# Max 400 short term orders/cancels per block
+	dasel put -t json -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_orders_and_cancels_per_n_blocks.[]' -v "{}"
+	dasel put -t int -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_orders_and_cancels_per_n_blocks.[0].limit' -v '400'
+	dasel put -t int -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_short_term_orders_and_cancels_per_n_blocks.[0].num_blocks' -v '1'
 	# Max 2 stateful orders per block
 	dasel put -t json -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_stateful_orders_per_n_blocks.[]' -v "{}"
 	dasel put -t int -f "$GENESIS" '.app_state.clob.block_rate_limit_config.max_stateful_orders_per_n_blocks.[0].limit' -v '2'

diff --git a/protocol/testutil/constants/genesis.go b/protocol/testutil/constants/genesis.go
@@ -218,10 +218,10 @@ const GenesisState = `{
     },
     "clob": {
       "block_rate_limit_config": {
-        "max_short_term_orders_per_n_blocks": [
+        "max_short_term_orders_and_cancels_per_n_blocks": [
           {
             "num_blocks": 1,
-            "limit": 200
+            "limit": 400
           }
         ],
         "max_stateful_orders_per_n_blocks": [
@@ -233,12 +233,6 @@ const GenesisState = `{
             "num_blocks": 100,
             "limit": 20
           }
-        ],
-        "max_short_term_order_cancellations_per_n_blocks": [
-          {
-            "num_blocks": 1,
-            "limit": 200
-          }
         ]
       },
       "clob_pairs": [

diff --git a/protocol/testutil/keeper/clob.go b/protocol/testutil/keeper/clob.go
@@ -218,8 +218,7 @@ func createClobKeeper(
 		streaming.NewNoopGrpcStreamingManager(),
 		constants.TestEncodingCfg.TxConfig.TxDecoder(),
 		flags.GetDefaultClobFlags(),
-		rate_limit.NewNoOpRateLimiter[*types.MsgPlaceOrder](),
-		rate_limit.NewNoOpRateLimiter[*types.MsgCancelOrder](),
+		rate_limit.NewNoOpRateLimiter[sdk.Msg](),
 		liquidationtypes.NewDaemonLiquidationInfo(),
 	)
 	k.SetAnteHandler(constants.EmptyAnteHandler)