[IND-450]: Prevent orders transitioning from canceled to best effort …

…canceled (#753) * [IND-450]: Prevent orders transitioning from canceled to best effort canceled * fix liquidations * nits * lint
dydxprotocol · Nov 10, 2023 · ff97fca · ff97fca
1 parent 0cd5cd1
commit ff97fca
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Showing 15 changed files with 509 additions and 68 deletions.
diff --git a/indexer/packages/redis/__tests__/caches/canceled-orders-cache.test.ts b/indexer/packages/redis/__tests__/caches/canceled-orders-cache.test.ts
@@ -4,8 +4,11 @@ import {
   CANCELED_ORDER_WINDOW_SIZE,
   isOrderCanceled,
   addCanceledOrderId,
-  removeOrderFromCache,
+  removeOrderFromCaches,
+  getOrderCanceledStatus,
+  addBestEffortCanceledOrderId,
 } from '../../src/caches/canceled-orders-cache';
+import { CanceledOrderStatus } from '../../src';
 
 describe('cancelledOrdersCache', () => {
   const openOrderId1: string = 'order1';
@@ -40,13 +43,13 @@ describe('cancelledOrdersCache', () => {
     expect(isCanceled1).toEqual(true);
     expect(isCanceled2).toEqual(true);
 
-    let numRemoved: number = await removeOrderFromCache(openOrderId1, client);
-    expect(numRemoved).toEqual(1);
+    await removeOrderFromCaches(openOrderId1, client);
     isCanceled1 = await isOrderCanceled(openOrderId1, client);
     expect(isCanceled1).toEqual(false);
 
-    numRemoved = await removeOrderFromCache(openOrderId3, client);
-    expect(numRemoved).toEqual(0);
+    await removeOrderFromCaches(openOrderId3, client);
+    const isCanceled3: boolean = await isOrderCanceled(openOrderId1, client);
+    expect(isCanceled3).toEqual(false);
   });
 
   it('removes cancelled orders outside of window size', async () => {
@@ -61,4 +64,22 @@ describe('cancelledOrdersCache', () => {
     expect(isCanceled3).toEqual(true);
   });
 
+  describe('getOrderCanceledStatus', () => {
+    it('correctly returns CANCELED', async () => {
+      await addCanceledOrderId(openOrderId1, 10, client);
+      const status: CanceledOrderStatus = await getOrderCanceledStatus(openOrderId1, client);
+      expect(status).toEqual(CanceledOrderStatus.CANCELED);
+    });
+
+    it('correctly returns BEST_EFFORT_CANCELED', async () => {
+      await addBestEffortCanceledOrderId(openOrderId1, 10, client);
+      const status: CanceledOrderStatus = await getOrderCanceledStatus(openOrderId1, client);
+      expect(status).toEqual(CanceledOrderStatus.BEST_EFFORT_CANCELED);
+    });
+
+    it('correctly returns NOT_CANCELED', async () => {
+      const status: CanceledOrderStatus = await getOrderCanceledStatus(openOrderId1, client);
+      expect(status).toEqual(CanceledOrderStatus.NOT_CANCELED);
+    });
+  });
 });
diff --git a/indexer/packages/redis/src/caches/canceled-orders-cache.ts b/indexer/packages/redis/src/caches/canceled-orders-cache.ts
@@ -1,9 +1,11 @@
 import { Callback, RedisClient } from 'redis';
 
 import { zRemAsync, zScoreAsync } from '../helpers/redis';
+import { CanceledOrderStatus } from '../types';
 import { addCanceledOrderIdScript } from './scripts';
 // Cache of cancelled orders
 export const CANCELED_ORDERS_CACHE_KEY: string = 'v4/cancelled_orders';
+export const BEST_EFFORT_CANCELED_ORDERS_CACHE_KEY: string = 'v4/best_effort_cancelled_orders';
 // 10 seconds in milliseconds
 export const CANCELED_ORDER_WINDOW_SIZE: number = 30 * 1000;
 
@@ -24,16 +26,62 @@ export async function isOrderCanceled(
   orderId: string,
   client: RedisClient,
 ): Promise<boolean> {
-  const score: string | null = await
-  zScoreAsync({ hash: CANCELED_ORDERS_CACHE_KEY, key: orderId }, client);
-  return score !== null;
+  const [
+    canceledScore,
+    bestEffortCanceledScore,
+  ]: (string | null)[] = await Promise.all([
+    zScoreAsync({ hash: CANCELED_ORDERS_CACHE_KEY, key: orderId }, client),
+    zScoreAsync({ hash: BEST_EFFORT_CANCELED_ORDERS_CACHE_KEY, key: orderId }, client),
+  ]);
+  return canceledScore !== null || bestEffortCanceledScore !== null;
 }
 
-export async function removeOrderFromCache(
+export async function getOrderCanceledStatus(
   orderId: string,
   client: RedisClient,
+): Promise<CanceledOrderStatus> {
+  const [
+    canceledScore,
+    bestEffortCanceledScore,
+  ]: (string | null)[] = await Promise.all([
+    zScoreAsync({ hash: CANCELED_ORDERS_CACHE_KEY, key: orderId }, client),
+    zScoreAsync({ hash: BEST_EFFORT_CANCELED_ORDERS_CACHE_KEY, key: orderId }, client),
+  ]);
+
+  if (canceledScore !== null) {
+    return CanceledOrderStatus.CANCELED;
+  }
+
+  if (bestEffortCanceledScore !== null) {
+    return CanceledOrderStatus.BEST_EFFORT_CANCELED;
+  }
+
+  return CanceledOrderStatus.NOT_CANCELED;
+}
+
+export async function removeOrderFromCaches(
+  orderId: string,
+  client: RedisClient,
+): Promise<void> {
+  await Promise.all([
+    zRemAsync({ hash: CANCELED_ORDERS_CACHE_KEY, key: orderId }, client),
+    zRemAsync({ hash: BEST_EFFORT_CANCELED_ORDERS_CACHE_KEY, key: orderId }, client),
+  ]);
+}
+
+/**
+ * addCanceledOrderId adds the order id to the best effort canceled orders cache.
+ *
+ * @param orderId
+ * @param timestamp
+ * @param client
+ */
+export async function addBestEffortCanceledOrderId(
+  orderId: string,
+  timestamp: number,
+  client: RedisClient,
 ): Promise<number> {
-  return zRemAsync({ hash: CANCELED_ORDERS_CACHE_KEY, key: orderId }, client);
+  return addOrderIdtoCache(orderId, timestamp, client, BEST_EFFORT_CANCELED_ORDERS_CACHE_KEY);
 }
 
 /**
@@ -47,6 +95,22 @@ export async function addCanceledOrderId(
   orderId: string,
   timestamp: number,
   client: RedisClient,
+): Promise<number> {
+  return addOrderIdtoCache(orderId, timestamp, client, CANCELED_ORDERS_CACHE_KEY);
+}
+
+/**
+ * addCanceledOrderId adds the order id to the cacheKey's cache.
+ *
+ * @param orderId
+ * @param timestamp
+ * @param client
+ */
+export async function addOrderIdtoCache(
+  orderId: string,
+  timestamp: number,
+  client: RedisClient,
+  cacheKey: string,
 ): Promise<number> {
   const numKeys: number = 2;
   let evalAsync: (
@@ -69,7 +133,7 @@ export async function addCanceledOrderId(
       client.evalsha(
         addCanceledOrderIdScript.hash,
         numKeys,
-        CANCELED_ORDERS_CACHE_KEY,
+        cacheKey,
         CANCELED_ORDER_WINDOW_SIZE,
         canceledOrderId,
         currentTimestampMs,

diff --git a/indexer/packages/redis/src/types.ts b/indexer/packages/redis/src/types.ts
@@ -67,6 +67,12 @@ export type LuaScript = {
   readonly hash: string;
 };
 
+export enum CanceledOrderStatus {
+  CANCELED = 'CANCELED',
+  BEST_EFFORT_CANCELED = 'BEST_EFFORT_CANCELED',
+  NOT_CANCELED = 'NOT_CANCELED',
+}
+
 /* ------- PNL Creation TYPES ------- */
 export type PnlTickForSubaccounts = {
   // Stores a PnlTicksCreateObject for the most recent pnl tick for each subaccount.