[IND-442] Don't send cancel messages if orders are fully filled in st…

…ate. (dydxprotocol#754)
kruspy · Nov 7, 2023 · c1c7595 · c1c7595
1 parent 1726c43
commit c1c7595
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Showing 11 changed files with 275 additions and 26 deletions.
diff --git a/indexer/packages/redis/__tests__/caches/state-filled-quantums-cache.test.ts b/indexer/packages/redis/__tests__/caches/state-filled-quantums-cache.test.ts
@@ -0,0 +1,45 @@
+import { deleteAllAsync, ttl } from '../../src/helpers/redis';
+import { redis as client } from '../helpers/utils';
+import { orderId } from './constants';
+import { OrderTable } from '@dydxprotocol-indexer/postgres';
+import {
+  STATE_FILLED_QUANTUMS_TTL_SECONDS,
+  getCacheKey,
+  getStateFilledQuantums,
+  updateStateFilledQuantums,
+} from '../../src/caches/state-filled-quantums-cache';
+
+describe('stateFilledQuantumsCache', () => {
+  const orderUuid: string = OrderTable.orderIdToUuid(orderId);
+
+  beforeEach(async () => {
+    await deleteAllAsync(client);
+  });
+
+  afterEach(async () => {
+    await deleteAllAsync(client);
+  });
+
+  describe('updateStateFilledQuantums', () => {
+    it('updates the state filled amount for an order id', async () => {
+      const filledQuantums: string = '1000';
+      await updateStateFilledQuantums(orderUuid, filledQuantums, client);
+
+      expect(await getStateFilledQuantums(orderUuid, client)).toEqual(filledQuantums);
+      expect(await ttl(client, getCacheKey(orderUuid))).toEqual(STATE_FILLED_QUANTUMS_TTL_SECONDS);
+    });
+  });
+
+  describe('getStateFilledQuantums', () => {
+    it('gets the state filled amount for an order id', async () => {
+      const filledQuantums: string = '1000';
+      await updateStateFilledQuantums(orderUuid, filledQuantums, client);
+
+      expect(await getStateFilledQuantums(orderUuid, client)).toEqual(filledQuantums);
+    });
+
+    it('returns undefined if order id does not exist', async () => {
+      expect(await getStateFilledQuantums(orderUuid, client)).toEqual(undefined);
+    });
+  });
+});
diff --git a/indexer/packages/redis/src/caches/state-filled-quantums-cache.ts b/indexer/packages/redis/src/caches/state-filled-quantums-cache.ts
@@ -0,0 +1,52 @@
+import { RedisClient } from 'redis';
+
+import { getAsync, setexAsync } from '../helpers/redis';
+
+export const STATE_FILLED_QUANTUMS_CACHE_KEY_PREFIX: string = 'v4/state_filled_quantums/';
+export const STATE_FILLED_QUANTUMS_TTL_SECONDS: number = 300; // 5 minutes
+
+/**
+ * Updates the state-filled quantums for an order id. This is the total filled quantums of the order
+ * in the state of the network.
+ * @param orderId
+ * @param filledQuantums
+ * @param client
+ */
+export async function updateStateFilledQuantums(
+  orderId: string,
+  filledQuantums: string,
+  client: RedisClient,
+): Promise<void> {
+  await setexAsync({
+    key: getCacheKey(orderId),
+    value: filledQuantums,
+    timeToLiveSeconds: STATE_FILLED_QUANTUMS_TTL_SECONDS,
+  }, client);
+}
+
+/**
+ * Gets the state-filled quantums for an order id. This is the total filled quantums of the order
+ * in the state of the network.
+ * @param orderId
+ * @param client
+ * @returns
+ */
+export async function getStateFilledQuantums(
+  orderId: string,
+  client: RedisClient,
+): Promise<string | undefined> {
+  const filledQuantums: string | null = await getAsync(
+    getCacheKey(orderId),
+    client,
+  );
+
+  if (filledQuantums === null) {
+    return undefined;
+  }
+
+  return filledQuantums;
+}
+
+export function getCacheKey(orderId: string): string {
+  return `${STATE_FILLED_QUANTUMS_CACHE_KEY_PREFIX}${orderId}`;
+}
diff --git a/indexer/packages/redis/src/index.ts b/indexer/packages/redis/src/index.ts
@@ -10,6 +10,7 @@ export * as OrderbookLevelsCache from './caches/orderbook-levels-cache';
 export * as LatestAccountPnlTicksCache from './caches/latest-account-pnl-ticks-cache';
 export * as CanceledOrdersCache from './caches/canceled-orders-cache';
 export * as StatefulOrderUpdatesCache from './caches/stateful-order-updates-cache';
+export * as StateFilledQuantumsCache from './caches/state-filled-quantums-cache';
 export { placeOrder } from './caches/place-order';
 export { removeOrder } from './caches/remove-order';
 export { updateOrder } from './caches/update-order';

diff --git a/indexer/services/ender/__tests__/handlers/order-fills/liquidation-handler.test.ts b/indexer/services/ender/__tests__/handlers/order-fills/liquidation-handler.test.ts
@@ -74,6 +74,7 @@ import { clearCandlesMap } from '../../../src/caches/candle-cache';
 import Long from 'long';
 import { createPostgresFunctions } from '../../../src/helpers/postgres/postgres-functions';
 import config from '../../../src/config';
+import { expectStateFilledQuantums } from '../../helpers/redis-helpers';
 
 const defaultClobPairId: string = testConstants.defaultPerpetualMarket.clobPairId;
 const defaultMakerFeeQuantum: number = 1_000_000;
@@ -424,6 +425,10 @@ describe('LiquidationHandler', () => {
             exitPrice: makerPrice,
           },
         ),
+        expectStateFilledQuantums(
+          OrderTable.orderIdToUuid(makerOrderProto.orderId!),
+          orderFillEvent.totalFilledMaker.toString(),
+        ),
         expectCandlesUpdated(),
       ]);
 
@@ -666,6 +671,10 @@ describe('LiquidationHandler', () => {
           eventId,
         ),
         expectCandlesUpdated(),
+        expectStateFilledQuantums(
+          OrderTable.orderIdToUuid(makerOrderProto.orderId!),
+          orderFillEvent.totalFilledMaker.toString(),
+        ),
       ]);
 
       if (!useSqlFunction) {
@@ -827,6 +836,10 @@ describe('LiquidationHandler', () => {
           eventId,
         ),
         expectCandlesUpdated(),
+        expectStateFilledQuantums(
+          OrderTable.orderIdToUuid(makerOrderProto.orderId!),
+          orderFillEvent.totalFilledMaker.toString(),
+        ),
       ]);
     });
 

diff --git a/indexer/services/ender/__tests__/handlers/order-fills/order-handler.test.ts b/indexer/services/ender/__tests__/handlers/order-fills/order-handler.test.ts
@@ -75,6 +75,7 @@ import Long from 'long';
 import { createPostgresFunctions } from '../../../src/helpers/postgres/postgres-functions';
 import config from '../../../src/config';
 import { redisClient } from '../../../src/helpers/redis/redis-controller';
+import { expectStateFilledQuantums } from '../../helpers/redis-helpers';
 
 const defaultClobPairId: string = testConstants.defaultPerpetualMarket.clobPairId;
 const defaultMakerFeeQuantum: number = 1_000_000;
@@ -479,6 +480,14 @@ describe('OrderHandler', () => {
           },
         ),
         expectCandlesUpdated(),
+        expectStateFilledQuantums(
+          OrderTable.orderIdToUuid(makerOrderProto.orderId!),
+          orderFillEvent.totalFilledMaker.toString(),
+        ),
+        expectStateFilledQuantums(
+          OrderTable.orderIdToUuid(takerOrderProto.orderId!),
+          orderFillEvent.totalFilledTaker.toString(),
+        ),
       ]);
 
       if (!useSqlFunction) {
@@ -833,6 +842,14 @@ describe('OrderHandler', () => {
           eventId,
         ),
         expectCandlesUpdated(),
+        expectStateFilledQuantums(
+          OrderTable.orderIdToUuid(makerOrderProto.orderId!),
+          orderFillEvent.totalFilledMaker.toString(),
+        ),
+        expectStateFilledQuantums(
+          OrderTable.orderIdToUuid(takerOrderProto.orderId!),
+          orderFillEvent.totalFilledTaker.toString(),
+        ),
       ]);
 
       if (!useSqlFunction) {
@@ -1042,6 +1059,14 @@ describe('OrderHandler', () => {
         eventId,
       ),
       expectCandlesUpdated(),
+      expectStateFilledQuantums(
+        OrderTable.orderIdToUuid(makerOrderProto.orderId!),
+        orderFillEvent.totalFilledMaker.toString(),
+      ),
+      expectStateFilledQuantums(
+        OrderTable.orderIdToUuid(takerOrderProto.orderId!),
+        orderFillEvent.totalFilledTaker.toString(),
+      ),
     ]);
   });
 
@@ -1253,6 +1278,14 @@ describe('OrderHandler', () => {
         eventId,
       ),
       expectCandlesUpdated(),
+      expectStateFilledQuantums(
+        OrderTable.orderIdToUuid(makerOrderProto.orderId!),
+        orderFillEvent.totalFilledMaker.toString(),
+      ),
+      expectStateFilledQuantums(
+        OrderTable.orderIdToUuid(takerOrderProto.orderId!),
+        orderFillEvent.totalFilledTaker.toString(),
+      ),
     ]);
   });
 

diff --git a/indexer/services/ender/__tests__/helpers/redis-helpers.ts b/indexer/services/ender/__tests__/helpers/redis-helpers.ts
@@ -1,4 +1,7 @@
-import { NextFundingCache } from '@dydxprotocol-indexer/redis';
+import {
+  NextFundingCache,
+  StateFilledQuantumsCache,
+} from '@dydxprotocol-indexer/redis';
 import Big from 'big.js';
 
 import { redisClient } from '../../src/helpers/redis/redis-controller';
@@ -13,3 +16,16 @@ export async function expectNextFundingRate(
   );
   expect(rates[ticker]).toEqual(rate);
 }
+
+export async function expectStateFilledQuantums(
+  orderUuid: string,
+  quantums: string,
+): Promise<void> {
+  const stateFilledQuantums: string | undefined = await StateFilledQuantumsCache
+    .getStateFilledQuantums(
+      orderUuid,
+      redisClient,
+    );
+  expect(stateFilledQuantums).toBeDefined();
+  expect(stateFilledQuantums).toEqual(quantums);
+}
diff --git a/indexer/services/ender/src/handlers/order-fills/liquidation-handler.ts b/indexer/services/ender/src/handlers/order-fills/liquidation-handler.ts
@@ -16,7 +16,7 @@ import {
   USDC_ASSET_ID,
   OrderStatus, FillType,
 } from '@dydxprotocol-indexer/postgres';
-import { CanceledOrderStatus } from '@dydxprotocol-indexer/redis';
+import { CanceledOrderStatus, StateFilledQuantumsCache } from '@dydxprotocol-indexer/redis';
 import { isStatefulOrder } from '@dydxprotocol-indexer/v4-proto-parser';
 import {
   LiquidationOrderV1, IndexerOrderId, OrderFillEventV1,
@@ -27,6 +27,7 @@ import * as pg from 'pg';
 import config from '../../config';
 import { STATEFUL_ORDER_ORDER_FILL_EVENT_TYPE, SUBACCOUNT_ORDER_FILL_EVENT_TYPE } from '../../constants';
 import { convertPerpetualPosition } from '../../helpers/kafka-helper';
+import { redisClient } from '../../helpers/redis/redis-controller';
 import {
   orderFillWithLiquidityToOrderFillEventWithLiquidation,
 } from '../../helpers/translation-helper';
@@ -136,6 +137,13 @@ export class LiquidationHandler extends AbstractOrderFillHandler<OrderFillWithLi
       const makerOrder: OrderFromDatabase = OrderModel.fromJson(
         result.rows[0].result.order) as OrderFromDatabase;
 
+      // Update the cache tracking the state-filled amount per order for use in vulcan
+      await StateFilledQuantumsCache.updateStateFilledQuantums(
+        makerOrder!.id,
+        this.getTotalFilled(castedLiquidationFillEventMessage).toString(),
+        redisClient,
+      );
+
       const kafkaEvents: ConsolidatedKafkaEvent[] = [
         this.generateConsolidatedKafkaEvent(
           castedLiquidationFillEventMessage.makerOrder.orderId!.subaccountId!,
@@ -225,6 +233,13 @@ export class LiquidationHandler extends AbstractOrderFillHandler<OrderFillWithLi
     );
 
     if (this.event.liquidity === Liquidity.MAKER) {
+      // Update the cache tracking the state-filled amount per order for use in vulcan
+      await StateFilledQuantumsCache.updateStateFilledQuantums(
+        makerOrder!.id,
+        this.getTotalFilled(castedLiquidationFillEventMessage).toString(),
+        redisClient,
+      );
+
       const kafkaEvents: ConsolidatedKafkaEvent[] = [
         this.generateConsolidatedKafkaEvent(
           castedLiquidationFillEventMessage.makerOrder.orderId!.subaccountId!,

diff --git a/indexer/services/ender/src/handlers/order-fills/order-handler.ts b/indexer/services/ender/src/handlers/order-fills/order-handler.ts
@@ -16,7 +16,7 @@ import {
   USDC_ASSET_ID,
   OrderStatus,
 } from '@dydxprotocol-indexer/postgres';
-import { CanceledOrderStatus, CanceledOrdersCache } from '@dydxprotocol-indexer/redis';
+import { CanceledOrderStatus, CanceledOrdersCache, StateFilledQuantumsCache } from '@dydxprotocol-indexer/redis';
 import { isStatefulOrder } from '@dydxprotocol-indexer/v4-proto-parser';
 import {
   OrderFillEventV1, IndexerOrderId, IndexerSubaccountId, IndexerOrder,
@@ -137,6 +137,13 @@ export class OrderHandler extends AbstractOrderFillHandler<OrderFillWithLiquidit
       ),
     );
 
+    // Update the cache tracking the state-filled amount per order for use in vulcan
+    await StateFilledQuantumsCache.updateStateFilledQuantums(
+      order.id,
+      this.getTotalFilled(castedOrderFillEventMessage).toString(),
+      redisClient,
+    );
+
     // If the order is stateful and fully-filled, send an order removal to vulcan. We only do this
     // for stateful orders as we are guaranteed a stateful order cannot be replaced until the next
     // block.
@@ -229,6 +236,13 @@ export class OrderHandler extends AbstractOrderFillHandler<OrderFillWithLiquidit
       ),
     );
 
+    // Update the cache tracking the state-filled amount per order for use in vulcan
+    await StateFilledQuantumsCache.updateStateFilledQuantums(
+      order.id,
+      this.getTotalFilled(castedOrderFillEventMessage).toString(),
+      redisClient,
+    );
+
     // If the order is stateful and fully-filled, send an order removal to vulcan. We only do this
     // for stateful orders as we are guaranteed a stateful order cannot be replaced until the next
     // block.