Add parsing logic for new markets in v4_markets channel update. (#734)

dydxprotocol · Oct 25, 2024 · 24acfc3 · 24acfc3
1 parent c926adc
commit 24acfc3
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Showing 6 changed files with 134 additions and 10 deletions.
diff --git a/build.gradle.kts b/build.gradle.kts
@@ -52,7 +52,7 @@ allprojects {
 }
 
 group = "exchange.dydx.abacus"
-version = "1.13.13"
+version = "1.13.14"
 
 repositories {
     google()

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/MarketProcessor.kt b/src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/MarketProcessor.kt
@@ -1,5 +1,6 @@
 package exchange.dydx.abacus.processor.markets
 
+import com.ionspin.kotlin.bignum.decimal.toBigDecimal
 import exchange.dydx.abacus.output.MarketConfigs
 import exchange.dydx.abacus.output.MarketConfigsV4
 import exchange.dydx.abacus.output.MarketPerpetual
@@ -26,6 +27,7 @@ import kollections.toIList
 import numberOfDecimals
 import kotlin.math.max
 import kotlin.math.min
+import kotlin.math.pow
 import kotlin.time.Duration.Companion.seconds
 
 internal interface MarketProcessorProtocol : BaseProcessorProtocol {
@@ -262,8 +264,28 @@ internal class MarketProcessor(
     private fun createConfigs(
         payload: IndexerCompositeMarketObject,
     ): MarketConfigs {
-        val stepSize = parser.asDouble(payload.stepSize)
-        val tickSize = parser.asDouble(payload.tickSize)
+        var stepSize = parser.asDouble(payload.stepSize)
+        var tickSize = parser.asDouble(payload.tickSize)
+
+        val atomicResolution = parser.asInt(payload.atomicResolution)
+        val stepBaseQuantums = parser.asInt(payload.stepBaseQuantums)
+        val quantumConversionExponent = parser.asInt(payload.quantumConversionExponent)
+        val subticksPerTick = parser.asInt(payload.subticksPerTick)
+        if (stepSize == null) {
+            if (atomicResolution != null && stepBaseQuantums != null) {
+                stepSize = getStepSize(stepBaseQuantums, atomicResolution)
+            } else {
+                stepSize = fallbackStepSize
+            }
+        }
+        if (tickSize == null) {
+            if (subticksPerTick != null && quantumConversionExponent != null && atomicResolution != null) {
+                tickSize = getTickSize(subticksPerTick, quantumConversionExponent, atomicResolution)
+            } else {
+                tickSize = fallbackTickSize
+            }
+        }
+
         return MarketConfigs(
             clobPairId = payload.clobPairId,
             largeSize = null,
@@ -493,15 +515,68 @@ internal class MarketProcessor(
                 parser.asDouble(payload["basePositionSize"]),
             ) // v4
         }
+
+        // calculate stepSize and tickSize if not provided
+        val stepSize = parser.asDouble(configs["stepSize"])
+        val tickSize = parser.asDouble(configs["tickSize"])
+        val atomicResolution = parser.asInt(parser.value(configsV4, "atomicResolution"))
+        val stepBaseQuantums = parser.asInt(parser.value(configsV4, "stepBaseQuantums"))
+        val quantumConversionExponent = parser.asInt(parser.value(configsV4, "quantumConversionExponent"))
+        if (stepSize == null) {
+            if (atomicResolution != null && stepBaseQuantums != null) {
+                val stepSize = getStepSize(stepBaseQuantums, atomicResolution)
+                configs.safeSet("stepSize", stepSize)
+            } else {
+                configs.safeSet("stepSize", fallbackStepSize)
+            }
+        }
+        if (tickSize == null) {
+            val subticksPerTick = parser.asInt(parser.value(configsV4, "subticksPerTick"))
+            if (subticksPerTick != null && quantumConversionExponent != null && atomicResolution != null) {
+                val tickSize = getTickSize(subticksPerTick, quantumConversionExponent, atomicResolution)
+                configs.safeSet("tickSize", tickSize)
+            } else {
+                configs.safeSet("tickSize", fallbackTickSize)
+            }
+        }
         return configs
     }
 
+    private fun getStepSize(
+        stepBaseQuantums: Int,
+        atomicResolution: Int,
+    ): Double {
+        val stepSize = stepBaseQuantums.toBigDecimal().times(10.0.toBigDecimal().pow(atomicResolution))
+        return parser.asDouble(stepSize) ?: fallbackStepSize
+    }
+
+    private fun getTickSize(
+        subticksPerTick: Int,
+        quantumConversionExponent: Int,
+        atomicResolution: Int
+    ): Double {
+        val quoteCurrencyAtomicResolution = -6
+        val tickSize = subticksPerTick.toBigDecimal().times(
+            10.0.toBigDecimal().pow(quantumConversionExponent),
+        ).times(
+            10.0.toBigDecimal().pow(quoteCurrencyAtomicResolution),
+        ).divide(
+            10.0.toBigDecimal().pow(atomicResolution),
+        )
+        return parser.asDouble(tickSize) ?: fallbackTickSize
+    }
+
     private fun perpetual(
         existing: Map<String, Any>?,
         payload: Map<String, Any>,
         oraclePrice: Double?,
     ): Map<String, Any> {
         val perpetual = transform(existing, payload, perpetualKeyMap)
+        val openInterest = parser.asDouble(perpetual["openInterest"])
+        if (openInterest == null) {
+            perpetual.safeSet("openInterest", 0.0)
+            perpetual.safeSet("openInterestUSDC", 0.0)
+        }
         oraclePrice?.let {
             parser.asDouble(perpetual["openInterest"])?.let {
                 perpetual["openInterestUSDC"] = it * oraclePrice

diff --git a/src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/MarketsProcessor.kt b/src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/MarketsProcessor.kt
@@ -189,11 +189,20 @@ internal class MarketsProcessor(
         for ((market, data) in narrowedPayload) {
             val marketPayload = parser.asNativeMap(data)
             if (marketPayload != null) {
-                val receivedMarket = marketProcessorDeprecated!!.receivedDeltaDeprecated(
-                    parser.asNativeMap(existing?.get(market)),
-                    marketPayload,
-                )
-                markets[market] = receivedMarket
+                if (marketPayload["clobPairId"] != null) {
+                    // new permissionless market
+                    val receivedMarket = marketProcessorDeprecated!!.received(
+                        parser.asNativeMap(existing?.get(market)),
+                        marketPayload,
+                    )
+                    markets[market] = receivedMarket
+                } else {
+                    val receivedMarket = marketProcessorDeprecated!!.receivedDeltaDeprecated(
+                        parser.asNativeMap(existing?.get(market)),
+                        marketPayload,
+                    )
+                    markets[market] = receivedMarket
+                }
             }
         }
         return markets

diff --git a/src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4MarketsTests.kt b/src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4MarketsTests.kt
@@ -421,6 +421,12 @@ class V4MarketsTests : V4BaseTests() {
             assertEquals(ethMarket?.perpetualMarket?.perpetual?.volume24H, 626131271.611287094)
             assertEquals(ethMarket?.perpetualMarket?.perpetual?.trades24H, 1214631.0)
             assertEquals(ethMarket?.perpetualMarket?.perpetual?.nextFundingRate, 0.0)
+
+            val mlnMarket = markets["MLN-USD"]
+            assertEquals(mlnMarket?.perpetualMarket?.oraclePrice, null)
+            assertEquals(mlnMarket?.perpetualMarket?.perpetual?.openInterest, null)
+            assertEquals(mlnMarket?.perpetualMarket?.configs?.stepSize, 0.1)
+            assertEquals(mlnMarket?.perpetualMarket?.configs?.tickSize, 0.01)
         } else {
             test(
                 {
@@ -475,7 +481,26 @@ class V4MarketsTests : V4BaseTests() {
                            "nextFundingRate":0.0,
                            "trades24H":1214631
                         }
+                     },
+                     "MLN-USD":{
+                        "market":"MLN-USD",
+                        "status":{
+                           "canTrade":true,
+                           "canReduce":true
+                        },
+                        "configs":{
+                           "stepSize":0.1,
+                           "tickSize":0.01,
+                           "initialMarginFraction":0.05,
+                           "clobPairId":111
+                        },
+                         "perpetual":{
+                           "openInterest":0.0,
+                           "openInterestLowerCap": 500000.0,
+                            "openInterestUpperCap": 1000000.0
+                        }
                      }
+                
                   }
                }
             }

diff --git a/src/commonTest/kotlin/exchange.dydx.abacus/tests/payloads/MarketsChannelMock.kt b/src/commonTest/kotlin/exchange.dydx.abacus/tests/payloads/MarketsChannelMock.kt
@@ -2791,7 +2791,22 @@ internal class MarketsChannelMock {
                         "volume24H":"626131271.611287094",
                         "trades24H":1214631,
                         "openInterest":"67603.376057"
-                     }
+                     },
+                     "MLN-USD": {
+                        "id": "111",
+                        "clobPairId": "111",
+                        "ticker": "MLN-USD",
+                        "marketId": 111,
+                        "status": "ACTIVE",
+                        "quantumConversionExponent": -9,
+                        "atomicResolution": -7,
+                        "subticksPerTick": 1000000,
+                        "stepBaseQuantums": 1000000,
+                        "initialMarginFraction": "0.05",
+                        "maintenanceMarginFraction": "0.03",
+                        "openInterestLowerCap": "500000",
+                        "openInterestUpperCap": "1000000"
+                    }
                  }
               }
            ]

diff --git a/v4_abacus.podspec b/v4_abacus.podspec
@@ -1,6 +1,6 @@
 Pod::Spec.new do |spec|
     spec.name                     = 'v4_abacus'
-    spec.version                  = '1.13.13'
+    spec.version                  = '1.13.14'
     spec.homepage                 = 'https://github.com/dydxprotocol/v4-abacus'
     spec.source                   = { :http=> ''}
     spec.authors                  = ''