Add orderbook data to candles table

Revert "Revert "Candles HLOC Data (#1887)"" This reverts commit 79345d6. Revert "Revert "Adam/ct 1059 address issue with orderbookmidprice calculation (#2012)"" This reverts commit d10317a. Explicity create nullable columns
dydxprotocol · Aug 6, 2024 · 4d39b39 · 4d39b39
1 parent bc140d4
commit 4d39b39
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Showing 14 changed files with 598 additions and 24 deletions.
diff --git a/indexer/packages/postgres/__tests__/helpers/constants.ts b/indexer/packages/postgres/__tests__/helpers/constants.ts
@@ -725,6 +725,8 @@ export const defaultCandle: CandleCreateObject = {
   usdVolume: '2200000',
   trades: 300,
   startingOpenInterest: '200000',
+  orderbookMidPriceOpen: '11500',
+  orderbookMidPriceClose: '12500',
 };
 
 export const defaultCandleId: string = CandleTable.uuid(

diff --git a/indexer/packages/postgres/__tests__/stores/candle-table.test.ts b/indexer/packages/postgres/__tests__/stores/candle-table.test.ts
@@ -65,12 +65,11 @@ describe('CandleTable', () => {
     const updatedCandle: CandleUpdateObject = {
       id: defaultCandleId,
       open: '100',
+      orderbookMidPriceClose: '200',
+      orderbookMidPriceOpen: '300',
     };
 
-    await CandleTable.update({
-      id: defaultCandleId,
-      open: '100',
-    });
+    await CandleTable.update(updatedCandle);
 
     const candle: CandleFromDatabase | undefined = await CandleTable.findById(
       defaultCandleId,

diff --git a/...db/migrations/migration_files/20240806152937_candles_add_mid_book_price_open_and_close.ts b/...db/migrations/migration_files/20240806152937_candles_add_mid_book_price_open_and_close.ts
@@ -0,0 +1,19 @@
+import * as Knex from 'knex';
+
+export async function up(knex: Knex): Promise<void> {
+  return knex
+    .schema
+    .alterTable('candles', (table) => {
+      table.decimal('orderbookMidPriceOpen', null).nullable();
+      table.decimal('orderbookMidPriceClose', null).nullable();
+    });
+}
+
+export async function down(knex: Knex): Promise<void> {
+  return knex
+    .schema
+    .alterTable('candles', (table) => {
+      table.dropColumn('orderbookMidPriceOpen');
+      table.dropColumn('orderbookMidPriceClose');
+    });
+}
diff --git a/indexer/packages/postgres/src/models/candle-model.ts b/indexer/packages/postgres/src/models/candle-model.ts
@@ -50,6 +50,8 @@ export default class CandleModel extends Model {
         usdVolume: { type: 'string', pattern: NonNegativeNumericPattern },
         trades: { type: 'integer' },
         startingOpenInterest: { type: 'string', pattern: NonNegativeNumericPattern },
+        orderbookMidPriceOpen: { type: ['string', 'null'], pattern: NonNegativeNumericPattern },
+        orderbookMidPriceClose: { type: ['string', 'null'], pattern: NonNegativeNumericPattern },
       },
     };
   }
@@ -77,4 +79,8 @@ export default class CandleModel extends Model {
   trades!: number;
 
   startingOpenInterest!: string;
+
+  orderbookMidPriceOpen?: string;
+
+  orderbookMidPriceClose?: string;
 }
diff --git a/indexer/packages/postgres/src/types/candle-types.ts b/indexer/packages/postgres/src/types/candle-types.ts
@@ -12,6 +12,8 @@ export interface CandleCreateObject {
   usdVolume: string;
   trades: number;
   startingOpenInterest: string;
+  orderbookMidPriceOpen: string | undefined;
+  orderbookMidPriceClose: string | undefined;
 }
 
 export interface CandleUpdateObject {
@@ -24,6 +26,8 @@ export interface CandleUpdateObject {
   usdVolume?: string;
   trades?: number;
   startingOpenInterest?: string;
+  orderbookMidPriceOpen?: string;
+  orderbookMidPriceClose?: string;
 }
 
 export enum CandleResolution {

diff --git a/indexer/packages/postgres/src/types/db-model-types.ts b/indexer/packages/postgres/src/types/db-model-types.ts
@@ -198,6 +198,8 @@ export interface CandleFromDatabase extends IdBasedModelFromDatabase {
   usdVolume: string;
   trades: number;
   startingOpenInterest: string;
+  orderbookMidPriceOpen?: string | null;
+  orderbookMidPriceClose?: string | null;
 }
 
 export interface PnlTicksFromDatabase extends IdBasedModelFromDatabase {

diff --git a/indexer/packages/redis/__tests__/caches/orderbook-levels-cache.test.ts b/indexer/packages/redis/__tests__/caches/orderbook-levels-cache.test.ts
@@ -12,6 +12,7 @@ import {
   deleteZeroPriceLevel,
   getLastUpdatedKey,
   deleteStalePriceLevel,
+  getOrderBookMidPrice,
 } from '../../src/caches/orderbook-levels-cache';
 import { OrderSide } from '@dydxprotocol-indexer/postgres';
 import { OrderbookLevels, PriceLevel } from '../../src/types';
@@ -685,4 +686,136 @@ describe('orderbookLevelsCache', () => {
       expect(size).toEqual('10');
     });
   });
+
+  describe('getMidPrice', () => {
+    beforeEach(() => {
+      jest.restoreAllMocks();
+      jest.restoreAllMocks();
+    });
+    afterEach(() => {
+      jest.restoreAllMocks();
+      jest.restoreAllMocks();
+    });
+
+    it('returns the correct mid price', async () => {
+      await Promise.all([
+        updatePriceLevel({
+          ticker,
+          side: OrderSide.BUY,
+          humanPrice: '45200',
+          sizeDeltaInQuantums: '2000',
+          client,
+        }),
+        updatePriceLevel({
+          ticker,
+          side: OrderSide.BUY,
+          humanPrice: '45100',
+          sizeDeltaInQuantums: '2000',
+          client,
+        }),
+        updatePriceLevel({
+          ticker,
+          side: OrderSide.BUY,
+          humanPrice: '45300',
+          sizeDeltaInQuantums: '2000',
+          client,
+        }),
+        updatePriceLevel({
+          ticker,
+          side: OrderSide.SELL,
+          humanPrice: '45500',
+          sizeDeltaInQuantums: '2000',
+          client,
+        }),
+        updatePriceLevel({
+          ticker,
+          side: OrderSide.SELL,
+          humanPrice: '45400',
+          sizeDeltaInQuantums: '2000',
+          client,
+        }),
+        updatePriceLevel({
+          ticker,
+          side: OrderSide.SELL,
+          humanPrice: '45600',
+          sizeDeltaInQuantums: '2000',
+          client,
+        }),
+      ]);
+
+      const midPrice = await getOrderBookMidPrice(ticker, client);
+      expect(midPrice).toEqual('45350');
+    });
+  });
+
+  it('returns the correct mid price for very small numbers', async () => {
+    await Promise.all([
+      updatePriceLevel({
+        ticker,
+        side: OrderSide.SELL,
+        humanPrice: '0.000000002346',
+        sizeDeltaInQuantums: '2000',
+        client,
+      }),
+      updatePriceLevel({
+        ticker,
+        side: OrderSide.BUY,
+        humanPrice: '0.000000002344',
+        sizeDeltaInQuantums: '2000',
+        client,
+      }),
+    ]);
+
+    const midPrice = await getOrderBookMidPrice(ticker, client);
+    expect(midPrice).toEqual('0.000000002345');
+  });
+
+  it('returns the approprite amount of decimal precision', async () => {
+    await Promise.all([
+      updatePriceLevel({
+        ticker,
+        side: OrderSide.SELL,
+        humanPrice: '1.02',
+        sizeDeltaInQuantums: '2000',
+        client,
+      }),
+      updatePriceLevel({
+        ticker,
+        side: OrderSide.BUY,
+        humanPrice: '1.01',
+        sizeDeltaInQuantums: '2000',
+        client,
+      }),
+    ]);
+
+    const midPrice = await getOrderBookMidPrice(ticker, client);
+    expect(midPrice).toEqual('1.015');
+  });
+
+  it('returns undefined if there are no bids or asks', async () => {
+    await updatePriceLevel({
+      ticker,
+      side: OrderSide.SELL,
+      humanPrice: '45400',
+      sizeDeltaInQuantums: '2000',
+      client,
+    });
+
+    const midPrice = await getOrderBookMidPrice(ticker, client);
+    expect(midPrice).toBeUndefined();
+  });
+
+  it('returns undefined if humanPrice is NaN', async () => {
+    await updatePriceLevel({
+      ticker,
+      side: OrderSide.SELL,
+      humanPrice: 'nan',
+      sizeDeltaInQuantums: '2000',
+      client,
+    });
+
+    const midPrice = await getOrderBookMidPrice(ticker, client);
+
+    expect(midPrice).toBeUndefined();
+  });
 });
diff --git a/indexer/packages/redis/src/caches/orderbook-levels-cache.ts b/indexer/packages/redis/src/caches/orderbook-levels-cache.ts
@@ -529,3 +529,27 @@ function convertToPriceLevels(
     };
   });
 }
+
+export async function getOrderBookMidPrice(
+  ticker: string,
+  client: RedisClient,
+): Promise<string | undefined> {
+  const levels = await getOrderBookLevels(ticker, client, {
+    removeZeros: true,
+    sortSides: true,
+    uncrossBook: true,
+    limitPerSide: 1,
+  });
+
+  if (levels.bids.length === 0 || levels.asks.length === 0) {
+    return undefined;
+  }
+
+  const bestAsk = Big(levels.asks[0].humanPrice);
+  const bestBid = Big(levels.bids[0].humanPrice);
+
+  if (bestAsk === undefined || bestBid === undefined) {
+    return undefined;
+  }
+  return bestBid.plus(bestAsk).div(2).toFixed();
+}
diff --git a/indexer/services/comlink/public/api-documentation.md b/indexer/services/comlink/public/api-documentation.md
@@ -692,6 +692,8 @@ fetch(`${baseURL}/candles/perpetualMarkets/{ticker}?resolution=1MIN`,
       "usdVolume": "string",
       "trades": 0.1,
       "startingOpenInterest": "string",
+      "orderbookMidPriceOpen": "string",
+      "orderbookMidPriceClose": "string",
       "id": "string"
     }
   ]
@@ -3655,6 +3657,8 @@ This operation does not require authentication
   "usdVolume": "string",
   "trades": 0.1,
   "startingOpenInterest": "string",
+  "orderbookMidPriceOpen": "string",
+  "orderbookMidPriceClose": "string",
   "id": "string"
 }
 
@@ -3675,6 +3679,8 @@ This operation does not require authentication
 |usdVolume|string|true|none|none|
 |trades|number(double)|true|none|none|
 |startingOpenInterest|string|true|none|none|
+|orderbookMidPriceOpen|string¦null|false|none|none|
+|orderbookMidPriceClose|string¦null|false|none|none|
 |id|string|true|none|none|
 
 ## CandleResponse
@@ -3699,6 +3705,8 @@ This operation does not require authentication
       "usdVolume": "string",
       "trades": 0.1,
       "startingOpenInterest": "string",
+      "orderbookMidPriceOpen": "string",
+      "orderbookMidPriceClose": "string",
       "id": "string"
     }
   ]

diff --git a/indexer/services/comlink/public/swagger.json b/indexer/services/comlink/public/swagger.json
@@ -303,6 +303,14 @@
           "startingOpenInterest": {
             "type": "string"
           },
+          "orderbookMidPriceOpen": {
+            "type": "string",
+            "nullable": true
+          },
+          "orderbookMidPriceClose": {
+            "type": "string",
+            "nullable": true
+          },
           "id": {
             "type": "string"
           }

diff --git a/indexer/services/ender/__tests__/helpers/redis-helpers.ts b/indexer/services/ender/__tests__/helpers/redis-helpers.ts
@@ -1,5 +1,7 @@
+import { OrderSide } from '@dydxprotocol-indexer/postgres';
 import {
   NextFundingCache,
+  OrderbookLevelsCache,
   StateFilledQuantumsCache,
 } from '@dydxprotocol-indexer/redis';
 import Big from 'big.js';
@@ -29,3 +31,19 @@ export async function expectStateFilledQuantums(
   expect(stateFilledQuantums).toBeDefined();
   expect(stateFilledQuantums).toEqual(quantums);
 }
+
+export async function updatePriceLevel(
+  ticker: string,
+  price: string,
+  side: OrderSide,
+): Promise<void> {
+  const quantums: string = '30';
+
+  await OrderbookLevelsCache.updatePriceLevel({
+    ticker,
+    side,
+    humanPrice: price,
+    sizeDeltaInQuantums: quantums,
+    client: redisClient,
+  });
+}