Adam/add candles hloc (#2047)

(cherry picked from commit 73b04dc) # Conflicts: # indexer/packages/postgres/src/db/migrations/migration_files/20240627152937_candles_add_mid_book_price_open_and_close.ts # indexer/packages/redis/__tests__/caches/orderbook-levels-cache.test.ts # indexer/packages/redis/src/caches/orderbook-levels-cache.ts # indexer/services/ender/src/lib/candles-generator.ts
dydxprotocol · Aug 21, 2024 · 5c3d156 · 5c3d156
1 parent 38528b2
commit 5c3d156
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diff --git a/...db/migrations/migration_files/20240627152937_candles_add_mid_book_price_open_and_close.ts b/...db/migrations/migration_files/20240627152937_candles_add_mid_book_price_open_and_close.ts
@@ -4,8 +4,13 @@ export async function up(knex: Knex): Promise<void> {
   return knex
     .schema
     .alterTable('candles', (table) => {
+<<<<<<< HEAD
       table.decimal('orderbookMidPriceOpen', null);
       table.decimal('orderbookMidPriceClose', null);
+=======
+      table.decimal('orderbookMidPriceOpen', null).nullable();
+      table.decimal('orderbookMidPriceClose', null).nullable();
+>>>>>>> 73b04dc3 (Adam/add candles hloc (#2047))
     });
 }
 

diff --git a/indexer/packages/redis/__tests__/caches/orderbook-levels-cache.test.ts b/indexer/packages/redis/__tests__/caches/orderbook-levels-cache.test.ts
@@ -744,9 +744,58 @@ describe('orderbookLevelsCache', () => {
       ]);
 
       const midPrice = await getOrderBookMidPrice(ticker, client);
+<<<<<<< HEAD
       expect(midPrice).toEqual(45350);
     });
 
+=======
+      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');
+>>>>>>> 73b04dc3 (Adam/add candles hloc (#2047))
   });
 
   it('returns undefined if there are no bids or asks', async () => {

diff --git a/indexer/packages/redis/src/caches/orderbook-levels-cache.ts b/indexer/packages/redis/src/caches/orderbook-levels-cache.ts
@@ -533,7 +533,11 @@ function convertToPriceLevels(
 export async function getOrderBookMidPrice(
   ticker: string,
   client: RedisClient,
+<<<<<<< HEAD
 ): Promise<number | undefined> {
+=======
+): Promise<string | undefined> {
+>>>>>>> 73b04dc3 (Adam/add candles hloc (#2047))
   const levels = await getOrderBookLevels(ticker, client, {
     removeZeros: true,
     sortSides: true,
@@ -542,6 +546,7 @@ export async function getOrderBookMidPrice(
   });
 
   if (levels.bids.length === 0 || levels.asks.length === 0) {
+<<<<<<< HEAD
     const message: string = `Orderbook bid length: ${levels.bids.length}, ask length: ${levels.asks.length}. Expected > 0`;
     logger.error({
       at: 'orderbook-levels-cache#getOrderBookMidPrice',
@@ -563,4 +568,16 @@ export async function getOrderBookMidPrice(
   }
 
   return bestBid + (bestAsk - bestBid) / 2;
+=======
+    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();
+>>>>>>> 73b04dc3 (Adam/add candles hloc (#2047))
 }
diff --git a/indexer/services/ender/src/lib/candles-generator.ts b/indexer/services/ender/src/lib/candles-generator.ts
@@ -541,7 +541,11 @@ export async function getOrderbookMidPriceMap(): Promise<{ [ticker: string]: Ord
       perpetualMarket.ticker,
       redisClient,
     );
+<<<<<<< HEAD
     return { [perpetualMarket.ticker]: price === undefined ? undefined : String(price) };
+=======
+    return { [perpetualMarket.ticker]: price === undefined ? undefined : price };
+>>>>>>> 73b04dc3 (Adam/add candles hloc (#2047))
   });
 
   const pricesArray = await Promise.all(promises);