Adam/add candles hloc (backport #2047) (#2134)

Co-authored-by: Adam Fraser <[email protected]>
dydxprotocol · Aug 21, 2024 · 82c72c5 · 82c72c5
1 parent 38528b2
commit 82c72c5
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Showing 4 changed files with 51 additions and 19 deletions.
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 +4,8 @@ export async function up(knex: Knex): Promise<void> {
   return knex
     .schema
     .alterTable('candles', (table) => {
-      table.decimal('orderbookMidPriceOpen', null);
-      table.decimal('orderbookMidPriceClose', null);
+      table.decimal('orderbookMidPriceOpen', null).nullable();
+      table.decimal('orderbookMidPriceClose', null).nullable();
     });
 }
 

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 +744,52 @@ describe('orderbookLevelsCache', () => {
       ]);
 
       const midPrice = await getOrderBookMidPrice(ticker, client);
-      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');
   });
 
   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 +533,7 @@ function convertToPriceLevels(
 export async function getOrderBookMidPrice(
   ticker: string,
   client: RedisClient,
-): Promise<number | undefined> {
+): Promise<string | undefined> {
   const levels = await getOrderBookLevels(ticker, client, {
     removeZeros: true,
     sortSides: true,
@@ -542,25 +542,14 @@ export async function getOrderBookMidPrice(
   });
 
   if (levels.bids.length === 0 || levels.asks.length === 0) {
-    const message: string = `Orderbook bid length: ${levels.bids.length}, ask length: ${levels.asks.length}. Expected > 0`;
-    logger.error({
-      at: 'orderbook-levels-cache#getOrderBookMidPrice',
-      message,
-    });
     return undefined;
   }
 
-  const bestAsk = Number(levels.asks[0].humanPrice);
-  const bestBid = Number(levels.bids[0].humanPrice);
+  const bestAsk = Big(levels.asks[0].humanPrice);
+  const bestBid = Big(levels.bids[0].humanPrice);
 
   if (bestAsk === undefined || bestBid === undefined) {
-    const message: string = `Orderbook bid or ask failed to parse to Number, bid: ${levels.bids[0]}, ask: ${levels.asks[0]}`;
-    logger.error({
-      at: 'orderbook-levels-cache#getOrderBookMidPrice',
-      message,
-    });
     return undefined;
   }
-
-  return bestBid + (bestAsk - bestBid) / 2;
+  return bestBid.plus(bestAsk).div(2).toFixed();
 }
diff --git a/indexer/services/ender/src/lib/candles-generator.ts b/indexer/services/ender/src/lib/candles-generator.ts
@@ -541,7 +541,7 @@ export async function getOrderbookMidPriceMap(): Promise<{ [ticker: string]: Ord
       perpetualMarket.ticker,
       redisClient,
     );
-    return { [perpetualMarket.ticker]: price === undefined ? undefined : String(price) };
+    return { [perpetualMarket.ticker]: price === undefined ? undefined : price };
   });
 
   const pricesArray = await Promise.all(promises);