Revert "Candles HLOC Data (backport #1887) (#1990)"

This reverts commit f8ce117.
dydxprotocol · Jul 31, 2024 · dce78c6 · dce78c6
1 parent f8ce117
commit dce78c6
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Showing 14 changed files with 24 additions and 566 deletions.
diff --git a/indexer/packages/postgres/__tests__/helpers/constants.ts b/indexer/packages/postgres/__tests__/helpers/constants.ts
@@ -717,8 +717,6 @@ 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
@@ -65,11 +65,12 @@ describe('CandleTable', () => {
     const updatedCandle: CandleUpdateObject = {
       id: defaultCandleId,
       open: '100',
-      orderbookMidPriceClose: '200',
-      orderbookMidPriceOpen: '300',
     };
 
-    await CandleTable.update(updatedCandle);
+    await CandleTable.update({
+      id: defaultCandleId,
+      open: '100',
+    });
 
     const candle: CandleFromDatabase | undefined = await CandleTable.findById(
       defaultCandleId,

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
diff --git a/indexer/packages/postgres/src/models/candle-model.ts b/indexer/packages/postgres/src/models/candle-model.ts
@@ -50,8 +50,6 @@ 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 },
       },
     };
   }
@@ -79,8 +77,4 @@ 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
@@ -12,8 +12,6 @@ export interface CandleCreateObject {
   usdVolume: string;
   trades: number;
   startingOpenInterest: string;
-  orderbookMidPriceOpen: string | undefined;
-  orderbookMidPriceClose: string | undefined;
 }
 
 export interface CandleUpdateObject {
@@ -26,8 +24,6 @@ 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
@@ -198,8 +198,6 @@ 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
@@ -12,7 +12,6 @@ import {
   deleteZeroPriceLevel,
   getLastUpdatedKey,
   deleteStalePriceLevel,
-  getOrderBookMidPrice,
 } from '../../src/caches/orderbook-levels-cache';
 import { OrderSide } from '@dydxprotocol-indexer/postgres';
 import { OrderbookLevels, PriceLevel } from '../../src/types';
@@ -685,93 +684,4 @@ 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 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
@@ -529,38 +529,3 @@ function convertToPriceLevels(
     };
   });
 }
-
-export async function getOrderBookMidPrice(
-  ticker: string,
-  client: RedisClient,
-): Promise<number | undefined> {
-  const levels = await getOrderBookLevels(ticker, client, {
-    removeZeros: true,
-    sortSides: true,
-    uncrossBook: true,
-    limitPerSide: 1,
-  });
-
-  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);
-
-  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;
-}
diff --git a/indexer/services/comlink/public/api-documentation.md b/indexer/services/comlink/public/api-documentation.md
@@ -641,8 +641,6 @@ fetch('https://dydx-testnet.imperator.co/v4/candles/perpetualMarkets/{ticker}?re
       "usdVolume": "string",
       "trades": 0,
       "startingOpenInterest": "string",
-      "orderbookMidPriceOpen": "string",
-      "orderbookMidPriceClose": "string",
       "id": "string"
     }
   ]
@@ -3267,8 +3265,6 @@ This operation does not require authentication
   "usdVolume": "string",
   "trades": 0,
   "startingOpenInterest": "string",
-  "orderbookMidPriceOpen": "string",
-  "orderbookMidPriceClose": "string",
   "id": "string"
 }
 
@@ -3289,8 +3285,6 @@ 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
@@ -3315,8 +3309,6 @@ This operation does not require authentication
       "usdVolume": "string",
       "trades": 0,
       "startingOpenInterest": "string",
-      "orderbookMidPriceOpen": "string",
-      "orderbookMidPriceClose": "string",
       "id": "string"
     }
   ]

diff --git a/indexer/services/comlink/public/swagger.json b/indexer/services/comlink/public/swagger.json
@@ -303,14 +303,6 @@
           "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
@@ -1,7 +1,5 @@
-import { OrderSide } from '@dydxprotocol-indexer/postgres';
 import {
   NextFundingCache,
-  OrderbookLevelsCache,
   StateFilledQuantumsCache,
 } from '@dydxprotocol-indexer/redis';
 import Big from 'big.js';
@@ -31,19 +29,3 @@ 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,
-  });
-}