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Add tests for orderbook price updates
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@adamfraser
adamfraser committed Jul 17, 2024
1 parent a079b29 commit e850980
Showing 1 changed file with 236 additions and 15 deletions.
251 changes: 236 additions & 15 deletions indexer/services/ender/__tests__/lib/candles-generator.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -32,7 +32,7 @@ import { KafkaPublisher } from '../../src/lib/kafka-publisher';
import { ConsolidatedKafkaEvent } from '../../src/lib/types';
import { defaultTradeContent, defaultTradeKafkaEvent } from '../helpers/constants';
import { contentToSingleTradeMessage, createConsolidatedKafkaEventFromTrade } from '../helpers/kafka-publisher-helpers';
import { updatePriceLevel } from '../helpers/redis-helpers';
import { clearOrderbookLevelsCacheForTests, updatePriceLevel } from '../helpers/redis-helpers';

describe('candleHelper', () => {
beforeAll(async () => {
Expand All @@ -50,6 +50,7 @@ describe('candleHelper', () => {
await dbHelpers.clearData();
clearCandlesMap();
jest.clearAllMocks();
clearOrderbookLevelsCacheForTests();
});

afterAll(async () => {
Expand Down Expand Up @@ -110,6 +111,10 @@ describe('candleHelper', () => {
defaultTradeKafkaEvent2,
]);

// Create Orderbook levels to set orderbookMidPrice open & close
await updatePriceLevel('BTC-USD', '100000', OrderSide.BUY);
await updatePriceLevel('BTC-USD', '110000', OrderSide.SELL);

await runUpdateCandles(publisher);

// Verify postgres is updated
Expand All @@ -126,8 +131,8 @@ describe('candleHelper', () => {
id: CandleTable.uuid(currentStartedAt, defaultCandle.ticker, resolution),
startedAt: currentStartedAt,
resolution,
orderbookMidPriceClose: null,
orderbookMidPriceOpen: null,
orderbookMidPriceClose: '105000',
orderbookMidPriceOpen: '105000',
};
},
);
Expand All @@ -148,6 +153,9 @@ describe('candleHelper', () => {
defaultTradeKafkaEvent2,
]);

await updatePriceLevel('BTC-USD', '80000', OrderSide.BUY);
await updatePriceLevel('BTC-USD', '81000', OrderSide.SELL);

// Create Perpetual Position to set open position
const openInterest: string = '100';
await createOpenPosition(openInterest);
Expand All @@ -169,8 +177,8 @@ describe('candleHelper', () => {
startedAt: currentStartedAt,
resolution,
startingOpenInterest: openInterest,
orderbookMidPriceClose: null,
orderbookMidPriceOpen: null,
orderbookMidPriceClose: '80500',
orderbookMidPriceOpen: '80500',
};
},
);
Expand Down Expand Up @@ -246,8 +254,8 @@ describe('candleHelper', () => {
usdVolume: Big(defaultCandle.usdVolume).plus(usdVolume).toString(),
trades: existingTrades + 2,
startingOpenInterest,
orderbookMidPriceClose: '7500',
orderbookMidPriceOpen: '8000',
orderbookMidPriceClose,
orderbookMidPriceOpen,
};
},
);
Expand All @@ -262,7 +270,7 @@ describe('candleHelper', () => {

it.each([
[
'creates empty candles', // description
'creates empty candle', // description
{ // initial candle
startedAt: previousStartedAt,
ticker: testConstants.defaultPerpetualMarket.ticker,
Expand Down Expand Up @@ -293,9 +301,11 @@ describe('candleHelper', () => {
usdVolume: '0',
trades: 0,
startingOpenInterest: '100',
orderbookMidPriceClose: null,
orderbookMidPriceOpen: null,
orderbookMidPriceClose: '1000',
orderbookMidPriceOpen: '1000',
},
true,
1000,
],
[
'creates new candle if existing candle is from a past normalized candle start time', // description
Expand All @@ -322,9 +332,11 @@ describe('candleHelper', () => {
startedAt,
resolution: CandleResolution.ONE_MINUTE,
startingOpenInterest: '100',
orderbookMidPriceClose: null,
orderbookMidPriceOpen: null,
orderbookMidPriceClose: '1000',
orderbookMidPriceOpen: '1000',
},
true, // contains kafka messages
1000, // orderbook mid price
],
[
'updates empty candle', // description
Expand Down Expand Up @@ -354,13 +366,17 @@ describe('candleHelper', () => {
orderbookMidPriceClose: null,
orderbookMidPriceOpen: null,
},
true, // contains kafka messages
1000, // orderbook mid price
],
[
'does nothing when there are no trades and no existing candle', // description
undefined,
undefined, // initial candle
'100', // open interest
false, // block contains trades
undefined,
undefined, // expected candle
true, // contains kafka messages
1000, // orderbook mid price
],
[
'does not update candle when there are no trades and an existing candle', // description
Expand Down Expand Up @@ -398,6 +414,7 @@ describe('candleHelper', () => {
orderbookMidPriceOpen: '6000',
},
false, // contains kafka messages
1000,
],
])('Successfully %s', async (
_description: string,
Expand All @@ -406,7 +423,12 @@ describe('candleHelper', () => {
blockContainsTrades: boolean,
expectedCandle: CandleFromDatabase | undefined,
containsKafkaMessages: boolean = true,
orderbookMidPrice: number,
) => {
const midPriceSpread = 10;
await updatePriceLevel('BTC-USD', String(orderbookMidPrice + midPriceSpread), OrderSide.SELL);
await updatePriceLevel('BTC-USD', String(orderbookMidPrice - midPriceSpread), OrderSide.BUY);

if (initialCandle !== undefined) {
await CandleTable.create(initialCandle);
}
Expand Down Expand Up @@ -441,7 +463,206 @@ describe('candleHelper', () => {
expectTimingStats();
});

it('Updates previous candle orderBookMidPriceClose if startTime is past candle resolution', async () => {
// Create existing candles
const existingPrice: string = '7000';
const startingOpenInterest: string = '200';
const baseTokenVolume: string = '10';
const usdVolume: string = Big(existingPrice).times(baseTokenVolume).toString();
const orderbookMidPriceClose = '7500';
const orderbookMidPriceOpen = '8000';
await Promise.all(
_.map(Object.values(CandleResolution), (resolution: CandleResolution) => {
return CandleTable.create({
startedAt: previousStartedAt,
ticker: testConstants.defaultPerpetualMarket.ticker,
resolution,
low: existingPrice,
high: existingPrice,
open: existingPrice,
close: existingPrice,
baseTokenVolume,
usdVolume,
trades: existingTrades,
startingOpenInterest,
orderbookMidPriceClose,
orderbookMidPriceOpen,
});
}),
);
await startCandleCache();

// Update Orderbook levels
await updatePriceLevel('BTC-USD', '10010', OrderSide.SELL);
await updatePriceLevel('BTC-USD', '10000', OrderSide.BUY);

const publisher: KafkaPublisher = new KafkaPublisher();
publisher.addEvents([
defaultTradeKafkaEvent,
defaultTradeKafkaEvent2,
]);

// Create new candles, with trades
await runUpdateCandles(publisher);

// Verify previous candles have orderbookMidPriceClose updated
const previousExpectedCandles: CandleFromDatabase[] = _.map(
Object.values(CandleResolution),
(resolution: CandleResolution) => {
return {
id: CandleTable.uuid(previousStartedAt, defaultCandle.ticker, resolution),
startedAt: previousStartedAt,
ticker: defaultCandle.ticker,
resolution,
low: existingPrice,
high: existingPrice,
open: existingPrice,
close: existingPrice,
baseTokenVolume,
usdVolume,
trades: existingTrades,
startingOpenInterest,
orderbookMidPriceClose: '10005',
orderbookMidPriceOpen,
};
},
);
await verifyCandlesInPostgres(previousExpectedCandles);

// Verify new candles were created
const expectedCandles: CandleFromDatabase[] = _.map(
Object.values(CandleResolution),
(resolution: CandleResolution) => {
const currentStartedAt: IsoString = helpers.calculateNormalizedCandleStartTime(
testConstants.createdDateTime,
resolution,
).toISO();

return {
id: CandleTable.uuid(currentStartedAt, defaultCandle.ticker, resolution),
startedAt: currentStartedAt,
ticker: defaultCandle.ticker,
resolution,
low: '10000',
high: defaultPrice2,
open: '10000',
close: defaultPrice2,
baseTokenVolume: '20',
usdVolume: '250000',
trades: 2,
startingOpenInterest: '0',
orderbookMidPriceClose: '10005',
orderbookMidPriceOpen: '10005',
};
},
);
await verifyCandlesInPostgres(expectedCandles);

// Verify publisher contains candles
verifyAllCandlesEqualsKafkaMessages(publisher, expectedCandles);

await validateCandlesCache();
expectTimingStats();
});

it('creates an empty candle and updates previous candle orderBookMidPriceClose if startTime is past candle resolution', async () => {
// Create existing candles
const existingPrice: string = '7000';
const startingOpenInterest: string = '200';
const baseTokenVolume: string = '10';
const usdVolume: string = Big(existingPrice).times(baseTokenVolume).toString();
const orderbookMidPriceClose = '7500';
const orderbookMidPriceOpen = '8000';
await Promise.all(
_.map(Object.values(CandleResolution), (resolution: CandleResolution) => {
return CandleTable.create({
startedAt: previousStartedAt,
ticker: testConstants.defaultPerpetualMarket.ticker,
resolution,
low: existingPrice,
high: existingPrice,
open: existingPrice,
close: existingPrice,
baseTokenVolume,
usdVolume,
trades: existingTrades,
startingOpenInterest,
orderbookMidPriceClose,
orderbookMidPriceOpen,
});
}),
);
await startCandleCache();

// Update Orderbook levels
await updatePriceLevel('BTC-USD', '10010', OrderSide.SELL);
await updatePriceLevel('BTC-USD', '10000', OrderSide.BUY);

const publisher: KafkaPublisher = new KafkaPublisher();
publisher.addEvents([]);

// Create new candles, without trades
await runUpdateCandles(publisher);

// Verify previous candles have orderbookMidPriceClose updated
const previousExpectedCandles: CandleFromDatabase[] = _.map(
Object.values(CandleResolution),
(resolution: CandleResolution) => {
return {
id: CandleTable.uuid(previousStartedAt, defaultCandle.ticker, resolution),
startedAt: previousStartedAt,
ticker: defaultCandle.ticker,
resolution,
low: existingPrice,
high: existingPrice,
open: existingPrice,
close: existingPrice,
baseTokenVolume,
usdVolume,
trades: existingTrades,
startingOpenInterest,
orderbookMidPriceClose: '10005',
orderbookMidPriceOpen,
};
},
);
await verifyCandlesInPostgres(previousExpectedCandles);

// Verify new empty candle was created
const expectedCandles: CandleFromDatabase[] = _.map(
Object.values(CandleResolution),
(resolution: CandleResolution) => {
const currentStartedAt: IsoString = helpers.calculateNormalizedCandleStartTime(
testConstants.createdDateTime,
resolution,
).toISO();

return {
id: CandleTable.uuid(currentStartedAt, defaultCandle.ticker, resolution),
startedAt: currentStartedAt,
ticker: defaultCandle.ticker,
resolution,
low: existingPrice,
high: existingPrice,
open: existingPrice,
close: existingPrice,
baseTokenVolume: '0',
usdVolume: '0',
trades: 0,
startingOpenInterest: '0',
orderbookMidPriceClose: '10005',
orderbookMidPriceOpen: '10005',
};
},
);
await verifyCandlesInPostgres(expectedCandles);

});

it('successfully creates an orderbook price map for each market', async () => {
await updatePriceLevel('BTC-USD', '100000', OrderSide.BUY);
await updatePriceLevel('BTC-USD', '110000', OrderSide.SELL);

await updatePriceLevel('ISO-USD', '110000', OrderSide.BUY);
await updatePriceLevel('ISO-USD', '120000', OrderSide.SELL);

Expand All @@ -450,7 +671,7 @@ describe('candleHelper', () => {

const map = await getOrderbookMidPriceMap();
expect(map).toEqual({
'BTC-USD': undefined,
'BTC-USD': '105000',
'ETH-USD': '150000',
'ISO-USD': '115000',
'ISO2-USD': undefined,
Expand Down

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