Candles HLOC Data (backport #1887)

indexer/packages/postgres/__tests__/helpers/constants.ts

@@ -717,6 +717,8 @@ export const defaultCandle: CandleCreateObject = {
   usdVolume: '2200000',
   trades: 300,
   startingOpenInterest: '200000',
+  orderbookMidPriceOpen: '11500',
+  orderbookMidPriceClose: '12500',
 };
 
 export const defaultCandleId: string = CandleTable.uuid(

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,

indexer/packages/postgres/src/db/migrations/migration_files/20240627152937_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);
+      table.decimal('orderbookMidPriceClose', null);
+    });
+}
+
+export async function down(knex: Knex): Promise<void> {
+  return knex
+    .schema
+    .alterTable('candles', (table) => {
+      table.dropColumn('orderbookMidPriceOpen');
+      table.dropColumn('orderbookMidPriceClose');
+    });
+}

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;
 }

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 {

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 {

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';
@@ -684,4 +685,93 @@ 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();
+  });
 });

indexer/packages/redis/src/caches/orderbook-levels-cache.ts

@@ -529,3 +529,38 @@ 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;
+}

indexer/services/comlink/public/api-documentation.md

@@ -641,6 +641,8 @@ fetch('https://dydx-testnet.imperator.co/v4/candles/perpetualMarkets/{ticker}?re
       "usdVolume": "string",
       "trades": 0,
       "startingOpenInterest": "string",
+      "orderbookMidPriceOpen": "string",
+      "orderbookMidPriceClose": "string",
       "id": "string"
     }
   ]
@@ -3265,6 +3267,8 @@ This operation does not require authentication
   "usdVolume": "string",
   "trades": 0,
   "startingOpenInterest": "string",
+  "orderbookMidPriceOpen": "string",
+  "orderbookMidPriceClose": "string",
   "id": "string"
 }
 
@@ -3285,6 +3289,8 @@ 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
@@ -3309,6 +3315,8 @@ This operation does not require authentication
       "usdVolume": "string",
       "trades": 0,
       "startingOpenInterest": "string",
+      "orderbookMidPriceOpen": "string",
+      "orderbookMidPriceClose": "string",
       "id": "string"
     }
   ]

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"
           }

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,
+  });
+}