Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add parsing logic for new markets in v4_markets channel update. #734

Merged
merged 1 commit into from
Oct 25, 2024
Merged

Add parsing logic for new markets in v4_markets channel update. #734

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
2 changes: 1 addition & 1 deletion build.gradle.kts
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -52,7 +52,7 @@ allprojects {
}

group = "exchange.dydx.abacus"
version = "1.13.13"
version = "1.13.14"

repositories {
google()
Expand Down
79 changes: 77 additions & 2 deletions src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/MarketProcessor.kt
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,5 +1,6 @@
package exchange.dydx.abacus.processor.markets

import com.ionspin.kotlin.bignum.decimal.toBigDecimal
import exchange.dydx.abacus.output.MarketConfigs
import exchange.dydx.abacus.output.MarketConfigsV4
import exchange.dydx.abacus.output.MarketPerpetual
Expand All @@ -26,6 +27,7 @@ import kollections.toIList
import numberOfDecimals
import kotlin.math.max
import kotlin.math.min
import kotlin.math.pow
import kotlin.time.Duration.Companion.seconds

internal interface MarketProcessorProtocol : BaseProcessorProtocol {
Expand Down Expand Up @@ -262,8 +264,28 @@ internal class MarketProcessor(
private fun createConfigs(
payload: IndexerCompositeMarketObject,
): MarketConfigs {
val stepSize = parser.asDouble(payload.stepSize)
val tickSize = parser.asDouble(payload.tickSize)
var stepSize = parser.asDouble(payload.stepSize)
var tickSize = parser.asDouble(payload.tickSize)

val atomicResolution = parser.asInt(payload.atomicResolution)
val stepBaseQuantums = parser.asInt(payload.stepBaseQuantums)
val quantumConversionExponent = parser.asInt(payload.quantumConversionExponent)
val subticksPerTick = parser.asInt(payload.subticksPerTick)
if (stepSize == null) {
if (atomicResolution != null && stepBaseQuantums != null) {
stepSize = getStepSize(stepBaseQuantums, atomicResolution)
} else {
stepSize = fallbackStepSize
}
}
if (tickSize == null) {
if (subticksPerTick != null && quantumConversionExponent != null && atomicResolution != null) {
tickSize = getTickSize(subticksPerTick, quantumConversionExponent, atomicResolution)
} else {
tickSize = fallbackTickSize
}
}

return MarketConfigs(
clobPairId = payload.clobPairId,
largeSize = null,
Expand Down Expand Up @@ -493,15 +515,68 @@ internal class MarketProcessor(
parser.asDouble(payload["basePositionSize"]),
) // v4
}

// calculate stepSize and tickSize if not provided
val stepSize = parser.asDouble(configs["stepSize"])
val tickSize = parser.asDouble(configs["tickSize"])
val atomicResolution = parser.asInt(parser.value(configsV4, "atomicResolution"))
val stepBaseQuantums = parser.asInt(parser.value(configsV4, "stepBaseQuantums"))
val quantumConversionExponent = parser.asInt(parser.value(configsV4, "quantumConversionExponent"))
if (stepSize == null) {
if (atomicResolution != null && stepBaseQuantums != null) {
val stepSize = getStepSize(stepBaseQuantums, atomicResolution)
configs.safeSet("stepSize", stepSize)
} else {
configs.safeSet("stepSize", fallbackStepSize)
}
}
if (tickSize == null) {
val subticksPerTick = parser.asInt(parser.value(configsV4, "subticksPerTick"))
if (subticksPerTick != null && quantumConversionExponent != null && atomicResolution != null) {
val tickSize = getTickSize(subticksPerTick, quantumConversionExponent, atomicResolution)
configs.safeSet("tickSize", tickSize)
} else {
configs.safeSet("tickSize", fallbackTickSize)
}
}
return configs
}

private fun getStepSize(
stepBaseQuantums: Int,
atomicResolution: Int,
): Double {
val stepSize = stepBaseQuantums.toBigDecimal().times(10.0.toBigDecimal().pow(atomicResolution))
return parser.asDouble(stepSize) ?: fallbackStepSize
}

private fun getTickSize(
subticksPerTick: Int,
quantumConversionExponent: Int,
atomicResolution: Int
): Double {
val quoteCurrencyAtomicResolution = -6
val tickSize = subticksPerTick.toBigDecimal().times(
10.0.toBigDecimal().pow(quantumConversionExponent),
).times(
10.0.toBigDecimal().pow(quoteCurrencyAtomicResolution),
).divide(
10.0.toBigDecimal().pow(atomicResolution),
)
return parser.asDouble(tickSize) ?: fallbackTickSize
}

private fun perpetual(
existing: Map<String, Any>?,
payload: Map<String, Any>,
oraclePrice: Double?,
): Map<String, Any> {
val perpetual = transform(existing, payload, perpetualKeyMap)
val openInterest = parser.asDouble(perpetual["openInterest"])
if (openInterest == null) {
perpetual.safeSet("openInterest", 0.0)
perpetual.safeSet("openInterestUSDC", 0.0)
}
oraclePrice?.let {
parser.asDouble(perpetual["openInterest"])?.let {
perpetual["openInterestUSDC"] = it * oraclePrice
Expand Down
19 changes: 14 additions & 5 deletions src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/MarketsProcessor.kt
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -189,11 +189,20 @@ internal class MarketsProcessor(
for ((market, data) in narrowedPayload) {
val marketPayload = parser.asNativeMap(data)
if (marketPayload != null) {
val receivedMarket = marketProcessorDeprecated!!.receivedDeltaDeprecated(
parser.asNativeMap(existing?.get(market)),
marketPayload,
)
markets[market] = receivedMarket
if (marketPayload["clobPairId"] != null) {
// new permissionless market
val receivedMarket = marketProcessorDeprecated!!.received(
parser.asNativeMap(existing?.get(market)),
marketPayload,
)
markets[market] = receivedMarket
} else {
val receivedMarket = marketProcessorDeprecated!!.receivedDeltaDeprecated(
parser.asNativeMap(existing?.get(market)),
marketPayload,
)
markets[market] = receivedMarket
}
}
}
return markets
Expand Down
25 changes: 25 additions & 0 deletions src/commonTest/kotlin/exchange.dydx.abacus/payload/v4/V4MarketsTests.kt
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -421,6 +421,12 @@ class V4MarketsTests : V4BaseTests() {
assertEquals(ethMarket?.perpetualMarket?.perpetual?.volume24H, 626131271.611287094)
assertEquals(ethMarket?.perpetualMarket?.perpetual?.trades24H, 1214631.0)
assertEquals(ethMarket?.perpetualMarket?.perpetual?.nextFundingRate, 0.0)

val mlnMarket = markets["MLN-USD"]
assertEquals(mlnMarket?.perpetualMarket?.oraclePrice, null)
assertEquals(mlnMarket?.perpetualMarket?.perpetual?.openInterest, null)
assertEquals(mlnMarket?.perpetualMarket?.configs?.stepSize, 0.1)
assertEquals(mlnMarket?.perpetualMarket?.configs?.tickSize, 0.01)
} else {
test(
{
Expand Down Expand Up @@ -475,7 +481,26 @@ class V4MarketsTests : V4BaseTests() {
"nextFundingRate":0.0,
"trades24H":1214631
}
},
"MLN-USD":{
"market":"MLN-USD",
"status":{
"canTrade":true,
"canReduce":true
},
"configs":{
"stepSize":0.1,
"tickSize":0.01,
"initialMarginFraction":0.05,
"clobPairId":111
},
"perpetual":{
"openInterest":0.0,
"openInterestLowerCap": 500000.0,
"openInterestUpperCap": 1000000.0
}
}

}
}
}
Expand Down
17 changes: 16 additions & 1 deletion src/commonTest/kotlin/exchange.dydx.abacus/tests/payloads/MarketsChannelMock.kt
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -2791,7 +2791,22 @@ internal class MarketsChannelMock {
"volume24H":"626131271.611287094",
"trades24H":1214631,
"openInterest":"67603.376057"
}
},
"MLN-USD": {
"id": "111",
"clobPairId": "111",
"ticker": "MLN-USD",
"marketId": 111,
"status": "ACTIVE",
"quantumConversionExponent": -9,
"atomicResolution": -7,
"subticksPerTick": 1000000,
"stepBaseQuantums": 1000000,
"initialMarginFraction": "0.05",
"maintenanceMarginFraction": "0.03",
"openInterestLowerCap": "500000",
"openInterestUpperCap": "1000000"
}
}
}
]
Expand Down
2 changes: 1 addition & 1 deletion v4_abacus.podspec
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
Pod::Spec.new do |spec|
spec.name = 'v4_abacus'
spec.version = '1.13.13'
spec.version = '1.13.14'
spec.homepage = 'https://github.com/dydxprotocol/v4-abacus'
spec.source = { :http=> ''}
spec.authors = ''
Expand Down