Static typing: Historical funding and fixing issues with isolated market orders

build.gradle.kts

@@ -52,7 +52,7 @@ allprojects {
 }
 
 group = "exchange.dydx.abacus"
-version = "1.13.17"
+version = "1.13.18"
 
 repositories {
     google()

src/commonMain/kotlin/exchange.dydx.abacus/calculator/MarginCalculator.kt

@@ -758,12 +758,12 @@ internal object MarginCalculator {
         val positionSizeDifference = getPositionSizeDifference(subaccount, trade) ?: return null
 
         return calculateIsolatedMarginTransferAmountFromValues(
-            targetLeverage,
-            side,
-            oraclePrice,
-            price,
-            maxMarketLeverage,
-            positionSizeDifference,
+            targetLeverage = targetLeverage,
+            side = side,
+            oraclePrice = oraclePrice,
+            price = price,
+            maxMarketLeverage = maxMarketLeverage,
+            positionSizeDifference = positionSizeDifference,
         )
     }
 

src/commonMain/kotlin/exchange.dydx.abacus/calculator/ReceiptCalculator.kt

@@ -68,7 +68,7 @@ internal class ReceiptCalculator {
                             listOf(
                                 ReceiptLine.Equity,
                                 ReceiptLine.MarginUsage,
-                                ReceiptLine.Fee,
+                                ReceiptLine.TransferFee,
                             )
                         }
 

src/commonMain/kotlin/exchange.dydx.abacus/calculator/V2/AccountTransformerV2.kt

@@ -50,7 +50,10 @@ internal class AccountTransformerV2(
                 period = period,
             )
         } else if (childSubaccountNumber != null) {
-            val childSubaccount = account.subaccounts[childSubaccountNumber]
+            val childSubaccount = account.subaccounts[childSubaccountNumber] ?: InternalSubaccountState(
+                subaccountNumber = childSubaccountNumber,
+            )
+            account.subaccounts[childSubaccountNumber] = childSubaccount
 
             var transferAmountAppliedToParent = 0.0
             var transferAmountAppliedToChild = 0.0

src/commonMain/kotlin/exchange.dydx.abacus/calculator/V2/SubaccountTransformerV2.kt

@@ -193,11 +193,12 @@ internal class SubaccountTransformerV2(
         hasTransfer: Boolean = false,
     ) {
         val deltaMarketId = delta?.marketId
-        val positions = subaccount.openPositions
+        val positions = subaccount.openPositions ?: mapOf()
 
-        val marketPosition = positions?.get(deltaMarketId)
+        val marketPosition = positions[deltaMarketId]
         val modifiedDelta = if (delta != null) {
-            val positionSize = marketPosition?.calculated?.get(CalculationPeriod.current)?.size ?: Numeric.double.ZERO
+            val positionSize = marketPosition?.calculated?.get(CalculationPeriod.current)?.size
+                ?: Numeric.double.ZERO
             transformDelta(
                 delta = delta,
                 positionSize = positionSize,
@@ -207,19 +208,18 @@ internal class SubaccountTransformerV2(
             null
         }
 
-        if (positions != null) {
-            subaccount.openPositions = applyDeltaToPositions(
-                positions = positions,
-                delta = modifiedDelta,
-                period = period,
-            )
-        }
+        subaccount.openPositions = applyDeltaToPositions(
+            positions = positions,
+            delta = modifiedDelta,
+            period = period,
+        )
 
         val calculatedAtPeriod = subaccount.calculated[period] ?: InternalSubaccountCalculated()
         val usdcSize = modifiedDelta?.usdcSize ?: Numeric.double.ZERO
         if (delta != null && usdcSize != Numeric.double.ZERO) {
             val fee = modifiedDelta?.fee ?: Numeric.double.ZERO
-            val quoteBalance = subaccount.calculated[CalculationPeriod.current]?.quoteBalance ?: Numeric.double.ZERO
+            val quoteBalance = subaccount.calculated[CalculationPeriod.current]?.quoteBalance
+                ?: Numeric.double.ZERO
             calculatedAtPeriod.quoteBalance = quoteBalance + usdcSize + fee
         } else {
             calculatedAtPeriod.quoteBalance = null

src/commonMain/kotlin/exchange.dydx.abacus/calculator/V2/TradeInput/TradeInputCalculatorV2.kt

@@ -107,7 +107,7 @@ internal class TradeInputCalculatorV2(
             subaccountNumber = subaccountNumber,
             trade = trade,
             market = markets[trade.marketId],
-            CalculationPeriod.post,
+            period = CalculationPeriod.post,
         )
 
         return trade

src/commonMain/kotlin/exchange.dydx.abacus/output/input/ReceiptLine.kt

@@ -27,7 +27,8 @@ enum class ReceiptLine(val rawValue: String) {
     CrossMarginUsage("CROSS_MARGIN_USAGE"),
     PositionMargin("POSITION_MARGIN"),
     PositionLeverage("POSITION_LEVERAGE"),
-    LiquidationPrice("LIQUIDATION_PRICE");
+    LiquidationPrice("LIQUIDATION_PRICE"),
+    TransferFee("TRANSFER_FEE");
 
     companion object {
         operator fun invoke(rawValue: String) =

src/commonMain/kotlin/exchange.dydx.abacus/processor/configs/RewardsParamsProcessor.kt

@@ -46,6 +46,7 @@ internal class RewardsParamsProcessor(
                 denom = payload.params?.denom,
                 denomExponent = payload.params?.denomExponent,
                 marketId = payload.params?.marketId,
+                feeMultiplierPpm = payload.params?.feeMultiplierPpm,
             )
         } else {
             null

src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/HistoricalFundingsProcessor.kt

@@ -1,7 +1,11 @@
 package exchange.dydx.abacus.processor.markets
 
+import exchange.dydx.abacus.output.MarketHistoricalFunding
 import exchange.dydx.abacus.processor.base.BaseProcessor
 import exchange.dydx.abacus.protocols.ParserProtocol
+import exchange.dydx.abacus.state.internalstate.InternalMarketState
+import indexer.codegen.IndexerHistoricalFundingResponseObject
+import kotlinx.datetime.Instant
 
 @Suppress("UNCHECKED_CAST")
 internal class HistoricalFundingsProcessor(parser: ParserProtocol) : BaseProcessor(parser) {
@@ -14,6 +18,40 @@ internal class HistoricalFundingsProcessor(parser: ParserProtocol) : BaseProcess
         return if (payload != null) receivedList(existing, payload) else null
     }
 
+    fun process(
+        existing: InternalMarketState,
+        payload: List<IndexerHistoricalFundingResponseObject>?,
+    ): InternalMarketState {
+        val history = payload?.mapNotNull {
+            val rate = parser.asDouble(it.rate)
+            val price = parser.asDouble(it.price)
+            val effectiveAt = parser.asDatetime(it.effectiveAt)?.toEpochMilliseconds()?.toDouble()
+            if (rate != null && price != null && effectiveAt != null) {
+                MarketHistoricalFunding(
+                    rate = rate,
+                    price = price,
+                    effectiveAtMilliseconds = effectiveAt,
+                )
+            } else {
+                null
+            }
+        }?.reversed()
+
+        existing.historicalFundings = merge(
+            parser = parser,
+            existing = existing.historicalFundings,
+            incoming = history,
+            timeField = { item ->
+                item?.effectiveAtMilliseconds?.toLong()?.let {
+                    Instant.fromEpochMilliseconds(it)
+                }
+            },
+            ascending = true,
+        )
+
+        return existing
+    }
+
     private fun receivedList(
         existing: List<Any>?,
         payload: List<Any>?,

src/commonMain/kotlin/exchange.dydx.abacus/processor/markets/MarketsSummaryProcessor.kt

@@ -9,6 +9,8 @@ import exchange.dydx.abacus.utils.mutable
 import exchange.dydx.abacus.utils.safeSet
 import indexer.codegen.IndexerCandleResponse
 import indexer.codegen.IndexerCandleResponseObject
+import indexer.codegen.IndexerHistoricalFundingResponse
+import indexer.codegen.IndexerHistoricalFundingResponseObject
 import indexer.codegen.IndexerOrderbookResponseObject
 import indexer.codegen.IndexerSparklineTimePeriod
 import indexer.codegen.IndexerTradeResponse
@@ -26,6 +28,7 @@ internal class MarketsSummaryProcessor(
     private val orderbookProcessor = OrderbookProcessor(parser)
     private val candlesProcessor = CandlesProcessor(parser)
     private val tradesProcessor = TradesProcessorV2(TradeProcessorV2(parser, localizer))
+    private val historicalFundingsProcessor = HistoricalFundingsProcessor(parser)
 
     internal var groupingMultiplier: Int
         get() = if (staticTyping) orderbookProcessor.groupingMultiplier else marketsProcessor.groupingMultiplier
@@ -183,6 +186,29 @@ internal class MarketsSummaryProcessor(
         return existing
     }
 
+    fun processHistoricalFundings(
+        existing: InternalMarketSummaryState,
+        payload: IndexerHistoricalFundingResponse?,
+    ): InternalMarketSummaryState {
+        val marketPaylaods = mutableMapOf<String, List<IndexerHistoricalFundingResponseObject>>()
+        for (funding in payload?.historicalFunding?.toList() ?: emptyList()) {
+            val marketId = funding.ticker
+            if (marketId != null) {
+                val list = marketPaylaods[marketId] ?: emptyList()
+                marketPaylaods[marketId] = list + listOf(funding)
+            }
+        }
+
+        for ((marketId, funding) in marketPaylaods) {
+            val marketState = existing.markets[marketId] ?: InternalMarketState()
+            historicalFundingsProcessor.process(
+                existing = marketState,
+                payload = funding,
+            )
+        }
+        return existing
+    }
+
     internal fun subscribedDeprecated(
         existing: Map<String, Any>?,
         content: Map<String, Any>
@@ -347,7 +373,7 @@ internal class MarketsSummaryProcessor(
         return modify(existing, markets)
     }
 
-    internal fun receivedHistoricalFundings(
+    internal fun receivedHistoricalFundingsDeprecated(
         existing: Map<String, Any>?,
         payload: Map<String, Any>
     ): Map<String, Any>? {

src/commonMain/kotlin/exchange.dydx.abacus/state/internalstate/InternalState.kt

@@ -10,6 +10,7 @@ import exchange.dydx.abacus.output.FeeTier
 import exchange.dydx.abacus.output.LaunchIncentivePoint
 import exchange.dydx.abacus.output.LaunchIncentiveSeason
 import exchange.dydx.abacus.output.MarketCandle
+import exchange.dydx.abacus.output.MarketHistoricalFunding
 import exchange.dydx.abacus.output.MarketOrderbook
 import exchange.dydx.abacus.output.MarketTrade
 import exchange.dydx.abacus.output.PerpetualMarket
@@ -201,7 +202,10 @@ internal data class InternalMarketState(
     var groupedOrderbook: MarketOrderbook? = null,
 
     // candles: resolution -> candles
-    var candles: MutableMap<String, List<MarketCandle>>? = null
+    var candles: MutableMap<String, List<MarketCandle>>? = null,
+
+    // historical fundings
+    var historicalFundings: List<MarketHistoricalFunding>? = null,
 )
 
 internal data class InternalOrderbook(

src/commonMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine+HistoricalFunding.kt

@@ -1,15 +1,38 @@
 package exchange.dydx.abacus.state.model
 
+import exchange.dydx.abacus.protocols.asTypedObject
 import exchange.dydx.abacus.state.changes.Changes
 import exchange.dydx.abacus.state.changes.StateChanges
+import indexer.codegen.IndexerHistoricalFundingResponse
 import kollections.iListOf
+import kollections.toIList
 
 internal fun TradingStateMachine.historicalFundings(payload: String): StateChanges {
-    val json = parser.decodeJsonObject(payload)
-    return if (json != null) {
-        receivedHistoricalFundings(json)
+    if (staticTyping) {
+        val response = parser.asTypedObject<IndexerHistoricalFundingResponse>(payload)
+        val marketIds: MutableList<String> = mutableListOf()
+        for (item in response?.historicalFunding?.toList() ?: emptyList()) {
+            val marketId = item.ticker
+            if (marketId != null && marketIds.contains(marketId).not()) {
+                marketIds.add(marketId)
+            }
+        }
+        marketsProcessor.processHistoricalFundings(
+            existing = internalState.marketsSummary,
+            payload = response,
+        )
+        return if (marketIds.isNotEmpty()) {
+            StateChanges(iListOf(Changes.historicalFundings), marketIds.toIList())
+        } else {
+            StateChanges(iListOf())
+        }
     } else {
-        StateChanges.noChange
+        val json = parser.decodeJsonObject(payload)
+        return if (json != null) {
+            receivedHistoricalFundings(json)
+        } else {
+            StateChanges.noChange
+        }
     }
 }
 
@@ -23,7 +46,7 @@ private fun TradingStateMachine.receivedHistoricalFundings(payload: Map<String,
     return if (marketId != null) {
         val size = parser.asList(payload["historicalFunding"])?.size ?: 0
         if (size > 0) {
-            marketsSummary = marketsProcessor.receivedHistoricalFundings(marketsSummary, payload)
+            marketsSummary = marketsProcessor.receivedHistoricalFundingsDeprecated(marketsSummary, payload)
             StateChanges(iListOf(Changes.historicalFundings), iListOf(marketId))
         } else {
             StateChanges(iListOf())

src/commonMain/kotlin/exchange.dydx.abacus/state/model/TradingStateMachine.kt

@@ -1045,15 +1045,21 @@ open class TradingStateMachine(
             if (markets != null) {
                 val modified = historicalFundings?.toIMutableMap() ?: mutableMapOf()
                 for (marketId in markets) {
-                    val data = parser.asList(
-                        parser.value(
-                            data,
-                            "markets.markets.$marketId.historicalFunding",
-                        ),
-                    ) as? IList<Map<String, Any>>
-                    val existing = historicalFundings?.get(marketId)
-                    val historicalFunding = MarketHistoricalFunding.create(existing, parser, data)
-                    modified.typedSafeSet(marketId, historicalFunding)
+                    if (staticTyping) {
+                        val historicalFundings = internalState.marketsSummary.markets[marketId]?.historicalFundings
+                        modified.typedSafeSet(marketId, historicalFundings?.toIList())
+                    } else {
+                        val data = parser.asList(
+                            parser.value(
+                                data,
+                                "markets.markets.$marketId.historicalFunding",
+                            ),
+                        ) as? IList<Map<String, Any>>
+                        val existing = historicalFundings?.get(marketId)
+                        val historicalFunding =
+                            MarketHistoricalFunding.create(existing, parser, data)
+                        modified.typedSafeSet(marketId, historicalFunding)
+                    }
                 }
                 historicalFundings = modified
             } else {

src/commonMain/kotlin/exchange.dydx.abacus/state/v2/supervisor/OnboardingSupervisor.kt

@@ -865,13 +865,22 @@ internal class OnboardingSupervisor(
     }
 
     private fun receiveTransferGas(gas: BigDecimal?) {
-        val input = stateMachine.input
-        val oldFee = helper.parser.asDecimal(helper.parser.value(input, "transfer.fee"))
-        if (oldFee != gas) {
-            val oldState = stateMachine.state
-            val modified = input?.mutable() ?: iMapOf<String, Any>().mutable()
-            modified.safeSet("transfer.fee", gas)
-            update(StateChanges(iListOf(Changes.input)), oldState)
+        if (stateMachine.staticTyping) {
+            val gas = helper.parser.asDouble(gas)
+            val oldFee = stateMachine.internalState.input.transfer.fee
+            if (oldFee != gas) {
+                stateMachine.internalState.input.transfer.fee = gas
+                update(StateChanges(iListOf(Changes.input)), stateMachine.state)
+            }
+        } else {
+            val input = stateMachine.input
+            val oldFee = helper.parser.asDecimal(helper.parser.value(input, "transfer.fee"))
+            if (oldFee != gas) {
+                val oldState = stateMachine.state
+                val modified = input?.mutable() ?: iMapOf<String, Any>().mutable()
+                modified.safeSet("transfer.fee", gas)
+                update(StateChanges(iListOf(Changes.input)), oldState)
+            }
         }
     }
 

v4_abacus.podspec

@@ -1,6 +1,6 @@
 Pod::Spec.new do |spec|
     spec.name                     = 'v4_abacus'
-    spec.version                  = '1.13.17'
+    spec.version                  = '1.13.18'
     spec.homepage                 = 'https://github.com/dydxprotocol/v4-abacus'
     spec.source                   = { :http=> ''}
     spec.authors                  = ''