Backport changes to support default funding on indexer (#2702)

indexer/packages/postgres/README.md

@@ -7,6 +7,8 @@ Add a knex migration by running `pnpm run migrate:make <create_fake_table>`
 
 Run the migration with `pnpm run migrate`
 
+In `__tests__/db/migrations.test.ts`, test cases may be expected to fail (and hence should be commented out) if a model is modified due to the latest migration.
+
 In order to migrate in dev and staging, you must redeploy and run bazooka.
 
 TODO(CORE-512): Add info/resources around bazooka. [Doc](https://www.notion.so/dydx/Engineering-Runbook-15064661da9643188ce33e341b68e7bb#cb2283d80ef14a51924f3bd1a538fd82).

indexer/packages/postgres/__tests__/db/migrations.test.ts

@@ -10,8 +10,6 @@ import {
 } from '../helpers/constants';
 import { seedData } from '../helpers/mock-generators';
 
-// NOTE: If a model is modified for a migration then these
-// tests must be skipped until the following migration
 describe('Test new migration', () => {
   beforeEach(async () => {
     await migrate();
@@ -25,29 +23,44 @@ describe('Test new migration', () => {
     await teardown();
   });
 
-  it('test adding most recent migration', async () => {
+  it('test UP and DOWN for most recent migration without seed data', async () => {
+    // remove latest migration
+    await multiDown(1);
+
+    // re-add latest migration
+    await knexPrimary.migrate.latest({ loadExtensions: ['.js'] });
+
+    // re-remove latest migration
+    await multiDown(1);
+  });
+
+  // NOTE: If a model is modified for a migration then these
+  // tests must be skipped until the following migration
+  it.skip('[Will fail if a model is modified for migration - see README] test adding most recent migration', async () => {
     // remove latest migration
     await multiDown(1);
 
     // add data to verify you can roll up and then later roll down
     await seedData();
 
-    // readd latest migration
+    // re-add latest migration
     await knexPrimary.migrate.latest({ loadExtensions: ['.js'] });
 
     // re-remove latest migration
     await multiDown(1);
   });
 
-  it('test adding most recent migration with rows that fail index that should only be applied going forward', async () => {
+  // NOTE: If a model is modified for a migration then these
+  // tests must be skipped until the following migration
+  it.skip('[Will fail if a model is modified for migration - see README] test adding most recent migration with rows that fail index that should only be applied going forward', async () => {
     // remove latest migration
     await multiDown(1);
 
     // add data to verify you can roll up and then later roll down
     await seedData();
     await OrderTable.create(defaultOrder);
 
-    // readd latest migration
+    // re-add latest migration
     await knexPrimary.migrate.latest({ loadExtensions: ['.js'] });
 
     // re-remove latest migration

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

@@ -285,6 +285,7 @@ export const defaultPerpetualMarket: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.CROSS,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0',
 };
 export const defaultPerpetualMarket2: PerpetualMarketCreateObject = {
   id: '1',
@@ -304,6 +305,7 @@ export const defaultPerpetualMarket2: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.CROSS,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0',
 };
 export const defaultPerpetualMarket3: PerpetualMarketCreateObject = {
   id: '2',
@@ -323,6 +325,7 @@ export const defaultPerpetualMarket3: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.CROSS,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0',
 };
 
 export const isolatedPerpetualMarket: PerpetualMarketCreateObject = {
@@ -343,6 +346,7 @@ export const isolatedPerpetualMarket: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.ISOLATED,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0.0001',
 };
 
 export const isolatedPerpetualMarket2: PerpetualMarketCreateObject = {
@@ -363,6 +367,7 @@ export const isolatedPerpetualMarket2: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.ISOLATED,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0.0001',
 };
 
 // ============== Orders ==============

indexer/packages/postgres/src/db/migrations/migration_files/20250107145033_default_1hr_funding_for_perp.ts

@@ -0,0 +1,13 @@
+import * as Knex from 'knex';
+
+export async function up(knex: Knex): Promise<void> {
+  await knex.schema.alterTable('perpetual_markets', (table) => {
+    table.decimal('defaultFundingRate1H', null).defaultTo(0);
+  });
+}
+
+export async function down(knex: Knex): Promise<void> {
+  await knex.schema.alterTable('perpetual_markets', (table) => {
+    table.dropColumn('defaultFundingRate1H');
+  });
+}

indexer/packages/postgres/src/models/perpetual-market-model.ts

@@ -86,6 +86,7 @@ export default class PerpetualMarketModel extends Model {
         liquidityTierId: { type: 'integer' },
         marketType: { type: 'string' },
         baseOpenInterest: { type: 'string', pattern: NumericPattern },
+        defaultFundingRate1H: { type: ['string', 'null'], default: null, pattern: NumericPattern },
       },
     };
   }
@@ -115,6 +116,7 @@ export default class PerpetualMarketModel extends Model {
       liquidityTierId: 'integer',
       marketType: 'string',
       baseOpenInterest: 'string',
+      defaultFundingRate1H: 'string',
     };
   }
 
@@ -151,4 +153,6 @@ export default class PerpetualMarketModel extends Model {
   marketType!: PerpetualMarketType;
 
   baseOpenInterest!: string;
+
+  defaultFundingRate1H?: string;
 }

indexer/packages/postgres/src/types/db-model-types.ts

@@ -95,6 +95,7 @@ export interface PerpetualMarketFromDatabase {
   liquidityTierId: number,
   marketType: PerpetualMarketType,
   baseOpenInterest: string,
+  defaultFundingRate1H?: string,
 }
 
 export interface FillFromDatabase {

indexer/packages/postgres/src/types/perpetual-market-types.ts

@@ -18,6 +18,7 @@ export interface PerpetualMarketCreateObject {
   liquidityTierId: number,
   marketType: PerpetualMarketType,
   baseOpenInterest: string,
+  defaultFundingRate1H: string,
 }
 
 export interface PerpetualMarketUpdateObject {
@@ -36,6 +37,7 @@ export interface PerpetualMarketUpdateObject {
   subticksPerTick?: number,
   stepBaseQuantums?: number,
   liquidityTierId?: number,
+  defaultFundingRate1H?: string,
 }
 
 export enum PerpetualMarketColumns {
@@ -54,6 +56,7 @@ export enum PerpetualMarketColumns {
   subticksPerTick = 'subticksPerTick',
   stepBaseQuantums = 'stepBaseQuantums',
   liquidityTierId = 'liquidityTierId',
+  defaultFundingRate1H = 'defaultFundingRate1H',
 }
 
 export enum PerpetualMarketStatus {

indexer/packages/postgres/src/types/websocket-message-types.ts

@@ -217,6 +217,7 @@ export interface TradingPerpetualMarketMessage {
   openInterestLowerCap?: string,
   openInterestUpperCap?: string,
   baseOpenInterest?: string,
+  defaultFundingRate1H?: string,
 
   // Fields that are likely to change
   priceChange24H?: string,

indexer/packages/redis/__tests__/caches/next-funding-cache.test.ts

@@ -17,8 +17,14 @@ describe('nextFundingCache', () => {
       await addFundingSample('BTC', new Big('0.0001'), client);
       await addFundingSample('BTC', new Big('0.0002'), client);  // avg = 0.00015
       await addFundingSample('ETH', new Big('0.0005'), client);  // avg = 0.0005
-      expect(await getNextFunding(client, ['BTC', 'ETH'])).toEqual(
-        { BTC: new Big('0.00015'), ETH: new Big('0.0005') },
+      expect(await getNextFunding(client, [
+        ['BTC', '0.0001'],
+        ['ETH', '0'],
+      ])).toEqual(
+        {
+          BTC: new Big('0.00025'), // 0.00015 + 0.0001
+          ETH: new Big('0.0005'), // 0.0005 + 0
+        },
       );
     });
 
@@ -27,13 +33,23 @@ describe('nextFundingCache', () => {
       await addFundingSample('BTC', new Big('0.0002'), client);  // avg = 0.00015
       await clearFundingSamples('BTC', client);
       await addFundingSample('ETH', new Big('0.0005'), client);  // avg = 0.0005
-      expect(await getNextFunding(client, ['BTC', 'ETH'])).toEqual(
-        { BTC: undefined, ETH: new Big('0.0005') },
+      expect(await getNextFunding(client, [
+        ['BTC', '0.0001'],
+        ['ETH', '0.00015'],
+      ])).toEqual(
+        {
+          BTC: undefined, // no samples
+          ETH: new Big('0.00065'), // 0.0005 + 0.00015
+        },
       );
     });
 
     it('get next funding with no values', async () => {
-      expect(await getNextFunding(client, ['BTC'])).toEqual(
+      expect(await getNextFunding(client, [
+        ['BTC', '0.001'],
+      ])).toEqual(
+        // Even though default funding rate is 0.001,
+        // return undefined since there are no samples
         { BTC: undefined },
       );
     });

indexer/packages/redis/src/caches/next-funding-cache.ts

@@ -20,11 +20,12 @@ function getKey(ticker: string): string {
  */
 export async function getNextFunding(
   client: RedisClient,
-  tickers: string[],
+  tickerDefaultFundingRate1HPairs: [string, string][],
 ): Promise<{ [ticker: string]: Big | undefined }> {
   const fundingRates: { [ticker: string]: Big | undefined } = {};
+
   await Promise.all(
-    tickers.map(async (ticker: string) => {
+    tickerDefaultFundingRate1HPairs.map(async ([ticker, defaultFundingRate1H]) => {
       const rates: string[] = await lRangeAsync(
         getKey(ticker),
         client,
@@ -36,7 +37,7 @@ export async function getNextFunding(
           new Big(0),
         );
         const avg: Big = sum.div(rates.length);
-        fundingRates[ticker] = avg;
+        fundingRates[ticker] = avg.plus(new Big(defaultFundingRate1H));
       } else {
         fundingRates[ticker] = undefined;
       }