Full Node Streaming Order Filtering by Subaccount impl and tests

[UnbornAztecKing]

Changelist

Full Node Streaming provides an initial state and streaming updates for positions, orders, prices and fills.

The subscription API admits an optional sub account ID filter, which is only applied to the initial positions and position changes.

The user would like to apply the sub account ID filter to the order messages, in addition to position messages.

The change will add boolean flags to the Websocket and GRPC streaming API's:

• filterOrdersBySubaccountId boolean field for WS request (if not provided, default to False)
• filter_orders_by_subaccount_id boolean field for StreamOrderbookUpdatesRequest protobuf (if not provided, default to False)

For all endpoints, the previous behavior of not filtering orders for subaccounts is preserved by default.

If filtering orders is not specified, the code path remains the same for looping over stream updates.
If filtering orders is specified, each slice of updates received from the subscription updatesChannel will be filtered like:

• if the message is not a StreamUpdate_OrderbookUpdate, forward it
• if the message is a StreamUpdate_OrderbookUpdate, forward it only if one of the OffChainUpdateV1 messages inside are for a target subaccount

Test Plan

Unit test

Author/Reviewer Checklist

• If this PR has changes that result in a different app state given the same prior state and transaction list, manually add the state-breaking label.
• If the PR has breaking postgres changes to the indexer add the indexer-postgres-breaking label.
• If this PR isn't state-breaking but has changes that modify behavior in PrepareProposal or ProcessProposal, manually add the label proposal-breaking.
• If this PR is one of many that implement a specific feature, manually label them all feature:[feature-name].
• If you wish to for mergify-bot to automatically create a PR to backport your change to a release branch, manually add the label backport/[branch-name].
• Manually add any of the following labels: refactor, chore, bug.

Summary by CodeRabbit

Summary by CodeRabbit

• New Features

  • Added an option to filter order updates during streaming.
  • Enhanced orderbook subscription with optional order filtering capability.
  • Introduced a new parameter for filtering orders in WebSocket server requests.

• Improvements

  • Updated streaming interfaces to support the new filtering mechanism.
  • Enhanced error handling for parsing new parameters.

• Technical Updates

  • Modified protocol buffers and SDK types to include filterOrders parameter.
  • Updated WebSocket server to parse new query parameter.
  • Added test coverage for new streaming functionality.
  • Enhanced functionality to extract subaccount IDs from off-chain updates.
  • Introduced a method to retrieve subaccount IDs from various update messages.

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📥 Commits

Reviewing files that changed from the base of the PR and between 56cc48e and c5dda04.

⛔ Files ignored due to path filters (1)

• protocol/x/clob/types/query.pb.go is excluded by !**/*.pb.go

📒 Files selected for processing (10)

• indexer/packages/v4-protos/src/codegen/dydxprotocol/clob/query.ts (6 hunks)
• proto/dydxprotocol/clob/query.proto (1 hunks)
• protocol/streaming/full_node_streaming_manager.go (6 hunks)
• protocol/streaming/full_node_streaming_manager_test.go (1 hunks)
• protocol/streaming/noop_streaming_manager.go (1 hunks)
• protocol/streaming/types/interface.go (1 hunks)
• protocol/streaming/util/util.go (1 hunks)
• protocol/streaming/util/util_test.go (1 hunks)
• protocol/streaming/ws/websocket_server.go (3 hunks)
• protocol/x/clob/keeper/grpc_stream_orderbook.go (1 hunks)

Walkthrough

This pull request introduces a new feature to filter orderbook updates based on specific subaccount IDs across multiple components of the dYdX protocol. The changes span from proto definitions to streaming managers, adding a boolean flag filterOrdersBySubaccountId that allows more granular control over which order updates are received. The modification enables clients to request orderbook updates that only include orders associated with specified subaccount IDs, enhancing the flexibility of the streaming mechanism.

Changes

File	Change Summary
indexer/packages/v4-protos/src/codegen/dydxprotocol/clob/query.ts	Added filterOrdersBySubaccountId boolean property to StreamOrderbookUpdatesRequest and StreamOrderbookUpdatesRequestSDKType interfaces.
proto/dydxprotocol/clob/query.proto	Added filter_orders_by_subaccount_id field to StreamOrderbookUpdatesRequest message.
protocol/streaming/full_node_streaming_manager.go	Added methods for creating and managing orderbook subscriptions with subaccount filtering, modified Subscribe method to include filterOrdersBySubAccountId.
protocol/streaming/types/interface.go	Updated Subscribe method signature to include filterOrders parameter.
protocol/streaming/ws/websocket_server.go	Added parseFilterOrders function to handle new query parameter.
protocol/x/clob/keeper/grpc_stream_orderbook.go	Modified StreamOrderbookUpdates to pass filter parameter to Subscribe.
protocol/streaming/full_node_streaming_manager_test.go	Introduced tests for filtering stream updates based on subaccount IDs.
protocol/streaming/util/util.go	Added GetOffChainUpdateV1SubaccountIdNumber function to extract subaccount ID from updates.
protocol/streaming/util/util_test.go	Added tests for GetOffChainUpdateV1SubaccountIdNumber function.
protocol/streaming/noop_streaming_manager.go	Updated Subscribe method signature to include an additional boolean parameter.

Possibly related PRs

• GRPC Full node streaming - batching protos #1626: Modifications to StreamOrderbookUpdatesResponse interfaces.
• GRPC Streaming Batching #1633: Further updates to streaming update interfaces.
• Consolidate orderbook updates into a single stream update #1634: Consolidation of orderbook updates into a single stream.

Suggested Labels

refactor, backport/protocol/v5.1.x

Suggested Reviewers

• jonfung-dydx
• roy-dydx

Poem

🐰 Hop, hop, filtering streams so bright,
Subaccount orders now in clear sight!
Boolean flag waves its magic wand,
Streaming updates now more fond
Of precision's gentle might! 🌟

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