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Handle stateful order replacement in Ender (#1667)
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249 changes: 249 additions & 0 deletions
249
...rvices/ender/__tests__/handlers/stateful-order/stateful-order-replacement-handler.test.ts
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,249 @@ | ||
| import { | ||
| dbHelpers, | ||
| OrderFromDatabase, | ||
| OrderSide, | ||
| OrderStatus, | ||
| OrderTable, | ||
| OrderType, | ||
| perpetualMarketRefresher, | ||
| protocolTranslations, | ||
| SubaccountTable, | ||
| testConstants, | ||
| testMocks, | ||
| } from '@dydxprotocol-indexer/postgres'; | ||
| import { | ||
| OffChainUpdateV1, | ||
| IndexerOrder, | ||
| OrderPlaceV1_OrderPlacementStatus, | ||
| StatefulOrderEventV1, | ||
| } from '@dydxprotocol-indexer/v4-protos'; | ||
| import { KafkaMessage } from 'kafkajs'; | ||
| import { onMessage } from '../../../src/lib/on-message'; | ||
| import { | ||
| defaultDateTime, | ||
| defaultHeight, | ||
| defaultMakerOrder, | ||
| defaultOrderId2, | ||
| defaultPreviousHeight, | ||
| } from '../../helpers/constants'; | ||
| import { createKafkaMessageFromStatefulOrderEvent } from '../../helpers/kafka-helpers'; | ||
| import { updateBlockCache } from '../../../src/caches/block-cache'; | ||
| import { | ||
| expectVulcanKafkaMessage, | ||
| } from '../../helpers/indexer-proto-helpers'; | ||
| import { getPrice, getSize } from '../../../src/lib/helper'; | ||
| import { producer } from '@dydxprotocol-indexer/kafka'; | ||
| import { ORDER_FLAG_LONG_TERM } from '@dydxprotocol-indexer/v4-proto-parser'; | ||
| import { createPostgresFunctions } from '../../../src/helpers/postgres/postgres-functions'; | ||
| import { logger } from '@dydxprotocol-indexer/base'; | ||
|
|
||
| describe('stateful-order-replacement-handler', () => { | ||
| beforeAll(async () => { | ||
| await dbHelpers.migrate(); | ||
| await createPostgresFunctions(); | ||
| }); | ||
|
|
||
| beforeEach(async () => { | ||
| await testMocks.seedData(); | ||
| updateBlockCache(defaultPreviousHeight); | ||
| await perpetualMarketRefresher.updatePerpetualMarkets(); | ||
| producerSendMock = jest.spyOn(producer, 'send'); | ||
| jest.spyOn(logger, 'error'); | ||
| }); | ||
|
|
||
| afterEach(async () => { | ||
| await dbHelpers.clearData(); | ||
| jest.clearAllMocks(); | ||
| }); | ||
|
|
||
| afterAll(async () => { | ||
| await dbHelpers.teardown(); | ||
| jest.resetAllMocks(); | ||
| }); | ||
|
|
||
| const goodTilBlockTime: number = 123; | ||
| const defaultOldOrder: IndexerOrder = { | ||
| ...defaultMakerOrder, | ||
| orderId: { | ||
| ...defaultMakerOrder.orderId!, | ||
| orderFlags: ORDER_FLAG_LONG_TERM, | ||
| }, | ||
| goodTilBlock: undefined, | ||
| goodTilBlockTime, | ||
| }; | ||
| const defaultNewOrder: IndexerOrder = { | ||
| ...defaultMakerOrder, | ||
| orderId: defaultOrderId2, | ||
| quantums: defaultOldOrder.quantums.mul(2), | ||
| goodTilBlock: undefined, | ||
| goodTilBlockTime, | ||
| }; | ||
|
|
||
| // replacing order with a different order ID | ||
| const defaultStatefulOrderReplacementEvent: StatefulOrderEventV1 = { | ||
| orderReplacement: { | ||
| oldOrderId: defaultOldOrder.orderId!, | ||
| order: defaultNewOrder, | ||
| }, | ||
| }; | ||
|
|
||
| // replacing order with the same order ID | ||
| const statefulOrderReplacementEventSameId: StatefulOrderEventV1 = { | ||
| orderReplacement: { | ||
| oldOrderId: defaultOldOrder.orderId!, | ||
| order: { | ||
| ...defaultNewOrder, | ||
| orderId: defaultOldOrder.orderId, | ||
| }, | ||
| }, | ||
| }; | ||
|
|
||
| const oldOrderUuid: string = OrderTable.orderIdToUuid(defaultOldOrder.orderId!); | ||
| const newOrderUuid: string = OrderTable.orderIdToUuid(defaultNewOrder.orderId!); | ||
| let producerSendMock: jest.SpyInstance; | ||
|
|
||
| it.each([ | ||
| ['stateful order replacement as txn event', defaultStatefulOrderReplacementEvent, 0], | ||
| ['stateful order replacement as txn event', defaultStatefulOrderReplacementEvent, 0], | ||
| ['stateful order replacement as block event', defaultStatefulOrderReplacementEvent, -1], | ||
| ['stateful order replacement as block event', defaultStatefulOrderReplacementEvent, -1], | ||
| ])('successfully replaces order with %s', async ( | ||
| _name: string, | ||
| statefulOrderEvent: StatefulOrderEventV1, | ||
| transactionIndex: number, | ||
| ) => { | ||
| await OrderTable.create({ | ||
| ...testConstants.defaultOrder, | ||
| clientId: '0', | ||
| orderFlags: ORDER_FLAG_LONG_TERM.toString(), | ||
| }); | ||
| const kafkaMessage: KafkaMessage = createKafkaMessageFromStatefulOrderEvent( | ||
| statefulOrderEvent, | ||
| transactionIndex, | ||
| ); | ||
|
|
||
| await onMessage(kafkaMessage); | ||
|
|
||
| const oldOrder: OrderFromDatabase | undefined = await OrderTable.findById(oldOrderUuid); | ||
| expect(oldOrder).toBeDefined(); | ||
| expect(oldOrder).toEqual(expect.objectContaining({ | ||
| status: OrderStatus.CANCELED, | ||
| updatedAt: defaultDateTime.toISO(), | ||
| updatedAtHeight: defaultHeight.toString(), | ||
| })); | ||
|
|
||
| const newOrder: OrderFromDatabase | undefined = await OrderTable.findById(newOrderUuid); | ||
| expect(newOrder).toEqual({ | ||
| id: newOrderUuid, | ||
| subaccountId: SubaccountTable.subaccountIdToUuid(defaultNewOrder.orderId!.subaccountId!), | ||
| clientId: defaultNewOrder.orderId!.clientId.toString(), | ||
| clobPairId: defaultNewOrder.orderId!.clobPairId.toString(), | ||
| side: OrderSide.BUY, | ||
| size: getSize(defaultNewOrder, testConstants.defaultPerpetualMarket), | ||
| totalFilled: '0', | ||
| price: getPrice(defaultNewOrder, testConstants.defaultPerpetualMarket), | ||
| type: OrderType.LIMIT, // TODO: Add additional order types once we support | ||
| status: OrderStatus.OPEN, | ||
| timeInForce: protocolTranslations.protocolOrderTIFToTIF(defaultNewOrder.timeInForce), | ||
| reduceOnly: defaultNewOrder.reduceOnly, | ||
| orderFlags: defaultNewOrder.orderId!.orderFlags.toString(), | ||
| goodTilBlock: null, | ||
| goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(defaultNewOrder), | ||
| createdAtHeight: '3', | ||
| clientMetadata: '0', | ||
| triggerPrice: null, | ||
| updatedAt: defaultDateTime.toISO(), | ||
| updatedAtHeight: defaultHeight.toString(), | ||
| }); | ||
|
|
||
| const expectedOffchainUpdate: OffChainUpdateV1 = { | ||
| orderReplace: { | ||
| oldOrderId: defaultOldOrder.orderId!, | ||
| order: defaultNewOrder, | ||
| placementStatus: OrderPlaceV1_OrderPlacementStatus.ORDER_PLACEMENT_STATUS_OPENED, | ||
| }, | ||
| }; | ||
| expectVulcanKafkaMessage({ | ||
| producerSendMock, | ||
| orderId: defaultNewOrder.orderId!, | ||
| offchainUpdate: expectedOffchainUpdate, | ||
| headers: { message_received_timestamp: kafkaMessage.timestamp, event_type: 'StatefulOrderReplacement' }, | ||
| }); | ||
| }); | ||
|
|
||
| it('successfully replaces order where old order ID is the same as new order ID', async () => { | ||
| // create existing order with the same ID as the one we will cancel and place again | ||
| await OrderTable.create({ | ||
| ...testConstants.defaultOrderGoodTilBlockTime, | ||
| clientId: '0', | ||
| }); | ||
|
|
||
| const kafkaMessage: KafkaMessage = createKafkaMessageFromStatefulOrderEvent( | ||
| statefulOrderReplacementEventSameId, | ||
| ); | ||
|
|
||
| await onMessage(kafkaMessage); | ||
| const order: OrderFromDatabase | undefined = await OrderTable.findById(oldOrderUuid); | ||
| expect(order).toEqual({ | ||
| id: oldOrderUuid, | ||
| subaccountId: SubaccountTable.subaccountIdToUuid(defaultOldOrder.orderId!.subaccountId!), | ||
| clientId: defaultNewOrder.orderId!.clientId.toString(), | ||
| clobPairId: defaultNewOrder.orderId!.clobPairId.toString(), | ||
| side: OrderSide.BUY, | ||
| size: getSize(defaultNewOrder, testConstants.defaultPerpetualMarket), | ||
| totalFilled: '0', | ||
| price: getPrice(defaultNewOrder, testConstants.defaultPerpetualMarket), | ||
| type: OrderType.LIMIT, // TODO: Add additional order types once we support | ||
| status: OrderStatus.OPEN, | ||
| timeInForce: protocolTranslations.protocolOrderTIFToTIF(defaultNewOrder.timeInForce), | ||
| reduceOnly: defaultNewOrder.reduceOnly, | ||
| orderFlags: defaultNewOrder.orderId!.orderFlags.toString(), | ||
| goodTilBlock: null, | ||
| goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(defaultNewOrder), | ||
| createdAtHeight: '3', | ||
| clientMetadata: '0', | ||
| triggerPrice: null, | ||
| updatedAt: defaultDateTime.toISO(), | ||
| updatedAtHeight: defaultHeight.toString(), | ||
| }); | ||
| }); | ||
|
|
||
| it('logs error if old order ID does not exist in DB', async () => { | ||
| const kafkaMessage: KafkaMessage = createKafkaMessageFromStatefulOrderEvent( | ||
| defaultStatefulOrderReplacementEvent, | ||
| ); | ||
|
|
||
| await onMessage(kafkaMessage); | ||
|
|
||
| expect(logger.error).toHaveBeenCalledWith(expect.objectContaining({ | ||
| at: 'StatefulOrderReplacementHandler#handleOrderReplacement', | ||
| message: 'StatefulOrderReplacementHandler#Unable to cancel replaced order because orderId not found', | ||
| orderId: defaultStatefulOrderReplacementEvent.orderReplacement!.oldOrderId, | ||
| })); | ||
|
|
||
| // We still expect new order to be created | ||
| const newOrder: OrderFromDatabase | undefined = await OrderTable.findById(newOrderUuid); | ||
| expect(newOrder).toEqual({ | ||
| id: newOrderUuid, | ||
| subaccountId: SubaccountTable.subaccountIdToUuid(defaultNewOrder.orderId!.subaccountId!), | ||
| clientId: defaultNewOrder.orderId!.clientId.toString(), | ||
| clobPairId: defaultNewOrder.orderId!.clobPairId.toString(), | ||
| side: OrderSide.BUY, | ||
| size: getSize(defaultNewOrder, testConstants.defaultPerpetualMarket), | ||
| totalFilled: '0', | ||
| price: getPrice(defaultNewOrder, testConstants.defaultPerpetualMarket), | ||
| type: OrderType.LIMIT, // TODO: Add additional order types once we support | ||
| status: OrderStatus.OPEN, | ||
| timeInForce: protocolTranslations.protocolOrderTIFToTIF(defaultNewOrder.timeInForce), | ||
| reduceOnly: defaultNewOrder.reduceOnly, | ||
| orderFlags: defaultNewOrder.orderId!.orderFlags.toString(), | ||
| goodTilBlock: null, | ||
| goodTilBlockTime: protocolTranslations.getGoodTilBlockTime(defaultNewOrder), | ||
| createdAtHeight: '3', | ||
| clientMetadata: '0', | ||
| triggerPrice: null, | ||
| updatedAt: defaultDateTime.toISO(), | ||
| updatedAtHeight: defaultHeight.toString(), | ||
| }); | ||
| }); | ||
| }); |
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