[IND-546] Prevent IOC/FOK orders from changing order book levels / se…

…nding updates. (#898)

* [IND-546] Prevent IOC/FOK orders from changing order book levels / sending updates.

* Address comments.

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

@@ -73,7 +73,7 @@ export const defaultOrder: IndexerOrder = {
   subticks: Long.fromValue(2_000_000, true),
   goodTilBlock: 1150,
   goodTilBlockTime: undefined,
-  timeInForce: IndexerOrder_TimeInForce.TIME_IN_FORCE_FILL_OR_KILL,
+  timeInForce: IndexerOrder_TimeInForce.TIME_IN_FORCE_POST_ONLY,
   reduceOnly: false,
   clientMetadata: 0,
   conditionType: IndexerOrder_ConditionType.CONDITION_TYPE_UNSPECIFIED,
@@ -91,6 +91,14 @@ export const defaultConditionalOrder: IndexerOrder = {
   conditionType: IndexerOrder_ConditionType.CONDITION_TYPE_STOP_LOSS,
   conditionalOrderTriggerSubticks: Long.fromValue(190_000_000, true),
 };
+export const defaultOrderFok: IndexerOrder = {
+  ...defaultOrder,
+  timeInForce: IndexerOrder_TimeInForce.TIME_IN_FORCE_FILL_OR_KILL,
+};
+export const defaultOrderIoc: IndexerOrder = {
+  ...defaultOrder,
+  timeInForce: IndexerOrder_TimeInForce.TIME_IN_FORCE_IOC,
+};
 
 export const defaultOrderUuid: string = OrderTable.orderIdToUuid(defaultOrderId);
 export const defaultOrderUuidGoodTilBlockTime: string = OrderTable.orderIdToUuid(
@@ -126,6 +134,14 @@ export const defaultRedisOrderConditional: RedisOrder = {
   id: defaultOrderUuidConditional,
   order: defaultConditionalOrder,
 };
+export const defaultRedisOrderFok: RedisOrder = {
+  ...defaultRedisOrder,
+  order: defaultOrderFok,
+};
+export const defaultRedisOrderIoc: RedisOrder = {
+  ...defaultRedisOrder,
+  order: defaultOrderIoc,
+};
 
 export const orderPlace: OffChainUpdateOrderPlaceUpdateMessage = {
   orderUpdate: undefined,

indexer/packages/v4-proto-parser/src/order-helpers.ts

@@ -1,6 +1,6 @@
 import { createHash } from 'crypto';
 
-import { IndexerOrderId } from '@dydxprotocol-indexer/v4-protos';
+import { IndexerOrderId, IndexerOrder_TimeInForce } from '@dydxprotocol-indexer/v4-protos';
 
 import { ORDER_FLAG_CONDITIONAL, ORDER_FLAG_LONG_TERM } from './constants';
 
@@ -23,3 +23,10 @@ export function isStatefulOrder(orderFlag: number | String): boolean {
   }
   return numberOrderFlag === ORDER_FLAG_CONDITIONAL || numberOrderFlag === ORDER_FLAG_LONG_TERM;
 }
+
+export function requiresImmediateExecution(tif: IndexerOrder_TimeInForce): boolean {
+  return (
+    tif === IndexerOrder_TimeInForce.TIME_IN_FORCE_FILL_OR_KILL ||
+    tif === IndexerOrder_TimeInForce.TIME_IN_FORCE_IOC
+  );
+}

indexer/services/vulcan/__tests__/handlers/order-place-handler.test.ts

@@ -43,7 +43,6 @@ import {
   StatefulOrderUpdatesCache,
   CanceledOrderStatus,
 } from '@dydxprotocol-indexer/redis';
-
 import {
   OffChainUpdateV1,
   IndexerOrder,
@@ -104,6 +103,20 @@ describe('order-place-handler', () => {
       goodTilBlock: undefined,
       goodTilBlockTime: 1_300_000_000,
     };
+    const replacementOrderFok: IndexerOrder = {
+      ...redisTestConstants.defaultOrderFok,
+      goodTilBlock: 1160,
+      goodTilBlockTime: undefined,
+      quantums: Long.fromValue(500_000, true),
+      subticks: Long.fromValue(1_000_000, true),
+    };
+    const replacementOrderIoc: IndexerOrder = {
+      ...redisTestConstants.defaultOrderIoc,
+      goodTilBlock: 1160,
+      goodTilBlockTime: undefined,
+      quantums: Long.fromValue(500_000, true),
+      subticks: Long.fromValue(1_000_000, true),
+    };
     const replacedOrder: RedisOrder = convertToRedisOrder(
       replacementOrder,
       testConstants.defaultPerpetualMarket,
@@ -116,6 +129,14 @@ describe('order-place-handler', () => {
       replacementOrderConditional,
       testConstants.defaultPerpetualMarket,
     );
+    const replacedOrderFok: RedisOrder = convertToRedisOrder(
+      replacementOrderFok,
+      testConstants.defaultPerpetualMarket,
+    );
+    const replacedOrderIoc: RedisOrder = convertToRedisOrder(
+      replacementOrderIoc,
+      testConstants.defaultPerpetualMarket,
+    );
     const replacementUpdate: OffChainUpdateV1 = {
       orderPlace: {
         order: replacementOrder,
@@ -137,6 +158,20 @@ describe('order-place-handler', () => {
           OrderPlaceV1_OrderPlacementStatus.ORDER_PLACEMENT_STATUS_BEST_EFFORT_OPENED,
       },
     };
+    const replacementUpdateFok: OffChainUpdateV1 = {
+      orderPlace: {
+        order: replacementOrderFok,
+        placementStatus:
+          OrderPlaceV1_OrderPlacementStatus.ORDER_PLACEMENT_STATUS_BEST_EFFORT_OPENED,
+      },
+    };
+    const replacementUpdateIoc: OffChainUpdateV1 = {
+      orderPlace: {
+        order: replacementOrderIoc,
+        placementStatus:
+          OrderPlaceV1_OrderPlacementStatus.ORDER_PLACEMENT_STATUS_BEST_EFFORT_OPENED,
+      },
+    };
     const replacementMessage: KafkaMessage = createKafkaMessage(
       Buffer.from(Uint8Array.from(OffChainUpdateV1.encode(replacementUpdate).finish())),
     );
@@ -150,6 +185,12 @@ describe('order-place-handler', () => {
         OffChainUpdateV1.encode(replacementUpdateConditional).finish(),
       )),
     );
+    const replacementMessageFok: KafkaMessage = createKafkaMessage(
+      Buffer.from(Uint8Array.from(OffChainUpdateV1.encode(replacementUpdateFok).finish())),
+    );
+    const replacementMessageIoc: KafkaMessage = createKafkaMessage(
+      Buffer.from(Uint8Array.from(OffChainUpdateV1.encode(replacementUpdateIoc).finish())),
+    );
     const dbDefaultOrder: OrderFromDatabase = {
       ...testConstants.defaultOrder,
       id: testConstants.defaultOrderId,
@@ -164,6 +205,16 @@ describe('order-place-handler', () => {
       id: testConstants.defaultConditionalOrderId,
       createdAtHeight: '3',
     };
+    const dbDefaultOrderFok: OrderFromDatabase = {
+      ...testConstants.defaultOrder,
+      id: testConstants.defaultOrderId,
+      timeInForce: TimeInForce.FOK,
+    };
+    const dbDefaultOrderIoc: OrderFromDatabase = {
+      ...testConstants.defaultOrder,
+      id: testConstants.defaultOrderId,
+      timeInForce: TimeInForce.IOC,
+    };
 
     beforeAll(async () => {
       await dbHelpers.migrate();
@@ -410,6 +461,7 @@ describe('order-place-handler', () => {
         redisTestConstants.defaultOrderUuid,
         replacedOrder,
         true,
+        true,
       ],
       [
         'goodTilBlockTime',
@@ -420,6 +472,7 @@ describe('order-place-handler', () => {
         redisTestConstants.defaultOrderUuidGoodTilBlockTime,
         replacedOrderGoodTilBlockTime,
         false,
+        true,
       ],
       [
         'conditional',
@@ -430,6 +483,29 @@ describe('order-place-handler', () => {
         redisTestConstants.defaultOrderUuidConditional,
         replacedOrderConditional,
         false,
+        true,
+      ],
+      [
+        'Fill-or-Kill',
+        redisTestConstants.defaultOrderFok,
+        replacementMessageFok,
+        redisTestConstants.defaultRedisOrderFok,
+        dbDefaultOrderFok,
+        redisTestConstants.defaultOrderUuid,
+        replacedOrderFok,
+        true,
+        false,
+      ],
+      [
+        'Immediate-or-Cancel',
+        redisTestConstants.defaultOrderIoc,
+        replacementMessageIoc,
+        redisTestConstants.defaultRedisOrderIoc,
+        dbDefaultOrderIoc,
+        redisTestConstants.defaultOrderUuid,
+        replacedOrderIoc,
+        true,
+        false,
       ],
     ])('handles order place for replacing order (with %s), resting on book', async (
       _name: string,
@@ -440,6 +516,7 @@ describe('order-place-handler', () => {
       expectedOrderUuid: string,
       expectedReplacedOrder: RedisOrder,
       expectSubaccountMessage: boolean,
+      expectOrderBookUpdate: boolean,
     ) => {
       const oldOrderTotalFilled: number = 10;
       const oldPriceLevelInitialQuantums: number = Number(initialOrderToPlace.quantums) * 2;
@@ -521,9 +598,11 @@ describe('order-place-handler', () => {
       );
 
       // Check the order book levels were updated
-      expect(orderbook.bids).toHaveLength(1);
-      expect(orderbook.asks).toHaveLength(0);
-      expect(orderbook.bids).toContainEqual(expectedPriceLevel);
+      if (expectOrderBookUpdate) {
+        expect(orderbook.bids).toHaveLength(1);
+        expect(orderbook.asks).toHaveLength(0);
+        expect(orderbook.bids).toContainEqual(expectedPriceLevel);
+      }
 
       // Check the order was removed from the open orders cache
       await expectOpenOrderIds(testConstants.defaultPerpetualMarket.clobPairId, []);
@@ -542,11 +621,12 @@ describe('order-place-handler', () => {
         testConstants.defaultPerpetualMarket,
         APIOrderStatusEnum.BEST_EFFORT_OPENED,
         expectSubaccountMessage,
-        OrderbookMessage.fromPartial({
-          contents: JSON.stringify(orderbookContents),
-          clobPairId: testConstants.defaultPerpetualMarket.clobPairId,
-          version: ORDERBOOKS_WEBSOCKET_MESSAGE_VERSION,
-        }),
+        expectOrderBookUpdate
+          ? OrderbookMessage.fromPartial({
+            contents: JSON.stringify(orderbookContents),
+            clobPairId: testConstants.defaultPerpetualMarket.clobPairId,
+            version: ORDERBOOKS_WEBSOCKET_MESSAGE_VERSION,
+          }) : undefined,
       );
       expectStats(true);
     });

indexer/services/vulcan/__tests__/handlers/order-remove-handler.test.ts

@@ -27,6 +27,7 @@ import {
   testConstants,
   testMocks,
   apiTranslations,
+  TimeInForce,
 } from '@dydxprotocol-indexer/postgres';
 import {
   OpenOrdersCache,
@@ -123,6 +124,15 @@ describe('OrderRemoveHandler', () => {
     testConstants.defaultPerpetualMarket.atomicResolution,
   );
 
+  const dbOrderFok: OrderCreateObject = {
+    ...testConstants.defaultOrder,
+    timeInForce: TimeInForce.FOK,
+  };
+  const dbOrderIoc: OrderCreateObject = {
+    ...testConstants.defaultOrder,
+    timeInForce: TimeInForce.IOC,
+  };
+
   it.each([
     [
       {
@@ -222,6 +232,7 @@ describe('OrderRemoveHandler', () => {
         testConstants.defaultOrder,
         redisTestConstants.defaultRedisOrder,
         redisTestConstants.defaultOrderUuid,
+        true,
         undefined,
       ],
       [
@@ -230,6 +241,7 @@ describe('OrderRemoveHandler', () => {
         testConstants.defaultOrderGoodTilBlockTime,
         redisTestConstants.defaultRedisOrderGoodTilBlockTime,
         redisTestConstants.defaultOrderUuidGoodTilBlockTime,
+        true,
         undefined,
       ],
       [
@@ -238,14 +250,34 @@ describe('OrderRemoveHandler', () => {
         testConstants.defaultConditionalOrder,
         redisTestConstants.defaultRedisOrderConditional,
         redisTestConstants.defaultOrderUuidConditional,
+        true,
         testConstants.defaultConditionalOrder.triggerPrice,
       ],
+      [
+        'Fill-or-Kill',
+        redisTestConstants.defaultOrderId,
+        dbOrderFok,
+        redisTestConstants.defaultRedisOrderFok,
+        redisTestConstants.defaultOrderUuid,
+        false,
+        undefined,
+      ],
+      [
+        'Immediate-or-Cancel',
+        redisTestConstants.defaultOrderId,
+        dbOrderIoc,
+        redisTestConstants.defaultRedisOrderIoc,
+        redisTestConstants.defaultOrderUuid,
+        false,
+        undefined,
+      ],
     ])('successfully removes order (with %s)', async (
       _name: string,
       removedOrderId: IndexerOrderId,
       removedOrder: OrderCreateObject,
       removedRedisOrder: RedisOrder,
       expectedOrderUuid: string,
+      expectOrderbookUpdate: boolean,
       triggerPrice?: string,
     ) => {
       const offChainUpdate: OffChainUpdateV1 = orderRemoveToOffChainUpdate({
@@ -302,7 +334,7 @@ describe('OrderRemoveHandler', () => {
           removedRedisOrder.ticker,
           OrderSide.BUY,
           defaultPrice,
-          remainingOrderbookLevel,
+          expectOrderbookUpdate ? remainingOrderbookLevel : orderbookLevel,
         ),
         expectOrdersCacheEmpty(expectedOrderUuid),
         expectOrdersDataCacheEmpty(removedOrderId),
@@ -365,11 +397,12 @@ describe('OrderRemoveHandler', () => {
           subaccountId: redisTestConstants.defaultSubaccountId,
           version: SUBACCOUNTS_WEBSOCKET_MESSAGE_VERSION,
         }),
-        OrderbookMessage.fromPartial({
-          contents: JSON.stringify(orderbookContents),
-          clobPairId: testConstants.defaultPerpetualMarket.clobPairId,
-          version: ORDERBOOKS_WEBSOCKET_MESSAGE_VERSION,
-        }),
+        expectOrderbookUpdate
+          ? OrderbookMessage.fromPartial({
+            contents: JSON.stringify(orderbookContents),
+            clobPairId: testConstants.defaultPerpetualMarket.clobPairId,
+            version: ORDERBOOKS_WEBSOCKET_MESSAGE_VERSION,
+          }) : undefined,
       );
       expect(logger.error).not.toHaveBeenCalled();
       expectTimingStats(true, true);