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Merge branch 'main' into chenyao/order-replacement-messages-for-vault
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@chenyaoy
chenyaoy committed Jun 11, 2024
2 parents 366e7de + b431e04 commit 747ffaa
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Showing 48 changed files with 506 additions and 2,473 deletions.
10 changes: 4 additions & 6 deletions indexer/packages/v4-protos/src/codegen/dydxprotocol/clob/order.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -101,9 +101,8 @@ export enum Order_TimeInForce {
TIME_IN_FORCE_POST_ONLY = 2,

/**
* TIME_IN_FORCE_FILL_OR_KILL - TIME_IN_FORCE_FILL_OR_KILL enforces that an order will either be filled
* completely and immediately by maker orders on the book or canceled if the
* entire amount can‘t be matched.
* TIME_IN_FORCE_FILL_OR_KILL - TIME_IN_FORCE_FILL_OR_KILL has been deprecated and will be removed in
* future versions.
*/
TIME_IN_FORCE_FILL_OR_KILL = 3,
UNRECOGNIZED = -1,
Expand Down Expand Up @@ -138,9 +137,8 @@ export enum Order_TimeInForceSDKType {
TIME_IN_FORCE_POST_ONLY = 2,

/**
* TIME_IN_FORCE_FILL_OR_KILL - TIME_IN_FORCE_FILL_OR_KILL enforces that an order will either be filled
* completely and immediately by maker orders on the book or canceled if the
* entire amount can‘t be matched.
* TIME_IN_FORCE_FILL_OR_KILL - TIME_IN_FORCE_FILL_OR_KILL has been deprecated and will be removed in
* future versions.
*/
TIME_IN_FORCE_FILL_OR_KILL = 3,
UNRECOGNIZED = -1,
Expand Down
7 changes: 3 additions & 4 deletions proto/dydxprotocol/clob/order.proto
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Original file line number Diff line number Diff line change
Expand Up @@ -171,10 +171,9 @@ message Order {
// any newly-placed post only orders that would cross with other maker
// orders.
TIME_IN_FORCE_POST_ONLY = 2;
// TIME_IN_FORCE_FILL_OR_KILL enforces that an order will either be filled
// completely and immediately by maker orders on the book or canceled if the
// entire amount can‘t be matched.
TIME_IN_FORCE_FILL_OR_KILL = 3;
// TIME_IN_FORCE_FILL_OR_KILL has been deprecated and will be removed in
// future versions.
TIME_IN_FORCE_FILL_OR_KILL = 3 [ deprecated = true ];
}

// The time in force of this order.
Expand Down
42 changes: 40 additions & 2 deletions protocol/app/upgrades/v6.0.0/upgrade.go
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Original file line number Diff line number Diff line change
Expand Up @@ -2,19 +2,57 @@ package v_6_0_0

import (
"context"

clobtypes "github.com/dydxprotocol/v4-chain/protocol/x/clob/types"
"fmt"

upgradetypes "cosmossdk.io/x/upgrade/types"
sdk "github.com/cosmos/cosmos-sdk/types"
"github.com/cosmos/cosmos-sdk/types/module"
indexerevents "github.com/dydxprotocol/v4-chain/protocol/indexer/events"
"github.com/dydxprotocol/v4-chain/protocol/indexer/indexer_manager"
indexershared "github.com/dydxprotocol/v4-chain/protocol/indexer/shared"
"github.com/dydxprotocol/v4-chain/protocol/lib"
clobtypes "github.com/dydxprotocol/v4-chain/protocol/x/clob/types"
)

func removeStatefulFOKOrders(ctx sdk.Context, k clobtypes.ClobKeeper) {
allStatefulOrders := k.GetAllStatefulOrders(ctx)
for _, order := range allStatefulOrders {
if order.TimeInForce == clobtypes.Order_TIME_IN_FORCE_FILL_OR_KILL {
// Remove the orders from state.
k.MustRemoveStatefulOrder(ctx, order.OrderId)

// Send indexer event for removal of stateful order.
k.GetIndexerEventManager().AddTxnEvent(
ctx,
indexerevents.SubtypeStatefulOrder,
indexerevents.StatefulOrderEventVersion,
indexer_manager.GetBytes(
indexerevents.NewStatefulOrderRemovalEvent(
order.OrderId,
indexershared.ConvertOrderRemovalReasonToIndexerOrderRemovalReason(
clobtypes.OrderRemoval_REMOVAL_REASON_CONDITIONAL_FOK_COULD_NOT_BE_FULLY_FILLED,
),
),
),
)
}
}
}

func CreateUpgradeHandler(
mm *module.Manager,
configurator module.Configurator,
clobKeeper clobtypes.ClobKeeper,
) upgradetypes.UpgradeHandler {
return func(ctx context.Context, plan upgradetypes.Plan, vm module.VersionMap) (module.VersionMap, error) {
sdkCtx := lib.UnwrapSDKContext(ctx, "app/upgrades")
sdkCtx.Logger().Info(fmt.Sprintf("Running %s Upgrade...", UpgradeName))

// Remove all stateful FOK orders from state.
removeStatefulFOKOrders(sdkCtx, clobKeeper)

sdkCtx.Logger().Info("Successfully removed stateful orders from state")

return mm.RunMigrations(ctx, configurator, vm)
}
}
191 changes: 99 additions & 92 deletions protocol/app/upgrades/v6.0.0/upgrade_container_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -4,19 +4,20 @@ package v_6_0_0_test

import (
"testing"
"time"

v_6_0_0 "github.com/dydxprotocol/v4-chain/protocol/app/upgrades/v6.0.0"
"github.com/dydxprotocol/v4-chain/protocol/testing/containertest"
"github.com/dydxprotocol/v4-chain/protocol/testutil/constants"
clobtypes "github.com/dydxprotocol/v4-chain/protocol/x/clob/types"
satypes "github.com/dydxprotocol/v4-chain/protocol/x/subaccounts/types"
"github.com/stretchr/testify/require"
"google.golang.org/grpc/codes"
"google.golang.org/grpc/status"
)

const (
AliceBobBTCQuantums = 1_000_000
CarlDaveBTCQuantums = 2_000_000
CarlDaveETHQuantums = 4_000_000
)

func TestStateUpgrade(t *testing.T) {
Expand All @@ -43,145 +44,151 @@ func preUpgradeSetups(node *containertest.Node, t *testing.T) {

func preUpgradeChecks(node *containertest.Node, t *testing.T) {
// Add test for your upgrade handler logic below
preUpgradeStatefulOrderCheck(node, t)
}

func postUpgradeChecks(node *containertest.Node, t *testing.T) {
// Add test for your upgrade handler logic below
postUpgradeStatefulOrderCheck(node, t)
}

func placeOrders(node *containertest.Node, t *testing.T) {
require.NoError(t, containertest.BroadcastTx(
// FOK order setups.
require.NoError(t, containertest.BroadcastTxWithoutValidateBasic(
node,
&clobtypes.MsgPlaceOrder{
Order: clobtypes.Order{
OrderId: clobtypes.OrderId{
ClientId: 0,
ClientId: 100,
SubaccountId: satypes.SubaccountId{
Owner: constants.AliceAccAddress.String(),
Number: 0,
},
ClobPairId: 0,
OrderFlags: clobtypes.OrderIdFlags_Conditional,
},
Side: clobtypes.Order_SIDE_BUY,
Quantums: AliceBobBTCQuantums,
Subticks: 5_000_000,
GoodTilOneof: &clobtypes.Order_GoodTilBlock{
GoodTilBlock: 20,
Side: clobtypes.Order_SIDE_BUY,
Quantums: AliceBobBTCQuantums,
Subticks: 6_000_000,
TimeInForce: clobtypes.Order_TIME_IN_FORCE_FILL_OR_KILL,
ConditionType: clobtypes.Order_CONDITION_TYPE_TAKE_PROFIT,
ConditionalOrderTriggerSubticks: 6_000_000,
GoodTilOneof: &clobtypes.Order_GoodTilBlockTime{
GoodTilBlockTime: uint32(time.Now().Unix() + 300),
},
},
},
constants.AliceAccAddress.String(),
))
require.NoError(t, containertest.BroadcastTx(

err := node.Wait(1)
require.NoError(t, err)

require.NoError(t, containertest.BroadcastTxWithoutValidateBasic(
node,
&clobtypes.MsgPlaceOrder{
Order: clobtypes.Order{
OrderId: clobtypes.OrderId{
ClientId: 0,
ClientId: 101,
SubaccountId: satypes.SubaccountId{
Owner: constants.BobAccAddress.String(),
Owner: constants.AliceAccAddress.String(),
Number: 0,
},
ClobPairId: 0,
OrderFlags: clobtypes.OrderIdFlags_Conditional,
},
Side: clobtypes.Order_SIDE_SELL,
Quantums: AliceBobBTCQuantums,
Subticks: 5_000_000,
GoodTilOneof: &clobtypes.Order_GoodTilBlock{
GoodTilBlock: 20,
Side: clobtypes.Order_SIDE_SELL,
Quantums: AliceBobBTCQuantums,
Subticks: 6_000_000,
TimeInForce: clobtypes.Order_TIME_IN_FORCE_FILL_OR_KILL,
ConditionType: clobtypes.Order_CONDITION_TYPE_STOP_LOSS,
ConditionalOrderTriggerSubticks: 6_000_000,
GoodTilOneof: &clobtypes.Order_GoodTilBlockTime{
GoodTilBlockTime: uint32(time.Now().Unix() + 300),
},
},
},
constants.BobAccAddress.String(),
constants.AliceAccAddress.String(),
))
require.NoError(t, containertest.BroadcastTx(

err = node.Wait(2)
require.NoError(t, err)
}

func preUpgradeStatefulOrderCheck(node *containertest.Node, t *testing.T) {
// Check that all stateful orders are present.
_, err := containertest.Query(
node,
&clobtypes.MsgPlaceOrder{
Order: clobtypes.Order{
OrderId: clobtypes.OrderId{
ClientId: 0,
SubaccountId: satypes.SubaccountId{
Owner: constants.CarlAccAddress.String(),
Number: 0,
},
ClobPairId: 0,
},
Side: clobtypes.Order_SIDE_BUY,
Quantums: CarlDaveBTCQuantums,
Subticks: 5_000_000,
GoodTilOneof: &clobtypes.Order_GoodTilBlock{
GoodTilBlock: 20,
clobtypes.NewQueryClient,
clobtypes.QueryClient.StatefulOrder,
&clobtypes.QueryStatefulOrderRequest{
OrderId: clobtypes.OrderId{
ClientId: 100,
SubaccountId: satypes.SubaccountId{
Owner: constants.AliceAccAddress.String(),
Number: 0,
},
ClobPairId: 0,
OrderFlags: clobtypes.OrderIdFlags_Conditional,
},
},
constants.CarlAccAddress.String(),
))
require.NoError(t, containertest.BroadcastTx(
)
require.NoError(t, err)

_, err = containertest.Query(
node,
&clobtypes.MsgPlaceOrder{
Order: clobtypes.Order{
OrderId: clobtypes.OrderId{
ClientId: 0,
SubaccountId: satypes.SubaccountId{
Owner: constants.DaveAccAddress.String(),
Number: 0,
},
ClobPairId: 0,
},
Side: clobtypes.Order_SIDE_SELL,
Quantums: CarlDaveBTCQuantums,
Subticks: 5_000_000,
GoodTilOneof: &clobtypes.Order_GoodTilBlock{
GoodTilBlock: 20,
clobtypes.NewQueryClient,
clobtypes.QueryClient.StatefulOrder,
&clobtypes.QueryStatefulOrderRequest{
OrderId: clobtypes.OrderId{
ClientId: 101,
SubaccountId: satypes.SubaccountId{
Owner: constants.AliceAccAddress.String(),
Number: 0,
},
ClobPairId: 0,
OrderFlags: clobtypes.OrderIdFlags_Conditional,
},
},
constants.DaveAccAddress.String(),
))
require.NoError(t, containertest.BroadcastTx(
)
require.NoError(t, err)
}

func postUpgradeStatefulOrderCheck(node *containertest.Node, t *testing.T) {
// Check that all stateful orders are removed.
_, err := containertest.Query(
node,
&clobtypes.MsgPlaceOrder{
Order: clobtypes.Order{
OrderId: clobtypes.OrderId{
ClientId: 0,
SubaccountId: satypes.SubaccountId{
Owner: constants.CarlAccAddress.String(),
Number: 0,
},
ClobPairId: 1,
},
Side: clobtypes.Order_SIDE_BUY,
Quantums: CarlDaveETHQuantums,
Subticks: 5_000_000,
GoodTilOneof: &clobtypes.Order_GoodTilBlock{
GoodTilBlock: 20,
clobtypes.NewQueryClient,
clobtypes.QueryClient.StatefulOrder,
&clobtypes.QueryStatefulOrderRequest{
OrderId: clobtypes.OrderId{
ClientId: 100,
SubaccountId: satypes.SubaccountId{
Owner: constants.AliceAccAddress.String(),
Number: 0,
},
ClobPairId: 0,
OrderFlags: clobtypes.OrderIdFlags_Conditional,
},
},
constants.CarlAccAddress.String(),
))
require.NoError(t, containertest.BroadcastTx(
)
require.ErrorIs(t, err, status.Error(codes.NotFound, "not found"))

_, err = containertest.Query(
node,
&clobtypes.MsgPlaceOrder{
Order: clobtypes.Order{
OrderId: clobtypes.OrderId{
ClientId: 0,
SubaccountId: satypes.SubaccountId{
Owner: constants.DaveAccAddress.String(),
Number: 0,
},
ClobPairId: 1,
},
Side: clobtypes.Order_SIDE_SELL,
Quantums: CarlDaveETHQuantums,
Subticks: 5_000_000,
GoodTilOneof: &clobtypes.Order_GoodTilBlock{
GoodTilBlock: 20,
clobtypes.NewQueryClient,
clobtypes.QueryClient.StatefulOrder,
&clobtypes.QueryStatefulOrderRequest{
OrderId: clobtypes.OrderId{
ClientId: 101,
SubaccountId: satypes.SubaccountId{
Owner: constants.AliceAccAddress.String(),
Number: 0,
},
ClobPairId: 0,
OrderFlags: clobtypes.OrderIdFlags_Conditional,
},
},
constants.DaveAccAddress.String(),
))
err := node.Wait(2)
require.NoError(t, err)
)
require.ErrorIs(t, err, status.Error(codes.NotFound, "not found"))
}
23 changes: 9 additions & 14 deletions protocol/daemons/pricefeed/client/price_function/util.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -144,26 +144,21 @@ func reverseShiftBigFloatSlice(
values []*big.Float,
exponent int32,
) []*big.Float {
unsignedExponent := lib.AbsInt32(exponent)

pow10 := new(big.Float).SetInt(lib.BigPow10(uint64(unsignedExponent)))
p10, inverse := lib.BigPow10(exponent)
p10Float := new(big.Float).SetInt(p10)
updatedValues := make([]*big.Float, 0, len(values))
for _, value := range values {
updatedValues = append(updatedValues, reverseShiftFloatWithPow10(value, pow10, exponent))
newValue := new(big.Float).Set(value)
if inverse {
newValue.Mul(newValue, p10Float)
} else {
newValue.Quo(newValue, p10Float)
}
updatedValues = append(updatedValues, newValue)
}
return updatedValues
}

func reverseShiftFloatWithPow10(value *big.Float, pow10 *big.Float, exponent int32) *big.Float {
if exponent == 0 {
return value
} else if exponent > 0 {
return new(big.Float).Quo(value, pow10)
} else { // exponent < 0
return new(big.Float).Mul(value, pow10)
}
}

// Ticker encodes a ticker response returned by an exchange API. It contains accessors for the ticker's
// ask price, bid price, and last price, which are medianized to compute an exchange price.
type Ticker interface {
Expand Down
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