diff --git a/indexer/packages/postgres/src/types/perpetual-market-types.ts b/indexer/packages/postgres/src/types/perpetual-market-types.ts
index 9f75a625d09..4a1c5215f23 100644
--- a/indexer/packages/postgres/src/types/perpetual-market-types.ts
+++ b/indexer/packages/postgres/src/types/perpetual-market-types.ts
@@ -37,6 +37,7 @@ export interface PerpetualMarketUpdateObject {
subticksPerTick?: number,
stepBaseQuantums?: number,
liquidityTierId?: number,
+ defaultFundingRate1H?: string,
}
export enum PerpetualMarketColumns {
diff --git a/indexer/packages/redis/__tests__/caches/next-funding-cache.test.ts b/indexer/packages/redis/__tests__/caches/next-funding-cache.test.ts
index 24d6e95ff48..bdfb1776e5c 100644
--- a/indexer/packages/redis/__tests__/caches/next-funding-cache.test.ts
+++ b/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 },
);
});
diff --git a/indexer/packages/redis/src/caches/next-funding-cache.ts b/indexer/packages/redis/src/caches/next-funding-cache.ts
index cff104ae53f..7f4b21fb15a 100644
--- a/indexer/packages/redis/src/caches/next-funding-cache.ts
+++ b/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;
}
diff --git a/indexer/services/ender/__tests__/handlers/funding-handler.test.ts b/indexer/services/ender/__tests__/handlers/funding-handler.test.ts
index afe0df78fa2..fd7a0fcf4e1 100644
--- a/indexer/services/ender/__tests__/handlers/funding-handler.test.ts
+++ b/indexer/services/ender/__tests__/handlers/funding-handler.test.ts
@@ -12,6 +12,7 @@ import {
FundingIndexUpdatesColumns,
FundingIndexUpdatesFromDatabase,
FundingIndexUpdatesTable,
+ PerpetualMarketTable,
OraclePriceTable,
Ordering,
perpetualMarketRefresher,
@@ -42,6 +43,7 @@ import Big from 'big.js';
import { redisClient } from '../../src/helpers/redis/redis-controller';
import { bigIntToBytes } from '@dydxprotocol-indexer/v4-proto-parser';
import { createPostgresFunctions } from '../../src/helpers/postgres/postgres-functions';
+import { defaultPerpetualMarket } from '@dydxprotocol-indexer/postgres/build/__tests__/helpers/constants';
describe('fundingHandler', () => {
beforeAll(async () => {
@@ -127,10 +129,65 @@ describe('fundingHandler', () => {
await onMessage(kafkaMessage);
await expectNextFundingRate(
- 'BTC-USD',
new Big(protocolTranslations.funding8HourValuePpmTo1HourRate(
defaultFundingUpdateSampleEvent.updates[0].fundingValuePpm,
)),
+ 'BTC-USD',
+ );
+ });
+
+ it.each([
+ [
+ 'Non-zero sample',
+ 'TEST-USD',
+ '0.0001',
+ 120,
+ new Big('0.000115'), // 0.000120 / 8 + default 0.0001
+ ],
+ [
+ 'Sample is zero',
+ 'TEST-USD',
+ '0.0001',
+ 0,
+ new Big('0.0001'), // 0 + default 0.0001
+ ],
+ ])('(%s) Non-zero default funding: successfully handle premium sample', async (
+ _name: string,
+ ticker: string,
+ defaultFundingRate1H: string,
+ fundingValuePpm: number,
+ expectedNextFundingRate: Big,
+ ) => {
+ const testPerpetualMarket = await PerpetualMarketTable.create({
+ ...defaultPerpetualMarket,
+ id: '1000', // Different id than `defaultPerpeptualMarket` to avoid conflict
+ ticker,
+ defaultFundingRate1H,
+ });
+
+ const fundingUpdateSampleEvent: FundingEventV1 = {
+ type: FundingEventV1_Type.TYPE_PREMIUM_SAMPLE,
+ updates: [
+ {
+ perpetualId: parseInt(testPerpetualMarket.id, 10),
+ fundingValuePpm,
+ fundingIndex: bigIntToBytes(BigInt(0)),
+ },
+ ],
+ };
+
+ const kafkaMessage: KafkaMessage = createKafkaMessageFromFundingEvents({
+ fundingEvents: [fundingUpdateSampleEvent],
+ height: defaultHeight,
+ time: defaultTime,
+ });
+
+ await onMessage(kafkaMessage);
+
+ await expectNextFundingRate(
+ expectedNextFundingRate,
+ ticker,
+ defaultFundingRate1H,
);
});
@@ -160,14 +217,14 @@ describe('fundingHandler', () => {
await onMessage(kafkaMessage);
await expectNextFundingRate(
- 'BTC-USD',
new Big('0.000006875'),
+ 'BTC-USD',
);
await expectNextFundingRate(
- 'ETH-USD',
new Big(protocolTranslations.funding8HourValuePpmTo1HourRate(
fundingUpdateSampleEvent2.updates[1].fundingValuePpm,
)),
+ 'ETH-USD',
);
});
@@ -204,10 +261,10 @@ describe('fundingHandler', () => {
await onMessage(kafkaMessage);
await expectNextFundingRate(
- 'BTC-USD',
new Big(protocolTranslations.funding8HourValuePpmTo1HourRate(
defaultFundingUpdateSampleEvent.updates[0].fundingValuePpm,
)),
+ 'BTC-USD',
);
const kafkaMessage2: KafkaMessage = createKafkaMessageFromFundingEvents({
@@ -218,8 +275,8 @@ describe('fundingHandler', () => {
await onMessage(kafkaMessage2);
await expectNextFundingRate(
- 'BTC-USD',
undefined,
+ 'BTC-USD',
);
const fundingIndices: FundingIndexUpdatesFromDatabase[] = await
FundingIndexUpdatesTable.findAll({}, [], {});
@@ -253,10 +310,10 @@ describe('fundingHandler', () => {
await onMessage(kafkaMessage);
await expectNextFundingRate(
- 'BTC-USD',
new Big(protocolTranslations.funding8HourValuePpmTo1HourRate(
defaultFundingUpdateSampleEvent.updates[0].fundingValuePpm,
)),
+ 'BTC-USD',
);
const kafkaMessage2: KafkaMessage = createKafkaMessageFromFundingEvents({
@@ -267,8 +324,8 @@ describe('fundingHandler', () => {
await onMessage(kafkaMessage2);
await expectNextFundingRate(
- 'BTC-USD',
undefined,
+ 'BTC-USD',
);
const fundingIndices: FundingIndexUpdatesFromDatabase[] = await
FundingIndexUpdatesTable.findAll({}, [], {});
@@ -310,16 +367,16 @@ describe('fundingHandler', () => {
await Promise.all([
expectNextFundingRate(
- 'BTC-USD',
new Big(protocolTranslations.funding8HourValuePpmTo1HourRate(
fundingSampleEvent.updates[0].fundingValuePpm,
)),
+ 'BTC-USD',
),
expectNextFundingRate(
- 'ETH-USD',
new Big(protocolTranslations.funding8HourValuePpmTo1HourRate(
fundingSampleEvent.updates[1].fundingValuePpm,
)),
+ 'ETH-USD',
),
]);
@@ -347,12 +404,12 @@ describe('fundingHandler', () => {
await onMessage(kafkaMessage2);
await Promise.all([
expectNextFundingRate(
- 'BTC-USD',
undefined,
+ 'BTC-USD',
),
expectNextFundingRate(
- 'ETH-USD',
undefined,
+ 'ETH-USD',
),
]);
const fundingIndices: FundingIndexUpdatesFromDatabase[] = await
diff --git a/indexer/services/ender/__tests__/helpers/redis-helpers.ts b/indexer/services/ender/__tests__/helpers/redis-helpers.ts
index 7f2ec30800a..6a88a4ac037 100644
--- a/indexer/services/ender/__tests__/helpers/redis-helpers.ts
+++ b/indexer/services/ender/__tests__/helpers/redis-helpers.ts
@@ -9,14 +9,15 @@ import Big from 'big.js';
import { redisClient } from '../../src/helpers/redis/redis-controller';
export async function expectNextFundingRate(
+ expectedRate: Big | undefined,
ticker: string,
- rate: Big | undefined,
+ defaultFundingRate1H: string = '0',
): Promise<void> {
const rates: { [ticker: string]: Big | undefined } = await NextFundingCache.getNextFunding(
redisClient,
- [ticker],
+ [[ticker, defaultFundingRate1H]],
);
- expect(rates[ticker]).toEqual(rate);
+ expect(rates[ticker]).toEqual(expectedRate);
}
export async function expectStateFilledQuantums(
diff --git a/indexer/services/roundtable/__tests__/tasks/market-updater.test.ts b/indexer/services/roundtable/__tests__/tasks/market-updater.test.ts
index b142b8b3d59..e97559e3fd3 100644
--- a/indexer/services/roundtable/__tests__/tasks/market-updater.test.ts
+++ b/indexer/services/roundtable/__tests__/tasks/market-updater.test.ts
@@ -144,7 +144,7 @@ describe('market-updater', () => {
jest.clearAllMocks();
});
- it('succeeds with no fills, positions or funding rates', async () => {
+ it('succeeds with no fills, positions or funding samples', async () => {
const producerSendSpy: jest.SpyInstance = jest.spyOn(producer, 'send');
const perpetualMarkets: PerpetualMarketFromDatabase[] = await PerpetualMarketTable.findAll(
{},
@@ -368,7 +368,12 @@ describe('market-updater', () => {
await Promise.all([
PerpetualMarketTable.update(perpMarketUpdate1),
- PerpetualMarketTable.update(perpMarketUpdate2),
+ PerpetualMarketTable.update({
+ ...perpMarketUpdate2,
+ // set initial `nextFundingRate` to non-zero
+ // we still don't expect update message if no funding samples.
+ nextFundingRate: '0.000225',
+ }),
PerpetualMarketTable.update(perpMarketUpdate3),
]);
@@ -376,6 +381,108 @@ describe('market-updater', () => {
expect(producerSendSpy).toHaveBeenCalledTimes(0);
});
+ it('(non-zero default funding) no message sent if no update, and no funding samples', async () => {
+ const producerSendSpy: jest.SpyInstance = jest.spyOn(producer, 'send');
+ synchronizeWrapBackgroundTask(wrapBackgroundTask);
+ await OrderTable.create(testConstants.defaultOrder);
+ await Promise.all([
+ FillTable.create(testConstants.defaultFill),
+ PerpetualPositionTable.create(testConstants.defaultPerpetualPosition),
+ ]);
+
+ await Promise.all([
+ PerpetualMarketTable.update({
+ ...perpMarketUpdate1,
+ defaultFundingRate1H: '0.0000125',
+ }),
+ PerpetualMarketTable.update({
+ ...perpMarketUpdate2,
+ defaultFundingRate1H: '0.0000125',
+ }),
+ PerpetualMarketTable.update(perpMarketUpdate3),
+ ]);
+
+ await marketUpdaterTask();
+ expect(producerSendSpy).toHaveBeenCalledTimes(0);
+ });
+
+ it('(non-zero default funding) message send with funding sample of 0', async () => {
+ const producerSendSpy: jest.SpyInstance = jest.spyOn(producer, 'send');
+ synchronizeWrapBackgroundTask(wrapBackgroundTask);
+ await OrderTable.create(testConstants.defaultOrder);
+ await Promise.all([
+ FillTable.create(testConstants.defaultFill),
+ PerpetualPositionTable.create(testConstants.defaultPerpetualPosition),
+ ]);
+
+ await Promise.all([
+ NextFundingCache.addFundingSample(
+ testConstants.defaultPerpetualMarket.ticker,
+ new Big(0), // `0` sample for BTC-USD
+ redisClient,
+ ),
+ NextFundingCache.addFundingSample(
+ testConstants.defaultPerpetualMarket2.ticker,
+ new Big(0), // `0` sample for ETH-USD
+ redisClient,
+ ),
+ ]);
+
+ await Promise.all([
+ PerpetualMarketTable.update({
+ ...perpMarketUpdate1,
+ // `nextFundingRate` equal to default funding rate.
+ // With a funding sample of `0` we don't expect a mssage to be sent for BTC-USD
+ nextFundingRate: '0.0000125',
+ defaultFundingRate1H: '0.0000125',
+ }),
+ PerpetualMarketTable.update({
+ ...perpMarketUpdate2,
+ nextFundingRate: '0',
+ // Differ from current `nextFundingRate` of 0.
+ // Expect a message for this.
+ defaultFundingRate1H: '0.0000125',
+ }),
+ PerpetualMarketTable.update(perpMarketUpdate3),
+ ]);
+
+ const perpetualMarkets: PerpetualMarketFromDatabase[] = await PerpetualMarketTable.findAll(
+ {},
+ [],
+ );
+ const perpetualMarketMap: _.Dictionary<PerpetualMarketFromDatabase> = _.keyBy(
+ perpetualMarkets,
+ PerpetualMarketColumns.id,
+ );
+ const liquidityTiers:
+ LiquidityTiersFromDatabase[] = await LiquidityTiersTable.findAll({}, []);
+
+ const liquidityTiersMap: LiquidityTiersMap = _.keyBy(
+ liquidityTiers,
+ LiquidityTiersColumns.id,
+ );
+
+ await marketUpdaterTask();
+
+ const newPerpetualMarketMap: _.Dictionary<PerpetualMarketFromDatabase> = {};
+ newPerpetualMarketMap[testConstants.defaultPerpetualPosition.perpetualId] = {
+ ...perpetualMarketMap[testConstants.defaultPerpetualPosition.perpetualId],
+ };
+ newPerpetualMarketMap[testConstants.defaultPerpetualMarket2.id] = {
+ ...perpetualMarketMap[testConstants.defaultPerpetualMarket2.id],
+ nextFundingRate: '0.0000125',
+ };
+ newPerpetualMarketMap[testConstants.defaultPerpetualMarket3.id] = {
+ ...perpetualMarketMap[testConstants.defaultPerpetualMarket3.id],
+ };
+
+ const contents: string = JSON.stringify(
+ getUpdatedMarkets(perpetualMarketMap, newPerpetualMarketMap, liquidityTiersMap),
+ );
+ expectMarketWebsocketMessage(producerSendSpy, contents);
+ expect(producerSendSpy).toHaveBeenCalledTimes(1);
+ });
+
it('update sent if position and fills update, but funding was not', async () => {
const producerSendSpy: jest.SpyInstance = jest.spyOn(producer, 'send');
synchronizeWrapBackgroundTask(wrapBackgroundTask);
diff --git a/indexer/services/roundtable/src/tasks/market-updater.ts b/indexer/services/roundtable/src/tasks/market-updater.ts
index ab6d2ea30ec..b47f0770019 100644
--- a/indexer/services/roundtable/src/tasks/market-updater.ts
+++ b/indexer/services/roundtable/src/tasks/market-updater.ts
@@ -52,7 +52,14 @@ export default async function runTask(): Promise<void> {
PerpetualMarketFromDatabase[] = await PerpetualMarketTable.findAll({}, []);
const perpetualMarketIds: string[] = _.map(perpetualMarkets, PerpetualMarketColumns.id);
const clobPairIds: string[] = _.map(perpetualMarkets, PerpetualMarketColumns.clobPairId);
- const tickers: string[] = _.map(perpetualMarkets, PerpetualMarketColumns.ticker);
+ const tickerDefaultFundingRate1HPairs: [string, string][] = _.map(
+ perpetualMarkets,
+ (market) => [
+ market[PerpetualMarketColumns.ticker],
+ // Use 0 as default for null default funding rate
+ market[PerpetualMarketColumns.defaultFundingRate1H] ?? '0',
+ ],
+ );
const latestPrices: PriceMap = await OraclePriceTable.getLatestPrices();
const prices24hAgo: PriceMap = await OraclePriceTable.getPricesFrom24hAgo();
@@ -70,8 +77,7 @@ export default async function runTask(): Promise<void> {
// TODO(DEC-1149 Add support for pulling information from candles
FillTable.get24HourInformation(clobPairIds),
PerpetualPositionTable.getOpenInterestLong(perpetualMarketIds),
- // TODO(CT-1340): Need to add default funding rate to this value.
- NextFundingCache.getNextFunding(redisClient, tickers),
+ NextFundingCache.getNextFunding(redisClient, tickerDefaultFundingRate1HPairs),
]);
stats.timing(