Revert "Add Orderbook Mid Price Cache (#2289)" (#2333)

Author: adamfraser

indexer/packages/redis/__tests__/caches/orderbook-mid-prices-cache.test.ts

@@ -63,8 +63,6 @@ export const removeOrderScript: LuaScript = newLuaScript('removeOrder', '../scri
 export const addCanceledOrderIdScript: LuaScript = newLuaScript('addCanceledOrderId', '../scripts/add_canceled_order_id.lua');
 export const addStatefulOrderUpdateScript: LuaScript = newLuaScript('addStatefulOrderUpdate', '../scripts/add_stateful_order_update.lua');
 export const removeStatefulOrderUpdateScript: LuaScript = newLuaScript('removeStatefulOrderUpdate', '../scripts/remove_stateful_order_update.lua');
-export const addMarketPriceScript: LuaScript = newLuaScript('addMarketPrice', '../scripts/add_market_price.lua');
-export const getMarketMedianScript: LuaScript = newLuaScript('getMarketMedianPrice', '../scripts/get_market_median_price.lua');
 
 export const allLuaScripts: LuaScript[] = [
   deleteZeroPriceLevelScript,
@@ -77,6 +75,4 @@ export const allLuaScripts: LuaScript[] = [
   addCanceledOrderIdScript,
   addStatefulOrderUpdateScript,
   removeStatefulOrderUpdateScript,
-  addMarketPriceScript,
-  getMarketMedianScript,
 ];

indexer/packages/redis/src/caches/orderbook-mid-prices-cache.ts

@@ -12,7 +12,6 @@ export * as CanceledOrdersCache from './caches/canceled-orders-cache';
 export * as StatefulOrderUpdatesCache from './caches/stateful-order-updates-cache';
 export * as StateFilledQuantumsCache from './caches/state-filled-quantums-cache';
 export * as LeaderboardPnlProcessedCache from './caches/leaderboard-processed-cache';
-export * as OrderbookMidPricesCache from './caches/orderbook-mid-prices-cache';
 export { placeOrder } from './caches/place-order';
 export { removeOrder } from './caches/remove-order';
 export { updateOrder } from './caches/update-order';

indexer/packages/redis/src/caches/scripts.ts

@@ -18,6 +18,7 @@ import {
   testMocks,
   Transaction,
   helpers,
+  OrderSide,
 } from '@dydxprotocol-indexer/postgres';
 import { CandleMessage, CandleMessage_Resolution } from '@dydxprotocol-indexer/v4-protos';
 import Big from 'big.js';
@@ -31,11 +32,9 @@ import { KafkaPublisher } from '../../src/lib/kafka-publisher';
 import { ConsolidatedKafkaEvent } from '../../src/lib/types';
 import { defaultTradeContent, defaultTradeKafkaEvent } from '../helpers/constants';
 import { contentToSingleTradeMessage, createConsolidatedKafkaEventFromTrade } from '../helpers/kafka-publisher-helpers';
+import { updatePriceLevel } from '../helpers/redis-helpers';
 import { redisClient } from '../../src/helpers/redis/redis-controller';
-import {
-  redis,
-  OrderbookMidPricesCache,
-} from '@dydxprotocol-indexer/redis';
+import { redis } from '@dydxprotocol-indexer/redis';
 
 describe('candleHelper', () => {
   beforeAll(async () => {
@@ -114,12 +113,9 @@ describe('candleHelper', () => {
       defaultTradeKafkaEvent2,
     ]);
 
-    const ticker = 'BTC-USD';
-    await Promise.all([
-      OrderbookMidPricesCache.setPrice(redisClient, ticker, '100000'),
-      OrderbookMidPricesCache.setPrice(redisClient, ticker, '105000'),
-      OrderbookMidPricesCache.setPrice(redisClient, ticker, '110000'),
-    ]);
+    // Create Orderbook levels to set orderbookMidPrice open & close
+    await updatePriceLevel('BTC-USD', '100000', OrderSide.BUY);
+    await updatePriceLevel('BTC-USD', '110000', OrderSide.SELL);
 
     await runUpdateCandles(publisher);
 
@@ -159,12 +155,8 @@ describe('candleHelper', () => {
       defaultTradeKafkaEvent2,
     ]);
 
-    const ticker = 'BTC-USD';
-    await Promise.all([
-      OrderbookMidPricesCache.setPrice(redisClient, ticker, '80000'),
-      OrderbookMidPricesCache.setPrice(redisClient, ticker, '81000'),
-      OrderbookMidPricesCache.setPrice(redisClient, ticker, '80500'),
-    ]);
+    await updatePriceLevel('BTC-USD', '80000', OrderSide.BUY);
+    await updatePriceLevel('BTC-USD', '81000', OrderSide.SELL);
 
     // Create Perpetual Position to set open position
     const openInterest: string = '100';
@@ -435,7 +427,9 @@ describe('candleHelper', () => {
     containsKafkaMessages: boolean = true,
     orderbookMidPrice: number,
   ) => {
-    await OrderbookMidPricesCache.setPrice(redisClient, 'BTC-USD', orderbookMidPrice.toFixed());
+    const midPriceSpread = 10;
+    await updatePriceLevel('BTC-USD', String(orderbookMidPrice + midPriceSpread), OrderSide.SELL);
+    await updatePriceLevel('BTC-USD', String(orderbookMidPrice - midPriceSpread), OrderSide.BUY);
 
     if (initialCandle !== undefined) {
       await CandleTable.create(initialCandle);
@@ -500,7 +494,9 @@ describe('candleHelper', () => {
     );
     await startCandleCache();
 
-    await OrderbookMidPricesCache.setPrice(redisClient, 'BTC-USD', '10005');
+    // Update Orderbook levels
+    await updatePriceLevel('BTC-USD', '10010', OrderSide.SELL);
+    await updatePriceLevel('BTC-USD', '10000', OrderSide.BUY);
 
     const publisher: KafkaPublisher = new KafkaPublisher();
     publisher.addEvents([
@@ -598,7 +594,9 @@ describe('candleHelper', () => {
     );
     await startCandleCache();
 
-    await OrderbookMidPricesCache.setPrice(redisClient, 'BTC-USD', '10005');
+    // Update Orderbook levels
+    await updatePriceLevel('BTC-USD', '10010', OrderSide.SELL);
+    await updatePriceLevel('BTC-USD', '10000', OrderSide.BUY);
 
     const publisher: KafkaPublisher = new KafkaPublisher();
     publisher.addEvents([]);
@@ -662,19 +660,22 @@ describe('candleHelper', () => {
   });
 
   it('successfully creates an orderbook price map for each market', async () => {
-    await Promise.all([
-      OrderbookMidPricesCache.setPrice(redisClient, 'BTC-USD', '105000'),
-      OrderbookMidPricesCache.setPrice(redisClient, 'ISO-USD', '115000'),
-      OrderbookMidPricesCache.setPrice(redisClient, 'ETH-USD', '150000'),
-    ]);
+    await updatePriceLevel('BTC-USD', '100000', OrderSide.BUY);
+    await updatePriceLevel('BTC-USD', '110000', OrderSide.SELL);
+
+    await updatePriceLevel('ISO-USD', '110000', OrderSide.BUY);
+    await updatePriceLevel('ISO-USD', '120000', OrderSide.SELL);
+
+    await updatePriceLevel('ETH-USD', '100000', OrderSide.BUY);
+    await updatePriceLevel('ETH-USD', '200000', OrderSide.SELL);
 
     const map = await getOrderbookMidPriceMap();
     expect(map).toEqual({
       'BTC-USD': '105000',
       'ETH-USD': '150000',
       'ISO-USD': '115000',
-      'ISO2-USD': null,
-      'SHIB-USD': null,
+      'ISO2-USD': undefined,
+      'SHIB-USD': undefined,
     });
   });
 });