[CT-641] Update deleveraging handler for DeleveragingEventV1 (#1121)

indexer/packages/v4-protos/src/codegen/dydxprotocol/indexer/events/events.ts

@@ -465,9 +465,9 @@ export interface DeleveragingEventV1 {
    */
 
   fillAmount: Long;
-  /** Fill price of deleveraging event, in USDC quote quantums. */
+  /** Total quote quantums filled. */
 
-  price: Long;
+  totalQuoteQuantums: Long;
   /** `true` if liquidating a short position, `false` otherwise. */
 
   isBuy: boolean;
@@ -501,9 +501,9 @@ export interface DeleveragingEventV1SDKType {
    */
 
   fill_amount: Long;
-  /** Fill price of deleveraging event, in USDC quote quantums. */
+  /** Total quote quantums filled. */
 
-  price: Long;
+  total_quote_quantums: Long;
   /** `true` if liquidating a short position, `false` otherwise. */
 
   is_buy: boolean;
@@ -1853,7 +1853,7 @@ function createBaseDeleveragingEventV1(): DeleveragingEventV1 {
     offsetting: undefined,
     perpetualId: 0,
     fillAmount: Long.UZERO,
-    price: Long.UZERO,
+    totalQuoteQuantums: Long.UZERO,
     isBuy: false,
     isFinalSettlement: false
   };
@@ -1877,8 +1877,8 @@ export const DeleveragingEventV1 = {
       writer.uint32(32).uint64(message.fillAmount);
     }
 
-    if (!message.price.isZero()) {
-      writer.uint32(40).uint64(message.price);
+    if (!message.totalQuoteQuantums.isZero()) {
+      writer.uint32(40).uint64(message.totalQuoteQuantums);
     }
 
     if (message.isBuy === true) {
@@ -1918,7 +1918,7 @@ export const DeleveragingEventV1 = {
           break;
 
         case 5:
-          message.price = (reader.uint64() as Long);
+          message.totalQuoteQuantums = (reader.uint64() as Long);
           break;
 
         case 6:
@@ -1944,7 +1944,7 @@ export const DeleveragingEventV1 = {
     message.offsetting = object.offsetting !== undefined && object.offsetting !== null ? IndexerSubaccountId.fromPartial(object.offsetting) : undefined;
     message.perpetualId = object.perpetualId ?? 0;
     message.fillAmount = object.fillAmount !== undefined && object.fillAmount !== null ? Long.fromValue(object.fillAmount) : Long.UZERO;
-    message.price = object.price !== undefined && object.price !== null ? Long.fromValue(object.price) : Long.UZERO;
+    message.totalQuoteQuantums = object.totalQuoteQuantums !== undefined && object.totalQuoteQuantums !== null ? Long.fromValue(object.totalQuoteQuantums) : Long.UZERO;
     message.isBuy = object.isBuy ?? false;
     message.isFinalSettlement = object.isFinalSettlement ?? false;
     return message;

indexer/services/ender/__tests__/handlers/order-fills/deleveraging-handler.test.ts

@@ -229,9 +229,9 @@ describe('DeleveragingHandler', () => {
     );
 
     // This size should be in fixed-point notation rather than exponential notation.
-    const quoteAmount: string = '0.00000000001'; // quote amount is price * fillAmount = 1e3 * 1e-14 = 1e-11
+    const quoteAmount: string = '1000'; // quote amount is event->price * QUOTE_CURRENCY_ATOMIC_RESOLUTION = 1e9*1e-6=1e3
     const totalFilled: string = '0.00000000000001'; // fillAmount in human = 10^4*10^-18=10^-14
-    const price: string = '1000'; // 10^9*10^-6=10^3
+    const price: string = '100000000000000000'; // 1e3/1e-14=1e17
     const perpetualMarket: PerpetualMarketFromDatabase | undefined = perpetualMarketRefresher
       .getPerpetualMarketFromId(
         defaultDeleveragingEvent.perpetualId.toString(),

indexer/services/ender/__tests__/helpers/constants.ts

@@ -303,7 +303,7 @@ export const defaultDeleveragingEvent: DeleveragingEventV1 = {
   offsetting: defaultRecipientSubaccountId,
   perpetualId: 1,
   fillAmount: Long.fromValue(10_000, true),
-  price: Long.fromValue(1_000_000_000, true),
+  totalQuoteQuantums: Long.fromValue(1_000_000_000, true),
   isBuy: true,
   isFinalSettlement: false,
 };

indexer/services/ender/__tests__/validators/deleveraging-validator.test.ts

@@ -7,6 +7,7 @@ import {
 } from '../helpers/constants';
 import { createIndexerTendermintBlock, createIndexerTendermintEvent } from '../helpers/indexer-proto-helpers';
 import { expectDidntLogError, expectLoggedParseMessageError } from '../helpers/validator-helpers';
+import Long from 'long';
 
 describe('deleveraging-validator', () => {
   beforeEach(() => {
@@ -46,6 +47,22 @@ describe('deleveraging-validator', () => {
         },
         'DeleveragingEvent must have an offsetting subaccount id',
       ],
+      [
+        'has fillAmount of 0',
+        {
+          ...defaultDeleveragingEvent,
+          fillAmount: new Long(0),
+        },
+        'DeleveragingEvent fillAmount cannot equal 0',
+      ],
+      [
+        'has totalQuoteQuantums of 0',
+        {
+          ...defaultDeleveragingEvent,
+          totalQuoteQuantums: new Long(0),
+        },
+        'DeleveragingEvent totalQuoteQuantums cannot equal 0',
+      ],
     ])('throws error if event %s', (_message: string, event: DeleveragingEventV1, message: string) => {
       const validator: DeleveragingValidator = new DeleveragingValidator(
         event,

indexer/services/ender/src/scripts/handlers/dydx_deleveraging_handler.sql

@@ -35,6 +35,7 @@ DECLARE
     liquidated_side text;
     offsetting_side text;
     size numeric;
+    quote_amount numeric;
     price numeric;
     event_id bytea;
 BEGIN
@@ -55,8 +56,9 @@ BEGIN
     */
     size = dydx_trim_scale(dydx_from_jsonlib_long(event_data->'fillAmount') *
                                  power(10, perpetual_market_record."atomicResolution")::numeric);
-    price = dydx_trim_scale(dydx_from_jsonlib_long(event_data->'price') *
+    quote_amount = dydx_trim_scale(dydx_from_jsonlib_long(event_data->'totalQuoteQuantums') *
                                   power(10, QUOTE_CURRENCY_ATOMIC_RESOLUTION)::numeric);
+    price = dydx_trim_scale(quote_amount / size);
 
     liquidated_subaccount_uuid = dydx_uuid_from_subaccount_id(event_data->'liquidated');
     offsetting_subaccount_uuid = dydx_uuid_from_subaccount_id(event_data->'offsetting');
@@ -78,7 +80,7 @@ BEGIN
             clob_pair_id,
             size,
             price,
-            dydx_trim_scale(size * price),
+            quote_amount,
             event_id,
             transaction_hash,
             block_time,
@@ -97,7 +99,7 @@ BEGIN
                         clob_pair_id,
                         size,
                         price,
-                        dydx_trim_scale(size * price),
+                        quote_amount,
                         event_id,
                         transaction_hash,
                         block_time,

indexer/services/ender/src/validators/deleveraging-validator.ts

@@ -20,6 +20,19 @@ export class DeleveragingValidator extends Validator<DeleveragingEventV1> {
       );
     }
 
+    if (this.event.fillAmount.eq(0)) {
+      return this.logAndThrowParseMessageError(
+        'DeleveragingEvent fillAmount cannot equal 0',
+        { event: this.event },
+      );
+    }
+
+    if (this.event.totalQuoteQuantums.eq(0)) {
+      return this.logAndThrowParseMessageError(
+        'DeleveragingEvent totalQuoteQuantums cannot equal 0',
+        { event: this.event },
+      );
+    }
   }
 
   public createHandlers(

proto/dydxprotocol/indexer/events/events.proto

@@ -180,8 +180,8 @@ message DeleveragingEventV1 {
   // The amount filled between the liquidated and offsetting position, in
   // base quantums.
   uint64 fill_amount = 4;
-  // Fill price of deleveraging event, in USDC quote quantums.
-  uint64 price = 5;
+  // Total quote quantums filled.
+  uint64 total_quote_quantums = 5;
   // `true` if liquidating a short position, `false` otherwise.
   bool is_buy = 6;
   // `true` if the deleveraging event is for final settlement, indicating

protocol/indexer/events/deleveraging.go

@@ -11,24 +11,25 @@ import (
 // liquidatedSubaccountId is not actually an account that is liquidatable. More
 // specifically, it may be a well-collateralized subaccount with an open position
 // in a market with the final settlement status.
+// TODO(CT-641): Use the actual unit price rather than the total quote quantums.
 func NewDeleveragingEvent(
 	liquidatedSubaccountId satypes.SubaccountId,
 	offsettingSubaccountId satypes.SubaccountId,
 	perpetualId uint32,
 	fillAmount satypes.BaseQuantums,
-	price satypes.BaseQuantums,
+	totalQuoteQuantums satypes.BaseQuantums,
 	isBuy bool,
 	isFinalSettlement bool,
 ) *DeleveragingEventV1 {
 	indexerLiquidatedSubaccountId := v1.SubaccountIdToIndexerSubaccountId(liquidatedSubaccountId)
 	indexerOffsettingSubaccountId := v1.SubaccountIdToIndexerSubaccountId(offsettingSubaccountId)
 	return &DeleveragingEventV1{
-		Liquidated:        indexerLiquidatedSubaccountId,
-		Offsetting:        indexerOffsettingSubaccountId,
-		PerpetualId:       perpetualId,
-		FillAmount:        fillAmount.ToUint64(),
-		Price:             price.ToUint64(),
-		IsBuy:             isBuy,
-		IsFinalSettlement: isFinalSettlement,
+		Liquidated:         indexerLiquidatedSubaccountId,
+		Offsetting:         indexerOffsettingSubaccountId,
+		PerpetualId:        perpetualId,
+		FillAmount:         fillAmount.ToUint64(),
+		TotalQuoteQuantums: totalQuoteQuantums.ToUint64(),
+		IsBuy:              isBuy,
+		IsFinalSettlement:  isFinalSettlement,
 	}
 }

protocol/indexer/events/deleveraging_test.go

@@ -15,7 +15,7 @@ var (
 	liquidatedSubaccountId = constants.Alice_Num0
 	offsettingSubaccountId = constants.Bob_Num0
 	perpetualId            = uint32(1)
-	price                  = satypes.BaseQuantums(1000)
+	totalQuoteQuantums     = satypes.BaseQuantums(1000)
 	isBuy                  = true
 )
 
@@ -25,19 +25,19 @@ func TestNewDeleveragingEvent_Success(t *testing.T) {
 		offsettingSubaccountId,
 		perpetualId,
 		fillAmount,
-		price,
+		totalQuoteQuantums,
 		isBuy,
 		false,
 	)
 	indexerLiquidatedSubaccountId := v1.SubaccountIdToIndexerSubaccountId(liquidatedSubaccountId)
 	indexerOffsettingSubaccountId := v1.SubaccountIdToIndexerSubaccountId(offsettingSubaccountId)
 	expectedDeleveragingEventProto := &events.DeleveragingEventV1{
-		Liquidated:  indexerLiquidatedSubaccountId,
-		Offsetting:  indexerOffsettingSubaccountId,
-		PerpetualId: perpetualId,
-		FillAmount:  fillAmount.ToUint64(),
-		Price:       price.ToUint64(),
-		IsBuy:       isBuy,
+		Liquidated:         indexerLiquidatedSubaccountId,
+		Offsetting:         indexerOffsettingSubaccountId,
+		PerpetualId:        perpetualId,
+		FillAmount:         fillAmount.ToUint64(),
+		TotalQuoteQuantums: totalQuoteQuantums.ToUint64(),
+		IsBuy:              isBuy,
 	}
 	require.Equal(t, expectedDeleveragingEventProto, deleveragingEvent)
 }