Add defaultFunding8hrPpm field to perpetual indexer events

dydxprotocol · Jan 7, 2025 · 76278b2 · 76278b2
1 parent 6973144
commit 76278b2
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Showing 38 changed files with 398 additions and 172 deletions.
diff --git a/indexer/packages/postgres/__tests__/helpers/constants.ts b/indexer/packages/postgres/__tests__/helpers/constants.ts
@@ -285,6 +285,7 @@ export const defaultPerpetualMarket: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.CROSS,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0',
 };
 export const defaultPerpetualMarket2: PerpetualMarketCreateObject = {
   id: '1',
@@ -304,6 +305,7 @@ export const defaultPerpetualMarket2: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.CROSS,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0',
 };
 export const defaultPerpetualMarket3: PerpetualMarketCreateObject = {
   id: '2',
@@ -323,6 +325,7 @@ export const defaultPerpetualMarket3: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.CROSS,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0',
 };
 
 export const isolatedPerpetualMarket: PerpetualMarketCreateObject = {
@@ -343,6 +346,7 @@ export const isolatedPerpetualMarket: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.ISOLATED,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0.0001',
 };
 
 export const isolatedPerpetualMarket2: PerpetualMarketCreateObject = {
@@ -363,6 +367,7 @@ export const isolatedPerpetualMarket2: PerpetualMarketCreateObject = {
   liquidityTierId: 0,
   marketType: PerpetualMarketType.ISOLATED,
   baseOpenInterest: '100000',
+  defaultFundingRate1H: '0.0001',
 };
 
 // ============== Orders ==============

diff --git a/...postgres/src/db/migrations/migration_files/20250107145033_default_1hr_funding_for_perp.ts b/...postgres/src/db/migrations/migration_files/20250107145033_default_1hr_funding_for_perp.ts
@@ -0,0 +1,13 @@
+import * as Knex from 'knex';
+
+export async function up(knex: Knex): Promise<void> {
+  await knex.schema.alterTable('perpetual_markets', (table) => {
+    table.decimal('defaultFundingRate1H', null).defaultTo(0);
+  });
+}
+
+export async function down(knex: Knex): Promise<void> {
+  await knex.schema.alterTable('perpetual_markets', (table) => {
+    table.dropColumn('defaultFundingRate1H');
+  });
+}
diff --git a/indexer/packages/postgres/src/models/perpetual-market-model.ts b/indexer/packages/postgres/src/models/perpetual-market-model.ts
@@ -86,6 +86,7 @@ export default class PerpetualMarketModel extends Model {
         liquidityTierId: { type: 'integer' },
         marketType: { type: 'string' },
         baseOpenInterest: { type: 'string', pattern: NumericPattern },
+        defaultFundingRate1H: { type: 'string', pattern: NumericPattern },
       },
     };
   }
@@ -115,6 +116,7 @@ export default class PerpetualMarketModel extends Model {
       liquidityTierId: 'integer',
       marketType: 'string',
       baseOpenInterest: 'string',
+      defaultFundingRate1H: 'string',
     };
   }
 
@@ -151,4 +153,6 @@ export default class PerpetualMarketModel extends Model {
   marketType!: PerpetualMarketType;
 
   baseOpenInterest!: string;
+
+  defaultFundingRate1H!: string;
 }
diff --git a/indexer/packages/postgres/src/types/db-model-types.ts b/indexer/packages/postgres/src/types/db-model-types.ts
@@ -95,6 +95,7 @@ export interface PerpetualMarketFromDatabase {
   liquidityTierId: number,
   marketType: PerpetualMarketType,
   baseOpenInterest: string,
+  defaultFundingRate1H: string,
 }
 
 export interface FillFromDatabase {

diff --git a/indexer/packages/postgres/src/types/perpetual-market-types.ts b/indexer/packages/postgres/src/types/perpetual-market-types.ts
@@ -18,6 +18,7 @@ export interface PerpetualMarketCreateObject {
   liquidityTierId: number,
   marketType: PerpetualMarketType,
   baseOpenInterest: string,
+  defaultFundingRate1H: string,
 }
 
 export interface PerpetualMarketUpdateObject {
@@ -54,6 +55,7 @@ export enum PerpetualMarketColumns {
   subticksPerTick = 'subticksPerTick',
   stepBaseQuantums = 'stepBaseQuantums',
   liquidityTierId = 'liquidityTierId',
+  defaultFundingRate1H = 'defaultFundingRate1H',
 }
 
 export enum PerpetualMarketStatus {

diff --git a/indexer/packages/postgres/src/types/websocket-message-types.ts b/indexer/packages/postgres/src/types/websocket-message-types.ts
@@ -217,6 +217,7 @@ export interface TradingPerpetualMarketMessage {
   openInterestLowerCap?: string,
   openInterestUpperCap?: string,
   baseOpenInterest?: string,
+  defaultFundingRate1H?: string,
 
   // Fields that are likely to change
   priceChange24H?: string,

diff --git a/indexer/packages/v4-protos/src/codegen/dydxprotocol/indexer/events/events.ts b/indexer/packages/v4-protos/src/codegen/dydxprotocol/indexer/events/events.ts
@@ -1028,6 +1028,12 @@ export interface PerpetualMarketCreateEventV2 {
   /** Market type of the perpetual. */
 
   marketType: PerpetualMarketType;
+  /**
+   * Since: v8.x
+   * Default 8hr funding rate in parts-per-million.
+   */
+
+  defaultFunding8hrPpm: number;
 }
 /**
  * PerpetualMarketCreateEventV2 message contains all the information about a
@@ -1101,6 +1107,12 @@ export interface PerpetualMarketCreateEventV2SDKType {
   /** Market type of the perpetual. */
 
   market_type: PerpetualMarketTypeSDKType;
+  /**
+   * Since: v8.x
+   * Default 8hr funding rate in parts-per-million.
+   */
+
+  default_funding8hr_ppm: number;
 }
 /**
  * LiquidityTierUpsertEventV1 message contains all the information to
@@ -1373,6 +1385,12 @@ export interface UpdatePerpetualEventV2 {
   /** Market type of the perpetual. */
 
   marketType: PerpetualMarketType;
+  /**
+   * Since: v8.x
+   * Default 8hr funding rate in parts-per-million.
+   */
+
+  defaultFunding8hrPpm: number;
 }
 /**
  * UpdatePerpetualEventV2 message contains all the information about an update
@@ -1415,6 +1433,12 @@ export interface UpdatePerpetualEventV2SDKType {
   /** Market type of the perpetual. */
 
   market_type: PerpetualMarketTypeSDKType;
+  /**
+   * Since: v8.x
+   * Default 8hr funding rate in parts-per-million.
+   */
+
+  default_funding8hr_ppm: number;
 }
 /**
  * TradingRewardsEventV1 is communicates all trading rewards for all accounts
@@ -3189,7 +3213,8 @@ function createBasePerpetualMarketCreateEventV2(): PerpetualMarketCreateEventV2
     subticksPerTick: 0,
     stepBaseQuantums: Long.UZERO,
     liquidityTier: 0,
-    marketType: 0
+    marketType: 0,
+    defaultFunding8hrPpm: 0
   };
 }
 
@@ -3239,6 +3264,10 @@ export const PerpetualMarketCreateEventV2 = {
       writer.uint32(88).int32(message.marketType);
     }
 
+    if (message.defaultFunding8hrPpm !== 0) {
+      writer.uint32(96).int32(message.defaultFunding8hrPpm);
+    }
+
     return writer;
   },
 
@@ -3295,6 +3324,10 @@ export const PerpetualMarketCreateEventV2 = {
           message.marketType = (reader.int32() as any);
           break;
 
+        case 12:
+          message.defaultFunding8hrPpm = reader.int32();
+          break;
+
         default:
           reader.skipType(tag & 7);
           break;
@@ -3317,6 +3350,7 @@ export const PerpetualMarketCreateEventV2 = {
     message.stepBaseQuantums = object.stepBaseQuantums !== undefined && object.stepBaseQuantums !== null ? Long.fromValue(object.stepBaseQuantums) : Long.UZERO;
     message.liquidityTier = object.liquidityTier ?? 0;
     message.marketType = object.marketType ?? 0;
+    message.defaultFunding8hrPpm = object.defaultFunding8hrPpm ?? 0;
     return message;
   }
 
@@ -3584,7 +3618,8 @@ function createBaseUpdatePerpetualEventV2(): UpdatePerpetualEventV2 {
     marketId: 0,
     atomicResolution: 0,
     liquidityTier: 0,
-    marketType: 0
+    marketType: 0,
+    defaultFunding8hrPpm: 0
   };
 }
 
@@ -3614,6 +3649,10 @@ export const UpdatePerpetualEventV2 = {
       writer.uint32(48).int32(message.marketType);
     }
 
+    if (message.defaultFunding8hrPpm !== 0) {
+      writer.uint32(56).int32(message.defaultFunding8hrPpm);
+    }
+
     return writer;
   },
 
@@ -3650,6 +3689,10 @@ export const UpdatePerpetualEventV2 = {
           message.marketType = (reader.int32() as any);
           break;
 
+        case 7:
+          message.defaultFunding8hrPpm = reader.int32();
+          break;
+
         default:
           reader.skipType(tag & 7);
           break;
@@ -3667,6 +3710,7 @@ export const UpdatePerpetualEventV2 = {
     message.atomicResolution = object.atomicResolution ?? 0;
     message.liquidityTier = object.liquidityTier ?? 0;
     message.marketType = object.marketType ?? 0;
+    message.defaultFunding8hrPpm = object.defaultFunding8hrPpm ?? 0;
     return message;
   }
 

diff --git a/indexer/packages/v4-protos/src/codegen/dydxprotocol/perpetuals/perpetual.ts b/indexer/packages/v4-protos/src/codegen/dydxprotocol/perpetuals/perpetual.ts
@@ -115,7 +115,7 @@ export interface PerpetualParams {
 
   atomicResolution: number;
   /**
-   * The default funding payment if there is no price premium. In
+   * The default (8hr) funding payment if there is no price premium. In
    * parts-per-million.
    */
 
@@ -154,7 +154,7 @@ export interface PerpetualParamsSDKType {
 
   atomic_resolution: number;
   /**
-   * The default funding payment if there is no price premium. In
+   * The default (8hr) funding payment if there is no price premium. In
    * parts-per-million.
    */
 

diff --git a/indexer/services/comlink/src/request-helpers/request-transformer.ts b/indexer/services/comlink/src/request-helpers/request-transformer.ts
@@ -389,6 +389,7 @@ export function perpetualMarketToResponseObject(
     openInterestLowerCap: liquidityTier.openInterestLowerCap,
     openInterestUpperCap: liquidityTier.openInterestUpperCap,
     baseOpenInterest: perpetualMarket.baseOpenInterest,
+    defaultFundingRate1H: perpetualMarket.defaultFundingRate1H,
   };
 }
 

diff --git a/indexer/services/comlink/src/types.ts b/indexer/services/comlink/src/types.ts
@@ -352,6 +352,7 @@ export interface PerpetualMarketResponseObject {
   openInterestLowerCap?: string,
   openInterestUpperCap?: string,
   baseOpenInterest: string,
+  defaultFundingRate1H: string,
 }
 
 /* ------- ORDERBOOK TYPES ------- */

diff --git a/indexer/services/ender/src/helpers/kafka-helper.ts b/indexer/services/ender/src/helpers/kafka-helper.ts
@@ -347,6 +347,7 @@ export function generatePerpetualMarketMessage(
         nextFundingRate: perpetualMarket.nextFundingRate,
         openInterest: perpetualMarket.openInterest,
         baseOpenInterest: perpetualMarket.baseOpenInterest,
+        defaultFundingRate1H: perpetualMarket.defaultFundingRate1H,
       };
     })
     .value();

diff --git a/indexer/services/ender/src/scripts/handlers/dydx_perpetual_market_v2_handler.sql b/indexer/services/ender/src/scripts/handlers/dydx_perpetual_market_v2_handler.sql
@@ -9,6 +9,8 @@ CREATE OR REPLACE FUNCTION dydx_perpetual_market_v2_handler(event_data jsonb) RE
   (Note that no text should exist before the function declaration to ensure that exception line numbers are correct.)
 */
 DECLARE
+    PPM_EXPONENT constant numeric = -6;
+    FUNDING_RATE_FROM_PROTOCOL_IN_HOURS constant numeric = 8;
     perpetual_market_record perpetual_markets%ROWTYPE;
 BEGIN
     perpetual_market_record."id" = (event_data->'id')::bigint;
@@ -28,6 +30,16 @@ BEGIN
     perpetual_market_record."liquidityTierId" = (event_data->'liquidityTier')::integer;
     perpetual_market_record."marketType" = dydx_protocol_market_type_to_perpetual_market_type(event_data->'marketType');
     perpetual_market_record."baseOpenInterest" = 0;
+    perpetual_market_record."defaultFundingRate1H" = 
+      /* For backwards compatibility, handle the case where defaultFundingPpm is not present */
+      CASE 
+          /* Convert defaultFundingPpm from parts-per-million to a rate */
+          WHEN event_data ? 'defaultFunding8hrPpm' THEN dydx_trim_scale(
+            power(10, PPM_EXPONENT) /
+            FUNDING_RATE_FROM_PROTOCOL_IN_HOURS *
+            (event_data->'defaultFunding8hrPpm')::numeric);
+          ELSE 0.0
+      END;
 
     INSERT INTO perpetual_markets VALUES (perpetual_market_record.*) RETURNING * INTO perpetual_market_record;
 

diff --git a/indexer/services/ender/src/scripts/handlers/dydx_update_perpetual_v2_handler.sql b/indexer/services/ender/src/scripts/handlers/dydx_update_perpetual_v2_handler.sql
@@ -9,6 +9,8 @@ CREATE OR REPLACE FUNCTION dydx_update_perpetual_v2_handler(event_data jsonb) RE
   (Note that no text should exist before the function declaration to ensure that exception line numbers are correct.)
 */
 DECLARE
+    PPM_EXPONENT constant numeric = -6;
+    FUNDING_RATE_FROM_PROTOCOL_IN_HOURS constant numeric = 8;
     perpetual_market_id bigint;
     perpetual_market_record perpetual_markets%ROWTYPE;
 BEGIN
@@ -18,14 +20,24 @@ BEGIN
     perpetual_market_record."atomicResolution" = (event_data->'atomicResolution')::integer;
     perpetual_market_record."liquidityTierId" = (event_data->'liquidityTier')::integer;
     perpetual_market_record."marketType" = dydx_protocol_market_type_to_perpetual_market_type(event_data->'marketType');
-
+    perpetual_market_record."defaultFundingRate1H" = 
+      /* For backwards compatibility, handle the case where defaultFundingPpm is not present */
+      CASE 
+          /* Convert defaultFundingPpm from parts-per-million to a rate */
+          WHEN event_data ? 'defaultFunding8hrPpm' THEN dydx_trim_scale(
+            power(10, PPM_EXPONENT) /
+            FUNDING_RATE_FROM_PROTOCOL_IN_HOURS *
+            (event_data->'defaultFunding8hrPpm')::numeric);
+          ELSE 0.0
+      END;
     UPDATE perpetual_markets
     SET
         "ticker" = perpetual_market_record."ticker",
         "marketId" = perpetual_market_record."marketId",
         "atomicResolution" = perpetual_market_record."atomicResolution",
         "liquidityTierId" = perpetual_market_record."liquidityTierId",
-        "marketType" = perpetual_market_record."marketType"
+        "marketType" = perpetual_market_record."marketType",
+        "defaultFundingRate1H" = perpetual_market_record."defaultFundingRate1H"
     WHERE "id" = perpetual_market_id
     RETURNING * INTO perpetual_market_record;
 

diff --git a/indexer/services/roundtable/__tests__/helpers/pnl-ticks-helper.test.ts b/indexer/services/roundtable/__tests__/helpers/pnl-ticks-helper.test.ts
@@ -382,6 +382,7 @@ describe('pnl-ticks-helper', () => {
       liquidityTierId: 0,
       marketType: PerpetualMarketType.ISOLATED,
       baseOpenInterest: '100000',
+      defaultFundingRate1H: '0.0001',
     });
     await perpetualMarketRefresher.updatePerpetualMarkets();
     const positions2: PerpetualPositionFromDatabase[] = [

diff --git a/indexer/services/roundtable/src/lib/athena-ddl-tables/perpetual_markets.ts b/indexer/services/roundtable/src/lib/athena-ddl-tables/perpetual_markets.ts
@@ -22,7 +22,8 @@ const RAW_TABLE_COLUMNS: string = `
   \`stepBaseQuantums\` int,
   \`liquidityTierId\` int,
   \`marketType\` string,
-  \`baseOpenInterest\` string
+  \`baseOpenInterest\` string,
+  \`defaultFundingRate1H\` string
 `;
 const TABLE_COLUMNS: string = `
   "id",
@@ -41,7 +42,8 @@ const TABLE_COLUMNS: string = `
   "stepBaseQuantums",
   "liquidityTierId",
   "marketType",
-  ${castToDouble('baseOpenInterest')}
+  ${castToDouble('baseOpenInterest')},
+  ${castToDouble('defaultFundingRate1H')}
 `;
 
 export function generateRawTable(tablePrefix: string, rdsExportIdentifier: string): string {

diff --git a/proto/dydxprotocol/indexer/events/events.proto b/proto/dydxprotocol/indexer/events/events.proto
@@ -423,6 +423,10 @@ message PerpetualMarketCreateEventV2 {
 
   // Market type of the perpetual.
   dydxprotocol.indexer.protocol.v1.PerpetualMarketType market_type = 11;
+
+  // Since: v8.x
+  // Default 8hr funding rate in parts-per-million.
+  int32 default_funding8hr_ppm = 12;
 }
 
 // LiquidityTierUpsertEventV1 message contains all the information to
@@ -542,6 +546,10 @@ message UpdatePerpetualEventV2 {
 
   // Market type of the perpetual.
   dydxprotocol.indexer.protocol.v1.PerpetualMarketType market_type = 6;
+
+  // Since: v8.x
+  // Default 8hr funding rate in parts-per-million.
+  int32 default_funding8hr_ppm = 7;
 }
 
 // TradingRewardsEventV1 is communicates all trading rewards for all accounts