[CT-1326] send price updates after block is finalized (#2611)

protocol/app/app.go

@@ -1010,6 +1010,7 @@ func New(
 		},
 		app.RevShareKeeper,
 		&app.MarketMapKeeper,
+		app.FullNodeStreamingManager,
 	)
 	pricesModule := pricesmodule.NewAppModule(
 		appCodec,

protocol/lib/metrics/metric_keys.go

@@ -74,6 +74,7 @@ const (
 	GrpcSendOrderbookUpdatesLatency               = "grpc_send_orderbook_updates_latency"
 	GrpcSendOrderbookSnapshotLatency              = "grpc_send_orderbook_snapshot_latency"
 	GrpcSendSubaccountUpdateCount                 = "grpc_send_subaccount_update_count"
+	GrpcSendPriceUpdateCount                      = "grpc_send_price_update_count"
 	GrpcSendOrderbookFillsLatency                 = "grpc_send_orderbook_fills_latency"
 	GrpcAddUpdateToBufferCount                    = "grpc_add_update_to_buffer_count"
 	GrpcAddToSubscriptionChannelCount             = "grpc_add_to_subscription_channel_count"

protocol/streaming/full_node_streaming_manager.go

@@ -197,7 +197,7 @@ func (sm *FullNodeStreamingManagerImpl) Subscribe(
 	err error,
 ) {
 	// Perform some basic validation on the request.
-	if len(clobPairIds) == 0 && len(subaccountIds) == 0 {
+	if len(clobPairIds) == 0 && len(subaccountIds) == 0 && len(marketIds) == 0 {
 		return types.ErrInvalidStreamingRequest
 	}
 
@@ -493,6 +493,33 @@ func (sm *FullNodeStreamingManagerImpl) SendSubaccountUpdate(
 	)
 }
 
+// SendPriceUpdates sends price updates to the subscribers.
+func (sm *FullNodeStreamingManagerImpl) SendPriceUpdate(
+	ctx sdk.Context,
+	priceUpdate pricestypes.StreamPriceUpdate,
+) {
+	if !lib.IsDeliverTxMode(ctx) {
+		// If not `DeliverTx`, return since there is no optimistic price updates.
+		return
+	}
+
+	metrics.IncrCounter(
+		metrics.GrpcSendPriceUpdateCount,
+		1,
+	)
+
+	// If `DeliverTx`, updates should be staged to be streamed after consensus finalizes on a block.
+	stagedEvent := clobtypes.StagedFinalizeBlockEvent{
+		Event: &clobtypes.StagedFinalizeBlockEvent_PriceUpdate{
+			PriceUpdate: &priceUpdate,
+		},
+	}
+	sm.finalizeBlockStager.StageFinalizeBlockEvent(
+		ctx,
+		&stagedEvent,
+	)
+}
+
 // Retrieve all events staged during `FinalizeBlock`.
 func (sm *FullNodeStreamingManagerImpl) GetStagedFinalizeBlockEvents(
 	ctx sdk.Context,
@@ -545,6 +572,14 @@ func (sm *FullNodeStreamingManagerImpl) TracksSubaccountId(subaccountId satypes.
 	return exists
 }
 
+// TracksMarketId checks if a market id is being tracked by the streaming manager.
+func (sm *FullNodeStreamingManagerImpl) TracksMarketId(marketId uint32) bool {
+	sm.Lock()
+	defer sm.Unlock()
+	_, exists := sm.marketIdToSubscriptionIdMapping[marketId]
+	return exists
+}
+
 func getStreamUpdatesFromOffchainUpdates(
 	v1updates []ocutypes.OffChainUpdateV1,
 	blockHeight uint32,
@@ -773,6 +808,31 @@ func getStreamUpdatesForSubaccountUpdates(
 	return streamUpdates, subaccountIds
 }
 
+func getStreamUpdatesForPriceUpdates(
+	priceUpdates []pricestypes.StreamPriceUpdate,
+	blockHeight uint32,
+	execMode sdk.ExecMode,
+) (
+	streamUpdates []clobtypes.StreamUpdate,
+	marketIds []uint32,
+) {
+	// Group subaccount updates by subaccount id.
+	streamUpdates = make([]clobtypes.StreamUpdate, 0)
+	marketIds = make([]uint32, 0)
+	for _, priceUpdate := range priceUpdates {
+		streamUpdate := clobtypes.StreamUpdate{
+			UpdateMessage: &clobtypes.StreamUpdate_PriceUpdate{
+				PriceUpdate: &priceUpdate,
+			},
+			BlockHeight: blockHeight,
+			ExecMode:    uint32(execMode),
+		}
+		streamUpdates = append(streamUpdates, streamUpdate)
+		marketIds = append(marketIds, priceUpdate.MarketId)
+	}
+	return streamUpdates, marketIds
+}
+
 // AddOrderUpdatesToCache adds a series of updates to the full node streaming cache.
 // Clob pair ids are the clob pair id each update is relevant to.
 func (sm *FullNodeStreamingManagerImpl) AddOrderUpdatesToCache(
@@ -976,6 +1036,27 @@ func (sm *FullNodeStreamingManagerImpl) cacheStreamUpdatesBySubaccountWithLock(
 	}
 }
 
+// cacheStreamUpdatesByMarketIdWithLock adds stream updates to cache,
+// and store corresponding market ids.
+// This method requires the lock and assumes that the lock has already been
+// acquired by the caller.
+func (sm *FullNodeStreamingManagerImpl) cacheStreamUpdatesByMarketIdWithLock(
+	streamUpdates []clobtypes.StreamUpdate,
+	marketIds []uint32,
+) {
+	if len(streamUpdates) != len(marketIds) {
+		sm.logger.Error("Mismatch between stream updates and market IDs lengths")
+		return
+	}
+	sm.streamUpdateCache = append(sm.streamUpdateCache, streamUpdates...)
+	for _, marketId := range marketIds {
+		sm.streamUpdateSubscriptionCache = append(
+			sm.streamUpdateSubscriptionCache,
+			sm.marketIdToSubscriptionIdMapping[marketId],
+		)
+	}
+}
+
 // Grpc Streaming logic after consensus agrees on a block.
 // - Stream all events staged during `FinalizeBlock`.
 // - Stream orderbook updates to sync fills in local ops queue.
@@ -989,7 +1070,8 @@ func (sm *FullNodeStreamingManagerImpl) StreamBatchUpdatesAfterFinalizeBlock(
 
 	finalizedFills,
 		finalizedSubaccountUpdates,
-		finalizedOrderbookUpdates := sm.getStagedEventsFromFinalizeBlock(ctx)
+		finalizedOrderbookUpdates,
+		finalizedPriceUpdates := sm.getStagedEventsFromFinalizeBlock(ctx)
 
 	sm.Lock()
 	defer sm.Unlock()
@@ -1032,6 +1114,14 @@ func (sm *FullNodeStreamingManagerImpl) StreamBatchUpdatesAfterFinalizeBlock(
 	)
 	sm.cacheStreamUpdatesBySubaccountWithLock(subaccountStreamUpdates, subaccountIds)
 
+	// Finally, cache updates for finalized subaccount updates
+	priceStreamUpdates, marketIds := getStreamUpdatesForPriceUpdates(
+		finalizedPriceUpdates,
+		lib.MustConvertIntegerToUint32(ctx.BlockHeight()),
+		ctx.ExecMode(),
+	)
+	sm.cacheStreamUpdatesByMarketIdWithLock(priceStreamUpdates, marketIds)
+
 	// Emit all stream updates in a single batch.
 	// Note we still have the lock, which is released right before function returns.
 	sm.FlushStreamUpdatesWithLock()
@@ -1045,6 +1135,7 @@ func (sm *FullNodeStreamingManagerImpl) getStagedEventsFromFinalizeBlock(
 	finalizedFills []clobtypes.StreamOrderbookFill,
 	finalizedSubaccountUpdates []satypes.StreamSubaccountUpdate,
 	finalizedOrderbookUpdates []clobtypes.StreamOrderbookUpdate,
+	finalizedPriceUpdates []pricestypes.StreamPriceUpdate,
 ) {
 	// Get onchain stream events stored in transient store.
 	stagedEvents := sm.GetStagedFinalizeBlockEvents(ctx)
@@ -1062,6 +1153,8 @@ func (sm *FullNodeStreamingManagerImpl) getStagedEventsFromFinalizeBlock(
 			finalizedSubaccountUpdates = append(finalizedSubaccountUpdates, *event.SubaccountUpdate)
 		case *clobtypes.StagedFinalizeBlockEvent_OrderbookUpdate:
 			finalizedOrderbookUpdates = append(finalizedOrderbookUpdates, *event.OrderbookUpdate)
+		case *clobtypes.StagedFinalizeBlockEvent_PriceUpdate:
+			finalizedPriceUpdates = append(finalizedPriceUpdates, *event.PriceUpdate)
 		default:
 			panic(fmt.Sprintf("Unhandled staged event type: %v\n", stagedEvent.Event))
 		}
@@ -1076,7 +1169,7 @@ func (sm *FullNodeStreamingManagerImpl) getStagedEventsFromFinalizeBlock(
 		float32(len(finalizedFills)),
 	)
 
-	return finalizedFills, finalizedSubaccountUpdates, finalizedOrderbookUpdates
+	return finalizedFills, finalizedSubaccountUpdates, finalizedOrderbookUpdates, finalizedPriceUpdates
 }
 
 func (sm *FullNodeStreamingManagerImpl) InitializeNewStreams(

protocol/streaming/noop_streaming_manager.go

@@ -54,6 +54,10 @@ func (sm *NoopGrpcStreamingManager) TracksSubaccountId(id satypes.SubaccountId)
 	return false
 }
 
+func (sm *NoopGrpcStreamingManager) TracksMarketId(id uint32) bool {
+	return false
+}
+
 func (sm *NoopGrpcStreamingManager) GetSubaccountSnapshotsForInitStreams(
 	getSubaccountSnapshot func(subaccountId satypes.SubaccountId) *satypes.StreamSubaccountUpdate,
 ) map[satypes.SubaccountId]*satypes.StreamSubaccountUpdate {
@@ -90,6 +94,12 @@ func (sm *NoopGrpcStreamingManager) SendSubaccountUpdate(
 ) {
 }
 
+func (sm *NoopGrpcStreamingManager) SendPriceUpdate(
+	ctx sdk.Context,
+	priceUpdate pricestypes.StreamPriceUpdate,
+) {
+}
+
 func (sm *NoopGrpcStreamingManager) StreamBatchUpdatesAfterFinalizeBlock(
 	ctx sdk.Context,
 	orderBookUpdatesToSyncLocalOpsQueue *clobtypes.OffchainUpdates,

protocol/streaming/types/interface.go

@@ -52,10 +52,15 @@ type FullNodeStreamingManager interface {
 		ctx sdk.Context,
 		subaccountUpdate satypes.StreamSubaccountUpdate,
 	)
+	SendPriceUpdate(
+		ctx sdk.Context,
+		priceUpdate pricestypes.StreamPriceUpdate,
+	)
 	GetStagedFinalizeBlockEvents(
 		ctx sdk.Context,
 	) []clobtypes.StagedFinalizeBlockEvent
 	TracksSubaccountId(id satypes.SubaccountId) bool
+	TracksMarketId(marketId uint32) bool
 	StreamBatchUpdatesAfterFinalizeBlock(
 		ctx sdk.Context,
 		orderBookUpdatesToSyncLocalOpsQueue *clobtypes.OffchainUpdates,

protocol/testutil/keeper/prices.go

@@ -4,6 +4,7 @@ import (
 	"fmt"
 	"testing"
 
+	streaming "github.com/dydxprotocol/v4-chain/protocol/streaming"
 	revsharetypes "github.com/dydxprotocol/v4-chain/protocol/x/revshare/types"
 
 	"github.com/cosmos/gogoproto/proto"
@@ -124,6 +125,7 @@ func createPricesKeeper(
 		},
 		revShareKeeper,
 		marketMapKeeper,
+		streaming.NewNoopGrpcStreamingManager(),
 	)
 
 	return k, storeKey, indexPriceCache, mockTimeProvider

protocol/x/prices/keeper/keeper.go

@@ -11,6 +11,7 @@ import (
 	"github.com/dydxprotocol/v4-chain/protocol/indexer/indexer_manager"
 	"github.com/dydxprotocol/v4-chain/protocol/lib"
 	libtime "github.com/dydxprotocol/v4-chain/protocol/lib/time"
+	streamingtypes "github.com/dydxprotocol/v4-chain/protocol/streaming/types"
 	"github.com/dydxprotocol/v4-chain/protocol/x/prices/types"
 )
 
@@ -24,6 +25,8 @@ type (
 		authorities         map[string]struct{}
 		RevShareKeeper      types.RevShareKeeper
 		MarketMapKeeper     types.MarketMapKeeper
+
+		streamingManager streamingtypes.FullNodeStreamingManager
 	}
 )
 
@@ -38,6 +41,7 @@ func NewKeeper(
 	authorities []string,
 	revShareKeeper types.RevShareKeeper,
 	marketMapKeeper types.MarketMapKeeper,
+	streamingManager streamingtypes.FullNodeStreamingManager,
 ) *Keeper {
 	return &Keeper{
 		cdc:                 cdc,
@@ -48,6 +52,7 @@ func NewKeeper(
 		authorities:         lib.UniqueSliceToSet(authorities),
 		RevShareKeeper:      revShareKeeper,
 		MarketMapKeeper:     marketMapKeeper,
+		streamingManager:    streamingManager,
 	}
 }
 
@@ -66,3 +71,7 @@ func (k Keeper) HasAuthority(authority string) bool {
 	_, ok := k.authorities[authority]
 	return ok
 }
+
+func (k Keeper) GetFullNodeStreamingManager() streamingtypes.FullNodeStreamingManager {
+	return k.streamingManager
+}

protocol/x/prices/keeper/market_price.go

@@ -96,6 +96,20 @@ func (k Keeper) UpdateMarketPrices(
 				pricefeedmetrics.GetLabelForMarketId(marketPrice.Id),
 			},
 		)
+
+		// If GRPC streaming is on, emit a price update to stream.
+		if k.GetFullNodeStreamingManager().Enabled() {
+			if k.GetFullNodeStreamingManager().TracksMarketId(marketPrice.Id) {
+				k.GetFullNodeStreamingManager().SendPriceUpdate(
+					ctx,
+					types.StreamPriceUpdate{
+						MarketId: marketPrice.Id,
+						Price:    marketPrice,
+						Snapshot: false,
+					},
+				)
+			}
+		}
 	}
 
 	// Generate indexer events.