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Improve vault endpoint performance. (#2475)
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@vincentwschau
vincentwschau authored Oct 14, 2024
1 parent 4dfde85 commit bee57fe
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Showing 3 changed files with 164 additions and 44 deletions.
34 changes: 34 additions & 0 deletions indexer/packages/postgres/__tests__/stores/funding-index-updates-table.test.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -242,4 +242,38 @@ describe('funding index update store', () => {
expect(fundingIndexMap[defaultPerpetualMarket2.id]).toEqual(Big(0));
},
);

it('Successfully finds funding index maps for multiple effectiveBeforeOrAtHeights', async () => {
const fundingIndexUpdates2: FundingIndexUpdatesCreateObject = {
...defaultFundingIndexUpdate,
fundingIndex: '124',
effectiveAtHeight: updatedHeight,
effectiveAt: '1982-05-25T00:00:00.000Z',
eventId: defaultTendermintEventId2,
};
const fundingIndexUpdates3: FundingIndexUpdatesCreateObject = {
...defaultFundingIndexUpdate,
eventId: defaultTendermintEventId3,
perpetualId: defaultPerpetualMarket2.id,
};
await Promise.all([
FundingIndexUpdatesTable.create(defaultFundingIndexUpdate),
FundingIndexUpdatesTable.create(fundingIndexUpdates2),
FundingIndexUpdatesTable.create(fundingIndexUpdates3),
]);

const fundingIndexMaps: {[blockHeight:string]: FundingIndexMap} = await FundingIndexUpdatesTable
.findFundingIndexMaps(
['3', '6'],
);

expect(fundingIndexMaps['3'][defaultFundingIndexUpdate.perpetualId])
.toEqual(Big(defaultFundingIndexUpdate.fundingIndex));
expect(fundingIndexMaps['3'][fundingIndexUpdates3.perpetualId])
.toEqual(Big(fundingIndexUpdates3.fundingIndex));
expect(fundingIndexMaps['6'][defaultFundingIndexUpdate.perpetualId])
.toEqual(Big(fundingIndexUpdates2.fundingIndex));
expect(fundingIndexMaps['6'][fundingIndexUpdates3.perpetualId])
.toEqual(Big(fundingIndexUpdates3.fundingIndex));
});
});
75 changes: 73 additions & 2 deletions indexer/packages/postgres/src/stores/funding-index-updates-table.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -3,6 +3,7 @@ import _ from 'lodash';
import { QueryBuilder } from 'objection';

import { BUFFER_ENCODING_UTF_8, DEFAULT_POSTGRES_OPTIONS } from '../constants';
import { knexReadReplica } from '../helpers/knex';
import { setupBaseQuery, verifyAllRequiredFields } from '../helpers/stores-helpers';
import Transaction from '../helpers/transaction';
import { getUuid } from '../helpers/uuid';
Expand All @@ -21,6 +22,14 @@ import {
} from '../types';
import * as PerpetualMarketTable from './perpetual-market-table';

// Assuming block time of 1 second, this should be 4 hours of blocks
const FOUR_HOUR_OF_BLOCKS = Big(3600).times(4);
// Type used for querying for funding index maps for multiple effective heights.
interface FundingIndexUpdatesFromDatabaseWithSearchHeight extends FundingIndexUpdatesFromDatabase {
// max effective height being queried for
searchHeight: string,
}

export function uuid(
blockHeight: string,
eventId: Buffer,
Expand Down Expand Up @@ -193,8 +202,6 @@ export async function findFundingIndexMap(
options,
);

// Assuming block time of 1 second, this should be 4 hours of blocks
const FOUR_HOUR_OF_BLOCKS = Big(3600).times(4);
const fundingIndexUpdates: FundingIndexUpdatesFromDatabase[] = await baseQuery
.distinctOn(FundingIndexUpdatesColumns.perpetualId)
.where(FundingIndexUpdatesColumns.effectiveAtHeight, '<=', effectiveBeforeOrAtHeight)
Expand All @@ -216,3 +223,67 @@ export async function findFundingIndexMap(
initialFundingIndexMap,
);
}

/**
* Finds funding index maps for multiple effective before or at heights. Uses a SQL query unnesting
* an array of effective before or at heights and cross-joining with the funding index updates table
* to find the closest funding index update per effective before or at height.
* @param effectiveBeforeOrAtHeights Heights to get funding index maps for.
* @param options
* @returns Object mapping block heights to the respective funding index maps.
*/
export async function findFundingIndexMaps(
effectiveBeforeOrAtHeights: string[],
options: Options = DEFAULT_POSTGRES_OPTIONS,
): Promise<{[blockHeight: string]: FundingIndexMap}> {
const heightNumbers: number[] = effectiveBeforeOrAtHeights
.map((height: string):number => parseInt(height, 10))
.filter((parsedHeight: number): boolean => { return !Number.isNaN(parsedHeight); })
.sort();
// Get the min height to limit the search to blocks 4 hours or before the min height.
const minHeight: number = heightNumbers[0];

const result: {
rows: FundingIndexUpdatesFromDatabaseWithSearchHeight[],
} = await knexReadReplica.getConnection().raw(
`
SELECT
DISTINCT ON ("perpetualId", "searchHeight") "perpetualId", "searchHeight",
"funding_index_updates".*
FROM
"funding_index_updates",
unnest(ARRAY[${heightNumbers.join(',')}]) AS "searchHeight"
WHERE
"effectiveAtHeight" > ${Big(minHeight).minus(FOUR_HOUR_OF_BLOCKS).toFixed()} AND
"effectiveAtHeight" <= "searchHeight"
ORDER BY
"perpetualId",
"searchHeight",
"effectiveAtHeight" DESC
`,
) as unknown as {
rows: FundingIndexUpdatesFromDatabaseWithSearchHeight[],
};

const perpetualMarkets: PerpetualMarketFromDatabase[] = await PerpetualMarketTable.findAll(
{},
[],
options,
);

const fundingIndexMaps:{[blockHeight: string]: FundingIndexMap} = {};
for (const height of effectiveBeforeOrAtHeights) {
fundingIndexMaps[height] = _.reduce(perpetualMarkets,
(acc: FundingIndexMap, perpetualMarket: PerpetualMarketFromDatabase): FundingIndexMap => {
acc[perpetualMarket.id] = Big(0);
return acc;
},
{},
);
}
for (const funding of result.rows) {
fundingIndexMaps[funding.searchHeight][funding.perpetualId] = Big(funding.fundingIndex);
}

return fundingIndexMaps;
}
99 changes: 57 additions & 42 deletions indexer/services/comlink/src/controllers/api/v4/vault-controller.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -375,10 +375,23 @@ async function getVaultPositions(
BlockTable.getLatest(),
]);

const latestFundingIndexMap: FundingIndexMap = await FundingIndexUpdatesTable
.findFundingIndexMap(
latestBlock.blockHeight,
);
const updatedAtHeights: string[] = _(subaccounts).map('updatedAtHeight').uniq().value();
const [
latestFundingIndexMap,
fundingIndexMaps,
]: [
FundingIndexMap,
{[blockHeight: string]: FundingIndexMap}
] = await Promise.all([
FundingIndexUpdatesTable
.findFundingIndexMap(
latestBlock.blockHeight,
),
FundingIndexUpdatesTable
.findFundingIndexMaps(
updatedAtHeights,
),
]);
const assetPositionsBySubaccount:
{ [subaccountId: string]: AssetPositionFromDatabase[] } = _.groupBy(
assetPositions,
Expand All @@ -397,47 +410,49 @@ async function getVaultPositions(
const vaultPositionsAndSubaccountId: {
position: VaultPosition,
subaccountId: string,
}[] = await Promise.all(
subaccounts.map(async (subaccount: SubaccountFromDatabase) => {
const perpetualMarket: PerpetualMarketFromDatabase | undefined = perpetualMarketRefresher
.getPerpetualMarketFromClobPairId(vaultSubaccounts[subaccount.id]);
if (perpetualMarket === undefined) {
throw new Error(
`Vault clob pair id ${vaultSubaccounts[subaccount.id]} does not correspond to a ` +
}[] = subaccounts.map((subaccount: SubaccountFromDatabase) => {
const perpetualMarket: PerpetualMarketFromDatabase | undefined = perpetualMarketRefresher
.getPerpetualMarketFromClobPairId(vaultSubaccounts[subaccount.id]);
if (perpetualMarket === undefined) {
throw new Error(
`Vault clob pair id ${vaultSubaccounts[subaccount.id]} does not correspond to a ` +
'perpetual market.');
}
const lastUpdatedFundingIndexMap: FundingIndexMap = await FundingIndexUpdatesTable
.findFundingIndexMap(
subaccount.updatedAtHeight,
);

const subaccountResponse: SubaccountResponseObject = getSubaccountResponse(
subaccount,
openPerpetualPositionsBySubaccount[subaccount.id] || [],
assetPositionsBySubaccount[subaccount.id] || [],
assets,
markets,
perpetualMarketRefresher.getPerpetualMarketsMap(),
latestBlock.blockHeight,
latestFundingIndexMap,
lastUpdatedFundingIndexMap,
}
const lastUpdatedFundingIndexMap: FundingIndexMap = fundingIndexMaps[
subaccount.updatedAtHeight
];
if (lastUpdatedFundingIndexMap === undefined) {
throw new Error(
`No funding indices could be found for vault with subaccount ${subaccount.id}`,
);
}

return {
position: {
ticker: perpetualMarket.ticker,
assetPosition: subaccountResponse.assetPositions[
assetIdToAsset[USDC_ASSET_ID].symbol
],
perpetualPosition: subaccountResponse.openPerpetualPositions[
perpetualMarket.ticker
] || undefined,
equity: subaccountResponse.equity,
},
subaccountId: subaccount.id,
};
}),
);
const subaccountResponse: SubaccountResponseObject = getSubaccountResponse(
subaccount,
openPerpetualPositionsBySubaccount[subaccount.id] || [],
assetPositionsBySubaccount[subaccount.id] || [],
assets,
markets,
perpetualMarketRefresher.getPerpetualMarketsMap(),
latestBlock.blockHeight,
latestFundingIndexMap,
lastUpdatedFundingIndexMap,
);

return {
position: {
ticker: perpetualMarket.ticker,
assetPosition: subaccountResponse.assetPositions[
assetIdToAsset[USDC_ASSET_ID].symbol
],
perpetualPosition: subaccountResponse.openPerpetualPositions[
perpetualMarket.ticker
] || undefined,
equity: subaccountResponse.equity,
},
subaccountId: subaccount.id,
};
});

return new Map(vaultPositionsAndSubaccountId.map(
(obj: { position: VaultPosition, subaccountId: string }) : [string, VaultPosition] => {
Expand Down

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