Fix markets schema for dYdX (#2190)

nautechsystems · Jan 7, 2025 · 03d8086 · 03d8086
1 parent b810e77
commit 03d8086
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Showing 3 changed files with 60 additions and 3 deletions.
diff --git a/nautilus_trader/adapters/dydx/schemas/ws.py b/nautilus_trader/adapters/dydx/schemas/ws.py
@@ -845,9 +845,7 @@ class DYDXTradingPerpetualMarketMessage(msgspec.Struct, forbid_unknown_fields=Tr
     clobPairId: str | None = None
     ticker: str | None = None
     marketId: int | None = None
-    status: DYDXPerpetualMarketStatus | None = (
-        None  # 'ACTIVE', 'PAUSED', 'CANCEL_ONLY', 'POST_ONLY', or 'INITIALIZING'
-    )
+    status: DYDXPerpetualMarketStatus | None = None
     baseAsset: str | None = None
     quoteAsset: str | None = None
     initialMarginFraction: str | None = None
@@ -865,6 +863,11 @@ class DYDXTradingPerpetualMarketMessage(msgspec.Struct, forbid_unknown_fields=Tr
     trades24H: int | None = None
     nextFundingRate: str | None = None
     baseOpenInterest: str | None = None
+    marketType: str | None = None
+    openInterestLowerCap: str | None = None
+    openInterestUpperCap: str | None = None
+    tickSize: str | None = None
+    stepSize: str | None = None
 
 
 class DYDXMarketMessageContents(msgspec.Struct, forbid_unknown_fields=True):

diff --git a/tests/integration_tests/adapters/dydx/test_websocket_schema.py b/tests/integration_tests/adapters/dydx/test_websocket_schema.py
@@ -96,6 +96,7 @@
         "tests/test_data/dydx/websocket/v4_accounts_rewards.json",
         "tests/test_data/dydx/websocket/v4_accounts_fills.json",
         "tests/test_data/dydx/websocket/v4_markets_subscribed.json",
+        "tests/test_data/dydx/websocket/v4_markets_cross.json",
         "tests/test_data/dydx/websocket/v4_markets_channel_data.json",
         "tests/test_data/dydx/websocket/v4_block_height_subscribed.json",
         "tests/test_data/dydx/websocket/v4_block_height_channel_data.json",
@@ -198,6 +199,24 @@ def test_markets_channel_message() -> None:
     assert msg.contents.oraclePrices is not None
 
 
+def test_markets_channel_market_type() -> None:
+    """
+    Test parsing the account subscribed message with a CROSS market type.
+    """
+    # Prepare
+    decoder = msgspec.json.Decoder(DYDXWsMarketChannelData)
+
+    # Act
+    with Path("tests/test_data/dydx/websocket/v4_markets_cross.json").open() as file_reader:
+        msg = decoder.decode(file_reader.read())
+
+    # Assert
+    assert msg.channel == "v4_markets"
+    assert msg.type == "channel_data"
+    assert msg.contents.trading is not None
+    assert msg.contents.trading["FTM-USD"].marketType == "CROSS"
+
+
 def test_markets_channel_trade_message() -> None:
     """
     Test parsing the account subscribed message.

diff --git a/tests/test_data/dydx/websocket/v4_markets_cross.json b/tests/test_data/dydx/websocket/v4_markets_cross.json
@@ -0,0 +1,35 @@
+{
+    "type": "channel_data",
+    "connection_id": "3f42a31a-07a0-4c4b-b74e-bfa3dbf03012",
+    "message_id": 768900,
+    "channel": "v4_markets",
+    "version": "1.0.0",
+    "contents": {
+        "trading": {
+            "FTM-USD": {
+                "id": "86",
+                "clobPairId": "86",
+                "ticker": "FTM-USD",
+                "marketId": 86,
+                "status": "FINAL_SETTLEMENT",
+                "quantumConversionExponent": -9,
+                "atomicResolution": -5,
+                "subticksPerTick": 1000000,
+                "stepBaseQuantums": 1000000,
+                "marketType": "CROSS",
+                "initialMarginFraction": "0.2",
+                "maintenanceMarginFraction": "0.1",
+                "openInterestLowerCap": "5000000",
+                "openInterestUpperCap": "10000000",
+                "tickSize": "0.0001",
+                "stepSize": "10",
+                "priceChange24H": "-0.0036333222",
+                "volume24H": "292953.744",
+                "trades24H": 2656,
+                "nextFundingRate": "0",
+                "openInterest": "564710",
+                "baseOpenInterest": "263330"
+            }
+        }
+    }
+}