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Fix account balance and order status parsing for dYdX #2067

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merged 1 commit into from
Nov 21, 2024
Merged

Fix account balance and order status parsing for dYdX #2067

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2 changes: 1 addition & 1 deletion nautilus_trader/adapters/dydx/common/enums.py
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Original file line number Diff line number Diff line change
Expand Up @@ -244,7 +244,7 @@ def __init__(self) -> None:
DYDXOrderStatus.OPEN: OrderStatus.ACCEPTED,
DYDXOrderStatus.FILLED: OrderStatus.FILLED,
DYDXOrderStatus.CANCELED: OrderStatus.CANCELED,
DYDXOrderStatus.BEST_EFFORT_CANCELED: OrderStatus.PENDING_CANCEL,
DYDXOrderStatus.BEST_EFFORT_CANCELED: OrderStatus.CANCELED,
DYDXOrderStatus.BEST_EFFORT_OPENED: OrderStatus.SUBMITTED,
}

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22 changes: 1 addition & 21 deletions nautilus_trader/adapters/dydx/schemas/ws.py
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Original file line number Diff line number Diff line change
Expand Up @@ -19,7 +19,6 @@
# ruff: noqa: N815

import datetime
from collections import defaultdict
from decimal import Decimal

import msgspec
Expand Down Expand Up @@ -548,31 +547,12 @@ def parse_to_account_balances(self) -> list[AccountBalance]:
"""
Create an account balance report.
"""
orders: dict[str, list[DYDXOrderResponse]] = defaultdict(list)

# Orders with state BEST_EFFORT_CANCELED are not considered to be
# included in the locked account balance.
if self.orders is not None:
for order in self.orders:
if (
order.status
in (
DYDXOrderStatus.OPEN,
DYDXOrderStatus.BEST_EFFORT_OPENED,
)
and order.type == DYDXOrderType.LIMIT
):
orders[order.quote_currency()].append(order)

account_balances = []

if self.subaccount is not None:
for asset_position in self.subaccount.assetPositions.values():
# Only valid for a margin account
locked = Decimal(0)

for order in orders[asset_position.symbol]:
locked += Decimal(order.size) * Decimal(order.price)

account_balance = asset_position.parse_to_account_balance(locked=locked)
account_balances.append(account_balance)

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2 changes: 1 addition & 1 deletion tests/integration_tests/adapters/dydx/test_parsing.py
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Original file line number Diff line number Diff line change
Expand Up @@ -144,7 +144,7 @@ def test_parse_nautilus_order_side(
(DYDXOrderStatus.OPEN, OrderStatus.ACCEPTED),
(DYDXOrderStatus.FILLED, OrderStatus.FILLED),
(DYDXOrderStatus.CANCELED, OrderStatus.CANCELED),
(DYDXOrderStatus.BEST_EFFORT_CANCELED, OrderStatus.PENDING_CANCEL),
(DYDXOrderStatus.BEST_EFFORT_CANCELED, OrderStatus.CANCELED),
(DYDXOrderStatus.BEST_EFFORT_OPENED, OrderStatus.SUBMITTED),
],
)
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10 changes: 5 additions & 5 deletions tests/integration_tests/adapters/dydx/test_websocket_schema.py
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Original file line number Diff line number Diff line change
Expand Up @@ -205,8 +205,8 @@ def test_account_parse_to_account_balances() -> None:
expected_result = [
AccountBalance(
total=Money(Decimal("11.62332500"), Currency.from_str("USDC")),
locked=Money(Decimal("10.00590000"), Currency.from_str("USDC")),
free=Money(Decimal("1.61742500"), Currency.from_str("USDC")),
locked=Money(Decimal("0"), Currency.from_str("USDC")),
free=Money(Decimal("11.62332500"), Currency.from_str("USDC")),
),
]

Expand All @@ -228,8 +228,8 @@ def test_account_parse_to_account_balances_order_best_effort_canceled() -> None:
expected_result = [
AccountBalance(
total=Money(Decimal("11.62332500"), Currency.from_str("USDC")),
locked=Money(Decimal("10.00590000"), Currency.from_str("USDC")),
free=Money(Decimal("1.61742500"), Currency.from_str("USDC")),
locked=Money(Decimal("0"), Currency.from_str("USDC")),
free=Money(Decimal("11.62332500"), Currency.from_str("USDC")),
),
]

Expand Down Expand Up @@ -660,7 +660,7 @@ def test_account_channel_data_order_best_effort_canceled() -> None:
order_side=OrderSide.SELL,
order_type=OrderType.LIMIT,
time_in_force=TimeInForce.IOC,
order_status=OrderStatus.PENDING_CANCEL,
order_status=OrderStatus.CANCELED,
price=Price(2519.4, 4),
quantity=Quantity(0.003, 5),
filled_qty=Quantity(0, 5),
Expand Down