Adding LimitOrderProtocol and OrderExecutorV2 events

[poly-rodr]

Summary

Listen for Filled event of OrderExecutorV2

Notes

I only included contract addresses of mumbai because OrderExecutorV2 are not deployed on polygon yet. OrderExecutorV2 needs to be updated

[L-Kov]

Hey @poly-rodr some notes and apologies for not giving a clearer and more informed ticket. I didn’t look closely enough at the args that are provided in the OrderFilled event, but I think we should essentially forget about events from the LOP contract and only index FilledOrder events from the OrderExecutor. A few things about that:

• Jon is going to add more fields to the FilledOrder event because we are missing some things we need.
• there is no concept of FPMMs for CLOB orders so for any scheme requiring it we should make a new independent scheme that achieves a similar aggregation without the fpmm requirement.
• for Transaction type we should add new constants for fills through the executor (something like TRADE_TYPE_BUY_LIMIT
• Each processed FilledOrder event should register a buy and a sell
  • the buy should correspond to the maker/taker that is giving away collateral
  • the sell should correspond to the maker/taker that is giving away a conditional token
• we will also want price and size in the transaction so maybe we make a new top level transaction schema for fills through the order executor

I am going to throw an event on the calendar Monday to go over this. Have a great weekend!

[poly-rodr]

Running locally for mumbai

[poly-rodr]

Some queries and results

Accounts

Query

{
  accounts {
    id
  }
}

Results

{
  "data": {
    "accounts": [
      {
        "id": "0x1199443d6806de23a9c976193f07a381542f81df"
      },
      {
        "id": "0xe3d9bfa896af6988f80027bfd13440a42c5ed02b"
      },
      {
        "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
      }
    ]
  }
}

FilledOrderGlobal

Query

{
  filledOrderGlobals {
    id
    tradesQuantity
    buysQuantity
    sellsQuantity
    collateralVolume
    scaledCollateralVolume
    collateralBuyVolume
    scaledCollateralBuyVolume
    collateralSellVolume
    scaledCollateralSellVolume
  }
}

Results

{
  "data": {
    "filledOrderGlobals": [
      {
        "buysQuantity": "0",
        "collateralBuyVolume": "0",
        "collateralSellVolume": "4100000000",
        "collateralVolume": "4100000000",
        "id": "",
        "scaledCollateralBuyVolume": "0",
        "scaledCollateralSellVolume": "4100",
        "scaledCollateralVolume": "4100",
        "sellsQuantity": "4",
        "tradesQuantity": "4"
      }
    ]
  }
}

FilledOrdersEvent

Query

{
  filledOrdersEvents {
    id
    timestamp
    taker {
      id
    }
    makerAsset
    takerAsset
    makerAssetID
    takerAssetID
    makerAmountFilled
    takerAmountFilled
  }
}

Results

{
  "data": {
    "filledOrdersEvents": [
      {
        "id": "0x33c389933dacd13cee47305f5a192ff944282df6ce4a837c1b4c70b79ed70385",
        "makerAmountFilled": "50000000",
        "makerAsset": "0x7d8610e9567d2a6c9fbf66a5a13e9ba8bb120d43",
        "makerAssetID": "16678291189211314787145083999015737376658799626183230671758641503291735614088",
        "taker": {
          "id": "0xe3d9bfa896af6988f80027bfd13440a42c5ed02b"
        },
        "takerAmountFilled": "100000000",
        "takerAsset": "0x2e8dcfe708d44ae2e406a1c02dfe2fa13012f961",
        "takerAssetID": "0",
        "timestamp": "1648064258"
      },
      {
        "id": "0x78e0b9b8c8ddc8057568f8e2d389066c03669bbb3e5e885769d2275485dd5fa2",
        "makerAmountFilled": "550000000",
        "makerAsset": "0x7d8610e9567d2a6c9fbf66a5a13e9ba8bb120d43",
        "makerAssetID": "16678291189211314787145083999015737376658799626183230671758641503291735614088",
        "taker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "takerAmountFilled": "1000000000",
        "takerAsset": "0x2e8dcfe708d44ae2e406a1c02dfe2fa13012f961",
        "takerAssetID": "0",
        "timestamp": "1648105122"
      },
      {
        "id": "0x9c81bd0efcb0d8bbc980ce7e73cac522e04232ec3575069921bfa5b8598de7a3",
        "makerAmountFilled": "1100000000",
        "makerAsset": "0x7d8610e9567d2a6c9fbf66a5a13e9ba8bb120d43",
        "makerAssetID": "16678291189211314787145083999015737376658799626183230671758641503291735614088",
        "taker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "takerAmountFilled": "2000000000",
        "takerAsset": "0x2e8dcfe708d44ae2e406a1c02dfe2fa13012f961",
        "takerAssetID": "0",
        "timestamp": "1648078501"
      },
      {
        "id": "0xc3c731a89f069657a51a214941cece4fa08795a3c55b18abf6c870dbe6118c62",
        "makerAmountFilled": "550000000",
        "makerAsset": "0x7d8610e9567d2a6c9fbf66a5a13e9ba8bb120d43",
        "makerAssetID": "16678291189211314787145083999015737376658799626183230671758641503291735614088",
        "taker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "takerAmountFilled": "1000000000",
        "takerAsset": "0x2e8dcfe708d44ae2e406a1c02dfe2fa13012f961",
        "takerAssetID": "0",
        "timestamp": "1648105052"
      }
    ]
  }
}

OrderFilledEvent

Query

{
  orderFilledEvents {
    id
    timestamp
    orderHash
    maker {
      id
    }
    taker {
      id
    }
    makerAsset
    takerAsset
    makerAssetID
    takerAssetID
    makerAmountFilled
    takerAmountFilled
    remainingAmount
  }
}

Results

{
  "data": {
    "orderFilledEvents": [
      {
        "id": "0x33c389933dacd13cee47305f5a192ff944282df6ce4a837c1b4c70b79ed70385",
        "maker": {
          "id": "0xe3d9bfa896af6988f80027bfd13440a42c5ed02b"
        },
        "makerAmountFilled": "50000000",
        "makerAsset": "0x2e8dcfe708d44ae2e406a1c02dfe2fa13012f961",
        "makerAssetID": "0",
        "orderHash": "0xcaea64f66fc40c53ff391e8076b1a2987a6a6a0acf2b8a8bdabaf676900c3978",
        "remainingAmount": "0",
        "taker": {
          "id": "0x1199443d6806de23a9c976193f07a381542f81df"
        },
        "takerAmountFilled": "100000000",
        "takerAsset": "0x7d8610e9567d2a6c9fbf66a5a13e9ba8bb120d43",
        "takerAssetID": "16678291189211314787145083999015737376658799626183230671758641503291735614088",
        "timestamp": "1648064258"
      },
      {
        "id": "0x78e0b9b8c8ddc8057568f8e2d389066c03669bbb3e5e885769d2275485dd5fa2",
        "maker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "makerAmountFilled": "550000000",
        "makerAsset": "0x2e8dcfe708d44ae2e406a1c02dfe2fa13012f961",
        "makerAssetID": "0",
        "orderHash": "0xc6a82e11e89c757d72de4ccfe6ef1f9c84deab548083edc335bf3bbe1bf4dd12",
        "remainingAmount": "0",
        "taker": {
          "id": "0x1199443d6806de23a9c976193f07a381542f81df"
        },
        "takerAmountFilled": "1000000000",
        "takerAsset": "0x7d8610e9567d2a6c9fbf66a5a13e9ba8bb120d43",
        "takerAssetID": "16678291189211314787145083999015737376658799626183230671758641503291735614088",
        "timestamp": "1648105122"
      },
      {
        "id": "0x9c81bd0efcb0d8bbc980ce7e73cac522e04232ec3575069921bfa5b8598de7a3",
        "maker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "makerAmountFilled": "55000000",
        "makerAsset": "0x2e8dcfe708d44ae2e406a1c02dfe2fa13012f961",
        "makerAssetID": "0",
        "orderHash": "0x729cbd93cc6b94ae93f985384f8e84c2157c305dc57581935d2a3479d54a23b8",
        "remainingAmount": "0",
        "taker": {
          "id": "0x1199443d6806de23a9c976193f07a381542f81df"
        },
        "takerAmountFilled": "100000000",
        "takerAsset": "0x7d8610e9567d2a6c9fbf66a5a13e9ba8bb120d43",
        "takerAssetID": "16678291189211314787145083999015737376658799626183230671758641503291735614088",
        "timestamp": "1648078501"
      },
      {
        "id": "0xc3c731a89f069657a51a214941cece4fa08795a3c55b18abf6c870dbe6118c62",
        "maker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "makerAmountFilled": "550000000",
        "makerAsset": "0x2e8dcfe708d44ae2e406a1c02dfe2fa13012f961",
        "makerAssetID": "0",
        "orderHash": "0xc6a82e11e89c757d72de4ccfe6ef1f9c84deab548083edc335bf3bbe1bf4dd12",
        "remainingAmount": "550000000",
        "taker": {
          "id": "0x1199443d6806de23a9c976193f07a381542f81df"
        },
        "takerAmountFilled": "1000000000",
        "takerAsset": "0x7d8610e9567d2a6c9fbf66a5a13e9ba8bb120d43",
        "takerAssetID": "16678291189211314787145083999015737376658799626183230671758641503291735614088",
        "timestamp": "1648105052"
      }
    ]
  }
}

FilledOrder

Query

{
  filledOrders {
    id
    timestamp
    maker {
      id
    }
    taker {
      id
    }
    orderHash
    market {
      id
    }
    side
    size
    price
  }
}

Results

{
  "data": {
    "filledOrders": [
      {
        "id": "0x33c389933dacd13cee47305f5a192ff944282df6ce4a837c1b4c70b79ed70385",
        "maker": {
          "id": "0xe3d9bfa896af6988f80027bfd13440a42c5ed02b"
        },
        "market": {
          "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288"
        },
        "orderHash": "0xcaea64f66fc40c53ff391e8076b1a2987a6a6a0acf2b8a8bdabaf676900c3978",
        "price": "0.5",
        "side": "Limit_Buy",
        "size": "50000000",
        "taker": {
          "id": "0x1199443d6806de23a9c976193f07a381542f81df"
        },
        "timestamp": "1648064258"
      },
      {
        "id": "0x78e0b9b8c8ddc8057568f8e2d389066c03669bbb3e5e885769d2275485dd5fa2",
        "maker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "market": {
          "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288"
        },
        "orderHash": "0xc6a82e11e89c757d72de4ccfe6ef1f9c84deab548083edc335bf3bbe1bf4dd12",
        "price": "0.55",
        "side": "Limit_Buy",
        "size": "550000000",
        "taker": {
          "id": "0x1199443d6806de23a9c976193f07a381542f81df"
        },
        "timestamp": "1648105122"
      },
      {
        "id": "0x9c81bd0efcb0d8bbc980ce7e73cac522e04232ec3575069921bfa5b8598de7a3",
        "maker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "market": {
          "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288"
        },
        "orderHash": "0x729cbd93cc6b94ae93f985384f8e84c2157c305dc57581935d2a3479d54a23b8",
        "price": "0.55",
        "side": "Limit_Buy",
        "size": "55000000",
        "taker": {
          "id": "0x1199443d6806de23a9c976193f07a381542f81df"
        },
        "timestamp": "1648078501"
      },
      {
        "id": "0xc3c731a89f069657a51a214941cece4fa08795a3c55b18abf6c870dbe6118c62",
        "maker": {
          "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
        },
        "market": {
          "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288"
        },
        "orderHash": "0xc6a82e11e89c757d72de4ccfe6ef1f9c84deab548083edc335bf3bbe1bf4dd12",
        "price": "0.55",
        "side": "Limit_Buy",
        "size": "550000000",
        "taker": {
          "id": "0x1199443d6806de23a9c976193f07a381542f81df"
        },
        "timestamp": "1648105052"
      }
    ]
  }
}

FilledOrderBook

Query

{
  filledOrderBooks {
    id
    tradesQuantity
    buysQuantity
    sellsQuantity
    collateralVolume
    scaledCollateralVolume
    collateralBuyVolume
    scaledCollateralBuyVolume
    collateralSellVolume
    scaledCollateralSellVolume
    lastActiveDay
    buys {
      id
      timestamp
      maker {
        id
      }
      taker {
        id
      }
      orderHash
      market {
        id
      }
      side
      size
      price
    }
    sells {
      id
      timestamp
      maker {
        id
      }
      taker {
        id
      }
      orderHash
      market {
        id
      }
      side
      size
      price
    }
  }
}

Results

{
  "data": {
    "filledOrderBooks": [
      {
        "buys": [
          {
            "id": "0x33c389933dacd13cee47305f5a192ff944282df6ce4a837c1b4c70b79ed70385",
            "maker": {
              "id": "0xe3d9bfa896af6988f80027bfd13440a42c5ed02b"
            },
            "market": {
              "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288"
            },
            "orderHash": "0xcaea64f66fc40c53ff391e8076b1a2987a6a6a0acf2b8a8bdabaf676900c3978",
            "price": "0.5",
            "side": "Limit_Buy",
            "size": "50000000",
            "taker": {
              "id": "0x1199443d6806de23a9c976193f07a381542f81df"
            },
            "timestamp": "1648064258"
          },
          {
            "id": "0x78e0b9b8c8ddc8057568f8e2d389066c03669bbb3e5e885769d2275485dd5fa2",
            "maker": {
              "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
            },
            "market": {
              "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288"
            },
            "orderHash": "0xc6a82e11e89c757d72de4ccfe6ef1f9c84deab548083edc335bf3bbe1bf4dd12",
            "price": "0.55",
            "side": "Limit_Buy",
            "size": "550000000",
            "taker": {
              "id": "0x1199443d6806de23a9c976193f07a381542f81df"
            },
            "timestamp": "1648105122"
          },
          {
            "id": "0x9c81bd0efcb0d8bbc980ce7e73cac522e04232ec3575069921bfa5b8598de7a3",
            "maker": {
              "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
            },
            "market": {
              "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288"
            },
            "orderHash": "0x729cbd93cc6b94ae93f985384f8e84c2157c305dc57581935d2a3479d54a23b8",
            "price": "0.55",
            "side": "Limit_Buy",
            "size": "55000000",
            "taker": {
              "id": "0x1199443d6806de23a9c976193f07a381542f81df"
            },
            "timestamp": "1648078501"
          },
          {
            "id": "0xc3c731a89f069657a51a214941cece4fa08795a3c55b18abf6c870dbe6118c62",
            "maker": {
              "id": "0xea5981ca48dc40c950fc1b2496c4a0ef900bb841"
            },
            "market": {
              "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288"
            },
            "orderHash": "0xc6a82e11e89c757d72de4ccfe6ef1f9c84deab548083edc335bf3bbe1bf4dd12",
            "price": "0.55",
            "side": "Limit_Buy",
            "size": "550000000",
            "taker": {
              "id": "0x1199443d6806de23a9c976193f07a381542f81df"
            },
            "timestamp": "1648105052"
          }
        ],
        "buysQuantity": "4",
        "collateralBuyVolume": "2250000000",
        "collateralSellVolume": "0",
        "collateralVolume": "2250000000",
        "id": "0x24df940a9eaa302a342777ae853d5de64ddafb80d8fc98be3ac8e09b779d2288",
        "lastActiveDay": "19075",
        "scaledCollateralBuyVolume": "2250",
        "scaledCollateralSellVolume": "0",
        "scaledCollateralVolume": "2250",
        "sells": [],
        "sellsQuantity": "0",
        "tradesQuantity": "4"
      }
    ]
  }
}

[L-Kov]

All this looks good, just one thing. It is a bit confusing I think for FilledOrder to have 4 buys and then FilledOrderGlobal has recorded 4 sells. I get why this is the case but I think we should maybe just:

1) swap maker/taker in handleFilledOrders 2) swap maker/taker in recordEvent in OrderExecutorV2Mapping.ts

This would mean the market order creator is always the taker (even in the context of the OrderExecutor) and the limit order creator is always the maker.

[L-Kov]

All this looks good, just one thing. It is a bit confusing I think for FilledOrder to have 4 buys and then FilledOrderGlobal has recorded 4 sells. I get why this is the case but I think we should maybe just:

1. swap maker/taker in handleFilledOrders
2. swap maker/taker in recordEvent in OrderExecutorV2Mapping.ts

This would mean the market order creator is always the taker (even in the context of the OrderExecutor) and the limit order creator is always the maker.

Eventually it might make sense to redo the events on the contracts directly to be inline with this, but for now I think we can just make these changes at the subgraph level.