[CLOB-1015][CLOB-1016] Update MatchPerpetualDeleveraging and Delevera…

…gingEventV1 to have final settlement flag (#833)

* add protos for final settlement clob pair status and final settlement removal reason

* add missing indexer constants

* update proto formatting

* update proto formatting

* fix indexer test

* fix indexer constant which requires all fields of proto to be specified

* update comment and panic string

* update proto comments

indexer/packages/v4-protos/src/codegen/dydxprotocol/clob/matches.ts

@@ -128,6 +128,14 @@ export interface MatchPerpetualDeleveraging {
   /** An ordered list of fills created by this liquidation. */
 
   fills: MatchPerpetualDeleveraging_Fill[];
+  /**
+   * Flag denoting whether the deleveraging operation was for the purpose
+   * of final settlement. Final settlement matches are at the oracle price,
+   * whereas deleveraging happens at the bankruptcy price of the deleveraged
+   * subaccount.
+   */
+
+  isFinalSettlement: boolean;
 }
 /**
  * MatchPerpetualDeleveraging is an injected message used for deleveraging a
@@ -143,6 +151,14 @@ export interface MatchPerpetualDeleveragingSDKType {
   /** An ordered list of fills created by this liquidation. */
 
   fills: MatchPerpetualDeleveraging_FillSDKType[];
+  /**
+   * Flag denoting whether the deleveraging operation was for the purpose
+   * of final settlement. Final settlement matches are at the oracle price,
+   * whereas deleveraging happens at the bankruptcy price of the deleveraged
+   * subaccount.
+   */
+
+  is_final_settlement: boolean;
 }
 /** Fill represents a fill between the liquidated and offsetting subaccount. */
 
@@ -451,7 +467,8 @@ function createBaseMatchPerpetualDeleveraging(): MatchPerpetualDeleveraging {
   return {
     liquidated: undefined,
     perpetualId: 0,
-    fills: []
+    fills: [],
+    isFinalSettlement: false
   };
 }
 
@@ -469,6 +486,10 @@ export const MatchPerpetualDeleveraging = {
       MatchPerpetualDeleveraging_Fill.encode(v!, writer.uint32(26).fork()).ldelim();
     }
 
+    if (message.isFinalSettlement === true) {
+      writer.uint32(32).bool(message.isFinalSettlement);
+    }
+
     return writer;
   },
 
@@ -493,6 +514,10 @@ export const MatchPerpetualDeleveraging = {
           message.fills.push(MatchPerpetualDeleveraging_Fill.decode(reader, reader.uint32()));
           break;
 
+        case 4:
+          message.isFinalSettlement = reader.bool();
+          break;
+
         default:
           reader.skipType(tag & 7);
           break;
@@ -507,6 +532,7 @@ export const MatchPerpetualDeleveraging = {
     message.liquidated = object.liquidated !== undefined && object.liquidated !== null ? SubaccountId.fromPartial(object.liquidated) : undefined;
     message.perpetualId = object.perpetualId ?? 0;
     message.fills = object.fills?.map(e => MatchPerpetualDeleveraging_Fill.fromPartial(e)) || [];
+    message.isFinalSettlement = object.isFinalSettlement ?? false;
     return message;
   }
 

indexer/packages/v4-protos/src/codegen/dydxprotocol/indexer/events/events.ts

@@ -465,12 +465,20 @@ export interface DeleveragingEventV1 {
    */
 
   fillAmount: Long;
-  /** Bankruptcy price of liquidated subaccount, in USDC quote quantums. */
+  /** Fill price of deleveraging event, in USDC quote quantums. */
 
   price: Long;
   /** `true` if liquidating a short position, `false` otherwise. */
 
   isBuy: boolean;
+  /**
+   * `true` if the deleveraging event is for final settlement, indicating
+   * the match occurred at the oracle price rather than bankruptcy price.
+   * When this flag is `false`, the fill price is the bankruptcy price
+   * of the liquidated subaccount.
+   */
+
+  isFinalSettlement: boolean;
 }
 /**
  * DeleveragingEvent message contains all the information for a deleveraging
@@ -493,12 +501,20 @@ export interface DeleveragingEventV1SDKType {
    */
 
   fill_amount: Long;
-  /** Bankruptcy price of liquidated subaccount, in USDC quote quantums. */
+  /** Fill price of deleveraging event, in USDC quote quantums. */
 
   price: Long;
   /** `true` if liquidating a short position, `false` otherwise. */
 
   is_buy: boolean;
+  /**
+   * `true` if the deleveraging event is for final settlement, indicating
+   * the match occurred at the oracle price rather than bankruptcy price.
+   * When this flag is `false`, the fill price is the bankruptcy price
+   * of the liquidated subaccount.
+   */
+
+  is_final_settlement: boolean;
 }
 /**
  * LiquidationOrder represents the liquidation taker order to be included in a
@@ -1782,7 +1798,8 @@ function createBaseDeleveragingEventV1(): DeleveragingEventV1 {
     perpetualId: 0,
     fillAmount: Long.UZERO,
     price: Long.UZERO,
-    isBuy: false
+    isBuy: false,
+    isFinalSettlement: false
   };
 }
 
@@ -1812,6 +1829,10 @@ export const DeleveragingEventV1 = {
       writer.uint32(48).bool(message.isBuy);
     }
 
+    if (message.isFinalSettlement === true) {
+      writer.uint32(56).bool(message.isFinalSettlement);
+    }
+
     return writer;
   },
 
@@ -1848,6 +1869,10 @@ export const DeleveragingEventV1 = {
           message.isBuy = reader.bool();
           break;
 
+        case 7:
+          message.isFinalSettlement = reader.bool();
+          break;
+
         default:
           reader.skipType(tag & 7);
           break;
@@ -1865,6 +1890,7 @@ export const DeleveragingEventV1 = {
     message.fillAmount = object.fillAmount !== undefined && object.fillAmount !== null ? Long.fromValue(object.fillAmount) : Long.UZERO;
     message.price = object.price !== undefined && object.price !== null ? Long.fromValue(object.price) : Long.UZERO;
     message.isBuy = object.isBuy ?? false;
+    message.isFinalSettlement = object.isFinalSettlement ?? false;
     return message;
   }
 

indexer/services/ender/__tests__/helpers/constants.ts

@@ -288,6 +288,7 @@ export const defaultDeleveragingEvent: DeleveragingEventV1 = {
   fillAmount: Long.fromValue(10_000, true),
   price: Long.fromValue(1_000_000_000, true),
   isBuy: true,
+  isFinalSettlement: false,
 };
 export const defaultDepositEvent: TransferEventV1 = {
   assetId: 0,

proto/dydxprotocol/clob/matches.proto

@@ -75,4 +75,10 @@ message MatchPerpetualDeleveraging {
   }
   // An ordered list of fills created by this liquidation.
   repeated Fill fills = 3 [ (gogoproto.nullable) = false ];
+
+  // Flag denoting whether the deleveraging operation was for the purpose
+  // of final settlement. Final settlement matches are at the oracle price,
+  // whereas deleveraging happens at the bankruptcy price of the deleveraged
+  // subaccount.
+  bool is_final_settlement = 4;
 }

proto/dydxprotocol/indexer/events/events.proto

@@ -180,10 +180,15 @@ message DeleveragingEventV1 {
   // The amount filled between the liquidated and offsetting position, in
   // base quantums.
   uint64 fill_amount = 4;
-  // Bankruptcy price of liquidated subaccount, in USDC quote quantums.
+  // Fill price of deleveraging event, in USDC quote quantums.
   uint64 price = 5;
   // `true` if liquidating a short position, `false` otherwise.
   bool is_buy = 6;
+  // `true` if the deleveraging event is for final settlement, indicating
+  // the match occurred at the oracle price rather than bankruptcy price.
+  // When this flag is `false`, the fill price is the bankruptcy price
+  // of the liquidated subaccount.
+  bool is_final_settlement = 7;
 }
 
 // LiquidationOrder represents the liquidation taker order to be included in a