Fix account balance and order status parsing for dYdX (#2067)

nautechsystems · Nov 21, 2024 · 46b5a40 · 46b5a40
1 parent f153b99
commit 46b5a40
Show file tree

Hide file tree

Showing 4 changed files with 8 additions and 28 deletions.
diff --git a/nautilus_trader/adapters/dydx/common/enums.py b/nautilus_trader/adapters/dydx/common/enums.py
@@ -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,
         }
 

diff --git a/nautilus_trader/adapters/dydx/schemas/ws.py b/nautilus_trader/adapters/dydx/schemas/ws.py
@@ -19,7 +19,6 @@
 # ruff: noqa: N815
 
 import datetime
-from collections import defaultdict
 from decimal import Decimal
 
 import msgspec
@@ -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)
 

diff --git a/tests/integration_tests/adapters/dydx/test_parsing.py b/tests/integration_tests/adapters/dydx/test_parsing.py
@@ -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),
     ],
 )

diff --git a/tests/integration_tests/adapters/dydx/test_websocket_schema.py b/tests/integration_tests/adapters/dydx/test_websocket_schema.py
@@ -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")),
         ),
     ]
 
@@ -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")),
         ),
     ]
 
@@ -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),