Merge pull request #1559 from 0xProject/feature/pipeline/fix-missing-dex-trades

[pipeline] Fix missing DEX Trades from Bloxy

6 files changed, 50 insertions, 5 deletions

diff --git a/packages/pipeline/migrations/1548809952793-AllowDuplicateTxHashesInDexTrades.ts b/packages/pipeline/migrations/1548809952793-AllowDuplicateTxHashesInDexTrades.ts
new file mode 100644
index 000000000..21b08f0ef
--- /dev/null
+++ b/packages/pipeline/migrations/1548809952793-AllowDuplicateTxHashesInDexTrades.ts
@@ -0,0 +1,29 @@
+import { MigrationInterface, QueryRunner, TableColumn } from 'typeorm';
+
+const DEX_TRADES_TABLE_NAME = 'raw.dex_trades';
+
+export class AllowDuplicateTxHashesInDexTrades1548809952793 implements MigrationInterface {
+    public async up(queryRunner: QueryRunner): Promise<any> {
+        const dexTradesTable = await queryRunner.getTable(DEX_TRADES_TABLE_NAME);
+        if (dexTradesTable) {
+            // Need new primary key to be non-null. No default value makes sense, so drop table.
+            await queryRunner.query(`DELETE from ${DEX_TRADES_TABLE_NAME}`);
+            // Composite key goes from (source_url, tx_hash) to (source_url, tx_hash, trade_index)
+            await queryRunner.addColumn(
+                DEX_TRADES_TABLE_NAME,
+                new TableColumn({
+                    name: 'trade_index',
+                    type: 'varchar',
+                    isPrimary: true,
+                }),
+            );
+        }
+    }
+
+    public async down(queryRunner: QueryRunner): Promise<any> {
+        const dexTradesTable = await queryRunner.getTable(DEX_TRADES_TABLE_NAME);
+        if (dexTradesTable) {
+            await queryRunner.dropColumn(dexTradesTable, 'trade_index');
+        }
+    }
+}
diff --git a/packages/pipeline/src/data_sources/bloxy/index.ts b/packages/pipeline/src/data_sources/bloxy/index.ts
index 94468d25a..22ab195b3 100644
--- a/packages/pipeline/src/data_sources/bloxy/index.ts
+++ b/packages/pipeline/src/data_sources/bloxy/index.ts
@@ -1,6 +1,8 @@
 import axios from 'axios';
 import * as R from 'ramda';
 
+import { logUtils } from '@0x/utils';
+
 // URL to use for getting dex trades from Bloxy.
 export const BLOXY_DEX_TRADES_URL = 'https://bloxy.info/api/dex/trades';
 // Number of trades to get at once. Must be less than or equal to MAX_OFFSET.
@@ -26,6 +28,7 @@ export interface BloxyTrade {
     tx_time: string;
     tx_date: string;
     tx_sender: string;
+    tradeIndex: string;
     smart_contract_id: number;
     smart_contract_address: string;
     contract_type: string;
@@ -73,6 +76,15 @@ export class BloxySource {
      * already been seen.
      */
     public async getDexTradesAsync(lastSeenTimestamp: number): Promise<BloxyTrade[]> {
+        const allTrades = await this._scrapeAllDexTradesAsync(lastSeenTimestamp);
+        logUtils.log(`Removing duplicates from ${allTrades.length} entries`);
+        const uniqueTrades = R.uniqBy((trade: BloxyTrade) => `${trade.tradeIndex}-${trade.tx_hash}`, allTrades);
+        logUtils.log(`Removed ${allTrades.length - uniqueTrades.length} duplicate entries`);
+        return uniqueTrades;
+    }
+
+    // Potentially returns duplicate trades.
+    private async _scrapeAllDexTradesAsync(lastSeenTimestamp: number): Promise<BloxyTrade[]> {
         let allTrades: BloxyTrade[] = [];
 
         // Clamp numberOfDays so that it is always between 1 and MAX_DAYS (inclusive)
@@ -90,7 +102,7 @@ export class BloxySource {
             if (trades.length === 0) {
                 // There are no more trades left for the days we are querying.
                 // This means we are done.
-                return filterDuplicateTrades(allTrades);
+                return allTrades;
             }
             const sortedTrades = R.reverse(R.sortBy(trade => trade.tx_time, trades));
             allTrades = allTrades.concat(sortedTrades);
@@ -100,10 +112,10 @@ export class BloxySource {
             if (lastReturnedTimestamp < lastSeenTimestamp - LAST_SEEN_TIMESTAMP_BUFFER_MS) {
                 // We are at the point where we have already seen trades for the
                 // timestamp range that is being returned. We're done.
-                return filterDuplicateTrades(allTrades);
+                return allTrades;
             }
         }
-        return filterDuplicateTrades(allTrades);
+        return allTrades;
     }
 
     private async _getTradesWithOffsetAsync(numberOfDays: number, offset: number): Promise<BloxyTrade[]> {
@@ -129,5 +141,3 @@ function getDaysSinceTimestamp(timestamp: number): number {
     const daysSinceTimestamp = msSinceTimestamp / millisecondsPerDay;
     return Math.ceil(daysSinceTimestamp);
 }
-
-const filterDuplicateTrades = R.uniqBy((trade: BloxyTrade) => trade.tx_hash);
diff --git a/packages/pipeline/src/entities/dex_trade.ts b/packages/pipeline/src/entities/dex_trade.ts
index 9d288cb51..93dcaf238 100644
--- a/packages/pipeline/src/entities/dex_trade.ts
+++ b/packages/pipeline/src/entities/dex_trade.ts
@@ -9,6 +9,8 @@ export class DexTrade {
     public sourceUrl!: string;
     @PrimaryColumn({ name: 'tx_hash' })
     public txHash!: string;
+    @PrimaryColumn({ name: 'trade_index' })
+    public tradeIndex!: string;
 
     @Column({ name: 'tx_timestamp', type: 'bigint', transformer: numberToBigIntTransformer })
     public txTimestamp!: number;
diff --git a/packages/pipeline/src/parsers/bloxy/index.ts b/packages/pipeline/src/parsers/bloxy/index.ts
index caa55d289..3d797aff0 100644
--- a/packages/pipeline/src/parsers/bloxy/index.ts
+++ b/packages/pipeline/src/parsers/bloxy/index.ts
@@ -21,6 +21,7 @@ export function _parseBloxyTrade(rawTrade: BloxyTrade): DexTrade {
     const dexTrade = new DexTrade();
     dexTrade.sourceUrl = BLOXY_DEX_TRADES_URL;
     dexTrade.txHash = rawTrade.tx_hash;
+    dexTrade.tradeIndex = rawTrade.tradeIndex;
     dexTrade.txTimestamp = new Date(rawTrade.tx_time).getTime();
     dexTrade.txDate = rawTrade.tx_date;
     dexTrade.txSender = rawTrade.tx_sender;
diff --git a/packages/pipeline/test/entities/dex_trades_test.ts b/packages/pipeline/test/entities/dex_trades_test.ts
index 83aaeec8f..7c4829988 100644
--- a/packages/pipeline/test/entities/dex_trades_test.ts
+++ b/packages/pipeline/test/entities/dex_trades_test.ts
@@ -33,6 +33,7 @@ const baseTrade = {
     takerAnnotation: '',
     protocol: 'Kyber Network Proxy',
     sellAddress: '0xbf2179859fc6d5bee9bf9158632dc51678a4100e',
+    tradeIndex: '3',
 };
 
 const tradeWithNullAddresses: DexTrade = R.merge(baseTrade, {
diff --git a/packages/pipeline/test/parsers/bloxy/index_test.ts b/packages/pipeline/test/parsers/bloxy/index_test.ts
index 6aabb091d..d270bd2a7 100644
--- a/packages/pipeline/test/parsers/bloxy/index_test.ts
+++ b/packages/pipeline/test/parsers/bloxy/index_test.ts
@@ -17,6 +17,7 @@ const baseInput: BloxyTrade = {
     tx_time: '2018-11-21T09:06:28.000+00:00',
     tx_date: '2018-11-21',
     tx_sender: '0x00923b9a074762b93650716333b3e1473a15048e',
+    tradeIndex: '1',
     smart_contract_id: 7091917,
     smart_contract_address: '0x818e6fecd516ecc3849daf6845e3ec868087b755',
     contract_type: 'DEX/Kyber Network Proxy',
@@ -40,6 +41,7 @@ const baseInput: BloxyTrade = {
 const baseExpected: DexTrade = {
     sourceUrl: BLOXY_DEX_TRADES_URL,
     txHash: '0xb93a7faf92efbbb5405c9a73cd4efd99702fe27c03ff22baee1f1b1e37b3a0bf',
+    tradeIndex: '1',
     txTimestamp: 1542791188000,
     txDate: '2018-11-21',
     txSender: '0x00923b9a074762b93650716333b3e1473a15048e',