Fix #879 - Include toISO in dydx api requests fetch_ohlcv_dydx (#951)

* Add TIMEFRAME_TO_DYDX_RESOLUTION_SECONDS into constants

* Update fetch_ohlcv_dydx.py to include _time_delta_from_timeframe function and toISO arg

* Update test_fetch_ohlcv_dydx.py to fix fromISO issue and update tests

* Add test cases for _time_delta_from_timeframe function

pdr_backend/exchange/constants.py

@@ -3,3 +3,4 @@
 # all possible resolution values are listed at:
 # https://docs.dydx.exchange/developers/indexer/indexer_api#enumerated-values
 TIMEFRAME_TO_DYDX_RESOLUTION = {"5m": "5MINS", "1h": "1HOUR"}
+TIMEFRAME_TO_DYDX_RESOLUTION_SECONDS = {"5m": 300, "1h": 3600}

pdr_backend/exchange/fetch_ohlcv_dydx.py

@@ -1,4 +1,5 @@
 import logging
+from datetime import timedelta
 from typing import List, Optional, Union
 
 from enforce_typing import enforce_types
@@ -9,6 +10,7 @@
 from pdr_backend.exchange.constants import (
     BASE_URL_DYDX,
     TIMEFRAME_TO_DYDX_RESOLUTION,
+    TIMEFRAME_TO_DYDX_RESOLUTION_SECONDS,
 )
 from pdr_backend.util.time_types import UnixTimeMs
 
@@ -54,11 +56,13 @@ def fetch_ohlcv_dydx(
     ticker = _dydx_ticker(pair_str)
     resolution = _dydx_resolution(timeframe)
     fromISO = since.to_iso_timestr()
+    toISO_dt = since.to_dt() + _time_delta_from_timeframe(timeframe, limit)
+    toISO = UnixTimeMs(toISO_dt.timestamp() * 1e3).to_iso_timestr()
     headers = {"Accept": "application/json"}
     try:
         s = (
             f"{baseURL}/candles/perpetualMarkets/{ticker}"
-            f"?resolution={resolution}&fromISO={fromISO}&limit={limit}"
+            f"?resolution={resolution}&fromISO={fromISO}&toISO={toISO}&limit={limit}"
         )
         response = requests.get(s, headers=headers, timeout=20)
 
@@ -125,3 +129,11 @@ def _dydx_resolution(timeframe: str):
 @enforce_types
 def _float_or_none(x: Optional[str]) -> Optional[float]:
     return None if x is None else float(x)
+
+
+def _time_delta_from_timeframe(timeframe: str, limit: int) -> timedelta:
+    # Convert timeframe and limit to a timedelta.
+    if timeframe not in TIMEFRAME_TO_DYDX_RESOLUTION_SECONDS:
+        raise ValueError(f"Don't currently support timeframe={timeframe}")
+    second_duration = TIMEFRAME_TO_DYDX_RESOLUTION_SECONDS[timeframe]
+    return timedelta(seconds=second_duration * limit)

pdr_backend/exchange/test/test_fetch_ohlcv_dydx.py

@@ -1,4 +1,6 @@
+from datetime import datetime, timedelta
 from enforce_typing import enforce_types
+
 import pytest
 import requests_mock
 
@@ -8,6 +10,7 @@
     _dydx_ticker,
     _dydx_resolution,
     _float_or_none,
+    _time_delta_from_timeframe,
 )
 from pdr_backend.util.time_types import UnixTimeMs
 
@@ -76,9 +79,8 @@ def test_dydx__real_response__basic():
     assert len(tohlcv) == 6
 
 
-@pytest.mark.skip(reason="Unskip once #879 is fixed")
 @enforce_types
-def test_dydx__real_response__fromISO_issue_879():
+def test_dydx__real_response__fromISO():
     # setup problem: 'tsince'
     tsince_iso_str = "2024-02-27_00:00:00.000"
     tsince_UnixTimeMs = UnixTimeMs.from_timestr(tsince_iso_str)
@@ -88,22 +90,34 @@ def test_dydx__real_response__fromISO_issue_879():
     # setup problem: the rest
     symbol = "BTC/USD"
     timeframe = "5m"
-    limit = 1
+    limit = 10
 
     # get result
     raw_tohlcv_data = fetch_ohlcv_dydx(symbol, timeframe, tsince_UnixTimeMs, limit)
-    tohlcv = raw_tohlcv_data[0]
 
-    # dydx api doesn't properly address fromISO. We must fix this, see #879
-    t = tohlcv[0]
-    t_UnixTimeMs = UnixTimeMs(t)
-    t_iso_str = t_UnixTimeMs.to_iso_timestr()  # bad eg '2024-04-16T00:25:00.000Z'
-    assert t_iso_str == tsince_iso_str
-    assert t_UnixTimeMs == tsince_UnixTimeMs
+    assert len(raw_tohlcv_data) == 10, "Length must be 10, limit is 10"
+
+    # First timestamp is expected to be:
+    # 2024-02-27T00:00:00.000Z
+    dt = datetime.fromisoformat("2024-02-27T00:00:00.000")
+    unix_ms = dt.timestamp() * 1e3
+    assert (
+        raw_tohlcv_data[-1][0] == unix_ms
+    ), f"Expected {unix_ms}, got {raw_tohlcv_data[-1][0]}"
+
+    # Last timestamp is expected to be:
+    # 2024-02-27T00:45:00.000Z
+    dt = datetime.fromisoformat("2024-02-27T00:45:00.000")
+    unix_ms = dt.timestamp() * 1e3
+    assert (
+        raw_tohlcv_data[0][0] == unix_ms
+    ), f"Expected {unix_ms}, got {raw_tohlcv_data[0][0]}"
 
-    # when #879 fixed, add proper vals here
-    # ohlcv = tohlcv[1:]
-    # assert ohlcv == (fix me val, ..)
+    # Price checks
+    assert raw_tohlcv_data[-1][1] == 54541.0
+    assert raw_tohlcv_data[-1][2] == 54661.0
+    assert raw_tohlcv_data[0][3] == 54545.0
+    assert raw_tohlcv_data[9][4] == 54645.0
 
 
 @enforce_types
@@ -168,3 +182,26 @@ def test_fetch_ohlcv_float_or_none():
         _ = _float_or_none(3)
     with pytest.raises(ValueError):
         _ = _float_or_none("foo")
+
+
+def test_time_delta_from_valid_timeframes():
+    test_cases = [
+        ("5m", 1, timedelta(seconds=300 * 1)),
+        ("5m", 10, timedelta(seconds=300 * 10)),
+        ("5m", 25, timedelta(seconds=300 * 25)),
+        ("5m", 500, timedelta(seconds=300 * 500)),
+        ("1h", 1, timedelta(seconds=3600 * 1)),
+        ("1h", 5, timedelta(seconds=3600 * 5)),
+        ("1h", 42, timedelta(seconds=3600 * 42)),
+    ]
+
+    for timeframe, limit, expected in test_cases:
+        assert (
+            _time_delta_from_timeframe(timeframe, limit) == expected
+        ), f"Failed for timeframe={timeframe}"
+
+
+def test_time_delta_from_invalid_timeframe():
+    with pytest.raises(ValueError) as excinfo:
+        _time_delta_from_timeframe("1hh", 1)
+    assert "Don't currently support timeframe=1hh" in str(excinfo.value)