Refactor data request interfaces into messages

[faysou]

Pull Request

Refactor data interfaces into messages

Type of change

• New feature (non-breaking change which adds functionality)

How has this change been tested?

Updated existing tests

[cjdsellers]

Thanks for your work here @faysou

I think this is a great improvement:

• Better symmetry with command messages on the execution side
• Stronger contract, as request commands must be valid when initialized in Actor
• Reduces the surface area of the DataClient interface, making them easier to work with

It's also a good sign that even with all the additional message types, there is still more code being removed here than added.

I think there is some change risk for the adapter clients, as test coverage isn't as strong there as the core of the system. I've reviewed them, but it would be great if we could get additional reviews when possible 🙏 :

• @sunlei for Bybit
• @davidsblom for dYdX

[davidsblom]

LGTM (dYdX changes)

[sunlei]

LGTM (Bybit)

[cjdsellers]

Thank you @davidsblom and @sunlei

After we resolve some of the comments above, I'm planning to merge this after the next release (which should be this week).

[faysou]

I'm done with the fixes. I had intended to work on doing the same for the subscribe side, but not sure it's really needed, there are less parameters and variability compared to data requests (also I don't want to embark on refactoring thousands of lines again straight away)