Fix logging context when opening new DB connection (#10141)

Fixes #10140

changelog.d/10141.feature

@@ -0,0 +1 @@
+Report OpenTracing spans for database activity.

synapse/storage/database.py

@@ -91,12 +91,18 @@ def make_pool(
     db_args = dict(db_config.config.get("args", {}))
     db_args.setdefault("cp_reconnect", True)
 
+    def _on_new_connection(conn):
+        # Ensure we have a logging context so we can correctly track queries,
+        # etc.
+        with LoggingContext("db.on_new_connection"):
+            engine.on_new_connection(
+                LoggingDatabaseConnection(conn, engine, "on_new_connection")
+            )
+
     return adbapi.ConnectionPool(
         db_config.config["name"],
         cp_reactor=reactor,
-        cp_openfun=lambda conn: engine.on_new_connection(
-            LoggingDatabaseConnection(conn, engine, "on_new_connection")
-        ),
+        cp_openfun=_on_new_connection,
         **db_args,
     )