Added endpoints for pnl leaderboard and a short readme
This commit is contained in:
Nicholas Clarke
parent
8a6e5a5829
commit
0281677a1e
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@ -0,0 +1,3 @@
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# Mango transaction log
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Webserver to provide api access to mango transactions database (deposits, withdraws, liquidations, pnl leaderboard).
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278
server.py
278
server.py
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@ -2,6 +2,7 @@ from flask import Flask, g, jsonify, request
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import os
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import psycopg2
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from flask_cors import CORS
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from datetime import datetime, timedelta
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def create_app(debug=False):
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@ -18,30 +19,121 @@ app = create_app()
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cors = CORS(app)
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def connect_pg_db():
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# TODO: refactor - remove duplicated functions
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def connect_transactions_db():
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"""Connects to the specific database."""
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conn = psycopg2.connect(os.environ.get('DATABASE_URL'))
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conn = psycopg2.connect(os.environ.get('TRANSACTIONS_DATABASE_URL'))
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return conn
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def get_pg_db():
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def get_transactions_db():
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"""Opens a new database connection if there is none yet for the
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current application context.
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"""
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if not hasattr(g, 'pg_db'):
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g.pg_db = connect_pg_db()
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if not hasattr(g, 'transactions_db'):
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g.pg_db = connect_transactions_db()
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return g.pg_db
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def connect_trades_db():
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"""Connects to the specific database."""
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conn = psycopg2.connect(os.environ.get('TRADES_DATABASE_URL'))
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return conn
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def get_trades_db():
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"""Opens a new database connection if there is none yet for the
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current application context.
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"""
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if not hasattr(g, 'trades_db'):
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g.pg_db = connect_trades_db()
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return g.pg_db
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@app.route('/stats/activity_feed/<margin_account>')
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def activity_feed(margin_account):
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try:
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db = get_transactions_db()
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cur = db.cursor()
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limit = request.args.get('limit')
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offset = request.args.get('offset')
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if limit is None:
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limit = 10_000 # default limit
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offset = 0
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else:
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if offset is None:
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offset = 0
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sql = """
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select array_to_json(array_agg(row_to_json(ordered_u))) from
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(
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select * from
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(
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select 'Withdraw' as activity_type, w.block_datetime, row_to_json(w) as activity_details from
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(
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select
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dw.margin_account, dw.signature, dw.owner, dw.symbol, dw.quantity, dw.usd_equivalent, dw.block_datetime, dw.mango_group
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from deposit_withdraw dw
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where
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dw.margin_account = %(margin_account)s
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and dw.side = 'Withdraw'
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) w
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union all
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select 'Deposit' as activity_type, d.block_datetime, row_to_json(d) as activity_details from
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(
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select
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dw.margin_account, dw.signature, dw.owner, dw.symbol, dw.quantity, dw.usd_equivalent, dw.block_datetime, dw.mango_group
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from deposit_withdraw dw
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where
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dw.margin_account = %(margin_account)s
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and dw.side = 'Deposit'
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) d
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union all
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select 'Liquidation' as activity_type, ld.block_datetime, row_to_json(ld) as activity_details from
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(
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select l.*,
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(
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select array_to_json(array_agg(row_to_json(lh)))
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from (
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select symbol, start_assets, start_liabs, end_assets, end_liabs, price
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from liquidation_holdings
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where signature = l.signature
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) lh
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) as balances
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from liquidations l
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where l.liqee = %(margin_account)s
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) ld
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) u
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order by u.block_datetime desc
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limit %(limit)s offset %(offset)s
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) ordered_u
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"""
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cur.execute(sql, {'margin_account': margin_account, 'limit': limit, 'offset': offset})
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data = cur.fetchone()[0]
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if data is None:
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return jsonify([])
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else:
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return jsonify(data)
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except Exception as e:
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print(e)
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@app.route('/stats/withdraws/<margin_account>')
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def withdraws(margin_account):
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try:
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# margin_account = 'FKCBDQwmTj6HeJ1uU93go7xcUN2XX1myeHyzfK5iAj3X'
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db = get_pg_db()
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db = get_transactions_db()
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cur = db.cursor()
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limit = request.args.get('limit')
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@ -85,7 +177,7 @@ def deposits(margin_account):
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# margin_account = 'HmrkFSrqnECzFgENsiAsCQ8TzCfCyDz8oUuMtZzmSaAj'
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db = get_pg_db()
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db = get_transactions_db()
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cur = db.cursor()
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limit = request.args.get('limit')
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@ -130,7 +222,7 @@ def liquidations(margin_account):
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# margin_account = 'FucJ8CAfqSVuPr2zGhDxjyxkYvb5Qd1Maqqbc5JrPbYb'
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db = get_pg_db()
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db = get_transactions_db()
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cur = db.cursor()
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limit = request.args.get('limit')
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@ -179,7 +271,7 @@ def prices(mango_group):
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# mango_group = '2oogpTYm1sp6LPZAWD3bp2wsFpnV2kXL1s52yyFhW5vp'
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db = get_pg_db()
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db = get_transactions_db()
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cur = db.cursor()
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# TODO - think about optimising this more (indexes) - and caching
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@ -240,6 +332,174 @@ def prices(mango_group):
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except Exception as e:
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print(e)
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@app.route('/stats/pnl_leaderboard')
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def pnl_leaderboard():
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try:
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db = get_trades_db()
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cur = db.cursor()
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start_date = request.args.get('start_date')
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if start_date is None:
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start_date = '1900-01-01'
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limit = request.args.get('limit')
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offset = request.args.get('offset')
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if limit is None:
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limit = 10_000 # default limit
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offset = 0
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else:
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if offset is None:
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offset = 0
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# TODO - think about optimising this more (indexes) - and caching
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sql = """
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select array_to_json(array_agg(row_to_json(t))) from
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(
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select
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pc.margin_account,
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pc.owner,
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case when pc.name is null then '' else pc.name end as name,
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pc.cumulative_pnl - case when pc2.cumulative_pnl is null then 0 else pc2.cumulative_pnl end as pnl,
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row_number() over (order by pc.cumulative_pnl - case when pc2.cumulative_pnl is null then 0 else pc2.cumulative_pnl end desc) as rank
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from pnl_cache pc
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left join pnl_cache pc2
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on pc2.margin_account = pc.margin_account
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and pc2.price_date = (%(start_date)s ::date - interval '1 day')::date
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where pc.price_date = (select max(price_date) from prices)
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order by
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pc.cumulative_pnl - case when pc2.cumulative_pnl is null then 0 else pc2.cumulative_pnl end desc
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limit %(limit)s offset %(offset)s
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) t
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"""
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cur.execute(sql, {'start_date': start_date, 'limit': limit, 'offset': offset})
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data = cur.fetchone()[0]
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if data is None:
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return jsonify({})
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else:
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return jsonify(data)
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except Exception as e:
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print(e)
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@app.route('/stats/pnl_leaderboard_rank/<margin_account>')
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def pnl_leaderboard_rank(margin_account):
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try:
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db = get_trades_db()
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cur = db.cursor()
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start_date = request.args.get('start_date')
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if start_date is None:
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start_date = '1900-01-01'
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sql = """
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select row_to_json(t) from
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(
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select margin_account, owner, name, pnl, rank from
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(
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select
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pc.margin_account,
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pc.owner,
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case when pc.name is null then '' else pc.name end as name,
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pc.cumulative_pnl - case when pc2.cumulative_pnl is null then 0 else pc2.cumulative_pnl end as pnl,
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row_number() over (order by pc.cumulative_pnl - case when pc2.cumulative_pnl is null then 0 else pc2.cumulative_pnl end desc) as rank
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from pnl_cache pc
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left join pnl_cache pc2
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on pc2.margin_account = pc.margin_account
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and pc2.price_date = (%(start_date)s ::date - interval '1 day')::date
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where pc.price_date = (select max(price_date) from prices)
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) t1
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where margin_account = %(margin_account)s
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) t
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"""
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cur.execute(sql, {'start_date': start_date, 'margin_account': margin_account})
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data = cur.fetchone()
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if data is None:
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return jsonify({})
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else:
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return jsonify(data[0])
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except Exception as e:
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print(e)
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@app.route('/stats/pnl_history/<margin_account>')
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def pnl_history(margin_account):
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try:
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db = get_trades_db()
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cur = db.cursor()
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start_date = request.args.get('start_date')
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limit = request.args.get('limit')
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offset = request.args.get('offset')
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if limit is None:
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limit = 10_000 # default limit
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offset = 0
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else:
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if offset is None:
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offset = 0
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sql = """
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select array_to_json(array_agg(row_to_json(t))) from
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(
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select
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margin_account,
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owner,
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case when pc.name is null then '' else pc.name end as name,
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price_date as date,
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cumulative_pnl
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from pnl_cache pc
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where margin_account = %(margin_account)s
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order by price_date desc
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limit %(limit)s offset %(offset)s
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) t
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"""
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cur.execute(sql, {'margin_account': margin_account, 'limit': limit, 'offset': offset})
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data = cur.fetchone()[0]
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if data is None:
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return jsonify({})
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else:
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if start_date is not None:
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start_dt = datetime.strptime(start_date, '%Y-%m-%d').date()
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last_entry = data[-1]
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last_dt = datetime.strptime(last_entry['date'], '%Y-%m-%d').date()
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# Pad PNL history with 0's if needed
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if last_dt >= start_dt:
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owner = last_entry['owner']
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name = last_entry['name']
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delta = timedelta(days=1)
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dt_iter = last_dt - delta
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while dt_iter >= start_dt:
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data.append({
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'margin_account': margin_account,
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'owner': owner,
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'name': name,
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'date': dt_iter.strftime('%Y-%m-%d'),
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'cumulative_pnl': 0
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})
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dt_iter -= delta
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return jsonify(data)
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except Exception as e:
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print(e)
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@app.route('/')
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def index():
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return "<h1>Welcome to mango transaction stats</h1>"
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