626 lines
28 KiB
Rust
626 lines
28 KiB
Rust
use log::*;
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use mango_feeds_connector::{
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chain_data::{AccountData, ChainData, ChainDataMetrics, SlotData},
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metrics::{MetricType, Metrics},
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AccountWrite, SlotUpdate,
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};
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use mango_feeds_lib::serum::SerumEventQueueHeader;
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use mango_feeds_lib::MarketConfig;
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use solana_sdk::{
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account::{ReadableAccount, WritableAccount},
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clock::Epoch,
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pubkey::Pubkey,
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};
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use std::{
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borrow::BorrowMut,
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cmp::max,
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collections::{HashMap, HashSet},
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iter::FromIterator,
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sync::{
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atomic::{AtomicBool, Ordering},
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Arc,
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},
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};
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use crate::metrics::MetricU64;
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use anchor_lang::AccountDeserialize;
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use mango_v4::state::{
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AnyEvent, EventQueue, EventQueueHeader, EventType, FillEvent as PerpFillEvent,
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OutEvent as PerpOutEvent, QueueHeader, MAX_NUM_EVENTS,
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};
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use service_mango_fills::*;
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// couldn't compile the correct struct size / math on m1, fixed sizes resolve this issue
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type EventQueueEvents = [AnyEvent; MAX_NUM_EVENTS as usize];
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#[allow(clippy::too_many_arguments)]
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fn publish_changes_perp(
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slot: u64,
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write_version: u64,
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mkt: &(Pubkey, MarketConfig),
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header: &EventQueueHeader,
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events: &EventQueueEvents,
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prev_seq_num: u64,
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prev_head: usize,
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prev_events: &EventQueueEvents,
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fill_update_sender: &async_channel::Sender<FillEventFilterMessage>,
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metric_events_new: &mut MetricU64,
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metric_events_change: &mut MetricU64,
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metric_events_drop: &mut MetricU64,
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metric_head_update: &mut MetricU64,
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) {
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// seq_num = N means that events (N-QUEUE_LEN) until N-1 are available
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let start_seq_num = max(prev_seq_num, header.seq_num).saturating_sub(MAX_NUM_EVENTS as u64);
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let mut checkpoint = Vec::new();
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let mkt_pk_string = mkt.0.to_string();
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let evq_pk_string = mkt.1.event_queue.to_string();
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for seq_num in start_seq_num..header.seq_num {
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let idx = (seq_num % MAX_NUM_EVENTS as u64) as usize;
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// there are three possible cases:
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// 1) the event is past the old seq num, hence guaranteed new event
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// 2) the event is not matching the old event queue
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// 3) all other events are matching the old event queue
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// the order of these checks is important so they are exhaustive
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if seq_num >= prev_seq_num {
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debug!(
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"found new event {} idx {} type {} slot {} write_version {}",
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mkt_pk_string, idx, events[idx].event_type as u32, slot, write_version
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);
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metric_events_new.increment();
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// new fills are published and recorded in checkpoint
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if events[idx].event_type == EventType::Fill as u8 {
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let fill: PerpFillEvent = bytemuck::cast(events[idx]);
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let fill = FillEvent::new_from_perp(fill, &mkt.1);
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fill_update_sender
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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write_version,
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event: fill.clone(),
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status: FillUpdateStatus::New,
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market_key: mkt_pk_string.clone(),
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market_name: mkt.1.name.clone(),
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}))
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.unwrap(); // TODO: use anyhow to bubble up error
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checkpoint.push(fill);
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}
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} else if prev_events[idx].event_type != events[idx].event_type
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|| prev_events[idx].padding != events[idx].padding
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{
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debug!(
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"found changed event {} idx {} seq_num {} header seq num {} old seq num {}",
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mkt_pk_string, idx, seq_num, header.seq_num, prev_seq_num
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);
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metric_events_change.increment();
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// first revoke old event if a fill
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if prev_events[idx].event_type == EventType::Fill as u8 {
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let fill: PerpFillEvent = bytemuck::cast(prev_events[idx]);
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let fill = FillEvent::new_from_perp(fill, &mkt.1);
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fill_update_sender
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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write_version,
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event: fill,
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status: FillUpdateStatus::Revoke,
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market_key: mkt_pk_string.clone(),
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market_name: mkt.1.name.clone(),
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}))
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.unwrap(); // TODO: use anyhow to bubble up error
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}
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// then publish new if its a fill and record in checkpoint
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if events[idx].event_type == EventType::Fill as u8 {
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let fill: PerpFillEvent = bytemuck::cast(events[idx]);
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let fill = FillEvent::new_from_perp(fill, &mkt.1);
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fill_update_sender
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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write_version,
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event: fill.clone(),
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status: FillUpdateStatus::New,
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market_key: mkt_pk_string.clone(),
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market_name: mkt.1.name.clone(),
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}))
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.unwrap(); // TODO: use anyhow to bubble up error
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checkpoint.push(fill);
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}
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} else {
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// every already published event is recorded in checkpoint if a fill
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if events[idx].event_type == EventType::Fill as u8 {
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let fill: PerpFillEvent = bytemuck::cast(events[idx]);
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let fill = FillEvent::new_from_perp(fill, &mkt.1);
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checkpoint.push(fill);
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}
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}
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}
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// in case queue size shrunk due to a fork we need revoke all previous fills
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for seq_num in header.seq_num..prev_seq_num {
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let idx = (seq_num % MAX_NUM_EVENTS as u64) as usize;
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debug!(
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"found dropped event {} idx {} seq_num {} header seq num {} old seq num {} slot {} write_version {}",
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mkt_pk_string, idx, seq_num, header.seq_num, prev_seq_num, slot, write_version
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);
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metric_events_drop.increment();
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if prev_events[idx].event_type == EventType::Fill as u8 {
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let fill: PerpFillEvent = bytemuck::cast(prev_events[idx]);
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let fill = FillEvent::new_from_perp(fill, &mkt.1);
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fill_update_sender
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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event: fill,
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write_version,
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status: FillUpdateStatus::Revoke,
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market_key: mkt_pk_string.clone(),
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market_name: mkt.1.name.clone(),
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}))
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.unwrap(); // TODO: use anyhow to bubble up error
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}
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}
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let head = header.head();
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let head_seq_num = if events[head - 1].event_type == EventType::Fill as u8 {
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let event: PerpFillEvent = bytemuck::cast(events[head - 1]);
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event.seq_num + 1
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} else if events[head - 1].event_type == EventType::Out as u8 {
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let event: PerpOutEvent = bytemuck::cast(events[head - 1]);
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event.seq_num + 1
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} else {
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0
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};
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let prev_head_seq_num = if prev_events[prev_head - 1].event_type == EventType::Fill as u8 {
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let event: PerpFillEvent = bytemuck::cast(prev_events[prev_head - 1]);
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event.seq_num + 1
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} else if prev_events[prev_head - 1].event_type == EventType::Out as u8 {
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let event: PerpOutEvent = bytemuck::cast(prev_events[prev_head - 1]);
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event.seq_num + 1
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} else {
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0
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};
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// publish a head update event if the head changed (events were consumed)
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if head != prev_head {
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metric_head_update.increment();
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fill_update_sender
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.try_send(FillEventFilterMessage::HeadUpdate(HeadUpdate {
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head,
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prev_head,
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head_seq_num,
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prev_head_seq_num,
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status: FillUpdateStatus::New,
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market_key: mkt_pk_string.clone(),
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market_name: mkt.1.name.clone(),
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slot,
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write_version,
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}))
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.unwrap(); // TODO: use anyhow to bubble up error
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}
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fill_update_sender
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.try_send(FillEventFilterMessage::Checkpoint(FillCheckpoint {
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slot,
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write_version,
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events: checkpoint,
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market: mkt_pk_string,
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queue: evq_pk_string,
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}))
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.unwrap()
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}
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#[allow(clippy::too_many_arguments)]
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fn publish_changes_serum(
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_slot: u64,
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_write_version: u64,
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_mkt: &(Pubkey, MarketConfig),
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_header: &SerumEventQueueHeader,
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_events: &[serum_dex::state::Event],
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_prev_seq_num: u64,
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_prev_events: &[serum_dex::state::Event],
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_fill_update_sender: &async_channel::Sender<FillEventFilterMessage>,
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_metric_events_new: &mut MetricU64,
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_metric_events_change: &mut MetricU64,
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_metric_events_drop: &mut MetricU64,
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) {
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// // seq_num = N means that events (N-QUEUE_LEN) until N-1 are available
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// let start_seq_num = max(prev_seq_num, header.seq_num)
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// .checked_sub(MAX_NUM_EVENTS as u64)
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// .unwrap_or(0);
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// let mut checkpoint = Vec::new();
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// let mkt_pk_string = mkt.0.to_string();
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// let evq_pk_string = mkt.1.event_queue.to_string();
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// let header_seq_num = header.seq_num;
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// debug!("start seq {} header seq {}", start_seq_num, header_seq_num);
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// // Timestamp for spot events is time scraped
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// let timestamp = SystemTime::now()
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// .duration_since(SystemTime::UNIX_EPOCH)
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// .unwrap()
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// .as_secs();
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// for seq_num in start_seq_num..header_seq_num {
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// let idx = (seq_num % MAX_NUM_EVENTS as u64) as usize;
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// let event_view = events[idx].as_view().unwrap();
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// let old_event_view = prev_events[idx].as_view().unwrap();
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// match event_view {
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// SpotEvent::Fill { .. } => {
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// // there are three possible cases:
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// // 1) the event is past the old seq num, hence guaranteed new event
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// // 2) the event is not matching the old event queue
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// // 3) all other events are matching the old event queue
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// // the order of these checks is important so they are exhaustive
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// let fill = FillEvent::new_from_spot(event_view, timestamp, seq_num, &mkt.1);
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// if seq_num >= prev_seq_num {
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// debug!("found new serum fill {} idx {}", mkt_pk_string, idx,);
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// metric_events_new.increment();
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// fill_update_sender
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// .try_send(FillEventFilterMessage::Update(FillUpdate {
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// slot,
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// write_version,
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// event: fill.clone(),
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// status: FillUpdateStatus::New,
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// market_key: mkt_pk_string.clone(),
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// market_name: mkt.1.name.clone(),
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// }))
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// .unwrap(); // TODO: use anyhow to bubble up error
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// checkpoint.push(fill);
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// continue;
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// }
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// match old_event_view {
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// SpotEvent::Fill {
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// client_order_id, ..
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// } => {
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// let client_order_id = match client_order_id {
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// Some(id) => id.into(),
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// None => 0u64,
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// };
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// if client_order_id != fill.client_order_id {
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// debug!(
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// "found changed id event {} idx {} seq_num {} header seq num {} old seq num {}",
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// mkt_pk_string, idx, seq_num, header_seq_num, prev_seq_num
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// );
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// metric_events_change.increment();
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// let old_fill = FillEvent::new_from_spot(
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// old_event_view,
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// timestamp,
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// seq_num,
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// &mkt.1,
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// );
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// // first revoke old event
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// fill_update_sender
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// .try_send(FillEventFilterMessage::Update(FillUpdate {
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// slot,
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// write_version,
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// event: old_fill,
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// status: FillUpdateStatus::Revoke,
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// market_key: mkt_pk_string.clone(),
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// market_name: mkt.1.name.clone(),
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// }))
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// .unwrap(); // TODO: use anyhow to bubble up error
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// // then publish new
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// fill_update_sender
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// .try_send(FillEventFilterMessage::Update(FillUpdate {
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// slot,
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// write_version,
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// event: fill.clone(),
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// status: FillUpdateStatus::New,
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// market_key: mkt_pk_string.clone(),
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// market_name: mkt.1.name.clone(),
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// }))
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// .unwrap(); // TODO: use anyhow to bubble up error
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// }
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// // record new event in checkpoint
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// checkpoint.push(fill);
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// }
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// SpotEvent::Out { .. } => {
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// debug!(
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// "found changed type event {} idx {} seq_num {} header seq num {} old seq num {}",
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// mkt_pk_string, idx, seq_num, header_seq_num, prev_seq_num
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// );
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// metric_events_change.increment();
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// // publish new fill and record in checkpoint
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// fill_update_sender
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// .try_send(FillEventFilterMessage::Update(FillUpdate {
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// slot,
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// write_version,
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// event: fill.clone(),
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// status: FillUpdateStatus::New,
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// market_key: mkt_pk_string.clone(),
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// market_name: mkt.1.name.clone(),
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// }))
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// .unwrap(); // TODO: use anyhow to bubble up error
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// checkpoint.push(fill);
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// }
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// }
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// }
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// _ => continue,
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// }
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// }
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// // in case queue size shrunk due to a fork we need revoke all previous fills
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// for seq_num in header_seq_num..prev_seq_num {
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// let idx = (seq_num % MAX_NUM_EVENTS as u64) as usize;
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// let old_event_view = prev_events[idx].as_view().unwrap();
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// debug!(
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// "found dropped event {} idx {} seq_num {} header seq num {} old seq num {}",
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// mkt_pk_string, idx, seq_num, header_seq_num, prev_seq_num
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// );
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// metric_events_drop.increment();
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// match old_event_view {
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// SpotEvent::Fill { .. } => {
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// let old_fill = FillEvent::new_from_spot(old_event_view, timestamp, seq_num, &mkt.1);
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// fill_update_sender
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// .try_send(FillEventFilterMessage::Update(FillUpdate {
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// slot,
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// event: old_fill,
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// write_version,
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// status: FillUpdateStatus::Revoke,
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// market_key: mkt_pk_string.clone(),
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// market_name: mkt.1.name.clone(),
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// }))
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// .unwrap(); // TODO: use anyhow to bubble up error
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// }
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// SpotEvent::Out { .. } => continue,
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// }
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// }
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// fill_update_sender
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// .try_send(FillEventFilterMessage::Checkpoint(FillCheckpoint {
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// slot,
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// write_version,
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// events: checkpoint,
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// market: mkt_pk_string,
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// queue: evq_pk_string,
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// }))
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// .unwrap()
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}
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pub async fn init(
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perp_market_configs: Vec<(Pubkey, MarketConfig)>,
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spot_market_configs: Vec<(Pubkey, MarketConfig)>,
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metrics_sender: Metrics,
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exit: Arc<AtomicBool>,
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) -> anyhow::Result<(
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async_channel::Sender<AccountWrite>,
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async_channel::Sender<SlotUpdate>,
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async_channel::Receiver<FillEventFilterMessage>,
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)> {
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let metrics_sender = metrics_sender;
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let mut metric_events_new =
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metrics_sender.register_u64("fills_feed_events_new".into(), MetricType::Counter);
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let mut metric_events_new_serum =
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metrics_sender.register_u64("fills_feed_events_new_serum".into(), MetricType::Counter);
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let mut metric_events_change =
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metrics_sender.register_u64("fills_feed_events_change".into(), MetricType::Counter);
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let mut metric_events_change_serum =
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metrics_sender.register_u64("fills_feed_events_change_serum".into(), MetricType::Counter);
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let mut metrics_events_drop =
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metrics_sender.register_u64("fills_feed_events_drop".into(), MetricType::Counter);
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let mut metrics_events_drop_serum =
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metrics_sender.register_u64("fills_feed_events_drop_serum".into(), MetricType::Counter);
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let mut metrics_head_update =
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metrics_sender.register_u64("fills_feed_head_update".into(), MetricType::Counter);
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// The actual message may want to also contain a retry count, if it self-reinserts on failure?
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let (account_write_queue_sender, account_write_queue_receiver) =
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async_channel::unbounded::<AccountWrite>();
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// Slot updates flowing from the outside into the single processing thread. From
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// there they'll flow into the postgres sending thread.
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let (slot_queue_sender, slot_queue_receiver) = async_channel::unbounded::<SlotUpdate>();
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// Fill updates can be consumed by client connections, they contain all fills for all markets
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let (fill_update_sender, fill_update_receiver) =
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async_channel::unbounded::<FillEventFilterMessage>();
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let account_write_queue_receiver_c = account_write_queue_receiver;
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let mut chain_cache = ChainData::new();
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let mut chain_data_metrics = ChainDataMetrics::new(&metrics_sender);
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let mut perp_events_cache: HashMap<String, EventQueueEvents> = HashMap::new();
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let mut serum_events_cache: HashMap<String, Vec<serum_dex::state::Event>> = HashMap::new();
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let mut seq_num_cache = HashMap::new();
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let mut head_cache = HashMap::new();
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let mut last_evq_versions = HashMap::<String, (u64, u64)>::new();
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let all_market_configs = [perp_market_configs.clone(), spot_market_configs.clone()].concat();
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let perp_queue_pks: Vec<Pubkey> = perp_market_configs
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.iter()
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.map(|x| x.1.event_queue)
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.collect();
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let spot_queue_pks: Vec<Pubkey> = spot_market_configs
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.iter()
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.map(|x| x.1.event_queue)
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.collect();
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let all_queue_pks: HashSet<Pubkey> =
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HashSet::from_iter([perp_queue_pks, spot_queue_pks].concat());
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// update handling thread, reads both sloths and account updates
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tokio::spawn(async move {
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loop {
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if exit.load(Ordering::Relaxed) {
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warn!("shutting down fill_event_filter...");
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break;
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}
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tokio::select! {
|
|
Ok(account_write) = account_write_queue_receiver_c.recv() => {
|
|
if !all_queue_pks.contains(&account_write.pubkey) {
|
|
continue;
|
|
}
|
|
|
|
chain_cache.update_account(
|
|
account_write.pubkey,
|
|
AccountData {
|
|
slot: account_write.slot,
|
|
write_version: account_write.write_version,
|
|
account: WritableAccount::create(
|
|
account_write.lamports,
|
|
account_write.data.clone(),
|
|
account_write.owner,
|
|
account_write.executable,
|
|
account_write.rent_epoch as Epoch,
|
|
),
|
|
},
|
|
);
|
|
}
|
|
Ok(slot_update) = slot_queue_receiver.recv() => {
|
|
chain_cache.update_slot(SlotData {
|
|
slot: slot_update.slot,
|
|
parent: slot_update.parent,
|
|
status: slot_update.status,
|
|
chain: 0,
|
|
});
|
|
|
|
}
|
|
Err(e) = slot_queue_receiver.recv() => {
|
|
warn!("slot update channel err {:?}", e);
|
|
}
|
|
Err(e) = account_write_queue_receiver_c.recv() => {
|
|
warn!("write update channel err {:?}", e);
|
|
}
|
|
}
|
|
|
|
chain_data_metrics.report(&chain_cache);
|
|
|
|
for mkt in all_market_configs.iter() {
|
|
let evq_pk = mkt.1.event_queue;
|
|
let evq_pk_string = evq_pk.to_string();
|
|
let last_evq_version = last_evq_versions
|
|
.get(&mkt.1.event_queue.to_string())
|
|
.unwrap_or(&(0, 0));
|
|
|
|
match chain_cache.account(&evq_pk) {
|
|
Ok(account_info) => {
|
|
// only process if the account state changed
|
|
let evq_version = (account_info.slot, account_info.write_version);
|
|
if evq_version == *last_evq_version {
|
|
continue;
|
|
}
|
|
if evq_version.0 < last_evq_version.0 {
|
|
debug!("evq version slot was old");
|
|
continue;
|
|
}
|
|
if evq_version.0 == last_evq_version.0 && evq_version.1 < last_evq_version.1
|
|
{
|
|
info!("evq version slot was same and write version was old");
|
|
continue;
|
|
}
|
|
last_evq_versions.insert(evq_pk_string.clone(), evq_version);
|
|
|
|
let account = &account_info.account;
|
|
let is_perp = mango_v4::check_id(account.owner());
|
|
if is_perp {
|
|
let event_queue =
|
|
EventQueue::try_deserialize(account.data().borrow_mut()).unwrap();
|
|
|
|
match (
|
|
seq_num_cache.get(&evq_pk_string),
|
|
head_cache.get(&evq_pk_string),
|
|
) {
|
|
(Some(prev_seq_num), Some(prev_head)) => match perp_events_cache
|
|
.get(&evq_pk_string)
|
|
{
|
|
Some(prev_events) => publish_changes_perp(
|
|
account_info.slot,
|
|
account_info.write_version,
|
|
mkt,
|
|
&event_queue.header,
|
|
&event_queue.buf,
|
|
*prev_seq_num,
|
|
*prev_head,
|
|
prev_events,
|
|
&fill_update_sender,
|
|
&mut metric_events_new,
|
|
&mut metric_events_change,
|
|
&mut metrics_events_drop,
|
|
&mut metrics_head_update,
|
|
),
|
|
_ => {
|
|
info!("perp_events_cache could not find {}", evq_pk_string)
|
|
}
|
|
},
|
|
_ => info!("seq_num/head cache could not find {}", evq_pk_string),
|
|
}
|
|
|
|
seq_num_cache.insert(evq_pk_string.clone(), event_queue.header.seq_num);
|
|
head_cache.insert(evq_pk_string.clone(), event_queue.header.head());
|
|
perp_events_cache.insert(evq_pk_string.clone(), event_queue.buf);
|
|
} else {
|
|
let inner_data = &account.data()[5..&account.data().len() - 7];
|
|
let header_span = std::mem::size_of::<SerumEventQueueHeader>();
|
|
let header: SerumEventQueueHeader =
|
|
*bytemuck::from_bytes(&inner_data[..header_span]);
|
|
let seq_num = header.seq_num;
|
|
let count = header.count;
|
|
let rest = &inner_data[header_span..];
|
|
let slop = rest.len() % std::mem::size_of::<serum_dex::state::Event>();
|
|
let new_len = rest.len() - slop;
|
|
let events = &rest[..new_len];
|
|
debug!("evq {} header_span {} header_seq_num {} header_count {} inner_len {} events_len {} sizeof Event {}", evq_pk_string, header_span, seq_num, count, inner_data.len(), events.len(), std::mem::size_of::<serum_dex::state::Event>());
|
|
let events: &[serum_dex::state::Event] = bytemuck::cast_slice(events);
|
|
|
|
match seq_num_cache.get(&evq_pk_string) {
|
|
Some(prev_seq_num) => {
|
|
match serum_events_cache.get(&evq_pk_string) {
|
|
Some(prev_events) => publish_changes_serum(
|
|
account_info.slot,
|
|
account_info.write_version,
|
|
mkt,
|
|
&header,
|
|
events,
|
|
*prev_seq_num,
|
|
prev_events,
|
|
&fill_update_sender,
|
|
&mut metric_events_new_serum,
|
|
&mut metric_events_change_serum,
|
|
&mut metrics_events_drop_serum,
|
|
),
|
|
_ => {
|
|
debug!(
|
|
"serum_events_cache could not find {}",
|
|
evq_pk_string
|
|
)
|
|
}
|
|
}
|
|
}
|
|
_ => debug!("seq_num_cache could not find {}", evq_pk_string),
|
|
}
|
|
|
|
seq_num_cache.insert(evq_pk_string.clone(), seq_num);
|
|
head_cache.insert(evq_pk_string.clone(), header.head as usize);
|
|
serum_events_cache.insert(evq_pk_string.clone(), events.to_vec());
|
|
}
|
|
}
|
|
Err(_) => debug!("chain_cache could not find {}", mkt.1.event_queue),
|
|
}
|
|
}
|
|
}
|
|
});
|
|
|
|
Ok((
|
|
account_write_queue_sender,
|
|
slot_queue_sender,
|
|
fill_update_receiver,
|
|
))
|
|
}
|