feat: add traders base volume endpoint
This commit is contained in:
dboures
parent
6e8ddd1ef5
commit
c01e53b41c
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@ -2021,9 +2021,9 @@ checksum = "3a471a38ef8ed83cd6e40aa59c1ffe17db6855c18e3604d9c4ed8c08ebc28678"
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[[package]]
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name = "futures"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "38390104763dc37a5145a53c29c63c1290b5d316d6086ec32c293f6736051bb0"
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checksum = "531ac96c6ff5fd7c62263c5e3c67a603af4fcaee2e1a0ae5565ba3a11e69e549"
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dependencies = [
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"futures-channel",
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"futures-core",
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@ -2036,9 +2036,9 @@ dependencies = [
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[[package]]
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name = "futures-channel"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "52ba265a92256105f45b719605a571ffe2d1f0fea3807304b522c1d778f79eed"
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checksum = "164713a5a0dcc3e7b4b1ed7d3b433cabc18025386f9339346e8daf15963cf7ac"
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dependencies = [
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"futures-core",
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"futures-sink",
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@ -2046,15 +2046,15 @@ dependencies = [
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[[package]]
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name = "futures-core"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "04909a7a7e4633ae6c4a9ab280aeb86da1236243a77b694a49eacd659a4bd3ac"
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checksum = "86d7a0c1aa76363dac491de0ee99faf6941128376f1cf96f07db7603b7de69dd"
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[[package]]
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name = "futures-executor"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "7acc85df6714c176ab5edf386123fafe217be88c0840ec11f199441134a074e2"
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checksum = "1997dd9df74cdac935c76252744c1ed5794fac083242ea4fe77ef3ed60ba0f83"
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dependencies = [
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"futures-core",
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"futures-task",
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@ -2075,15 +2075,15 @@ dependencies = [
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[[package]]
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name = "futures-io"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "00f5fb52a06bdcadeb54e8d3671f8888a39697dcb0b81b23b55174030427f4eb"
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checksum = "89d422fa3cbe3b40dca574ab087abb5bc98258ea57eea3fd6f1fa7162c778b91"
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[[package]]
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name = "futures-macro"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "bdfb8ce053d86b91919aad980c220b1fb8401a9394410e1c289ed7e66b61835d"
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checksum = "3eb14ed937631bd8b8b8977f2c198443447a8355b6e3ca599f38c975e5a963b6"
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dependencies = [
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"proc-macro2 1.0.50",
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"quote 1.0.23",
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@ -2092,21 +2092,21 @@ dependencies = [
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[[package]]
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name = "futures-sink"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "39c15cf1a4aa79df40f1bb462fb39676d0ad9e366c2a33b590d7c66f4f81fcf9"
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checksum = "ec93083a4aecafb2a80a885c9de1f0ccae9dbd32c2bb54b0c3a65690e0b8d2f2"
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[[package]]
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name = "futures-task"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "2ffb393ac5d9a6eaa9d3fdf37ae2776656b706e200c8e16b1bdb227f5198e6ea"
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checksum = "fd65540d33b37b16542a0438c12e6aeead10d4ac5d05bd3f805b8f35ab592879"
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[[package]]
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name = "futures-util"
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version = "0.3.25"
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version = "0.3.27"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "197676987abd2f9cadff84926f410af1c183608d36641465df73ae8211dc65d6"
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checksum = "3ef6b17e481503ec85211fed8f39d1970f128935ca1f814cd32ac4a6842e84ab"
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dependencies = [
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"futures 0.1.31",
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"futures-channel",
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@ -2203,7 +2203,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "f8af59a261bcf42f45d1b261232847b9b850ba0a1419d6100698246fb66e9240"
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dependencies = [
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"arc-swap",
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"futures 0.3.25",
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"futures 0.3.27",
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"log 0.4.17",
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"reqwest",
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"serde",
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@ -2495,7 +2495,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "ca815a891b24fdfb243fa3239c86154392b0953ee584aa1a2a1f66d20cbe75cc"
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dependencies = [
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"bytes 1.3.0",
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"futures 0.3.25",
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"futures 0.3.27",
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"headers",
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"http",
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"hyper 0.14.23",
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@ -2735,7 +2735,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "d2b99d4207e2a04fb4581746903c2bb7eb376f88de9c699d0f3e10feeac0cd3a"
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dependencies = [
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"derive_more",
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"futures 0.3.25",
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"futures 0.3.27",
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"hyper 0.14.23",
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"jsonrpc-core",
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"jsonrpc-pubsub",
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@ -2753,7 +2753,7 @@ version = "18.0.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "14f7f76aef2d054868398427f6c54943cf3d1caa9a7ec7d0c38d69df97a965eb"
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dependencies = [
|
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"futures 0.3.25",
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"futures 0.3.27",
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"futures-executor",
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"futures-util",
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"log 0.4.17",
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@ -2768,7 +2768,7 @@ version = "18.0.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "b51da17abecbdab3e3d4f26b01c5ec075e88d3abe3ab3b05dc9aa69392764ec0"
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dependencies = [
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"futures 0.3.25",
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"futures 0.3.27",
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"jsonrpc-client-transports",
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]
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@ -2790,7 +2790,7 @@ version = "18.0.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "e1dea6e07251d9ce6a552abfb5d7ad6bc290a4596c8dcc3d795fae2bbdc1f3ff"
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dependencies = [
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"futures 0.3.25",
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"futures 0.3.27",
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"hyper 0.14.23",
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"jsonrpc-core",
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"jsonrpc-server-utils",
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@ -2806,7 +2806,7 @@ version = "18.0.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "240f87695e6c6f62fb37f05c02c04953cf68d6408b8c1c89de85c7a0125b1011"
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dependencies = [
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"futures 0.3.25",
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"futures 0.3.27",
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"jsonrpc-core",
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"lazy_static",
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"log 0.4.17",
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@ -2822,7 +2822,7 @@ source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "fa4fdea130485b572c39a460d50888beb00afb3e35de23ccd7fad8ff19f0e0d4"
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dependencies = [
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"bytes 1.3.0",
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"futures 0.3.25",
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"futures 0.3.27",
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"globset",
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"jsonrpc-core",
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"lazy_static",
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@ -3501,6 +3501,7 @@ dependencies = [
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"derive_more",
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"dotenv",
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"env_logger 0.10.0",
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"futures 0.3.27",
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"jsonrpc-core-client",
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"log 0.4.17",
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"num-traits",
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@ -5058,7 +5059,7 @@ checksum = "41d1c5305e39e09653383c2c7244f2f78b3bcae37cf50c64cb4789c9f5096ec2"
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dependencies = [
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"base64 0.13.1",
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"bytes 1.3.0",
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"futures 0.3.25",
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"futures 0.3.27",
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"httparse",
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"log 0.4.17",
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"rand 0.8.5",
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@ -5213,7 +5214,7 @@ dependencies = [
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"clap 2.34.0",
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"crossbeam-channel",
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"enum_dispatch",
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"futures 0.3.25",
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"futures 0.3.27",
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"futures-util",
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"indexmap",
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"indicatif",
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@ -5429,7 +5430,7 @@ dependencies = [
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"crossbeam-channel",
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"dashmap",
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"fs_extra",
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"futures 0.3.25",
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"futures 0.3.27",
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"itertools",
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"lazy_static",
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"libc",
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@ -5927,7 +5928,7 @@ dependencies = [
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"bzip2",
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"enum-iterator",
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"flate2",
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"futures 0.3.25",
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"futures 0.3.27",
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"goauth",
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"http",
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"hyper 0.14.23",
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@ -18,6 +18,7 @@ path = "src/server/main.rs"
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[dependencies]
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tokio = { version = "1", features = ["full"] }
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tokio-stream = "0.1"
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futures = "0.3.27"
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jsonrpc-core-client = { version = "18.0.0", features = ["ws", "http"] }
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@ -20,24 +20,6 @@
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},
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"query": "CREATE INDEX IF NOT EXISTS idx_id_market ON fills (id, market)"
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},
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"63fd83accf07c969461c66ca26a28f506dbbc2e8c0b7d74d9a06ccf52aa1b8b6": {
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"describe": {
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"columns": [
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{
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"name": "total",
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"ordinal": 0,
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"type_info": "Int8"
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}
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],
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"nullable": [
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null
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],
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"parameters": {
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"Left": []
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}
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},
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"query": "Select COUNT(*) as total from fills"
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},
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"6658c0121e5a7defbd1fe7c549ca0a957b188b9eb1837573a05d0e6476ef945a": {
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"describe": {
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"columns": [],
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@ -349,6 +331,40 @@
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},
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"query": "SELECT \n time as \"time!\",\n bid as \"bid!\",\n maker as \"maker!\",\n native_qty_paid as \"native_qty_paid!\",\n native_qty_received as \"native_qty_received!\",\n native_fee_or_rebate as \"native_fee_or_rebate!\" \n from fills \n where market = $1\n and time >= $2\n and time < $3 \n and maker = true\n ORDER BY time asc"
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},
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"dc367af7bb8da9d57033833da06567f3f3cfdcff72e5b140ccd3355f91b4c5a7": {
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"describe": {
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"columns": [
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{
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"name": "open_orders_owner",
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"ordinal": 0,
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"type_info": "Text"
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},
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{
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"name": "raw_ask_size!",
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"ordinal": 1,
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"type_info": "Numeric"
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},
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{
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"name": "raw_bid_size!",
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"ordinal": 2,
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"type_info": "Numeric"
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}
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],
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"nullable": [
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false,
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null,
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null
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],
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"parameters": {
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"Left": [
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"Text",
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"Timestamptz",
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"Timestamptz"
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]
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}
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},
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"query": "SELECT \n open_orders_owner, \n sum(\n native_qty_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END\n ) as \"raw_ask_size!\",\n sum(\n native_qty_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END\n ) as \"raw_bid_size!\"\n FROM public.\"fills\"\n WHERE market = $1\n AND time >= $2\n AND time < $3\n GROUP BY open_orders_owner\n ORDER BY \n sum(native_qty_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END) \n + \n sum(native_qty_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END) \nDESC "
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},
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"dc7c7c04b6870b9617e1e869aa4b7027baddaeeb22f2792f2e9c40f643f863c7": {
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"describe": {
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"columns": [
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@ -4,10 +4,11 @@ use sqlx::{types::Decimal, Pool, Postgres};
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use std::cmp::{max, min};
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use crate::{
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database::{
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fetch::{fetch_candles_from, fetch_earliest_candle, fetch_latest_finished_candle},
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Candle,
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}, structs::resolution::{day, Resolution},
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database::fetch::{fetch_candles_from, fetch_earliest_candle, fetch_latest_finished_candle},
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structs::{
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candle::Candle,
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resolution::{day, Resolution},
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},
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};
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pub async fn batch_higher_order_candles(
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@ -4,10 +4,15 @@ use chrono::{DateTime, Duration, DurationRound, Utc};
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use num_traits::{FromPrimitive, Zero};
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use sqlx::{types::Decimal, Pool, Postgres};
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use crate::{database::{
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fetch::{fetch_earliest_fill, fetch_fills_from, fetch_latest_finished_candle},
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Candle, PgOpenBookFill,
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}, structs::{markets::MarketInfo, resolution::{Resolution, day}}};
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use crate::{
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database::fetch::{fetch_earliest_fill, fetch_fills_from, fetch_latest_finished_candle},
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structs::{
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candle::Candle,
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markets::MarketInfo,
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openbook::{calculate_fill_price_and_size, PgOpenBookFill},
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resolution::{day, Resolution},
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},
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};
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pub async fn batch_1m_candles(
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pool: &Pool<Postgres>,
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@ -106,35 +111,3 @@ fn combine_fills_into_1m_candles(
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candles
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}
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fn calculate_fill_price_and_size(
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fill: PgOpenBookFill,
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base_decimals: u8,
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quote_decimals: u8,
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) -> (Decimal, Decimal) {
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if fill.bid {
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let price_before_fees = if fill.maker {
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fill.native_qty_paid + fill.native_fee_or_rebate
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} else {
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fill.native_qty_paid - fill.native_fee_or_rebate
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};
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let price = (price_before_fees * token_factor(base_decimals))
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/ (token_factor(quote_decimals) * fill.native_qty_received);
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let size = fill.native_qty_received / token_factor(base_decimals);
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(price, size)
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} else {
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let price_before_fees = if fill.maker {
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fill.native_qty_received - fill.native_fee_or_rebate
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} else {
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fill.native_qty_received + fill.native_fee_or_rebate
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};
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let price = (price_before_fees * token_factor(base_decimals))
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/ (token_factor(quote_decimals) * fill.native_qty_paid);
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let size = fill.native_qty_paid / token_factor(base_decimals);
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(price, size)
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}
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}
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fn token_factor(decimals: u8) -> Decimal {
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Decimal::from_u64(10u64.pow(decimals as u32)).unwrap()
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}
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@ -8,13 +8,11 @@ use tokio::{sync::mpsc::Sender, time::sleep};
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use crate::{
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candle_creation::candle_batching::minute_candles::batch_1m_candles,
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database::{Candle}, structs::{markets::MarketInfo, resolution::Resolution},
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structs::{candle::Candle, markets::MarketInfo, resolution::Resolution},
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};
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use self::higher_order_candles::batch_higher_order_candles;
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pub async fn batch_candles(
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pool: Pool<Postgres>,
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candles_sender: &Sender<Vec<Candle>>,
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@ -7,11 +7,11 @@ use openbook_candles::candle_creation::trade_fetching::{
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use openbook_candles::database::{
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||||
initialize::{connect_to_database, setup_database},
|
||||
insert::{persist_candles, persist_fill_events},
|
||||
Candle,
|
||||
};
|
||||
use openbook_candles::structs::candle::Candle;
|
||||
use openbook_candles::structs::markets::load_markets;
|
||||
use openbook_candles::structs::openbook::OpenBookFillEventLog;
|
||||
use openbook_candles::utils::{Config};
|
||||
use openbook_candles::utils::Config;
|
||||
use solana_sdk::pubkey::Pubkey;
|
||||
use std::{collections::HashMap, str::FromStr};
|
||||
use tokio::sync::mpsc;
|
||||
|
|
@ -22,7 +22,10 @@ async fn main() -> anyhow::Result<()> {
|
|||
|
||||
let rpc_url: String = dotenv::var("RPC_URL").unwrap();
|
||||
let database_url: String = dotenv::var("DATABASE_URL").unwrap();
|
||||
let max_pg_pool_connections: u32 = dotenv::var("MAX_PG_POOL_CONNS_WORKER").unwrap().parse::<u32>().unwrap();
|
||||
let max_pg_pool_connections: u32 = dotenv::var("MAX_PG_POOL_CONNS_WORKER")
|
||||
.unwrap()
|
||||
.parse::<u32>()
|
||||
.unwrap();
|
||||
|
||||
let config = Config {
|
||||
rpc_url: rpc_url.clone(),
|
||||
|
|
@ -43,11 +46,11 @@ async fn main() -> anyhow::Result<()> {
|
|||
|
||||
let (fill_sender, fill_receiver) = mpsc::channel::<OpenBookFillEventLog>(1000);
|
||||
|
||||
let bf_sender = fill_sender.clone();
|
||||
let targets = target_markets.clone();
|
||||
tokio::spawn(async move {
|
||||
backfill(&rpc_url.clone(), &bf_sender, &targets).await;
|
||||
});
|
||||
// let bf_sender = fill_sender.clone();
|
||||
// let targets = target_markets.clone();
|
||||
// tokio::spawn(async move {
|
||||
// backfill(&rpc_url.clone(), &bf_sender, &targets).await;
|
||||
// });
|
||||
|
||||
tokio::spawn(async move {
|
||||
scrape(&config, &fill_sender, &target_markets).await; //TODO: send the vec, it's okay
|
||||
|
|
|
|||
|
|
@ -1,14 +1,17 @@
|
|||
use chrono::{DateTime, Duration, NaiveDateTime, Utc};
|
||||
use solana_client::{rpc_client::RpcClient, rpc_config::RpcTransactionConfig};
|
||||
use solana_client::{nonblocking::rpc_client::RpcClient, rpc_config::RpcTransactionConfig};
|
||||
use solana_sdk::{commitment_config::CommitmentConfig, pubkey::Pubkey, signature::Signature};
|
||||
use solana_transaction_status::UiTransactionEncoding;
|
||||
use std::collections::HashMap;
|
||||
use tokio::sync::mpsc::Sender;
|
||||
|
||||
use crate::{candle_creation::trade_fetching::scrape::scrape_transactions, structs::openbook::OpenBookFillEventLog};
|
||||
use crate::{
|
||||
candle_creation::trade_fetching::scrape::scrape_transactions,
|
||||
structs::openbook::OpenBookFillEventLog,
|
||||
};
|
||||
|
||||
pub async fn backfill(
|
||||
rpc_url: &String,
|
||||
rpc_url: String,
|
||||
fill_sender: &Sender<OpenBookFillEventLog>,
|
||||
target_markets: &HashMap<Pubkey, u8>,
|
||||
) {
|
||||
|
|
@ -31,9 +34,12 @@ pub async fn backfill(
|
|||
commitment: Some(CommitmentConfig::confirmed()),
|
||||
max_supported_transaction_version: Some(0),
|
||||
};
|
||||
match rpc_client.get_transaction_with_config(&last_sig_option.unwrap(), txn_config) {
|
||||
match rpc_client
|
||||
.get_transaction_with_config(&last_sig_option.unwrap(), txn_config)
|
||||
.await
|
||||
{
|
||||
Ok(txn) => {
|
||||
let unix_sig_time = rpc_client.get_block_time(txn.slot).unwrap();
|
||||
let unix_sig_time = rpc_client.get_block_time(txn.slot).await.unwrap();
|
||||
if unix_sig_time < end_time {
|
||||
break;
|
||||
}
|
||||
|
|
|
|||
|
|
@ -1,8 +1,10 @@
|
|||
use anchor_lang::AnchorDeserialize;
|
||||
use futures::future::join_all;
|
||||
use solana_account_decoder::UiAccountEncoding;
|
||||
use solana_client::{
|
||||
client_error::Result as ClientResult,
|
||||
rpc_client::{GetConfirmedSignaturesForAddress2Config, RpcClient},
|
||||
nonblocking::rpc_client::RpcClient,
|
||||
rpc_client::GetConfirmedSignaturesForAddress2Config,
|
||||
rpc_config::{RpcAccountInfoConfig, RpcTransactionConfig},
|
||||
};
|
||||
use solana_sdk::{
|
||||
|
|
@ -14,18 +16,22 @@ use std::{collections::HashMap, str::FromStr, time::Duration as WaitDuration};
|
|||
use tokio::sync::mpsc::Sender;
|
||||
|
||||
use crate::{
|
||||
utils::{Config}, structs::{openbook::{OpenBookFillEventLog, MarketState}, markets::{MarketInfo, MarketConfig}},
|
||||
structs::{
|
||||
markets::{MarketConfig, MarketInfo},
|
||||
openbook::{MarketState, OpenBookFillEventLog},
|
||||
},
|
||||
utils::Config,
|
||||
};
|
||||
|
||||
use super::parsing::{parse_trades_from_openbook_txns};
|
||||
use super::parsing::parse_trades_from_openbook_txns;
|
||||
|
||||
pub async fn scrape(
|
||||
config: &Config,
|
||||
fill_sender: &Sender<OpenBookFillEventLog>,
|
||||
target_markets: &HashMap<Pubkey, u8>,
|
||||
) {
|
||||
let url = &config.rpc_url;
|
||||
let rpc_client = RpcClient::new_with_commitment(url, CommitmentConfig::processed());
|
||||
let rpc_client =
|
||||
RpcClient::new_with_commitment(config.rpc_url.clone(), CommitmentConfig::processed());
|
||||
|
||||
let before_slot = None;
|
||||
loop {
|
||||
|
|
@ -55,10 +61,13 @@ pub async fn scrape_transactions(
|
|||
commitment: Some(CommitmentConfig::confirmed()),
|
||||
};
|
||||
|
||||
let mut sigs = match rpc_client.get_signatures_for_address_with_config(
|
||||
&Pubkey::from_str("srmqPvymJeFKQ4zGQed1GFppgkRHL9kaELCbyksJtPX").unwrap(),
|
||||
rpc_config,
|
||||
) {
|
||||
let mut sigs = match rpc_client
|
||||
.get_signatures_for_address_with_config(
|
||||
&Pubkey::from_str("srmqPvymJeFKQ4zGQed1GFppgkRHL9kaELCbyksJtPX").unwrap(),
|
||||
rpc_config,
|
||||
)
|
||||
.await
|
||||
{
|
||||
Ok(s) => s,
|
||||
Err(e) => {
|
||||
println!("Error in get_signatures_for_address_with_config: {}", e);
|
||||
|
|
@ -85,15 +94,17 @@ pub async fn scrape_transactions(
|
|||
max_supported_transaction_version: Some(0),
|
||||
};
|
||||
|
||||
let mut txns = sigs
|
||||
let signatures: Vec<_> = sigs
|
||||
.into_iter()
|
||||
.map(|sig| {
|
||||
rpc_client.get_transaction_with_config(
|
||||
&sig.signature.parse::<Signature>().unwrap(),
|
||||
txn_config,
|
||||
)
|
||||
})
|
||||
.collect::<Vec<ClientResult<EncodedConfirmedTransactionWithStatusMeta>>>(); // TODO: am I actually getting all the txns?
|
||||
.map(|sig| sig.signature.parse::<Signature>().unwrap())
|
||||
.collect();
|
||||
|
||||
let txn_futs: Vec<_> = signatures
|
||||
.iter()
|
||||
.map(|s| rpc_client.get_transaction_with_config(&s, txn_config))
|
||||
.collect();
|
||||
|
||||
let mut txns = join_all(txn_futs).await;
|
||||
|
||||
let fills = parse_trades_from_openbook_txns(&mut txns, target_markets);
|
||||
if fills.len() > 0 {
|
||||
|
|
@ -111,8 +122,8 @@ pub async fn fetch_market_infos(
|
|||
config: &Config,
|
||||
markets: Vec<MarketConfig>,
|
||||
) -> anyhow::Result<Vec<MarketInfo>> {
|
||||
let url = &config.rpc_url;
|
||||
let rpc_client = RpcClient::new_with_commitment(url, CommitmentConfig::processed());
|
||||
let rpc_client =
|
||||
RpcClient::new_with_commitment(config.rpc_url.clone(), CommitmentConfig::processed());
|
||||
|
||||
let rpc_config = RpcAccountInfoConfig {
|
||||
encoding: Some(UiAccountEncoding::Base64),
|
||||
|
|
@ -127,7 +138,7 @@ pub async fn fetch_market_infos(
|
|||
.collect::<Vec<Pubkey>>();
|
||||
let mut market_results = rpc_client
|
||||
.get_multiple_accounts_with_config(&market_keys, rpc_config.clone())
|
||||
.unwrap()
|
||||
.await?
|
||||
.value;
|
||||
|
||||
let mut mint_key_map = HashMap::new();
|
||||
|
|
@ -171,7 +182,7 @@ pub async fn fetch_market_infos(
|
|||
|
||||
let mint_results = rpc_client
|
||||
.get_multiple_accounts_with_config(&mint_keys, rpc_config)
|
||||
.unwrap()
|
||||
.await?
|
||||
.value;
|
||||
for i in 0..mint_results.len() {
|
||||
let mut mint_account = mint_results[i].as_ref().unwrap().clone();
|
||||
|
|
|
|||
|
|
@ -1,9 +1,14 @@
|
|||
use chrono::{DateTime, Utc};
|
||||
use sqlx::{Pool, Postgres};
|
||||
|
||||
use crate::{database::PgOpenBookFill, utils::AnyhowWrap};
|
||||
|
||||
use super::{Candle, Resolution};
|
||||
use crate::{
|
||||
structs::{
|
||||
candle::Candle,
|
||||
openbook::{PgOpenBookFill, PgTrader},
|
||||
resolution::Resolution,
|
||||
},
|
||||
utils::AnyhowWrap,
|
||||
};
|
||||
|
||||
pub async fn fetch_earliest_fill(
|
||||
pool: &Pool<Postgres>,
|
||||
|
|
@ -192,3 +197,40 @@ pub async fn fetch_tradingview_candles(
|
|||
.await
|
||||
.map_err_anyhow()
|
||||
}
|
||||
|
||||
pub async fn fetch_top_traders_by_volume_from(
|
||||
pool: &Pool<Postgres>,
|
||||
market_address_string: &str,
|
||||
start_time: DateTime<Utc>,
|
||||
end_time: DateTime<Utc>,
|
||||
) -> anyhow::Result<Vec<PgTrader>> {
|
||||
sqlx::query_as!(
|
||||
PgTrader,
|
||||
r#"SELECT
|
||||
open_orders_owner,
|
||||
sum(
|
||||
native_qty_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END
|
||||
) as "raw_ask_size!",
|
||||
sum(
|
||||
native_qty_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END
|
||||
) as "raw_bid_size!"
|
||||
FROM public."fills"
|
||||
WHERE market = $1
|
||||
AND time >= $2
|
||||
AND time < $3
|
||||
GROUP BY open_orders_owner
|
||||
ORDER BY
|
||||
sum(native_qty_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END)
|
||||
+
|
||||
sum(native_qty_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END)
|
||||
DESC "#,
|
||||
market_address_string,
|
||||
start_time,
|
||||
end_time
|
||||
)
|
||||
.fetch_all(pool)
|
||||
.await
|
||||
.map_err_anyhow()
|
||||
}
|
||||
|
||||
// pub async fn fetch_traders_above_x_dollars
|
||||
|
|
|
|||
|
|
@ -7,9 +7,10 @@ use std::{
|
|||
};
|
||||
use tokio::sync::mpsc::{error::TryRecvError, Receiver};
|
||||
|
||||
use crate::{utils::AnyhowWrap, structs::openbook::OpenBookFillEventLog};
|
||||
|
||||
use super::Candle;
|
||||
use crate::{
|
||||
structs::{candle::Candle, openbook::OpenBookFillEventLog},
|
||||
utils::AnyhowWrap,
|
||||
};
|
||||
|
||||
pub async fn persist_fill_events(
|
||||
pool: &Pool<Postgres>,
|
||||
|
|
|
|||
|
|
@ -1,56 +1,3 @@
|
|||
use chrono::{DateTime, NaiveDateTime, Utc};
|
||||
use num_traits::Zero;
|
||||
use sqlx::types::Decimal;
|
||||
|
||||
use crate::structs::resolution::Resolution;
|
||||
|
||||
pub mod fetch;
|
||||
pub mod initialize;
|
||||
pub mod insert;
|
||||
|
||||
pub trait Summary {
|
||||
fn summarize(&self) -> String;
|
||||
}
|
||||
|
||||
#[derive(Clone, Debug)]
|
||||
pub struct Candle {
|
||||
pub market_name: String,
|
||||
pub start_time: DateTime<Utc>,
|
||||
pub end_time: DateTime<Utc>,
|
||||
pub resolution: String,
|
||||
pub open: Decimal,
|
||||
pub close: Decimal,
|
||||
pub high: Decimal,
|
||||
pub low: Decimal,
|
||||
pub volume: Decimal,
|
||||
pub complete: bool,
|
||||
}
|
||||
|
||||
impl Candle {
|
||||
pub fn create_empty_candle(market_name: String, resolution: Resolution) -> Candle {
|
||||
Candle {
|
||||
market_name,
|
||||
start_time: DateTime::from_utc(NaiveDateTime::MIN, Utc),
|
||||
end_time: DateTime::from_utc(NaiveDateTime::MIN, Utc),
|
||||
resolution: resolution.to_string(),
|
||||
open: Decimal::zero(),
|
||||
close: Decimal::zero(),
|
||||
high: Decimal::zero(),
|
||||
low: Decimal::zero(),
|
||||
volume: Decimal::zero(),
|
||||
complete: false,
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
#[derive(Copy, Clone, Debug, PartialEq)]
|
||||
pub struct PgOpenBookFill {
|
||||
pub time: DateTime<Utc>,
|
||||
pub bid: bool,
|
||||
pub maker: bool,
|
||||
pub native_qty_paid: Decimal,
|
||||
pub native_qty_received: Decimal,
|
||||
pub native_fee_or_rebate: Decimal,
|
||||
}
|
||||
|
||||
|
||||
|
|
|
|||
|
|
@ -1,4 +1,4 @@
|
|||
pub mod candle_creation;
|
||||
pub mod database;
|
||||
pub mod utils;
|
||||
pub mod structs;
|
||||
pub mod utils;
|
||||
|
|
|
|||
|
|
@ -1,10 +1,17 @@
|
|||
use chrono::{Utc, NaiveDateTime};
|
||||
use openbook_candles::{utils::WebContext, database::{fetch::fetch_tradingview_candles}, structs::{resolution::Resolution, markets::MarketInfo, tradingview::TvResponse}};
|
||||
use openbook_candles::{
|
||||
database::fetch::fetch_tradingview_candles,
|
||||
structs::{
|
||||
markets::{valid_market, MarketInfo},
|
||||
resolution::Resolution,
|
||||
tradingview::TvResponse,
|
||||
},
|
||||
utils::{to_timestampz, WebContext},
|
||||
};
|
||||
|
||||
use crate::server_error::ServerError;
|
||||
|
||||
use {
|
||||
actix_web::{get, web, HttpResponse, Scope},
|
||||
actix_web::{get, web, HttpResponse},
|
||||
serde::Deserialize,
|
||||
};
|
||||
|
||||
|
|
@ -16,11 +23,6 @@ pub struct Params {
|
|||
pub resolution: String,
|
||||
}
|
||||
|
||||
pub fn service() -> Scope {
|
||||
web::scope("/tradingview")
|
||||
.service(get_candles)
|
||||
}
|
||||
|
||||
#[get("/candles")]
|
||||
pub async fn get_candles(
|
||||
info: web::Query<Params>,
|
||||
|
|
@ -36,18 +38,13 @@ pub async fn get_candles(
|
|||
let from = to_timestampz(info.from);
|
||||
let to = to_timestampz(info.to);
|
||||
|
||||
let candles = match fetch_tradingview_candles(&context.pool, &info.market_name, resolution, from, to).await {
|
||||
Ok(c) => c,
|
||||
Err(_) => return Err(ServerError::DbQueryError)
|
||||
};
|
||||
let candles =
|
||||
match fetch_tradingview_candles(&context.pool, &info.market_name, resolution, from, to)
|
||||
.await
|
||||
{
|
||||
Ok(c) => c,
|
||||
Err(_) => return Err(ServerError::DbQueryError),
|
||||
};
|
||||
|
||||
Ok(HttpResponse::Ok().json(TvResponse::candles_to_tv(candles)))
|
||||
}
|
||||
|
||||
fn valid_market(market_name: &str, markets: &Vec<MarketInfo>) -> bool {
|
||||
markets.iter().any(|x| x.name == market_name)
|
||||
}
|
||||
|
||||
fn to_timestampz(seconds: u64) -> chrono::DateTime<Utc> {
|
||||
chrono::DateTime::<Utc>::from_utc(NaiveDateTime::from_timestamp(seconds as i64, 0), Utc)
|
||||
}
|
||||
|
|
@ -4,32 +4,21 @@ use actix_web::{
|
|||
web::{self, Data},
|
||||
App, HttpResponse, HttpServer, Responder,
|
||||
};
|
||||
use candles::get_candles;
|
||||
use dotenv;
|
||||
use openbook_candles::{utils::{Config, WebContext}, candle_creation::trade_fetching::scrape::fetch_market_infos, database::initialize::connect_to_database, structs::markets::load_markets};
|
||||
use openbook_candles::{
|
||||
candle_creation::trade_fetching::scrape::fetch_market_infos,
|
||||
database::initialize::connect_to_database,
|
||||
structs::markets::load_markets,
|
||||
utils::{Config, WebContext},
|
||||
};
|
||||
use sqlx::{Pool, Postgres};
|
||||
use traders::get_top_traders_by_base_volume;
|
||||
|
||||
mod candles;
|
||||
mod server_error;
|
||||
mod traders;
|
||||
|
||||
#[get("/")]
|
||||
async fn hello() -> impl Responder {
|
||||
HttpResponse::Ok().body("Hello world!")
|
||||
}
|
||||
|
||||
#[get("/trade-count")]
|
||||
async fn get_total_trades(pool_data: web::Data<Pool<Postgres>>) -> impl Responder {
|
||||
let pool = pool_data.get_ref();
|
||||
let total_query = sqlx::query!("Select COUNT(*) as total from fills")
|
||||
.fetch_one(pool)
|
||||
.await
|
||||
.unwrap();
|
||||
let total_trades: i64 = total_query.total.unwrap_or_else(|| 0);
|
||||
HttpResponse::Ok().json(total_trades)
|
||||
}
|
||||
|
||||
async fn manual_hello() -> impl Responder {
|
||||
HttpResponse::Ok().body("Hey there!")
|
||||
}
|
||||
|
||||
#[actix_web::main]
|
||||
async fn main() -> std::io::Result<()> {
|
||||
|
|
@ -38,7 +27,10 @@ async fn main() -> std::io::Result<()> {
|
|||
|
||||
let rpc_url: String = dotenv::var("RPC_URL").unwrap();
|
||||
let database_url: String = dotenv::var("DATABASE_URL").unwrap();
|
||||
let max_pg_pool_connections: u32 = dotenv::var("MAX_PG_POOL_CONNS_SERVER").unwrap().parse::<u32>().unwrap();
|
||||
let max_pg_pool_connections: u32 = dotenv::var("MAX_PG_POOL_CONNS_SERVER")
|
||||
.unwrap()
|
||||
.parse::<u32>()
|
||||
.unwrap();
|
||||
|
||||
let config = Config {
|
||||
rpc_url: rpc_url.clone(),
|
||||
|
|
@ -55,12 +47,17 @@ async fn main() -> std::io::Result<()> {
|
|||
markets: market_infos,
|
||||
});
|
||||
|
||||
println!("Starting server");
|
||||
HttpServer::new(move || {
|
||||
App::new()
|
||||
.wrap(Logger::default())
|
||||
.app_data(Data::new(context.clone()))
|
||||
.service(candles::service())
|
||||
.route("/hey", web::get().to(manual_hello))
|
||||
.app_data(context.clone())
|
||||
.service(
|
||||
web::scope("/api")
|
||||
.service(get_candles)
|
||||
.service(get_top_traders_by_base_volume)
|
||||
// .service(get_top_traders_by_quote_volume)
|
||||
)
|
||||
})
|
||||
.bind(("127.0.0.1", 8080))?
|
||||
.run()
|
||||
|
|
|
|||
|
|
@ -1 +1,2 @@
|
|||
pub mod candles;
|
||||
pub mod candles;
|
||||
pub mod traders;
|
||||
|
|
@ -17,8 +17,8 @@ pub enum ServerError {
|
|||
DbQueryError,
|
||||
#[display(fmt = "Error getting connection")]
|
||||
DbPoolError,
|
||||
#[display(fmt = "Raw market not found")]
|
||||
RawMarketNotFound,
|
||||
#[display(fmt = "Market not found")]
|
||||
MarketNotFound,
|
||||
#[display(fmt = "Request symbol not found")]
|
||||
SymbolNotFound,
|
||||
}
|
||||
|
|
@ -37,7 +37,7 @@ impl error::ResponseError for ServerError {
|
|||
ServerError::WrongResolution => StatusCode::BAD_REQUEST,
|
||||
ServerError::DbQueryError => StatusCode::INTERNAL_SERVER_ERROR,
|
||||
ServerError::DbPoolError => StatusCode::INTERNAL_SERVER_ERROR,
|
||||
ServerError::RawMarketNotFound => StatusCode::BAD_REQUEST,
|
||||
ServerError::MarketNotFound => StatusCode::BAD_REQUEST,
|
||||
ServerError::SymbolNotFound => StatusCode::BAD_REQUEST,
|
||||
}
|
||||
}
|
||||
|
|
@ -47,4 +47,4 @@ impl From<ServerError> for std::io::Error {
|
|||
fn from(e: ServerError) -> Self {
|
||||
std::io::Error::new(std::io::ErrorKind::Other, e.to_string())
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -0,0 +1,47 @@
|
|||
use crate::server_error::ServerError;
|
||||
use openbook_candles::{
|
||||
database::fetch::fetch_top_traders_by_volume_from,
|
||||
structs::openbook::{calculate_trader_volume, Trader},
|
||||
utils::{to_timestampz, WebContext},
|
||||
};
|
||||
use {
|
||||
actix_web::{get, web, HttpResponse},
|
||||
serde::Deserialize,
|
||||
};
|
||||
|
||||
#[derive(Debug, Deserialize)]
|
||||
pub struct Params {
|
||||
pub market_name: String,
|
||||
pub from: u64,
|
||||
pub to: u64,
|
||||
}
|
||||
|
||||
#[get("/traders/base-volume")]
|
||||
pub async fn get_top_traders_by_base_volume(
|
||||
info: web::Query<Params>,
|
||||
context: web::Data<WebContext>,
|
||||
) -> Result<HttpResponse, ServerError> {
|
||||
let selected_market = context.markets.iter().find(|x| x.name == info.market_name);
|
||||
if selected_market.is_none() {
|
||||
return Err(ServerError::MarketNotFound);
|
||||
}
|
||||
let selected_market = selected_market.unwrap();
|
||||
let from = to_timestampz(info.from);
|
||||
let to = to_timestampz(info.to);
|
||||
|
||||
let raw_traders =
|
||||
match fetch_top_traders_by_volume_from(&context.pool, &selected_market.address, from, to)
|
||||
.await
|
||||
{
|
||||
Ok(c) => c,
|
||||
Err(_) => return Err(ServerError::DbQueryError),
|
||||
};
|
||||
|
||||
let traders = raw_traders
|
||||
.into_iter()
|
||||
.map(|t| calculate_trader_volume(t, selected_market.base_decimals))
|
||||
.collect::<Vec<Trader>>();
|
||||
|
||||
// TODO: add start and end in response?
|
||||
Ok(HttpResponse::Ok().json(traders))
|
||||
}
|
||||
|
|
@ -0,0 +1,36 @@
|
|||
use chrono::{DateTime, NaiveDateTime, Utc};
|
||||
use num_traits::Zero;
|
||||
use sqlx::types::Decimal;
|
||||
|
||||
use super::resolution::Resolution;
|
||||
|
||||
#[derive(Clone, Debug)]
|
||||
pub struct Candle {
|
||||
pub market_name: String,
|
||||
pub start_time: DateTime<Utc>,
|
||||
pub end_time: DateTime<Utc>,
|
||||
pub resolution: String,
|
||||
pub open: Decimal,
|
||||
pub close: Decimal,
|
||||
pub high: Decimal,
|
||||
pub low: Decimal,
|
||||
pub volume: Decimal,
|
||||
pub complete: bool,
|
||||
}
|
||||
|
||||
impl Candle {
|
||||
pub fn create_empty_candle(market_name: String, resolution: Resolution) -> Candle {
|
||||
Candle {
|
||||
market_name,
|
||||
start_time: DateTime::from_utc(NaiveDateTime::MIN, Utc),
|
||||
end_time: DateTime::from_utc(NaiveDateTime::MIN, Utc),
|
||||
resolution: resolution.to_string(),
|
||||
open: Decimal::zero(),
|
||||
close: Decimal::zero(),
|
||||
high: Decimal::zero(),
|
||||
low: Decimal::zero(),
|
||||
volume: Decimal::zero(),
|
||||
complete: false,
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
@ -1,5 +1,5 @@
|
|||
use std::fs::File;
|
||||
use serde::Deserialize;
|
||||
use std::fs::File;
|
||||
|
||||
#[derive(Debug, Clone)]
|
||||
pub struct MarketInfo {
|
||||
|
|
@ -22,4 +22,8 @@ pub struct MarketConfig {
|
|||
pub fn load_markets(path: &str) -> Vec<MarketConfig> {
|
||||
let reader = File::open(path).unwrap();
|
||||
serde_json::from_reader(reader).unwrap()
|
||||
}
|
||||
}
|
||||
|
||||
pub fn valid_market(market_name: &str, markets: &Vec<MarketInfo>) -> bool {
|
||||
markets.iter().any(|x| x.name == market_name)
|
||||
}
|
||||
|
|
|
|||
|
|
@ -1,4 +1,5 @@
|
|||
pub mod candle;
|
||||
pub mod markets;
|
||||
pub mod openbook;
|
||||
pub mod resolution;
|
||||
pub mod tradingview;
|
||||
pub mod openbook;
|
||||
|
|
@ -1,5 +1,9 @@
|
|||
use anchor_lang::{event, AnchorDeserialize, AnchorSerialize};
|
||||
use chrono::{DateTime, Utc};
|
||||
use num_traits::{FromPrimitive, ToPrimitive};
|
||||
use serde::Serialize;
|
||||
use solana_sdk::pubkey::Pubkey;
|
||||
use sqlx::types::Decimal;
|
||||
|
||||
#[event]
|
||||
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
|
||||
|
|
@ -19,6 +23,29 @@ pub struct OpenBookFillEventLog {
|
|||
pub referrer_rebate: Option<u64>,
|
||||
}
|
||||
|
||||
#[derive(Copy, Clone, Debug, PartialEq)]
|
||||
pub struct PgOpenBookFill {
|
||||
pub time: DateTime<Utc>,
|
||||
pub bid: bool,
|
||||
pub maker: bool,
|
||||
pub native_qty_paid: Decimal,
|
||||
pub native_qty_received: Decimal,
|
||||
pub native_fee_or_rebate: Decimal,
|
||||
}
|
||||
|
||||
#[derive(Clone, Debug, PartialEq)]
|
||||
pub struct PgTrader {
|
||||
pub open_orders_owner: String,
|
||||
pub raw_ask_size: Decimal,
|
||||
pub raw_bid_size: Decimal,
|
||||
}
|
||||
|
||||
#[derive(Clone, Debug, PartialEq, Serialize)]
|
||||
pub struct Trader {
|
||||
pub pubkey: String,
|
||||
pub volume_base_units: f64,
|
||||
}
|
||||
|
||||
#[derive(Copy, Clone, AnchorDeserialize)]
|
||||
#[cfg_attr(target_endian = "little", derive(Debug))]
|
||||
#[repr(packed)]
|
||||
|
|
@ -72,4 +99,47 @@ pub struct MarketState {
|
|||
pub fee_rate_bps: u64,
|
||||
// 46
|
||||
pub referrer_rebates_accrued: u64,
|
||||
}
|
||||
}
|
||||
|
||||
pub fn calculate_fill_price_and_size(
|
||||
fill: PgOpenBookFill,
|
||||
base_decimals: u8,
|
||||
quote_decimals: u8,
|
||||
) -> (Decimal, Decimal) {
|
||||
if fill.bid {
|
||||
let price_before_fees = if fill.maker {
|
||||
fill.native_qty_paid + fill.native_fee_or_rebate
|
||||
} else {
|
||||
fill.native_qty_paid - fill.native_fee_or_rebate
|
||||
};
|
||||
let price = (price_before_fees * token_factor(base_decimals))
|
||||
/ (token_factor(quote_decimals) * fill.native_qty_received);
|
||||
let size = fill.native_qty_received / token_factor(base_decimals);
|
||||
(price, size)
|
||||
} else {
|
||||
let price_before_fees = if fill.maker {
|
||||
fill.native_qty_received - fill.native_fee_or_rebate
|
||||
} else {
|
||||
fill.native_qty_received + fill.native_fee_or_rebate
|
||||
};
|
||||
let price = (price_before_fees * token_factor(base_decimals))
|
||||
/ (token_factor(quote_decimals) * fill.native_qty_paid);
|
||||
let size = fill.native_qty_paid / token_factor(base_decimals);
|
||||
(price, size)
|
||||
}
|
||||
}
|
||||
|
||||
pub fn calculate_trader_volume(trader: PgTrader, base_decimals: u8) -> Trader {
|
||||
let bid_size = trader.raw_bid_size / token_factor(base_decimals);
|
||||
let ask_size = trader.raw_ask_size / token_factor(base_decimals);
|
||||
|
||||
Trader {
|
||||
pubkey: trader.open_orders_owner,
|
||||
volume_base_units: (bid_size + ask_size).to_f64().unwrap(),
|
||||
// TODO: quote volume
|
||||
}
|
||||
}
|
||||
|
||||
fn token_factor(decimals: u8) -> Decimal {
|
||||
Decimal::from_u64(10u64.pow(decimals as u32)).unwrap()
|
||||
}
|
||||
|
|
|
|||
|
|
@ -1,5 +1,5 @@
|
|||
use std::fmt;
|
||||
use chrono::Duration;
|
||||
use std::fmt;
|
||||
use strum::EnumIter;
|
||||
|
||||
#[derive(EnumIter, Copy, Clone, Eq, PartialEq)]
|
||||
|
|
@ -78,4 +78,4 @@ impl Resolution {
|
|||
_ => Err(()),
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
|
|
|||
|
|
@ -2,7 +2,7 @@ use chrono::Utc;
|
|||
use num_traits::ToPrimitive;
|
||||
use serde::Serialize;
|
||||
|
||||
use crate::database::Candle;
|
||||
use super::candle::Candle;
|
||||
|
||||
#[derive(Serialize)]
|
||||
pub struct TvResponse {
|
||||
|
|
@ -50,8 +50,6 @@ impl TvResponse {
|
|||
assert_eq!(low.len(), high.len());
|
||||
assert_eq!(volume.len(), time.len());
|
||||
|
||||
let len = time.len();
|
||||
|
||||
TvResponse {
|
||||
status: "ok".to_owned(),
|
||||
error_message: None,
|
||||
|
|
|
|||
|
|
@ -1,6 +1,6 @@
|
|||
use chrono::{NaiveDateTime, Utc};
|
||||
use serde_derive::Deserialize;
|
||||
use sqlx::{Pool, Postgres};
|
||||
use std::fs::File;
|
||||
|
||||
use crate::structs::markets::MarketInfo;
|
||||
|
||||
|
|
@ -25,7 +25,9 @@ pub struct Config {
|
|||
|
||||
pub struct WebContext {
|
||||
pub markets: Vec<MarketInfo>,
|
||||
pub pool: Pool<Postgres>
|
||||
pub pool: Pool<Postgres>,
|
||||
}
|
||||
|
||||
|
||||
pub fn to_timestampz(seconds: u64) -> chrono::DateTime<Utc> {
|
||||
chrono::DateTime::<Utc>::from_utc(NaiveDateTime::from_timestamp(seconds as i64, 0), Utc)
|
||||
}
|
||||
|
|
|
|||
Loading…
Reference in New Issue