refactor: remove scraper and use existing db schema
This commit is contained in:
parent
01b22cec38
commit
f74cec5d13
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@ -1,2 +1,4 @@
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/target
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/target
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.env
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.env
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*.cer*
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*.pks*
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@ -15,10 +15,6 @@ path = "src/worker/main.rs"
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name = "server"
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name = "server"
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path = "src/server/main.rs"
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path = "src/server/main.rs"
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[[bin]]
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name = "backfill-trades"
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path = "src/backfill-trades/main.rs"
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[[bin]]
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[[bin]]
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name = "backfill-candles"
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name = "backfill-candles"
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path = "src/backfill-candles/main.rs"
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path = "src/backfill-candles/main.rs"
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@ -1,141 +0,0 @@
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use anchor_lang::prelude::Pubkey;
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use chrono::{DateTime, Duration, NaiveDateTime, Utc};
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use deadpool_postgres::Pool;
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use log::debug;
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use openbook_candles::{
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database::{
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initialize::{connect_to_database, setup_database},
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insert::build_transactions_insert_statement,
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},
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structs::{
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markets::{fetch_market_infos, load_markets},
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transaction::{PgTransaction, NUM_TRANSACTION_PARTITIONS},
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},
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utils::{AnyhowWrap, Config, OPENBOOK_KEY},
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worker::trade_fetching::scrape::scrape_fills,
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};
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use solana_client::{
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nonblocking::rpc_client::RpcClient, rpc_client::GetConfirmedSignaturesForAddress2Config,
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};
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use solana_sdk::{commitment_config::CommitmentConfig, signature::Signature};
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use std::{collections::HashMap, env, str::FromStr};
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#[tokio::main(flavor = "multi_thread", worker_threads = 10)]
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async fn main() -> anyhow::Result<()> {
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dotenv::dotenv().ok();
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let args: Vec<String> = env::args().collect();
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assert!(args.len() == 2);
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let path_to_markets_json = &args[1];
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// let num_days = args[2].parse::<i64>().unwrap(); // TODO: implement
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let num_days = 1;
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let rpc_url: String = dotenv::var("RPC_URL").unwrap();
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let config = Config {
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rpc_url: rpc_url.clone(),
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};
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let markets = load_markets(path_to_markets_json);
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let market_infos = fetch_market_infos(&config, markets.clone()).await?;
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let mut target_markets = HashMap::new();
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for m in market_infos.clone() {
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target_markets.insert(Pubkey::from_str(&m.address)?, m.name);
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}
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println!("{:?}", target_markets);
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let pool = connect_to_database().await?;
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setup_database(&pool).await?;
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let mut handles = vec![];
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let rpc_clone = rpc_url.clone();
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let pool_clone = pool.clone();
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handles.push(tokio::spawn(async move {
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fetch_signatures(rpc_clone, &pool_clone, num_days)
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.await
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.unwrap();
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}));
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// Low priority improvement: batch fills into 1000's per worker
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for id in 0..NUM_TRANSACTION_PARTITIONS {
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let rpc_clone = rpc_url.clone();
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let pool_clone = pool.clone();
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let markets_clone = target_markets.clone();
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handles.push(tokio::spawn(async move {
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scrape_fills(id as i32, rpc_clone, &pool_clone, &markets_clone)
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.await
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.unwrap();
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}));
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}
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// TODO: spawn status thread
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futures::future::join_all(handles).await;
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Ok(())
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}
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pub async fn fetch_signatures(rpc_url: String, pool: &Pool, num_days: i64) -> anyhow::Result<()> {
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let mut before_sig: Option<Signature> = None;
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let mut now_time = Utc::now().timestamp();
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let end_time = (Utc::now() - Duration::days(num_days)).timestamp();
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let rpc_client = RpcClient::new_with_commitment(rpc_url.clone(), CommitmentConfig::confirmed());
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while now_time > end_time {
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let rpc_config = GetConfirmedSignaturesForAddress2Config {
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before: before_sig,
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until: None,
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limit: None,
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commitment: Some(CommitmentConfig::confirmed()),
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};
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let sigs = match rpc_client
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.get_signatures_for_address_with_config(&OPENBOOK_KEY, rpc_config)
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.await
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{
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Ok(sigs) => sigs,
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Err(e) => {
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println!("Error fetching signatures: {}", e);
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continue;
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}
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};
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if sigs.is_empty() {
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println!("No signatures found, trying again");
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continue;
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}
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let last = sigs.last().unwrap();
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let last_time = last.block_time.unwrap().clone();
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let last_signature = last.signature.clone();
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let transactions = sigs
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.into_iter()
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.map(|s| PgTransaction::from_rpc_confirmed_transaction(s))
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.collect::<Vec<PgTransaction>>();
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if transactions.is_empty() {
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println!("No transactions found, trying again");
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}
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debug!("writing: {:?} txns to DB\n", transactions.len());
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let upsert_statement = build_transactions_insert_statement(transactions);
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let client = pool.get().await?;
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client
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.execute(&upsert_statement, &[])
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.await
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.map_err_anyhow()?;
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now_time = last_time;
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before_sig = Some(Signature::from_str(&last_signature)?);
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let time_left = backfill_time_left(now_time, end_time);
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println!(
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"{} minutes ~ {} days remaining in the backfill\n",
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time_left.num_minutes(),
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time_left.num_days()
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);
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}
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Ok(())
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}
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fn backfill_time_left(current_time: i64, backfill_end: i64) -> Duration {
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let naive_cur = NaiveDateTime::from_timestamp_millis(current_time * 1000).unwrap();
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let naive_bf = NaiveDateTime::from_timestamp_millis(backfill_end * 1000).unwrap();
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let cur_date = DateTime::<Utc>::from_utc(naive_cur, Utc);
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let bf_date = DateTime::<Utc>::from_utc(naive_bf, Utc);
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cur_date - bf_date
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}
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@ -4,7 +4,6 @@ use crate::structs::{
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openbook::PgOpenBookFill,
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openbook::PgOpenBookFill,
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resolution::Resolution,
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resolution::Resolution,
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trader::PgTrader,
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trader::PgTrader,
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transaction::PgTransaction,
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};
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};
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use chrono::{DateTime, Utc};
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use chrono::{DateTime, Utc};
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use deadpool_postgres::{GenericClient, Pool};
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use deadpool_postgres::{GenericClient, Pool};
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@ -16,13 +15,12 @@ pub async fn fetch_earliest_fill(
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let client = pool.get().await?;
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let client = pool.get().await?;
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let stmt = r#"SELECT
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let stmt = r#"SELECT
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time as "time!",
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block_datetime as "time",
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bid as "bid!",
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bid as "bid",
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maker as "maker!",
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maker as "maker",
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native_qty_paid as "native_qty_paid!",
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price as "price",
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native_qty_received as "native_qty_received!",
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size as "size"
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native_fee_or_rebate as "native_fee_or_rebate!"
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from openbook.openbook_fill_events
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from fills
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where market = $1
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where market = $1
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and maker = true
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and maker = true
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ORDER BY time asc LIMIT 1"#;
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ORDER BY time asc LIMIT 1"#;
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let client = pool.get().await?;
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let client = pool.get().await?;
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let stmt = r#"SELECT
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let stmt = r#"SELECT
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time as "time!",
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block_datetime as "time",
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bid as "bid!",
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bid as "bid",
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maker as "maker!",
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maker as "maker",
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native_qty_paid as "native_qty_paid!",
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price as "price",
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native_qty_received as "native_qty_received!",
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size as "size"
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native_fee_or_rebate as "native_fee_or_rebate!"
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from openbook.openbook_fill_events
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from fills
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where market = $1
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where market = $1
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and time >= $2::timestamptz
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and block_datetime >= $2::timestamptz
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and time < $3::timestamptz
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and block_datetime < $3::timestamptz
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and maker = true
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and maker = true
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ORDER BY time asc"#;
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ORDER BY time asc"#;
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@ -71,17 +68,17 @@ pub async fn fetch_latest_finished_candle(
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let client = pool.get().await?;
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let client = pool.get().await?;
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let stmt = r#"SELECT
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let stmt = r#"SELECT
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market_name as "market_name!",
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market_name as "market_name",
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start_time as "start_time!",
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start_time as "start_time",
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end_time as "end_time!",
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end_time as "end_time",
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resolution as "resolution!",
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resolution as "resolution",
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open as "open!",
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open as "open",
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close as "close!",
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close as "close",
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high as "high!",
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high as "high",
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low as "low!",
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low as "low",
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volume as "volume!",
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volume as "volume",
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complete as "complete!"
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complete as "complete"
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from candles
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from openbook.candles
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where market_name = $1
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where market_name = $1
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and resolution = $2
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and resolution = $2
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and complete = true
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and complete = true
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@ -107,17 +104,17 @@ pub async fn fetch_earliest_candles(
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let client = pool.get().await?;
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let client = pool.get().await?;
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let stmt = r#"SELECT
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let stmt = r#"SELECT
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market_name as "market_name!",
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market_name as "market_name",
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start_time as "start_time!",
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start_time as "start_time",
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end_time as "end_time!",
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end_time as "end_time",
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resolution as "resolution!",
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resolution as "resolution!",
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open as "open!",
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open as "open",
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close as "close!",
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close as "close",
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high as "high!",
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high as "high",
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low as "low!",
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low as "low",
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volume as "volume!",
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volume as "volume",
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complete as "complete!"
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complete as "complete"
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from candles
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from openbook.candles
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where market_name = $1
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where market_name = $1
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and resolution = $2
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and resolution = $2
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ORDER BY start_time asc"#;
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ORDER BY start_time asc"#;
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@ -139,17 +136,17 @@ pub async fn fetch_candles_from(
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let client = pool.get().await?;
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let client = pool.get().await?;
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let stmt = r#"SELECT
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let stmt = r#"SELECT
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market_name as "market_name!",
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market_name as "market_name",
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start_time as "start_time!",
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start_time as "start_time",
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end_time as "end_time!",
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end_time as "end_time",
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resolution as "resolution!",
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resolution as "resolution",
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open as "open!",
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open as "open",
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close as "close!",
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close as "close",
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high as "high!",
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high as "high",
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low as "low!",
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low as "low",
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volume as "volume!",
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volume as "volume",
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complete as "complete!"
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complete as "complete"
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from candles
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from openbook.candles
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where market_name = $1
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where market_name = $1
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and resolution = $2
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and resolution = $2
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and start_time >= $3
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and start_time >= $3
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@ -182,20 +179,20 @@ pub async fn fetch_top_traders_by_base_volume_from(
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let stmt = r#"SELECT
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let stmt = r#"SELECT
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open_orders_owner,
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open_orders_owner,
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sum(
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sum(
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native_qty_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END
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native_quantity_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END
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) as "raw_ask_size!",
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) as "raw_ask_size",
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sum(
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sum(
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native_qty_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END
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native_quantity_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END
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) as "raw_bid_size!"
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) as "raw_bid_size"
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FROM fills
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FROM openbook.openbook_fill_events
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WHERE market = $1
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WHERE market = $1
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AND time >= $2
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AND time >= $2
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AND time < $3
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AND time < $3
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GROUP BY open_orders_owner
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GROUP BY open_orders_owner
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ORDER BY
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ORDER BY
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sum(native_qty_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END)
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sum(native_quantity_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END)
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+
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+
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sum(native_qty_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END)
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sum(native_quantity_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END)
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DESC
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DESC
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LIMIT 10000"#;
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LIMIT 10000"#;
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@ -217,20 +214,20 @@ pub async fn fetch_top_traders_by_quote_volume_from(
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let stmt = r#"SELECT
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let stmt = r#"SELECT
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open_orders_owner,
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open_orders_owner,
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sum(
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sum(
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native_qty_received * CASE bid WHEN true THEN 0 WHEN false THEN 1 END
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native_quantity_received * CASE bid WHEN true THEN 0 WHEN false THEN 1 END
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) as "raw_ask_size!",
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) as "raw_ask_size",
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sum(
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sum(
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native_qty_paid * CASE bid WHEN true THEN 1 WHEN false THEN 0 END
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native_quantity_paid * CASE bid WHEN true THEN 1 WHEN false THEN 0 END
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) as "raw_bid_size!"
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) as "raw_bid_size"
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FROM fills
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FROM openbook.openbook_fill_events
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WHERE market = $1
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WHERE market = $1
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AND time >= $2
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AND time >= $2
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AND time < $3
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AND time < $3
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GROUP BY open_orders_owner
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GROUP BY open_orders_owner
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ORDER BY
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ORDER BY
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sum(native_qty_received * CASE bid WHEN true THEN 0 WHEN false THEN 1 END)
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sum(native_quantity_received * CASE bid WHEN true THEN 0 WHEN false THEN 1 END)
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+
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+
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sum(native_qty_paid * CASE bid WHEN true THEN 1 WHEN false THEN 0 END)
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sum(native_quantity_paid * CASE bid WHEN true THEN 1 WHEN false THEN 0 END)
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DESC
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DESC
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LIMIT 10000"#;
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LIMIT 10000"#;
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@ -249,20 +246,20 @@ pub async fn fetch_coingecko_24h_volume(
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let stmt = r#"SELECT
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let stmt = r#"SELECT
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t1.market,
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t1.market,
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COALESCE(t2.native_qty_received, 0) as "raw_base_size!",
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COALESCE(t2.native_quantity_received, 0) as "raw_base_size",
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COALESCE(t2.native_qty_paid, 0) as "raw_quote_size!"
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COALESCE(t2.native_quantity_paid, 0) as "raw_quote_size"
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FROM (
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FROM (
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SELECT distinct on (market) *
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SELECT distinct on (market) *
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FROM fills f
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FROM openbook.openbook_fill_events f
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where bid = true
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where bid = true
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and market = any($1)
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and market = any($1)
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order by market, "time" desc
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order by market, "time" desc
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) t1
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) t1
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LEFT JOIN (
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LEFT JOIN (
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select market,
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select market,
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sum(native_qty_received) as "native_qty_received",
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sum(native_quantity_received) as "native_quantity_received",
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sum(native_qty_paid) as "native_qty_paid"
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sum(native_quantity_paid) as "native_quantity_paid"
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from fills
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from openbook.openbook_fill_events
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where "time" >= current_timestamp - interval '1 day'
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where "time" >= current_timestamp - interval '1 day'
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and bid = true
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and bid = true
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group by market
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group by market
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@ -291,10 +288,10 @@ pub async fn fetch_coingecko_24h_high_low(
|
||||||
(
|
(
|
||||||
SELECT *
|
SELECT *
|
||||||
from
|
from
|
||||||
candles
|
openbook.candles
|
||||||
where (market_name, start_time, resolution) in (
|
where (market_name, start_time, resolution) in (
|
||||||
select market_name, max(start_time), resolution
|
select market_name, max(start_time), resolution
|
||||||
from candles
|
from openbook.candles
|
||||||
where "resolution" = '1M'
|
where "resolution" = '1M'
|
||||||
and market_name = any($1)
|
and market_name = any($1)
|
||||||
group by market_name, resolution
|
group by market_name, resolution
|
||||||
|
@ -307,7 +304,7 @@ pub async fn fetch_coingecko_24h_high_low(
|
||||||
max(high) as "high",
|
max(high) as "high",
|
||||||
min(low) as "low"
|
min(low) as "low"
|
||||||
from
|
from
|
||||||
candles
|
openbook.candles
|
||||||
where
|
where
|
||||||
"resolution" = '1M'
|
"resolution" = '1M'
|
||||||
and "start_time" >= current_timestamp - interval '1 day'
|
and "start_time" >= current_timestamp - interval '1 day'
|
||||||
|
@ -321,23 +318,3 @@ pub async fn fetch_coingecko_24h_high_low(
|
||||||
.map(PgCoinGecko24HighLow::from_row)
|
.map(PgCoinGecko24HighLow::from_row)
|
||||||
.collect())
|
.collect())
|
||||||
}
|
}
|
||||||
|
|
||||||
/// Fetches unprocessed, non-error transactions for the specified worker partition.
|
|
||||||
/// Pulls at most 50 transactions at a time.
|
|
||||||
pub async fn fetch_worker_transactions(
|
|
||||||
worker_id: i32,
|
|
||||||
pool: &Pool,
|
|
||||||
) -> anyhow::Result<Vec<PgTransaction>> {
|
|
||||||
let client = pool.get().await?;
|
|
||||||
|
|
||||||
let stmt = r#"SELECT signature, program_pk, block_datetime, slot, err, "processed", worker_partition
|
|
||||||
FROM transactions
|
|
||||||
where worker_partition = $1
|
|
||||||
and err = false
|
|
||||||
and processed = false
|
|
||||||
LIMIT 50"#;
|
|
||||||
|
|
||||||
let rows = client.query(stmt, &[&worker_id]).await?;
|
|
||||||
|
|
||||||
Ok(rows.into_iter().map(PgTransaction::from_row).collect())
|
|
||||||
}
|
|
||||||
|
|
|
@ -21,8 +21,8 @@ pub async fn connect_to_database() -> anyhow::Result<Pool> {
|
||||||
|
|
||||||
// openssl pkcs12 -export -in client.cer -inkey client-key.cer -out client.pks
|
// openssl pkcs12 -export -in client.cer -inkey client-key.cer -out client.pks
|
||||||
// base64 -i ca.cer -o ca.cer.b64 && base64 -i client.pks -o client.pks.b64
|
// base64 -i ca.cer -o ca.cer.b64 && base64 -i client.pks -o client.pks.b64
|
||||||
// fly secrets set PG_CA_CERT=- < ./ca.cer.b64 -a mango-fills
|
// fly secrets set PG_CA_CERT=- < ./ca.cer.b64 -a APP-NAME
|
||||||
// fly secrets set PG_CLIENT_KEY=- < ./client.pks.b64 -a mango-fills
|
// fly secrets set PG_CLIENT_KEY=- < ./client.pks.b64 -a APP-NAME
|
||||||
let tls = if pg_config.pg_use_ssl {
|
let tls = if pg_config.pg_use_ssl {
|
||||||
pg_config.pg.ssl_mode = Some(SslMode::Require);
|
pg_config.pg.ssl_mode = Some(SslMode::Require);
|
||||||
let ca_cert = fs::read(pg_config.pg_ca_cert_path.expect("reading ca cert from env"))
|
let ca_cert = fs::read(pg_config.pg_ca_cert_path.expect("reading ca cert from env"))
|
||||||
|
@ -66,11 +66,7 @@ pub async fn connect_to_database() -> anyhow::Result<Pool> {
|
||||||
}
|
}
|
||||||
|
|
||||||
pub async fn setup_database(pool: &Pool) -> anyhow::Result<()> {
|
pub async fn setup_database(pool: &Pool) -> anyhow::Result<()> {
|
||||||
let candles_table_fut = create_candles_table(pool);
|
match create_candles_table(pool).await {
|
||||||
let transactions_table_fut = create_transactions_table(pool);
|
|
||||||
let fills_table_fut = create_fills_table(pool);
|
|
||||||
let result = tokio::try_join!(candles_table_fut, transactions_table_fut, fills_table_fut);
|
|
||||||
match result {
|
|
||||||
Ok(_) => {
|
Ok(_) => {
|
||||||
println!("Successfully configured database");
|
println!("Successfully configured database");
|
||||||
Ok(())
|
Ok(())
|
||||||
|
@ -87,7 +83,7 @@ pub async fn create_candles_table(pool: &Pool) -> anyhow::Result<()> {
|
||||||
|
|
||||||
client
|
client
|
||||||
.execute(
|
.execute(
|
||||||
"CREATE TABLE IF NOT EXISTS candles (
|
"CREATE TABLE IF NOT EXISTS openbook.candles (
|
||||||
id bigint GENERATED ALWAYS AS IDENTITY PRIMARY KEY,
|
id bigint GENERATED ALWAYS AS IDENTITY PRIMARY KEY,
|
||||||
market_name text,
|
market_name text,
|
||||||
start_time timestamptz,
|
start_time timestamptz,
|
||||||
|
@ -105,90 +101,9 @@ pub async fn create_candles_table(pool: &Pool) -> anyhow::Result<()> {
|
||||||
.await?;
|
.await?;
|
||||||
|
|
||||||
client.execute(
|
client.execute(
|
||||||
"CREATE INDEX IF NOT EXISTS idx_market_time_resolution ON candles (market_name, start_time, resolution)",
|
"CREATE UNIQUE INDEX idx_market_time_resolution ON openbook.candles USING btree (market_name, start_time, resolution);",
|
||||||
&[]
|
&[]
|
||||||
).await?;
|
).await?;
|
||||||
|
|
||||||
client.execute(
|
|
||||||
"DO $$
|
|
||||||
BEGIN
|
|
||||||
IF NOT EXISTS (SELECT 1 FROM pg_constraint WHERE conname = 'unique_candles') THEN
|
|
||||||
ALTER TABLE candles ADD CONSTRAINT unique_candles UNIQUE (market_name, start_time, resolution);
|
|
||||||
END IF;
|
|
||||||
END $$", &[]
|
|
||||||
).await?;
|
|
||||||
|
|
||||||
Ok(())
|
|
||||||
}
|
|
||||||
|
|
||||||
pub async fn create_fills_table(pool: &Pool) -> anyhow::Result<()> {
|
|
||||||
let client = pool.get().await?;
|
|
||||||
|
|
||||||
client
|
|
||||||
.execute(
|
|
||||||
"CREATE TABLE IF NOT EXISTS fills (
|
|
||||||
signature text not null,
|
|
||||||
time timestamptz not null,
|
|
||||||
market text not null,
|
|
||||||
open_orders text not null,
|
|
||||||
open_orders_owner text not null,
|
|
||||||
bid bool not null,
|
|
||||||
maker bool not null,
|
|
||||||
native_qty_paid double precision not null,
|
|
||||||
native_qty_received double precision not null,
|
|
||||||
native_fee_or_rebate double precision not null,
|
|
||||||
fee_tier text not null,
|
|
||||||
order_id text not null,
|
|
||||||
log_index int4 not null,
|
|
||||||
CONSTRAINT fills_pk PRIMARY KEY (signature, log_index)
|
|
||||||
)",
|
|
||||||
&[],
|
|
||||||
)
|
|
||||||
.await?;
|
|
||||||
|
|
||||||
client
|
|
||||||
.execute(
|
|
||||||
"CREATE INDEX IF NOT EXISTS idx_market_time ON fills (market, time)",
|
|
||||||
&[],
|
|
||||||
)
|
|
||||||
.await?;
|
|
||||||
Ok(())
|
|
||||||
}
|
|
||||||
|
|
||||||
pub async fn create_transactions_table(pool: &Pool) -> anyhow::Result<()> {
|
|
||||||
let client = pool.get().await?;
|
|
||||||
|
|
||||||
client
|
|
||||||
.execute(
|
|
||||||
"CREATE TABLE IF NOT EXISTS transactions (
|
|
||||||
signature text NOT NULL,
|
|
||||||
program_pk text NOT NULL,
|
|
||||||
block_datetime timestamptz NOT NULL,
|
|
||||||
slot bigint NOT NULL,
|
|
||||||
err bool NOT NULL,
|
|
||||||
processed bool NOT NULL,
|
|
||||||
worker_partition int4 NOT NULL,
|
|
||||||
CONSTRAINT transactions_pk PRIMARY KEY (signature, worker_partition)
|
|
||||||
) PARTITION BY LIST (worker_partition);",
|
|
||||||
&[],
|
|
||||||
)
|
|
||||||
.await?;
|
|
||||||
|
|
||||||
client.batch_execute(
|
|
||||||
"CREATE INDEX IF NOT EXISTS transactions_processed_err_idx ON ONLY transactions (signature) WHERE processed IS NOT TRUE and err IS NOT TRUE;
|
|
||||||
CREATE INDEX IF NOT EXISTS transactions_program_pk_idx ON ONLY transactions USING btree (program_pk, slot DESC);
|
|
||||||
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_0 PARTITION OF transactions FOR VALUES IN (0);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_1 PARTITION OF transactions FOR VALUES IN (1);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_2 PARTITION OF transactions FOR VALUES IN (2);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_3 PARTITION OF transactions FOR VALUES IN (3);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_4 PARTITION OF transactions FOR VALUES IN (4);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_5 PARTITION OF transactions FOR VALUES IN (5);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_6 PARTITION OF transactions FOR VALUES IN (6);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_7 PARTITION OF transactions FOR VALUES IN (7);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_8 PARTITION OF transactions FOR VALUES IN (8);
|
|
||||||
CREATE TABLE IF NOT EXISTS transactions_9 PARTITION OF transactions FOR VALUES IN (9);"
|
|
||||||
).await?;
|
|
||||||
|
|
||||||
Ok(())
|
Ok(())
|
||||||
}
|
}
|
||||||
|
|
|
@ -1,153 +1,7 @@
|
||||||
use deadpool_postgres::Pool;
|
use crate::structs::candle::Candle;
|
||||||
use log::debug;
|
|
||||||
use std::collections::HashMap;
|
|
||||||
use tokio::sync::mpsc::{error::TryRecvError, Receiver};
|
|
||||||
|
|
||||||
use crate::{
|
|
||||||
structs::{candle::Candle, openbook::OpenBookFillEvent, transaction::PgTransaction},
|
|
||||||
utils::{to_timestampz, AnyhowWrap},
|
|
||||||
};
|
|
||||||
|
|
||||||
pub async fn insert_fills_atomically(
|
|
||||||
pool: &Pool,
|
|
||||||
worker_id: i32,
|
|
||||||
fills: Vec<OpenBookFillEvent>,
|
|
||||||
signatures: Vec<String>,
|
|
||||||
) -> anyhow::Result<()> {
|
|
||||||
let mut client = pool.get().await?;
|
|
||||||
|
|
||||||
let db_txn = client.build_transaction().start().await?;
|
|
||||||
|
|
||||||
// 1. Insert fills
|
|
||||||
if fills.len() > 0 {
|
|
||||||
let fills_statement = build_fills_upsert_statement_not_crazy(fills);
|
|
||||||
db_txn
|
|
||||||
.execute(&fills_statement, &[])
|
|
||||||
.await
|
|
||||||
.map_err_anyhow()
|
|
||||||
.unwrap();
|
|
||||||
}
|
|
||||||
|
|
||||||
// 2. Update txns table as processed
|
|
||||||
let transactions_statement =
|
|
||||||
build_transactions_processed_update_statement(worker_id, signatures);
|
|
||||||
db_txn
|
|
||||||
.execute(&transactions_statement, &[])
|
|
||||||
.await
|
|
||||||
.map_err_anyhow()
|
|
||||||
.unwrap();
|
|
||||||
|
|
||||||
db_txn.commit().await?;
|
|
||||||
|
|
||||||
Ok(())
|
|
||||||
}
|
|
||||||
|
|
||||||
pub async fn persist_fill_events(
|
|
||||||
pool: &Pool,
|
|
||||||
fill_receiver: &mut Receiver<OpenBookFillEvent>,
|
|
||||||
) -> anyhow::Result<()> {
|
|
||||||
loop {
|
|
||||||
let mut write_batch = HashMap::new();
|
|
||||||
while write_batch.len() < 10 {
|
|
||||||
match fill_receiver.try_recv() {
|
|
||||||
Ok(event) => {
|
|
||||||
write_batch.entry(event).or_insert(0);
|
|
||||||
}
|
|
||||||
Err(TryRecvError::Empty) => {
|
|
||||||
if !write_batch.is_empty() {
|
|
||||||
break;
|
|
||||||
} else {
|
|
||||||
continue;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
Err(TryRecvError::Disconnected) => {
|
|
||||||
panic!("Fills sender must stay alive")
|
|
||||||
}
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
if !write_batch.is_empty() {
|
|
||||||
debug!("writing: {:?} events to DB\n", write_batch.len());
|
|
||||||
let upsert_statement = build_fills_upsert_statement(write_batch);
|
|
||||||
let client = pool.get().await?;
|
|
||||||
client
|
|
||||||
.execute(&upsert_statement, &[])
|
|
||||||
.await
|
|
||||||
.map_err_anyhow()
|
|
||||||
.unwrap();
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
#[allow(deprecated)]
|
|
||||||
fn build_fills_upsert_statement(events: HashMap<OpenBookFillEvent, u8>) -> String {
|
|
||||||
let mut stmt = String::from("INSERT INTO fills (signature, time, market, open_orders, open_orders_owner, bid, maker, native_qty_paid, native_qty_received, native_fee_or_rebate, fee_tier, order_id, log_index) VALUES");
|
|
||||||
for (idx, event) in events.keys().enumerate() {
|
|
||||||
let val_str = format!(
|
|
||||||
"({}, \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {}, {})",
|
|
||||||
event.signature,
|
|
||||||
to_timestampz(event.block_time as u64).to_rfc3339(),
|
|
||||||
event.market,
|
|
||||||
event.open_orders,
|
|
||||||
event.open_orders_owner,
|
|
||||||
event.bid,
|
|
||||||
event.maker,
|
|
||||||
event.native_qty_paid,
|
|
||||||
event.native_qty_received,
|
|
||||||
event.native_fee_or_rebate,
|
|
||||||
event.fee_tier,
|
|
||||||
event.order_id,
|
|
||||||
event.log_index,
|
|
||||||
);
|
|
||||||
|
|
||||||
if idx == 0 {
|
|
||||||
stmt = format!("{} {}", &stmt, val_str);
|
|
||||||
} else {
|
|
||||||
stmt = format!("{}, {}", &stmt, val_str);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
let handle_conflict = "ON CONFLICT DO NOTHING";
|
|
||||||
|
|
||||||
stmt = format!("{} {}", stmt, handle_conflict);
|
|
||||||
stmt
|
|
||||||
}
|
|
||||||
|
|
||||||
fn build_fills_upsert_statement_not_crazy(fills: Vec<OpenBookFillEvent>) -> String {
|
|
||||||
let mut stmt = String::from("INSERT INTO fills (signature, time, market, open_orders, open_orders_owner, bid, maker, native_qty_paid, native_qty_received, native_fee_or_rebate, fee_tier, order_id, log_index) VALUES");
|
|
||||||
for (idx, fill) in fills.iter().enumerate() {
|
|
||||||
let val_str = format!(
|
|
||||||
"(\'{}\', \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {}, {})",
|
|
||||||
fill.signature,
|
|
||||||
to_timestampz(fill.block_time as u64).to_rfc3339(),
|
|
||||||
fill.market,
|
|
||||||
fill.open_orders,
|
|
||||||
fill.open_orders_owner,
|
|
||||||
fill.bid,
|
|
||||||
fill.maker,
|
|
||||||
fill.native_qty_paid,
|
|
||||||
fill.native_qty_received,
|
|
||||||
fill.native_fee_or_rebate,
|
|
||||||
fill.fee_tier,
|
|
||||||
fill.order_id,
|
|
||||||
fill.log_index,
|
|
||||||
);
|
|
||||||
|
|
||||||
if idx == 0 {
|
|
||||||
stmt = format!("{} {}", &stmt, val_str);
|
|
||||||
} else {
|
|
||||||
stmt = format!("{}, {}", &stmt, val_str);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
let handle_conflict = "ON CONFLICT DO NOTHING";
|
|
||||||
|
|
||||||
stmt = format!("{} {}", stmt, handle_conflict);
|
|
||||||
stmt
|
|
||||||
}
|
|
||||||
|
|
||||||
pub fn build_candles_upsert_statement(candles: &Vec<Candle>) -> String {
|
pub fn build_candles_upsert_statement(candles: &Vec<Candle>) -> String {
|
||||||
let mut stmt = String::from("INSERT INTO candles (market_name, start_time, end_time, resolution, open, close, high, low, volume, complete) VALUES");
|
let mut stmt = String::from("INSERT INTO openbook.candles (market_name, start_time, end_time, resolution, open, close, high, low, volume, complete) VALUES");
|
||||||
for (idx, candle) in candles.iter().enumerate() {
|
for (idx, candle) in candles.iter().enumerate() {
|
||||||
let val_str = format!(
|
let val_str = format!(
|
||||||
"(\'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {})",
|
"(\'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {})",
|
||||||
|
@ -183,54 +37,3 @@ pub fn build_candles_upsert_statement(candles: &Vec<Candle>) -> String {
|
||||||
stmt = format!("{} {}", stmt, handle_conflict);
|
stmt = format!("{} {}", stmt, handle_conflict);
|
||||||
stmt
|
stmt
|
||||||
}
|
}
|
||||||
|
|
||||||
pub fn build_transactions_insert_statement(transactions: Vec<PgTransaction>) -> String {
|
|
||||||
let mut stmt = String::from("INSERT INTO transactions (signature, program_pk, block_datetime, slot, err, processed, worker_partition) VALUES");
|
|
||||||
for (idx, txn) in transactions.iter().enumerate() {
|
|
||||||
let val_str = format!(
|
|
||||||
"(\'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {})",
|
|
||||||
txn.signature,
|
|
||||||
txn.program_pk,
|
|
||||||
txn.block_datetime.to_rfc3339(),
|
|
||||||
txn.slot,
|
|
||||||
txn.err,
|
|
||||||
txn.processed,
|
|
||||||
txn.worker_partition,
|
|
||||||
);
|
|
||||||
|
|
||||||
if idx == 0 {
|
|
||||||
stmt = format!("{} {}", &stmt, val_str);
|
|
||||||
} else {
|
|
||||||
stmt = format!("{}, {}", &stmt, val_str);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
let handle_conflict = "ON CONFLICT DO NOTHING";
|
|
||||||
|
|
||||||
stmt = format!("{} {}", stmt, handle_conflict);
|
|
||||||
stmt
|
|
||||||
}
|
|
||||||
|
|
||||||
pub fn build_transactions_processed_update_statement(
|
|
||||||
worker_id: i32,
|
|
||||||
processed_signatures: Vec<String>,
|
|
||||||
) -> String {
|
|
||||||
let mut stmt = String::from(
|
|
||||||
"UPDATE transactions
|
|
||||||
SET processed = true
|
|
||||||
WHERE transactions.signature IN (",
|
|
||||||
);
|
|
||||||
for (idx, sig) in processed_signatures.iter().enumerate() {
|
|
||||||
let val_str = if idx == processed_signatures.len() - 1 {
|
|
||||||
format!("\'{}\'", sig,)
|
|
||||||
} else {
|
|
||||||
format!("\'{}\',", sig,)
|
|
||||||
};
|
|
||||||
stmt = format!("{} {}", &stmt, val_str);
|
|
||||||
}
|
|
||||||
|
|
||||||
let worker_stmt = format!(") AND worker_partition = {} ", worker_id);
|
|
||||||
|
|
||||||
stmt = format!("{} {}", stmt, worker_stmt);
|
|
||||||
stmt
|
|
||||||
}
|
|
||||||
|
|
|
@ -6,4 +6,3 @@ pub mod resolution;
|
||||||
pub mod slab;
|
pub mod slab;
|
||||||
pub mod trader;
|
pub mod trader;
|
||||||
pub mod tradingview;
|
pub mod tradingview;
|
||||||
pub mod transaction;
|
|
||||||
|
|
|
@ -1,83 +1,15 @@
|
||||||
use anchor_lang::{event, AnchorDeserialize, AnchorSerialize};
|
use anchor_lang::AnchorDeserialize;
|
||||||
use chrono::{DateTime, Utc};
|
use chrono::{DateTime, Utc};
|
||||||
use num_traits::Pow;
|
use num_traits::Pow;
|
||||||
use solana_sdk::pubkey::Pubkey;
|
|
||||||
use tokio_postgres::Row;
|
use tokio_postgres::Row;
|
||||||
|
|
||||||
#[event]
|
|
||||||
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
|
|
||||||
pub struct OpenBookFillEventRaw {
|
|
||||||
pub market: Pubkey,
|
|
||||||
pub open_orders: Pubkey,
|
|
||||||
pub open_orders_owner: Pubkey,
|
|
||||||
pub bid: bool,
|
|
||||||
pub maker: bool,
|
|
||||||
pub native_qty_paid: u64,
|
|
||||||
pub native_qty_received: u64,
|
|
||||||
pub native_fee_or_rebate: u64,
|
|
||||||
pub order_id: u128,
|
|
||||||
pub owner_slot: u8,
|
|
||||||
pub fee_tier: u8,
|
|
||||||
pub client_order_id: Option<u64>,
|
|
||||||
pub referrer_rebate: Option<u64>,
|
|
||||||
}
|
|
||||||
impl OpenBookFillEventRaw {
|
|
||||||
pub fn into_event(
|
|
||||||
self,
|
|
||||||
signature: String,
|
|
||||||
block_time: i64,
|
|
||||||
log_index: usize,
|
|
||||||
) -> OpenBookFillEvent {
|
|
||||||
OpenBookFillEvent {
|
|
||||||
signature,
|
|
||||||
market: self.market,
|
|
||||||
open_orders: self.open_orders,
|
|
||||||
open_orders_owner: self.open_orders_owner,
|
|
||||||
bid: self.bid,
|
|
||||||
maker: self.maker,
|
|
||||||
native_qty_paid: self.native_qty_paid,
|
|
||||||
native_qty_received: self.native_qty_received,
|
|
||||||
native_fee_or_rebate: self.native_fee_or_rebate,
|
|
||||||
order_id: self.order_id,
|
|
||||||
owner_slot: self.owner_slot,
|
|
||||||
fee_tier: self.fee_tier,
|
|
||||||
client_order_id: self.client_order_id,
|
|
||||||
referrer_rebate: self.referrer_rebate,
|
|
||||||
block_time,
|
|
||||||
log_index,
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
#[event]
|
|
||||||
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
|
|
||||||
pub struct OpenBookFillEvent {
|
|
||||||
pub signature: String,
|
|
||||||
pub market: Pubkey,
|
|
||||||
pub open_orders: Pubkey,
|
|
||||||
pub open_orders_owner: Pubkey,
|
|
||||||
pub bid: bool,
|
|
||||||
pub maker: bool,
|
|
||||||
pub native_qty_paid: u64,
|
|
||||||
pub native_qty_received: u64,
|
|
||||||
pub native_fee_or_rebate: u64,
|
|
||||||
pub order_id: u128,
|
|
||||||
pub owner_slot: u8,
|
|
||||||
pub fee_tier: u8,
|
|
||||||
pub client_order_id: Option<u64>,
|
|
||||||
pub referrer_rebate: Option<u64>,
|
|
||||||
pub block_time: i64,
|
|
||||||
pub log_index: usize,
|
|
||||||
}
|
|
||||||
|
|
||||||
#[derive(Copy, Clone, Debug, PartialEq)]
|
#[derive(Copy, Clone, Debug, PartialEq)]
|
||||||
pub struct PgOpenBookFill {
|
pub struct PgOpenBookFill {
|
||||||
pub time: DateTime<Utc>,
|
pub time: DateTime<Utc>,
|
||||||
pub bid: bool,
|
pub bid: bool,
|
||||||
pub maker: bool,
|
pub maker: bool,
|
||||||
pub native_qty_paid: f64,
|
pub price: f64,
|
||||||
pub native_qty_received: f64,
|
pub size: f64,
|
||||||
pub native_fee_or_rebate: f64,
|
|
||||||
}
|
}
|
||||||
impl PgOpenBookFill {
|
impl PgOpenBookFill {
|
||||||
pub fn from_row(row: Row) -> Self {
|
pub fn from_row(row: Row) -> Self {
|
||||||
|
@ -85,9 +17,8 @@ impl PgOpenBookFill {
|
||||||
time: row.get(0),
|
time: row.get(0),
|
||||||
bid: row.get(1),
|
bid: row.get(1),
|
||||||
maker: row.get(2),
|
maker: row.get(2),
|
||||||
native_qty_paid: row.get(3),
|
price: row.get(3),
|
||||||
native_qty_received: row.get(4),
|
size: row.get(4),
|
||||||
native_fee_or_rebate: row.get(5),
|
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
@ -147,34 +78,6 @@ pub struct MarketState {
|
||||||
pub referrer_rebates_accrued: u64,
|
pub referrer_rebates_accrued: u64,
|
||||||
}
|
}
|
||||||
|
|
||||||
pub fn calculate_fill_price_and_size(
|
|
||||||
fill: PgOpenBookFill,
|
|
||||||
base_decimals: u8,
|
|
||||||
quote_decimals: u8,
|
|
||||||
) -> (f64, f64) {
|
|
||||||
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 token_factor(decimals: u8) -> f64 {
|
pub fn token_factor(decimals: u8) -> f64 {
|
||||||
10f64.pow(decimals as f64)
|
10f64.pow(decimals as f64)
|
||||||
}
|
}
|
||||||
|
|
|
@ -9,8 +9,8 @@ use super::openbook::token_factor;
|
||||||
#[derive(Clone, Debug, PartialEq)]
|
#[derive(Clone, Debug, PartialEq)]
|
||||||
pub struct PgTrader {
|
pub struct PgTrader {
|
||||||
pub open_orders_owner: String,
|
pub open_orders_owner: String,
|
||||||
pub raw_ask_size: f64,
|
pub raw_ask_size: i64,
|
||||||
pub raw_bid_size: f64,
|
pub raw_bid_size: i64,
|
||||||
}
|
}
|
||||||
impl PgTrader {
|
impl PgTrader {
|
||||||
pub fn from_row(row: Row) -> Self {
|
pub fn from_row(row: Row) -> Self {
|
||||||
|
@ -52,8 +52,8 @@ pub struct TraderResponse {
|
||||||
|
|
||||||
// Note that the Postgres queries only return volumes in base or quote
|
// Note that the Postgres queries only return volumes in base or quote
|
||||||
pub fn calculate_trader_volume(trader: PgTrader, decimals: u8) -> Trader {
|
pub fn calculate_trader_volume(trader: PgTrader, decimals: u8) -> Trader {
|
||||||
let bid_size = trader.raw_bid_size / token_factor(decimals);
|
let bid_size = (trader.raw_bid_size as f64) / token_factor(decimals);
|
||||||
let ask_size = trader.raw_ask_size / token_factor(decimals);
|
let ask_size = (trader.raw_ask_size as f64) / token_factor(decimals);
|
||||||
|
|
||||||
Trader {
|
Trader {
|
||||||
pubkey: trader.open_orders_owner,
|
pubkey: trader.open_orders_owner,
|
||||||
|
|
|
@ -1,52 +0,0 @@
|
||||||
use chrono::{DateTime, Utc};
|
|
||||||
use solana_client::rpc_response::RpcConfirmedTransactionStatusWithSignature;
|
|
||||||
use tokio_postgres::Row;
|
|
||||||
|
|
||||||
use crate::utils::{to_timestampz, OPENBOOK_KEY};
|
|
||||||
|
|
||||||
#[derive(Clone, Debug, PartialEq)]
|
|
||||||
pub struct PgTransaction {
|
|
||||||
pub signature: String,
|
|
||||||
pub program_pk: String,
|
|
||||||
pub block_datetime: DateTime<Utc>,
|
|
||||||
pub slot: u64,
|
|
||||||
pub err: bool,
|
|
||||||
pub processed: bool,
|
|
||||||
pub worker_partition: i32,
|
|
||||||
}
|
|
||||||
|
|
||||||
pub const NUM_TRANSACTION_PARTITIONS: u64 = 10;
|
|
||||||
|
|
||||||
impl PgTransaction {
|
|
||||||
pub fn from_rpc_confirmed_transaction(
|
|
||||||
rpc_confirmed_transaction: RpcConfirmedTransactionStatusWithSignature,
|
|
||||||
) -> Self {
|
|
||||||
PgTransaction {
|
|
||||||
signature: rpc_confirmed_transaction.signature,
|
|
||||||
program_pk: OPENBOOK_KEY.to_string(),
|
|
||||||
block_datetime: to_timestampz(rpc_confirmed_transaction.block_time.unwrap() as u64),
|
|
||||||
slot: rpc_confirmed_transaction.slot,
|
|
||||||
err: rpc_confirmed_transaction.err.is_some(),
|
|
||||||
processed: false,
|
|
||||||
worker_partition: (rpc_confirmed_transaction.slot % NUM_TRANSACTION_PARTITIONS) as i32,
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
pub fn from_row(row: Row) -> Self {
|
|
||||||
let slot_raw = row.get::<usize, i64>(3);
|
|
||||||
PgTransaction {
|
|
||||||
signature: row.get(0),
|
|
||||||
program_pk: row.get(1),
|
|
||||||
block_datetime: row.get(2),
|
|
||||||
slot: slot_raw as u64,
|
|
||||||
err: row.get(4),
|
|
||||||
processed: row.get(5),
|
|
||||||
worker_partition: row.get(6),
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
pub enum ProcessState {
|
|
||||||
Processed,
|
|
||||||
Unprocessed,
|
|
||||||
}
|
|
|
@ -9,7 +9,7 @@ use crate::{
|
||||||
structs::{
|
structs::{
|
||||||
candle::Candle,
|
candle::Candle,
|
||||||
markets::MarketInfo,
|
markets::MarketInfo,
|
||||||
openbook::{calculate_fill_price_and_size, PgOpenBookFill},
|
openbook::PgOpenBookFill,
|
||||||
resolution::{day, Resolution},
|
resolution::{day, Resolution},
|
||||||
},
|
},
|
||||||
utils::{f64_max, f64_min},
|
utils::{f64_max, f64_min},
|
||||||
|
@ -86,9 +86,7 @@ fn combine_fills_into_1m_candles(
|
||||||
Some(p) => p,
|
Some(p) => p,
|
||||||
None => {
|
None => {
|
||||||
let first = fills_iter.peek().unwrap();
|
let first = fills_iter.peek().unwrap();
|
||||||
let (price, _) =
|
first.price
|
||||||
calculate_fill_price_and_size(**first, market.base_decimals, market.quote_decimals);
|
|
||||||
price
|
|
||||||
}
|
}
|
||||||
};
|
};
|
||||||
|
|
||||||
|
@ -100,15 +98,13 @@ fn combine_fills_into_1m_candles(
|
||||||
|
|
||||||
while matches!(fills_iter.peek(), Some(f) if f.time < end_time) {
|
while matches!(fills_iter.peek(), Some(f) if f.time < end_time) {
|
||||||
let fill = fills_iter.next().unwrap();
|
let fill = fills_iter.next().unwrap();
|
||||||
let (price, volume) =
|
|
||||||
calculate_fill_price_and_size(*fill, market.base_decimals, market.quote_decimals);
|
|
||||||
|
|
||||||
candles[i].close = price;
|
candles[i].close = fill.price;
|
||||||
candles[i].low = f64_min(price, candles[i].low);
|
candles[i].low = f64_min(fill.price, candles[i].low);
|
||||||
candles[i].high = f64_max(price, candles[i].high);
|
candles[i].high = f64_max(fill.price, candles[i].high);
|
||||||
candles[i].volume += volume;
|
candles[i].volume += fill.size;
|
||||||
|
|
||||||
last_price = price;
|
last_price = fill.price;
|
||||||
}
|
}
|
||||||
|
|
||||||
candles[i].start_time = start_time;
|
candles[i].start_time = start_time;
|
||||||
|
|
|
@ -1,11 +1,9 @@
|
||||||
use log::{error, info};
|
use log::{error, info};
|
||||||
use openbook_candles::structs::markets::{fetch_market_infos, load_markets};
|
use openbook_candles::structs::markets::{fetch_market_infos, load_markets};
|
||||||
use openbook_candles::structs::transaction::NUM_TRANSACTION_PARTITIONS;
|
|
||||||
use openbook_candles::utils::Config;
|
use openbook_candles::utils::Config;
|
||||||
use openbook_candles::worker::metrics::{
|
use openbook_candles::worker::metrics::{
|
||||||
serve_metrics, METRIC_DB_POOL_AVAILABLE, METRIC_DB_POOL_SIZE,
|
serve_metrics, METRIC_DB_POOL_AVAILABLE, METRIC_DB_POOL_SIZE,
|
||||||
};
|
};
|
||||||
use openbook_candles::worker::trade_fetching::scrape::{scrape_fills, scrape_signatures};
|
|
||||||
use openbook_candles::{
|
use openbook_candles::{
|
||||||
database::initialize::{connect_to_database, setup_database},
|
database::initialize::{connect_to_database, setup_database},
|
||||||
worker::candle_batching::batch_for_market,
|
worker::candle_batching::batch_for_market,
|
||||||
|
@ -40,25 +38,6 @@ async fn main() -> anyhow::Result<()> {
|
||||||
setup_database(&pool).await?;
|
setup_database(&pool).await?;
|
||||||
let mut handles = vec![];
|
let mut handles = vec![];
|
||||||
|
|
||||||
// signature scraping
|
|
||||||
let rpc_clone = rpc_url.clone();
|
|
||||||
let pool_clone = pool.clone();
|
|
||||||
handles.push(tokio::spawn(async move {
|
|
||||||
scrape_signatures(rpc_clone, &pool_clone).await.unwrap();
|
|
||||||
}));
|
|
||||||
|
|
||||||
// transaction/fill scraping
|
|
||||||
for id in 0..NUM_TRANSACTION_PARTITIONS {
|
|
||||||
let rpc_clone = rpc_url.clone();
|
|
||||||
let pool_clone = pool.clone();
|
|
||||||
let markets_clone = target_markets.clone();
|
|
||||||
handles.push(tokio::spawn(async move {
|
|
||||||
scrape_fills(id as i32, rpc_clone, &pool_clone, &markets_clone)
|
|
||||||
.await
|
|
||||||
.unwrap();
|
|
||||||
}));
|
|
||||||
}
|
|
||||||
|
|
||||||
// candle batching
|
// candle batching
|
||||||
for market in market_infos.into_iter() {
|
for market in market_infos.into_iter() {
|
||||||
let batch_pool = pool.clone();
|
let batch_pool = pool.clone();
|
||||||
|
|
|
@ -1,3 +1,2 @@
|
||||||
pub mod candle_batching;
|
pub mod candle_batching;
|
||||||
pub mod metrics;
|
pub mod metrics;
|
||||||
pub mod trade_fetching;
|
|
||||||
|
|
|
@ -1,2 +0,0 @@
|
||||||
pub mod parsing;
|
|
||||||
pub mod scrape;
|
|
|
@ -1,91 +0,0 @@
|
||||||
use log::warn;
|
|
||||||
use solana_client::client_error::Result as ClientResult;
|
|
||||||
use solana_sdk::pubkey::Pubkey;
|
|
||||||
use solana_transaction_status::{
|
|
||||||
option_serializer::OptionSerializer, EncodedConfirmedTransactionWithStatusMeta,
|
|
||||||
};
|
|
||||||
use std::{collections::HashMap, io::Error};
|
|
||||||
|
|
||||||
use crate::{
|
|
||||||
structs::openbook::{OpenBookFillEvent, OpenBookFillEventRaw},
|
|
||||||
worker::metrics::METRIC_RPC_ERRORS_TOTAL,
|
|
||||||
};
|
|
||||||
|
|
||||||
const PROGRAM_DATA: &str = "Program data: ";
|
|
||||||
|
|
||||||
pub fn parse_trades_from_openbook_txns(
|
|
||||||
txns: &mut Vec<ClientResult<EncodedConfirmedTransactionWithStatusMeta>>,
|
|
||||||
sig_strings: &Vec<String>,
|
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
|
||||||
) -> Vec<OpenBookFillEvent> {
|
|
||||||
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
|
|
||||||
for (idx, txn) in txns.iter_mut().enumerate() {
|
|
||||||
match txn {
|
|
||||||
Ok(t) => {
|
|
||||||
if let Some(m) = &t.transaction.meta {
|
|
||||||
match &m.log_messages {
|
|
||||||
OptionSerializer::Some(logs) => {
|
|
||||||
match parse_openbook_fills_from_logs(
|
|
||||||
logs,
|
|
||||||
target_markets,
|
|
||||||
sig_strings[idx].clone(),
|
|
||||||
t.block_time.unwrap(),
|
|
||||||
) {
|
|
||||||
Some(mut events) => fills_vector.append(&mut events),
|
|
||||||
None => {}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
OptionSerializer::None => {}
|
|
||||||
OptionSerializer::Skip => {}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
Err(e) => {
|
|
||||||
warn!("rpc error in get_transaction {}", e);
|
|
||||||
METRIC_RPC_ERRORS_TOTAL
|
|
||||||
.with_label_values(&["getTransaction"])
|
|
||||||
.inc();
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
fills_vector
|
|
||||||
}
|
|
||||||
|
|
||||||
fn parse_openbook_fills_from_logs(
|
|
||||||
logs: &Vec<String>,
|
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
|
||||||
signature: String,
|
|
||||||
block_time: i64,
|
|
||||||
) -> Option<Vec<OpenBookFillEvent>> {
|
|
||||||
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
|
|
||||||
for (idx, l) in logs.iter().enumerate() {
|
|
||||||
match l.strip_prefix(PROGRAM_DATA) {
|
|
||||||
Some(log) => {
|
|
||||||
let borsh_bytes = match anchor_lang::__private::base64::decode(log) {
|
|
||||||
Ok(borsh_bytes) => borsh_bytes,
|
|
||||||
_ => continue,
|
|
||||||
};
|
|
||||||
let mut slice: &[u8] = &borsh_bytes[8..];
|
|
||||||
let event: Result<OpenBookFillEventRaw, Error> =
|
|
||||||
anchor_lang::AnchorDeserialize::deserialize(&mut slice);
|
|
||||||
|
|
||||||
match event {
|
|
||||||
Ok(e) => {
|
|
||||||
let fill_event = e.into_event(signature.clone(), block_time, idx);
|
|
||||||
if target_markets.contains_key(&fill_event.market) {
|
|
||||||
fills_vector.push(fill_event);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
_ => continue,
|
|
||||||
}
|
|
||||||
}
|
|
||||||
_ => (),
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
if !fills_vector.is_empty() {
|
|
||||||
Some(fills_vector)
|
|
||||||
} else {
|
|
||||||
None
|
|
||||||
}
|
|
||||||
}
|
|
|
@ -1,121 +0,0 @@
|
||||||
use deadpool_postgres::Pool;
|
|
||||||
use futures::future::join_all;
|
|
||||||
use log::{debug, info, warn};
|
|
||||||
use solana_client::{
|
|
||||||
nonblocking::rpc_client::RpcClient, rpc_client::GetConfirmedSignaturesForAddress2Config,
|
|
||||||
rpc_config::RpcTransactionConfig,
|
|
||||||
};
|
|
||||||
use solana_sdk::{commitment_config::CommitmentConfig, pubkey::Pubkey, signature::Signature};
|
|
||||||
use solana_transaction_status::UiTransactionEncoding;
|
|
||||||
use std::{collections::HashMap, str::FromStr};
|
|
||||||
use tokio::sync::mpsc::Sender;
|
|
||||||
|
|
||||||
use crate::{
|
|
||||||
database::{
|
|
||||||
fetch::fetch_worker_transactions,
|
|
||||||
insert::{build_transactions_insert_statement, insert_fills_atomically},
|
|
||||||
},
|
|
||||||
structs::{openbook::OpenBookFillEvent, transaction::PgTransaction},
|
|
||||||
utils::{AnyhowWrap, Config, OPENBOOK_KEY},
|
|
||||||
worker::metrics::{METRIC_FILLS_TOTAL, METRIC_RPC_ERRORS_TOTAL, METRIC_TRANSACTIONS_TOTAL},
|
|
||||||
};
|
|
||||||
|
|
||||||
use super::parsing::parse_trades_from_openbook_txns;
|
|
||||||
|
|
||||||
|
|
||||||
pub async fn scrape_signatures(rpc_url: String, pool: &Pool) -> anyhow::Result<()> {
|
|
||||||
let rpc_client = RpcClient::new_with_commitment(rpc_url.clone(), CommitmentConfig::confirmed());
|
|
||||||
|
|
||||||
loop {
|
|
||||||
let rpc_config = GetConfirmedSignaturesForAddress2Config {
|
|
||||||
before: None,
|
|
||||||
until: None,
|
|
||||||
limit: None,
|
|
||||||
commitment: Some(CommitmentConfig::confirmed()),
|
|
||||||
};
|
|
||||||
|
|
||||||
let sigs = match rpc_client
|
|
||||||
.get_signatures_for_address_with_config(&OPENBOOK_KEY, rpc_config)
|
|
||||||
.await
|
|
||||||
{
|
|
||||||
Ok(sigs) => sigs,
|
|
||||||
Err(e) => {
|
|
||||||
warn!("rpc error in get_signatures_for_address_with_config: {}", e);
|
|
||||||
METRIC_RPC_ERRORS_TOTAL
|
|
||||||
.with_label_values(&["getSignaturesForAddress"])
|
|
||||||
.inc();
|
|
||||||
continue;
|
|
||||||
}
|
|
||||||
};
|
|
||||||
if sigs.is_empty() {
|
|
||||||
debug!("No signatures found, trying again");
|
|
||||||
continue;
|
|
||||||
}
|
|
||||||
let transactions: Vec<PgTransaction> = sigs
|
|
||||||
.into_iter()
|
|
||||||
.map(|s| PgTransaction::from_rpc_confirmed_transaction(s))
|
|
||||||
.collect();
|
|
||||||
|
|
||||||
debug!("Scraper writing: {:?} txns to DB\n", transactions.len());
|
|
||||||
let upsert_statement = build_transactions_insert_statement(transactions);
|
|
||||||
let client = pool.get().await?;
|
|
||||||
let num_txns = client
|
|
||||||
.execute(&upsert_statement, &[])
|
|
||||||
.await
|
|
||||||
.map_err_anyhow()?;
|
|
||||||
METRIC_TRANSACTIONS_TOTAL.inc_by(num_txns);
|
|
||||||
}
|
|
||||||
// TODO: graceful shutdown
|
|
||||||
Ok(())
|
|
||||||
}
|
|
||||||
|
|
||||||
pub async fn scrape_fills(
|
|
||||||
worker_id: i32,
|
|
||||||
rpc_url: String,
|
|
||||||
pool: &Pool,
|
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
|
||||||
) -> anyhow::Result<()> {
|
|
||||||
debug!("Worker {} started \n", worker_id);
|
|
||||||
let rpc_client = RpcClient::new_with_commitment(rpc_url, CommitmentConfig::confirmed());
|
|
||||||
|
|
||||||
loop {
|
|
||||||
let transactions = fetch_worker_transactions(worker_id, pool).await?;
|
|
||||||
if transactions.len() == 0 {
|
|
||||||
debug!("No signatures found by worker {}", worker_id);
|
|
||||||
tokio::time::sleep(WaitDuration::from_secs(1)).await;
|
|
||||||
continue;
|
|
||||||
};
|
|
||||||
|
|
||||||
// for each signature, fetch the transaction
|
|
||||||
let txn_config = RpcTransactionConfig {
|
|
||||||
encoding: Some(UiTransactionEncoding::Json),
|
|
||||||
commitment: Some(CommitmentConfig::confirmed()),
|
|
||||||
max_supported_transaction_version: Some(0),
|
|
||||||
};
|
|
||||||
|
|
||||||
let sig_strings = transactions
|
|
||||||
.iter()
|
|
||||||
.map(|t| t.signature.clone())
|
|
||||||
.collect::<Vec<String>>();
|
|
||||||
|
|
||||||
let signatures: Vec<_> = transactions
|
|
||||||
.into_iter()
|
|
||||||
.map(|t| t.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;
|
|
||||||
|
|
||||||
// TODO: reenable total fills metric
|
|
||||||
let fills = parse_trades_from_openbook_txns(&mut txns, &sig_strings, target_markets);
|
|
||||||
|
|
||||||
// Write any fills to the database, and update the transactions as processed
|
|
||||||
insert_fills_atomically(pool, worker_id, fills, sig_strings).await?;
|
|
||||||
}
|
|
||||||
|
|
||||||
Ok(())
|
|
||||||
}
|
|
Loading…
Reference in New Issue