121 lines
3.9 KiB
Rust
121 lines
3.9 KiB
Rust
use std::cmp::{max, min};
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use chrono::{DateTime, Duration, DurationRound, Utc};
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use sqlx::{types::Decimal, Pool, Postgres};
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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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market: &MarketInfo,
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) -> anyhow::Result<Vec<Candle>> {
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let market_name = &market.name;
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let market_address = &market.address;
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let latest_candle = fetch_latest_finished_candle(pool, market_name, Resolution::R1m).await?;
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match latest_candle {
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Some(candle) => {
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let start_time = candle.end_time;
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let end_time = min(
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start_time + day(),
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Utc::now().duration_trunc(Duration::minutes(1))?,
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);
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let mut fills = fetch_fills_from(pool, market_address, start_time, end_time).await?;
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let candles = combine_fills_into_1m_candles(
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&mut fills,
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market,
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start_time,
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end_time,
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Some(candle.close),
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);
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Ok(candles)
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}
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None => {
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let earliest_fill = fetch_earliest_fill(pool, market_address).await?;
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if earliest_fill.is_none() {
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println!("No fills found for: {:?}", market_name);
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return Ok(Vec::new());
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}
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let start_time = earliest_fill
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.unwrap()
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.time
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.duration_trunc(Duration::minutes(1))?;
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let end_time = min(
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start_time + day(),
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Utc::now().duration_trunc(Duration::minutes(1))?,
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);
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let mut fills = fetch_fills_from(pool, market_address, start_time, end_time).await?;
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let candles =
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combine_fills_into_1m_candles(&mut fills, market, start_time, end_time, None);
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Ok(candles)
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}
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}
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}
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fn combine_fills_into_1m_candles(
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fills: &mut Vec<PgOpenBookFill>,
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market: &MarketInfo,
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st: DateTime<Utc>,
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et: DateTime<Utc>,
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maybe_last_price: Option<Decimal>,
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) -> Vec<Candle> {
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let empty_candle = Candle::create_empty_candle(market.name.clone(), Resolution::R1m);
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let minutes = (et - st).num_minutes();
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let mut candles = vec![empty_candle; minutes as usize];
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let mut fills_iter = fills.iter_mut().peekable();
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let mut start_time = st.clone();
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let mut end_time = start_time + Duration::minutes(1);
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let mut last_price = match maybe_last_price {
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Some(p) => p,
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None => {
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let first = fills_iter.peek().clone().unwrap();
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let (price, _) =
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calculate_fill_price_and_size(**first, market.base_decimals, market.quote_decimals);
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price
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}
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};
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for i in 0..candles.len() {
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candles[i].open = last_price;
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candles[i].close = last_price;
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candles[i].low = last_price;
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candles[i].high = last_price;
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while matches!(fills_iter.peek(), Some(f) if f.time < end_time) {
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let fill = fills_iter.next().unwrap();
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let (price, volume) =
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calculate_fill_price_and_size(*fill, market.base_decimals, market.quote_decimals);
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candles[i].close = price;
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candles[i].low = min(price, candles[i].low);
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candles[i].high = max(price, candles[i].high);
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candles[i].volume += volume;
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last_price = price;
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}
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candles[i].start_time = start_time;
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candles[i].end_time = end_time;
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candles[i].complete = matches!(fills_iter.peek(), Some(f) if f.time > end_time);
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start_time = end_time;
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end_time = end_time + Duration::minutes(1);
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}
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candles
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}
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