344 lines
9.8 KiB
Rust
344 lines
9.8 KiB
Rust
use crate::structs::{
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candle::Candle,
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coingecko::{PgCoinGecko24HighLow, PgCoinGecko24HourVolume},
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openbook::PgOpenBookFill,
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resolution::Resolution,
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trader::PgTrader,
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transaction::PgTransaction,
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};
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use chrono::{DateTime, Utc};
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use deadpool_postgres::{GenericClient, Pool};
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pub async fn fetch_earliest_fill(
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pool: &Pool,
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market_address_string: &str,
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) -> anyhow::Result<Option<PgOpenBookFill>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT
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time as "time!",
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bid as "bid!",
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maker as "maker!",
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native_qty_paid as "native_qty_paid!",
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native_qty_received as "native_qty_received!",
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native_fee_or_rebate as "native_fee_or_rebate!"
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from fills
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where market = $1
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and maker = true
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ORDER BY time asc LIMIT 1"#;
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let row = client.query_opt(stmt, &[&market_address_string]).await?;
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match row {
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Some(r) => Ok(Some(PgOpenBookFill::from_row(r))),
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None => Ok(None),
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}
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}
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pub async fn fetch_fills_from(
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pool: &Pool,
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market_address_string: &str,
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start_time: DateTime<Utc>,
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end_time: DateTime<Utc>,
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) -> anyhow::Result<Vec<PgOpenBookFill>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT
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time as "time!",
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bid as "bid!",
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maker as "maker!",
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native_qty_paid as "native_qty_paid!",
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native_qty_received as "native_qty_received!",
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native_fee_or_rebate as "native_fee_or_rebate!"
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from fills
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where market = $1
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and time >= $2::timestamptz
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and time < $3::timestamptz
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and maker = true
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ORDER BY time asc"#;
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let rows = client
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.query(stmt, &[&market_address_string, &start_time, &end_time])
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.await?;
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Ok(rows.into_iter().map(PgOpenBookFill::from_row).collect())
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}
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pub async fn fetch_latest_finished_candle(
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pool: &Pool,
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market_name: &str,
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resolution: Resolution,
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) -> anyhow::Result<Option<Candle>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT
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market_name as "market_name!",
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start_time as "start_time!",
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end_time as "end_time!",
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resolution as "resolution!",
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open as "open!",
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close as "close!",
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high as "high!",
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low as "low!",
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volume as "volume!",
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complete as "complete!"
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from candles
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where market_name = $1
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and resolution = $2
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and complete = true
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ORDER BY start_time desc LIMIT 1"#;
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let row = client
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.query_opt(stmt, &[&market_name, &resolution.to_string()])
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.await?;
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match row {
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Some(r) => Ok(Some(Candle::from_row(r))),
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None => Ok(None),
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}
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}
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/// Fetches all of the candles for the given market and resoultion, starting from the earliest.
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/// Note that this function will fetch ALL candles.
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pub async fn fetch_earliest_candles(
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pool: &Pool,
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market_name: &str,
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resolution: Resolution,
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) -> anyhow::Result<Vec<Candle>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT
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market_name as "market_name!",
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start_time as "start_time!",
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end_time as "end_time!",
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resolution as "resolution!",
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open as "open!",
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close as "close!",
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high as "high!",
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low as "low!",
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volume as "volume!",
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complete as "complete!"
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from candles
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where market_name = $1
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and resolution = $2
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ORDER BY start_time asc"#;
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let rows = client
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.query(stmt, &[&market_name, &resolution.to_string()])
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.await?;
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Ok(rows.into_iter().map(Candle::from_row).collect())
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}
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pub async fn fetch_candles_from(
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pool: &Pool,
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market_name: &str,
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resolution: Resolution,
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start_time: DateTime<Utc>,
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end_time: DateTime<Utc>,
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) -> anyhow::Result<Vec<Candle>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT
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market_name as "market_name!",
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start_time as "start_time!",
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end_time as "end_time!",
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resolution as "resolution!",
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open as "open!",
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close as "close!",
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high as "high!",
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low as "low!",
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volume as "volume!",
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complete as "complete!"
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from candles
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where market_name = $1
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and resolution = $2
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and start_time >= $3
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and end_time <= $4
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ORDER BY start_time asc"#;
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let rows = client
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.query(
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stmt,
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&[
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&market_name,
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&resolution.to_string(),
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&start_time,
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&end_time,
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],
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)
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.await?;
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Ok(rows.into_iter().map(Candle::from_row).collect())
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}
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pub async fn fetch_top_traders_by_base_volume_from(
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pool: &Pool,
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market_address_string: &str,
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start_time: DateTime<Utc>,
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end_time: DateTime<Utc>,
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) -> anyhow::Result<Vec<PgTrader>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT
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open_orders_owner,
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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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) as "raw_ask_size!",
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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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) as "raw_bid_size!"
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FROM fills
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WHERE market = $1
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AND time >= $2
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AND time < $3
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GROUP BY open_orders_owner
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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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+
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sum(native_qty_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END)
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DESC
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LIMIT 10000"#;
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let rows = client
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.query(stmt, &[&market_address_string, &start_time, &end_time])
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.await?;
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Ok(rows.into_iter().map(PgTrader::from_row).collect())
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}
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pub async fn fetch_top_traders_by_quote_volume_from(
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pool: &Pool,
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market_address_string: &str,
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start_time: DateTime<Utc>,
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end_time: DateTime<Utc>,
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) -> anyhow::Result<Vec<PgTrader>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT
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open_orders_owner,
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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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) as "raw_ask_size!",
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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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) as "raw_bid_size!"
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FROM fills
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WHERE market = $1
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AND time >= $2
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AND time < $3
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GROUP BY open_orders_owner
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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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+
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sum(native_qty_paid * CASE bid WHEN true THEN 1 WHEN false THEN 0 END)
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DESC
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LIMIT 10000"#;
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let rows = client
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.query(stmt, &[&market_address_string, &start_time, &end_time])
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.await?;
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Ok(rows.into_iter().map(PgTrader::from_row).collect())
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}
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pub async fn fetch_coingecko_24h_volume(
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pool: &Pool,
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market_address_strings: &Vec<&str>,
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) -> anyhow::Result<Vec<PgCoinGecko24HourVolume>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT
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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_qty_paid, 0) as "raw_quote_size!"
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FROM (
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SELECT distinct on (market) *
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FROM fills f
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where bid = true
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and market = any($1)
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order by market, "time" desc
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) t1
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LEFT JOIN (
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select market,
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sum(native_qty_received) as "native_qty_received",
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sum(native_qty_paid) as "native_qty_paid"
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from fills
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where "time" >= current_timestamp - interval '1 day'
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and bid = true
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group by market
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) t2 ON t1.market = t2.market"#;
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let rows = client.query(stmt, &[&market_address_strings]).await?;
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Ok(rows
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.into_iter()
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.map(PgCoinGecko24HourVolume::from_row)
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.collect())
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}
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pub async fn fetch_coingecko_24h_high_low(
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pool: &Pool,
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market_names: &Vec<&str>,
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) -> anyhow::Result<Vec<PgCoinGecko24HighLow>> {
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let client = pool.get().await?;
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let stmt = r#"select
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r.market_name as "market_name!",
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coalesce(c.high, r.high) as "high!",
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coalesce(c.low, r.low) as "low!",
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r."close" as "close!"
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from
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(
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SELECT *
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from
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candles
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where (market_name, start_time, resolution) in (
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select market_name, max(start_time), resolution
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from candles
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where "resolution" = '1M'
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and market_name = any($1)
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group by market_name, resolution
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)
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) as r
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left join (
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SELECT
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market_name,
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max(start_time) as "start_time",
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max(high) as "high",
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min(low) as "low"
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from
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candles
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where
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"resolution" = '1M'
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and "start_time" >= current_timestamp - interval '1 day'
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group by market_name
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) c on r.market_name = c.market_name"#;
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let rows = client.query(stmt, &[&market_names]).await?;
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Ok(rows
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.into_iter()
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.map(PgCoinGecko24HighLow::from_row)
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.collect())
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}
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/// Fetches unprocessed, non-error transactions for the specified worker partition.
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/// Pulls at most 50 transactions at a time.
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pub async fn fetch_worker_transactions(
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worker_id: i32,
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pool: &Pool,
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) -> anyhow::Result<Vec<PgTransaction>> {
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let client = pool.get().await?;
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let stmt = r#"SELECT signature, program_pk, block_datetime, slot, err, "processed", worker_partition
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FROM transactions
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where worker_partition = $1
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and err = false
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and processed = false
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LIMIT 50"#;
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let rows = client.query(stmt, &[&worker_id]).await?;
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Ok(rows.into_iter().map(PgTransaction::from_row).collect())
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}
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