openbook-candles/src/database/fetch.rs

use crate::structs::{
    candle::Candle,
    coingecko::{PgCoinGecko24HighLow, PgCoinGecko24HourVolume},
    openbook::PgOpenBookFill,
    resolution::Resolution,
    trader::PgTrader,
};
use chrono::{DateTime, Utc};
use deadpool_postgres::{GenericClient, Pool};

pub async fn fetch_earliest_fill(
    pool: &Pool,
    market_address_string: &str,
) -> anyhow::Result<Option<PgOpenBookFill>> {
    let client = pool.get().await?;

    let stmt = r#"SELECT 
        block_datetime as "time",
        bid as "bid",
        maker as "maker",
        price as "price",
        size as "size"
        from openbook.openbook_fill_events 
        where market = $1 
        and maker = true
        ORDER BY time asc LIMIT 1"#;

    let row = client.query_opt(stmt, &[&market_address_string]).await?;

    match row {
        Some(r) => Ok(Some(PgOpenBookFill::from_row(r))),
        None => Ok(None),
    }
}

pub async fn fetch_fills_from(
    pool: &Pool,
    market_address_string: &str,
    start_time: DateTime<Utc>,
    end_time: DateTime<Utc>,
) -> anyhow::Result<Vec<PgOpenBookFill>> {
    let client = pool.get().await?;

    let stmt = r#"SELECT 
         block_datetime as "time",
         bid as "bid",
         maker as "maker",
         price as "price",
         size as "size"
         from openbook.openbook_fill_events 
         where market = $1
         and block_datetime >= $2::timestamptz
         and block_datetime < $3::timestamptz
         and maker = true
         ORDER BY time asc"#;

    let rows = client
        .query(stmt, &[&market_address_string, &start_time, &end_time])
        .await?;
    Ok(rows.into_iter().map(PgOpenBookFill::from_row).collect())
}

pub async fn fetch_latest_finished_candle(
    pool: &Pool,
    market_name: &str,
    resolution: Resolution,
) -> anyhow::Result<Option<Candle>> {
    let client = pool.get().await?;

    let stmt = r#"SELECT 
        market_name as "market_name",
        start_time as "start_time",
        end_time as "end_time",
        resolution as "resolution",
        open as "open",
        close as "close",
        high as "high",
        low as "low",
        volume as "volume",
        complete as "complete"
        from openbook.candles
        where market_name = $1
        and resolution = $2
        and complete = true
        ORDER BY start_time desc LIMIT 1"#;

    let row = client
        .query_opt(stmt, &[&market_name, &resolution.to_string()])
        .await?;

    match row {
        Some(r) => Ok(Some(Candle::from_row(r))),
        None => Ok(None),
    }
}

/// Fetches all of the candles for the given market and resoultion, starting from the earliest.
/// Note that this function will fetch ALL candles.
pub async fn fetch_earliest_candles(
    pool: &Pool,
    market_name: &str,
    resolution: Resolution,
) -> anyhow::Result<Vec<Candle>> {
    let client = pool.get().await?;

    let stmt = r#"SELECT 
        market_name as "market_name",
        start_time as "start_time",
        end_time as "end_time",
        resolution as "resolution!",
        open as "open",
        close as "close",
        high as "high",
        low as "low",
        volume as "volume",
        complete as "complete"
        from openbook.candles
        where market_name = $1
        and resolution = $2
        ORDER BY start_time asc"#;

    let rows = client
        .query(stmt, &[&market_name, &resolution.to_string()])
        .await?;

    Ok(rows.into_iter().map(Candle::from_row).collect())
}

pub async fn fetch_candles_from(
    pool: &Pool,
    market_name: &str,
    resolution: Resolution,
    start_time: DateTime<Utc>,
    end_time: DateTime<Utc>,
) -> anyhow::Result<Vec<Candle>> {
    let client = pool.get().await?;

    let stmt = r#"SELECT 
        market_name as "market_name",
        start_time as "start_time",
        end_time as "end_time",
        resolution as "resolution",
        open as "open",
        close as "close",
        high as "high",
        low as "low",
        volume as "volume",
        complete as "complete"
        from openbook.candles
        where market_name = $1
        and resolution = $2
        and start_time >= $3
        and end_time <= $4
        ORDER BY start_time asc"#;

    let rows = client
        .query(
            stmt,
            &[
                &market_name,
                &resolution.to_string(),
                &start_time,
                &end_time,
            ],
        )
        .await?;

    Ok(rows.into_iter().map(Candle::from_row).collect())
}

pub async fn fetch_top_traders_by_base_volume_from(
    pool: &Pool,
    market_address_string: &str,
    start_time: DateTime<Utc>,
    end_time: DateTime<Utc>,
) -> anyhow::Result<Vec<PgTrader>> {
    let client = pool.get().await?;

    let stmt = r#"SELECT 
            open_orders_owner, 
            sum(
            native_quantity_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END
            ) as "raw_ask_size",
            sum(
            native_quantity_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END
            ) as "raw_bid_size"
        FROM openbook.openbook_fill_events
    WHERE  market = $1
            AND time >= $2
            AND time < $3
    GROUP  BY open_orders_owner
    ORDER  BY 
        sum(native_quantity_paid * CASE bid WHEN true THEN 0 WHEN false THEN 1 END) 
        + 
        sum(native_quantity_received * CASE bid WHEN true THEN 1 WHEN false THEN 0 END) 
    DESC 
    LIMIT 10000"#;

    let rows = client
        .query(stmt, &[&market_address_string, &start_time, &end_time])
        .await?;

    Ok(rows.into_iter().map(PgTrader::from_row).collect())
}

pub async fn fetch_top_traders_by_quote_volume_from(
    pool: &Pool,
    market_address_string: &str,
    start_time: DateTime<Utc>,
    end_time: DateTime<Utc>,
) -> anyhow::Result<Vec<PgTrader>> {
    let client = pool.get().await?;

    let stmt = r#"SELECT 
            open_orders_owner, 
            sum(
                native_quantity_received * CASE bid WHEN true THEN 0 WHEN false THEN 1 END
            ) as "raw_ask_size",
            sum(
                native_quantity_paid * CASE bid WHEN true THEN 1 WHEN false THEN 0 END
            ) as "raw_bid_size"
          FROM openbook.openbook_fill_events
     WHERE  market = $1
            AND time >= $2
            AND time < $3
     GROUP  BY open_orders_owner
     ORDER  BY 
        sum(native_quantity_received * CASE bid WHEN true THEN 0 WHEN false THEN 1 END) 
        + 
        sum(native_quantity_paid * CASE bid WHEN true THEN 1 WHEN false THEN 0 END) 
    DESC  
    LIMIT 10000"#;

    let rows = client
        .query(stmt, &[&market_address_string, &start_time, &end_time])
        .await?;

    Ok(rows.into_iter().map(PgTrader::from_row).collect())
}

pub async fn fetch_coingecko_24h_volume(
    pool: &Pool,
    market_address_strings: &Vec<&str>,
) -> anyhow::Result<Vec<PgCoinGecko24HourVolume>> {
    let client = pool.get().await?;

    let stmt = r#"SELECT 
            t1.market, 
            COALESCE(t2.native_quantity_received, 0) as "raw_base_size",
            COALESCE(t2.native_quantity_paid, 0) as "raw_quote_size"
        FROM (
            SELECT distinct on (market) *
            FROM openbook.openbook_fill_events f
            where bid = true
            and market = any($1) 
        order by market, "time" desc
        ) t1
        LEFT JOIN (
            select market,
            sum(native_quantity_received) as "native_quantity_received",
            sum(native_quantity_paid) as "native_quantity_paid"
            from openbook.openbook_fill_events 
            where "time" >= current_timestamp - interval '1 day' 
            and bid = true
            group by market
        ) t2 ON t1.market = t2.market"#;

    let rows = client.query(stmt, &[&market_address_strings]).await?;

    Ok(rows
        .into_iter()
        .map(PgCoinGecko24HourVolume::from_row)
        .collect())
}

pub async fn fetch_coingecko_24h_high_low(
    pool: &Pool,
    market_names: &Vec<&str>,
) -> anyhow::Result<Vec<PgCoinGecko24HighLow>> {
    let client = pool.get().await?;

    let stmt = r#"select 
            r.market_name as "market_name!", 
            coalesce(c.high, r.high) as "high!", 
            coalesce(c.low, r.low) as "low!", 
            r."close" as "close!"
          from 
            (
              SELECT *
              from 
              openbook.candles 
               where (market_name, start_time, resolution) in (
                select market_name, max(start_time), resolution 
                from openbook.candles 
                where "resolution" = '1M' 
                and market_name = any($1)
                group by market_name, resolution
            )
            ) as r 
            left join (
            SELECT 
                market_name, 
                max(start_time) as "start_time", 
                max(high) as "high", 
                min(low) as "low"
              from 
              openbook.candles 
              where 
                "resolution" = '1M' 
                and "start_time" >= current_timestamp - interval '1 day'
                group by market_name
            ) c on r.market_name = c.market_name"#;

    let rows = client.query(stmt, &[&market_names]).await?;

    Ok(rows
        .into_iter()
        .map(PgCoinGecko24HighLow::from_row)
        .collect())
}