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mango-feeds
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Orderbook updates 

* Subscribe to accounts rather than program
* Process out of order writes correctly
* Update native to ui helpers
This commit is contained in:
Riordan Panayides 2023-02-03 11:44:46 +00:00
parent 5c8ebc53b1
commit 746174ce8e
2 changed files with 38 additions and 34 deletions
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56
lib/src/orderbook_filter.rs
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@ -18,7 +18,6 @@ use std::{
mem::size_of, mem::size_of,
time::{SystemTime, UNIX_EPOCH}, time::{SystemTime, UNIX_EPOCH},
}; };
use crate::metrics::MetricU64; use crate::metrics::MetricU64;
use anchor_lang::AccountDeserialize; use anchor_lang::AccountDeserialize;
use mango_v4::{ use mango_v4::{
@ -106,6 +105,7 @@ pub struct MarketConfig {
pub name: String, pub name: String,
pub bids: Pubkey, pub bids: Pubkey,
pub asks: Pubkey, pub asks: Pubkey,
pub event_queue: Pubkey,
pub base_decimals: u8, pub base_decimals: u8,
pub quote_decimals: u8, pub quote_decimals: u8,
pub base_lot_size: i64, pub base_lot_size: i64,
@ -113,26 +113,22 @@ pub struct MarketConfig {
} }
pub fn base_lots_to_ui(native: i64, base_decimals: u8, base_lot_size: i64) -> f64 { pub fn base_lots_to_ui(native: i64, base_decimals: u8, base_lot_size: i64) -> f64 {
let decimals: u32 = 3; (native * base_lot_size) as f64 / 10i64.pow(base_decimals.into()) as f64
let res = native as f64 / (10i64.pow(decimals.into()) as f64);
//info!("res {} native {} base_d {} base ls {}", res, native, base_decimals, base_lot_size);
res
} }
pub fn base_lots_to_ui_perp(native: i64, base_decimals: u8, base_lot_size: i64) -> f64 { pub fn base_lots_to_ui_perp(native: i64, base_decimals: u8, quote_decimals: u8) -> f64 {
let decimals: u32 = 4; let decimals = base_decimals - quote_decimals;
let res = native as f64 / (10i64.pow(decimals.into()) as f64); native as f64 / (10i64.pow(decimals.into()) as f64)
//info!("res {} native {} base_d {} base ls {}", res, native, base_decimals, base_lot_size);
res
} }
pub fn price_lots_to_ui(native: i64, base_decimals: u8, quote_decimals: u8) -> f64 { pub fn price_lots_to_ui(native: i64, base_decimals: u8, quote_decimals: u8) -> f64 {
let decimals = base_decimals - quote_decimals; let decimals = base_decimals - quote_decimals;
// let res = native as f64 native as f64 / (10u64.pow(decimals.into())) as f64
// * ((10u64.pow(decimals.into()) * quote_lot_size as u64) as f64 / base_lot_size as f64) }
// as f64;
let res = native as f64 / (10u64.pow(decimals.into())) as f64; pub fn spot_price_to_ui(native: i64, native_size: i64, base_decimals: u8, quote_decimals: u8) -> f64 {
res // TODO: account for fees
((native * 10i64.pow(base_decimals.into())) / (10i64.pow(quote_decimals.into()) * native_size)) as f64
} }
pub fn price_lots_to_ui_perp( pub fn price_lots_to_ui_perp(
@ -143,13 +139,9 @@ pub fn price_lots_to_ui_perp(
quote_lot_size: i64, quote_lot_size: i64,
) -> f64 { ) -> f64 {
let decimals = base_decimals - quote_decimals; let decimals = base_decimals - quote_decimals;
let res = native as f64 let multiplier = 10u64.pow(decimals.into()) as f64;
* ((10u64.pow(decimals.into()) * quote_lot_size as u64) as f64 / base_lot_size as f64) native as f64
as f64; * ((multiplier * quote_lot_size as f64) / base_lot_size as f64)
// let res = native as f64
// / (10u64.pow(decimals.into()))
// as f64;
res
} }
fn publish_changes( fn publish_changes(
@ -332,8 +324,16 @@ pub async fn init(
let side_pk_string = side_pk.to_string(); let side_pk_string = side_pk.to_string();
let write_version = (account_info.slot, account_info.write_version); let write_version = (account_info.slot, account_info.write_version);
// todo: should this be <= so we don't overwrite with old data received late? if write_version == *last_write_version {
if write_version <= *last_write_version { continue;
}
if write_version.0 < last_write_version.0 {
debug!("evq version slot was old");
continue;
}
if write_version.0 == last_write_version.0 && write_version.1 < last_write_version.1
{
debug!("evq version slot was same and write version was old");
continue; continue;
} }
last_write_versions.insert(side_pk_string.clone(), write_version); last_write_versions.insert(side_pk_string.clone(), write_version);
@ -369,7 +369,7 @@ pub async fn init(
.map(|(_, quantity)| quantity) .map(|(_, quantity)| quantity)
.fold(0, |acc, x| acc + x), .fold(0, |acc, x| acc + x),
mkt.1.base_decimals, mkt.1.base_decimals,
mkt.1.base_lot_size, mkt.1.quote_decimals,
), ),
] ]
}) })
@ -394,7 +394,7 @@ pub async fn init(
bookside_cache.insert(side_pk_string.clone(), bookside.clone()); bookside_cache.insert(side_pk_string.clone(), bookside.clone());
} }
Err(_) => info!("chain_cache could not find {}", mkt_pk), Err(_) => debug!("chain_cache could not find {}", mkt_pk),
} }
} }
} }
@ -417,7 +417,7 @@ pub async fn init(
continue; continue;
} }
last_write_versions.insert(side_pk_string.clone(), write_version); last_write_versions.insert(side_pk_string.clone(), write_version);
info!("W {}", mkt.1.name); debug!("W {}", mkt.1.name);
let account = &mut account_info.account.clone(); let account = &mut account_info.account.clone();
let data = account.data_as_mut_slice(); let data = account.data_as_mut_slice();
let len = data.len(); let len = data.len();
@ -473,7 +473,7 @@ pub async fn init(
serum_bookside_cache.insert(side_pk_string.clone(), bookside); serum_bookside_cache.insert(side_pk_string.clone(), bookside);
} }
Err(_) => info!("chain_cache could not find {}", side_pk), Err(_) => debug!("chain_cache could not find {}", side_pk),
} }
} }
} }

16
service-mango-orderbook/src/main.rs
View File

@ -309,6 +309,7 @@ async fn main() -> anyhow::Result<()> {
name: context.market.name().to_owned(), name: context.market.name().to_owned(),
bids: context.market.bids, bids: context.market.bids,
asks: context.market.asks, asks: context.market.asks,
event_queue: context.market.event_queue,
base_decimals: context.market.base_decimals, base_decimals: context.market.base_decimals,
quote_decimals, quote_decimals,
base_lot_size: context.market.base_lot_size, base_lot_size: context.market.base_lot_size,
@ -336,6 +337,7 @@ async fn main() -> anyhow::Result<()> {
name: context.market.name().to_owned(), name: context.market.name().to_owned(),
bids: context.bids, bids: context.bids,
asks: context.asks, asks: context.asks,
event_queue: context.event_q,
base_decimals, base_decimals,
quote_decimals, quote_decimals,
base_lot_size: context.pc_lot_size as i64, base_lot_size: context.pc_lot_size as i64,
@ -355,7 +357,7 @@ async fn main() -> anyhow::Result<()> {
.collect(); .collect();
let (account_write_queue_sender, slot_queue_sender, orderbook_receiver) = let (account_write_queue_sender, slot_queue_sender, orderbook_receiver) =
orderbook_filter::init(market_configs, serum_market_configs, metrics_tx.clone()).await?; orderbook_filter::init(market_configs.clone(), serum_market_configs.clone(), metrics_tx.clone()).await?;
let checkpoints_ref_thread = checkpoints.clone(); let checkpoints_ref_thread = checkpoints.clone();
let peers_ref_thread = peers.clone(); let peers_ref_thread = peers.clone();
@ -422,12 +424,14 @@ async fn main() -> anyhow::Result<()> {
); );
let use_geyser = true; let use_geyser = true;
if use_geyser { if use_geyser {
let relevant_pubkeys = [market_configs.clone()]
.concat()
.iter()
.flat_map(|m| [m.1.bids.to_string(), m.1.asks.to_string()])
.collect();
let filter_config = FilterConfig { let filter_config = FilterConfig {
program_ids: vec![ program_ids: vec![],
"4MangoMjqJ2firMokCjjGgoK8d4MXcrgL7XJaL3w6fVg".into(), account_ids: relevant_pubkeys,
"srmqPvymJeFKQ4zGQed1GFppgkRHL9kaELCbyksJtPX".into(),
],
account_ids: vec![],
}; };
grpc_plugin_source::process_events( grpc_plugin_source::process_events(
&config.source, &config.source,