merge fill service
This commit is contained in:
Maximilian Schneider
parent
c2f0c0ac05
commit
b41c094aba
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@ -1 +1,3 @@
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/target
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/target
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**/*.pem
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**/config.toml
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@ -2543,9 +2543,37 @@ dependencies = [
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"enumflags2",
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"enumflags2",
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"fixed",
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"fixed",
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"fixed-macro",
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"fixed-macro",
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"mango-common",
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"mango-common 3.0.0 (git+https://github.com/blockworks-foundation/mango-v3?branch=main)",
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"mango-logs",
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"mango-logs 0.1.0 (git+https://github.com/blockworks-foundation/mango-v3?branch=main)",
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"mango-macro",
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"mango-macro 3.0.0 (git+https://github.com/blockworks-foundation/mango-v3?branch=main)",
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"num_enum",
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"safe-transmute",
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"serde",
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"serum_dex",
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"solana-program",
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"spl-token",
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"static_assertions",
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"switchboard-program",
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"switchboard-utils",
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"thiserror",
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]
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[[package]]
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name = "mango"
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version = "3.4.2"
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source = "git+https://github.com/blockworks-foundation/mango-v3#527844e85be7970f15e56887cb1ebe3dbf39f3d4"
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dependencies = [
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"anchor-lang",
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"arrayref",
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"bincode",
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"bs58 0.4.0",
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"bytemuck",
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"enumflags2",
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"fixed",
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"fixed-macro",
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"mango-common 3.0.0 (git+https://github.com/blockworks-foundation/mango-v3)",
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"mango-logs 0.1.0 (git+https://github.com/blockworks-foundation/mango-v3)",
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"mango-macro 3.0.0 (git+https://github.com/blockworks-foundation/mango-v3)",
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"num_enum",
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"num_enum",
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"safe-transmute",
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"safe-transmute",
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"serde",
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"serde",
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@ -2567,6 +2595,15 @@ dependencies = [
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"solana-program",
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"solana-program",
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]
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]
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[[package]]
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name = "mango-common"
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version = "3.0.0"
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source = "git+https://github.com/blockworks-foundation/mango-v3#527844e85be7970f15e56887cb1ebe3dbf39f3d4"
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dependencies = [
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"bytemuck",
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"solana-program",
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]
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[[package]]
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[[package]]
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name = "mango-logs"
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name = "mango-logs"
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version = "0.1.0"
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version = "0.1.0"
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@ -2576,13 +2613,22 @@ dependencies = [
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"base64 0.13.0",
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"base64 0.13.0",
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]
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]
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[[package]]
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name = "mango-logs"
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version = "0.1.0"
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source = "git+https://github.com/blockworks-foundation/mango-v3#527844e85be7970f15e56887cb1ebe3dbf39f3d4"
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dependencies = [
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"anchor-lang",
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"base64 0.13.0",
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]
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[[package]]
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[[package]]
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name = "mango-macro"
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name = "mango-macro"
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version = "3.0.0"
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version = "3.0.0"
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source = "git+https://github.com/blockworks-foundation/mango-v3?branch=main#527844e85be7970f15e56887cb1ebe3dbf39f3d4"
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source = "git+https://github.com/blockworks-foundation/mango-v3?branch=main#527844e85be7970f15e56887cb1ebe3dbf39f3d4"
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dependencies = [
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dependencies = [
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"bytemuck",
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"bytemuck",
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"mango-common",
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"mango-common 3.0.0 (git+https://github.com/blockworks-foundation/mango-v3?branch=main)",
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"quote 1.0.16",
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"quote 1.0.16",
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"safe-transmute",
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"safe-transmute",
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"solana-program",
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"solana-program",
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@ -2590,25 +2636,16 @@ dependencies = [
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]
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]
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[[package]]
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[[package]]
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name = "mango-pnl-service"
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name = "mango-macro"
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version = "0.1.0"
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version = "3.0.0"
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source = "git+https://github.com/blockworks-foundation/mango-v3#527844e85be7970f15e56887cb1ebe3dbf39f3d4"
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dependencies = [
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dependencies = [
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"anyhow",
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"async-trait",
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"bs58 0.3.1",
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"bytemuck",
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"bytemuck",
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"fixed",
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"mango-common 3.0.0 (git+https://github.com/blockworks-foundation/mango-v3)",
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"jsonrpsee",
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"quote 1.0.16",
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"log 0.4.16",
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"safe-transmute",
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"mango",
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"solana-program",
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"mango-common",
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"syn 1.0.89",
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"serde",
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"serde_derive",
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"solana-geyser-connector-lib",
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"solana-logger",
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"solana-sdk",
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"tokio",
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"toml",
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]
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]
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[[package]]
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[[package]]
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@ -4291,6 +4328,50 @@ dependencies = [
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"without-alloc",
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"without-alloc",
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]
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]
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[[package]]
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name = "service-mango-fills"
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version = "0.1.0"
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dependencies = [
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"anyhow",
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"async-channel",
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"async-trait",
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"bs58 0.3.1",
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"futures-channel",
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"futures-util",
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"log 0.3.9",
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"serde",
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"serde_derive",
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"serde_json",
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"solana-geyser-connector-lib",
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"solana-logger",
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"tokio",
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"tokio-tungstenite",
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"toml",
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"ws",
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]
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[[package]]
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name = "service-mango-pnl"
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version = "0.1.0"
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dependencies = [
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"anyhow",
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"async-trait",
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"bs58 0.3.1",
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"bytemuck",
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"fixed",
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"jsonrpsee",
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"log 0.4.16",
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"mango 3.4.2 (git+https://github.com/blockworks-foundation/mango-v3?branch=main)",
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"mango-common 3.0.0 (git+https://github.com/blockworks-foundation/mango-v3?branch=main)",
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"serde",
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"serde_derive",
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"solana-geyser-connector-lib",
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"solana-logger",
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"solana-sdk",
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"tokio",
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"toml",
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]
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[[package]]
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[[package]]
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name = "sha-1"
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name = "sha-1"
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version = "0.8.2"
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version = "0.8.2"
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@ -4316,6 +4397,17 @@ dependencies = [
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"opaque-debug 0.3.0",
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"opaque-debug 0.3.0",
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]
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]
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[[package]]
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name = "sha-1"
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version = "0.10.0"
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source = "registry+https://github.com/rust-lang/crates.io-index"
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checksum = "028f48d513f9678cda28f6e4064755b3fbb2af6acd672f2c209b62323f7aea0f"
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dependencies = [
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"cfg-if 1.0.0",
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"cpufeatures",
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"digest 0.10.3",
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]
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[[package]]
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[[package]]
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name = "sha1"
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name = "sha1"
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version = "0.6.1"
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version = "0.6.1"
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@ -4621,7 +4713,7 @@ dependencies = [
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"solana-vote-program",
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"solana-vote-program",
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"thiserror",
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"thiserror",
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"tokio",
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"tokio",
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"tungstenite",
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"tungstenite 0.16.0",
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"url 2.2.2",
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"url 2.2.2",
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]
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]
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@ -4730,10 +4822,13 @@ name = "solana-geyser-connector-lib"
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version = "0.1.0"
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version = "0.1.0"
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dependencies = [
|
dependencies = [
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"anyhow",
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"anyhow",
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"arrayref",
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"async-channel",
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"async-channel",
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"async-stream 0.2.1",
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"async-stream 0.2.1",
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"async-trait",
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"async-trait",
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"base64 0.9.3",
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"bs58 0.3.1",
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"bs58 0.3.1",
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"bytemuck",
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"bytes 1.1.0",
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"bytes 1.1.0",
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"fixed",
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"fixed",
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"futures 0.3.21",
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"futures 0.3.21",
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@ -4742,6 +4837,7 @@ dependencies = [
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"jsonrpc-core 18.0.0 (registry+https://github.com/rust-lang/crates.io-index)",
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"jsonrpc-core 18.0.0 (registry+https://github.com/rust-lang/crates.io-index)",
|
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"jsonrpc-core-client",
|
"jsonrpc-core-client",
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||||||
"log 0.4.16",
|
"log 0.4.16",
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|
"mango 3.4.2 (git+https://github.com/blockworks-foundation/mango-v3)",
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"native-tls",
|
"native-tls",
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"postgres-native-tls",
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"postgres-native-tls",
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"postgres-types",
|
"postgres-types",
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|
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@ -4771,8 +4867,8 @@ dependencies = [
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"bs58 0.3.1",
|
"bs58 0.3.1",
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"fixed",
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"fixed",
|
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"log 0.4.16",
|
"log 0.4.16",
|
||||||
"mango",
|
"mango 3.4.2 (git+https://github.com/blockworks-foundation/mango-v3?branch=main)",
|
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"mango-common",
|
"mango-common 3.0.0 (git+https://github.com/blockworks-foundation/mango-v3?branch=main)",
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"postgres-types",
|
"postgres-types",
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"postgres_query",
|
"postgres_query",
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"solana-geyser-connector-lib",
|
"solana-geyser-connector-lib",
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|
@ -6122,6 +6218,18 @@ dependencies = [
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"tokio-io",
|
"tokio-io",
|
||||||
]
|
]
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|
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|
[[package]]
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|
name = "tokio-tungstenite"
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|
version = "0.17.1"
|
||||||
|
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||||
|
checksum = "06cda1232a49558c46f8a504d5b93101d42c0bf7f911f12a105ba48168f821ae"
|
||||||
|
dependencies = [
|
||||||
|
"futures-util",
|
||||||
|
"log 0.4.16",
|
||||||
|
"tokio",
|
||||||
|
"tungstenite 0.17.2",
|
||||||
|
]
|
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|
|
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[[package]]
|
[[package]]
|
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name = "tokio-util"
|
name = "tokio-util"
|
||||||
version = "0.6.9"
|
version = "0.6.9"
|
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|
|
@ -6319,6 +6427,25 @@ dependencies = [
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"webpki-roots",
|
"webpki-roots",
|
||||||
]
|
]
|
||||||
|
|
||||||
|
[[package]]
|
||||||
|
name = "tungstenite"
|
||||||
|
version = "0.17.2"
|
||||||
|
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||||
|
checksum = "d96a2dea40e7570482f28eb57afbe42d97551905da6a9400acc5c328d24004f5"
|
||||||
|
dependencies = [
|
||||||
|
"base64 0.13.0",
|
||||||
|
"byteorder",
|
||||||
|
"bytes 1.1.0",
|
||||||
|
"http",
|
||||||
|
"httparse",
|
||||||
|
"log 0.4.16",
|
||||||
|
"rand 0.8.5",
|
||||||
|
"sha-1 0.10.0",
|
||||||
|
"thiserror",
|
||||||
|
"url 2.2.2",
|
||||||
|
"utf-8",
|
||||||
|
]
|
||||||
|
|
||||||
[[package]]
|
[[package]]
|
||||||
name = "typeable"
|
name = "typeable"
|
||||||
version = "0.1.2"
|
version = "0.1.2"
|
||||||
|
|
@ -6797,6 +6924,24 @@ dependencies = [
|
||||||
"alloc-traits",
|
"alloc-traits",
|
||||||
]
|
]
|
||||||
|
|
||||||
|
[[package]]
|
||||||
|
name = "ws"
|
||||||
|
version = "0.9.2"
|
||||||
|
source = "registry+https://github.com/rust-lang/crates.io-index"
|
||||||
|
checksum = "25fe90c75f236a0a00247d5900226aea4f2d7b05ccc34da9e7a8880ff59b5848"
|
||||||
|
dependencies = [
|
||||||
|
"byteorder",
|
||||||
|
"bytes 0.4.12",
|
||||||
|
"httparse",
|
||||||
|
"log 0.4.16",
|
||||||
|
"mio 0.6.23",
|
||||||
|
"mio-extras",
|
||||||
|
"rand 0.7.3",
|
||||||
|
"sha-1 0.8.2",
|
||||||
|
"slab",
|
||||||
|
"url 2.2.2",
|
||||||
|
]
|
||||||
|
|
||||||
[[package]]
|
[[package]]
|
||||||
name = "ws2_32-sys"
|
name = "ws2_32-sys"
|
||||||
version = "0.2.1"
|
version = "0.2.1"
|
||||||
|
|
|
||||||
|
|
@ -4,7 +4,8 @@ members = [
|
||||||
"lib",
|
"lib",
|
||||||
"connector-raw",
|
"connector-raw",
|
||||||
"connector-mango",
|
"connector-mango",
|
||||||
"mango-pnl-service",
|
"service-mango-fills",
|
||||||
|
"service-mango-pnl",
|
||||||
]
|
]
|
||||||
|
|
||||||
|
|
||||||
|
|
|
||||||
|
|
@ -16,6 +16,11 @@ solana-client = "=1.9.13"
|
||||||
solana-account-decoder = "=1.9.13"
|
solana-account-decoder = "=1.9.13"
|
||||||
solana-sdk = "=1.9.13"
|
solana-sdk = "=1.9.13"
|
||||||
|
|
||||||
|
mango = { git = "https://github.com/blockworks-foundation/mango-v3" }
|
||||||
|
arrayref = "*"
|
||||||
|
bytemuck = "*"
|
||||||
|
fixed = { version = "*", features = ["serde"] }
|
||||||
|
|
||||||
tokio = { version = "1", features = ["full"] }
|
tokio = { version = "1", features = ["full"] }
|
||||||
tokio-stream = "0.1"
|
tokio-stream = "0.1"
|
||||||
tokio-postgres = "0.7"
|
tokio-postgres = "0.7"
|
||||||
|
|
@ -33,11 +38,11 @@ serde_json = "1.0.68"
|
||||||
tonic = { version = "0.6", features = ["tls"] }
|
tonic = { version = "0.6", features = ["tls"] }
|
||||||
prost = "0.9"
|
prost = "0.9"
|
||||||
|
|
||||||
bs58 = "0.3.1"
|
bs58 = "*"
|
||||||
|
base64 = "*"
|
||||||
log = "0.4"
|
log = "0.4"
|
||||||
rand = "0.7"
|
rand = "0.7"
|
||||||
anyhow = "1.0"
|
anyhow = "1.0"
|
||||||
fixed = { version = "1.9.0", features = ["serde"] }
|
|
||||||
bytes = "1.0"
|
bytes = "1.0"
|
||||||
|
|
||||||
futures = "0.3.17"
|
futures = "0.3.17"
|
||||||
|
|
|
||||||
|
|
@ -0,0 +1,326 @@
|
||||||
|
use crate::{
|
||||||
|
chain_data::{AccountData, ChainData, SlotData},
|
||||||
|
AccountWrite, SlotUpdate,
|
||||||
|
};
|
||||||
|
use log::*;
|
||||||
|
use serde::{ser::SerializeStruct, Deserialize, Serialize, Serializer};
|
||||||
|
use solana_sdk::{
|
||||||
|
account::{ReadableAccount, WritableAccount},
|
||||||
|
clock::Epoch,
|
||||||
|
pubkey::Pubkey,
|
||||||
|
};
|
||||||
|
use std::{
|
||||||
|
cmp::max,
|
||||||
|
collections::{HashMap, HashSet},
|
||||||
|
mem::size_of,
|
||||||
|
str::FromStr,
|
||||||
|
};
|
||||||
|
|
||||||
|
use arrayref::array_ref;
|
||||||
|
use mango::queue::{AnyEvent, EventQueueHeader, EventType, FillEvent};
|
||||||
|
|
||||||
|
#[derive(Clone, Debug, Deserialize)]
|
||||||
|
pub struct MarketConfig {
|
||||||
|
pub name: String,
|
||||||
|
pub event_queue: String,
|
||||||
|
}
|
||||||
|
|
||||||
|
#[derive(Clone, Copy, Debug, Serialize)]
|
||||||
|
pub enum FillUpdateStatus {
|
||||||
|
New,
|
||||||
|
Revoke,
|
||||||
|
}
|
||||||
|
|
||||||
|
#[derive(Clone, Debug)]
|
||||||
|
|
||||||
|
pub struct FillUpdate {
|
||||||
|
pub event: FillEvent,
|
||||||
|
pub status: FillUpdateStatus,
|
||||||
|
pub market: String,
|
||||||
|
pub queue: String,
|
||||||
|
}
|
||||||
|
|
||||||
|
impl Serialize for FillUpdate {
|
||||||
|
fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
|
||||||
|
where
|
||||||
|
S: Serializer,
|
||||||
|
{
|
||||||
|
let event = base64::encode_config(bytemuck::bytes_of(&self.event), base64::STANDARD);
|
||||||
|
let mut state = serializer.serialize_struct("FillUpdate", 4)?;
|
||||||
|
state.serialize_field("market", &self.market)?;
|
||||||
|
state.serialize_field("queue", &self.queue)?;
|
||||||
|
state.serialize_field("status", &self.status)?;
|
||||||
|
state.serialize_field("event", &event)?;
|
||||||
|
|
||||||
|
state.end()
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
#[derive(Clone, Debug)]
|
||||||
|
pub struct FillCheckpoint {
|
||||||
|
pub market: String,
|
||||||
|
pub queue: String,
|
||||||
|
pub events: Vec<FillEvent>,
|
||||||
|
}
|
||||||
|
|
||||||
|
impl Serialize for FillCheckpoint {
|
||||||
|
fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
|
||||||
|
where
|
||||||
|
S: Serializer,
|
||||||
|
{
|
||||||
|
let events: Vec<String> = self
|
||||||
|
.events
|
||||||
|
.iter()
|
||||||
|
.map(|e| base64::encode_config(bytemuck::bytes_of(e), base64::STANDARD))
|
||||||
|
.collect();
|
||||||
|
let mut state = serializer.serialize_struct("FillUpdate", 3)?;
|
||||||
|
state.serialize_field("market", &self.market)?;
|
||||||
|
state.serialize_field("queue", &self.queue)?;
|
||||||
|
state.serialize_field("events", &events)?;
|
||||||
|
state.end()
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
pub enum FillEventFilterMessage {
|
||||||
|
Update(FillUpdate),
|
||||||
|
Checkpoint(FillCheckpoint),
|
||||||
|
}
|
||||||
|
|
||||||
|
// couldn't compile the correct struct size / math on m1, fixed sizes resolve this issue
|
||||||
|
const EVENT_SIZE: usize = 200; //size_of::<AnyEvent>();
|
||||||
|
const QUEUE_LEN: usize = 256;
|
||||||
|
type EventQueueEvents = [AnyEvent; QUEUE_LEN];
|
||||||
|
|
||||||
|
fn publish_changes(
|
||||||
|
mkt: &MarketConfig,
|
||||||
|
header: &EventQueueHeader,
|
||||||
|
events: &EventQueueEvents,
|
||||||
|
old_seq_num: usize,
|
||||||
|
old_events: &EventQueueEvents,
|
||||||
|
fill_update_sender: &async_channel::Sender<FillEventFilterMessage>,
|
||||||
|
) {
|
||||||
|
// seq_num = N means that events (N-QUEUE_LEN) until N-1 are available
|
||||||
|
let start_seq_num = max(old_seq_num, header.seq_num) - QUEUE_LEN;
|
||||||
|
let mut checkpoint = Vec::new();
|
||||||
|
|
||||||
|
for seq_num in start_seq_num..header.seq_num {
|
||||||
|
let idx = seq_num % QUEUE_LEN;
|
||||||
|
|
||||||
|
// there are three possible cases:
|
||||||
|
// 1) the event is past the old seq num, hence guaranteed new event
|
||||||
|
// 2) the event is not matching the old event queue
|
||||||
|
// 3) all other events are matching the old event queue
|
||||||
|
// the order of these checks is important so they are exhaustive
|
||||||
|
if seq_num >= old_seq_num {
|
||||||
|
info!(
|
||||||
|
"found new event {} idx {} type {}",
|
||||||
|
mkt.name, idx, events[idx].event_type as u32
|
||||||
|
);
|
||||||
|
|
||||||
|
// new fills are published and recorded in checkpoint
|
||||||
|
if events[idx].event_type == EventType::Fill as u8 {
|
||||||
|
let fill: FillEvent = bytemuck::cast(events[idx]);
|
||||||
|
fill_update_sender
|
||||||
|
.try_send(FillEventFilterMessage::Update(FillUpdate {
|
||||||
|
event: fill,
|
||||||
|
status: FillUpdateStatus::New,
|
||||||
|
market: mkt.name.clone(),
|
||||||
|
queue: mkt.event_queue.clone(),
|
||||||
|
}))
|
||||||
|
.unwrap(); // TODO: use anyhow to bubble up error
|
||||||
|
checkpoint.push(fill);
|
||||||
|
}
|
||||||
|
} else if old_events[idx].event_type != events[idx].event_type
|
||||||
|
|| old_events[idx].padding != events[idx].padding
|
||||||
|
{
|
||||||
|
info!(
|
||||||
|
"found changed event {} idx {} seq_num {} header seq num {} old seq num {}",
|
||||||
|
mkt.name, idx, seq_num, header.seq_num, old_seq_num
|
||||||
|
);
|
||||||
|
|
||||||
|
// first revoke old event if a fill
|
||||||
|
if old_events[idx].event_type == EventType::Fill as u8 {
|
||||||
|
let fill: FillEvent = bytemuck::cast(old_events[idx]);
|
||||||
|
fill_update_sender
|
||||||
|
.try_send(FillEventFilterMessage::Update(FillUpdate {
|
||||||
|
event: fill,
|
||||||
|
status: FillUpdateStatus::Revoke,
|
||||||
|
market: mkt.name.clone(),
|
||||||
|
queue: mkt.event_queue.clone(),
|
||||||
|
}))
|
||||||
|
.unwrap(); // TODO: use anyhow to bubble up error
|
||||||
|
}
|
||||||
|
|
||||||
|
// then publish new if its a fill and record in checkpoint
|
||||||
|
if events[idx].event_type == EventType::Fill as u8 {
|
||||||
|
let fill: FillEvent = bytemuck::cast(events[idx]);
|
||||||
|
fill_update_sender
|
||||||
|
.try_send(FillEventFilterMessage::Update(FillUpdate {
|
||||||
|
event: fill,
|
||||||
|
status: FillUpdateStatus::New,
|
||||||
|
market: mkt.name.clone(),
|
||||||
|
queue: mkt.event_queue.clone(),
|
||||||
|
}))
|
||||||
|
.unwrap(); // TODO: use anyhow to bubble up error
|
||||||
|
checkpoint.push(fill);
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
// every already published event is recorded in checkpoint if a fill
|
||||||
|
if events[idx].event_type == EventType::Fill as u8 {
|
||||||
|
let fill: FillEvent = bytemuck::cast(events[idx]);
|
||||||
|
checkpoint.push(fill);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
// in case queue size shrunk due to a fork we need revoke all previous fills
|
||||||
|
for seq_num in header.seq_num..old_seq_num {
|
||||||
|
let idx = seq_num % QUEUE_LEN;
|
||||||
|
info!(
|
||||||
|
"found dropped event {} idx {} seq_num {} header seq num {} old seq num {}",
|
||||||
|
mkt.name, idx, seq_num, header.seq_num, old_seq_num
|
||||||
|
);
|
||||||
|
|
||||||
|
if old_events[idx].event_type == EventType::Fill as u8 {
|
||||||
|
let fill: FillEvent = bytemuck::cast(old_events[idx]);
|
||||||
|
fill_update_sender
|
||||||
|
.try_send(FillEventFilterMessage::Update(FillUpdate {
|
||||||
|
event: fill,
|
||||||
|
status: FillUpdateStatus::Revoke,
|
||||||
|
market: mkt.name.clone(),
|
||||||
|
queue: mkt.event_queue.clone(),
|
||||||
|
}))
|
||||||
|
.unwrap(); // TODO: use anyhow to bubble up error
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
fill_update_sender
|
||||||
|
.try_send(FillEventFilterMessage::Checkpoint(FillCheckpoint {
|
||||||
|
events: checkpoint,
|
||||||
|
market: mkt.name.clone(),
|
||||||
|
queue: mkt.event_queue.clone(),
|
||||||
|
}))
|
||||||
|
.unwrap()
|
||||||
|
}
|
||||||
|
|
||||||
|
pub async fn init(
|
||||||
|
markets: Vec<MarketConfig>,
|
||||||
|
) -> anyhow::Result<(
|
||||||
|
async_channel::Sender<AccountWrite>,
|
||||||
|
async_channel::Sender<SlotUpdate>,
|
||||||
|
async_channel::Receiver<FillEventFilterMessage>,
|
||||||
|
)> {
|
||||||
|
// The actual message may want to also contain a retry count, if it self-reinserts on failure?
|
||||||
|
let (account_write_queue_sender, account_write_queue_receiver) =
|
||||||
|
async_channel::unbounded::<AccountWrite>();
|
||||||
|
|
||||||
|
// Slot updates flowing from the outside into the single processing thread. From
|
||||||
|
// there they'll flow into the postgres sending thread.
|
||||||
|
let (slot_queue_sender, slot_queue_receiver) = async_channel::unbounded::<SlotUpdate>();
|
||||||
|
|
||||||
|
// Fill updates can be consumed by client connections, they contain all fills for all markets
|
||||||
|
let (fill_update_sender, fill_update_receiver) =
|
||||||
|
async_channel::unbounded::<FillEventFilterMessage>();
|
||||||
|
|
||||||
|
let account_write_queue_receiver_c = account_write_queue_receiver.clone();
|
||||||
|
|
||||||
|
let mut chain_cache = ChainData::new();
|
||||||
|
let mut events_cache: HashMap<String, EventQueueEvents> = HashMap::new();
|
||||||
|
let mut seq_num_cache = HashMap::new();
|
||||||
|
let mut last_ev_q_versions = HashMap::<String, (u64, u64)>::new();
|
||||||
|
|
||||||
|
let relevant_pubkeys = markets
|
||||||
|
.iter()
|
||||||
|
.map(|m| Pubkey::from_str(&m.event_queue).unwrap())
|
||||||
|
.collect::<HashSet<Pubkey>>();
|
||||||
|
|
||||||
|
// update handling thread, reads both sloths and account updates
|
||||||
|
tokio::spawn(async move {
|
||||||
|
loop {
|
||||||
|
tokio::select! {
|
||||||
|
Ok(account_write) = account_write_queue_receiver_c.recv() => {
|
||||||
|
if !relevant_pubkeys.contains(&account_write.pubkey) {
|
||||||
|
continue;
|
||||||
|
}
|
||||||
|
|
||||||
|
chain_cache.update_account(
|
||||||
|
account_write.pubkey,
|
||||||
|
AccountData {
|
||||||
|
slot: account_write.slot,
|
||||||
|
write_version: account_write.write_version,
|
||||||
|
account: WritableAccount::create(
|
||||||
|
account_write.lamports,
|
||||||
|
account_write.data.clone(),
|
||||||
|
account_write.owner,
|
||||||
|
account_write.executable,
|
||||||
|
account_write.rent_epoch as Epoch,
|
||||||
|
),
|
||||||
|
},
|
||||||
|
);
|
||||||
|
}
|
||||||
|
Ok(slot_update) = slot_queue_receiver.recv() => {
|
||||||
|
chain_cache.update_slot(SlotData {
|
||||||
|
slot: slot_update.slot,
|
||||||
|
parent: slot_update.parent,
|
||||||
|
status: slot_update.status,
|
||||||
|
chain: 0,
|
||||||
|
});
|
||||||
|
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
for mkt in markets.iter() {
|
||||||
|
let last_ev_q_version = last_ev_q_versions.get(&mkt.event_queue);
|
||||||
|
let mkt_pk = mkt.event_queue.parse::<Pubkey>().unwrap();
|
||||||
|
|
||||||
|
match chain_cache.account(&mkt_pk) {
|
||||||
|
Ok(account_info) => {
|
||||||
|
// only process if the account state changed
|
||||||
|
let ev_q_version = (account_info.slot, account_info.write_version);
|
||||||
|
trace!("evq {} write_version {:?}", mkt.name, ev_q_version);
|
||||||
|
if ev_q_version == *last_ev_q_version.unwrap_or(&(0, 0)) {
|
||||||
|
continue;
|
||||||
|
}
|
||||||
|
last_ev_q_versions.insert(mkt.event_queue.clone(), ev_q_version);
|
||||||
|
|
||||||
|
let account = &account_info.account;
|
||||||
|
|
||||||
|
const HEADER_SIZE: usize = size_of::<EventQueueHeader>();
|
||||||
|
let header_data = array_ref![account.data(), 0, HEADER_SIZE];
|
||||||
|
let header: &EventQueueHeader = bytemuck::from_bytes(header_data);
|
||||||
|
trace!("evq {} seq_num {}", mkt.name, header.seq_num);
|
||||||
|
|
||||||
|
const QUEUE_SIZE: usize = EVENT_SIZE * QUEUE_LEN;
|
||||||
|
let events_data = array_ref![account.data(), HEADER_SIZE, QUEUE_SIZE];
|
||||||
|
let events: &EventQueueEvents = bytemuck::from_bytes(events_data);
|
||||||
|
|
||||||
|
match seq_num_cache.get(&mkt.event_queue) {
|
||||||
|
Some(old_seq_num) => match events_cache.get(&mkt.event_queue) {
|
||||||
|
Some(old_events) => publish_changes(
|
||||||
|
mkt,
|
||||||
|
header,
|
||||||
|
events,
|
||||||
|
*old_seq_num,
|
||||||
|
old_events,
|
||||||
|
&fill_update_sender,
|
||||||
|
),
|
||||||
|
_ => info!("events_cache could not find {}", mkt.name),
|
||||||
|
},
|
||||||
|
_ => info!("seq_num_cache could not find {}", mkt.name),
|
||||||
|
}
|
||||||
|
|
||||||
|
seq_num_cache.insert(mkt.event_queue.clone(), header.seq_num.clone());
|
||||||
|
events_cache.insert(mkt.event_queue.clone(), events.clone());
|
||||||
|
}
|
||||||
|
Err(_) => info!("chain_cache could not find {}", mkt.name),
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
});
|
||||||
|
|
||||||
|
Ok((
|
||||||
|
account_write_queue_sender,
|
||||||
|
slot_queue_sender,
|
||||||
|
fill_update_receiver,
|
||||||
|
))
|
||||||
|
}
|
||||||
|
|
@ -1,4 +1,5 @@
|
||||||
pub mod chain_data;
|
pub mod chain_data;
|
||||||
|
pub mod fill_event_filter;
|
||||||
pub mod grpc_plugin_source;
|
pub mod grpc_plugin_source;
|
||||||
pub mod memory_target;
|
pub mod memory_target;
|
||||||
pub mod metrics;
|
pub mod metrics;
|
||||||
|
|
|
||||||
|
|
@ -0,0 +1,24 @@
|
||||||
|
[package]
|
||||||
|
name = "service-mango-fills"
|
||||||
|
version = "0.1.0"
|
||||||
|
authors = ["Christian Kamm <mail@ckamm.de>", "Maximilian Schneider <max@mango.markets>"]
|
||||||
|
edition = "2018"
|
||||||
|
|
||||||
|
[dependencies]
|
||||||
|
solana-geyser-connector-lib = { path = "../lib" }
|
||||||
|
solana-logger = "*"
|
||||||
|
bs58 = "*"
|
||||||
|
log = "*"
|
||||||
|
anyhow = "*"
|
||||||
|
toml = "*"
|
||||||
|
|
||||||
|
serde = "1.0"
|
||||||
|
serde_derive = "1.0"
|
||||||
|
serde_json = "1.0"
|
||||||
|
futures-channel = "0.3"
|
||||||
|
futures-util = "0.3"
|
||||||
|
ws = "^0.9.2"
|
||||||
|
async-channel = "1.6"
|
||||||
|
async-trait = "0.1"
|
||||||
|
tokio = { version = "1", features = ["full"] }
|
||||||
|
tokio-tungstenite = "0.17"
|
||||||
|
|
@ -0,0 +1,13 @@
|
||||||
|
connector-fills
|
||||||
|
|
||||||
|
This module parses event queues and exposes individual fills on a websocket.
|
||||||
|
|
||||||
|
TODO:
|
||||||
|
|
||||||
|
- [] early filter out all account writes we dont care about
|
||||||
|
- [] startup logic, dont accept websockets before first snapshot
|
||||||
|
- [] failover logic, kill all websockets when we receive a later snapshot, more
|
||||||
|
frequent when running on home connections
|
||||||
|
- [] track websocket connect / disconnect
|
||||||
|
- [] track latency accountwrite -> websocket
|
||||||
|
- [] track queue length
|
||||||
|
|
@ -0,0 +1,64 @@
|
||||||
|
bind_ws_addr = "127.0.0.1:8080"
|
||||||
|
|
||||||
|
[source]
|
||||||
|
dedup_queue_size = 50000
|
||||||
|
rpc_ws_url = ""
|
||||||
|
|
||||||
|
[[source.grpc_sources]]
|
||||||
|
name = "server"
|
||||||
|
connection_string = "http://[::1]:10000"
|
||||||
|
retry_connection_sleep_secs = 30
|
||||||
|
|
||||||
|
#[source.grpc_sources.tls]
|
||||||
|
#ca_cert_path = "ca.pem"
|
||||||
|
#client_cert_path = "client.pem"
|
||||||
|
#client_key_path = "client.pem"
|
||||||
|
#domain_name = "example.com"
|
||||||
|
|
||||||
|
[source.snapshot]
|
||||||
|
rpc_http_url = ""
|
||||||
|
program_id = "mv3ekLzLbnVPNxjSKvqBpU3ZeZXPQdEC3bp5MDEBG68"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "BTC-PERP"
|
||||||
|
event_queue = "7t5Me8RieYKsFpfLEV8jnpqcqswNpyWD95ZqgUXuLV8Z"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "ETH-PERP"
|
||||||
|
event_queue = "9vDfKNPJkCvQv9bzR4JNTGciQC2RVHPVNMMHiVDgT1mw"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "SOL-PERP"
|
||||||
|
event_queue = "31cKs646dt1YkA3zPyxZ7rUAkxTBz279w4XEobFXcAKP"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "MNGO-PERP"
|
||||||
|
event_queue = "7orixrhZpjvofZGWZyyLFxSEt2tfFiost5kHEzd7jdet"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "SRM-PERP"
|
||||||
|
event_queue = "BXSPmdHWP6fMqsCsT6kG8UN9uugAJxdDkQWy87njUQnL"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "RAY-PERP"
|
||||||
|
event_queue = "Css2MQhEvXMTKjp9REVZR9ZyUAYAZAPrnDvRoPxrQkeN"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "FTT-PERP"
|
||||||
|
event_queue = "5pHAhyEphQRVvLqvYF7dziofR52yZWuq8DThQFJvJ7r5"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "ADA-PERP"
|
||||||
|
event_queue = "G6Dsw9KnP4G38hePtedTH6gDfDQmPJGJw8zipBJvKc12"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "BNB-PERP"
|
||||||
|
event_queue = "GmX4qXMpXvs1DuUXNB4eqL1rfF8LeYEjkKgpFeYsm55n"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "AVAX-PERP"
|
||||||
|
event_queue = "5Grgo9kLu692SUcJ6S7jtbi1WkdwiyRWgThAfN1PcvbL"
|
||||||
|
|
||||||
|
[[markets]]
|
||||||
|
name = "LUNA-PERP"
|
||||||
|
event_queue = "HDJ43o9Dxxu6yWRWPEce44gtCHauRGLXJwwtvD7GwEBx"
|
||||||
|
|
@ -0,0 +1,170 @@
|
||||||
|
use futures_channel::mpsc::{unbounded, UnboundedSender};
|
||||||
|
use futures_util::{pin_mut, SinkExt, StreamExt};
|
||||||
|
use log::*;
|
||||||
|
use std::{collections::HashMap, fs::File, io::Read, net::SocketAddr, sync::Arc, sync::Mutex};
|
||||||
|
use tokio::{
|
||||||
|
net::{TcpListener, TcpStream},
|
||||||
|
pin,
|
||||||
|
};
|
||||||
|
use tokio_tungstenite::tungstenite::protocol::Message;
|
||||||
|
|
||||||
|
use serde::Deserialize;
|
||||||
|
use solana_geyser_connector_lib::{
|
||||||
|
fill_event_filter::{self, FillCheckpoint, FillEventFilterMessage, MarketConfig},
|
||||||
|
grpc_plugin_source, metrics, websocket_source, SourceConfig,
|
||||||
|
};
|
||||||
|
|
||||||
|
type CheckpointMap = Arc<Mutex<HashMap<String, FillCheckpoint>>>;
|
||||||
|
type PeerMap = Arc<Mutex<HashMap<SocketAddr, UnboundedSender<Message>>>>;
|
||||||
|
|
||||||
|
async fn handle_connection(
|
||||||
|
checkpoint_map: CheckpointMap,
|
||||||
|
peer_map: PeerMap,
|
||||||
|
raw_stream: TcpStream,
|
||||||
|
addr: SocketAddr,
|
||||||
|
) {
|
||||||
|
info!("ws connected: {}", addr);
|
||||||
|
let ws_stream = tokio_tungstenite::accept_async(raw_stream)
|
||||||
|
.await
|
||||||
|
.expect("Error during the ws handshake occurred");
|
||||||
|
let (mut ws_tx, _ws_rx) = ws_stream.split();
|
||||||
|
|
||||||
|
// 1: publish channel in peer map
|
||||||
|
let (chan_tx, chan_rx) = unbounded();
|
||||||
|
{
|
||||||
|
peer_map.lock().unwrap().insert(addr, chan_tx);
|
||||||
|
info!("ws published: {}", addr);
|
||||||
|
}
|
||||||
|
|
||||||
|
// 2: send initial checkpoint
|
||||||
|
{
|
||||||
|
let checkpoint_map_copy = checkpoint_map.lock().unwrap().clone();
|
||||||
|
for (_, ckpt) in checkpoint_map_copy.iter() {
|
||||||
|
ws_tx
|
||||||
|
.feed(Message::Text(serde_json::to_string(ckpt).unwrap()))
|
||||||
|
.await
|
||||||
|
.unwrap();
|
||||||
|
}
|
||||||
|
}
|
||||||
|
let result_ckpt = ws_tx.flush().await;
|
||||||
|
info!("ws ckpt sent: {} err: {:?}", addr, result_ckpt);
|
||||||
|
|
||||||
|
// 3: forward all events from channel to peer socket
|
||||||
|
let forward_updates = chan_rx.map(Ok).forward(ws_tx);
|
||||||
|
pin_mut!(forward_updates);
|
||||||
|
let result_forward = forward_updates.await;
|
||||||
|
|
||||||
|
info!("ws disconnected: {} err: {:?}", &addr, result_forward);
|
||||||
|
peer_map.lock().unwrap().remove(&addr);
|
||||||
|
result_ckpt.unwrap();
|
||||||
|
result_forward.unwrap();
|
||||||
|
}
|
||||||
|
|
||||||
|
#[derive(Clone, Debug, Deserialize)]
|
||||||
|
pub struct Config {
|
||||||
|
pub source: SourceConfig,
|
||||||
|
pub markets: Vec<MarketConfig>,
|
||||||
|
pub bind_ws_addr: String,
|
||||||
|
}
|
||||||
|
|
||||||
|
#[tokio::main]
|
||||||
|
async fn main() -> anyhow::Result<()> {
|
||||||
|
let args: Vec<String> = std::env::args().collect();
|
||||||
|
if args.len() < 2 {
|
||||||
|
error!("requires a config file argument");
|
||||||
|
return Ok(());
|
||||||
|
}
|
||||||
|
|
||||||
|
let config: Config = {
|
||||||
|
let mut file = File::open(&args[1])?;
|
||||||
|
let mut contents = String::new();
|
||||||
|
file.read_to_string(&mut contents)?;
|
||||||
|
toml::from_str(&contents).unwrap()
|
||||||
|
};
|
||||||
|
|
||||||
|
solana_logger::setup_with_default("info");
|
||||||
|
|
||||||
|
let metrics_tx = metrics::start();
|
||||||
|
|
||||||
|
let (account_write_queue_sender, slot_queue_sender, fill_receiver) =
|
||||||
|
fill_event_filter::init(config.markets.clone()).await?;
|
||||||
|
|
||||||
|
let checkpoints = CheckpointMap::new(Mutex::new(HashMap::new()));
|
||||||
|
let peers = PeerMap::new(Mutex::new(HashMap::new()));
|
||||||
|
|
||||||
|
let checkpoints_ref_thread = checkpoints.clone();
|
||||||
|
let peers_ref_thread = peers.clone();
|
||||||
|
|
||||||
|
// filleventfilter websocket sink
|
||||||
|
tokio::spawn(async move {
|
||||||
|
pin!(fill_receiver);
|
||||||
|
loop {
|
||||||
|
let message = fill_receiver.recv().await.unwrap();
|
||||||
|
match message {
|
||||||
|
FillEventFilterMessage::Update(update) => {
|
||||||
|
info!("ws update {} {:?} fill", update.market, update.status);
|
||||||
|
|
||||||
|
let mut peer_copy = peers_ref_thread.lock().unwrap().clone();
|
||||||
|
|
||||||
|
for (k, v) in peer_copy.iter_mut() {
|
||||||
|
debug!(" > {}", k);
|
||||||
|
|
||||||
|
let json = serde_json::to_string(&update);
|
||||||
|
|
||||||
|
v.send(Message::Text(json.unwrap())).await.unwrap()
|
||||||
|
}
|
||||||
|
}
|
||||||
|
FillEventFilterMessage::Checkpoint(checkpoint) => {
|
||||||
|
checkpoints_ref_thread
|
||||||
|
.lock()
|
||||||
|
.unwrap()
|
||||||
|
.insert(checkpoint.queue.clone(), checkpoint);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
});
|
||||||
|
|
||||||
|
info!("ws listen: {}", config.bind_ws_addr);
|
||||||
|
let try_socket = TcpListener::bind(&config.bind_ws_addr).await;
|
||||||
|
let listener = try_socket.expect("Failed to bind");
|
||||||
|
tokio::spawn(async move {
|
||||||
|
// Let's spawn the handling of each connection in a separate task.
|
||||||
|
while let Ok((stream, addr)) = listener.accept().await {
|
||||||
|
tokio::spawn(handle_connection(
|
||||||
|
checkpoints.clone(),
|
||||||
|
peers.clone(),
|
||||||
|
stream,
|
||||||
|
addr,
|
||||||
|
));
|
||||||
|
}
|
||||||
|
});
|
||||||
|
|
||||||
|
info!(
|
||||||
|
"rpc connect: {}",
|
||||||
|
config
|
||||||
|
.source
|
||||||
|
.grpc_sources
|
||||||
|
.iter()
|
||||||
|
.map(|c| c.connection_string.clone())
|
||||||
|
.collect::<String>()
|
||||||
|
);
|
||||||
|
let use_geyser = true;
|
||||||
|
if use_geyser {
|
||||||
|
grpc_plugin_source::process_events(
|
||||||
|
&config.source,
|
||||||
|
account_write_queue_sender,
|
||||||
|
slot_queue_sender,
|
||||||
|
metrics_tx,
|
||||||
|
)
|
||||||
|
.await;
|
||||||
|
} else {
|
||||||
|
websocket_source::process_events(
|
||||||
|
&config.source,
|
||||||
|
account_write_queue_sender,
|
||||||
|
slot_queue_sender,
|
||||||
|
)
|
||||||
|
.await;
|
||||||
|
}
|
||||||
|
|
||||||
|
Ok(())
|
||||||
|
}
|
||||||
|
|
@ -1,5 +1,5 @@
|
||||||
[package]
|
[package]
|
||||||
name = "mango-pnl-service"
|
name = "service-mango-pnl"
|
||||||
version = "0.1.0"
|
version = "0.1.0"
|
||||||
authors = ["Christian Kamm <mail@ckamm.de>"]
|
authors = ["Christian Kamm <mail@ckamm.de>"]
|
||||||
edition = "2021"
|
edition = "2021"
|
||||||
Loading…
Reference in New Issue