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openbook-candles
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feat: fill events include block time (fixes backfill issues)

This commit is contained in:
dboures 2023-05-19 14:50:56 -05:00
parent 872e6fcdb2
commit 0e821cc3c1
No known key found for this signature in database
GPG Key ID: AB3790129D478852
5 changed files with 70 additions and 23 deletions
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18
src/database/insert.rs
View File

@ -1,4 +1,3 @@
use chrono::Utc;
use deadpool_postgres::Pool;
use std::{
collections::{hash_map::DefaultHasher, HashMap},
@ -7,13 +6,13 @@ use std::{
use tokio::sync::mpsc::{error::TryRecvError, Receiver};
use crate::{
structs::{candle::Candle, openbook::OpenBookFillEventLog},
utils::AnyhowWrap,
structs::{candle::Candle, openbook::OpenBookFillEvent},
utils::{to_timestampz, AnyhowWrap},
};
pub async fn persist_fill_events(
pool: &Pool,
fill_receiver: &mut Receiver<OpenBookFillEventLog>,
fill_receiver: &mut Receiver<OpenBookFillEvent>,
) -> anyhow::Result<()> {
let client = pool.get().await?;
loop {
@ -94,7 +93,8 @@ pub async fn persist_candles(
}
}
fn build_fills_upsert_statement(events: HashMap<OpenBookFillEventLog, u8>) -> String {
#[allow(deprecated)]
fn build_fills_upsert_statement(events: HashMap<OpenBookFillEvent, u8>) -> String {
let mut stmt = String::from("INSERT INTO fills (id, time, market, open_orders, open_orders_owner, bid, maker, native_qty_paid, native_qty_received, native_fee_or_rebate, fee_tier, order_id) VALUES");
for (idx, event) in events.keys().enumerate() {
let mut hasher = DefaultHasher::new();
@ -102,7 +102,7 @@ fn build_fills_upsert_statement(events: HashMap<OpenBookFillEventLog, u8>) -> St
let val_str = format!(
"({}, \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {})",
hasher.finish(),
Utc::now().to_rfc3339(),
to_timestampz(event.block_time as u64).to_rfc3339(),
event.market,
event.open_orders,
event.open_orders_owner,
@ -174,7 +174,7 @@ mod tests {
#[test]
fn test_event_hashing() {
let event_1 = OpenBookFillEventLog {
let event_1 = OpenBookFillEvent {
market: Pubkey::from_str("8BnEgHoWFysVcuFFX7QztDmzuH8r5ZFvyP3sYwn1XTh6").unwrap(),
open_orders: Pubkey::from_str("CKo9nGfgekYYfjHw4K22qMAtVeqBXET3pSGm8k5DSJi7").unwrap(),
open_orders_owner: Pubkey::from_str("JCNCMFXo5M5qwUPg2Utu1u6YWp3MbygxqBsBeXXJfrw")
@ -189,9 +189,10 @@ mod tests {
fee_tier: 0,
client_order_id: None,
referrer_rebate: Some(841),
block_time: 0,
};
let event_2 = OpenBookFillEventLog {
let event_2 = OpenBookFillEvent {
market: Pubkey::from_str("8BnEgHoWFysVcuFFX7QztDmzuH8r5ZFvyP3sYwn1XTh6").unwrap(),
open_orders: Pubkey::from_str("CKo9nGfgekYYfjHw4K22qMAtVeqBXET3pSGm8k5DSJi7").unwrap(),
open_orders_owner: Pubkey::from_str("JCNCMFXo5M5qwUPg2Utu1u6YWp3MbygxqBsBeXXJfrw")
@ -206,6 +207,7 @@ mod tests {
fee_tier: 0,
client_order_id: None,
referrer_rebate: Some(841),
block_time: 0,
};
let mut h1 = DefaultHasher::new();

41
src/structs/openbook.rs
View File

@ -6,7 +6,7 @@ use tokio_postgres::Row;
#[event]
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
pub struct OpenBookFillEventLog {
pub struct OpenBookFillEventRaw {
pub market: Pubkey,
pub open_orders: Pubkey,
pub open_orders_owner: Pubkey,
@ -21,6 +21,45 @@ pub struct OpenBookFillEventLog {
pub client_order_id: Option<u64>,
pub referrer_rebate: Option<u64>,
}
impl OpenBookFillEventRaw {
pub fn with_time(self, block_time: i64) -> OpenBookFillEvent {
OpenBookFillEvent {
market: self.market,
open_orders: self.open_orders,
open_orders_owner: self.open_orders_owner,
bid: self.bid,
maker: self.maker,
native_qty_paid: self.native_qty_paid,
native_qty_received: self.native_qty_received,
native_fee_or_rebate: self.native_fee_or_rebate,
order_id: self.order_id,
owner_slot: self.owner_slot,
fee_tier: self.fee_tier,
client_order_id: self.client_order_id,
referrer_rebate: self.referrer_rebate,
block_time,
}
}
}
#[event]
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
pub struct OpenBookFillEvent {
pub market: Pubkey,
pub open_orders: Pubkey,
pub open_orders_owner: Pubkey,
pub bid: bool,
pub maker: bool,
pub native_qty_paid: u64,
pub native_qty_received: u64,
pub native_fee_or_rebate: u64,
pub order_id: u128,
pub owner_slot: u8,
pub fee_tier: u8,
pub client_order_id: Option<u64>,
pub referrer_rebate: Option<u64>,
pub block_time: i64,
}
#[derive(Copy, Clone, Debug, PartialEq)]
pub struct PgOpenBookFill {

4
src/worker/main.rs
View File

@ -1,7 +1,7 @@
use dotenv;
use openbook_candles::structs::candle::Candle;
use openbook_candles::structs::markets::{fetch_market_infos, load_markets};
use openbook_candles::structs::openbook::OpenBookFillEventLog;
use openbook_candles::structs::openbook::OpenBookFillEvent;
use openbook_candles::utils::Config;
use openbook_candles::worker::trade_fetching::scrape::scrape;
use openbook_candles::{
@ -41,7 +41,7 @@ async fn main() -> anyhow::Result<()> {
setup_database(&pool).await?;
let mut handles = vec![];
let (fill_sender, mut fill_receiver) = mpsc::channel::<OpenBookFillEventLog>(1000);
let (fill_sender, mut fill_receiver) = mpsc::channel::<OpenBookFillEvent>(1000);
handles.push(tokio::spawn(async move {
scrape(&config, &fill_sender, &target_markets).await;

24
src/worker/trade_fetching/parsing.rs
View File

@ -5,22 +5,26 @@ use solana_transaction_status::{
};
use std::{collections::HashMap, io::Error};
use crate::structs::openbook::OpenBookFillEventLog;
use crate::structs::openbook::{OpenBookFillEvent, OpenBookFillEventRaw};
const PROGRAM_DATA: &str = "Program data: ";
pub fn parse_trades_from_openbook_txns(
txns: &mut Vec<ClientResult<EncodedConfirmedTransactionWithStatusMeta>>,
target_markets: &HashMap<Pubkey, u8>,
) -> Vec<OpenBookFillEventLog> {
let mut fills_vector = Vec::<OpenBookFillEventLog>::new();
) -> Vec<OpenBookFillEvent> {
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
for txn in txns.iter_mut() {
match txn {
Ok(t) => {
if let Some(m) = &t.transaction.meta {
match &m.log_messages {
OptionSerializer::Some(logs) => {
match parse_openbook_fills_from_logs(logs, target_markets) {
match parse_openbook_fills_from_logs(
logs,
target_markets,
t.block_time.unwrap(),
) {
Some(mut events) => fills_vector.append(&mut events),
None => {}
}
@ -39,8 +43,9 @@ pub fn parse_trades_from_openbook_txns(
fn parse_openbook_fills_from_logs(
logs: &Vec<String>,
target_markets: &HashMap<Pubkey, u8>,
) -> Option<Vec<OpenBookFillEventLog>> {
let mut fills_vector = Vec::<OpenBookFillEventLog>::new();
block_time: i64,
) -> Option<Vec<OpenBookFillEvent>> {
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
for l in logs {
match l.strip_prefix(PROGRAM_DATA) {
Some(log) => {
@ -49,13 +54,14 @@ fn parse_openbook_fills_from_logs(
_ => continue,
};
let mut slice: &[u8] = &borsh_bytes[8..];
let event: Result<OpenBookFillEventLog, Error> =
let event: Result<OpenBookFillEventRaw, Error> =
anchor_lang::AnchorDeserialize::deserialize(&mut slice);
match event {
Ok(e) => {
if target_markets.contains_key(&e.market) {
fills_vector.push(e);
let fill_event = e.with_time(block_time);
if target_markets.contains_key(&fill_event.market) {
fills_vector.push(fill_event);
}
}
_ => continue,

6
src/worker/trade_fetching/scrape.rs
View File

@ -8,13 +8,13 @@ use solana_transaction_status::UiTransactionEncoding;
use std::{collections::HashMap, str::FromStr, time::Duration as WaitDuration};
use tokio::sync::mpsc::Sender;
use crate::{structs::openbook::OpenBookFillEventLog, utils::Config};
use crate::{structs::openbook::OpenBookFillEvent, utils::Config};
use super::parsing::parse_trades_from_openbook_txns;
pub async fn scrape(
config: &Config,
fill_sender: &Sender<OpenBookFillEventLog>,
fill_sender: &Sender<OpenBookFillEvent>,
target_markets: &HashMap<Pubkey, u8>,
) {
let rpc_client =
@ -38,7 +38,7 @@ pub async fn scrape_transactions(
rpc_client: &RpcClient,
before_sig: Option<Signature>,
limit: Option<usize>,
fill_sender: &Sender<OpenBookFillEventLog>,
fill_sender: &Sender<OpenBookFillEvent>,
target_markets: &HashMap<Pubkey, u8>,
) -> Option<Signature> {
let rpc_config = GetConfirmedSignaturesForAddress2Config {