Merge remote-tracking branch 'upstream/reliable-scraping'
This commit is contained in:
commit
762cc4e770
|
@ -53,7 +53,7 @@ async fn main() -> anyhow::Result<()> {
|
||||||
|
|
||||||
async fn save_candles(candles: Vec<Candle>, client: Object) -> anyhow::Result<()> {
|
async fn save_candles(candles: Vec<Candle>, client: Object) -> anyhow::Result<()> {
|
||||||
if !candles.is_empty() {
|
if !candles.is_empty() {
|
||||||
let upsert_statement = build_candles_upsert_statement(candles);
|
let upsert_statement = build_candles_upsert_statement(&candles);
|
||||||
client
|
client
|
||||||
.execute(&upsert_statement, &[])
|
.execute(&upsert_statement, &[])
|
||||||
.await
|
.await
|
||||||
|
|
|
@ -1,23 +1,24 @@
|
||||||
use anchor_lang::prelude::Pubkey;
|
use anchor_lang::prelude::Pubkey;
|
||||||
use chrono::{DateTime, Duration, NaiveDateTime, Utc};
|
use chrono::{DateTime, Duration, NaiveDateTime, Utc};
|
||||||
use futures::future::join_all;
|
use deadpool_postgres::Pool;
|
||||||
|
use log::debug;
|
||||||
use openbook_candles::{
|
use openbook_candles::{
|
||||||
database::{initialize::connect_to_database, insert::persist_fill_events},
|
database::{
|
||||||
|
initialize::{connect_to_database, setup_database},
|
||||||
|
insert::build_transactions_insert_statement,
|
||||||
|
},
|
||||||
structs::{
|
structs::{
|
||||||
markets::{fetch_market_infos, load_markets},
|
markets::{fetch_market_infos, load_markets},
|
||||||
openbook::OpenBookFillEvent,
|
transaction::{PgTransaction, NUM_TRANSACTION_PARTITIONS},
|
||||||
},
|
},
|
||||||
utils::Config,
|
utils::{AnyhowWrap, Config, OPENBOOK_KEY},
|
||||||
worker::trade_fetching::parsing::parse_trades_from_openbook_txns,
|
worker::trade_fetching::scrape::scrape_fills,
|
||||||
};
|
};
|
||||||
use solana_client::{
|
use solana_client::{
|
||||||
nonblocking::rpc_client::RpcClient, rpc_client::GetConfirmedSignaturesForAddress2Config,
|
nonblocking::rpc_client::RpcClient, rpc_client::GetConfirmedSignaturesForAddress2Config,
|
||||||
rpc_config::RpcTransactionConfig, rpc_response::RpcConfirmedTransactionStatusWithSignature,
|
|
||||||
};
|
};
|
||||||
use solana_sdk::{commitment_config::CommitmentConfig, signature::Signature};
|
use solana_sdk::{commitment_config::CommitmentConfig, signature::Signature};
|
||||||
use solana_transaction_status::UiTransactionEncoding;
|
|
||||||
use std::{collections::HashMap, env, str::FromStr};
|
use std::{collections::HashMap, env, str::FromStr};
|
||||||
use tokio::sync::mpsc::{self, Sender};
|
|
||||||
|
|
||||||
#[tokio::main(flavor = "multi_thread", worker_threads = 10)]
|
#[tokio::main(flavor = "multi_thread", worker_threads = 10)]
|
||||||
async fn main() -> anyhow::Result<()> {
|
async fn main() -> anyhow::Result<()> {
|
||||||
|
@ -26,6 +27,8 @@ async fn main() -> anyhow::Result<()> {
|
||||||
assert!(args.len() == 2);
|
assert!(args.len() == 2);
|
||||||
|
|
||||||
let path_to_markets_json = &args[1];
|
let path_to_markets_json = &args[1];
|
||||||
|
// let num_days = args[2].parse::<i64>().unwrap(); // TODO: implement
|
||||||
|
let num_days = 1;
|
||||||
let rpc_url: String = dotenv::var("RPC_URL").unwrap();
|
let rpc_url: String = dotenv::var("RPC_URL").unwrap();
|
||||||
|
|
||||||
let config = Config {
|
let config = Config {
|
||||||
|
@ -40,145 +43,93 @@ async fn main() -> anyhow::Result<()> {
|
||||||
println!("{:?}", target_markets);
|
println!("{:?}", target_markets);
|
||||||
|
|
||||||
let pool = connect_to_database().await?;
|
let pool = connect_to_database().await?;
|
||||||
let (fill_sender, mut fill_receiver) = mpsc::channel::<OpenBookFillEvent>(1000);
|
setup_database(&pool).await?;
|
||||||
|
|
||||||
tokio::spawn(async move {
|
|
||||||
loop {
|
|
||||||
persist_fill_events(&pool, &mut fill_receiver)
|
|
||||||
.await
|
|
||||||
.unwrap();
|
|
||||||
}
|
|
||||||
});
|
|
||||||
|
|
||||||
backfill(rpc_url, &fill_sender, &target_markets).await?;
|
|
||||||
Ok(())
|
|
||||||
}
|
|
||||||
|
|
||||||
pub async fn backfill(
|
|
||||||
rpc_url: String,
|
|
||||||
fill_sender: &Sender<OpenBookFillEvent>,
|
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
|
||||||
) -> anyhow::Result<()> {
|
|
||||||
println!("backfill started");
|
|
||||||
let mut before_sig: Option<Signature> = None;
|
|
||||||
let mut now_time = Utc::now().timestamp();
|
|
||||||
let end_time = (Utc::now() - Duration::days(1)).timestamp();
|
|
||||||
|
|
||||||
let mut handles = vec![];
|
let mut handles = vec![];
|
||||||
|
|
||||||
while now_time > end_time {
|
let rpc_clone = rpc_url.clone();
|
||||||
let rpc_client =
|
let pool_clone = pool.clone();
|
||||||
RpcClient::new_with_commitment(rpc_url.clone(), CommitmentConfig::confirmed());
|
handles.push(tokio::spawn(async move {
|
||||||
let maybe_r = get_signatures(&rpc_client, before_sig).await;
|
fetch_signatures(rpc_clone, &pool_clone, num_days)
|
||||||
|
.await
|
||||||
|
.unwrap();
|
||||||
|
}));
|
||||||
|
|
||||||
match maybe_r {
|
// Low priority improvement: batch fills into 1000's per worker
|
||||||
Some((last, time, sigs)) => {
|
for id in 0..NUM_TRANSACTION_PARTITIONS {
|
||||||
now_time = time;
|
let rpc_clone = rpc_url.clone();
|
||||||
before_sig = Some(last);
|
let pool_clone = pool.clone();
|
||||||
let time_left = backfill_time_left(now_time, end_time);
|
let markets_clone = target_markets.clone();
|
||||||
println!(
|
handles.push(tokio::spawn(async move {
|
||||||
"{} minutes ~ {} days remaining in the backfill\n",
|
scrape_fills(id as i32, rpc_clone, &pool_clone, &markets_clone)
|
||||||
time_left.num_minutes(),
|
.await
|
||||||
time_left.num_days()
|
.unwrap();
|
||||||
);
|
}));
|
||||||
|
|
||||||
let cloned_markets = target_markets.clone();
|
|
||||||
let cloned_sender = fill_sender.clone();
|
|
||||||
let handle = tokio::spawn(async move {
|
|
||||||
get_transactions(&rpc_client, sigs, &cloned_sender, &cloned_markets).await;
|
|
||||||
});
|
|
||||||
handles.push(handle);
|
|
||||||
}
|
|
||||||
None => {}
|
|
||||||
}
|
|
||||||
}
|
}
|
||||||
|
|
||||||
futures::future::join_all(handles).await;
|
// TODO: spawn status thread
|
||||||
|
|
||||||
println!("Backfill complete \n");
|
futures::future::join_all(handles).await;
|
||||||
Ok(())
|
Ok(())
|
||||||
}
|
}
|
||||||
|
|
||||||
pub async fn get_signatures(
|
pub async fn fetch_signatures(rpc_url: String, pool: &Pool, num_days: i64) -> anyhow::Result<()> {
|
||||||
rpc_client: &RpcClient,
|
let mut before_sig: Option<Signature> = None;
|
||||||
before_sig: Option<Signature>,
|
let mut now_time = Utc::now().timestamp();
|
||||||
) -> Option<(
|
let end_time = (Utc::now() - Duration::days(num_days)).timestamp();
|
||||||
Signature,
|
let rpc_client = RpcClient::new_with_commitment(rpc_url.clone(), CommitmentConfig::confirmed());
|
||||||
i64,
|
|
||||||
Vec<RpcConfirmedTransactionStatusWithSignature>,
|
|
||||||
)> {
|
|
||||||
let rpc_config = GetConfirmedSignaturesForAddress2Config {
|
|
||||||
before: before_sig,
|
|
||||||
until: None,
|
|
||||||
limit: None,
|
|
||||||
commitment: Some(CommitmentConfig::confirmed()),
|
|
||||||
};
|
|
||||||
|
|
||||||
let sigs = match rpc_client
|
while now_time > end_time {
|
||||||
.get_signatures_for_address_with_config(
|
let rpc_config = GetConfirmedSignaturesForAddress2Config {
|
||||||
&Pubkey::from_str("srmqPvymJeFKQ4zGQed1GFppgkRHL9kaELCbyksJtPX").unwrap(),
|
before: before_sig,
|
||||||
rpc_config,
|
until: None,
|
||||||
)
|
limit: None,
|
||||||
.await
|
commitment: Some(CommitmentConfig::confirmed()),
|
||||||
{
|
};
|
||||||
Ok(s) => s,
|
|
||||||
Err(e) => {
|
|
||||||
println!("Error in get_signatures_for_address_with_config: {}", e);
|
|
||||||
return None;
|
|
||||||
}
|
|
||||||
};
|
|
||||||
|
|
||||||
if sigs.is_empty() {
|
let sigs = match rpc_client
|
||||||
println!("No signatures found");
|
.get_signatures_for_address_with_config(&OPENBOOK_KEY, rpc_config)
|
||||||
return None;
|
.await
|
||||||
}
|
{
|
||||||
let last = sigs.last().unwrap();
|
Ok(sigs) => sigs,
|
||||||
// println!("{:?}", last.block_time.unwrap());
|
Err(e) => {
|
||||||
Some((
|
println!("Error fetching signatures: {}", e);
|
||||||
Signature::from_str(&last.signature).unwrap(),
|
continue;
|
||||||
last.block_time.unwrap(),
|
|
||||||
sigs,
|
|
||||||
))
|
|
||||||
}
|
|
||||||
|
|
||||||
pub async fn get_transactions(
|
|
||||||
rpc_client: &RpcClient,
|
|
||||||
mut sigs: Vec<RpcConfirmedTransactionStatusWithSignature>,
|
|
||||||
fill_sender: &Sender<OpenBookFillEvent>,
|
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
|
||||||
) {
|
|
||||||
sigs.retain(|sig| sig.err.is_none());
|
|
||||||
if sigs.last().is_none() {
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
let txn_config = RpcTransactionConfig {
|
|
||||||
encoding: Some(UiTransactionEncoding::Json),
|
|
||||||
commitment: Some(CommitmentConfig::confirmed()),
|
|
||||||
max_supported_transaction_version: Some(0),
|
|
||||||
};
|
|
||||||
|
|
||||||
let signatures: Vec<_> = sigs
|
|
||||||
.into_iter()
|
|
||||||
.map(|sig| sig.signature.parse::<Signature>().unwrap())
|
|
||||||
.collect();
|
|
||||||
|
|
||||||
let txn_futs: Vec<_> = signatures
|
|
||||||
.iter()
|
|
||||||
.map(|s| rpc_client.get_transaction_with_config(s, txn_config))
|
|
||||||
.collect();
|
|
||||||
|
|
||||||
let mut txns = join_all(txn_futs).await;
|
|
||||||
|
|
||||||
let fills = parse_trades_from_openbook_txns(&mut txns, target_markets);
|
|
||||||
if !fills.is_empty() {
|
|
||||||
for fill in fills.into_iter() {
|
|
||||||
// println!("Sending fill {:?}", fill);
|
|
||||||
if let Err(_) = fill_sender.send(fill).await {
|
|
||||||
panic!("receiver dropped");
|
|
||||||
}
|
}
|
||||||
|
};
|
||||||
|
if sigs.is_empty() {
|
||||||
|
println!("No signatures found, trying again");
|
||||||
|
continue;
|
||||||
}
|
}
|
||||||
|
let last = sigs.last().unwrap();
|
||||||
|
let last_time = last.block_time.unwrap().clone();
|
||||||
|
let last_signature = last.signature.clone();
|
||||||
|
let transactions = sigs
|
||||||
|
.into_iter()
|
||||||
|
.map(|s| PgTransaction::from_rpc_confirmed_transaction(s))
|
||||||
|
.collect::<Vec<PgTransaction>>();
|
||||||
|
|
||||||
|
if transactions.is_empty() {
|
||||||
|
println!("No transactions found, trying again");
|
||||||
|
}
|
||||||
|
debug!("writing: {:?} txns to DB\n", transactions.len());
|
||||||
|
let upsert_statement = build_transactions_insert_statement(transactions);
|
||||||
|
let client = pool.get().await?;
|
||||||
|
client
|
||||||
|
.execute(&upsert_statement, &[])
|
||||||
|
.await
|
||||||
|
.map_err_anyhow()?;
|
||||||
|
|
||||||
|
now_time = last_time;
|
||||||
|
before_sig = Some(Signature::from_str(&last_signature)?);
|
||||||
|
let time_left = backfill_time_left(now_time, end_time);
|
||||||
|
println!(
|
||||||
|
"{} minutes ~ {} days remaining in the backfill\n",
|
||||||
|
time_left.num_minutes(),
|
||||||
|
time_left.num_days()
|
||||||
|
);
|
||||||
}
|
}
|
||||||
|
Ok(())
|
||||||
}
|
}
|
||||||
|
|
||||||
fn backfill_time_left(current_time: i64, backfill_end: i64) -> Duration {
|
fn backfill_time_left(current_time: i64, backfill_end: i64) -> Duration {
|
||||||
|
|
|
@ -4,6 +4,7 @@ use crate::structs::{
|
||||||
openbook::PgOpenBookFill,
|
openbook::PgOpenBookFill,
|
||||||
resolution::Resolution,
|
resolution::Resolution,
|
||||||
trader::PgTrader,
|
trader::PgTrader,
|
||||||
|
transaction::PgTransaction,
|
||||||
};
|
};
|
||||||
use chrono::{DateTime, Utc};
|
use chrono::{DateTime, Utc};
|
||||||
use deadpool_postgres::{GenericClient, Pool};
|
use deadpool_postgres::{GenericClient, Pool};
|
||||||
|
@ -320,3 +321,23 @@ pub async fn fetch_coingecko_24h_high_low(
|
||||||
.map(PgCoinGecko24HighLow::from_row)
|
.map(PgCoinGecko24HighLow::from_row)
|
||||||
.collect())
|
.collect())
|
||||||
}
|
}
|
||||||
|
|
||||||
|
/// Fetches unprocessed, non-error transactions for the specified worker partition.
|
||||||
|
/// Pulls at most 50 transactions at a time.
|
||||||
|
pub async fn fetch_worker_transactions(
|
||||||
|
worker_id: i32,
|
||||||
|
pool: &Pool,
|
||||||
|
) -> anyhow::Result<Vec<PgTransaction>> {
|
||||||
|
let client = pool.get().await?;
|
||||||
|
|
||||||
|
let stmt = r#"SELECT signature, program_pk, block_datetime, slot, err, "processed", worker_partition
|
||||||
|
FROM transactions
|
||||||
|
where worker_partition = $1
|
||||||
|
and err = false
|
||||||
|
and processed = false
|
||||||
|
LIMIT 50"#;
|
||||||
|
|
||||||
|
let rows = client.query(stmt, &[&worker_id]).await?;
|
||||||
|
|
||||||
|
Ok(rows.into_iter().map(PgTransaction::from_row).collect())
|
||||||
|
}
|
||||||
|
|
|
@ -67,8 +67,9 @@ pub async fn connect_to_database() -> anyhow::Result<Pool> {
|
||||||
|
|
||||||
pub async fn setup_database(pool: &Pool) -> anyhow::Result<()> {
|
pub async fn setup_database(pool: &Pool) -> anyhow::Result<()> {
|
||||||
let candles_table_fut = create_candles_table(pool);
|
let candles_table_fut = create_candles_table(pool);
|
||||||
|
let transactions_table_fut = create_transactions_table(pool);
|
||||||
let fills_table_fut = create_fills_table(pool);
|
let fills_table_fut = create_fills_table(pool);
|
||||||
let result = tokio::try_join!(candles_table_fut, fills_table_fut);
|
let result = tokio::try_join!(candles_table_fut, transactions_table_fut, fills_table_fut);
|
||||||
match result {
|
match result {
|
||||||
Ok(_) => {
|
Ok(_) => {
|
||||||
println!("Successfully configured database");
|
println!("Successfully configured database");
|
||||||
|
@ -126,7 +127,7 @@ pub async fn create_fills_table(pool: &Pool) -> anyhow::Result<()> {
|
||||||
client
|
client
|
||||||
.execute(
|
.execute(
|
||||||
"CREATE TABLE IF NOT EXISTS fills (
|
"CREATE TABLE IF NOT EXISTS fills (
|
||||||
id numeric PRIMARY KEY,
|
signature text not null,
|
||||||
time timestamptz not null,
|
time timestamptz not null,
|
||||||
market text not null,
|
market text not null,
|
||||||
open_orders text not null,
|
open_orders text not null,
|
||||||
|
@ -137,19 +138,14 @@ pub async fn create_fills_table(pool: &Pool) -> anyhow::Result<()> {
|
||||||
native_qty_received double precision not null,
|
native_qty_received double precision not null,
|
||||||
native_fee_or_rebate double precision not null,
|
native_fee_or_rebate double precision not null,
|
||||||
fee_tier text not null,
|
fee_tier text not null,
|
||||||
order_id text not null
|
order_id text not null,
|
||||||
|
log_index int4 not null,
|
||||||
|
CONSTRAINT fills_pk PRIMARY KEY (signature, log_index)
|
||||||
)",
|
)",
|
||||||
&[],
|
&[],
|
||||||
)
|
)
|
||||||
.await?;
|
.await?;
|
||||||
|
|
||||||
client
|
|
||||||
.execute(
|
|
||||||
"CREATE INDEX IF NOT EXISTS idx_id_market ON fills (id, market)",
|
|
||||||
&[],
|
|
||||||
)
|
|
||||||
.await?;
|
|
||||||
|
|
||||||
client
|
client
|
||||||
.execute(
|
.execute(
|
||||||
"CREATE INDEX IF NOT EXISTS idx_market_time ON fills (market, time)",
|
"CREATE INDEX IF NOT EXISTS idx_market_time ON fills (market, time)",
|
||||||
|
@ -158,3 +154,41 @@ pub async fn create_fills_table(pool: &Pool) -> anyhow::Result<()> {
|
||||||
.await?;
|
.await?;
|
||||||
Ok(())
|
Ok(())
|
||||||
}
|
}
|
||||||
|
|
||||||
|
pub async fn create_transactions_table(pool: &Pool) -> anyhow::Result<()> {
|
||||||
|
let client = pool.get().await?;
|
||||||
|
|
||||||
|
client
|
||||||
|
.execute(
|
||||||
|
"CREATE TABLE IF NOT EXISTS transactions (
|
||||||
|
signature text NOT NULL,
|
||||||
|
program_pk text NOT NULL,
|
||||||
|
block_datetime timestamptz NOT NULL,
|
||||||
|
slot bigint NOT NULL,
|
||||||
|
err bool NOT NULL,
|
||||||
|
processed bool NOT NULL,
|
||||||
|
worker_partition int4 NOT NULL,
|
||||||
|
CONSTRAINT transactions_pk PRIMARY KEY (signature, worker_partition)
|
||||||
|
) PARTITION BY LIST (worker_partition);",
|
||||||
|
&[],
|
||||||
|
)
|
||||||
|
.await?;
|
||||||
|
|
||||||
|
client.batch_execute(
|
||||||
|
"CREATE INDEX IF NOT EXISTS transactions_processed_err_idx ON ONLY transactions (signature) WHERE processed IS NOT TRUE and err IS NOT TRUE;
|
||||||
|
CREATE INDEX IF NOT EXISTS transactions_program_pk_idx ON ONLY transactions USING btree (program_pk, slot DESC);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_0 PARTITION OF transactions FOR VALUES IN (0);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_1 PARTITION OF transactions FOR VALUES IN (1);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_2 PARTITION OF transactions FOR VALUES IN (2);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_3 PARTITION OF transactions FOR VALUES IN (3);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_4 PARTITION OF transactions FOR VALUES IN (4);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_5 PARTITION OF transactions FOR VALUES IN (5);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_6 PARTITION OF transactions FOR VALUES IN (6);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_7 PARTITION OF transactions FOR VALUES IN (7);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_8 PARTITION OF transactions FOR VALUES IN (8);
|
||||||
|
CREATE TABLE IF NOT EXISTS transactions_9 PARTITION OF transactions FOR VALUES IN (9);"
|
||||||
|
).await?;
|
||||||
|
|
||||||
|
Ok(())
|
||||||
|
}
|
||||||
|
|
|
@ -1,16 +1,47 @@
|
||||||
use deadpool_postgres::Pool;
|
use deadpool_postgres::Pool;
|
||||||
use log::debug;
|
use log::debug;
|
||||||
use std::{
|
use std::collections::HashMap;
|
||||||
collections::{hash_map::DefaultHasher, HashMap},
|
|
||||||
hash::{Hash, Hasher},
|
|
||||||
};
|
|
||||||
use tokio::sync::mpsc::{error::TryRecvError, Receiver};
|
use tokio::sync::mpsc::{error::TryRecvError, Receiver};
|
||||||
|
|
||||||
use crate::{
|
use crate::{
|
||||||
structs::{candle::Candle, openbook::OpenBookFillEvent},
|
structs::{candle::Candle, openbook::OpenBookFillEvent, transaction::PgTransaction},
|
||||||
utils::{to_timestampz, AnyhowWrap},
|
utils::{to_timestampz, AnyhowWrap},
|
||||||
};
|
};
|
||||||
|
|
||||||
|
pub async fn insert_fills_atomically(
|
||||||
|
pool: &Pool,
|
||||||
|
worker_id: i32,
|
||||||
|
fills: Vec<OpenBookFillEvent>,
|
||||||
|
signatures: Vec<String>,
|
||||||
|
) -> anyhow::Result<()> {
|
||||||
|
let mut client = pool.get().await?;
|
||||||
|
|
||||||
|
let db_txn = client.build_transaction().start().await?;
|
||||||
|
|
||||||
|
// 1. Insert fills
|
||||||
|
if fills.len() > 0 {
|
||||||
|
let fills_statement = build_fills_upsert_statement_not_crazy(fills);
|
||||||
|
db_txn
|
||||||
|
.execute(&fills_statement, &[])
|
||||||
|
.await
|
||||||
|
.map_err_anyhow()
|
||||||
|
.unwrap();
|
||||||
|
}
|
||||||
|
|
||||||
|
// 2. Update txns table as processed
|
||||||
|
let transactions_statement =
|
||||||
|
build_transactions_processed_update_statement(worker_id, signatures);
|
||||||
|
db_txn
|
||||||
|
.execute(&transactions_statement, &[])
|
||||||
|
.await
|
||||||
|
.map_err_anyhow()
|
||||||
|
.unwrap();
|
||||||
|
|
||||||
|
db_txn.commit().await?;
|
||||||
|
|
||||||
|
Ok(())
|
||||||
|
}
|
||||||
|
|
||||||
pub async fn persist_fill_events(
|
pub async fn persist_fill_events(
|
||||||
pool: &Pool,
|
pool: &Pool,
|
||||||
fill_receiver: &mut Receiver<OpenBookFillEvent>,
|
fill_receiver: &mut Receiver<OpenBookFillEvent>,
|
||||||
|
@ -50,13 +81,11 @@ pub async fn persist_fill_events(
|
||||||
|
|
||||||
#[allow(deprecated)]
|
#[allow(deprecated)]
|
||||||
fn build_fills_upsert_statement(events: HashMap<OpenBookFillEvent, u8>) -> String {
|
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");
|
let mut stmt = String::from("INSERT INTO fills (signature, time, market, open_orders, open_orders_owner, bid, maker, native_qty_paid, native_qty_received, native_fee_or_rebate, fee_tier, order_id, log_index) VALUES");
|
||||||
for (idx, event) in events.keys().enumerate() {
|
for (idx, event) in events.keys().enumerate() {
|
||||||
let mut hasher = DefaultHasher::new();
|
|
||||||
event.hash(&mut hasher);
|
|
||||||
let val_str = format!(
|
let val_str = format!(
|
||||||
"({}, \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {})",
|
"({}, \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {}, {})",
|
||||||
hasher.finish(),
|
event.signature,
|
||||||
to_timestampz(event.block_time as u64).to_rfc3339(),
|
to_timestampz(event.block_time as u64).to_rfc3339(),
|
||||||
event.market,
|
event.market,
|
||||||
event.open_orders,
|
event.open_orders,
|
||||||
|
@ -68,6 +97,7 @@ fn build_fills_upsert_statement(events: HashMap<OpenBookFillEvent, u8>) -> Strin
|
||||||
event.native_fee_or_rebate,
|
event.native_fee_or_rebate,
|
||||||
event.fee_tier,
|
event.fee_tier,
|
||||||
event.order_id,
|
event.order_id,
|
||||||
|
event.log_index,
|
||||||
);
|
);
|
||||||
|
|
||||||
if idx == 0 {
|
if idx == 0 {
|
||||||
|
@ -77,7 +107,40 @@ fn build_fills_upsert_statement(events: HashMap<OpenBookFillEvent, u8>) -> Strin
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
let handle_conflict = "ON CONFLICT (id) DO UPDATE SET market=excluded.market";
|
let handle_conflict = "ON CONFLICT DO NOTHING";
|
||||||
|
|
||||||
|
stmt = format!("{} {}", stmt, handle_conflict);
|
||||||
|
stmt
|
||||||
|
}
|
||||||
|
|
||||||
|
fn build_fills_upsert_statement_not_crazy(fills: Vec<OpenBookFillEvent>) -> String {
|
||||||
|
let mut stmt = String::from("INSERT INTO fills (signature, time, market, open_orders, open_orders_owner, bid, maker, native_qty_paid, native_qty_received, native_fee_or_rebate, fee_tier, order_id, log_index) VALUES");
|
||||||
|
for (idx, fill) in fills.iter().enumerate() {
|
||||||
|
let val_str = format!(
|
||||||
|
"(\'{}\', \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {}, {})",
|
||||||
|
fill.signature,
|
||||||
|
to_timestampz(fill.block_time as u64).to_rfc3339(),
|
||||||
|
fill.market,
|
||||||
|
fill.open_orders,
|
||||||
|
fill.open_orders_owner,
|
||||||
|
fill.bid,
|
||||||
|
fill.maker,
|
||||||
|
fill.native_qty_paid,
|
||||||
|
fill.native_qty_received,
|
||||||
|
fill.native_fee_or_rebate,
|
||||||
|
fill.fee_tier,
|
||||||
|
fill.order_id,
|
||||||
|
fill.log_index,
|
||||||
|
);
|
||||||
|
|
||||||
|
if idx == 0 {
|
||||||
|
stmt = format!("{} {}", &stmt, val_str);
|
||||||
|
} else {
|
||||||
|
stmt = format!("{}, {}", &stmt, val_str);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
let handle_conflict = "ON CONFLICT DO NOTHING";
|
||||||
|
|
||||||
stmt = format!("{} {}", stmt, handle_conflict);
|
stmt = format!("{} {}", stmt, handle_conflict);
|
||||||
stmt
|
stmt
|
||||||
|
@ -121,56 +184,53 @@ pub fn build_candles_upsert_statement(candles: &Vec<Candle>) -> String {
|
||||||
stmt
|
stmt
|
||||||
}
|
}
|
||||||
|
|
||||||
#[cfg(test)]
|
pub fn build_transactions_insert_statement(transactions: Vec<PgTransaction>) -> String {
|
||||||
mod tests {
|
let mut stmt = String::from("INSERT INTO transactions (signature, program_pk, block_datetime, slot, err, processed, worker_partition) VALUES");
|
||||||
use super::*;
|
for (idx, txn) in transactions.iter().enumerate() {
|
||||||
use solana_sdk::pubkey::Pubkey;
|
let val_str = format!(
|
||||||
use std::str::FromStr;
|
"(\'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {})",
|
||||||
|
txn.signature,
|
||||||
|
txn.program_pk,
|
||||||
|
txn.block_datetime.to_rfc3339(),
|
||||||
|
txn.slot,
|
||||||
|
txn.err,
|
||||||
|
txn.processed,
|
||||||
|
txn.worker_partition,
|
||||||
|
);
|
||||||
|
|
||||||
#[test]
|
if idx == 0 {
|
||||||
fn test_event_hashing() {
|
stmt = format!("{} {}", &stmt, val_str);
|
||||||
let event_1 = OpenBookFillEvent {
|
} else {
|
||||||
market: Pubkey::from_str("8BnEgHoWFysVcuFFX7QztDmzuH8r5ZFvyP3sYwn1XTh6").unwrap(),
|
stmt = format!("{}, {}", &stmt, val_str);
|
||||||
open_orders: Pubkey::from_str("CKo9nGfgekYYfjHw4K22qMAtVeqBXET3pSGm8k5DSJi7").unwrap(),
|
}
|
||||||
open_orders_owner: Pubkey::from_str("JCNCMFXo5M5qwUPg2Utu1u6YWp3MbygxqBsBeXXJfrw")
|
|
||||||
.unwrap(),
|
|
||||||
bid: false,
|
|
||||||
maker: false,
|
|
||||||
native_qty_paid: 200000000,
|
|
||||||
native_qty_received: 4204317,
|
|
||||||
native_fee_or_rebate: 1683,
|
|
||||||
order_id: 387898134381964481824213,
|
|
||||||
owner_slot: 0,
|
|
||||||
fee_tier: 0,
|
|
||||||
client_order_id: None,
|
|
||||||
referrer_rebate: Some(841),
|
|
||||||
block_time: 0,
|
|
||||||
};
|
|
||||||
|
|
||||||
let event_2 = OpenBookFillEvent {
|
|
||||||
market: Pubkey::from_str("8BnEgHoWFysVcuFFX7QztDmzuH8r5ZFvyP3sYwn1XTh6").unwrap(),
|
|
||||||
open_orders: Pubkey::from_str("CKo9nGfgekYYfjHw4K22qMAtVeqBXET3pSGm8k5DSJi7").unwrap(),
|
|
||||||
open_orders_owner: Pubkey::from_str("JCNCMFXo5M5qwUPg2Utu1u6YWp3MbygxqBsBeXXJfrw")
|
|
||||||
.unwrap(),
|
|
||||||
bid: false,
|
|
||||||
maker: false,
|
|
||||||
native_qty_paid: 200000001,
|
|
||||||
native_qty_received: 4204317,
|
|
||||||
native_fee_or_rebate: 1683,
|
|
||||||
order_id: 387898134381964481824213,
|
|
||||||
owner_slot: 0,
|
|
||||||
fee_tier: 0,
|
|
||||||
client_order_id: None,
|
|
||||||
referrer_rebate: Some(841),
|
|
||||||
block_time: 0,
|
|
||||||
};
|
|
||||||
|
|
||||||
let mut h1 = DefaultHasher::new();
|
|
||||||
event_1.hash(&mut h1);
|
|
||||||
|
|
||||||
let mut h2 = DefaultHasher::new();
|
|
||||||
event_2.hash(&mut h2);
|
|
||||||
|
|
||||||
assert_ne!(h1.finish(), h2.finish());
|
|
||||||
}
|
}
|
||||||
|
|
||||||
|
let handle_conflict = "ON CONFLICT DO NOTHING";
|
||||||
|
|
||||||
|
stmt = format!("{} {}", stmt, handle_conflict);
|
||||||
|
stmt
|
||||||
|
}
|
||||||
|
|
||||||
|
pub fn build_transactions_processed_update_statement(
|
||||||
|
worker_id: i32,
|
||||||
|
processed_signatures: Vec<String>,
|
||||||
|
) -> String {
|
||||||
|
let mut stmt = String::from(
|
||||||
|
"UPDATE transactions
|
||||||
|
SET processed = true
|
||||||
|
WHERE transactions.signature IN (",
|
||||||
|
);
|
||||||
|
for (idx, sig) in processed_signatures.iter().enumerate() {
|
||||||
|
let val_str = if idx == processed_signatures.len() - 1 {
|
||||||
|
format!("\'{}\'", sig,)
|
||||||
|
} else {
|
||||||
|
format!("\'{}\',", sig,)
|
||||||
|
};
|
||||||
|
stmt = format!("{} {}", &stmt, val_str);
|
||||||
|
}
|
||||||
|
|
||||||
|
let worker_stmt = format!(") AND worker_partition = {} ", worker_id);
|
||||||
|
|
||||||
|
stmt = format!("{} {}", stmt, worker_stmt);
|
||||||
|
stmt
|
||||||
}
|
}
|
||||||
|
|
|
@ -6,3 +6,4 @@ pub mod resolution;
|
||||||
pub mod slab;
|
pub mod slab;
|
||||||
pub mod trader;
|
pub mod trader;
|
||||||
pub mod tradingview;
|
pub mod tradingview;
|
||||||
|
pub mod transaction;
|
||||||
|
|
|
@ -22,8 +22,14 @@ pub struct OpenBookFillEventRaw {
|
||||||
pub referrer_rebate: Option<u64>,
|
pub referrer_rebate: Option<u64>,
|
||||||
}
|
}
|
||||||
impl OpenBookFillEventRaw {
|
impl OpenBookFillEventRaw {
|
||||||
pub fn with_time(self, block_time: i64) -> OpenBookFillEvent {
|
pub fn into_event(
|
||||||
|
self,
|
||||||
|
signature: String,
|
||||||
|
block_time: i64,
|
||||||
|
log_index: usize,
|
||||||
|
) -> OpenBookFillEvent {
|
||||||
OpenBookFillEvent {
|
OpenBookFillEvent {
|
||||||
|
signature,
|
||||||
market: self.market,
|
market: self.market,
|
||||||
open_orders: self.open_orders,
|
open_orders: self.open_orders,
|
||||||
open_orders_owner: self.open_orders_owner,
|
open_orders_owner: self.open_orders_owner,
|
||||||
|
@ -38,6 +44,7 @@ impl OpenBookFillEventRaw {
|
||||||
client_order_id: self.client_order_id,
|
client_order_id: self.client_order_id,
|
||||||
referrer_rebate: self.referrer_rebate,
|
referrer_rebate: self.referrer_rebate,
|
||||||
block_time,
|
block_time,
|
||||||
|
log_index,
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
@ -45,6 +52,7 @@ impl OpenBookFillEventRaw {
|
||||||
#[event]
|
#[event]
|
||||||
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
|
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
|
||||||
pub struct OpenBookFillEvent {
|
pub struct OpenBookFillEvent {
|
||||||
|
pub signature: String,
|
||||||
pub market: Pubkey,
|
pub market: Pubkey,
|
||||||
pub open_orders: Pubkey,
|
pub open_orders: Pubkey,
|
||||||
pub open_orders_owner: Pubkey,
|
pub open_orders_owner: Pubkey,
|
||||||
|
@ -59,6 +67,7 @@ pub struct OpenBookFillEvent {
|
||||||
pub client_order_id: Option<u64>,
|
pub client_order_id: Option<u64>,
|
||||||
pub referrer_rebate: Option<u64>,
|
pub referrer_rebate: Option<u64>,
|
||||||
pub block_time: i64,
|
pub block_time: i64,
|
||||||
|
pub log_index: usize,
|
||||||
}
|
}
|
||||||
|
|
||||||
#[derive(Copy, Clone, Debug, PartialEq)]
|
#[derive(Copy, Clone, Debug, PartialEq)]
|
||||||
|
|
|
@ -0,0 +1,52 @@
|
||||||
|
use chrono::{DateTime, Utc};
|
||||||
|
use solana_client::rpc_response::RpcConfirmedTransactionStatusWithSignature;
|
||||||
|
use tokio_postgres::Row;
|
||||||
|
|
||||||
|
use crate::utils::{to_timestampz, OPENBOOK_KEY};
|
||||||
|
|
||||||
|
#[derive(Clone, Debug, PartialEq)]
|
||||||
|
pub struct PgTransaction {
|
||||||
|
pub signature: String,
|
||||||
|
pub program_pk: String,
|
||||||
|
pub block_datetime: DateTime<Utc>,
|
||||||
|
pub slot: u64,
|
||||||
|
pub err: bool,
|
||||||
|
pub processed: bool,
|
||||||
|
pub worker_partition: i32,
|
||||||
|
}
|
||||||
|
|
||||||
|
pub const NUM_TRANSACTION_PARTITIONS: u64 = 10;
|
||||||
|
|
||||||
|
impl PgTransaction {
|
||||||
|
pub fn from_rpc_confirmed_transaction(
|
||||||
|
rpc_confirmed_transaction: RpcConfirmedTransactionStatusWithSignature,
|
||||||
|
) -> Self {
|
||||||
|
PgTransaction {
|
||||||
|
signature: rpc_confirmed_transaction.signature,
|
||||||
|
program_pk: OPENBOOK_KEY.to_string(),
|
||||||
|
block_datetime: to_timestampz(rpc_confirmed_transaction.block_time.unwrap() as u64),
|
||||||
|
slot: rpc_confirmed_transaction.slot,
|
||||||
|
err: rpc_confirmed_transaction.err.is_some(),
|
||||||
|
processed: false,
|
||||||
|
worker_partition: (rpc_confirmed_transaction.slot % NUM_TRANSACTION_PARTITIONS) as i32,
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
pub fn from_row(row: Row) -> Self {
|
||||||
|
let slot_raw = row.get::<usize, i64>(3);
|
||||||
|
PgTransaction {
|
||||||
|
signature: row.get(0),
|
||||||
|
program_pk: row.get(1),
|
||||||
|
block_datetime: row.get(2),
|
||||||
|
slot: slot_raw as u64,
|
||||||
|
err: row.get(4),
|
||||||
|
processed: row.get(5),
|
||||||
|
worker_partition: row.get(6),
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
|
pub enum ProcessState {
|
||||||
|
Processed,
|
||||||
|
Unprocessed,
|
||||||
|
}
|
|
@ -1,9 +1,13 @@
|
||||||
|
use anchor_lang::prelude::Pubkey;
|
||||||
use chrono::{NaiveDateTime, Utc};
|
use chrono::{NaiveDateTime, Utc};
|
||||||
use deadpool_postgres::Pool;
|
use deadpool_postgres::Pool;
|
||||||
use serde_derive::Deserialize;
|
use serde_derive::Deserialize;
|
||||||
|
use solana_sdk::pubkey;
|
||||||
|
|
||||||
use crate::structs::markets::MarketInfo;
|
use crate::structs::markets::MarketInfo;
|
||||||
|
|
||||||
|
pub const OPENBOOK_KEY: Pubkey = pubkey!("srmqPvymJeFKQ4zGQed1GFppgkRHL9kaELCbyksJtPX");
|
||||||
|
|
||||||
pub trait AnyhowWrap {
|
pub trait AnyhowWrap {
|
||||||
type Value;
|
type Value;
|
||||||
fn map_err_anyhow(self) -> anyhow::Result<Self::Value>;
|
fn map_err_anyhow(self) -> anyhow::Result<Self::Value>;
|
||||||
|
|
|
@ -1,22 +1,18 @@
|
||||||
use log::{error, info};
|
use log::{error, info};
|
||||||
use openbook_candles::structs::markets::{fetch_market_infos, load_markets};
|
use openbook_candles::structs::markets::{fetch_market_infos, load_markets};
|
||||||
use openbook_candles::structs::openbook::OpenBookFillEvent;
|
use openbook_candles::structs::transaction::NUM_TRANSACTION_PARTITIONS;
|
||||||
use openbook_candles::utils::Config;
|
use openbook_candles::utils::Config;
|
||||||
use openbook_candles::worker::metrics::{
|
use openbook_candles::worker::metrics::{
|
||||||
serve_metrics, METRIC_DB_POOL_AVAILABLE, METRIC_DB_POOL_SIZE, METRIC_FILLS_QUEUE_LENGTH,
|
serve_metrics, METRIC_DB_POOL_AVAILABLE, METRIC_DB_POOL_SIZE,
|
||||||
};
|
};
|
||||||
use openbook_candles::worker::trade_fetching::scrape::scrape;
|
use openbook_candles::worker::trade_fetching::scrape::{scrape_fills, scrape_signatures};
|
||||||
use openbook_candles::{
|
use openbook_candles::{
|
||||||
database::{
|
database::initialize::{connect_to_database, setup_database},
|
||||||
initialize::{connect_to_database, setup_database},
|
|
||||||
insert::{persist_fill_events},
|
|
||||||
},
|
|
||||||
worker::candle_batching::batch_for_market,
|
worker::candle_batching::batch_for_market,
|
||||||
};
|
};
|
||||||
use solana_sdk::pubkey::Pubkey;
|
use solana_sdk::pubkey::Pubkey;
|
||||||
use std::env;
|
use std::env;
|
||||||
use std::{collections::HashMap, str::FromStr, time::Duration as WaitDuration};
|
use std::{collections::HashMap, str::FromStr, time::Duration as WaitDuration};
|
||||||
use tokio::sync::mpsc;
|
|
||||||
|
|
||||||
#[tokio::main(flavor = "multi_thread", worker_threads = 10)]
|
#[tokio::main(flavor = "multi_thread", worker_threads = 10)]
|
||||||
async fn main() -> anyhow::Result<()> {
|
async fn main() -> anyhow::Result<()> {
|
||||||
|
@ -32,8 +28,6 @@ async fn main() -> anyhow::Result<()> {
|
||||||
rpc_url: rpc_url.clone(),
|
rpc_url: rpc_url.clone(),
|
||||||
};
|
};
|
||||||
|
|
||||||
let fills_queue_max_size = 10000;
|
|
||||||
|
|
||||||
let markets = load_markets(path_to_markets_json);
|
let markets = load_markets(path_to_markets_json);
|
||||||
let market_infos = fetch_market_infos(&config, markets.clone()).await?;
|
let market_infos = fetch_market_infos(&config, markets.clone()).await?;
|
||||||
let mut target_markets = HashMap::new();
|
let mut target_markets = HashMap::new();
|
||||||
|
@ -46,21 +40,26 @@ async fn main() -> anyhow::Result<()> {
|
||||||
setup_database(&pool).await?;
|
setup_database(&pool).await?;
|
||||||
let mut handles = vec![];
|
let mut handles = vec![];
|
||||||
|
|
||||||
let (fill_sender, mut fill_receiver) = mpsc::channel::<OpenBookFillEvent>(fills_queue_max_size);
|
// signature scraping
|
||||||
let scrape_fill_sender = fill_sender.clone();
|
let rpc_clone = rpc_url.clone();
|
||||||
|
let pool_clone = pool.clone();
|
||||||
handles.push(tokio::spawn(async move {
|
handles.push(tokio::spawn(async move {
|
||||||
scrape(&config, &scrape_fill_sender, &target_markets).await;
|
scrape_signatures(rpc_clone, &pool_clone).await.unwrap();
|
||||||
}));
|
}));
|
||||||
|
|
||||||
let fills_pool = pool.clone();
|
// transaction/fill scraping
|
||||||
handles.push(tokio::spawn(async move {
|
for id in 0..NUM_TRANSACTION_PARTITIONS {
|
||||||
loop {
|
let rpc_clone = rpc_url.clone();
|
||||||
persist_fill_events(&fills_pool, &mut fill_receiver)
|
let pool_clone = pool.clone();
|
||||||
|
let markets_clone = target_markets.clone();
|
||||||
|
handles.push(tokio::spawn(async move {
|
||||||
|
scrape_fills(id as i32, rpc_clone, &pool_clone, &markets_clone)
|
||||||
.await
|
.await
|
||||||
.unwrap();
|
.unwrap();
|
||||||
}
|
}));
|
||||||
}));
|
}
|
||||||
|
|
||||||
|
// candle batching
|
||||||
for market in market_infos.into_iter() {
|
for market in market_infos.into_iter() {
|
||||||
let batch_pool = pool.clone();
|
let batch_pool = pool.clone();
|
||||||
handles.push(tokio::spawn(async move {
|
handles.push(tokio::spawn(async move {
|
||||||
|
@ -70,7 +69,6 @@ async fn main() -> anyhow::Result<()> {
|
||||||
}
|
}
|
||||||
|
|
||||||
let monitor_pool = pool.clone();
|
let monitor_pool = pool.clone();
|
||||||
let monitor_fill_channel = fill_sender.clone();
|
|
||||||
handles.push(tokio::spawn(async move {
|
handles.push(tokio::spawn(async move {
|
||||||
// TODO: maybe break this out into a new function
|
// TODO: maybe break this out into a new function
|
||||||
loop {
|
loop {
|
||||||
|
@ -78,9 +76,6 @@ async fn main() -> anyhow::Result<()> {
|
||||||
METRIC_DB_POOL_AVAILABLE.set(pool_status.available as i64);
|
METRIC_DB_POOL_AVAILABLE.set(pool_status.available as i64);
|
||||||
METRIC_DB_POOL_SIZE.set(pool_status.size as i64);
|
METRIC_DB_POOL_SIZE.set(pool_status.size as i64);
|
||||||
|
|
||||||
METRIC_FILLS_QUEUE_LENGTH
|
|
||||||
.set((fills_queue_max_size - monitor_fill_channel.capacity()) as i64);
|
|
||||||
|
|
||||||
tokio::time::sleep(WaitDuration::from_secs(10)).await;
|
tokio::time::sleep(WaitDuration::from_secs(10)).await;
|
||||||
}
|
}
|
||||||
}));
|
}));
|
||||||
|
|
|
@ -2,8 +2,8 @@ use actix_web::{dev::Server, http::StatusCode, App, HttpServer};
|
||||||
use actix_web_prom::PrometheusMetricsBuilder;
|
use actix_web_prom::PrometheusMetricsBuilder;
|
||||||
use lazy_static::lazy_static;
|
use lazy_static::lazy_static;
|
||||||
use prometheus::{
|
use prometheus::{
|
||||||
register_int_counter_vec_with_registry, register_int_gauge_with_registry, IntCounterVec,
|
register_int_counter_vec_with_registry, register_int_counter_with_registry,
|
||||||
IntGauge, Registry,
|
register_int_gauge_with_registry, IntCounter, IntCounterVec, IntGauge, Registry,
|
||||||
};
|
};
|
||||||
|
|
||||||
lazy_static! {
|
lazy_static! {
|
||||||
|
@ -30,9 +30,9 @@ lazy_static! {
|
||||||
METRIC_REGISTRY
|
METRIC_REGISTRY
|
||||||
)
|
)
|
||||||
.unwrap();
|
.unwrap();
|
||||||
pub static ref METRIC_FILLS_QUEUE_LENGTH: IntGauge = register_int_gauge_with_registry!(
|
pub static ref METRIC_TRANSACTIONS_TOTAL: IntCounter = register_int_counter_with_registry!(
|
||||||
"fills_queue_length",
|
"transactions_total",
|
||||||
"Current length of the fills write queue",
|
"Total number of transaction signatures scraped",
|
||||||
METRIC_REGISTRY
|
METRIC_REGISTRY
|
||||||
)
|
)
|
||||||
.unwrap();
|
.unwrap();
|
||||||
|
|
|
@ -15,10 +15,11 @@ const PROGRAM_DATA: &str = "Program data: ";
|
||||||
|
|
||||||
pub fn parse_trades_from_openbook_txns(
|
pub fn parse_trades_from_openbook_txns(
|
||||||
txns: &mut Vec<ClientResult<EncodedConfirmedTransactionWithStatusMeta>>,
|
txns: &mut Vec<ClientResult<EncodedConfirmedTransactionWithStatusMeta>>,
|
||||||
|
sig_strings: &Vec<String>,
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
target_markets: &HashMap<Pubkey, String>,
|
||||||
) -> Vec<OpenBookFillEvent> {
|
) -> Vec<OpenBookFillEvent> {
|
||||||
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
|
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
|
||||||
for txn in txns.iter_mut() {
|
for (idx, txn) in txns.iter_mut().enumerate() {
|
||||||
match txn {
|
match txn {
|
||||||
Ok(t) => {
|
Ok(t) => {
|
||||||
if let Some(m) = &t.transaction.meta {
|
if let Some(m) = &t.transaction.meta {
|
||||||
|
@ -27,6 +28,7 @@ pub fn parse_trades_from_openbook_txns(
|
||||||
match parse_openbook_fills_from_logs(
|
match parse_openbook_fills_from_logs(
|
||||||
logs,
|
logs,
|
||||||
target_markets,
|
target_markets,
|
||||||
|
sig_strings[idx].clone(),
|
||||||
t.block_time.unwrap(),
|
t.block_time.unwrap(),
|
||||||
) {
|
) {
|
||||||
Some(mut events) => fills_vector.append(&mut events),
|
Some(mut events) => fills_vector.append(&mut events),
|
||||||
|
@ -52,10 +54,11 @@ pub fn parse_trades_from_openbook_txns(
|
||||||
fn parse_openbook_fills_from_logs(
|
fn parse_openbook_fills_from_logs(
|
||||||
logs: &Vec<String>,
|
logs: &Vec<String>,
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
target_markets: &HashMap<Pubkey, String>,
|
||||||
|
signature: String,
|
||||||
block_time: i64,
|
block_time: i64,
|
||||||
) -> Option<Vec<OpenBookFillEvent>> {
|
) -> Option<Vec<OpenBookFillEvent>> {
|
||||||
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
|
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
|
||||||
for l in logs {
|
for (idx, l) in logs.iter().enumerate() {
|
||||||
match l.strip_prefix(PROGRAM_DATA) {
|
match l.strip_prefix(PROGRAM_DATA) {
|
||||||
Some(log) => {
|
Some(log) => {
|
||||||
let borsh_bytes = match anchor_lang::__private::base64::decode(log) {
|
let borsh_bytes = match anchor_lang::__private::base64::decode(log) {
|
||||||
|
@ -68,7 +71,7 @@ fn parse_openbook_fills_from_logs(
|
||||||
|
|
||||||
match event {
|
match event {
|
||||||
Ok(e) => {
|
Ok(e) => {
|
||||||
let fill_event = e.with_time(block_time);
|
let fill_event = e.into_event(signature.clone(), block_time, idx);
|
||||||
if target_markets.contains_key(&fill_event.market) {
|
if target_markets.contains_key(&fill_event.market) {
|
||||||
fills_vector.push(fill_event);
|
fills_vector.push(fill_event);
|
||||||
}
|
}
|
||||||
|
|
|
@ -1,5 +1,6 @@
|
||||||
|
use deadpool_postgres::Pool;
|
||||||
use futures::future::join_all;
|
use futures::future::join_all;
|
||||||
use log::{debug, warn};
|
use log::{debug, info, warn};
|
||||||
use solana_client::{
|
use solana_client::{
|
||||||
nonblocking::rpc_client::RpcClient, rpc_client::GetConfirmedSignaturesForAddress2Config,
|
nonblocking::rpc_client::RpcClient, rpc_client::GetConfirmedSignaturesForAddress2Config,
|
||||||
rpc_config::RpcTransactionConfig,
|
rpc_config::RpcTransactionConfig,
|
||||||
|
@ -10,106 +11,111 @@ use std::{collections::HashMap, str::FromStr};
|
||||||
use tokio::sync::mpsc::Sender;
|
use tokio::sync::mpsc::Sender;
|
||||||
|
|
||||||
use crate::{
|
use crate::{
|
||||||
structs::openbook::OpenBookFillEvent,
|
database::{
|
||||||
utils::Config,
|
fetch::fetch_worker_transactions,
|
||||||
worker::metrics::{METRIC_FILLS_TOTAL, METRIC_RPC_ERRORS_TOTAL},
|
insert::{build_transactions_insert_statement, insert_fills_atomically},
|
||||||
|
},
|
||||||
|
structs::{openbook::OpenBookFillEvent, transaction::PgTransaction},
|
||||||
|
utils::{AnyhowWrap, Config, OPENBOOK_KEY},
|
||||||
|
worker::metrics::{METRIC_FILLS_TOTAL, METRIC_RPC_ERRORS_TOTAL, METRIC_TRANSACTIONS_TOTAL},
|
||||||
};
|
};
|
||||||
|
|
||||||
use super::parsing::parse_trades_from_openbook_txns;
|
use super::parsing::parse_trades_from_openbook_txns;
|
||||||
|
|
||||||
pub async fn scrape(
|
|
||||||
config: &Config,
|
|
||||||
fill_sender: &Sender<OpenBookFillEvent>,
|
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
|
||||||
) {
|
|
||||||
let rpc_client =
|
|
||||||
RpcClient::new_with_commitment(config.rpc_url.clone(), CommitmentConfig::processed());
|
|
||||||
|
|
||||||
let before_slot = None;
|
pub async fn scrape_signatures(rpc_url: String, pool: &Pool) -> anyhow::Result<()> {
|
||||||
|
let rpc_client = RpcClient::new_with_commitment(rpc_url.clone(), CommitmentConfig::confirmed());
|
||||||
|
|
||||||
loop {
|
loop {
|
||||||
scrape_transactions(
|
let rpc_config = GetConfirmedSignaturesForAddress2Config {
|
||||||
&rpc_client,
|
before: None,
|
||||||
before_slot,
|
until: None,
|
||||||
Some(1000),
|
limit: None,
|
||||||
fill_sender,
|
commitment: Some(CommitmentConfig::confirmed()),
|
||||||
target_markets,
|
};
|
||||||
)
|
|
||||||
.await;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
pub async fn scrape_transactions(
|
let sigs = match rpc_client
|
||||||
rpc_client: &RpcClient,
|
.get_signatures_for_address_with_config(&OPENBOOK_KEY, rpc_config)
|
||||||
before_sig: Option<Signature>,
|
.await
|
||||||
limit: Option<usize>,
|
{
|
||||||
fill_sender: &Sender<OpenBookFillEvent>,
|
Ok(sigs) => sigs,
|
||||||
target_markets: &HashMap<Pubkey, String>,
|
Err(e) => {
|
||||||
) -> Option<Signature> {
|
warn!("rpc error in get_signatures_for_address_with_config: {}", e);
|
||||||
let rpc_config = GetConfirmedSignaturesForAddress2Config {
|
METRIC_RPC_ERRORS_TOTAL
|
||||||
before: before_sig,
|
.with_label_values(&["getSignaturesForAddress"])
|
||||||
until: None,
|
.inc();
|
||||||
limit,
|
continue;
|
||||||
commitment: Some(CommitmentConfig::confirmed()),
|
|
||||||
};
|
|
||||||
|
|
||||||
let mut sigs = match rpc_client
|
|
||||||
.get_signatures_for_address_with_config(
|
|
||||||
&Pubkey::from_str("srmqPvymJeFKQ4zGQed1GFppgkRHL9kaELCbyksJtPX").unwrap(),
|
|
||||||
rpc_config,
|
|
||||||
)
|
|
||||||
.await
|
|
||||||
{
|
|
||||||
Ok(s) => s,
|
|
||||||
Err(e) => {
|
|
||||||
warn!("rpc error in get_signatures_for_address_with_config: {}", e);
|
|
||||||
METRIC_RPC_ERRORS_TOTAL
|
|
||||||
.with_label_values(&["getSignaturesForAddress"])
|
|
||||||
.inc();
|
|
||||||
return before_sig;
|
|
||||||
}
|
|
||||||
};
|
|
||||||
|
|
||||||
if sigs.is_empty() {
|
|
||||||
debug!("No signatures found");
|
|
||||||
return before_sig;
|
|
||||||
}
|
|
||||||
|
|
||||||
let last = sigs.last().unwrap();
|
|
||||||
let request_last_sig = Signature::from_str(&last.signature).unwrap();
|
|
||||||
|
|
||||||
sigs.retain(|sig| sig.err.is_none());
|
|
||||||
if sigs.last().is_none() {
|
|
||||||
return Some(request_last_sig);
|
|
||||||
}
|
|
||||||
|
|
||||||
let txn_config = RpcTransactionConfig {
|
|
||||||
encoding: Some(UiTransactionEncoding::Json),
|
|
||||||
commitment: Some(CommitmentConfig::confirmed()),
|
|
||||||
max_supported_transaction_version: Some(0),
|
|
||||||
};
|
|
||||||
|
|
||||||
let signatures: Vec<_> = sigs
|
|
||||||
.into_iter()
|
|
||||||
.map(|sig| sig.signature.parse::<Signature>().unwrap())
|
|
||||||
.collect();
|
|
||||||
|
|
||||||
let txn_futs: Vec<_> = signatures
|
|
||||||
.iter()
|
|
||||||
.map(|s| rpc_client.get_transaction_with_config(s, txn_config))
|
|
||||||
.collect();
|
|
||||||
|
|
||||||
let mut txns = join_all(txn_futs).await;
|
|
||||||
|
|
||||||
let fills = parse_trades_from_openbook_txns(&mut txns, target_markets);
|
|
||||||
if !fills.is_empty() {
|
|
||||||
for fill in fills.into_iter() {
|
|
||||||
let market_name = target_markets.get(&fill.market).unwrap();
|
|
||||||
if let Err(_) = fill_sender.send(fill).await {
|
|
||||||
panic!("receiver dropped");
|
|
||||||
}
|
}
|
||||||
METRIC_FILLS_TOTAL.with_label_values(&[market_name]).inc();
|
};
|
||||||
|
if sigs.is_empty() {
|
||||||
|
debug!("No signatures found, trying again");
|
||||||
|
continue;
|
||||||
}
|
}
|
||||||
|
let transactions: Vec<PgTransaction> = sigs
|
||||||
|
.into_iter()
|
||||||
|
.map(|s| PgTransaction::from_rpc_confirmed_transaction(s))
|
||||||
|
.collect();
|
||||||
|
|
||||||
|
debug!("Scraper writing: {:?} txns to DB\n", transactions.len());
|
||||||
|
let upsert_statement = build_transactions_insert_statement(transactions);
|
||||||
|
let client = pool.get().await?;
|
||||||
|
let num_txns = client
|
||||||
|
.execute(&upsert_statement, &[])
|
||||||
|
.await
|
||||||
|
.map_err_anyhow()?;
|
||||||
|
METRIC_TRANSACTIONS_TOTAL.inc_by(num_txns);
|
||||||
|
}
|
||||||
|
// TODO: graceful shutdown
|
||||||
|
Ok(())
|
||||||
|
}
|
||||||
|
|
||||||
|
pub async fn scrape_fills(
|
||||||
|
worker_id: i32,
|
||||||
|
rpc_url: String,
|
||||||
|
pool: &Pool,
|
||||||
|
target_markets: &HashMap<Pubkey, String>,
|
||||||
|
) -> anyhow::Result<()> {
|
||||||
|
debug!("Worker {} started \n", worker_id);
|
||||||
|
let rpc_client = RpcClient::new_with_commitment(rpc_url, CommitmentConfig::confirmed());
|
||||||
|
|
||||||
|
loop {
|
||||||
|
let transactions = fetch_worker_transactions(worker_id, pool).await?;
|
||||||
|
if transactions.len() == 0 {
|
||||||
|
debug!("No signatures found by worker {}", worker_id);
|
||||||
|
tokio::time::sleep(WaitDuration::from_secs(1)).await;
|
||||||
|
continue;
|
||||||
|
};
|
||||||
|
|
||||||
|
// for each signature, fetch the transaction
|
||||||
|
let txn_config = RpcTransactionConfig {
|
||||||
|
encoding: Some(UiTransactionEncoding::Json),
|
||||||
|
commitment: Some(CommitmentConfig::confirmed()),
|
||||||
|
max_supported_transaction_version: Some(0),
|
||||||
|
};
|
||||||
|
|
||||||
|
let sig_strings = transactions
|
||||||
|
.iter()
|
||||||
|
.map(|t| t.signature.clone())
|
||||||
|
.collect::<Vec<String>>();
|
||||||
|
|
||||||
|
let signatures: Vec<_> = transactions
|
||||||
|
.into_iter()
|
||||||
|
.map(|t| t.signature.parse::<Signature>().unwrap())
|
||||||
|
.collect();
|
||||||
|
|
||||||
|
let txn_futs: Vec<_> = signatures
|
||||||
|
.iter()
|
||||||
|
.map(|s| rpc_client.get_transaction_with_config(s, txn_config))
|
||||||
|
.collect();
|
||||||
|
|
||||||
|
let mut txns = join_all(txn_futs).await;
|
||||||
|
|
||||||
|
// TODO: reenable total fills metric
|
||||||
|
let fills = parse_trades_from_openbook_txns(&mut txns, &sig_strings, target_markets);
|
||||||
|
|
||||||
|
// Write any fills to the database, and update the transactions as processed
|
||||||
|
insert_fills_atomically(pool, worker_id, fills, sig_strings).await?;
|
||||||
}
|
}
|
||||||
|
|
||||||
Some(request_last_sig)
|
Ok(())
|
||||||
}
|
}
|
||||||
|
|
Loading…
Reference in New Issue