blockworks-foundation
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openbook-candles
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refactor: replace id with signature in fills table

This commit is contained in:
dboures 2023-06-08 01:13:41 -05:00
parent fd4eebc034
commit dc1726af43
No known key found for this signature in database
GPG Key ID: AB3790129D478852
6 changed files with 25 additions and 81 deletions
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3
src/backfill-trades/main.rs
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@ -177,7 +177,8 @@ pub async fn backfill(
let mut txns = join_all(txn_futs).await;
let fills = parse_trades_from_openbook_txns(&mut txns, target_markets);
// TODO: batch fills into groups of 1000
let fills = parse_trades_from_openbook_txns(&mut txns, &sig_strings, target_markets);
// Write any fills to the database, and mark the transactions as processed
add_fills_atomically(pool, worker_id, fills, sig_strings).await?;

12
src/database/initialize.rs
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@ -127,7 +127,7 @@ pub async fn create_fills_table(pool: &Pool) -> anyhow::Result<()> {
client
.execute(
"CREATE TABLE IF NOT EXISTS fills (
id numeric PRIMARY KEY,
signature text not null,
time timestamptz not null,
market text not null,
open_orders text not null,
@ -139,19 +139,13 @@ pub async fn create_fills_table(pool: &Pool) -> anyhow::Result<()> {
native_fee_or_rebate double precision not null,
fee_tier text not null,
order_id text not null,
log_index int4 not null
log_index int4 not null,
CONSTRAINT fills_pk PRIMARY KEY (signature, log_index)
)",
&[],
)
.await?;
client
.execute(
"CREATE INDEX IF NOT EXISTS idx_id_market ON fills (id, market)",
&[],
)
.await?;
client
.execute(
"CREATE INDEX IF NOT EXISTS idx_market_time ON fills (market, time)",

73
src/database/insert.rs
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@ -1,8 +1,7 @@
use deadpool_postgres::Pool;
use log::debug;
use std::{
collections::{hash_map::DefaultHasher, HashMap},
hash::{Hash, Hasher},
collections::{HashMap}
};
use tokio::sync::mpsc::{error::TryRecvError, Receiver};
@ -84,13 +83,11 @@ pub async fn persist_fill_events(
#[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, log_index) 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() {
let mut hasher = DefaultHasher::new();
event.hash(&mut hasher);
let val_str = format!(
"({}, \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {}, {})",
hasher.finish(),
event.signature,
to_timestampz(event.block_time as u64).to_rfc3339(),
event.market,
event.open_orders,
@ -119,13 +116,11 @@ fn build_fills_upsert_statement(events: HashMap<OpenBookFillEvent, u8>) -> Strin
}
fn build_fills_upsert_statement_not_crazy(fills: Vec<OpenBookFillEvent>) -> 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, log_index) 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, fill) in fills.iter().enumerate() {
let mut hasher = DefaultHasher::new();
fill.hash(&mut hasher);
let val_str = format!(
"({}, \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {}, {})",
hasher.finish(),
"(\'{}\', \'{}\', \'{}\', \'{}\', \'{}\', {}, {}, {}, {}, {}, {}, {}, {})",
fill.signature,
to_timestampz(fill.block_time as u64).to_rfc3339(),
fill.market,
fill.open_orders,
@ -241,59 +236,3 @@ pub fn build_transactions_processed_update_statement(
stmt = format!("{} {}", stmt, worker_stmt);
stmt
}
#[cfg(test)]
mod tests {
use super::*;
use solana_sdk::pubkey::Pubkey;
use std::str::FromStr;
#[test]
fn test_event_hashing() {
let event_1 = 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: 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,
log_index: 1,
};
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,
log_index: 1,
};
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());
}
}

4
src/structs/openbook.rs
View File

@ -22,8 +22,9 @@ pub struct OpenBookFillEventRaw {
pub referrer_rebate: Option<u64>,
}
impl OpenBookFillEventRaw {
pub fn into_event(self, block_time: i64, log_index: usize) -> OpenBookFillEvent {
pub fn into_event(self, signature: String, block_time: i64, log_index: usize) -> OpenBookFillEvent {
OpenBookFillEvent {
signature,
market: self.market,
open_orders: self.open_orders,
open_orders_owner: self.open_orders_owner,
@ -46,6 +47,7 @@ impl OpenBookFillEventRaw {
#[event]
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
pub struct OpenBookFillEvent {
pub signature: String,
pub market: Pubkey,
pub open_orders: Pubkey,
pub open_orders_owner: Pubkey,

7
src/worker/trade_fetching/parsing.rs
View File

@ -15,10 +15,11 @@ const PROGRAM_DATA: &str = "Program data: ";
pub fn parse_trades_from_openbook_txns(
txns: &mut Vec<ClientResult<EncodedConfirmedTransactionWithStatusMeta>>,
sig_strings: &Vec<String>,
target_markets: &HashMap<Pubkey, String>,
) -> Vec<OpenBookFillEvent> {
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
for txn in txns.iter_mut() {
for (idx, txn) in txns.iter_mut().enumerate() {
match txn {
Ok(t) => {
if let Some(m) = &t.transaction.meta {
@ -27,6 +28,7 @@ pub fn parse_trades_from_openbook_txns(
match parse_openbook_fills_from_logs(
logs,
target_markets,
sig_strings[idx].clone(),
t.block_time.unwrap(),
) {
Some(mut events) => fills_vector.append(&mut events),
@ -52,6 +54,7 @@ pub fn parse_trades_from_openbook_txns(
fn parse_openbook_fills_from_logs(
logs: &Vec<String>,
target_markets: &HashMap<Pubkey, String>,
signature: String,
block_time: i64,
) -> Option<Vec<OpenBookFillEvent>> {
let mut fills_vector = Vec::<OpenBookFillEvent>::new();
@ -68,7 +71,7 @@ fn parse_openbook_fills_from_logs(
match event {
Ok(e) => {
let fill_event = e.into_event(block_time, idx);
let fill_event = e.into_event(signature.clone(), block_time, idx);
if target_markets.contains_key(&fill_event.market) {
fills_vector.push(fill_event);
}

7
src/worker/trade_fetching/scrape.rs
View File

@ -89,6 +89,11 @@ pub async fn scrape_transactions(
max_supported_transaction_version: Some(0),
};
let sig_strings = sigs
.iter()
.map(|t| t.signature.clone())
.collect::<Vec<String>>();
let signatures: Vec<_> = sigs
.into_iter()
.map(|sig| sig.signature.parse::<Signature>().unwrap())
@ -101,7 +106,7 @@ pub async fn scrape_transactions(
let mut txns = join_all(txn_futs).await;
let fills = parse_trades_from_openbook_txns(&mut txns, target_markets);
let fills = parse_trades_from_openbook_txns(&mut txns, &sig_strings, target_markets);
if !fills.is_empty() {
for fill in fills.into_iter() {
let market_name = target_markets.get(&fill.market).unwrap();