Add new common event schema
This commit is contained in:
parent
3dc7ae1246
commit
f88ec6a53c
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@ -5771,7 +5771,6 @@ dependencies = [
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"futures-core",
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"futures-util",
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"itertools 0.10.5",
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"jemallocator",
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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",
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"log 0.4.17",
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@ -1,12 +1,12 @@
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use crate::{
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chain_data::{AccountData, ChainData, SlotData},
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metrics::{MetricType, Metrics},
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AccountWrite, SlotUpdate,
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AccountWrite, SlotUpdate, orderbook_filter::OrderbookSide,
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};
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use bytemuck::{Pod, Zeroable};
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use bytemuck::{Pod, Zeroable, cast_slice};
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use log::*;
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use serde::{ser::SerializeStruct, Serialize, Serializer};
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use serum_dex::state::EventView;
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use serum_dex::state::EventView as SpotEvent;
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use solana_sdk::{
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account::{ReadableAccount, WritableAccount},
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clock::Epoch,
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@ -15,13 +15,14 @@ use solana_sdk::{
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use std::{
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borrow::BorrowMut,
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cmp::max,
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collections::{HashMap, HashSet},
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collections::{HashMap, HashSet}, convert::identity, time::SystemTime,
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};
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use crate::metrics::MetricU64;
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use anchor_lang::AccountDeserialize;
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use mango_v4::state::{
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AnyEvent, EventQueue, EventQueueHeader, EventType, FillEvent, MAX_NUM_EVENTS,
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AnyEvent, EventQueue, EventQueueHeader, EventType, FillEvent as PerpFillEvent, Side,
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MAX_NUM_EVENTS,
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};
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#[derive(Clone, Copy, Debug, Serialize)]
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@ -30,19 +31,122 @@ pub enum FillUpdateStatus {
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Revoke,
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}
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#[derive(Clone, Debug)]
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pub struct FillUpdate {
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pub event: FillEvent,
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pub status: FillUpdateStatus,
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pub market: String,
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pub queue: String,
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pub slot: u64,
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pub write_version: u64,
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#[derive(Clone, Copy, Debug, Serialize)]
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pub enum FillEventType {
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Spot,
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Perp,
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}
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#[derive(Clone, Debug)]
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pub struct SerumFillUpdate {
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pub event: serum_dex::state::Event,
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pub struct FillEvent {
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pub event_type: FillEventType,
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pub maker: bool,
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pub side: OrderbookSide,
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pub timestamp: u64,
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pub seq_num: u64,
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pub owner: String,
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pub order_id: u128,
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pub client_order_id: u64,
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pub fee: f32,
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pub price: i64,
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pub quantity: i64,
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}
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impl Serialize for FillEvent {
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fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
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where
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S: Serializer,
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{
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let mut state = serializer.serialize_struct("FillEvent", 12)?;
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state.serialize_field("eventType", &self.event_type)?;
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state.serialize_field("maker", &self.maker)?;
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state.serialize_field("side", &self.side)?;
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state.serialize_field("timestamp", &self.timestamp)?;
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state.serialize_field("seqNum", &self.seq_num)?;
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state.serialize_field("owner", &self.owner)?;
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state.serialize_field("orderId", &self.order_id)?;
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state.serialize_field("clientOrderId", &self.client_order_id)?;
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state.serialize_field("fee", &self.fee)?;
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state.serialize_field("price", &self.price)?;
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state.serialize_field("quantity", &self.quantity)?;
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state.end()
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}
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}
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impl FillEvent {
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pub fn new_from_perp(event: PerpFillEvent) -> [Self; 2] {
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let taker_side = match event.taker_side() {
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Side::Ask => OrderbookSide::Ask,
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Side::Bid => OrderbookSide::Bid,
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};
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let maker_side = match event.taker_side() {
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Side::Ask => OrderbookSide::Bid,
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Side::Bid => OrderbookSide::Ask,
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};
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[FillEvent {
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event_type: FillEventType::Perp,
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maker: true,
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side: maker_side,
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timestamp: event.timestamp,
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seq_num: event.seq_num,
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owner: event.maker.to_string(),
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order_id: event.maker_order_id,
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client_order_id: 0u64,
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fee: event.maker_fee.to_num(),
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price: event.price,
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quantity: event.quantity,
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},
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FillEvent {
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event_type: FillEventType::Perp,
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maker: false,
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side: taker_side,
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timestamp: event.timestamp,
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seq_num: event.seq_num,
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owner: event.taker.to_string(),
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order_id: event.taker_order_id,
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client_order_id: event.taker_client_order_id,
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fee: event.taker_fee.to_num(),
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price: event.price,
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quantity: event.quantity,
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}]
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}
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pub fn new_from_spot(event: SpotEvent, timestamp: u64, seq_num: u64) -> Self {
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match event {
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SpotEvent::Fill { side, maker, native_qty_paid, native_qty_received, native_fee_or_rebate, order_id, owner, client_order_id, .. } => {
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let side = match side as u8 {
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0 => OrderbookSide::Bid,
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1 => OrderbookSide::Ask,
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_ => panic!("invalid side"),
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};
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let client_order_id: u64 = match client_order_id {
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Some(id) => id.into(),
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None => 0u64,
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};
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// TODO: native to ui
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let price = (native_qty_paid / native_qty_received) as i64;
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FillEvent {
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event_type: FillEventType::Spot,
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maker: maker,
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side,
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timestamp,
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seq_num,
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owner: Pubkey::new(cast_slice(&identity(owner) as &[_])).to_string(),
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order_id: order_id,
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client_order_id: client_order_id,
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fee: native_fee_or_rebate as f32,
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price,
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quantity: native_qty_received as i64,
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}
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}
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SpotEvent::Out { .. } => { panic!("Can't build FillEvent from SpotEvent::Out")}
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}
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}
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}
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#[derive(Clone, Debug)]
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pub struct FillUpdate {
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pub event: FillEvent,
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pub status: FillUpdateStatus,
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pub market: String,
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pub queue: String,
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@ -66,27 +170,8 @@ impl Serialize for FillUpdate {
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where
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S: Serializer,
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{
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let event = base64::encode(bytemuck::bytes_of(&self.event));
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let mut state = serializer.serialize_struct("FillUpdate", 4)?;
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state.serialize_field("event", &event)?;
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state.serialize_field("market", &self.market)?;
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state.serialize_field("queue", &self.queue)?;
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state.serialize_field("status", &self.status)?;
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state.serialize_field("slot", &self.slot)?;
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state.serialize_field("write_version", &self.write_version)?;
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state.end()
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}
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}
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impl Serialize for SerumFillUpdate {
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fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
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where
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S: Serializer,
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{
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let event = base64::encode(bytemuck::bytes_of(&self.event));
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let mut state = serializer.serialize_struct("SerumFillUpdate", 4)?;
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state.serialize_field("event", &event)?;
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state.serialize_field("event", &self.event)?;
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state.serialize_field("market", &self.market)?;
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state.serialize_field("queue", &self.queue)?;
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state.serialize_field("status", &self.status)?;
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@ -106,48 +191,13 @@ pub struct FillCheckpoint {
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pub write_version: u64,
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}
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#[derive(Clone, Debug)]
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pub struct SerumFillCheckpoint {
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pub market: String,
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pub queue: String,
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pub events: Vec<serum_dex::state::Event>,
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pub slot: u64,
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pub write_version: u64,
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}
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impl Serialize for FillCheckpoint {
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fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
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where
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S: Serializer,
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{
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let events: Vec<String> = self
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.events
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.iter()
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.map(|e| base64::encode(bytemuck::bytes_of(e)))
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.collect();
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let mut state = serializer.serialize_struct("FillCheckpoint", 3)?;
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state.serialize_field("events", &events)?;
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state.serialize_field("market", &self.market)?;
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state.serialize_field("queue", &self.queue)?;
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state.serialize_field("slot", &self.slot)?;
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state.serialize_field("write_version", &self.write_version)?;
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state.end()
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}
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}
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impl Serialize for SerumFillCheckpoint {
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fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
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where
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S: Serializer,
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{
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let events: Vec<String> = self
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.events
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.iter()
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.map(|e| base64::encode(bytemuck::bytes_of(e)))
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.collect();
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let mut state = serializer.serialize_struct("SerumFillCheckpoint", 3)?;
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state.serialize_field("events", &events)?;
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state.serialize_field("events", &self.events)?;
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state.serialize_field("market", &self.market)?;
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state.serialize_field("queue", &self.queue)?;
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state.serialize_field("slot", &self.slot)?;
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@ -159,9 +209,7 @@ impl Serialize for SerumFillCheckpoint {
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pub enum FillEventFilterMessage {
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Update(FillUpdate),
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SerumUpdate(SerumFillUpdate),
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Checkpoint(FillCheckpoint),
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SerumCheckpoint(SerumFillCheckpoint),
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}
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// couldn't compile the correct struct size / math on m1, fixed sizes resolve this issue
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@ -205,12 +253,15 @@ fn publish_changes_perp(
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// new fills are published and recorded in checkpoint
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if events[idx].event_type == EventType::Fill as u8 {
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let fill: FillEvent = bytemuck::cast(events[idx]);
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let fill: PerpFillEvent = bytemuck::cast(events[idx]);
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let fills = FillEvent::new_from_perp(fill);
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// send event for both maker and taker
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for fill in fills {
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fill_update_sender
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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write_version,
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event: fill,
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event: fill.clone(),
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status: FillUpdateStatus::New,
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market: mkt_pk_string.clone(),
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queue: evq_pk_string.clone(),
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@ -218,6 +269,7 @@ fn publish_changes_perp(
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.unwrap(); // TODO: use anyhow to bubble up error
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checkpoint.push(fill);
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}
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}
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} else if old_events[idx].event_type != events[idx].event_type
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|| old_events[idx].padding != events[idx].padding
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{
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@ -230,7 +282,9 @@ fn publish_changes_perp(
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// first revoke old event if a fill
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if old_events[idx].event_type == EventType::Fill as u8 {
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let fill: FillEvent = bytemuck::cast(old_events[idx]);
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let fill: PerpFillEvent = bytemuck::cast(old_events[idx]);
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let fills = FillEvent::new_from_perp(fill);
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for fill in fills {
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fill_update_sender
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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@ -242,15 +296,18 @@ fn publish_changes_perp(
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}))
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.unwrap(); // TODO: use anyhow to bubble up error
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}
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}
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// then publish new if its a fill and record in checkpoint
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if events[idx].event_type == EventType::Fill as u8 {
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let fill: FillEvent = bytemuck::cast(events[idx]);
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let fill: PerpFillEvent = bytemuck::cast(events[idx]);
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let fills = FillEvent::new_from_perp(fill);
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for fill in fills {
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fill_update_sender
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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write_version,
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event: fill,
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event: fill.clone(),
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status: FillUpdateStatus::New,
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market: mkt_pk_string.clone(),
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queue: evq_pk_string.clone(),
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@ -258,14 +315,18 @@ fn publish_changes_perp(
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.unwrap(); // TODO: use anyhow to bubble up error
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checkpoint.push(fill);
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}
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}
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} else {
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// every already published event is recorded in checkpoint if a fill
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if events[idx].event_type == EventType::Fill as u8 {
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let fill: FillEvent = bytemuck::cast(events[idx]);
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let fill: PerpFillEvent = bytemuck::cast(events[idx]);
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let fills = FillEvent::new_from_perp(fill);
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for fill in fills {
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checkpoint.push(fill);
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}
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}
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}
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}
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// in case queue size shrunk due to a fork we need revoke all previous fills
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for seq_num in header.seq_num..old_seq_num {
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@ -278,7 +339,9 @@ fn publish_changes_perp(
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metric_events_drop.increment();
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if old_events[idx].event_type == EventType::Fill as u8 {
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let fill: FillEvent = bytemuck::cast(old_events[idx]);
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let fill: PerpFillEvent = bytemuck::cast(old_events[idx]);
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let fills = FillEvent::new_from_perp(fill);
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for fill in fills {
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fill_update_sender
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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@ -291,6 +354,7 @@ fn publish_changes_perp(
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.unwrap(); // TODO: use anyhow to bubble up error
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}
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}
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}
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fill_update_sender
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.try_send(FillEventFilterMessage::Checkpoint(FillCheckpoint {
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@ -325,42 +389,46 @@ fn publish_changes_serum(
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let evq_pk_string = mkt.1.to_string();
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let header_seq_num = header.seq_num;
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debug!("start seq {} header seq {}", start_seq_num, header_seq_num);
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// Timestamp for spot events is time scraped
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let timestamp = SystemTime::now().duration_since(SystemTime::UNIX_EPOCH).unwrap().as_secs();
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for seq_num in start_seq_num..header_seq_num {
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let idx = (seq_num % MAX_NUM_EVENTS as u64) as usize;
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let event_view = events[idx].as_view().unwrap();
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let old_event_view = old_events[idx].as_view().unwrap();
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match event_view {
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EventView::Fill { .. } => {
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SpotEvent::Fill { .. } => {
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// there are three possible cases:
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// 1) the event is past the old seq num, hence guaranteed new event
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// 2) the event is not matching the old event queue
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// 3) all other events are matching the old event queue
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// the order of these checks is important so they are exhaustive
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let fill = FillEvent::new_from_spot(event_view, timestamp, seq_num);
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if seq_num >= old_seq_num {
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debug!("found new serum fill {} idx {}", mkt_pk_string, idx,);
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metric_events_new.increment();
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fill_update_sender
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.try_send(FillEventFilterMessage::SerumUpdate(SerumFillUpdate {
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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write_version,
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event: events[idx],
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event: fill.clone(),
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status: FillUpdateStatus::New,
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market: mkt_pk_string.clone(),
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queue: evq_pk_string.clone(),
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}))
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.unwrap(); // TODO: use anyhow to bubble up error
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checkpoint.push(events[idx]);
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checkpoint.push(fill);
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continue;
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}
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match old_event_view {
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EventView::Fill { .. } => {
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SpotEvent::Fill { .. } => {
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// every already published event is recorded in checkpoint
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checkpoint.push(events[idx]);
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checkpoint.push(fill);
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}
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EventView::Out { .. } => {
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SpotEvent::Out { .. } => {
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debug!(
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"found changed event {} idx {} seq_num {} header seq num {} old seq num {}",
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mkt_pk_string, idx, seq_num, header_seq_num, old_seq_num
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@ -368,12 +436,13 @@ fn publish_changes_serum(
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metric_events_change.increment();
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let old_fill = FillEvent::new_from_spot(old_event_view, timestamp, seq_num);
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// first revoke old event
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fill_update_sender
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.try_send(FillEventFilterMessage::SerumUpdate(SerumFillUpdate {
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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write_version,
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event: old_events[idx],
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event: old_fill,
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status: FillUpdateStatus::Revoke,
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market: mkt_pk_string.clone(),
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queue: evq_pk_string.clone(),
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@ -382,16 +451,16 @@ fn publish_changes_serum(
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// then publish new if its a fill and record in checkpoint
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fill_update_sender
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.try_send(FillEventFilterMessage::SerumUpdate(SerumFillUpdate {
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.try_send(FillEventFilterMessage::Update(FillUpdate {
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slot,
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write_version,
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event: events[idx],
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event: fill.clone(),
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status: FillUpdateStatus::New,
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market: mkt_pk_string.clone(),
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queue: evq_pk_string.clone(),
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}))
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.unwrap(); // TODO: use anyhow to bubble up error
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checkpoint.push(events[idx]);
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checkpoint.push(fill);
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}
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}
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}
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@ -411,11 +480,12 @@ fn publish_changes_serum(
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metric_events_drop.increment();
|
||||
|
||||
match old_event_view {
|
||||
EventView::Fill { .. } => {
|
||||
SpotEvent::Fill { .. } => {
|
||||
let old_fill = FillEvent::new_from_spot(old_event_view, timestamp, seq_num);
|
||||
fill_update_sender
|
||||
.try_send(FillEventFilterMessage::SerumUpdate(SerumFillUpdate {
|
||||
.try_send(FillEventFilterMessage::Update(FillUpdate {
|
||||
slot,
|
||||
event: old_events[idx],
|
||||
event: old_fill,
|
||||
write_version,
|
||||
status: FillUpdateStatus::Revoke,
|
||||
market: mkt_pk_string.clone(),
|
||||
|
@ -423,13 +493,13 @@ fn publish_changes_serum(
|
|||
}))
|
||||
.unwrap(); // TODO: use anyhow to bubble up error
|
||||
}
|
||||
EventView::Out { .. } => continue,
|
||||
SpotEvent::Out { .. } => continue,
|
||||
}
|
||||
}
|
||||
|
||||
fill_update_sender
|
||||
.try_send(FillEventFilterMessage::SerumCheckpoint(
|
||||
SerumFillCheckpoint {
|
||||
.try_send(FillEventFilterMessage::Checkpoint(
|
||||
FillCheckpoint {
|
||||
slot,
|
||||
write_version,
|
||||
events: checkpoint,
|
||||
|
|
Loading…
Reference in New Issue