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feat(sol): add agave-backed dlob hot path for canary
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mpabi
2026-04-12 18:10:42 +02:00
parent 948c37c3f5
commit e1e993e2ac
26 changed files with 1110 additions and 4 deletions
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170
environments/sol/trade-r001-canary/assets/hasura/hasura-bootstrap.mjs
View File

@@ -98,12 +98,17 @@ async function main() {
const source = 'default';
const baseTicks = { schema: 'public', name: 'drift_ticks' };
const dlobHotSnapshotLatestTable = { schema: 'public', name: 'dlob_hot_snapshot_latest' };
const dlobHotDerivedLatestTable = { schema: 'public', name: 'dlob_hot_derived_latest' };
const dlobAllDerivedLatestTable = { schema: 'public', name: 'dlob_all_derived_latest' };
const dlobL2LatestTable = { schema: 'public', name: 'dlob_l2_latest' };
const dlobStatsLatestTable = { schema: 'public', name: 'dlob_stats_latest' };
const dlobDepthBpsLatestTable = { schema: 'public', name: 'dlob_depth_bps_latest' };
const dlobSlippageLatestTable = { schema: 'public', name: 'dlob_slippage_latest' };
const dlobSlippageLatestV2Table = { schema: 'public', name: 'dlob_slippage_latest_v2' };
const candlesCacheTable = { schema: 'public', name: 'drift_candles_cache' };
const dlobHotDerivedTsTable = { schema: 'public', name: 'dlob_hot_derived_ts' };
const dlobAllDerivedTsTable = { schema: 'public', name: 'dlob_all_derived_ts' };
const dlobStatsTsTable = { schema: 'public', name: 'dlob_stats_ts' };
const dlobDepthBpsTsTable = { schema: 'public', name: 'dlob_depth_bps_ts' };
const dlobSlippageTsTable = { schema: 'public', name: 'dlob_slippage_ts' };
@@ -373,6 +378,171 @@ async function main() {
'updated_at',
], { publicFilter: dlobPublicFilter });
await ensurePublicSelectTable(dlobHotSnapshotLatestTable, [
'source',
'redis_key',
'snapshot_kind',
'market_type',
'market_index',
'market_name',
'is_indicative',
'ts_ms',
'slot',
'market_slot',
'payload_hash',
'mark_price_raw',
'oracle_price_raw',
'best_bid_price_raw',
'best_ask_price_raw',
'spread_pct_raw',
'spread_quote_raw',
'oracle_data',
'bids',
'asks',
'payload',
'updated_at',
]);
await ensurePublicSelectTable(dlobHotDerivedLatestTable, [
'source',
'market_type',
'market_index',
'market_name',
'is_indicative',
'ts_ms',
'slot',
'market_slot',
'mark_price',
'oracle_price',
'best_bid_price',
'best_ask_price',
'mid_price',
'spread_quote',
'spread_bps',
'depth_levels',
'bid_levels',
'ask_levels',
'top_bid_size',
'top_ask_size',
'top_bid_notional',
'top_ask_notional',
'depth_bid_base',
'depth_ask_base',
'depth_bid_quote',
'depth_ask_quote',
'imbalance',
'bids_norm',
'asks_norm',
'raw_payload_hash',
'updated_at',
]);
await ensurePublicSelectTable(dlobAllDerivedLatestTable, [
'source',
'market_type',
'market_index',
'market_name',
'is_indicative',
'ts_ms',
'slot',
'market_slot',
'mark_price',
'oracle_price',
'best_bid_price',
'best_ask_price',
'mid_price',
'spread_quote',
'spread_bps',
'depth_levels',
'bid_levels',
'ask_levels',
'top_bid_size',
'top_ask_size',
'top_bid_notional',
'top_ask_notional',
'depth_bid_base',
'depth_ask_base',
'depth_bid_quote',
'depth_ask_quote',
'imbalance',
'bids_norm',
'asks_norm',
'raw_payload_hash',
'updated_at',
]);
await ensurePublicSelectTable(dlobHotDerivedTsTable, [
'event_ts',
'id',
'source',
'market_type',
'market_index',
'market_name',
'is_indicative',
'ts_ms',
'slot',
'market_slot',
'mark_price',
'oracle_price',
'best_bid_price',
'best_ask_price',
'mid_price',
'spread_quote',
'spread_bps',
'depth_levels',
'bid_levels',
'ask_levels',
'top_bid_size',
'top_ask_size',
'top_bid_notional',
'top_ask_notional',
'depth_bid_base',
'depth_ask_base',
'depth_bid_quote',
'depth_ask_quote',
'imbalance',
'bids_norm',
'asks_norm',
'raw_payload_hash',
'inserted_at',
]);
await ensurePublicSelectTable(dlobAllDerivedTsTable, [
'event_ts',
'id',
'source',
'market_type',
'market_index',
'market_name',
'is_indicative',
'ts_ms',
'slot',
'market_slot',
'mark_price',
'oracle_price',
'best_bid_price',
'best_ask_price',
'mid_price',
'spread_quote',
'spread_bps',
'depth_levels',
'bid_levels',
'ask_levels',
'top_bid_size',
'top_ask_size',
'top_bid_notional',
'top_ask_notional',
'depth_bid_base',
'depth_ask_base',
'depth_bid_quote',
'depth_ask_quote',
'imbalance',
'bids_norm',
'asks_norm',
'raw_payload_hash',
'inserted_at',
]);
await ensurePublicSelectTable(dlobStatsTsTable, [
'ts',
'id',

268
environments/sol/trade-r001-canary/assets/postgres/001_init.sql
View File

@@ -858,3 +858,271 @@ BEGIN
PERFORM add_retention_policy('dlob_slippage_ts_v2', INTERVAL '7 days');
EXCEPTION WHEN OTHERS THEN
END $$;
-- Canonical raw DLOB hot snapshots written from Redis to PostgreSQL.
CREATE TABLE IF NOT EXISTS public.dlob_hot_snapshot_latest (
source TEXT NOT NULL,
redis_key TEXT NOT NULL,
snapshot_kind TEXT NOT NULL CHECK (snapshot_kind IN ('orderbook_l2', 'orderbook_l3', 'best_makers')),
market_type TEXT NOT NULL,
market_index INTEGER NOT NULL,
market_name TEXT NOT NULL,
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
ts_ms BIGINT NOT NULL,
slot BIGINT,
market_slot BIGINT,
payload_hash TEXT NOT NULL,
mark_price_raw TEXT,
oracle_price_raw TEXT,
best_bid_price_raw TEXT,
best_ask_price_raw TEXT,
spread_pct_raw TEXT,
spread_quote_raw TEXT,
oracle_data JSONB,
bids JSONB,
asks JSONB,
payload JSONB NOT NULL,
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
PRIMARY KEY (source, market_type, market_index, snapshot_kind, is_indicative)
);
CREATE INDEX IF NOT EXISTS dlob_hot_snapshot_latest_updated_at_idx
ON public.dlob_hot_snapshot_latest (updated_at DESC);
CREATE INDEX IF NOT EXISTS dlob_hot_snapshot_latest_source_market_idx
ON public.dlob_hot_snapshot_latest (source, market_type, market_index, updated_at DESC);
CREATE TABLE IF NOT EXISTS public.dlob_hot_snapshot_ts (
event_ts TIMESTAMPTZ NOT NULL,
id BIGSERIAL NOT NULL,
source TEXT NOT NULL,
redis_key TEXT NOT NULL,
snapshot_kind TEXT NOT NULL CHECK (snapshot_kind IN ('orderbook_l2', 'orderbook_l3', 'best_makers')),
market_type TEXT NOT NULL,
market_index INTEGER NOT NULL,
market_name TEXT NOT NULL,
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
ts_ms BIGINT NOT NULL,
slot BIGINT,
market_slot BIGINT,
payload_hash TEXT NOT NULL,
mark_price_raw TEXT,
oracle_price_raw TEXT,
best_bid_price_raw TEXT,
best_ask_price_raw TEXT,
spread_pct_raw TEXT,
spread_quote_raw TEXT,
oracle_data JSONB,
bids JSONB,
asks JSONB,
payload JSONB NOT NULL,
inserted_at TIMESTAMPTZ NOT NULL DEFAULT now(),
PRIMARY KEY (event_ts, id)
);
SELECT create_hypertable('dlob_hot_snapshot_ts', 'event_ts', if_not_exists => TRUE, migrate_data => TRUE);
CREATE UNIQUE INDEX IF NOT EXISTS dlob_hot_snapshot_ts_dedupe_idx
ON public.dlob_hot_snapshot_ts (event_ts, source, redis_key, payload_hash);
CREATE INDEX IF NOT EXISTS dlob_hot_snapshot_ts_market_ts_desc_idx
ON public.dlob_hot_snapshot_ts (market_type, market_index, event_ts DESC);
CREATE INDEX IF NOT EXISTS dlob_hot_snapshot_ts_source_market_ts_desc_idx
ON public.dlob_hot_snapshot_ts (source, market_type, market_index, event_ts DESC);
CREATE TABLE IF NOT EXISTS public.dlob_hot_derived_latest (
source TEXT NOT NULL,
market_type TEXT NOT NULL,
market_index INTEGER NOT NULL,
market_name TEXT NOT NULL,
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
ts_ms BIGINT NOT NULL,
slot BIGINT,
market_slot BIGINT,
mark_price NUMERIC,
oracle_price NUMERIC,
best_bid_price NUMERIC,
best_ask_price NUMERIC,
mid_price NUMERIC,
spread_quote NUMERIC,
spread_bps NUMERIC,
depth_levels INTEGER NOT NULL,
bid_levels INTEGER NOT NULL,
ask_levels INTEGER NOT NULL,
top_bid_size NUMERIC,
top_ask_size NUMERIC,
top_bid_notional NUMERIC,
top_ask_notional NUMERIC,
depth_bid_base NUMERIC NOT NULL DEFAULT 0,
depth_ask_base NUMERIC NOT NULL DEFAULT 0,
depth_bid_quote NUMERIC NOT NULL DEFAULT 0,
depth_ask_quote NUMERIC NOT NULL DEFAULT 0,
imbalance NUMERIC,
bids_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
asks_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
raw_payload_hash TEXT NOT NULL,
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
PRIMARY KEY (source, market_type, market_index, is_indicative)
);
CREATE INDEX IF NOT EXISTS dlob_hot_derived_latest_updated_at_idx
ON public.dlob_hot_derived_latest (updated_at DESC);
CREATE INDEX IF NOT EXISTS dlob_hot_derived_latest_source_market_idx
ON public.dlob_hot_derived_latest (source, market_type, market_index, updated_at DESC);
CREATE TABLE IF NOT EXISTS public.dlob_hot_derived_ts (
event_ts TIMESTAMPTZ NOT NULL,
id BIGSERIAL NOT NULL,
source TEXT NOT NULL,
market_type TEXT NOT NULL,
market_index INTEGER NOT NULL,
market_name TEXT NOT NULL,
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
ts_ms BIGINT NOT NULL,
slot BIGINT,
market_slot BIGINT,
mark_price NUMERIC,
oracle_price NUMERIC,
best_bid_price NUMERIC,
best_ask_price NUMERIC,
mid_price NUMERIC,
spread_quote NUMERIC,
spread_bps NUMERIC,
depth_levels INTEGER NOT NULL,
bid_levels INTEGER NOT NULL,
ask_levels INTEGER NOT NULL,
top_bid_size NUMERIC,
top_ask_size NUMERIC,
top_bid_notional NUMERIC,
top_ask_notional NUMERIC,
depth_bid_base NUMERIC NOT NULL DEFAULT 0,
depth_ask_base NUMERIC NOT NULL DEFAULT 0,
depth_bid_quote NUMERIC NOT NULL DEFAULT 0,
depth_ask_quote NUMERIC NOT NULL DEFAULT 0,
imbalance NUMERIC,
bids_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
asks_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
raw_payload_hash TEXT NOT NULL,
inserted_at TIMESTAMPTZ NOT NULL DEFAULT now(),
PRIMARY KEY (event_ts, id)
);
SELECT create_hypertable('dlob_hot_derived_ts', 'event_ts', if_not_exists => TRUE, migrate_data => TRUE);
CREATE UNIQUE INDEX IF NOT EXISTS dlob_hot_derived_ts_dedupe_idx
ON public.dlob_hot_derived_ts (event_ts, source, market_type, market_index, is_indicative, raw_payload_hash);
CREATE INDEX IF NOT EXISTS dlob_hot_derived_ts_market_ts_desc_idx
ON public.dlob_hot_derived_ts (market_type, market_index, event_ts DESC);
CREATE INDEX IF NOT EXISTS dlob_hot_derived_ts_source_market_ts_desc_idx
ON public.dlob_hot_derived_ts (source, market_type, market_index, event_ts DESC);
DO $$
BEGIN
PERFORM add_retention_policy('dlob_hot_snapshot_ts', INTERVAL '30 days');
EXCEPTION WHEN duplicate_object THEN NULL;
END $$;
DO $$
BEGIN
PERFORM add_retention_policy('dlob_hot_derived_ts', INTERVAL '180 days');
EXCEPTION WHEN duplicate_object THEN NULL;
END $$;
CREATE TABLE IF NOT EXISTS public.dlob_all_derived_latest (
source TEXT NOT NULL,
market_type TEXT NOT NULL,
market_index INTEGER NOT NULL,
market_name TEXT NOT NULL,
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
ts_ms BIGINT NOT NULL,
slot BIGINT,
market_slot BIGINT,
mark_price NUMERIC,
oracle_price NUMERIC,
best_bid_price NUMERIC,
best_ask_price NUMERIC,
mid_price NUMERIC,
spread_quote NUMERIC,
spread_bps NUMERIC,
depth_levels INTEGER NOT NULL,
bid_levels INTEGER NOT NULL,
ask_levels INTEGER NOT NULL,
top_bid_size NUMERIC,
top_ask_size NUMERIC,
top_bid_notional NUMERIC,
top_ask_notional NUMERIC,
depth_bid_base NUMERIC NOT NULL DEFAULT 0,
depth_ask_base NUMERIC NOT NULL DEFAULT 0,
depth_bid_quote NUMERIC NOT NULL DEFAULT 0,
depth_ask_quote NUMERIC NOT NULL DEFAULT 0,
imbalance NUMERIC,
bids_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
asks_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
raw_payload_hash TEXT NOT NULL,
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
PRIMARY KEY (source, market_type, market_index, is_indicative)
);
CREATE INDEX IF NOT EXISTS dlob_all_derived_latest_updated_at_idx
ON public.dlob_all_derived_latest (updated_at DESC);
CREATE INDEX IF NOT EXISTS dlob_all_derived_latest_source_market_idx
ON public.dlob_all_derived_latest (source, market_type, market_index, updated_at DESC);
CREATE TABLE IF NOT EXISTS public.dlob_all_derived_ts (
event_ts TIMESTAMPTZ NOT NULL,
id BIGSERIAL NOT NULL,
source TEXT NOT NULL,
market_type TEXT NOT NULL,
market_index INTEGER NOT NULL,
market_name TEXT NOT NULL,
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
ts_ms BIGINT NOT NULL,
slot BIGINT,
market_slot BIGINT,
mark_price NUMERIC,
oracle_price NUMERIC,
best_bid_price NUMERIC,
best_ask_price NUMERIC,
mid_price NUMERIC,
spread_quote NUMERIC,
spread_bps NUMERIC,
depth_levels INTEGER NOT NULL,
bid_levels INTEGER NOT NULL,
ask_levels INTEGER NOT NULL,
top_bid_size NUMERIC,
top_ask_size NUMERIC,
top_bid_notional NUMERIC,
top_ask_notional NUMERIC,
depth_bid_base NUMERIC NOT NULL DEFAULT 0,
depth_ask_base NUMERIC NOT NULL DEFAULT 0,
depth_bid_quote NUMERIC NOT NULL DEFAULT 0,
depth_ask_quote NUMERIC NOT NULL DEFAULT 0,
imbalance NUMERIC,
bids_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
asks_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
raw_payload_hash TEXT NOT NULL,
inserted_at TIMESTAMPTZ NOT NULL DEFAULT now(),
PRIMARY KEY (event_ts, id)
);
SELECT create_hypertable('dlob_all_derived_ts', 'event_ts', if_not_exists => TRUE, migrate_data => TRUE);
CREATE UNIQUE INDEX IF NOT EXISTS dlob_all_derived_ts_dedupe_idx
ON public.dlob_all_derived_ts (event_ts, source, market_type, market_index, is_indicative, raw_payload_hash);
CREATE INDEX IF NOT EXISTS dlob_all_derived_ts_market_ts_desc_idx
ON public.dlob_all_derived_ts (market_type, market_index, event_ts DESC);
CREATE INDEX IF NOT EXISTS dlob_all_derived_ts_source_market_ts_desc_idx
ON public.dlob_all_derived_ts (source, market_type, market_index, event_ts DESC);
DO $$
BEGIN
PERFORM add_retention_policy('dlob_all_derived_ts', INTERVAL '30 days');
EXCEPTION WHEN duplicate_object THEN NULL;
END $$;