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