feat(dlob): prepare canonical storage bootstrap
This commit is contained in:
mpabi
@@ -814,3 +814,246 @@ BEGIN
|
||||
PERFORM add_retention_policy('dlob_slippage_ts_v2', INTERVAL '7 days');
|
||||
EXCEPTION WHEN OTHERS THEN
|
||||
END $$;
|
||||
|
||||
-- Canonical DLOB storage and projection layer.
|
||||
CREATE TABLE IF NOT EXISTS public.dlob_orderbook_l2_latest (
|
||||
source TEXT NOT NULL,
|
||||
market_name TEXT NOT NULL,
|
||||
market_type TEXT NOT NULL,
|
||||
market_index INTEGER,
|
||||
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||
ts BIGINT,
|
||||
slot BIGINT,
|
||||
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_name, is_indicative)
|
||||
);
|
||||
|
||||
CREATE TABLE IF NOT EXISTS public.dlob_orderbook_l3_latest (
|
||||
source TEXT NOT NULL,
|
||||
market_name TEXT NOT NULL,
|
||||
market_type TEXT NOT NULL,
|
||||
market_index INTEGER,
|
||||
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||
ts BIGINT,
|
||||
slot BIGINT,
|
||||
oracle_data JSONB,
|
||||
bids JSONB,
|
||||
asks JSONB,
|
||||
payload JSONB NOT NULL,
|
||||
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||
PRIMARY KEY (source, market_name, is_indicative)
|
||||
);
|
||||
|
||||
CREATE TABLE IF NOT EXISTS public.dlob_best_makers_latest (
|
||||
source TEXT NOT NULL,
|
||||
market_name TEXT NOT NULL,
|
||||
market_type TEXT NOT NULL,
|
||||
market_index INTEGER,
|
||||
slot BIGINT,
|
||||
bids JSONB,
|
||||
asks JSONB,
|
||||
payload JSONB NOT NULL,
|
||||
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||
PRIMARY KEY (source, market_name)
|
||||
);
|
||||
|
||||
CREATE INDEX IF NOT EXISTS dlob_orderbook_l2_latest_updated_at_idx
|
||||
ON public.dlob_orderbook_l2_latest (updated_at DESC);
|
||||
CREATE INDEX IF NOT EXISTS dlob_orderbook_l3_latest_updated_at_idx
|
||||
ON public.dlob_orderbook_l3_latest (updated_at DESC);
|
||||
CREATE INDEX IF NOT EXISTS dlob_best_makers_latest_updated_at_idx
|
||||
ON public.dlob_best_makers_latest (updated_at DESC);
|
||||
|
||||
CREATE OR REPLACE VIEW public.dlob_l2_latest_projection AS
|
||||
SELECT
|
||||
source,
|
||||
market_name,
|
||||
market_type,
|
||||
market_index,
|
||||
ts,
|
||||
slot,
|
||||
CASE
|
||||
WHEN NULLIF(mark_price_raw, '') IS NULL THEN NULL
|
||||
ELSE NULLIF(mark_price_raw, '')::numeric / 1000000::numeric
|
||||
END AS mark_price,
|
||||
CASE
|
||||
WHEN NULLIF(oracle_price_raw, '') IS NULL THEN NULL
|
||||
ELSE NULLIF(oracle_price_raw, '')::numeric / 1000000::numeric
|
||||
END AS oracle_price,
|
||||
CASE
|
||||
WHEN NULLIF(best_bid_price_raw, '') IS NULL THEN NULL
|
||||
ELSE NULLIF(best_bid_price_raw, '')::numeric / 1000000::numeric
|
||||
END AS best_bid_price,
|
||||
CASE
|
||||
WHEN NULLIF(best_ask_price_raw, '') IS NULL THEN NULL
|
||||
ELSE NULLIF(best_ask_price_raw, '')::numeric / 1000000::numeric
|
||||
END AS best_ask_price,
|
||||
bids,
|
||||
asks,
|
||||
payload AS raw,
|
||||
updated_at
|
||||
FROM public.dlob_orderbook_l2_latest
|
||||
WHERE is_indicative = FALSE;
|
||||
|
||||
CREATE OR REPLACE VIEW public.dlob_l3_latest_projection AS
|
||||
SELECT
|
||||
source,
|
||||
market_name,
|
||||
market_type,
|
||||
market_index,
|
||||
ts,
|
||||
slot,
|
||||
bids,
|
||||
asks,
|
||||
payload AS raw,
|
||||
updated_at
|
||||
FROM public.dlob_orderbook_l3_latest
|
||||
WHERE is_indicative = FALSE;
|
||||
|
||||
CREATE OR REPLACE VIEW public.dlob_best_makers_latest_projection AS
|
||||
SELECT
|
||||
source,
|
||||
market_name,
|
||||
market_type,
|
||||
market_index,
|
||||
slot,
|
||||
bids,
|
||||
asks,
|
||||
payload AS raw,
|
||||
updated_at
|
||||
FROM public.dlob_best_makers_latest;
|
||||
|
||||
CREATE OR REPLACE VIEW public.dlob_stats_latest_projection AS
|
||||
WITH base AS (
|
||||
SELECT
|
||||
source,
|
||||
market_name,
|
||||
market_type,
|
||||
market_index,
|
||||
ts,
|
||||
slot,
|
||||
CASE
|
||||
WHEN NULLIF(mark_price_raw, '') IS NULL THEN NULL
|
||||
ELSE NULLIF(mark_price_raw, '')::numeric / 1000000::numeric
|
||||
END AS mark_price,
|
||||
CASE
|
||||
WHEN NULLIF(oracle_price_raw, '') IS NULL THEN NULL
|
||||
ELSE NULLIF(oracle_price_raw, '')::numeric / 1000000::numeric
|
||||
END AS oracle_price,
|
||||
CASE
|
||||
WHEN NULLIF(best_bid_price_raw, '') IS NULL THEN NULL
|
||||
ELSE NULLIF(best_bid_price_raw, '')::numeric / 1000000::numeric
|
||||
END AS best_bid_price,
|
||||
CASE
|
||||
WHEN NULLIF(best_ask_price_raw, '') IS NULL THEN NULL
|
||||
ELSE NULLIF(best_ask_price_raw, '')::numeric / 1000000::numeric
|
||||
END AS best_ask_price,
|
||||
bids,
|
||||
asks,
|
||||
payload,
|
||||
updated_at
|
||||
FROM public.dlob_orderbook_l2_latest
|
||||
WHERE is_indicative = FALSE
|
||||
),
|
||||
bid_levels AS (
|
||||
SELECT
|
||||
b.source,
|
||||
b.market_name,
|
||||
COALESCE(
|
||||
SUM((NULLIF(level->>'size', '')::numeric) / 1000000000::numeric),
|
||||
0::numeric
|
||||
) AS depth_bid_base,
|
||||
COALESCE(
|
||||
SUM(
|
||||
((NULLIF(level->>'size', '')::numeric) / 1000000000::numeric) *
|
||||
((NULLIF(level->>'price', '')::numeric) / 1000000::numeric)
|
||||
),
|
||||
0::numeric
|
||||
) AS depth_bid_usd
|
||||
FROM base b
|
||||
LEFT JOIN LATERAL (
|
||||
SELECT level
|
||||
FROM jsonb_array_elements(COALESCE(b.bids, '[]'::jsonb)) WITH ORDINALITY AS e(level, ord)
|
||||
WHERE ord <= 10
|
||||
) levels ON TRUE
|
||||
GROUP BY b.source, b.market_name
|
||||
),
|
||||
ask_levels AS (
|
||||
SELECT
|
||||
b.source,
|
||||
b.market_name,
|
||||
COALESCE(
|
||||
SUM((NULLIF(level->>'size', '')::numeric) / 1000000000::numeric),
|
||||
0::numeric
|
||||
) AS depth_ask_base,
|
||||
COALESCE(
|
||||
SUM(
|
||||
((NULLIF(level->>'size', '')::numeric) / 1000000000::numeric) *
|
||||
((NULLIF(level->>'price', '')::numeric) / 1000000::numeric)
|
||||
),
|
||||
0::numeric
|
||||
) AS depth_ask_usd
|
||||
FROM base b
|
||||
LEFT JOIN LATERAL (
|
||||
SELECT level
|
||||
FROM jsonb_array_elements(COALESCE(b.asks, '[]'::jsonb)) WITH ORDINALITY AS e(level, ord)
|
||||
WHERE ord <= 10
|
||||
) levels ON TRUE
|
||||
GROUP BY b.source, b.market_name
|
||||
)
|
||||
SELECT
|
||||
b.source,
|
||||
b.market_name,
|
||||
b.market_type,
|
||||
b.market_index,
|
||||
b.ts,
|
||||
b.slot,
|
||||
b.mark_price,
|
||||
b.oracle_price,
|
||||
b.best_bid_price,
|
||||
b.best_ask_price,
|
||||
CASE
|
||||
WHEN b.best_bid_price IS NOT NULL AND b.best_ask_price IS NOT NULL
|
||||
THEN (b.best_bid_price + b.best_ask_price) / 2
|
||||
ELSE NULL
|
||||
END AS mid_price,
|
||||
CASE
|
||||
WHEN b.best_bid_price IS NOT NULL AND b.best_ask_price IS NOT NULL
|
||||
THEN b.best_ask_price - b.best_bid_price
|
||||
ELSE NULL
|
||||
END AS spread_abs,
|
||||
CASE
|
||||
WHEN b.best_bid_price IS NOT NULL
|
||||
AND b.best_ask_price IS NOT NULL
|
||||
AND (b.best_bid_price + b.best_ask_price) > 0
|
||||
THEN ((b.best_ask_price - b.best_bid_price) / ((b.best_bid_price + b.best_ask_price) / 2)) * 10000
|
||||
ELSE NULL
|
||||
END AS spread_bps,
|
||||
10::integer AS depth_levels,
|
||||
bids.depth_bid_base,
|
||||
asks.depth_ask_base,
|
||||
bids.depth_bid_usd,
|
||||
asks.depth_ask_usd,
|
||||
CASE
|
||||
WHEN (bids.depth_bid_usd + asks.depth_ask_usd) > 0
|
||||
THEN (bids.depth_bid_usd - asks.depth_ask_usd) / (bids.depth_bid_usd + asks.depth_ask_usd)
|
||||
ELSE NULL
|
||||
END AS imbalance,
|
||||
jsonb_build_object(
|
||||
'canonical_table', 'dlob_orderbook_l2_latest',
|
||||
'projection', 'dlob_stats_latest_projection'
|
||||
) AS raw,
|
||||
b.updated_at
|
||||
FROM base b
|
||||
LEFT JOIN bid_levels bids USING (source, market_name)
|
||||
LEFT JOIN ask_levels asks USING (source, market_name);
|
||||
|
||||
Reference in New Issue
Block a user