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feat(candles): support oracle OHLC basis

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u1
2026-02-03 12:51:29 +01:00
parent bd88eaa3c8
commit 9e7d7b88ac
3 changed files with 100 additions and 8 deletions
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29
kustomize/base/initdb/001_init.sql
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@@ -121,10 +121,17 @@ CREATE TABLE IF NOT EXISTS public.drift_candles (
high numeric,
low numeric,
close numeric,
oracle_open numeric,
oracle_high numeric,
oracle_low numeric,
oracle_close numeric,
ticks bigint
);
ALTER TABLE public.drift_candles ADD COLUMN IF NOT EXISTS oracle_open numeric;
ALTER TABLE public.drift_candles ADD COLUMN IF NOT EXISTS oracle_high numeric;
ALTER TABLE public.drift_candles ADD COLUMN IF NOT EXISTS oracle_low numeric;
-- Precomputed candle cache (materialized by a worker).
-- Purpose: make tf switching instant by reading ready-made candles instead of aggregating `drift_ticks` on demand.
-- NOTE: `source=''` means "any source" (no source filter).
@@ -137,12 +144,19 @@ CREATE TABLE IF NOT EXISTS public.drift_candles_cache (
high numeric NOT NULL,
low numeric NOT NULL,
close numeric NOT NULL,
oracle_open numeric,
oracle_high numeric,
oracle_low numeric,
oracle_close numeric,
ticks bigint NOT NULL DEFAULT 0,
updated_at timestamptz NOT NULL DEFAULT now(),
PRIMARY KEY (bucket, bucket_seconds, symbol, source)
);
ALTER TABLE public.drift_candles_cache ADD COLUMN IF NOT EXISTS oracle_open numeric;
ALTER TABLE public.drift_candles_cache ADD COLUMN IF NOT EXISTS oracle_high numeric;
ALTER TABLE public.drift_candles_cache ADD COLUMN IF NOT EXISTS oracle_low numeric;
SELECT create_hypertable('drift_candles_cache', 'bucket', if_not_exists => TRUE, migrate_data => TRUE);
CREATE INDEX IF NOT EXISTS drift_candles_cache_symbol_source_bucket_idx
@@ -174,6 +188,9 @@ AS $$
c.high,
c.low,
c.close,
c.oracle_open,
c.oracle_high,
c.oracle_low,
c.oracle_close,
c.ticks
FROM public.drift_candles_cache c, src
@@ -201,6 +218,9 @@ AS $$
max(px) AS high,
min(px) AS low,
(array_agg(px ORDER BY ts DESC))[1] AS close,
(array_agg(oracle_px ORDER BY ts ASC))[1] AS oracle_open,
max(oracle_px) AS oracle_high,
min(oracle_px) AS oracle_low,
(array_agg(oracle_px ORDER BY ts DESC))[1] AS oracle_close,
count(*) AS ticks
FROM raw_fallback
@@ -236,6 +256,9 @@ AS $$
d.high,
d.low,
d.close,
d.oracle_open,
d.oracle_high,
d.oracle_low,
d.oracle_close,
d.ticks
FROM series s
@@ -261,6 +284,9 @@ AS $$
g.high,
g.low,
g.close,
g.oracle_open,
g.oracle_high,
g.oracle_low,
g.oracle_close,
g.ticks,
COALESCE(
@@ -282,6 +308,9 @@ AS $$
COALESCE(high, ff_close) AS high,
COALESCE(low, ff_close) AS low,
COALESCE(close, ff_close) AS close,
COALESCE(oracle_open, ff_oracle) AS oracle_open,
COALESCE(oracle_high, ff_oracle) AS oracle_high,
COALESCE(oracle_low, ff_oracle) AS oracle_low,
COALESCE(oracle_close, ff_oracle) AS oracle_close,
COALESCE(ticks, 0) AS ticks
FROM ff