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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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41
kustomize/base/api/server.mjs
View File

@@ -1006,6 +1006,7 @@ async function handler(cfg, req, res) {
const symbol = (url.searchParams.get('symbol') || '').trim();
const source = (url.searchParams.get('source') || '').trim();
const basisRaw = (url.searchParams.get('basis') || '').trim().toLowerCase();
const tf = (url.searchParams.get('tf') || url.searchParams.get('timeframe') || '1m').trim();
const limit = clampInt(url.searchParams.get('limit') || '300', 10, 2000);
@@ -1023,6 +1024,11 @@ async function handler(cfg, req, res) {
}
const sourceKey = source || '';
const basis = basisRaw === 'mark' ? 'mark' : basisRaw === 'oracle' || !basisRaw ? 'oracle' : null;
if (!basis) {
sendJson(res, 400, { ok: false, error: 'invalid_basis' }, cfg.corsOrigin);
return;
}
try {
// Cache-first: read precomputed candles from `drift_candles_cache`.
@@ -1039,6 +1045,9 @@ async function handler(cfg, req, res) {
high
low
close
oracle_open
oracle_high
oracle_low
oracle_close
ticks
}
@@ -1064,6 +1073,9 @@ async function handler(cfg, req, res) {
high
low
close
oracle_open
oracle_high
oracle_low
oracle_close
ticks
}
@@ -1085,11 +1097,23 @@ async function handler(cfg, req, res) {
.reverse()
.map((r) => {
const time = Math.floor(Date.parse(r.bucket) / 1000);
const open = Number(r.open);
const high = Number(r.high);
const low = Number(r.low);
const close = Number(r.close);
const oracle = r.oracle_close == null ? null : Number(r.oracle_close);
const oracleClose = r.oracle_close == null ? null : Number(r.oracle_close);
const oracleOpen = r.oracle_open == null ? oracleClose : Number(r.oracle_open);
const oracleHigh = r.oracle_high == null ? oracleClose : Number(r.oracle_high);
const oracleLow = r.oracle_low == null ? oracleClose : Number(r.oracle_low);
const markOpen = Number(r.open);
const markHigh = Number(r.high);
const markLow = Number(r.low);
const markClose = Number(r.close);
const open = basis === 'oracle' ? oracleOpen : markOpen;
const high = basis === 'oracle' ? oracleHigh : markHigh;
const low = basis === 'oracle' ? oracleLow : markLow;
const close = basis === 'oracle' ? oracleClose : markClose;
// Always expose oracle close (even if basis=mark).
const oracle = oracleClose;
const volume = Number(r.ticks || 0);
return { time, open, high, low, close, volume, oracle };
})
@@ -1131,6 +1155,7 @@ async function handler(cfg, req, res) {
) {
bucket
close
oracle_close
}
}
`;
@@ -1151,7 +1176,10 @@ async function handler(cfg, req, res) {
for (const r of ptsRows) {
const t = tsToUnixSeconds(r.bucket);
if (t == null) continue;
const p = parseNumeric(r.close);
const p =
basis === 'oracle'
? parseNumeric(r.oracle_close) ?? parseNumeric(r.close)
: parseNumeric(r.close) ?? parseNumeric(r.oracle_close);
if (p == null) continue;
const idx = Math.floor((t - firstStart) / bucketSeconds);
const start = firstStart + idx * bucketSeconds;
@@ -1222,6 +1250,7 @@ async function handler(cfg, req, res) {
candlesFunction: cfg.candlesFunction,
symbol,
source: source || null,
basis,
tf,
bucketSeconds,
candles,

38
kustomize/base/candles-cache-worker/worker.mjs
View File

@@ -173,21 +173,55 @@ function sqlUpsertCandlesFromTicks({ symbol, sourceKey, bucketSeconds, fromIso,
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(*)::bigint AS ticks
FROM base
GROUP BY bucket
)
INSERT INTO public.drift_candles_cache
(bucket, bucket_seconds, symbol, source, open, high, low, close, oracle_close, ticks, updated_at)
(
bucket,
bucket_seconds,
symbol,
source,
open,
high,
low,
close,
oracle_open,
oracle_high,
oracle_low,
oracle_close,
ticks,
updated_at
)
SELECT
bucket, ${bucketSeconds}, ${sqlLit(symbol)}, ${sqlLit(sourceKey)}, open, high, low, close, oracle_close, ticks, now()
bucket,
${bucketSeconds},
${sqlLit(symbol)},
${sqlLit(sourceKey)},
open,
high,
low,
close,
oracle_open,
oracle_high,
oracle_low,
oracle_close,
ticks,
now()
FROM agg
ON CONFLICT (bucket, bucket_seconds, symbol, source) DO UPDATE SET
open = EXCLUDED.open,
high = EXCLUDED.high,
low = EXCLUDED.low,
close = EXCLUDED.close,
oracle_open = EXCLUDED.oracle_open,
oracle_high = EXCLUDED.oracle_high,
oracle_low = EXCLUDED.oracle_low,
oracle_close = EXCLUDED.oracle_close,
ticks = EXCLUDED.ticks,
updated_at = now();

29
kustomize/base/initdb/001_init.sql
View File

@@ -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