feat(staging): add candles cache + v2 slippage
This commit is contained in:
codex
@@ -1,6 +1,16 @@
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import fs from 'node:fs';
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import process from 'node:process';
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import { setTimeout as sleep } from 'node:timers/promises';
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function readJsonFile(filePath) {
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try {
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const raw = fs.readFileSync(filePath, 'utf8');
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return JSON.parse(raw);
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} catch {
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return undefined;
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}
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}
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function getIsoNow() {
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return new Date().toISOString();
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}
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@@ -19,14 +29,87 @@ function envList(name, fallbackCsv) {
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.filter(Boolean);
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}
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function envIntList(name, fallbackCsv) {
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const out = [];
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for (const item of envList(name, fallbackCsv)) {
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const n = Number.parseInt(item, 10);
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if (!Number.isFinite(n)) continue;
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out.push(n);
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function parsePositiveNumber(value) {
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const n = Number.parseFloat(String(value ?? '').trim());
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if (!Number.isFinite(n) || !(n > 0)) return null;
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return n;
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}
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function resolveConfig() {
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const tokensPath =
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process.env.HASURA_TOKENS_FILE ||
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process.env.TOKENS_FILE ||
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process.env.HASURA_CONFIG_FILE ||
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'/app/tokens/hasura.json';
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const tokens = readJsonFile(tokensPath) || {};
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const hasuraUrl =
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process.env.HASURA_GRAPHQL_URL ||
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tokens.graphqlUrl ||
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tokens.apiUrl ||
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'http://hasura:8080/v1/graphql';
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const hasuraAdminSecret =
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process.env.HASURA_ADMIN_SECRET ||
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process.env.HASURA_GRAPHQL_ADMIN_SECRET ||
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tokens.adminSecret ||
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tokens.hasuraAdminSecret;
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const hasuraAuthToken = process.env.HASURA_AUTH_TOKEN || process.env.HASURA_JWT || undefined;
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const markets = envList('DLOB_MARKETS', 'PUMP-PERP,SOL-PERP,1MBONK-PERP,BTC-PERP,ETH-PERP');
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const pollMs = clampInt(process.env.DLOB_POLL_MS, 250, 60_000, 1000);
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const sizesUsd = envList('DLOB_SLIPPAGE_SIZES_USD', '10,25,50,100,250,500,1000')
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.map(parsePositiveNumber)
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.filter((n) => n != null)
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.map((n) => n)
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.filter((n, idx, arr) => arr.findIndex((x) => x === n) === idx)
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.sort((a, b) => a - b);
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const sizesUsdInt = sizesUsd.filter((n) => Number.isInteger(n));
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const depthLevels = clampInt(process.env.DLOB_DEPTH, 1, 50, 25);
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const pricePrecision = Number(process.env.PRICE_PRECISION || 1_000_000);
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const basePrecision = Number(process.env.BASE_PRECISION || 1_000_000_000);
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if (!Number.isFinite(pricePrecision) || pricePrecision <= 0) throw new Error(`Invalid PRICE_PRECISION: ${process.env.PRICE_PRECISION}`);
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if (!Number.isFinite(basePrecision) || basePrecision <= 0) throw new Error(`Invalid BASE_PRECISION: ${process.env.BASE_PRECISION}`);
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return {
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hasuraUrl,
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hasuraAdminSecret,
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hasuraAuthToken,
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markets,
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pollMs,
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sizesUsd,
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sizesUsdInt,
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depthLevels,
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pricePrecision,
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basePrecision,
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};
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}
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async function graphqlRequest(cfg, query, variables) {
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const headers = { 'content-type': 'application/json' };
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if (cfg.hasuraAuthToken) {
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headers.authorization = `Bearer ${cfg.hasuraAuthToken}`;
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} else if (cfg.hasuraAdminSecret) {
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headers['x-hasura-admin-secret'] = cfg.hasuraAdminSecret;
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} else {
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throw new Error('Missing Hasura auth (set HASURA_AUTH_TOKEN or HASURA_ADMIN_SECRET or mount tokens/hasura.json)');
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}
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return out.length ? out : envList(name, fallbackCsv).map((v) => Number.parseInt(v, 10)).filter(Number.isFinite);
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const res = await fetch(cfg.hasuraUrl, {
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method: 'POST',
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headers,
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body: JSON.stringify({ query, variables }),
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signal: AbortSignal.timeout(15_000),
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});
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const text = await res.text();
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if (!res.ok) throw new Error(`Hasura HTTP ${res.status}: ${text}`);
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const json = JSON.parse(text);
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if (json.errors?.length) {
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throw new Error(json.errors.map((e) => e.message).join(' | '));
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}
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return json.data;
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}
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function toNumberOrNull(value) {
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@@ -41,225 +124,83 @@ function toNumberOrNull(value) {
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return null;
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}
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function numStr(value) {
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if (value == null) return null;
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if (typeof value === 'number') return Number.isFinite(value) ? String(value) : null;
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if (typeof value === 'string') return value.trim() || null;
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return null;
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}
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function jsonNormalize(value) {
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if (typeof value !== 'string') return value;
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const s = value.trim();
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if (!s) return null;
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try {
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return JSON.parse(s);
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} catch {
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return value;
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function normalizeLevels(raw) {
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if (raw == null) return [];
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if (Array.isArray(raw)) return raw;
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if (typeof raw === 'string') {
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const s = raw.trim();
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if (!s) return [];
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try {
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const v = JSON.parse(s);
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return Array.isArray(v) ? v : [];
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} catch {
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return [];
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}
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}
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return [];
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}
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function resolveConfig() {
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const hasuraUrl = process.env.HASURA_GRAPHQL_URL || 'http://hasura:8080/v1/graphql';
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const hasuraAdminSecret = process.env.HASURA_ADMIN_SECRET || process.env.HASURA_GRAPHQL_ADMIN_SECRET || undefined;
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const hasuraAuthToken = process.env.HASURA_AUTH_TOKEN || process.env.HASURA_JWT || undefined;
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const markets = envList('DLOB_MARKETS', 'PUMP-PERP,SOL-PERP,1MBONK-PERP,BTC-PERP,ETH-PERP');
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const pollMs = clampInt(process.env.DLOB_POLL_MS, 250, 60_000, 1000);
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const sizesUsd = envIntList('DLOB_SLIPPAGE_SIZES_USD', '100,500,1000,5000,10000,50000');
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const pricePrecision = Number(process.env.PRICE_PRECISION || 1_000_000);
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const basePrecision = Number(process.env.BASE_PRECISION || 1_000_000_000);
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if (!Number.isFinite(pricePrecision) || pricePrecision <= 0)
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throw new Error(`Invalid PRICE_PRECISION: ${process.env.PRICE_PRECISION}`);
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if (!Number.isFinite(basePrecision) || basePrecision <= 0)
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throw new Error(`Invalid BASE_PRECISION: ${process.env.BASE_PRECISION}`);
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return {
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hasuraUrl,
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hasuraAdminSecret,
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hasuraAuthToken,
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markets,
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pollMs,
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sizesUsd,
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pricePrecision,
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basePrecision,
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};
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}
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async function graphqlRequest(cfg, query, variables) {
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const headers = { 'content-type': 'application/json' };
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if (cfg.hasuraAuthToken) {
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headers.authorization = `Bearer ${cfg.hasuraAuthToken}`;
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} else if (cfg.hasuraAdminSecret) {
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headers['x-hasura-admin-secret'] = cfg.hasuraAdminSecret;
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} else {
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throw new Error('Missing Hasura auth (set HASURA_AUTH_TOKEN or HASURA_ADMIN_SECRET)');
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}
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const res = await fetch(cfg.hasuraUrl, {
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method: 'POST',
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headers,
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body: JSON.stringify({ query, variables }),
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signal: AbortSignal.timeout(10_000),
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});
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const text = await res.text();
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if (!res.ok) throw new Error(`Hasura HTTP ${res.status}: ${text}`);
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const json = JSON.parse(text);
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if (json.errors?.length) throw new Error(json.errors.map((e) => e.message).join(' | '));
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return json.data;
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}
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function parseLevels(raw, pricePrecision, basePrecision, side) {
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const v = jsonNormalize(raw);
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if (!Array.isArray(v)) return [];
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function parseScaledLevels(raw, pricePrecision, basePrecision) {
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const levels = normalizeLevels(raw);
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const out = [];
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for (const item of v) {
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const priceInt = toNumberOrNull(item?.price);
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const sizeInt = toNumberOrNull(item?.size);
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for (const it of levels) {
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const priceInt = toNumberOrNull(it?.price);
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const sizeInt = toNumberOrNull(it?.size);
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if (priceInt == null || sizeInt == null) continue;
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const price = priceInt / pricePrecision;
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const size = sizeInt / basePrecision;
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if (!Number.isFinite(price) || !Number.isFinite(size)) continue;
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out.push({ price, size });
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const base = sizeInt / basePrecision;
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if (!Number.isFinite(price) || !Number.isFinite(base)) continue;
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out.push({ price, base });
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}
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if (side === 'bid') out.sort((a, b) => b.price - a.price);
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if (side === 'ask') out.sort((a, b) => a.price - b.price);
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return out;
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}
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function computeMid(bestBid, bestAsk, markPrice, oraclePrice) {
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if (bestBid != null && bestAsk != null) return (bestBid + bestAsk) / 2;
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if (markPrice != null) return markPrice;
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if (oraclePrice != null) return oraclePrice;
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return null;
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}
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function simulateBuy(asks, mid, sizeUsd) {
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function simulateFill(levels, sizeUsd) {
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let remainingUsd = sizeUsd;
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let filledUsd = 0;
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let filledBase = 0;
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let totalQuoteUsd = 0;
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let worstPrice = null;
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let levelsConsumed = 0;
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for (const lvl of asks) {
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if (!(remainingUsd > 0)) break;
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if (!(lvl.price > 0) || !(lvl.size > 0)) continue;
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const maxBase = remainingUsd / lvl.price;
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const takeBase = Math.min(lvl.size, maxBase);
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if (!(takeBase > 0)) continue;
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const cost = takeBase * lvl.price;
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filledUsd += cost;
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filledBase += takeBase;
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remainingUsd -= cost;
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worstPrice = lvl.price;
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for (const l of levels) {
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if (remainingUsd <= 0) break;
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const levelUsd = l.base * l.price;
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if (levelUsd <= 0) continue;
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levelsConsumed += 1;
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}
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worstPrice = l.price;
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const vwap = filledBase > 0 ? filledUsd / filledBase : null;
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const impactBps = vwap != null && mid != null && mid > 0 ? (vwap / mid - 1) * 10_000 : null;
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const fillPct = sizeUsd > 0 ? filledUsd / sizeUsd : null;
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const takeUsd = Math.min(remainingUsd, levelUsd);
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const takeBase = takeUsd / l.price;
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return { vwap, worstPrice, filledUsd, filledBase, impactBps, levelsConsumed, fillPct };
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}
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function simulateSell(bids, mid, sizeUsd) {
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if (mid == null || !(mid > 0)) {
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return { vwap: null, worstPrice: null, filledUsd: 0, filledBase: 0, impactBps: null, levelsConsumed: 0, fillPct: null };
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}
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const baseTarget = sizeUsd / mid;
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let remainingBase = baseTarget;
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let proceedsUsd = 0;
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let filledBase = 0;
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let worstPrice = null;
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let levelsConsumed = 0;
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for (const lvl of bids) {
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if (!(remainingBase > 0)) break;
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if (!(lvl.price > 0) || !(lvl.size > 0)) continue;
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const takeBase = Math.min(lvl.size, remainingBase);
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if (!(takeBase > 0)) continue;
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const proceeds = takeBase * lvl.price;
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proceedsUsd += proceeds;
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remainingUsd -= takeUsd;
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filledUsd += takeUsd;
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filledBase += takeBase;
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remainingBase -= takeBase;
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worstPrice = lvl.price;
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levelsConsumed += 1;
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totalQuoteUsd += takeUsd;
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}
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const vwap = filledBase > 0 ? proceedsUsd / filledBase : null;
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const impactBps = vwap != null && mid > 0 ? (1 - vwap / mid) * 10_000 : null;
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const fillPct = baseTarget > 0 ? filledBase / baseTarget : null;
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const vwapPrice = filledBase > 0 ? totalQuoteUsd / filledBase : null;
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const fillPct = sizeUsd > 0 ? (filledUsd / sizeUsd) * 100 : null;
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return { vwap, worstPrice, filledUsd: proceedsUsd, filledBase, impactBps, levelsConsumed, fillPct };
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return {
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filledUsd,
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filledBase,
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vwapPrice,
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worstPrice,
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levelsConsumed,
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fillPct,
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};
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}
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async function fetchL2Latest(cfg) {
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const query = `
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query DlobL2Latest($markets: [String!]!) {
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dlob_l2_latest(where: {market_name: {_in: $markets}}) {
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market_name
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market_type
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market_index
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ts
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slot
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mark_price
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oracle_price
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best_bid_price
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best_ask_price
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bids
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asks
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updated_at
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}
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}
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`;
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const data = await graphqlRequest(cfg, query, { markets: cfg.markets });
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return Array.isArray(data?.dlob_l2_latest) ? data.dlob_l2_latest : [];
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}
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async function upsertSlippage(cfg, rows) {
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if (!rows.length) return;
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const mutation = `
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mutation UpsertDlobSlippage($rows: [dlob_slippage_latest_insert_input!]!) {
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insert_dlob_slippage_latest(
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objects: $rows
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on_conflict: {
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constraint: dlob_slippage_latest_pkey
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update_columns: [
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market_type
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market_index
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ts
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slot
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mid_price
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best_bid_price
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best_ask_price
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vwap_price
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worst_price
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filled_usd
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filled_base
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impact_bps
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levels_consumed
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fill_pct
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raw
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updated_at
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]
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}
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) { affected_rows }
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}
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`;
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await graphqlRequest(cfg, mutation, { rows });
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function impactBps({ side, mid, vwap }) {
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if (mid == null || vwap == null || mid <= 0) return null;
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if (side === 'buy') return ((vwap / mid) - 1) * 10_000;
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if (side === 'sell') return (1 - (vwap / mid)) * 10_000;
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return null;
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}
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async function main() {
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const cfg = resolveConfig();
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const lastUpdatedAtByMarket = new Map();
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console.log(
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JSON.stringify(
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@@ -271,102 +212,180 @@ async function main() {
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markets: cfg.markets,
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pollMs: cfg.pollMs,
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sizesUsd: cfg.sizesUsd,
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pricePrecision: cfg.pricePrecision,
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basePrecision: cfg.basePrecision,
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depthLevels: cfg.depthLevels,
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},
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null,
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2
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)
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);
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const lastSeenUpdatedAt = new Map(); // market -> updated_at
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while (true) {
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const rows = [];
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const updatedAt = getIsoNow();
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try {
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const l2Rows = await fetchL2Latest(cfg);
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for (const l2 of l2Rows) {
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const market = String(l2.market_name || '').trim();
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const query = `
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query DlobL2Latest($markets: [String!]!) {
|
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dlob_l2_latest(where: { market_name: { _in: $markets } }) {
|
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market_name
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market_type
|
||||
market_index
|
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ts
|
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slot
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best_bid_price
|
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best_ask_price
|
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bids
|
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asks
|
||||
updated_at
|
||||
}
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}
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`;
|
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|
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const data = await graphqlRequest(cfg, query, { markets: cfg.markets });
|
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const rows = Array.isArray(data?.dlob_l2_latest) ? data.dlob_l2_latest : [];
|
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|
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const objectsV1 = [];
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const objectsV2 = [];
|
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|
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for (const row of rows) {
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const market = String(row?.market_name || '').trim();
|
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if (!market) continue;
|
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|
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const updatedAt = l2.updated_at || null;
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if (updatedAt && lastUpdatedAtByMarket.get(market) === updatedAt) continue;
|
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if (updatedAt) lastUpdatedAtByMarket.set(market, updatedAt);
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const rowUpdatedAt = row?.updated_at ?? null;
|
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if (rowUpdatedAt && lastSeenUpdatedAt.get(market) === rowUpdatedAt) continue;
|
||||
if (rowUpdatedAt) lastSeenUpdatedAt.set(market, rowUpdatedAt);
|
||||
|
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const bestBid = toNumberOrNull(l2.best_bid_price);
|
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const bestAsk = toNumberOrNull(l2.best_ask_price);
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const markPrice = toNumberOrNull(l2.mark_price);
|
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const oraclePrice = toNumberOrNull(l2.oracle_price);
|
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const mid = computeMid(bestBid, bestAsk, markPrice, oraclePrice);
|
||||
const bestBid = toNumberOrNull(row?.best_bid_price);
|
||||
const bestAsk = toNumberOrNull(row?.best_ask_price);
|
||||
if (bestBid == null || bestAsk == null) continue;
|
||||
|
||||
const bids = parseLevels(l2.bids, cfg.pricePrecision, cfg.basePrecision, 'bid');
|
||||
const asks = parseLevels(l2.asks, cfg.pricePrecision, cfg.basePrecision, 'ask');
|
||||
const mid = (bestBid + bestAsk) / 2;
|
||||
if (!Number.isFinite(mid) || mid <= 0) continue;
|
||||
|
||||
const bids = parseScaledLevels(row?.bids, cfg.pricePrecision, cfg.basePrecision)
|
||||
.slice()
|
||||
.sort((a, b) => b.price - a.price)
|
||||
.slice(0, cfg.depthLevels);
|
||||
const asks = parseScaledLevels(row?.asks, cfg.pricePrecision, cfg.basePrecision)
|
||||
.slice()
|
||||
.sort((a, b) => a.price - b.price)
|
||||
.slice(0, cfg.depthLevels);
|
||||
|
||||
for (const sizeUsd of cfg.sizesUsd) {
|
||||
const buy = simulateBuy(asks, mid, sizeUsd);
|
||||
rows.push({
|
||||
market_name: market,
|
||||
side: 'buy',
|
||||
size_usd: sizeUsd,
|
||||
market_type: l2.market_type ? String(l2.market_type) : 'perp',
|
||||
market_index: typeof l2.market_index === 'number' ? l2.market_index : null,
|
||||
ts: l2.ts == null ? null : String(l2.ts),
|
||||
slot: l2.slot == null ? null : String(l2.slot),
|
||||
mid_price: numStr(mid),
|
||||
best_bid_price: numStr(bestBid),
|
||||
best_ask_price: numStr(bestAsk),
|
||||
vwap_price: numStr(buy.vwap),
|
||||
worst_price: numStr(buy.worstPrice),
|
||||
filled_usd: numStr(buy.filledUsd),
|
||||
filled_base: numStr(buy.filledBase),
|
||||
impact_bps: numStr(buy.impactBps),
|
||||
levels_consumed: buy.levelsConsumed,
|
||||
fill_pct: numStr(buy.fillPct),
|
||||
raw: {
|
||||
ref: 'mid',
|
||||
units: 'usd',
|
||||
pricePrecision: cfg.pricePrecision,
|
||||
basePrecision: cfg.basePrecision,
|
||||
},
|
||||
updated_at: updatedAt,
|
||||
});
|
||||
// buy consumes asks (worse prices as you go up)
|
||||
{
|
||||
const sim = simulateFill(asks, sizeUsd);
|
||||
const baseObj = {
|
||||
market_name: market,
|
||||
side: 'buy',
|
||||
market_type: row?.market_type ?? 'perp',
|
||||
market_index: row?.market_index ?? null,
|
||||
ts: row?.ts == null ? null : String(row.ts),
|
||||
slot: row?.slot == null ? null : String(row.slot),
|
||||
mid_price: String(mid),
|
||||
vwap_price: sim.vwapPrice == null ? null : String(sim.vwapPrice),
|
||||
worst_price: sim.worstPrice == null ? null : String(sim.worstPrice),
|
||||
filled_usd: String(sim.filledUsd),
|
||||
filled_base: String(sim.filledBase),
|
||||
impact_bps: impactBps({ side: 'buy', mid, vwap: sim.vwapPrice }),
|
||||
levels_consumed: sim.levelsConsumed,
|
||||
fill_pct: sim.fillPct == null ? null : String(sim.fillPct),
|
||||
raw: { depthLevels: cfg.depthLevels },
|
||||
updated_at: updatedAt,
|
||||
};
|
||||
objectsV2.push({ ...baseObj, size_usd: String(sizeUsd) });
|
||||
if (Number.isInteger(sizeUsd)) objectsV1.push({ ...baseObj, size_usd: Math.trunc(sizeUsd) });
|
||||
}
|
||||
|
||||
const sell = simulateSell(bids, mid, sizeUsd);
|
||||
rows.push({
|
||||
market_name: market,
|
||||
side: 'sell',
|
||||
size_usd: sizeUsd,
|
||||
market_type: l2.market_type ? String(l2.market_type) : 'perp',
|
||||
market_index: typeof l2.market_index === 'number' ? l2.market_index : null,
|
||||
ts: l2.ts == null ? null : String(l2.ts),
|
||||
slot: l2.slot == null ? null : String(l2.slot),
|
||||
mid_price: numStr(mid),
|
||||
best_bid_price: numStr(bestBid),
|
||||
best_ask_price: numStr(bestAsk),
|
||||
vwap_price: numStr(sell.vwap),
|
||||
worst_price: numStr(sell.worstPrice),
|
||||
filled_usd: numStr(sell.filledUsd),
|
||||
filled_base: numStr(sell.filledBase),
|
||||
impact_bps: numStr(sell.impactBps),
|
||||
levels_consumed: sell.levelsConsumed,
|
||||
fill_pct: numStr(sell.fillPct),
|
||||
raw: {
|
||||
ref: 'mid',
|
||||
units: 'usd',
|
||||
pricePrecision: cfg.pricePrecision,
|
||||
basePrecision: cfg.basePrecision,
|
||||
},
|
||||
updated_at: updatedAt,
|
||||
});
|
||||
// sell consumes bids (worse prices as you go down)
|
||||
{
|
||||
const sim = simulateFill(bids, sizeUsd);
|
||||
const baseObj = {
|
||||
market_name: market,
|
||||
side: 'sell',
|
||||
market_type: row?.market_type ?? 'perp',
|
||||
market_index: row?.market_index ?? null,
|
||||
ts: row?.ts == null ? null : String(row.ts),
|
||||
slot: row?.slot == null ? null : String(row.slot),
|
||||
mid_price: String(mid),
|
||||
vwap_price: sim.vwapPrice == null ? null : String(sim.vwapPrice),
|
||||
worst_price: sim.worstPrice == null ? null : String(sim.worstPrice),
|
||||
filled_usd: String(sim.filledUsd),
|
||||
filled_base: String(sim.filledBase),
|
||||
impact_bps: impactBps({ side: 'sell', mid, vwap: sim.vwapPrice }),
|
||||
levels_consumed: sim.levelsConsumed,
|
||||
fill_pct: sim.fillPct == null ? null : String(sim.fillPct),
|
||||
raw: { depthLevels: cfg.depthLevels },
|
||||
updated_at: updatedAt,
|
||||
};
|
||||
objectsV2.push({ ...baseObj, size_usd: String(sizeUsd) });
|
||||
if (Number.isInteger(sizeUsd)) objectsV1.push({ ...baseObj, size_usd: Math.trunc(sizeUsd) });
|
||||
}
|
||||
}
|
||||
}
|
||||
} catch (err) {
|
||||
console.error(`[dlob-slippage-worker] fetch/compute: ${String(err?.message || err)}`);
|
||||
}
|
||||
|
||||
try {
|
||||
await upsertSlippage(cfg, rows);
|
||||
if (objectsV1.length) {
|
||||
const mutation = `
|
||||
mutation UpsertSlippageV1($rows: [dlob_slippage_latest_insert_input!]!) {
|
||||
insert_dlob_slippage_latest(
|
||||
objects: $rows
|
||||
on_conflict: {
|
||||
constraint: dlob_slippage_latest_pkey
|
||||
update_columns: [
|
||||
market_type
|
||||
market_index
|
||||
ts
|
||||
slot
|
||||
mid_price
|
||||
vwap_price
|
||||
worst_price
|
||||
filled_usd
|
||||
filled_base
|
||||
impact_bps
|
||||
levels_consumed
|
||||
fill_pct
|
||||
raw
|
||||
updated_at
|
||||
]
|
||||
}
|
||||
) { affected_rows }
|
||||
}
|
||||
`;
|
||||
await graphqlRequest(cfg, mutation, { rows: objectsV1 });
|
||||
}
|
||||
|
||||
if (objectsV2.length) {
|
||||
const mutation = `
|
||||
mutation UpsertSlippageV2($rows: [dlob_slippage_latest_v2_insert_input!]!) {
|
||||
insert_dlob_slippage_latest_v2(
|
||||
objects: $rows
|
||||
on_conflict: {
|
||||
constraint: dlob_slippage_latest_v2_pkey
|
||||
update_columns: [
|
||||
market_type
|
||||
market_index
|
||||
ts
|
||||
slot
|
||||
mid_price
|
||||
vwap_price
|
||||
worst_price
|
||||
filled_usd
|
||||
filled_base
|
||||
impact_bps
|
||||
levels_consumed
|
||||
fill_pct
|
||||
raw
|
||||
updated_at
|
||||
]
|
||||
}
|
||||
) { affected_rows }
|
||||
}
|
||||
`;
|
||||
await graphqlRequest(cfg, mutation, { rows: objectsV2 });
|
||||
}
|
||||
} catch (err) {
|
||||
console.error(`[dlob-slippage-worker] upsert: ${String(err?.message || err)}`);
|
||||
console.error(`[dlob-slippage-worker] ${String(err?.message || err)}`);
|
||||
}
|
||||
|
||||
await sleep(cfg.pollMs);
|
||||
|
||||
Reference in New Issue
Block a user