feat(staging): add candles cache + v2 slippage

kustomize/base/api/deployment.yaml

@@ -18,6 +18,9 @@ spec:
         - name: trade-api-wrapper
           configMap:
             name: trade-api-wrapper
+        - name: trade-api-upstream
+          configMap:
+            name: trade-api-upstream
       containers:
         - name: api
           image: gitea.mpabi.pl/trade/trade-api:k3s-20260111095435
@@ -31,6 +34,10 @@ spec:
               mountPath: /override/wrapper.mjs
               subPath: wrapper.mjs
               readOnly: true
+            - name: trade-api-upstream
+              mountPath: /app/services/api/server.mjs
+              subPath: server.mjs
+              readOnly: true
           env:
             - name: PORT
               value: "8787"

kustomize/base/dlob-slippage-worker/deployment.yaml

@@ -31,7 +31,7 @@ spec:
             - name: DLOB_POLL_MS
               value: "1000"
             - name: DLOB_SLIPPAGE_SIZES_USD
-              value: "10,25,50,100,250,500,1000,5000,10000,50000"
+              value: "0.1,0.2,0.5,1,2,5,10,25,50,100,250,500,1000,5000,10000,50000"
             - name: PRICE_PRECISION
               value: "1000000"
             - name: BASE_PRECISION

kustomize/base/dlob-slippage-worker/worker.mjs

@@ -1,6 +1,16 @@
+import fs from 'node:fs';
 import process from 'node:process';
 import { setTimeout as sleep } from 'node:timers/promises';
 
+function readJsonFile(filePath) {
+  try {
+    const raw = fs.readFileSync(filePath, 'utf8');
+    return JSON.parse(raw);
+  } catch {
+    return undefined;
+  }
+}
+
 function getIsoNow() {
   return new Date().toISOString();
 }
@@ -19,14 +29,87 @@ function envList(name, fallbackCsv) {
     .filter(Boolean);
 }
 
-function envIntList(name, fallbackCsv) {
+function parsePositiveNumber(value) {
-  const out = [];
+  const n = Number.parseFloat(String(value ?? '').trim());
-  for (const item of envList(name, fallbackCsv)) {
+  if (!Number.isFinite(n) || !(n > 0)) return null;
-    const n = Number.parseInt(item, 10);
+  return n;
-    if (!Number.isFinite(n)) continue;
-    out.push(n);
 }
-  return out.length ? out : envList(name, fallbackCsv).map((v) => Number.parseInt(v, 10)).filter(Number.isFinite);
+
+function resolveConfig() {
+  const tokensPath =
+    process.env.HASURA_TOKENS_FILE ||
+    process.env.TOKENS_FILE ||
+    process.env.HASURA_CONFIG_FILE ||
+    '/app/tokens/hasura.json';
+  const tokens = readJsonFile(tokensPath) || {};
+
+  const hasuraUrl =
+    process.env.HASURA_GRAPHQL_URL ||
+    tokens.graphqlUrl ||
+    tokens.apiUrl ||
+    'http://hasura:8080/v1/graphql';
+  const hasuraAdminSecret =
+    process.env.HASURA_ADMIN_SECRET ||
+    process.env.HASURA_GRAPHQL_ADMIN_SECRET ||
+    tokens.adminSecret ||
+    tokens.hasuraAdminSecret;
+  const hasuraAuthToken = process.env.HASURA_AUTH_TOKEN || process.env.HASURA_JWT || undefined;
+
+  const markets = envList('DLOB_MARKETS', 'PUMP-PERP,SOL-PERP,1MBONK-PERP,BTC-PERP,ETH-PERP');
+  const pollMs = clampInt(process.env.DLOB_POLL_MS, 250, 60_000, 1000);
+
+  const sizesUsd = envList('DLOB_SLIPPAGE_SIZES_USD', '10,25,50,100,250,500,1000')
+    .map(parsePositiveNumber)
+    .filter((n) => n != null)
+    .map((n) => n)
+    .filter((n, idx, arr) => arr.findIndex((x) => x === n) === idx)
+    .sort((a, b) => a - b);
+
+  const sizesUsdInt = sizesUsd.filter((n) => Number.isInteger(n));
+
+  const depthLevels = clampInt(process.env.DLOB_DEPTH, 1, 50, 25);
+  const pricePrecision = Number(process.env.PRICE_PRECISION || 1_000_000);
+  const basePrecision = Number(process.env.BASE_PRECISION || 1_000_000_000);
+  if (!Number.isFinite(pricePrecision) || pricePrecision <= 0) throw new Error(`Invalid PRICE_PRECISION: ${process.env.PRICE_PRECISION}`);
+  if (!Number.isFinite(basePrecision) || basePrecision <= 0) throw new Error(`Invalid BASE_PRECISION: ${process.env.BASE_PRECISION}`);
+
+  return {
+    hasuraUrl,
+    hasuraAdminSecret,
+    hasuraAuthToken,
+    markets,
+    pollMs,
+    sizesUsd,
+    sizesUsdInt,
+    depthLevels,
+    pricePrecision,
+    basePrecision,
+  };
+}
+
+async function graphqlRequest(cfg, query, variables) {
+  const headers = { 'content-type': 'application/json' };
+  if (cfg.hasuraAuthToken) {
+    headers.authorization = `Bearer ${cfg.hasuraAuthToken}`;
+  } else if (cfg.hasuraAdminSecret) {
+    headers['x-hasura-admin-secret'] = cfg.hasuraAdminSecret;
+  } else {
+    throw new Error('Missing Hasura auth (set HASURA_AUTH_TOKEN or HASURA_ADMIN_SECRET or mount tokens/hasura.json)');
+  }
+
+  const res = await fetch(cfg.hasuraUrl, {
+    method: 'POST',
+    headers,
+    body: JSON.stringify({ query, variables }),
+    signal: AbortSignal.timeout(15_000),
+  });
+  const text = await res.text();
+  if (!res.ok) throw new Error(`Hasura HTTP ${res.status}: ${text}`);
+  const json = JSON.parse(text);
+  if (json.errors?.length) {
+    throw new Error(json.errors.map((e) => e.message).join(' | '));
+  }
+  return json.data;
 }
 
 function toNumberOrNull(value) {
@@ -41,167 +124,107 @@ function toNumberOrNull(value) {
   return null;
 }
 
-function numStr(value) {
+function normalizeLevels(raw) {
-  if (value == null) return null;
+  if (raw == null) return [];
-  if (typeof value === 'number') return Number.isFinite(value) ? String(value) : null;
+  if (Array.isArray(raw)) return raw;
-  if (typeof value === 'string') return value.trim() || null;
+  if (typeof raw === 'string') {
-  return null;
+    const s = raw.trim();
-}
+    if (!s) return [];
-
-function jsonNormalize(value) {
-  if (typeof value !== 'string') return value;
-  const s = value.trim();
-  if (!s) return null;
     try {
-    return JSON.parse(s);
+      const v = JSON.parse(s);
+      return Array.isArray(v) ? v : [];
     } catch {
-    return value;
+      return [];
     }
   }
-
+  return [];
-function resolveConfig() {
-  const hasuraUrl = process.env.HASURA_GRAPHQL_URL || 'http://hasura:8080/v1/graphql';
-  const hasuraAdminSecret = process.env.HASURA_ADMIN_SECRET || process.env.HASURA_GRAPHQL_ADMIN_SECRET || undefined;
-  const hasuraAuthToken = process.env.HASURA_AUTH_TOKEN || process.env.HASURA_JWT || undefined;
-
-  const markets = envList('DLOB_MARKETS', 'PUMP-PERP,SOL-PERP,1MBONK-PERP,BTC-PERP,ETH-PERP');
-  const pollMs = clampInt(process.env.DLOB_POLL_MS, 250, 60_000, 1000);
-  const sizesUsd = envIntList('DLOB_SLIPPAGE_SIZES_USD', '100,500,1000,5000,10000,50000');
-
-  const pricePrecision = Number(process.env.PRICE_PRECISION || 1_000_000);
-  const basePrecision = Number(process.env.BASE_PRECISION || 1_000_000_000);
-  if (!Number.isFinite(pricePrecision) || pricePrecision <= 0)
-    throw new Error(`Invalid PRICE_PRECISION: ${process.env.PRICE_PRECISION}`);
-  if (!Number.isFinite(basePrecision) || basePrecision <= 0)
-    throw new Error(`Invalid BASE_PRECISION: ${process.env.BASE_PRECISION}`);
-
-  return {
-    hasuraUrl,
-    hasuraAdminSecret,
-    hasuraAuthToken,
-    markets,
-    pollMs,
-    sizesUsd,
-    pricePrecision,
-    basePrecision,
-  };
 }
 
-async function graphqlRequest(cfg, query, variables) {
+function parseScaledLevels(raw, pricePrecision, basePrecision) {
-  const headers = { 'content-type': 'application/json' };
+  const levels = normalizeLevels(raw);
-  if (cfg.hasuraAuthToken) {
-    headers.authorization = `Bearer ${cfg.hasuraAuthToken}`;
-  } else if (cfg.hasuraAdminSecret) {
-    headers['x-hasura-admin-secret'] = cfg.hasuraAdminSecret;
-  } else {
-    throw new Error('Missing Hasura auth (set HASURA_AUTH_TOKEN or HASURA_ADMIN_SECRET)');
-  }
-
-  const res = await fetch(cfg.hasuraUrl, {
-    method: 'POST',
-    headers,
-    body: JSON.stringify({ query, variables }),
-    signal: AbortSignal.timeout(10_000),
-  });
-  const text = await res.text();
-  if (!res.ok) throw new Error(`Hasura HTTP ${res.status}: ${text}`);
-  const json = JSON.parse(text);
-  if (json.errors?.length) throw new Error(json.errors.map((e) => e.message).join(' | '));
-  return json.data;
-}
-
-function parseLevels(raw, pricePrecision, basePrecision, side) {
-  const v = jsonNormalize(raw);
-  if (!Array.isArray(v)) return [];
-
   const out = [];
-  for (const item of v) {
+  for (const it of levels) {
-    const priceInt = toNumberOrNull(item?.price);
+    const priceInt = toNumberOrNull(it?.price);
-    const sizeInt = toNumberOrNull(item?.size);
+    const sizeInt = toNumberOrNull(it?.size);
     if (priceInt == null || sizeInt == null) continue;
     const price = priceInt / pricePrecision;
-    const size = sizeInt / basePrecision;
+    const base = sizeInt / basePrecision;
-    if (!Number.isFinite(price) || !Number.isFinite(size)) continue;
+    if (!Number.isFinite(price) || !Number.isFinite(base)) continue;
-    out.push({ price, size });
+    out.push({ price, base });
   }
-
-  if (side === 'bid') out.sort((a, b) => b.price - a.price);
-  if (side === 'ask') out.sort((a, b) => a.price - b.price);
   return out;
 }
 
-function computeMid(bestBid, bestAsk, markPrice, oraclePrice) {
+function simulateFill(levels, sizeUsd) {
-  if (bestBid != null && bestAsk != null) return (bestBid + bestAsk) / 2;
-  if (markPrice != null) return markPrice;
-  if (oraclePrice != null) return oraclePrice;
-  return null;
-}
-
-function simulateBuy(asks, mid, sizeUsd) {
   let remainingUsd = sizeUsd;
   let filledUsd = 0;
   let filledBase = 0;
+  let totalQuoteUsd = 0;
   let worstPrice = null;
   let levelsConsumed = 0;
 
-  for (const lvl of asks) {
+  for (const l of levels) {
-    if (!(remainingUsd > 0)) break;
+    if (remainingUsd <= 0) break;
-    if (!(lvl.price > 0) || !(lvl.size > 0)) continue;
+    const levelUsd = l.base * l.price;
-
+    if (levelUsd <= 0) continue;
-    const maxBase = remainingUsd / lvl.price;
-    const takeBase = Math.min(lvl.size, maxBase);
-    if (!(takeBase > 0)) continue;
-
-    const cost = takeBase * lvl.price;
-    filledUsd += cost;
-    filledBase += takeBase;
-    remainingUsd -= cost;
-    worstPrice = lvl.price;
     levelsConsumed += 1;
-  }
+    worstPrice = l.price;
 
-  const vwap = filledBase > 0 ? filledUsd / filledBase : null;
+    const takeUsd = Math.min(remainingUsd, levelUsd);
-  const impactBps = vwap != null && mid != null && mid > 0 ? (vwap / mid - 1) * 10_000 : null;
+    const takeBase = takeUsd / l.price;
-  const fillPct = sizeUsd > 0 ? filledUsd / sizeUsd : null;
 
-  return { vwap, worstPrice, filledUsd, filledBase, impactBps, levelsConsumed, fillPct };
+    remainingUsd -= takeUsd;
-}
+    filledUsd += takeUsd;
-
-function simulateSell(bids, mid, sizeUsd) {
-  if (mid == null || !(mid > 0)) {
-    return { vwap: null, worstPrice: null, filledUsd: 0, filledBase: 0, impactBps: null, levelsConsumed: 0, fillPct: null };
-  }
-
-  const baseTarget = sizeUsd / mid;
-  let remainingBase = baseTarget;
-  let proceedsUsd = 0;
-  let filledBase = 0;
-  let worstPrice = null;
-  let levelsConsumed = 0;
-
-  for (const lvl of bids) {
-    if (!(remainingBase > 0)) break;
-    if (!(lvl.price > 0) || !(lvl.size > 0)) continue;
-
-    const takeBase = Math.min(lvl.size, remainingBase);
-    if (!(takeBase > 0)) continue;
-
-    const proceeds = takeBase * lvl.price;
-    proceedsUsd += proceeds;
     filledBase += takeBase;
-    remainingBase -= takeBase;
+    totalQuoteUsd += takeUsd;
-    worstPrice = lvl.price;
-    levelsConsumed += 1;
   }
 
-  const vwap = filledBase > 0 ? proceedsUsd / filledBase : null;
+  const vwapPrice = filledBase > 0 ? totalQuoteUsd / filledBase : null;
-  const impactBps = vwap != null && mid > 0 ? (1 - vwap / mid) * 10_000 : null;
+  const fillPct = sizeUsd > 0 ? (filledUsd / sizeUsd) * 100 : null;
-  const fillPct = baseTarget > 0 ? filledBase / baseTarget : null;
 
-  return { vwap, worstPrice, filledUsd: proceedsUsd, filledBase, impactBps, levelsConsumed, fillPct };
+  return {
+    filledUsd,
+    filledBase,
+    vwapPrice,
+    worstPrice,
+    levelsConsumed,
+    fillPct,
+  };
 }
 
-async function fetchL2Latest(cfg) {
+function impactBps({ side, mid, vwap }) {
+  if (mid == null || vwap == null || mid <= 0) return null;
+  if (side === 'buy') return ((vwap / mid) - 1) * 10_000;
+  if (side === 'sell') return (1 - (vwap / mid)) * 10_000;
+  return null;
+}
+
+async function main() {
+  const cfg = resolveConfig();
+
+  console.log(
+    JSON.stringify(
+      {
+        service: 'dlob-slippage-worker',
+        startedAt: getIsoNow(),
+        hasuraUrl: cfg.hasuraUrl,
+        hasuraAuth: cfg.hasuraAuthToken ? 'bearer' : cfg.hasuraAdminSecret ? 'admin-secret' : 'none',
+        markets: cfg.markets,
+        pollMs: cfg.pollMs,
+        sizesUsd: cfg.sizesUsd,
+        depthLevels: cfg.depthLevels,
+      },
+      null,
+      2
+    )
+  );
+
+  const lastSeenUpdatedAt = new Map(); // market -> updated_at
+
+  while (true) {
+    const updatedAt = getIsoNow();
+
+    try {
       const query = `
         query DlobL2Latest($markets: [String!]!) {
           dlob_l2_latest(where: { market_name: { _in: $markets } }) {
@@ -210,8 +233,6 @@ async function fetchL2Latest(cfg) {
             market_index
             ts
             slot
-        mark_price
-        oracle_price
             best_bid_price
             best_ask_price
             bids
@@ -220,14 +241,93 @@ async function fetchL2Latest(cfg) {
           }
         }
       `;
+
       const data = await graphqlRequest(cfg, query, { markets: cfg.markets });
-  return Array.isArray(data?.dlob_l2_latest) ? data.dlob_l2_latest : [];
+      const rows = Array.isArray(data?.dlob_l2_latest) ? data.dlob_l2_latest : [];
+
+      const objectsV1 = [];
+      const objectsV2 = [];
+
+      for (const row of rows) {
+        const market = String(row?.market_name || '').trim();
+        if (!market) continue;
+
+        const rowUpdatedAt = row?.updated_at ?? null;
+        if (rowUpdatedAt && lastSeenUpdatedAt.get(market) === rowUpdatedAt) continue;
+        if (rowUpdatedAt) lastSeenUpdatedAt.set(market, rowUpdatedAt);
+
+        const bestBid = toNumberOrNull(row?.best_bid_price);
+        const bestAsk = toNumberOrNull(row?.best_ask_price);
+        if (bestBid == null || bestAsk == null) continue;
+
+        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) {
+          // 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) });
           }
 
-async function upsertSlippage(cfg, rows) {
+          // sell consumes bids (worse prices as you go down)
-  if (!rows.length) return;
+          {
+            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) });
+          }
+        }
+      }
+
+      if (objectsV1.length) {
         const mutation = `
-    mutation UpsertDlobSlippage($rows: [dlob_slippage_latest_insert_input!]!) {
+          mutation UpsertSlippageV1($rows: [dlob_slippage_latest_insert_input!]!) {
             insert_dlob_slippage_latest(
               objects: $rows
               on_conflict: {
@@ -238,8 +338,6 @@ async function upsertSlippage(cfg, rows) {
                   ts
                   slot
                   mid_price
-            best_bid_price
-            best_ask_price
                   vwap_price
                   worst_price
                   filled_usd
@@ -254,119 +352,40 @@ async function upsertSlippage(cfg, rows) {
             ) { affected_rows }
           }
         `;
-  await graphqlRequest(cfg, mutation, { rows });
+        await graphqlRequest(cfg, mutation, { rows: objectsV1 });
       }
 
-async function main() {
+      if (objectsV2.length) {
-  const cfg = resolveConfig();
+        const mutation = `
-  const lastUpdatedAtByMarket = new Map();
+          mutation UpsertSlippageV2($rows: [dlob_slippage_latest_v2_insert_input!]!) {
-
+            insert_dlob_slippage_latest_v2(
-  console.log(
+              objects: $rows
-    JSON.stringify(
+              on_conflict: {
-      {
+                constraint: dlob_slippage_latest_v2_pkey
-        service: 'dlob-slippage-worker',
+                update_columns: [
-        startedAt: getIsoNow(),
+                  market_type
-        hasuraUrl: cfg.hasuraUrl,
+                  market_index
-        hasuraAuth: cfg.hasuraAuthToken ? 'bearer' : cfg.hasuraAdminSecret ? 'admin-secret' : 'none',
+                  ts
-        markets: cfg.markets,
+                  slot
-        pollMs: cfg.pollMs,
+                  mid_price
-        sizesUsd: cfg.sizesUsd,
+                  vwap_price
-        pricePrecision: cfg.pricePrecision,
+                  worst_price
-        basePrecision: cfg.basePrecision,
+                  filled_usd
-      },
+                  filled_base
-      null,
+                  impact_bps
-      2
+                  levels_consumed
-    )
+                  fill_pct
-  );
+                  raw
-
+                  updated_at
-  while (true) {
+                ]
-    const rows = [];
-
-    try {
-      const l2Rows = await fetchL2Latest(cfg);
-      for (const l2 of l2Rows) {
-        const market = String(l2.market_name || '').trim();
-        if (!market) continue;
-
-        const updatedAt = l2.updated_at || null;
-        if (updatedAt && lastUpdatedAtByMarket.get(market) === updatedAt) continue;
-        if (updatedAt) lastUpdatedAtByMarket.set(market, updatedAt);
-
-        const bestBid = toNumberOrNull(l2.best_bid_price);
-        const bestAsk = toNumberOrNull(l2.best_ask_price);
-        const markPrice = toNumberOrNull(l2.mark_price);
-        const oraclePrice = toNumberOrNull(l2.oracle_price);
-        const mid = computeMid(bestBid, bestAsk, markPrice, oraclePrice);
-
-        const bids = parseLevels(l2.bids, cfg.pricePrecision, cfg.basePrecision, 'bid');
-        const asks = parseLevels(l2.asks, cfg.pricePrecision, cfg.basePrecision, 'ask');
-
-        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,
-          });
-
-          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,
-          });
               }
+            ) { affected_rows }
+          }
+        `;
+        await graphqlRequest(cfg, mutation, { rows: objectsV2 });
       }
     } catch (err) {
-      console.error(`[dlob-slippage-worker] fetch/compute: ${String(err?.message || err)}`);
+      console.error(`[dlob-slippage-worker] ${String(err?.message || err)}`);
-    }
-
-    try {
-      await upsertSlippage(cfg, rows);
-    } catch (err) {
-      console.error(`[dlob-slippage-worker] upsert: ${String(err?.message || err)}`);
     }
 
     await sleep(cfg.pollMs);

kustomize/base/dlob-ts-archiver/worker.mjs

@@ -1,6 +1,16 @@
+import fs from 'node:fs';
 import process from 'node:process';
 import { setTimeout as sleep } from 'node:timers/promises';
 
+function readJsonFile(filePath) {
+  try {
+    const raw = fs.readFileSync(filePath, 'utf8');
+    return JSON.parse(raw);
+  } catch {
+    return undefined;
+  }
+}
+
 function getIsoNow() {
   return new Date().toISOString();
 }
@@ -20,30 +30,53 @@ function envList(name, fallbackCsv) {
 }
 
 function resolveConfig() {
-  const hasuraUrl = String(process.env.HASURA_GRAPHQL_URL || 'http://hasura:8080/v1/graphql').trim();
+  const tokensPath =
-  const hasuraAdminSecret = String(process.env.HASURA_ADMIN_SECRET || '').trim();
+    process.env.HASURA_TOKENS_FILE ||
-  if (!hasuraAdminSecret) throw new Error('Missing HASURA_ADMIN_SECRET');
+    process.env.TOKENS_FILE ||
+    process.env.HASURA_CONFIG_FILE ||
+    '/app/tokens/hasura.json';
+  const tokens = readJsonFile(tokensPath) || {};
+
+  const hasuraUrl =
+    process.env.HASURA_GRAPHQL_URL ||
+    tokens.graphqlUrl ||
+    tokens.apiUrl ||
+    'http://hasura:8080/v1/graphql';
+  const hasuraAdminSecret =
+    process.env.HASURA_ADMIN_SECRET ||
+    process.env.HASURA_GRAPHQL_ADMIN_SECRET ||
+    tokens.adminSecret ||
+    tokens.hasuraAdminSecret;
+  const hasuraAuthToken = process.env.HASURA_AUTH_TOKEN || process.env.HASURA_JWT || undefined;
 
   const markets = envList('DLOB_MARKETS', 'PUMP-PERP,SOL-PERP,1MBONK-PERP,BTC-PERP,ETH-PERP');
-  const pollMs = clampInt(process.env.DLOB_TS_POLL_MS, 250, 60_000, 1000);
+  const pollMs = clampInt(process.env.DLOB_TS_POLL_MS, 500, 60_000, 1000);
 
-  return { hasuraUrl, hasuraAdminSecret, markets, pollMs };
+  return { hasuraUrl, hasuraAdminSecret, hasuraAuthToken, markets, pollMs };
 }
 
 async function graphqlRequest(cfg, query, variables) {
+  const headers = { 'content-type': 'application/json' };
+  if (cfg.hasuraAuthToken) {
+    headers.authorization = `Bearer ${cfg.hasuraAuthToken}`;
+  } else if (cfg.hasuraAdminSecret) {
+    headers['x-hasura-admin-secret'] = cfg.hasuraAdminSecret;
+  } else {
+    throw new Error('Missing Hasura auth (set HASURA_AUTH_TOKEN or HASURA_ADMIN_SECRET or mount tokens/hasura.json)');
+  }
+
   const res = await fetch(cfg.hasuraUrl, {
     method: 'POST',
-    headers: {
+    headers,
-      'content-type': 'application/json',
-      'x-hasura-admin-secret': cfg.hasuraAdminSecret,
-    },
     body: JSON.stringify({ query, variables }),
     signal: AbortSignal.timeout(15_000),
   });
   const text = await res.text();
   if (!res.ok) throw new Error(`Hasura HTTP ${res.status}: ${text}`);
   const json = JSON.parse(text);
-  if (json.errors?.length) throw new Error(json.errors.map((e) => e.message).join(' | '));
+  if (json.errors?.length) {
+    throw new Error(json.errors.map((e) => e.message).join(' | '));
+  }
   return json.data;
 }
 
@@ -63,6 +96,7 @@ async function main() {
         service: 'dlob-ts-archiver',
         startedAt: getIsoNow(),
         hasuraUrl: cfg.hasuraUrl,
+        hasuraAuth: cfg.hasuraAuthToken ? 'bearer' : cfg.hasuraAdminSecret ? 'admin-secret' : 'none',
         markets: cfg.markets,
         pollMs: cfg.pollMs,
       },
@@ -93,6 +127,11 @@ async function main() {
             mid_price vwap_price worst_price filled_usd filled_base impact_bps levels_consumed fill_pct
             raw
           }
+          dlob_slippage_latest_v2(where: { market_name: { _in: $markets } }) {
+            market_name side size_usd market_type market_index ts slot
+            mid_price vwap_price worst_price filled_usd filled_base impact_bps levels_consumed fill_pct
+            raw
+          }
         }
       `;
 
@@ -160,28 +199,41 @@ async function main() {
         raw: r.raw ?? null,
       }));
 
-      if (!statsRows.length && !depthRows.length && !slippageRows.length) {
+      const slippageRowsV2 = (data?.dlob_slippage_latest_v2 || []).map((r) => ({
-        await sleep(cfg.pollMs);
+        ts: now,
-        continue;
+        market_name: r.market_name,
-      }
+        side: r.side,
+        size_usd: r.size_usd,
+        market_type: r.market_type,
+        market_index: r.market_index ?? null,
+        source_ts: mapBigint(r.ts),
+        slot: mapBigint(r.slot),
+        mid_price: r.mid_price ?? null,
+        vwap_price: r.vwap_price ?? null,
+        worst_price: r.worst_price ?? null,
+        filled_usd: r.filled_usd ?? null,
+        filled_base: r.filled_base ?? null,
+        impact_bps: r.impact_bps ?? null,
+        levels_consumed: r.levels_consumed ?? null,
+        fill_pct: r.fill_pct ?? null,
+        raw: r.raw ?? null,
+      }));
 
       const mutation = `
         mutation InsertTs(
           $stats: [dlob_stats_ts_insert_input!]!
           $depth: [dlob_depth_bps_ts_insert_input!]!
           $slip: [dlob_slippage_ts_insert_input!]!
+          $slipV2: [dlob_slippage_ts_v2_insert_input!]!
         ) {
           insert_dlob_stats_ts(objects: $stats) { affected_rows }
           insert_dlob_depth_bps_ts(objects: $depth) { affected_rows }
           insert_dlob_slippage_ts(objects: $slip) { affected_rows }
+          insert_dlob_slippage_ts_v2(objects: $slipV2) { affected_rows }
         }
       `;
 
-      await graphqlRequest(cfg, mutation, {
+      await graphqlRequest(cfg, mutation, { stats: statsRows, depth: depthRows, slip: slippageRows, slipV2: slippageRowsV2 });
-        stats: statsRows,
-        depth: depthRows,
-        slip: slippageRows,
-      });
     } catch (err) {
       console.error(`[dlob-ts-archiver] ${String(err?.message || err)}`);
     }
@@ -194,4 +246,3 @@ main().catch((err) => {
   console.error(String(err?.stack || err));
   process.exitCode = 1;
 });
-

kustomize/base/hasura/hasura-bootstrap.mjs

@@ -97,9 +97,12 @@ async function main() {
   const dlobStatsLatestTable = { schema: 'public', name: 'dlob_stats_latest' };
   const dlobDepthBpsLatestTable = { schema: 'public', name: 'dlob_depth_bps_latest' };
   const dlobSlippageLatestTable = { schema: 'public', name: 'dlob_slippage_latest' };
+  const dlobSlippageLatestV2Table = { schema: 'public', name: 'dlob_slippage_latest_v2' };
+  const candlesCacheTable = { schema: 'public', name: 'drift_candles_cache' };
   const dlobStatsTsTable = { schema: 'public', name: 'dlob_stats_ts' };
   const dlobDepthBpsTsTable = { schema: 'public', name: 'dlob_depth_bps_ts' };
   const dlobSlippageTsTable = { schema: 'public', name: 'dlob_slippage_ts' };
+  const dlobSlippageTsV2Table = { schema: 'public', name: 'dlob_slippage_ts_v2' };
   const baseCandlesFn = { schema: 'public', name: 'get_drift_candles' };
   const candlesReturnTable = { schema: 'public', name: 'drift_candles' };
 
@@ -169,6 +172,21 @@ async function main() {
     await ensureTickTable(t);
   }
 
+  // Cached candles table (precomputed by worker; public read).
+  await ensurePublicSelectTable(candlesCacheTable, [
+    'bucket',
+    'bucket_seconds',
+    'symbol',
+    'source',
+    'open',
+    'high',
+    'low',
+    'close',
+    'oracle_close',
+    'ticks',
+    'updated_at',
+  ]);
+
   const ensureDlobTable = async (table, columns) => {
     await metadataIgnore({ type: 'pg_untrack_table', args: { source, table } });
     await metadata({ type: 'pg_track_table', args: { source, table } });
@@ -321,6 +339,28 @@ async function main() {
     'updated_at',
   ]);
 
+  await ensurePublicSelectTable(dlobSlippageLatestV2Table, [
+    'market_name',
+    'side',
+    'size_usd',
+    'market_type',
+    'market_index',
+    'ts',
+    'slot',
+    'mid_price',
+    'best_bid_price',
+    'best_ask_price',
+    'vwap_price',
+    'worst_price',
+    'filled_usd',
+    'filled_base',
+    'impact_bps',
+    'levels_consumed',
+    'fill_pct',
+    'raw',
+    'updated_at',
+  ]);
+
   await ensurePublicSelectTable(dlobStatsTsTable, [
     'ts',
     'id',
@@ -386,6 +426,27 @@ async function main() {
     'raw',
   ]);
 
+  await ensurePublicSelectTable(dlobSlippageTsV2Table, [
+    'ts',
+    'id',
+    'market_name',
+    'side',
+    'size_usd',
+    'market_type',
+    'market_index',
+    'source_ts',
+    'slot',
+    'mid_price',
+    'vwap_price',
+    'worst_price',
+    'filled_usd',
+    'filled_base',
+    'impact_bps',
+    'levels_consumed',
+    'fill_pct',
+    'raw',
+  ]);
+
   // Return table type for candle functions (needed for Hasura to track the function).
   await metadataIgnore({ type: 'pg_track_table', args: { source, table: candlesReturnTable } });
 

kustomize/base/initdb/001_init.sql

@@ -125,6 +125,29 @@ CREATE TABLE IF NOT EXISTS public.drift_candles (
   ticks bigint
 );
 
+-- 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).
+CREATE TABLE IF NOT EXISTS public.drift_candles_cache (
+  bucket timestamptz NOT NULL,
+  bucket_seconds integer NOT NULL,
+  symbol text NOT NULL,
+  source text NOT NULL DEFAULT '',
+  open numeric NOT NULL,
+  high numeric NOT NULL,
+  low numeric NOT NULL,
+  close numeric NOT NULL,
+  oracle_close numeric,
+  ticks bigint NOT NULL DEFAULT 0,
+  updated_at timestamptz NOT NULL DEFAULT now(),
+  PRIMARY KEY (bucket, bucket_seconds, symbol, source)
+);
+
+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
+  ON public.drift_candles_cache (symbol, source, bucket_seconds, bucket DESC);
+
 -- If an older version of the function exists with an incompatible return type,
 -- CREATE OR REPLACE will fail. Drop the old signature first (safe/idempotent).
 DROP FUNCTION IF EXISTS public.get_drift_candles(text, integer, integer, text);
@@ -272,6 +295,38 @@ CREATE INDEX IF NOT EXISTS dlob_slippage_latest_updated_at_idx
 CREATE INDEX IF NOT EXISTS dlob_slippage_latest_market_name_idx
   ON public.dlob_slippage_latest (market_name);
 
+-- Slippage v2: supports fractional order sizes (e.g. 0.1/0.2/0.5 USD), per market and side.
+-- Keep v1 intact for backward compatibility and to avoid data loss.
+CREATE TABLE IF NOT EXISTS public.dlob_slippage_latest_v2 (
+  market_name TEXT NOT NULL,
+  side TEXT NOT NULL, -- buy|sell
+  size_usd NUMERIC NOT NULL,
+  market_type TEXT NOT NULL DEFAULT 'perp',
+  market_index INTEGER,
+  ts BIGINT,
+  slot BIGINT,
+  mid_price NUMERIC,
+  best_bid_price NUMERIC,
+  best_ask_price NUMERIC,
+  vwap_price NUMERIC,
+  worst_price NUMERIC,
+  filled_usd NUMERIC,
+  filled_base NUMERIC,
+  impact_bps NUMERIC,
+  levels_consumed INTEGER,
+  fill_pct NUMERIC,
+  raw JSONB,
+  updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
+  PRIMARY KEY (market_name, side, size_usd),
+  CONSTRAINT dlob_slippage_latest_v2_side_chk CHECK (side IN ('buy', 'sell'))
+);
+
+CREATE INDEX IF NOT EXISTS dlob_slippage_latest_v2_updated_at_idx
+  ON public.dlob_slippage_latest_v2 (updated_at DESC);
+
+CREATE INDEX IF NOT EXISTS dlob_slippage_latest_v2_market_name_idx
+  ON public.dlob_slippage_latest_v2 (market_name);
+
 -- Time-series tables for UI history (start: 7 days).
 -- Keep these append-only; use Timescale hypertables.
 
@@ -358,6 +413,33 @@ SELECT create_hypertable('dlob_slippage_ts', 'ts', if_not_exists => TRUE, migrat
 CREATE INDEX IF NOT EXISTS dlob_slippage_ts_market_ts_desc_idx
   ON public.dlob_slippage_ts (market_name, ts DESC);
 
+CREATE TABLE IF NOT EXISTS public.dlob_slippage_ts_v2 (
+  ts TIMESTAMPTZ NOT NULL,
+  id BIGSERIAL NOT NULL,
+  market_name TEXT NOT NULL,
+  side TEXT NOT NULL,
+  size_usd NUMERIC NOT NULL,
+  market_type TEXT NOT NULL DEFAULT 'perp',
+  market_index INTEGER,
+  source_ts BIGINT,
+  slot BIGINT,
+  mid_price NUMERIC,
+  vwap_price NUMERIC,
+  worst_price NUMERIC,
+  filled_usd NUMERIC,
+  filled_base NUMERIC,
+  impact_bps NUMERIC,
+  levels_consumed INTEGER,
+  fill_pct NUMERIC,
+  raw JSONB,
+  PRIMARY KEY (ts, id)
+);
+
+SELECT create_hypertable('dlob_slippage_ts_v2', 'ts', if_not_exists => TRUE, migrate_data => TRUE);
+
+CREATE INDEX IF NOT EXISTS dlob_slippage_ts_v2_market_ts_desc_idx
+  ON public.dlob_slippage_ts_v2 (market_name, ts DESC);
+
 -- Retention policies (best-effort; safe if Timescale is present).
 DO $$
 BEGIN
@@ -375,3 +457,8 @@ BEGIN
   PERFORM add_retention_policy('dlob_slippage_ts', INTERVAL '7 days');
 EXCEPTION WHEN OTHERS THEN
 END $$;
+DO $$
+BEGIN
+  PERFORM add_retention_policy('dlob_slippage_ts_v2', INTERVAL '7 days');
+EXCEPTION WHEN OTHERS THEN
+END $$;

kustomize/base/kustomization.yaml

@@ -22,6 +22,7 @@ resources:
   - dlob-depth-worker/deployment.yaml
   - dlob-slippage-worker/deployment.yaml
   - dlob-ts-archiver/deployment.yaml
+  - candles-cache-worker/deployment.yaml
 
 configMapGenerator:
   - name: postgres-initdb
@@ -42,9 +43,15 @@ configMapGenerator:
   - name: dlob-ts-archiver-script
     files:
       - dlob-ts-archiver/worker.mjs
+  - name: candles-cache-worker-script
+    files:
+      - candles-cache-worker/worker.mjs
   - name: trade-api-wrapper
     files:
       - api/wrapper.mjs
+  - name: trade-api-upstream
+    files:
+      - api/server.mjs
 
 generatorOptions:
   disableNameSuffixHash: true