feat(dlob): add worker script
This commit is contained in:
367
kustomize/base/dlob-worker/worker.mjs
Normal file
367
kustomize/base/dlob-worker/worker.mjs
Normal file
@@ -0,0 +1,367 @@
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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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function clampInt(value, min, max, fallback) {
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const n = Number.parseInt(String(value ?? ''), 10);
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if (!Number.isInteger(n)) return fallback;
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return Math.min(max, Math.max(min, n));
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}
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function envList(name, fallbackCsv) {
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const raw = process.env[name] ?? fallbackCsv;
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return String(raw)
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.split(',')
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.map((s) => s.trim())
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.filter(Boolean);
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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 dlobHttpBase = String(process.env.DLOB_HTTP_URL || process.env.DLOB_HTTP_BASE || 'https://dlob.drift.trade')
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.trim()
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.replace(/\/$/, '');
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const markets = envList('DLOB_MARKETS', 'PUMP-PERP,SOL-PERP,BONK-PERP,BTC-PERP,ETH-PERP');
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const depth = clampInt(process.env.DLOB_DEPTH, 1, 50, 10);
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const pollMs = clampInt(process.env.DLOB_POLL_MS, 100, 10_000, 500);
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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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dlobHttpBase,
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markets,
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depth,
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pollMs,
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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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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) {
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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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if (value == null) return null;
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if (typeof value === 'number') return Number.isFinite(value) ? value : null;
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if (typeof value === 'string') {
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const s = value.trim();
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if (!s) return null;
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const n = Number(s);
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return Number.isFinite(n) ? n : null;
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}
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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 parseScaled(valueRaw, scale) {
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const n = toNumberOrNull(valueRaw);
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if (n == null) return null;
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return n / scale;
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}
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function computeStats({ l2, depth, pricePrecision, basePrecision }) {
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const bids = Array.isArray(l2?.bids) ? l2.bids : [];
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const asks = Array.isArray(l2?.asks) ? l2.asks : [];
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const bestBid = parseScaled(l2?.bestBidPrice ?? bids?.[0]?.price, pricePrecision);
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const bestAsk = parseScaled(l2?.bestAskPrice ?? asks?.[0]?.price, pricePrecision);
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const markPrice = parseScaled(l2?.markPrice, pricePrecision);
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const oraclePrice = parseScaled(l2?.oracleData?.price ?? l2?.oracle, pricePrecision);
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const mid = bestBid != null && bestAsk != null ? (bestBid + bestAsk) / 2 : null;
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const spreadAbs = bestBid != null && bestAsk != null ? bestAsk - bestBid : null;
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const spreadBps = spreadAbs != null && mid != null && mid > 0 ? (spreadAbs / mid) * 10_000 : null;
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const levels = Math.max(1, depth);
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let bidBase = 0;
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let askBase = 0;
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let bidUsd = 0;
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let askUsd = 0;
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for (let i = 0; i < Math.min(levels, bids.length); i += 1) {
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const p = parseScaled(bids[i]?.price, pricePrecision);
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const s = toNumberOrNull(bids[i]?.size);
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if (p == null || s == null) continue;
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const base = s / basePrecision;
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bidBase += base;
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bidUsd += base * p;
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}
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for (let i = 0; i < Math.min(levels, asks.length); i += 1) {
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const p = parseScaled(asks[i]?.price, pricePrecision);
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const s = toNumberOrNull(asks[i]?.size);
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if (p == null || s == null) continue;
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const base = s / basePrecision;
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askBase += base;
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askUsd += base * p;
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}
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const denom = bidUsd + askUsd;
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const imbalance = denom > 0 ? (bidUsd - askUsd) / denom : null;
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return {
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bestBid,
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bestAsk,
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mid,
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spreadAbs,
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spreadBps,
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markPrice,
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oraclePrice,
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depthLevels: levels,
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bidBase,
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askBase,
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bidUsd,
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askUsd,
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imbalance,
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};
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}
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function l2ToInsertObject({ l2, updatedAt, pricePrecision }) {
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return {
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market_name: String(l2.marketName),
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market_type: String(l2.marketType || 'perp'),
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market_index: typeof l2.marketIndex === 'number' ? l2.marketIndex : null,
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ts: l2.ts == null ? null : String(l2.ts),
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slot: l2.slot == null ? null : String(l2.slot),
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mark_price: numStr(parseScaled(l2.markPrice, pricePrecision)),
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oracle_price: numStr(parseScaled(l2.oracleData?.price ?? l2.oracle, pricePrecision)),
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best_bid_price: numStr(parseScaled(l2.bestBidPrice, pricePrecision)),
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best_ask_price: numStr(parseScaled(l2.bestAskPrice, pricePrecision)),
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bids: l2.bids ?? null,
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asks: l2.asks ?? null,
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raw: l2 ?? null,
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updated_at: updatedAt,
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};
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}
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function statsToInsertObject({ l2, stats, updatedAt }) {
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return {
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market_name: String(l2.marketName),
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market_type: String(l2.marketType || 'perp'),
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market_index: typeof l2.marketIndex === 'number' ? l2.marketIndex : null,
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ts: l2.ts == null ? null : String(l2.ts),
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slot: l2.slot == null ? null : String(l2.slot),
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mark_price: stats.markPrice == null ? null : String(stats.markPrice),
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oracle_price: stats.oraclePrice == null ? null : String(stats.oraclePrice),
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best_bid_price: stats.bestBid == null ? null : String(stats.bestBid),
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best_ask_price: stats.bestAsk == null ? null : String(stats.bestAsk),
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mid_price: stats.mid == null ? null : String(stats.mid),
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spread_abs: stats.spreadAbs == null ? null : String(stats.spreadAbs),
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spread_bps: stats.spreadBps == null ? null : String(stats.spreadBps),
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depth_levels: stats.depthLevels,
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depth_bid_base: Number.isFinite(stats.bidBase) ? String(stats.bidBase) : null,
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depth_ask_base: Number.isFinite(stats.askBase) ? String(stats.askBase) : null,
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depth_bid_usd: Number.isFinite(stats.bidUsd) ? String(stats.bidUsd) : null,
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depth_ask_usd: Number.isFinite(stats.askUsd) ? String(stats.askUsd) : null,
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imbalance: stats.imbalance == null ? null : String(stats.imbalance),
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raw: {
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spreadPct: l2.spreadPct ?? null,
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spreadQuote: l2.spreadQuote ?? null,
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},
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updated_at: updatedAt,
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};
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}
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async function fetchL2(cfg, marketName) {
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const u = new URL(`${cfg.dlobHttpBase}/l2`);
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u.searchParams.set('marketName', marketName);
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u.searchParams.set('depth', String(cfg.depth));
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const res = await fetch(u.toString(), { signal: AbortSignal.timeout(5_000) });
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const text = await res.text();
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if (!res.ok) throw new Error(`DLOB HTTP ${res.status}: ${text}`);
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return JSON.parse(text);
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}
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async function upsertBatch(cfg, l2Objects, statsObjects) {
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if (!l2Objects.length && !statsObjects.length) return;
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const mutation = `
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mutation UpsertDlob($l2: [dlob_l2_latest_insert_input!]!, $stats: [dlob_stats_latest_insert_input!]!) {
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insert_dlob_l2_latest(
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objects: $l2
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on_conflict: {
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constraint: dlob_l2_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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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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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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insert_dlob_stats_latest(
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objects: $stats
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on_conflict: {
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constraint: dlob_stats_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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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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mid_price
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spread_abs
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spread_bps
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depth_levels
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depth_bid_base
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depth_ask_base
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depth_bid_usd
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depth_ask_usd
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imbalance
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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, { l2: l2Objects, stats: statsObjects });
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}
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async function main() {
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const cfg = resolveConfig();
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const lastTsByMarket = new Map();
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console.log(
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JSON.stringify(
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{
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service: 'dlob-worker',
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startedAt: getIsoNow(),
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hasuraUrl: cfg.hasuraUrl,
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hasuraAuth: cfg.hasuraAuthToken ? 'bearer' : cfg.hasuraAdminSecret ? 'admin-secret' : 'none',
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dlobHttpBase: cfg.dlobHttpBase,
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markets: cfg.markets,
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depth: cfg.depth,
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pollMs: cfg.pollMs,
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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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while (true) {
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const updatedAt = getIsoNow();
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const results = await Promise.allSettled(cfg.markets.map((m) => fetchL2(cfg, m)));
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const l2Objects = [];
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const statsObjects = [];
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for (let i = 0; i < results.length; i += 1) {
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const market = cfg.markets[i];
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const r = results[i];
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if (r.status !== 'fulfilled') {
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console.error(`[dlob-worker] fetch ${market}: ${String(r.reason?.message || r.reason)}`);
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continue;
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}
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const l2 = r.value;
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if (!l2?.marketName) continue;
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const ts = l2.ts == null ? null : String(l2.ts);
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if (ts != null && lastTsByMarket.get(l2.marketName) === ts) continue;
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if (ts != null) lastTsByMarket.set(l2.marketName, ts);
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const stats = computeStats({
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l2,
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depth: cfg.depth,
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pricePrecision: cfg.pricePrecision,
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basePrecision: cfg.basePrecision,
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});
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l2Objects.push(l2ToInsertObject({ l2, updatedAt, pricePrecision: cfg.pricePrecision }));
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statsObjects.push(statsToInsertObject({ l2, stats, updatedAt }));
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}
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try {
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await upsertBatch(cfg, l2Objects, statsObjects);
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} catch (err) {
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console.error(`[dlob-worker] upsert: ${String(err?.message || err)}`);
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}
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await sleep(cfg.pollMs);
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}
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}
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main().catch((err) => {
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console.error(String(err?.stack || err));
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process.exitCode = 1;
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});
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Block a user