Compare commits
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main
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snapshot/2
| Author | SHA1 | Date | |
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4354de5c83 | ||
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71b00f80bb | ||
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01f6543ae9 | ||
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8a474242df | ||
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db4e45dc55 | ||
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3572382c90 | ||
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bb6f633d19 | ||
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108bf22968 |
@@ -1,77 +0,0 @@
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apiVersion: apps/v1
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kind: Deployment
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metadata:
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name: trade-api
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spec:
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replicas: 1
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selector:
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matchLabels:
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app.kubernetes.io/name: trade-api
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template:
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metadata:
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labels:
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app.kubernetes.io/name: trade-api
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spec:
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imagePullSecrets:
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- name: gitea-registry
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volumes:
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- name: trade-api-wrapper
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configMap:
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name: trade-api-wrapper
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- name: trade-api-upstream
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configMap:
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name: trade-api-upstream
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containers:
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- name: api
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image: gitea.mpabi.pl/trade/trade-api:k3s-20260111095435
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imagePullPolicy: IfNotPresent
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command: ["node", "/override/wrapper.mjs"]
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ports:
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- name: http
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containerPort: 8787
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volumeMounts:
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- name: trade-api-wrapper
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mountPath: /override/wrapper.mjs
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subPath: wrapper.mjs
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readOnly: true
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- name: trade-api-upstream
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mountPath: /app/services/api/server.mjs
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subPath: server.mjs
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readOnly: true
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env:
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- name: PORT
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value: "8787"
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- name: UPSTREAM_PORT
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value: "8788"
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- name: UPSTREAM_ENTRY
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value: "/app/services/api/server.mjs"
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- name: UPSTREAM_HOST
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value: "127.0.0.1"
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- name: APP_VERSION
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value: "staging"
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- name: HASURA_GRAPHQL_URL
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value: "http://hasura:8080/v1/graphql"
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- name: HASURA_ADMIN_SECRET
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valueFrom:
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secretKeyRef:
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name: trade-hasura
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key: HASURA_GRAPHQL_ADMIN_SECRET
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- name: API_ADMIN_SECRET
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valueFrom:
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secretKeyRef:
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name: trade-api
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key: API_ADMIN_SECRET
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- name: CORS_ORIGIN
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value: "*"
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readinessProbe:
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httpGet:
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path: /healthz
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port: http
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initialDelaySeconds: 2
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periodSeconds: 5
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livenessProbe:
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httpGet:
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path: /healthz
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port: http
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initialDelaySeconds: 10
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periodSeconds: 10
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File diff suppressed because it is too large
Load Diff
@@ -1,12 +0,0 @@
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apiVersion: v1
|
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kind: Service
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metadata:
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name: trade-api
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spec:
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type: ClusterIP
|
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selector:
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app.kubernetes.io/name: trade-api
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ports:
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- name: http
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port: 8787
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targetPort: http
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@@ -1,783 +0,0 @@
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import crypto from 'node:crypto';
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import http from 'node:http';
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import { spawn } from 'node:child_process';
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const WRAPPER_PORT = Number.parseInt(String(process.env.PORT || '8787'), 10);
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const UPSTREAM_PORT = Number.parseInt(String(process.env.UPSTREAM_PORT || '8788'), 10);
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const UPSTREAM_HOST = String(process.env.UPSTREAM_HOST || '127.0.0.1');
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const UPSTREAM_ENTRY = String(process.env.UPSTREAM_ENTRY || '/app/services/api/server.mjs');
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const HASURA_URL = String(process.env.HASURA_GRAPHQL_URL || 'http://hasura:8080/v1/graphql');
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const HASURA_ADMIN_SECRET = String(process.env.HASURA_ADMIN_SECRET || '');
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const CORS_ORIGIN = String(process.env.CORS_ORIGIN || '*');
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if (!Number.isInteger(WRAPPER_PORT) || WRAPPER_PORT <= 0) throw new Error('Invalid PORT');
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if (!Number.isInteger(UPSTREAM_PORT) || UPSTREAM_PORT <= 0) throw new Error('Invalid UPSTREAM_PORT');
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function getIsoNow() {
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return new Date().toISOString();
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}
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function sha256Hex(text) {
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return crypto.createHash('sha256').update(text, 'utf8').digest('hex');
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}
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function getHeader(req, name) {
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const v = req.headers[String(name).toLowerCase()];
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return Array.isArray(v) ? v[0] : v;
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}
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function readBearerToken(req) {
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const auth = getHeader(req, 'authorization');
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if (auth && typeof auth === 'string') {
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const m = auth.match(/^Bearer\s+(.+)$/i);
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if (m && m[1]) return m[1].trim();
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}
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const apiKey = getHeader(req, 'x-api-key');
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if (apiKey && typeof apiKey === 'string' && apiKey.trim()) return apiKey.trim();
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return undefined;
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}
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function withCors(res) {
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res.setHeader('access-control-allow-origin', CORS_ORIGIN);
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res.setHeader('access-control-allow-methods', 'GET,POST,OPTIONS');
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res.setHeader(
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'access-control-allow-headers',
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'content-type, authorization, x-api-key, x-admin-secret'
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);
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}
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function sendJson(res, status, body) {
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withCors(res);
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res.statusCode = status;
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res.setHeader('content-type', 'application/json; charset=utf-8');
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res.end(JSON.stringify(body));
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}
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async function readBodyJson(req, { maxBytes }) {
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const chunks = [];
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let total = 0;
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for await (const chunk of req) {
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total += chunk.length;
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if (total > maxBytes) throw new Error('payload_too_large');
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chunks.push(chunk);
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}
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const text = Buffer.concat(chunks).toString('utf8');
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if (!text.trim()) return {};
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try {
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return JSON.parse(text);
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||||||
} catch {
|
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throw new Error('invalid_json');
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||||||
}
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||||||
}
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|
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function parseNumeric(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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||||||
|
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function clampInt(value, min, max) {
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const n = Number.parseInt(String(value), 10);
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|
||||||
if (!Number.isFinite(n) || !Number.isInteger(n)) return min;
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return Math.min(max, Math.max(min, n));
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}
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|
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function clampNumber(value, min, max, fallback) {
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const n = typeof value === 'number' ? value : Number(value);
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|
||||||
if (!Number.isFinite(n)) return fallback;
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|
||||||
return Math.min(max, Math.max(min, n));
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|
||||||
}
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|
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function isUuid(value) {
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|
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const s = String(value || '').trim();
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return /^[0-9a-f]{8}-[0-9a-f]{4}-[1-5][0-9a-f]{3}-[89ab][0-9a-f]{3}-[0-9a-f]{12}$/i.test(s);
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|
||||||
}
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|
||||||
|
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async function hasuraRequest(query, variables) {
|
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if (!HASURA_ADMIN_SECRET) throw new Error('Missing HASURA_ADMIN_SECRET');
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const res = await fetch(HASURA_URL, {
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method: 'POST',
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|
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headers: {
|
|
||||||
'content-type': 'application/json',
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|
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'x-hasura-admin-secret': HASURA_ADMIN_SECRET,
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|
||||||
},
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|
||||||
body: JSON.stringify({ query, variables }),
|
|
||||||
});
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|
||||||
const text = await res.text();
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|
||||||
if (!res.ok) throw new Error(`Hasura HTTP ${res.status}: ${text}`);
|
|
||||||
const json = text ? JSON.parse(text) : {};
|
|
||||||
if (json.errors?.length) throw new Error(json.errors.map((e) => e.message).join(' | '));
|
|
||||||
return json.data;
|
|
||||||
}
|
|
||||||
|
|
||||||
function normalizeScopes(value) {
|
|
||||||
if (!value) return [];
|
|
||||||
if (Array.isArray(value)) return value.map((v) => String(v)).filter(Boolean);
|
|
||||||
if (typeof value === 'string') {
|
|
||||||
return value
|
|
||||||
.split(',')
|
|
||||||
.map((s) => s.trim())
|
|
||||||
.filter(Boolean);
|
|
||||||
}
|
|
||||||
return [];
|
|
||||||
}
|
|
||||||
|
|
||||||
async function requireValidToken(req, requiredScope) {
|
|
||||||
const token = readBearerToken(req);
|
|
||||||
if (!token) return { ok: false, status: 401, error: 'missing_token' };
|
|
||||||
|
|
||||||
const hash = sha256Hex(token);
|
|
||||||
const query = `
|
|
||||||
query ValidToken($hash: String!) {
|
|
||||||
api_tokens(where: {token_hash: {_eq: $hash}, revoked_at: {_is_null: true}}, limit: 1) {
|
|
||||||
id
|
|
||||||
name
|
|
||||||
scopes
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
|
|
||||||
let data;
|
|
||||||
try {
|
|
||||||
data = await hasuraRequest(query, { hash });
|
|
||||||
} catch (err) {
|
|
||||||
return { ok: false, status: 500, error: String(err?.message || err) };
|
|
||||||
}
|
|
||||||
|
|
||||||
const row = data?.api_tokens?.[0];
|
|
||||||
if (!row?.id) return { ok: false, status: 401, error: 'invalid_or_revoked_token' };
|
|
||||||
const scopes = normalizeScopes(row.scopes);
|
|
||||||
if (requiredScope && !scopes.includes(requiredScope)) {
|
|
||||||
return { ok: false, status: 403, error: 'missing_scope' };
|
|
||||||
}
|
|
||||||
|
|
||||||
// best-effort touch
|
|
||||||
const touch = `
|
|
||||||
mutation TouchToken($id: uuid!, $ts: timestamptz!) {
|
|
||||||
update_api_tokens_by_pk(pk_columns: {id: $id}, _set: {last_used_at: $ts}) { id }
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
hasuraRequest(touch, { id: row.id, ts: getIsoNow() }).catch(() => {});
|
|
||||||
|
|
||||||
return { ok: true, token: { id: row.id, name: row.name } };
|
|
||||||
}
|
|
||||||
|
|
||||||
async function readSolPriceUsd() {
|
|
||||||
try {
|
|
||||||
const q = `
|
|
||||||
query SolPrice {
|
|
||||||
dlob_stats_latest(where: {market_name: {_eq: "SOL-PERP"}}, limit: 1) {
|
|
||||||
mid_price
|
|
||||||
mark_price
|
|
||||||
oracle_price
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
const data = await hasuraRequest(q, {});
|
|
||||||
const row = data?.dlob_stats_latest?.[0];
|
|
||||||
const p = parseNumeric(row?.mid_price) ?? parseNumeric(row?.mark_price) ?? parseNumeric(row?.oracle_price);
|
|
||||||
if (p != null && p > 0) return p;
|
|
||||||
} catch {
|
|
||||||
// ignore
|
|
||||||
}
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function getByPath(obj, pathStr) {
|
|
||||||
if (!obj || typeof obj !== 'object') return undefined;
|
|
||||||
const parts = String(pathStr || '').split('.').filter(Boolean);
|
|
||||||
let cur = obj;
|
|
||||||
for (const p of parts) {
|
|
||||||
if (!cur || typeof cur !== 'object') return undefined;
|
|
||||||
cur = cur[p];
|
|
||||||
}
|
|
||||||
return cur;
|
|
||||||
}
|
|
||||||
|
|
||||||
function readNumberFromPayload(payload, paths) {
|
|
||||||
for (const p of paths) {
|
|
||||||
const v = getByPath(payload, p);
|
|
||||||
const n = parseNumeric(v);
|
|
||||||
if (n != null) return n;
|
|
||||||
}
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function readTextFromPayload(payload, paths) {
|
|
||||||
for (const p of paths) {
|
|
||||||
const v = getByPath(payload, p);
|
|
||||||
if (typeof v === 'string' && v.trim()) return v.trim();
|
|
||||||
}
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function inferContractSizeUsd(contract) {
|
|
||||||
return (
|
|
||||||
readNumberFromPayload(contract, [
|
|
||||||
'desired.size_usd',
|
|
||||||
'desired.sizeUsd',
|
|
||||||
'desired.notional_usd',
|
|
||||||
'desired.notionalUsd',
|
|
||||||
'entry.size_usd',
|
|
||||||
'entry.sizeUsd',
|
|
||||||
'entry.notional_usd',
|
|
||||||
'entry.notionalUsd',
|
|
||||||
'entry.order_intent.size_usd',
|
|
||||||
'entry.order_intent.sizeUsd',
|
|
||||||
'desired.order_intent.size_usd',
|
|
||||||
'desired.order_intent.sizeUsd',
|
|
||||||
]) || null
|
|
||||||
);
|
|
||||||
}
|
|
||||||
|
|
||||||
function inferContractSide(contract) {
|
|
||||||
const raw =
|
|
||||||
readTextFromPayload(contract, [
|
|
||||||
'desired.side',
|
|
||||||
'entry.side',
|
|
||||||
'entry.order_intent.side',
|
|
||||||
'desired.order_intent.side',
|
|
||||||
'desired.direction',
|
|
||||||
'entry.direction',
|
|
||||||
]) || '';
|
|
||||||
const v = raw.toLowerCase();
|
|
||||||
if (v === 'long' || v === 'buy') return 'long';
|
|
||||||
if (v === 'short' || v === 'sell') return 'short';
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function sumCostsFromEvents(events) {
|
|
||||||
const totals = {
|
|
||||||
tradeFeeUsd: 0,
|
|
||||||
txFeeUsd: 0,
|
|
||||||
slippageUsd: 0,
|
|
||||||
fundingUsd: 0,
|
|
||||||
realizedPnlUsd: 0,
|
|
||||||
txCount: 0,
|
|
||||||
fillCount: 0,
|
|
||||||
cancelCount: 0,
|
|
||||||
modifyCount: 0,
|
|
||||||
errorCount: 0,
|
|
||||||
};
|
|
||||||
|
|
||||||
for (const ev of events || []) {
|
|
||||||
const t = String(ev?.event_type || '').toLowerCase();
|
|
||||||
const payload = ev?.payload && typeof ev.payload === 'object' ? ev.payload : {};
|
|
||||||
|
|
||||||
const tradeFeeUsd =
|
|
||||||
readNumberFromPayload(payload, [
|
|
||||||
'realized_fee_usd',
|
|
||||||
'trade_fee_usd',
|
|
||||||
'fee_usd',
|
|
||||||
'fees.trade_fee_usd',
|
|
||||||
'fees.usd',
|
|
||||||
]) || 0;
|
|
||||||
const txFeeUsd =
|
|
||||||
readNumberFromPayload(payload, [
|
|
||||||
'realized_tx_usd',
|
|
||||||
'tx_fee_usd',
|
|
||||||
'network_fee_usd',
|
|
||||||
'fees.tx_fee_usd',
|
|
||||||
'fees.network_usd',
|
|
||||||
]) || 0;
|
|
||||||
const slippageUsd =
|
|
||||||
readNumberFromPayload(payload, [
|
|
||||||
'slippage_usd',
|
|
||||||
'realized_slippage_usd',
|
|
||||||
'execution_usd',
|
|
||||||
'realized_execution_usd',
|
|
||||||
]) || 0;
|
|
||||||
const fundingUsd = readNumberFromPayload(payload, ['funding_usd', 'realized_funding_usd']) || 0;
|
|
||||||
const pnlUsd = readNumberFromPayload(payload, ['realized_pnl_usd', 'pnl_usd']) || 0;
|
|
||||||
const txCount = readNumberFromPayload(payload, ['tx_count', 'txCount']) || 0;
|
|
||||||
|
|
||||||
totals.tradeFeeUsd += tradeFeeUsd;
|
|
||||||
totals.txFeeUsd += txFeeUsd;
|
|
||||||
totals.slippageUsd += slippageUsd;
|
|
||||||
totals.fundingUsd += fundingUsd;
|
|
||||||
totals.realizedPnlUsd += pnlUsd;
|
|
||||||
totals.txCount += txCount;
|
|
||||||
|
|
||||||
if (t.includes('fill')) totals.fillCount += 1;
|
|
||||||
if (t.includes('cancel')) totals.cancelCount += 1;
|
|
||||||
if (t.includes('modify') || t.includes('reprice')) totals.modifyCount += 1;
|
|
||||||
if (t.includes('error') || String(ev?.severity || '').toLowerCase() === 'error') totals.errorCount += 1;
|
|
||||||
}
|
|
||||||
|
|
||||||
const totalCostsUsd = totals.tradeFeeUsd + totals.txFeeUsd + totals.slippageUsd + totals.fundingUsd;
|
|
||||||
|
|
||||||
return {
|
|
||||||
...totals,
|
|
||||||
totalCostsUsd,
|
|
||||||
netPnlUsd: totals.realizedPnlUsd - totalCostsUsd,
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
function buildCostSeriesFromEvents(events, { maxPoints }) {
|
|
||||||
const points = [];
|
|
||||||
const totals = {
|
|
||||||
tradeFeeUsd: 0,
|
|
||||||
txFeeUsd: 0,
|
|
||||||
slippageUsd: 0,
|
|
||||||
fundingUsd: 0,
|
|
||||||
realizedPnlUsd: 0,
|
|
||||||
};
|
|
||||||
|
|
||||||
for (const ev of events || []) {
|
|
||||||
const ts = ev?.ts;
|
|
||||||
if (!ts) continue;
|
|
||||||
const payload = ev?.payload && typeof ev.payload === 'object' ? ev.payload : {};
|
|
||||||
|
|
||||||
const tradeFeeUsd =
|
|
||||||
readNumberFromPayload(payload, [
|
|
||||||
'realized_fee_usd',
|
|
||||||
'trade_fee_usd',
|
|
||||||
'fee_usd',
|
|
||||||
'fees.trade_fee_usd',
|
|
||||||
'fees.usd',
|
|
||||||
]) || 0;
|
|
||||||
const txFeeUsd =
|
|
||||||
readNumberFromPayload(payload, [
|
|
||||||
'realized_tx_usd',
|
|
||||||
'tx_fee_usd',
|
|
||||||
'network_fee_usd',
|
|
||||||
'fees.tx_fee_usd',
|
|
||||||
'fees.network_usd',
|
|
||||||
]) || 0;
|
|
||||||
const slippageUsd =
|
|
||||||
readNumberFromPayload(payload, [
|
|
||||||
'slippage_usd',
|
|
||||||
'realized_slippage_usd',
|
|
||||||
'execution_usd',
|
|
||||||
'realized_execution_usd',
|
|
||||||
]) || 0;
|
|
||||||
const fundingUsd = readNumberFromPayload(payload, ['funding_usd', 'realized_funding_usd']) || 0;
|
|
||||||
const pnlUsd = readNumberFromPayload(payload, ['realized_pnl_usd', 'pnl_usd']) || 0;
|
|
||||||
|
|
||||||
totals.tradeFeeUsd += tradeFeeUsd;
|
|
||||||
totals.txFeeUsd += txFeeUsd;
|
|
||||||
totals.slippageUsd += slippageUsd;
|
|
||||||
totals.fundingUsd += fundingUsd;
|
|
||||||
totals.realizedPnlUsd += pnlUsd;
|
|
||||||
|
|
||||||
const totalCostsUsd = totals.tradeFeeUsd + totals.txFeeUsd + totals.slippageUsd + totals.fundingUsd;
|
|
||||||
points.push({
|
|
||||||
ts,
|
|
||||||
tradeFeeUsd: totals.tradeFeeUsd,
|
|
||||||
txFeeUsd: totals.txFeeUsd,
|
|
||||||
slippageUsd: totals.slippageUsd,
|
|
||||||
fundingUsd: totals.fundingUsd,
|
|
||||||
totalCostsUsd,
|
|
||||||
realizedPnlUsd: totals.realizedPnlUsd,
|
|
||||||
netPnlUsd: totals.realizedPnlUsd - totalCostsUsd,
|
|
||||||
});
|
|
||||||
}
|
|
||||||
|
|
||||||
const cap = Math.max(50, Math.min(10_000, Number(maxPoints) || 600));
|
|
||||||
if (points.length <= cap) return points;
|
|
||||||
|
|
||||||
const step = Math.ceil(points.length / cap);
|
|
||||||
const sampled = [];
|
|
||||||
for (let i = 0; i < points.length; i += step) sampled.push(points[i]);
|
|
||||||
const last = points[points.length - 1];
|
|
||||||
if (sampled[sampled.length - 1] !== last) sampled.push(last);
|
|
||||||
return sampled;
|
|
||||||
}
|
|
||||||
|
|
||||||
function proxyToUpstream(req, res) {
|
|
||||||
const url = new URL(req.url || '/', `http://${req.headers.host || 'localhost'}`);
|
|
||||||
|
|
||||||
const headers = { ...req.headers };
|
|
||||||
delete headers.host;
|
|
||||||
delete headers.connection;
|
|
||||||
|
|
||||||
const opts = {
|
|
||||||
host: UPSTREAM_HOST,
|
|
||||||
port: UPSTREAM_PORT,
|
|
||||||
method: req.method,
|
|
||||||
path: url.pathname + url.search,
|
|
||||||
headers,
|
|
||||||
};
|
|
||||||
|
|
||||||
const upstreamReq = http.request(opts, (upstreamRes) => {
|
|
||||||
withCors(res);
|
|
||||||
res.statusCode = upstreamRes.statusCode || 502;
|
|
||||||
|
|
||||||
for (const [k, v] of Object.entries(upstreamRes.headers || {})) {
|
|
||||||
if (!k) continue;
|
|
||||||
if (k.toLowerCase() === 'content-length') continue;
|
|
||||||
if (k.toLowerCase().startsWith('access-control-')) continue;
|
|
||||||
if (v != null) res.setHeader(k, v);
|
|
||||||
}
|
|
||||||
|
|
||||||
upstreamRes.pipe(res);
|
|
||||||
});
|
|
||||||
|
|
||||||
upstreamReq.on('error', (err) => {
|
|
||||||
sendJson(res, 502, { ok: false, error: String(err?.message || err) });
|
|
||||||
});
|
|
||||||
|
|
||||||
req.pipe(upstreamReq);
|
|
||||||
}
|
|
||||||
|
|
||||||
async function handleMonitor(req, res, url) {
|
|
||||||
const auth = await requireValidToken(req, 'read');
|
|
||||||
if (!auth.ok) {
|
|
||||||
sendJson(res, auth.status, { ok: false, error: auth.error });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const pathname = url.pathname;
|
|
||||||
const parts = pathname.split('/').filter(Boolean);
|
|
||||||
const contractId = parts[2];
|
|
||||||
if (!isUuid(contractId)) {
|
|
||||||
sendJson(res, 400, { ok: false, error: 'invalid_contract_id' });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const limit = clampInt(url.searchParams.get('eventsLimit') || '2000', 10, 50_000);
|
|
||||||
const wantSeries = (url.searchParams.get('series') || '').trim() === '1';
|
|
||||||
const seriesMax = clampInt(url.searchParams.get('seriesMax') || '600', 50, 10_000);
|
|
||||||
|
|
||||||
const qContract = `
|
|
||||||
query ContractByPk($id: uuid!) {
|
|
||||||
bot_contracts_by_pk(id: $id) {
|
|
||||||
id
|
|
||||||
decision_id
|
|
||||||
bot_id
|
|
||||||
model_version
|
|
||||||
market_name
|
|
||||||
subaccount_id
|
|
||||||
status
|
|
||||||
desired
|
|
||||||
entry
|
|
||||||
manage
|
|
||||||
exit
|
|
||||||
gates
|
|
||||||
created_at
|
|
||||||
updated_at
|
|
||||||
last_heartbeat_at
|
|
||||||
ended_at
|
|
||||||
reason
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
const qEvents = `
|
|
||||||
query ContractEvents($id: uuid!, $limit: Int!) {
|
|
||||||
bot_events(where: {contract_id: {_eq: $id}}, order_by: {ts: asc}, limit: $limit) {
|
|
||||||
ts
|
|
||||||
contract_id
|
|
||||||
decision_id
|
|
||||||
bot_id
|
|
||||||
market_name
|
|
||||||
event_type
|
|
||||||
severity
|
|
||||||
payload
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
|
|
||||||
try {
|
|
||||||
const data = await hasuraRequest(qContract, { id: contractId });
|
|
||||||
const contract = data?.bot_contracts_by_pk;
|
|
||||||
if (!contract?.id) {
|
|
||||||
sendJson(res, 404, { ok: false, error: 'contract_not_found' });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const evData = await hasuraRequest(qEvents, { id: contractId, limit });
|
|
||||||
const events = evData?.bot_events || [];
|
|
||||||
const costs = sumCostsFromEvents(events);
|
|
||||||
const series = wantSeries ? buildCostSeriesFromEvents(events, { maxPoints: seriesMax }) : null;
|
|
||||||
|
|
||||||
const sizeUsd = inferContractSizeUsd(contract);
|
|
||||||
const side = inferContractSide(contract);
|
|
||||||
|
|
||||||
let closeEst = null;
|
|
||||||
if (contract.market_name && sizeUsd != null) {
|
|
||||||
const qSlip = `
|
|
||||||
query Slippage($market: String!) {
|
|
||||||
dlob_slippage_latest(where: {market_name: {_eq: $market}}) {
|
|
||||||
market_name
|
|
||||||
side
|
|
||||||
size_usd
|
|
||||||
mid_price
|
|
||||||
vwap_price
|
|
||||||
worst_price
|
|
||||||
impact_bps
|
|
||||||
fill_pct
|
|
||||||
updated_at
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
const slipData = await hasuraRequest(qSlip, { market: contract.market_name });
|
|
||||||
const rows = slipData?.dlob_slippage_latest || [];
|
|
||||||
|
|
||||||
const pickNearest = (wantedSide) => {
|
|
||||||
const candidates = rows.filter((r) => String(r.side || '').toLowerCase() === wantedSide);
|
|
||||||
if (!candidates.length) return null;
|
|
||||||
let best = null;
|
|
||||||
let bestD = Infinity;
|
|
||||||
for (const r of candidates) {
|
|
||||||
const s = parseNumeric(r.size_usd);
|
|
||||||
if (s == null) continue;
|
|
||||||
const d = Math.abs(s - sizeUsd);
|
|
||||||
if (d < bestD) {
|
|
||||||
bestD = d;
|
|
||||||
best = r;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
return best;
|
|
||||||
};
|
|
||||||
|
|
||||||
closeEst = {
|
|
||||||
requestedSizeUsd: sizeUsd,
|
|
||||||
entrySide: side,
|
|
||||||
suggestedCloseSide: side === 'long' ? 'sell' : side === 'short' ? 'buy' : null,
|
|
||||||
buy: pickNearest('buy'),
|
|
||||||
sell: pickNearest('sell'),
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
sendJson(res, 200, {
|
|
||||||
ok: true,
|
|
||||||
contract,
|
|
||||||
eventsCount: events.length,
|
|
||||||
costs,
|
|
||||||
series,
|
|
||||||
closeEstimate: closeEst,
|
|
||||||
});
|
|
||||||
} catch (err) {
|
|
||||||
sendJson(res, 500, { ok: false, error: String(err?.message || err) });
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
async function handleEstimate(req, res) {
|
|
||||||
const auth = await requireValidToken(req, 'read');
|
|
||||||
if (!auth.ok) {
|
|
||||||
sendJson(res, auth.status, { ok: false, error: auth.error });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
let body;
|
|
||||||
try {
|
|
||||||
body = await readBodyJson(req, { maxBytes: 256 * 1024 });
|
|
||||||
} catch (err) {
|
|
||||||
const msg = String(err?.message || err);
|
|
||||||
if (msg === 'payload_too_large') {
|
|
||||||
sendJson(res, 413, { ok: false, error: 'payload_too_large' });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
sendJson(res, 400, { ok: false, error: 'invalid_json' });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const market = String(body?.market_name || body?.market || '').trim();
|
|
||||||
if (!market) {
|
|
||||||
sendJson(res, 400, { ok: false, error: 'missing_market' });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const notionalUsd = parseNumeric(body?.notional_usd ?? body?.notionalUsd ?? body?.size_usd ?? body?.sizeUsd);
|
|
||||||
if (!(notionalUsd != null && notionalUsd > 0)) {
|
|
||||||
sendJson(res, 400, { ok: false, error: 'invalid_notional_usd' });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const entrySideRaw = String(body?.side || 'long').trim().toLowerCase();
|
|
||||||
const entrySide = entrySideRaw === 'short' ? 'short' : 'long';
|
|
||||||
|
|
||||||
const orderType = String(body?.order_type || body?.orderType || 'market').trim().toLowerCase();
|
|
||||||
const isMarket = orderType === 'market' || orderType === 'taker';
|
|
||||||
|
|
||||||
const takerBps = clampNumber(parseNumeric(body?.fee_taker_bps) ?? 5, 0, 1000, 5);
|
|
||||||
const makerBps = clampNumber(parseNumeric(body?.fee_maker_bps) ?? 0, -1000, 1000, 0);
|
|
||||||
const feeBps = isMarket ? takerBps : makerBps;
|
|
||||||
|
|
||||||
let txFeeUsdEst = parseNumeric(body?.tx_fee_usd_est);
|
|
||||||
if (txFeeUsdEst == null) {
|
|
||||||
const baseLamports = 5000;
|
|
||||||
const sigs = 1;
|
|
||||||
const priorityLamports = 0;
|
|
||||||
const lamports = baseLamports * sigs + priorityLamports;
|
|
||||||
const sol = lamports / 1_000_000_000;
|
|
||||||
const solUsd = await readSolPriceUsd();
|
|
||||||
txFeeUsdEst = solUsd != null ? sol * solUsd : 0;
|
|
||||||
}
|
|
||||||
txFeeUsdEst = clampNumber(txFeeUsdEst, 0, 100, 0);
|
|
||||||
|
|
||||||
const expectedReprices = clampInt(body?.expected_reprices_per_entry ?? body?.expectedReprices ?? '0', 0, 500);
|
|
||||||
const modifyTxCount = clampInt(body?.modify_tx_count ?? body?.modifyTxCount ?? '2', 0, 10);
|
|
||||||
|
|
||||||
try {
|
|
||||||
const qSlip = `
|
|
||||||
query Slippage($market: String!) {
|
|
||||||
dlob_slippage_latest(where: {market_name: {_eq: $market}}) {
|
|
||||||
market_name
|
|
||||||
side
|
|
||||||
size_usd
|
|
||||||
mid_price
|
|
||||||
vwap_price
|
|
||||||
worst_price
|
|
||||||
impact_bps
|
|
||||||
fill_pct
|
|
||||||
updated_at
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
const slipData = await hasuraRequest(qSlip, { market });
|
|
||||||
const rows = slipData?.dlob_slippage_latest || [];
|
|
||||||
const wantedSide = entrySide === 'long' ? 'buy' : 'sell';
|
|
||||||
const candidates = rows.filter((r) => String(r.side || '').toLowerCase() === wantedSide);
|
|
||||||
|
|
||||||
let best = null;
|
|
||||||
let bestD = Infinity;
|
|
||||||
for (const r of candidates) {
|
|
||||||
const s = parseNumeric(r.size_usd);
|
|
||||||
if (s == null) continue;
|
|
||||||
const d = Math.abs(s - notionalUsd);
|
|
||||||
if (d < bestD) {
|
|
||||||
bestD = d;
|
|
||||||
best = r;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
const impactBps = parseNumeric(best?.impact_bps) ?? 0;
|
|
||||||
const slippageUsd = (notionalUsd * impactBps) / 10_000;
|
|
||||||
const tradeFeeUsd = (notionalUsd * feeBps) / 10_000;
|
|
||||||
const modifyCostUsd = expectedReprices * modifyTxCount * txFeeUsdEst;
|
|
||||||
const totalUsd = tradeFeeUsd + slippageUsd + txFeeUsdEst + modifyCostUsd;
|
|
||||||
const totalBps = (totalUsd / notionalUsd) * 10_000;
|
|
||||||
|
|
||||||
sendJson(res, 200, {
|
|
||||||
ok: true,
|
|
||||||
input: {
|
|
||||||
market_name: market,
|
|
||||||
notional_usd: notionalUsd,
|
|
||||||
side: entrySide,
|
|
||||||
order_type: orderType,
|
|
||||||
fee_bps: feeBps,
|
|
||||||
tx_fee_usd_est: txFeeUsdEst,
|
|
||||||
expected_reprices_per_entry: expectedReprices,
|
|
||||||
},
|
|
||||||
dlob: best
|
|
||||||
? {
|
|
||||||
size_usd: best.size_usd,
|
|
||||||
side: best.side,
|
|
||||||
mid_price: best.mid_price,
|
|
||||||
vwap_price: best.vwap_price,
|
|
||||||
impact_bps: best.impact_bps,
|
|
||||||
fill_pct: best.fill_pct,
|
|
||||||
updated_at: best.updated_at,
|
|
||||||
}
|
|
||||||
: null,
|
|
||||||
breakdown: {
|
|
||||||
trade_fee_usd: tradeFeeUsd,
|
|
||||||
slippage_usd: slippageUsd,
|
|
||||||
tx_fee_usd: txFeeUsdEst,
|
|
||||||
expected_modify_usd: modifyCostUsd,
|
|
||||||
total_usd: totalUsd,
|
|
||||||
total_bps: totalBps,
|
|
||||||
breakeven_bps: totalBps,
|
|
||||||
},
|
|
||||||
});
|
|
||||||
} catch (err) {
|
|
||||||
sendJson(res, 500, { ok: false, error: String(err?.message || err) });
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
let upstreamChild = null;
|
|
||||||
|
|
||||||
function startUpstream() {
|
|
||||||
const env = { ...process.env, PORT: String(UPSTREAM_PORT) };
|
|
||||||
upstreamChild = spawn('node', [UPSTREAM_ENTRY], { env, stdio: 'inherit' });
|
|
||||||
upstreamChild.on('exit', (code, signal) => {
|
|
||||||
console.error(`upstream exited: code=${code} signal=${signal}`);
|
|
||||||
});
|
|
||||||
}
|
|
||||||
|
|
||||||
function shutdown() {
|
|
||||||
if (upstreamChild && !upstreamChild.killed) upstreamChild.kill('SIGTERM');
|
|
||||||
}
|
|
||||||
|
|
||||||
process.on('SIGTERM', shutdown);
|
|
||||||
process.on('SIGINT', shutdown);
|
|
||||||
|
|
||||||
startUpstream();
|
|
||||||
|
|
||||||
const server = http.createServer(async (req, res) => {
|
|
||||||
if (req.method === 'OPTIONS') {
|
|
||||||
withCors(res);
|
|
||||||
res.statusCode = 204;
|
|
||||||
res.end();
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const url = new URL(req.url || '/', `http://${req.headers.host || 'localhost'}`);
|
|
||||||
const pathname = url.pathname;
|
|
||||||
|
|
||||||
if (req.method === 'GET' && pathname === '/healthz') {
|
|
||||||
// Check upstream quickly; if it's down, we fail readiness.
|
|
||||||
const opts = { host: UPSTREAM_HOST, port: UPSTREAM_PORT, path: '/healthz', method: 'GET', timeout: 800 };
|
|
||||||
const upstreamOk = await new Promise((resolve) => {
|
|
||||||
const r = http.request(opts, (rr) => {
|
|
||||||
rr.resume();
|
|
||||||
resolve(rr.statusCode === 200);
|
|
||||||
});
|
|
||||||
r.on('timeout', () => {
|
|
||||||
r.destroy();
|
|
||||||
resolve(false);
|
|
||||||
});
|
|
||||||
r.on('error', () => resolve(false));
|
|
||||||
r.end();
|
|
||||||
});
|
|
||||||
|
|
||||||
if (!upstreamOk) {
|
|
||||||
sendJson(res, 503, { ok: false, error: 'upstream_not_ready' });
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
sendJson(res, 200, {
|
|
||||||
ok: true,
|
|
||||||
service: 'trade-api-wrapper',
|
|
||||||
startedAt: getIsoNow(),
|
|
||||||
upstream: { host: UPSTREAM_HOST, port: UPSTREAM_PORT },
|
|
||||||
});
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
if (req.method === 'POST' && pathname === '/v1/contracts/costs/estimate') {
|
|
||||||
await handleEstimate(req, res);
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
if (req.method === 'GET' && pathname.startsWith('/v1/contracts/') && pathname.endsWith('/monitor')) {
|
|
||||||
await handleMonitor(req, res, url);
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
proxyToUpstream(req, res);
|
|
||||||
});
|
|
||||||
|
|
||||||
server.listen(WRAPPER_PORT, () => {
|
|
||||||
console.log(
|
|
||||||
JSON.stringify(
|
|
||||||
{
|
|
||||||
service: 'trade-api-wrapper',
|
|
||||||
port: WRAPPER_PORT,
|
|
||||||
upstream: { entry: UPSTREAM_ENTRY, host: UPSTREAM_HOST, port: UPSTREAM_PORT },
|
|
||||||
hasuraUrl: HASURA_URL,
|
|
||||||
hasuraAdminSecret: HASURA_ADMIN_SECRET ? '***' : undefined,
|
|
||||||
},
|
|
||||||
null,
|
|
||||||
2
|
|
||||||
)
|
|
||||||
);
|
|
||||||
});
|
|
||||||
@@ -1,50 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-depth-worker-drift
|
|
||||||
annotations:
|
|
||||||
argocd.argoproj.io/sync-wave: "6"
|
|
||||||
spec:
|
|
||||||
replicas: 1
|
|
||||||
selector:
|
|
||||||
matchLabels:
|
|
||||||
app.kubernetes.io/name: dlob-depth-worker-drift
|
|
||||||
template:
|
|
||||||
metadata:
|
|
||||||
labels:
|
|
||||||
app.kubernetes.io/name: dlob-depth-worker-drift
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: worker
|
|
||||||
image: node:20-slim
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
env:
|
|
||||||
- name: HASURA_GRAPHQL_URL
|
|
||||||
value: http://hasura:8080/v1/graphql
|
|
||||||
- name: HASURA_ADMIN_SECRET
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-hasura
|
|
||||||
key: HASURA_GRAPHQL_ADMIN_SECRET
|
|
||||||
- name: DLOB_SOURCE
|
|
||||||
value: drift
|
|
||||||
- name: DLOB_MARKETS
|
|
||||||
value: SOL-PERP,DOGE-PERP,JUP-PERP
|
|
||||||
- name: DLOB_POLL_MS
|
|
||||||
value: "1000"
|
|
||||||
- name: DLOB_DEPTH_BPS_BANDS
|
|
||||||
value: "5,10,20,50,100,200"
|
|
||||||
- name: PRICE_PRECISION
|
|
||||||
value: "1000000"
|
|
||||||
- name: BASE_PRECISION
|
|
||||||
value: "1000000000"
|
|
||||||
command: ["node", "/app/worker.mjs"]
|
|
||||||
volumeMounts:
|
|
||||||
- name: script
|
|
||||||
mountPath: /app/worker.mjs
|
|
||||||
subPath: worker.mjs
|
|
||||||
readOnly: true
|
|
||||||
volumes:
|
|
||||||
- name: script
|
|
||||||
configMap:
|
|
||||||
name: dlob-depth-worker-script
|
|
||||||
@@ -1,50 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-depth-worker
|
|
||||||
annotations:
|
|
||||||
argocd.argoproj.io/sync-wave: "6"
|
|
||||||
spec:
|
|
||||||
replicas: 1
|
|
||||||
selector:
|
|
||||||
matchLabels:
|
|
||||||
app.kubernetes.io/name: dlob-depth-worker
|
|
||||||
template:
|
|
||||||
metadata:
|
|
||||||
labels:
|
|
||||||
app.kubernetes.io/name: dlob-depth-worker
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: worker
|
|
||||||
image: node:20-slim
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
env:
|
|
||||||
- name: HASURA_GRAPHQL_URL
|
|
||||||
value: http://hasura:8080/v1/graphql
|
|
||||||
- name: HASURA_ADMIN_SECRET
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-hasura
|
|
||||||
key: HASURA_GRAPHQL_ADMIN_SECRET
|
|
||||||
- name: DLOB_SOURCE
|
|
||||||
value: mevnode
|
|
||||||
- name: DLOB_MARKETS
|
|
||||||
value: SOL-PERP,DOGE-PERP,JUP-PERP
|
|
||||||
- name: DLOB_POLL_MS
|
|
||||||
value: "1000"
|
|
||||||
- name: DLOB_DEPTH_BPS_BANDS
|
|
||||||
value: "5,10,20,50,100,200"
|
|
||||||
- name: PRICE_PRECISION
|
|
||||||
value: "1000000"
|
|
||||||
- name: BASE_PRECISION
|
|
||||||
value: "1000000000"
|
|
||||||
command: ["node", "/app/worker.mjs"]
|
|
||||||
volumeMounts:
|
|
||||||
- name: script
|
|
||||||
mountPath: /app/worker.mjs
|
|
||||||
subPath: worker.mjs
|
|
||||||
readOnly: true
|
|
||||||
volumes:
|
|
||||||
- name: script
|
|
||||||
configMap:
|
|
||||||
name: dlob-depth-worker-script
|
|
||||||
@@ -1,316 +0,0 @@
|
|||||||
import process from 'node:process';
|
|
||||||
import { setTimeout as sleep } from 'node:timers/promises';
|
|
||||||
|
|
||||||
function getIsoNow() {
|
|
||||||
return new Date().toISOString();
|
|
||||||
}
|
|
||||||
|
|
||||||
function clampInt(value, min, max, fallback) {
|
|
||||||
const n = Number.parseInt(String(value ?? ''), 10);
|
|
||||||
if (!Number.isInteger(n)) return fallback;
|
|
||||||
return Math.min(max, Math.max(min, n));
|
|
||||||
}
|
|
||||||
|
|
||||||
function envList(name, fallbackCsv) {
|
|
||||||
const raw = process.env[name] ?? fallbackCsv;
|
|
||||||
return String(raw)
|
|
||||||
.split(',')
|
|
||||||
.map((s) => s.trim())
|
|
||||||
.filter(Boolean);
|
|
||||||
}
|
|
||||||
|
|
||||||
function envIntList(name, fallbackCsv) {
|
|
||||||
const out = [];
|
|
||||||
for (const item of envList(name, fallbackCsv)) {
|
|
||||||
const n = Number.parseInt(item, 10);
|
|
||||||
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 toNumberOrNull(value) {
|
|
||||||
if (value == null) return null;
|
|
||||||
if (typeof value === 'number') return Number.isFinite(value) ? value : null;
|
|
||||||
if (typeof value === 'string') {
|
|
||||||
const s = value.trim();
|
|
||||||
if (!s) return null;
|
|
||||||
const n = Number(s);
|
|
||||||
return Number.isFinite(n) ? n : null;
|
|
||||||
}
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function numStr(value) {
|
|
||||||
if (value == null) return null;
|
|
||||||
if (typeof value === 'number') return Number.isFinite(value) ? String(value) : null;
|
|
||||||
if (typeof value === 'string') return value.trim() || null;
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function jsonNormalize(value) {
|
|
||||||
if (typeof value !== 'string') return value;
|
|
||||||
const s = value.trim();
|
|
||||||
if (!s) return null;
|
|
||||||
try {
|
|
||||||
return JSON.parse(s);
|
|
||||||
} catch {
|
|
||||||
return value;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
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 dlobSource = String(process.env.DLOB_SOURCE || 'mevnode').trim() || 'mevnode';
|
|
||||||
const markets = envList('DLOB_MARKETS', 'SOL-PERP,DOGE-PERP,JUP-PERP');
|
|
||||||
const pollMs = clampInt(process.env.DLOB_POLL_MS, 250, 60_000, 1000);
|
|
||||||
const bandsBps = envIntList('DLOB_DEPTH_BPS_BANDS', '5,10,20,50,100,200');
|
|
||||||
|
|
||||||
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,
|
|
||||||
dlobSource,
|
|
||||||
markets,
|
|
||||||
pollMs,
|
|
||||||
bandsBps,
|
|
||||||
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)');
|
|
||||||
}
|
|
||||||
|
|
||||||
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) {
|
|
||||||
const priceInt = toNumberOrNull(item?.price);
|
|
||||||
const sizeInt = toNumberOrNull(item?.size);
|
|
||||||
if (priceInt == null || sizeInt == null) continue;
|
|
||||||
const price = priceInt / pricePrecision;
|
|
||||||
const size = sizeInt / basePrecision;
|
|
||||||
if (!Number.isFinite(price) || !Number.isFinite(size)) continue;
|
|
||||||
out.push({ price, size });
|
|
||||||
}
|
|
||||||
|
|
||||||
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) {
|
|
||||||
if (bestBid != null && bestAsk != null) return (bestBid + bestAsk) / 2;
|
|
||||||
if (markPrice != null) return markPrice;
|
|
||||||
if (oraclePrice != null) return oraclePrice;
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function computeBandDepth({ bids, asks, mid, bandBps }) {
|
|
||||||
if (mid == null || !(mid > 0)) {
|
|
||||||
return { bidBase: 0, askBase: 0, bidUsd: 0, askUsd: 0, imbalance: null };
|
|
||||||
}
|
|
||||||
|
|
||||||
const minBidPrice = mid * (1 - bandBps / 10_000);
|
|
||||||
const maxAskPrice = mid * (1 + bandBps / 10_000);
|
|
||||||
|
|
||||||
let bidBase = 0;
|
|
||||||
let askBase = 0;
|
|
||||||
let bidUsd = 0;
|
|
||||||
let askUsd = 0;
|
|
||||||
|
|
||||||
for (const lvl of bids) {
|
|
||||||
if (lvl.price < minBidPrice) break;
|
|
||||||
bidBase += lvl.size;
|
|
||||||
bidUsd += lvl.size * lvl.price;
|
|
||||||
}
|
|
||||||
|
|
||||||
for (const lvl of asks) {
|
|
||||||
if (lvl.price > maxAskPrice) break;
|
|
||||||
askBase += lvl.size;
|
|
||||||
askUsd += lvl.size * lvl.price;
|
|
||||||
}
|
|
||||||
|
|
||||||
const denom = bidUsd + askUsd;
|
|
||||||
const imbalance = denom > 0 ? (bidUsd - askUsd) / denom : null;
|
|
||||||
return { bidBase, askBase, bidUsd, askUsd, imbalance };
|
|
||||||
}
|
|
||||||
|
|
||||||
async function fetchL2Latest(cfg) {
|
|
||||||
const query = `
|
|
||||||
query DlobL2Latest($source: String!, $markets: [String!]!) {
|
|
||||||
dlob_l2_latest(where: {source: {_eq: $source}, market_name: {_in: $markets}}) {
|
|
||||||
source
|
|
||||||
market_name
|
|
||||||
market_type
|
|
||||||
market_index
|
|
||||||
ts
|
|
||||||
slot
|
|
||||||
mark_price
|
|
||||||
oracle_price
|
|
||||||
best_bid_price
|
|
||||||
best_ask_price
|
|
||||||
bids
|
|
||||||
asks
|
|
||||||
updated_at
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
const data = await graphqlRequest(cfg, query, { source: cfg.dlobSource, markets: cfg.markets });
|
|
||||||
return Array.isArray(data?.dlob_l2_latest) ? data.dlob_l2_latest : [];
|
|
||||||
}
|
|
||||||
|
|
||||||
async function upsertDepth(cfg, rows) {
|
|
||||||
if (!rows.length) return;
|
|
||||||
const mutation = `
|
|
||||||
mutation UpsertDlobDepth($rows: [dlob_depth_bps_latest_insert_input!]!) {
|
|
||||||
insert_dlob_depth_bps_latest(
|
|
||||||
objects: $rows
|
|
||||||
on_conflict: {
|
|
||||||
constraint: dlob_depth_bps_latest_pkey
|
|
||||||
update_columns: [
|
|
||||||
market_type
|
|
||||||
market_index
|
|
||||||
ts
|
|
||||||
slot
|
|
||||||
mid_price
|
|
||||||
best_bid_price
|
|
||||||
best_ask_price
|
|
||||||
bid_base
|
|
||||||
ask_base
|
|
||||||
bid_usd
|
|
||||||
ask_usd
|
|
||||||
imbalance
|
|
||||||
raw
|
|
||||||
updated_at
|
|
||||||
]
|
|
||||||
}
|
|
||||||
) { affected_rows }
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
await graphqlRequest(cfg, mutation, { rows });
|
|
||||||
}
|
|
||||||
|
|
||||||
async function main() {
|
|
||||||
const cfg = resolveConfig();
|
|
||||||
const lastUpdatedAtByMarket = new Map();
|
|
||||||
|
|
||||||
console.log(
|
|
||||||
JSON.stringify(
|
|
||||||
{
|
|
||||||
service: 'dlob-depth-worker',
|
|
||||||
startedAt: getIsoNow(),
|
|
||||||
hasuraUrl: cfg.hasuraUrl,
|
|
||||||
hasuraAuth: cfg.hasuraAuthToken ? 'bearer' : cfg.hasuraAdminSecret ? 'admin-secret' : 'none',
|
|
||||||
dlobSource: cfg.dlobSource,
|
|
||||||
markets: cfg.markets,
|
|
||||||
pollMs: cfg.pollMs,
|
|
||||||
bandsBps: cfg.bandsBps,
|
|
||||||
pricePrecision: cfg.pricePrecision,
|
|
||||||
basePrecision: cfg.basePrecision,
|
|
||||||
},
|
|
||||||
null,
|
|
||||||
2
|
|
||||||
)
|
|
||||||
);
|
|
||||||
|
|
||||||
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 bandBps of cfg.bandsBps) {
|
|
||||||
const d = computeBandDepth({ bids, asks, mid, bandBps });
|
|
||||||
rows.push({
|
|
||||||
source: cfg.dlobSource,
|
|
||||||
market_name: market,
|
|
||||||
band_bps: bandBps,
|
|
||||||
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),
|
|
||||||
bid_base: numStr(d.bidBase),
|
|
||||||
ask_base: numStr(d.askBase),
|
|
||||||
bid_usd: numStr(d.bidUsd),
|
|
||||||
ask_usd: numStr(d.askUsd),
|
|
||||||
imbalance: numStr(d.imbalance),
|
|
||||||
raw: {
|
|
||||||
ref: 'mid',
|
|
||||||
pricePrecision: cfg.pricePrecision,
|
|
||||||
basePrecision: cfg.basePrecision,
|
|
||||||
},
|
|
||||||
updated_at: updatedAt,
|
|
||||||
});
|
|
||||||
}
|
|
||||||
}
|
|
||||||
} catch (err) {
|
|
||||||
console.error(`[dlob-depth-worker] fetch/compute: ${String(err?.message || err)}`);
|
|
||||||
}
|
|
||||||
|
|
||||||
try {
|
|
||||||
await upsertDepth(cfg, rows);
|
|
||||||
} catch (err) {
|
|
||||||
console.error(`[dlob-depth-worker] upsert: ${String(err?.message || err)}`);
|
|
||||||
}
|
|
||||||
|
|
||||||
await sleep(cfg.pollMs);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
main().catch((err) => {
|
|
||||||
console.error(String(err?.stack || err));
|
|
||||||
process.exitCode = 1;
|
|
||||||
});
|
|
||||||
@@ -1,50 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-slippage-worker-drift
|
|
||||||
annotations:
|
|
||||||
argocd.argoproj.io/sync-wave: "6"
|
|
||||||
spec:
|
|
||||||
replicas: 1
|
|
||||||
selector:
|
|
||||||
matchLabels:
|
|
||||||
app.kubernetes.io/name: dlob-slippage-worker-drift
|
|
||||||
template:
|
|
||||||
metadata:
|
|
||||||
labels:
|
|
||||||
app.kubernetes.io/name: dlob-slippage-worker-drift
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: worker
|
|
||||||
image: node:20-slim
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
env:
|
|
||||||
- name: HASURA_GRAPHQL_URL
|
|
||||||
value: http://hasura:8080/v1/graphql
|
|
||||||
- name: HASURA_ADMIN_SECRET
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-hasura
|
|
||||||
key: HASURA_GRAPHQL_ADMIN_SECRET
|
|
||||||
- name: DLOB_SOURCE
|
|
||||||
value: drift
|
|
||||||
- name: DLOB_MARKETS
|
|
||||||
value: SOL-PERP,DOGE-PERP,JUP-PERP
|
|
||||||
- name: DLOB_POLL_MS
|
|
||||||
value: "1000"
|
|
||||||
- name: DLOB_SLIPPAGE_SIZES_USD
|
|
||||||
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
|
|
||||||
value: "1000000000"
|
|
||||||
command: ["node", "/app/worker.mjs"]
|
|
||||||
volumeMounts:
|
|
||||||
- name: script
|
|
||||||
mountPath: /app/worker.mjs
|
|
||||||
subPath: worker.mjs
|
|
||||||
readOnly: true
|
|
||||||
volumes:
|
|
||||||
- name: script
|
|
||||||
configMap:
|
|
||||||
name: dlob-slippage-worker-script
|
|
||||||
@@ -1,50 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-slippage-worker
|
|
||||||
annotations:
|
|
||||||
argocd.argoproj.io/sync-wave: "6"
|
|
||||||
spec:
|
|
||||||
replicas: 1
|
|
||||||
selector:
|
|
||||||
matchLabels:
|
|
||||||
app.kubernetes.io/name: dlob-slippage-worker
|
|
||||||
template:
|
|
||||||
metadata:
|
|
||||||
labels:
|
|
||||||
app.kubernetes.io/name: dlob-slippage-worker
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: worker
|
|
||||||
image: node:20-slim
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
env:
|
|
||||||
- name: HASURA_GRAPHQL_URL
|
|
||||||
value: http://hasura:8080/v1/graphql
|
|
||||||
- name: HASURA_ADMIN_SECRET
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-hasura
|
|
||||||
key: HASURA_GRAPHQL_ADMIN_SECRET
|
|
||||||
- name: DLOB_SOURCE
|
|
||||||
value: mevnode
|
|
||||||
- name: DLOB_MARKETS
|
|
||||||
value: SOL-PERP,DOGE-PERP,JUP-PERP
|
|
||||||
- name: DLOB_POLL_MS
|
|
||||||
value: "1000"
|
|
||||||
- name: DLOB_SLIPPAGE_SIZES_USD
|
|
||||||
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
|
|
||||||
value: "1000000000"
|
|
||||||
command: ["node", "/app/worker.mjs"]
|
|
||||||
volumeMounts:
|
|
||||||
- name: script
|
|
||||||
mountPath: /app/worker.mjs
|
|
||||||
subPath: worker.mjs
|
|
||||||
readOnly: true
|
|
||||||
volumes:
|
|
||||||
- name: script
|
|
||||||
configMap:
|
|
||||||
name: dlob-slippage-worker-script
|
|
||||||
@@ -1,404 +0,0 @@
|
|||||||
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();
|
|
||||||
}
|
|
||||||
|
|
||||||
function clampInt(value, min, max, fallback) {
|
|
||||||
const n = Number.parseInt(String(value ?? ''), 10);
|
|
||||||
if (!Number.isInteger(n)) return fallback;
|
|
||||||
return Math.min(max, Math.max(min, n));
|
|
||||||
}
|
|
||||||
|
|
||||||
function envList(name, fallbackCsv) {
|
|
||||||
const raw = process.env[name] ?? fallbackCsv;
|
|
||||||
return String(raw)
|
|
||||||
.split(',')
|
|
||||||
.map((s) => s.trim())
|
|
||||||
.filter(Boolean);
|
|
||||||
}
|
|
||||||
|
|
||||||
function parsePositiveNumber(value) {
|
|
||||||
const n = Number.parseFloat(String(value ?? '').trim());
|
|
||||||
if (!Number.isFinite(n) || !(n > 0)) return null;
|
|
||||||
return n;
|
|
||||||
}
|
|
||||||
|
|
||||||
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 dlobSource = String(process.env.DLOB_SOURCE || 'mevnode').trim() || 'mevnode';
|
|
||||||
const markets = envList('DLOB_MARKETS', 'SOL-PERP,DOGE-PERP,JUP-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,
|
|
||||||
dlobSource,
|
|
||||||
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) {
|
|
||||||
if (value == null) return null;
|
|
||||||
if (typeof value === 'number') return Number.isFinite(value) ? value : null;
|
|
||||||
if (typeof value === 'string') {
|
|
||||||
const s = value.trim();
|
|
||||||
if (!s) return null;
|
|
||||||
const n = Number(s);
|
|
||||||
return Number.isFinite(n) ? n : null;
|
|
||||||
}
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function normalizeLevels(raw) {
|
|
||||||
if (raw == null) return [];
|
|
||||||
if (Array.isArray(raw)) return raw;
|
|
||||||
if (typeof raw === 'string') {
|
|
||||||
const s = raw.trim();
|
|
||||||
if (!s) return [];
|
|
||||||
try {
|
|
||||||
const v = JSON.parse(s);
|
|
||||||
return Array.isArray(v) ? v : [];
|
|
||||||
} catch {
|
|
||||||
return [];
|
|
||||||
}
|
|
||||||
}
|
|
||||||
return [];
|
|
||||||
}
|
|
||||||
|
|
||||||
function parseScaledLevels(raw, pricePrecision, basePrecision) {
|
|
||||||
const levels = normalizeLevels(raw);
|
|
||||||
const out = [];
|
|
||||||
for (const it of levels) {
|
|
||||||
const priceInt = toNumberOrNull(it?.price);
|
|
||||||
const sizeInt = toNumberOrNull(it?.size);
|
|
||||||
if (priceInt == null || sizeInt == null) continue;
|
|
||||||
const price = priceInt / pricePrecision;
|
|
||||||
const base = sizeInt / basePrecision;
|
|
||||||
if (!Number.isFinite(price) || !Number.isFinite(base)) continue;
|
|
||||||
out.push({ price, base });
|
|
||||||
}
|
|
||||||
return out;
|
|
||||||
}
|
|
||||||
|
|
||||||
function simulateFill(levels, sizeUsd) {
|
|
||||||
let remainingUsd = sizeUsd;
|
|
||||||
let filledUsd = 0;
|
|
||||||
let filledBase = 0;
|
|
||||||
let totalQuoteUsd = 0;
|
|
||||||
let worstPrice = null;
|
|
||||||
let levelsConsumed = 0;
|
|
||||||
|
|
||||||
for (const l of levels) {
|
|
||||||
if (remainingUsd <= 0) break;
|
|
||||||
const levelUsd = l.base * l.price;
|
|
||||||
if (levelUsd <= 0) continue;
|
|
||||||
levelsConsumed += 1;
|
|
||||||
worstPrice = l.price;
|
|
||||||
|
|
||||||
const takeUsd = Math.min(remainingUsd, levelUsd);
|
|
||||||
const takeBase = takeUsd / l.price;
|
|
||||||
|
|
||||||
remainingUsd -= takeUsd;
|
|
||||||
filledUsd += takeUsd;
|
|
||||||
filledBase += takeBase;
|
|
||||||
totalQuoteUsd += takeUsd;
|
|
||||||
}
|
|
||||||
|
|
||||||
const vwapPrice = filledBase > 0 ? totalQuoteUsd / filledBase : null;
|
|
||||||
const fillPct = sizeUsd > 0 ? (filledUsd / sizeUsd) * 100 : null;
|
|
||||||
|
|
||||||
return {
|
|
||||||
filledUsd,
|
|
||||||
filledBase,
|
|
||||||
vwapPrice,
|
|
||||||
worstPrice,
|
|
||||||
levelsConsumed,
|
|
||||||
fillPct,
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
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',
|
|
||||||
dlobSource: cfg.dlobSource,
|
|
||||||
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($source: String!, $markets: [String!]!) {
|
|
||||||
dlob_l2_latest(where: { source: { _eq: $source }, market_name: { _in: $markets } }) {
|
|
||||||
source
|
|
||||||
market_name
|
|
||||||
market_type
|
|
||||||
market_index
|
|
||||||
ts
|
|
||||||
slot
|
|
||||||
best_bid_price
|
|
||||||
best_ask_price
|
|
||||||
bids
|
|
||||||
asks
|
|
||||||
updated_at
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
|
|
||||||
const data = await graphqlRequest(cfg, query, { source: cfg.dlobSource, markets: cfg.markets });
|
|
||||||
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 = {
|
|
||||||
source: cfg.dlobSource,
|
|
||||||
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) });
|
|
||||||
}
|
|
||||||
|
|
||||||
// sell consumes bids (worse prices as you go down)
|
|
||||||
{
|
|
||||||
const sim = simulateFill(bids, sizeUsd);
|
|
||||||
const baseObj = {
|
|
||||||
source: cfg.dlobSource,
|
|
||||||
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 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] ${String(err?.message || err)}`);
|
|
||||||
}
|
|
||||||
|
|
||||||
await sleep(cfg.pollMs);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
main().catch((err) => {
|
|
||||||
console.error(String(err?.stack || err));
|
|
||||||
process.exitCode = 1;
|
|
||||||
});
|
|
||||||
@@ -1,52 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-worker-drift
|
|
||||||
annotations:
|
|
||||||
argocd.argoproj.io/sync-wave: "5"
|
|
||||||
spec:
|
|
||||||
replicas: 1
|
|
||||||
selector:
|
|
||||||
matchLabels:
|
|
||||||
app.kubernetes.io/name: dlob-worker-drift
|
|
||||||
template:
|
|
||||||
metadata:
|
|
||||||
labels:
|
|
||||||
app.kubernetes.io/name: dlob-worker-drift
|
|
||||||
spec:
|
|
||||||
hostNetwork: true
|
|
||||||
dnsPolicy: ClusterFirstWithHostNet
|
|
||||||
containers:
|
|
||||||
- name: worker
|
|
||||||
image: node:20-slim
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
env:
|
|
||||||
- name: HASURA_GRAPHQL_URL
|
|
||||||
value: http://hasura:8080/v1/graphql
|
|
||||||
- name: HASURA_ADMIN_SECRET
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-hasura
|
|
||||||
key: HASURA_GRAPHQL_ADMIN_SECRET
|
|
||||||
- name: DLOB_SOURCE
|
|
||||||
value: drift
|
|
||||||
- name: DLOB_HTTP_URL
|
|
||||||
value: https://dlob.drift.trade
|
|
||||||
- name: DLOB_FORCE_IPV6
|
|
||||||
value: "true"
|
|
||||||
- name: DLOB_MARKETS
|
|
||||||
value: SOL-PERP,DOGE-PERP,JUP-PERP
|
|
||||||
- name: DLOB_POLL_MS
|
|
||||||
value: "500"
|
|
||||||
- name: DLOB_DEPTH
|
|
||||||
value: "10"
|
|
||||||
command: ["node", "/app/worker.mjs"]
|
|
||||||
volumeMounts:
|
|
||||||
- name: script
|
|
||||||
mountPath: /app/worker.mjs
|
|
||||||
subPath: worker.mjs
|
|
||||||
readOnly: true
|
|
||||||
volumes:
|
|
||||||
- name: script
|
|
||||||
configMap:
|
|
||||||
name: dlob-worker-script
|
|
||||||
@@ -1,48 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-worker
|
|
||||||
annotations:
|
|
||||||
argocd.argoproj.io/sync-wave: "5"
|
|
||||||
spec:
|
|
||||||
replicas: 1
|
|
||||||
selector:
|
|
||||||
matchLabels:
|
|
||||||
app.kubernetes.io/name: dlob-worker
|
|
||||||
template:
|
|
||||||
metadata:
|
|
||||||
labels:
|
|
||||||
app.kubernetes.io/name: dlob-worker
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: worker
|
|
||||||
image: node:20-slim
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
env:
|
|
||||||
- name: HASURA_GRAPHQL_URL
|
|
||||||
value: http://hasura:8080/v1/graphql
|
|
||||||
- name: HASURA_ADMIN_SECRET
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-hasura
|
|
||||||
key: HASURA_GRAPHQL_ADMIN_SECRET
|
|
||||||
- name: DLOB_SOURCE
|
|
||||||
value: mevnode
|
|
||||||
- name: DLOB_HTTP_URL
|
|
||||||
value: http://dlob-server:6969
|
|
||||||
- name: DLOB_MARKETS
|
|
||||||
value: SOL-PERP,DOGE-PERP,JUP-PERP
|
|
||||||
- name: DLOB_POLL_MS
|
|
||||||
value: "500"
|
|
||||||
- name: DLOB_DEPTH
|
|
||||||
value: "10"
|
|
||||||
command: ["node", "/app/worker.mjs"]
|
|
||||||
volumeMounts:
|
|
||||||
- name: script
|
|
||||||
mountPath: /app/worker.mjs
|
|
||||||
subPath: worker.mjs
|
|
||||||
readOnly: true
|
|
||||||
volumes:
|
|
||||||
- name: script
|
|
||||||
configMap:
|
|
||||||
name: dlob-worker-script
|
|
||||||
@@ -1,435 +0,0 @@
|
|||||||
import fs from 'node:fs';
|
|
||||||
import * as http from 'node:http';
|
|
||||||
import * as https from 'node:https';
|
|
||||||
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();
|
|
||||||
}
|
|
||||||
|
|
||||||
function clampInt(value, min, max, fallback) {
|
|
||||||
const n = Number.parseInt(String(value ?? ''), 10);
|
|
||||||
if (!Number.isInteger(n)) return fallback;
|
|
||||||
return Math.min(max, Math.max(min, n));
|
|
||||||
}
|
|
||||||
|
|
||||||
function envList(name, fallbackCsv) {
|
|
||||||
const raw = process.env[name] ?? fallbackCsv;
|
|
||||||
return String(raw)
|
|
||||||
.split(',')
|
|
||||||
.map((s) => s.trim())
|
|
||||||
.filter(Boolean);
|
|
||||||
}
|
|
||||||
|
|
||||||
function envBool(name, fallback = false) {
|
|
||||||
const raw = process.env[name];
|
|
||||||
if (raw == null) return fallback;
|
|
||||||
const v = String(raw).trim().toLowerCase();
|
|
||||||
if (['1', 'true', 'yes', 'y', 'on'].includes(v)) return true;
|
|
||||||
if (['0', 'false', 'no', 'n', 'off'].includes(v)) return false;
|
|
||||||
return fallback;
|
|
||||||
}
|
|
||||||
|
|
||||||
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 dlobHttpBase = String(process.env.DLOB_HTTP_URL || process.env.DLOB_HTTP_BASE || 'https://dlob.drift.trade')
|
|
||||||
.trim()
|
|
||||||
.replace(/\/$/, '');
|
|
||||||
const dlobForceIpv6 = envBool('DLOB_FORCE_IPV6', false);
|
|
||||||
const dlobSource = String(process.env.DLOB_SOURCE || 'mevnode').trim() || 'mevnode';
|
|
||||||
|
|
||||||
const markets = envList('DLOB_MARKETS', 'SOL-PERP,DOGE-PERP,JUP-PERP');
|
|
||||||
const depth = clampInt(process.env.DLOB_DEPTH, 1, 50, 10);
|
|
||||||
const pollMs = clampInt(process.env.DLOB_POLL_MS, 100, 10_000, 500);
|
|
||||||
|
|
||||||
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,
|
|
||||||
dlobSource,
|
|
||||||
dlobHttpBase,
|
|
||||||
dlobForceIpv6,
|
|
||||||
markets,
|
|
||||||
depth,
|
|
||||||
pollMs,
|
|
||||||
pricePrecision,
|
|
||||||
basePrecision,
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
async function requestText(url, { timeoutMs, family } = {}) {
|
|
||||||
const u = new URL(url);
|
|
||||||
const client = u.protocol === 'https:' ? https : http;
|
|
||||||
|
|
||||||
const port = u.port ? Number.parseInt(u.port, 10) : u.protocol === 'https:' ? 443 : 80;
|
|
||||||
if (!Number.isFinite(port)) throw new Error(`Invalid port for url: ${url}`);
|
|
||||||
|
|
||||||
return await new Promise((resolve, reject) => {
|
|
||||||
const req = client.request(
|
|
||||||
{
|
|
||||||
protocol: u.protocol,
|
|
||||||
hostname: u.hostname,
|
|
||||||
port,
|
|
||||||
path: `${u.pathname}${u.search}`,
|
|
||||||
method: 'GET',
|
|
||||||
family,
|
|
||||||
servername: u.hostname,
|
|
||||||
headers: {
|
|
||||||
accept: 'application/json',
|
|
||||||
},
|
|
||||||
},
|
|
||||||
(res) => {
|
|
||||||
let data = '';
|
|
||||||
res.setEncoding('utf8');
|
|
||||||
res.on('data', (chunk) => {
|
|
||||||
data += chunk;
|
|
||||||
});
|
|
||||||
res.on('end', () => {
|
|
||||||
resolve({ status: res.statusCode ?? 0, text: data });
|
|
||||||
});
|
|
||||||
}
|
|
||||||
);
|
|
||||||
|
|
||||||
req.on('error', reject);
|
|
||||||
req.setTimeout(timeoutMs ?? 5_000, () => {
|
|
||||||
req.destroy(new Error(`Timeout after ${timeoutMs ?? 5_000}ms`));
|
|
||||||
});
|
|
||||||
req.end();
|
|
||||||
});
|
|
||||||
}
|
|
||||||
|
|
||||||
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(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 toNumberOrNull(value) {
|
|
||||||
if (value == null) return null;
|
|
||||||
if (typeof value === 'number') return Number.isFinite(value) ? value : null;
|
|
||||||
if (typeof value === 'string') {
|
|
||||||
const s = value.trim();
|
|
||||||
if (!s) return null;
|
|
||||||
const n = Number(s);
|
|
||||||
return Number.isFinite(n) ? n : null;
|
|
||||||
}
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function numStr(value) {
|
|
||||||
if (value == null) return null;
|
|
||||||
if (typeof value === 'number') return Number.isFinite(value) ? String(value) : null;
|
|
||||||
if (typeof value === 'string') return value.trim() || null;
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function parseScaled(valueRaw, scale) {
|
|
||||||
const n = toNumberOrNull(valueRaw);
|
|
||||||
if (n == null) return null;
|
|
||||||
return n / scale;
|
|
||||||
}
|
|
||||||
|
|
||||||
function computeStats({ l2, depth, pricePrecision, basePrecision }) {
|
|
||||||
const bids = Array.isArray(l2?.bids) ? l2.bids : [];
|
|
||||||
const asks = Array.isArray(l2?.asks) ? l2.asks : [];
|
|
||||||
|
|
||||||
const bestBid = parseScaled(l2?.bestBidPrice ?? bids?.[0]?.price, pricePrecision);
|
|
||||||
const bestAsk = parseScaled(l2?.bestAskPrice ?? asks?.[0]?.price, pricePrecision);
|
|
||||||
const markPrice = parseScaled(l2?.markPrice, pricePrecision);
|
|
||||||
const oraclePrice = parseScaled(l2?.oracleData?.price ?? l2?.oracle, pricePrecision);
|
|
||||||
|
|
||||||
const mid = bestBid != null && bestAsk != null ? (bestBid + bestAsk) / 2 : null;
|
|
||||||
const spreadAbs = bestBid != null && bestAsk != null ? bestAsk - bestBid : null;
|
|
||||||
const spreadBps = spreadAbs != null && mid != null && mid > 0 ? (spreadAbs / mid) * 10_000 : null;
|
|
||||||
|
|
||||||
const levels = Math.max(1, depth);
|
|
||||||
let bidBase = 0;
|
|
||||||
let askBase = 0;
|
|
||||||
let bidUsd = 0;
|
|
||||||
let askUsd = 0;
|
|
||||||
|
|
||||||
for (let i = 0; i < Math.min(levels, bids.length); i += 1) {
|
|
||||||
const p = parseScaled(bids[i]?.price, pricePrecision);
|
|
||||||
const s = toNumberOrNull(bids[i]?.size);
|
|
||||||
if (p == null || s == null) continue;
|
|
||||||
const base = s / basePrecision;
|
|
||||||
bidBase += base;
|
|
||||||
bidUsd += base * p;
|
|
||||||
}
|
|
||||||
|
|
||||||
for (let i = 0; i < Math.min(levels, asks.length); i += 1) {
|
|
||||||
const p = parseScaled(asks[i]?.price, pricePrecision);
|
|
||||||
const s = toNumberOrNull(asks[i]?.size);
|
|
||||||
if (p == null || s == null) continue;
|
|
||||||
const base = s / basePrecision;
|
|
||||||
askBase += base;
|
|
||||||
askUsd += base * p;
|
|
||||||
}
|
|
||||||
|
|
||||||
const denom = bidUsd + askUsd;
|
|
||||||
const imbalance = denom > 0 ? (bidUsd - askUsd) / denom : null;
|
|
||||||
|
|
||||||
return {
|
|
||||||
bestBid,
|
|
||||||
bestAsk,
|
|
||||||
mid,
|
|
||||||
spreadAbs,
|
|
||||||
spreadBps,
|
|
||||||
markPrice,
|
|
||||||
oraclePrice,
|
|
||||||
depthLevels: levels,
|
|
||||||
bidBase,
|
|
||||||
askBase,
|
|
||||||
bidUsd,
|
|
||||||
askUsd,
|
|
||||||
imbalance,
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
function l2ToInsertObject({ dlobSource, l2, updatedAt, pricePrecision }) {
|
|
||||||
return {
|
|
||||||
source: dlobSource,
|
|
||||||
market_name: String(l2.marketName),
|
|
||||||
market_type: String(l2.marketType || 'perp'),
|
|
||||||
market_index: typeof l2.marketIndex === 'number' ? l2.marketIndex : null,
|
|
||||||
ts: l2.ts == null ? null : String(l2.ts),
|
|
||||||
slot: l2.slot == null ? null : String(l2.slot),
|
|
||||||
mark_price: numStr(parseScaled(l2.markPrice, pricePrecision)),
|
|
||||||
oracle_price: numStr(parseScaled(l2.oracleData?.price ?? l2.oracle, pricePrecision)),
|
|
||||||
best_bid_price: numStr(parseScaled(l2.bestBidPrice, pricePrecision)),
|
|
||||||
best_ask_price: numStr(parseScaled(l2.bestAskPrice, pricePrecision)),
|
|
||||||
bids: l2.bids ?? null,
|
|
||||||
asks: l2.asks ?? null,
|
|
||||||
raw: l2 ?? null,
|
|
||||||
updated_at: updatedAt,
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
function statsToInsertObject({ dlobSource, l2, stats, updatedAt }) {
|
|
||||||
return {
|
|
||||||
source: dlobSource,
|
|
||||||
market_name: String(l2.marketName),
|
|
||||||
market_type: String(l2.marketType || 'perp'),
|
|
||||||
market_index: typeof l2.marketIndex === 'number' ? l2.marketIndex : null,
|
|
||||||
ts: l2.ts == null ? null : String(l2.ts),
|
|
||||||
slot: l2.slot == null ? null : String(l2.slot),
|
|
||||||
mark_price: stats.markPrice == null ? null : String(stats.markPrice),
|
|
||||||
oracle_price: stats.oraclePrice == null ? null : String(stats.oraclePrice),
|
|
||||||
best_bid_price: stats.bestBid == null ? null : String(stats.bestBid),
|
|
||||||
best_ask_price: stats.bestAsk == null ? null : String(stats.bestAsk),
|
|
||||||
mid_price: stats.mid == null ? null : String(stats.mid),
|
|
||||||
spread_abs: stats.spreadAbs == null ? null : String(stats.spreadAbs),
|
|
||||||
spread_bps: stats.spreadBps == null ? null : String(stats.spreadBps),
|
|
||||||
depth_levels: stats.depthLevels,
|
|
||||||
depth_bid_base: Number.isFinite(stats.bidBase) ? String(stats.bidBase) : null,
|
|
||||||
depth_ask_base: Number.isFinite(stats.askBase) ? String(stats.askBase) : null,
|
|
||||||
depth_bid_usd: Number.isFinite(stats.bidUsd) ? String(stats.bidUsd) : null,
|
|
||||||
depth_ask_usd: Number.isFinite(stats.askUsd) ? String(stats.askUsd) : null,
|
|
||||||
imbalance: stats.imbalance == null ? null : String(stats.imbalance),
|
|
||||||
raw: {
|
|
||||||
spreadPct: l2.spreadPct ?? null,
|
|
||||||
spreadQuote: l2.spreadQuote ?? null,
|
|
||||||
},
|
|
||||||
updated_at: updatedAt,
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
async function fetchL2(cfg, marketName) {
|
|
||||||
const u = new URL(`${cfg.dlobHttpBase}/l2`);
|
|
||||||
u.searchParams.set('marketName', marketName);
|
|
||||||
u.searchParams.set('depth', String(cfg.depth));
|
|
||||||
|
|
||||||
const url = u.toString();
|
|
||||||
if (cfg.dlobForceIpv6) {
|
|
||||||
const { status, text } = await requestText(url, { timeoutMs: 5_000, family: 6 });
|
|
||||||
if (status < 200 || status >= 300) throw new Error(`DLOB HTTP ${status}: ${text}`);
|
|
||||||
return JSON.parse(text);
|
|
||||||
}
|
|
||||||
|
|
||||||
const res = await fetch(url, { signal: AbortSignal.timeout(5_000) });
|
|
||||||
const text = await res.text();
|
|
||||||
if (!res.ok) throw new Error(`DLOB HTTP ${res.status}: ${text}`);
|
|
||||||
return JSON.parse(text);
|
|
||||||
}
|
|
||||||
|
|
||||||
async function upsertBatch(cfg, l2Objects, statsObjects) {
|
|
||||||
if (!l2Objects.length && !statsObjects.length) return;
|
|
||||||
|
|
||||||
const mutation = `
|
|
||||||
mutation UpsertDlob($l2: [dlob_l2_latest_insert_input!]!, $stats: [dlob_stats_latest_insert_input!]!) {
|
|
||||||
insert_dlob_l2_latest(
|
|
||||||
objects: $l2
|
|
||||||
on_conflict: {
|
|
||||||
constraint: dlob_l2_latest_pkey
|
|
||||||
update_columns: [
|
|
||||||
market_type
|
|
||||||
market_index
|
|
||||||
ts
|
|
||||||
slot
|
|
||||||
mark_price
|
|
||||||
oracle_price
|
|
||||||
best_bid_price
|
|
||||||
best_ask_price
|
|
||||||
bids
|
|
||||||
asks
|
|
||||||
raw
|
|
||||||
updated_at
|
|
||||||
]
|
|
||||||
}
|
|
||||||
) { affected_rows }
|
|
||||||
insert_dlob_stats_latest(
|
|
||||||
objects: $stats
|
|
||||||
on_conflict: {
|
|
||||||
constraint: dlob_stats_latest_pkey
|
|
||||||
update_columns: [
|
|
||||||
market_type
|
|
||||||
market_index
|
|
||||||
ts
|
|
||||||
slot
|
|
||||||
mark_price
|
|
||||||
oracle_price
|
|
||||||
best_bid_price
|
|
||||||
best_ask_price
|
|
||||||
mid_price
|
|
||||||
spread_abs
|
|
||||||
spread_bps
|
|
||||||
depth_levels
|
|
||||||
depth_bid_base
|
|
||||||
depth_ask_base
|
|
||||||
depth_bid_usd
|
|
||||||
depth_ask_usd
|
|
||||||
imbalance
|
|
||||||
raw
|
|
||||||
updated_at
|
|
||||||
]
|
|
||||||
}
|
|
||||||
) { affected_rows }
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
|
|
||||||
await graphqlRequest(cfg, mutation, { l2: l2Objects, stats: statsObjects });
|
|
||||||
}
|
|
||||||
|
|
||||||
async function main() {
|
|
||||||
const cfg = resolveConfig();
|
|
||||||
const lastTsByMarket = new Map();
|
|
||||||
|
|
||||||
console.log(
|
|
||||||
JSON.stringify(
|
|
||||||
{
|
|
||||||
service: 'dlob-worker',
|
|
||||||
startedAt: getIsoNow(),
|
|
||||||
hasuraUrl: cfg.hasuraUrl,
|
|
||||||
hasuraAuth: cfg.hasuraAuthToken ? 'bearer' : cfg.hasuraAdminSecret ? 'admin-secret' : 'none',
|
|
||||||
dlobSource: cfg.dlobSource,
|
|
||||||
dlobHttpBase: cfg.dlobHttpBase,
|
|
||||||
dlobForceIpv6: cfg.dlobForceIpv6,
|
|
||||||
markets: cfg.markets,
|
|
||||||
depth: cfg.depth,
|
|
||||||
pollMs: cfg.pollMs,
|
|
||||||
},
|
|
||||||
null,
|
|
||||||
2
|
|
||||||
)
|
|
||||||
);
|
|
||||||
|
|
||||||
while (true) {
|
|
||||||
const updatedAt = getIsoNow();
|
|
||||||
|
|
||||||
const results = await Promise.allSettled(cfg.markets.map((m) => fetchL2(cfg, m)));
|
|
||||||
const l2Objects = [];
|
|
||||||
const statsObjects = [];
|
|
||||||
|
|
||||||
for (let i = 0; i < results.length; i += 1) {
|
|
||||||
const market = cfg.markets[i];
|
|
||||||
const r = results[i];
|
|
||||||
if (r.status !== 'fulfilled') {
|
|
||||||
console.error(`[dlob-worker] fetch ${market}: ${String(r.reason?.message || r.reason)}`);
|
|
||||||
continue;
|
|
||||||
}
|
|
||||||
const l2 = r.value;
|
|
||||||
if (!l2?.marketName) continue;
|
|
||||||
|
|
||||||
const ts = l2.ts == null ? null : String(l2.ts);
|
|
||||||
if (ts != null && lastTsByMarket.get(l2.marketName) === ts) continue;
|
|
||||||
if (ts != null) lastTsByMarket.set(l2.marketName, ts);
|
|
||||||
|
|
||||||
const stats = computeStats({
|
|
||||||
l2,
|
|
||||||
depth: cfg.depth,
|
|
||||||
pricePrecision: cfg.pricePrecision,
|
|
||||||
basePrecision: cfg.basePrecision,
|
|
||||||
});
|
|
||||||
|
|
||||||
l2Objects.push(l2ToInsertObject({ dlobSource: cfg.dlobSource, l2, updatedAt, pricePrecision: cfg.pricePrecision }));
|
|
||||||
statsObjects.push(statsToInsertObject({ dlobSource: cfg.dlobSource, l2, stats, updatedAt }));
|
|
||||||
}
|
|
||||||
|
|
||||||
try {
|
|
||||||
await upsertBatch(cfg, l2Objects, statsObjects);
|
|
||||||
} catch (err) {
|
|
||||||
console.error(`[dlob-worker] upsert: ${String(err?.message || err)}`);
|
|
||||||
}
|
|
||||||
|
|
||||||
await sleep(cfg.pollMs);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
main().catch((err) => {
|
|
||||||
console.error(String(err?.stack || err));
|
|
||||||
process.exitCode = 1;
|
|
||||||
});
|
|
||||||
@@ -1,24 +1,24 @@
|
|||||||
apiVersion: apps/v1
|
apiVersion: apps/v1
|
||||||
kind: Deployment
|
kind: Deployment
|
||||||
metadata:
|
metadata:
|
||||||
name: dlob-publisher
|
name: dlob-publisher-hot
|
||||||
annotations:
|
annotations:
|
||||||
argocd.argoproj.io/sync-wave: "4"
|
argocd.argoproj.io/sync-wave: "4"
|
||||||
spec:
|
spec:
|
||||||
replicas: 1
|
replicas: 1
|
||||||
selector:
|
selector:
|
||||||
matchLabels:
|
matchLabels:
|
||||||
app.kubernetes.io/name: dlob-publisher
|
app.kubernetes.io/name: dlob-publisher-hot
|
||||||
template:
|
template:
|
||||||
metadata:
|
metadata:
|
||||||
labels:
|
labels:
|
||||||
app.kubernetes.io/name: dlob-publisher
|
app.kubernetes.io/name: dlob-publisher-hot
|
||||||
spec:
|
spec:
|
||||||
imagePullSecrets:
|
imagePullSecrets:
|
||||||
- name: gitea-registry
|
- name: gitea-registry
|
||||||
containers:
|
containers:
|
||||||
- name: publisher
|
- name: publisher
|
||||||
image: gitea.mpabi.pl/trade/trade-dlob-server:sha-8a378b7-lite-l2
|
image: gitea.mpabi.pl/trade/trade-dlob-server:grpc-reconnect-20260319-023351
|
||||||
imagePullPolicy: IfNotPresent
|
imagePullPolicy: IfNotPresent
|
||||||
ports:
|
ports:
|
||||||
- name: http
|
- name: http
|
||||||
@@ -41,7 +41,7 @@ spec:
|
|||||||
- name: ELASTICACHE_PORT
|
- name: ELASTICACHE_PORT
|
||||||
value: "6379"
|
value: "6379"
|
||||||
- name: REDIS_CLIENT
|
- name: REDIS_CLIENT
|
||||||
value: DLOB
|
value: DLOB_HOT
|
||||||
- name: PERP_MARKETS_TO_LOAD
|
- name: PERP_MARKETS_TO_LOAD
|
||||||
value: "0,7,24"
|
value: "0,7,24"
|
||||||
- name: ENDPOINT
|
- name: ENDPOINT
|
||||||
|
|||||||
@@ -1,63 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-server
|
|
||||||
annotations:
|
|
||||||
argocd.argoproj.io/sync-wave: "4"
|
|
||||||
spec:
|
|
||||||
replicas: 1
|
|
||||||
selector:
|
|
||||||
matchLabels:
|
|
||||||
app.kubernetes.io/name: dlob-server
|
|
||||||
template:
|
|
||||||
metadata:
|
|
||||||
labels:
|
|
||||||
app.kubernetes.io/name: dlob-server
|
|
||||||
spec:
|
|
||||||
imagePullSecrets:
|
|
||||||
- name: gitea-registry
|
|
||||||
containers:
|
|
||||||
- name: server
|
|
||||||
image: gitea.mpabi.pl/trade/trade-dlob-server:sha-8a378b7-lite-l2
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
ports:
|
|
||||||
- name: http
|
|
||||||
containerPort: 6969
|
|
||||||
env:
|
|
||||||
- name: RUNNING_LOCAL
|
|
||||||
value: "true"
|
|
||||||
- name: LOCAL_CACHE
|
|
||||||
value: "true"
|
|
||||||
- name: ENV
|
|
||||||
value: mainnet-beta
|
|
||||||
- name: PORT
|
|
||||||
value: "6969"
|
|
||||||
- name: ELASTICACHE_HOST
|
|
||||||
value: dlob-redis
|
|
||||||
- name: ELASTICACHE_PORT
|
|
||||||
value: "6379"
|
|
||||||
- name: REDIS_CLIENT
|
|
||||||
value: DLOB
|
|
||||||
- name: ENDPOINT
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-dlob-rpc
|
|
||||||
key: ENDPOINT
|
|
||||||
- name: WS_ENDPOINT
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-dlob-rpc
|
|
||||||
key: WS_ENDPOINT
|
|
||||||
command: ["node", "/lib/serverLite.js"]
|
|
||||||
readinessProbe:
|
|
||||||
httpGet:
|
|
||||||
path: /startup
|
|
||||||
port: http
|
|
||||||
initialDelaySeconds: 5
|
|
||||||
periodSeconds: 10
|
|
||||||
livenessProbe:
|
|
||||||
httpGet:
|
|
||||||
path: /health
|
|
||||||
port: http
|
|
||||||
initialDelaySeconds: 20
|
|
||||||
periodSeconds: 20
|
|
||||||
@@ -1,13 +0,0 @@
|
|||||||
apiVersion: v1
|
|
||||||
kind: Service
|
|
||||||
metadata:
|
|
||||||
name: dlob-server
|
|
||||||
annotations:
|
|
||||||
argocd.argoproj.io/sync-wave: "4"
|
|
||||||
spec:
|
|
||||||
selector:
|
|
||||||
app.kubernetes.io/name: dlob-server
|
|
||||||
ports:
|
|
||||||
- name: http
|
|
||||||
port: 6969
|
|
||||||
targetPort: http
|
|
||||||
@@ -16,7 +16,7 @@ spec:
|
|||||||
- name: gitea-registry
|
- name: gitea-registry
|
||||||
containers:
|
containers:
|
||||||
- name: frontend
|
- name: frontend
|
||||||
image: gitea.mpabi.pl/trade/trade-frontend:sha-b06fe7f
|
image: gitea.mpabi.pl/trade/trade-frontend:pg-derived-phase1-20260319-030252
|
||||||
imagePullPolicy: IfNotPresent
|
imagePullPolicy: IfNotPresent
|
||||||
ports:
|
ports:
|
||||||
- name: http
|
- name: http
|
||||||
@@ -26,12 +26,8 @@ spec:
|
|||||||
value: "8081"
|
value: "8081"
|
||||||
- name: APP_VERSION
|
- name: APP_VERSION
|
||||||
value: "staging"
|
value: "staging"
|
||||||
- name: API_UPSTREAM
|
|
||||||
value: "http://trade-api:8787"
|
|
||||||
- name: BASIC_AUTH_FILE
|
- name: BASIC_AUTH_FILE
|
||||||
value: "/tokens/frontend.json"
|
value: "/tokens/frontend.json"
|
||||||
- name: API_READ_TOKEN_FILE
|
|
||||||
value: "/tokens/read.json"
|
|
||||||
volumeMounts:
|
volumeMounts:
|
||||||
- name: tokens
|
- name: tokens
|
||||||
mountPath: /tokens
|
mountPath: /tokens
|
||||||
|
|||||||
@@ -92,21 +92,33 @@ async function main() {
|
|||||||
const PUBLIC_DLOB_SOURCE_HEADER = 'X-Hasura-Dlob-Source';
|
const PUBLIC_DLOB_SOURCE_HEADER = 'X-Hasura-Dlob-Source';
|
||||||
|
|
||||||
const apiTokensTable = { schema: 'public', name: 'api_tokens' };
|
const apiTokensTable = { schema: 'public', name: 'api_tokens' };
|
||||||
|
const botConfigTable = { schema: 'public', name: 'bot_config' };
|
||||||
|
const botStateTable = { schema: 'public', name: 'bot_state' };
|
||||||
|
const botEventsTable = { schema: 'public', name: 'bot_events' };
|
||||||
const source = 'default';
|
const source = 'default';
|
||||||
|
|
||||||
const baseTicks = { schema: 'public', name: 'drift_ticks' };
|
const baseTicks = { schema: 'public', name: 'drift_ticks' };
|
||||||
const dlobL2LatestTable = { schema: 'public', name: 'dlob_l2_latest' };
|
const dlobHotSnapshotLatestTable = { schema: 'public', name: 'dlob_hot_snapshot_latest' };
|
||||||
const dlobStatsLatestTable = { schema: 'public', name: 'dlob_stats_latest' };
|
const dlobHotDerivedLatestTable = { schema: 'public', name: 'dlob_hot_derived_latest' };
|
||||||
const dlobDepthBpsLatestTable = { schema: 'public', name: 'dlob_depth_bps_latest' };
|
const dlobAllDerivedLatestTable = { schema: 'public', name: 'dlob_all_derived_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 candlesCacheTable = { schema: 'public', name: 'drift_candles_cache' };
|
||||||
const dlobStatsTsTable = { schema: 'public', name: 'dlob_stats_ts' };
|
const dlobHotDerivedTsTable = { schema: 'public', name: 'dlob_hot_derived_ts' };
|
||||||
const dlobDepthBpsTsTable = { schema: 'public', name: 'dlob_depth_bps_ts' };
|
const dlobAllDerivedTsTable = { schema: 'public', name: 'dlob_all_derived_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 baseCandlesFn = { schema: 'public', name: 'get_drift_candles' };
|
||||||
const candlesReturnTable = { schema: 'public', name: 'drift_candles' };
|
const candlesReturnTable = { schema: 'public', name: 'drift_candles' };
|
||||||
|
const legacyDlobRelations = [
|
||||||
|
{ schema: 'public', name: 'dlob_l2_latest' },
|
||||||
|
{ schema: 'public', name: 'dlob_l2_latest_projection' },
|
||||||
|
{ schema: 'public', name: 'dlob_stats_latest' },
|
||||||
|
{ schema: 'public', name: 'dlob_stats_latest_projection' },
|
||||||
|
{ schema: 'public', name: 'dlob_depth_bps_latest' },
|
||||||
|
{ schema: 'public', name: 'dlob_slippage_latest' },
|
||||||
|
{ schema: 'public', name: 'dlob_slippage_latest_v2' },
|
||||||
|
{ schema: 'public', name: 'dlob_stats_ts' },
|
||||||
|
{ schema: 'public', name: 'dlob_depth_bps_ts' },
|
||||||
|
{ schema: 'public', name: 'dlob_slippage_ts' },
|
||||||
|
{ schema: 'public', name: 'dlob_slippage_ts_v2' },
|
||||||
|
];
|
||||||
|
|
||||||
const extraTicksName = normalizeName(TARGET_TICKS_TABLE);
|
const extraTicksName = normalizeName(TARGET_TICKS_TABLE);
|
||||||
const extraCandlesName = normalizeName(TARGET_CANDLES_FUNCTION);
|
const extraCandlesName = normalizeName(TARGET_CANDLES_FUNCTION);
|
||||||
@@ -261,114 +273,202 @@ async function main() {
|
|||||||
await metadataIgnore({ type: 'pg_drop_update_permission', args: { source, table, role: 'ingestor' } });
|
await metadataIgnore({ type: 'pg_drop_update_permission', args: { source, table, role: 'ingestor' } });
|
||||||
}
|
}
|
||||||
|
|
||||||
|
async function ensureProjectedPublicSelectTable(table, columns, { publicFilter, customName } = {}) {
|
||||||
|
await metadataIgnore({ type: 'pg_untrack_table', args: { source, table, cascade: true } });
|
||||||
|
const args = { source, table };
|
||||||
|
if (customName) {
|
||||||
|
args.configuration = { custom_name: customName };
|
||||||
|
}
|
||||||
|
await metadata({ type: 'pg_track_table', args });
|
||||||
|
|
||||||
|
await metadataIgnore({ type: 'pg_drop_select_permission', args: { source, table, role: 'public' } });
|
||||||
|
await metadata({
|
||||||
|
type: 'pg_create_select_permission',
|
||||||
|
args: {
|
||||||
|
source,
|
||||||
|
table,
|
||||||
|
role: 'public',
|
||||||
|
permission: {
|
||||||
|
columns,
|
||||||
|
filter: publicFilter || {},
|
||||||
|
},
|
||||||
|
},
|
||||||
|
});
|
||||||
|
|
||||||
|
await metadataIgnore({ type: 'pg_drop_insert_permission', args: { source, table, role: 'ingestor' } });
|
||||||
|
await metadataIgnore({ type: 'pg_drop_update_permission', args: { source, table, role: 'ingestor' } });
|
||||||
|
}
|
||||||
|
|
||||||
const dlobPublicFilter = { source: { _eq: PUBLIC_DLOB_SOURCE_HEADER } };
|
const dlobPublicFilter = { source: { _eq: PUBLIC_DLOB_SOURCE_HEADER } };
|
||||||
|
|
||||||
await ensureDlobTable(dlobL2LatestTable, [
|
for (const table of legacyDlobRelations) {
|
||||||
|
await metadataIgnore({ type: 'pg_untrack_table', args: { source, table, cascade: true } });
|
||||||
|
}
|
||||||
|
|
||||||
|
await ensurePublicSelectTable(dlobHotSnapshotLatestTable, [
|
||||||
'source',
|
'source',
|
||||||
'market_name',
|
'redis_key',
|
||||||
|
'snapshot_kind',
|
||||||
'market_type',
|
'market_type',
|
||||||
'market_index',
|
'market_index',
|
||||||
'ts',
|
'market_name',
|
||||||
|
'is_indicative',
|
||||||
|
'ts_ms',
|
||||||
'slot',
|
'slot',
|
||||||
'mark_price',
|
'market_slot',
|
||||||
'oracle_price',
|
'payload_hash',
|
||||||
'best_bid_price',
|
'mark_price_raw',
|
||||||
'best_ask_price',
|
'oracle_price_raw',
|
||||||
|
'best_bid_price_raw',
|
||||||
|
'best_ask_price_raw',
|
||||||
|
'spread_pct_raw',
|
||||||
|
'spread_quote_raw',
|
||||||
|
'oracle_data',
|
||||||
'bids',
|
'bids',
|
||||||
'asks',
|
'asks',
|
||||||
'raw',
|
'payload',
|
||||||
'updated_at',
|
'updated_at',
|
||||||
], { publicFilter: dlobPublicFilter });
|
]);
|
||||||
|
|
||||||
await ensureDlobTable(dlobStatsLatestTable, [
|
await ensurePublicSelectTable(dlobHotDerivedLatestTable, [
|
||||||
'source',
|
'source',
|
||||||
'market_name',
|
|
||||||
'market_type',
|
'market_type',
|
||||||
'market_index',
|
'market_index',
|
||||||
'ts',
|
'market_name',
|
||||||
|
'is_indicative',
|
||||||
|
'ts_ms',
|
||||||
'slot',
|
'slot',
|
||||||
|
'market_slot',
|
||||||
'mark_price',
|
'mark_price',
|
||||||
'oracle_price',
|
'oracle_price',
|
||||||
'best_bid_price',
|
'best_bid_price',
|
||||||
'best_ask_price',
|
'best_ask_price',
|
||||||
'mid_price',
|
'mid_price',
|
||||||
'spread_abs',
|
'spread_quote',
|
||||||
'spread_bps',
|
'spread_bps',
|
||||||
'depth_levels',
|
'depth_levels',
|
||||||
|
'bid_levels',
|
||||||
|
'ask_levels',
|
||||||
|
'top_bid_size',
|
||||||
|
'top_ask_size',
|
||||||
|
'top_bid_notional',
|
||||||
|
'top_ask_notional',
|
||||||
'depth_bid_base',
|
'depth_bid_base',
|
||||||
'depth_ask_base',
|
'depth_ask_base',
|
||||||
'depth_bid_usd',
|
'depth_bid_quote',
|
||||||
'depth_ask_usd',
|
'depth_ask_quote',
|
||||||
'imbalance',
|
'imbalance',
|
||||||
'raw',
|
'bids_norm',
|
||||||
|
'asks_norm',
|
||||||
|
'raw_payload_hash',
|
||||||
'updated_at',
|
'updated_at',
|
||||||
], { publicFilter: dlobPublicFilter });
|
]);
|
||||||
|
|
||||||
await ensurePublicSelectTable(dlobDepthBpsLatestTable, [
|
await ensurePublicSelectTable(dlobAllDerivedLatestTable, [
|
||||||
'source',
|
'source',
|
||||||
'market_name',
|
|
||||||
'band_bps',
|
|
||||||
'market_type',
|
'market_type',
|
||||||
'market_index',
|
'market_index',
|
||||||
'ts',
|
'market_name',
|
||||||
|
'is_indicative',
|
||||||
|
'ts_ms',
|
||||||
'slot',
|
'slot',
|
||||||
'mid_price',
|
'market_slot',
|
||||||
|
'mark_price',
|
||||||
|
'oracle_price',
|
||||||
'best_bid_price',
|
'best_bid_price',
|
||||||
'best_ask_price',
|
'best_ask_price',
|
||||||
'bid_base',
|
'mid_price',
|
||||||
'ask_base',
|
'spread_quote',
|
||||||
'bid_usd',
|
'spread_bps',
|
||||||
'ask_usd',
|
'depth_levels',
|
||||||
|
'bid_levels',
|
||||||
|
'ask_levels',
|
||||||
|
'top_bid_size',
|
||||||
|
'top_ask_size',
|
||||||
|
'top_bid_notional',
|
||||||
|
'top_ask_notional',
|
||||||
|
'depth_bid_base',
|
||||||
|
'depth_ask_base',
|
||||||
|
'depth_bid_quote',
|
||||||
|
'depth_ask_quote',
|
||||||
'imbalance',
|
'imbalance',
|
||||||
'raw',
|
'bids_norm',
|
||||||
|
'asks_norm',
|
||||||
|
'raw_payload_hash',
|
||||||
'updated_at',
|
'updated_at',
|
||||||
], { publicFilter: dlobPublicFilter });
|
]);
|
||||||
|
|
||||||
await ensurePublicSelectTable(dlobSlippageLatestTable, [
|
await ensurePublicSelectTable(dlobHotDerivedTsTable, [
|
||||||
|
'event_ts',
|
||||||
|
'id',
|
||||||
'source',
|
'source',
|
||||||
'market_name',
|
|
||||||
'side',
|
|
||||||
'size_usd',
|
|
||||||
'market_type',
|
'market_type',
|
||||||
'market_index',
|
'market_index',
|
||||||
'ts',
|
'market_name',
|
||||||
|
'is_indicative',
|
||||||
|
'ts_ms',
|
||||||
'slot',
|
'slot',
|
||||||
'mid_price',
|
'market_slot',
|
||||||
|
'mark_price',
|
||||||
|
'oracle_price',
|
||||||
'best_bid_price',
|
'best_bid_price',
|
||||||
'best_ask_price',
|
'best_ask_price',
|
||||||
'vwap_price',
|
'mid_price',
|
||||||
'worst_price',
|
'spread_quote',
|
||||||
'filled_usd',
|
'spread_bps',
|
||||||
'filled_base',
|
'depth_levels',
|
||||||
'impact_bps',
|
'bid_levels',
|
||||||
'levels_consumed',
|
'ask_levels',
|
||||||
'fill_pct',
|
'top_bid_size',
|
||||||
'raw',
|
'top_ask_size',
|
||||||
'updated_at',
|
'top_bid_notional',
|
||||||
], { publicFilter: dlobPublicFilter });
|
'top_ask_notional',
|
||||||
|
'depth_bid_base',
|
||||||
|
'depth_ask_base',
|
||||||
|
'depth_bid_quote',
|
||||||
|
'depth_ask_quote',
|
||||||
|
'imbalance',
|
||||||
|
'bids_norm',
|
||||||
|
'asks_norm',
|
||||||
|
'raw_payload_hash',
|
||||||
|
'inserted_at',
|
||||||
|
]);
|
||||||
|
|
||||||
await ensurePublicSelectTable(dlobSlippageLatestV2Table, [
|
await ensurePublicSelectTable(dlobAllDerivedTsTable, [
|
||||||
|
'event_ts',
|
||||||
|
'id',
|
||||||
'source',
|
'source',
|
||||||
'market_name',
|
|
||||||
'side',
|
|
||||||
'size_usd',
|
|
||||||
'market_type',
|
'market_type',
|
||||||
'market_index',
|
'market_index',
|
||||||
'ts',
|
'market_name',
|
||||||
|
'is_indicative',
|
||||||
|
'ts_ms',
|
||||||
'slot',
|
'slot',
|
||||||
'mid_price',
|
'market_slot',
|
||||||
|
'mark_price',
|
||||||
|
'oracle_price',
|
||||||
'best_bid_price',
|
'best_bid_price',
|
||||||
'best_ask_price',
|
'best_ask_price',
|
||||||
'vwap_price',
|
'mid_price',
|
||||||
'worst_price',
|
'spread_quote',
|
||||||
'filled_usd',
|
'spread_bps',
|
||||||
'filled_base',
|
'depth_levels',
|
||||||
'impact_bps',
|
'bid_levels',
|
||||||
'levels_consumed',
|
'ask_levels',
|
||||||
'fill_pct',
|
'top_bid_size',
|
||||||
'raw',
|
'top_ask_size',
|
||||||
'updated_at',
|
'top_bid_notional',
|
||||||
], { publicFilter: dlobPublicFilter });
|
'top_ask_notional',
|
||||||
|
'depth_bid_base',
|
||||||
|
'depth_ask_base',
|
||||||
|
'depth_bid_quote',
|
||||||
|
'depth_ask_quote',
|
||||||
|
'imbalance',
|
||||||
|
'bids_norm',
|
||||||
|
'asks_norm',
|
||||||
|
'raw_payload_hash',
|
||||||
|
'inserted_at',
|
||||||
|
]);
|
||||||
|
|
||||||
await ensurePublicSelectTable(dlobStatsTsTable, [
|
await ensurePublicSelectTable(dlobStatsTsTable, [
|
||||||
'ts',
|
'ts',
|
||||||
@@ -460,6 +560,12 @@ async function main() {
|
|||||||
'raw',
|
'raw',
|
||||||
], { publicFilter: dlobPublicFilter });
|
], { publicFilter: dlobPublicFilter });
|
||||||
|
|
||||||
|
// Bot control-plane tables (tracked; permissions are intentionally not created here by default).
|
||||||
|
for (const t of [botConfigTable, botStateTable, botEventsTable]) {
|
||||||
|
await metadataIgnore({ type: 'pg_untrack_table', args: { source, table: t } });
|
||||||
|
await metadata({ type: 'pg_track_table', args: { source, table: t } });
|
||||||
|
}
|
||||||
|
|
||||||
// Return table type for candle functions (needed for Hasura to track the function).
|
// Return table type for candle functions (needed for Hasura to track the function).
|
||||||
await metadataIgnore({ type: 'pg_track_table', args: { source, table: candlesReturnTable } });
|
await metadataIgnore({ type: 'pg_track_table', args: { source, table: candlesReturnTable } });
|
||||||
|
|
||||||
@@ -475,7 +581,7 @@ async function main() {
|
|||||||
}
|
}
|
||||||
|
|
||||||
for (const fn of candleFns) {
|
for (const fn of candleFns) {
|
||||||
// Function for aggregated candle queries (used by trade-api).
|
// Function for aggregated candle queries and indicator reads over Hasura.
|
||||||
await metadataIgnore({ type: 'pg_untrack_function', args: { source, function: fn } });
|
await metadataIgnore({ type: 'pg_untrack_function', args: { source, function: fn } });
|
||||||
await metadata({ type: 'pg_track_function', args: { source, function: fn } });
|
await metadata({ type: 'pg_track_function', args: { source, function: fn } });
|
||||||
}
|
}
|
||||||
|
|||||||
@@ -1,49 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: trade-ingestor
|
|
||||||
spec:
|
|
||||||
replicas: 1
|
|
||||||
selector:
|
|
||||||
matchLabels:
|
|
||||||
app.kubernetes.io/name: trade-ingestor
|
|
||||||
template:
|
|
||||||
metadata:
|
|
||||||
labels:
|
|
||||||
app.kubernetes.io/name: trade-ingestor
|
|
||||||
spec:
|
|
||||||
imagePullSecrets:
|
|
||||||
- name: gitea-registry
|
|
||||||
containers:
|
|
||||||
- name: ingestor
|
|
||||||
image: gitea.mpabi.pl/trade/trade-ingestor:k3s-20260106013603
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
env:
|
|
||||||
- name: MARKET_NAME
|
|
||||||
value: "PUMP-PERP"
|
|
||||||
- name: INTERVAL_MS
|
|
||||||
value: "1000"
|
|
||||||
- name: SOURCE
|
|
||||||
value: "drift_oracle"
|
|
||||||
- name: INGEST_VIA
|
|
||||||
value: "api"
|
|
||||||
- name: INGEST_API_URL
|
|
||||||
value: "http://trade-api:8787"
|
|
||||||
volumeMounts:
|
|
||||||
- name: tokens
|
|
||||||
mountPath: /app/tokens
|
|
||||||
readOnly: true
|
|
||||||
command:
|
|
||||||
- sh
|
|
||||||
- -c
|
|
||||||
args:
|
|
||||||
- >
|
|
||||||
npm run ingest:oracle -- \
|
|
||||||
--market-name "${MARKET_NAME}" \
|
|
||||||
--interval-ms "${INTERVAL_MS}" \
|
|
||||||
--source "${SOURCE}" \
|
|
||||||
--ingest-via "${INGEST_VIA}"
|
|
||||||
volumes:
|
|
||||||
- name: tokens
|
|
||||||
secret:
|
|
||||||
secretName: trade-ingestor-tokens
|
|
||||||
@@ -111,8 +111,52 @@ ALTER TABLE api_tokens ADD COLUMN IF NOT EXISTS scopes TEXT[] NOT NULL DEFAULT A
|
|||||||
CREATE INDEX IF NOT EXISTS api_tokens_revoked_at_idx
|
CREATE INDEX IF NOT EXISTS api_tokens_revoked_at_idx
|
||||||
ON api_tokens (revoked_at);
|
ON api_tokens (revoked_at);
|
||||||
|
|
||||||
|
-- Bot control-plane (desired state) + executor telemetry (state/events).
|
||||||
|
--
|
||||||
|
-- MVP intent:
|
||||||
|
-- - `bot_config`: desired state (mode/market/limits/kill switch)
|
||||||
|
-- - `bot_state`: heartbeat + last error/action
|
||||||
|
-- - `bot_events`: append-only audit log
|
||||||
|
CREATE TABLE IF NOT EXISTS public.bot_config (
|
||||||
|
id UUID PRIMARY KEY DEFAULT gen_random_uuid(),
|
||||||
|
name TEXT NOT NULL UNIQUE,
|
||||||
|
market_name TEXT NOT NULL,
|
||||||
|
market_type TEXT NOT NULL DEFAULT 'perp',
|
||||||
|
mode TEXT NOT NULL DEFAULT 'off',
|
||||||
|
kill_switch BOOLEAN NOT NULL DEFAULT FALSE,
|
||||||
|
params JSONB,
|
||||||
|
created_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
updated_at TIMESTAMPTZ NOT NULL DEFAULT now()
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS bot_config_updated_at_desc_idx
|
||||||
|
ON public.bot_config (updated_at DESC);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS public.bot_state (
|
||||||
|
bot_id UUID PRIMARY KEY REFERENCES public.bot_config(id) ON DELETE CASCADE,
|
||||||
|
last_heartbeat_at TIMESTAMPTZ,
|
||||||
|
last_action_at TIMESTAMPTZ,
|
||||||
|
last_error TEXT,
|
||||||
|
state JSONB,
|
||||||
|
updated_at TIMESTAMPTZ NOT NULL DEFAULT now()
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS bot_state_updated_at_desc_idx
|
||||||
|
ON public.bot_state (updated_at DESC);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS public.bot_events (
|
||||||
|
id BIGSERIAL PRIMARY KEY,
|
||||||
|
bot_id UUID NOT NULL REFERENCES public.bot_config(id) ON DELETE CASCADE,
|
||||||
|
ts TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
type TEXT NOT NULL,
|
||||||
|
payload JSONB
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS bot_events_bot_ts_desc_idx
|
||||||
|
ON public.bot_events (bot_id, ts DESC);
|
||||||
|
|
||||||
-- Compute OHLC candles from `drift_ticks` for a symbol and bucket size.
|
-- Compute OHLC candles from `drift_ticks` for a symbol and bucket size.
|
||||||
-- Exposed via Hasura (track function) and used by trade-api to compute indicators server-side.
|
-- Exposed via Hasura (track function) for server-side candle aggregation and indicator reads.
|
||||||
-- Hasura tracks functions only if they return SETOF a table/view type.
|
-- Hasura tracks functions only if they return SETOF a table/view type.
|
||||||
-- This table is used purely as the return type for candle functions.
|
-- This table is used purely as the return type for candle functions.
|
||||||
CREATE TABLE IF NOT EXISTS public.drift_candles (
|
CREATE TABLE IF NOT EXISTS public.drift_candles (
|
||||||
@@ -814,3 +858,468 @@ BEGIN
|
|||||||
PERFORM add_retention_policy('dlob_slippage_ts_v2', INTERVAL '7 days');
|
PERFORM add_retention_policy('dlob_slippage_ts_v2', INTERVAL '7 days');
|
||||||
EXCEPTION WHEN OTHERS THEN
|
EXCEPTION WHEN OTHERS THEN
|
||||||
END $$;
|
END $$;
|
||||||
|
|
||||||
|
-- Canonical DLOB storage and projection layer.
|
||||||
|
CREATE TABLE IF NOT EXISTS public.dlob_orderbook_l2_latest (
|
||||||
|
source TEXT NOT NULL,
|
||||||
|
market_name TEXT NOT NULL,
|
||||||
|
market_type TEXT NOT NULL,
|
||||||
|
market_index INTEGER,
|
||||||
|
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||||
|
ts BIGINT,
|
||||||
|
slot BIGINT,
|
||||||
|
mark_price_raw TEXT,
|
||||||
|
oracle_price_raw TEXT,
|
||||||
|
best_bid_price_raw TEXT,
|
||||||
|
best_ask_price_raw TEXT,
|
||||||
|
spread_pct_raw TEXT,
|
||||||
|
spread_quote_raw TEXT,
|
||||||
|
oracle_data JSONB,
|
||||||
|
bids JSONB,
|
||||||
|
asks JSONB,
|
||||||
|
payload JSONB NOT NULL,
|
||||||
|
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
PRIMARY KEY (source, market_name, is_indicative)
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_orderbook_l2_latest_updated_at_idx
|
||||||
|
ON public.dlob_orderbook_l2_latest (updated_at DESC);
|
||||||
|
|
||||||
|
CREATE OR REPLACE VIEW public.dlob_l2_latest_projection AS
|
||||||
|
SELECT
|
||||||
|
source,
|
||||||
|
market_name,
|
||||||
|
market_type,
|
||||||
|
market_index,
|
||||||
|
ts,
|
||||||
|
slot,
|
||||||
|
CASE
|
||||||
|
WHEN NULLIF(mark_price_raw, '') IS NULL THEN NULL
|
||||||
|
ELSE NULLIF(mark_price_raw, '')::numeric / 1000000::numeric
|
||||||
|
END AS mark_price,
|
||||||
|
CASE
|
||||||
|
WHEN NULLIF(oracle_price_raw, '') IS NULL THEN NULL
|
||||||
|
ELSE NULLIF(oracle_price_raw, '')::numeric / 1000000::numeric
|
||||||
|
END AS oracle_price,
|
||||||
|
CASE
|
||||||
|
WHEN NULLIF(best_bid_price_raw, '') IS NULL THEN NULL
|
||||||
|
ELSE NULLIF(best_bid_price_raw, '')::numeric / 1000000::numeric
|
||||||
|
END AS best_bid_price,
|
||||||
|
CASE
|
||||||
|
WHEN NULLIF(best_ask_price_raw, '') IS NULL THEN NULL
|
||||||
|
ELSE NULLIF(best_ask_price_raw, '')::numeric / 1000000::numeric
|
||||||
|
END AS best_ask_price,
|
||||||
|
bids,
|
||||||
|
asks,
|
||||||
|
payload AS raw,
|
||||||
|
updated_at
|
||||||
|
FROM public.dlob_orderbook_l2_latest
|
||||||
|
WHERE is_indicative = FALSE;
|
||||||
|
|
||||||
|
CREATE OR REPLACE VIEW public.dlob_stats_latest_projection AS
|
||||||
|
WITH base AS (
|
||||||
|
SELECT
|
||||||
|
source,
|
||||||
|
market_name,
|
||||||
|
market_type,
|
||||||
|
market_index,
|
||||||
|
ts,
|
||||||
|
slot,
|
||||||
|
CASE
|
||||||
|
WHEN NULLIF(mark_price_raw, '') IS NULL THEN NULL
|
||||||
|
ELSE NULLIF(mark_price_raw, '')::numeric / 1000000::numeric
|
||||||
|
END AS mark_price,
|
||||||
|
CASE
|
||||||
|
WHEN NULLIF(oracle_price_raw, '') IS NULL THEN NULL
|
||||||
|
ELSE NULLIF(oracle_price_raw, '')::numeric / 1000000::numeric
|
||||||
|
END AS oracle_price,
|
||||||
|
CASE
|
||||||
|
WHEN NULLIF(best_bid_price_raw, '') IS NULL THEN NULL
|
||||||
|
ELSE NULLIF(best_bid_price_raw, '')::numeric / 1000000::numeric
|
||||||
|
END AS best_bid_price,
|
||||||
|
CASE
|
||||||
|
WHEN NULLIF(best_ask_price_raw, '') IS NULL THEN NULL
|
||||||
|
ELSE NULLIF(best_ask_price_raw, '')::numeric / 1000000::numeric
|
||||||
|
END AS best_ask_price,
|
||||||
|
bids,
|
||||||
|
asks,
|
||||||
|
payload,
|
||||||
|
updated_at
|
||||||
|
FROM public.dlob_orderbook_l2_latest
|
||||||
|
WHERE is_indicative = FALSE
|
||||||
|
),
|
||||||
|
bid_levels AS (
|
||||||
|
SELECT
|
||||||
|
b.source,
|
||||||
|
b.market_name,
|
||||||
|
COALESCE(
|
||||||
|
SUM((NULLIF(level->>'size', '')::numeric) / 1000000000::numeric),
|
||||||
|
0::numeric
|
||||||
|
) AS depth_bid_base,
|
||||||
|
COALESCE(
|
||||||
|
SUM(
|
||||||
|
((NULLIF(level->>'size', '')::numeric) / 1000000000::numeric) *
|
||||||
|
((NULLIF(level->>'price', '')::numeric) / 1000000::numeric)
|
||||||
|
),
|
||||||
|
0::numeric
|
||||||
|
) AS depth_bid_usd
|
||||||
|
FROM base b
|
||||||
|
LEFT JOIN LATERAL (
|
||||||
|
SELECT level
|
||||||
|
FROM jsonb_array_elements(COALESCE(b.bids, '[]'::jsonb)) WITH ORDINALITY AS e(level, ord)
|
||||||
|
WHERE ord <= 10
|
||||||
|
) levels ON TRUE
|
||||||
|
GROUP BY b.source, b.market_name
|
||||||
|
),
|
||||||
|
ask_levels AS (
|
||||||
|
SELECT
|
||||||
|
b.source,
|
||||||
|
b.market_name,
|
||||||
|
COALESCE(
|
||||||
|
SUM((NULLIF(level->>'size', '')::numeric) / 1000000000::numeric),
|
||||||
|
0::numeric
|
||||||
|
) AS depth_ask_base,
|
||||||
|
COALESCE(
|
||||||
|
SUM(
|
||||||
|
((NULLIF(level->>'size', '')::numeric) / 1000000000::numeric) *
|
||||||
|
((NULLIF(level->>'price', '')::numeric) / 1000000::numeric)
|
||||||
|
),
|
||||||
|
0::numeric
|
||||||
|
) AS depth_ask_usd
|
||||||
|
FROM base b
|
||||||
|
LEFT JOIN LATERAL (
|
||||||
|
SELECT level
|
||||||
|
FROM jsonb_array_elements(COALESCE(b.asks, '[]'::jsonb)) WITH ORDINALITY AS e(level, ord)
|
||||||
|
WHERE ord <= 10
|
||||||
|
) levels ON TRUE
|
||||||
|
GROUP BY b.source, b.market_name
|
||||||
|
)
|
||||||
|
SELECT
|
||||||
|
b.source,
|
||||||
|
b.market_name,
|
||||||
|
b.market_type,
|
||||||
|
b.market_index,
|
||||||
|
b.ts,
|
||||||
|
b.slot,
|
||||||
|
b.mark_price,
|
||||||
|
b.oracle_price,
|
||||||
|
b.best_bid_price,
|
||||||
|
b.best_ask_price,
|
||||||
|
CASE
|
||||||
|
WHEN b.best_bid_price IS NOT NULL AND b.best_ask_price IS NOT NULL
|
||||||
|
THEN (b.best_bid_price + b.best_ask_price) / 2
|
||||||
|
ELSE NULL
|
||||||
|
END AS mid_price,
|
||||||
|
CASE
|
||||||
|
WHEN b.best_bid_price IS NOT NULL AND b.best_ask_price IS NOT NULL
|
||||||
|
THEN b.best_ask_price - b.best_bid_price
|
||||||
|
ELSE NULL
|
||||||
|
END AS spread_abs,
|
||||||
|
CASE
|
||||||
|
WHEN b.best_bid_price IS NOT NULL
|
||||||
|
AND b.best_ask_price IS NOT NULL
|
||||||
|
AND (b.best_bid_price + b.best_ask_price) > 0
|
||||||
|
THEN ((b.best_ask_price - b.best_bid_price) / ((b.best_bid_price + b.best_ask_price) / 2)) * 10000
|
||||||
|
ELSE NULL
|
||||||
|
END AS spread_bps,
|
||||||
|
10::integer AS depth_levels,
|
||||||
|
bids.depth_bid_base,
|
||||||
|
asks.depth_ask_base,
|
||||||
|
bids.depth_bid_usd,
|
||||||
|
asks.depth_ask_usd,
|
||||||
|
CASE
|
||||||
|
WHEN (bids.depth_bid_usd + asks.depth_ask_usd) > 0
|
||||||
|
THEN (bids.depth_bid_usd - asks.depth_ask_usd) / (bids.depth_bid_usd + asks.depth_ask_usd)
|
||||||
|
ELSE NULL
|
||||||
|
END AS imbalance,
|
||||||
|
jsonb_build_object(
|
||||||
|
'canonical_table', 'dlob_orderbook_l2_latest',
|
||||||
|
'projection', 'dlob_stats_latest_projection'
|
||||||
|
) AS raw,
|
||||||
|
b.updated_at
|
||||||
|
FROM base b
|
||||||
|
LEFT JOIN bid_levels bids USING (source, market_name)
|
||||||
|
LEFT JOIN ask_levels asks USING (source, market_name);
|
||||||
|
|
||||||
|
-- Retired legacy DLOB read-side pipeline artifacts. Keep this cleanup in initdb so
|
||||||
|
-- fresh volumes and reused volumes both converge on the current Redis -> derived tables workflow.
|
||||||
|
DROP VIEW IF EXISTS public.dlob_l2_latest_projection;
|
||||||
|
DROP VIEW IF EXISTS public.dlob_stats_latest_projection;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_l2_latest;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_stats_latest;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_depth_bps_latest;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_slippage_latest;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_slippage_latest_v2;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_stats_ts;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_depth_bps_ts;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_slippage_ts;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_slippage_ts_v2;
|
||||||
|
DROP TABLE IF EXISTS public.dlob_orderbook_l2_latest;
|
||||||
|
|
||||||
|
-- Canonical raw DLOB hot snapshots written from Redis to PostgreSQL.
|
||||||
|
CREATE TABLE IF NOT EXISTS public.dlob_hot_snapshot_latest (
|
||||||
|
source TEXT NOT NULL,
|
||||||
|
redis_key TEXT NOT NULL,
|
||||||
|
snapshot_kind TEXT NOT NULL CHECK (snapshot_kind IN ('orderbook_l2', 'orderbook_l3', 'best_makers')),
|
||||||
|
market_type TEXT NOT NULL,
|
||||||
|
market_index INTEGER NOT NULL,
|
||||||
|
market_name TEXT NOT NULL,
|
||||||
|
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||||
|
ts_ms BIGINT NOT NULL,
|
||||||
|
slot BIGINT,
|
||||||
|
market_slot BIGINT,
|
||||||
|
payload_hash TEXT NOT NULL,
|
||||||
|
mark_price_raw TEXT,
|
||||||
|
oracle_price_raw TEXT,
|
||||||
|
best_bid_price_raw TEXT,
|
||||||
|
best_ask_price_raw TEXT,
|
||||||
|
spread_pct_raw TEXT,
|
||||||
|
spread_quote_raw TEXT,
|
||||||
|
oracle_data JSONB,
|
||||||
|
bids JSONB,
|
||||||
|
asks JSONB,
|
||||||
|
payload JSONB NOT NULL,
|
||||||
|
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
PRIMARY KEY (source, market_type, market_index, snapshot_kind, is_indicative)
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_hot_snapshot_latest_updated_at_idx
|
||||||
|
ON public.dlob_hot_snapshot_latest (updated_at DESC);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_hot_snapshot_latest_source_market_idx
|
||||||
|
ON public.dlob_hot_snapshot_latest (source, market_type, market_index, updated_at DESC);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS public.dlob_hot_snapshot_ts (
|
||||||
|
event_ts TIMESTAMPTZ NOT NULL,
|
||||||
|
id BIGSERIAL NOT NULL,
|
||||||
|
source TEXT NOT NULL,
|
||||||
|
redis_key TEXT NOT NULL,
|
||||||
|
snapshot_kind TEXT NOT NULL CHECK (snapshot_kind IN ('orderbook_l2', 'orderbook_l3', 'best_makers')),
|
||||||
|
market_type TEXT NOT NULL,
|
||||||
|
market_index INTEGER NOT NULL,
|
||||||
|
market_name TEXT NOT NULL,
|
||||||
|
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||||
|
ts_ms BIGINT NOT NULL,
|
||||||
|
slot BIGINT,
|
||||||
|
market_slot BIGINT,
|
||||||
|
payload_hash TEXT NOT NULL,
|
||||||
|
mark_price_raw TEXT,
|
||||||
|
oracle_price_raw TEXT,
|
||||||
|
best_bid_price_raw TEXT,
|
||||||
|
best_ask_price_raw TEXT,
|
||||||
|
spread_pct_raw TEXT,
|
||||||
|
spread_quote_raw TEXT,
|
||||||
|
oracle_data JSONB,
|
||||||
|
bids JSONB,
|
||||||
|
asks JSONB,
|
||||||
|
payload JSONB NOT NULL,
|
||||||
|
inserted_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
PRIMARY KEY (event_ts, id)
|
||||||
|
);
|
||||||
|
|
||||||
|
SELECT create_hypertable('dlob_hot_snapshot_ts', 'event_ts', if_not_exists => TRUE, migrate_data => TRUE);
|
||||||
|
|
||||||
|
CREATE UNIQUE INDEX IF NOT EXISTS dlob_hot_snapshot_ts_dedupe_idx
|
||||||
|
ON public.dlob_hot_snapshot_ts (event_ts, source, redis_key, payload_hash);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_hot_snapshot_ts_market_ts_desc_idx
|
||||||
|
ON public.dlob_hot_snapshot_ts (market_type, market_index, event_ts DESC);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_hot_snapshot_ts_source_market_ts_desc_idx
|
||||||
|
ON public.dlob_hot_snapshot_ts (source, market_type, market_index, event_ts DESC);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS public.dlob_hot_derived_latest (
|
||||||
|
source TEXT NOT NULL,
|
||||||
|
market_type TEXT NOT NULL,
|
||||||
|
market_index INTEGER NOT NULL,
|
||||||
|
market_name TEXT NOT NULL,
|
||||||
|
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||||
|
ts_ms BIGINT NOT NULL,
|
||||||
|
slot BIGINT,
|
||||||
|
market_slot BIGINT,
|
||||||
|
mark_price NUMERIC,
|
||||||
|
oracle_price NUMERIC,
|
||||||
|
best_bid_price NUMERIC,
|
||||||
|
best_ask_price NUMERIC,
|
||||||
|
mid_price NUMERIC,
|
||||||
|
spread_quote NUMERIC,
|
||||||
|
spread_bps NUMERIC,
|
||||||
|
depth_levels INTEGER NOT NULL,
|
||||||
|
bid_levels INTEGER NOT NULL,
|
||||||
|
ask_levels INTEGER NOT NULL,
|
||||||
|
top_bid_size NUMERIC,
|
||||||
|
top_ask_size NUMERIC,
|
||||||
|
top_bid_notional NUMERIC,
|
||||||
|
top_ask_notional NUMERIC,
|
||||||
|
depth_bid_base NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_ask_base NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_bid_quote NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_ask_quote NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
imbalance NUMERIC,
|
||||||
|
bids_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
|
||||||
|
asks_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
|
||||||
|
raw_payload_hash TEXT NOT NULL,
|
||||||
|
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
PRIMARY KEY (source, market_type, market_index, is_indicative)
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_hot_derived_latest_updated_at_idx
|
||||||
|
ON public.dlob_hot_derived_latest (updated_at DESC);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_hot_derived_latest_source_market_idx
|
||||||
|
ON public.dlob_hot_derived_latest (source, market_type, market_index, updated_at DESC);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS public.dlob_hot_derived_ts (
|
||||||
|
event_ts TIMESTAMPTZ NOT NULL,
|
||||||
|
id BIGSERIAL NOT NULL,
|
||||||
|
source TEXT NOT NULL,
|
||||||
|
market_type TEXT NOT NULL,
|
||||||
|
market_index INTEGER NOT NULL,
|
||||||
|
market_name TEXT NOT NULL,
|
||||||
|
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||||
|
ts_ms BIGINT NOT NULL,
|
||||||
|
slot BIGINT,
|
||||||
|
market_slot BIGINT,
|
||||||
|
mark_price NUMERIC,
|
||||||
|
oracle_price NUMERIC,
|
||||||
|
best_bid_price NUMERIC,
|
||||||
|
best_ask_price NUMERIC,
|
||||||
|
mid_price NUMERIC,
|
||||||
|
spread_quote NUMERIC,
|
||||||
|
spread_bps NUMERIC,
|
||||||
|
depth_levels INTEGER NOT NULL,
|
||||||
|
bid_levels INTEGER NOT NULL,
|
||||||
|
ask_levels INTEGER NOT NULL,
|
||||||
|
top_bid_size NUMERIC,
|
||||||
|
top_ask_size NUMERIC,
|
||||||
|
top_bid_notional NUMERIC,
|
||||||
|
top_ask_notional NUMERIC,
|
||||||
|
depth_bid_base NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_ask_base NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_bid_quote NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_ask_quote NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
imbalance NUMERIC,
|
||||||
|
bids_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
|
||||||
|
asks_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
|
||||||
|
raw_payload_hash TEXT NOT NULL,
|
||||||
|
inserted_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
PRIMARY KEY (event_ts, id)
|
||||||
|
);
|
||||||
|
|
||||||
|
SELECT create_hypertable('dlob_hot_derived_ts', 'event_ts', if_not_exists => TRUE, migrate_data => TRUE);
|
||||||
|
|
||||||
|
CREATE UNIQUE INDEX IF NOT EXISTS dlob_hot_derived_ts_dedupe_idx
|
||||||
|
ON public.dlob_hot_derived_ts (event_ts, source, market_type, market_index, is_indicative, raw_payload_hash);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_hot_derived_ts_market_ts_desc_idx
|
||||||
|
ON public.dlob_hot_derived_ts (market_type, market_index, event_ts DESC);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_hot_derived_ts_source_market_ts_desc_idx
|
||||||
|
ON public.dlob_hot_derived_ts (source, market_type, market_index, event_ts DESC);
|
||||||
|
|
||||||
|
DO $$
|
||||||
|
BEGIN
|
||||||
|
PERFORM add_retention_policy('dlob_hot_snapshot_ts', INTERVAL '30 days');
|
||||||
|
EXCEPTION WHEN duplicate_object THEN NULL;
|
||||||
|
END $$;
|
||||||
|
|
||||||
|
DO $$
|
||||||
|
BEGIN
|
||||||
|
PERFORM add_retention_policy('dlob_hot_derived_ts', INTERVAL '180 days');
|
||||||
|
EXCEPTION WHEN duplicate_object THEN NULL;
|
||||||
|
END $$;
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS public.dlob_all_derived_latest (
|
||||||
|
source TEXT NOT NULL,
|
||||||
|
market_type TEXT NOT NULL,
|
||||||
|
market_index INTEGER NOT NULL,
|
||||||
|
market_name TEXT NOT NULL,
|
||||||
|
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||||
|
ts_ms BIGINT NOT NULL,
|
||||||
|
slot BIGINT,
|
||||||
|
market_slot BIGINT,
|
||||||
|
mark_price NUMERIC,
|
||||||
|
oracle_price NUMERIC,
|
||||||
|
best_bid_price NUMERIC,
|
||||||
|
best_ask_price NUMERIC,
|
||||||
|
mid_price NUMERIC,
|
||||||
|
spread_quote NUMERIC,
|
||||||
|
spread_bps NUMERIC,
|
||||||
|
depth_levels INTEGER NOT NULL,
|
||||||
|
bid_levels INTEGER NOT NULL,
|
||||||
|
ask_levels INTEGER NOT NULL,
|
||||||
|
top_bid_size NUMERIC,
|
||||||
|
top_ask_size NUMERIC,
|
||||||
|
top_bid_notional NUMERIC,
|
||||||
|
top_ask_notional NUMERIC,
|
||||||
|
depth_bid_base NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_ask_base NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_bid_quote NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_ask_quote NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
imbalance NUMERIC,
|
||||||
|
bids_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
|
||||||
|
asks_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
|
||||||
|
raw_payload_hash TEXT NOT NULL,
|
||||||
|
updated_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
PRIMARY KEY (source, market_type, market_index, is_indicative)
|
||||||
|
);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_all_derived_latest_updated_at_idx
|
||||||
|
ON public.dlob_all_derived_latest (updated_at DESC);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_all_derived_latest_source_market_idx
|
||||||
|
ON public.dlob_all_derived_latest (source, market_type, market_index, updated_at DESC);
|
||||||
|
|
||||||
|
CREATE TABLE IF NOT EXISTS public.dlob_all_derived_ts (
|
||||||
|
event_ts TIMESTAMPTZ NOT NULL,
|
||||||
|
id BIGSERIAL NOT NULL,
|
||||||
|
source TEXT NOT NULL,
|
||||||
|
market_type TEXT NOT NULL,
|
||||||
|
market_index INTEGER NOT NULL,
|
||||||
|
market_name TEXT NOT NULL,
|
||||||
|
is_indicative BOOLEAN NOT NULL DEFAULT FALSE,
|
||||||
|
ts_ms BIGINT NOT NULL,
|
||||||
|
slot BIGINT,
|
||||||
|
market_slot BIGINT,
|
||||||
|
mark_price NUMERIC,
|
||||||
|
oracle_price NUMERIC,
|
||||||
|
best_bid_price NUMERIC,
|
||||||
|
best_ask_price NUMERIC,
|
||||||
|
mid_price NUMERIC,
|
||||||
|
spread_quote NUMERIC,
|
||||||
|
spread_bps NUMERIC,
|
||||||
|
depth_levels INTEGER NOT NULL,
|
||||||
|
bid_levels INTEGER NOT NULL,
|
||||||
|
ask_levels INTEGER NOT NULL,
|
||||||
|
top_bid_size NUMERIC,
|
||||||
|
top_ask_size NUMERIC,
|
||||||
|
top_bid_notional NUMERIC,
|
||||||
|
top_ask_notional NUMERIC,
|
||||||
|
depth_bid_base NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_ask_base NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_bid_quote NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
depth_ask_quote NUMERIC NOT NULL DEFAULT 0,
|
||||||
|
imbalance NUMERIC,
|
||||||
|
bids_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
|
||||||
|
asks_norm JSONB NOT NULL DEFAULT '[]'::jsonb,
|
||||||
|
raw_payload_hash TEXT NOT NULL,
|
||||||
|
inserted_at TIMESTAMPTZ NOT NULL DEFAULT now(),
|
||||||
|
PRIMARY KEY (event_ts, id)
|
||||||
|
);
|
||||||
|
|
||||||
|
SELECT create_hypertable('dlob_all_derived_ts', 'event_ts', if_not_exists => TRUE, migrate_data => TRUE);
|
||||||
|
|
||||||
|
CREATE UNIQUE INDEX IF NOT EXISTS dlob_all_derived_ts_dedupe_idx
|
||||||
|
ON public.dlob_all_derived_ts (event_ts, source, market_type, market_index, is_indicative, raw_payload_hash);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_all_derived_ts_market_ts_desc_idx
|
||||||
|
ON public.dlob_all_derived_ts (market_type, market_index, event_ts DESC);
|
||||||
|
|
||||||
|
CREATE INDEX IF NOT EXISTS dlob_all_derived_ts_source_market_ts_desc_idx
|
||||||
|
ON public.dlob_all_derived_ts (source, market_type, market_index, event_ts DESC);
|
||||||
|
|
||||||
|
DO $$
|
||||||
|
BEGIN
|
||||||
|
PERFORM add_retention_policy('dlob_all_derived_ts', INTERVAL '30 days');
|
||||||
|
EXCEPTION WHEN duplicate_object THEN NULL;
|
||||||
|
END $$;
|
||||||
|
|||||||
@@ -9,23 +9,10 @@ resources:
|
|||||||
- hasura/service.yaml
|
- hasura/service.yaml
|
||||||
- hasura/deployment.yaml
|
- hasura/deployment.yaml
|
||||||
- hasura/job-bootstrap.yaml
|
- hasura/job-bootstrap.yaml
|
||||||
- api/service.yaml
|
|
||||||
- api/deployment.yaml
|
|
||||||
- ingestor/deployment.yaml
|
|
||||||
- frontend/service.yaml
|
- frontend/service.yaml
|
||||||
- frontend/deployment.yaml
|
- frontend/deployment.yaml
|
||||||
- dlob/redis.yaml
|
- dlob/redis.yaml
|
||||||
- dlob/publisher-deployment.yaml
|
- dlob/publisher-deployment.yaml
|
||||||
- dlob/server-service.yaml
|
|
||||||
- dlob/server-deployment.yaml
|
|
||||||
- dlob-worker/deployment.yaml
|
|
||||||
- dlob-worker/deployment-drift.yaml
|
|
||||||
- dlob-depth-worker/deployment.yaml
|
|
||||||
- dlob-depth-worker/deployment-drift.yaml
|
|
||||||
- dlob-slippage-worker/deployment.yaml
|
|
||||||
- dlob-slippage-worker/deployment-drift.yaml
|
|
||||||
- dlob-ts-archiver/deployment.yaml
|
|
||||||
- dlob-ts-archiver/deployment-drift.yaml
|
|
||||||
- candles-cache-worker/deployment.yaml
|
- candles-cache-worker/deployment.yaml
|
||||||
|
|
||||||
configMapGenerator:
|
configMapGenerator:
|
||||||
@@ -35,27 +22,9 @@ configMapGenerator:
|
|||||||
- name: hasura-bootstrap-script
|
- name: hasura-bootstrap-script
|
||||||
files:
|
files:
|
||||||
- hasura/hasura-bootstrap.mjs
|
- hasura/hasura-bootstrap.mjs
|
||||||
- name: dlob-worker-script
|
|
||||||
files:
|
|
||||||
- dlob-worker/worker.mjs
|
|
||||||
- name: dlob-depth-worker-script
|
|
||||||
files:
|
|
||||||
- dlob-depth-worker/worker.mjs
|
|
||||||
- name: dlob-slippage-worker-script
|
|
||||||
files:
|
|
||||||
- dlob-slippage-worker/worker.mjs
|
|
||||||
- name: dlob-ts-archiver-script
|
|
||||||
files:
|
|
||||||
- dlob-ts-archiver/worker.mjs
|
|
||||||
- name: candles-cache-worker-script
|
- name: candles-cache-worker-script
|
||||||
files:
|
files:
|
||||||
- candles-cache-worker/worker.mjs
|
- candles-cache-worker/worker.mjs
|
||||||
- name: trade-api-wrapper
|
|
||||||
files:
|
|
||||||
- api/wrapper.mjs
|
|
||||||
- name: trade-api-upstream
|
|
||||||
files:
|
|
||||||
- api/server.mjs
|
|
||||||
|
|
||||||
generatorOptions:
|
generatorOptions:
|
||||||
disableNameSuffixHash: true
|
disableNameSuffixHash: true
|
||||||
|
|||||||
83
kustomize/overlays/mevnode-bot/README.md
Normal file
83
kustomize/overlays/mevnode-bot/README.md
Normal file
@@ -0,0 +1,83 @@
|
|||||||
|
# mevnode-bot overlay
|
||||||
|
|
||||||
|
To jest docelowy overlay dla runtime `mevnode_bot`.
|
||||||
|
|
||||||
|
Zakres:
|
||||||
|
|
||||||
|
- `postgres`
|
||||||
|
- `hasura`
|
||||||
|
- `trade-frontend` (`NodePort 30081`)
|
||||||
|
- `dlob-redis`
|
||||||
|
- `dlob-publisher-hot`
|
||||||
|
- `dlob-publisher-all`
|
||||||
|
- `dlob-hot-redis-to-postgres-raw-writer`
|
||||||
|
- `dlob-hot-postgres-to-postgres-derived-writer`
|
||||||
|
- `dlob-all-redis-to-postgres-derived-writer`
|
||||||
|
|
||||||
|
Założenia runtime:
|
||||||
|
|
||||||
|
- `mevnode_sol` wystawia po `wg0`:
|
||||||
|
- `RPC`: `http://10.91.0.1:8899`
|
||||||
|
- `WS`: `ws://10.91.0.1:8900`
|
||||||
|
- `Yellowstone`: `http://10.91.0.1:10000`
|
||||||
|
- `mevnode_bot` uruchamia tylko warstwę aplikacyjną.
|
||||||
|
- `trade-frontend` jest wystawiany przez `NodePort 30081`.
|
||||||
|
- Namespace pozostaje `trade-staging`.
|
||||||
|
|
||||||
|
Topologia DLOB w tym overlayu:
|
||||||
|
|
||||||
|
- `dlob-publisher-hot` to hot-path na wybrane markety (`PERP_MARKETS_TO_LOAD=0,20,72`, czyli `SOL-PERP`, `JTO-PERP`, `ADA-PERP`) i prefix Redis `DLOB_HOT` (`dlob-hot:`).
|
||||||
|
- `dlob-publisher-all` to szeroki feed do wszystkich marketów na prefix Redis `DLOB_ALL` (`dlob-all:`).
|
||||||
|
- `dlob-hot-redis-to-postgres-raw-writer` to schema-first writer: czyta `dlob-hot:` z Redis i zapisuje kanoniczny raw DLOB do PostgreSQL (`dlob_hot_snapshot_latest`, `dlob_hot_snapshot_ts`).
|
||||||
|
- `dlob-hot-postgres-to-postgres-derived-writer` czyta raw hot z PostgreSQL i buduje normalized layer (`dlob_hot_derived_latest`, `dlob_hot_derived_ts`).
|
||||||
|
- `LIVE` na `k3s`: sciezka `hot` jest juz aktywna jako `Redis -> raw PG -> derived PG`.
|
||||||
|
- `dlob-publisher-all` celowo nie ma patcha persistent store, żeby nie dublowac zapisow do Postgresa.
|
||||||
|
- `dlob-all-redis-to-postgres-derived-writer` zapisuje dla `all` tylko warstwe pochodna do PostgreSQL; bez `raw_ts`, zeby nie zjadac dysku w kilka dni.
|
||||||
|
- `LIVE` na `k3s`: sciezka `all` jest aktywna jako `Redis -> derived PG`.
|
||||||
|
- `all` zapisuje pelne `derived_ts` dla wszystkich marketow z `dlob-all:*`, bez samplingu i bez shortlisty marketow.
|
||||||
|
|
||||||
|
Planowany zakres zapisu dla `all`:
|
||||||
|
|
||||||
|
- tozsamosc i czas: `source`, `market_type`, `market_index`, `market_name`, `is_indicative`, `event_ts/ts_ms`, `slot`, `market_slot`
|
||||||
|
- cena i mikrostruktura: `mark_price`, `oracle_price`, `best_bid_price`, `best_ask_price`, `mid_price`, `spread_quote`, `spread_bps`
|
||||||
|
- plynnosc: `depth_levels`, `bid_levels`, `ask_levels`, `top_bid_size`, `top_ask_size`, `top_bid_notional`, `top_ask_notional`, `depth_bid_base`, `depth_ask_base`, `depth_bid_quote`, `depth_ask_quote`, `imbalance`
|
||||||
|
- drabinka do modelu/UI: `bids_norm`, `asks_norm` jako top `10` leveli z polami `price`, `sizeBase`, `notional`, `sources`
|
||||||
|
- kontrola jakosci i dedupe: `raw_payload_hash`, `updated_at` / `inserted_at`
|
||||||
|
- celowo pomijamy: pelny `raw payload`, `raw latest`, `raw ts`, `L3`, `best_makers`
|
||||||
|
|
||||||
|
Polityka `hot` vs `all`:
|
||||||
|
|
||||||
|
- `hot` i `all` rozniamy po roli operacyjnej, nie po samym mechanizmie subskrypcji.
|
||||||
|
- `hot` = `dlob-publisher-hot`: subset marketow, najnizsza latencja, najwyzszy priorytet operacyjny.
|
||||||
|
- `all` = `dlob-publisher-all`: pelne pokrycie marketow, feed do coverage/read-side/analityki, nizszy priorytet operacyjny niz `hot`.
|
||||||
|
- `USE_ORDER_SUBSCRIBER=true` moze byc wlaczone na obu publisherach; to nie definiuje roli `hot` vs `all`.
|
||||||
|
- `hot` powinien byc broniony jako pierwszy przy problemach z CPU/RAM/RPC i nie powinien byc degradowany przed `all`.
|
||||||
|
- Jesli trzeba ograniczac load albo robic fallback, najpierw degradujemy `all`, dopiero potem `hot`.
|
||||||
|
|
||||||
|
Zalecana polityka runtime:
|
||||||
|
|
||||||
|
- `hot`: utrzymywac `OrderSubscriber + gRPC` jako sciezke docelowa.
|
||||||
|
- `all`: domyslnie tez `OrderSubscriber + gRPC`, ale to pierwszy kandydat do przejscia na slabszy tryb przy presji zasobow.
|
||||||
|
- Kolejnosc degradacji dla `all`: `gRPC -> websocket -> polling`.
|
||||||
|
- Wylaczenie `USE_ORDER_SUBSCRIBER` traktowac jako tryb awaryjny/testowy, nie jako stan docelowy.
|
||||||
|
|
||||||
|
Wymagane sekrety:
|
||||||
|
|
||||||
|
- `trade-postgres`
|
||||||
|
- `trade-hasura`
|
||||||
|
- `trade-frontend-tokens`
|
||||||
|
- `trade-dlob-rpc`
|
||||||
|
|
||||||
|
Opcjonalne:
|
||||||
|
|
||||||
|
- `gitea-registry` nie jest tu wymagane, bo overlay czyści `imagePullSecrets`.
|
||||||
|
|
||||||
|
Uwagi:
|
||||||
|
|
||||||
|
- Overlay zastępuje lokalny `_tmp/bot-rx-stack`.
|
||||||
|
- `trade-deploy/kustomize/overlays/mevnode-bot` jest teraz źródłem prawdy dla runtime `mevnode_bot`.
|
||||||
|
- Ten overlay nadal korzysta z plików z `../../base` w `configMapGenerator`, więc przy lokalnym `kustomize` może być potrzebne:
|
||||||
|
|
||||||
|
```bash
|
||||||
|
sudo k3s kubectl kustomize trade-deploy/kustomize/overlays/mevnode-bot --load-restrictor LoadRestrictionsNone | sudo k3s kubectl apply -f -
|
||||||
|
```
|
||||||
@@ -0,0 +1,66 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: dlob-all-redis-to-postgres-derived-writer
|
||||||
|
annotations:
|
||||||
|
argocd.argoproj.io/sync-wave: "5"
|
||||||
|
spec:
|
||||||
|
replicas: 1
|
||||||
|
selector:
|
||||||
|
matchLabels:
|
||||||
|
app.kubernetes.io/name: dlob-all-redis-to-postgres-derived-writer
|
||||||
|
template:
|
||||||
|
metadata:
|
||||||
|
labels:
|
||||||
|
app.kubernetes.io/name: dlob-all-redis-to-postgres-derived-writer
|
||||||
|
spec:
|
||||||
|
priorityClassName: dlob-all
|
||||||
|
imagePullSecrets: []
|
||||||
|
containers:
|
||||||
|
- name: writer
|
||||||
|
image: gitea.mpabi.pl/trade/trade-dlob-server:all-derived-20260317-014016
|
||||||
|
imagePullPolicy: IfNotPresent
|
||||||
|
env:
|
||||||
|
- name: DLOB_SOURCE
|
||||||
|
value: mevnode_bot_all_derived
|
||||||
|
- name: REDIS_HOST
|
||||||
|
value: dlob-redis
|
||||||
|
- name: REDIS_PORT
|
||||||
|
value: "6379"
|
||||||
|
- name: REDIS_KEY_PREFIX
|
||||||
|
value: "dlob-all:"
|
||||||
|
- name: DLOB_POLL_MS
|
||||||
|
value: "1000"
|
||||||
|
- name: NORMALIZED_DEPTH
|
||||||
|
value: "10"
|
||||||
|
- name: PRICE_PRECISION
|
||||||
|
value: "1000000"
|
||||||
|
- name: BASE_PRECISION
|
||||||
|
value: "1000000000"
|
||||||
|
- name: PGHOST
|
||||||
|
value: postgres
|
||||||
|
- name: PGPORT
|
||||||
|
value: "5432"
|
||||||
|
- name: PGUSER
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_USER
|
||||||
|
- name: PGPASSWORD
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_PASSWORD
|
||||||
|
- name: PGDATABASE
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_DB
|
||||||
|
command: ["node", "/lib/scripts/dlobAllRedisToPostgresDerivedWriter.js"]
|
||||||
|
resources:
|
||||||
|
requests:
|
||||||
|
cpu: 250m
|
||||||
|
memory: 512Mi
|
||||||
|
limits:
|
||||||
|
cpu: 1000m
|
||||||
|
memory: 2Gi
|
||||||
@@ -0,0 +1,62 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: dlob-hot-postgres-to-postgres-derived-writer
|
||||||
|
annotations:
|
||||||
|
argocd.argoproj.io/sync-wave: "5"
|
||||||
|
spec:
|
||||||
|
replicas: 1
|
||||||
|
selector:
|
||||||
|
matchLabels:
|
||||||
|
app.kubernetes.io/name: dlob-hot-postgres-to-postgres-derived-writer
|
||||||
|
template:
|
||||||
|
metadata:
|
||||||
|
labels:
|
||||||
|
app.kubernetes.io/name: dlob-hot-postgres-to-postgres-derived-writer
|
||||||
|
spec:
|
||||||
|
priorityClassName: dlob-hot
|
||||||
|
imagePullSecrets: []
|
||||||
|
containers:
|
||||||
|
- name: writer
|
||||||
|
image: gitea.mpabi.pl/trade/trade-dlob-server:hot-pg-events-20260320-205517
|
||||||
|
imagePullPolicy: IfNotPresent
|
||||||
|
env:
|
||||||
|
- name: DLOB_SOURCE
|
||||||
|
value: mevnode_bot_hot_derived
|
||||||
|
- name: RAW_SOURCE
|
||||||
|
value: mevnode_bot_hot_raw
|
||||||
|
- name: DLOB_POLL_MS
|
||||||
|
value: "5000"
|
||||||
|
- name: NORMALIZED_DEPTH
|
||||||
|
value: "10"
|
||||||
|
- name: PRICE_PRECISION
|
||||||
|
value: "1000000"
|
||||||
|
- name: BASE_PRECISION
|
||||||
|
value: "1000000000"
|
||||||
|
- name: PGHOST
|
||||||
|
value: postgres
|
||||||
|
- name: PGPORT
|
||||||
|
value: "5432"
|
||||||
|
- name: PGUSER
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_USER
|
||||||
|
- name: PGPASSWORD
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_PASSWORD
|
||||||
|
- name: PGDATABASE
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_DB
|
||||||
|
command: ["node", "/lib/scripts/dlobHotPostgresToPostgresDerivedWriter.js"]
|
||||||
|
resources:
|
||||||
|
requests:
|
||||||
|
cpu: 100m
|
||||||
|
memory: 256Mi
|
||||||
|
limits:
|
||||||
|
cpu: 500m
|
||||||
|
memory: 1Gi
|
||||||
@@ -0,0 +1,60 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: dlob-hot-redis-to-postgres-raw-writer
|
||||||
|
annotations:
|
||||||
|
argocd.argoproj.io/sync-wave: "5"
|
||||||
|
spec:
|
||||||
|
replicas: 1
|
||||||
|
selector:
|
||||||
|
matchLabels:
|
||||||
|
app.kubernetes.io/name: dlob-hot-redis-to-postgres-raw-writer
|
||||||
|
template:
|
||||||
|
metadata:
|
||||||
|
labels:
|
||||||
|
app.kubernetes.io/name: dlob-hot-redis-to-postgres-raw-writer
|
||||||
|
spec:
|
||||||
|
priorityClassName: dlob-hot
|
||||||
|
imagePullSecrets: []
|
||||||
|
containers:
|
||||||
|
- name: writer
|
||||||
|
image: gitea.mpabi.pl/trade/trade-dlob-server:hot-pg-events-20260320-205517
|
||||||
|
imagePullPolicy: IfNotPresent
|
||||||
|
env:
|
||||||
|
- name: DLOB_SOURCE
|
||||||
|
value: mevnode_bot_hot_raw
|
||||||
|
- name: REDIS_HOST
|
||||||
|
value: dlob-redis
|
||||||
|
- name: REDIS_PORT
|
||||||
|
value: "6379"
|
||||||
|
- name: REDIS_KEY_PREFIX
|
||||||
|
value: "dlob-hot:"
|
||||||
|
- name: DLOB_POLL_MS
|
||||||
|
value: "5000"
|
||||||
|
- name: PGHOST
|
||||||
|
value: postgres
|
||||||
|
- name: PGPORT
|
||||||
|
value: "5432"
|
||||||
|
- name: PGUSER
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_USER
|
||||||
|
- name: PGPASSWORD
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_PASSWORD
|
||||||
|
- name: PGDATABASE
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_DB
|
||||||
|
command: ["node", "/lib/scripts/dlobHotRedisToPostgresRawWriter.js"]
|
||||||
|
resources:
|
||||||
|
requests:
|
||||||
|
cpu: 100m
|
||||||
|
memory: 256Mi
|
||||||
|
limits:
|
||||||
|
cpu: 500m
|
||||||
|
memory: 1Gi
|
||||||
@@ -0,0 +1,19 @@
|
|||||||
|
apiVersion: v1
|
||||||
|
kind: Service
|
||||||
|
metadata:
|
||||||
|
name: dlob-publisher-all
|
||||||
|
annotations:
|
||||||
|
argocd.argoproj.io/sync-wave: "4"
|
||||||
|
prometheus.io/scrape: "true"
|
||||||
|
prometheus.io/port: "9464"
|
||||||
|
prometheus.io/path: /metrics
|
||||||
|
spec:
|
||||||
|
selector:
|
||||||
|
app.kubernetes.io/name: dlob-publisher-all
|
||||||
|
ports:
|
||||||
|
- name: http
|
||||||
|
port: 8080
|
||||||
|
targetPort: 8080
|
||||||
|
- name: metrics
|
||||||
|
port: 9464
|
||||||
|
targetPort: 9464
|
||||||
102
kustomize/overlays/mevnode-bot/dlob-publisher-all.yaml
Normal file
102
kustomize/overlays/mevnode-bot/dlob-publisher-all.yaml
Normal file
@@ -0,0 +1,102 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: dlob-publisher-all
|
||||||
|
annotations:
|
||||||
|
argocd.argoproj.io/sync-wave: "4"
|
||||||
|
spec:
|
||||||
|
replicas: 1
|
||||||
|
selector:
|
||||||
|
matchLabels:
|
||||||
|
app.kubernetes.io/name: dlob-publisher-all
|
||||||
|
template:
|
||||||
|
metadata:
|
||||||
|
labels:
|
||||||
|
app.kubernetes.io/name: dlob-publisher-all
|
||||||
|
spec:
|
||||||
|
imagePullSecrets: []
|
||||||
|
containers:
|
||||||
|
- name: publisher
|
||||||
|
image: gitea.mpabi.pl/trade/trade-dlob-server:grpc-reconnect-20260319-023351
|
||||||
|
imagePullPolicy: IfNotPresent
|
||||||
|
ports:
|
||||||
|
- name: http
|
||||||
|
containerPort: 8080
|
||||||
|
env:
|
||||||
|
- name: RUNNING_LOCAL
|
||||||
|
value: "true"
|
||||||
|
- name: LOCAL_CACHE
|
||||||
|
value: "true"
|
||||||
|
- name: ENV
|
||||||
|
value: mainnet-beta
|
||||||
|
- name: USE_WEBSOCKET
|
||||||
|
value: "true"
|
||||||
|
- name: USE_ORDER_SUBSCRIBER
|
||||||
|
value: "true"
|
||||||
|
- name: USE_GRPC
|
||||||
|
value: "true"
|
||||||
|
- name: DISABLE_GPA_REFRESH
|
||||||
|
value: "true"
|
||||||
|
- name: KILLSWITCH_SLOT_DIFF_THRESHOLD
|
||||||
|
value: "1000000000"
|
||||||
|
- name: ENABLE_TOB_MONITORING
|
||||||
|
value: "false"
|
||||||
|
- name: ELASTICACHE_HOST
|
||||||
|
value: dlob-redis
|
||||||
|
- name: ELASTICACHE_PORT
|
||||||
|
value: "6379"
|
||||||
|
- name: REDIS_CLIENT
|
||||||
|
value: DLOB_ALL
|
||||||
|
- name: FETCH_CONNECT_TIMEOUT_MS
|
||||||
|
value: "15000"
|
||||||
|
- name: FETCH_HEADERS_TIMEOUT_MS
|
||||||
|
value: "300000"
|
||||||
|
- name: FETCH_BODY_TIMEOUT_MS
|
||||||
|
value: "300000"
|
||||||
|
- name: GRPC_CLIENT
|
||||||
|
value: "yellowstone"
|
||||||
|
- name: ENDPOINT
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-dlob-rpc
|
||||||
|
key: ENDPOINT
|
||||||
|
- name: WS_ENDPOINT
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-dlob-rpc
|
||||||
|
key: WS_ENDPOINT
|
||||||
|
- name: GRPC_ENDPOINT
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-dlob-rpc
|
||||||
|
key: GRPC_ENDPOINT
|
||||||
|
- name: TOKEN
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-dlob-rpc
|
||||||
|
key: TOKEN
|
||||||
|
command: ["node", "/lib/publishers/dlobPublisher.js"]
|
||||||
|
startupProbe:
|
||||||
|
httpGet:
|
||||||
|
path: /startup
|
||||||
|
port: http
|
||||||
|
initialDelaySeconds: 10
|
||||||
|
periodSeconds: 10
|
||||||
|
timeoutSeconds: 3
|
||||||
|
failureThreshold: 180
|
||||||
|
readinessProbe:
|
||||||
|
httpGet:
|
||||||
|
path: /startup
|
||||||
|
port: http
|
||||||
|
initialDelaySeconds: 10
|
||||||
|
periodSeconds: 10
|
||||||
|
timeoutSeconds: 3
|
||||||
|
failureThreshold: 24
|
||||||
|
livenessProbe:
|
||||||
|
httpGet:
|
||||||
|
path: /health
|
||||||
|
port: http
|
||||||
|
initialDelaySeconds: 30
|
||||||
|
periodSeconds: 20
|
||||||
|
timeoutSeconds: 3
|
||||||
|
failureThreshold: 10
|
||||||
63
kustomize/overlays/mevnode-bot/dlob-redis-retention.yaml
Normal file
63
kustomize/overlays/mevnode-bot/dlob-redis-retention.yaml
Normal file
@@ -0,0 +1,63 @@
|
|||||||
|
apiVersion: v1
|
||||||
|
kind: ConfigMap
|
||||||
|
metadata:
|
||||||
|
name: dlob-redis-retention
|
||||||
|
data:
|
||||||
|
clean.sh: |
|
||||||
|
#!/bin/sh
|
||||||
|
set -eu
|
||||||
|
now_s="$(date +%s)"
|
||||||
|
|
||||||
|
for pattern in 'dlob-hot:*' 'dlob-all:*'; do
|
||||||
|
max_age_s=900
|
||||||
|
if [ "$pattern" = 'dlob-all:*' ]; then
|
||||||
|
max_age_s=3600
|
||||||
|
fi
|
||||||
|
|
||||||
|
for key in $(redis-cli -h dlob-redis --scan --pattern "$pattern"); do
|
||||||
|
value="$(redis-cli -h dlob-redis --raw get "$key" || true)"
|
||||||
|
ts="$(printf '%s' "$value" | sed -n 's/.*"ts":\([0-9][0-9]*\).*/\1/p')"
|
||||||
|
if [ -z "$ts" ]; then
|
||||||
|
ts="$(printf '%s' "$value" | sed -n 's/.*"updatedAtTs":\([0-9][0-9]*\).*/\1/p')"
|
||||||
|
fi
|
||||||
|
[ -n "$ts" ] || continue
|
||||||
|
if [ $((now_s - ts / 1000)) -gt "$max_age_s" ]; then
|
||||||
|
redis-cli -h dlob-redis del "$key" >/dev/null
|
||||||
|
fi
|
||||||
|
done
|
||||||
|
done
|
||||||
|
---
|
||||||
|
apiVersion: batch/v1
|
||||||
|
kind: CronJob
|
||||||
|
metadata:
|
||||||
|
name: dlob-redis-retention
|
||||||
|
spec:
|
||||||
|
schedule: "*/5 * * * *"
|
||||||
|
successfulJobsHistoryLimit: 1
|
||||||
|
failedJobsHistoryLimit: 1
|
||||||
|
jobTemplate:
|
||||||
|
spec:
|
||||||
|
template:
|
||||||
|
spec:
|
||||||
|
restartPolicy: OnFailure
|
||||||
|
containers:
|
||||||
|
- name: cleaner
|
||||||
|
image: redis:7-alpine
|
||||||
|
command:
|
||||||
|
- /bin/sh
|
||||||
|
- /scripts/clean.sh
|
||||||
|
resources:
|
||||||
|
requests:
|
||||||
|
cpu: 10m
|
||||||
|
memory: 32Mi
|
||||||
|
limits:
|
||||||
|
cpu: 100m
|
||||||
|
memory: 128Mi
|
||||||
|
volumeMounts:
|
||||||
|
- name: script
|
||||||
|
mountPath: /scripts
|
||||||
|
volumes:
|
||||||
|
- name: script
|
||||||
|
configMap:
|
||||||
|
name: dlob-redis-retention
|
||||||
|
defaultMode: 365
|
||||||
44
kustomize/overlays/mevnode-bot/kustomization.yaml
Normal file
44
kustomize/overlays/mevnode-bot/kustomization.yaml
Normal file
@@ -0,0 +1,44 @@
|
|||||||
|
apiVersion: kustomize.config.k8s.io/v1beta1
|
||||||
|
kind: Kustomization
|
||||||
|
|
||||||
|
namespace: trade-staging
|
||||||
|
|
||||||
|
resources:
|
||||||
|
- namespace.yaml
|
||||||
|
- ../../base/cm-trade-deploy.yaml
|
||||||
|
- ../../base/postgres/service.yaml
|
||||||
|
- ../../base/postgres/statefulset.yaml
|
||||||
|
- ../../base/postgres/job-migrate.yaml
|
||||||
|
- ../../base/hasura/service.yaml
|
||||||
|
- ../../base/hasura/deployment.yaml
|
||||||
|
- ../../base/hasura/job-bootstrap.yaml
|
||||||
|
- ../../base/frontend/service.yaml
|
||||||
|
- ../../base/frontend/deployment.yaml
|
||||||
|
- ../../base/dlob/redis.yaml
|
||||||
|
- priority-classes.yaml
|
||||||
|
- ../../base/dlob/publisher-deployment.yaml
|
||||||
|
- dlob-publisher-all.yaml
|
||||||
|
- dlob-publisher-all-service.yaml
|
||||||
|
- dlob-hot-redis-to-postgres-raw-writer.yaml
|
||||||
|
- dlob-hot-postgres-to-postgres-derived-writer.yaml
|
||||||
|
- dlob-all-redis-to-postgres-derived-writer.yaml
|
||||||
|
- dlob-redis-retention.yaml
|
||||||
|
|
||||||
|
patchesStrategicMerge:
|
||||||
|
- patch-frontend.yaml
|
||||||
|
- patch-frontend-service.yaml
|
||||||
|
- patch-dlob-publisher.yaml
|
||||||
|
- patch-dlob-publisher-storage.yaml
|
||||||
|
- patch-dlob-publisher-hot-priority.yaml
|
||||||
|
- patch-dlob-publisher-all-priority.yaml
|
||||||
|
|
||||||
|
configMapGenerator:
|
||||||
|
- name: postgres-initdb
|
||||||
|
files:
|
||||||
|
- ../../base/initdb/001_init.sql
|
||||||
|
- name: hasura-bootstrap-script
|
||||||
|
files:
|
||||||
|
- ../../base/hasura/hasura-bootstrap.mjs
|
||||||
|
|
||||||
|
generatorOptions:
|
||||||
|
disableNameSuffixHash: true
|
||||||
4
kustomize/overlays/mevnode-bot/namespace.yaml
Normal file
4
kustomize/overlays/mevnode-bot/namespace.yaml
Normal file
@@ -0,0 +1,4 @@
|
|||||||
|
apiVersion: v1
|
||||||
|
kind: Namespace
|
||||||
|
metadata:
|
||||||
|
name: trade-staging
|
||||||
@@ -0,0 +1,8 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: dlob-publisher-all
|
||||||
|
spec:
|
||||||
|
template:
|
||||||
|
spec:
|
||||||
|
priorityClassName: dlob-all
|
||||||
@@ -0,0 +1,8 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: dlob-publisher-hot
|
||||||
|
spec:
|
||||||
|
template:
|
||||||
|
spec:
|
||||||
|
priorityClassName: dlob-hot
|
||||||
@@ -0,0 +1,40 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: dlob-publisher-hot
|
||||||
|
spec:
|
||||||
|
replicas: 1
|
||||||
|
template:
|
||||||
|
spec:
|
||||||
|
containers:
|
||||||
|
- name: publisher
|
||||||
|
env:
|
||||||
|
- name: ENABLE_PERSISTENT_STORE
|
||||||
|
value: "true"
|
||||||
|
- name: DLOB_SOURCE
|
||||||
|
value: "mevnode_bot_hot"
|
||||||
|
- name: PRICE_PRECISION
|
||||||
|
value: "1000000"
|
||||||
|
- name: BASE_PRECISION
|
||||||
|
value: "1000000000"
|
||||||
|
- name: PERSISTENT_STATS_DEPTH
|
||||||
|
value: "10"
|
||||||
|
- name: PGHOST
|
||||||
|
value: postgres
|
||||||
|
- name: PGPORT
|
||||||
|
value: "5432"
|
||||||
|
- name: PGUSER
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_USER
|
||||||
|
- name: PGPASSWORD
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_PASSWORD
|
||||||
|
- name: PGDATABASE
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-postgres
|
||||||
|
key: POSTGRES_DB
|
||||||
61
kustomize/overlays/mevnode-bot/patch-dlob-publisher.yaml
Normal file
61
kustomize/overlays/mevnode-bot/patch-dlob-publisher.yaml
Normal file
@@ -0,0 +1,61 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: dlob-publisher-hot
|
||||||
|
spec:
|
||||||
|
template:
|
||||||
|
spec:
|
||||||
|
imagePullSecrets: []
|
||||||
|
containers:
|
||||||
|
- name: publisher
|
||||||
|
env:
|
||||||
|
- name: PERP_MARKETS_TO_LOAD
|
||||||
|
value: "0,20,72"
|
||||||
|
- name: USE_GRPC
|
||||||
|
value: "true"
|
||||||
|
- name: USE_WEBSOCKET
|
||||||
|
value: "true"
|
||||||
|
- name: DISABLE_GPA_REFRESH
|
||||||
|
value: "true"
|
||||||
|
- name: FETCH_CONNECT_TIMEOUT_MS
|
||||||
|
value: "15000"
|
||||||
|
- name: FETCH_HEADERS_TIMEOUT_MS
|
||||||
|
value: "300000"
|
||||||
|
- name: FETCH_BODY_TIMEOUT_MS
|
||||||
|
value: "300000"
|
||||||
|
- name: GRPC_CLIENT
|
||||||
|
value: "yellowstone"
|
||||||
|
- name: GRPC_ENDPOINT
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-dlob-rpc
|
||||||
|
key: GRPC_ENDPOINT
|
||||||
|
- name: TOKEN
|
||||||
|
valueFrom:
|
||||||
|
secretKeyRef:
|
||||||
|
name: trade-dlob-rpc
|
||||||
|
key: TOKEN
|
||||||
|
startupProbe:
|
||||||
|
httpGet:
|
||||||
|
path: /startup
|
||||||
|
port: http
|
||||||
|
initialDelaySeconds: 10
|
||||||
|
periodSeconds: 10
|
||||||
|
timeoutSeconds: 3
|
||||||
|
failureThreshold: 90
|
||||||
|
readinessProbe:
|
||||||
|
httpGet:
|
||||||
|
path: /startup
|
||||||
|
port: http
|
||||||
|
initialDelaySeconds: 10
|
||||||
|
periodSeconds: 10
|
||||||
|
timeoutSeconds: 3
|
||||||
|
failureThreshold: 12
|
||||||
|
livenessProbe:
|
||||||
|
httpGet:
|
||||||
|
path: /health
|
||||||
|
port: http
|
||||||
|
initialDelaySeconds: 30
|
||||||
|
periodSeconds: 20
|
||||||
|
timeoutSeconds: 3
|
||||||
|
failureThreshold: 10
|
||||||
11
kustomize/overlays/mevnode-bot/patch-frontend-service.yaml
Normal file
11
kustomize/overlays/mevnode-bot/patch-frontend-service.yaml
Normal file
@@ -0,0 +1,11 @@
|
|||||||
|
apiVersion: v1
|
||||||
|
kind: Service
|
||||||
|
metadata:
|
||||||
|
name: trade-frontend
|
||||||
|
spec:
|
||||||
|
type: NodePort
|
||||||
|
ports:
|
||||||
|
- name: http
|
||||||
|
port: 8081
|
||||||
|
targetPort: http
|
||||||
|
nodePort: 30081
|
||||||
8
kustomize/overlays/mevnode-bot/patch-frontend.yaml
Normal file
8
kustomize/overlays/mevnode-bot/patch-frontend.yaml
Normal file
@@ -0,0 +1,8 @@
|
|||||||
|
apiVersion: apps/v1
|
||||||
|
kind: Deployment
|
||||||
|
metadata:
|
||||||
|
name: trade-frontend
|
||||||
|
spec:
|
||||||
|
template:
|
||||||
|
spec:
|
||||||
|
imagePullSecrets: []
|
||||||
15
kustomize/overlays/mevnode-bot/priority-classes.yaml
Normal file
15
kustomize/overlays/mevnode-bot/priority-classes.yaml
Normal file
@@ -0,0 +1,15 @@
|
|||||||
|
apiVersion: scheduling.k8s.io/v1
|
||||||
|
kind: PriorityClass
|
||||||
|
metadata:
|
||||||
|
name: dlob-hot
|
||||||
|
value: 100000
|
||||||
|
globalDefault: false
|
||||||
|
description: Higher scheduling priority for hot DLOB publisher.
|
||||||
|
---
|
||||||
|
apiVersion: scheduling.k8s.io/v1
|
||||||
|
kind: PriorityClass
|
||||||
|
metadata:
|
||||||
|
name: dlob-all
|
||||||
|
value: 50000
|
||||||
|
globalDefault: false
|
||||||
|
description: Lower scheduling priority for all-market DLOB publisher.
|
||||||
@@ -1,14 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-publisher
|
|
||||||
spec:
|
|
||||||
template:
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: publisher
|
|
||||||
env:
|
|
||||||
- name: ENDPOINT
|
|
||||||
value: "http://10.66.66.1:8899"
|
|
||||||
- name: WS_ENDPOINT
|
|
||||||
value: "ws://10.66.66.1:8900"
|
|
||||||
@@ -1,14 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-server
|
|
||||||
spec:
|
|
||||||
template:
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: server
|
|
||||||
env:
|
|
||||||
- name: ENDPOINT
|
|
||||||
value: "http://10.66.66.1:8899"
|
|
||||||
- name: WS_ENDPOINT
|
|
||||||
value: "ws://10.66.66.1:8900"
|
|
||||||
@@ -16,8 +16,6 @@ const STARTED_AT = new Date().toISOString();
|
|||||||
|
|
||||||
const STATIC_DIR = process.env.STATIC_DIR || '/srv';
|
const STATIC_DIR = process.env.STATIC_DIR || '/srv';
|
||||||
const BASIC_AUTH_FILE = process.env.BASIC_AUTH_FILE || '/tokens/frontend.json';
|
const BASIC_AUTH_FILE = process.env.BASIC_AUTH_FILE || '/tokens/frontend.json';
|
||||||
const API_READ_TOKEN_FILE = process.env.API_READ_TOKEN_FILE || '/tokens/read.json';
|
|
||||||
const API_UPSTREAM = process.env.API_UPSTREAM || process.env.API_URL || 'http://api:8787';
|
|
||||||
const HASURA_UPSTREAM = process.env.HASURA_UPSTREAM || 'http://hasura:8080';
|
const HASURA_UPSTREAM = process.env.HASURA_UPSTREAM || 'http://hasura:8080';
|
||||||
const HASURA_GRAPHQL_PATH = process.env.HASURA_GRAPHQL_PATH || '/v1/graphql';
|
const HASURA_GRAPHQL_PATH = process.env.HASURA_GRAPHQL_PATH || '/v1/graphql';
|
||||||
const GRAPHQL_CORS_ORIGIN = process.env.GRAPHQL_CORS_ORIGIN || process.env.CORS_ORIGIN || '*';
|
const GRAPHQL_CORS_ORIGIN = process.env.GRAPHQL_CORS_ORIGIN || process.env.CORS_ORIGIN || '*';
|
||||||
@@ -70,13 +68,6 @@ function loadBasicAuth() {
|
|||||||
return { username, password };
|
return { username, password };
|
||||||
}
|
}
|
||||||
|
|
||||||
function loadApiReadToken() {
|
|
||||||
const j = readJson(API_READ_TOKEN_FILE);
|
|
||||||
const token = (j?.token || '').toString();
|
|
||||||
if (!token) throw new Error(`Invalid API_READ_TOKEN_FILE: ${API_READ_TOKEN_FILE}`);
|
|
||||||
return token;
|
|
||||||
}
|
|
||||||
|
|
||||||
function send(res, status, headers, body) {
|
function send(res, status, headers, body) {
|
||||||
res.statusCode = status;
|
res.statusCode = status;
|
||||||
for (const [k, v] of Object.entries(headers || {})) res.setHeader(k, v);
|
for (const [k, v] of Object.entries(headers || {})) res.setHeader(k, v);
|
||||||
@@ -439,56 +430,6 @@ function readBody(req, limitBytes = 1024 * 16) {
|
|||||||
});
|
});
|
||||||
}
|
}
|
||||||
|
|
||||||
function proxyApi(req, res, apiReadToken) {
|
|
||||||
const upstreamBase = new URL(API_UPSTREAM);
|
|
||||||
const inUrl = new URL(req.url || '/', `http://${req.headers.host || 'localhost'}`);
|
|
||||||
|
|
||||||
const prefix = '/api';
|
|
||||||
const strippedPath = inUrl.pathname === prefix ? '/' : inUrl.pathname.startsWith(prefix + '/') ? inUrl.pathname.slice(prefix.length) : null;
|
|
||||||
if (strippedPath == null) {
|
|
||||||
send(res, 404, { 'content-type': 'text/plain; charset=utf-8' }, 'not_found');
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const target = new URL(upstreamBase.toString());
|
|
||||||
target.pathname = strippedPath || '/';
|
|
||||||
target.search = inUrl.search;
|
|
||||||
|
|
||||||
const isHttps = target.protocol === 'https:';
|
|
||||||
const lib = isHttps ? https : http;
|
|
||||||
|
|
||||||
const headers = stripHopByHopHeaders(req.headers);
|
|
||||||
delete headers.authorization; // basic auth from client must not leak upstream
|
|
||||||
headers.host = target.host;
|
|
||||||
headers.authorization = `Bearer ${apiReadToken}`;
|
|
||||||
|
|
||||||
const upstreamReq = lib.request(
|
|
||||||
{
|
|
||||||
protocol: target.protocol,
|
|
||||||
hostname: target.hostname,
|
|
||||||
port: target.port || (isHttps ? 443 : 80),
|
|
||||||
method: req.method,
|
|
||||||
path: target.pathname + target.search,
|
|
||||||
headers,
|
|
||||||
},
|
|
||||||
(upstreamRes) => {
|
|
||||||
const outHeaders = stripHopByHopHeaders(upstreamRes.headers);
|
|
||||||
res.writeHead(upstreamRes.statusCode || 502, outHeaders);
|
|
||||||
upstreamRes.pipe(res);
|
|
||||||
}
|
|
||||||
);
|
|
||||||
|
|
||||||
upstreamReq.on('error', (err) => {
|
|
||||||
if (!res.headersSent) {
|
|
||||||
send(res, 502, { 'content-type': 'text/plain; charset=utf-8' }, `bad_gateway: ${err?.message || err}`);
|
|
||||||
} else {
|
|
||||||
res.destroy();
|
|
||||||
}
|
|
||||||
});
|
|
||||||
|
|
||||||
req.pipe(upstreamReq);
|
|
||||||
}
|
|
||||||
|
|
||||||
function withCors(res) {
|
function withCors(res) {
|
||||||
res.setHeader('access-control-allow-origin', GRAPHQL_CORS_ORIGIN);
|
res.setHeader('access-control-allow-origin', GRAPHQL_CORS_ORIGIN);
|
||||||
res.setHeader('access-control-allow-methods', 'GET,POST,OPTIONS');
|
res.setHeader('access-control-allow-methods', 'GET,POST,OPTIONS');
|
||||||
@@ -734,26 +675,6 @@ async function handler(req, res) {
|
|||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
if (req.url?.startsWith('/api') && (req.url === '/api' || req.url.startsWith('/api/'))) {
|
|
||||||
if (AUTH_MODE !== 'off' && AUTH_MODE !== 'none' && AUTH_MODE !== 'disabled') {
|
|
||||||
const user = resolveAuthenticatedUser(req);
|
|
||||||
if (!user) {
|
|
||||||
unauthorized(res);
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
let token;
|
|
||||||
try {
|
|
||||||
token = loadApiReadToken();
|
|
||||||
} catch (e) {
|
|
||||||
send(res, 500, { 'content-type': 'text/plain; charset=utf-8' }, String(e?.message || e));
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
proxyApi(req, res, token);
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
serveStatic(req, res);
|
serveStatic(req, res);
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -797,11 +718,9 @@ server.listen(PORT, () => {
|
|||||||
service: 'trade-frontend',
|
service: 'trade-frontend',
|
||||||
port: PORT,
|
port: PORT,
|
||||||
staticDir: STATIC_DIR,
|
staticDir: STATIC_DIR,
|
||||||
apiUpstream: API_UPSTREAM,
|
|
||||||
hasuraUpstream: HASURA_UPSTREAM,
|
hasuraUpstream: HASURA_UPSTREAM,
|
||||||
basicAuthFile: BASIC_AUTH_FILE,
|
basicAuthFile: BASIC_AUTH_FILE,
|
||||||
basicAuthMode: BASIC_AUTH_MODE,
|
basicAuthMode: BASIC_AUTH_MODE,
|
||||||
apiReadTokenFile: API_READ_TOKEN_FILE,
|
|
||||||
authUserHeader: AUTH_USER_HEADER,
|
authUserHeader: AUTH_USER_HEADER,
|
||||||
authMode: AUTH_MODE,
|
authMode: AUTH_MODE,
|
||||||
htpasswdFile: HTPASSWD_FILE,
|
htpasswdFile: HTPASSWD_FILE,
|
||||||
|
|||||||
@@ -7,8 +7,6 @@ resources:
|
|||||||
- ../../base
|
- ../../base
|
||||||
|
|
||||||
patchesStrategicMerge:
|
patchesStrategicMerge:
|
||||||
- dlob-rpc-endpoint-patch.yaml
|
|
||||||
- dlob-rpc-server-endpoint-patch.yaml
|
|
||||||
- frontend-graphql-proxy-patch.yaml
|
- frontend-graphql-proxy-patch.yaml
|
||||||
|
|
||||||
configMapGenerator:
|
configMapGenerator:
|
||||||
|
|||||||
@@ -1,219 +0,0 @@
|
|||||||
import process from 'node:process';
|
|
||||||
import { setTimeout as sleep } from 'node:timers/promises';
|
|
||||||
|
|
||||||
function getIsoNow() {
|
|
||||||
return new Date().toISOString();
|
|
||||||
}
|
|
||||||
|
|
||||||
function envString(name, fallback) {
|
|
||||||
const v = process.env[name];
|
|
||||||
if (v == null) return fallback;
|
|
||||||
const s = String(v).trim();
|
|
||||||
return s ? s : fallback;
|
|
||||||
}
|
|
||||||
|
|
||||||
function envInt(name, fallback, { min, max } = {}) {
|
|
||||||
const v = process.env[name];
|
|
||||||
if (v == null) return fallback;
|
|
||||||
const n = Number.parseInt(String(v), 10);
|
|
||||||
if (!Number.isFinite(n)) return fallback;
|
|
||||||
const low = typeof min === 'number' ? min : n;
|
|
||||||
const high = typeof max === 'number' ? max : n;
|
|
||||||
return Math.max(low, Math.min(high, n));
|
|
||||||
}
|
|
||||||
|
|
||||||
function envList(name, fallbackCsv) {
|
|
||||||
const raw = process.env[name] ?? fallbackCsv;
|
|
||||||
return String(raw)
|
|
||||||
.split(',')
|
|
||||||
.map((s) => s.trim())
|
|
||||||
.filter(Boolean);
|
|
||||||
}
|
|
||||||
|
|
||||||
function toIntOrNull(v) {
|
|
||||||
if (v == null) return null;
|
|
||||||
if (typeof v === 'number') return Number.isFinite(v) ? Math.trunc(v) : null;
|
|
||||||
if (typeof v === 'string') {
|
|
||||||
const s = v.trim();
|
|
||||||
if (!s) return null;
|
|
||||||
const n = Number.parseInt(s, 10);
|
|
||||||
return Number.isFinite(n) ? n : null;
|
|
||||||
}
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function numStr(v) {
|
|
||||||
if (v == null) return null;
|
|
||||||
if (typeof v === 'number') return Number.isFinite(v) ? String(v) : null;
|
|
||||||
if (typeof v === 'string') {
|
|
||||||
const s = v.trim();
|
|
||||||
return s ? s : null;
|
|
||||||
}
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function isoFromEpochMs(v) {
|
|
||||||
const n = typeof v === 'number' ? v : typeof v === 'string' ? Number(v.trim()) : NaN;
|
|
||||||
if (!Number.isFinite(n) || n <= 0) return null;
|
|
||||||
const d = new Date(n);
|
|
||||||
const ms = d.getTime();
|
|
||||||
if (!Number.isFinite(ms)) return null;
|
|
||||||
return d.toISOString();
|
|
||||||
}
|
|
||||||
|
|
||||||
function resolveConfig() {
|
|
||||||
const hasuraUrl = envString('HASURA_GRAPHQL_URL', 'http://hasura:8080/v1/graphql');
|
|
||||||
const hasuraAdminSecret = envString('HASURA_ADMIN_SECRET', '');
|
|
||||||
if (!hasuraAdminSecret) throw new Error('Missing HASURA_ADMIN_SECRET');
|
|
||||||
|
|
||||||
const markets = envList('DLOB_MARKETS', 'SOL-PERP,DOGE-PERP,JUP-PERP');
|
|
||||||
const pollMs = envInt('TICKS_POLL_MS', 1000, { min: 250, max: 60_000 });
|
|
||||||
const source = envString('TICKS_SOURCE', 'dlob_stats');
|
|
||||||
|
|
||||||
return { hasuraUrl, hasuraAdminSecret, markets, pollMs, source };
|
|
||||||
}
|
|
||||||
|
|
||||||
async function graphqlRequest(cfg, query, variables) {
|
|
||||||
const res = await fetch(cfg.hasuraUrl, {
|
|
||||||
method: 'POST',
|
|
||||||
headers: {
|
|
||||||
'content-type': 'application/json',
|
|
||||||
'x-hasura-admin-secret': cfg.hasuraAdminSecret,
|
|
||||||
},
|
|
||||||
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}`);
|
|
||||||
|
|
||||||
let json;
|
|
||||||
try {
|
|
||||||
json = JSON.parse(text);
|
|
||||||
} catch {
|
|
||||||
throw new Error(`Hasura: invalid json: ${text}`);
|
|
||||||
}
|
|
||||||
|
|
||||||
if (json.errors?.length) throw new Error(json.errors.map((e) => e.message).join(' | '));
|
|
||||||
return json.data;
|
|
||||||
}
|
|
||||||
|
|
||||||
async function fetchStats(cfg) {
|
|
||||||
const query = `
|
|
||||||
query DlobStatsLatest($markets: [String!]!) {
|
|
||||||
dlob_stats_latest(where: { market_name: { _in: $markets } }) {
|
|
||||||
market_name
|
|
||||||
market_index
|
|
||||||
ts
|
|
||||||
slot
|
|
||||||
oracle_price
|
|
||||||
mark_price
|
|
||||||
mid_price
|
|
||||||
best_bid_price
|
|
||||||
best_ask_price
|
|
||||||
updated_at
|
|
||||||
}
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
|
|
||||||
const data = await graphqlRequest(cfg, query, { markets: cfg.markets });
|
|
||||||
const rows = Array.isArray(data?.dlob_stats_latest) ? data.dlob_stats_latest : [];
|
|
||||||
return rows;
|
|
||||||
}
|
|
||||||
|
|
||||||
async function insertTicks(cfg, objects) {
|
|
||||||
if (!objects.length) return 0;
|
|
||||||
|
|
||||||
const mutation = `
|
|
||||||
mutation InsertTicks($objects: [drift_ticks_insert_input!]!) {
|
|
||||||
insert_drift_ticks(objects: $objects) { affected_rows }
|
|
||||||
}
|
|
||||||
`;
|
|
||||||
|
|
||||||
const data = await graphqlRequest(cfg, mutation, { objects });
|
|
||||||
return Number(data?.insert_drift_ticks?.affected_rows || 0);
|
|
||||||
}
|
|
||||||
|
|
||||||
async function main() {
|
|
||||||
const cfg = resolveConfig();
|
|
||||||
const lastUpdatedAtByMarket = new Map();
|
|
||||||
|
|
||||||
console.log(
|
|
||||||
JSON.stringify(
|
|
||||||
{
|
|
||||||
service: 'trade-ingestor',
|
|
||||||
mode: 'dlob_stats_ticks',
|
|
||||||
startedAt: getIsoNow(),
|
|
||||||
hasuraUrl: cfg.hasuraUrl,
|
|
||||||
markets: cfg.markets,
|
|
||||||
pollMs: cfg.pollMs,
|
|
||||||
source: cfg.source,
|
|
||||||
},
|
|
||||||
null,
|
|
||||||
2
|
|
||||||
)
|
|
||||||
);
|
|
||||||
|
|
||||||
while (true) {
|
|
||||||
try {
|
|
||||||
const rows = await fetchStats(cfg);
|
|
||||||
const nowIso = getIsoNow();
|
|
||||||
|
|
||||||
const objects = [];
|
|
||||||
for (const r of rows) {
|
|
||||||
const marketName = String(r?.market_name || '').trim();
|
|
||||||
if (!marketName) continue;
|
|
||||||
|
|
||||||
const updatedAt = r?.updated_at ? String(r.updated_at) : '';
|
|
||||||
if (updatedAt && lastUpdatedAtByMarket.get(marketName) === updatedAt) continue;
|
|
||||||
if (updatedAt) lastUpdatedAtByMarket.set(marketName, updatedAt);
|
|
||||||
|
|
||||||
const marketIndex = toIntOrNull(r?.market_index) ?? 0;
|
|
||||||
const dlobIso = isoFromEpochMs(r?.ts);
|
|
||||||
const tsIso = dlobIso || nowIso;
|
|
||||||
|
|
||||||
const oraclePrice = numStr(r?.oracle_price) || numStr(r?.mark_price) || numStr(r?.mid_price);
|
|
||||||
const markPrice = numStr(r?.mark_price) || numStr(r?.mid_price) || oraclePrice;
|
|
||||||
if (!oraclePrice) continue;
|
|
||||||
|
|
||||||
objects.push({
|
|
||||||
ts: tsIso,
|
|
||||||
market_index: marketIndex,
|
|
||||||
symbol: marketName,
|
|
||||||
oracle_price: oraclePrice,
|
|
||||||
mark_price: markPrice,
|
|
||||||
oracle_slot: r?.slot == null ? null : String(r.slot),
|
|
||||||
source: cfg.source,
|
|
||||||
raw: {
|
|
||||||
from: 'dlob_stats_latest',
|
|
||||||
market_name: marketName,
|
|
||||||
market_index: marketIndex,
|
|
||||||
dlob: {
|
|
||||||
ts: r?.ts ?? null,
|
|
||||||
slot: r?.slot ?? null,
|
|
||||||
best_bid_price: r?.best_bid_price ?? null,
|
|
||||||
best_ask_price: r?.best_ask_price ?? null,
|
|
||||||
mid_price: r?.mid_price ?? null,
|
|
||||||
updated_at: updatedAt || null,
|
|
||||||
},
|
|
||||||
},
|
|
||||||
});
|
|
||||||
}
|
|
||||||
|
|
||||||
const inserted = await insertTicks(cfg, objects);
|
|
||||||
if (inserted) {
|
|
||||||
console.log(`[dlob-ticks] inserted=${inserted} ts=${nowIso}`);
|
|
||||||
}
|
|
||||||
} catch (err) {
|
|
||||||
console.error(`[dlob-ticks] error: ${String(err?.message || err)}`);
|
|
||||||
await sleep(2_000);
|
|
||||||
}
|
|
||||||
|
|
||||||
await sleep(cfg.pollMs);
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
main().catch((err) => {
|
|
||||||
console.error(String(err?.stack || err));
|
|
||||||
process.exitCode = 1;
|
|
||||||
});
|
|
||||||
@@ -1,14 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-publisher
|
|
||||||
spec:
|
|
||||||
template:
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: publisher
|
|
||||||
env:
|
|
||||||
- name: ENDPOINT
|
|
||||||
value: "http://10.66.66.1:8899"
|
|
||||||
- name: WS_ENDPOINT
|
|
||||||
value: "ws://10.66.66.1:8900"
|
|
||||||
@@ -1,14 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: dlob-server
|
|
||||||
spec:
|
|
||||||
template:
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: server
|
|
||||||
env:
|
|
||||||
- name: ENDPOINT
|
|
||||||
value: "http://10.66.66.1:8899"
|
|
||||||
- name: WS_ENDPOINT
|
|
||||||
value: "ws://10.66.66.1:8900"
|
|
||||||
@@ -1,487 +0,0 @@
|
|||||||
import fs from 'node:fs';
|
|
||||||
|
|
||||||
function sleep(ms) {
|
|
||||||
return new Promise((resolve) => setTimeout(resolve, ms));
|
|
||||||
}
|
|
||||||
|
|
||||||
function envString(name, fallback) {
|
|
||||||
const v = process.env[name];
|
|
||||||
if (v == null) return fallback;
|
|
||||||
const s = String(v).trim();
|
|
||||||
return s ? s : fallback;
|
|
||||||
}
|
|
||||||
|
|
||||||
function envNumber(name, fallback) {
|
|
||||||
const v = process.env[name];
|
|
||||||
if (v == null) return fallback;
|
|
||||||
const n = Number(v);
|
|
||||||
return Number.isFinite(n) ? n : fallback;
|
|
||||||
}
|
|
||||||
|
|
||||||
function envInt(name, fallback, { min, max } = {}) {
|
|
||||||
const v = process.env[name];
|
|
||||||
if (v == null) return fallback;
|
|
||||||
const n = Number.parseInt(String(v), 10);
|
|
||||||
if (!Number.isInteger(n)) return fallback;
|
|
||||||
const nn = Math.max(min ?? n, Math.min(max ?? n, n));
|
|
||||||
return nn;
|
|
||||||
}
|
|
||||||
|
|
||||||
function readJson(filePath) {
|
|
||||||
try {
|
|
||||||
const raw = fs.readFileSync(filePath, 'utf8');
|
|
||||||
return JSON.parse(raw);
|
|
||||||
} catch {
|
|
||||||
return undefined;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
function readTokenFromFile(filePath) {
|
|
||||||
const json = readJson(filePath);
|
|
||||||
const raw = json?.token || json?.jwt || json?.authToken;
|
|
||||||
const tok = typeof raw === 'string' ? raw.trim() : '';
|
|
||||||
return tok ? tok : undefined;
|
|
||||||
}
|
|
||||||
|
|
||||||
function urlWithPath(baseUrl, path) {
|
|
||||||
const u = new URL(baseUrl);
|
|
||||||
const basePath = u.pathname && u.pathname !== '/' ? u.pathname.replace(/\/$/, '') : '';
|
|
||||||
u.pathname = `${basePath}${path}`;
|
|
||||||
return u;
|
|
||||||
}
|
|
||||||
|
|
||||||
async function httpJson(url, options) {
|
|
||||||
const res = await fetch(url, options);
|
|
||||||
const text = await res.text();
|
|
||||||
let json;
|
|
||||||
try {
|
|
||||||
json = JSON.parse(text);
|
|
||||||
} catch {
|
|
||||||
json = undefined;
|
|
||||||
}
|
|
||||||
return { ok: res.ok, status: res.status, json, text };
|
|
||||||
}
|
|
||||||
|
|
||||||
function mean(values) {
|
|
||||||
if (!values.length) return 0;
|
|
||||||
return values.reduce((a, b) => a + b, 0) / values.length;
|
|
||||||
}
|
|
||||||
|
|
||||||
function stddev(values) {
|
|
||||||
if (!values.length) return 0;
|
|
||||||
const m = mean(values);
|
|
||||||
const v = values.reduce((acc, x) => acc + (x - m) * (x - m), 0) / values.length;
|
|
||||||
return Math.sqrt(v);
|
|
||||||
}
|
|
||||||
|
|
||||||
function quantile(values, q) {
|
|
||||||
if (!values.length) return 0;
|
|
||||||
const sorted = values.slice().sort((a, b) => a - b);
|
|
||||||
const pos = (sorted.length - 1) * q;
|
|
||||||
const base = Math.floor(pos);
|
|
||||||
const rest = pos - base;
|
|
||||||
if (sorted[base + 1] == null) return sorted[base];
|
|
||||||
return sorted[base] + rest * (sorted[base + 1] - sorted[base]);
|
|
||||||
}
|
|
||||||
|
|
||||||
function randn() {
|
|
||||||
// Box–Muller
|
|
||||||
let u = 0;
|
|
||||||
let v = 0;
|
|
||||||
while (u === 0) u = Math.random();
|
|
||||||
while (v === 0) v = Math.random();
|
|
||||||
return Math.sqrt(-2 * Math.log(u)) * Math.cos(2 * Math.PI * v);
|
|
||||||
}
|
|
||||||
|
|
||||||
function clamp(v, min, max) {
|
|
||||||
if (v < min) return min;
|
|
||||||
if (v > max) return max;
|
|
||||||
return v;
|
|
||||||
}
|
|
||||||
|
|
||||||
function isTruthy(value) {
|
|
||||||
const v = String(value ?? '')
|
|
||||||
.trim()
|
|
||||||
.toLowerCase();
|
|
||||||
if (!v) return false;
|
|
||||||
return !['0', 'false', 'off', 'no', 'none', 'disabled'].includes(v);
|
|
||||||
}
|
|
||||||
|
|
||||||
function parsePriceFromTick(t) {
|
|
||||||
const mp = t?.mark_price ?? t?.markPrice;
|
|
||||||
const op = t?.oracle_price ?? t?.oraclePrice ?? t?.price;
|
|
||||||
const v = mp != null ? Number(mp) : Number(op);
|
|
||||||
return Number.isFinite(v) && v > 0 ? v : null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function computeLogReturns(prices) {
|
|
||||||
const out = [];
|
|
||||||
for (let i = 1; i < prices.length; i++) {
|
|
||||||
const a = prices[i - 1];
|
|
||||||
const b = prices[i];
|
|
||||||
if (!(a > 0) || !(b > 0)) continue;
|
|
||||||
const r = Math.log(b / a);
|
|
||||||
if (Number.isFinite(r)) out.push(r);
|
|
||||||
}
|
|
||||||
return out;
|
|
||||||
}
|
|
||||||
|
|
||||||
class BlockSampler {
|
|
||||||
#values;
|
|
||||||
#minBlock;
|
|
||||||
#maxBlock;
|
|
||||||
#idx = 0;
|
|
||||||
#end = 0;
|
|
||||||
#remaining = 0;
|
|
||||||
|
|
||||||
constructor(values, { minBlock, maxBlock }) {
|
|
||||||
this.#values = values.slice();
|
|
||||||
this.#minBlock = Math.max(1, minBlock);
|
|
||||||
this.#maxBlock = Math.max(this.#minBlock, maxBlock);
|
|
||||||
this.#startNewBlock();
|
|
||||||
}
|
|
||||||
|
|
||||||
#startNewBlock() {
|
|
||||||
const n = this.#values.length;
|
|
||||||
if (n <= 1) {
|
|
||||||
this.#idx = 0;
|
|
||||||
this.#end = n;
|
|
||||||
this.#remaining = n;
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const start = Math.floor(Math.random() * n);
|
|
||||||
const span = this.#maxBlock - this.#minBlock + 1;
|
|
||||||
const len = this.#minBlock + Math.floor(Math.random() * span);
|
|
||||||
|
|
||||||
this.#idx = start;
|
|
||||||
this.#end = Math.min(n, start + len);
|
|
||||||
this.#remaining = this.#end - this.#idx;
|
|
||||||
}
|
|
||||||
|
|
||||||
next() {
|
|
||||||
if (this.#values.length === 0) return 0;
|
|
||||||
if (this.#remaining <= 0 || this.#idx >= this.#end) this.#startNewBlock();
|
|
||||||
|
|
||||||
const v = this.#values[this.#idx];
|
|
||||||
this.#idx += 1;
|
|
||||||
this.#remaining -= 1;
|
|
||||||
|
|
||||||
return Number.isFinite(v) ? v : 0;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
async function fetchSeedTicksPage({ apiBase, readToken, symbol, source, limit, to }) {
|
|
||||||
const u = urlWithPath(apiBase, '/v1/ticks');
|
|
||||||
u.searchParams.set('symbol', symbol);
|
|
||||||
u.searchParams.set('limit', String(limit));
|
|
||||||
if (source) u.searchParams.set('source', source);
|
|
||||||
if (to) u.searchParams.set('to', to);
|
|
||||||
|
|
||||||
const res = await httpJson(u.toString(), {
|
|
||||||
method: 'GET',
|
|
||||||
headers: {
|
|
||||||
authorization: `Bearer ${readToken}`,
|
|
||||||
},
|
|
||||||
});
|
|
||||||
|
|
||||||
if (!res.ok) throw new Error(`seed_ticks_http_${res.status}: ${res.text}`);
|
|
||||||
if (!res.json?.ok) throw new Error(`seed_ticks_error: ${res.json?.error || res.text}`);
|
|
||||||
|
|
||||||
const ticks = Array.isArray(res.json?.ticks) ? res.json.ticks : [];
|
|
||||||
return ticks;
|
|
||||||
}
|
|
||||||
|
|
||||||
async function fetchSeedTicksPaged({ apiBase, readToken, symbol, source, desiredLimit, pageLimit, maxPages }) {
|
|
||||||
const pages = [];
|
|
||||||
let cursorTo = null;
|
|
||||||
|
|
||||||
for (let page = 0; page < maxPages; page++) {
|
|
||||||
const remaining = desiredLimit - pages.reduce((acc, p) => acc + p.length, 0);
|
|
||||||
if (remaining <= 0) break;
|
|
||||||
|
|
||||||
const limit = Math.min(pageLimit, remaining);
|
|
||||||
const ticks = await fetchSeedTicksPage({ apiBase, readToken, symbol, source, limit, to: cursorTo });
|
|
||||||
if (!ticks.length) break;
|
|
||||||
|
|
||||||
// Server returns ascending ticks; we unshift to keep overall chronological order.
|
|
||||||
pages.unshift(ticks);
|
|
||||||
|
|
||||||
const oldestTs = String(ticks[0]?.ts || '').trim();
|
|
||||||
if (!oldestTs) break;
|
|
||||||
const oldestMs = Date.parse(oldestTs);
|
|
||||||
if (!Number.isFinite(oldestMs)) break;
|
|
||||||
cursorTo = new Date(oldestMs - 1).toISOString();
|
|
||||||
}
|
|
||||||
|
|
||||||
const flat = pages.flat();
|
|
||||||
if (!flat.length) return flat;
|
|
||||||
|
|
||||||
// Best-effort de-duplication (in case of overlapping `to` bounds).
|
|
||||||
const seen = new Set();
|
|
||||||
const out = [];
|
|
||||||
for (const t of flat) {
|
|
||||||
const ts = String(t?.ts || '');
|
|
||||||
const key = ts ? ts : JSON.stringify(t);
|
|
||||||
if (seen.has(key)) continue;
|
|
||||||
seen.add(key);
|
|
||||||
out.push(t);
|
|
||||||
}
|
|
||||||
return out;
|
|
||||||
}
|
|
||||||
|
|
||||||
async function ingestTick({ apiBase, writeToken, tick }) {
|
|
||||||
const u = urlWithPath(apiBase, '/v1/ingest/tick');
|
|
||||||
const res = await httpJson(u.toString(), {
|
|
||||||
method: 'POST',
|
|
||||||
headers: {
|
|
||||||
'content-type': 'application/json',
|
|
||||||
authorization: `Bearer ${writeToken}`,
|
|
||||||
},
|
|
||||||
body: JSON.stringify(tick),
|
|
||||||
});
|
|
||||||
|
|
||||||
if (!res.ok) throw new Error(`ingest_http_${res.status}: ${res.text}`);
|
|
||||||
if (!res.json?.ok) throw new Error(`ingest_error: ${res.json?.error || res.text}`);
|
|
||||||
return res.json?.id || null;
|
|
||||||
}
|
|
||||||
|
|
||||||
function formatNumeric(value) {
|
|
||||||
if (!Number.isFinite(value)) return '0';
|
|
||||||
// Avoid scientific notation for small values while keeping reasonable precision.
|
|
||||||
const abs = Math.abs(value);
|
|
||||||
if (abs === 0) return '0';
|
|
||||||
if (abs >= 1) return value.toFixed(8).replace(/\.?0+$/, '');
|
|
||||||
if (abs >= 0.01) return value.toFixed(10).replace(/\.?0+$/, '');
|
|
||||||
if (abs >= 0.0001) return value.toFixed(12).replace(/\.?0+$/, '');
|
|
||||||
return value.toFixed(16).replace(/\.?0+$/, '');
|
|
||||||
}
|
|
||||||
|
|
||||||
async function main() {
|
|
||||||
const apiBase = envString('INGEST_API_URL', 'http://trade-api:8787');
|
|
||||||
const symbol = envString('MARKET_NAME', envString('SYMBOL', 'PUMP-PERP'));
|
|
||||||
const source = envString('SOURCE', 'drift_oracle');
|
|
||||||
const intervalMs = envInt('INTERVAL_MS', 1000, { min: 50, max: 60_000 });
|
|
||||||
|
|
||||||
const readTokenFile = envString('FAKE_READ_TOKEN_FILE', envString('READ_TOKEN_FILE', '/tokens/read.json'));
|
|
||||||
const writeTokenFile = envString('FAKE_WRITE_TOKEN_FILE', envString('WRITE_TOKEN_FILE', '/app/tokens/alg.json'));
|
|
||||||
|
|
||||||
const seedLimitDesired = envInt('FAKE_SEED_LIMIT', 50_000, { min: 50, max: 200_000 });
|
|
||||||
const seedPageLimit = envInt('FAKE_SEED_PAGE_LIMIT', 5000, { min: 50, max: 5000 });
|
|
||||||
const seedMaxPages = envInt(
|
|
||||||
'FAKE_SEED_MAX_PAGES',
|
|
||||||
Math.ceil(seedLimitDesired / seedPageLimit) + 2,
|
|
||||||
{ min: 1, max: 200 }
|
|
||||||
);
|
|
||||||
const seedSourceRaw = process.env.FAKE_SEED_SOURCE;
|
|
||||||
const seedSource = seedSourceRaw == null ? source : String(seedSourceRaw).trim();
|
|
||||||
|
|
||||||
const minBlock = envInt('FAKE_BLOCK_MIN', 120, { min: 1, max: 50_000 });
|
|
||||||
const maxBlock = envInt('FAKE_BLOCK_MAX', 1200, { min: 1, max: 50_000 });
|
|
||||||
|
|
||||||
const volScale = envNumber('FAKE_VOL_SCALE', 1);
|
|
||||||
const noiseScale = envNumber('FAKE_NOISE_SCALE', 0.05);
|
|
||||||
const meanReversion = envNumber('FAKE_MEAN_REVERSION', 0.0002);
|
|
||||||
const markNoiseBps = envNumber('FAKE_MARK_NOISE_BPS', 5);
|
|
||||||
const logEvery = envInt('FAKE_LOG_EVERY', 30, { min: 1, max: 10_000 });
|
|
||||||
|
|
||||||
const marketIndexEnv = process.env.MARKET_INDEX;
|
|
||||||
const marketIndexFallback = Number.isInteger(Number(marketIndexEnv)) ? Number(marketIndexEnv) : 0;
|
|
||||||
const startPriceEnv = envNumber('FAKE_START_PRICE', 0);
|
|
||||||
|
|
||||||
const clampEnabled = isTruthy(process.env.FAKE_CLAMP ?? '1');
|
|
||||||
const clampQLow = clamp(envNumber('FAKE_CLAMP_Q_LOW', 0.05), 0.0, 0.49);
|
|
||||||
const clampQHigh = clamp(envNumber('FAKE_CLAMP_Q_HIGH', 0.95), 0.51, 1.0);
|
|
||||||
const clampLowMult = envNumber('FAKE_CLAMP_LOW_MULT', 0.8);
|
|
||||||
const clampHighMult = envNumber('FAKE_CLAMP_HIGH_MULT', 1.2);
|
|
||||||
|
|
||||||
const readToken = readTokenFromFile(readTokenFile);
|
|
||||||
const writeToken = readTokenFromFile(writeTokenFile);
|
|
||||||
if (!writeToken) throw new Error(`Missing write token (expected JSON token at ${writeTokenFile})`);
|
|
||||||
|
|
||||||
let seedTicks = [];
|
|
||||||
let seedPrices = [];
|
|
||||||
let marketIndex = marketIndexFallback;
|
|
||||||
let seedFromTs = null;
|
|
||||||
let seedToTs = null;
|
|
||||||
|
|
||||||
if (!readToken) {
|
|
||||||
console.warn(`[fake-ingestor] No read token at ${readTokenFile}; running without seed data.`);
|
|
||||||
} else {
|
|
||||||
seedTicks = await fetchSeedTicksPaged({
|
|
||||||
apiBase,
|
|
||||||
readToken,
|
|
||||||
symbol,
|
|
||||||
source: seedSource ? seedSource : undefined,
|
|
||||||
desiredLimit: seedLimitDesired,
|
|
||||||
pageLimit: seedPageLimit,
|
|
||||||
maxPages: seedMaxPages,
|
|
||||||
});
|
|
||||||
|
|
||||||
seedFromTs = seedTicks.length ? String(seedTicks[0]?.ts || '') : null;
|
|
||||||
seedToTs = seedTicks.length ? String(seedTicks[seedTicks.length - 1]?.ts || '') : null;
|
|
||||||
|
|
||||||
for (const t of seedTicks) {
|
|
||||||
const p = parsePriceFromTick(t);
|
|
||||||
if (p != null) seedPrices.push(p);
|
|
||||||
}
|
|
||||||
|
|
||||||
const lastTick = seedTicks.length ? seedTicks[seedTicks.length - 1] : null;
|
|
||||||
const mi = lastTick?.market_index ?? lastTick?.marketIndex;
|
|
||||||
if (Number.isInteger(Number(mi))) marketIndex = Number(mi);
|
|
||||||
}
|
|
||||||
|
|
||||||
if (!seedPrices.length && startPriceEnv > 0) {
|
|
||||||
seedPrices = [startPriceEnv];
|
|
||||||
}
|
|
||||||
if (!seedPrices.length) {
|
|
||||||
throw new Error(
|
|
||||||
'No seed prices available. Provide FAKE_START_PRICE (and optionally MARKET_INDEX) or mount a read token to seed from /v1/ticks.'
|
|
||||||
);
|
|
||||||
}
|
|
||||||
|
|
||||||
const returnsRaw = computeLogReturns(seedPrices);
|
|
||||||
const mu = mean(returnsRaw);
|
|
||||||
const sigma = stddev(returnsRaw);
|
|
||||||
const center = envString('FAKE_CENTER_RETURNS', '1') !== '0';
|
|
||||||
const returns = returnsRaw.length
|
|
||||||
? center
|
|
||||||
? returnsRaw.map((r) => r - mu)
|
|
||||||
: returnsRaw
|
|
||||||
: [];
|
|
||||||
|
|
||||||
const sampler = new BlockSampler(returns.length ? returns : [0], { minBlock, maxBlock });
|
|
||||||
|
|
||||||
const pLow = quantile(seedPrices, clampQLow);
|
|
||||||
const p50 = quantile(seedPrices, 0.5);
|
|
||||||
const pHigh = quantile(seedPrices, clampQHigh);
|
|
||||||
const clampMin = pLow > 0 ? pLow * clampLowMult : Math.min(...seedPrices) * clampLowMult;
|
|
||||||
const clampMax = pHigh > 0 ? pHigh * clampHighMult : Math.max(...seedPrices) * clampHighMult;
|
|
||||||
|
|
||||||
let logPrice = Math.log(seedPrices[seedPrices.length - 1]);
|
|
||||||
const targetLog = Math.log(p50 > 0 ? p50 : seedPrices[seedPrices.length - 1]);
|
|
||||||
|
|
||||||
console.log(
|
|
||||||
JSON.stringify(
|
|
||||||
{
|
|
||||||
service: 'trade-fake-ingestor',
|
|
||||||
apiBase,
|
|
||||||
symbol,
|
|
||||||
source,
|
|
||||||
intervalMs,
|
|
||||||
marketIndex,
|
|
||||||
seed: {
|
|
||||||
ok: Boolean(seedTicks.length),
|
|
||||||
desiredLimit: seedLimitDesired,
|
|
||||||
pageLimit: seedPageLimit,
|
|
||||||
maxPages: seedMaxPages,
|
|
||||||
source: seedSource || null,
|
|
||||||
ticks: seedTicks.length,
|
|
||||||
prices: seedPrices.length,
|
|
||||||
fromTs: seedFromTs,
|
|
||||||
toTs: seedToTs,
|
|
||||||
},
|
|
||||||
model: {
|
|
||||||
type: 'block-bootstrap-returns',
|
|
||||||
centerReturns: center,
|
|
||||||
mu,
|
|
||||||
sigma,
|
|
||||||
volScale,
|
|
||||||
noiseScale,
|
|
||||||
meanReversion,
|
|
||||||
block: { minBlock, maxBlock },
|
|
||||||
clamp: clampEnabled ? { min: clampMin, max: clampMax } : { disabled: true },
|
|
||||||
},
|
|
||||||
},
|
|
||||||
null,
|
|
||||||
2
|
|
||||||
)
|
|
||||||
);
|
|
||||||
|
|
||||||
let stopping = false;
|
|
||||||
process.on('SIGINT', () => {
|
|
||||||
stopping = true;
|
|
||||||
});
|
|
||||||
process.on('SIGTERM', () => {
|
|
||||||
stopping = true;
|
|
||||||
});
|
|
||||||
|
|
||||||
let tickCount = 0;
|
|
||||||
let nextAt = Date.now();
|
|
||||||
|
|
||||||
while (!stopping) {
|
|
||||||
const now = Date.now();
|
|
||||||
if (now < nextAt) await sleep(nextAt - now);
|
|
||||||
nextAt += intervalMs;
|
|
||||||
|
|
||||||
const r = sampler.next();
|
|
||||||
const noise = (Number.isFinite(sigma) ? sigma : 0) * noiseScale * randn();
|
|
||||||
const revert = Number.isFinite(meanReversion) ? meanReversion * (targetLog - logPrice) : 0;
|
|
||||||
const step = (Number.isFinite(r) ? r : 0) * volScale + noise + revert;
|
|
||||||
|
|
||||||
logPrice += step;
|
|
||||||
let oraclePrice = Math.exp(logPrice);
|
|
||||||
if (clampEnabled && Number.isFinite(clampMin) && Number.isFinite(clampMax) && clampMax > clampMin) {
|
|
||||||
oraclePrice = clamp(oraclePrice, clampMin, clampMax);
|
|
||||||
logPrice = Math.log(oraclePrice);
|
|
||||||
}
|
|
||||||
|
|
||||||
const markNoise = (markNoiseBps / 10_000) * randn();
|
|
||||||
const markPrice = oraclePrice * (1 + markNoise);
|
|
||||||
|
|
||||||
const ts = new Date().toISOString();
|
|
||||||
const tick = {
|
|
||||||
ts,
|
|
||||||
market_index: marketIndex,
|
|
||||||
symbol,
|
|
||||||
oracle_price: formatNumeric(oraclePrice),
|
|
||||||
mark_price: formatNumeric(markPrice),
|
|
||||||
source,
|
|
||||||
raw: {
|
|
||||||
fake: true,
|
|
||||||
model: 'block-bootstrap-returns',
|
|
||||||
seeded: seedTicks.length
|
|
||||||
? {
|
|
||||||
symbol,
|
|
||||||
source: seedSource || null,
|
|
||||||
desiredLimit: seedLimitDesired,
|
|
||||||
pageLimit: seedPageLimit,
|
|
||||||
maxPages: seedMaxPages,
|
|
||||||
fromTs: seedFromTs,
|
|
||||||
toTs: seedToTs,
|
|
||||||
}
|
|
||||||
: {
|
|
||||||
symbol,
|
|
||||||
source: null,
|
|
||||||
desiredLimit: 0,
|
|
||||||
pageLimit: seedPageLimit,
|
|
||||||
maxPages: seedMaxPages,
|
|
||||||
fromTs: null,
|
|
||||||
toTs: null,
|
|
||||||
},
|
|
||||||
},
|
|
||||||
};
|
|
||||||
|
|
||||||
try {
|
|
||||||
await ingestTick({ apiBase, writeToken, tick });
|
|
||||||
tickCount += 1;
|
|
||||||
if (tickCount % logEvery === 0) {
|
|
||||||
console.log(
|
|
||||||
`[fake-ingestor] ok ticks=${tickCount} ts=${ts} px=${tick.oracle_price} mark=${tick.mark_price} clamp=[${formatNumeric(
|
|
||||||
clampMin
|
|
||||||
)},${formatNumeric(clampMax)}]`
|
|
||||||
);
|
|
||||||
}
|
|
||||||
} catch (err) {
|
|
||||||
console.warn(`[fake-ingestor] ingest failed: ${String(err?.message || err)}`);
|
|
||||||
await sleep(Math.min(5000, Math.max(250, intervalMs)));
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
console.log('[fake-ingestor] stopped');
|
|
||||||
}
|
|
||||||
|
|
||||||
main().catch((err) => {
|
|
||||||
console.error(String(err?.stack || err));
|
|
||||||
process.exitCode = 1;
|
|
||||||
});
|
|
||||||
@@ -16,8 +16,6 @@ const STARTED_AT = new Date().toISOString();
|
|||||||
|
|
||||||
const STATIC_DIR = process.env.STATIC_DIR || '/srv';
|
const STATIC_DIR = process.env.STATIC_DIR || '/srv';
|
||||||
const BASIC_AUTH_FILE = process.env.BASIC_AUTH_FILE || '/tokens/frontend.json';
|
const BASIC_AUTH_FILE = process.env.BASIC_AUTH_FILE || '/tokens/frontend.json';
|
||||||
const API_READ_TOKEN_FILE = process.env.API_READ_TOKEN_FILE || '/tokens/read.json';
|
|
||||||
const API_UPSTREAM = process.env.API_UPSTREAM || process.env.API_URL || 'http://api:8787';
|
|
||||||
const HASURA_UPSTREAM = process.env.HASURA_UPSTREAM || 'http://hasura:8080';
|
const HASURA_UPSTREAM = process.env.HASURA_UPSTREAM || 'http://hasura:8080';
|
||||||
const HASURA_GRAPHQL_PATH = process.env.HASURA_GRAPHQL_PATH || '/v1/graphql';
|
const HASURA_GRAPHQL_PATH = process.env.HASURA_GRAPHQL_PATH || '/v1/graphql';
|
||||||
const GRAPHQL_CORS_ORIGIN = process.env.GRAPHQL_CORS_ORIGIN || process.env.CORS_ORIGIN || '*';
|
const GRAPHQL_CORS_ORIGIN = process.env.GRAPHQL_CORS_ORIGIN || process.env.CORS_ORIGIN || '*';
|
||||||
@@ -70,13 +68,6 @@ function loadBasicAuth() {
|
|||||||
return { username, password };
|
return { username, password };
|
||||||
}
|
}
|
||||||
|
|
||||||
function loadApiReadToken() {
|
|
||||||
const j = readJson(API_READ_TOKEN_FILE);
|
|
||||||
const token = (j?.token || '').toString();
|
|
||||||
if (!token) throw new Error(`Invalid API_READ_TOKEN_FILE: ${API_READ_TOKEN_FILE}`);
|
|
||||||
return token;
|
|
||||||
}
|
|
||||||
|
|
||||||
function send(res, status, headers, body) {
|
function send(res, status, headers, body) {
|
||||||
res.statusCode = status;
|
res.statusCode = status;
|
||||||
for (const [k, v] of Object.entries(headers || {})) res.setHeader(k, v);
|
for (const [k, v] of Object.entries(headers || {})) res.setHeader(k, v);
|
||||||
@@ -439,56 +430,6 @@ function readBody(req, limitBytes = 1024 * 16) {
|
|||||||
});
|
});
|
||||||
}
|
}
|
||||||
|
|
||||||
function proxyApi(req, res, apiReadToken) {
|
|
||||||
const upstreamBase = new URL(API_UPSTREAM);
|
|
||||||
const inUrl = new URL(req.url || '/', `http://${req.headers.host || 'localhost'}`);
|
|
||||||
|
|
||||||
const prefix = '/api';
|
|
||||||
const strippedPath = inUrl.pathname === prefix ? '/' : inUrl.pathname.startsWith(prefix + '/') ? inUrl.pathname.slice(prefix.length) : null;
|
|
||||||
if (strippedPath == null) {
|
|
||||||
send(res, 404, { 'content-type': 'text/plain; charset=utf-8' }, 'not_found');
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
const target = new URL(upstreamBase.toString());
|
|
||||||
target.pathname = strippedPath || '/';
|
|
||||||
target.search = inUrl.search;
|
|
||||||
|
|
||||||
const isHttps = target.protocol === 'https:';
|
|
||||||
const lib = isHttps ? https : http;
|
|
||||||
|
|
||||||
const headers = stripHopByHopHeaders(req.headers);
|
|
||||||
delete headers.authorization; // basic auth from client must not leak upstream
|
|
||||||
headers.host = target.host;
|
|
||||||
headers.authorization = `Bearer ${apiReadToken}`;
|
|
||||||
|
|
||||||
const upstreamReq = lib.request(
|
|
||||||
{
|
|
||||||
protocol: target.protocol,
|
|
||||||
hostname: target.hostname,
|
|
||||||
port: target.port || (isHttps ? 443 : 80),
|
|
||||||
method: req.method,
|
|
||||||
path: target.pathname + target.search,
|
|
||||||
headers,
|
|
||||||
},
|
|
||||||
(upstreamRes) => {
|
|
||||||
const outHeaders = stripHopByHopHeaders(upstreamRes.headers);
|
|
||||||
res.writeHead(upstreamRes.statusCode || 502, outHeaders);
|
|
||||||
upstreamRes.pipe(res);
|
|
||||||
}
|
|
||||||
);
|
|
||||||
|
|
||||||
upstreamReq.on('error', (err) => {
|
|
||||||
if (!res.headersSent) {
|
|
||||||
send(res, 502, { 'content-type': 'text/plain; charset=utf-8' }, `bad_gateway: ${err?.message || err}`);
|
|
||||||
} else {
|
|
||||||
res.destroy();
|
|
||||||
}
|
|
||||||
});
|
|
||||||
|
|
||||||
req.pipe(upstreamReq);
|
|
||||||
}
|
|
||||||
|
|
||||||
function withCors(res) {
|
function withCors(res) {
|
||||||
res.setHeader('access-control-allow-origin', GRAPHQL_CORS_ORIGIN);
|
res.setHeader('access-control-allow-origin', GRAPHQL_CORS_ORIGIN);
|
||||||
res.setHeader('access-control-allow-methods', 'GET,POST,OPTIONS');
|
res.setHeader('access-control-allow-methods', 'GET,POST,OPTIONS');
|
||||||
@@ -734,26 +675,6 @@ async function handler(req, res) {
|
|||||||
}
|
}
|
||||||
}
|
}
|
||||||
|
|
||||||
if (req.url?.startsWith('/api') && (req.url === '/api' || req.url.startsWith('/api/'))) {
|
|
||||||
if (AUTH_MODE !== 'off' && AUTH_MODE !== 'none' && AUTH_MODE !== 'disabled') {
|
|
||||||
const user = resolveAuthenticatedUser(req);
|
|
||||||
if (!user) {
|
|
||||||
unauthorized(res);
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
let token;
|
|
||||||
try {
|
|
||||||
token = loadApiReadToken();
|
|
||||||
} catch (e) {
|
|
||||||
send(res, 500, { 'content-type': 'text/plain; charset=utf-8' }, String(e?.message || e));
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
proxyApi(req, res, token);
|
|
||||||
return;
|
|
||||||
}
|
|
||||||
|
|
||||||
serveStatic(req, res);
|
serveStatic(req, res);
|
||||||
}
|
}
|
||||||
|
|
||||||
@@ -797,11 +718,9 @@ server.listen(PORT, () => {
|
|||||||
service: 'trade-frontend',
|
service: 'trade-frontend',
|
||||||
port: PORT,
|
port: PORT,
|
||||||
staticDir: STATIC_DIR,
|
staticDir: STATIC_DIR,
|
||||||
apiUpstream: API_UPSTREAM,
|
|
||||||
hasuraUpstream: HASURA_UPSTREAM,
|
hasuraUpstream: HASURA_UPSTREAM,
|
||||||
basicAuthFile: BASIC_AUTH_FILE,
|
basicAuthFile: BASIC_AUTH_FILE,
|
||||||
basicAuthMode: BASIC_AUTH_MODE,
|
basicAuthMode: BASIC_AUTH_MODE,
|
||||||
apiReadTokenFile: API_READ_TOKEN_FILE,
|
|
||||||
authUserHeader: AUTH_USER_HEADER,
|
authUserHeader: AUTH_USER_HEADER,
|
||||||
authMode: AUTH_MODE,
|
authMode: AUTH_MODE,
|
||||||
htpasswdFile: HTPASSWD_FILE,
|
htpasswdFile: HTPASSWD_FILE,
|
||||||
|
|||||||
@@ -1,36 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: trade-ingestor
|
|
||||||
spec:
|
|
||||||
template:
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: ingestor
|
|
||||||
image: node:20-slim
|
|
||||||
imagePullPolicy: IfNotPresent
|
|
||||||
env:
|
|
||||||
- name: HASURA_GRAPHQL_URL
|
|
||||||
value: http://hasura:8080/v1/graphql
|
|
||||||
- name: HASURA_ADMIN_SECRET
|
|
||||||
valueFrom:
|
|
||||||
secretKeyRef:
|
|
||||||
name: trade-hasura
|
|
||||||
key: HASURA_GRAPHQL_ADMIN_SECRET
|
|
||||||
- name: DLOB_MARKETS
|
|
||||||
value: SOL-PERP,DOGE-PERP,JUP-PERP
|
|
||||||
- name: TICKS_POLL_MS
|
|
||||||
value: "1000"
|
|
||||||
- name: TICKS_SOURCE
|
|
||||||
value: "dlob_stats"
|
|
||||||
command: ["node"]
|
|
||||||
args: ["/opt/dlob/dlob-ingestor.mjs"]
|
|
||||||
volumeMounts:
|
|
||||||
- name: dlob-script
|
|
||||||
mountPath: /opt/dlob/dlob-ingestor.mjs
|
|
||||||
subPath: dlob-ingestor.mjs
|
|
||||||
readOnly: true
|
|
||||||
volumes:
|
|
||||||
- name: dlob-script
|
|
||||||
configMap:
|
|
||||||
name: trade-dlob-ingestor-script
|
|
||||||
@@ -1,54 +0,0 @@
|
|||||||
apiVersion: apps/v1
|
|
||||||
kind: Deployment
|
|
||||||
metadata:
|
|
||||||
name: trade-ingestor
|
|
||||||
spec:
|
|
||||||
template:
|
|
||||||
spec:
|
|
||||||
containers:
|
|
||||||
- name: ingestor
|
|
||||||
env:
|
|
||||||
- name: FAKE_READ_TOKEN_FILE
|
|
||||||
value: "/tokens/read.json"
|
|
||||||
- name: FAKE_WRITE_TOKEN_FILE
|
|
||||||
value: "/app/tokens/alg.json"
|
|
||||||
- name: FAKE_SEED_LIMIT
|
|
||||||
value: "50000"
|
|
||||||
- name: FAKE_SEED_PAGE_LIMIT
|
|
||||||
value: "5000"
|
|
||||||
- name: FAKE_SEED_MAX_PAGES
|
|
||||||
value: "20"
|
|
||||||
- name: FAKE_BLOCK_MIN
|
|
||||||
value: "300"
|
|
||||||
- name: FAKE_BLOCK_MAX
|
|
||||||
value: "1800"
|
|
||||||
- name: FAKE_VOL_SCALE
|
|
||||||
value: "1.8"
|
|
||||||
- name: FAKE_NOISE_SCALE
|
|
||||||
value: "0.03"
|
|
||||||
- name: FAKE_MEAN_REVERSION
|
|
||||||
value: "0.0001"
|
|
||||||
- name: FAKE_CLAMP_Q_LOW
|
|
||||||
value: "0.02"
|
|
||||||
- name: FAKE_CLAMP_Q_HIGH
|
|
||||||
value: "0.98"
|
|
||||||
- name: FAKE_CLAMP_LOW_MULT
|
|
||||||
value: "0.7"
|
|
||||||
- name: FAKE_CLAMP_HIGH_MULT
|
|
||||||
value: "1.3"
|
|
||||||
command: ["node"]
|
|
||||||
args: ["/opt/fake/fake-ingestor.mjs"]
|
|
||||||
volumeMounts:
|
|
||||||
- name: fake-script
|
|
||||||
mountPath: /opt/fake
|
|
||||||
readOnly: true
|
|
||||||
- name: read-tokens
|
|
||||||
mountPath: /tokens
|
|
||||||
readOnly: true
|
|
||||||
volumes:
|
|
||||||
- name: fake-script
|
|
||||||
configMap:
|
|
||||||
name: trade-fake-ingestor-script
|
|
||||||
- name: read-tokens
|
|
||||||
secret:
|
|
||||||
secretName: trade-frontend-tokens
|
|
||||||
@@ -10,17 +10,11 @@ resources:
|
|||||||
- frontend-ingress-root.yaml
|
- frontend-ingress-root.yaml
|
||||||
|
|
||||||
patchesStrategicMerge:
|
patchesStrategicMerge:
|
||||||
- dlob-rpc-endpoint-patch.yaml
|
|
||||||
- dlob-rpc-server-endpoint-patch.yaml
|
|
||||||
- hasura-patch.yaml
|
- hasura-patch.yaml
|
||||||
- frontend-auth-patch.yaml
|
- frontend-auth-patch.yaml
|
||||||
- frontend-graphql-proxy-patch.yaml
|
- frontend-graphql-proxy-patch.yaml
|
||||||
- ingestor-dlob-patch.yaml
|
|
||||||
|
|
||||||
configMapGenerator:
|
configMapGenerator:
|
||||||
- name: trade-dlob-ingestor-script
|
|
||||||
files:
|
|
||||||
- dlob-ingestor.mjs
|
|
||||||
- name: trade-frontend-server-script
|
- name: trade-frontend-server-script
|
||||||
files:
|
files:
|
||||||
- frontend-server.mjs
|
- frontend-server.mjs
|
||||||
|
|||||||
Reference in New Issue
Block a user