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chore: add l3 snapshot

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This commit is contained in:
Jack Waller
2025-06-18 13:56:08 +10:00
parent 1d722e1675
commit 756812bbdc
2 changed files with 28 additions and 9 deletions
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22
src/dlob-subscriber/DLOBSubscriberIO.ts
View File

@@ -78,7 +78,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
env: DriftEnv; env: DriftEnv;
redisClient: RedisClient; redisClient: RedisClient;
indicativeQuotesRedisClient?: RedisClient; indicativeQuotesRedisClient?: RedisClient;
enableOffloadQueue?: boolean enableOffloadQueue?: boolean;
perpMarketInfos: wsMarketInfo[]; perpMarketInfos: wsMarketInfo[];
spotMarketInfos: wsMarketInfo[]; spotMarketInfos: wsMarketInfo[];
spotMarketSubscribers: SubscriberLookup; spotMarketSubscribers: SubscriberLookup;
@@ -404,11 +404,13 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
if (this.offloadQueue) { if (this.offloadQueue) {
try { try {
this.offloadQueue.addMessage(Object.assign({}, l2Formatted, { this.offloadQueue.addMessage(
Object.assign({}, l2Formatted, {
bids: l2Formatted.bids.slice(0, 20), bids: l2Formatted.bids.slice(0, 20),
asks: l2Formatted.asks.slice(0, 20), asks: l2Formatted.asks.slice(0, 20),
ts: Math.floor(new Date().getTime() / 1000), ts: Math.floor(new Date().getTime() / 1000),
})); })
);
} catch (error) { } catch (error) {
logger.error('Error adding message to offload queue:', error); logger.error('Error adding message to offload queue:', error);
} }
@@ -450,6 +452,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
} }
getL3AndSendMsg(marketArgs: wsMarketArgs): void { getL3AndSendMsg(marketArgs: wsMarketArgs): void {
const shouldSendMessage = Math.random() < 1 / 60;
const { marketName, ...l2FuncArgs } = marketArgs; const { marketName, ...l2FuncArgs } = marketArgs;
const l3 = this.getL3(l2FuncArgs); const l3 = this.getL3(l2FuncArgs);
const slot = l3.slot; const slot = l3.slot;
@@ -498,6 +501,19 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
marketArgs.marketIndex marketArgs.marketIndex
); );
if (shouldSendMessage && this.offloadQueue) {
try {
this.offloadQueue.addMessage(
Object.assign({}, l3, {
ts: Math.floor(new Date().getTime() / 1000),
}),
'DLOBL3Snapshot'
);
} catch (error) {
logger.error('Error adding message to offload queue:', error);
}
}
this.redisClient.set( this.redisClient.set(
`last_update_orderbook_l3_${marketType}_${marketArgs.marketIndex}${ `last_update_orderbook_l3_${marketType}_${marketArgs.marketIndex}${
this.indicativeQuotesRedisClient ? '_indicative' : '' this.indicativeQuotesRedisClient ? '_indicative' : ''

9
src/utils/offload.ts
View File

@@ -6,8 +6,11 @@ import {
import { ConfiguredRetryStrategy } from '@aws-sdk/util-retry'; import { ConfiguredRetryStrategy } from '@aws-sdk/util-retry';
import { logger } from '../utils/logger'; import { logger } from '../utils/logger';
type EventType = 'DLOBSnapshot' | 'DLOBL3Snapshot';
interface QueueMessage { interface QueueMessage {
data: any; data: any;
eventType: EventType;
} }
const kinesis = new KinesisClient({ const kinesis = new KinesisClient({
@@ -17,7 +20,7 @@ const kinesis = new KinesisClient({
), ),
}); });
const kinesisStream = process.env.KINESIS_STREAM_NAME const kinesisStream = process.env.KINESIS_STREAM_NAME;
const batchInterval = process.env.KINESIS_BATCH_INTERVAL const batchInterval = process.env.KINESIS_BATCH_INTERVAL
? parseInt(process.env.KINESIS_BATCH_INTERVAL) ? parseInt(process.env.KINESIS_BATCH_INTERVAL)
: 10000; : 10000;
@@ -47,7 +50,6 @@ export const OffloadQueue = () => {
JSON.stringify({ JSON.stringify({
...msg.data, ...msg.data,
source: 'dlob', source: 'dlob',
eventType: 'DLOBSnapshot',
}) })
), ),
PartitionKey: Date.now().toString(), PartitionKey: Date.now().toString(),
@@ -87,9 +89,10 @@ export const OffloadQueue = () => {
} }
}; };
const addMessage = (data: any): void => { const addMessage = (data: any, eventType: EventType = 'DLOBSnapshot') => {
queue.push({ queue.push({
data, data,
eventType,
}); });
}; };