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cache l3 and add metric

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This commit is contained in:
Nour Alharithi
2024-02-25 13:59:28 -08:00
parent a920160ca8
commit d035440e93
3 changed files with 199 additions and 55 deletions
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176
src/dlob-subscriber/DLOBSubscriberIO.ts
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@@ -15,7 +15,7 @@ import {
l2WithBNToStrings,
} from '../utils/utils';
type wsMarketL2Args = {
type wsMarketArgs = {
marketIndex: number;
marketType: MarketType;
marketName: string;
@@ -36,7 +36,7 @@ export type wsMarketInfo = {
};
export class DLOBSubscriberIO extends DLOBSubscriber {
public marketL2Args: wsMarketL2Args[] = [];
public marketArgs: wsMarketArgs[] = [];
public lastSeenL2Formatted: Map<MarketType, Map<number, any>>;
redisClient: RedisClient;
public killSwitchSlotDiffThreshold: number;
@@ -73,7 +73,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
);
const includeVamm = !isVariant(perpMarket.status, 'ammPaused');
this.marketL2Args.push({
this.marketArgs.push({
marketIndex: market.marketIndex,
marketType: MarketType.PERP,
marketName: market.marketName,
@@ -85,7 +85,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
});
}
for (const market of config.spotMarketInfos) {
this.marketL2Args.push({
this.marketArgs.push({
marketIndex: market.marketIndex,
marketType: MarketType.SPOT,
marketName: market.marketName,
@@ -102,70 +102,75 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
override async updateDLOB(): Promise<void> {
await super.updateDLOB();
for (const l2Args of this.marketL2Args) {
for (const marketArgs of this.marketArgs) {
try {
this.getL2AndSendMsg(l2Args);
this.getL2AndSendMsg(marketArgs);
this.getL3AndSendMsg(marketArgs);
} catch (error) {
console.error(error);
console.log(`Error getting L2 ${l2Args.marketName}`);
console.log(`Error getting L2 ${marketArgs.marketName}`);
}
}
}
getL2AndSendMsg(l2Args: wsMarketL2Args): void {
const grouping = l2Args.grouping;
const { marketName, ...l2FuncArgs } = l2Args;
getL2AndSendMsg(marketArgs: wsMarketArgs): void {
const grouping = marketArgs.grouping;
const { marketName, ...l2FuncArgs } = marketArgs;
const l2 = this.getL2(l2FuncArgs);
const slot = l2.slot;
const lastMarketSlotAndTime = this.lastMarketSlotMap
.get(l2Args.marketType)
.get(l2Args.marketIndex);
.get(marketArgs.marketType)
.get(marketArgs.marketIndex);
if (!lastMarketSlotAndTime) {
this.lastMarketSlotMap
.get(l2Args.marketType)
.set(l2Args.marketIndex, { slot, ts: Date.now() });
.get(marketArgs.marketType)
.set(marketArgs.marketIndex, { slot, ts: Date.now() });
}
if (slot) {
delete l2.slot;
}
const marketType = isVariant(l2Args.marketType, 'perp') ? 'perp' : 'spot';
const marketType = isVariant(marketArgs.marketType, 'perp')
? 'perp'
: 'spot';
let l2Formatted: any;
if (grouping) {
const groupingBN = new BN(grouping);
l2Formatted = l2WithBNToStrings(groupL2(l2, groupingBN, l2Args.depth));
l2Formatted = l2WithBNToStrings(
groupL2(l2, groupingBN, marketArgs.depth)
);
} else {
l2Formatted = l2WithBNToStrings(l2);
}
if (l2Args.updateOnChange) {
if (marketArgs.updateOnChange) {
if (
this.lastSeenL2Formatted
.get(l2Args.marketType)
?.get(l2Args.marketIndex) === JSON.stringify(l2Formatted)
.get(marketArgs.marketType)
?.get(marketArgs.marketIndex) === JSON.stringify(l2Formatted)
)
return;
}
this.lastSeenL2Formatted
.get(l2Args.marketType)
?.set(l2Args.marketIndex, JSON.stringify(l2Formatted));
.get(marketArgs.marketType)
?.set(marketArgs.marketIndex, JSON.stringify(l2Formatted));
l2Formatted['marketName'] = marketName?.toUpperCase();
l2Formatted['marketType'] = marketType?.toLowerCase();
l2Formatted['marketIndex'] = l2Args.marketIndex;
l2Formatted['marketIndex'] = marketArgs.marketIndex;
l2Formatted['ts'] = Date.now();
l2Formatted['slot'] = slot;
addOracletoResponse(
l2Formatted,
this.driftClient,
l2Args.marketType,
l2Args.marketIndex
marketArgs.marketType,
marketArgs.marketIndex
);
addMarketSlotToResponse(
l2Formatted,
this.driftClient,
l2Args.marketType,
l2Args.marketIndex
marketArgs.marketType,
marketArgs.marketIndex
);
// Check if slot diffs are too large for oracle
@@ -200,12 +205,14 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
l2Formatted['marketSlot'] !== lastMarketSlotAndTime.slot
) {
console.log(
`Updating market slot for ${l2Args.marketName} with slot ${l2Formatted['marketSlot']}`
`Updating market slot for ${marketArgs.marketName} with slot ${l2Formatted['marketSlot']}`
);
this.lastMarketSlotMap.get(l2Args.marketType).set(l2Args.marketIndex, {
slot: l2Formatted['marketSlot'],
ts: Date.now(),
});
this.lastMarketSlotMap
.get(marketArgs.marketType)
.set(marketArgs.marketIndex, {
slot: l2Formatted['marketSlot'],
ts: Date.now(),
});
}
const l2Formatted_depth100 = Object.assign({}, l2Formatted, {
@@ -222,24 +229,121 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
});
this.redisClient.client.publish(
`orderbook_${marketType}_${l2Args.marketIndex}`,
`orderbook_${marketType}_${marketArgs.marketIndex}`,
JSON.stringify(l2Formatted)
);
this.redisClient.client.set(
`last_update_orderbook_${marketType}_${l2Args.marketIndex}`,
`last_update_orderbook_${marketType}_${marketArgs.marketIndex}`,
JSON.stringify(l2Formatted_depth100)
);
this.redisClient.client.set(
`last_update_orderbook_${marketType}_${l2Args.marketIndex}_depth_100`,
`last_update_orderbook_${marketType}_${marketArgs.marketIndex}_depth_100`,
JSON.stringify(l2Formatted_depth100)
);
this.redisClient.client.set(
`last_update_orderbook_${marketType}_${l2Args.marketIndex}_depth_20`,
`last_update_orderbook_${marketType}_${marketArgs.marketIndex}_depth_20`,
JSON.stringify(l2Formatted_depth20)
);
this.redisClient.client.set(
`last_update_orderbook_${marketType}_${l2Args.marketIndex}_depth_5`,
`last_update_orderbook_${marketType}_${marketArgs.marketIndex}_depth_5`,
JSON.stringify(l2Formatted_depth5)
);
}
getL3AndSendMsg(marketArgs: wsMarketArgs): void {
const { marketName, ...l2FuncArgs } = marketArgs;
const l3 = this.getL3(l2FuncArgs);
const slot = l3.slot;
const lastMarketSlotAndTime = this.lastMarketSlotMap
.get(marketArgs.marketType)
.get(marketArgs.marketIndex);
if (!lastMarketSlotAndTime) {
this.lastMarketSlotMap
.get(marketArgs.marketType)
.set(marketArgs.marketIndex, { slot, ts: Date.now() });
}
if (slot) {
delete l3.slot;
}
const marketType = isVariant(marketArgs.marketType, 'perp')
? 'perp'
: 'spot';
for (const key of Object.keys(l3)) {
for (const idx in l3[key]) {
const level = l3[key][idx];
l3[key][idx] = {
...level,
price: level.price.toString(),
size: level.size.toString(),
};
}
}
l3['marketName'] = marketName?.toUpperCase();
l3['marketType'] = marketType?.toLowerCase();
l3['marketIndex'] = marketArgs.marketIndex;
l3['ts'] = Date.now();
l3['slot'] = slot;
addOracletoResponse(
l3,
this.driftClient,
marketArgs.marketType,
marketArgs.marketIndex
);
addMarketSlotToResponse(
l3,
this.driftClient,
marketArgs.marketType,
marketArgs.marketIndex
);
// Check if slot diffs are too large for oracle
if (
Math.abs(slot - parseInt(l3['oracleData']['slot'])) >
this.killSwitchSlotDiffThreshold
) {
console.log(`Killing process due to slot diffs for market ${marketName}:
dlobProvider slot: ${slot}
oracle slot: ${l3['oracleData']['slot']}
`);
process.exit(1);
}
// Check if times and slots are too different for market
const MAKRET_STALENESS_THRESHOLD =
marketType === 'perp'
? PERP_MAKRET_STALENESS_THRESHOLD
: SPOT_MAKRET_STALENESS_THRESHOLD;
if (
lastMarketSlotAndTime &&
l3['marketSlot'] === lastMarketSlotAndTime.slot &&
Date.now() - lastMarketSlotAndTime.ts > MAKRET_STALENESS_THRESHOLD
) {
console.log(`Killing process due to same slot for market ${marketName} after > ${MAKRET_STALENESS_THRESHOLD}ms:
dlobProvider slot: ${slot}
market slot: ${l3['marketSlot']}
`);
process.exit(1);
} else if (
lastMarketSlotAndTime &&
l3['marketSlot'] !== lastMarketSlotAndTime.slot
) {
console.log(
`Updating market slot for ${marketArgs.marketName} with slot ${l3['marketSlot']}`
);
this.lastMarketSlotMap
.get(marketArgs.marketType)
.set(marketArgs.marketIndex, {
slot: l3['marketSlot'],
ts: Date.now(),
});
}
this.redisClient.client.set(
`last_update_orderbook_l3_${marketType}_${marketArgs.marketIndex}`,
JSON.stringify(l3)
);
}
}