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