Compare commits
19 Commits
feat/candl
...
fc92392705
| Author | SHA1 | Date | |
|---|---|---|---|
| fc92392705 | |||
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| 965774dfbd | |||
| fb307f0279 | |||
| 6904be4a51 | |||
| 912a78588d | |||
| 62baa9700e | |||
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| 9592d6ac16 | |||
| dff4d347ad | |||
| ae41f1a9de | |||
| 42e0a4d86d |
@@ -1,12 +1,15 @@
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# Default: UI reads ticks from the same-origin API proxy at `/api`.
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VITE_API_URL=/api
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# Fallback (optional): query Hasura directly (not recommended in browser).
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VITE_HASURA_URL=http://localhost:8080/v1/graphql
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# Optional (only if you intentionally query Hasura directly from the browser):
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# Hasura GraphQL endpoint (supports subscriptions via WS).
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# On VPS, `trade-frontend` proxies Hasura at the same origin under `/graphql`.
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VITE_HASURA_URL=/graphql
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# Optional explicit WS URL; when omitted the app derives it from `VITE_HASURA_URL`.
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# Can be absolute (wss://...) or a same-origin path (e.g. /graphql-ws).
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# VITE_HASURA_WS_URL=/graphql-ws
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# Optional auth (only if Hasura is not configured with `HASURA_GRAPHQL_UNAUTHORIZED_ROLE=public`):
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# VITE_HASURA_AUTH_TOKEN=YOUR_JWT
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# VITE_HASURA_ADMIN_SECRET=devsecret
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VITE_SYMBOL=PUMP-PERP
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VITE_SYMBOL=SOL-PERP
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# Optional: filter by source (leave empty for all)
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# VITE_SOURCE=drift_oracle
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VITE_POLL_MS=1000
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24
apps/visualizer/__start
Normal file
24
apps/visualizer/__start
Normal file
@@ -0,0 +1,24 @@
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#!/usr/bin/env bash
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set -euo pipefail
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SCRIPT_DIR="$(cd "$(dirname "${BASH_SOURCE[0]}")" && pwd)"
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ROOT_DIR="$(cd "${SCRIPT_DIR}/../.." && pwd)"
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cd "${SCRIPT_DIR}"
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export API_PROXY_TARGET="${API_PROXY_TARGET:-https://trade.mpabi.pl}"
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export GRAPHQL_PROXY_TARGET="${GRAPHQL_PROXY_TARGET:-https://trade.mpabi.pl}"
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export VITE_API_URL="${VITE_API_URL:-/api}"
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export VITE_HASURA_URL="${VITE_HASURA_URL:-/graphql}"
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export VITE_HASURA_WS_URL="${VITE_HASURA_WS_URL:-/graphql-ws}"
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if [[ -z "${API_PROXY_BASIC_AUTH:-}" && -z "${API_PROXY_BASIC_AUTH_FILE:-}" ]]; then
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if [[ -f "${ROOT_DIR}/tokens/frontend.json" ]]; then
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export API_PROXY_BASIC_AUTH_FILE="tokens/frontend.json"
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else
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echo "Missing basic auth config for VPS proxy."
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echo "Set API_PROXY_BASIC_AUTH='USER:PASS' or create tokens/frontend.json" >&2
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fi
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fi
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npm run dev
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@@ -1,3 +1,4 @@
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import type { CSSProperties } from 'react';
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import { useEffect, useMemo, useState } from 'react';
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import { useLocalStorageState } from './app/hooks/useLocalStorageState';
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import AppShell from './layout/AppShell';
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@@ -11,6 +12,11 @@ import Button from './ui/Button';
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import TopNav from './layout/TopNav';
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import AuthStatus from './layout/AuthStatus';
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import LoginScreen from './layout/LoginScreen';
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import { useDlobStats } from './features/market/useDlobStats';
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import { useDlobL2 } from './features/market/useDlobL2';
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import { useDlobSlippage } from './features/market/useDlobSlippage';
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import { useDlobDepthBands } from './features/market/useDlobDepthBands';
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import DlobDashboard from './features/market/DlobDashboard';
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function envNumber(name: string, fallback: number): number {
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const v = (import.meta as any).env?.[name];
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@@ -36,6 +42,11 @@ function formatQty(v: number | null | undefined, decimals: number): string {
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return v.toLocaleString(undefined, { minimumFractionDigits: decimals, maximumFractionDigits: decimals });
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}
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function orderbookBarStyle(scale: number): CSSProperties {
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const s = Number.isFinite(scale) && scale > 0 ? Math.min(1, scale) : 0;
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return { ['--ob-bar-scale' as any]: s } as CSSProperties;
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}
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type WhoamiResponse = {
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ok?: boolean;
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user?: string | null;
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@@ -99,9 +110,9 @@ export default function App() {
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}
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function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
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const markets = useMemo(() => ['PUMP-PERP', 'SOL-PERP', 'BTC-PERP', 'ETH-PERP'], []);
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const markets = useMemo(() => ['PUMP-PERP', 'SOL-PERP', '1MBONK-PERP', 'BTC-PERP', 'ETH-PERP'], []);
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const [symbol, setSymbol] = useLocalStorageState('trade.symbol', envString('VITE_SYMBOL', 'PUMP-PERP'));
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const [symbol, setSymbol] = useLocalStorageState('trade.symbol', envString('VITE_SYMBOL', 'SOL-PERP'));
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const [source, setSource] = useLocalStorageState('trade.source', envString('VITE_SOURCE', ''));
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const [tf, setTf] = useLocalStorageState('trade.tf', envString('VITE_TF', '1m'));
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const [pollMs, setPollMs] = useLocalStorageState('trade.pollMs', envNumber('VITE_POLL_MS', 1000));
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@@ -110,7 +121,7 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
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const [showBuild, setShowBuild] = useLocalStorageState('trade.showBuild', false);
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const [tab, setTab] = useLocalStorageState<'orderbook' | 'trades'>('trade.sidebarTab', 'orderbook');
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const [bottomTab, setBottomTab] = useLocalStorageState<
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'positions' | 'orders' | 'balances' | 'orderHistory' | 'positionHistory'
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'dlob' | 'positions' | 'orders' | 'balances' | 'orderHistory' | 'positionHistory'
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>('trade.bottomTab', 'positions');
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const [tradeSide, setTradeSide] = useLocalStorageState<'long' | 'short'>('trade.form.side', 'long');
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const [tradeOrderType, setTradeOrderType] = useLocalStorageState<'market' | 'limit' | 'other'>(
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@@ -120,6 +131,16 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
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const [tradePrice, setTradePrice] = useLocalStorageState<number>('trade.form.price', 0);
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const [tradeSize, setTradeSize] = useLocalStorageState<number>('trade.form.size', 0.1);
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useEffect(() => {
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if (symbol === 'BONK-PERP') {
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setSymbol('1MBONK-PERP');
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return;
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}
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if (!markets.includes(symbol)) {
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setSymbol('SOL-PERP');
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}
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}, [markets, setSymbol, symbol]);
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const { candles, indicators, meta, loading, error, refresh } = useChartData({
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symbol,
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source: source.trim() ? source : undefined,
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@@ -128,12 +149,18 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
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pollMs,
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});
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const { stats: dlob, connected: dlobConnected, error: dlobError } = useDlobStats(symbol);
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const { l2: dlobL2, connected: dlobL2Connected, error: dlobL2Error } = useDlobL2(symbol, { levels: 14 });
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const { rows: slippageRows, connected: slippageConnected, error: slippageError } = useDlobSlippage(symbol);
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const { rows: depthBands, connected: depthBandsConnected, error: depthBandsError } = useDlobDepthBands(symbol);
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const latest = candles.length ? candles[candles.length - 1] : null;
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const first = candles.length ? candles[0] : null;
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const changePct =
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first && latest && first.close > 0 ? ((latest.close - first.close) / first.close) * 100 : null;
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const orderbook = useMemo(() => {
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if (dlobL2) return { asks: dlobL2.asks, bids: dlobL2.bids, mid: dlobL2.mid as number | null };
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if (!latest) return { asks: [], bids: [], mid: null as number | null };
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const mid = latest.close;
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const step = Math.max(mid * 0.00018, 0.0001);
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@@ -164,7 +191,19 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
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});
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return { asks, bids, mid };
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}, [latest]);
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}, [dlobL2, latest]);
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const maxAskTotal = useMemo(() => {
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let max = 0;
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for (const r of orderbook.asks) max = Math.max(max, r.total || 0);
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return max;
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}, [orderbook.asks]);
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const maxBidTotal = useMemo(() => {
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let max = 0;
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for (const r of orderbook.bids) max = Math.max(max, r.total || 0);
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return max;
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}, [orderbook.bids]);
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const trades = useMemo(() => {
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const slice = candles.slice(-24).reverse();
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@@ -184,6 +223,24 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
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return latest?.close ?? tradePrice;
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}, [latest?.close, tradeOrderType, tradePrice]);
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const orderValueUsd = useMemo(() => {
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if (!Number.isFinite(tradeSize) || tradeSize <= 0) return null;
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if (!Number.isFinite(effectiveTradePrice) || effectiveTradePrice <= 0) return null;
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const v = effectiveTradePrice * tradeSize;
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return Number.isFinite(v) && v > 0 ? v : null;
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}, [effectiveTradePrice, tradeSize]);
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const dynamicSlippage = useMemo(() => {
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if (orderValueUsd == null) return null;
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const side = tradeSide === 'short' ? 'sell' : 'buy';
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const rows = slippageRows.filter((r) => r.side === side).slice();
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rows.sort((a, b) => a.sizeUsd - b.sizeUsd);
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if (!rows.length) return null;
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const biggest = rows[rows.length - 1];
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const match = rows.find((r) => r.sizeUsd >= orderValueUsd) || biggest;
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return match;
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}, [orderValueUsd, slippageRows, tradeSide]);
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const topItems = useMemo(
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() => [
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{ key: 'BTC', label: 'BTC', changePct: 1.28, active: false },
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@@ -209,12 +266,28 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
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),
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},
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{ key: 'oracle', label: 'Oracle', value: formatUsd(latest?.oracle ?? null) },
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{ key: 'funding', label: 'Funding / 24h', value: '—', sub: '—' },
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{ key: 'oi', label: 'Open Interest', value: '—' },
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{ key: 'vol', label: '24h Volume', value: '—' },
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{ key: 'details', label: 'Market Details', value: <a href="#">View</a> },
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{ key: 'bid', label: 'Bid', value: formatUsd(dlob?.bestBid ?? null) },
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{ key: 'ask', label: 'Ask', value: formatUsd(dlob?.bestAsk ?? null) },
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{
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key: 'spread',
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label: 'Spread',
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value: dlob?.spreadBps == null ? '—' : `${dlob.spreadBps.toFixed(1)} bps`,
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sub: formatUsd(dlob?.spreadAbs ?? null),
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},
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{
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key: 'dlob',
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label: 'DLOB',
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value: dlobConnected ? 'live' : '—',
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sub: dlobError ? <span className="neg">{dlobError}</span> : dlob?.updatedAt || '—',
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},
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{
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key: 'l2',
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label: 'L2',
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value: dlobL2Connected ? 'live' : '—',
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sub: dlobL2Error ? <span className="neg">{dlobL2Error}</span> : dlobL2?.updatedAt || '—',
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},
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];
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}, [latest?.close, latest?.oracle, changePct]);
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}, [latest?.close, latest?.oracle, changePct, dlob, dlobConnected, dlobError, dlobL2, dlobL2Connected, dlobL2Error]);
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const seriesLabel = useMemo(() => `Candles: Mark (oracle overlay)`, []);
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const seriesKey = useMemo(() => `${symbol}|${source}|${tf}`, [symbol, source, tf]);
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@@ -292,11 +365,30 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
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showBuild={showBuild}
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onToggleBuild={() => setShowBuild((v) => !v)}
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seriesLabel={seriesLabel}
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dlobQuotes={{ bid: dlob?.bestBid ?? null, ask: dlob?.bestAsk ?? null, mid: dlob?.mid ?? null }}
|
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/>
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<Card className="bottomCard">
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<Tabs
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items={[
|
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{
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id: 'dlob',
|
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label: 'DLOB',
|
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content: (
|
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<DlobDashboard
|
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market={symbol}
|
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stats={dlob}
|
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statsConnected={dlobConnected}
|
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statsError={dlobError}
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depthBands={depthBands}
|
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depthBandsConnected={depthBandsConnected}
|
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depthBandsError={depthBandsError}
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slippageRows={slippageRows}
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slippageConnected={slippageConnected}
|
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slippageError={slippageError}
|
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/>
|
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),
|
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},
|
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{ id: 'positions', label: 'Positions', content: <div className="placeholder">Positions (next)</div> },
|
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{ id: 'orders', label: 'Orders', content: <div className="placeholder">Orders (next)</div> },
|
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{ id: 'balances', label: 'Balances', content: <div className="placeholder">Balances (next)</div> },
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@@ -323,7 +415,7 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
|
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title={
|
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<div className="sideHead">
|
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<div className="sideHead__title">Orderbook</div>
|
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<div className="sideHead__subtitle">{loading ? 'loading…' : latest ? formatUsd(latest.close) : '—'}</div>
|
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<div className="sideHead__subtitle">{loading ? 'loading…' : orderbook.mid != null ? formatUsd(orderbook.mid) : latest ? formatUsd(latest.close) : '—'}</div>
|
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</div>
|
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}
|
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>
|
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@@ -341,18 +433,26 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
|
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</div>
|
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<div className="orderbook__rows">
|
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{orderbook.asks.map((r) => (
|
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<div key={`a-${r.price}`} className="orderbookRow orderbookRow--ask">
|
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<div
|
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key={`a-${r.price}`}
|
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className="orderbookRow orderbookRow--ask"
|
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style={orderbookBarStyle(maxAskTotal > 0 ? r.total / maxAskTotal : 0)}
|
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>
|
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<span className="orderbookRow__price">{formatQty(r.price, 3)}</span>
|
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<span className="orderbookRow__num">{formatQty(r.size, 2)}</span>
|
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<span className="orderbookRow__num">{formatQty(r.total, 2)}</span>
|
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</div>
|
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))}
|
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<div className="orderbookMid">
|
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<span className="orderbookMid__price">{latest ? formatQty(latest.close, 3) : '—'}</span>
|
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<span className="orderbookMid__price">{formatQty(orderbook.mid, 3)}</span>
|
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<span className="orderbookMid__label">mid</span>
|
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</div>
|
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{orderbook.bids.map((r) => (
|
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<div key={`b-${r.price}`} className="orderbookRow orderbookRow--bid">
|
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<div
|
||||
key={`b-${r.price}`}
|
||||
className="orderbookRow orderbookRow--bid"
|
||||
style={orderbookBarStyle(maxBidTotal > 0 ? r.total / maxBidTotal : 0)}
|
||||
>
|
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<span className="orderbookRow__price">{formatQty(r.price, 3)}</span>
|
||||
<span className="orderbookRow__num">{formatQty(r.size, 2)}</span>
|
||||
<span className="orderbookRow__num">{formatQty(r.total, 2)}</span>
|
||||
@@ -487,7 +587,27 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
|
||||
</div>
|
||||
<div className="tradeMeta__row">
|
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<span className="tradeMeta__label">Slippage (Dynamic)</span>
|
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<span className="tradeMeta__value">—</span>
|
||||
<span className="tradeMeta__value">
|
||||
{slippageError ? (
|
||||
<span className="neg">{slippageError}</span>
|
||||
) : dynamicSlippage?.impactBps == null ? (
|
||||
slippageConnected ? (
|
||||
'—'
|
||||
) : (
|
||||
'offline'
|
||||
)
|
||||
) : (
|
||||
<>
|
||||
{dynamicSlippage.impactBps.toFixed(1)} bps{' '}
|
||||
<span className="muted">
|
||||
({dynamicSlippage.sizeUsd.toLocaleString()} USD)
|
||||
{dynamicSlippage.fillPct != null && dynamicSlippage.fillPct < 99.9
|
||||
? `, ${dynamicSlippage.fillPct.toFixed(0)}% fill`
|
||||
: ''}
|
||||
</span>
|
||||
</>
|
||||
)}
|
||||
</span>
|
||||
</div>
|
||||
<div className="tradeMeta__row">
|
||||
<span className="tradeMeta__label">Margin Required</span>
|
||||
|
||||
@@ -142,38 +142,30 @@ export default function ChartLayersPanel({
|
||||
<div className="chartLayersCell chartLayersCell--actions">Actions</div>
|
||||
</div>
|
||||
|
||||
{drawingsLayer ? (
|
||||
<div className="chartLayersRow chartLayersRow--layer">
|
||||
{layers.map((layer) => (
|
||||
<div key={layer.id} className="chartLayersRow chartLayersRow--layer">
|
||||
<div className="chartLayersCell chartLayersCell--icon">
|
||||
<IconButton
|
||||
title="Toggle visible"
|
||||
active={drawingsLayer.visible}
|
||||
onClick={() => onToggleLayerVisible(drawingsLayer.id)}
|
||||
>
|
||||
<IconButton title="Toggle visible" active={layer.visible} onClick={() => onToggleLayerVisible(layer.id)}>
|
||||
<IconEye />
|
||||
</IconButton>
|
||||
</div>
|
||||
<div className="chartLayersCell chartLayersCell--icon">
|
||||
<IconButton
|
||||
title="Toggle lock"
|
||||
active={drawingsLayer.locked}
|
||||
onClick={() => onToggleLayerLocked(drawingsLayer.id)}
|
||||
>
|
||||
<IconButton title="Toggle lock" active={layer.locked} onClick={() => onToggleLayerLocked(layer.id)}>
|
||||
<IconLock />
|
||||
</IconButton>
|
||||
</div>
|
||||
<div className="chartLayersCell chartLayersCell--name">
|
||||
<div className="layersName layersName--layer">
|
||||
{drawingsLayer.name}
|
||||
<span className="layersName__meta">{fibPresent ? ' (1)' : ' (0)'}</span>
|
||||
{layer.name}
|
||||
{layer.id === 'drawings' ? <span className="layersName__meta">{fibPresent ? ' (1)' : ' (0)'}</span> : null}
|
||||
</div>
|
||||
</div>
|
||||
<div className="chartLayersCell chartLayersCell--opacity">
|
||||
<OpacitySlider value={drawingsLayer.opacity} onChange={(next) => onSetLayerOpacity(drawingsLayer.id, next)} />
|
||||
<OpacitySlider value={layer.opacity} onChange={(next) => onSetLayerOpacity(layer.id, next)} />
|
||||
</div>
|
||||
<div className="chartLayersCell chartLayersCell--actions" />
|
||||
</div>
|
||||
) : null}
|
||||
))}
|
||||
|
||||
{drawingsLayer && fibPresent ? (
|
||||
<div
|
||||
@@ -212,4 +204,3 @@ export default function ChartLayersPanel({
|
||||
</>
|
||||
);
|
||||
}
|
||||
|
||||
|
||||
@@ -6,12 +6,13 @@ import ChartSideToolbar from './ChartSideToolbar';
|
||||
import ChartToolbar from './ChartToolbar';
|
||||
import TradingChart from './TradingChart';
|
||||
import type { FibAnchor, FibRetracement } from './FibRetracementPrimitive';
|
||||
import type { IChartApi } from 'lightweight-charts';
|
||||
import { LineStyle, type IChartApi } from 'lightweight-charts';
|
||||
import type { OverlayLayer } from './ChartPanel.types';
|
||||
|
||||
type Props = {
|
||||
candles: Candle[];
|
||||
indicators: ChartIndicators;
|
||||
dlobQuotes?: { bid: number | null; ask: number | null; mid: number | null } | null;
|
||||
timeframe: string;
|
||||
bucketSeconds: number;
|
||||
seriesKey: string;
|
||||
@@ -45,6 +46,7 @@ function isEditableTarget(t: EventTarget | null): boolean {
|
||||
export default function ChartPanel({
|
||||
candles,
|
||||
indicators,
|
||||
dlobQuotes,
|
||||
timeframe,
|
||||
bucketSeconds,
|
||||
seriesKey,
|
||||
@@ -61,6 +63,7 @@ export default function ChartPanel({
|
||||
const [fib, setFib] = useState<FibRetracement | null>(null);
|
||||
const [fibDraft, setFibDraft] = useState<FibRetracement | null>(null);
|
||||
const [layers, setLayers] = useState<OverlayLayer[]>([
|
||||
{ id: 'dlob-quotes', name: 'DLOB Quotes', visible: true, locked: false, opacity: 0.9 },
|
||||
{ id: 'drawings', name: 'Drawings', visible: true, locked: false, opacity: 1 },
|
||||
]);
|
||||
const [layersOpen, setLayersOpen] = useState(false);
|
||||
@@ -196,6 +199,37 @@ export default function ChartPanel({
|
||||
return Math.max(0, Math.min(1, v));
|
||||
}
|
||||
|
||||
const quotesLayer = useMemo(() => layers.find((l) => l.id === 'dlob-quotes'), [layers]);
|
||||
const quotesVisible = Boolean(quotesLayer?.visible);
|
||||
const quotesOpacity = clamp01(quotesLayer?.opacity ?? 1);
|
||||
|
||||
const priceLines = useMemo(() => {
|
||||
if (!quotesVisible) return [];
|
||||
return [
|
||||
{
|
||||
id: 'dlob-bid',
|
||||
title: 'DLOB Bid',
|
||||
price: dlobQuotes?.bid ?? null,
|
||||
color: `rgba(34,197,94,${quotesOpacity})`,
|
||||
lineStyle: LineStyle.Dotted,
|
||||
},
|
||||
{
|
||||
id: 'dlob-mid',
|
||||
title: 'DLOB Mid',
|
||||
price: dlobQuotes?.mid ?? null,
|
||||
color: `rgba(230,233,239,${quotesOpacity})`,
|
||||
lineStyle: LineStyle.Dashed,
|
||||
},
|
||||
{
|
||||
id: 'dlob-ask',
|
||||
title: 'DLOB Ask',
|
||||
price: dlobQuotes?.ask ?? null,
|
||||
color: `rgba(239,68,68,${quotesOpacity})`,
|
||||
lineStyle: LineStyle.Dotted,
|
||||
},
|
||||
];
|
||||
}, [dlobQuotes?.ask, dlobQuotes?.bid, dlobQuotes?.mid, quotesOpacity, quotesVisible]);
|
||||
|
||||
function updateLayer(layerId: string, patch: Partial<OverlayLayer>) {
|
||||
setLayers((prev) => prev.map((l) => (l.id === layerId ? { ...l, ...patch } : l)));
|
||||
}
|
||||
@@ -309,6 +343,7 @@ export default function ChartPanel({
|
||||
showBuild={showBuild}
|
||||
bucketSeconds={bucketSeconds}
|
||||
seriesKey={seriesKey}
|
||||
priceLines={priceLines}
|
||||
fib={fibRenderable}
|
||||
fibOpacity={fibEffectiveOpacity}
|
||||
fibSelected={fibSelected}
|
||||
|
||||
@@ -14,7 +14,7 @@ type Props = {
|
||||
onToggleFullscreen: () => void;
|
||||
};
|
||||
|
||||
const timeframes = ['1m', '5m', '15m', '1h', '4h', '1D'] as const;
|
||||
const timeframes = ['5s', '15s', '30s', '1m', '5m', '15m', '1h', '4h', '1D'] as const;
|
||||
|
||||
export default function ChartToolbar({
|
||||
timeframe,
|
||||
|
||||
@@ -1,13 +1,18 @@
|
||||
import { useEffect, useMemo, useRef } from 'react';
|
||||
import { useEffect, useMemo, useRef, useState } from 'react';
|
||||
import {
|
||||
CandlestickSeries,
|
||||
ColorType,
|
||||
CrosshairMode,
|
||||
HistogramSeries,
|
||||
type IPrimitivePaneRenderer,
|
||||
type IPrimitivePaneView,
|
||||
type IChartApi,
|
||||
type ISeriesApi,
|
||||
type ISeriesPrimitive,
|
||||
LineStyle,
|
||||
LineSeries,
|
||||
type SeriesAttachedParameter,
|
||||
type Time,
|
||||
createChart,
|
||||
type UTCTimestamp,
|
||||
type CandlestickData,
|
||||
@@ -28,6 +33,15 @@ type Props = {
|
||||
showBuild: boolean;
|
||||
bucketSeconds: number;
|
||||
seriesKey: string;
|
||||
priceLines?: Array<{
|
||||
id: string;
|
||||
title: string;
|
||||
price: number | null;
|
||||
color: string;
|
||||
lineWidth?: number;
|
||||
lineStyle?: LineStyle;
|
||||
axisLabelVisible?: boolean;
|
||||
}>;
|
||||
fib?: FibRetracement | null;
|
||||
fibOpacity?: number;
|
||||
fibSelected?: boolean;
|
||||
@@ -49,6 +63,13 @@ type Props = {
|
||||
type LinePoint = LineData | WhitespaceData;
|
||||
type BuildSample = { t: number; v: number };
|
||||
|
||||
const BUILD_UP_COLOR = '#22c55e';
|
||||
const BUILD_DOWN_COLOR = '#ef4444';
|
||||
const BUILD_FLAT_COLOR = '#60a5fa';
|
||||
const BUILD_UP_SLICE = 'rgba(34,197,94,0.70)';
|
||||
const BUILD_DOWN_SLICE = 'rgba(239,68,68,0.70)';
|
||||
const BUILD_FLAT_SLICE = 'rgba(96,165,250,0.70)';
|
||||
|
||||
function toTime(t: number): UTCTimestamp {
|
||||
return t as UTCTimestamp;
|
||||
}
|
||||
@@ -107,7 +128,361 @@ function toVolumeData(candles: Candle[]): HistogramData[] {
|
||||
|
||||
function toLineSeries(points: SeriesPoint[] | undefined): LinePoint[] {
|
||||
if (!points?.length) return [];
|
||||
return points.map((p) => (p.value == null ? ({ time: toTime(p.time) } as WhitespaceData) : { time: toTime(p.time), value: p.value }));
|
||||
return points.map((p) =>
|
||||
p.value == null ? ({ time: toTime(p.time) } as WhitespaceData) : { time: toTime(p.time), value: p.value }
|
||||
);
|
||||
}
|
||||
|
||||
function colorForDelta(delta: number): string {
|
||||
if (delta > 0) return BUILD_UP_COLOR;
|
||||
if (delta < 0) return BUILD_DOWN_COLOR;
|
||||
return BUILD_FLAT_COLOR;
|
||||
}
|
||||
|
||||
function sliceColorForDelta(delta: number): string {
|
||||
if (delta > 0) return BUILD_UP_SLICE;
|
||||
if (delta < 0) return BUILD_DOWN_SLICE;
|
||||
return BUILD_FLAT_SLICE;
|
||||
}
|
||||
|
||||
type SliceDir = -1 | 0 | 1;
|
||||
|
||||
function dirForDelta(delta: number): SliceDir {
|
||||
if (delta > 0) return 1;
|
||||
if (delta < 0) return -1;
|
||||
return 0;
|
||||
}
|
||||
|
||||
function buildDeltaSeriesForCandle(candle: Candle, bs: number, samples: BuildSample[] | undefined): LinePoint[] {
|
||||
const eps = 1e-3;
|
||||
const startT = candle.time + eps;
|
||||
const endT = candle.time + bs - eps;
|
||||
if (!(endT > startT)) return [];
|
||||
|
||||
const points: BuildSample[] = [{ t: startT, v: 0 }];
|
||||
let lastT = startT;
|
||||
for (const p of samples || []) {
|
||||
let t = p.t;
|
||||
if (t <= lastT + eps) t = lastT + eps;
|
||||
if (t >= endT) break;
|
||||
points.push({ t, v: p.v });
|
||||
lastT = t;
|
||||
}
|
||||
|
||||
const finalDelta = candle.close - candle.open;
|
||||
if (endT > lastT + eps) {
|
||||
points.push({ t: endT, v: finalDelta });
|
||||
} else if (points.length) {
|
||||
points[points.length - 1] = { ...points[points.length - 1]!, v: finalDelta };
|
||||
}
|
||||
|
||||
const out: LinePoint[] = [{ time: toTime(candle.time) } as WhitespaceData];
|
||||
out.push({ time: toTime(points[0]!.t), value: points[0]!.v } as LineData);
|
||||
|
||||
let lastLineIdx = out.length - 1;
|
||||
let lastVal = points[0]!.v;
|
||||
for (let i = 1; i < points.length; i += 1) {
|
||||
const v = points[i]!.v;
|
||||
const prev = out[lastLineIdx] as LineData;
|
||||
out[lastLineIdx] = { ...prev, color: colorForDelta(v - lastVal) } as LineData;
|
||||
out.push({ time: toTime(points[i]!.t), value: v } as LineData);
|
||||
lastLineIdx = out.length - 1;
|
||||
lastVal = v;
|
||||
}
|
||||
return out;
|
||||
}
|
||||
|
||||
type BuildSlicesState = {
|
||||
enabled: boolean;
|
||||
candles: Candle[];
|
||||
bucketSeconds: number;
|
||||
samples: Map<number, BuildSample[]>;
|
||||
series: ISeriesApi<'Histogram', Time> | null;
|
||||
chart: SeriesAttachedParameter<Time>['chart'] | null;
|
||||
};
|
||||
|
||||
class BuildSlicesPaneRenderer implements IPrimitivePaneRenderer {
|
||||
private readonly _getState: () => BuildSlicesState;
|
||||
|
||||
constructor(getState: () => BuildSlicesState) {
|
||||
this._getState = getState;
|
||||
}
|
||||
|
||||
draw(target: any) {
|
||||
const { enabled, candles, bucketSeconds, samples, series, chart } = this._getState();
|
||||
if (!enabled) return;
|
||||
if (!candles.length || !series || !chart) return;
|
||||
|
||||
const bs = resolveBucketSeconds(bucketSeconds, candles);
|
||||
const lastCandleTime = candles[candles.length - 1]?.time ?? null;
|
||||
|
||||
const yBase = series.priceToCoordinate(0);
|
||||
if (yBase == null) return;
|
||||
|
||||
const xs = candles.map((c) => chart.timeScale().timeToCoordinate(toTime(c.time)));
|
||||
|
||||
target.useBitmapCoordinateSpace(({ context, bitmapSize, horizontalPixelRatio, verticalPixelRatio }: any) => {
|
||||
const yBottomPx = Math.round(yBase * verticalPixelRatio);
|
||||
const lastIdx = xs.length - 1;
|
||||
|
||||
for (let i = 0; i < candles.length; i += 1) {
|
||||
const x = xs[i];
|
||||
if (x == null) continue;
|
||||
if (!Number.isFinite(x)) continue;
|
||||
|
||||
const c = candles[i]!;
|
||||
|
||||
const start = c.time;
|
||||
const end = start + bs;
|
||||
const isCurrent = lastCandleTime != null && c.time === lastCandleTime;
|
||||
const now = Date.now() / 1000;
|
||||
const progressT = isCurrent ? Math.min(end, Math.max(start, now)) : end;
|
||||
|
||||
let spacing = 0;
|
||||
const prevX = i > 0 ? xs[i - 1] : null;
|
||||
const nextX = i < lastIdx ? xs[i + 1] : null;
|
||||
if (prevX != null && Number.isFinite(prevX)) spacing = x - prevX;
|
||||
if (nextX != null && Number.isFinite(nextX)) {
|
||||
const s2 = nextX - x;
|
||||
spacing = spacing > 0 ? Math.min(spacing, s2) : s2;
|
||||
}
|
||||
if (!(spacing > 0)) spacing = 6;
|
||||
|
||||
const barWidthCss = Math.max(1, spacing * 0.9);
|
||||
const barWidthPx = Math.max(1, Math.round(barWidthCss * horizontalPixelRatio));
|
||||
const xCenterPx = Math.round(x * horizontalPixelRatio);
|
||||
const xLeftPx = Math.round(xCenterPx - barWidthPx / 2);
|
||||
|
||||
const volumeValue = typeof c.volume === 'number' && Number.isFinite(c.volume) ? c.volume : 0;
|
||||
if (!(volumeValue > 0)) continue;
|
||||
const yTop = series.priceToCoordinate(volumeValue);
|
||||
if (yTop == null) continue;
|
||||
const yTopPx = Math.round(yTop * verticalPixelRatio);
|
||||
if (!(yBottomPx > yTopPx)) continue;
|
||||
const barHeightPx = yBottomPx - yTopPx;
|
||||
|
||||
const x0 = Math.max(0, Math.min(bitmapSize.width, xLeftPx));
|
||||
const x1 = Math.max(0, Math.min(bitmapSize.width, xLeftPx + barWidthPx));
|
||||
const w = x1 - x0;
|
||||
if (!(w > 0)) continue;
|
||||
|
||||
// Prefer server-provided `flowRows`: brick-by-brick direction per time slice inside the candle.
|
||||
// Fallback to `flow` (3 shares) or net candle direction.
|
||||
const rowsFromApi = Array.isArray((c as any).flowRows) ? ((c as any).flowRows as any[]) : null;
|
||||
const rowDirs = rowsFromApi?.length ? rowsFromApi : null;
|
||||
|
||||
if (rowDirs) {
|
||||
const rows = Math.max(1, rowDirs.length);
|
||||
const progressRows = Math.max(0, Math.min(rows, Math.ceil(((progressT - start) / bs) * rows)));
|
||||
const movesFromApi = Array.isArray((c as any).flowMoves) ? ((c as any).flowMoves as any[]) : null;
|
||||
const rowMoves = movesFromApi && movesFromApi.length === rows ? movesFromApi : null;
|
||||
let maxMove = 0;
|
||||
if (rowMoves) {
|
||||
for (let r = 0; r < progressRows; r += 1) {
|
||||
const v = Number(rowMoves[r]);
|
||||
if (Number.isFinite(v) && v > maxMove) maxMove = v;
|
||||
}
|
||||
}
|
||||
|
||||
const sepPx = 1; // black separator line between steps
|
||||
const sepColor = 'rgba(0,0,0,0.75)';
|
||||
|
||||
// Blue (flat) bricks have a constant pixel height (unit).
|
||||
// Up/down bricks are scaled by |Δ| in their dt.
|
||||
const minNonFlatPx = 1;
|
||||
let unitFlatPx = 2;
|
||||
|
||||
let flatCount = 0;
|
||||
let nonFlatCount = 0;
|
||||
for (let r = 0; r < progressRows; r += 1) {
|
||||
const dirRaw = rowDirs[r];
|
||||
const dir = dirRaw > 0 ? 1 : dirRaw < 0 ? -1 : 0;
|
||||
if (dir === 0) flatCount += 1;
|
||||
else nonFlatCount += 1;
|
||||
}
|
||||
|
||||
const sepTotal = Math.max(0, progressRows - 1) * sepPx;
|
||||
if (flatCount > 0) {
|
||||
const maxUnit = Math.floor((barHeightPx - sepTotal - nonFlatCount * minNonFlatPx) / flatCount);
|
||||
unitFlatPx = Math.max(1, Math.min(unitFlatPx, maxUnit));
|
||||
} else {
|
||||
unitFlatPx = 0;
|
||||
}
|
||||
|
||||
let nonFlatAvailable = barHeightPx - sepTotal - flatCount * unitFlatPx;
|
||||
if (!Number.isFinite(nonFlatAvailable) || nonFlatAvailable < 0) nonFlatAvailable = 0;
|
||||
|
||||
const baseNonFlat = nonFlatCount * minNonFlatPx;
|
||||
let extra = nonFlatAvailable - baseNonFlat;
|
||||
if (!Number.isFinite(extra) || extra < 0) extra = 0;
|
||||
|
||||
let sumMove = 0;
|
||||
if (nonFlatCount > 0) {
|
||||
for (let r = 0; r < progressRows; r += 1) {
|
||||
const dirRaw = rowDirs[r];
|
||||
const dir = dirRaw > 0 ? 1 : dirRaw < 0 ? -1 : 0;
|
||||
if (dir === 0) continue;
|
||||
const mvRaw = rowMoves ? Number(rowMoves[r]) : 0;
|
||||
const mv = Number.isFinite(mvRaw) ? Math.max(0, mvRaw) : 0;
|
||||
sumMove += mv;
|
||||
}
|
||||
}
|
||||
|
||||
if (!(flatCount + nonFlatCount > 0) || barHeightPx <= sepTotal) {
|
||||
continue;
|
||||
}
|
||||
|
||||
// Stack bricks bottom-up (earliest slices at the bottom).
|
||||
let usedExtra = 0;
|
||||
let nonFlatSeen = 0;
|
||||
let y = yBottomPx;
|
||||
for (let r = 0; r < progressRows; r += 1) {
|
||||
const dirRaw = rowDirs[r];
|
||||
const dir = dirRaw > 0 ? 1 : dirRaw < 0 ? -1 : 0;
|
||||
const isLast = r === progressRows - 1;
|
||||
|
||||
let h = 0;
|
||||
if (dir === 0) {
|
||||
h = unitFlatPx;
|
||||
} else {
|
||||
nonFlatSeen += 1;
|
||||
const mvRaw = rowMoves ? Number(rowMoves[r]) : 0;
|
||||
const mv = Number.isFinite(mvRaw) ? Math.max(0, mvRaw) : 0;
|
||||
const share = sumMove > 0 ? mv / sumMove : 1 / nonFlatCount;
|
||||
const wantExtra = Math.floor(extra * share);
|
||||
const isLastNonFlat = nonFlatSeen === nonFlatCount;
|
||||
const add = isLastNonFlat ? Math.max(0, extra - usedExtra) : Math.max(0, wantExtra);
|
||||
usedExtra += add;
|
||||
h = minNonFlatPx + add;
|
||||
}
|
||||
|
||||
if (h <= 0) continue;
|
||||
y -= h;
|
||||
context.fillStyle = sliceColorForDelta(dir);
|
||||
context.fillRect(x0, y, w, h);
|
||||
|
||||
if (!isLast) {
|
||||
y -= sepPx;
|
||||
context.fillStyle = sepColor;
|
||||
context.fillRect(x0, y, w, sepPx);
|
||||
}
|
||||
}
|
||||
continue;
|
||||
}
|
||||
|
||||
const f: any = (c as any).flow;
|
||||
let upShare = typeof f?.up === 'number' ? f.up : Number(f?.up);
|
||||
let downShare = typeof f?.down === 'number' ? f.down : Number(f?.down);
|
||||
let flatShare = typeof f?.flat === 'number' ? f.flat : Number(f?.flat);
|
||||
|
||||
if (!Number.isFinite(upShare)) upShare = 0;
|
||||
if (!Number.isFinite(downShare)) downShare = 0;
|
||||
if (!Number.isFinite(flatShare)) flatShare = 0;
|
||||
upShare = Math.max(0, upShare);
|
||||
downShare = Math.max(0, downShare);
|
||||
flatShare = Math.max(0, flatShare);
|
||||
|
||||
let sum = upShare + downShare + flatShare;
|
||||
if (!(sum > 0)) {
|
||||
const overallDir = dirForDelta(c.close - c.open);
|
||||
upShare = overallDir > 0 ? 1 : 0;
|
||||
downShare = overallDir < 0 ? 1 : 0;
|
||||
flatShare = overallDir === 0 ? 1 : 0;
|
||||
sum = 1;
|
||||
}
|
||||
|
||||
upShare /= sum;
|
||||
downShare /= sum;
|
||||
flatShare /= sum;
|
||||
|
||||
const downH = Math.floor(barHeightPx * downShare);
|
||||
const flatH = Math.floor(barHeightPx * flatShare);
|
||||
const upH = Math.max(0, barHeightPx - downH - flatH);
|
||||
|
||||
let y = yBottomPx;
|
||||
|
||||
if (downH > 0) {
|
||||
context.fillStyle = sliceColorForDelta(-1);
|
||||
context.fillRect(x0, y - downH, w, downH);
|
||||
y -= downH;
|
||||
}
|
||||
if (flatH > 0) {
|
||||
context.fillStyle = sliceColorForDelta(0);
|
||||
context.fillRect(x0, y - flatH, w, flatH);
|
||||
y -= flatH;
|
||||
}
|
||||
if (upH > 0) {
|
||||
context.fillStyle = sliceColorForDelta(1);
|
||||
context.fillRect(x0, y - upH, w, upH);
|
||||
}
|
||||
}
|
||||
});
|
||||
}
|
||||
}
|
||||
|
||||
class BuildSlicesPaneView implements IPrimitivePaneView {
|
||||
private readonly _renderer: BuildSlicesPaneRenderer;
|
||||
|
||||
constructor(getState: () => BuildSlicesState) {
|
||||
this._renderer = new BuildSlicesPaneRenderer(getState);
|
||||
}
|
||||
|
||||
zOrder() {
|
||||
return 'top';
|
||||
}
|
||||
|
||||
renderer() {
|
||||
return this._renderer;
|
||||
}
|
||||
}
|
||||
|
||||
class BuildSlicesPrimitive implements ISeriesPrimitive<Time> {
|
||||
private _param: SeriesAttachedParameter<Time> | null = null;
|
||||
private _series: ISeriesApi<'Histogram', Time> | null = null;
|
||||
private _enabled = true;
|
||||
private _candles: Candle[] = [];
|
||||
private _bucketSeconds = 0;
|
||||
private _samples: Map<number, BuildSample[]> = new Map();
|
||||
private readonly _paneView: BuildSlicesPaneView;
|
||||
private readonly _paneViews: readonly IPrimitivePaneView[];
|
||||
|
||||
constructor() {
|
||||
this._paneView = new BuildSlicesPaneView(() => ({
|
||||
enabled: this._enabled,
|
||||
candles: this._candles,
|
||||
bucketSeconds: this._bucketSeconds,
|
||||
samples: this._samples,
|
||||
series: this._series,
|
||||
chart: this._param?.chart ?? null,
|
||||
}));
|
||||
this._paneViews = [this._paneView];
|
||||
}
|
||||
|
||||
attached(param: SeriesAttachedParameter<Time>) {
|
||||
this._param = param;
|
||||
this._series = param.series as ISeriesApi<'Histogram', Time>;
|
||||
}
|
||||
|
||||
detached() {
|
||||
this._param = null;
|
||||
this._series = null;
|
||||
}
|
||||
|
||||
paneViews() {
|
||||
return this._paneViews;
|
||||
}
|
||||
|
||||
setEnabled(next: boolean) {
|
||||
this._enabled = Boolean(next);
|
||||
this._param?.requestUpdate();
|
||||
}
|
||||
|
||||
setData(next: { candles: Candle[]; bucketSeconds: number; samples: Map<number, BuildSample[]> }) {
|
||||
this._candles = Array.isArray(next.candles) ? next.candles : [];
|
||||
this._bucketSeconds = Number.isFinite(next.bucketSeconds) ? next.bucketSeconds : 0;
|
||||
this._samples = next.samples;
|
||||
this._param?.requestUpdate();
|
||||
}
|
||||
}
|
||||
|
||||
export default function TradingChart({
|
||||
@@ -120,6 +495,7 @@ export default function TradingChart({
|
||||
showBuild,
|
||||
bucketSeconds,
|
||||
seriesKey,
|
||||
priceLines,
|
||||
fib,
|
||||
fibOpacity = 1,
|
||||
fibSelected = false,
|
||||
@@ -136,18 +512,23 @@ export default function TradingChart({
|
||||
const fibOpacityRef = useRef<number>(fibOpacity);
|
||||
const priceAutoScaleRef = useRef<boolean>(priceAutoScale);
|
||||
const prevPriceAutoScaleRef = useRef<boolean>(priceAutoScale);
|
||||
const showBuildRef = useRef<boolean>(showBuild);
|
||||
const onReadyRef = useRef<Props['onReady']>(onReady);
|
||||
const onChartClickRef = useRef<Props['onChartClick']>(onChartClick);
|
||||
const onChartCrosshairMoveRef = useRef<Props['onChartCrosshairMove']>(onChartCrosshairMove);
|
||||
const onPointerEventRef = useRef<Props['onPointerEvent']>(onPointerEvent);
|
||||
const capturedOverlayPointerRef = useRef<number | null>(null);
|
||||
const buildSlicesPrimitiveRef = useRef<BuildSlicesPrimitive | null>(null);
|
||||
const buildSamplesRef = useRef<Map<number, BuildSample[]>>(new Map());
|
||||
const buildKeyRef = useRef<string | null>(null);
|
||||
const lastBuildCandleStartRef = useRef<number | null>(null);
|
||||
const hoverCandleTimeRef = useRef<number | null>(null);
|
||||
const [hoverCandleTime, setHoverCandleTime] = useState<number | null>(null);
|
||||
const priceLinesRef = useRef<Map<string, any>>(new Map());
|
||||
const seriesRef = useRef<{
|
||||
candles?: ISeriesApi<'Candlestick'>;
|
||||
volume?: ISeriesApi<'Histogram'>;
|
||||
build?: ISeriesApi<'Line'>;
|
||||
buildHover?: ISeriesApi<'Line'>;
|
||||
oracle?: ISeriesApi<'Line'>;
|
||||
sma20?: ISeriesApi<'Line'>;
|
||||
ema20?: ISeriesApi<'Line'>;
|
||||
@@ -198,6 +579,14 @@ export default function TradingChart({
|
||||
priceAutoScaleRef.current = priceAutoScale;
|
||||
}, [priceAutoScale]);
|
||||
|
||||
useEffect(() => {
|
||||
showBuildRef.current = showBuild;
|
||||
if (!showBuild && (hoverCandleTimeRef.current != null || hoverCandleTime != null)) {
|
||||
hoverCandleTimeRef.current = null;
|
||||
setHoverCandleTime(null);
|
||||
}
|
||||
}, [showBuild, hoverCandleTime]);
|
||||
|
||||
useEffect(() => {
|
||||
if (!containerRef.current) return;
|
||||
if (chartRef.current) return;
|
||||
@@ -249,8 +638,13 @@ export default function TradingChart({
|
||||
scaleMargins: { top: 0.88, bottom: 0 },
|
||||
});
|
||||
|
||||
const buildSeries = chart.addSeries(LineSeries, {
|
||||
color: '#60a5fa',
|
||||
const buildSlicesPrimitive = new BuildSlicesPrimitive();
|
||||
volumeSeries.attachPrimitive(buildSlicesPrimitive);
|
||||
buildSlicesPrimitiveRef.current = buildSlicesPrimitive;
|
||||
buildSlicesPrimitive.setEnabled(!showBuildRef.current);
|
||||
|
||||
const buildHoverSeries = chart.addSeries(LineSeries, {
|
||||
color: BUILD_FLAT_COLOR,
|
||||
lineWidth: 2,
|
||||
priceFormat,
|
||||
priceScaleId: 'build',
|
||||
@@ -258,7 +652,7 @@ export default function TradingChart({
|
||||
priceLineVisible: false,
|
||||
crosshairMarkerVisible: false,
|
||||
});
|
||||
buildSeries.priceScale().applyOptions({
|
||||
buildHoverSeries.priceScale().applyOptions({
|
||||
scaleMargins: { top: 0.72, bottom: 0.12 },
|
||||
visible: false,
|
||||
borderVisible: false,
|
||||
@@ -285,7 +679,7 @@ export default function TradingChart({
|
||||
seriesRef.current = {
|
||||
candles: candleSeries,
|
||||
volume: volumeSeries,
|
||||
build: buildSeries,
|
||||
buildHover: buildHoverSeries,
|
||||
oracle: oracleSeries,
|
||||
sma20: smaSeries,
|
||||
ema20: emaSeries,
|
||||
@@ -335,7 +729,23 @@ export default function TradingChart({
|
||||
chart.subscribeClick(onClick);
|
||||
|
||||
const onCrosshairMove = (param: any) => {
|
||||
if (!param?.point) return;
|
||||
if (!param?.point) {
|
||||
if (showBuildRef.current && hoverCandleTimeRef.current != null) {
|
||||
hoverCandleTimeRef.current = null;
|
||||
setHoverCandleTime(null);
|
||||
}
|
||||
return;
|
||||
}
|
||||
|
||||
if (showBuildRef.current) {
|
||||
const t = typeof param?.time === 'number' ? Number(param.time) : null;
|
||||
const next = t != null && Number.isFinite(t) ? t : null;
|
||||
if (hoverCandleTimeRef.current !== next) {
|
||||
hoverCandleTimeRef.current = next;
|
||||
setHoverCandleTime(next);
|
||||
}
|
||||
}
|
||||
|
||||
const logical = param.logical ?? chart.timeScale().coordinateToLogical(param.point.x);
|
||||
if (logical == null) return;
|
||||
const price = candleSeries.coordinateToPrice(param.point.y);
|
||||
@@ -580,15 +990,75 @@ export default function TradingChart({
|
||||
candleSeries.detachPrimitive(fibPrimitiveRef.current);
|
||||
fibPrimitiveRef.current = null;
|
||||
}
|
||||
if (buildSlicesPrimitiveRef.current) {
|
||||
volumeSeries.detachPrimitive(buildSlicesPrimitiveRef.current);
|
||||
buildSlicesPrimitiveRef.current = null;
|
||||
}
|
||||
const lines = priceLinesRef.current;
|
||||
for (const line of Array.from(lines.values())) {
|
||||
try {
|
||||
candleSeries.removePriceLine(line);
|
||||
} catch {
|
||||
// ignore
|
||||
}
|
||||
}
|
||||
lines.clear();
|
||||
chart.remove();
|
||||
chartRef.current = null;
|
||||
seriesRef.current = {};
|
||||
};
|
||||
}, []);
|
||||
|
||||
useEffect(() => {
|
||||
const candlesSeries = seriesRef.current.candles;
|
||||
if (!candlesSeries) return;
|
||||
|
||||
const desired = (priceLines || []).filter((l) => l.price != null && Number.isFinite(l.price));
|
||||
const desiredIds = new Set(desired.map((l) => l.id));
|
||||
|
||||
const map = priceLinesRef.current;
|
||||
for (const [id, line] of Array.from(map.entries())) {
|
||||
if (desiredIds.has(id)) continue;
|
||||
try {
|
||||
candlesSeries.removePriceLine(line);
|
||||
} catch {
|
||||
// ignore
|
||||
}
|
||||
map.delete(id);
|
||||
}
|
||||
|
||||
for (const spec of desired) {
|
||||
const opts: any = {
|
||||
price: spec.price,
|
||||
color: spec.color,
|
||||
title: spec.title,
|
||||
lineWidth: spec.lineWidth ?? 1,
|
||||
lineStyle: spec.lineStyle ?? LineStyle.Dotted,
|
||||
axisLabelVisible: spec.axisLabelVisible ?? true,
|
||||
};
|
||||
|
||||
const existing = map.get(spec.id);
|
||||
if (!existing) {
|
||||
try {
|
||||
const created = candlesSeries.createPriceLine(opts);
|
||||
map.set(spec.id, created);
|
||||
} catch {
|
||||
// ignore
|
||||
}
|
||||
continue;
|
||||
}
|
||||
|
||||
try {
|
||||
existing.applyOptions(opts);
|
||||
} catch {
|
||||
// ignore
|
||||
}
|
||||
}
|
||||
}, [priceLines]);
|
||||
|
||||
useEffect(() => {
|
||||
const s = seriesRef.current;
|
||||
if (!s.candles || !s.volume || !s.build) return;
|
||||
if (!s.candles || !s.volume || !s.buildHover) return;
|
||||
s.candles.setData(candleData);
|
||||
s.volume.setData(volumeData);
|
||||
s.oracle?.setData(oracleData);
|
||||
@@ -598,34 +1068,18 @@ export default function TradingChart({
|
||||
s.bbLower?.setData(bbLower);
|
||||
s.bbMid?.setData(bbMid);
|
||||
|
||||
s.build.applyOptions({ visible: showBuild });
|
||||
if (!showBuild) {
|
||||
buildSamplesRef.current.clear();
|
||||
buildKeyRef.current = seriesKey;
|
||||
lastBuildCandleStartRef.current = null;
|
||||
s.build.setData([]);
|
||||
}
|
||||
|
||||
if (buildKeyRef.current !== seriesKey) {
|
||||
buildSamplesRef.current.clear();
|
||||
buildKeyRef.current = seriesKey;
|
||||
lastBuildCandleStartRef.current = null;
|
||||
}
|
||||
|
||||
if (!showBuild) {
|
||||
s.sma20?.applyOptions({ visible: showIndicators });
|
||||
s.ema20?.applyOptions({ visible: showIndicators });
|
||||
s.bbUpper?.applyOptions({ visible: showIndicators });
|
||||
s.bbLower?.applyOptions({ visible: showIndicators });
|
||||
s.bbMid?.applyOptions({ visible: showIndicators });
|
||||
return;
|
||||
}
|
||||
|
||||
const bs = resolveBucketSeconds(bucketSeconds, candles);
|
||||
const eps = 1e-3;
|
||||
const maxPointsPerCandle = 600;
|
||||
const minStep = Math.max(0.5, bs / maxPointsPerCandle);
|
||||
const map = buildSamplesRef.current;
|
||||
|
||||
if (buildKeyRef.current !== seriesKey) {
|
||||
map.clear();
|
||||
buildKeyRef.current = seriesKey;
|
||||
lastBuildCandleStartRef.current = null;
|
||||
}
|
||||
|
||||
const visibleStarts = new Set(candles.map((c) => c.time));
|
||||
for (const start of Array.from(map.keys())) {
|
||||
if (!visibleStarts.has(start)) map.delete(start);
|
||||
@@ -671,63 +1125,27 @@ export default function TradingChart({
|
||||
lastBuildCandleStartRef.current = start;
|
||||
}
|
||||
|
||||
const buildRaw: LinePoint[] = [];
|
||||
for (const c of candles) {
|
||||
const list = map.get(c.time);
|
||||
if (!list?.length) continue;
|
||||
const buildPrimitive = buildSlicesPrimitiveRef.current;
|
||||
buildPrimitive?.setData({ candles, bucketSeconds: bs, samples: map });
|
||||
buildPrimitive?.setEnabled(!showBuild);
|
||||
|
||||
const startT = c.time + eps;
|
||||
const endT = c.time + bs - eps;
|
||||
if (!(endT > startT)) continue;
|
||||
if (showBuild) {
|
||||
const hoverTime = hoverCandleTime;
|
||||
const hoverCandle = hoverTime == null ? null : candles.find((c) => c.time === hoverTime);
|
||||
const hoverData = hoverCandle ? buildDeltaSeriesForCandle(hoverCandle, bs, map.get(hoverCandle.time)) : [];
|
||||
|
||||
buildRaw.push({ time: toTime(c.time) } as WhitespaceData);
|
||||
buildRaw.push({ time: toTime(startT), value: 0 } as LineData);
|
||||
|
||||
let lastT = startT;
|
||||
for (const p of list) {
|
||||
let t = p.t;
|
||||
if (t <= lastT + eps) t = lastT + eps;
|
||||
if (t >= endT) break;
|
||||
buildRaw.push({ time: toTime(t), value: p.v } as LineData);
|
||||
lastT = t;
|
||||
}
|
||||
|
||||
const finalDelta = c.close - c.open;
|
||||
if (endT > lastT + eps) {
|
||||
buildRaw.push({ time: toTime(endT), value: finalDelta } as LineData);
|
||||
} else if (buildRaw.length) {
|
||||
const prev = buildRaw[buildRaw.length - 1];
|
||||
if ('value' in prev) {
|
||||
buildRaw[buildRaw.length - 1] = { ...prev, value: finalDelta } as LineData;
|
||||
}
|
||||
if (hoverData.length) {
|
||||
s.buildHover.applyOptions({ visible: true });
|
||||
s.buildHover.setData(hoverData);
|
||||
} else {
|
||||
s.buildHover.applyOptions({ visible: false });
|
||||
s.buildHover.setData([]);
|
||||
}
|
||||
} else {
|
||||
s.buildHover.applyOptions({ visible: false });
|
||||
s.buildHover.setData([]);
|
||||
}
|
||||
|
||||
const buildColored: LinePoint[] = [];
|
||||
let lastLineIdx: number | null = null;
|
||||
let lastLineVal: number | null = null;
|
||||
for (const p of buildRaw) {
|
||||
if (!('value' in p)) {
|
||||
buildColored.push(p);
|
||||
lastLineIdx = null;
|
||||
lastLineVal = null;
|
||||
continue;
|
||||
}
|
||||
|
||||
if (lastLineIdx != null && lastLineVal != null) {
|
||||
const delta = p.value - lastLineVal;
|
||||
const color = delta > 0 ? '#22c55e' : delta < 0 ? '#ef4444' : '#60a5fa';
|
||||
const prev = buildColored[lastLineIdx] as LineData;
|
||||
buildColored[lastLineIdx] = { ...prev, color };
|
||||
}
|
||||
|
||||
buildColored.push({ time: p.time, value: p.value } as LineData);
|
||||
lastLineIdx = buildColored.length - 1;
|
||||
lastLineVal = p.value;
|
||||
}
|
||||
|
||||
s.build.setData(buildColored);
|
||||
|
||||
s.sma20?.applyOptions({ visible: showIndicators });
|
||||
s.ema20?.applyOptions({ visible: showIndicators });
|
||||
s.bbUpper?.applyOptions({ visible: showIndicators });
|
||||
@@ -747,13 +1165,14 @@ export default function TradingChart({
|
||||
candles,
|
||||
bucketSeconds,
|
||||
seriesKey,
|
||||
hoverCandleTime,
|
||||
]);
|
||||
|
||||
useEffect(() => {
|
||||
const s = seriesRef.current;
|
||||
if (!s.candles) return;
|
||||
s.candles.applyOptions({ priceFormat });
|
||||
s.build?.applyOptions({ priceFormat });
|
||||
s.buildHover?.applyOptions({ priceFormat });
|
||||
s.oracle?.applyOptions({ priceFormat });
|
||||
s.sma20?.applyOptions({ priceFormat });
|
||||
s.ema20?.applyOptions({ priceFormat });
|
||||
|
||||
136
apps/visualizer/src/features/market/DlobDashboard.tsx
Normal file
136
apps/visualizer/src/features/market/DlobDashboard.tsx
Normal file
@@ -0,0 +1,136 @@
|
||||
import type { ReactNode } from 'react';
|
||||
import type { DlobStats } from './useDlobStats';
|
||||
import type { DlobDepthBandRow } from './useDlobDepthBands';
|
||||
import type { DlobSlippageRow } from './useDlobSlippage';
|
||||
import DlobDepthBandsPanel from './DlobDepthBandsPanel';
|
||||
import DlobSlippageChart from './DlobSlippageChart';
|
||||
|
||||
function formatUsd(v: number | null | undefined): string {
|
||||
if (v == null || !Number.isFinite(v)) return '—';
|
||||
if (v >= 1_000_000) return `$${(v / 1_000_000).toFixed(2)}M`;
|
||||
if (v >= 1000) return `$${(v / 1000).toFixed(0)}K`;
|
||||
if (v >= 1) return `$${v.toFixed(2)}`;
|
||||
return `$${v.toPrecision(4)}`;
|
||||
}
|
||||
|
||||
function formatBps(v: number | null | undefined): string {
|
||||
if (v == null || !Number.isFinite(v)) return '—';
|
||||
return `${v.toFixed(1)} bps`;
|
||||
}
|
||||
|
||||
function formatPct(v: number | null | undefined): string {
|
||||
if (v == null || !Number.isFinite(v)) return '—';
|
||||
return `${(v * 100).toFixed(0)}%`;
|
||||
}
|
||||
|
||||
function statusLabel(connected: boolean, error: string | null): ReactNode {
|
||||
if (error) return <span className="neg">{error}</span>;
|
||||
return connected ? <span className="pos">live</span> : <span className="muted">offline</span>;
|
||||
}
|
||||
|
||||
export default function DlobDashboard({
|
||||
market,
|
||||
stats,
|
||||
statsConnected,
|
||||
statsError,
|
||||
depthBands,
|
||||
depthBandsConnected,
|
||||
depthBandsError,
|
||||
slippageRows,
|
||||
slippageConnected,
|
||||
slippageError,
|
||||
}: {
|
||||
market: string;
|
||||
stats: DlobStats | null;
|
||||
statsConnected: boolean;
|
||||
statsError: string | null;
|
||||
depthBands: DlobDepthBandRow[];
|
||||
depthBandsConnected: boolean;
|
||||
depthBandsError: string | null;
|
||||
slippageRows: DlobSlippageRow[];
|
||||
slippageConnected: boolean;
|
||||
slippageError: string | null;
|
||||
}) {
|
||||
const updatedAt = stats?.updatedAt || depthBands[0]?.updatedAt || slippageRows[0]?.updatedAt || null;
|
||||
|
||||
return (
|
||||
<div className="dlobDash">
|
||||
<div className="dlobDash__head">
|
||||
<div className="dlobDash__title">DLOB</div>
|
||||
<div className="dlobDash__meta">
|
||||
<span className="dlobDash__market">{market}</span>
|
||||
<span className="muted">{updatedAt ? `updated ${updatedAt}` : '—'}</span>
|
||||
</div>
|
||||
</div>
|
||||
|
||||
<div className="dlobDash__statuses">
|
||||
<div className="dlobStatus">
|
||||
<span className="dlobStatus__label">stats</span>
|
||||
<span className="dlobStatus__value">{statusLabel(statsConnected, statsError)}</span>
|
||||
</div>
|
||||
<div className="dlobStatus">
|
||||
<span className="dlobStatus__label">depth bands</span>
|
||||
<span className="dlobStatus__value">{statusLabel(depthBandsConnected, depthBandsError)}</span>
|
||||
</div>
|
||||
<div className="dlobStatus">
|
||||
<span className="dlobStatus__label">slippage</span>
|
||||
<span className="dlobStatus__value">{statusLabel(slippageConnected, slippageError)}</span>
|
||||
</div>
|
||||
</div>
|
||||
|
||||
<div className="dlobDash__grid">
|
||||
<div className="dlobKpi">
|
||||
<div className="dlobKpi__label">Bid</div>
|
||||
<div className="dlobKpi__value pos">{formatUsd(stats?.bestBid ?? null)}</div>
|
||||
</div>
|
||||
<div className="dlobKpi">
|
||||
<div className="dlobKpi__label">Ask</div>
|
||||
<div className="dlobKpi__value neg">{formatUsd(stats?.bestAsk ?? null)}</div>
|
||||
</div>
|
||||
<div className="dlobKpi">
|
||||
<div className="dlobKpi__label">Mid</div>
|
||||
<div className="dlobKpi__value">{formatUsd(stats?.mid ?? null)}</div>
|
||||
</div>
|
||||
<div className="dlobKpi">
|
||||
<div className="dlobKpi__label">Spread</div>
|
||||
<div className="dlobKpi__value">{formatBps(stats?.spreadBps ?? null)}</div>
|
||||
<div className="dlobKpi__sub muted">{formatUsd(stats?.spreadAbs ?? null)}</div>
|
||||
</div>
|
||||
<div className="dlobKpi">
|
||||
<div className="dlobKpi__label">Depth (bid/ask)</div>
|
||||
<div className="dlobKpi__value">
|
||||
<span className="pos">{formatUsd(stats?.depthBidUsd ?? null)}</span>{' '}
|
||||
<span className="muted">/</span> <span className="neg">{formatUsd(stats?.depthAskUsd ?? null)}</span>
|
||||
</div>
|
||||
</div>
|
||||
<div className="dlobKpi">
|
||||
<div className="dlobKpi__label">Imbalance</div>
|
||||
<div className="dlobKpi__value">{formatPct(stats?.imbalance ?? null)}</div>
|
||||
<div className="dlobKpi__sub muted">[-1..1]</div>
|
||||
</div>
|
||||
</div>
|
||||
|
||||
<div className="dlobDash__panes">
|
||||
<div className="dlobDash__pane">
|
||||
<DlobDepthBandsPanel rows={depthBands} />
|
||||
</div>
|
||||
|
||||
<div className="dlobDash__pane">
|
||||
<div className="dlobSlippage">
|
||||
<div className="dlobSlippage__head">
|
||||
<div className="dlobSlippage__title">Slippage (impact bps)</div>
|
||||
<div className="dlobSlippage__meta muted">by size (USD)</div>
|
||||
</div>
|
||||
{slippageRows.length ? (
|
||||
<div className="dlobSlippage__chartWrap">
|
||||
<DlobSlippageChart rows={slippageRows} />
|
||||
</div>
|
||||
) : (
|
||||
<div className="dlobSlippage__empty muted">No slippage rows yet.</div>
|
||||
)}
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
</div>
|
||||
);
|
||||
}
|
||||
75
apps/visualizer/src/features/market/DlobDepthBandsPanel.tsx
Normal file
75
apps/visualizer/src/features/market/DlobDepthBandsPanel.tsx
Normal file
@@ -0,0 +1,75 @@
|
||||
import type { CSSProperties } from 'react';
|
||||
import { useMemo } from 'react';
|
||||
import type { DlobDepthBandRow } from './useDlobDepthBands';
|
||||
|
||||
function formatUsd(v: number | null | undefined): string {
|
||||
if (v == null || !Number.isFinite(v)) return '—';
|
||||
if (v >= 1_000_000) return `$${(v / 1_000_000).toFixed(2)}M`;
|
||||
if (v >= 1000) return `$${(v / 1000).toFixed(0)}K`;
|
||||
if (v >= 1) return `$${v.toFixed(2)}`;
|
||||
return `$${v.toPrecision(4)}`;
|
||||
}
|
||||
|
||||
function formatPct(v: number | null | undefined): string {
|
||||
if (v == null || !Number.isFinite(v)) return '—';
|
||||
return `${v.toFixed(0)}%`;
|
||||
}
|
||||
|
||||
function bandRowStyle(askScale: number, bidScale: number): CSSProperties {
|
||||
const a = Number.isFinite(askScale) && askScale > 0 ? Math.min(1, askScale) : 0;
|
||||
const b = Number.isFinite(bidScale) && bidScale > 0 ? Math.min(1, bidScale) : 0;
|
||||
return { ['--ask-scale' as any]: a, ['--bid-scale' as any]: b } as CSSProperties;
|
||||
}
|
||||
|
||||
export default function DlobDepthBandsPanel({ rows }: { rows: DlobDepthBandRow[] }) {
|
||||
const sorted = useMemo(() => rows.slice().sort((a, b) => a.bandBps - b.bandBps), [rows]);
|
||||
|
||||
const maxUsd = useMemo(() => {
|
||||
let max = 0;
|
||||
for (const r of sorted) {
|
||||
if (r.askUsd != null && Number.isFinite(r.askUsd)) max = Math.max(max, r.askUsd);
|
||||
if (r.bidUsd != null && Number.isFinite(r.bidUsd)) max = Math.max(max, r.bidUsd);
|
||||
}
|
||||
return max;
|
||||
}, [sorted]);
|
||||
|
||||
return (
|
||||
<div className="dlobDepth">
|
||||
<div className="dlobDepth__head">
|
||||
<div className="dlobDepth__title">Depth (bands)</div>
|
||||
<div className="dlobDepth__meta">±bps around mid</div>
|
||||
</div>
|
||||
|
||||
<div className="dlobDepth__table">
|
||||
<div className="dlobDepthRow dlobDepthRow--head">
|
||||
<span>Band</span>
|
||||
<span className="dlobDepthRow__num">Ask USD</span>
|
||||
<span className="dlobDepthRow__num">Bid USD</span>
|
||||
<span className="dlobDepthRow__num">Bid %</span>
|
||||
</div>
|
||||
|
||||
{sorted.length ? (
|
||||
sorted.map((r) => (
|
||||
<div
|
||||
key={r.bandBps}
|
||||
className="dlobDepthRow"
|
||||
style={bandRowStyle(maxUsd > 0 ? (r.askUsd || 0) / maxUsd : 0, maxUsd > 0 ? (r.bidUsd || 0) / maxUsd : 0)}
|
||||
title={`band=${r.bandBps}bps bid=${r.bidUsd ?? '—'} ask=${r.askUsd ?? '—'} imbalance=${r.imbalance ?? '—'}`}
|
||||
>
|
||||
<span className="dlobDepthRow__band">{r.bandBps} bps</span>
|
||||
<span className="dlobDepthRow__num neg">{formatUsd(r.askUsd)}</span>
|
||||
<span className="dlobDepthRow__num pos">{formatUsd(r.bidUsd)}</span>
|
||||
<span className="dlobDepthRow__num muted">
|
||||
{r.imbalance == null || !Number.isFinite(r.imbalance)
|
||||
? '—'
|
||||
: formatPct(((r.imbalance + 1) / 2) * 100)}
|
||||
</span>
|
||||
</div>
|
||||
))
|
||||
) : (
|
||||
<div className="dlobDepth__empty muted">No depth band rows yet.</div>
|
||||
)}
|
||||
</div>
|
||||
</div>
|
||||
);
|
||||
}
|
||||
111
apps/visualizer/src/features/market/DlobSlippageChart.tsx
Normal file
111
apps/visualizer/src/features/market/DlobSlippageChart.tsx
Normal file
@@ -0,0 +1,111 @@
|
||||
import { useEffect, useMemo, useRef } from 'react';
|
||||
import Chart from 'chart.js/auto';
|
||||
import type { DlobSlippageRow } from './useDlobSlippage';
|
||||
|
||||
type Point = { x: number; y: number | null };
|
||||
|
||||
function clamp01(v: number): number {
|
||||
if (!Number.isFinite(v)) return 0;
|
||||
return Math.max(0, Math.min(1, v));
|
||||
}
|
||||
|
||||
export default function DlobSlippageChart({ rows }: { rows: DlobSlippageRow[] }) {
|
||||
const canvasRef = useRef<HTMLCanvasElement | null>(null);
|
||||
const chartRef = useRef<Chart | null>(null);
|
||||
|
||||
const { buy, sell, maxImpact } = useMemo(() => {
|
||||
const buy: Point[] = [];
|
||||
const sell: Point[] = [];
|
||||
let maxImpact = 0;
|
||||
|
||||
for (const r of rows) {
|
||||
if (!Number.isFinite(r.sizeUsd) || r.sizeUsd <= 0) continue;
|
||||
const y = r.impactBps == null || !Number.isFinite(r.impactBps) ? null : r.impactBps;
|
||||
if (y != null) maxImpact = Math.max(maxImpact, y);
|
||||
if (r.side === 'buy') buy.push({ x: r.sizeUsd, y });
|
||||
if (r.side === 'sell') sell.push({ x: r.sizeUsd, y });
|
||||
}
|
||||
|
||||
buy.sort((a, b) => a.x - b.x);
|
||||
sell.sort((a, b) => a.x - b.x);
|
||||
|
||||
return { buy, sell, maxImpact };
|
||||
}, [rows]);
|
||||
|
||||
useEffect(() => {
|
||||
if (!canvasRef.current) return;
|
||||
if (chartRef.current) return;
|
||||
|
||||
chartRef.current = new Chart(canvasRef.current, {
|
||||
type: 'line',
|
||||
data: {
|
||||
datasets: [
|
||||
{
|
||||
label: 'Buy',
|
||||
data: [],
|
||||
borderColor: 'rgba(34,197,94,0.9)',
|
||||
backgroundColor: 'rgba(34,197,94,0.15)',
|
||||
pointRadius: 2,
|
||||
pointHoverRadius: 4,
|
||||
borderWidth: 2,
|
||||
tension: 0.2,
|
||||
fill: false,
|
||||
},
|
||||
{
|
||||
label: 'Sell',
|
||||
data: [],
|
||||
borderColor: 'rgba(239,68,68,0.9)',
|
||||
backgroundColor: 'rgba(239,68,68,0.15)',
|
||||
pointRadius: 2,
|
||||
pointHoverRadius: 4,
|
||||
borderWidth: 2,
|
||||
tension: 0.2,
|
||||
fill: false,
|
||||
},
|
||||
],
|
||||
},
|
||||
options: {
|
||||
responsive: true,
|
||||
maintainAspectRatio: false,
|
||||
animation: false,
|
||||
parsing: false,
|
||||
interaction: { mode: 'nearest', intersect: false },
|
||||
plugins: {
|
||||
legend: { labels: { color: '#e6e9ef' } },
|
||||
tooltip: { enabled: true },
|
||||
},
|
||||
scales: {
|
||||
x: {
|
||||
type: 'linear',
|
||||
title: { display: true, text: 'Size (USD)', color: '#c7cbd4' },
|
||||
ticks: { color: '#c7cbd4' },
|
||||
grid: { color: 'rgba(255,255,255,0.06)' },
|
||||
},
|
||||
y: {
|
||||
type: 'linear',
|
||||
beginAtZero: true,
|
||||
suggestedMax: Math.max(10, maxImpact * (1 + clamp01(0.15))),
|
||||
title: { display: true, text: 'Impact (bps)', color: '#c7cbd4' },
|
||||
ticks: { color: '#c7cbd4' },
|
||||
grid: { color: 'rgba(255,255,255,0.06)' },
|
||||
},
|
||||
},
|
||||
},
|
||||
});
|
||||
|
||||
return () => {
|
||||
chartRef.current?.destroy();
|
||||
chartRef.current = null;
|
||||
};
|
||||
}, [maxImpact]);
|
||||
|
||||
useEffect(() => {
|
||||
const chart = chartRef.current;
|
||||
if (!chart) return;
|
||||
chart.data.datasets[0]!.data = buy as any;
|
||||
chart.data.datasets[1]!.data = sell as any;
|
||||
chart.update('none');
|
||||
}, [buy, sell]);
|
||||
|
||||
return <canvas className="dlobSlippageChart" ref={canvasRef} />;
|
||||
}
|
||||
133
apps/visualizer/src/features/market/useDlobDepthBands.ts
Normal file
133
apps/visualizer/src/features/market/useDlobDepthBands.ts
Normal file
@@ -0,0 +1,133 @@
|
||||
import { useEffect, useMemo, useState } from 'react';
|
||||
import { subscribeGraphqlWs } from '../../lib/graphqlWs';
|
||||
|
||||
export type DlobDepthBandRow = {
|
||||
marketName: string;
|
||||
bandBps: number;
|
||||
midPrice: number | null;
|
||||
bestBid: number | null;
|
||||
bestAsk: number | null;
|
||||
bidUsd: number | null;
|
||||
askUsd: number | null;
|
||||
bidBase: number | null;
|
||||
askBase: number | null;
|
||||
imbalance: number | null;
|
||||
updatedAt: string | null;
|
||||
};
|
||||
|
||||
function toNum(v: unknown): number | null {
|
||||
if (v == null) return null;
|
||||
if (typeof v === 'number') return Number.isFinite(v) ? v : null;
|
||||
if (typeof v === 'string') {
|
||||
const s = v.trim();
|
||||
if (!s) return null;
|
||||
const n = Number(s);
|
||||
return Number.isFinite(n) ? n : null;
|
||||
}
|
||||
return null;
|
||||
}
|
||||
|
||||
function toInt(v: unknown): number | null {
|
||||
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;
|
||||
}
|
||||
|
||||
type HasuraRow = {
|
||||
market_name: string;
|
||||
band_bps: unknown;
|
||||
mid_price?: unknown;
|
||||
best_bid_price?: unknown;
|
||||
best_ask_price?: unknown;
|
||||
bid_usd?: unknown;
|
||||
ask_usd?: unknown;
|
||||
bid_base?: unknown;
|
||||
ask_base?: unknown;
|
||||
imbalance?: unknown;
|
||||
updated_at?: string | null;
|
||||
};
|
||||
|
||||
type SubscriptionData = {
|
||||
dlob_depth_bps_latest: HasuraRow[];
|
||||
};
|
||||
|
||||
export function useDlobDepthBands(
|
||||
marketName: string
|
||||
): { rows: DlobDepthBandRow[]; connected: boolean; error: string | null } {
|
||||
const [rows, setRows] = useState<DlobDepthBandRow[]>([]);
|
||||
const [connected, setConnected] = useState(false);
|
||||
const [error, setError] = useState<string | null>(null);
|
||||
|
||||
const normalizedMarket = useMemo(() => (marketName || '').trim(), [marketName]);
|
||||
|
||||
useEffect(() => {
|
||||
if (!normalizedMarket) {
|
||||
setRows([]);
|
||||
setError(null);
|
||||
setConnected(false);
|
||||
return;
|
||||
}
|
||||
|
||||
setError(null);
|
||||
|
||||
const query = `
|
||||
subscription DlobDepthBands($market: String!) {
|
||||
dlob_depth_bps_latest(
|
||||
where: { market_name: { _eq: $market } }
|
||||
order_by: [{ band_bps: asc }]
|
||||
) {
|
||||
market_name
|
||||
band_bps
|
||||
mid_price
|
||||
best_bid_price
|
||||
best_ask_price
|
||||
bid_usd
|
||||
ask_usd
|
||||
bid_base
|
||||
ask_base
|
||||
imbalance
|
||||
updated_at
|
||||
}
|
||||
}
|
||||
`;
|
||||
|
||||
const sub = subscribeGraphqlWs<SubscriptionData>({
|
||||
query,
|
||||
variables: { market: normalizedMarket },
|
||||
onStatus: ({ connected }) => setConnected(connected),
|
||||
onError: (e) => setError(e),
|
||||
onData: (data) => {
|
||||
const out: DlobDepthBandRow[] = [];
|
||||
for (const r of data?.dlob_depth_bps_latest || []) {
|
||||
if (!r?.market_name) continue;
|
||||
const bandBps = toInt(r.band_bps);
|
||||
if (bandBps == null || bandBps <= 0) continue;
|
||||
out.push({
|
||||
marketName: r.market_name,
|
||||
bandBps,
|
||||
midPrice: toNum(r.mid_price),
|
||||
bestBid: toNum(r.best_bid_price),
|
||||
bestAsk: toNum(r.best_ask_price),
|
||||
bidUsd: toNum(r.bid_usd),
|
||||
askUsd: toNum(r.ask_usd),
|
||||
bidBase: toNum(r.bid_base),
|
||||
askBase: toNum(r.ask_base),
|
||||
imbalance: toNum(r.imbalance),
|
||||
updatedAt: r.updated_at ?? null,
|
||||
});
|
||||
}
|
||||
setRows(out);
|
||||
},
|
||||
});
|
||||
|
||||
return () => sub.unsubscribe();
|
||||
}, [normalizedMarket]);
|
||||
|
||||
return { rows, connected, error };
|
||||
}
|
||||
158
apps/visualizer/src/features/market/useDlobL2.ts
Normal file
158
apps/visualizer/src/features/market/useDlobL2.ts
Normal file
@@ -0,0 +1,158 @@
|
||||
import { useEffect, useMemo, useState } from 'react';
|
||||
import { subscribeGraphqlWs } from '../../lib/graphqlWs';
|
||||
|
||||
export type OrderbookRow = {
|
||||
price: number;
|
||||
size: number;
|
||||
total: number;
|
||||
};
|
||||
|
||||
export type DlobL2 = {
|
||||
marketName: string;
|
||||
bids: OrderbookRow[];
|
||||
asks: OrderbookRow[];
|
||||
bestBid: number | null;
|
||||
bestAsk: number | null;
|
||||
mid: number | null;
|
||||
updatedAt: string | null;
|
||||
};
|
||||
|
||||
function envNumber(name: string): number | undefined {
|
||||
const raw = (import.meta as any).env?.[name];
|
||||
if (raw == null) return undefined;
|
||||
const n = Number(raw);
|
||||
return Number.isFinite(n) ? n : undefined;
|
||||
}
|
||||
|
||||
function toNum(v: unknown): number | null {
|
||||
if (v == null) return null;
|
||||
if (typeof v === 'number') return Number.isFinite(v) ? v : null;
|
||||
if (typeof v === 'string') {
|
||||
const s = v.trim();
|
||||
if (!s) return null;
|
||||
const n = Number(s);
|
||||
return Number.isFinite(n) ? n : null;
|
||||
}
|
||||
return null;
|
||||
}
|
||||
|
||||
function normalizeJson(v: unknown): unknown {
|
||||
if (typeof v !== 'string') return v;
|
||||
const s = v.trim();
|
||||
if (!s) return null;
|
||||
try {
|
||||
return JSON.parse(s);
|
||||
} catch {
|
||||
return v;
|
||||
}
|
||||
}
|
||||
|
||||
function parseLevels(raw: unknown, pricePrecision: number, basePrecision: number): Array<{ price: number; size: number }> {
|
||||
const v = normalizeJson(raw);
|
||||
if (!Array.isArray(v)) return [];
|
||||
|
||||
const out: Array<{ price: number; size: number }> = [];
|
||||
for (const item of v) {
|
||||
const priceInt = toNum((item as any)?.price);
|
||||
const sizeInt = toNum((item as any)?.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 });
|
||||
}
|
||||
|
||||
return out;
|
||||
}
|
||||
|
||||
function withTotals(levels: Array<{ price: number; size: number }>): OrderbookRow[] {
|
||||
let total = 0;
|
||||
return levels.map((l) => {
|
||||
total += l.size;
|
||||
return { ...l, total };
|
||||
});
|
||||
}
|
||||
|
||||
type HasuraDlobL2Row = {
|
||||
market_name: string;
|
||||
bids?: unknown;
|
||||
asks?: unknown;
|
||||
updated_at?: string | null;
|
||||
};
|
||||
|
||||
type SubscriptionData = {
|
||||
dlob_l2_latest: HasuraDlobL2Row[];
|
||||
};
|
||||
|
||||
export function useDlobL2(
|
||||
marketName: string,
|
||||
opts?: { levels?: number }
|
||||
): { l2: DlobL2 | null; connected: boolean; error: string | null } {
|
||||
const [l2, setL2] = useState<DlobL2 | null>(null);
|
||||
const [connected, setConnected] = useState(false);
|
||||
const [error, setError] = useState<string | null>(null);
|
||||
|
||||
const normalizedMarket = useMemo(() => (marketName || '').trim(), [marketName]);
|
||||
const levels = useMemo(() => Math.max(1, opts?.levels ?? 14), [opts?.levels]);
|
||||
|
||||
const pricePrecision = useMemo(() => envNumber('VITE_DLOB_PRICE_PRECISION') ?? 1_000_000, []);
|
||||
const basePrecision = useMemo(() => envNumber('VITE_DLOB_BASE_PRECISION') ?? 1_000_000_000, []);
|
||||
|
||||
useEffect(() => {
|
||||
if (!normalizedMarket) {
|
||||
setL2(null);
|
||||
setError(null);
|
||||
setConnected(false);
|
||||
return;
|
||||
}
|
||||
|
||||
setError(null);
|
||||
|
||||
const query = `
|
||||
subscription DlobL2($market: String!) {
|
||||
dlob_l2_latest(where: {market_name: {_eq: $market}}, limit: 1) {
|
||||
market_name
|
||||
bids
|
||||
asks
|
||||
updated_at
|
||||
}
|
||||
}
|
||||
`;
|
||||
|
||||
const sub = subscribeGraphqlWs<SubscriptionData>({
|
||||
query,
|
||||
variables: { market: normalizedMarket },
|
||||
onStatus: ({ connected }) => setConnected(connected),
|
||||
onError: (e) => setError(e),
|
||||
onData: (data) => {
|
||||
const row = data?.dlob_l2_latest?.[0];
|
||||
if (!row?.market_name) return;
|
||||
|
||||
const bidsRaw = parseLevels(row.bids, pricePrecision, basePrecision).slice(0, levels);
|
||||
const asksRaw = parseLevels(row.asks, pricePrecision, basePrecision).slice(0, levels);
|
||||
|
||||
const bids = withTotals(bidsRaw);
|
||||
const asks = withTotals(asksRaw).slice().reverse();
|
||||
|
||||
const bestBid = bidsRaw.length ? bidsRaw[0].price : null;
|
||||
const bestAsk = asksRaw.length ? asksRaw[0].price : null;
|
||||
const mid = bestBid != null && bestAsk != null ? (bestBid + bestAsk) / 2 : null;
|
||||
|
||||
setL2({
|
||||
marketName: row.market_name,
|
||||
bids,
|
||||
asks,
|
||||
bestBid,
|
||||
bestAsk,
|
||||
mid,
|
||||
updatedAt: row.updated_at ?? null,
|
||||
});
|
||||
},
|
||||
});
|
||||
|
||||
return () => sub.unsubscribe();
|
||||
}, [normalizedMarket, levels, pricePrecision, basePrecision]);
|
||||
|
||||
return { l2, connected, error };
|
||||
}
|
||||
137
apps/visualizer/src/features/market/useDlobSlippage.ts
Normal file
137
apps/visualizer/src/features/market/useDlobSlippage.ts
Normal file
@@ -0,0 +1,137 @@
|
||||
import { useEffect, useMemo, useState } from 'react';
|
||||
import { subscribeGraphqlWs } from '../../lib/graphqlWs';
|
||||
|
||||
export type DlobSlippageRow = {
|
||||
marketName: string;
|
||||
side: 'buy' | 'sell';
|
||||
sizeUsd: number;
|
||||
midPrice: number | null;
|
||||
vwapPrice: number | null;
|
||||
worstPrice: number | null;
|
||||
filledUsd: number | null;
|
||||
filledBase: number | null;
|
||||
impactBps: number | null;
|
||||
levelsConsumed: number | null;
|
||||
fillPct: number | null;
|
||||
updatedAt: string | null;
|
||||
};
|
||||
|
||||
function toNum(v: unknown): number | null {
|
||||
if (v == null) return null;
|
||||
if (typeof v === 'number') return Number.isFinite(v) ? v : null;
|
||||
if (typeof v === 'string') {
|
||||
const s = v.trim();
|
||||
if (!s) return null;
|
||||
const n = Number(s);
|
||||
return Number.isFinite(n) ? n : null;
|
||||
}
|
||||
return null;
|
||||
}
|
||||
|
||||
function toInt(v: unknown): number | null {
|
||||
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;
|
||||
}
|
||||
|
||||
type HasuraRow = {
|
||||
market_name: string;
|
||||
side: string;
|
||||
size_usd: unknown;
|
||||
mid_price?: unknown;
|
||||
vwap_price?: unknown;
|
||||
worst_price?: unknown;
|
||||
filled_usd?: unknown;
|
||||
filled_base?: unknown;
|
||||
impact_bps?: unknown;
|
||||
levels_consumed?: unknown;
|
||||
fill_pct?: unknown;
|
||||
updated_at?: string | null;
|
||||
};
|
||||
|
||||
type SubscriptionData = {
|
||||
dlob_slippage_latest: HasuraRow[];
|
||||
};
|
||||
|
||||
export function useDlobSlippage(marketName: string): { rows: DlobSlippageRow[]; connected: boolean; error: string | null } {
|
||||
const [rows, setRows] = useState<DlobSlippageRow[]>([]);
|
||||
const [connected, setConnected] = useState(false);
|
||||
const [error, setError] = useState<string | null>(null);
|
||||
|
||||
const normalizedMarket = useMemo(() => (marketName || '').trim(), [marketName]);
|
||||
|
||||
useEffect(() => {
|
||||
if (!normalizedMarket) {
|
||||
setRows([]);
|
||||
setError(null);
|
||||
setConnected(false);
|
||||
return;
|
||||
}
|
||||
|
||||
setError(null);
|
||||
|
||||
const query = `
|
||||
subscription DlobSlippage($market: String!) {
|
||||
dlob_slippage_latest(
|
||||
where: { market_name: { _eq: $market } }
|
||||
order_by: [{ side: asc }, { size_usd: asc }]
|
||||
) {
|
||||
market_name
|
||||
side
|
||||
size_usd
|
||||
mid_price
|
||||
vwap_price
|
||||
worst_price
|
||||
filled_usd
|
||||
filled_base
|
||||
impact_bps
|
||||
levels_consumed
|
||||
fill_pct
|
||||
updated_at
|
||||
}
|
||||
}
|
||||
`;
|
||||
|
||||
const sub = subscribeGraphqlWs<SubscriptionData>({
|
||||
query,
|
||||
variables: { market: normalizedMarket },
|
||||
onStatus: ({ connected }) => setConnected(connected),
|
||||
onError: (e) => setError(e),
|
||||
onData: (data) => {
|
||||
const out: DlobSlippageRow[] = [];
|
||||
for (const r of data?.dlob_slippage_latest || []) {
|
||||
if (!r?.market_name) continue;
|
||||
const side = String(r.side || '').trim();
|
||||
if (side !== 'buy' && side !== 'sell') continue;
|
||||
const sizeUsd = toInt(r.size_usd);
|
||||
if (sizeUsd == null || sizeUsd <= 0) continue;
|
||||
out.push({
|
||||
marketName: r.market_name,
|
||||
side,
|
||||
sizeUsd,
|
||||
midPrice: toNum(r.mid_price),
|
||||
vwapPrice: toNum(r.vwap_price),
|
||||
worstPrice: toNum(r.worst_price),
|
||||
filledUsd: toNum(r.filled_usd),
|
||||
filledBase: toNum(r.filled_base),
|
||||
impactBps: toNum(r.impact_bps),
|
||||
levelsConsumed: toInt(r.levels_consumed),
|
||||
fillPct: toNum(r.fill_pct),
|
||||
updatedAt: r.updated_at ?? null,
|
||||
});
|
||||
}
|
||||
setRows(out);
|
||||
},
|
||||
});
|
||||
|
||||
return () => sub.unsubscribe();
|
||||
}, [normalizedMarket]);
|
||||
|
||||
return { rows, connected, error };
|
||||
}
|
||||
123
apps/visualizer/src/features/market/useDlobStats.ts
Normal file
123
apps/visualizer/src/features/market/useDlobStats.ts
Normal file
@@ -0,0 +1,123 @@
|
||||
import { useEffect, useMemo, useState } from 'react';
|
||||
import { subscribeGraphqlWs } from '../../lib/graphqlWs';
|
||||
|
||||
export type DlobStats = {
|
||||
marketName: string;
|
||||
markPrice: number | null;
|
||||
oraclePrice: number | null;
|
||||
bestBid: number | null;
|
||||
bestAsk: number | null;
|
||||
mid: number | null;
|
||||
spreadAbs: number | null;
|
||||
spreadBps: number | null;
|
||||
depthBidBase: number | null;
|
||||
depthAskBase: number | null;
|
||||
depthBidUsd: number | null;
|
||||
depthAskUsd: number | null;
|
||||
imbalance: number | null;
|
||||
updatedAt: string | null;
|
||||
};
|
||||
|
||||
function toNum(v: unknown): number | null {
|
||||
if (v == null) return null;
|
||||
if (typeof v === 'number') return Number.isFinite(v) ? v : null;
|
||||
if (typeof v === 'string') {
|
||||
const s = v.trim();
|
||||
if (!s) return null;
|
||||
const n = Number(s);
|
||||
return Number.isFinite(n) ? n : null;
|
||||
}
|
||||
return null;
|
||||
}
|
||||
|
||||
type HasuraDlobStatsRow = {
|
||||
market_name: string;
|
||||
mark_price?: string | null;
|
||||
oracle_price?: string | null;
|
||||
best_bid_price?: string | null;
|
||||
best_ask_price?: string | null;
|
||||
mid_price?: string | null;
|
||||
spread_abs?: string | null;
|
||||
spread_bps?: string | null;
|
||||
depth_bid_base?: string | null;
|
||||
depth_ask_base?: string | null;
|
||||
depth_bid_usd?: string | null;
|
||||
depth_ask_usd?: string | null;
|
||||
imbalance?: string | null;
|
||||
updated_at?: string | null;
|
||||
};
|
||||
|
||||
type SubscriptionData = {
|
||||
dlob_stats_latest: HasuraDlobStatsRow[];
|
||||
};
|
||||
|
||||
export function useDlobStats(marketName: string): { stats: DlobStats | null; connected: boolean; error: string | null } {
|
||||
const [stats, setStats] = useState<DlobStats | null>(null);
|
||||
const [connected, setConnected] = useState(false);
|
||||
const [error, setError] = useState<string | null>(null);
|
||||
|
||||
const normalizedMarket = useMemo(() => (marketName || '').trim(), [marketName]);
|
||||
|
||||
useEffect(() => {
|
||||
if (!normalizedMarket) {
|
||||
setStats(null);
|
||||
setError(null);
|
||||
setConnected(false);
|
||||
return;
|
||||
}
|
||||
|
||||
setError(null);
|
||||
|
||||
const query = `
|
||||
subscription DlobStats($market: String!) {
|
||||
dlob_stats_latest(where: {market_name: {_eq: $market}}, limit: 1) {
|
||||
market_name
|
||||
mark_price
|
||||
oracle_price
|
||||
best_bid_price
|
||||
best_ask_price
|
||||
mid_price
|
||||
spread_abs
|
||||
spread_bps
|
||||
depth_bid_base
|
||||
depth_ask_base
|
||||
depth_bid_usd
|
||||
depth_ask_usd
|
||||
imbalance
|
||||
updated_at
|
||||
}
|
||||
}
|
||||
`;
|
||||
|
||||
const sub = subscribeGraphqlWs<SubscriptionData>({
|
||||
query,
|
||||
variables: { market: normalizedMarket },
|
||||
onStatus: ({ connected }) => setConnected(connected),
|
||||
onError: (e) => setError(e),
|
||||
onData: (data) => {
|
||||
const row = data?.dlob_stats_latest?.[0];
|
||||
if (!row?.market_name) return;
|
||||
setStats({
|
||||
marketName: row.market_name,
|
||||
markPrice: toNum(row.mark_price),
|
||||
oraclePrice: toNum(row.oracle_price),
|
||||
bestBid: toNum(row.best_bid_price),
|
||||
bestAsk: toNum(row.best_ask_price),
|
||||
mid: toNum(row.mid_price),
|
||||
spreadAbs: toNum(row.spread_abs),
|
||||
spreadBps: toNum(row.spread_bps),
|
||||
depthBidBase: toNum(row.depth_bid_base),
|
||||
depthAskBase: toNum(row.depth_ask_base),
|
||||
depthBidUsd: toNum(row.depth_bid_usd),
|
||||
depthAskUsd: toNum(row.depth_ask_usd),
|
||||
imbalance: toNum(row.imbalance),
|
||||
updatedAt: row.updated_at ?? null,
|
||||
});
|
||||
},
|
||||
});
|
||||
|
||||
return () => sub.unsubscribe();
|
||||
}, [normalizedMarket]);
|
||||
|
||||
return { stats, connected, error };
|
||||
}
|
||||
@@ -6,6 +6,9 @@ export type Candle = {
|
||||
close: number;
|
||||
volume?: number;
|
||||
oracle?: number | null;
|
||||
flow?: { up: number; down: number; flat: number };
|
||||
flowRows?: number[];
|
||||
flowMoves?: number[];
|
||||
};
|
||||
|
||||
export type SeriesPoint = {
|
||||
@@ -68,9 +71,18 @@ export async function fetchChart(params: {
|
||||
close: Number(c.close),
|
||||
volume: c.volume == null ? undefined : Number(c.volume),
|
||||
oracle: c.oracle == null ? null : Number(c.oracle),
|
||||
flow:
|
||||
(c as any)?.flow && typeof (c as any).flow === 'object'
|
||||
? {
|
||||
up: Number((c as any).flow.up),
|
||||
down: Number((c as any).flow.down),
|
||||
flat: Number((c as any).flow.flat),
|
||||
}
|
||||
: undefined,
|
||||
flowRows: Array.isArray((c as any)?.flowRows) ? (c as any).flowRows.map((x: any) => Number(x)) : undefined,
|
||||
flowMoves: Array.isArray((c as any)?.flowMoves) ? (c as any).flowMoves.map((x: any) => Number(x)) : undefined,
|
||||
})),
|
||||
indicators: json.indicators || {},
|
||||
meta: { tf: String(json.tf || params.tf), bucketSeconds: Number(json.bucketSeconds || 0) },
|
||||
};
|
||||
}
|
||||
|
||||
|
||||
181
apps/visualizer/src/lib/graphqlWs.ts
Normal file
181
apps/visualizer/src/lib/graphqlWs.ts
Normal file
@@ -0,0 +1,181 @@
|
||||
type HeadersMap = Record<string, string>;
|
||||
|
||||
type SubscribeParams<T> = {
|
||||
query: string;
|
||||
variables?: Record<string, unknown>;
|
||||
onData: (data: T) => void;
|
||||
onError?: (err: string) => void;
|
||||
onStatus?: (s: { connected: boolean }) => void;
|
||||
};
|
||||
|
||||
function envString(name: string): string | undefined {
|
||||
const v = (import.meta as any).env?.[name];
|
||||
const s = v == null ? '' : String(v).trim();
|
||||
return s ? s : undefined;
|
||||
}
|
||||
|
||||
function resolveGraphqlHttpUrl(): string {
|
||||
return envString('VITE_HASURA_URL') || '/graphql';
|
||||
}
|
||||
|
||||
function resolveGraphqlWsUrl(): string {
|
||||
const explicit = envString('VITE_HASURA_WS_URL');
|
||||
if (explicit) {
|
||||
if (explicit.startsWith('ws://') || explicit.startsWith('wss://')) return explicit;
|
||||
if (explicit.startsWith('http://')) return `ws://${explicit.slice('http://'.length)}`;
|
||||
if (explicit.startsWith('https://')) return `wss://${explicit.slice('https://'.length)}`;
|
||||
|
||||
const proto = window.location.protocol === 'https:' ? 'wss:' : 'ws:';
|
||||
const host = window.location.host;
|
||||
const path = explicit.startsWith('/') ? explicit : `/${explicit}`;
|
||||
return `${proto}//${host}${path}`;
|
||||
}
|
||||
|
||||
const httpUrl = resolveGraphqlHttpUrl();
|
||||
if (httpUrl.startsWith('ws://') || httpUrl.startsWith('wss://')) return httpUrl;
|
||||
if (httpUrl.startsWith('http://')) return `ws://${httpUrl.slice('http://'.length)}`;
|
||||
if (httpUrl.startsWith('https://')) return `wss://${httpUrl.slice('https://'.length)}`;
|
||||
|
||||
const proto = window.location.protocol === 'https:' ? 'wss:' : 'ws:';
|
||||
const host = window.location.host;
|
||||
const path = httpUrl.startsWith('/') ? httpUrl : `/${httpUrl}`;
|
||||
return `${proto}//${host}${path}`;
|
||||
}
|
||||
|
||||
function resolveAuthHeaders(): HeadersMap | undefined {
|
||||
const token = envString('VITE_HASURA_AUTH_TOKEN');
|
||||
if (token) return { authorization: `Bearer ${token}` };
|
||||
const secret = envString('VITE_HASURA_ADMIN_SECRET');
|
||||
if (secret) return { 'x-hasura-admin-secret': secret };
|
||||
return undefined;
|
||||
}
|
||||
|
||||
type WsMessage =
|
||||
| { type: 'connection_ack' | 'ka' | 'complete' }
|
||||
| { type: 'connection_error'; payload?: any }
|
||||
| { type: 'data'; id: string; payload: { data?: any; errors?: Array<{ message: string }> } }
|
||||
| { type: 'error'; id: string; payload?: any };
|
||||
|
||||
export type SubscriptionHandle = {
|
||||
unsubscribe: () => void;
|
||||
};
|
||||
|
||||
export function subscribeGraphqlWs<T>({ query, variables, onData, onError, onStatus }: SubscribeParams<T>): SubscriptionHandle {
|
||||
const wsUrl = resolveGraphqlWsUrl();
|
||||
const headers = resolveAuthHeaders();
|
||||
let ws: WebSocket | null = null;
|
||||
let closed = false;
|
||||
let started = false;
|
||||
let reconnectTimer: number | null = null;
|
||||
|
||||
const subId = '1';
|
||||
|
||||
const emitError = (e: unknown) => {
|
||||
const msg = typeof e === 'string' ? e : String((e as any)?.message || e);
|
||||
onError?.(msg);
|
||||
};
|
||||
|
||||
const setConnected = (connected: boolean) => onStatus?.({ connected });
|
||||
|
||||
const start = () => {
|
||||
if (!ws || started) return;
|
||||
started = true;
|
||||
ws.send(
|
||||
JSON.stringify({
|
||||
id: subId,
|
||||
type: 'start',
|
||||
payload: { query, variables: variables ?? {} },
|
||||
})
|
||||
);
|
||||
};
|
||||
|
||||
const connect = () => {
|
||||
if (closed) return;
|
||||
started = false;
|
||||
try {
|
||||
ws = new WebSocket(wsUrl, 'graphql-ws');
|
||||
} catch (e) {
|
||||
emitError(e);
|
||||
reconnectTimer = window.setTimeout(connect, 1000);
|
||||
return;
|
||||
}
|
||||
|
||||
ws.onopen = () => {
|
||||
setConnected(true);
|
||||
const payload = headers ? { headers } : {};
|
||||
ws?.send(JSON.stringify({ type: 'connection_init', payload }));
|
||||
};
|
||||
|
||||
ws.onmessage = (ev) => {
|
||||
let msg: WsMessage;
|
||||
try {
|
||||
msg = JSON.parse(String(ev.data));
|
||||
} catch (e) {
|
||||
emitError(e);
|
||||
return;
|
||||
}
|
||||
|
||||
if (msg.type === 'connection_ack') {
|
||||
start();
|
||||
return;
|
||||
}
|
||||
|
||||
if (msg.type === 'connection_error') {
|
||||
emitError(msg.payload || 'connection_error');
|
||||
return;
|
||||
}
|
||||
|
||||
if (msg.type === 'ka' || msg.type === 'complete') return;
|
||||
|
||||
if (msg.type === 'error') {
|
||||
emitError(msg.payload || 'subscription_error');
|
||||
return;
|
||||
}
|
||||
|
||||
if (msg.type === 'data') {
|
||||
const errors = msg.payload?.errors;
|
||||
if (Array.isArray(errors) && errors.length) {
|
||||
emitError(errors.map((e) => e.message).join(' | '));
|
||||
return;
|
||||
}
|
||||
if (msg.payload?.data != null) onData(msg.payload.data as T);
|
||||
}
|
||||
};
|
||||
|
||||
ws.onerror = () => {
|
||||
setConnected(false);
|
||||
};
|
||||
|
||||
ws.onclose = () => {
|
||||
setConnected(false);
|
||||
if (closed) return;
|
||||
reconnectTimer = window.setTimeout(connect, 1000);
|
||||
};
|
||||
};
|
||||
|
||||
connect();
|
||||
|
||||
return {
|
||||
unsubscribe: () => {
|
||||
closed = true;
|
||||
setConnected(false);
|
||||
if (reconnectTimer != null) {
|
||||
window.clearTimeout(reconnectTimer);
|
||||
reconnectTimer = null;
|
||||
}
|
||||
if (!ws) return;
|
||||
try {
|
||||
ws.send(JSON.stringify({ id: subId, type: 'stop' }));
|
||||
ws.send(JSON.stringify({ type: 'connection_terminate' }));
|
||||
} catch {
|
||||
// ignore
|
||||
}
|
||||
try {
|
||||
ws.close();
|
||||
} catch {
|
||||
// ignore
|
||||
}
|
||||
ws = null;
|
||||
},
|
||||
};
|
||||
}
|
||||
@@ -18,7 +18,7 @@ function getApiUrl(): string | undefined {
|
||||
}
|
||||
|
||||
function getHasuraUrl(): string {
|
||||
return (import.meta as any).env?.VITE_HASURA_URL || 'http://localhost:8080/v1/graphql';
|
||||
return (import.meta as any).env?.VITE_HASURA_URL || '/graphql';
|
||||
}
|
||||
|
||||
function getAuthToken(): string | undefined {
|
||||
|
||||
153
doc/dlob-services.md
Normal file
153
doc/dlob-services.md
Normal file
@@ -0,0 +1,153 @@
|
||||
# Serwisy DLOB na VPS (k3s / `trade-staging`)
|
||||
|
||||
Ten dokument opisuje rolę serwisów “DLOB” uruchomionych w namespace `trade-staging` oraz ich przepływ danych.
|
||||
|
||||
## Czy `dlob-worker` pracuje na VPS?
|
||||
|
||||
Tak — wszystkie serwisy wymienione niżej działają **na VPS** jako Deploymenty w klastrze k3s, w namespace `trade-staging`.
|
||||
|
||||
## Czy na VPS jest GraphQL/WS dla stats i orderbook?
|
||||
|
||||
Tak — **GraphQL wystawia Hasura** (na VPS w k3s), a nie `dlob-server`.
|
||||
|
||||
- Dane L2 i liczone statsy są zapisane do Postgresa jako tabele `dlob_*_latest` i są dostępne przez Hasurę jako GraphQL (query + subscriptions).
|
||||
- Z zewnątrz korzystamy przez frontend (proxy) pod:
|
||||
- HTTP: `https://trade.rv32i.pl/graphql`
|
||||
- WS: `wss://trade.rv32i.pl/graphql` (subskrypcje, protokół `graphql-ws`)
|
||||
|
||||
`dlob-server` wystawia **REST** (np. `/l2`, `/l3`) w klastrze; to jest źródło danych dla workerów albo do debugowania.
|
||||
|
||||
## TL;DR: kto co robi
|
||||
|
||||
### `dlob-worker`
|
||||
- **Rola:** kolektor L2 + wyliczenie “basic stats”.
|
||||
- **Wejście:** HTTP L2 z `DLOB_HTTP_URL` (u nas obecnie `https://dlob.drift.trade`, ale można przełączyć na `http://dlob-server:6969`).
|
||||
- **Wyjście:** upsert do Hasury (Postgres) tabel:
|
||||
- `dlob_l2_latest` (raw snapshot L2, JSON leveli)
|
||||
- `dlob_stats_latest` (pochodne: best bid/ask, mid, spread, depth, imbalance, itp.)
|
||||
- **Częstotliwość:** `DLOB_POLL_MS` (u nas 500 ms).
|
||||
|
||||
### `dlob-slippage-worker`
|
||||
- **Rola:** symulacja slippage vs rozmiar zlecenia na podstawie L2.
|
||||
- **Wejście:** czyta z Hasury `dlob_l2_latest` (dla listy rynków).
|
||||
- **Wyjście:** upsert do Hasury tabeli `dlob_slippage_latest` (m.in. `impact_bps`, `vwap_price`, `worst_price`, `fill_pct`).
|
||||
- **Częstotliwość:** `DLOB_POLL_MS` (u nas 1000 ms); rozmiary w `DLOB_SLIPPAGE_SIZES_USD`.
|
||||
|
||||
### `dlob-depth-worker`
|
||||
- **Rola:** metryki “głębokości” w pasmach ±bps wokół mid.
|
||||
- **Wejście:** czyta z Hasury `dlob_l2_latest`.
|
||||
- **Wyjście:** upsert do Hasury tabeli `dlob_depth_bps_latest` (per `(market_name, band_bps)`).
|
||||
- **Częstotliwość:** `DLOB_POLL_MS` (u nas 1000 ms); pasma w `DLOB_DEPTH_BPS_BANDS`.
|
||||
|
||||
### `dlob-publisher`
|
||||
- **Rola:** utrzymuje “żywy” DLOB na podstawie subskrypcji on-chain i publikuje snapshoty do Redis.
|
||||
- **Wejście:** Solana RPC/WS (`ENDPOINT`, `WS_ENDPOINT` z secreta `trade-dlob-rpc`), Drift SDK; konfiguracja rynków np. `PERP_MARKETS_TO_LOAD`.
|
||||
- **Wyjście:** zapis/publish do `dlob-redis` (cache / pubsub / streamy), z którego korzysta serwer HTTP (i ewentualnie WS manager).
|
||||
|
||||
### `dlob-server`
|
||||
- **Rola:** HTTP API do danych DLOB (np. `/l2`, `/l3`) serwowane z cache Redis.
|
||||
- **Wejście:** `dlob-redis` + slot subscriber (do oceny “świeżości” danych).
|
||||
- **Wyjście:** endpoint HTTP w klastrze (Service `dlob-server:6969`), który może być źródłem dla `dlob-worker` (gdy `DLOB_HTTP_URL=http://dlob-server:6969`).
|
||||
|
||||
### `dlob-redis`
|
||||
- **Rola:** Redis (u nas single-node “cluster mode”) jako **cache i kanał komunikacji** między `dlob-publisher` a `dlob-server`.
|
||||
- **Uwagi:** to “klej” między komponentami publish/serve; bez niego publisher i server nie współpracują.
|
||||
|
||||
## Jak to się spina (przepływ danych)
|
||||
|
||||
1) `dlob-publisher` (on-chain) → publikuje snapshoty do `dlob-redis`.
|
||||
2) `dlob-server` → serwuje `/l2` i `/l3` z `dlob-redis` (HTTP w klastrze).
|
||||
3) `dlob-worker` → pobiera L2 (obecnie z `https://dlob.drift.trade`; opcjonalnie z `dlob-server`) i zapisuje “latest” do Hasury/DB.
|
||||
4) `dlob-slippage-worker` + `dlob-depth-worker` → liczą agregaty z `dlob_l2_latest` i zapisują do Hasury/DB (pod UI).
|
||||
|
||||
## Co to jest L1 / L2 / L3 (orderbook)
|
||||
|
||||
- `L1` (top-of-book): tylko najlepszy bid i najlepszy ask (czasem też spread).
|
||||
- `L2` (Level 2): **zagregowane poziomy cenowe** po stronie bid/ask — lista leveli `{ price, size }`, gdzie `size` to suma wolumenu na danej cenie (to jest typowy “orderbook UI” i baza pod spread/depth/imbalance).
|
||||
- `L3` (Level 3): **niezagregowane, pojedyncze zlecenia** (każde osobno, zwykle z dodatkowymi polami/identyfikatorami). Większy wolumen danych; przydatne do “pro” analiz i debugowania mikrostruktury.
|
||||
|
||||
W tym stacku:
|
||||
- `dlob-server` udostępnia REST endpointy `/l2` i `/l3`.
|
||||
- Hasura/DB trzyma “latest” snapshot L2 w `dlob_l2_latest` oraz metryki w `dlob_stats_latest` / `dlob_depth_bps_latest` / `dlob_slippage_latest`.
|
||||
|
||||
## Słownik pojęć (bid/ask/spread i metryki)
|
||||
|
||||
### Podstawy orderbooka
|
||||
|
||||
- **Bid**: zlecenia kupna (chęć kupna). W orderbooku “bid side”.
|
||||
- **Ask**: zlecenia sprzedaży (chęć sprzedaży). W orderbooku “ask side”.
|
||||
- **Best bid / best ask**: najlepsza (najwyższa) cena kupna i najlepsza (najniższa) cena sprzedaży na topie księgi (L1).
|
||||
- **Spread**: różnica pomiędzy `best_ask` a `best_bid`. Im mniejszy spread, tym “taniej” wejść/wyjść (mniej kosztów natychmiastowej realizacji).
|
||||
- **Mid price**: cena “po środku”: `(best_bid + best_ask) / 2`. Używana jako punkt odniesienia do bps i slippage.
|
||||
- **Level**: pojedynczy poziom cenowy w L2 (np. `price=100.00`, `size=12.3`).
|
||||
- **Size**: ilość/płynność na poziomie (zwykle w jednostkach “base asset”).
|
||||
- **Base / Quote**:
|
||||
- `base` = instrument bazowy (np. SOL),
|
||||
- `quote` = waluta wyceny (często USD).
|
||||
|
||||
## Kolory w UI (visualizer)
|
||||
|
||||
- `bid` / “buy side” = zielony (`.pos`, `#22c55e`)
|
||||
- `ask` / “sell side” = czerwony (`.neg`, `#ef4444`)
|
||||
- “flat” / brak zmiany = niebieski (`#60a5fa`) — używany m.in. w “brick stack” pod świecami
|
||||
|
||||
### Jednostki i skróty
|
||||
|
||||
- **bps (basis points)**: 1 bps = 0.01% = `0.0001`. Np. 25 bps = 0.25%.
|
||||
- **USD**: u nas wiele wartości jest przeliczanych do USD (np. `size_base * price`).
|
||||
|
||||
### Metryki “stats” (np. `dlob_stats_latest`)
|
||||
|
||||
- `spread_abs` (USD): `best_ask - best_bid`.
|
||||
- `spread_bps` (bps): `(spread_abs / mid_price) * 10_000`.
|
||||
- `depth_levels`: ile leveli (top‑N) z każdej strony braliśmy do liczenia “depth”.
|
||||
- `depth_bid_base` / `depth_ask_base`: suma `size` po top‑N levelach bid/ask (w base).
|
||||
- `depth_bid_usd` / `depth_ask_usd`: suma `size_base * price` po top‑N levelach (w USD).
|
||||
- `imbalance` ([-1..1]): miara asymetrii płynności:
|
||||
- `(depth_bid_usd - depth_ask_usd) / (depth_bid_usd + depth_ask_usd)`
|
||||
- >0 = relatywnie więcej płynności po bid, <0 = po ask.
|
||||
- `oracle_price`: cena z oracla (np. Pyth) jako punkt odniesienia.
|
||||
- `mark_price`: “mark” z rynku/perp (cena referencyjna dla rozliczeń); różni się od oracle/top-of-book.
|
||||
|
||||
### Metryki “depth bands” (np. `dlob_depth_bps_latest`)
|
||||
|
||||
- `band_bps`: szerokość pasma wokół `mid_price` (np. 5/10/20/50/100/200 bps).
|
||||
- `bid_usd` / `ask_usd`: płynność po danej stronie, ale **tylko z poziomów mieszczących się w oknie ±`band_bps`** wokół mid.
|
||||
- `imbalance`: jak wyżej, ale liczony per band.
|
||||
|
||||
### Metryki “slippage” (np. `dlob_slippage_latest`)
|
||||
|
||||
To jest symulacja “gdybym teraz zrobił market order o rozmiarze X” na podstawie L2.
|
||||
|
||||
- `size_usd`: docelowy rozmiar zlecenia w USD.
|
||||
- `vwap_price`: średnia cena realizacji (Volume Weighted Average Price) dla symulowanego fill.
|
||||
- `impact_bps`: koszt/odchylenie względem `mid_price` wyrażone w bps (zwykle na bazie `vwap` vs `mid`).
|
||||
- `worst_price`: najgorsza cena dotknięta podczas “zjadania” kolejnych leveli.
|
||||
- `filled_usd` / `filled_base`: ile realnie udało się wypełnić (może być < docelowego, jeśli brakuje płynności).
|
||||
- `fill_pct`: procent wypełnienia (100% = pełny fill).
|
||||
- `levels_consumed`: ile leveli zostało “zjedzonych” podczas fill.
|
||||
|
||||
### Metadane czasu (“świeżość”)
|
||||
|
||||
- `ts`: timestamp źródła (czas snapshotu).
|
||||
- `slot`: slot Solany, z którego pochodzi snapshot (monotoniczny “numer czasu” chaina).
|
||||
- `updated_at`: kiedy nasz worker zapisał/odświeżył rekord w DB (do oceny, czy dane są świeże).
|
||||
|
||||
## Szybka diagnostyka na VPS
|
||||
|
||||
```bash
|
||||
KUBECONFIG=/etc/rancher/k3s/k3s.yaml kubectl -n trade-staging get deploy | grep -E 'dlob-(worker|slippage-worker|depth-worker|publisher|server|redis)'
|
||||
KUBECONFIG=/etc/rancher/k3s/k3s.yaml kubectl -n trade-staging logs deploy/dlob-worker --tail=80
|
||||
KUBECONFIG=/etc/rancher/k3s/k3s.yaml kubectl -n trade-staging logs deploy/dlob-publisher --tail=80
|
||||
KUBECONFIG=/etc/rancher/k3s/k3s.yaml kubectl -n trade-staging logs deploy/dlob-server --tail=80
|
||||
```
|
||||
|
||||
## Ważna uwaga (źródło L2 w `dlob-worker`)
|
||||
|
||||
Jeśli chcesz, żeby `dlob-worker` polegał na **naszym** stacku (własny RPC + `dlob-publisher` + `dlob-server`), ustaw:
|
||||
|
||||
- `DLOB_HTTP_URL=http://dlob-server:6969`
|
||||
|
||||
Aktualnie w `trade-staging` jest ustawione:
|
||||
|
||||
- `DLOB_HTTP_URL=https://dlob.drift.trade`
|
||||
42
doc/visualizer-candles.md
Normal file
42
doc/visualizer-candles.md
Normal file
@@ -0,0 +1,42 @@
|
||||
# Visualizer: świeczki + “brick stack” pod świecą
|
||||
|
||||
## Timeframe (tf)
|
||||
|
||||
W visualizerze `tf` to długość świecy (bucket) przekazywana do API:
|
||||
|
||||
- `3s`, `5s`, `15s`, `30s` — mikro‑ruchy (dużo szumu, ale świetne do obserwacji mikrostruktury)
|
||||
- `1m`, `5m`, `15m`, `1h`, `4h`, `1d` — klasyczne interwały
|
||||
|
||||
Kiedy ma to sens:
|
||||
- `3s/5s`: gdy chcesz widzieć “jak cena się buduje” w krótkich falach (np. po newsie / w dużej zmienności).
|
||||
- `15s/30s`: często najlepszy kompromis między szumem a czytelnością, jeżeli patrzysz na very-short-term.
|
||||
|
||||
## Co pokazuje “brick stack” na dole
|
||||
|
||||
Pod każdą świecą rysujemy słupek złożony z “bricków” (małych segmentów) odpowiadających kolejnym krokom czasu wewnątrz świecy.
|
||||
|
||||
Kolory bricków:
|
||||
- zielony = w tym kroku cena poszła w górę
|
||||
- czerwony = w tym kroku cena poszła w dół
|
||||
- niebieski = w tym kroku cena była stała (flat)
|
||||
|
||||
Wysokość bricków:
|
||||
- zielony/czerwony: proporcjonalna do `|Δprice|` w danym kroku
|
||||
- niebieski: stała (unit height)
|
||||
|
||||
Bricki są rozdzielone cienką czarną linią (1px), żeby było widać strukturę “krok po kroku”.
|
||||
|
||||
## Jakie pola musi zwracać API
|
||||
|
||||
Endpoint `GET /v1/chart` zwraca w każdej świecy:
|
||||
|
||||
- `flow`: udziały czasu `up/down/flat` w całym buckecie (0..1)
|
||||
- `flowRows`: tablica kierunków per krok czasu: `-1` (down), `0` (flat), `1` (up)
|
||||
- `flowMoves`: tablica “move magnitude” per krok czasu (wartości dodatnie; 0 jeśli flat)
|
||||
|
||||
To właśnie `flowRows` + `flowMoves` są używane do narysowania brick stacka.
|
||||
|
||||
## Domyślny rynek
|
||||
|
||||
W visualizerze domyślnie ustawiony jest `SOL-PERP`.
|
||||
|
||||
Reference in New Issue
Block a user