19 Commits

Author SHA1 Message Date
u1
fc92392705 docs: describe candle timeframes and brick stack 2026-01-11 10:37:39 +00:00
u1
b70257fc5f docs: add DLOB services + glossary 2026-01-11 10:37:23 +00:00
u1
ca9e44a41a feat(visualizer): add DLOB depth bands panel 2026-01-10 23:02:30 +00:00
u1
c1bc6f9e2f feat(visualizer): add DLOB slippage chart component 2026-01-10 23:02:04 +00:00
u1
2a158334bf feat(visualizer): add DLOB dashboard UI 2026-01-10 23:01:36 +00:00
u1
bff6560f43 feat(visualizer): add DLOB depth bands subscription hook 2026-01-10 23:00:56 +00:00
u1
9d1ebba39d feat(visualizer): add DLOB slippage subscription hook 2026-01-10 23:00:29 +00:00
u1
965774dfbd feat(dlob): add L2 subscription hook 2026-01-10 22:56:25 +00:00
u1
fb307f0279 fix(hasura): default to /graphql proxy 2026-01-10 22:55:14 +00:00
u1
6904be4a51 feat(chart): render brick-stack flow bars 2026-01-10 22:54:22 +00:00
u1
912a78588d feat(chart): update layers panel UI 2026-01-10 22:47:22 +00:00
u1
62baa9700e feat(chart): overlay DLOB quotes + layers 2026-01-10 22:46:20 +00:00
u1
fa0ff11b5a feat(visualizer): add DLOB dashboard and SOL default 2026-01-10 22:43:49 +00:00
u1
879f45aa5c feat(chart): parse candle flow rows for brick bars 2026-01-10 22:23:51 +00:00
u1
5a9c2b0a85 feat(chart): add 5s/15s/30s timeframes 2026-01-10 22:23:15 +00:00
u1
9592d6ac16 docs(env): update visualizer defaults 2026-01-10 22:22:46 +00:00
u1
dff4d347ad feat(dlob): add stats subscription hook 2026-01-10 22:22:32 +00:00
u1
ae41f1a9de feat(hasura): add GraphQL WS subscription helper 2026-01-10 22:21:46 +00:00
u1
42e0a4d86d feat(dev): add visualizer __start helper 2026-01-10 22:20:53 +00:00
19 changed files with 1978 additions and 125 deletions

View File

@@ -1,12 +1,15 @@
# Default: UI reads ticks from the same-origin API proxy at `/api`.
VITE_API_URL=/api
# Fallback (optional): query Hasura directly (not recommended in browser).
VITE_HASURA_URL=http://localhost:8080/v1/graphql
# Optional (only if you intentionally query Hasura directly from the browser):
# Hasura GraphQL endpoint (supports subscriptions via WS).
# On VPS, `trade-frontend` proxies Hasura at the same origin under `/graphql`.
VITE_HASURA_URL=/graphql
# Optional explicit WS URL; when omitted the app derives it from `VITE_HASURA_URL`.
# Can be absolute (wss://...) or a same-origin path (e.g. /graphql-ws).
# VITE_HASURA_WS_URL=/graphql-ws
# Optional auth (only if Hasura is not configured with `HASURA_GRAPHQL_UNAUTHORIZED_ROLE=public`):
# VITE_HASURA_AUTH_TOKEN=YOUR_JWT
# VITE_HASURA_ADMIN_SECRET=devsecret
VITE_SYMBOL=PUMP-PERP
VITE_SYMBOL=SOL-PERP
# Optional: filter by source (leave empty for all)
# VITE_SOURCE=drift_oracle
VITE_POLL_MS=1000

24
apps/visualizer/__start Normal file
View File

@@ -0,0 +1,24 @@
#!/usr/bin/env bash
set -euo pipefail
SCRIPT_DIR="$(cd "$(dirname "${BASH_SOURCE[0]}")" && pwd)"
ROOT_DIR="$(cd "${SCRIPT_DIR}/../.." && pwd)"
cd "${SCRIPT_DIR}"
export API_PROXY_TARGET="${API_PROXY_TARGET:-https://trade.mpabi.pl}"
export GRAPHQL_PROXY_TARGET="${GRAPHQL_PROXY_TARGET:-https://trade.mpabi.pl}"
export VITE_API_URL="${VITE_API_URL:-/api}"
export VITE_HASURA_URL="${VITE_HASURA_URL:-/graphql}"
export VITE_HASURA_WS_URL="${VITE_HASURA_WS_URL:-/graphql-ws}"
if [[ -z "${API_PROXY_BASIC_AUTH:-}" && -z "${API_PROXY_BASIC_AUTH_FILE:-}" ]]; then
if [[ -f "${ROOT_DIR}/tokens/frontend.json" ]]; then
export API_PROXY_BASIC_AUTH_FILE="tokens/frontend.json"
else
echo "Missing basic auth config for VPS proxy."
echo "Set API_PROXY_BASIC_AUTH='USER:PASS' or create tokens/frontend.json" >&2
fi
fi
npm run dev

View File

@@ -1,3 +1,4 @@
import type { CSSProperties } from 'react';
import { useEffect, useMemo, useState } from 'react';
import { useLocalStorageState } from './app/hooks/useLocalStorageState';
import AppShell from './layout/AppShell';
@@ -11,6 +12,11 @@ import Button from './ui/Button';
import TopNav from './layout/TopNav';
import AuthStatus from './layout/AuthStatus';
import LoginScreen from './layout/LoginScreen';
import { useDlobStats } from './features/market/useDlobStats';
import { useDlobL2 } from './features/market/useDlobL2';
import { useDlobSlippage } from './features/market/useDlobSlippage';
import { useDlobDepthBands } from './features/market/useDlobDepthBands';
import DlobDashboard from './features/market/DlobDashboard';
function envNumber(name: string, fallback: number): number {
const v = (import.meta as any).env?.[name];
@@ -36,6 +42,11 @@ function formatQty(v: number | null | undefined, decimals: number): string {
return v.toLocaleString(undefined, { minimumFractionDigits: decimals, maximumFractionDigits: decimals });
}
function orderbookBarStyle(scale: number): CSSProperties {
const s = Number.isFinite(scale) && scale > 0 ? Math.min(1, scale) : 0;
return { ['--ob-bar-scale' as any]: s } as CSSProperties;
}
type WhoamiResponse = {
ok?: boolean;
user?: string | null;
@@ -99,9 +110,9 @@ export default function App() {
}
function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
const markets = useMemo(() => ['PUMP-PERP', 'SOL-PERP', 'BTC-PERP', 'ETH-PERP'], []);
const markets = useMemo(() => ['PUMP-PERP', 'SOL-PERP', '1MBONK-PERP', 'BTC-PERP', 'ETH-PERP'], []);
const [symbol, setSymbol] = useLocalStorageState('trade.symbol', envString('VITE_SYMBOL', 'PUMP-PERP'));
const [symbol, setSymbol] = useLocalStorageState('trade.symbol', envString('VITE_SYMBOL', 'SOL-PERP'));
const [source, setSource] = useLocalStorageState('trade.source', envString('VITE_SOURCE', ''));
const [tf, setTf] = useLocalStorageState('trade.tf', envString('VITE_TF', '1m'));
const [pollMs, setPollMs] = useLocalStorageState('trade.pollMs', envNumber('VITE_POLL_MS', 1000));
@@ -110,7 +121,7 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
const [showBuild, setShowBuild] = useLocalStorageState('trade.showBuild', false);
const [tab, setTab] = useLocalStorageState<'orderbook' | 'trades'>('trade.sidebarTab', 'orderbook');
const [bottomTab, setBottomTab] = useLocalStorageState<
'positions' | 'orders' | 'balances' | 'orderHistory' | 'positionHistory'
'dlob' | 'positions' | 'orders' | 'balances' | 'orderHistory' | 'positionHistory'
>('trade.bottomTab', 'positions');
const [tradeSide, setTradeSide] = useLocalStorageState<'long' | 'short'>('trade.form.side', 'long');
const [tradeOrderType, setTradeOrderType] = useLocalStorageState<'market' | 'limit' | 'other'>(
@@ -120,6 +131,16 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
const [tradePrice, setTradePrice] = useLocalStorageState<number>('trade.form.price', 0);
const [tradeSize, setTradeSize] = useLocalStorageState<number>('trade.form.size', 0.1);
useEffect(() => {
if (symbol === 'BONK-PERP') {
setSymbol('1MBONK-PERP');
return;
}
if (!markets.includes(symbol)) {
setSymbol('SOL-PERP');
}
}, [markets, setSymbol, symbol]);
const { candles, indicators, meta, loading, error, refresh } = useChartData({
symbol,
source: source.trim() ? source : undefined,
@@ -128,12 +149,18 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
pollMs,
});
const { stats: dlob, connected: dlobConnected, error: dlobError } = useDlobStats(symbol);
const { l2: dlobL2, connected: dlobL2Connected, error: dlobL2Error } = useDlobL2(symbol, { levels: 14 });
const { rows: slippageRows, connected: slippageConnected, error: slippageError } = useDlobSlippage(symbol);
const { rows: depthBands, connected: depthBandsConnected, error: depthBandsError } = useDlobDepthBands(symbol);
const latest = candles.length ? candles[candles.length - 1] : null;
const first = candles.length ? candles[0] : null;
const changePct =
first && latest && first.close > 0 ? ((latest.close - first.close) / first.close) * 100 : null;
const orderbook = useMemo(() => {
if (dlobL2) return { asks: dlobL2.asks, bids: dlobL2.bids, mid: dlobL2.mid as number | null };
if (!latest) return { asks: [], bids: [], mid: null as number | null };
const mid = latest.close;
const step = Math.max(mid * 0.00018, 0.0001);
@@ -164,7 +191,19 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
});
return { asks, bids, mid };
}, [latest]);
}, [dlobL2, latest]);
const maxAskTotal = useMemo(() => {
let max = 0;
for (const r of orderbook.asks) max = Math.max(max, r.total || 0);
return max;
}, [orderbook.asks]);
const maxBidTotal = useMemo(() => {
let max = 0;
for (const r of orderbook.bids) max = Math.max(max, r.total || 0);
return max;
}, [orderbook.bids]);
const trades = useMemo(() => {
const slice = candles.slice(-24).reverse();
@@ -184,6 +223,24 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
return latest?.close ?? tradePrice;
}, [latest?.close, tradeOrderType, tradePrice]);
const orderValueUsd = useMemo(() => {
if (!Number.isFinite(tradeSize) || tradeSize <= 0) return null;
if (!Number.isFinite(effectiveTradePrice) || effectiveTradePrice <= 0) return null;
const v = effectiveTradePrice * tradeSize;
return Number.isFinite(v) && v > 0 ? v : null;
}, [effectiveTradePrice, tradeSize]);
const dynamicSlippage = useMemo(() => {
if (orderValueUsd == null) return null;
const side = tradeSide === 'short' ? 'sell' : 'buy';
const rows = slippageRows.filter((r) => r.side === side).slice();
rows.sort((a, b) => a.sizeUsd - b.sizeUsd);
if (!rows.length) return null;
const biggest = rows[rows.length - 1];
const match = rows.find((r) => r.sizeUsd >= orderValueUsd) || biggest;
return match;
}, [orderValueUsd, slippageRows, tradeSide]);
const topItems = useMemo(
() => [
{ key: 'BTC', label: 'BTC', changePct: 1.28, active: false },
@@ -209,12 +266,28 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
),
},
{ key: 'oracle', label: 'Oracle', value: formatUsd(latest?.oracle ?? null) },
{ key: 'funding', label: 'Funding / 24h', value: '—', sub: '—' },
{ key: 'oi', label: 'Open Interest', value: '—' },
{ key: 'vol', label: '24h Volume', value: '—' },
{ key: 'details', label: 'Market Details', value: <a href="#">View</a> },
{ key: 'bid', label: 'Bid', value: formatUsd(dlob?.bestBid ?? null) },
{ key: 'ask', label: 'Ask', value: formatUsd(dlob?.bestAsk ?? null) },
{
key: 'spread',
label: 'Spread',
value: dlob?.spreadBps == null ? '—' : `${dlob.spreadBps.toFixed(1)} bps`,
sub: formatUsd(dlob?.spreadAbs ?? null),
},
{
key: 'dlob',
label: 'DLOB',
value: dlobConnected ? 'live' : '—',
sub: dlobError ? <span className="neg">{dlobError}</span> : dlob?.updatedAt || '—',
},
{
key: 'l2',
label: 'L2',
value: dlobL2Connected ? 'live' : '—',
sub: dlobL2Error ? <span className="neg">{dlobL2Error}</span> : dlobL2?.updatedAt || '—',
},
];
}, [latest?.close, latest?.oracle, changePct]);
}, [latest?.close, latest?.oracle, changePct, dlob, dlobConnected, dlobError, dlobL2, dlobL2Connected, dlobL2Error]);
const seriesLabel = useMemo(() => `Candles: Mark (oracle overlay)`, []);
const seriesKey = useMemo(() => `${symbol}|${source}|${tf}`, [symbol, source, tf]);
@@ -292,11 +365,30 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
showBuild={showBuild}
onToggleBuild={() => setShowBuild((v) => !v)}
seriesLabel={seriesLabel}
dlobQuotes={{ bid: dlob?.bestBid ?? null, ask: dlob?.bestAsk ?? null, mid: dlob?.mid ?? null }}
/>
<Card className="bottomCard">
<Tabs
items={[
{
id: 'dlob',
label: 'DLOB',
content: (
<DlobDashboard
market={symbol}
stats={dlob}
statsConnected={dlobConnected}
statsError={dlobError}
depthBands={depthBands}
depthBandsConnected={depthBandsConnected}
depthBandsError={depthBandsError}
slippageRows={slippageRows}
slippageConnected={slippageConnected}
slippageError={slippageError}
/>
),
},
{ id: 'positions', label: 'Positions', content: <div className="placeholder">Positions (next)</div> },
{ id: 'orders', label: 'Orders', content: <div className="placeholder">Orders (next)</div> },
{ id: 'balances', label: 'Balances', content: <div className="placeholder">Balances (next)</div> },
@@ -323,7 +415,7 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
title={
<div className="sideHead">
<div className="sideHead__title">Orderbook</div>
<div className="sideHead__subtitle">{loading ? 'loading…' : latest ? formatUsd(latest.close) : '—'}</div>
<div className="sideHead__subtitle">{loading ? 'loading…' : orderbook.mid != null ? formatUsd(orderbook.mid) : latest ? formatUsd(latest.close) : '—'}</div>
</div>
}
>
@@ -341,18 +433,26 @@ function TradeApp({ user, onLogout }: { user: string; onLogout: () => void }) {
</div>
<div className="orderbook__rows">
{orderbook.asks.map((r) => (
<div key={`a-${r.price}`} className="orderbookRow orderbookRow--ask">
<div
key={`a-${r.price}`}
className="orderbookRow orderbookRow--ask"
style={orderbookBarStyle(maxAskTotal > 0 ? r.total / maxAskTotal : 0)}
>
<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>
</div>
))}
<div className="orderbookMid">
<span className="orderbookMid__price">{latest ? formatQty(latest.close, 3) : '—'}</span>
<span className="orderbookMid__price">{formatQty(orderbook.mid, 3)}</span>
<span className="orderbookMid__label">mid</span>
</div>
{orderbook.bids.map((r) => (
<div key={`b-${r.price}`} className="orderbookRow orderbookRow--bid">
<div
key={`b-${r.price}`}
className="orderbookRow orderbookRow--bid"
style={orderbookBarStyle(maxBidTotal > 0 ? r.total / maxBidTotal : 0)}
>
<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">
<span className="tradeMeta__label">Slippage (Dynamic)</span>
<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>

View File

@@ -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({
</>
);
}

View File

@@ -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}

View File

@@ -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,

View File

@@ -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);
@@ -671,62 +1125,26 @@ 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;
if (hoverData.length) {
s.buildHover.applyOptions({ visible: true });
s.buildHover.setData(hoverData);
} else {
s.buildHover.applyOptions({ visible: false });
s.buildHover.setData([]);
}
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;
} 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 });
@@ -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 });

View 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>
);
}

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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>
);
}

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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} />;
}

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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 };
}

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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 };
}

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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 };
}

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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 };
}

View File

@@ -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) },
};
}

View 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;
},
};
}

View File

@@ -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
View 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 (topN) z każdej strony braliśmy do liczenia “depth”.
- `depth_bid_base` / `depth_ask_base`: suma `size` po topN levelach bid/ask (w base).
- `depth_bid_usd` / `depth_ask_usd`: suma `size_base * price` po topN 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 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
View 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` — mikroruchy (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`.