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market_data.go
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market_data.go
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// Copyright (c) 2022 Gobalsky Labs Limited
//
// Use of this software is governed by the Business Source License included
// in the LICENSE.DATANODE file and at https://www.mariadb.com/bsl11.
//
// Change Date: 18 months from the later of the date of the first publicly
// available Distribution of this version of the repository, and 25 June 2022.
//
// On the date above, in accordance with the Business Source License, use
// of this software will be governed by version 3 or later of the GNU General
// Public License.
package sqlstore
import (
"context"
"errors"
"fmt"
"time"
"code.vegaprotocol.io/vega/datanode/entities"
"code.vegaprotocol.io/vega/datanode/metrics"
"code.vegaprotocol.io/vega/logging"
v2 "code.vegaprotocol.io/vega/protos/data-node/api/v2"
"github.com/georgysavva/scany/pgxscan"
"github.com/jackc/pgx/v4"
)
var marketdataOrdering = TableOrdering{
ColumnOrdering{Name: "synthetic_time", Sorting: ASC},
}
type MarketData struct {
*ConnectionSource
columns []string
marketData []*entities.MarketData
}
var ErrInvalidDateRange = errors.New("invalid date range, end date must be after start date")
func NewMarketData(connectionSource *ConnectionSource) *MarketData {
return &MarketData{
ConnectionSource: connectionSource,
columns: []string{
"synthetic_time", "tx_hash", "vega_time", "seq_num",
"market", "mark_price", "best_bid_price", "best_bid_volume",
"best_offer_price", "best_offer_volume", "best_static_bid_price", "best_static_bid_volume",
"best_static_offer_price", "best_static_offer_volume", "mid_price", "static_mid_price",
"open_interest", "auction_end", "auction_start", "indicative_price", "indicative_volume",
"market_trading_mode", "auction_trigger", "extension_trigger", "target_stake",
"supplied_stake", "price_monitoring_bounds", "market_value_proxy", "liquidity_provider_fee_shares", "market_state", "next_mark_to_market",
},
}
}
func (md *MarketData) Add(data *entities.MarketData) error {
md.marketData = append(md.marketData, data)
return nil
}
func (md *MarketData) Flush(ctx context.Context) ([]*entities.MarketData, error) {
rows := make([][]interface{}, 0, len(md.marketData))
for _, data := range md.marketData {
rows = append(rows, []interface{}{
data.SyntheticTime, data.TxHash, data.VegaTime, data.SeqNum,
data.Market, data.MarkPrice,
data.BestBidPrice, data.BestBidVolume, data.BestOfferPrice, data.BestOfferVolume,
data.BestStaticBidPrice, data.BestStaticBidVolume, data.BestStaticOfferPrice, data.BestStaticOfferVolume,
data.MidPrice, data.StaticMidPrice, data.OpenInterest, data.AuctionEnd,
data.AuctionStart, data.IndicativePrice, data.IndicativeVolume, data.MarketTradingMode,
data.AuctionTrigger, data.ExtensionTrigger, data.TargetStake, data.SuppliedStake,
data.PriceMonitoringBounds, data.MarketValueProxy, data.LiquidityProviderFeeShares, data.MarketState, data.NextMarkToMarket,
})
}
defer metrics.StartSQLQuery("MarketData", "Flush")()
if rows != nil {
copyCount, err := md.Connection.CopyFrom(
ctx,
pgx.Identifier{"market_data"}, md.columns, pgx.CopyFromRows(rows),
)
if err != nil {
return nil, fmt.Errorf("failed to copy market data into database:%w", err)
}
if copyCount != int64(len(rows)) {
return nil, fmt.Errorf("copied %d market data rows into the database, expected to copy %d", copyCount, len(rows))
}
}
flushed := md.marketData
md.marketData = nil
return flushed, nil
}
func (md *MarketData) GetMarketDataByID(ctx context.Context, marketID string) (entities.MarketData, error) {
defer metrics.StartSQLQuery("MarketData", "GetMarketDataByID")()
md.log.Debug("Retrieving market data from Postgres", logging.String("market-id", marketID))
var marketData entities.MarketData
query := "select * from market_data_snapshot where market = $1"
return marketData, md.wrapE(pgxscan.Get(ctx, md.Connection, &marketData, query, entities.MarketID(marketID)))
}
func (md *MarketData) GetMarketsData(ctx context.Context) ([]entities.MarketData, error) {
md.log.Debug("Retrieving markets data from Postgres")
var marketData []entities.MarketData
query := "select * from market_data_snapshot"
defer metrics.StartSQLQuery("MarketData", "GetMarketsData")()
err := pgxscan.Select(ctx, md.Connection, &marketData, query)
return marketData, err
}
func (md *MarketData) GetBetweenDatesByID(ctx context.Context, marketID string, start, end time.Time, pagination entities.Pagination) ([]entities.MarketData, entities.PageInfo, error) {
if end.Before(start) {
return nil, entities.PageInfo{}, ErrInvalidDateRange
}
switch p := pagination.(type) {
case entities.OffsetPagination:
return md.getBetweenDatesByIDOffset(ctx, marketID, &start, &end, p)
case entities.CursorPagination:
return md.getBetweenDatesByID(ctx, marketID, &start, &end, p)
}
return nil, entities.PageInfo{}, errors.New("invalid pagination")
}
func (md *MarketData) GetFromDateByID(ctx context.Context, marketID string, start time.Time, pagination entities.Pagination) ([]entities.MarketData, entities.PageInfo, error) {
switch p := pagination.(type) {
case entities.OffsetPagination:
return md.getBetweenDatesByIDOffset(ctx, marketID, &start, nil, p)
case entities.CursorPagination:
return md.getBetweenDatesByID(ctx, marketID, &start, nil, p)
}
return nil, entities.PageInfo{}, errors.New("invalid pagination")
}
func (md *MarketData) GetToDateByID(ctx context.Context, marketID string, end time.Time, pagination entities.Pagination) ([]entities.MarketData, entities.PageInfo, error) {
switch p := pagination.(type) {
case entities.OffsetPagination:
return md.getBetweenDatesByIDOffset(ctx, marketID, nil, &end, p)
case entities.CursorPagination:
return md.getBetweenDatesByID(ctx, marketID, nil, &end, p)
}
return nil, entities.PageInfo{}, errors.New("invalid pagination")
}
func (md *MarketData) getBetweenDatesByIDOffset(ctx context.Context, marketID string, start, end *time.Time, pagination entities.OffsetPagination) ([]entities.MarketData, entities.PageInfo, error) {
defer metrics.StartSQLQuery("MarketData", "getBetweenDatesByID")()
market := entities.MarketID(marketID)
selectStatement := `select * from market_data`
var results []entities.MarketData
var err error
if start != nil && end != nil {
query, args := orderAndPaginateQuery(
fmt.Sprintf(`%s where market = $1 and synthetic_time between $2 and $3`, selectStatement),
[]string{"synthetic_time"}, pagination,
market, *start, *end)
err = pgxscan.Select(ctx, md.Connection, &results, query, args...)
} else if start != nil && end == nil {
query, args := orderAndPaginateQuery(fmt.Sprintf(`%s where market = $1 and vega_time >= $2`, selectStatement),
[]string{"synthetic_time"}, pagination,
market, *start)
err = pgxscan.Select(ctx, md.Connection, &results, query, args...)
} else if start == nil && end != nil {
query, args := orderAndPaginateQuery(fmt.Sprintf(`%s where market = $1 and vega_time <= $2`, selectStatement),
[]string{"synthetic_time"}, pagination,
market, *end)
err = pgxscan.Select(ctx, md.Connection, &results, query, args...)
}
return results, entities.PageInfo{}, err
}
func (md *MarketData) getBetweenDatesByID(ctx context.Context, marketID string, start, end *time.Time, pagination entities.CursorPagination) ([]entities.MarketData, entities.PageInfo, error) {
defer metrics.StartSQLQuery("MarketData", "getBetweenDatesByID")()
market := entities.MarketID(marketID)
selectStatement := `select * from market_data`
args := make([]interface{}, 0)
var (
query string
err error
pageInfo entities.PageInfo
)
if start != nil && end != nil {
query = fmt.Sprintf(`%s where market = %s and vega_time between %s and %s`, selectStatement,
nextBindVar(&args, market),
nextBindVar(&args, *start),
nextBindVar(&args, *end),
)
} else if start != nil && end == nil {
query = fmt.Sprintf(`%s where market = %s and vega_time >= %s`, selectStatement,
nextBindVar(&args, market),
nextBindVar(&args, *start))
} else if start == nil && end != nil {
query = fmt.Sprintf(`%s where market = %s and vega_time <= %s`, selectStatement,
nextBindVar(&args, market),
nextBindVar(&args, *end))
}
query, args, err = PaginateQuery[entities.MarketDataCursor](query, args, marketdataOrdering, pagination)
if err != nil {
return nil, pageInfo, err
}
var pagedData []entities.MarketData
if err = pgxscan.Select(ctx, md.Connection, &pagedData, query, args...); err != nil {
return pagedData, pageInfo, err
}
pagedData, pageInfo = entities.PageEntities[*v2.MarketDataEdge](pagedData, pagination)
return pagedData, pageInfo, nil
}