@icgio/icg-exchanges-wrapper 1.17.22 → 1.17.24

package/middleware/orders.js

@@ -97,6 +97,29 @@ const hrtime_diff = (start, end) => {
   return (end[0] - start[0]) * 1e9 + (end[1] - start[1])
 }
 
+const is_finite_number = (value) => value != null && Number.isFinite(Number(value))
+
+const normalize_market_ts = (raw_market_ts) => {
+  if (!raw_market_ts || typeof raw_market_ts !== 'object') {
+    return {}
+  }
+  return {
+    ts_ms_venue_event: is_finite_number(raw_market_ts.ts_ms_venue_event) ? Number(raw_market_ts.ts_ms_venue_event) : null,
+    ts_ms_venue_send: is_finite_number(raw_market_ts.ts_ms_venue_send) ? Number(raw_market_ts.ts_ms_venue_send) : null,
+    ts_ms_local_received: is_finite_number(raw_market_ts.ts_ms_local_received) ? Number(raw_market_ts.ts_ms_local_received) : null,
+  }
+}
+
+const public_decision_context = (decision_context) => {
+  if (!decision_context || typeof decision_context !== 'object') {
+    return null
+  }
+  const public_context = _.cloneDeep(decision_context)
+  delete public_context.hr_rate_root
+  delete public_context.hr_decision
+  return public_context
+}
+
 module.exports = class Orders {
   constructor(exchange_cur_quote_cur_dict, cd, settings) {
     let { exchange_cur_quote_cur, exchange_cur_quote_cur_rates_only, pair_map_rates_only } = exchange_cur_quote_cur_dict
@@ -354,11 +377,9 @@ module.exports = class Orders {
         return
       }
       init_emitted = true
-      const init_decision_context = decision_context ? { ...decision_context } : null
-      const t2t_ns = hrtime_diff(init_decision_context?.t_decision_hr, t_order_sent)
-      if (init_decision_context) {
-        delete init_decision_context.t_decision_hr
-      }
+      const init_decision_context = public_decision_context(decision_context)
+      const du_ns_decision_to_send = hrtime_diff(decision_context?.hr_decision, t_order_sent)
+      const du_ns_rate_to_send = hrtime_diff(decision_context?.hr_rate_root, t_order_sent)
       this.update_order_info(
         exchange,
         pair,
@@ -379,7 +400,8 @@ module.exports = class Orders {
           open_time: Date.now(),
           close_time: null,
           decision_context: init_decision_context,
-          t2t_ns,
+          du_ns_decision_to_send,
+          du_ns_rate_to_send,
           event_hrtime: t_order_sent,
         },
         order_type + ' init',
@@ -427,7 +449,8 @@ module.exports = class Orders {
             f_percentage: 0,
             t_amount: amount,
             close_time: null,
-            order_rtt_ns: hrtime_diff(_.get(res, ['meta', 't_order_sent']), _.get(res, ['meta', 't_ack_recv'])),
+            du_ns_rate_to_ack: hrtime_diff(decision_context?.hr_rate_root, _.get(res, ['meta', 't_ack_recv'])),
+            du_ns_order_rtt: hrtime_diff(_.get(res, ['meta', 't_order_sent']), _.get(res, ['meta', 't_ack_recv'])),
             event_hrtime: _.get(res, ['meta', 't_ack_recv']),
           },
           order_type + ' n-filled',
@@ -454,8 +477,9 @@ module.exports = class Orders {
       }
     })
   }
-  cancel_order(exchange, pair, order) {
+  cancel_order(exchange, pair, order, decision_context = null) {
     let original_status = order.status
+    const cancel_decision_context = public_decision_context(decision_context) || _.cloneDeep(order.decision_context) || null
     this.update_order_info(
       exchange,
       pair,
@@ -463,6 +487,7 @@ module.exports = class Orders {
       order.order_id,
       {
         status: 'CANCELING',
+        decision_context: cancel_decision_context,
       },
       order.order_type + ' canceling',
     )
@@ -480,7 +505,9 @@ module.exports = class Orders {
           {
             status: 'CANCELED',
             close_time: Date.now(),
-            cancel_latency_ns: hrtime_diff(_.get(res, ['meta', 't_cancel_sent']), _.get(res, ['meta', 't_cancel_ack'])),
+            decision_context: cancel_decision_context,
+            du_ns_cancel_latency: hrtime_diff(_.get(res, ['meta', 't_cancel_sent']), _.get(res, ['meta', 't_cancel_ack'])),
+            du_ns_rate_to_cancel_ack: hrtime_diff(decision_context?.hr_rate_root, _.get(res, ['meta', 't_cancel_ack'])),
             event_hrtime: _.get(res, ['meta', 't_cancel_ack']),
           },
           order.order_type + ' canceled',
@@ -1506,10 +1533,29 @@ module.exports = class Orders {
     const throttled_process_rates = _.throttle(process_rates, PROCESS_RATES_THROTTLE_MS, { leading: true, trailing: true })
     let rates_handler = (exchange, pair, res) => {
       if (res.success) {
-        let { asks, bids, _ts } = res.body
+        const hr_rate_root = process.hrtime()
+        const ts_ms_local_rate_root = Date.now()
+        let { asks, bids, market_ts } = res.body
+        const raw_market_ts = market_ts && typeof market_ts === 'object' ? market_ts : null
+        const normalized_market_ts = normalize_market_ts(raw_market_ts)
+        const prev_local_received = _.get(this.rates, [exchange, pair, 'market_ts', 'ts_ms_local_received'])
+        const du_ms_interarrival_local_received =
+          is_finite_number(prev_local_received) && is_finite_number(normalized_market_ts.ts_ms_local_received)
+            ? Number(normalized_market_ts.ts_ms_local_received) - Number(prev_local_received)
+            : null
         asks = asks.slice(0, RATES_LENGTH_MAX)
         bids = bids.slice(0, RATES_LENGTH_MAX)
-        _.set(this.rates, [exchange, pair], { asks, bids, _ts, update_time: new Date() })
+        _.set(this.rates, [exchange, pair], {
+          asks,
+          bids,
+          market_ts: normalized_market_ts,
+          hr_rate_root,
+          hr_recv: Array.isArray(raw_market_ts?.hr_recv) ? raw_market_ts.hr_recv : null,
+          hr_parsed: Array.isArray(raw_market_ts?.hr_parsed) ? raw_market_ts.hr_parsed : null,
+          ts_ms_local_rate_root,
+          du_ms_interarrival_local_received,
+          update_time: new Date(),
+        })
         /*
          * throttle to 20ms
          */

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@icgio/icg-exchanges-wrapper",
-  "version": "1.17.22",
+  "version": "1.17.24",
   "description": "",
   "main": "index.js",
   "scripts": {
@@ -17,7 +17,7 @@
   },
   "homepage": "https://github.com/icgio/icg-exchanges-wrapper#readme",
   "dependencies": {
-    "@icgio/icg-exchanges": "^1.40.45",
+    "@icgio/icg-exchanges": "^1.41.0",
     "@icgio/icg-utils": "^1.9.61",
     "lodash": "^4.17.23",
     "pg": "^8.17.2"