@tradejs/infra 2.0.21 → 3.0.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/{chunk-YVIHTUV5.mjs → chunk-OLB6NQRG.mjs} +1 -1
- package/dist/{chunk-I2J6YDBD.mjs → chunk-ZXU7OYFU.mjs} +65 -38
- package/dist/internal-BuHqoCCV.d.mts +9 -0
- package/dist/internal-q48Torp4.d.ts +9 -0
- package/dist/ml.mjs +3 -3
- package/dist/query-tkHVD4Xo.d.mts +12 -0
- package/dist/query-tkHVD4Xo.d.ts +12 -0
- package/dist/timescale/candles.js +6 -4
- package/dist/timescale/candles.mjs +2 -2
- package/dist/timescale/client.d.mts +3 -2
- package/dist/timescale/client.d.ts +3 -2
- package/dist/timescale/client.js +40 -15
- package/dist/timescale/client.mjs +2 -2
- package/dist/timescale/derivatives.d.mts +4 -2
- package/dist/timescale/derivatives.d.ts +4 -2
- package/dist/timescale/derivatives.js +20 -12
- package/dist/timescale/derivatives.mjs +479 -13
- package/dist/timescale/hyperliquidWhales.d.mts +29 -25
- package/dist/timescale/hyperliquidWhales.d.ts +29 -25
- package/dist/timescale/hyperliquidWhales.js +84 -71
- package/dist/timescale/hyperliquidWhales.mjs +1103 -14
- package/dist/timescale/marketContext.d.mts +15 -11
- package/dist/timescale/marketContext.d.ts +15 -11
- package/dist/timescale/marketContext.js +67 -57
- package/dist/timescale/marketContext.mjs +1259 -28
- package/dist/timescale/spread.js +6 -4
- package/dist/timescale/spread.mjs +105 -5
- package/dist/userSettings.js +3 -316
- package/dist/userSettings.mjs +3 -21
- package/package.json +2 -22
- package/dist/aiEndpoints.d.mts +0 -10
- package/dist/aiEndpoints.d.ts +0 -10
- package/dist/aiEndpoints.js +0 -159
- package/dist/aiEndpoints.mjs +0 -12
- package/dist/aiLanguages.d.mts +0 -11
- package/dist/aiLanguages.d.ts +0 -11
- package/dist/aiLanguages.js +0 -71
- package/dist/aiLanguages.mjs +0 -12
- package/dist/aiModels.d.mts +0 -12
- package/dist/aiModels.d.ts +0 -12
- package/dist/aiModels.js +0 -272
- package/dist/aiModels.mjs +0 -17
- package/dist/chunk-2CZREG43.mjs +0 -112
- package/dist/chunk-CCC7DX2T.mjs +0 -44
- package/dist/chunk-DFMKDB2R.mjs +0 -1285
- package/dist/chunk-DTCLZIBM.mjs +0 -163
- package/dist/chunk-NWXFWTWU.mjs +0 -1114
- package/dist/chunk-SZQB7ER5.mjs +0 -492
- package/dist/chunk-XQ3YBULV.mjs +0 -132
- package/dist/internal-2coHaaos.d.mts +0 -26
- package/dist/internal-2coHaaos.d.ts +0 -26
- package/dist/timescale.d.mts +0 -9
- package/dist/timescale.d.ts +0 -9
- package/dist/timescale.js +0 -4228
- package/dist/timescale.mjs +0 -138
package/dist/timescale.js
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"use strict";
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var __defProp = Object.defineProperty;
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var __getOwnPropDesc = Object.getOwnPropertyDescriptor;
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var __getOwnPropNames = Object.getOwnPropertyNames;
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var __hasOwnProp = Object.prototype.hasOwnProperty;
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}
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return to;
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};
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var __toCommonJS = (mod) => __copyProps(__defProp({}, "__esModule", { value: true }), mod);
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// src/timescale.ts
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var timescale_exports = {};
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__export(timescale_exports, {
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applyDerivativesMetricCoverage: () => applyDerivativesMetricCoverage,
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cleanupDeprecatedMarketContext: () => cleanupDeprecatedMarketContext,
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closeTimescalePool: () => closeTimescalePool,
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configureTimescaleMarketContextSchemaMode: () => configureTimescaleMarketContextSchemaMode,
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deleteCandles: () => deleteCandles,
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ensureBinanceMarketSchema: () => ensureBinanceMarketSchema,
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ensureCoinMarketCapContextSchema: () => ensureCoinMarketCapContextSchema,
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ensureDerivativesSchema: () => ensureDerivativesSchema,
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ensureHyperliquidWhaleSchema: () => ensureHyperliquidWhaleSchema,
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ensureMarketContextSchemas: () => ensureMarketContextSchemas,
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findContinuityGap: () => findContinuityGap,
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getCandlesRange: () => getCandlesRange,
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getDataEdges: () => getDataEdges,
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getDataEdgesForSymbols: () => getDataEdgesForSymbols,
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getDerivativesBackfillCoverage: () => getDerivativesBackfillCoverage,
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getDerivativesDataEdgesForSymbols: () => getDerivativesDataEdgesForSymbols,
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getDerivativesMetricCoverage: () => getDerivativesMetricCoverage,
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getDerivativesRangeForSymbols: () => getDerivativesRangeForSymbols,
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getDerivativesSummary: () => getDerivativesSummary,
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getDerivativesWindow: () => getDerivativesWindow,
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getHyperliquidWhaleCoverageSeriesRows: () => getHyperliquidWhaleCoverageSeriesRows,
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getHyperliquidWhaleFlowAggregate: () => getHyperliquidWhaleFlowAggregate,
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getHyperliquidWhaleFlowSeriesRows: () => getHyperliquidWhaleFlowSeriesRows,
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getHyperliquidWhaleWalletCoverage: () => getHyperliquidWhaleWalletCoverage,
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getLatestMarketBreadth: () => getLatestMarketBreadth,
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getLatestMarketCmcExchangeLiquidityContext: () => getLatestMarketCmcExchangeLiquidityContext,
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getLatestMarketCmcFearGreedContext: () => getLatestMarketCmcFearGreedContext,
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getLatestMarketCmcIndexContexts: () => getLatestMarketCmcIndexContexts,
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getLatestMarketGlobalContext: () => getLatestMarketGlobalContext,
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getLatestMarketReferenceAssetContexts: () => getLatestMarketReferenceAssetContexts,
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getLatestMarketTradeFlow: () => getLatestMarketTradeFlow,
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getMarketBreadthCoverage: () => getMarketBreadthCoverage,
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getMarketCmcExchangeLiquidityContextCoverage: () => getMarketCmcExchangeLiquidityContextCoverage,
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getMarketCmcFearGreedContextCoverage: () => getMarketCmcFearGreedContextCoverage,
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getMarketCmcIndexContextCoverage: () => getMarketCmcIndexContextCoverage,
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getMarketContextBackfillCoverage: () => getMarketContextBackfillCoverage,
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getMarketGlobalContextCoverage: () => getMarketGlobalContextCoverage,
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getMarketReferenceAssetContextCoverage: () => getMarketReferenceAssetContextCoverage,
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getMarketTradeFlowCoverage: () => getMarketTradeFlowCoverage,
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getSpreadRangeForSymbols: () => getSpreadRangeForSymbols,
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getSpreadSummary: () => getSpreadSummary,
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hasHyperliquidWhaleBackfillCoverage: () => hasHyperliquidWhaleBackfillCoverage,
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rebuildHyperliquidWhaleCoverageRows: () => rebuildHyperliquidWhaleCoverageRows,
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rebuildHyperliquidWhaleFlowRows: () => rebuildHyperliquidWhaleFlowRows,
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toRows: () => toRows,
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upsertCandles: () => upsertCandles,
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upsertDerivatives: () => upsertDerivatives,
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upsertDerivativesBackfillCoverage: () => upsertDerivativesBackfillCoverage,
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upsertHyperliquidWhaleCoverageRows: () => upsertHyperliquidWhaleCoverageRows,
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upsertHyperliquidWhaleFlowRows: () => upsertHyperliquidWhaleFlowRows,
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upsertHyperliquidWhaleTradeEvents: () => upsertHyperliquidWhaleTradeEvents,
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upsertHyperliquidWhaleWalletCoverage: () => upsertHyperliquidWhaleWalletCoverage,
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upsertMarketBreadthRows: () => upsertMarketBreadthRows,
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upsertMarketCmcExchangeLiquidityContextRows: () => upsertMarketCmcExchangeLiquidityContextRows,
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upsertMarketCmcFearGreedContextRows: () => upsertMarketCmcFearGreedContextRows,
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upsertMarketCmcIndexContextRows: () => upsertMarketCmcIndexContextRows,
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upsertMarketContextBackfillCoverage: () => upsertMarketContextBackfillCoverage,
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upsertMarketGlobalContextRows: () => upsertMarketGlobalContextRows,
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upsertMarketReferenceAssetContextRows: () => upsertMarketReferenceAssetContextRows,
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upsertMarketTradeFlowRows: () => upsertMarketTradeFlowRows,
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upsertSpreadRows: () => upsertSpreadRows,
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waitForDbReady: () => waitForDbReady
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});
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module.exports = __toCommonJS(timescale_exports);
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// src/timescale/pool.ts
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var import_pg = require("pg");
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var getPool = () => {
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if (!global.__pgPool__) {
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const max = Number(process.env.PG_POOL_MAX ?? 10);
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const connectionTimeoutMillis = Number(
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process.env.PG_CONNECTION_TIMEOUT_MS ?? 3e4
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);
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global.__pgPool__ = new import_pg.Pool({
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host: process.env.PG_HOST || "127.0.0.1",
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port: Number(process.env.PG_PORT ?? 5432),
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user: process.env.PG_USER || "app",
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password: String(process.env.PG_PASSWORD ?? "app"),
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database: process.env.PG_DATABASE || process.env.PG_DB || "app",
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max: Number.isFinite(max) && max > 0 ? Math.floor(max) : 10,
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idleTimeoutMillis: 3e4,
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connectionTimeoutMillis: Number.isFinite(connectionTimeoutMillis) && connectionTimeoutMillis > 0 ? Math.floor(connectionTimeoutMillis) : 3e4
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});
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}
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return global.__pgPool__;
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};
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var closePool = async () => {
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const pool = global.__pgPool__;
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if (!pool) return;
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global.__pgPool__ = void 0;
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await pool.end();
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};
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// src/timescale/query.ts
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return Math.floor(Number(override));
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}
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const configured = Number(process.env.MARKET_CONTEXT_SQL_TIMEOUT_MS);
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return Number.isFinite(configured) && configured > 0 ? Math.floor(configured) : 3e4;
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};
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error.name = name;
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return error;
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};
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var queryMarketContext = async (text, values, options = {}) => {
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const client = await getPool().connect();
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const timeoutMs = resolveQueryTimeoutMs(options.timeoutMs);
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const release = (error) => {
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client.release(error);
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};
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});
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const cancel = (error) => {
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release(error);
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rejectCancellation?.(error);
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};
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const onAbort = () => cancel(
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createQueryError("AbortError", "Timescale market-context query aborted")
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createQueryError(
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`Timescale market-context query exceeded ${timeoutMs}ms`
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),
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timeoutMs
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try {
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const error = createQueryError(
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"Timescale market-context query aborted"
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);
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release(error);
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throw error;
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}
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return await Promise.race([client.query(text, values), cancellation]);
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} finally {
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options.signal?.removeEventListener("abort", onAbort);
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release();
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}
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};
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// src/timescale/values.ts
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var normalizeCandleProvider = (provider) => String(provider || "").trim().toLowerCase();
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var normalizeCandleSymbol = (symbol) => String(symbol || "").trim().toUpperCase();
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var getSafeBulkInsertRows = (columnsCount) => Math.max(1, Math.floor(PG_SAFE_MAX_BIND_PARAMS / columnsCount));
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var toMarketFeatureAge = (rowTs, atMs) => {
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const ageMs = atMs - rowTs.getTime();
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};
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// src/timescale/internal.ts
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var candlesSchemaReady = false;
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var derivativesSchemaReady = false;
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var spreadSchemaReady = false;
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var binanceMarketSchemaReady = false;
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var hyperliquidWhaleSchemaReady = false;
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var candlesSchemaReadyPromise = null;
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var derivativesSchemaReadyPromise = null;
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var spreadSchemaReadyPromise = null;
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var binanceMarketSchemaReadyPromise = null;
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var hyperliquidWhaleSchemaReadyPromise = null;
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var marketContextSchemaMode = "ensure";
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var verifiedMarketContextSchemas = /* @__PURE__ */ new Set();
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var configureTimescaleMarketContextSchemaMode = (mode) => {
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marketContextSchemaMode = mode;
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verifiedMarketContextSchemas.clear();
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};
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var closeTimescalePool = async () => {
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candlesSchemaReady = false;
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derivativesSchemaReady = false;
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spreadSchemaReady = false;
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binanceMarketSchemaReady = false;
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hyperliquidWhaleSchemaReady = false;
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candlesSchemaReadyPromise = null;
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derivativesSchemaReadyPromise = null;
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spreadSchemaReadyPromise = null;
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binanceMarketSchemaReadyPromise = null;
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hyperliquidWhaleSchemaReadyPromise = null;
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verifiedMarketContextSchemas.clear();
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await closePool();
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};
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var CANDLES_SCHEMA_LOCK_KEY = 61e4;
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var DERIVATIVES_SCHEMA_LOCK_KEY = 610001;
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var SPREAD_SCHEMA_LOCK_KEY = 610002;
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var BINANCE_MARKET_SCHEMA_LOCK_KEY = 610003;
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var HYPERLIQUID_WHALE_SCHEMA_LOCK_KEY = 610004;
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var withSchemaLock = async (lockKey, work) => {
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const pool = getPool();
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await pool.query("SELECT pg_advisory_lock($1)", [lockKey]);
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try {
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await work();
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} finally {
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await pool.query("SELECT pg_advisory_unlock($1)", [lockKey]);
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}
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};
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var ensureCandlesSchema = async () => {
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if (candlesSchemaReady) return;
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if (candlesSchemaReadyPromise) {
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await candlesSchemaReadyPromise;
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return;
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}
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candlesSchemaReadyPromise = withSchemaLock(
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CANDLES_SCHEMA_LOCK_KEY,
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async () => {
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const pool = getPool();
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await pool.query("CREATE EXTENSION IF NOT EXISTS timescaledb");
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await pool.query(`
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CREATE TABLE IF NOT EXISTS candles (
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provider text NOT NULL DEFAULT 'bybit',
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symbol text NOT NULL,
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247
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-
interval integer NOT NULL,
|
|
248
|
-
ts timestamptz NOT NULL,
|
|
249
|
-
open double precision NOT NULL,
|
|
250
|
-
high double precision NOT NULL,
|
|
251
|
-
low double precision NOT NULL,
|
|
252
|
-
close double precision NOT NULL,
|
|
253
|
-
volume double precision,
|
|
254
|
-
turnover double precision,
|
|
255
|
-
taker_buy_base_volume double precision,
|
|
256
|
-
taker_buy_quote_volume double precision,
|
|
257
|
-
taker_sell_base_volume double precision,
|
|
258
|
-
taker_sell_quote_volume double precision,
|
|
259
|
-
PRIMARY KEY (provider, symbol, interval, ts)
|
|
260
|
-
)
|
|
261
|
-
`);
|
|
262
|
-
await pool.query(`
|
|
263
|
-
SELECT create_hypertable(
|
|
264
|
-
'candles',
|
|
265
|
-
'ts',
|
|
266
|
-
if_not_exists => TRUE,
|
|
267
|
-
chunk_time_interval => interval '7 days'
|
|
268
|
-
)
|
|
269
|
-
`);
|
|
270
|
-
await pool.query(`
|
|
271
|
-
CREATE INDEX IF NOT EXISTS candles_provider_symbol_interval_ts_idx
|
|
272
|
-
ON candles (provider, symbol, interval, ts DESC)
|
|
273
|
-
`);
|
|
274
|
-
await pool.query(`
|
|
275
|
-
ALTER TABLE candles
|
|
276
|
-
ADD COLUMN IF NOT EXISTS taker_buy_base_volume double precision,
|
|
277
|
-
ADD COLUMN IF NOT EXISTS taker_buy_quote_volume double precision,
|
|
278
|
-
ADD COLUMN IF NOT EXISTS taker_sell_base_volume double precision,
|
|
279
|
-
ADD COLUMN IF NOT EXISTS taker_sell_quote_volume double precision
|
|
280
|
-
`);
|
|
281
|
-
candlesSchemaReady = true;
|
|
282
|
-
}
|
|
283
|
-
).finally(() => {
|
|
284
|
-
candlesSchemaReadyPromise = null;
|
|
285
|
-
});
|
|
286
|
-
await candlesSchemaReadyPromise;
|
|
287
|
-
};
|
|
288
|
-
var ensureDerivativesSchema = async () => {
|
|
289
|
-
if (derivativesSchemaReady) return;
|
|
290
|
-
if (derivativesSchemaReadyPromise) {
|
|
291
|
-
await derivativesSchemaReadyPromise;
|
|
292
|
-
return;
|
|
293
|
-
}
|
|
294
|
-
const pool = getPool();
|
|
295
|
-
derivativesSchemaReadyPromise = withSchemaLock(
|
|
296
|
-
DERIVATIVES_SCHEMA_LOCK_KEY,
|
|
297
|
-
async () => {
|
|
298
|
-
if (derivativesSchemaReady) return;
|
|
299
|
-
await pool.query("CREATE EXTENSION IF NOT EXISTS timescaledb");
|
|
300
|
-
await pool.query(`
|
|
301
|
-
CREATE TABLE IF NOT EXISTS derivatives_market (
|
|
302
|
-
symbol text NOT NULL,
|
|
303
|
-
interval text NOT NULL,
|
|
304
|
-
ts timestamptz NOT NULL,
|
|
305
|
-
open_interest double precision,
|
|
306
|
-
funding_rate double precision,
|
|
307
|
-
liq_long double precision,
|
|
308
|
-
liq_short double precision,
|
|
309
|
-
liq_total double precision,
|
|
310
|
-
source text,
|
|
311
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
312
|
-
PRIMARY KEY (symbol, interval, ts)
|
|
313
|
-
)
|
|
314
|
-
`);
|
|
315
|
-
await pool.query(`
|
|
316
|
-
SELECT create_hypertable(
|
|
317
|
-
'derivatives_market',
|
|
318
|
-
'ts',
|
|
319
|
-
if_not_exists => TRUE,
|
|
320
|
-
chunk_time_interval => interval '14 days'
|
|
321
|
-
)
|
|
322
|
-
`);
|
|
323
|
-
await pool.query(`
|
|
324
|
-
CREATE INDEX IF NOT EXISTS derivatives_market_symbol_tf_ts_idx
|
|
325
|
-
ON derivatives_market (symbol, interval, ts DESC)
|
|
326
|
-
`);
|
|
327
|
-
await pool.query(`
|
|
328
|
-
CREATE TABLE IF NOT EXISTS derivatives_backfill_coverage (
|
|
329
|
-
source text NOT NULL,
|
|
330
|
-
symbol text NOT NULL,
|
|
331
|
-
interval text NOT NULL,
|
|
332
|
-
from_ts timestamptz NOT NULL,
|
|
333
|
-
to_ts timestamptz NOT NULL,
|
|
334
|
-
rows_count integer NOT NULL DEFAULT 0,
|
|
335
|
-
checked_at timestamptz NOT NULL DEFAULT now(),
|
|
336
|
-
PRIMARY KEY (source, symbol, interval, from_ts, to_ts)
|
|
337
|
-
)
|
|
338
|
-
`);
|
|
339
|
-
await pool.query(`
|
|
340
|
-
CREATE INDEX IF NOT EXISTS derivatives_backfill_coverage_lookup_idx
|
|
341
|
-
ON derivatives_backfill_coverage (source, symbol, interval, from_ts, to_ts)
|
|
342
|
-
`);
|
|
343
|
-
await pool.query(`
|
|
344
|
-
CREATE TABLE IF NOT EXISTS derivatives_metric_coverage (
|
|
345
|
-
source text NOT NULL,
|
|
346
|
-
metric text NOT NULL,
|
|
347
|
-
symbol text NOT NULL,
|
|
348
|
-
interval text NOT NULL,
|
|
349
|
-
from_ts timestamptz NOT NULL,
|
|
350
|
-
to_ts timestamptz NOT NULL,
|
|
351
|
-
event_rows_count integer NOT NULL DEFAULT 0,
|
|
352
|
-
zero_rows_count integer NOT NULL DEFAULT 0,
|
|
353
|
-
checked_at timestamptz NOT NULL DEFAULT now(),
|
|
354
|
-
PRIMARY KEY (source, metric, symbol, interval, from_ts, to_ts)
|
|
355
|
-
)
|
|
356
|
-
`);
|
|
357
|
-
await pool.query(`
|
|
358
|
-
CREATE INDEX IF NOT EXISTS derivatives_metric_coverage_lookup_idx
|
|
359
|
-
ON derivatives_metric_coverage (
|
|
360
|
-
source,
|
|
361
|
-
metric,
|
|
362
|
-
symbol,
|
|
363
|
-
interval,
|
|
364
|
-
from_ts,
|
|
365
|
-
to_ts
|
|
366
|
-
)
|
|
367
|
-
`);
|
|
368
|
-
derivativesSchemaReady = true;
|
|
369
|
-
}
|
|
370
|
-
).finally(() => {
|
|
371
|
-
derivativesSchemaReadyPromise = null;
|
|
372
|
-
});
|
|
373
|
-
await derivativesSchemaReadyPromise;
|
|
374
|
-
};
|
|
375
|
-
var ensureSpreadSchema = async () => {
|
|
376
|
-
if (spreadSchemaReady) return;
|
|
377
|
-
if (spreadSchemaReadyPromise) {
|
|
378
|
-
await spreadSchemaReadyPromise;
|
|
379
|
-
return;
|
|
380
|
-
}
|
|
381
|
-
const pool = getPool();
|
|
382
|
-
spreadSchemaReadyPromise = withSchemaLock(
|
|
383
|
-
SPREAD_SCHEMA_LOCK_KEY,
|
|
384
|
-
async () => {
|
|
385
|
-
if (spreadSchemaReady) return;
|
|
386
|
-
await pool.query("CREATE EXTENSION IF NOT EXISTS timescaledb");
|
|
387
|
-
await pool.query(`
|
|
388
|
-
CREATE TABLE IF NOT EXISTS market_spread (
|
|
389
|
-
symbol text NOT NULL,
|
|
390
|
-
interval text NOT NULL,
|
|
391
|
-
ts timestamptz NOT NULL,
|
|
392
|
-
binance_price double precision,
|
|
393
|
-
coinbase_price double precision,
|
|
394
|
-
spread double precision,
|
|
395
|
-
source text,
|
|
396
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
397
|
-
PRIMARY KEY (symbol, interval, ts)
|
|
398
|
-
)
|
|
399
|
-
`);
|
|
400
|
-
await pool.query(`
|
|
401
|
-
SELECT create_hypertable(
|
|
402
|
-
'market_spread',
|
|
403
|
-
'ts',
|
|
404
|
-
if_not_exists => TRUE,
|
|
405
|
-
chunk_time_interval => interval '14 days'
|
|
406
|
-
)
|
|
407
|
-
`);
|
|
408
|
-
await pool.query(`
|
|
409
|
-
CREATE INDEX IF NOT EXISTS market_spread_symbol_tf_ts_idx
|
|
410
|
-
ON market_spread (symbol, interval, ts DESC)
|
|
411
|
-
`);
|
|
412
|
-
spreadSchemaReady = true;
|
|
413
|
-
}
|
|
414
|
-
).finally(() => {
|
|
415
|
-
spreadSchemaReadyPromise = null;
|
|
416
|
-
});
|
|
417
|
-
await spreadSchemaReadyPromise;
|
|
418
|
-
};
|
|
419
|
-
var ensureBinanceMarketSchema = async () => {
|
|
420
|
-
if (binanceMarketSchemaReady) return;
|
|
421
|
-
if (binanceMarketSchemaReadyPromise) {
|
|
422
|
-
await binanceMarketSchemaReadyPromise;
|
|
423
|
-
return;
|
|
424
|
-
}
|
|
425
|
-
const pool = getPool();
|
|
426
|
-
binanceMarketSchemaReadyPromise = withSchemaLock(
|
|
427
|
-
BINANCE_MARKET_SCHEMA_LOCK_KEY,
|
|
428
|
-
async () => {
|
|
429
|
-
if (binanceMarketSchemaReady) return;
|
|
430
|
-
await pool.query("CREATE EXTENSION IF NOT EXISTS timescaledb");
|
|
431
|
-
await pool.query(`
|
|
432
|
-
CREATE TABLE IF NOT EXISTS market_trade_flow (
|
|
433
|
-
symbol text NOT NULL,
|
|
434
|
-
interval text NOT NULL,
|
|
435
|
-
ts timestamptz NOT NULL,
|
|
436
|
-
trades integer NOT NULL,
|
|
437
|
-
buy_base_volume double precision,
|
|
438
|
-
sell_base_volume double precision,
|
|
439
|
-
buy_quote_volume double precision,
|
|
440
|
-
sell_quote_volume double precision,
|
|
441
|
-
net_base_delta double precision,
|
|
442
|
-
net_quote_delta double precision,
|
|
443
|
-
buy_pressure_pct double precision,
|
|
444
|
-
source text,
|
|
445
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
446
|
-
PRIMARY KEY (symbol, interval, ts)
|
|
447
|
-
)
|
|
448
|
-
`);
|
|
449
|
-
await pool.query(`
|
|
450
|
-
SELECT create_hypertable(
|
|
451
|
-
'market_trade_flow',
|
|
452
|
-
'ts',
|
|
453
|
-
if_not_exists => TRUE,
|
|
454
|
-
chunk_time_interval => interval '7 days'
|
|
455
|
-
)
|
|
456
|
-
`);
|
|
457
|
-
await pool.query(`
|
|
458
|
-
CREATE INDEX IF NOT EXISTS market_trade_flow_symbol_tf_ts_idx
|
|
459
|
-
ON market_trade_flow (symbol, interval, ts DESC)
|
|
460
|
-
`);
|
|
461
|
-
await pool.query(`
|
|
462
|
-
CREATE TABLE IF NOT EXISTS market_breadth (
|
|
463
|
-
universe text NOT NULL,
|
|
464
|
-
interval text NOT NULL,
|
|
465
|
-
ts timestamptz NOT NULL,
|
|
466
|
-
symbols_count integer NOT NULL,
|
|
467
|
-
advancers integer NOT NULL,
|
|
468
|
-
decliners integer NOT NULL,
|
|
469
|
-
unchanged integer NOT NULL,
|
|
470
|
-
advance_decline_ratio double precision,
|
|
471
|
-
pct_above_ma20 double precision,
|
|
472
|
-
pct_above_ma50 double precision,
|
|
473
|
-
equal_weighted_return double precision,
|
|
474
|
-
volume_weighted_return double precision,
|
|
475
|
-
dispersion double precision,
|
|
476
|
-
btc_return_1h double precision,
|
|
477
|
-
btc_return_4h double precision,
|
|
478
|
-
btc_return_24h double precision,
|
|
479
|
-
alt_basket_return_1h double precision,
|
|
480
|
-
alt_basket_return_4h double precision,
|
|
481
|
-
alt_basket_return_24h double precision,
|
|
482
|
-
btc_vs_alt_return_1h double precision,
|
|
483
|
-
btc_vs_alt_return_4h double precision,
|
|
484
|
-
btc_vs_alt_return_24h double precision,
|
|
485
|
-
btc_turnover_share_1h double precision,
|
|
486
|
-
btc_turnover_share_24h double precision,
|
|
487
|
-
btc_turnover_share_change_24h double precision,
|
|
488
|
-
alt_vol_to_btc_vol_24h double precision,
|
|
489
|
-
alt_dispersion_24h double precision,
|
|
490
|
-
btc_alt_regime text,
|
|
491
|
-
source text,
|
|
492
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
493
|
-
PRIMARY KEY (universe, interval, ts)
|
|
494
|
-
)
|
|
495
|
-
`);
|
|
496
|
-
await pool.query(`
|
|
497
|
-
ALTER TABLE market_breadth
|
|
498
|
-
ADD COLUMN IF NOT EXISTS btc_return_1h double precision,
|
|
499
|
-
ADD COLUMN IF NOT EXISTS btc_return_4h double precision,
|
|
500
|
-
ADD COLUMN IF NOT EXISTS btc_return_24h double precision,
|
|
501
|
-
ADD COLUMN IF NOT EXISTS alt_basket_return_1h double precision,
|
|
502
|
-
ADD COLUMN IF NOT EXISTS alt_basket_return_4h double precision,
|
|
503
|
-
ADD COLUMN IF NOT EXISTS alt_basket_return_24h double precision,
|
|
504
|
-
ADD COLUMN IF NOT EXISTS btc_vs_alt_return_1h double precision,
|
|
505
|
-
ADD COLUMN IF NOT EXISTS btc_vs_alt_return_4h double precision,
|
|
506
|
-
ADD COLUMN IF NOT EXISTS btc_vs_alt_return_24h double precision,
|
|
507
|
-
ADD COLUMN IF NOT EXISTS btc_turnover_share_1h double precision,
|
|
508
|
-
ADD COLUMN IF NOT EXISTS btc_turnover_share_24h double precision,
|
|
509
|
-
ADD COLUMN IF NOT EXISTS btc_turnover_share_change_24h double precision,
|
|
510
|
-
ADD COLUMN IF NOT EXISTS alt_vol_to_btc_vol_24h double precision,
|
|
511
|
-
ADD COLUMN IF NOT EXISTS alt_dispersion_24h double precision,
|
|
512
|
-
ADD COLUMN IF NOT EXISTS btc_alt_regime text
|
|
513
|
-
`);
|
|
514
|
-
await pool.query(`
|
|
515
|
-
SELECT create_hypertable(
|
|
516
|
-
'market_breadth',
|
|
517
|
-
'ts',
|
|
518
|
-
if_not_exists => TRUE,
|
|
519
|
-
chunk_time_interval => interval '14 days'
|
|
520
|
-
)
|
|
521
|
-
`);
|
|
522
|
-
await pool.query(`
|
|
523
|
-
CREATE INDEX IF NOT EXISTS market_breadth_universe_tf_ts_idx
|
|
524
|
-
ON market_breadth (universe, interval, ts DESC)
|
|
525
|
-
`);
|
|
526
|
-
await pool.query(`
|
|
527
|
-
CREATE TABLE IF NOT EXISTS market_global_context (
|
|
528
|
-
source text NOT NULL,
|
|
529
|
-
ts timestamptz NOT NULL,
|
|
530
|
-
updated_at_ts timestamptz,
|
|
531
|
-
active_cryptocurrencies integer,
|
|
532
|
-
active_exchanges integer,
|
|
533
|
-
active_market_pairs integer,
|
|
534
|
-
markets integer,
|
|
535
|
-
total_market_cap_usd double precision,
|
|
536
|
-
total_volume_usd double precision,
|
|
537
|
-
total_volume_reported_usd double precision,
|
|
538
|
-
btc_dominance_pct double precision,
|
|
539
|
-
eth_dominance_pct double precision,
|
|
540
|
-
alt_market_cap_usd double precision,
|
|
541
|
-
alt_volume_usd double precision,
|
|
542
|
-
alt_volume_reported_usd double precision,
|
|
543
|
-
btc_to_alt_market_cap_ratio double precision,
|
|
544
|
-
market_cap_change_pct_24h_usd double precision,
|
|
545
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
546
|
-
PRIMARY KEY (source, ts)
|
|
547
|
-
)
|
|
548
|
-
`);
|
|
549
|
-
await pool.query(`
|
|
550
|
-
SELECT create_hypertable(
|
|
551
|
-
'market_global_context',
|
|
552
|
-
'ts',
|
|
553
|
-
if_not_exists => TRUE,
|
|
554
|
-
chunk_time_interval => interval '30 days'
|
|
555
|
-
)
|
|
556
|
-
`);
|
|
557
|
-
await pool.query(`
|
|
558
|
-
CREATE INDEX IF NOT EXISTS market_global_context_source_ts_idx
|
|
559
|
-
ON market_global_context (source, ts DESC)
|
|
560
|
-
`);
|
|
561
|
-
await pool.query(`
|
|
562
|
-
ALTER TABLE market_global_context
|
|
563
|
-
ADD COLUMN IF NOT EXISTS active_exchanges integer,
|
|
564
|
-
ADD COLUMN IF NOT EXISTS active_market_pairs integer,
|
|
565
|
-
ADD COLUMN IF NOT EXISTS total_volume_reported_usd double precision,
|
|
566
|
-
ADD COLUMN IF NOT EXISTS alt_volume_usd double precision,
|
|
567
|
-
ADD COLUMN IF NOT EXISTS alt_volume_reported_usd double precision
|
|
568
|
-
`);
|
|
569
|
-
await pool.query(`
|
|
570
|
-
CREATE TABLE IF NOT EXISTS market_reference_asset_context (
|
|
571
|
-
source text NOT NULL,
|
|
572
|
-
symbol text NOT NULL,
|
|
573
|
-
cmc_id integer NOT NULL,
|
|
574
|
-
interval text NOT NULL,
|
|
575
|
-
ts timestamptz NOT NULL,
|
|
576
|
-
open_usd double precision,
|
|
577
|
-
high_usd double precision,
|
|
578
|
-
low_usd double precision,
|
|
579
|
-
close_usd double precision,
|
|
580
|
-
volume_usd double precision,
|
|
581
|
-
market_cap_usd double precision,
|
|
582
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
583
|
-
PRIMARY KEY (source, symbol, interval, ts)
|
|
584
|
-
)
|
|
585
|
-
`);
|
|
586
|
-
await pool.query(`
|
|
587
|
-
SELECT create_hypertable(
|
|
588
|
-
'market_reference_asset_context',
|
|
589
|
-
'ts',
|
|
590
|
-
if_not_exists => TRUE,
|
|
591
|
-
chunk_time_interval => interval '30 days'
|
|
592
|
-
)
|
|
593
|
-
`);
|
|
594
|
-
await pool.query(`
|
|
595
|
-
CREATE INDEX IF NOT EXISTS market_reference_asset_context_lookup_idx
|
|
596
|
-
ON market_reference_asset_context (source, symbol, interval, ts DESC)
|
|
597
|
-
`);
|
|
598
|
-
await pool.query(`
|
|
599
|
-
CREATE TABLE IF NOT EXISTS market_cmc_exchange_liquidity_context (
|
|
600
|
-
source text NOT NULL,
|
|
601
|
-
interval text NOT NULL,
|
|
602
|
-
ts timestamptz NOT NULL,
|
|
603
|
-
exchanges_count integer NOT NULL,
|
|
604
|
-
total_volume_usd double precision,
|
|
605
|
-
binance_volume_usd double precision,
|
|
606
|
-
binance_volume_share double precision,
|
|
607
|
-
top_exchange_volume_share double precision,
|
|
608
|
-
liquidity_regime text,
|
|
609
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
610
|
-
PRIMARY KEY (source, interval, ts)
|
|
611
|
-
)
|
|
612
|
-
`);
|
|
613
|
-
await pool.query(`
|
|
614
|
-
SELECT create_hypertable(
|
|
615
|
-
'market_cmc_exchange_liquidity_context',
|
|
616
|
-
'ts',
|
|
617
|
-
if_not_exists => TRUE,
|
|
618
|
-
chunk_time_interval => interval '30 days'
|
|
619
|
-
)
|
|
620
|
-
`);
|
|
621
|
-
await pool.query(`
|
|
622
|
-
CREATE INDEX IF NOT EXISTS market_cmc_exchange_liquidity_context_lookup_idx
|
|
623
|
-
ON market_cmc_exchange_liquidity_context (source, interval, ts DESC)
|
|
624
|
-
`);
|
|
625
|
-
await pool.query(`
|
|
626
|
-
CREATE TABLE IF NOT EXISTS market_cmc_fear_greed_context (
|
|
627
|
-
source text NOT NULL,
|
|
628
|
-
interval text NOT NULL,
|
|
629
|
-
ts timestamptz NOT NULL,
|
|
630
|
-
value integer NOT NULL,
|
|
631
|
-
classification text NOT NULL,
|
|
632
|
-
sentiment_regime text NOT NULL,
|
|
633
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
634
|
-
PRIMARY KEY (source, interval, ts)
|
|
635
|
-
)
|
|
636
|
-
`);
|
|
637
|
-
await pool.query(`
|
|
638
|
-
SELECT create_hypertable(
|
|
639
|
-
'market_cmc_fear_greed_context',
|
|
640
|
-
'ts',
|
|
641
|
-
if_not_exists => TRUE,
|
|
642
|
-
chunk_time_interval => interval '30 days'
|
|
643
|
-
)
|
|
644
|
-
`);
|
|
645
|
-
await pool.query(`
|
|
646
|
-
CREATE INDEX IF NOT EXISTS market_cmc_fear_greed_context_lookup_idx
|
|
647
|
-
ON market_cmc_fear_greed_context (source, interval, ts DESC)
|
|
648
|
-
`);
|
|
649
|
-
await pool.query(`
|
|
650
|
-
CREATE TABLE IF NOT EXISTS market_cmc_index_context (
|
|
651
|
-
source text NOT NULL,
|
|
652
|
-
index_slug text NOT NULL,
|
|
653
|
-
interval text NOT NULL,
|
|
654
|
-
ts timestamptz NOT NULL,
|
|
655
|
-
value double precision NOT NULL,
|
|
656
|
-
constituents_count integer,
|
|
657
|
-
top_constituent_symbol text,
|
|
658
|
-
top_constituent_weight_pct double precision,
|
|
659
|
-
constituents jsonb,
|
|
660
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
661
|
-
PRIMARY KEY (source, index_slug, interval, ts)
|
|
662
|
-
)
|
|
663
|
-
`);
|
|
664
|
-
await pool.query(`
|
|
665
|
-
SELECT create_hypertable(
|
|
666
|
-
'market_cmc_index_context',
|
|
667
|
-
'ts',
|
|
668
|
-
if_not_exists => TRUE,
|
|
669
|
-
chunk_time_interval => interval '30 days'
|
|
670
|
-
)
|
|
671
|
-
`);
|
|
672
|
-
await pool.query(`
|
|
673
|
-
CREATE INDEX IF NOT EXISTS market_cmc_index_context_lookup_idx
|
|
674
|
-
ON market_cmc_index_context (source, index_slug, interval, ts DESC)
|
|
675
|
-
`);
|
|
676
|
-
await pool.query(`
|
|
677
|
-
CREATE TABLE IF NOT EXISTS market_context_backfill_coverage (
|
|
678
|
-
source text NOT NULL,
|
|
679
|
-
scope text NOT NULL,
|
|
680
|
-
interval text NOT NULL,
|
|
681
|
-
from_ts timestamptz NOT NULL,
|
|
682
|
-
to_ts timestamptz NOT NULL,
|
|
683
|
-
rows_count integer NOT NULL DEFAULT 0,
|
|
684
|
-
checked_at timestamptz NOT NULL DEFAULT now(),
|
|
685
|
-
PRIMARY KEY (source, scope, interval, from_ts, to_ts)
|
|
686
|
-
)
|
|
687
|
-
`);
|
|
688
|
-
await pool.query(`
|
|
689
|
-
CREATE INDEX IF NOT EXISTS market_context_backfill_coverage_lookup_idx
|
|
690
|
-
ON market_context_backfill_coverage (source, scope, interval, from_ts, to_ts)
|
|
691
|
-
`);
|
|
692
|
-
binanceMarketSchemaReady = true;
|
|
693
|
-
}
|
|
694
|
-
).finally(() => {
|
|
695
|
-
binanceMarketSchemaReadyPromise = null;
|
|
696
|
-
});
|
|
697
|
-
await binanceMarketSchemaReadyPromise;
|
|
698
|
-
};
|
|
699
|
-
var ensureHyperliquidWhaleSchema = async () => {
|
|
700
|
-
if (hyperliquidWhaleSchemaReady) return;
|
|
701
|
-
if (hyperliquidWhaleSchemaReadyPromise) {
|
|
702
|
-
await hyperliquidWhaleSchemaReadyPromise;
|
|
703
|
-
return;
|
|
704
|
-
}
|
|
705
|
-
hyperliquidWhaleSchemaReadyPromise = withSchemaLock(
|
|
706
|
-
HYPERLIQUID_WHALE_SCHEMA_LOCK_KEY,
|
|
707
|
-
async () => {
|
|
708
|
-
if (hyperliquidWhaleSchemaReady) return;
|
|
709
|
-
const pool = getPool();
|
|
710
|
-
await pool.query("CREATE EXTENSION IF NOT EXISTS timescaledb");
|
|
711
|
-
await pool.query(`
|
|
712
|
-
CREATE TABLE IF NOT EXISTS hyperliquid_whale_trade_events (
|
|
713
|
-
symbol text NOT NULL,
|
|
714
|
-
ts timestamptz NOT NULL,
|
|
715
|
-
tid text NOT NULL,
|
|
716
|
-
price double precision NOT NULL,
|
|
717
|
-
size double precision NOT NULL,
|
|
718
|
-
notional_usd double precision NOT NULL,
|
|
719
|
-
buyer_address text,
|
|
720
|
-
seller_address text,
|
|
721
|
-
buyer_tracked boolean NOT NULL,
|
|
722
|
-
seller_tracked boolean NOT NULL,
|
|
723
|
-
buyer_start_position double precision,
|
|
724
|
-
buyer_end_position double precision,
|
|
725
|
-
buyer_position_action text,
|
|
726
|
-
buyer_closed_pnl double precision,
|
|
727
|
-
buyer_liquidation boolean,
|
|
728
|
-
seller_start_position double precision,
|
|
729
|
-
seller_end_position double precision,
|
|
730
|
-
seller_position_action text,
|
|
731
|
-
seller_closed_pnl double precision,
|
|
732
|
-
seller_liquidation boolean,
|
|
733
|
-
universe_fingerprint text NOT NULL,
|
|
734
|
-
whale_registry_fingerprint text NOT NULL,
|
|
735
|
-
source text,
|
|
736
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
737
|
-
PRIMARY KEY (
|
|
738
|
-
universe_fingerprint,
|
|
739
|
-
whale_registry_fingerprint,
|
|
740
|
-
symbol,
|
|
741
|
-
ts,
|
|
742
|
-
tid
|
|
743
|
-
)
|
|
744
|
-
)
|
|
745
|
-
`);
|
|
746
|
-
await pool.query(`
|
|
747
|
-
ALTER TABLE hyperliquid_whale_trade_events
|
|
748
|
-
ADD COLUMN IF NOT EXISTS buyer_start_position double precision,
|
|
749
|
-
ADD COLUMN IF NOT EXISTS buyer_end_position double precision,
|
|
750
|
-
ADD COLUMN IF NOT EXISTS buyer_position_action text,
|
|
751
|
-
ADD COLUMN IF NOT EXISTS buyer_closed_pnl double precision,
|
|
752
|
-
ADD COLUMN IF NOT EXISTS buyer_liquidation boolean,
|
|
753
|
-
ADD COLUMN IF NOT EXISTS seller_start_position double precision,
|
|
754
|
-
ADD COLUMN IF NOT EXISTS seller_end_position double precision,
|
|
755
|
-
ADD COLUMN IF NOT EXISTS seller_position_action text,
|
|
756
|
-
ADD COLUMN IF NOT EXISTS seller_closed_pnl double precision,
|
|
757
|
-
ADD COLUMN IF NOT EXISTS seller_liquidation boolean
|
|
758
|
-
`);
|
|
759
|
-
await pool.query(`
|
|
760
|
-
SELECT create_hypertable(
|
|
761
|
-
'hyperliquid_whale_trade_events',
|
|
762
|
-
'ts',
|
|
763
|
-
if_not_exists => TRUE,
|
|
764
|
-
chunk_time_interval => interval '1 day'
|
|
765
|
-
)
|
|
766
|
-
`);
|
|
767
|
-
await pool.query(`
|
|
768
|
-
CREATE INDEX IF NOT EXISTS hyperliquid_whale_events_lookup_idx
|
|
769
|
-
ON hyperliquid_whale_trade_events (
|
|
770
|
-
universe_fingerprint,
|
|
771
|
-
whale_registry_fingerprint,
|
|
772
|
-
symbol,
|
|
773
|
-
ts DESC
|
|
774
|
-
)
|
|
775
|
-
`);
|
|
776
|
-
await pool.query(`
|
|
777
|
-
CREATE TABLE IF NOT EXISTS hyperliquid_whale_flow (
|
|
778
|
-
symbol text NOT NULL,
|
|
779
|
-
interval text NOT NULL,
|
|
780
|
-
ts timestamptz NOT NULL,
|
|
781
|
-
trades integer NOT NULL,
|
|
782
|
-
whale_sides integer NOT NULL,
|
|
783
|
-
unique_whales integer NOT NULL,
|
|
784
|
-
whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
785
|
-
buy_notional_usd double precision NOT NULL,
|
|
786
|
-
sell_notional_usd double precision NOT NULL,
|
|
787
|
-
net_notional_usd double precision NOT NULL,
|
|
788
|
-
buy_share_pct double precision,
|
|
789
|
-
position_aware_whale_sides integer NOT NULL DEFAULT 0,
|
|
790
|
-
long_entry_whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
791
|
-
short_entry_whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
792
|
-
long_exit_whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
793
|
-
short_exit_whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
794
|
-
long_entry_notional_usd double precision NOT NULL DEFAULT 0,
|
|
795
|
-
short_entry_notional_usd double precision NOT NULL DEFAULT 0,
|
|
796
|
-
long_exit_notional_usd double precision NOT NULL DEFAULT 0,
|
|
797
|
-
short_exit_notional_usd double precision NOT NULL DEFAULT 0,
|
|
798
|
-
entry_net_notional_usd double precision NOT NULL DEFAULT 0,
|
|
799
|
-
entry_long_share_pct double precision,
|
|
800
|
-
universe_fingerprint text NOT NULL,
|
|
801
|
-
whale_registry_fingerprint text NOT NULL,
|
|
802
|
-
source text,
|
|
803
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
804
|
-
PRIMARY KEY (
|
|
805
|
-
universe_fingerprint,
|
|
806
|
-
whale_registry_fingerprint,
|
|
807
|
-
symbol,
|
|
808
|
-
interval,
|
|
809
|
-
ts
|
|
810
|
-
)
|
|
811
|
-
)
|
|
812
|
-
`);
|
|
813
|
-
await pool.query(`
|
|
814
|
-
ALTER TABLE hyperliquid_whale_flow
|
|
815
|
-
ADD COLUMN IF NOT EXISTS position_aware_whale_sides integer NOT NULL DEFAULT 0,
|
|
816
|
-
ADD COLUMN IF NOT EXISTS long_entry_whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
817
|
-
ADD COLUMN IF NOT EXISTS short_entry_whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
818
|
-
ADD COLUMN IF NOT EXISTS long_exit_whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
819
|
-
ADD COLUMN IF NOT EXISTS short_exit_whale_addresses text[] NOT NULL DEFAULT '{}',
|
|
820
|
-
ADD COLUMN IF NOT EXISTS long_entry_notional_usd double precision NOT NULL DEFAULT 0,
|
|
821
|
-
ADD COLUMN IF NOT EXISTS short_entry_notional_usd double precision NOT NULL DEFAULT 0,
|
|
822
|
-
ADD COLUMN IF NOT EXISTS long_exit_notional_usd double precision NOT NULL DEFAULT 0,
|
|
823
|
-
ADD COLUMN IF NOT EXISTS short_exit_notional_usd double precision NOT NULL DEFAULT 0,
|
|
824
|
-
ADD COLUMN IF NOT EXISTS entry_net_notional_usd double precision NOT NULL DEFAULT 0,
|
|
825
|
-
ADD COLUMN IF NOT EXISTS entry_long_share_pct double precision
|
|
826
|
-
`);
|
|
827
|
-
await pool.query(`
|
|
828
|
-
SELECT create_hypertable(
|
|
829
|
-
'hyperliquid_whale_flow',
|
|
830
|
-
'ts',
|
|
831
|
-
if_not_exists => TRUE,
|
|
832
|
-
chunk_time_interval => interval '7 days'
|
|
833
|
-
)
|
|
834
|
-
`);
|
|
835
|
-
await pool.query(`
|
|
836
|
-
CREATE INDEX IF NOT EXISTS hyperliquid_whale_flow_lookup_idx
|
|
837
|
-
ON hyperliquid_whale_flow (
|
|
838
|
-
universe_fingerprint,
|
|
839
|
-
whale_registry_fingerprint,
|
|
840
|
-
symbol,
|
|
841
|
-
interval,
|
|
842
|
-
ts DESC
|
|
843
|
-
)
|
|
844
|
-
`);
|
|
845
|
-
await pool.query(`
|
|
846
|
-
CREATE TABLE IF NOT EXISTS hyperliquid_whale_wallet_coverage (
|
|
847
|
-
universe_fingerprint text NOT NULL,
|
|
848
|
-
whale_registry_fingerprint text NOT NULL,
|
|
849
|
-
address text NOT NULL,
|
|
850
|
-
requested_from_ts timestamptz NOT NULL,
|
|
851
|
-
requested_to_ts timestamptz NOT NULL,
|
|
852
|
-
covered_from_ts timestamptz,
|
|
853
|
-
covered_to_ts timestamptz,
|
|
854
|
-
status text NOT NULL CHECK (status IN ('complete', 'truncated', 'failed')),
|
|
855
|
-
fills_count integer NOT NULL DEFAULT 0,
|
|
856
|
-
error text,
|
|
857
|
-
data_model_version integer NOT NULL DEFAULT 2,
|
|
858
|
-
checked_at timestamptz NOT NULL DEFAULT now(),
|
|
859
|
-
PRIMARY KEY (
|
|
860
|
-
universe_fingerprint,
|
|
861
|
-
whale_registry_fingerprint,
|
|
862
|
-
address,
|
|
863
|
-
requested_from_ts,
|
|
864
|
-
requested_to_ts
|
|
865
|
-
)
|
|
866
|
-
)
|
|
867
|
-
`);
|
|
868
|
-
await pool.query(`
|
|
869
|
-
ALTER TABLE hyperliquid_whale_wallet_coverage
|
|
870
|
-
ADD COLUMN IF NOT EXISTS data_model_version integer NOT NULL DEFAULT 2
|
|
871
|
-
`);
|
|
872
|
-
await pool.query(`
|
|
873
|
-
CREATE INDEX IF NOT EXISTS hyperliquid_whale_wallet_coverage_lookup_idx
|
|
874
|
-
ON hyperliquid_whale_wallet_coverage (
|
|
875
|
-
universe_fingerprint,
|
|
876
|
-
whale_registry_fingerprint,
|
|
877
|
-
address,
|
|
878
|
-
requested_from_ts,
|
|
879
|
-
requested_to_ts
|
|
880
|
-
)
|
|
881
|
-
`);
|
|
882
|
-
await pool.query(`
|
|
883
|
-
CREATE TABLE IF NOT EXISTS hyperliquid_whale_coverage_1m (
|
|
884
|
-
ts timestamptz NOT NULL,
|
|
885
|
-
covered_whales integer NOT NULL,
|
|
886
|
-
expected_whales integer NOT NULL,
|
|
887
|
-
coverage_pct double precision NOT NULL,
|
|
888
|
-
universe_fingerprint text NOT NULL,
|
|
889
|
-
whale_registry_fingerprint text NOT NULL,
|
|
890
|
-
source text,
|
|
891
|
-
data_model_version integer NOT NULL DEFAULT 2,
|
|
892
|
-
ingested_at timestamptz NOT NULL DEFAULT now(),
|
|
893
|
-
PRIMARY KEY (
|
|
894
|
-
universe_fingerprint,
|
|
895
|
-
whale_registry_fingerprint,
|
|
896
|
-
ts
|
|
897
|
-
)
|
|
898
|
-
)
|
|
899
|
-
`);
|
|
900
|
-
await pool.query(`
|
|
901
|
-
ALTER TABLE hyperliquid_whale_coverage_1m
|
|
902
|
-
ADD COLUMN IF NOT EXISTS data_model_version integer NOT NULL DEFAULT 2
|
|
903
|
-
`);
|
|
904
|
-
await pool.query(`
|
|
905
|
-
SELECT create_hypertable(
|
|
906
|
-
'hyperliquid_whale_coverage_1m',
|
|
907
|
-
'ts',
|
|
908
|
-
if_not_exists => TRUE,
|
|
909
|
-
chunk_time_interval => interval '7 days'
|
|
910
|
-
)
|
|
911
|
-
`);
|
|
912
|
-
await pool.query(`
|
|
913
|
-
CREATE INDEX IF NOT EXISTS hyperliquid_whale_coverage_1m_lookup_idx
|
|
914
|
-
ON hyperliquid_whale_coverage_1m (
|
|
915
|
-
universe_fingerprint,
|
|
916
|
-
whale_registry_fingerprint,
|
|
917
|
-
ts DESC
|
|
918
|
-
)
|
|
919
|
-
`);
|
|
920
|
-
hyperliquidWhaleSchemaReady = true;
|
|
921
|
-
}
|
|
922
|
-
).finally(() => {
|
|
923
|
-
hyperliquidWhaleSchemaReadyPromise = null;
|
|
924
|
-
});
|
|
925
|
-
await hyperliquidWhaleSchemaReadyPromise;
|
|
926
|
-
};
|
|
927
|
-
var ensureCoinMarketCapContextSchema = async () => ensureBinanceMarketSchema();
|
|
928
|
-
var ensureMarketContextSchema = async (source) => {
|
|
929
|
-
switch (source) {
|
|
930
|
-
case "binance":
|
|
931
|
-
return ensureBinanceMarketSchema();
|
|
932
|
-
case "coinmarketcap":
|
|
933
|
-
return ensureCoinMarketCapContextSchema();
|
|
934
|
-
case "derivatives":
|
|
935
|
-
return ensureDerivativesSchema();
|
|
936
|
-
case "hyperliquidWhales":
|
|
937
|
-
return ensureHyperliquidWhaleSchema();
|
|
938
|
-
}
|
|
939
|
-
};
|
|
940
|
-
var MARKET_CONTEXT_SCHEMA_TABLES = {
|
|
941
|
-
binance: ["market_trade_flow", "market_breadth"],
|
|
942
|
-
coinmarketcap: [
|
|
943
|
-
"market_global_context",
|
|
944
|
-
"market_reference_asset_context",
|
|
945
|
-
"market_cmc_exchange_liquidity_context",
|
|
946
|
-
"market_cmc_fear_greed_context",
|
|
947
|
-
"market_cmc_index_context"
|
|
948
|
-
],
|
|
949
|
-
derivatives: ["derivatives_market"],
|
|
950
|
-
hyperliquidWhales: [
|
|
951
|
-
"hyperliquid_whale_flow",
|
|
952
|
-
"hyperliquid_whale_coverage_1m"
|
|
953
|
-
]
|
|
954
|
-
};
|
|
955
|
-
var verifyMarketContextSchema = async (source) => {
|
|
956
|
-
if (verifiedMarketContextSchemas.has(source)) return;
|
|
957
|
-
const tables = MARKET_CONTEXT_SCHEMA_TABLES[source];
|
|
958
|
-
const result = await queryMarketContext(
|
|
959
|
-
`
|
|
960
|
-
SELECT table_name AS "tableName"
|
|
961
|
-
FROM unnest($1::text[]) AS requested(table_name)
|
|
962
|
-
WHERE to_regclass(requested.table_name) IS NULL
|
|
963
|
-
`,
|
|
964
|
-
[tables]
|
|
965
|
-
);
|
|
966
|
-
if (result.rows.length) {
|
|
967
|
-
throw new Error(
|
|
968
|
-
`Timescale ${source} schema is not prepared; missing: ${result.rows.map((row) => row.tableName).filter(Boolean).join(", ")}`
|
|
969
|
-
);
|
|
970
|
-
}
|
|
971
|
-
verifiedMarketContextSchemas.add(source);
|
|
972
|
-
};
|
|
973
|
-
var prepareMarketContextSchemaForRead = async (source) => marketContextSchemaMode === "verify" ? verifyMarketContextSchema(source) : ensureMarketContextSchema(source);
|
|
974
|
-
var ensureMarketContextSchemas = async (sources) => {
|
|
975
|
-
for (const source of new Set(sources)) {
|
|
976
|
-
await ensureMarketContextSchema(source);
|
|
977
|
-
}
|
|
978
|
-
};
|
|
979
|
-
|
|
980
|
-
// src/timescale/candles.ts
|
|
981
|
-
var toRows = (provider, symbol, interval, data) => {
|
|
982
|
-
const normalizedProvider = normalizeCandleProvider(provider);
|
|
983
|
-
if (!normalizedProvider) {
|
|
984
|
-
throw new Error("Candle provider is required");
|
|
985
|
-
}
|
|
986
|
-
const normalizedSymbol = normalizeCandleSymbol(symbol);
|
|
987
|
-
return data.map((i) => ({
|
|
988
|
-
provider: normalizedProvider,
|
|
989
|
-
symbol: normalizedSymbol,
|
|
990
|
-
interval,
|
|
991
|
-
ts: new Date(i.timestamp),
|
|
992
|
-
// ms -> Date
|
|
993
|
-
open: i.open,
|
|
994
|
-
high: i.high,
|
|
995
|
-
low: i.low,
|
|
996
|
-
close: i.close,
|
|
997
|
-
volume: i.volume ?? null,
|
|
998
|
-
turnover: i.turnover ?? null,
|
|
999
|
-
takerBuyBaseVolume: i.takerBuyBaseVolume ?? null,
|
|
1000
|
-
takerBuyQuoteVolume: i.takerBuyQuoteVolume ?? null,
|
|
1001
|
-
takerSellBaseVolume: i.takerSellBaseVolume ?? null,
|
|
1002
|
-
takerSellQuoteVolume: i.takerSellQuoteVolume ?? null
|
|
1003
|
-
}));
|
|
1004
|
-
};
|
|
1005
|
-
async function upsertCandles(rows) {
|
|
1006
|
-
if (!rows.length) return;
|
|
1007
|
-
await ensureCandlesSchema();
|
|
1008
|
-
const pool = getPool();
|
|
1009
|
-
const cols = [
|
|
1010
|
-
"provider",
|
|
1011
|
-
"symbol",
|
|
1012
|
-
"interval",
|
|
1013
|
-
"ts",
|
|
1014
|
-
"open",
|
|
1015
|
-
"high",
|
|
1016
|
-
"low",
|
|
1017
|
-
"close",
|
|
1018
|
-
"volume",
|
|
1019
|
-
"turnover",
|
|
1020
|
-
"taker_buy_base_volume",
|
|
1021
|
-
"taker_buy_quote_volume",
|
|
1022
|
-
"taker_sell_base_volume",
|
|
1023
|
-
"taker_sell_quote_volume"
|
|
1024
|
-
];
|
|
1025
|
-
const maxRows = Math.floor(65535 / cols.length);
|
|
1026
|
-
if (rows.length > maxRows) {
|
|
1027
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
1028
|
-
await upsertCandles(rows.slice(i, i + maxRows));
|
|
1029
|
-
}
|
|
1030
|
-
return;
|
|
1031
|
-
}
|
|
1032
|
-
const valuesSql = rows.map(
|
|
1033
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
1034
|
-
).join(",");
|
|
1035
|
-
const flat = rows.flatMap((r) => [
|
|
1036
|
-
normalizeCandleProvider(r.provider),
|
|
1037
|
-
normalizeCandleSymbol(r.symbol),
|
|
1038
|
-
r.interval,
|
|
1039
|
-
r.ts,
|
|
1040
|
-
r.open,
|
|
1041
|
-
r.high,
|
|
1042
|
-
r.low,
|
|
1043
|
-
r.close,
|
|
1044
|
-
r.volume ?? null,
|
|
1045
|
-
r.turnover ?? null,
|
|
1046
|
-
r.takerBuyBaseVolume ?? null,
|
|
1047
|
-
r.takerBuyQuoteVolume ?? null,
|
|
1048
|
-
r.takerSellBaseVolume ?? null,
|
|
1049
|
-
r.takerSellQuoteVolume ?? null
|
|
1050
|
-
]);
|
|
1051
|
-
const sql = `
|
|
1052
|
-
INSERT INTO candles (${cols.join(",")})
|
|
1053
|
-
VALUES ${valuesSql}
|
|
1054
|
-
ON CONFLICT (provider, symbol, interval, ts) DO UPDATE SET
|
|
1055
|
-
open = EXCLUDED.open,
|
|
1056
|
-
high = EXCLUDED.high,
|
|
1057
|
-
low = EXCLUDED.low,
|
|
1058
|
-
close = EXCLUDED.close,
|
|
1059
|
-
volume = COALESCE(EXCLUDED.volume, candles.volume),
|
|
1060
|
-
turnover = COALESCE(EXCLUDED.turnover, candles.turnover),
|
|
1061
|
-
taker_buy_base_volume = COALESCE(EXCLUDED.taker_buy_base_volume, candles.taker_buy_base_volume),
|
|
1062
|
-
taker_buy_quote_volume = COALESCE(EXCLUDED.taker_buy_quote_volume, candles.taker_buy_quote_volume),
|
|
1063
|
-
taker_sell_base_volume = COALESCE(EXCLUDED.taker_sell_base_volume, candles.taker_sell_base_volume),
|
|
1064
|
-
taker_sell_quote_volume = COALESCE(EXCLUDED.taker_sell_quote_volume, candles.taker_sell_quote_volume)
|
|
1065
|
-
`;
|
|
1066
|
-
const client = await pool.connect();
|
|
1067
|
-
try {
|
|
1068
|
-
await client.query("BEGIN");
|
|
1069
|
-
await client.query(sql, flat);
|
|
1070
|
-
await client.query("COMMIT");
|
|
1071
|
-
} catch (e) {
|
|
1072
|
-
await client.query("ROLLBACK");
|
|
1073
|
-
throw e;
|
|
1074
|
-
} finally {
|
|
1075
|
-
client.release();
|
|
1076
|
-
}
|
|
1077
|
-
}
|
|
1078
|
-
async function getCandlesRange(provider, symbol, interval, startMs, endMs) {
|
|
1079
|
-
await ensureCandlesSchema();
|
|
1080
|
-
const pool = getPool();
|
|
1081
|
-
const normalizedProvider = normalizeCandleProvider(provider);
|
|
1082
|
-
const normalizedSymbol = normalizeCandleSymbol(symbol);
|
|
1083
|
-
const sql = `
|
|
1084
|
-
SELECT symbol, interval, ts,
|
|
1085
|
-
open, high, low, close, volume, turnover,
|
|
1086
|
-
taker_buy_base_volume AS "takerBuyBaseVolume",
|
|
1087
|
-
taker_buy_quote_volume AS "takerBuyQuoteVolume",
|
|
1088
|
-
taker_sell_base_volume AS "takerSellBaseVolume",
|
|
1089
|
-
taker_sell_quote_volume AS "takerSellQuoteVolume"
|
|
1090
|
-
FROM candles
|
|
1091
|
-
WHERE provider = $1 AND symbol = $2 AND interval = $3
|
|
1092
|
-
AND ts >= to_timestamp($4/1000.0)
|
|
1093
|
-
AND ts <= to_timestamp($5/1000.0)
|
|
1094
|
-
ORDER BY ts ASC
|
|
1095
|
-
`;
|
|
1096
|
-
const res = await pool.query(sql, [
|
|
1097
|
-
normalizedProvider,
|
|
1098
|
-
normalizedSymbol,
|
|
1099
|
-
interval,
|
|
1100
|
-
startMs,
|
|
1101
|
-
endMs
|
|
1102
|
-
]);
|
|
1103
|
-
return res.rows;
|
|
1104
|
-
}
|
|
1105
|
-
async function getDataEdges(provider, symbol, interval) {
|
|
1106
|
-
await ensureCandlesSchema();
|
|
1107
|
-
const pool = getPool();
|
|
1108
|
-
const normalizedProvider = normalizeCandleProvider(provider);
|
|
1109
|
-
const normalizedSymbol = normalizeCandleSymbol(symbol);
|
|
1110
|
-
const sqlMin = `
|
|
1111
|
-
SELECT extract(epoch from ts)*1000 AS ms
|
|
1112
|
-
FROM candles
|
|
1113
|
-
WHERE provider=$1 AND symbol=$2 AND interval=$3
|
|
1114
|
-
ORDER BY ts ASC
|
|
1115
|
-
LIMIT 1
|
|
1116
|
-
`;
|
|
1117
|
-
const sqlMax = `
|
|
1118
|
-
SELECT extract(epoch from ts)*1000 AS ms
|
|
1119
|
-
FROM candles
|
|
1120
|
-
WHERE provider=$1 AND symbol=$2 AND interval=$3
|
|
1121
|
-
ORDER BY ts DESC
|
|
1122
|
-
LIMIT 1
|
|
1123
|
-
`;
|
|
1124
|
-
const [minQ, maxQ] = await Promise.all([
|
|
1125
|
-
pool.query(sqlMin, [normalizedProvider, normalizedSymbol, interval]),
|
|
1126
|
-
pool.query(sqlMax, [normalizedProvider, normalizedSymbol, interval])
|
|
1127
|
-
]);
|
|
1128
|
-
const minRaw = minQ.rows[0]?.ms;
|
|
1129
|
-
const maxRaw = maxQ.rows[0]?.ms;
|
|
1130
|
-
const min = Number.isFinite(Number(minRaw)) ? Number(minRaw) : void 0;
|
|
1131
|
-
const max = Number.isFinite(Number(maxRaw)) ? Number(maxRaw) : void 0;
|
|
1132
|
-
return { min, max };
|
|
1133
|
-
}
|
|
1134
|
-
async function getDataEdgesForSymbols(provider, symbols, interval) {
|
|
1135
|
-
const normalizedSymbols = [
|
|
1136
|
-
...new Set(symbols.map(normalizeCandleSymbol).filter(Boolean))
|
|
1137
|
-
];
|
|
1138
|
-
const result = /* @__PURE__ */ new Map();
|
|
1139
|
-
for (const symbol of normalizedSymbols) {
|
|
1140
|
-
result.set(symbol, {});
|
|
1141
|
-
}
|
|
1142
|
-
if (!normalizedSymbols.length) {
|
|
1143
|
-
return result;
|
|
1144
|
-
}
|
|
1145
|
-
await ensureCandlesSchema();
|
|
1146
|
-
const pool = getPool();
|
|
1147
|
-
const normalizedProvider = normalizeCandleProvider(provider);
|
|
1148
|
-
const sql = `
|
|
1149
|
-
WITH requested(symbol) AS (
|
|
1150
|
-
SELECT unnest($2::text[])
|
|
1151
|
-
)
|
|
1152
|
-
SELECT
|
|
1153
|
-
r.symbol,
|
|
1154
|
-
(
|
|
1155
|
-
SELECT extract(epoch from c.ts)*1000
|
|
1156
|
-
FROM candles c
|
|
1157
|
-
WHERE c.provider = $1 AND c.symbol = r.symbol AND c.interval = $3
|
|
1158
|
-
ORDER BY c.ts ASC
|
|
1159
|
-
LIMIT 1
|
|
1160
|
-
) AS min_ms,
|
|
1161
|
-
(
|
|
1162
|
-
SELECT extract(epoch from c.ts)*1000
|
|
1163
|
-
FROM candles c
|
|
1164
|
-
WHERE c.provider = $1 AND c.symbol = r.symbol AND c.interval = $3
|
|
1165
|
-
ORDER BY c.ts DESC
|
|
1166
|
-
LIMIT 1
|
|
1167
|
-
) AS max_ms
|
|
1168
|
-
FROM requested r
|
|
1169
|
-
`;
|
|
1170
|
-
const response = await pool.query(sql, [
|
|
1171
|
-
normalizedProvider,
|
|
1172
|
-
normalizedSymbols,
|
|
1173
|
-
interval
|
|
1174
|
-
]);
|
|
1175
|
-
for (const row of response.rows) {
|
|
1176
|
-
const symbol = normalizeCandleSymbol(String(row.symbol || ""));
|
|
1177
|
-
if (!symbol) continue;
|
|
1178
|
-
const min = row.min_ms == null ? NaN : Number(row.min_ms);
|
|
1179
|
-
const max = row.max_ms == null ? NaN : Number(row.max_ms);
|
|
1180
|
-
result.set(symbol, {
|
|
1181
|
-
...Number.isFinite(min) ? { min } : {},
|
|
1182
|
-
...Number.isFinite(max) ? { max } : {}
|
|
1183
|
-
});
|
|
1184
|
-
}
|
|
1185
|
-
return result;
|
|
1186
|
-
}
|
|
1187
|
-
async function waitForDbReady(attempts = 20, delayMs = 1e3) {
|
|
1188
|
-
const pool = getPool();
|
|
1189
|
-
let lastError;
|
|
1190
|
-
for (let i = 0; i < attempts; i++) {
|
|
1191
|
-
try {
|
|
1192
|
-
await pool.query("SELECT 1");
|
|
1193
|
-
return;
|
|
1194
|
-
} catch (e) {
|
|
1195
|
-
lastError = e;
|
|
1196
|
-
await new Promise((r) => setTimeout(r, delayMs));
|
|
1197
|
-
}
|
|
1198
|
-
}
|
|
1199
|
-
throw lastError;
|
|
1200
|
-
}
|
|
1201
|
-
async function deleteCandles(provider, symbol, interval) {
|
|
1202
|
-
const pool = getPool();
|
|
1203
|
-
const normalizedProvider = normalizeCandleProvider(provider);
|
|
1204
|
-
const normalizedSymbol = normalizeCandleSymbol(symbol);
|
|
1205
|
-
const sql = `
|
|
1206
|
-
DELETE FROM candles
|
|
1207
|
-
WHERE provider = $1 AND symbol = $2 AND interval = $3
|
|
1208
|
-
`;
|
|
1209
|
-
await pool.query(sql, [normalizedProvider, normalizedSymbol, interval]);
|
|
1210
|
-
}
|
|
1211
|
-
async function findContinuityGap(provider, symbol, interval) {
|
|
1212
|
-
const pool = getPool();
|
|
1213
|
-
const normalizedProvider = normalizeCandleProvider(provider);
|
|
1214
|
-
const normalizedSymbol = normalizeCandleSymbol(symbol);
|
|
1215
|
-
const expectedSeconds = interval * 60;
|
|
1216
|
-
const sql = `
|
|
1217
|
-
WITH ordered AS (
|
|
1218
|
-
SELECT
|
|
1219
|
-
ts,
|
|
1220
|
-
LAG(ts) OVER (ORDER BY ts) AS prev_ts
|
|
1221
|
-
FROM candles
|
|
1222
|
-
WHERE provider = $1 AND symbol = $2 AND interval = $3
|
|
1223
|
-
)
|
|
1224
|
-
SELECT
|
|
1225
|
-
ts,
|
|
1226
|
-
prev_ts,
|
|
1227
|
-
EXTRACT(EPOCH FROM (ts - prev_ts))::int AS diff_seconds
|
|
1228
|
-
FROM ordered
|
|
1229
|
-
WHERE prev_ts IS NOT NULL
|
|
1230
|
-
AND EXTRACT(EPOCH FROM (ts - prev_ts))::int <> $4
|
|
1231
|
-
ORDER BY ts ASC
|
|
1232
|
-
LIMIT 1
|
|
1233
|
-
`;
|
|
1234
|
-
const res = await pool.query(sql, [
|
|
1235
|
-
normalizedProvider,
|
|
1236
|
-
normalizedSymbol,
|
|
1237
|
-
interval,
|
|
1238
|
-
expectedSeconds
|
|
1239
|
-
]);
|
|
1240
|
-
const row = res.rows[0];
|
|
1241
|
-
if (!row) return null;
|
|
1242
|
-
return {
|
|
1243
|
-
ts: new Date(row.ts).getTime(),
|
|
1244
|
-
prevTs: new Date(row.prev_ts).getTime(),
|
|
1245
|
-
diffSeconds: row.diff_seconds
|
|
1246
|
-
};
|
|
1247
|
-
}
|
|
1248
|
-
|
|
1249
|
-
// src/timescale/derivatives.ts
|
|
1250
|
-
async function upsertDerivatives(rows) {
|
|
1251
|
-
if (!rows.length) return;
|
|
1252
|
-
await ensureDerivativesSchema();
|
|
1253
|
-
const pool = getPool();
|
|
1254
|
-
const cols = [
|
|
1255
|
-
"symbol",
|
|
1256
|
-
"interval",
|
|
1257
|
-
"ts",
|
|
1258
|
-
"open_interest",
|
|
1259
|
-
"funding_rate",
|
|
1260
|
-
"liq_long",
|
|
1261
|
-
"liq_short",
|
|
1262
|
-
"liq_total",
|
|
1263
|
-
"source"
|
|
1264
|
-
];
|
|
1265
|
-
const maxRows = Math.floor(65535 / cols.length);
|
|
1266
|
-
if (rows.length > maxRows) {
|
|
1267
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
1268
|
-
await upsertDerivatives(rows.slice(i, i + maxRows));
|
|
1269
|
-
}
|
|
1270
|
-
return;
|
|
1271
|
-
}
|
|
1272
|
-
const valuesSql = rows.map(
|
|
1273
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
1274
|
-
).join(",");
|
|
1275
|
-
const flat = rows.flatMap((row) => [
|
|
1276
|
-
row.symbol,
|
|
1277
|
-
row.interval,
|
|
1278
|
-
row.ts,
|
|
1279
|
-
row.openInterest ?? null,
|
|
1280
|
-
row.fundingRate ?? null,
|
|
1281
|
-
row.liqLong ?? null,
|
|
1282
|
-
row.liqShort ?? null,
|
|
1283
|
-
row.liqTotal ?? null,
|
|
1284
|
-
row.source ?? null
|
|
1285
|
-
]);
|
|
1286
|
-
const sql = `
|
|
1287
|
-
INSERT INTO derivatives_market (${cols.join(",")})
|
|
1288
|
-
VALUES ${valuesSql}
|
|
1289
|
-
ON CONFLICT (symbol, interval, ts) DO UPDATE SET
|
|
1290
|
-
open_interest = COALESCE(EXCLUDED.open_interest, derivatives_market.open_interest),
|
|
1291
|
-
funding_rate = COALESCE(EXCLUDED.funding_rate, derivatives_market.funding_rate),
|
|
1292
|
-
liq_long = COALESCE(EXCLUDED.liq_long, derivatives_market.liq_long),
|
|
1293
|
-
liq_short = COALESCE(EXCLUDED.liq_short, derivatives_market.liq_short),
|
|
1294
|
-
liq_total = COALESCE(EXCLUDED.liq_total, derivatives_market.liq_total),
|
|
1295
|
-
source = COALESCE(EXCLUDED.source, derivatives_market.source),
|
|
1296
|
-
ingested_at = now()
|
|
1297
|
-
`;
|
|
1298
|
-
await pool.query(sql, flat);
|
|
1299
|
-
}
|
|
1300
|
-
async function getDerivativesRangeForSymbols(symbols, interval, startMs, endMs) {
|
|
1301
|
-
if (!symbols.length)
|
|
1302
|
-
return [];
|
|
1303
|
-
await ensureDerivativesSchema();
|
|
1304
|
-
const pool = getPool();
|
|
1305
|
-
const sql = `
|
|
1306
|
-
SELECT symbol, interval, ts, open_interest, funding_rate, liq_long, liq_short, liq_total
|
|
1307
|
-
FROM derivatives_market
|
|
1308
|
-
WHERE symbol = ANY($1)
|
|
1309
|
-
AND interval = $2
|
|
1310
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
1311
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
1312
|
-
ORDER BY symbol ASC, ts ASC
|
|
1313
|
-
`;
|
|
1314
|
-
const res = await pool.query(sql, [symbols, interval, startMs, endMs]);
|
|
1315
|
-
return res.rows;
|
|
1316
|
-
}
|
|
1317
|
-
async function getDerivativesDataEdgesForSymbols(symbols, interval) {
|
|
1318
|
-
const normalizedSymbols = [
|
|
1319
|
-
...new Set(
|
|
1320
|
-
symbols.map(
|
|
1321
|
-
(symbol) => String(symbol || "").trim().toUpperCase()
|
|
1322
|
-
).filter(Boolean)
|
|
1323
|
-
)
|
|
1324
|
-
];
|
|
1325
|
-
const edges = /* @__PURE__ */ new Map();
|
|
1326
|
-
if (!normalizedSymbols.length) return edges;
|
|
1327
|
-
await ensureDerivativesSchema();
|
|
1328
|
-
const pool = getPool();
|
|
1329
|
-
const sql = `
|
|
1330
|
-
SELECT
|
|
1331
|
-
symbol,
|
|
1332
|
-
extract(epoch from MIN(ts))*1000 AS min,
|
|
1333
|
-
extract(epoch from MAX(ts))*1000 AS max
|
|
1334
|
-
FROM derivatives_market
|
|
1335
|
-
WHERE symbol = ANY($1)
|
|
1336
|
-
AND interval = $2
|
|
1337
|
-
GROUP BY symbol
|
|
1338
|
-
`;
|
|
1339
|
-
const res = await pool.query(sql, [normalizedSymbols, interval]);
|
|
1340
|
-
for (const row of res.rows) {
|
|
1341
|
-
const min = Number(row.min);
|
|
1342
|
-
const max = Number(row.max);
|
|
1343
|
-
edges.set(String(row.symbol).toUpperCase(), {
|
|
1344
|
-
min: Number.isFinite(min) ? min : void 0,
|
|
1345
|
-
max: Number.isFinite(max) ? max : void 0
|
|
1346
|
-
});
|
|
1347
|
-
}
|
|
1348
|
-
return edges;
|
|
1349
|
-
}
|
|
1350
|
-
async function getDerivativesBackfillCoverage(params) {
|
|
1351
|
-
const normalizedSource = String(params.source || "").trim().toLowerCase();
|
|
1352
|
-
const normalizedSymbols = [
|
|
1353
|
-
...new Set(
|
|
1354
|
-
params.symbols.map(
|
|
1355
|
-
(symbol) => String(symbol || "").trim().toUpperCase()
|
|
1356
|
-
).filter(Boolean)
|
|
1357
|
-
)
|
|
1358
|
-
];
|
|
1359
|
-
if (!normalizedSource || !normalizedSymbols.length) {
|
|
1360
|
-
return [];
|
|
1361
|
-
}
|
|
1362
|
-
await ensureDerivativesSchema();
|
|
1363
|
-
const pool = getPool();
|
|
1364
|
-
const res = await pool.query(
|
|
1365
|
-
`
|
|
1366
|
-
SELECT
|
|
1367
|
-
symbol,
|
|
1368
|
-
interval,
|
|
1369
|
-
extract(epoch from from_ts)*1000 AS from_ms,
|
|
1370
|
-
extract(epoch from to_ts)*1000 AS to_ms,
|
|
1371
|
-
rows_count
|
|
1372
|
-
FROM derivatives_backfill_coverage
|
|
1373
|
-
WHERE source = $1
|
|
1374
|
-
AND symbol = ANY($2)
|
|
1375
|
-
AND interval = $3
|
|
1376
|
-
AND from_ts <= to_timestamp($5/1000.0)
|
|
1377
|
-
AND to_ts >= to_timestamp($4/1000.0)
|
|
1378
|
-
`,
|
|
1379
|
-
[
|
|
1380
|
-
normalizedSource,
|
|
1381
|
-
normalizedSymbols,
|
|
1382
|
-
params.interval,
|
|
1383
|
-
params.fromMs,
|
|
1384
|
-
params.toMs
|
|
1385
|
-
]
|
|
1386
|
-
);
|
|
1387
|
-
return res.rows.map((row) => ({
|
|
1388
|
-
symbol: String(row.symbol).toUpperCase(),
|
|
1389
|
-
interval: row.interval,
|
|
1390
|
-
fromMs: Number(row.from_ms),
|
|
1391
|
-
toMs: Number(row.to_ms),
|
|
1392
|
-
rowsCount: Number(row.rows_count ?? 0)
|
|
1393
|
-
}));
|
|
1394
|
-
}
|
|
1395
|
-
async function upsertDerivativesBackfillCoverage(rows) {
|
|
1396
|
-
if (!rows.length) return;
|
|
1397
|
-
await ensureDerivativesSchema();
|
|
1398
|
-
const pool = getPool();
|
|
1399
|
-
const cols = [
|
|
1400
|
-
"source",
|
|
1401
|
-
"symbol",
|
|
1402
|
-
"interval",
|
|
1403
|
-
"from_ts",
|
|
1404
|
-
"to_ts",
|
|
1405
|
-
"rows_count"
|
|
1406
|
-
];
|
|
1407
|
-
const valuesSql = rows.map(
|
|
1408
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
1409
|
-
).join(",");
|
|
1410
|
-
const flat = rows.flatMap((row) => [
|
|
1411
|
-
String(row.source || "").trim().toLowerCase(),
|
|
1412
|
-
String(row.symbol || "").trim().toUpperCase(),
|
|
1413
|
-
row.interval,
|
|
1414
|
-
new Date(row.fromMs),
|
|
1415
|
-
new Date(row.toMs),
|
|
1416
|
-
Math.max(0, Math.trunc(row.rowsCount))
|
|
1417
|
-
]);
|
|
1418
|
-
await pool.query(
|
|
1419
|
-
`
|
|
1420
|
-
INSERT INTO derivatives_backfill_coverage (${cols.join(",")})
|
|
1421
|
-
VALUES ${valuesSql}
|
|
1422
|
-
ON CONFLICT (source, symbol, interval, from_ts, to_ts) DO UPDATE SET
|
|
1423
|
-
rows_count = EXCLUDED.rows_count,
|
|
1424
|
-
checked_at = now()
|
|
1425
|
-
`,
|
|
1426
|
-
flat
|
|
1427
|
-
);
|
|
1428
|
-
}
|
|
1429
|
-
async function getDerivativesMetricCoverage(params) {
|
|
1430
|
-
const normalizedSource = String(params.source || "").trim().toLowerCase();
|
|
1431
|
-
const normalizedSymbols = [
|
|
1432
|
-
...new Set(
|
|
1433
|
-
params.symbols.map(
|
|
1434
|
-
(symbol) => String(symbol || "").trim().toUpperCase()
|
|
1435
|
-
).filter(Boolean)
|
|
1436
|
-
)
|
|
1437
|
-
];
|
|
1438
|
-
if (!normalizedSource || !normalizedSymbols.length) {
|
|
1439
|
-
return [];
|
|
1440
|
-
}
|
|
1441
|
-
await ensureDerivativesSchema();
|
|
1442
|
-
const pool = getPool();
|
|
1443
|
-
const res = await pool.query(
|
|
1444
|
-
`
|
|
1445
|
-
SELECT
|
|
1446
|
-
symbol,
|
|
1447
|
-
interval,
|
|
1448
|
-
extract(epoch from from_ts)*1000 AS from_ms,
|
|
1449
|
-
extract(epoch from to_ts)*1000 AS to_ms,
|
|
1450
|
-
event_rows_count,
|
|
1451
|
-
zero_rows_count
|
|
1452
|
-
FROM derivatives_metric_coverage
|
|
1453
|
-
WHERE source = $1
|
|
1454
|
-
AND metric = $2
|
|
1455
|
-
AND symbol = ANY($3)
|
|
1456
|
-
AND interval = $4
|
|
1457
|
-
AND from_ts <= to_timestamp($6/1000.0)
|
|
1458
|
-
AND to_ts >= to_timestamp($5/1000.0)
|
|
1459
|
-
`,
|
|
1460
|
-
[
|
|
1461
|
-
normalizedSource,
|
|
1462
|
-
params.metric,
|
|
1463
|
-
normalizedSymbols,
|
|
1464
|
-
params.interval,
|
|
1465
|
-
params.fromMs,
|
|
1466
|
-
params.toMs
|
|
1467
|
-
]
|
|
1468
|
-
);
|
|
1469
|
-
return res.rows.map((row) => ({
|
|
1470
|
-
symbol: String(row.symbol).toUpperCase(),
|
|
1471
|
-
interval: row.interval,
|
|
1472
|
-
fromMs: Number(row.from_ms),
|
|
1473
|
-
toMs: Number(row.to_ms),
|
|
1474
|
-
eventRowsCount: Number(row.event_rows_count ?? 0),
|
|
1475
|
-
zeroRowsCount: Number(row.zero_rows_count ?? 0)
|
|
1476
|
-
}));
|
|
1477
|
-
}
|
|
1478
|
-
async function applyDerivativesMetricCoverage(rows) {
|
|
1479
|
-
if (!rows.length)
|
|
1480
|
-
return [];
|
|
1481
|
-
await ensureDerivativesSchema();
|
|
1482
|
-
const pool = getPool();
|
|
1483
|
-
const client = await pool.connect();
|
|
1484
|
-
const results = [];
|
|
1485
|
-
try {
|
|
1486
|
-
await client.query("BEGIN");
|
|
1487
|
-
for (const row of rows) {
|
|
1488
|
-
const source = String(row.source || "").trim().toLowerCase();
|
|
1489
|
-
const symbol = String(row.symbol || "").trim().toUpperCase();
|
|
1490
|
-
const fromMs = Math.trunc(row.fromMs);
|
|
1491
|
-
const toMs = Math.trunc(row.toMs);
|
|
1492
|
-
if (!source || !symbol || fromMs > toMs) continue;
|
|
1493
|
-
await client.query(
|
|
1494
|
-
`
|
|
1495
|
-
UPDATE derivatives_market
|
|
1496
|
-
SET
|
|
1497
|
-
liq_long = 0,
|
|
1498
|
-
liq_short = 0,
|
|
1499
|
-
liq_total = 0,
|
|
1500
|
-
ingested_at = now()
|
|
1501
|
-
WHERE symbol = $1
|
|
1502
|
-
AND interval = $2
|
|
1503
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
1504
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
1505
|
-
AND liq_long IS NULL
|
|
1506
|
-
AND liq_short IS NULL
|
|
1507
|
-
AND liq_total IS NULL
|
|
1508
|
-
`,
|
|
1509
|
-
[symbol, row.interval, fromMs, toMs]
|
|
1510
|
-
);
|
|
1511
|
-
const zeroCountResult = await client.query(
|
|
1512
|
-
`
|
|
1513
|
-
SELECT COUNT(*)::integer AS count
|
|
1514
|
-
FROM derivatives_market
|
|
1515
|
-
WHERE symbol = $1
|
|
1516
|
-
AND interval = $2
|
|
1517
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
1518
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
1519
|
-
AND liq_long = 0
|
|
1520
|
-
AND liq_short = 0
|
|
1521
|
-
AND liq_total = 0
|
|
1522
|
-
`,
|
|
1523
|
-
[symbol, row.interval, fromMs, toMs]
|
|
1524
|
-
);
|
|
1525
|
-
const zeroRowsCount = Math.max(
|
|
1526
|
-
0,
|
|
1527
|
-
Number(zeroCountResult.rows[0]?.count ?? 0)
|
|
1528
|
-
);
|
|
1529
|
-
await client.query(
|
|
1530
|
-
`
|
|
1531
|
-
INSERT INTO derivatives_metric_coverage (
|
|
1532
|
-
source,
|
|
1533
|
-
metric,
|
|
1534
|
-
symbol,
|
|
1535
|
-
interval,
|
|
1536
|
-
from_ts,
|
|
1537
|
-
to_ts,
|
|
1538
|
-
event_rows_count,
|
|
1539
|
-
zero_rows_count
|
|
1540
|
-
)
|
|
1541
|
-
VALUES ($1, $2, $3, $4, $5, $6, $7, $8)
|
|
1542
|
-
ON CONFLICT (source, metric, symbol, interval, from_ts, to_ts)
|
|
1543
|
-
DO UPDATE SET
|
|
1544
|
-
event_rows_count = EXCLUDED.event_rows_count,
|
|
1545
|
-
zero_rows_count = EXCLUDED.zero_rows_count,
|
|
1546
|
-
checked_at = now()
|
|
1547
|
-
`,
|
|
1548
|
-
[
|
|
1549
|
-
source,
|
|
1550
|
-
row.metric,
|
|
1551
|
-
symbol,
|
|
1552
|
-
row.interval,
|
|
1553
|
-
new Date(fromMs),
|
|
1554
|
-
new Date(toMs),
|
|
1555
|
-
Math.max(0, Math.trunc(row.eventRowsCount)),
|
|
1556
|
-
zeroRowsCount
|
|
1557
|
-
]
|
|
1558
|
-
);
|
|
1559
|
-
results.push({ symbol, zeroRowsCount });
|
|
1560
|
-
}
|
|
1561
|
-
await client.query("COMMIT");
|
|
1562
|
-
return results;
|
|
1563
|
-
} catch (error) {
|
|
1564
|
-
await client.query("ROLLBACK");
|
|
1565
|
-
throw error;
|
|
1566
|
-
} finally {
|
|
1567
|
-
client.release();
|
|
1568
|
-
}
|
|
1569
|
-
}
|
|
1570
|
-
async function getDerivativesWindow(params) {
|
|
1571
|
-
const { symbol, intervals, endMs, lookbackMs } = params;
|
|
1572
|
-
const normalizedSymbol = String(symbol || "").trim().toUpperCase();
|
|
1573
|
-
const normalizedIntervals = [...new Set(intervals)].filter(Boolean);
|
|
1574
|
-
if (!normalizedSymbol || !normalizedIntervals.length) {
|
|
1575
|
-
return {};
|
|
1576
|
-
}
|
|
1577
|
-
await prepareMarketContextSchemaForRead("derivatives");
|
|
1578
|
-
const startMs = endMs - Math.max(0, lookbackMs);
|
|
1579
|
-
const sql = `
|
|
1580
|
-
SELECT symbol, interval, ts, open_interest, funding_rate, liq_long, liq_short, liq_total, source
|
|
1581
|
-
FROM derivatives_market
|
|
1582
|
-
WHERE symbol = $1
|
|
1583
|
-
AND interval = ANY($2)
|
|
1584
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
1585
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
1586
|
-
ORDER BY interval ASC, ts ASC
|
|
1587
|
-
`;
|
|
1588
|
-
const res = await queryMarketContext(
|
|
1589
|
-
sql,
|
|
1590
|
-
[normalizedSymbol, normalizedIntervals, startMs, endMs],
|
|
1591
|
-
params
|
|
1592
|
-
);
|
|
1593
|
-
const rowsByInterval = {};
|
|
1594
|
-
for (const row of res.rows) {
|
|
1595
|
-
const interval = row.interval;
|
|
1596
|
-
rowsByInterval[interval] ??= [];
|
|
1597
|
-
rowsByInterval[interval]?.push({
|
|
1598
|
-
symbol: row.symbol,
|
|
1599
|
-
interval,
|
|
1600
|
-
ts: row.ts,
|
|
1601
|
-
openInterest: row.open_interest,
|
|
1602
|
-
fundingRate: row.funding_rate,
|
|
1603
|
-
liqLong: row.liq_long,
|
|
1604
|
-
liqShort: row.liq_short,
|
|
1605
|
-
liqTotal: row.liq_total,
|
|
1606
|
-
source: row.source
|
|
1607
|
-
});
|
|
1608
|
-
}
|
|
1609
|
-
return rowsByInterval;
|
|
1610
|
-
}
|
|
1611
|
-
async function getDerivativesSummary(hours = 24, limit = 500, symbols) {
|
|
1612
|
-
await ensureDerivativesSchema();
|
|
1613
|
-
const pool = getPool();
|
|
1614
|
-
const cappedHours = Math.max(1, Math.min(24 * 90, hours));
|
|
1615
|
-
const cappedLimit = Math.max(10, Math.min(1e3, limit));
|
|
1616
|
-
const normalizedSymbols = Array.isArray(symbols) ? [...new Set(symbols.map(normalizeCandleSymbol).filter(Boolean))] : [];
|
|
1617
|
-
const symbolsFilterSql = normalizedSymbols.length ? "AND symbol = ANY($3)" : "";
|
|
1618
|
-
const summaryQ = await pool.query(
|
|
1619
|
-
`
|
|
1620
|
-
WITH filtered AS (
|
|
1621
|
-
SELECT
|
|
1622
|
-
symbol,
|
|
1623
|
-
interval,
|
|
1624
|
-
ts,
|
|
1625
|
-
open_interest,
|
|
1626
|
-
funding_rate,
|
|
1627
|
-
liq_long,
|
|
1628
|
-
liq_short,
|
|
1629
|
-
liq_total
|
|
1630
|
-
FROM derivatives_market
|
|
1631
|
-
WHERE ts >= now() - ($1 || ' hours')::interval
|
|
1632
|
-
${symbolsFilterSql}
|
|
1633
|
-
),
|
|
1634
|
-
latest AS (
|
|
1635
|
-
SELECT DISTINCT ON (symbol, interval)
|
|
1636
|
-
symbol,
|
|
1637
|
-
interval,
|
|
1638
|
-
ts AS last_ts,
|
|
1639
|
-
open_interest AS latest_open_interest,
|
|
1640
|
-
funding_rate AS latest_funding_rate
|
|
1641
|
-
FROM filtered
|
|
1642
|
-
ORDER BY symbol ASC, interval ASC, ts DESC
|
|
1643
|
-
),
|
|
1644
|
-
first AS (
|
|
1645
|
-
SELECT DISTINCT ON (symbol, interval)
|
|
1646
|
-
symbol,
|
|
1647
|
-
interval,
|
|
1648
|
-
ts AS first_ts,
|
|
1649
|
-
open_interest AS first_open_interest,
|
|
1650
|
-
funding_rate AS first_funding_rate
|
|
1651
|
-
FROM filtered
|
|
1652
|
-
ORDER BY symbol ASC, interval ASC, ts ASC
|
|
1653
|
-
),
|
|
1654
|
-
aggregated AS (
|
|
1655
|
-
SELECT
|
|
1656
|
-
symbol,
|
|
1657
|
-
interval,
|
|
1658
|
-
COUNT(*)::int AS points,
|
|
1659
|
-
SUM(COALESCE(liq_long, 0)) AS sum_liq_long,
|
|
1660
|
-
SUM(COALESCE(liq_short, 0)) AS sum_liq_short,
|
|
1661
|
-
SUM(COALESCE(liq_total, 0)) AS sum_liq_total
|
|
1662
|
-
FROM filtered
|
|
1663
|
-
GROUP BY symbol, interval
|
|
1664
|
-
)
|
|
1665
|
-
SELECT
|
|
1666
|
-
aggregated.symbol,
|
|
1667
|
-
aggregated.interval,
|
|
1668
|
-
aggregated.points,
|
|
1669
|
-
latest.last_ts,
|
|
1670
|
-
first.first_ts,
|
|
1671
|
-
latest.latest_open_interest,
|
|
1672
|
-
first.first_open_interest,
|
|
1673
|
-
latest.latest_funding_rate,
|
|
1674
|
-
first.first_funding_rate,
|
|
1675
|
-
aggregated.sum_liq_long,
|
|
1676
|
-
aggregated.sum_liq_short,
|
|
1677
|
-
aggregated.sum_liq_total
|
|
1678
|
-
FROM aggregated
|
|
1679
|
-
JOIN latest
|
|
1680
|
-
ON latest.symbol = aggregated.symbol
|
|
1681
|
-
AND latest.interval = aggregated.interval
|
|
1682
|
-
JOIN first
|
|
1683
|
-
ON first.symbol = aggregated.symbol
|
|
1684
|
-
AND first.interval = aggregated.interval
|
|
1685
|
-
ORDER BY aggregated.sum_liq_total DESC, aggregated.symbol ASC
|
|
1686
|
-
LIMIT $2
|
|
1687
|
-
`,
|
|
1688
|
-
normalizedSymbols.length ? [String(cappedHours), cappedLimit, normalizedSymbols] : [String(cappedHours), cappedLimit]
|
|
1689
|
-
);
|
|
1690
|
-
const items = summaryQ.rows.map((row) => {
|
|
1691
|
-
const latestOpenInterest = row.latest_open_interest == null ? null : Number(row.latest_open_interest);
|
|
1692
|
-
const firstOpenInterest = row.first_open_interest == null ? null : Number(row.first_open_interest);
|
|
1693
|
-
const latestFundingRate = row.latest_funding_rate == null ? null : Number(row.latest_funding_rate);
|
|
1694
|
-
const firstFundingRate = row.first_funding_rate == null ? null : Number(row.first_funding_rate);
|
|
1695
|
-
const oiChange = latestOpenInterest != null && firstOpenInterest != null ? latestOpenInterest - firstOpenInterest : null;
|
|
1696
|
-
const oiChangePct = oiChange != null && firstOpenInterest != null && Number.isFinite(firstOpenInterest) && Math.abs(firstOpenInterest) > 0 ? oiChange / Math.abs(firstOpenInterest) * 100 : null;
|
|
1697
|
-
const fundingChange = latestFundingRate != null && firstFundingRate != null ? latestFundingRate - firstFundingRate : null;
|
|
1698
|
-
return {
|
|
1699
|
-
symbol: row.symbol,
|
|
1700
|
-
interval: row.interval,
|
|
1701
|
-
points: Number(row.points || 0),
|
|
1702
|
-
last_ts: row.last_ts,
|
|
1703
|
-
first_ts: row.first_ts,
|
|
1704
|
-
latest_open_interest: latestOpenInterest,
|
|
1705
|
-
first_open_interest: firstOpenInterest,
|
|
1706
|
-
oi_change: oiChange,
|
|
1707
|
-
oi_change_pct: oiChangePct,
|
|
1708
|
-
latest_funding_rate: latestFundingRate,
|
|
1709
|
-
first_funding_rate: firstFundingRate,
|
|
1710
|
-
funding_change: fundingChange,
|
|
1711
|
-
sum_liq_long: row.sum_liq_long == null ? null : Number(row.sum_liq_long),
|
|
1712
|
-
sum_liq_short: row.sum_liq_short == null ? null : Number(row.sum_liq_short),
|
|
1713
|
-
sum_liq_total: row.sum_liq_total == null ? null : Number(row.sum_liq_total)
|
|
1714
|
-
};
|
|
1715
|
-
});
|
|
1716
|
-
return {
|
|
1717
|
-
hours: cappedHours,
|
|
1718
|
-
items
|
|
1719
|
-
};
|
|
1720
|
-
}
|
|
1721
|
-
|
|
1722
|
-
// src/timescale/spread.ts
|
|
1723
|
-
async function upsertSpreadRows(rows) {
|
|
1724
|
-
if (!rows.length) return;
|
|
1725
|
-
await ensureSpreadSchema();
|
|
1726
|
-
const pool = getPool();
|
|
1727
|
-
const cols = [
|
|
1728
|
-
"symbol",
|
|
1729
|
-
"interval",
|
|
1730
|
-
"ts",
|
|
1731
|
-
"binance_price",
|
|
1732
|
-
"coinbase_price",
|
|
1733
|
-
"spread",
|
|
1734
|
-
"source"
|
|
1735
|
-
];
|
|
1736
|
-
const maxRows = Math.floor(65535 / cols.length);
|
|
1737
|
-
if (rows.length > maxRows) {
|
|
1738
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
1739
|
-
await upsertSpreadRows(rows.slice(i, i + maxRows));
|
|
1740
|
-
}
|
|
1741
|
-
return;
|
|
1742
|
-
}
|
|
1743
|
-
const valuesSql = rows.map(
|
|
1744
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
1745
|
-
).join(",");
|
|
1746
|
-
const flat = rows.flatMap((row) => [
|
|
1747
|
-
row.symbol,
|
|
1748
|
-
row.interval,
|
|
1749
|
-
row.ts,
|
|
1750
|
-
row.binancePrice ?? null,
|
|
1751
|
-
row.coinbasePrice ?? null,
|
|
1752
|
-
row.spread ?? null,
|
|
1753
|
-
row.source ?? null
|
|
1754
|
-
]);
|
|
1755
|
-
const sql = `
|
|
1756
|
-
INSERT INTO market_spread (${cols.join(",")})
|
|
1757
|
-
VALUES ${valuesSql}
|
|
1758
|
-
ON CONFLICT (symbol, interval, ts) DO UPDATE SET
|
|
1759
|
-
binance_price = COALESCE(EXCLUDED.binance_price, market_spread.binance_price),
|
|
1760
|
-
coinbase_price = COALESCE(EXCLUDED.coinbase_price, market_spread.coinbase_price),
|
|
1761
|
-
spread = COALESCE(EXCLUDED.spread, market_spread.spread),
|
|
1762
|
-
source = COALESCE(EXCLUDED.source, market_spread.source),
|
|
1763
|
-
ingested_at = now()
|
|
1764
|
-
`;
|
|
1765
|
-
await pool.query(sql, flat);
|
|
1766
|
-
}
|
|
1767
|
-
async function getSpreadRangeForSymbols(symbols, interval, startMs, endMs) {
|
|
1768
|
-
if (!symbols.length) {
|
|
1769
|
-
return [];
|
|
1770
|
-
}
|
|
1771
|
-
await ensureSpreadSchema();
|
|
1772
|
-
const pool = getPool();
|
|
1773
|
-
const sql = `
|
|
1774
|
-
SELECT symbol, interval, ts, binance_price, coinbase_price, spread
|
|
1775
|
-
FROM market_spread
|
|
1776
|
-
WHERE symbol = ANY($1)
|
|
1777
|
-
AND interval = $2
|
|
1778
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
1779
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
1780
|
-
ORDER BY symbol ASC, ts ASC
|
|
1781
|
-
`;
|
|
1782
|
-
const res = await pool.query(sql, [symbols, interval, startMs, endMs]);
|
|
1783
|
-
return res.rows;
|
|
1784
|
-
}
|
|
1785
|
-
async function getSpreadSummary(hours = 24, limit = 500) {
|
|
1786
|
-
await ensureSpreadSchema();
|
|
1787
|
-
const pool = getPool();
|
|
1788
|
-
const cappedHours = Math.max(1, Math.min(24 * 30, hours));
|
|
1789
|
-
const cappedLimit = Math.max(50, Math.min(5e3, limit));
|
|
1790
|
-
const rowsQ = await pool.query(
|
|
1791
|
-
`
|
|
1792
|
-
SELECT symbol, interval, ts, binance_price, coinbase_price, spread
|
|
1793
|
-
FROM market_spread
|
|
1794
|
-
WHERE ts >= now() - ($1 || ' hours')::interval
|
|
1795
|
-
ORDER BY ts DESC
|
|
1796
|
-
LIMIT $2
|
|
1797
|
-
`,
|
|
1798
|
-
[String(cappedHours), cappedLimit]
|
|
1799
|
-
);
|
|
1800
|
-
const aggQ = await pool.query(
|
|
1801
|
-
`
|
|
1802
|
-
SELECT
|
|
1803
|
-
symbol,
|
|
1804
|
-
interval,
|
|
1805
|
-
COUNT(*)::int AS points,
|
|
1806
|
-
MAX(ts) AS last_ts,
|
|
1807
|
-
AVG(spread) AS avg_spread,
|
|
1808
|
-
STDDEV_POP(spread) AS std_spread
|
|
1809
|
-
FROM market_spread
|
|
1810
|
-
WHERE ts >= now() - ($1 || ' hours')::interval
|
|
1811
|
-
GROUP BY symbol, interval
|
|
1812
|
-
ORDER BY points DESC, symbol ASC
|
|
1813
|
-
LIMIT 500
|
|
1814
|
-
`,
|
|
1815
|
-
[String(cappedHours)]
|
|
1816
|
-
);
|
|
1817
|
-
return {
|
|
1818
|
-
rows: rowsQ.rows,
|
|
1819
|
-
aggregates: aggQ.rows,
|
|
1820
|
-
hours: cappedHours
|
|
1821
|
-
};
|
|
1822
|
-
}
|
|
1823
|
-
|
|
1824
|
-
// src/timescale/marketContext.ts
|
|
1825
|
-
async function upsertMarketTradeFlowRows(rows) {
|
|
1826
|
-
if (!rows.length) return;
|
|
1827
|
-
await ensureBinanceMarketSchema();
|
|
1828
|
-
const pool = getPool();
|
|
1829
|
-
const cols = [
|
|
1830
|
-
"symbol",
|
|
1831
|
-
"interval",
|
|
1832
|
-
"ts",
|
|
1833
|
-
"trades",
|
|
1834
|
-
"buy_base_volume",
|
|
1835
|
-
"sell_base_volume",
|
|
1836
|
-
"buy_quote_volume",
|
|
1837
|
-
"sell_quote_volume",
|
|
1838
|
-
"net_base_delta",
|
|
1839
|
-
"net_quote_delta",
|
|
1840
|
-
"buy_pressure_pct",
|
|
1841
|
-
"source"
|
|
1842
|
-
];
|
|
1843
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
1844
|
-
if (rows.length > maxRows) {
|
|
1845
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
1846
|
-
await upsertMarketTradeFlowRows(rows.slice(i, i + maxRows));
|
|
1847
|
-
}
|
|
1848
|
-
return;
|
|
1849
|
-
}
|
|
1850
|
-
const valuesSql = rows.map(
|
|
1851
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
1852
|
-
).join(",");
|
|
1853
|
-
const flat = rows.flatMap((row) => [
|
|
1854
|
-
row.symbol,
|
|
1855
|
-
row.interval,
|
|
1856
|
-
row.ts,
|
|
1857
|
-
row.trades,
|
|
1858
|
-
row.buyBaseVolume ?? null,
|
|
1859
|
-
row.sellBaseVolume ?? null,
|
|
1860
|
-
row.buyQuoteVolume ?? null,
|
|
1861
|
-
row.sellQuoteVolume ?? null,
|
|
1862
|
-
row.netBaseDelta ?? null,
|
|
1863
|
-
row.netQuoteDelta ?? null,
|
|
1864
|
-
row.buyPressurePct ?? null,
|
|
1865
|
-
row.source ?? null
|
|
1866
|
-
]);
|
|
1867
|
-
await pool.query(
|
|
1868
|
-
`
|
|
1869
|
-
INSERT INTO market_trade_flow (${cols.join(",")})
|
|
1870
|
-
VALUES ${valuesSql}
|
|
1871
|
-
ON CONFLICT (symbol, interval, ts) DO UPDATE SET
|
|
1872
|
-
trades = EXCLUDED.trades,
|
|
1873
|
-
buy_base_volume = COALESCE(EXCLUDED.buy_base_volume, market_trade_flow.buy_base_volume),
|
|
1874
|
-
sell_base_volume = COALESCE(EXCLUDED.sell_base_volume, market_trade_flow.sell_base_volume),
|
|
1875
|
-
buy_quote_volume = COALESCE(EXCLUDED.buy_quote_volume, market_trade_flow.buy_quote_volume),
|
|
1876
|
-
sell_quote_volume = COALESCE(EXCLUDED.sell_quote_volume, market_trade_flow.sell_quote_volume),
|
|
1877
|
-
net_base_delta = COALESCE(EXCLUDED.net_base_delta, market_trade_flow.net_base_delta),
|
|
1878
|
-
net_quote_delta = COALESCE(EXCLUDED.net_quote_delta, market_trade_flow.net_quote_delta),
|
|
1879
|
-
buy_pressure_pct = COALESCE(EXCLUDED.buy_pressure_pct, market_trade_flow.buy_pressure_pct),
|
|
1880
|
-
source = COALESCE(EXCLUDED.source, market_trade_flow.source),
|
|
1881
|
-
ingested_at = now()
|
|
1882
|
-
`,
|
|
1883
|
-
flat
|
|
1884
|
-
);
|
|
1885
|
-
}
|
|
1886
|
-
async function upsertMarketBreadthRows(rows) {
|
|
1887
|
-
if (!rows.length) return;
|
|
1888
|
-
await ensureBinanceMarketSchema();
|
|
1889
|
-
const pool = getPool();
|
|
1890
|
-
const cols = [
|
|
1891
|
-
"universe",
|
|
1892
|
-
"interval",
|
|
1893
|
-
"ts",
|
|
1894
|
-
"symbols_count",
|
|
1895
|
-
"advancers",
|
|
1896
|
-
"decliners",
|
|
1897
|
-
"unchanged",
|
|
1898
|
-
"advance_decline_ratio",
|
|
1899
|
-
"pct_above_ma20",
|
|
1900
|
-
"pct_above_ma50",
|
|
1901
|
-
"equal_weighted_return",
|
|
1902
|
-
"volume_weighted_return",
|
|
1903
|
-
"dispersion",
|
|
1904
|
-
"btc_return_1h",
|
|
1905
|
-
"btc_return_4h",
|
|
1906
|
-
"btc_return_24h",
|
|
1907
|
-
"alt_basket_return_1h",
|
|
1908
|
-
"alt_basket_return_4h",
|
|
1909
|
-
"alt_basket_return_24h",
|
|
1910
|
-
"btc_vs_alt_return_1h",
|
|
1911
|
-
"btc_vs_alt_return_4h",
|
|
1912
|
-
"btc_vs_alt_return_24h",
|
|
1913
|
-
"btc_turnover_share_1h",
|
|
1914
|
-
"btc_turnover_share_24h",
|
|
1915
|
-
"btc_turnover_share_change_24h",
|
|
1916
|
-
"alt_vol_to_btc_vol_24h",
|
|
1917
|
-
"alt_dispersion_24h",
|
|
1918
|
-
"btc_alt_regime",
|
|
1919
|
-
"source"
|
|
1920
|
-
];
|
|
1921
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
1922
|
-
if (rows.length > maxRows) {
|
|
1923
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
1924
|
-
await upsertMarketBreadthRows(rows.slice(i, i + maxRows));
|
|
1925
|
-
}
|
|
1926
|
-
return;
|
|
1927
|
-
}
|
|
1928
|
-
const valuesSql = rows.map(
|
|
1929
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
1930
|
-
).join(",");
|
|
1931
|
-
const flat = rows.flatMap((row) => [
|
|
1932
|
-
row.universe,
|
|
1933
|
-
row.interval,
|
|
1934
|
-
row.ts,
|
|
1935
|
-
row.symbolsCount,
|
|
1936
|
-
row.advancers,
|
|
1937
|
-
row.decliners,
|
|
1938
|
-
row.unchanged,
|
|
1939
|
-
row.advanceDeclineRatio ?? null,
|
|
1940
|
-
row.pctAboveMa20 ?? null,
|
|
1941
|
-
row.pctAboveMa50 ?? null,
|
|
1942
|
-
row.equalWeightedReturn ?? null,
|
|
1943
|
-
row.volumeWeightedReturn ?? null,
|
|
1944
|
-
row.dispersion ?? null,
|
|
1945
|
-
row.btcReturn1h ?? null,
|
|
1946
|
-
row.btcReturn4h ?? null,
|
|
1947
|
-
row.btcReturn24h ?? null,
|
|
1948
|
-
row.altBasketReturn1h ?? null,
|
|
1949
|
-
row.altBasketReturn4h ?? null,
|
|
1950
|
-
row.altBasketReturn24h ?? null,
|
|
1951
|
-
row.btcVsAltReturn1h ?? null,
|
|
1952
|
-
row.btcVsAltReturn4h ?? null,
|
|
1953
|
-
row.btcVsAltReturn24h ?? null,
|
|
1954
|
-
row.btcTurnoverShare1h ?? null,
|
|
1955
|
-
row.btcTurnoverShare24h ?? null,
|
|
1956
|
-
row.btcTurnoverShareChange24h ?? null,
|
|
1957
|
-
row.altVolToBtcVol24h ?? null,
|
|
1958
|
-
row.altDispersion24h ?? null,
|
|
1959
|
-
row.btcAltRegime ?? null,
|
|
1960
|
-
row.source ?? null
|
|
1961
|
-
]);
|
|
1962
|
-
await pool.query(
|
|
1963
|
-
`
|
|
1964
|
-
INSERT INTO market_breadth (${cols.join(",")})
|
|
1965
|
-
VALUES ${valuesSql}
|
|
1966
|
-
ON CONFLICT (universe, interval, ts) DO UPDATE SET
|
|
1967
|
-
symbols_count = EXCLUDED.symbols_count,
|
|
1968
|
-
advancers = EXCLUDED.advancers,
|
|
1969
|
-
decliners = EXCLUDED.decliners,
|
|
1970
|
-
unchanged = EXCLUDED.unchanged,
|
|
1971
|
-
advance_decline_ratio = COALESCE(EXCLUDED.advance_decline_ratio, market_breadth.advance_decline_ratio),
|
|
1972
|
-
pct_above_ma20 = COALESCE(EXCLUDED.pct_above_ma20, market_breadth.pct_above_ma20),
|
|
1973
|
-
pct_above_ma50 = COALESCE(EXCLUDED.pct_above_ma50, market_breadth.pct_above_ma50),
|
|
1974
|
-
equal_weighted_return = COALESCE(EXCLUDED.equal_weighted_return, market_breadth.equal_weighted_return),
|
|
1975
|
-
volume_weighted_return = COALESCE(EXCLUDED.volume_weighted_return, market_breadth.volume_weighted_return),
|
|
1976
|
-
dispersion = COALESCE(EXCLUDED.dispersion, market_breadth.dispersion),
|
|
1977
|
-
btc_return_1h = COALESCE(EXCLUDED.btc_return_1h, market_breadth.btc_return_1h),
|
|
1978
|
-
btc_return_4h = COALESCE(EXCLUDED.btc_return_4h, market_breadth.btc_return_4h),
|
|
1979
|
-
btc_return_24h = COALESCE(EXCLUDED.btc_return_24h, market_breadth.btc_return_24h),
|
|
1980
|
-
alt_basket_return_1h = COALESCE(EXCLUDED.alt_basket_return_1h, market_breadth.alt_basket_return_1h),
|
|
1981
|
-
alt_basket_return_4h = COALESCE(EXCLUDED.alt_basket_return_4h, market_breadth.alt_basket_return_4h),
|
|
1982
|
-
alt_basket_return_24h = COALESCE(EXCLUDED.alt_basket_return_24h, market_breadth.alt_basket_return_24h),
|
|
1983
|
-
btc_vs_alt_return_1h = COALESCE(EXCLUDED.btc_vs_alt_return_1h, market_breadth.btc_vs_alt_return_1h),
|
|
1984
|
-
btc_vs_alt_return_4h = COALESCE(EXCLUDED.btc_vs_alt_return_4h, market_breadth.btc_vs_alt_return_4h),
|
|
1985
|
-
btc_vs_alt_return_24h = COALESCE(EXCLUDED.btc_vs_alt_return_24h, market_breadth.btc_vs_alt_return_24h),
|
|
1986
|
-
btc_turnover_share_1h = COALESCE(EXCLUDED.btc_turnover_share_1h, market_breadth.btc_turnover_share_1h),
|
|
1987
|
-
btc_turnover_share_24h = COALESCE(EXCLUDED.btc_turnover_share_24h, market_breadth.btc_turnover_share_24h),
|
|
1988
|
-
btc_turnover_share_change_24h = COALESCE(EXCLUDED.btc_turnover_share_change_24h, market_breadth.btc_turnover_share_change_24h),
|
|
1989
|
-
alt_vol_to_btc_vol_24h = COALESCE(EXCLUDED.alt_vol_to_btc_vol_24h, market_breadth.alt_vol_to_btc_vol_24h),
|
|
1990
|
-
alt_dispersion_24h = COALESCE(EXCLUDED.alt_dispersion_24h, market_breadth.alt_dispersion_24h),
|
|
1991
|
-
btc_alt_regime = COALESCE(EXCLUDED.btc_alt_regime, market_breadth.btc_alt_regime),
|
|
1992
|
-
source = COALESCE(EXCLUDED.source, market_breadth.source),
|
|
1993
|
-
ingested_at = now()
|
|
1994
|
-
`,
|
|
1995
|
-
flat
|
|
1996
|
-
);
|
|
1997
|
-
}
|
|
1998
|
-
async function upsertMarketGlobalContextRows(rows) {
|
|
1999
|
-
if (!rows.length) return;
|
|
2000
|
-
await ensureBinanceMarketSchema();
|
|
2001
|
-
const pool = getPool();
|
|
2002
|
-
const cols = [
|
|
2003
|
-
"source",
|
|
2004
|
-
"ts",
|
|
2005
|
-
"updated_at_ts",
|
|
2006
|
-
"active_cryptocurrencies",
|
|
2007
|
-
"active_exchanges",
|
|
2008
|
-
"active_market_pairs",
|
|
2009
|
-
"markets",
|
|
2010
|
-
"total_market_cap_usd",
|
|
2011
|
-
"total_volume_usd",
|
|
2012
|
-
"total_volume_reported_usd",
|
|
2013
|
-
"btc_dominance_pct",
|
|
2014
|
-
"eth_dominance_pct",
|
|
2015
|
-
"alt_market_cap_usd",
|
|
2016
|
-
"alt_volume_usd",
|
|
2017
|
-
"alt_volume_reported_usd",
|
|
2018
|
-
"btc_to_alt_market_cap_ratio",
|
|
2019
|
-
"market_cap_change_pct_24h_usd"
|
|
2020
|
-
];
|
|
2021
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
2022
|
-
if (rows.length > maxRows) {
|
|
2023
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
2024
|
-
await upsertMarketGlobalContextRows(rows.slice(i, i + maxRows));
|
|
2025
|
-
}
|
|
2026
|
-
return;
|
|
2027
|
-
}
|
|
2028
|
-
const valuesSql = rows.map(
|
|
2029
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
2030
|
-
).join(",");
|
|
2031
|
-
const flat = rows.flatMap((row) => [
|
|
2032
|
-
row.source,
|
|
2033
|
-
row.ts,
|
|
2034
|
-
row.updatedAt ?? null,
|
|
2035
|
-
row.activeCryptocurrencies ?? null,
|
|
2036
|
-
row.activeExchanges ?? null,
|
|
2037
|
-
row.activeMarketPairs ?? null,
|
|
2038
|
-
row.markets ?? null,
|
|
2039
|
-
row.totalMarketCapUsd ?? null,
|
|
2040
|
-
row.totalVolumeUsd ?? null,
|
|
2041
|
-
row.totalVolumeReportedUsd ?? null,
|
|
2042
|
-
row.btcDominancePct ?? null,
|
|
2043
|
-
row.ethDominancePct ?? null,
|
|
2044
|
-
row.altMarketCapUsd ?? null,
|
|
2045
|
-
row.altVolumeUsd ?? null,
|
|
2046
|
-
row.altVolumeReportedUsd ?? null,
|
|
2047
|
-
row.btcToAltMarketCapRatio ?? null,
|
|
2048
|
-
row.marketCapChangePct24hUsd ?? null
|
|
2049
|
-
]);
|
|
2050
|
-
await pool.query(
|
|
2051
|
-
`
|
|
2052
|
-
INSERT INTO market_global_context (${cols.join(",")})
|
|
2053
|
-
VALUES ${valuesSql}
|
|
2054
|
-
ON CONFLICT (source, ts) DO UPDATE SET
|
|
2055
|
-
updated_at_ts = COALESCE(EXCLUDED.updated_at_ts, market_global_context.updated_at_ts),
|
|
2056
|
-
active_cryptocurrencies = COALESCE(EXCLUDED.active_cryptocurrencies, market_global_context.active_cryptocurrencies),
|
|
2057
|
-
active_exchanges = COALESCE(EXCLUDED.active_exchanges, market_global_context.active_exchanges),
|
|
2058
|
-
active_market_pairs = COALESCE(EXCLUDED.active_market_pairs, market_global_context.active_market_pairs),
|
|
2059
|
-
markets = COALESCE(EXCLUDED.markets, market_global_context.markets),
|
|
2060
|
-
total_market_cap_usd = COALESCE(EXCLUDED.total_market_cap_usd, market_global_context.total_market_cap_usd),
|
|
2061
|
-
total_volume_usd = COALESCE(EXCLUDED.total_volume_usd, market_global_context.total_volume_usd),
|
|
2062
|
-
total_volume_reported_usd = COALESCE(EXCLUDED.total_volume_reported_usd, market_global_context.total_volume_reported_usd),
|
|
2063
|
-
btc_dominance_pct = COALESCE(EXCLUDED.btc_dominance_pct, market_global_context.btc_dominance_pct),
|
|
2064
|
-
eth_dominance_pct = COALESCE(EXCLUDED.eth_dominance_pct, market_global_context.eth_dominance_pct),
|
|
2065
|
-
alt_market_cap_usd = COALESCE(EXCLUDED.alt_market_cap_usd, market_global_context.alt_market_cap_usd),
|
|
2066
|
-
alt_volume_usd = COALESCE(EXCLUDED.alt_volume_usd, market_global_context.alt_volume_usd),
|
|
2067
|
-
alt_volume_reported_usd = COALESCE(EXCLUDED.alt_volume_reported_usd, market_global_context.alt_volume_reported_usd),
|
|
2068
|
-
btc_to_alt_market_cap_ratio = COALESCE(EXCLUDED.btc_to_alt_market_cap_ratio, market_global_context.btc_to_alt_market_cap_ratio),
|
|
2069
|
-
market_cap_change_pct_24h_usd = COALESCE(EXCLUDED.market_cap_change_pct_24h_usd, market_global_context.market_cap_change_pct_24h_usd),
|
|
2070
|
-
ingested_at = now()
|
|
2071
|
-
`,
|
|
2072
|
-
flat
|
|
2073
|
-
);
|
|
2074
|
-
}
|
|
2075
|
-
async function upsertMarketReferenceAssetContextRows(rows) {
|
|
2076
|
-
if (!rows.length) return;
|
|
2077
|
-
await ensureBinanceMarketSchema();
|
|
2078
|
-
const pool = getPool();
|
|
2079
|
-
const cols = [
|
|
2080
|
-
"source",
|
|
2081
|
-
"symbol",
|
|
2082
|
-
"cmc_id",
|
|
2083
|
-
"interval",
|
|
2084
|
-
"ts",
|
|
2085
|
-
"open_usd",
|
|
2086
|
-
"high_usd",
|
|
2087
|
-
"low_usd",
|
|
2088
|
-
"close_usd",
|
|
2089
|
-
"volume_usd",
|
|
2090
|
-
"market_cap_usd"
|
|
2091
|
-
];
|
|
2092
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
2093
|
-
if (rows.length > maxRows) {
|
|
2094
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
2095
|
-
await upsertMarketReferenceAssetContextRows(rows.slice(i, i + maxRows));
|
|
2096
|
-
}
|
|
2097
|
-
return;
|
|
2098
|
-
}
|
|
2099
|
-
const valuesSql = rows.map(
|
|
2100
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
2101
|
-
).join(",");
|
|
2102
|
-
const flat = rows.flatMap((row) => [
|
|
2103
|
-
row.source,
|
|
2104
|
-
row.symbol.trim().toUpperCase(),
|
|
2105
|
-
Math.trunc(row.cmcId),
|
|
2106
|
-
row.interval,
|
|
2107
|
-
row.ts,
|
|
2108
|
-
row.openUsd ?? null,
|
|
2109
|
-
row.highUsd ?? null,
|
|
2110
|
-
row.lowUsd ?? null,
|
|
2111
|
-
row.closeUsd ?? null,
|
|
2112
|
-
row.volumeUsd ?? null,
|
|
2113
|
-
row.marketCapUsd ?? null
|
|
2114
|
-
]);
|
|
2115
|
-
await pool.query(
|
|
2116
|
-
`
|
|
2117
|
-
INSERT INTO market_reference_asset_context (${cols.join(",")})
|
|
2118
|
-
VALUES ${valuesSql}
|
|
2119
|
-
ON CONFLICT (source, symbol, interval, ts) DO UPDATE SET
|
|
2120
|
-
cmc_id = EXCLUDED.cmc_id,
|
|
2121
|
-
open_usd = COALESCE(EXCLUDED.open_usd, market_reference_asset_context.open_usd),
|
|
2122
|
-
high_usd = COALESCE(EXCLUDED.high_usd, market_reference_asset_context.high_usd),
|
|
2123
|
-
low_usd = COALESCE(EXCLUDED.low_usd, market_reference_asset_context.low_usd),
|
|
2124
|
-
close_usd = COALESCE(EXCLUDED.close_usd, market_reference_asset_context.close_usd),
|
|
2125
|
-
volume_usd = COALESCE(EXCLUDED.volume_usd, market_reference_asset_context.volume_usd),
|
|
2126
|
-
market_cap_usd = COALESCE(EXCLUDED.market_cap_usd, market_reference_asset_context.market_cap_usd),
|
|
2127
|
-
ingested_at = now()
|
|
2128
|
-
`,
|
|
2129
|
-
flat
|
|
2130
|
-
);
|
|
2131
|
-
}
|
|
2132
|
-
async function upsertMarketCmcExchangeLiquidityContextRows(rows) {
|
|
2133
|
-
if (!rows.length) return;
|
|
2134
|
-
await ensureBinanceMarketSchema();
|
|
2135
|
-
const pool = getPool();
|
|
2136
|
-
const cols = [
|
|
2137
|
-
"source",
|
|
2138
|
-
"interval",
|
|
2139
|
-
"ts",
|
|
2140
|
-
"exchanges_count",
|
|
2141
|
-
"total_volume_usd",
|
|
2142
|
-
"binance_volume_usd",
|
|
2143
|
-
"binance_volume_share",
|
|
2144
|
-
"top_exchange_volume_share",
|
|
2145
|
-
"liquidity_regime"
|
|
2146
|
-
];
|
|
2147
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
2148
|
-
if (rows.length > maxRows) {
|
|
2149
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
2150
|
-
await upsertMarketCmcExchangeLiquidityContextRows(
|
|
2151
|
-
rows.slice(i, i + maxRows)
|
|
2152
|
-
);
|
|
2153
|
-
}
|
|
2154
|
-
return;
|
|
2155
|
-
}
|
|
2156
|
-
const valuesSql = rows.map(
|
|
2157
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
2158
|
-
).join(",");
|
|
2159
|
-
const flat = rows.flatMap((row) => [
|
|
2160
|
-
row.source,
|
|
2161
|
-
row.interval,
|
|
2162
|
-
row.ts,
|
|
2163
|
-
Math.trunc(row.exchangesCount),
|
|
2164
|
-
row.totalVolumeUsd ?? null,
|
|
2165
|
-
row.binanceVolumeUsd ?? null,
|
|
2166
|
-
row.binanceVolumeShare ?? null,
|
|
2167
|
-
row.topExchangeVolumeShare ?? null,
|
|
2168
|
-
row.liquidityRegime ?? null
|
|
2169
|
-
]);
|
|
2170
|
-
await pool.query(
|
|
2171
|
-
`
|
|
2172
|
-
INSERT INTO market_cmc_exchange_liquidity_context (${cols.join(",")})
|
|
2173
|
-
VALUES ${valuesSql}
|
|
2174
|
-
ON CONFLICT (source, interval, ts) DO UPDATE SET
|
|
2175
|
-
exchanges_count = EXCLUDED.exchanges_count,
|
|
2176
|
-
total_volume_usd = COALESCE(EXCLUDED.total_volume_usd, market_cmc_exchange_liquidity_context.total_volume_usd),
|
|
2177
|
-
binance_volume_usd = COALESCE(EXCLUDED.binance_volume_usd, market_cmc_exchange_liquidity_context.binance_volume_usd),
|
|
2178
|
-
binance_volume_share = COALESCE(EXCLUDED.binance_volume_share, market_cmc_exchange_liquidity_context.binance_volume_share),
|
|
2179
|
-
top_exchange_volume_share = COALESCE(EXCLUDED.top_exchange_volume_share, market_cmc_exchange_liquidity_context.top_exchange_volume_share),
|
|
2180
|
-
liquidity_regime = COALESCE(EXCLUDED.liquidity_regime, market_cmc_exchange_liquidity_context.liquidity_regime),
|
|
2181
|
-
ingested_at = now()
|
|
2182
|
-
`,
|
|
2183
|
-
flat
|
|
2184
|
-
);
|
|
2185
|
-
}
|
|
2186
|
-
async function upsertMarketCmcFearGreedContextRows(rows) {
|
|
2187
|
-
if (!rows.length) return;
|
|
2188
|
-
await ensureBinanceMarketSchema();
|
|
2189
|
-
const pool = getPool();
|
|
2190
|
-
const cols = [
|
|
2191
|
-
"source",
|
|
2192
|
-
"interval",
|
|
2193
|
-
"ts",
|
|
2194
|
-
"value",
|
|
2195
|
-
"classification",
|
|
2196
|
-
"sentiment_regime"
|
|
2197
|
-
];
|
|
2198
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
2199
|
-
if (rows.length > maxRows) {
|
|
2200
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
2201
|
-
await upsertMarketCmcFearGreedContextRows(rows.slice(i, i + maxRows));
|
|
2202
|
-
}
|
|
2203
|
-
return;
|
|
2204
|
-
}
|
|
2205
|
-
const valuesSql = rows.map(
|
|
2206
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
2207
|
-
).join(",");
|
|
2208
|
-
const flat = rows.flatMap((row) => [
|
|
2209
|
-
row.source,
|
|
2210
|
-
row.interval,
|
|
2211
|
-
row.ts,
|
|
2212
|
-
Math.trunc(row.value),
|
|
2213
|
-
row.classification,
|
|
2214
|
-
row.sentimentRegime
|
|
2215
|
-
]);
|
|
2216
|
-
await pool.query(
|
|
2217
|
-
`
|
|
2218
|
-
INSERT INTO market_cmc_fear_greed_context (${cols.join(",")})
|
|
2219
|
-
VALUES ${valuesSql}
|
|
2220
|
-
ON CONFLICT (source, interval, ts) DO UPDATE SET
|
|
2221
|
-
value = EXCLUDED.value,
|
|
2222
|
-
classification = EXCLUDED.classification,
|
|
2223
|
-
sentiment_regime = EXCLUDED.sentiment_regime,
|
|
2224
|
-
ingested_at = now()
|
|
2225
|
-
`,
|
|
2226
|
-
flat
|
|
2227
|
-
);
|
|
2228
|
-
}
|
|
2229
|
-
async function upsertMarketCmcIndexContextRows(rows) {
|
|
2230
|
-
if (!rows.length) return;
|
|
2231
|
-
await ensureBinanceMarketSchema();
|
|
2232
|
-
const pool = getPool();
|
|
2233
|
-
const cols = [
|
|
2234
|
-
"source",
|
|
2235
|
-
"index_slug",
|
|
2236
|
-
"interval",
|
|
2237
|
-
"ts",
|
|
2238
|
-
"value",
|
|
2239
|
-
"constituents_count",
|
|
2240
|
-
"top_constituent_symbol",
|
|
2241
|
-
"top_constituent_weight_pct",
|
|
2242
|
-
"constituents"
|
|
2243
|
-
];
|
|
2244
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
2245
|
-
if (rows.length > maxRows) {
|
|
2246
|
-
for (let i = 0; i < rows.length; i += maxRows) {
|
|
2247
|
-
await upsertMarketCmcIndexContextRows(rows.slice(i, i + maxRows));
|
|
2248
|
-
}
|
|
2249
|
-
return;
|
|
2250
|
-
}
|
|
2251
|
-
const valuesSql = rows.map(
|
|
2252
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
2253
|
-
).join(",");
|
|
2254
|
-
const flat = rows.flatMap((row) => [
|
|
2255
|
-
row.source,
|
|
2256
|
-
row.indexSlug,
|
|
2257
|
-
row.interval,
|
|
2258
|
-
row.ts,
|
|
2259
|
-
row.value,
|
|
2260
|
-
row.constituentsCount ?? null,
|
|
2261
|
-
row.topConstituentSymbol ?? null,
|
|
2262
|
-
row.topConstituentWeightPct ?? null,
|
|
2263
|
-
row.constituents ? JSON.stringify(row.constituents) : null
|
|
2264
|
-
]);
|
|
2265
|
-
await pool.query(
|
|
2266
|
-
`
|
|
2267
|
-
INSERT INTO market_cmc_index_context (${cols.join(",")})
|
|
2268
|
-
VALUES ${valuesSql}
|
|
2269
|
-
ON CONFLICT (source, index_slug, interval, ts) DO UPDATE SET
|
|
2270
|
-
value = EXCLUDED.value,
|
|
2271
|
-
constituents_count = COALESCE(EXCLUDED.constituents_count, market_cmc_index_context.constituents_count),
|
|
2272
|
-
top_constituent_symbol = COALESCE(EXCLUDED.top_constituent_symbol, market_cmc_index_context.top_constituent_symbol),
|
|
2273
|
-
top_constituent_weight_pct = COALESCE(EXCLUDED.top_constituent_weight_pct, market_cmc_index_context.top_constituent_weight_pct),
|
|
2274
|
-
constituents = COALESCE(EXCLUDED.constituents, market_cmc_index_context.constituents),
|
|
2275
|
-
ingested_at = now()
|
|
2276
|
-
`,
|
|
2277
|
-
flat
|
|
2278
|
-
);
|
|
2279
|
-
}
|
|
2280
|
-
async function getMarketContextBackfillCoverage(params) {
|
|
2281
|
-
const source = String(params.source || "").trim().toLowerCase();
|
|
2282
|
-
const scopes = [
|
|
2283
|
-
...new Set(
|
|
2284
|
-
params.scopes.map(
|
|
2285
|
-
(scope) => String(scope || "").trim().toLowerCase()
|
|
2286
|
-
).filter(Boolean)
|
|
2287
|
-
)
|
|
2288
|
-
];
|
|
2289
|
-
const interval = String(params.interval || "").trim().toLowerCase();
|
|
2290
|
-
if (!source || !scopes.length || !interval) return [];
|
|
2291
|
-
await ensureBinanceMarketSchema();
|
|
2292
|
-
const pool = getPool();
|
|
2293
|
-
const res = await pool.query(
|
|
2294
|
-
`
|
|
2295
|
-
SELECT
|
|
2296
|
-
source,
|
|
2297
|
-
scope,
|
|
2298
|
-
interval,
|
|
2299
|
-
extract(epoch from from_ts)*1000 AS from_ms,
|
|
2300
|
-
extract(epoch from to_ts)*1000 AS to_ms,
|
|
2301
|
-
rows_count,
|
|
2302
|
-
extract(epoch from checked_at)*1000 AS checked_at_ms
|
|
2303
|
-
FROM market_context_backfill_coverage
|
|
2304
|
-
WHERE source = $1
|
|
2305
|
-
AND scope = ANY($2)
|
|
2306
|
-
AND interval = $3
|
|
2307
|
-
AND from_ts >= to_timestamp($4/1000.0)
|
|
2308
|
-
AND to_ts <= to_timestamp($5/1000.0)
|
|
2309
|
-
`,
|
|
2310
|
-
[source, scopes, interval, params.fromMs, params.toMs]
|
|
2311
|
-
);
|
|
2312
|
-
return res.rows.map((row) => {
|
|
2313
|
-
const checkedAtMs = Number(row.checked_at_ms);
|
|
2314
|
-
return {
|
|
2315
|
-
source: String(row.source).toLowerCase(),
|
|
2316
|
-
scope: String(row.scope).toLowerCase(),
|
|
2317
|
-
interval: String(row.interval).toLowerCase(),
|
|
2318
|
-
fromMs: Number(row.from_ms),
|
|
2319
|
-
toMs: Number(row.to_ms),
|
|
2320
|
-
rowsCount: Number(row.rows_count ?? 0),
|
|
2321
|
-
...Number.isFinite(checkedAtMs) ? { checkedAtMs } : {}
|
|
2322
|
-
};
|
|
2323
|
-
});
|
|
2324
|
-
}
|
|
2325
|
-
async function upsertMarketContextBackfillCoverage(rows) {
|
|
2326
|
-
const normalizedRows = rows.map((row) => ({
|
|
2327
|
-
source: String(row.source || "").trim().toLowerCase(),
|
|
2328
|
-
scope: String(row.scope || "").trim().toLowerCase(),
|
|
2329
|
-
interval: String(row.interval || "").trim().toLowerCase(),
|
|
2330
|
-
fromMs: Math.trunc(row.fromMs),
|
|
2331
|
-
toMs: Math.trunc(row.toMs),
|
|
2332
|
-
rowsCount: Math.max(0, Math.trunc(row.rowsCount))
|
|
2333
|
-
})).filter(
|
|
2334
|
-
(row) => row.source && row.scope && row.interval && Number.isFinite(row.fromMs) && Number.isFinite(row.toMs) && row.toMs >= row.fromMs
|
|
2335
|
-
);
|
|
2336
|
-
if (!normalizedRows.length) return;
|
|
2337
|
-
await ensureBinanceMarketSchema();
|
|
2338
|
-
const pool = getPool();
|
|
2339
|
-
const cols = [
|
|
2340
|
-
"source",
|
|
2341
|
-
"scope",
|
|
2342
|
-
"interval",
|
|
2343
|
-
"from_ts",
|
|
2344
|
-
"to_ts",
|
|
2345
|
-
"rows_count"
|
|
2346
|
-
];
|
|
2347
|
-
const valuesSql = normalizedRows.map(
|
|
2348
|
-
(_, i) => `(${cols.map((__, j) => `$${i * cols.length + j + 1}`).join(",")})`
|
|
2349
|
-
).join(",");
|
|
2350
|
-
const flat = normalizedRows.flatMap((row) => [
|
|
2351
|
-
row.source,
|
|
2352
|
-
row.scope,
|
|
2353
|
-
row.interval,
|
|
2354
|
-
new Date(row.fromMs),
|
|
2355
|
-
new Date(row.toMs),
|
|
2356
|
-
row.rowsCount
|
|
2357
|
-
]);
|
|
2358
|
-
await pool.query(
|
|
2359
|
-
`
|
|
2360
|
-
INSERT INTO market_context_backfill_coverage (${cols.join(",")})
|
|
2361
|
-
VALUES ${valuesSql}
|
|
2362
|
-
ON CONFLICT (source, scope, interval, from_ts, to_ts) DO UPDATE SET
|
|
2363
|
-
rows_count = EXCLUDED.rows_count,
|
|
2364
|
-
checked_at = now()
|
|
2365
|
-
`,
|
|
2366
|
-
flat
|
|
2367
|
-
);
|
|
2368
|
-
}
|
|
2369
|
-
async function getLatestMarketTradeFlow(params) {
|
|
2370
|
-
await prepareMarketContextSchemaForRead("binance");
|
|
2371
|
-
const res = await queryMarketContext(
|
|
2372
|
-
`
|
|
2373
|
-
SELECT
|
|
2374
|
-
symbol,
|
|
2375
|
-
interval,
|
|
2376
|
-
ts,
|
|
2377
|
-
trades::int AS trades,
|
|
2378
|
-
buy_base_volume AS "buyBaseVolume",
|
|
2379
|
-
sell_base_volume AS "sellBaseVolume",
|
|
2380
|
-
buy_quote_volume AS "buyQuoteVolume",
|
|
2381
|
-
sell_quote_volume AS "sellQuoteVolume",
|
|
2382
|
-
net_base_delta AS "netBaseDelta",
|
|
2383
|
-
net_quote_delta AS "netQuoteDelta",
|
|
2384
|
-
buy_pressure_pct AS "buyPressurePct",
|
|
2385
|
-
source
|
|
2386
|
-
FROM market_trade_flow
|
|
2387
|
-
WHERE symbol = $1
|
|
2388
|
-
AND interval = $2
|
|
2389
|
-
AND ts <= to_timestamp($3/1000.0)
|
|
2390
|
-
ORDER BY ts DESC
|
|
2391
|
-
LIMIT 1
|
|
2392
|
-
`,
|
|
2393
|
-
[params.symbol.toUpperCase(), params.interval, params.atMs],
|
|
2394
|
-
params
|
|
2395
|
-
);
|
|
2396
|
-
const row = res.rows[0];
|
|
2397
|
-
if (!row) return null;
|
|
2398
|
-
const ageMs = toMarketFeatureAge(row.ts, params.atMs);
|
|
2399
|
-
return {
|
|
2400
|
-
...row,
|
|
2401
|
-
ageMs,
|
|
2402
|
-
stale: ageMs == null || params.maxAgeMs != null && ageMs > params.maxAgeMs
|
|
2403
|
-
};
|
|
2404
|
-
}
|
|
2405
|
-
async function getLatestMarketBreadth(params) {
|
|
2406
|
-
await prepareMarketContextSchemaForRead("binance");
|
|
2407
|
-
const res = await queryMarketContext(
|
|
2408
|
-
`
|
|
2409
|
-
SELECT
|
|
2410
|
-
universe,
|
|
2411
|
-
interval,
|
|
2412
|
-
ts,
|
|
2413
|
-
symbols_count::int AS "symbolsCount",
|
|
2414
|
-
advancers::int AS advancers,
|
|
2415
|
-
decliners::int AS decliners,
|
|
2416
|
-
unchanged::int AS unchanged,
|
|
2417
|
-
advance_decline_ratio AS "advanceDeclineRatio",
|
|
2418
|
-
pct_above_ma20 AS "pctAboveMa20",
|
|
2419
|
-
pct_above_ma50 AS "pctAboveMa50",
|
|
2420
|
-
equal_weighted_return AS "equalWeightedReturn",
|
|
2421
|
-
volume_weighted_return AS "volumeWeightedReturn",
|
|
2422
|
-
dispersion,
|
|
2423
|
-
btc_return_1h AS "btcReturn1h",
|
|
2424
|
-
btc_return_4h AS "btcReturn4h",
|
|
2425
|
-
btc_return_24h AS "btcReturn24h",
|
|
2426
|
-
alt_basket_return_1h AS "altBasketReturn1h",
|
|
2427
|
-
alt_basket_return_4h AS "altBasketReturn4h",
|
|
2428
|
-
alt_basket_return_24h AS "altBasketReturn24h",
|
|
2429
|
-
btc_vs_alt_return_1h AS "btcVsAltReturn1h",
|
|
2430
|
-
btc_vs_alt_return_4h AS "btcVsAltReturn4h",
|
|
2431
|
-
btc_vs_alt_return_24h AS "btcVsAltReturn24h",
|
|
2432
|
-
btc_turnover_share_1h AS "btcTurnoverShare1h",
|
|
2433
|
-
btc_turnover_share_24h AS "btcTurnoverShare24h",
|
|
2434
|
-
btc_turnover_share_change_24h AS "btcTurnoverShareChange24h",
|
|
2435
|
-
alt_vol_to_btc_vol_24h AS "altVolToBtcVol24h",
|
|
2436
|
-
alt_dispersion_24h AS "altDispersion24h",
|
|
2437
|
-
btc_alt_regime AS "btcAltRegime",
|
|
2438
|
-
source
|
|
2439
|
-
FROM market_breadth
|
|
2440
|
-
WHERE universe = $1
|
|
2441
|
-
AND interval = $2
|
|
2442
|
-
AND ts <= to_timestamp($3/1000.0)
|
|
2443
|
-
ORDER BY ts DESC
|
|
2444
|
-
LIMIT 1
|
|
2445
|
-
`,
|
|
2446
|
-
[params.universe, params.interval, params.atMs],
|
|
2447
|
-
params
|
|
2448
|
-
);
|
|
2449
|
-
const row = res.rows[0];
|
|
2450
|
-
if (!row) return null;
|
|
2451
|
-
const ageMs = toMarketFeatureAge(row.ts, params.atMs);
|
|
2452
|
-
return {
|
|
2453
|
-
...row,
|
|
2454
|
-
ageMs,
|
|
2455
|
-
stale: ageMs == null || params.maxAgeMs != null && ageMs > params.maxAgeMs
|
|
2456
|
-
};
|
|
2457
|
-
}
|
|
2458
|
-
async function getLatestMarketGlobalContext(params) {
|
|
2459
|
-
await prepareMarketContextSchemaForRead("coinmarketcap");
|
|
2460
|
-
const source = params.source ?? "coinmarketcap_global";
|
|
2461
|
-
const res = await queryMarketContext(
|
|
2462
|
-
`
|
|
2463
|
-
SELECT
|
|
2464
|
-
source,
|
|
2465
|
-
ts,
|
|
2466
|
-
updated_at_ts AS "updatedAt",
|
|
2467
|
-
active_cryptocurrencies::int AS "activeCryptocurrencies",
|
|
2468
|
-
active_exchanges::int AS "activeExchanges",
|
|
2469
|
-
active_market_pairs::int AS "activeMarketPairs",
|
|
2470
|
-
markets::int AS markets,
|
|
2471
|
-
total_market_cap_usd AS "totalMarketCapUsd",
|
|
2472
|
-
total_volume_usd AS "totalVolumeUsd",
|
|
2473
|
-
total_volume_reported_usd AS "totalVolumeReportedUsd",
|
|
2474
|
-
btc_dominance_pct AS "btcDominancePct",
|
|
2475
|
-
eth_dominance_pct AS "ethDominancePct",
|
|
2476
|
-
alt_market_cap_usd AS "altMarketCapUsd",
|
|
2477
|
-
alt_volume_usd AS "altVolumeUsd",
|
|
2478
|
-
alt_volume_reported_usd AS "altVolumeReportedUsd",
|
|
2479
|
-
btc_to_alt_market_cap_ratio AS "btcToAltMarketCapRatio",
|
|
2480
|
-
market_cap_change_pct_24h_usd AS "marketCapChangePct24hUsd"
|
|
2481
|
-
FROM market_global_context
|
|
2482
|
-
WHERE source = $1
|
|
2483
|
-
AND ts + CASE
|
|
2484
|
-
WHEN source = 'coinmarketcap_global' THEN interval '1 day'
|
|
2485
|
-
ELSE interval '0 seconds'
|
|
2486
|
-
END <= to_timestamp($2/1000.0)
|
|
2487
|
-
ORDER BY ts DESC
|
|
2488
|
-
LIMIT 1
|
|
2489
|
-
`,
|
|
2490
|
-
[source, params.atMs],
|
|
2491
|
-
params
|
|
2492
|
-
);
|
|
2493
|
-
const row = res.rows[0];
|
|
2494
|
-
if (!row) return null;
|
|
2495
|
-
const previousRes = await queryMarketContext(
|
|
2496
|
-
`
|
|
2497
|
-
SELECT
|
|
2498
|
-
btc_dominance_pct AS "btcDominancePct",
|
|
2499
|
-
eth_dominance_pct AS "ethDominancePct",
|
|
2500
|
-
alt_market_cap_usd AS "altMarketCapUsd",
|
|
2501
|
-
alt_volume_usd AS "altVolumeUsd"
|
|
2502
|
-
FROM market_global_context
|
|
2503
|
-
WHERE source = $1
|
|
2504
|
-
AND ts <= $2::timestamptz - interval '24 hours'
|
|
2505
|
-
ORDER BY ts DESC
|
|
2506
|
-
LIMIT 1
|
|
2507
|
-
`,
|
|
2508
|
-
[source, row.ts],
|
|
2509
|
-
params
|
|
2510
|
-
);
|
|
2511
|
-
const previousDominance = previousRes.rows[0]?.btcDominancePct == null ? null : Number(previousRes.rows[0].btcDominancePct);
|
|
2512
|
-
const previousEthDominance = previousRes.rows[0]?.ethDominancePct == null ? null : Number(previousRes.rows[0].ethDominancePct);
|
|
2513
|
-
const previousAltMarketCap = previousRes.rows[0]?.altMarketCapUsd == null ? null : Number(previousRes.rows[0].altMarketCapUsd);
|
|
2514
|
-
const previousAltVolume = previousRes.rows[0]?.altVolumeUsd == null ? null : Number(previousRes.rows[0].altVolumeUsd);
|
|
2515
|
-
const currentDominance = row.btcDominancePct == null ? null : Number(row.btcDominancePct);
|
|
2516
|
-
const currentEthDominance = row.ethDominancePct == null ? null : Number(row.ethDominancePct);
|
|
2517
|
-
const currentAltMarketCap = row.altMarketCapUsd == null ? null : Number(row.altMarketCapUsd);
|
|
2518
|
-
const currentAltVolume = row.altVolumeUsd == null ? null : Number(row.altVolumeUsd);
|
|
2519
|
-
const ageMs = toMarketFeatureAge(row.ts, params.atMs);
|
|
2520
|
-
return {
|
|
2521
|
-
...row,
|
|
2522
|
-
ageMs,
|
|
2523
|
-
stale: ageMs == null || params.maxAgeMs != null && ageMs > params.maxAgeMs,
|
|
2524
|
-
btcDominanceChange24hPct: currentDominance != null && previousDominance != null ? currentDominance - previousDominance : null,
|
|
2525
|
-
ethDominanceChange24hPct: currentEthDominance != null && previousEthDominance != null ? currentEthDominance - previousEthDominance : null,
|
|
2526
|
-
altMarketCapChange24hPct: currentAltMarketCap != null && previousAltMarketCap != null && previousAltMarketCap > 0 ? (currentAltMarketCap - previousAltMarketCap) / previousAltMarketCap : null,
|
|
2527
|
-
altVolumeChange24hPct: currentAltVolume != null && previousAltVolume != null && previousAltVolume > 0 ? (currentAltVolume - previousAltVolume) / previousAltVolume : null
|
|
2528
|
-
};
|
|
2529
|
-
}
|
|
2530
|
-
async function getMarketGlobalContextCoverage(params) {
|
|
2531
|
-
await ensureBinanceMarketSchema();
|
|
2532
|
-
const pool = getPool();
|
|
2533
|
-
const res = await pool.query(
|
|
2534
|
-
`
|
|
2535
|
-
SELECT
|
|
2536
|
-
extract(epoch from MIN(ts))*1000 AS first_ms,
|
|
2537
|
-
extract(epoch from MAX(ts))*1000 AS last_ms,
|
|
2538
|
-
COUNT(*)::int AS rows
|
|
2539
|
-
FROM market_global_context
|
|
2540
|
-
WHERE source = $1
|
|
2541
|
-
AND ts >= to_timestamp($2/1000.0)
|
|
2542
|
-
AND ts <= to_timestamp($3/1000.0)
|
|
2543
|
-
`,
|
|
2544
|
-
[params.source, params.startMs, params.endMs]
|
|
2545
|
-
);
|
|
2546
|
-
const row = res.rows[0];
|
|
2547
|
-
const rows = Number(row?.rows ?? 0);
|
|
2548
|
-
const firstMs = Number(row?.first_ms);
|
|
2549
|
-
const lastMs = Number(row?.last_ms);
|
|
2550
|
-
if (!rows || !Number.isFinite(firstMs) || !Number.isFinite(lastMs)) {
|
|
2551
|
-
return null;
|
|
2552
|
-
}
|
|
2553
|
-
return { firstMs, lastMs, rows };
|
|
2554
|
-
}
|
|
2555
|
-
async function getMarketReferenceAssetContextCoverage(params) {
|
|
2556
|
-
const symbols = [
|
|
2557
|
-
...new Set(
|
|
2558
|
-
params.symbols.map((symbol) => symbol.trim().toUpperCase()).filter(Boolean)
|
|
2559
|
-
)
|
|
2560
|
-
];
|
|
2561
|
-
const coverage = /* @__PURE__ */ new Map();
|
|
2562
|
-
if (!symbols.length) return coverage;
|
|
2563
|
-
await ensureBinanceMarketSchema();
|
|
2564
|
-
const pool = getPool();
|
|
2565
|
-
const res = await pool.query(
|
|
2566
|
-
`
|
|
2567
|
-
SELECT
|
|
2568
|
-
symbol,
|
|
2569
|
-
extract(epoch from MIN(ts))*1000 AS first_ms,
|
|
2570
|
-
extract(epoch from MAX(ts))*1000 AS last_ms,
|
|
2571
|
-
COUNT(*)::int AS rows
|
|
2572
|
-
FROM market_reference_asset_context
|
|
2573
|
-
WHERE source = $1
|
|
2574
|
-
AND symbol = ANY($2)
|
|
2575
|
-
AND interval = $3
|
|
2576
|
-
AND ts >= to_timestamp($4/1000.0)
|
|
2577
|
-
AND ts <= to_timestamp($5/1000.0)
|
|
2578
|
-
GROUP BY symbol
|
|
2579
|
-
`,
|
|
2580
|
-
[params.source, symbols, params.interval, params.startMs, params.endMs]
|
|
2581
|
-
);
|
|
2582
|
-
for (const row of res.rows) {
|
|
2583
|
-
const firstMs = Number(row.first_ms);
|
|
2584
|
-
const lastMs = Number(row.last_ms);
|
|
2585
|
-
const rows = Number(row.rows);
|
|
2586
|
-
if (Number.isFinite(firstMs) && Number.isFinite(lastMs) && rows > 0) {
|
|
2587
|
-
coverage.set(row.symbol.toUpperCase(), { firstMs, lastMs, rows });
|
|
2588
|
-
}
|
|
2589
|
-
}
|
|
2590
|
-
return coverage;
|
|
2591
|
-
}
|
|
2592
|
-
async function getLatestMarketReferenceAssetContexts(params) {
|
|
2593
|
-
const source = params.source ?? "coinmarketcap_reference_asset";
|
|
2594
|
-
const interval = params.interval ?? "1d";
|
|
2595
|
-
const symbols = [
|
|
2596
|
-
...new Set(
|
|
2597
|
-
params.symbols.map((symbol) => symbol.trim().toUpperCase()).filter(Boolean)
|
|
2598
|
-
)
|
|
2599
|
-
];
|
|
2600
|
-
const rows = /* @__PURE__ */ new Map();
|
|
2601
|
-
if (!symbols.length) return rows;
|
|
2602
|
-
await prepareMarketContextSchemaForRead("coinmarketcap");
|
|
2603
|
-
const res = await queryMarketContext(
|
|
2604
|
-
`
|
|
2605
|
-
SELECT DISTINCT ON (symbol)
|
|
2606
|
-
source,
|
|
2607
|
-
symbol,
|
|
2608
|
-
cmc_id AS "cmcId",
|
|
2609
|
-
interval,
|
|
2610
|
-
ts,
|
|
2611
|
-
open_usd AS "openUsd",
|
|
2612
|
-
high_usd AS "highUsd",
|
|
2613
|
-
low_usd AS "lowUsd",
|
|
2614
|
-
close_usd AS "closeUsd",
|
|
2615
|
-
volume_usd AS "volumeUsd",
|
|
2616
|
-
market_cap_usd AS "marketCapUsd"
|
|
2617
|
-
FROM market_reference_asset_context
|
|
2618
|
-
WHERE source = $1
|
|
2619
|
-
AND symbol = ANY($2)
|
|
2620
|
-
AND interval = $3
|
|
2621
|
-
AND ts + CASE interval
|
|
2622
|
-
WHEN '1d' THEN interval '1 day'
|
|
2623
|
-
WHEN '1h' THEN interval '1 hour'
|
|
2624
|
-
ELSE interval '0 seconds'
|
|
2625
|
-
END <= to_timestamp($4/1000.0)
|
|
2626
|
-
ORDER BY symbol ASC, ts DESC
|
|
2627
|
-
`,
|
|
2628
|
-
[source, symbols, interval, params.atMs],
|
|
2629
|
-
params
|
|
2630
|
-
);
|
|
2631
|
-
for (const row of res.rows) {
|
|
2632
|
-
const ageMs = toMarketFeatureAge(row.ts, params.atMs);
|
|
2633
|
-
rows.set(row.symbol.toUpperCase(), {
|
|
2634
|
-
...row,
|
|
2635
|
-
ageMs,
|
|
2636
|
-
stale: ageMs == null || params.maxAgeMs != null && ageMs > params.maxAgeMs
|
|
2637
|
-
});
|
|
2638
|
-
}
|
|
2639
|
-
return rows;
|
|
2640
|
-
}
|
|
2641
|
-
async function getLatestMarketCmcExchangeLiquidityContext(params) {
|
|
2642
|
-
await prepareMarketContextSchemaForRead("coinmarketcap");
|
|
2643
|
-
const source = params.source ?? "coinmarketcap_exchange_liquidity";
|
|
2644
|
-
const interval = params.interval ?? "1d";
|
|
2645
|
-
const res = await queryMarketContext(
|
|
2646
|
-
`
|
|
2647
|
-
SELECT
|
|
2648
|
-
source,
|
|
2649
|
-
interval,
|
|
2650
|
-
ts,
|
|
2651
|
-
exchanges_count::int AS "exchangesCount",
|
|
2652
|
-
total_volume_usd AS "totalVolumeUsd",
|
|
2653
|
-
binance_volume_usd AS "binanceVolumeUsd",
|
|
2654
|
-
binance_volume_share AS "binanceVolumeShare",
|
|
2655
|
-
top_exchange_volume_share AS "topExchangeVolumeShare",
|
|
2656
|
-
liquidity_regime AS "liquidityRegime"
|
|
2657
|
-
FROM market_cmc_exchange_liquidity_context
|
|
2658
|
-
WHERE source = $1
|
|
2659
|
-
AND interval = $2
|
|
2660
|
-
AND ts + CASE interval
|
|
2661
|
-
WHEN '1d' THEN interval '1 day'
|
|
2662
|
-
WHEN '1h' THEN interval '1 hour'
|
|
2663
|
-
ELSE interval '0 seconds'
|
|
2664
|
-
END <= to_timestamp($3/1000.0)
|
|
2665
|
-
ORDER BY ts DESC
|
|
2666
|
-
LIMIT 1
|
|
2667
|
-
`,
|
|
2668
|
-
[source, interval, params.atMs],
|
|
2669
|
-
params
|
|
2670
|
-
);
|
|
2671
|
-
const row = res.rows[0];
|
|
2672
|
-
if (!row) return null;
|
|
2673
|
-
const previousRes = await queryMarketContext(
|
|
2674
|
-
`
|
|
2675
|
-
SELECT total_volume_usd AS "totalVolumeUsd"
|
|
2676
|
-
FROM market_cmc_exchange_liquidity_context
|
|
2677
|
-
WHERE source = $1
|
|
2678
|
-
AND interval = $2
|
|
2679
|
-
AND ts <= $3::timestamptz - interval '24 hours'
|
|
2680
|
-
ORDER BY ts DESC
|
|
2681
|
-
LIMIT 1
|
|
2682
|
-
`,
|
|
2683
|
-
[source, interval, row.ts],
|
|
2684
|
-
params
|
|
2685
|
-
);
|
|
2686
|
-
const currentTotal = row.totalVolumeUsd == null ? null : Number(row.totalVolumeUsd);
|
|
2687
|
-
const previousTotal = previousRes.rows[0]?.totalVolumeUsd == null ? null : Number(previousRes.rows[0].totalVolumeUsd);
|
|
2688
|
-
const ageMs = toMarketFeatureAge(row.ts, params.atMs);
|
|
2689
|
-
return {
|
|
2690
|
-
...row,
|
|
2691
|
-
ageMs,
|
|
2692
|
-
stale: ageMs == null || params.maxAgeMs != null && ageMs > params.maxAgeMs,
|
|
2693
|
-
totalVolumeChange24hPct: currentTotal != null && previousTotal != null && previousTotal > 0 ? (currentTotal - previousTotal) / previousTotal : null
|
|
2694
|
-
};
|
|
2695
|
-
}
|
|
2696
|
-
async function getLatestMarketCmcIndexContexts(params) {
|
|
2697
|
-
const source = params.source ?? "coinmarketcap_index";
|
|
2698
|
-
const interval = params.interval ?? "1d";
|
|
2699
|
-
const indexSlugs = [
|
|
2700
|
-
...new Set(
|
|
2701
|
-
params.indexSlugs.map((slug) => slug.trim().toLowerCase()).filter(
|
|
2702
|
-
(slug) => ["cmc100", "cmc20"].includes(slug)
|
|
2703
|
-
)
|
|
2704
|
-
)
|
|
2705
|
-
];
|
|
2706
|
-
const rows = /* @__PURE__ */ new Map();
|
|
2707
|
-
if (!indexSlugs.length) return rows;
|
|
2708
|
-
await prepareMarketContextSchemaForRead("coinmarketcap");
|
|
2709
|
-
const res = await queryMarketContext(
|
|
2710
|
-
`
|
|
2711
|
-
SELECT DISTINCT ON (index_slug)
|
|
2712
|
-
source,
|
|
2713
|
-
index_slug AS "indexSlug",
|
|
2714
|
-
interval,
|
|
2715
|
-
ts,
|
|
2716
|
-
value,
|
|
2717
|
-
constituents_count::int AS "constituentsCount",
|
|
2718
|
-
top_constituent_symbol AS "topConstituentSymbol",
|
|
2719
|
-
top_constituent_weight_pct AS "topConstituentWeightPct",
|
|
2720
|
-
constituents
|
|
2721
|
-
FROM market_cmc_index_context
|
|
2722
|
-
WHERE source = $1
|
|
2723
|
-
AND index_slug = ANY($2)
|
|
2724
|
-
AND interval = $3
|
|
2725
|
-
AND ts + CASE interval
|
|
2726
|
-
WHEN '1d' THEN interval '1 day'
|
|
2727
|
-
WHEN '1h' THEN interval '1 hour'
|
|
2728
|
-
ELSE interval '0 seconds'
|
|
2729
|
-
END <= to_timestamp($4/1000.0)
|
|
2730
|
-
ORDER BY index_slug ASC, ts DESC
|
|
2731
|
-
`,
|
|
2732
|
-
[source, indexSlugs, interval, params.atMs],
|
|
2733
|
-
params
|
|
2734
|
-
);
|
|
2735
|
-
for (const row of res.rows) {
|
|
2736
|
-
const previousRes = await queryMarketContext(
|
|
2737
|
-
`
|
|
2738
|
-
SELECT value
|
|
2739
|
-
FROM market_cmc_index_context
|
|
2740
|
-
WHERE source = $1
|
|
2741
|
-
AND index_slug = $2
|
|
2742
|
-
AND interval = $3
|
|
2743
|
-
AND ts <= $4::timestamptz - interval '24 hours'
|
|
2744
|
-
ORDER BY ts DESC
|
|
2745
|
-
LIMIT 1
|
|
2746
|
-
`,
|
|
2747
|
-
[source, row.indexSlug, interval, row.ts],
|
|
2748
|
-
params
|
|
2749
|
-
);
|
|
2750
|
-
const currentValue = row.value == null ? null : Number(row.value);
|
|
2751
|
-
const previousValue = previousRes.rows[0]?.value == null ? null : Number(previousRes.rows[0].value);
|
|
2752
|
-
const ageMs = toMarketFeatureAge(row.ts, params.atMs);
|
|
2753
|
-
rows.set(row.indexSlug, {
|
|
2754
|
-
...row,
|
|
2755
|
-
ageMs,
|
|
2756
|
-
stale: ageMs == null || params.maxAgeMs != null && ageMs > params.maxAgeMs,
|
|
2757
|
-
valueChange24hPct: currentValue != null && previousValue != null && previousValue > 0 ? (currentValue - previousValue) / previousValue : null
|
|
2758
|
-
});
|
|
2759
|
-
}
|
|
2760
|
-
return rows;
|
|
2761
|
-
}
|
|
2762
|
-
async function getLatestMarketCmcFearGreedContext(params) {
|
|
2763
|
-
await prepareMarketContextSchemaForRead("coinmarketcap");
|
|
2764
|
-
const source = params.source ?? "coinmarketcap_fear_greed";
|
|
2765
|
-
const interval = params.interval ?? "1d";
|
|
2766
|
-
const res = await queryMarketContext(
|
|
2767
|
-
`
|
|
2768
|
-
SELECT
|
|
2769
|
-
source,
|
|
2770
|
-
interval,
|
|
2771
|
-
ts,
|
|
2772
|
-
value::int AS value,
|
|
2773
|
-
classification,
|
|
2774
|
-
sentiment_regime AS "sentimentRegime"
|
|
2775
|
-
FROM market_cmc_fear_greed_context
|
|
2776
|
-
WHERE source = $1
|
|
2777
|
-
AND interval = $2
|
|
2778
|
-
AND ts + CASE interval
|
|
2779
|
-
WHEN '1d' THEN interval '1 day'
|
|
2780
|
-
WHEN '1h' THEN interval '1 hour'
|
|
2781
|
-
ELSE interval '0 seconds'
|
|
2782
|
-
END <= to_timestamp($3/1000.0)
|
|
2783
|
-
ORDER BY ts DESC
|
|
2784
|
-
LIMIT 1
|
|
2785
|
-
`,
|
|
2786
|
-
[source, interval, params.atMs],
|
|
2787
|
-
params
|
|
2788
|
-
);
|
|
2789
|
-
const row = res.rows[0];
|
|
2790
|
-
if (!row) return null;
|
|
2791
|
-
const previousRes = await queryMarketContext(
|
|
2792
|
-
`
|
|
2793
|
-
SELECT
|
|
2794
|
-
value::int AS value,
|
|
2795
|
-
'24h' AS bucket
|
|
2796
|
-
FROM market_cmc_fear_greed_context
|
|
2797
|
-
WHERE source = $1
|
|
2798
|
-
AND interval = $2
|
|
2799
|
-
AND ts <= $3::timestamptz - interval '24 hours'
|
|
2800
|
-
ORDER BY ts DESC
|
|
2801
|
-
LIMIT 1
|
|
2802
|
-
`,
|
|
2803
|
-
[source, interval, row.ts],
|
|
2804
|
-
params
|
|
2805
|
-
);
|
|
2806
|
-
const previous7dRes = await queryMarketContext(
|
|
2807
|
-
`
|
|
2808
|
-
SELECT value::int AS value
|
|
2809
|
-
FROM market_cmc_fear_greed_context
|
|
2810
|
-
WHERE source = $1
|
|
2811
|
-
AND interval = $2
|
|
2812
|
-
AND ts <= $3::timestamptz - interval '7 days'
|
|
2813
|
-
ORDER BY ts DESC
|
|
2814
|
-
LIMIT 1
|
|
2815
|
-
`,
|
|
2816
|
-
[source, interval, row.ts],
|
|
2817
|
-
params
|
|
2818
|
-
);
|
|
2819
|
-
const previousValue = previousRes.rows[0]?.value == null ? null : Number(previousRes.rows[0].value);
|
|
2820
|
-
const previous7dValue = previous7dRes.rows[0]?.value == null ? null : Number(previous7dRes.rows[0].value);
|
|
2821
|
-
const ageMs = toMarketFeatureAge(row.ts, params.atMs);
|
|
2822
|
-
return {
|
|
2823
|
-
...row,
|
|
2824
|
-
ageMs,
|
|
2825
|
-
stale: ageMs == null || params.maxAgeMs != null && ageMs > params.maxAgeMs,
|
|
2826
|
-
valueChange24h: previousValue == null ? null : row.value - previousValue,
|
|
2827
|
-
valueChange7d: previous7dValue == null ? null : row.value - previous7dValue
|
|
2828
|
-
};
|
|
2829
|
-
}
|
|
2830
|
-
async function getMarketCmcFearGreedContextCoverage(params) {
|
|
2831
|
-
await ensureBinanceMarketSchema();
|
|
2832
|
-
const pool = getPool();
|
|
2833
|
-
const res = await pool.query(
|
|
2834
|
-
`
|
|
2835
|
-
SELECT
|
|
2836
|
-
extract(epoch from MIN(ts))*1000 AS first_ms,
|
|
2837
|
-
extract(epoch from MAX(ts))*1000 AS last_ms,
|
|
2838
|
-
COUNT(*)::int AS rows
|
|
2839
|
-
FROM market_cmc_fear_greed_context
|
|
2840
|
-
WHERE source = $1
|
|
2841
|
-
AND interval = $2
|
|
2842
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
2843
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
2844
|
-
`,
|
|
2845
|
-
[params.source, params.interval, params.startMs, params.endMs]
|
|
2846
|
-
);
|
|
2847
|
-
const rows = Number(res.rows[0]?.rows ?? 0);
|
|
2848
|
-
const firstMs = Number(res.rows[0]?.first_ms);
|
|
2849
|
-
const lastMs = Number(res.rows[0]?.last_ms);
|
|
2850
|
-
if (!rows || !Number.isFinite(firstMs) || !Number.isFinite(lastMs)) {
|
|
2851
|
-
return null;
|
|
2852
|
-
}
|
|
2853
|
-
return { firstMs, lastMs, rows };
|
|
2854
|
-
}
|
|
2855
|
-
async function getMarketCmcExchangeLiquidityContextCoverage(params) {
|
|
2856
|
-
await ensureBinanceMarketSchema();
|
|
2857
|
-
const pool = getPool();
|
|
2858
|
-
const res = await pool.query(
|
|
2859
|
-
`
|
|
2860
|
-
SELECT
|
|
2861
|
-
extract(epoch from MIN(ts))*1000 AS first_ms,
|
|
2862
|
-
extract(epoch from MAX(ts))*1000 AS last_ms,
|
|
2863
|
-
COUNT(*)::int AS rows
|
|
2864
|
-
FROM market_cmc_exchange_liquidity_context
|
|
2865
|
-
WHERE source = $1
|
|
2866
|
-
AND interval = $2
|
|
2867
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
2868
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
2869
|
-
`,
|
|
2870
|
-
[params.source, params.interval, params.startMs, params.endMs]
|
|
2871
|
-
);
|
|
2872
|
-
const rows = Number(res.rows[0]?.rows ?? 0);
|
|
2873
|
-
const firstMs = Number(res.rows[0]?.first_ms);
|
|
2874
|
-
const lastMs = Number(res.rows[0]?.last_ms);
|
|
2875
|
-
if (!rows || !Number.isFinite(firstMs) || !Number.isFinite(lastMs)) {
|
|
2876
|
-
return null;
|
|
2877
|
-
}
|
|
2878
|
-
return { firstMs, lastMs, rows };
|
|
2879
|
-
}
|
|
2880
|
-
async function getMarketCmcIndexContextCoverage(params) {
|
|
2881
|
-
const indexSlugs = [
|
|
2882
|
-
...new Set(
|
|
2883
|
-
params.indexSlugs.map((slug) => slug.trim().toLowerCase()).filter(
|
|
2884
|
-
(slug) => ["cmc100", "cmc20"].includes(slug)
|
|
2885
|
-
)
|
|
2886
|
-
)
|
|
2887
|
-
];
|
|
2888
|
-
const coverage = /* @__PURE__ */ new Map();
|
|
2889
|
-
if (!indexSlugs.length) return coverage;
|
|
2890
|
-
await ensureBinanceMarketSchema();
|
|
2891
|
-
const pool = getPool();
|
|
2892
|
-
const res = await pool.query(
|
|
2893
|
-
`
|
|
2894
|
-
SELECT
|
|
2895
|
-
index_slug,
|
|
2896
|
-
extract(epoch from MIN(ts))*1000 AS first_ms,
|
|
2897
|
-
extract(epoch from MAX(ts))*1000 AS last_ms,
|
|
2898
|
-
COUNT(*)::int AS rows
|
|
2899
|
-
FROM market_cmc_index_context
|
|
2900
|
-
WHERE source = $1
|
|
2901
|
-
AND index_slug = ANY($2)
|
|
2902
|
-
AND interval = $3
|
|
2903
|
-
AND ts >= to_timestamp($4/1000.0)
|
|
2904
|
-
AND ts <= to_timestamp($5/1000.0)
|
|
2905
|
-
GROUP BY index_slug
|
|
2906
|
-
`,
|
|
2907
|
-
[params.source, indexSlugs, params.interval, params.startMs, params.endMs]
|
|
2908
|
-
);
|
|
2909
|
-
for (const row of res.rows) {
|
|
2910
|
-
const indexSlug = row.index_slug;
|
|
2911
|
-
const firstMs = Number(row.first_ms);
|
|
2912
|
-
const lastMs = Number(row.last_ms);
|
|
2913
|
-
const rows = Number(row.rows);
|
|
2914
|
-
if (Number.isFinite(firstMs) && Number.isFinite(lastMs) && rows > 0) {
|
|
2915
|
-
coverage.set(indexSlug, { firstMs, lastMs, rows });
|
|
2916
|
-
}
|
|
2917
|
-
}
|
|
2918
|
-
return coverage;
|
|
2919
|
-
}
|
|
2920
|
-
async function getMarketTradeFlowCoverage(params) {
|
|
2921
|
-
const symbols = [
|
|
2922
|
-
...new Set(params.symbols.map((item) => item.toUpperCase()))
|
|
2923
|
-
];
|
|
2924
|
-
if (!symbols.length) return /* @__PURE__ */ new Map();
|
|
2925
|
-
await ensureBinanceMarketSchema();
|
|
2926
|
-
const pool = getPool();
|
|
2927
|
-
const res = await pool.query(
|
|
2928
|
-
`
|
|
2929
|
-
SELECT
|
|
2930
|
-
symbol,
|
|
2931
|
-
MIN(ts) AS first_ts,
|
|
2932
|
-
MAX(ts) AS last_ts,
|
|
2933
|
-
COUNT(*)::int AS rows
|
|
2934
|
-
FROM market_trade_flow
|
|
2935
|
-
WHERE symbol = ANY($1)
|
|
2936
|
-
AND interval = $2
|
|
2937
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
2938
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
2939
|
-
GROUP BY symbol
|
|
2940
|
-
`,
|
|
2941
|
-
[symbols, params.interval, params.startMs, params.endMs]
|
|
2942
|
-
);
|
|
2943
|
-
return new Map(
|
|
2944
|
-
res.rows.map((row) => [
|
|
2945
|
-
String(row.symbol).toUpperCase(),
|
|
2946
|
-
{
|
|
2947
|
-
firstMs: new Date(row.first_ts).getTime(),
|
|
2948
|
-
lastMs: new Date(row.last_ts).getTime(),
|
|
2949
|
-
rows: Number(row.rows) || 0
|
|
2950
|
-
}
|
|
2951
|
-
])
|
|
2952
|
-
);
|
|
2953
|
-
}
|
|
2954
|
-
var getTableRowCountIfExists = async (tableName) => {
|
|
2955
|
-
const pool = getPool();
|
|
2956
|
-
const exists = await pool.query("SELECT to_regclass($1) AS name", [
|
|
2957
|
-
tableName
|
|
2958
|
-
]);
|
|
2959
|
-
if (!exists.rows[0]?.name) return null;
|
|
2960
|
-
const count = await pool.query(
|
|
2961
|
-
`SELECT COUNT(*)::int AS rows FROM ${tableName}`
|
|
2962
|
-
);
|
|
2963
|
-
return Number(count.rows[0]?.rows ?? 0);
|
|
2964
|
-
};
|
|
2965
|
-
async function cleanupDeprecatedMarketContext(params = {}) {
|
|
2966
|
-
const apply = Boolean(params.apply);
|
|
2967
|
-
const pool = getPool();
|
|
2968
|
-
const items = [];
|
|
2969
|
-
const cleanupRows = async ({
|
|
2970
|
-
tableName,
|
|
2971
|
-
whereSql,
|
|
2972
|
-
name
|
|
2973
|
-
}) => {
|
|
2974
|
-
const tableRows = await getTableRowCountIfExists(tableName);
|
|
2975
|
-
if (tableRows == null) return;
|
|
2976
|
-
const count = await pool.query(
|
|
2977
|
-
`
|
|
2978
|
-
SELECT COUNT(*)::int AS rows
|
|
2979
|
-
FROM ${tableName}
|
|
2980
|
-
WHERE ${whereSql}
|
|
2981
|
-
`
|
|
2982
|
-
);
|
|
2983
|
-
const rows = Number(count.rows[0]?.rows ?? 0);
|
|
2984
|
-
if (rows <= 0) return;
|
|
2985
|
-
if (apply) {
|
|
2986
|
-
await pool.query(
|
|
2987
|
-
`
|
|
2988
|
-
DELETE FROM ${tableName}
|
|
2989
|
-
WHERE ${whereSql}
|
|
2990
|
-
`
|
|
2991
|
-
);
|
|
2992
|
-
}
|
|
2993
|
-
items.push({
|
|
2994
|
-
kind: "rows",
|
|
2995
|
-
name,
|
|
2996
|
-
rows,
|
|
2997
|
-
action: "delete_rows",
|
|
2998
|
-
applied: apply
|
|
2999
|
-
});
|
|
3000
|
-
};
|
|
3001
|
-
for (const tableName of ["market_order_book_depth", "onchain_flow_context"]) {
|
|
3002
|
-
const rows = await getTableRowCountIfExists(tableName);
|
|
3003
|
-
if (rows == null) continue;
|
|
3004
|
-
if (apply) {
|
|
3005
|
-
await pool.query(`DROP TABLE IF EXISTS ${tableName}`);
|
|
3006
|
-
}
|
|
3007
|
-
items.push({
|
|
3008
|
-
kind: "table",
|
|
3009
|
-
name: tableName,
|
|
3010
|
-
rows,
|
|
3011
|
-
action: "drop_table",
|
|
3012
|
-
applied: apply
|
|
3013
|
-
});
|
|
3014
|
-
}
|
|
3015
|
-
await cleanupRows({
|
|
3016
|
-
tableName: "market_global_context",
|
|
3017
|
-
whereSql: "source = 'coingecko_global'",
|
|
3018
|
-
name: "market_global_context/source=coingecko_global"
|
|
3019
|
-
});
|
|
3020
|
-
await cleanupRows({
|
|
3021
|
-
tableName: "market_global_context",
|
|
3022
|
-
whereSql: "source = 'coinmarketcap_global_hourly'",
|
|
3023
|
-
name: "market_global_context/source=coinmarketcap_global_hourly"
|
|
3024
|
-
});
|
|
3025
|
-
await cleanupRows({
|
|
3026
|
-
tableName: "market_reference_asset_context",
|
|
3027
|
-
whereSql: "source = 'coinmarketcap_reference_asset' AND interval = '1h'",
|
|
3028
|
-
name: "market_reference_asset_context/source=coinmarketcap_reference_asset/interval=1h"
|
|
3029
|
-
});
|
|
3030
|
-
await cleanupRows({
|
|
3031
|
-
tableName: "market_cmc_breadth_context",
|
|
3032
|
-
whereSql: "source = 'coinmarketcap_market_breadth'",
|
|
3033
|
-
name: "market_cmc_breadth_context/source=coinmarketcap_market_breadth"
|
|
3034
|
-
});
|
|
3035
|
-
await cleanupRows({
|
|
3036
|
-
tableName: "market_context_backfill_coverage",
|
|
3037
|
-
whereSql: "(source IN ('coinmarketcap_global_hourly', 'coinmarketcap_market_breadth') OR (source = 'coinmarketcap_reference_asset' AND interval = '1h'))",
|
|
3038
|
-
name: "market_context_backfill_coverage/deprecated_cmc_sources"
|
|
3039
|
-
});
|
|
3040
|
-
return items;
|
|
3041
|
-
}
|
|
3042
|
-
async function getMarketBreadthCoverage(params) {
|
|
3043
|
-
await ensureBinanceMarketSchema();
|
|
3044
|
-
const pool = getPool();
|
|
3045
|
-
const res = await pool.query(
|
|
3046
|
-
`
|
|
3047
|
-
SELECT
|
|
3048
|
-
MIN(ts) AS first_ts,
|
|
3049
|
-
MAX(ts) AS last_ts,
|
|
3050
|
-
COUNT(*)::int AS rows,
|
|
3051
|
-
COUNT(*) FILTER (
|
|
3052
|
-
WHERE btc_alt_regime IS NOT NULL
|
|
3053
|
-
AND btc_return_24h IS NOT NULL
|
|
3054
|
-
AND alt_basket_return_24h IS NOT NULL
|
|
3055
|
-
)::int AS btc_alt_metrics_rows
|
|
3056
|
-
FROM market_breadth
|
|
3057
|
-
WHERE universe = $1
|
|
3058
|
-
AND interval = $2
|
|
3059
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
3060
|
-
AND ts <= to_timestamp($4/1000.0)
|
|
3061
|
-
`,
|
|
3062
|
-
[params.universe, params.interval, params.startMs, params.endMs]
|
|
3063
|
-
);
|
|
3064
|
-
const row = res.rows[0];
|
|
3065
|
-
if (!row?.first_ts || !row?.last_ts) return null;
|
|
3066
|
-
return {
|
|
3067
|
-
firstMs: new Date(row.first_ts).getTime(),
|
|
3068
|
-
lastMs: new Date(row.last_ts).getTime(),
|
|
3069
|
-
rows: Number(row.rows) || 0,
|
|
3070
|
-
btcAltMetricsRows: Number(row.btc_alt_metrics_rows) || 0
|
|
3071
|
-
};
|
|
3072
|
-
}
|
|
3073
|
-
|
|
3074
|
-
// src/timescale/hyperliquidWhales.ts
|
|
3075
|
-
var import_types = require("@tradejs/types");
|
|
3076
|
-
var HYPERLIQUID_CONTEXT_INTERVAL_MS = {
|
|
3077
|
-
"1m": 6e4,
|
|
3078
|
-
"5m": 5 * 6e4,
|
|
3079
|
-
"15m": 15 * 6e4,
|
|
3080
|
-
"1h": 60 * 6e4
|
|
3081
|
-
};
|
|
3082
|
-
async function upsertHyperliquidWhaleTradeEvents(rows) {
|
|
3083
|
-
if (!rows.length) return;
|
|
3084
|
-
await ensureHyperliquidWhaleSchema();
|
|
3085
|
-
const cols = [
|
|
3086
|
-
"symbol",
|
|
3087
|
-
"ts",
|
|
3088
|
-
"tid",
|
|
3089
|
-
"price",
|
|
3090
|
-
"size",
|
|
3091
|
-
"notional_usd",
|
|
3092
|
-
"buyer_address",
|
|
3093
|
-
"seller_address",
|
|
3094
|
-
"buyer_tracked",
|
|
3095
|
-
"seller_tracked",
|
|
3096
|
-
"buyer_start_position",
|
|
3097
|
-
"buyer_end_position",
|
|
3098
|
-
"buyer_position_action",
|
|
3099
|
-
"buyer_closed_pnl",
|
|
3100
|
-
"buyer_liquidation",
|
|
3101
|
-
"seller_start_position",
|
|
3102
|
-
"seller_end_position",
|
|
3103
|
-
"seller_position_action",
|
|
3104
|
-
"seller_closed_pnl",
|
|
3105
|
-
"seller_liquidation",
|
|
3106
|
-
"universe_fingerprint",
|
|
3107
|
-
"whale_registry_fingerprint",
|
|
3108
|
-
"source"
|
|
3109
|
-
];
|
|
3110
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
3111
|
-
if (rows.length > maxRows) {
|
|
3112
|
-
for (let index = 0; index < rows.length; index += maxRows) {
|
|
3113
|
-
await upsertHyperliquidWhaleTradeEvents(
|
|
3114
|
-
rows.slice(index, index + maxRows)
|
|
3115
|
-
);
|
|
3116
|
-
}
|
|
3117
|
-
return;
|
|
3118
|
-
}
|
|
3119
|
-
const valuesSql = rows.map(
|
|
3120
|
-
(_, rowIndex) => `(${cols.map((__, colIndex) => `$${rowIndex * cols.length + colIndex + 1}`).join(",")})`
|
|
3121
|
-
).join(",");
|
|
3122
|
-
const flat = rows.flatMap((row) => [
|
|
3123
|
-
row.symbol,
|
|
3124
|
-
row.ts,
|
|
3125
|
-
row.tid,
|
|
3126
|
-
row.price,
|
|
3127
|
-
row.size,
|
|
3128
|
-
row.notionalUsd,
|
|
3129
|
-
row.buyerAddress ?? null,
|
|
3130
|
-
row.sellerAddress ?? null,
|
|
3131
|
-
row.buyerTracked,
|
|
3132
|
-
row.sellerTracked,
|
|
3133
|
-
row.buyerStartPosition ?? null,
|
|
3134
|
-
row.buyerEndPosition ?? null,
|
|
3135
|
-
row.buyerPositionAction ?? null,
|
|
3136
|
-
row.buyerClosedPnl ?? null,
|
|
3137
|
-
row.buyerLiquidation ?? null,
|
|
3138
|
-
row.sellerStartPosition ?? null,
|
|
3139
|
-
row.sellerEndPosition ?? null,
|
|
3140
|
-
row.sellerPositionAction ?? null,
|
|
3141
|
-
row.sellerClosedPnl ?? null,
|
|
3142
|
-
row.sellerLiquidation ?? null,
|
|
3143
|
-
row.universeFingerprint,
|
|
3144
|
-
row.whaleRegistryFingerprint,
|
|
3145
|
-
row.source ?? null
|
|
3146
|
-
]);
|
|
3147
|
-
await getPool().query(
|
|
3148
|
-
`
|
|
3149
|
-
INSERT INTO hyperliquid_whale_trade_events (${cols.join(",")})
|
|
3150
|
-
VALUES ${valuesSql}
|
|
3151
|
-
ON CONFLICT (
|
|
3152
|
-
universe_fingerprint,
|
|
3153
|
-
whale_registry_fingerprint,
|
|
3154
|
-
symbol,
|
|
3155
|
-
ts,
|
|
3156
|
-
tid
|
|
3157
|
-
) DO UPDATE SET
|
|
3158
|
-
buyer_address = COALESCE(
|
|
3159
|
-
hyperliquid_whale_trade_events.buyer_address,
|
|
3160
|
-
EXCLUDED.buyer_address
|
|
3161
|
-
),
|
|
3162
|
-
seller_address = COALESCE(
|
|
3163
|
-
hyperliquid_whale_trade_events.seller_address,
|
|
3164
|
-
EXCLUDED.seller_address
|
|
3165
|
-
),
|
|
3166
|
-
buyer_tracked = hyperliquid_whale_trade_events.buyer_tracked OR EXCLUDED.buyer_tracked,
|
|
3167
|
-
seller_tracked = hyperliquid_whale_trade_events.seller_tracked OR EXCLUDED.seller_tracked,
|
|
3168
|
-
buyer_start_position = COALESCE(
|
|
3169
|
-
hyperliquid_whale_trade_events.buyer_start_position,
|
|
3170
|
-
EXCLUDED.buyer_start_position
|
|
3171
|
-
),
|
|
3172
|
-
buyer_end_position = COALESCE(
|
|
3173
|
-
hyperliquid_whale_trade_events.buyer_end_position,
|
|
3174
|
-
EXCLUDED.buyer_end_position
|
|
3175
|
-
),
|
|
3176
|
-
buyer_position_action = COALESCE(
|
|
3177
|
-
hyperliquid_whale_trade_events.buyer_position_action,
|
|
3178
|
-
EXCLUDED.buyer_position_action
|
|
3179
|
-
),
|
|
3180
|
-
buyer_closed_pnl = COALESCE(
|
|
3181
|
-
hyperliquid_whale_trade_events.buyer_closed_pnl,
|
|
3182
|
-
EXCLUDED.buyer_closed_pnl
|
|
3183
|
-
),
|
|
3184
|
-
buyer_liquidation = COALESCE(
|
|
3185
|
-
hyperliquid_whale_trade_events.buyer_liquidation,
|
|
3186
|
-
EXCLUDED.buyer_liquidation
|
|
3187
|
-
),
|
|
3188
|
-
seller_start_position = COALESCE(
|
|
3189
|
-
hyperliquid_whale_trade_events.seller_start_position,
|
|
3190
|
-
EXCLUDED.seller_start_position
|
|
3191
|
-
),
|
|
3192
|
-
seller_end_position = COALESCE(
|
|
3193
|
-
hyperliquid_whale_trade_events.seller_end_position,
|
|
3194
|
-
EXCLUDED.seller_end_position
|
|
3195
|
-
),
|
|
3196
|
-
seller_position_action = COALESCE(
|
|
3197
|
-
hyperliquid_whale_trade_events.seller_position_action,
|
|
3198
|
-
EXCLUDED.seller_position_action
|
|
3199
|
-
),
|
|
3200
|
-
seller_closed_pnl = COALESCE(
|
|
3201
|
-
hyperliquid_whale_trade_events.seller_closed_pnl,
|
|
3202
|
-
EXCLUDED.seller_closed_pnl
|
|
3203
|
-
),
|
|
3204
|
-
seller_liquidation = COALESCE(
|
|
3205
|
-
hyperliquid_whale_trade_events.seller_liquidation,
|
|
3206
|
-
EXCLUDED.seller_liquidation
|
|
3207
|
-
),
|
|
3208
|
-
source = EXCLUDED.source,
|
|
3209
|
-
ingested_at = now()
|
|
3210
|
-
`,
|
|
3211
|
-
flat
|
|
3212
|
-
);
|
|
3213
|
-
}
|
|
3214
|
-
async function upsertHyperliquidWhaleFlowRows(rows) {
|
|
3215
|
-
if (!rows.length) return;
|
|
3216
|
-
await ensureHyperliquidWhaleSchema();
|
|
3217
|
-
const cols = [
|
|
3218
|
-
"symbol",
|
|
3219
|
-
"interval",
|
|
3220
|
-
"ts",
|
|
3221
|
-
"trades",
|
|
3222
|
-
"whale_sides",
|
|
3223
|
-
"unique_whales",
|
|
3224
|
-
"whale_addresses",
|
|
3225
|
-
"buy_notional_usd",
|
|
3226
|
-
"sell_notional_usd",
|
|
3227
|
-
"net_notional_usd",
|
|
3228
|
-
"buy_share_pct",
|
|
3229
|
-
"position_aware_whale_sides",
|
|
3230
|
-
"long_entry_whale_addresses",
|
|
3231
|
-
"short_entry_whale_addresses",
|
|
3232
|
-
"long_exit_whale_addresses",
|
|
3233
|
-
"short_exit_whale_addresses",
|
|
3234
|
-
"long_entry_notional_usd",
|
|
3235
|
-
"short_entry_notional_usd",
|
|
3236
|
-
"long_exit_notional_usd",
|
|
3237
|
-
"short_exit_notional_usd",
|
|
3238
|
-
"entry_net_notional_usd",
|
|
3239
|
-
"entry_long_share_pct",
|
|
3240
|
-
"universe_fingerprint",
|
|
3241
|
-
"whale_registry_fingerprint",
|
|
3242
|
-
"source"
|
|
3243
|
-
];
|
|
3244
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
3245
|
-
if (rows.length > maxRows) {
|
|
3246
|
-
for (let index = 0; index < rows.length; index += maxRows) {
|
|
3247
|
-
await upsertHyperliquidWhaleFlowRows(rows.slice(index, index + maxRows));
|
|
3248
|
-
}
|
|
3249
|
-
return;
|
|
3250
|
-
}
|
|
3251
|
-
const valuesSql = rows.map(
|
|
3252
|
-
(_, rowIndex) => `(${cols.map((__, colIndex) => `$${rowIndex * cols.length + colIndex + 1}`).join(",")})`
|
|
3253
|
-
).join(",");
|
|
3254
|
-
const flat = rows.flatMap((row) => [
|
|
3255
|
-
row.symbol,
|
|
3256
|
-
row.interval,
|
|
3257
|
-
row.ts,
|
|
3258
|
-
row.trades,
|
|
3259
|
-
row.whaleSides,
|
|
3260
|
-
row.uniqueWhales,
|
|
3261
|
-
row.whaleAddresses ?? [],
|
|
3262
|
-
row.buyNotionalUsd,
|
|
3263
|
-
row.sellNotionalUsd,
|
|
3264
|
-
row.netNotionalUsd,
|
|
3265
|
-
row.buySharePct ?? null,
|
|
3266
|
-
row.positionAwareWhaleSides,
|
|
3267
|
-
row.longEntryWhaleAddresses ?? [],
|
|
3268
|
-
row.shortEntryWhaleAddresses ?? [],
|
|
3269
|
-
row.longExitWhaleAddresses ?? [],
|
|
3270
|
-
row.shortExitWhaleAddresses ?? [],
|
|
3271
|
-
row.longEntryNotionalUsd,
|
|
3272
|
-
row.shortEntryNotionalUsd,
|
|
3273
|
-
row.longExitNotionalUsd,
|
|
3274
|
-
row.shortExitNotionalUsd,
|
|
3275
|
-
row.entryNetNotionalUsd,
|
|
3276
|
-
row.entryLongSharePct ?? null,
|
|
3277
|
-
row.universeFingerprint,
|
|
3278
|
-
row.whaleRegistryFingerprint,
|
|
3279
|
-
row.source ?? null
|
|
3280
|
-
]);
|
|
3281
|
-
await getPool().query(
|
|
3282
|
-
`
|
|
3283
|
-
INSERT INTO hyperliquid_whale_flow (${cols.join(",")})
|
|
3284
|
-
VALUES ${valuesSql}
|
|
3285
|
-
ON CONFLICT (
|
|
3286
|
-
universe_fingerprint,
|
|
3287
|
-
whale_registry_fingerprint,
|
|
3288
|
-
symbol,
|
|
3289
|
-
interval,
|
|
3290
|
-
ts
|
|
3291
|
-
) DO UPDATE SET
|
|
3292
|
-
trades = EXCLUDED.trades,
|
|
3293
|
-
whale_sides = EXCLUDED.whale_sides,
|
|
3294
|
-
unique_whales = EXCLUDED.unique_whales,
|
|
3295
|
-
whale_addresses = EXCLUDED.whale_addresses,
|
|
3296
|
-
buy_notional_usd = EXCLUDED.buy_notional_usd,
|
|
3297
|
-
sell_notional_usd = EXCLUDED.sell_notional_usd,
|
|
3298
|
-
net_notional_usd = EXCLUDED.net_notional_usd,
|
|
3299
|
-
buy_share_pct = EXCLUDED.buy_share_pct,
|
|
3300
|
-
position_aware_whale_sides = EXCLUDED.position_aware_whale_sides,
|
|
3301
|
-
long_entry_whale_addresses = EXCLUDED.long_entry_whale_addresses,
|
|
3302
|
-
short_entry_whale_addresses = EXCLUDED.short_entry_whale_addresses,
|
|
3303
|
-
long_exit_whale_addresses = EXCLUDED.long_exit_whale_addresses,
|
|
3304
|
-
short_exit_whale_addresses = EXCLUDED.short_exit_whale_addresses,
|
|
3305
|
-
long_entry_notional_usd = EXCLUDED.long_entry_notional_usd,
|
|
3306
|
-
short_entry_notional_usd = EXCLUDED.short_entry_notional_usd,
|
|
3307
|
-
long_exit_notional_usd = EXCLUDED.long_exit_notional_usd,
|
|
3308
|
-
short_exit_notional_usd = EXCLUDED.short_exit_notional_usd,
|
|
3309
|
-
entry_net_notional_usd = EXCLUDED.entry_net_notional_usd,
|
|
3310
|
-
entry_long_share_pct = EXCLUDED.entry_long_share_pct,
|
|
3311
|
-
source = EXCLUDED.source,
|
|
3312
|
-
ingested_at = now()
|
|
3313
|
-
`,
|
|
3314
|
-
flat
|
|
3315
|
-
);
|
|
3316
|
-
}
|
|
3317
|
-
async function rebuildHyperliquidWhaleFlowRows(params) {
|
|
3318
|
-
await ensureHyperliquidWhaleSchema();
|
|
3319
|
-
const client = await getPool().connect();
|
|
3320
|
-
try {
|
|
3321
|
-
await client.query("BEGIN");
|
|
3322
|
-
const result = await client.query(
|
|
3323
|
-
`
|
|
3324
|
-
WITH source_events AS (
|
|
3325
|
-
SELECT *
|
|
3326
|
-
FROM hyperliquid_whale_trade_events
|
|
3327
|
-
WHERE universe_fingerprint = $1
|
|
3328
|
-
AND whale_registry_fingerprint = $2
|
|
3329
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
3330
|
-
AND ts < to_timestamp($4/1000.0)
|
|
3331
|
-
), metrics AS (
|
|
3332
|
-
SELECT
|
|
3333
|
-
symbol,
|
|
3334
|
-
date_trunc('minute', ts) AS bucket_ts,
|
|
3335
|
-
COUNT(*)::int AS trades,
|
|
3336
|
-
SUM(buyer_tracked::int + seller_tracked::int)::int AS whale_sides,
|
|
3337
|
-
SUM(CASE WHEN buyer_tracked THEN notional_usd ELSE 0 END) AS buy_notional_usd,
|
|
3338
|
-
SUM(CASE WHEN seller_tracked THEN notional_usd ELSE 0 END) AS sell_notional_usd
|
|
3339
|
-
FROM source_events
|
|
3340
|
-
GROUP BY symbol, date_trunc('minute', ts)
|
|
3341
|
-
), position_legs AS (
|
|
3342
|
-
SELECT
|
|
3343
|
-
symbol,
|
|
3344
|
-
ts,
|
|
3345
|
-
price,
|
|
3346
|
-
buyer_address AS whale_address,
|
|
3347
|
-
buyer_start_position AS start_position,
|
|
3348
|
-
buyer_end_position AS end_position
|
|
3349
|
-
FROM source_events
|
|
3350
|
-
WHERE buyer_tracked
|
|
3351
|
-
AND buyer_address IS NOT NULL
|
|
3352
|
-
AND buyer_start_position IS NOT NULL
|
|
3353
|
-
AND buyer_end_position IS NOT NULL
|
|
3354
|
-
UNION ALL
|
|
3355
|
-
SELECT
|
|
3356
|
-
symbol,
|
|
3357
|
-
ts,
|
|
3358
|
-
price,
|
|
3359
|
-
seller_address AS whale_address,
|
|
3360
|
-
seller_start_position AS start_position,
|
|
3361
|
-
seller_end_position AS end_position
|
|
3362
|
-
FROM source_events
|
|
3363
|
-
WHERE seller_tracked
|
|
3364
|
-
AND seller_address IS NOT NULL
|
|
3365
|
-
AND seller_start_position IS NOT NULL
|
|
3366
|
-
AND seller_end_position IS NOT NULL
|
|
3367
|
-
), classified_legs AS (
|
|
3368
|
-
SELECT
|
|
3369
|
-
*,
|
|
3370
|
-
GREATEST(
|
|
3371
|
-
GREATEST(end_position, 0) - GREATEST(start_position, 0),
|
|
3372
|
-
0
|
|
3373
|
-
) AS long_entry_size,
|
|
3374
|
-
GREATEST(
|
|
3375
|
-
GREATEST(-end_position, 0) - GREATEST(-start_position, 0),
|
|
3376
|
-
0
|
|
3377
|
-
) AS short_entry_size,
|
|
3378
|
-
GREATEST(
|
|
3379
|
-
GREATEST(start_position, 0) - GREATEST(end_position, 0),
|
|
3380
|
-
0
|
|
3381
|
-
) AS long_exit_size,
|
|
3382
|
-
GREATEST(
|
|
3383
|
-
GREATEST(-start_position, 0) - GREATEST(-end_position, 0),
|
|
3384
|
-
0
|
|
3385
|
-
) AS short_exit_size
|
|
3386
|
-
FROM position_legs
|
|
3387
|
-
), position_metrics AS (
|
|
3388
|
-
SELECT
|
|
3389
|
-
symbol,
|
|
3390
|
-
date_trunc('minute', ts) AS bucket_ts,
|
|
3391
|
-
COUNT(*)::int AS position_aware_whale_sides,
|
|
3392
|
-
SUM(long_entry_size * price) AS long_entry_notional_usd,
|
|
3393
|
-
SUM(short_entry_size * price) AS short_entry_notional_usd,
|
|
3394
|
-
SUM(long_exit_size * price) AS long_exit_notional_usd,
|
|
3395
|
-
SUM(short_exit_size * price) AS short_exit_notional_usd,
|
|
3396
|
-
COALESCE(
|
|
3397
|
-
ARRAY_AGG(DISTINCT whale_address ORDER BY whale_address)
|
|
3398
|
-
FILTER (WHERE long_entry_size > 0),
|
|
3399
|
-
'{}'
|
|
3400
|
-
) AS long_entry_whale_addresses,
|
|
3401
|
-
COALESCE(
|
|
3402
|
-
ARRAY_AGG(DISTINCT whale_address ORDER BY whale_address)
|
|
3403
|
-
FILTER (WHERE short_entry_size > 0),
|
|
3404
|
-
'{}'
|
|
3405
|
-
) AS short_entry_whale_addresses,
|
|
3406
|
-
COALESCE(
|
|
3407
|
-
ARRAY_AGG(DISTINCT whale_address ORDER BY whale_address)
|
|
3408
|
-
FILTER (WHERE long_exit_size > 0),
|
|
3409
|
-
'{}'
|
|
3410
|
-
) AS long_exit_whale_addresses,
|
|
3411
|
-
COALESCE(
|
|
3412
|
-
ARRAY_AGG(DISTINCT whale_address ORDER BY whale_address)
|
|
3413
|
-
FILTER (WHERE short_exit_size > 0),
|
|
3414
|
-
'{}'
|
|
3415
|
-
) AS short_exit_whale_addresses
|
|
3416
|
-
FROM classified_legs
|
|
3417
|
-
GROUP BY symbol, date_trunc('minute', ts)
|
|
3418
|
-
), addresses AS (
|
|
3419
|
-
SELECT
|
|
3420
|
-
symbol,
|
|
3421
|
-
date_trunc('minute', ts) AS bucket_ts,
|
|
3422
|
-
ARRAY_AGG(DISTINCT whale_address ORDER BY whale_address) AS whale_addresses
|
|
3423
|
-
FROM source_events
|
|
3424
|
-
CROSS JOIN LATERAL UNNEST(ARRAY[
|
|
3425
|
-
CASE WHEN buyer_tracked THEN buyer_address END,
|
|
3426
|
-
CASE WHEN seller_tracked THEN seller_address END
|
|
3427
|
-
]) AS expanded(whale_address)
|
|
3428
|
-
WHERE whale_address IS NOT NULL
|
|
3429
|
-
GROUP BY symbol, date_trunc('minute', ts)
|
|
3430
|
-
)
|
|
3431
|
-
INSERT INTO hyperliquid_whale_flow (
|
|
3432
|
-
symbol,
|
|
3433
|
-
interval,
|
|
3434
|
-
ts,
|
|
3435
|
-
trades,
|
|
3436
|
-
whale_sides,
|
|
3437
|
-
unique_whales,
|
|
3438
|
-
whale_addresses,
|
|
3439
|
-
buy_notional_usd,
|
|
3440
|
-
sell_notional_usd,
|
|
3441
|
-
net_notional_usd,
|
|
3442
|
-
buy_share_pct,
|
|
3443
|
-
position_aware_whale_sides,
|
|
3444
|
-
long_entry_whale_addresses,
|
|
3445
|
-
short_entry_whale_addresses,
|
|
3446
|
-
long_exit_whale_addresses,
|
|
3447
|
-
short_exit_whale_addresses,
|
|
3448
|
-
long_entry_notional_usd,
|
|
3449
|
-
short_entry_notional_usd,
|
|
3450
|
-
long_exit_notional_usd,
|
|
3451
|
-
short_exit_notional_usd,
|
|
3452
|
-
entry_net_notional_usd,
|
|
3453
|
-
entry_long_share_pct,
|
|
3454
|
-
universe_fingerprint,
|
|
3455
|
-
whale_registry_fingerprint,
|
|
3456
|
-
source
|
|
3457
|
-
)
|
|
3458
|
-
SELECT
|
|
3459
|
-
metrics.symbol,
|
|
3460
|
-
'1m',
|
|
3461
|
-
metrics.bucket_ts,
|
|
3462
|
-
metrics.trades,
|
|
3463
|
-
metrics.whale_sides,
|
|
3464
|
-
COALESCE(CARDINALITY(addresses.whale_addresses), 0),
|
|
3465
|
-
COALESCE(addresses.whale_addresses, '{}'),
|
|
3466
|
-
metrics.buy_notional_usd,
|
|
3467
|
-
metrics.sell_notional_usd,
|
|
3468
|
-
metrics.buy_notional_usd - metrics.sell_notional_usd,
|
|
3469
|
-
CASE
|
|
3470
|
-
WHEN metrics.buy_notional_usd + metrics.sell_notional_usd > 0
|
|
3471
|
-
THEN metrics.buy_notional_usd /
|
|
3472
|
-
(metrics.buy_notional_usd + metrics.sell_notional_usd)
|
|
3473
|
-
ELSE NULL
|
|
3474
|
-
END,
|
|
3475
|
-
COALESCE(position_metrics.position_aware_whale_sides, 0),
|
|
3476
|
-
COALESCE(position_metrics.long_entry_whale_addresses, '{}'),
|
|
3477
|
-
COALESCE(position_metrics.short_entry_whale_addresses, '{}'),
|
|
3478
|
-
COALESCE(position_metrics.long_exit_whale_addresses, '{}'),
|
|
3479
|
-
COALESCE(position_metrics.short_exit_whale_addresses, '{}'),
|
|
3480
|
-
COALESCE(position_metrics.long_entry_notional_usd, 0),
|
|
3481
|
-
COALESCE(position_metrics.short_entry_notional_usd, 0),
|
|
3482
|
-
COALESCE(position_metrics.long_exit_notional_usd, 0),
|
|
3483
|
-
COALESCE(position_metrics.short_exit_notional_usd, 0),
|
|
3484
|
-
COALESCE(position_metrics.long_entry_notional_usd, 0) -
|
|
3485
|
-
COALESCE(position_metrics.short_entry_notional_usd, 0),
|
|
3486
|
-
CASE
|
|
3487
|
-
WHEN COALESCE(position_metrics.long_entry_notional_usd, 0) +
|
|
3488
|
-
COALESCE(position_metrics.short_entry_notional_usd, 0) > 0
|
|
3489
|
-
THEN COALESCE(position_metrics.long_entry_notional_usd, 0) /
|
|
3490
|
-
(
|
|
3491
|
-
COALESCE(position_metrics.long_entry_notional_usd, 0) +
|
|
3492
|
-
COALESCE(position_metrics.short_entry_notional_usd, 0)
|
|
3493
|
-
)
|
|
3494
|
-
ELSE NULL
|
|
3495
|
-
END,
|
|
3496
|
-
$1,
|
|
3497
|
-
$2,
|
|
3498
|
-
CASE
|
|
3499
|
-
WHEN COALESCE(position_metrics.position_aware_whale_sides, 0) > 0
|
|
3500
|
-
THEN 'hyperliquid_user_fills'
|
|
3501
|
-
ELSE 'hyperliquid_trades'
|
|
3502
|
-
END
|
|
3503
|
-
FROM metrics
|
|
3504
|
-
LEFT JOIN addresses USING (symbol, bucket_ts)
|
|
3505
|
-
LEFT JOIN position_metrics USING (symbol, bucket_ts)
|
|
3506
|
-
ON CONFLICT (
|
|
3507
|
-
universe_fingerprint,
|
|
3508
|
-
whale_registry_fingerprint,
|
|
3509
|
-
symbol,
|
|
3510
|
-
interval,
|
|
3511
|
-
ts
|
|
3512
|
-
) DO UPDATE SET
|
|
3513
|
-
trades = EXCLUDED.trades,
|
|
3514
|
-
whale_sides = EXCLUDED.whale_sides,
|
|
3515
|
-
unique_whales = EXCLUDED.unique_whales,
|
|
3516
|
-
whale_addresses = EXCLUDED.whale_addresses,
|
|
3517
|
-
buy_notional_usd = EXCLUDED.buy_notional_usd,
|
|
3518
|
-
sell_notional_usd = EXCLUDED.sell_notional_usd,
|
|
3519
|
-
net_notional_usd = EXCLUDED.net_notional_usd,
|
|
3520
|
-
buy_share_pct = EXCLUDED.buy_share_pct,
|
|
3521
|
-
position_aware_whale_sides = EXCLUDED.position_aware_whale_sides,
|
|
3522
|
-
long_entry_whale_addresses = EXCLUDED.long_entry_whale_addresses,
|
|
3523
|
-
short_entry_whale_addresses = EXCLUDED.short_entry_whale_addresses,
|
|
3524
|
-
long_exit_whale_addresses = EXCLUDED.long_exit_whale_addresses,
|
|
3525
|
-
short_exit_whale_addresses = EXCLUDED.short_exit_whale_addresses,
|
|
3526
|
-
long_entry_notional_usd = EXCLUDED.long_entry_notional_usd,
|
|
3527
|
-
short_entry_notional_usd = EXCLUDED.short_entry_notional_usd,
|
|
3528
|
-
long_exit_notional_usd = EXCLUDED.long_exit_notional_usd,
|
|
3529
|
-
short_exit_notional_usd = EXCLUDED.short_exit_notional_usd,
|
|
3530
|
-
entry_net_notional_usd = EXCLUDED.entry_net_notional_usd,
|
|
3531
|
-
entry_long_share_pct = EXCLUDED.entry_long_share_pct,
|
|
3532
|
-
source = EXCLUDED.source,
|
|
3533
|
-
ingested_at = now()
|
|
3534
|
-
RETURNING 1
|
|
3535
|
-
`,
|
|
3536
|
-
[
|
|
3537
|
-
params.universeFingerprint,
|
|
3538
|
-
params.whaleRegistryFingerprint,
|
|
3539
|
-
params.fromMs,
|
|
3540
|
-
params.toMs
|
|
3541
|
-
]
|
|
3542
|
-
);
|
|
3543
|
-
if (params.deleteEventsBeforeMs != null) {
|
|
3544
|
-
await client.query(
|
|
3545
|
-
`
|
|
3546
|
-
DELETE FROM hyperliquid_whale_trade_events
|
|
3547
|
-
WHERE universe_fingerprint = $1
|
|
3548
|
-
AND whale_registry_fingerprint = $2
|
|
3549
|
-
AND ts < to_timestamp($3/1000.0)
|
|
3550
|
-
`,
|
|
3551
|
-
[
|
|
3552
|
-
params.universeFingerprint,
|
|
3553
|
-
params.whaleRegistryFingerprint,
|
|
3554
|
-
params.deleteEventsBeforeMs
|
|
3555
|
-
]
|
|
3556
|
-
);
|
|
3557
|
-
}
|
|
3558
|
-
await client.query("COMMIT");
|
|
3559
|
-
return result.rowCount ?? 0;
|
|
3560
|
-
} catch (error) {
|
|
3561
|
-
await client.query("ROLLBACK");
|
|
3562
|
-
throw error;
|
|
3563
|
-
} finally {
|
|
3564
|
-
client.release();
|
|
3565
|
-
}
|
|
3566
|
-
}
|
|
3567
|
-
async function getHyperliquidWhaleWalletCoverage(params) {
|
|
3568
|
-
await ensureHyperliquidWhaleSchema();
|
|
3569
|
-
const result = await getPool().query(
|
|
3570
|
-
`
|
|
3571
|
-
SELECT
|
|
3572
|
-
status,
|
|
3573
|
-
covered_from_ts,
|
|
3574
|
-
covered_to_ts,
|
|
3575
|
-
fills_count,
|
|
3576
|
-
error,
|
|
3577
|
-
checked_at
|
|
3578
|
-
FROM hyperliquid_whale_wallet_coverage
|
|
3579
|
-
WHERE universe_fingerprint = $1
|
|
3580
|
-
AND whale_registry_fingerprint = $2
|
|
3581
|
-
AND address = $3
|
|
3582
|
-
AND data_model_version = $6
|
|
3583
|
-
AND (
|
|
3584
|
-
(
|
|
3585
|
-
covered_from_ts <= to_timestamp($4/1000.0)
|
|
3586
|
-
AND covered_to_ts >= to_timestamp($5/1000.0)
|
|
3587
|
-
)
|
|
3588
|
-
OR (
|
|
3589
|
-
requested_from_ts = to_timestamp($4/1000.0)
|
|
3590
|
-
AND requested_to_ts = to_timestamp($5/1000.0)
|
|
3591
|
-
)
|
|
3592
|
-
)
|
|
3593
|
-
ORDER BY checked_at DESC
|
|
3594
|
-
LIMIT 1
|
|
3595
|
-
`,
|
|
3596
|
-
[
|
|
3597
|
-
params.universeFingerprint,
|
|
3598
|
-
params.whaleRegistryFingerprint,
|
|
3599
|
-
params.address.toLowerCase(),
|
|
3600
|
-
params.fromMs,
|
|
3601
|
-
params.toMs,
|
|
3602
|
-
import_types.HYPERLIQUID_WHALE_DATA_MODEL_VERSION
|
|
3603
|
-
]
|
|
3604
|
-
);
|
|
3605
|
-
const row = result.rows[0];
|
|
3606
|
-
if (!row) return null;
|
|
3607
|
-
return {
|
|
3608
|
-
status: row.covered_from_ts != null && row.covered_to_ts != null && new Date(row.covered_from_ts).getTime() <= params.fromMs && new Date(row.covered_to_ts).getTime() >= params.toMs ? "complete" : String(row.status),
|
|
3609
|
-
coveredFromMs: row.covered_from_ts == null ? null : new Date(row.covered_from_ts).getTime(),
|
|
3610
|
-
coveredToMs: row.covered_to_ts == null ? null : new Date(row.covered_to_ts).getTime(),
|
|
3611
|
-
fillsCount: Number(row.fills_count) || 0,
|
|
3612
|
-
error: row.error == null ? null : String(row.error),
|
|
3613
|
-
checkedAt: new Date(row.checked_at)
|
|
3614
|
-
};
|
|
3615
|
-
}
|
|
3616
|
-
async function upsertHyperliquidWhaleWalletCoverage(params) {
|
|
3617
|
-
await ensureHyperliquidWhaleSchema();
|
|
3618
|
-
await getPool().query(
|
|
3619
|
-
`
|
|
3620
|
-
INSERT INTO hyperliquid_whale_wallet_coverage (
|
|
3621
|
-
universe_fingerprint,
|
|
3622
|
-
whale_registry_fingerprint,
|
|
3623
|
-
address,
|
|
3624
|
-
requested_from_ts,
|
|
3625
|
-
requested_to_ts,
|
|
3626
|
-
covered_from_ts,
|
|
3627
|
-
covered_to_ts,
|
|
3628
|
-
status,
|
|
3629
|
-
fills_count,
|
|
3630
|
-
error,
|
|
3631
|
-
data_model_version
|
|
3632
|
-
) VALUES (
|
|
3633
|
-
$1,
|
|
3634
|
-
$2,
|
|
3635
|
-
$3,
|
|
3636
|
-
to_timestamp($4/1000.0),
|
|
3637
|
-
to_timestamp($5/1000.0),
|
|
3638
|
-
CASE WHEN $6::double precision IS NULL THEN NULL ELSE to_timestamp($6/1000.0) END,
|
|
3639
|
-
CASE WHEN $7::double precision IS NULL THEN NULL ELSE to_timestamp($7/1000.0) END,
|
|
3640
|
-
$8,
|
|
3641
|
-
$9,
|
|
3642
|
-
$10,
|
|
3643
|
-
$11
|
|
3644
|
-
)
|
|
3645
|
-
ON CONFLICT (
|
|
3646
|
-
universe_fingerprint,
|
|
3647
|
-
whale_registry_fingerprint,
|
|
3648
|
-
address,
|
|
3649
|
-
requested_from_ts,
|
|
3650
|
-
requested_to_ts
|
|
3651
|
-
) DO UPDATE SET
|
|
3652
|
-
covered_from_ts = EXCLUDED.covered_from_ts,
|
|
3653
|
-
covered_to_ts = EXCLUDED.covered_to_ts,
|
|
3654
|
-
status = EXCLUDED.status,
|
|
3655
|
-
fills_count = EXCLUDED.fills_count,
|
|
3656
|
-
error = EXCLUDED.error,
|
|
3657
|
-
data_model_version = EXCLUDED.data_model_version,
|
|
3658
|
-
checked_at = now()
|
|
3659
|
-
`,
|
|
3660
|
-
[
|
|
3661
|
-
params.universeFingerprint,
|
|
3662
|
-
params.whaleRegistryFingerprint,
|
|
3663
|
-
params.address.toLowerCase(),
|
|
3664
|
-
params.fromMs,
|
|
3665
|
-
params.toMs,
|
|
3666
|
-
params.coveredFromMs,
|
|
3667
|
-
params.coveredToMs,
|
|
3668
|
-
params.status,
|
|
3669
|
-
params.fillsCount,
|
|
3670
|
-
params.error ?? null,
|
|
3671
|
-
import_types.HYPERLIQUID_WHALE_DATA_MODEL_VERSION
|
|
3672
|
-
]
|
|
3673
|
-
);
|
|
3674
|
-
}
|
|
3675
|
-
async function rebuildHyperliquidWhaleCoverageRows(params) {
|
|
3676
|
-
await ensureHyperliquidWhaleSchema();
|
|
3677
|
-
if (params.toMs <= params.fromMs) return 0;
|
|
3678
|
-
const minuteMs = 6e4;
|
|
3679
|
-
const defaultChunkMinutes = 7 * 24 * 60;
|
|
3680
|
-
const chunkMinutes = Number.isFinite(params.chunkMinutes) && Number(params.chunkMinutes) > 0 ? Math.floor(Number(params.chunkMinutes)) : defaultChunkMinutes;
|
|
3681
|
-
const chunkMs = chunkMinutes * minuteMs;
|
|
3682
|
-
const totalBuckets = Math.ceil((params.toMs - params.fromMs) / minuteMs);
|
|
3683
|
-
const totalChunks = Math.ceil((params.toMs - params.fromMs) / chunkMs);
|
|
3684
|
-
let completedBuckets = 0;
|
|
3685
|
-
let rows = 0;
|
|
3686
|
-
for (let chunkIndex = 0, chunkFromMs = params.fromMs; chunkFromMs < params.toMs; chunkIndex += 1, chunkFromMs += chunkMs) {
|
|
3687
|
-
const chunkToMs = Math.min(params.toMs, chunkFromMs + chunkMs);
|
|
3688
|
-
const result = await getPool().query(
|
|
3689
|
-
`
|
|
3690
|
-
WITH normalized_ranges AS (
|
|
3691
|
-
SELECT
|
|
3692
|
-
address,
|
|
3693
|
-
GREATEST(
|
|
3694
|
-
to_timestamp($3/1000.0),
|
|
3695
|
-
date_trunc('minute', covered_from_ts) +
|
|
3696
|
-
CASE
|
|
3697
|
-
WHEN covered_from_ts = date_trunc('minute', covered_from_ts)
|
|
3698
|
-
THEN interval '0 minutes'
|
|
3699
|
-
ELSE interval '1 minute'
|
|
3700
|
-
END
|
|
3701
|
-
) AS range_start,
|
|
3702
|
-
LEAST(
|
|
3703
|
-
to_timestamp($4/1000.0),
|
|
3704
|
-
date_trunc('minute', covered_to_ts)
|
|
3705
|
-
) AS range_end
|
|
3706
|
-
FROM hyperliquid_whale_wallet_coverage
|
|
3707
|
-
WHERE universe_fingerprint = $1
|
|
3708
|
-
AND whale_registry_fingerprint = $2
|
|
3709
|
-
AND data_model_version = $6
|
|
3710
|
-
AND status IN ('complete', 'truncated')
|
|
3711
|
-
AND covered_from_ts < to_timestamp($4/1000.0)
|
|
3712
|
-
AND covered_to_ts > to_timestamp($3/1000.0)
|
|
3713
|
-
), eligible_ranges AS (
|
|
3714
|
-
SELECT *
|
|
3715
|
-
FROM normalized_ranges
|
|
3716
|
-
WHERE range_start < range_end
|
|
3717
|
-
), ordered_ranges AS (
|
|
3718
|
-
SELECT
|
|
3719
|
-
*,
|
|
3720
|
-
MAX(range_end) OVER (
|
|
3721
|
-
PARTITION BY address
|
|
3722
|
-
ORDER BY range_start, range_end
|
|
3723
|
-
ROWS BETWEEN UNBOUNDED PRECEDING AND 1 PRECEDING
|
|
3724
|
-
) AS previous_max_end
|
|
3725
|
-
FROM eligible_ranges
|
|
3726
|
-
), marked_ranges AS (
|
|
3727
|
-
SELECT
|
|
3728
|
-
*,
|
|
3729
|
-
SUM(
|
|
3730
|
-
CASE
|
|
3731
|
-
WHEN previous_max_end IS NULL OR range_start > previous_max_end
|
|
3732
|
-
THEN 1
|
|
3733
|
-
ELSE 0
|
|
3734
|
-
END
|
|
3735
|
-
) OVER (
|
|
3736
|
-
PARTITION BY address
|
|
3737
|
-
ORDER BY range_start, range_end
|
|
3738
|
-
) AS range_group
|
|
3739
|
-
FROM ordered_ranges
|
|
3740
|
-
), merged_ranges AS (
|
|
3741
|
-
SELECT
|
|
3742
|
-
address,
|
|
3743
|
-
MIN(range_start) AS range_start,
|
|
3744
|
-
MAX(range_end) AS range_end
|
|
3745
|
-
FROM marked_ranges
|
|
3746
|
-
GROUP BY address, range_group
|
|
3747
|
-
), deltas AS (
|
|
3748
|
-
SELECT range_start AS ts, 1 AS delta
|
|
3749
|
-
FROM merged_ranges
|
|
3750
|
-
UNION ALL
|
|
3751
|
-
SELECT range_end AS ts, -1 AS delta
|
|
3752
|
-
FROM merged_ranges
|
|
3753
|
-
), bucket_deltas AS (
|
|
3754
|
-
SELECT ts, SUM(delta)::int AS delta
|
|
3755
|
-
FROM deltas
|
|
3756
|
-
GROUP BY ts
|
|
3757
|
-
), buckets AS (
|
|
3758
|
-
SELECT generate_series(
|
|
3759
|
-
to_timestamp($3/1000.0),
|
|
3760
|
-
to_timestamp($4/1000.0) - interval '1 minute',
|
|
3761
|
-
interval '1 minute'
|
|
3762
|
-
) AS ts
|
|
3763
|
-
), coverage AS (
|
|
3764
|
-
SELECT
|
|
3765
|
-
buckets.ts,
|
|
3766
|
-
SUM(COALESCE(bucket_deltas.delta, 0)) OVER (
|
|
3767
|
-
ORDER BY buckets.ts
|
|
3768
|
-
ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW
|
|
3769
|
-
)::int AS covered_whales
|
|
3770
|
-
FROM buckets
|
|
3771
|
-
LEFT JOIN bucket_deltas USING (ts)
|
|
3772
|
-
)
|
|
3773
|
-
INSERT INTO hyperliquid_whale_coverage_1m (
|
|
3774
|
-
ts,
|
|
3775
|
-
covered_whales,
|
|
3776
|
-
expected_whales,
|
|
3777
|
-
coverage_pct,
|
|
3778
|
-
universe_fingerprint,
|
|
3779
|
-
whale_registry_fingerprint,
|
|
3780
|
-
source,
|
|
3781
|
-
data_model_version
|
|
3782
|
-
)
|
|
3783
|
-
SELECT
|
|
3784
|
-
ts,
|
|
3785
|
-
covered_whales,
|
|
3786
|
-
$5,
|
|
3787
|
-
CASE WHEN $5 > 0 THEN covered_whales::double precision / $5 ELSE 0 END,
|
|
3788
|
-
$1,
|
|
3789
|
-
$2,
|
|
3790
|
-
'hyperliquid_user_fills',
|
|
3791
|
-
$6
|
|
3792
|
-
FROM coverage
|
|
3793
|
-
ON CONFLICT (
|
|
3794
|
-
universe_fingerprint,
|
|
3795
|
-
whale_registry_fingerprint,
|
|
3796
|
-
ts
|
|
3797
|
-
) DO UPDATE SET
|
|
3798
|
-
covered_whales = EXCLUDED.covered_whales,
|
|
3799
|
-
expected_whales = EXCLUDED.expected_whales,
|
|
3800
|
-
coverage_pct = EXCLUDED.coverage_pct,
|
|
3801
|
-
source = EXCLUDED.source,
|
|
3802
|
-
data_model_version = EXCLUDED.data_model_version,
|
|
3803
|
-
ingested_at = now()
|
|
3804
|
-
`,
|
|
3805
|
-
[
|
|
3806
|
-
params.universeFingerprint,
|
|
3807
|
-
params.whaleRegistryFingerprint,
|
|
3808
|
-
chunkFromMs,
|
|
3809
|
-
chunkToMs,
|
|
3810
|
-
params.expectedWhales,
|
|
3811
|
-
import_types.HYPERLIQUID_WHALE_DATA_MODEL_VERSION
|
|
3812
|
-
]
|
|
3813
|
-
);
|
|
3814
|
-
const chunkBuckets = Math.ceil((chunkToMs - chunkFromMs) / minuteMs);
|
|
3815
|
-
completedBuckets = Math.min(totalBuckets, completedBuckets + chunkBuckets);
|
|
3816
|
-
rows += result.rowCount ?? 0;
|
|
3817
|
-
params.onProgress?.({
|
|
3818
|
-
chunkIndex: chunkIndex + 1,
|
|
3819
|
-
totalChunks,
|
|
3820
|
-
completedBuckets,
|
|
3821
|
-
totalBuckets,
|
|
3822
|
-
rows
|
|
3823
|
-
});
|
|
3824
|
-
}
|
|
3825
|
-
return rows;
|
|
3826
|
-
}
|
|
3827
|
-
async function upsertHyperliquidWhaleCoverageRows(rows) {
|
|
3828
|
-
if (!rows.length) return;
|
|
3829
|
-
await ensureHyperliquidWhaleSchema();
|
|
3830
|
-
const cols = [
|
|
3831
|
-
"ts",
|
|
3832
|
-
"covered_whales",
|
|
3833
|
-
"expected_whales",
|
|
3834
|
-
"coverage_pct",
|
|
3835
|
-
"universe_fingerprint",
|
|
3836
|
-
"whale_registry_fingerprint",
|
|
3837
|
-
"source",
|
|
3838
|
-
"data_model_version"
|
|
3839
|
-
];
|
|
3840
|
-
const maxRows = getSafeBulkInsertRows(cols.length);
|
|
3841
|
-
if (rows.length > maxRows) {
|
|
3842
|
-
for (let index = 0; index < rows.length; index += maxRows) {
|
|
3843
|
-
await upsertHyperliquidWhaleCoverageRows(
|
|
3844
|
-
rows.slice(index, index + maxRows)
|
|
3845
|
-
);
|
|
3846
|
-
}
|
|
3847
|
-
return;
|
|
3848
|
-
}
|
|
3849
|
-
const values = [];
|
|
3850
|
-
const tuples = rows.map((row, rowIndex) => {
|
|
3851
|
-
const offset = rowIndex * cols.length;
|
|
3852
|
-
values.push(
|
|
3853
|
-
row.ts,
|
|
3854
|
-
row.coveredWhales,
|
|
3855
|
-
row.expectedWhales,
|
|
3856
|
-
row.coveragePct,
|
|
3857
|
-
row.universeFingerprint,
|
|
3858
|
-
row.whaleRegistryFingerprint,
|
|
3859
|
-
row.source ?? null,
|
|
3860
|
-
row.dataModelVersion ?? import_types.HYPERLIQUID_WHALE_DATA_MODEL_VERSION
|
|
3861
|
-
);
|
|
3862
|
-
return `(${cols.map((_, colIndex) => `$${offset + colIndex + 1}`).join(",")})`;
|
|
3863
|
-
});
|
|
3864
|
-
await getPool().query(
|
|
3865
|
-
`
|
|
3866
|
-
INSERT INTO hyperliquid_whale_coverage_1m (${cols.join(",")})
|
|
3867
|
-
VALUES ${tuples.join(",")}
|
|
3868
|
-
ON CONFLICT (
|
|
3869
|
-
universe_fingerprint,
|
|
3870
|
-
whale_registry_fingerprint,
|
|
3871
|
-
ts
|
|
3872
|
-
) DO UPDATE SET
|
|
3873
|
-
covered_whales = EXCLUDED.covered_whales,
|
|
3874
|
-
expected_whales = EXCLUDED.expected_whales,
|
|
3875
|
-
coverage_pct = EXCLUDED.coverage_pct,
|
|
3876
|
-
source = EXCLUDED.source,
|
|
3877
|
-
data_model_version = EXCLUDED.data_model_version,
|
|
3878
|
-
ingested_at = now()
|
|
3879
|
-
`,
|
|
3880
|
-
values
|
|
3881
|
-
);
|
|
3882
|
-
}
|
|
3883
|
-
async function getHyperliquidWhaleCoverageSeriesRows(params) {
|
|
3884
|
-
await prepareMarketContextSchemaForRead("hyperliquidWhales");
|
|
3885
|
-
const result = await queryMarketContext(
|
|
3886
|
-
`
|
|
3887
|
-
SELECT
|
|
3888
|
-
ts,
|
|
3889
|
-
covered_whales,
|
|
3890
|
-
expected_whales,
|
|
3891
|
-
coverage_pct
|
|
3892
|
-
FROM hyperliquid_whale_coverage_1m
|
|
3893
|
-
WHERE universe_fingerprint = $1
|
|
3894
|
-
AND whale_registry_fingerprint = $2
|
|
3895
|
-
AND data_model_version = $3
|
|
3896
|
-
AND ts >= to_timestamp($4/1000.0)
|
|
3897
|
-
AND ts < to_timestamp($5/1000.0)
|
|
3898
|
-
ORDER BY ts
|
|
3899
|
-
`,
|
|
3900
|
-
[
|
|
3901
|
-
params.universeFingerprint,
|
|
3902
|
-
params.whaleRegistryFingerprint,
|
|
3903
|
-
import_types.HYPERLIQUID_WHALE_DATA_MODEL_VERSION,
|
|
3904
|
-
params.fromMs,
|
|
3905
|
-
params.toMs
|
|
3906
|
-
],
|
|
3907
|
-
params
|
|
3908
|
-
);
|
|
3909
|
-
return result.rows.map((row) => ({
|
|
3910
|
-
ts: new Date(row.ts),
|
|
3911
|
-
coveredWhales: Number(row.covered_whales) || 0,
|
|
3912
|
-
expectedWhales: Number(row.expected_whales) || 0,
|
|
3913
|
-
coveragePct: Number(row.coverage_pct) || 0
|
|
3914
|
-
}));
|
|
3915
|
-
}
|
|
3916
|
-
async function getHyperliquidWhaleFlowSeriesRows(params) {
|
|
3917
|
-
await prepareMarketContextSchemaForRead("hyperliquidWhales");
|
|
3918
|
-
const result = await queryMarketContext(
|
|
3919
|
-
`
|
|
3920
|
-
SELECT
|
|
3921
|
-
ts,
|
|
3922
|
-
trades,
|
|
3923
|
-
whale_sides,
|
|
3924
|
-
whale_addresses,
|
|
3925
|
-
buy_notional_usd,
|
|
3926
|
-
sell_notional_usd,
|
|
3927
|
-
position_aware_whale_sides,
|
|
3928
|
-
long_entry_whale_addresses,
|
|
3929
|
-
short_entry_whale_addresses,
|
|
3930
|
-
long_exit_whale_addresses,
|
|
3931
|
-
short_exit_whale_addresses,
|
|
3932
|
-
long_entry_notional_usd,
|
|
3933
|
-
short_entry_notional_usd,
|
|
3934
|
-
long_exit_notional_usd,
|
|
3935
|
-
short_exit_notional_usd
|
|
3936
|
-
FROM hyperliquid_whale_flow
|
|
3937
|
-
WHERE symbol = $1
|
|
3938
|
-
AND interval = '1m'
|
|
3939
|
-
AND universe_fingerprint = $2
|
|
3940
|
-
AND whale_registry_fingerprint = $3
|
|
3941
|
-
AND ts >= to_timestamp($4/1000.0)
|
|
3942
|
-
AND ts < to_timestamp($5/1000.0)
|
|
3943
|
-
ORDER BY ts
|
|
3944
|
-
`,
|
|
3945
|
-
[
|
|
3946
|
-
params.symbol,
|
|
3947
|
-
params.universeFingerprint,
|
|
3948
|
-
params.whaleRegistryFingerprint,
|
|
3949
|
-
params.fromMs,
|
|
3950
|
-
params.toMs
|
|
3951
|
-
],
|
|
3952
|
-
params
|
|
3953
|
-
);
|
|
3954
|
-
return result.rows.map((row) => ({
|
|
3955
|
-
ts: new Date(row.ts),
|
|
3956
|
-
trades: Number(row.trades) || 0,
|
|
3957
|
-
whaleSides: Number(row.whale_sides) || 0,
|
|
3958
|
-
whaleAddresses: Array.isArray(row.whale_addresses) ? row.whale_addresses.map(String) : [],
|
|
3959
|
-
buyNotionalUsd: Number(row.buy_notional_usd) || 0,
|
|
3960
|
-
sellNotionalUsd: Number(row.sell_notional_usd) || 0,
|
|
3961
|
-
positionAwareWhaleSides: Number(row.position_aware_whale_sides) || 0,
|
|
3962
|
-
longEntryWhaleAddresses: Array.isArray(row.long_entry_whale_addresses) ? row.long_entry_whale_addresses.map(String) : [],
|
|
3963
|
-
shortEntryWhaleAddresses: Array.isArray(row.short_entry_whale_addresses) ? row.short_entry_whale_addresses.map(String) : [],
|
|
3964
|
-
longExitWhaleAddresses: Array.isArray(row.long_exit_whale_addresses) ? row.long_exit_whale_addresses.map(String) : [],
|
|
3965
|
-
shortExitWhaleAddresses: Array.isArray(row.short_exit_whale_addresses) ? row.short_exit_whale_addresses.map(String) : [],
|
|
3966
|
-
longEntryNotionalUsd: Number(row.long_entry_notional_usd) || 0,
|
|
3967
|
-
shortEntryNotionalUsd: Number(row.short_entry_notional_usd) || 0,
|
|
3968
|
-
longExitNotionalUsd: Number(row.long_exit_notional_usd) || 0,
|
|
3969
|
-
shortExitNotionalUsd: Number(row.short_exit_notional_usd) || 0
|
|
3970
|
-
}));
|
|
3971
|
-
}
|
|
3972
|
-
async function getHyperliquidWhaleFlowAggregate(params) {
|
|
3973
|
-
await prepareMarketContextSchemaForRead("hyperliquidWhales");
|
|
3974
|
-
const intervalMs = HYPERLIQUID_CONTEXT_INTERVAL_MS[params.interval];
|
|
3975
|
-
const expectedBuckets = Math.ceil(intervalMs / 6e4);
|
|
3976
|
-
const res = await queryMarketContext(
|
|
3977
|
-
`
|
|
3978
|
-
WITH coverage_rows AS (
|
|
3979
|
-
SELECT *
|
|
3980
|
-
FROM hyperliquid_whale_coverage_1m
|
|
3981
|
-
WHERE universe_fingerprint = $2
|
|
3982
|
-
AND whale_registry_fingerprint = $3
|
|
3983
|
-
AND data_model_version = $6
|
|
3984
|
-
AND ts >= to_timestamp(
|
|
3985
|
-
($4::double precision - $5::double precision) / 1000.0
|
|
3986
|
-
)
|
|
3987
|
-
AND ts < to_timestamp($4/1000.0)
|
|
3988
|
-
), coverage_summary AS (
|
|
3989
|
-
SELECT
|
|
3990
|
-
COUNT(*)::int AS coverage_buckets,
|
|
3991
|
-
MAX(ts) AS coverage_as_of_ts,
|
|
3992
|
-
MIN(covered_whales)::int AS covered_whales,
|
|
3993
|
-
MAX(expected_whales)::int AS expected_whales,
|
|
3994
|
-
MIN(coverage_pct) AS coverage_pct
|
|
3995
|
-
FROM coverage_rows
|
|
3996
|
-
), window_rows AS (
|
|
3997
|
-
SELECT *
|
|
3998
|
-
FROM hyperliquid_whale_flow
|
|
3999
|
-
WHERE symbol = $1
|
|
4000
|
-
AND interval = '1m'
|
|
4001
|
-
AND universe_fingerprint = $2
|
|
4002
|
-
AND whale_registry_fingerprint = $3
|
|
4003
|
-
AND ts >= to_timestamp(
|
|
4004
|
-
($4::double precision - $5::double precision) / 1000.0
|
|
4005
|
-
)
|
|
4006
|
-
AND ts < to_timestamp($4/1000.0)
|
|
4007
|
-
), unique_addresses AS (
|
|
4008
|
-
SELECT COUNT(DISTINCT address)::int AS unique_whales
|
|
4009
|
-
FROM window_rows
|
|
4010
|
-
CROSS JOIN LATERAL UNNEST(whale_addresses) AS expanded(address)
|
|
4011
|
-
), directional_counts AS (
|
|
4012
|
-
SELECT
|
|
4013
|
-
(
|
|
4014
|
-
SELECT COUNT(DISTINCT address)::int
|
|
4015
|
-
FROM window_rows
|
|
4016
|
-
CROSS JOIN LATERAL UNNEST(long_entry_whale_addresses) AS expanded(address)
|
|
4017
|
-
) AS long_entry_whales,
|
|
4018
|
-
(
|
|
4019
|
-
SELECT COUNT(DISTINCT address)::int
|
|
4020
|
-
FROM window_rows
|
|
4021
|
-
CROSS JOIN LATERAL UNNEST(short_entry_whale_addresses) AS expanded(address)
|
|
4022
|
-
) AS short_entry_whales,
|
|
4023
|
-
(
|
|
4024
|
-
SELECT COUNT(DISTINCT address)::int
|
|
4025
|
-
FROM window_rows
|
|
4026
|
-
CROSS JOIN LATERAL UNNEST(long_exit_whale_addresses) AS expanded(address)
|
|
4027
|
-
) AS long_exit_whales,
|
|
4028
|
-
(
|
|
4029
|
-
SELECT COUNT(DISTINCT address)::int
|
|
4030
|
-
FROM window_rows
|
|
4031
|
-
CROSS JOIN LATERAL UNNEST(short_exit_whale_addresses) AS expanded(address)
|
|
4032
|
-
) AS short_exit_whales
|
|
4033
|
-
)
|
|
4034
|
-
SELECT
|
|
4035
|
-
$1::text AS symbol,
|
|
4036
|
-
coverage_summary.coverage_as_of_ts AS as_of_ts,
|
|
4037
|
-
coverage_summary.coverage_buckets,
|
|
4038
|
-
coverage_summary.covered_whales,
|
|
4039
|
-
coverage_summary.expected_whales,
|
|
4040
|
-
coverage_summary.coverage_pct,
|
|
4041
|
-
COALESCE((SELECT SUM(trades) FROM window_rows), 0)::int AS trades,
|
|
4042
|
-
COALESCE((SELECT SUM(whale_sides) FROM window_rows), 0)::int AS whale_sides,
|
|
4043
|
-
COALESCE((SELECT unique_whales FROM unique_addresses), 0)::int AS unique_whales,
|
|
4044
|
-
COALESCE((SELECT SUM(buy_notional_usd) FROM window_rows), 0) AS buy_notional_usd,
|
|
4045
|
-
COALESCE((SELECT SUM(sell_notional_usd) FROM window_rows), 0) AS sell_notional_usd,
|
|
4046
|
-
COALESCE((SELECT SUM(net_notional_usd) FROM window_rows), 0) AS net_notional_usd,
|
|
4047
|
-
CASE
|
|
4048
|
-
WHEN COALESCE((SELECT SUM(buy_notional_usd + sell_notional_usd) FROM window_rows), 0) > 0
|
|
4049
|
-
THEN (SELECT SUM(buy_notional_usd) FROM window_rows) /
|
|
4050
|
-
(SELECT SUM(buy_notional_usd + sell_notional_usd) FROM window_rows)
|
|
4051
|
-
ELSE NULL
|
|
4052
|
-
END AS buy_share_pct,
|
|
4053
|
-
COALESCE((SELECT SUM(position_aware_whale_sides) FROM window_rows), 0)::int
|
|
4054
|
-
AS position_aware_whale_sides,
|
|
4055
|
-
CASE
|
|
4056
|
-
WHEN COALESCE((SELECT SUM(whale_sides) FROM window_rows), 0) > 0
|
|
4057
|
-
THEN COALESCE((SELECT SUM(position_aware_whale_sides) FROM window_rows), 0)::double precision /
|
|
4058
|
-
(SELECT SUM(whale_sides) FROM window_rows)
|
|
4059
|
-
ELSE 0
|
|
4060
|
-
END AS position_aware_pct,
|
|
4061
|
-
COALESCE((SELECT long_entry_whales FROM directional_counts), 0)::int AS long_entry_whales,
|
|
4062
|
-
COALESCE((SELECT short_entry_whales FROM directional_counts), 0)::int AS short_entry_whales,
|
|
4063
|
-
COALESCE((SELECT long_exit_whales FROM directional_counts), 0)::int AS long_exit_whales,
|
|
4064
|
-
COALESCE((SELECT short_exit_whales FROM directional_counts), 0)::int AS short_exit_whales,
|
|
4065
|
-
COALESCE((SELECT SUM(long_entry_notional_usd) FROM window_rows), 0)
|
|
4066
|
-
AS long_entry_notional_usd,
|
|
4067
|
-
COALESCE((SELECT SUM(short_entry_notional_usd) FROM window_rows), 0)
|
|
4068
|
-
AS short_entry_notional_usd,
|
|
4069
|
-
COALESCE((SELECT SUM(long_exit_notional_usd) FROM window_rows), 0)
|
|
4070
|
-
AS long_exit_notional_usd,
|
|
4071
|
-
COALESCE((SELECT SUM(short_exit_notional_usd) FROM window_rows), 0)
|
|
4072
|
-
AS short_exit_notional_usd,
|
|
4073
|
-
COALESCE((SELECT SUM(entry_net_notional_usd) FROM window_rows), 0)
|
|
4074
|
-
AS entry_net_notional_usd,
|
|
4075
|
-
CASE
|
|
4076
|
-
WHEN COALESCE((SELECT SUM(long_entry_notional_usd + short_entry_notional_usd) FROM window_rows), 0) > 0
|
|
4077
|
-
THEN (SELECT SUM(long_entry_notional_usd) FROM window_rows) /
|
|
4078
|
-
(SELECT SUM(long_entry_notional_usd + short_entry_notional_usd) FROM window_rows)
|
|
4079
|
-
ELSE NULL
|
|
4080
|
-
END AS entry_long_share_pct,
|
|
4081
|
-
(SELECT MAX(source) FROM window_rows) AS source
|
|
4082
|
-
FROM coverage_summary
|
|
4083
|
-
`,
|
|
4084
|
-
[
|
|
4085
|
-
params.symbol,
|
|
4086
|
-
params.universeFingerprint,
|
|
4087
|
-
params.whaleRegistryFingerprint,
|
|
4088
|
-
params.decisionTimeMs,
|
|
4089
|
-
intervalMs,
|
|
4090
|
-
import_types.HYPERLIQUID_WHALE_DATA_MODEL_VERSION
|
|
4091
|
-
],
|
|
4092
|
-
params
|
|
4093
|
-
);
|
|
4094
|
-
const row = res.rows[0];
|
|
4095
|
-
if (!row?.as_of_ts || Number(row.coverage_buckets) !== expectedBuckets || Number(row.covered_whales) <= 0) {
|
|
4096
|
-
return null;
|
|
4097
|
-
}
|
|
4098
|
-
const asOfTs = new Date(row.as_of_ts);
|
|
4099
|
-
const ageMs = params.decisionTimeMs - (asOfTs.getTime() + 6e4);
|
|
4100
|
-
return {
|
|
4101
|
-
symbol: params.symbol,
|
|
4102
|
-
interval: params.interval,
|
|
4103
|
-
asOfTs,
|
|
4104
|
-
windowEndTs: new Date(params.decisionTimeMs),
|
|
4105
|
-
trades: Number(row.trades) || 0,
|
|
4106
|
-
whaleSides: Number(row.whale_sides) || 0,
|
|
4107
|
-
uniqueWhales: Number(row.unique_whales) || 0,
|
|
4108
|
-
coveredWhales: Number(row.covered_whales) || 0,
|
|
4109
|
-
expectedWhales: Number(row.expected_whales) || 0,
|
|
4110
|
-
coveragePct: Number(row.coverage_pct) || 0,
|
|
4111
|
-
buyNotionalUsd: Number(row.buy_notional_usd) || 0,
|
|
4112
|
-
sellNotionalUsd: Number(row.sell_notional_usd) || 0,
|
|
4113
|
-
netNotionalUsd: Number(row.net_notional_usd) || 0,
|
|
4114
|
-
buySharePct: row.buy_share_pct == null ? null : Number(row.buy_share_pct) || 0,
|
|
4115
|
-
positionAwareWhaleSides: Number(row.position_aware_whale_sides) || 0,
|
|
4116
|
-
positionAwarePct: Number(row.position_aware_pct) || 0,
|
|
4117
|
-
longEntryWhales: Number(row.long_entry_whales) || 0,
|
|
4118
|
-
shortEntryWhales: Number(row.short_entry_whales) || 0,
|
|
4119
|
-
longExitWhales: Number(row.long_exit_whales) || 0,
|
|
4120
|
-
shortExitWhales: Number(row.short_exit_whales) || 0,
|
|
4121
|
-
longEntryNotionalUsd: Number(row.long_entry_notional_usd) || 0,
|
|
4122
|
-
shortEntryNotionalUsd: Number(row.short_entry_notional_usd) || 0,
|
|
4123
|
-
longExitNotionalUsd: Number(row.long_exit_notional_usd) || 0,
|
|
4124
|
-
shortExitNotionalUsd: Number(row.short_exit_notional_usd) || 0,
|
|
4125
|
-
entryNetNotionalUsd: Number(row.entry_net_notional_usd) || 0,
|
|
4126
|
-
entryLongSharePct: row.entry_long_share_pct == null ? null : Number(row.entry_long_share_pct) || 0,
|
|
4127
|
-
universeFingerprint: params.universeFingerprint,
|
|
4128
|
-
whaleRegistryFingerprint: params.whaleRegistryFingerprint,
|
|
4129
|
-
source: row.source == null ? null : String(row.source),
|
|
4130
|
-
ageMs,
|
|
4131
|
-
stale: ageMs < 0 || (params.maxAgeMs != null && Number.isFinite(params.maxAgeMs) ? ageMs > params.maxAgeMs : false)
|
|
4132
|
-
};
|
|
4133
|
-
}
|
|
4134
|
-
async function hasHyperliquidWhaleBackfillCoverage(params) {
|
|
4135
|
-
await ensureHyperliquidWhaleSchema();
|
|
4136
|
-
const expectedBuckets = Math.max(
|
|
4137
|
-
0,
|
|
4138
|
-
Math.ceil((params.toMs - params.fromMs) / 6e4)
|
|
4139
|
-
);
|
|
4140
|
-
const result = await getPool().query(
|
|
4141
|
-
`
|
|
4142
|
-
SELECT
|
|
4143
|
-
COUNT(*)::int AS buckets,
|
|
4144
|
-
COUNT(*) FILTER (
|
|
4145
|
-
WHERE covered_whales = expected_whales
|
|
4146
|
-
)::int AS complete_buckets
|
|
4147
|
-
FROM hyperliquid_whale_coverage_1m
|
|
4148
|
-
WHERE universe_fingerprint = $1
|
|
4149
|
-
AND whale_registry_fingerprint = $2
|
|
4150
|
-
AND data_model_version = $5
|
|
4151
|
-
AND ts >= to_timestamp($3/1000.0)
|
|
4152
|
-
AND ts < to_timestamp($4/1000.0)
|
|
4153
|
-
`,
|
|
4154
|
-
[
|
|
4155
|
-
params.universeFingerprint,
|
|
4156
|
-
params.whaleRegistryFingerprint,
|
|
4157
|
-
params.fromMs,
|
|
4158
|
-
params.toMs,
|
|
4159
|
-
import_types.HYPERLIQUID_WHALE_DATA_MODEL_VERSION
|
|
4160
|
-
]
|
|
4161
|
-
);
|
|
4162
|
-
return Number(result.rows[0]?.buckets) === expectedBuckets && Number(result.rows[0]?.complete_buckets) === expectedBuckets;
|
|
4163
|
-
}
|
|
4164
|
-
// Annotate the CommonJS export names for ESM import in node:
|
|
4165
|
-
0 && (module.exports = {
|
|
4166
|
-
applyDerivativesMetricCoverage,
|
|
4167
|
-
cleanupDeprecatedMarketContext,
|
|
4168
|
-
closeTimescalePool,
|
|
4169
|
-
configureTimescaleMarketContextSchemaMode,
|
|
4170
|
-
deleteCandles,
|
|
4171
|
-
ensureBinanceMarketSchema,
|
|
4172
|
-
ensureCoinMarketCapContextSchema,
|
|
4173
|
-
ensureDerivativesSchema,
|
|
4174
|
-
ensureHyperliquidWhaleSchema,
|
|
4175
|
-
ensureMarketContextSchemas,
|
|
4176
|
-
findContinuityGap,
|
|
4177
|
-
getCandlesRange,
|
|
4178
|
-
getDataEdges,
|
|
4179
|
-
getDataEdgesForSymbols,
|
|
4180
|
-
getDerivativesBackfillCoverage,
|
|
4181
|
-
getDerivativesDataEdgesForSymbols,
|
|
4182
|
-
getDerivativesMetricCoverage,
|
|
4183
|
-
getDerivativesRangeForSymbols,
|
|
4184
|
-
getDerivativesSummary,
|
|
4185
|
-
getDerivativesWindow,
|
|
4186
|
-
getHyperliquidWhaleCoverageSeriesRows,
|
|
4187
|
-
getHyperliquidWhaleFlowAggregate,
|
|
4188
|
-
getHyperliquidWhaleFlowSeriesRows,
|
|
4189
|
-
getHyperliquidWhaleWalletCoverage,
|
|
4190
|
-
getLatestMarketBreadth,
|
|
4191
|
-
getLatestMarketCmcExchangeLiquidityContext,
|
|
4192
|
-
getLatestMarketCmcFearGreedContext,
|
|
4193
|
-
getLatestMarketCmcIndexContexts,
|
|
4194
|
-
getLatestMarketGlobalContext,
|
|
4195
|
-
getLatestMarketReferenceAssetContexts,
|
|
4196
|
-
getLatestMarketTradeFlow,
|
|
4197
|
-
getMarketBreadthCoverage,
|
|
4198
|
-
getMarketCmcExchangeLiquidityContextCoverage,
|
|
4199
|
-
getMarketCmcFearGreedContextCoverage,
|
|
4200
|
-
getMarketCmcIndexContextCoverage,
|
|
4201
|
-
getMarketContextBackfillCoverage,
|
|
4202
|
-
getMarketGlobalContextCoverage,
|
|
4203
|
-
getMarketReferenceAssetContextCoverage,
|
|
4204
|
-
getMarketTradeFlowCoverage,
|
|
4205
|
-
getSpreadRangeForSymbols,
|
|
4206
|
-
getSpreadSummary,
|
|
4207
|
-
hasHyperliquidWhaleBackfillCoverage,
|
|
4208
|
-
rebuildHyperliquidWhaleCoverageRows,
|
|
4209
|
-
rebuildHyperliquidWhaleFlowRows,
|
|
4210
|
-
toRows,
|
|
4211
|
-
upsertCandles,
|
|
4212
|
-
upsertDerivatives,
|
|
4213
|
-
upsertDerivativesBackfillCoverage,
|
|
4214
|
-
upsertHyperliquidWhaleCoverageRows,
|
|
4215
|
-
upsertHyperliquidWhaleFlowRows,
|
|
4216
|
-
upsertHyperliquidWhaleTradeEvents,
|
|
4217
|
-
upsertHyperliquidWhaleWalletCoverage,
|
|
4218
|
-
upsertMarketBreadthRows,
|
|
4219
|
-
upsertMarketCmcExchangeLiquidityContextRows,
|
|
4220
|
-
upsertMarketCmcFearGreedContextRows,
|
|
4221
|
-
upsertMarketCmcIndexContextRows,
|
|
4222
|
-
upsertMarketContextBackfillCoverage,
|
|
4223
|
-
upsertMarketGlobalContextRows,
|
|
4224
|
-
upsertMarketReferenceAssetContextRows,
|
|
4225
|
-
upsertMarketTradeFlowRows,
|
|
4226
|
-
upsertSpreadRows,
|
|
4227
|
-
waitForDbReady
|
|
4228
|
-
});
|