Skip to content

Commit

Permalink
feat(endpoint_onchain_ohlc): Fixed earliest timesamp
Browse files Browse the repository at this point in the history
  • Loading branch information
@akhercha
akhercha committed May 30, 2024
1 parent cb9661d commit 2323f06
Showing 1 changed file with 80 additions and 83 deletions.
163 changes: 80 additions & 83 deletions pragma-node/src/infra/repositories/onchain_repository.rs
View file
Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
use std::collections::HashMap;

use bigdecimal::BigDecimal;
use chrono::{Datelike, Timelike, Utc};
use chrono::{Timelike, Utc};
use deadpool_diesel::postgres::Pool;
use diesel::sql_types::{BigInt, Integer, Numeric, Text, Timestamp, VarChar};
use diesel::{Queryable, QueryableByName, RunQueryDsl};
Expand Down Expand Up @@ -486,96 +486,93 @@ pub async fn get_ohlc(
let interval_in_minutes = interval.to_minutes();
let now = Utc::now().naive_utc();
let current_time = now - chrono::Duration::minutes((now.minute() % interval_in_minutes) as i64);
let current_interval_start =
chrono::NaiveDate::from_ymd_opt(now.year(), now.month(), now.day())
.unwrap()
.and_hms_opt(0, 0, 0)
.unwrap();

let raw_sql = format!(
r#"
WITH raw_data AS (
SELECT
pair_id,
price,
timestamp,
(date_trunc('minute', timestamp) + interval '{interval_in_minutes} min' * floor(date_part('minute', timestamp) / {interval_in_minutes})) as interval_start
FROM
{table_name}
WHERE
pair_id = '{pair_id}'
ORDER BY
timestamp DESC
),
ohlc AS (
SELECT
pair_id,
interval_start,
FIRST_VALUE(price) OVER w as "open",
MAX(price) OVER w as "high",
MIN(price) OVER w as "low",
LAST_VALUE(price) OVER w as "close"
FROM
raw_data
WINDOW w AS (
PARTITION BY pair_id, interval_start
ORDER BY timestamp
ROWS BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING
WITH raw_data AS (
SELECT
pair_id,
price,
timestamp,
(date_trunc('minute', timestamp) + interval '{interval_in_minutes} min' * floor(date_part('minute', timestamp) / {interval_in_minutes})) as interval_start
FROM
{table_name}
WHERE
pair_id = '{pair_id}'
ORDER BY
timestamp DESC
),
earliest_data AS (
SELECT MIN(timestamp) AS earliest_timestamp FROM raw_data
),
ohlc AS (
SELECT
pair_id,
interval_start,
FIRST_VALUE(price) OVER w as "open",
MAX(price) OVER w as "high",
MIN(price) OVER w as "low",
LAST_VALUE(price) OVER w as "close"
FROM
raw_data
WINDOW w AS (
PARTITION BY pair_id, interval_start
ORDER BY timestamp
ROWS BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING
)
),
all_intervals AS (
SELECT generate_series(
date_trunc('hour', (SELECT earliest_timestamp FROM earliest_data)) + interval '1 hour',
'{current_time}'::timestamp,
interval '{interval_in_minutes} minutes'
) as interval
),
filled_intervals AS (
SELECT
ai.interval as "time",
COALESCE(
(SELECT o.open FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1),
lag((SELECT o.open FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1)) over (order by ai.interval)
) as "open",
COALESCE(
(SELECT o.high FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1),
lag((SELECT o.high FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1)) over (order by ai.interval)
) as "high",
COALESCE(
(SELECT o.low FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1),
lag((SELECT o.low FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1)) over (order by ai.interval)
) as "low",
COALESCE(
(SELECT o.close FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1),
lag((SELECT o.close FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1)) over (order by ai.interval)
) as "close"
FROM
all_intervals ai
LEFT JOIN
ohlc o ON ai.interval = o.interval_start
),
current_interval AS (
SELECT
'{now}'::timestamp as time,
o.open,
o.high,
o.low,
o.close
FROM ohlc o
ORDER BY o.interval_start DESC
LIMIT 1
)
),
all_intervals AS (
SELECT generate_series(
date_trunc('day', '{current_interval_start}'::timestamp),
'{current_time}'::timestamp,
interval '{interval_in_minutes} minutes'
) as interval
),
filled_intervals AS (
SELECT
ai.interval as "time",
coalesce(
(SELECT o.open FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1),
lag((SELECT o.open FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1)) over (order by ai.interval)
) as "open",
coalesce(
(SELECT o.high FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1),
lag((SELECT o.high FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1)) over (order by ai.interval)
) as "high",
coalesce(
(SELECT o.low FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1),
lag((SELECT o.low FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1)) over (order by ai.interval)
) as "low",
coalesce(
(SELECT o.close FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1),
lag((SELECT o.close FROM ohlc o WHERE o.interval_start <= ai.interval ORDER BY o.interval_start DESC LIMIT 1)) over (order by ai.interval)
) as "close"
FROM
all_intervals ai
LEFT JOIN
ohlc o ON ai.interval = o.interval_start
),
current_interval AS (
SELECT
'{now}'::timestamp as time,
o.open,
o.high,
o.low,
o.close
FROM ohlc o
ORDER BY o.interval_start DESC
LIMIT 1
)
SELECT DISTINCT * FROM filled_intervals
UNION ALL
SELECT * FROM current_interval
ORDER BY time DESC
LIMIT {limit};
"#,
SELECT DISTINCT * FROM filled_intervals
UNION ALL
SELECT * FROM current_interval
ORDER BY time DESC
LIMIT {limit};
"#,
table_name = get_table_name(network, DataType::SpotEntry),
pair_id = pair_id,
interval_in_minutes = interval_in_minutes,
limit = limit,
current_interval_start = current_interval_start,
current_time = current_time,
now = now
);
Expand Down

0 comments on commit 2323f06

Please sign in to comment.