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Add Orderbook Mid Price Cache (#2338)
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12 files changed

+487
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lines changed

‎indexer/packages/redis/__tests__/caches/orderbook-mid-prices-cache.test.ts‎

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import { deleteAllAsync } from '../../src/helpers/redis';
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import { redis as client } from '../helpers/utils';
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import {
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setPrice,
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getMedianPrice,
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ORDERBOOK_MID_PRICES_CACHE_KEY_PREFIX,
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} from '../../src/caches/orderbook-mid-prices-cache';
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describe('orderbook-mid-prices-cache', () => {
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const ticker: string = 'BTC-USD';
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beforeEach(async () => {
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await deleteAllAsync(client);
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});
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describe('setPrice', () => {
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it('sets a price for a ticker', async () => {
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await setPrice(client, ticker, '50000');
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await client.zrange(
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`${ORDERBOOK_MID_PRICES_CACHE_KEY_PREFIX}${ticker}`,
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0,
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-1,
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(_: any, response: string[]) => {
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expect(response[0]).toBe('50000');
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},
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);
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});
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it('sets multiple prices for a ticker', async () => {
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await Promise.all([
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setPrice(client, ticker, '50000'),
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setPrice(client, ticker, '51000'),
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setPrice(client, ticker, '49000'),
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]);
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await client.zrange(
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`${ORDERBOOK_MID_PRICES_CACHE_KEY_PREFIX}${ticker}`,
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0,
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-1,
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(_: any, response: string[]) => {
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expect(response).toEqual(['49000', '50000', '51000']);
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},
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);
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});
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});
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describe('getMedianPrice', () => {
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it('returns null when no prices are set', async () => {
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const result = await getMedianPrice(client, ticker);
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expect(result).toBeNull();
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});
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it('returns the median price for odd number of prices', async () => {
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await Promise.all([
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setPrice(client, ticker, '50000'),
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setPrice(client, ticker, '51000'),
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setPrice(client, ticker, '49000'),
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]);
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const result = await getMedianPrice(client, ticker);
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expect(result).toBe('50000');
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});
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it('returns the median price for even number of prices', async () => {
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await Promise.all([
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setPrice(client, ticker, '50000'),
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setPrice(client, ticker, '51000'),
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setPrice(client, ticker, '49000'),
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setPrice(client, ticker, '52000'),
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]);
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const result = await getMedianPrice(client, ticker);
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expect(result).toBe('50500');
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});
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it('returns the correct median price after 5 seconds', async () => {
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jest.useFakeTimers();
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const nowSeconds = Math.floor(Date.now() / 1000);
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jest.setSystemTime(nowSeconds * 1000);
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await Promise.all([
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setPrice(client, ticker, '50000'),
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setPrice(client, ticker, '51000'),
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]);
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jest.advanceTimersByTime(6000); // Advance time by 6 seconds
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await Promise.all([
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setPrice(client, ticker, '49000'),
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setPrice(client, ticker, '48000'),
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setPrice(client, ticker, '52000'),
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setPrice(client, ticker, '53000'),
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]);
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const result = await getMedianPrice(client, ticker);
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expect(result).toBe('50500');
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jest.useRealTimers();
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});
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it('returns the correct median price for small numbers with even number of prices', async () => {
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await Promise.all([
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setPrice(client, ticker, '0.00000000002345'),
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setPrice(client, ticker, '0.00000000002346'),
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]);
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const midPrice1 = await getMedianPrice(client, ticker);
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expect(midPrice1).toEqual('0.000000000023455');
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});
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it('returns the correct median price for small numbers with odd number of prices', async () => {
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await Promise.all([
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setPrice(client, ticker, '0.00000000001'),
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setPrice(client, ticker, '0.00000000002'),
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setPrice(client, ticker, '0.00000000003'),
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setPrice(client, ticker, '0.00000000004'),
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setPrice(client, ticker, '0.00000000005'),
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]);
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const midPrice1 = await getMedianPrice(client, ticker);
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expect(midPrice1).toEqual('0.00000000003');
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await deleteAllAsync(client);
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await Promise.all([
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setPrice(client, ticker, '0.00000847007'),
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setPrice(client, ticker, '0.00000847006'),
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setPrice(client, ticker, '0.00000847008'),
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]);
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const midPrice2 = await getMedianPrice(client, ticker);
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expect(midPrice2).toEqual('0.00000847007');
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});
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});
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});

‎indexer/packages/redis/src/caches/orderbook-mid-prices-cache.ts‎

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import Big from 'big.js';
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import { Callback, RedisClient } from 'redis';
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import {
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addMarketPriceScript,
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getMarketMedianScript,
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} from './scripts';
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// Cache of orderbook prices for each clob pair
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// Each price is cached for a 5 second window and in a ZSET
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export const ORDERBOOK_MID_PRICES_CACHE_KEY_PREFIX: string = 'v4/orderbook_mid_prices/';
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/**
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* Generates a cache key for a given ticker's orderbook mid price.
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* @param ticker The ticker symbol
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* @returns The cache key string
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*/
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function getOrderbookMidPriceCacheKey(ticker: string): string {
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return `${ORDERBOOK_MID_PRICES_CACHE_KEY_PREFIX}${ticker}`;
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}
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/**
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* Adds a price to the market prices cache for a given ticker.
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* Uses a Lua script to add the price with a timestamp to a sorted set in Redis.
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* @param client The Redis client
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* @param ticker The ticker symbol
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* @param price The price to be added
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* @returns A promise that resolves when the operation is complete
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*/
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export async function setPrice(
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client: RedisClient,
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ticker: string,
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price: string,
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): Promise<void> {
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// Number of keys for the lua script.
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const numKeys: number = 1;
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let evalAsync: (
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marketCacheKey: string,
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) => Promise<void> = (marketCacheKey) => {
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return new Promise<void>((resolve, reject) => {
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const callback: Callback<void> = (
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err: Error | null,
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) => {
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if (err) {
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return reject(err);
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}
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return resolve();
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};
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const nowSeconds = Math.floor(Date.now() / 1000); // Current time in seconds
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client.evalsha(
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addMarketPriceScript.hash,
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numKeys,
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marketCacheKey,
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price,
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nowSeconds,
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callback,
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);
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});
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};
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evalAsync = evalAsync.bind(client);
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return evalAsync(
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getOrderbookMidPriceCacheKey(ticker),
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);
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}
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/**
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* Retrieves the median price for a given ticker from the cache.
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* Uses a Lua script to fetch either the middle element (for odd number of prices)
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* or the two middle elements (for even number of prices) from a sorted set in Redis.
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* If two middle elements are returned, their average is calculated in JavaScript.
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* @param client The Redis client
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* @param ticker The ticker symbol
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* @returns A promise that resolves with the median price as a string, or null if not found
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*/
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export async function getMedianPrice(client: RedisClient, ticker: string): Promise<string | null> {
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let evalAsync: (
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marketCacheKey: string,
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) => Promise<string[]> = (
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marketCacheKey,
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) => {
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return new Promise((resolve, reject) => {
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const callback: Callback<string[]> = (
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err: Error | null,
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results: string[],
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) => {
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if (err) {
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return reject(err);
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}
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return resolve(results);
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};
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client.evalsha(
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getMarketMedianScript.hash,
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1,
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marketCacheKey,
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callback,
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);
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});
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};
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evalAsync = evalAsync.bind(client);
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const prices = await evalAsync(
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getOrderbookMidPriceCacheKey(ticker),
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);
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if (!prices || prices.length === 0) {
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return null;
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}
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if (prices.length === 1) {
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return Big(prices[0]).toFixed();
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}
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if (prices.length === 2) {
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const [price1, price2] = prices.map((price) => {
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return Big(price);
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});
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return price1.plus(price2).div(2).toFixed();
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}
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return null;
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}

‎indexer/packages/redis/src/caches/scripts.ts‎

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@@ -63,6 +63,8 @@ export const removeOrderScript: LuaScript = newLuaScript('removeOrder', '../scri
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export const addCanceledOrderIdScript: LuaScript = newLuaScript('addCanceledOrderId', '../scripts/add_canceled_order_id.lua');
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export const addStatefulOrderUpdateScript: LuaScript = newLuaScript('addStatefulOrderUpdate', '../scripts/add_stateful_order_update.lua');
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export const removeStatefulOrderUpdateScript: LuaScript = newLuaScript('removeStatefulOrderUpdate', '../scripts/remove_stateful_order_update.lua');
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export const addMarketPriceScript: LuaScript = newLuaScript('addMarketPrice', '../scripts/add_market_price.lua');
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export const getMarketMedianScript: LuaScript = newLuaScript('getMarketMedianPrice', '../scripts/get_market_median_price.lua');
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export const allLuaScripts: LuaScript[] = [
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deleteZeroPriceLevelScript,
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addCanceledOrderIdScript,
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addStatefulOrderUpdateScript,
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removeStatefulOrderUpdateScript,
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addMarketPriceScript,
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getMarketMedianScript,
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];

‎indexer/packages/redis/src/index.ts‎

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@@ -12,6 +12,7 @@ export * as CanceledOrdersCache from './caches/canceled-orders-cache';
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export * as StatefulOrderUpdatesCache from './caches/stateful-order-updates-cache';
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export * as StateFilledQuantumsCache from './caches/state-filled-quantums-cache';
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export * as LeaderboardPnlProcessedCache from './caches/leaderboard-processed-cache';
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export * as OrderbookMidPricesCache from './caches/orderbook-mid-prices-cache';
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export { placeOrder } from './caches/place-order';
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export { removeOrder } from './caches/remove-order';
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export { updateOrder } from './caches/update-order';

‎indexer/packages/redis/src/scripts/add_market_price.lua‎

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-- Key for the ZSET storing price data
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local priceCacheKey = KEYS[1]
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-- Price to be added
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local price = tonumber(ARGV[1])
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-- Current timestamp
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local nowSeconds = tonumber(ARGV[2])
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-- Time window (5 seconds)
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local fiveSeconds = 5
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-- 1. Add the price to the sorted set (score is the current timestamp)
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redis.call("zadd", priceCacheKey, nowSeconds, price)
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-- 2. Remove any entries older than 5 seconds
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local cutoffTime = nowSeconds - fiveSeconds
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redis.call("zremrangebyscore", priceCacheKey, "-inf", cutoffTime)
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return true

‎indexer/packages/redis/src/scripts/get_market_median_price.lua‎

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-- Key for the sorted set storing price data
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local priceCacheKey = KEYS[1]
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-- Get all the prices from the sorted set (ascending order)
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local prices = redis.call('zrange', priceCacheKey, 0, -1)
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-- If no prices are found, return nil
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if #prices == 0 then
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return nil
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end
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-- Calculate the middle index
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local middle = math.floor(#prices / 2)
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-- Calculate median
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if #prices % 2 == 0 then
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-- If even, return both prices, division will be handled in Javascript
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return {prices[middle], prices[middle + 1]}
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else
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-- If odd, return the middle element
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return {prices[middle + 1]}
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end

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