mirror of
https://github.com/exchanges-lab/tradesync.git
synced 2026-08-05 05:06:07 +08:00
feat: implement oid aggregation for opening fills to prevent split records
This commit is contained in:
0xcathiefish
+107
-39
@@ -84,54 +84,127 @@ impl HyperliquidMonitor {
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info!("Successfully subscribed to UserEvents.");
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while let Some(msg) = ws_receiver.recv().await {
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let (timeout_tx, mut timeout_rx) = tokio::sync::mpsc::unbounded_channel::<u64>();
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struct AggregationState {
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coin: String,
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side: String,
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accumulated_sz: f64,
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accumulated_px_sz: f64,
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time: u64,
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tid: u64,
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}
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let mut active_opening_orders =
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std::collections::HashMap::<u64, AggregationState>::new();
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loop {
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tokio::select! {
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msg = ws_receiver.recv() => {
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match msg {
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Message::User(user_msg) => {
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Some(Message::User(user_msg)) => {
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debug!(user_msg = ?user_msg, "Received user event message");
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if let UserData::Fills(fills) = user_msg.data {
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for fill in fills {
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// Parse position details
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let start_pos: f64 = fill.start_position.parse().unwrap_or(0.0);
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let sz: f64 = fill.sz.parse().unwrap_or(0.0);
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let dir = if fill.side == "B" { 1.0 } else { -1.0 };
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let change = dir * sz;
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let end_pos = start_pos + change;
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// Determine the trade action
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let action = if start_pos == 0.0 {
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TradeAction::Open
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} else if end_pos == 0.0 {
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TradeAction::Close
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} else if start_pos.signum() != end_pos.signum() {
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TradeAction::Decrease
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} else if end_pos.abs() > start_pos.abs() {
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TradeAction::Increase
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} else {
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TradeAction::Decrease
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};
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let px: f64 = fill.px.parse().unwrap_or(0.0);
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// If it's a new open order or is part of an active opening order
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if start_pos == 0.0 || active_opening_orders.contains_key(&fill.oid) {
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match active_opening_orders.entry(fill.oid) {
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std::collections::hash_map::Entry::Vacant(e) => {
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// First fill of the opening order: create entry and spawn timeout
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e.insert(AggregationState {
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coin: fill.coin.clone(),
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side: fill.side.clone(),
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accumulated_sz: sz,
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accumulated_px_sz: px * sz,
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time: fill.time,
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tid: fill.tid,
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});
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info!(
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coin = %fill.coin,
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side = %fill.side,
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px = %fill.px,
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sz = %fill.sz,
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action = ?action,
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oid = fill.oid,
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"New opening order detected, starting aggregation..."
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);
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let tx = timeout_tx.clone();
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let oid = fill.oid;
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tokio::spawn(async move {
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tokio::time::sleep(tokio::time::Duration::from_millis(500)).await;
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let _ = tx.send(oid);
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});
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}
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std::collections::hash_map::Entry::Occupied(mut e) => {
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// Subsequent fill of the active opening order: aggregate it
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let state = e.get_mut();
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state.accumulated_sz += sz;
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state.accumulated_px_sz += px * sz;
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info!(
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coin = %fill.coin,
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side = %fill.side,
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px = %fill.px,
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sz = %fill.sz,
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oid = fill.oid,
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accumulated_sz = %state.accumulated_sz,
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"Aggregated additional fill for active opening order"
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);
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}
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}
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} else {
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debug!(
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coin = %fill.coin,
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start_pos = start_pos,
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end_pos = end_pos,
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tid = fill.tid,
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"Wallet trade fill detected!"
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oid = fill.oid,
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"Ignoring non-opening trade fill"
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);
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}
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}
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}
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}
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Some(Message::HyperliquidError(err_msg)) => {
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error!(error = %err_msg, "Received error message from Hyperliquid WS");
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}
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Some(Message::Pong) => {
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debug!("Received Pong from Hyperliquid WS");
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}
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Some(other) => {
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debug!(msg = ?other, "Received other message from Hyperliquid WS");
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}
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None => {
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warn!("Hyperliquid WS receiver closed");
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break;
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}
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}
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}
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oid = timeout_rx.recv() => {
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match oid {
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Some(oid) => {
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if let Some(state) = active_opening_orders.remove(&oid).filter(|s| s.accumulated_sz > 0.0) {
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let avg_px = state.accumulated_px_sz / state.accumulated_sz;
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info!(
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coin = %state.coin,
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side = %state.side,
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avg_px = %avg_px,
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total_sz = %state.accumulated_sz,
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oid = oid,
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"Aggregated opening order completed! Sending event..."
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);
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let event = PositionTradeEvent {
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coin: fill.coin,
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side: fill.side,
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px: fill.px,
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sz: fill.sz,
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time: fill.time,
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tid: fill.tid,
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action,
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start_pos: fill.start_position.clone(),
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end_pos: format!("{:.5}", end_pos),
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coin: state.coin,
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side: state.side,
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px: format!("{:.5}", avg_px),
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sz: format!("{:.5}", state.accumulated_sz),
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time: state.time,
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tid: state.tid,
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action: TradeAction::Open,
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start_pos: "0.0".to_string(),
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end_pos: format!("{:.5}", state.accumulated_sz),
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};
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if let Err(e) = event_tx.send(event) {
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@@ -142,15 +215,10 @@ impl HyperliquidMonitor {
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}
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}
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}
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None => {
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break;
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}
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Message::HyperliquidError(err_msg) => {
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error!(error = %err_msg, "Received error message from Hyperliquid WS");
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}
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Message::Pong => {
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debug!("Received Pong from Hyperliquid WS");
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}
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other => {
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debug!(msg = ?other, "Received other message from Hyperliquid WS");
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}
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}
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}
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