OHLC's and datamain.py; update DB and package requirements.

alembic/env.py

@@ -1,3 +1,4 @@
+import sys
 from logging.config import fileConfig
 
 from sqlalchemy import engine_from_config
@@ -11,7 +12,7 @@ config = context.config
 
 # Interpret the config file for Python logging.
 # This line sets up loggers basically.
-if config.config_file_name is not None:
+if config.config_file_name is not None and sys.argv[0].endswith('alembic'):  # only configure logs if we are the alembic process not dexorder
     fileConfig(config.config_file_name)
 
 # DEXORDER SETUP
@@ -19,7 +20,8 @@ from sys import path
 path.append('src')
 import dexorder.database.model
 target_metadata = dexorder.database.model.Base.metadata
-config.set_main_option('sqlalchemy.url', dexorder.config.db_url)
+if not config.get_main_option('sqlalchemy.url'):
+    config.set_main_option('sqlalchemy.url', dexorder.config.db_url)
 
 # other values from the config, defined by the needs of env.py,
 # can be acquired:

alembic/versions/db62e7db828d_initial_schema.py

@@ -77,7 +77,7 @@ def upgrade() -> None:
     op.create_table('pool',
     sa.Column('chain', dexorder.database.column_types.Blockchain(), nullable=False),
     sa.Column('address', dexorder.database.column_types.Address(), nullable=False),
-    sa.Column('exchange', sa.Enum('UniswapV2', 'UniswapV3', name='exchange'), nullable=False),
+    sa.Column('exchange', sa.Enum('Unknown', 'UniswapV2', 'UniswapV3', name='exchange'), nullable=False),
     sa.Column('base', dexorder.database.column_types.Address(), nullable=False),
     sa.Column('quote', dexorder.database.column_types.Address(), nullable=False),
     sa.Column('fee', sa.Integer(), nullable=False),

requirements.txt

@@ -10,3 +10,5 @@ redis[hiredis]
 socket.io-emitter
 hexbytes
 websockets
+cachetools
+async-lru

src/dexorder/__init__.py

@@ -1,10 +1,18 @@
+# noinspection PyPackageRequirements
 from contextvars import ContextVar
+from datetime import datetime
 from decimal import Decimal
 from typing import Callable, Any
 
 from web3 import AsyncWeb3
 
 dec = Decimal
+def now():
+    return datetime.utcnow()  # we use naive datetimes that are always UTC
+
+def timestamp():
+    return datetime.now().timestamp()
+
 
 # NARG is used in argument defaults to mean "not specified" rather than "specified as None"
 class _Token:

src/dexorder/base/chain.py

@@ -1,6 +1,8 @@
 import math
+# noinspection PyPackageRequirements
 from contextvars import ContextVar
-from datetime import datetime
+
+import dexorder
 
 
 class Blockchain:
@@ -59,10 +61,10 @@ class BlockClock:
 
     def set(self, timestamp):
         self.timestamp = timestamp
-        self.adjustment = timestamp - datetime.now().timestamp()
+        self.adjustment = timestamp - dexorder.timestamp()
 
-    def now(self):
-        return math.ceil(datetime.now().timestamp() + self.adjustment)
+    def timestamp(self):
+        return math.ceil(dexorder.timestamp() + self.adjustment)
 
 current_clock = ContextVar[BlockClock]('clock')  # current estimated timestamp of the blockchain. will be different than current_block.get().timestamp when evaluating time triggers in-between blocks
 

src/dexorder/base/ohlc.py

@@ -1,25 +1,72 @@
+import json
 import logging
+import os
 from dataclasses import dataclass
 from datetime import datetime, timedelta
+from typing import Optional
 
-from dexorder import dec
+from cachetools import LFUCache
+
+from dexorder import dec, config
+from dexorder.blockstate import BlockDict
 
 log = logging.getLogger(__name__)
 
-
 OHLC_PERIODS = [
     timedelta(minutes=1), timedelta(minutes=3), timedelta(minutes=5), timedelta(minutes=10), timedelta(minutes=15), timedelta(minutes=30),
     timedelta(hours=1), timedelta(hours=2), timedelta(hours=4), timedelta(hours=8), timedelta(hours=12),
-    timedelta(days=1), timedelta(days=2),  timedelta(days=3), timedelta(days=7)
+    timedelta(days=1), timedelta(days=2), timedelta(days=3), timedelta(days=7)
 ]
 
 OHLC_DATE_ROOT = datetime(2009, 1, 4)  # Sunday before Bitcoin Genesis
 
+# OHLC's are stored as [time, open, high, low, close] string values.  If there was no data during the interval,
+# then open, high, and low are None but the close value is carried over from the previous interval.
+OHLC = list[str]  # typedef
+
+
+def opt_dec(v):
+    return None if v is None else dec(v)
+
+def dt(v):
+    return v if isinstance(v, datetime) else datetime.fromisoformat(v)
+
+@dataclass
+class NativeOHLC:
+    @staticmethod
+    def from_ohlc(ohlc: OHLC) -> 'NativeOHLC':
+        return NativeOHLC(*[cast(value) for value, cast in zip(ohlc,(dt, opt_dec, opt_dec, opt_dec, dec))])
+
+    start: datetime
+    open: Optional[dec]
+    high: Optional[dec]
+    low: Optional[dec]
+    close: dec
+
+    @property
+    def ohlc(self) -> OHLC:
+        return [
+            self.start.isoformat(timespec='minutes'),
+            None if self.open is None else str(self.open),
+            None if self.high is None else str(self.high),
+            None if self.low is None else str(self.low),
+            str(self.close)
+        ]
+
+
+
 def ohlc_name(period: timedelta) -> str:
-    return f'{period//timedelta(minutes=1)}m' if period < timedelta(hours=1) \
-      else f'{period//timedelta(hours=1)}H' if period < timedelta(days=1) \
-      else f'{period//timedelta(days=7)}W' if period == timedelta(days=7) \
-      else f'{period//timedelta(days=1)}D'
+    return f'{period // timedelta(minutes=1)}m' if period < timedelta(hours=1) \
+        else f'{period // timedelta(hours=1)}H' if period < timedelta(days=1) \
+        else f'{period // timedelta(days=7)}W' if period == timedelta(days=7) \
+        else f'{period // timedelta(days=1)}D'
+
+
+def period_from_name(name: str) -> timedelta:
+    value = int(name[:-1])
+    unit = name[-1:]
+    factor = {'m':timedelta(minutes=1), 'H':timedelta(hours=1), 'D':timedelta(days=1), 'W':timedelta(days=7)}[unit]
+    return value * factor
 
 
 def ohlc_start_time(time, period: timedelta):
@@ -29,57 +76,140 @@ def ohlc_start_time(time, period: timedelta):
     return OHLC_DATE_ROOT + timedelta(seconds=period_sec * period_count)
 
 
-@dataclass(frozen=True)
-class OHLC:
-    start_time: datetime  # first datetime included in this range
-    period: timedelta  # the interval covered by this range, starting from start_time
-
-    # if no swaps happen during the interval, heights are set to prev_ohlc.last_height
-    first_height: int = None  # blockchain height of the first trade in this range.
-    last_height: int = None  # last_height == first_height if there's zero or one trades during this interval
-
-    # if no swaps happen during the interval, prices are set to prev_ohlc.close
-    open: dec = None
-    high: dec = None
-    low: dec = None
-    close: dec = None
-
-    has_data: bool = False  # True iff any trade has happened this period
-
-    def update(self, height: int, time: datetime, price: dec) -> list['OHLC',...:'OHLC']:
-        """ returns an ordered list of OHLC's that have been created/modified by the new price """
-        assert time >= self.start_time
-        result = []
-        cur = self
-        start = self.start_time
-        while True:
-            end = start + self.period
-            if time < end:
-                break
-            result.append(cur)
-            start = end
-            cur = OHLC(start, self.period, cur.last_height, cur.last_height, cur.close, cur.close, cur.close, cur.close)
-        if not cur.has_data:
-            cur = OHLC(cur.start_time, self.period, height, height, price, price, price, price, True)
+def update_ohlc(prev: OHLC, period: timedelta, time: datetime, price: Optional[dec]) -> list[OHLC]:
+    """
+    returns an ordered list of OHLC's that have been created/modified by the new time/price
+    if price is None, then bars are advanced based on the time but no new price is added to the series.
+    """
+    cur = NativeOHLC.from_ohlc(prev)
+    assert time >= cur.start
+    result = []
+    # advance time and finalize any past OHLC's into the result array
+    while True:
+        end = cur.start + period
+        if time < end:
+            break
+        result.append(cur.ohlc)
+        cur = NativeOHLC(end, None, None, None, cur.close)
+    # if we are setting a price, update the current bar
+    if price is not None:
+        if cur.open is None:
+            cur.open = price
+            cur.high = price
+            cur.low = price
         else:
-            cur = OHLC(cur.start_time, self.period, cur.first_height, height, cur.open, max(cur.high,price), min(cur.low,price), price, True)
-        result.append(cur)
-        return result
+            cur.high = max(cur.high, price)
+            cur.low = min(cur.low, price)
+        cur.close = price
+    result.append(cur.ohlc)
+    return result
+
+
+# The most recent OHLC's are stored as block data.  We store a list of at least the two latest bars, which provides clients with
+# the latest finalized bar as well as the current open bar.
+recent_ohlcs = BlockDict('ohlc', db=True, redis=True)
+
 
 class OHLCRepository:
-    def __init__(self, base_dir: str):
+    def __init__(self, base_dir: str = None):
+        """ can't actually make more than one of these because there's a global recent_ohlcs BlockDict """
+        if base_dir is None:
+            base_dir = config.ohlc_dir
         self.dir = base_dir
+        self.cache = LFUCache(len(OHLC_PERIODS) * 128)  # enough for the top 128 pools
+
+    @staticmethod
+    def add_symbol(symbol: str, period: timedelta = None):
+        if period is not None:
+            if (symbol, period) not in recent_ohlcs:
+                recent_ohlcs[(symbol, period)] = []  # setting an empty value will initiate price capture
+        else:
+            for period in OHLC_PERIODS:
+                if (symbol, period) not in recent_ohlcs:
+                    recent_ohlcs[(symbol, period)] = []
+
+    def update_all(self, symbol: str, time: datetime, price: dec, *, create: bool = False):
+        for period in OHLC_PERIODS:
+            self.update(symbol, period, time, price, create=create)
+
+    def update(self, symbol: str, period: timedelta, time: datetime, price: Optional[dec], *, create: bool = False) -> Optional[list[OHLC]]:
+        """
+        if price is None, then bars are advanced based on the time but no new price is added to the series.
+        """
+        key = (symbol, period)
+        bars: Optional[list[OHLC]] = recent_ohlcs.get(key)
+        if bars is None:
+            if create is False:
+                return  # do not track symbols which have not been explicity set up
+            bars = [OHLC((ohlc_start_time(time, period).isoformat(timespec='minutes'), price, price, price, price))]
+        updated = update_ohlc(bars[-1], period, time, price)
+        if len(updated) == 1:
+            updated = [*bars[:-1], updated[0]]  # return the previous finalized bars along with the updated current bar
+        recent_ohlcs.setitem(key, updated)
+        if len(updated) > 1:
+            self.save_all(symbol, period, updated[:-1])
+        return updated
+
+    def save_all(self, symbol: str, period: timedelta, ohlc_list: list[OHLC]) -> None:
+        for ohlc in ohlc_list:
+            self.save(symbol, period, ohlc)
+
+    def save(self, symbol: str, period: timedelta, ohlc: OHLC) -> None:
+        time = dt(ohlc[0])
+        chunk = self.get_chunk(symbol, period, time)
+        if not chunk:
+            chunk = [ohlc]
+        else:
+            start = datetime.fromisoformat(chunk[0][0])
+            index = (time - start) // period
+            if index == len(chunk):
+                assert datetime.fromisoformat(chunk[-1][0]) + period == time
+                chunk.append(ohlc)
+            else:
+                assert datetime.fromisoformat(chunk[index][0]) == time
+                chunk[index] = ohlc
+        self.save_chunk(symbol, period, chunk)
+
+    def get_chunk(self, symbol: str, period: timedelta, start_time: datetime) -> list[OHLC]:
+        path = self.chunk_path(symbol, period, start_time)
+        found = self.cache.get(path)
+        if found is None:
+            found = self.load_chunk(path)
+            if found is None:
+                found = []
+            self.cache[path] = found
+        return found
+
+    @staticmethod
+    def load_chunk(path: str) -> Optional[list[OHLC]]:
+        try:
+            with open(path, 'r') as file:
+                return json.load(file)
+        except FileNotFoundError:
+            return []
+
+    def save_chunk(self, symbol: str, period: timedelta, chunk: list[OHLC]):
+        if not chunk:
+            return
+        path = self.chunk_path(symbol, period, datetime.fromisoformat(chunk[0][0]))
+        try:
+            with open(path, 'w') as file:
+                json.dump(chunk, file)
+            return
+        except FileNotFoundError:
+            os.makedirs(os.path.dirname(path), exist_ok=True)
+        with open(path, 'w') as file:
+            json.dump(chunk, file)
+
 
     def chunk_path(self, symbol: str, period: timedelta, time: datetime) -> str:
         start = ohlc_start_time(time, period)
         name = ohlc_name(period)
         return f'{self.dir}/{symbol}/{name}/' + (
-            f'{start.year}/{symbol}-{name}-{start:%Y%m%d}.json' if period < timedelta(hours=1) else # <1H data has a file per day
-            f'{start.year}/{symbol}-{name}-{start:%Y%m}.json' if period < timedelta(days=7) else # <1W data has a file per month
-            f'{symbol}-{name}.json' # long periods are a single file for all of history
+            f'{start.year}/{symbol}-{name}-{start:%Y%m%d}.json' if period < timedelta(hours=1) else  # <1H data has a file per day
+            f'{start.year}/{symbol}-{name}-{start:%Y%m}.json' if period < timedelta(days=7) else  # <1W data has a file per month
+            f'{symbol}-{name}.json'  # long periods are a single file for all of history
         )
 
-if __name__ == '__main__':
-    r = OHLCRepository('')
-    for p in OHLC_PERIODS:
-        print(f'{ohlc_name(p)}\t{r.chunk_path("symbol",p, datetime.utcnow())}')
+
+ohlcs = OHLCRepository()

src/dexorder/base/orderlib.py

@@ -19,6 +19,7 @@ class SwapOrderState (Enum):
     Filled = 5
 
 class Exchange (Enum):
+    Unknown = -1
     UniswapV2 = 0
     UniswapV3 = 1
 

src/dexorder/bin/datamain.py

@@ -0,0 +1,97 @@
+import logging
+import sys
+from asyncio import CancelledError
+from datetime import datetime
+
+from async_lru import alru_cache
+from web3.types import EventData
+
+from dexorder import blockchain, config, dec, current_w3
+from dexorder.base.ohlc import ohlcs
+from dexorder.base.orderlib import Exchange
+from dexorder.bin.executable import execute
+from dexorder.blockstate.blockdata import BlockData
+from dexorder.blockstate.db_state import DbState
+from dexorder.configuration import parse_args
+from dexorder.contract import get_contract_event
+from dexorder.database import db
+from dexorder.memcache.memcache_state import RedisState, publish_all
+from dexorder.memcache import memcache
+from dexorder.pools import uniswap_price, Pools
+from dexorder.runner import BlockStateRunner
+from dexorder.util import hexint
+
+log = logging.getLogger('dexorder')
+
+
+@alru_cache
+async def get_block_timestamp(blockhash) -> int:
+    response = await current_w3.get().provider.make_request('eth_getBlockByHash', [blockhash, False])
+    raw = hexint(response['result']['timestamp'])
+    # noinspection PyTypeChecker
+    return raw if type(raw) is int else hexint(raw)
+
+
+async def handle_uniswap_swap(swap: EventData):
+    try:
+        sqrt_price = swap['args']['sqrtPriceX96']
+    except KeyError:
+        return
+    addr = swap['address']
+    pool = await Pools.get(addr)
+    if pool is None:
+        return
+    if pool.exchange != Exchange.UniswapV3:
+        log.debug(f'Ignoring {pool.exchange} pool {addr}')
+        return
+    price: dec = await uniswap_price(pool, sqrt_price)
+    timestamp = await get_block_timestamp(swap['blockHash'])
+    dt = datetime.fromtimestamp(timestamp)
+    log.debug(f'pool {addr} {dt} {price}')
+    ohlcs.update_all(addr, dt, price, create=True)
+
+
+async def main():
+    # noinspection DuplicatedCode
+    logging.basicConfig(level=logging.INFO, stream=sys.stdout)
+    log.setLevel(logging.DEBUG)
+    parse_args()
+    await blockchain.connect()
+    redis_state = None
+    state = None
+    if memcache:
+        await memcache.connect()
+        redis_state = RedisState(BlockData.by_opt('redis'))
+    if db:
+        db.connect(url=config.datadb_url)  # our main database is the data db
+        # noinspection DuplicatedCode
+        db_state = DbState(BlockData.by_opt('db'))
+        with db.session:
+            state = db_state.load()
+            if state is None:
+                log.info('no state in database')
+            else:
+                if redis_state:
+                    await redis_state.init(state)
+                log.info(f'loaded state from db for root block {state.root_block}')
+
+    runner = BlockStateRunner(state, publish_all=publish_all if redis_state else None, timer_period=0)
+    # noinspection PyTypeChecker
+    runner.add_event_trigger(handle_uniswap_swap, get_contract_event('IUniswapV3PoolEvents', 'Swap'))
+
+    if db:
+        # noinspection PyUnboundLocalVariable,PyTypeChecker
+        runner.on_promotion.append(db_state.save)
+    if redis_state:
+        # noinspection PyTypeChecker
+        runner.on_head_update.append(redis_state.save)
+
+    try:
+        await runner.run()
+    except CancelledError:
+        pass
+    log.info('exiting')
+
+
+if __name__ == '__main__':
+    execute(main())

src/dexorder/bin/main.py

@@ -84,7 +84,9 @@ async def main():
         db_state = DbState(BlockData.by_opt('db'))
         with db.session:
             state = db_state.load()
-            if state is not None:
+            if state is None:
+                log.info('no state in database')
+            else:
                 if redis_state:
                     await redis_state.init(state)
                 log.info(f'loaded state from db for root block {state.root_block}')

src/dexorder/configuration/schema.py

@@ -13,11 +13,14 @@ class Config:
     ws_url: str = 'ws://localhost:8545'
     rpc_urls: Optional[dict[str,str]] = field(default_factory=dict)
     db_url: str = 'postgresql://dexorder:redroxed@localhost/dexorder'
+    datadb_url: str = 'postgresql://dexorder:redroxed@localhost/dexorderdata'
+    ohlc_dir: str = './ohlc'
     dump_sql: bool = False
     redis_url: str = 'redis://localhost:6379'
 
     parallel_logevent_queries: bool = True
     polling: float = 0  # seconds between queries for a new block.  0 disables polling and uses a websocket subscription on ws_url instead
+    backfill: int = 0  # if not 0, then runner will initialize an empty database by backfilling from the given block height
 
     tokens: list['TokenConfig'] = field(default_factory=list)
 

src/dexorder/contract/decimals.py

@@ -1,6 +1,9 @@
 import logging
 
-from dexorder import db
+from eth_abi.exceptions import InsufficientDataBytes
+from web3.exceptions import ContractLogicError, BadFunctionCallOutput
+
+from dexorder import db, dec
 from dexorder.contract import ERC20
 
 log = logging.getLogger(__name__)
@@ -11,6 +14,13 @@ async def token_decimals(addr):
     try:
         return db.kv[key]
     except KeyError:
-        decimals = await ERC20(addr).decimals()
+        try:
+            decimals = await ERC20(addr).decimals()
+        except (InsufficientDataBytes, ContractLogicError, BadFunctionCallOutput):
+            log.warning(f'token {addr} has no decimals()')
+            decimals = 0
+        except Exception:
+            log.debug(f'could not get token decimals for {addr}')
+            return None
         db.kv[key] = decimals
         return decimals

src/dexorder/database/__init__.py

@@ -42,8 +42,9 @@ class Kv:
 
 
 class Db:
-    def __init__(self):
+    def __init__(self, db_url_config_key='db_url'):
         self.kv = Kv()
+        self.db_url_config_key = db_url_config_key
 
     def __bool__(self):
         return bool(config.db_url)
@@ -79,24 +80,24 @@ class Db:
         return s
 
     # noinspection PyShadowingNames
-    @staticmethod
-    def connect(url=None, migrate=True, reconnect=False, dump_sql=None):
+    def connect(self, url=None, migrate=True, reconnect=False, dump_sql=None):
         if _engine.get() is not None and not reconnect:
             return
         if url is None:
-            url = config.db_url
+            url = config[self.db_url_config_key]
         if dump_sql is None:
             dump_sql = config.dump_sql
         engine = sqlalchemy.create_engine(url, echo=dump_sql, json_serializer=json.dumps, json_deserializer=json.loads)
         if migrate:
-            migrate_database()
+            migrate_database(url)
         with engine.connect() as connection:
             connection.execute(sqlalchemy.text("SET TIME ZONE 'UTC'"))
             result = connection.execute(sqlalchemy.text("select version_num from alembic_version"))
         for row in result:
-            log.info(f'database revision {row[0]}')
+            log.info(f'{url} database revision {row[0]}')
             _engine.set(engine)
             return db
-        raise Exception('database version not found')
+        raise Exception(f'{url} database version not found')
 
 db = Db()
+datadb = Db('datadb_url')

src/dexorder/database/migrate.py

@@ -1,10 +1,15 @@
-import subprocess
 import sys
+from traceback import print_exception
 
+from alembic import command
+from alembic.config import Config
 
-def migrate_database():
-    completed = subprocess.run('alembic upgrade head', shell=True, stdout=subprocess.PIPE, stderr=subprocess.STDOUT)
-    if completed.returncode != 0:
-        print(completed.stdout.decode(), file=sys.stderr)
+def migrate_database(db_url):
+    alembic_config = Config("alembic.ini")
+    alembic_config.set_main_option('sqlalchemy.url', db_url)
+    try:
+        command.upgrade(alembic_config, "head")
+    except Exception as e:
         print('FATAL: database migration failed!', file=sys.stderr)
+        print_exception(e, file=sys.stderr)
         exit(1)

src/dexorder/event_handler.py

@@ -8,15 +8,14 @@ from web3.types import EventData
 from dexorder import current_pub, db, dec
 from dexorder.base.chain import current_chain, current_clock
 from dexorder.base.order import TrancheExecutionRequest, TrancheKey, ExecutionRequest, new_tranche_execution_request, OrderKey
-from dexorder.transaction import create_transactions, submit_transaction_request, handle_transaction_receipts, send_transactions
-from dexorder.pools import uniswap_price
-from dexorder.contract.dexorder import get_factory_contract, vault_address, VaultContract, get_dexorder_contract
-from dexorder.contract import get_contract_event, ERC20
+from dexorder.transaction import submit_transaction_request
+from dexorder.pools import uniswap_price, new_pool_prices, pool_prices, Pools
+from dexorder.contract.dexorder import vault_address, VaultContract
+from dexorder.contract import ERC20
 from dexorder.data import vault_owners, vault_balances
-from dexorder.pools import new_pool_prices, pool_prices, pool_decimals, Pools
 from dexorder.database.model.block import current_block
 from dexorder.database.model.transaction import TransactionJob
-from dexorder.base.orderlib import SwapOrderStatus, SwapOrderState
+from dexorder.base.orderlib import SwapOrderState
 from dexorder.order.orderstate import Order
 from dexorder.order.triggers import OrderTriggers, price_triggers, time_triggers, \
     unconstrained_price_triggers, execution_requests, inflight_execution_requests, TrancheStatus, active_tranches, new_price_triggers, activate_order
@@ -187,7 +186,7 @@ def handle_vault_created(created: EventData):
 
 
 async def activate_time_triggers():
-    now = current_clock.get().now()
+    now = current_clock.get().timestamp()
     # log.debug(f'activating time triggers at {now}')
     # time triggers
     for tt in tuple(time_triggers):

src/dexorder/order/triggers.py

@@ -54,7 +54,7 @@ async def line_passes(lc: tuple[float,float], is_min: bool, price: dec) -> bool:
     b, m = lc
     if b == 0 and m == 0:
         return True
-    limit = m * current_clock.get().now() + b
+    limit = m * current_clock.get().timestamp() + b
     log.debug(f'line passes {limit} {"<" if is_min else ">"} {price}')
     # todo ratios
     # prices AT the limit get zero volume, so we only trigger on >, not >=
@@ -98,7 +98,7 @@ class TrancheTrigger:
         if tranche_remaining == 0 or tranche_remaining < self.order.min_fill_amount: # min_fill_amount could be 0 (disabled) so we also check for the 0 case separately
             self._status = TrancheStatus.Filled
             return
-        timestamp = current_clock.get().now()
+        timestamp = current_clock.get().timestamp()
         self._status = \
             TrancheStatus.Pricing if self.time_constraint is None else \
             TrancheStatus.Early if timestamp < self.time_constraint[0] else \

src/dexorder/pools.py

@@ -2,14 +2,16 @@ import asyncio
 import logging
 from typing import Optional
 
-from dexorder import dec, db
+from web3.exceptions import ContractLogicError
+
+from dexorder import dec, db, ADDRESS_0
 from dexorder.base.chain import current_chain
 from dexorder.base.orderlib import Exchange
 from dexorder.blockstate import BlockDict
 from dexorder.blockstate.blockdata import K, V
 from dexorder.contract.decimals import token_decimals
 from dexorder.database.model.pool import Pool
-from dexorder.uniswap import UniswapV3Pool
+from dexorder.uniswap import UniswapV3Pool, uniswapV3_pool_address
 
 log = logging.getLogger(__name__)
 
@@ -26,11 +28,22 @@ class Pools:
             found = db.session.get(Pool, key)
             if not found:
                 # todo other exchanges
-                t0, t1, fee = await asyncio.gather(UniswapV3Pool(address).token0(), UniswapV3Pool(address).token1(), UniswapV3Pool(address).fee())
-                found = Pool(chain=chain, address=address, exchange=Exchange.UniswapV3, base=t0, quote=t1, fee=fee)
+                try:
+                    v3 = UniswapV3Pool(address)
+                    t0, t1, fee = await asyncio.gather(v3.token0(), v3.token1(), v3.fee())
+                    if uniswapV3_pool_address(t0, t1, fee) == address:  # VALIDATE don't just trust
+                        log.debug(f'new UniswapV3 pool at {address}')
+                        found = Pool(chain=chain, address=address, exchange=Exchange.UniswapV3, base=t0, quote=t1, fee=fee)
+                        db.session.add(found)
+                    else:  # NOT a genuine Uniswap V3 pool if the address test doesn't pass
+                        log.debug(f'new Unknown pool at {address}')
+                        found = Pool(chain=chain, address=address, exchange=Exchange.Unknown, base=ADDRESS_0, quote=ADDRESS_0, fee=0)
+                except ContractLogicError:
+                    log.debug(f'new Unknown pool at {address}')
+                    found = Pool(chain=chain, address=address, exchange=Exchange.Unknown, base=ADDRESS_0, quote=ADDRESS_0, fee=0)
                 db.session.add(found)
             Pools.instances[key] = found
-        return found
+        return None if found.exchange == Exchange.Unknown else found
 
 
 class PoolPrices (BlockDict[str, dec]):
@@ -71,18 +84,15 @@ async def ensure_pool_price(pool):
 
 _pool_decimals = {}
 async def pool_decimals(pool):
+    if pool.exchange != Exchange.UniswapV3:
+        raise ValueError
     found = _pool_decimals.get(pool)
     if found is None:
         key = f'pd|{pool.address}'
         try:
             found = db.kv[key]
-            log.debug('got decimals from db')
         except KeyError:
-            found = _pool_decimals[pool] = await token_decimals(pool.base) - await token_decimals(pool.quote)
             decimals0 = await token_decimals(pool.base)
             decimals1 = await token_decimals(pool.quote)
-            decimals = decimals0 - decimals1
-            db.kv[key] = decimals
-            log.debug(f'pool decimals: {decimals0} - {decimals1}')
-    log.debug(f'pool decimals {pool.address} {found}')
+            found = _pool_decimals[pool] = db.kv[key] = decimals0 - decimals1
     return found

src/dexorder/runner.py

@@ -1,10 +1,11 @@
 import asyncio
 import logging
 from asyncio import Queue
-from typing import Callable, Union, Any, Iterable
+from typing import Union, Any, Iterable
 
 from web3.contract.contract import ContractEvents
 from web3.exceptions import LogTopicError, MismatchedABI
+from web3.types import EventData
 # noinspection PyPackageRequirements
 from websockets.exceptions import ConnectionClosedError
 
@@ -17,44 +18,74 @@ from dexorder.blockstate.diff import DiffEntryItem
 from dexorder.database.model import Block
 from dexorder.database.model.block import current_block, latest_block
 from dexorder.util import hexstr, topic
-from dexorder.util.async_util import maywait
+from dexorder.util.async_util import maywait, Maywaitable
 
 log = logging.getLogger(__name__)
 
-
 # todo detect reorgs and generate correct onHeadUpdate set by unioning the changes along the two forks, not including their common ancestor deltas
 class BlockStateRunner:
 
-    def __init__(self, state: BlockState = None, *, publish_all=None):
+    """
+
+    NOTE: This doc is old and not strictly true but still has the basic idea
+
+     1. load root stateBlockchain
+        a. if no root, init from head
+        b. if root is old, batch forward by height
+     2. discover new heads
+        2b. find in-state parent block else use root
+     3. set the current fork = ancestor->head diff state
+     4. query blockchain eventlogs
+     5. process new vaults
+     6. process new orders and cancels
+        a. new pools
+     7. process Swap events and generate pool prices
+     8. process price horizons
+     9. process token movement
+    10. process swap triggers (zero constraint tranches)
+    11. process price tranche triggers
+    12. process horizon tranche triggers
+    13. filter by time tranche triggers
+    14. bundle execution requests and send tx. tx has require(block<deadline) todo execute deadlines
+    15. on tx confirmation, the block height of all executed trigger requests is set to the tx block
+
+    Most of these steps, the ones handling events, are set up in main.py so that datamain.py can also use Runner for its own purposes
+
+    """
+
+    def __init__(self, state: BlockState = None, *, publish_all=None, timer_period: float = 1):
         """
         If state is None, then it is initialized as empty using the first block seen as the root block. Then the second block begins log event handling.
         """
         self.state = state
 
         # items are (callback, event, log_filter). The callback is invoked with web3 EventData for every detected event
-        self.events:list[tuple[Callable[[dict],None],ContractEvents,dict]] = []
+        self.events:list[tuple[Maywaitable[[EventData],None],ContractEvents,dict]] = []
 
         # these callbacks are invoked after every block and also every second if there wasnt a block
-        self.postprocess_cbs:list[Callable[[],None]] = []
+        self.postprocess_cbs:list[Maywaitable[[],None]] = []
 
         # onStateInit callbacks are invoked after the initial state is loaded or created
-        self.on_state_init: list[Callable[[],None]] = []
+        self.on_state_init: list[Maywaitable[[],None]] = []
         self.state_initialized = False
 
         # onHeadUpdate callbacks are invoked with a list of DiffItems used to update the head state from either the previous head or the root
-        self.on_head_update: list[Callable[[Block,list[DiffEntryItem]],None]] = []
+        self.on_head_update: list[Maywaitable[[Block,list[DiffEntryItem]],None]] = []
 
         # onPromotion callbacks are invoked with a list of DiffItems used to advance the root state
-        self.on_promotion: list[Callable[[Block,list[DiffEntryItem]],None]] = []
+        self.on_promotion: list[Maywaitable[[Block,list[DiffEntryItem]],None]] = []
 
-        self.publish_all: Callable[[Iterable[tuple[str,str,Any]]],None] = publish_all
+        self.publish_all: Maywaitable[[Iterable[tuple[str,str,Any]]],None] = publish_all
+
+        self.timer_period = timer_period
 
         self.queue: Queue = Queue()
+        self.max_height_seen = config.backfill
 
         self.running = False
 
 
-    def add_event_trigger(self, callback: Callable[[dict], None], event: ContractEvents = None, log_filter: Union[dict, str] = None):
+    def add_event_trigger(self, callback: Maywaitable[[EventData], None], event: ContractEvents = None, log_filter: Union[dict, str] = None):
         """
         if event is None, the callback is still invoked in the series of log handlers but with no argument instead of logs
         """
@@ -62,42 +93,18 @@ class BlockStateRunner:
             log_filter = {'topics': [topic(event.abi)]}
         self.events.append((callback, event, log_filter))
 
-    def add_postprocess_trigger(self, callback: Callable[[dict], None]):
+    def add_postprocess_trigger(self, callback: Maywaitable[[], None]):
         # noinspection PyTypeChecker
         self.postprocess_cbs.append(callback)
 
     async def run(self):
         # this run() process discovers new heads and puts them on a queue for the worker to process. the discovery is ether websockets or polling
+        if self.state:
+            self.max_height_seen = max(self.max_height_seen, self.state.root_block.height)
+        self.running = True
         return await (self.run_polling() if config.polling > 0 else self.run_ws())
 
     async def run_ws(self):
-        """
-
-        NOTE: This doc is old and not strictly true but still the basic idea
-
-         1. load root stateBlockchain
-            a. if no root, init from head
-            b. if root is old, batch forward by height
-         2. discover new heads
-            2b. find in-state parent block else use root
-         3. fork = ancestor->head diff
-         4. query global log filter
-         5. process new vaults
-         6. process new orders and cancels
-            a. new pools
-         7. process Swap events and generate pool prices
-         8. process price horizons
-         9. process token movement
-        10. process swap triggers (zero constraint tranches)
-        11. process price tranche triggers
-        12. process horizon tranche triggers
-        13. filter by time tranche triggers
-        14. bundle execution requests and send tx. tx has require(block<deadline)
-        15. on tx confirmation, the block height of all executed trigger requests is set to the tx block
-        """
-
-        self.running = True
-
         w3ws = await create_w3_ws()
         chain_id = await w3ws.eth.chain_id
         chain = Blockchain.for_id(chain_id)
@@ -117,7 +124,7 @@ class BlockStateRunner:
                         async for message in w3ws.ws.listen_to_websocket():
                             head = message['result']
                             log.debug(f'detected new block {head["number"]} {hexstr(head["hash"])}')
-                            await self.queue.put(head["hash"])
+                            await self.add_head(head["hash"])
                             if not self.running:
                                 break
                             await async_yield()
@@ -138,11 +145,9 @@ class BlockStateRunner:
         """
         Hardhat websocket stops sending messages after about 5 minutes.
         https://github.com/NomicFoundation/hardhat/issues/2053
-        So we must implement polling to work around their incompetence.
+        So we implement polling as a workaround.
         """
 
-        self.running = True
-
         w3 = create_w3()
         chain_id = await w3.eth.chain_id
         chain = Blockchain.for_id(chain_id)
@@ -162,8 +167,8 @@ class BlockStateRunner:
                 head = block['hash']
                 if head != prev_blockhash:
                     prev_blockhash = head
-                    await self.queue.put(block)
                     log.debug(f'polled new block {hexstr(head)}')
+                    await self.add_head(block)
                 if not self.running:
                     break
                 await asyncio.sleep(config.polling)
@@ -180,6 +185,48 @@ class BlockStateRunner:
         log.debug('runner run_polling() exiting')
 
 
+    async def add_head(self, head):
+        """
+        head can either be a full block-data struct or simply a block hash.  this method converts it to a Block
+        and pushes that Block onto the worker queue
+        """
+        chain = current_chain.get()
+        w3 = current_w3.get()
+        try:
+            block_data = head
+            blockhash = block_data['hash']
+            parent = block_data['parentHash']
+            height = block_data['number']
+        except TypeError:
+            blockhash = head
+            response = await w3.provider.make_request('eth_getBlockByHash', [blockhash, False])
+            block_data:dict = response['result']
+            parent = bytes.fromhex(block_data['parentHash'][2:])
+            height = int(block_data['number'], 0)
+        head = Block(chain=chain.chain_id, height=height, hash=blockhash, parent=parent, data=block_data)
+
+        if self.state or config.backfill:
+            # backfill batches
+            start_height = self.max_height_seen
+            batch_height = start_height + chain.batch_size - 1
+            while batch_height < head.height:
+                # the backfill is larger than a single batch, so we push intermediate head blocks onto the queue
+                response = await w3.provider.make_request('eth_getBlockByNumber', [hex(batch_height), False])
+                block_data: dict = response['result']
+                blockhash = bytes.fromhex(block_data['hash'][2:])
+                parent = bytes.fromhex(block_data['parentHash'][2:])
+                height = int(block_data['number'], 0)
+                assert height == batch_height
+                block = Block(chain=chain.chain_id, height=height, hash=blockhash, parent=parent, data=block_data)
+                log.debug(f'enqueueing batch backfill from {start_height} through {batch_height}')
+                await self.queue.put(block)  # add an intermediate block
+                self.max_height_seen = height
+                start_height += chain.batch_size
+                batch_height += chain.batch_size
+        await self.queue.put(head)  # add the head block
+        self.max_height_seen = head.height
+
+
     async def worker(self):
         try:
             log.debug(f'runner worker started')
@@ -190,7 +237,10 @@ class BlockStateRunner:
             prev_head = None
             while self.running:
                 try:
-                    async with asyncio.timeout(1): # check running flag every second
+                    if self.timer_period:
+                        async with asyncio.timeout(self.timer_period):
+                            head = await self.queue.get()
+                    else:
                         head = await self.queue.get()
                 except TimeoutError:
                     # 1 second has passed without a new head. Run the postprocess callbacks to check for activated time-based triggers
@@ -202,34 +252,22 @@ class BlockStateRunner:
                         prev_head = head
                     except Exception as x:
                         log.exception(x)
-        except:
+        except Exception:
             log.exception('exception in runner worker')
             raise
         finally:
             log.debug('runner worker exiting')
 
 
-    async def handle_head(self, chain, blockhash, w3):
-        # check blockhash type and convert
-        try:
-            block_data = blockhash
-            blockhash = block_data['hash']
-            parent = block_data['parentHash']
-            height = block_data['number']
-        except TypeError:
-            response = await w3.provider.make_request('eth_getBlockByHash', [blockhash, False])
-            block_data:dict = response['result']
-            parent = bytes.fromhex(block_data['parentHash'][2:])
-            height = int(block_data['number'], 0)
-        log.debug(f'processing block {blockhash}')
-        chain_id = chain.chain_id
+    async def handle_head(self, chain, block, w3):
+        print(f'logger {log} {log.name} level {log.level} {logging.DEBUG} {logging.FATAL}')
+        log.debug(f'handle_head {block.height} {block.hash}')
         session = None
+        batches = []
         try:
-            if self.state is not None and blockhash in self.state.by_hash:
-                log.debug(f'block {blockhash} was already processed')
+            if self.state is not None and block.hash in self.state.by_hash:
+                log.debug(f'block {block.hash} was already processed')
                 return
-            assert block_data is not None
-            block = Block(chain=chain_id, height=height, hash=blockhash, parent=parent, data=block_data)
             latest_block.set(block)
             current_clock.get().set(block.timestamp)
             if self.state is None:
@@ -250,19 +288,16 @@ class BlockStateRunner:
                         if log_filter is None:
                             batches.append((None, callback, event, None))
                         else:
-                            from_height = self.state.root_block.height + 1
-                            end_height = block.height
-                            while from_height <= end_height:
-                                to_height = min(end_height, from_height + chain.batch_size - 1)
-                                lf = dict(log_filter)
-                                lf['fromBlock'] = from_height
-                                lf['toBlock'] = to_height
-                                log.debug(f'batch backfill {from_height} - {to_height}')
-                                get_logs = w3.eth.get_logs(lf)
-                                if not config.parallel_logevent_queries:
-                                    get_logs = await get_logs
-                                batches.append((get_logs, callback, event, lf))
-                                from_height += chain.batch_size
+                            from_height = fork.parent.height
+                            to_height = fork.height
+                            lf = dict(log_filter)
+                            lf['fromBlock'] = from_height
+                            lf['toBlock'] = to_height
+                            log.debug(f'querying backfill {from_height} through {to_height}')
+                            get_logs = w3.eth.get_logs(lf)
+                            if not config.parallel_logevent_queries:
+                                get_logs = await get_logs
+                            batches.append((get_logs, callback, event, lf))
                     for callback in self.postprocess_cbs:
                         batches.append((None, callback, None, None))
                 else:
@@ -307,7 +342,10 @@ class BlockStateRunner:
                                 # todo try/except for known retryable errors
                                 await maywait(callback(parsed))
 
-                # todo check for reorg and generate a reorg diff list
+                # todo
+                #    IMPORTANT! check for a reorg and generate a reorg diff list. the diff list we need is the union of the set of keys touched by either
+                #    branch. Then we query all the values for those keys and apply that kv list to redis. This will make sure that any orphaned data that
+                #    isn't updated by the new fork is still queried from the root state to overwrite any stale data from the abandoned branch.
                 diff_items = self.state.diffs_by_hash[block.hash]
                 for callback in self.on_head_update:
                     await maywait(callback(block, diff_items))
@@ -319,7 +357,7 @@ class BlockStateRunner:
                     diff_items = self.state.promote_root(new_root_fork)
                     for callback in self.on_promotion:
                         # todo try/except for known retryable errors
-                        callback(self.state.root_block, diff_items)
+                        await maywait(callback(self.state.root_block, diff_items))
 
                 if pubs and self.publish_all:
                     await maywait(self.publish_all(pubs))
@@ -327,8 +365,14 @@ class BlockStateRunner:
             log.debug('rolling back session')
             if session is not None:
                 session.rollback()
-            if blockhash is not None and self.state is not None:
-                self.state.delete_block(blockhash)
+            if block.hash is not None and self.state is not None:
+                self.state.delete_block(block.hash)
+            if config.parallel_logevent_queries:
+                for get_logs, *_ in batches:
+                    try:
+                        await get_logs
+                    except Exception:
+                        log.exception('exception while querying logs')
             raise
         else:
             if session is not None:

src/dexorder/uniswap.py

@@ -22,11 +22,6 @@ class UniswapV3Pool (ContractProxy):
     def __init__(self, address: str = None):
         super().__init__(address, 'IUniswapV3Pool')
 
-    async def price(self):
-        if not self.address:
-            raise ValueError
-        return await uniswap_price(self.address, (await self.slot0())[0])
-
 
 def ordered_addresses(addr_a:str, addr_b:str):
     return (addr_a, addr_b) if addr_a.lower() <= addr_b.lower() else (addr_b, addr_a)

src/dexorder/util/async_util.py

@@ -1,5 +1,7 @@
 import asyncio
 import inspect
+from abc import ABC
+from typing import Union, Callable, Awaitable, TypeVar, Generic
 
 
 async def async_yield():
@@ -7,7 +9,14 @@ async def async_yield():
     await asyncio.sleep(1e-9)
 
 
-async def maywait(obj):
+Args = TypeVar('Args')
+Return = TypeVar('Return')
+
+class Maywaitable (Generic[Args, Return], Callable[[Args],Return], Awaitable[Return], ABC):
+    pass
+
+
+async def maywait(obj: Maywaitable):
     if inspect.isawaitable(obj):
         obj = await obj
     return obj