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| Author | SHA1 | Date | |
|---|---|---|---|
| 255d8f126d | |||
| 88fce17efc | |||
| b4f1de9d0d |
@@ -27,12 +27,14 @@ import org.apache.flink.streaming.api.environment.StreamExecutionEnvironment;
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import org.apache.flink.streaming.api.functions.co.RichCoFlatMapFunction;
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import org.apache.flink.streaming.api.functions.co.RichCoFlatMapFunction;
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import org.apache.flink.util.ParameterTool;
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import org.apache.flink.util.ParameterTool;
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import org.apache.flink.util.Collector;
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import org.apache.flink.util.Collector;
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import stream.config.StreamingDefaults;
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import stream.dto.*;
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import stream.dto.*;
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import org.apache.flink.streaming.api.datastream.SingleOutputStreamOperator;
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import org.apache.flink.streaming.api.datastream.SingleOutputStreamOperator;
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import stream.io.PoolTokenIdElaborator;
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import stream.io.PoolTokenIdElaborator;
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import stream.io.TokenElaborator;
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import stream.io.TokenElaborator;
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import stream.io.SwapElaborator;
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import stream.io.SwapElaborator;
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import stream.io.BlockTimestampElaborator;
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import stream.io.BlockTimestampElaborator;
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import stream.ohlc.OHLCPipeline;
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import stream.source.eventlog.EventLogSourceFactory;
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import stream.source.eventlog.EventLogSourceFactory;
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import java.util.HashMap;
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import java.util.HashMap;
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@@ -72,6 +74,11 @@ public class DataStreamJob {
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final StreamExecutionEnvironment env = StreamExecutionEnvironment.getExecutionEnvironment();
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final StreamExecutionEnvironment env = StreamExecutionEnvironment.getExecutionEnvironment();
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env.getConfig().setGlobalJobParameters(parameters);
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env.getConfig().setGlobalJobParameters(parameters);
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URI webSocketUri = new URI(parameters.get("ws_url", "ws://localhost:8546"));
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URI webSocketUri = new URI(parameters.get("ws_url", "ws://localhost:8546"));
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// Async operation parameters
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int asyncCapacity = parameters.getInt("async.capacity", StreamingDefaults.ASYNC_CAPACITY);
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int asyncTimeoutSeconds = parameters.getInt("async.timeout.seconds", StreamingDefaults.ASYNC_TIMEOUT_SECONDS);
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log.info("Async configuration - Capacity: {}, Timeout: {}s", asyncCapacity, asyncTimeoutSeconds);
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// Create ObjectMapper for pretty JSON printing
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// Create ObjectMapper for pretty JSON printing
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ObjectMapper mapper = new ObjectMapper();
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ObjectMapper mapper = new ObjectMapper();
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@@ -84,15 +91,17 @@ public class DataStreamJob {
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SingleOutputStreamOperator<SwapWithTimestamp> swapWithTimestampStream = AsyncDataStream.unorderedWait(
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SingleOutputStreamOperator<SwapWithTimestamp> swapWithTimestampStream = AsyncDataStream.unorderedWait(
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swapStream,
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swapStream,
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new BlockTimestampElaborator(),
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new BlockTimestampElaborator(),
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30,
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asyncTimeoutSeconds,
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TimeUnit.SECONDS
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TimeUnit.SECONDS,
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asyncCapacity
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);
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);
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SingleOutputStreamOperator<SwapEventWithTokenIds> elaboratedSwapStream = AsyncDataStream.unorderedWait(
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SingleOutputStreamOperator<SwapEventWithTokenIds> elaboratedSwapStream = AsyncDataStream.unorderedWait(
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swapWithTimestampStream,
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swapWithTimestampStream,
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new PoolTokenIdElaborator(),
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new PoolTokenIdElaborator(),
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30,
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asyncTimeoutSeconds,
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TimeUnit.SECONDS
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TimeUnit.SECONDS,
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asyncCapacity
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);
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);
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// Extract token addresses and elaborate with metadata
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// Extract token addresses and elaborate with metadata
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@@ -109,8 +118,9 @@ public class DataStreamJob {
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SingleOutputStreamOperator<Token> elaboratedTokens = AsyncDataStream.unorderedWait(
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SingleOutputStreamOperator<Token> elaboratedTokens = AsyncDataStream.unorderedWait(
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tokenAddresses,
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tokenAddresses,
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new TokenElaborator(),
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new TokenElaborator(),
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120,
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asyncTimeoutSeconds,
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TimeUnit.SECONDS
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TimeUnit.SECONDS,
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asyncCapacity
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);
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);
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// Connect swap events with token metadata to create SwapEventWithTokenMetadata
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// Connect swap events with token metadata to create SwapEventWithTokenMetadata
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@@ -168,6 +178,33 @@ public class DataStreamJob {
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DataStream<Swap> swaps = swapsWithTokens
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DataStream<Swap> swaps = swapsWithTokens
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.map(new SwapElaborator());
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.map(new SwapElaborator());
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// Test OHLC with USDC/WETH pool
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OHLCPipeline ohlcPipeline = new OHLCPipeline();
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DataStream<OHLCCandle> allOhlc = ohlcPipeline.createOHLCStream(swaps);
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// Filter and print OHLC candles for USDC/WETH pool only
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allOhlc
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.filter(candle -> {
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// Filter for specific USDC/WETH pool
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String poolAddress = candle.getPool().toLowerCase();
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String targetPool = "0x6f38e884725a116c9c7fbf208e79fe8828a2595f".toLowerCase();
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return poolAddress.equals(targetPool);
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})
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.map(candle -> {
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System.out.println("USDC/WETH OHLC: Pool=" + candle.getPool() +
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" Window=" + candle.getWindowStart() + "-" + candle.getWindowEnd() +
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" Trades=" + candle.getTradeCount() +
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" Open=" + candle.getOpen() +
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" High=" + candle.getHigh() +
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" Low=" + candle.getLow() +
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" Close=" + candle.getClose() +
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" Volume=" + candle.getVolume());
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return candle;
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})
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.setParallelism(1)
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.returns(OHLCCandle.class)
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.print("USDC-WETH-OHLC");
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// Print the final enriched swap objects
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// Print the final enriched swap objects
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swaps
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swaps
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.map(swap -> {
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.map(swap -> {
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56
src/main/java/stream/dto/OHLCCandle.java
Normal file
56
src/main/java/stream/dto/OHLCCandle.java
Normal file
@@ -0,0 +1,56 @@
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package stream.dto;
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import java.math.BigDecimal;
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public class OHLCCandle {
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private final String pool;
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private final String token0;
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private final String token1;
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private final long windowStart;
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private final long windowEnd;
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private final BigDecimal open;
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private final BigDecimal high;
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private final BigDecimal low;
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private final BigDecimal close;
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private final BigDecimal volume;
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private final int tradeCount;
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public OHLCCandle(String pool, String token0, String token1,
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long windowStart, long windowEnd,
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BigDecimal open, BigDecimal high, BigDecimal low, BigDecimal close,
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BigDecimal volume, int tradeCount) {
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this.pool = pool;
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this.token0 = token0;
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this.token1 = token1;
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this.windowStart = windowStart;
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this.windowEnd = windowEnd;
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this.open = open;
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this.high = high;
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this.low = low;
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this.close = close;
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this.volume = volume;
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this.tradeCount = tradeCount;
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}
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// Getters
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public String getPool() { return pool; }
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public String getToken0() { return token0; }
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public String getToken1() { return token1; }
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public long getWindowStart() { return windowStart; }
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public long getWindowEnd() { return windowEnd; }
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public BigDecimal getOpen() { return open; }
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public BigDecimal getHigh() { return high; }
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public BigDecimal getLow() { return low; }
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public BigDecimal getClose() { return close; }
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public BigDecimal getVolume() { return volume; }
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public int getTradeCount() { return tradeCount; }
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@Override
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public String toString() {
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return String.format("OHLC[%s] %s/%s %d-%d: O=%.4f H=%.4f L=%.4f C=%.4f V=%.4f Trades=%d",
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pool.substring(0, 8) + "...",
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token0.substring(0, 6), token1.substring(0, 6),
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windowStart, windowEnd,
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open, high, low, close, volume, tradeCount);
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}
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}
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@@ -16,11 +16,14 @@ import java.util.Collections;
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import java.util.Map;
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import java.util.Map;
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import java.util.concurrent.CompletableFuture;
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import java.util.concurrent.CompletableFuture;
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import java.util.concurrent.ExecutionException;
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import java.util.concurrent.ExecutionException;
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import java.util.concurrent.atomic.AtomicInteger;
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public class BlockElaborator extends RichAsyncFunction<BlockId, EthBlock> {
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public class BlockElaborator extends RichAsyncFunction<BlockId, EthBlock> {
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private static final Logger log = LoggerFactory.getLogger(BlockElaborator.class);
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private static final Logger log = LoggerFactory.getLogger(BlockElaborator.class);
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private transient Web3j w3;
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private transient Web3j w3;
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private static final AtomicInteger activeOperations = new AtomicInteger(0);
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private static final AtomicInteger totalOperations = new AtomicInteger(0);
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@Override
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@Override
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public void open(OpenContext openContext) throws Exception {
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public void open(OpenContext openContext) throws Exception {
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@@ -30,6 +33,13 @@ public class BlockElaborator extends RichAsyncFunction<BlockId, EthBlock> {
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@Override
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@Override
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public void asyncInvoke(BlockId blockId, final ResultFuture<EthBlock> resultFuture) {
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public void asyncInvoke(BlockId blockId, final ResultFuture<EthBlock> resultFuture) {
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int active = activeOperations.incrementAndGet();
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int total = totalOperations.incrementAndGet();
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if (total % 100 == 0) {
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log.info("BlockElaborator - Total operations: {}, Active operations: {}", total, active);
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}
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CompletableFuture.supplyAsync(() -> {
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CompletableFuture.supplyAsync(() -> {
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try {
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try {
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return getBlock(blockId);
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return getBlock(blockId);
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@@ -37,7 +47,14 @@ public class BlockElaborator extends RichAsyncFunction<BlockId, EthBlock> {
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log.error("Failed to get block {} on chain {}", blockId, e);
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log.error("Failed to get block {} on chain {}", blockId, e);
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throw new RuntimeException("Error processing block " + blockId, e);
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throw new RuntimeException("Error processing block " + blockId, e);
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}
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}
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}).thenAccept(result -> resultFuture.complete(Collections.singleton(result)));
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}).thenAccept(result -> {
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activeOperations.decrementAndGet();
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resultFuture.complete(Collections.singleton(result));
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}).exceptionally(throwable -> {
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activeOperations.decrementAndGet();
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resultFuture.completeExceptionally(throwable);
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return null;
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});
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}
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}
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private EthBlock getBlock(BlockId id) {
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private EthBlock getBlock(BlockId id) {
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@@ -45,10 +45,9 @@ public class SwapElaborator extends RichMapFunction<SwapEventWithTokenMetadata,
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BigDecimal decimalAdjustment = new BigDecimal(10).pow(-decimalDiff);
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BigDecimal decimalAdjustment = new BigDecimal(10).pow(-decimalDiff);
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adjustedPrice = price.divide(decimalAdjustment, MATH_CONTEXT);
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adjustedPrice = price.divide(decimalAdjustment, MATH_CONTEXT);
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}
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}
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// Determine which token is in and which is out based on amount signs
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// Determine which token is in and which is out based on amount signs
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boolean isToken0In = swapLog.amount0.compareTo(BigInteger.ZERO) < 0;
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boolean isToken0In = swapLog.amount0.compareTo(BigInteger.ZERO) < 0;
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String takerAsset;
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String takerAsset;
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String makerAsset;
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String makerAsset;
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BigDecimal amountIn;
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BigDecimal amountIn;
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@@ -59,7 +58,6 @@ public class SwapElaborator extends RichMapFunction<SwapEventWithTokenMetadata,
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// User is sending token0, receiving token1
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// User is sending token0, receiving token1
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takerAsset = event.getToken0Address();
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takerAsset = event.getToken0Address();
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makerAsset = event.getToken1Address();
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makerAsset = event.getToken1Address();
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// Convert amounts to human-readable format using decimals
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// Convert amounts to human-readable format using decimals
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amountIn = new BigDecimal(swapLog.amount0.abs())
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amountIn = new BigDecimal(swapLog.amount0.abs())
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.divide(new BigDecimal(10).pow(token0.decimals), MATH_CONTEXT);
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.divide(new BigDecimal(10).pow(token0.decimals), MATH_CONTEXT);
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@@ -79,15 +77,12 @@ public class SwapElaborator extends RichMapFunction<SwapEventWithTokenMetadata,
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amountOut = new BigDecimal(swapLog.amount0)
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amountOut = new BigDecimal(swapLog.amount0)
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.divide(new BigDecimal(10).pow(token0.decimals), MATH_CONTEXT);
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.divide(new BigDecimal(10).pow(token0.decimals), MATH_CONTEXT);
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// Price is how much token0 you get per token1 (inverse of adjustedPrice)
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// We need to calculate price as token1/token0 to be consistent with token0 as quote currency
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finalPrice = BigDecimal.ONE.divide(adjustedPrice, MATH_CONTEXT);
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// Currently adjustedPrice = token1/token0, so we keep it as is
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// This ensures price always represents how many token0 (quote) per 1 token1 (base)
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// For example, in WETH/USDC: price = 2000 means 1 WETH costs 2000 USDC
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finalPrice = adjustedPrice;
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}
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}
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log.info("Enriched swap - Pool: {} {} -> {} Amount: {} -> {} Price: {}",
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pool, token0.symbol + "/" + token1.symbol,
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isToken0In ? token1.symbol : token0.symbol,
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amountIn, amountOut, finalPrice);
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// Pass both amountIn and amountOut to constructor with unit price
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// Pass both amountIn and amountOut to constructor with unit price
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return new Swap(42161, time, exchange, pool, takerAsset, makerAsset, amountIn, amountOut, finalPrice);
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return new Swap(42161, time, exchange, pool, takerAsset, makerAsset, amountIn, amountOut, finalPrice);
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}
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}
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@@ -6,6 +6,7 @@ import org.web3j.protocol.Web3j;
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import org.web3j.protocol.http.HttpService;
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import org.web3j.protocol.http.HttpService;
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import org.slf4j.Logger;
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import org.slf4j.Logger;
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import org.slf4j.LoggerFactory;
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import org.slf4j.LoggerFactory;
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import stream.config.StreamingDefaults;
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import java.time.Duration;
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import java.time.Duration;
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import java.util.Arrays;
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import java.util.Arrays;
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@@ -25,15 +26,19 @@ public class Web3Client {
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synchronized (w3Lock) {
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synchronized (w3Lock) {
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log.info("Initializing Web3 client");
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log.info("Initializing Web3 client");
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String url = params.getOrDefault("rpc_url", "http://localhost:8545");
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String url = params.getOrDefault("rpc_url", "http://localhost:8545");
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int maxIdleConnections = Integer.parseInt(params.getOrDefault("max_idle_connections", "5"));
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int maxIdleConnections = Integer.parseInt(params.getOrDefault("max_idle_connections", String.valueOf(StreamingDefaults.MAX_IDLE_CONNECTIONS)));
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int keepAlive = Integer.parseInt(params.getOrDefault("keep_alive", "60"));
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int keepAlive = Integer.parseInt(params.getOrDefault("keep_alive", String.valueOf(StreamingDefaults.KEEP_ALIVE_MINUTES)));
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Duration timeout = Duration.ofSeconds(30);
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Duration timeout = Duration.ofSeconds(30);
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log.debug("Web3 connection parameters - URL: {}, Max idle connections: {}, Keep alive: {} minutes, Timeout: {} seconds",
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ConnectionPool connectionPool = new ConnectionPool(maxIdleConnections, keepAlive, TimeUnit.MINUTES);
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log.info("Web3 connection parameters - URL: {}, Max idle connections: {}, Keep alive: {} minutes, Timeout: {} seconds",
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url, maxIdleConnections, keepAlive, timeout.getSeconds());
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url, maxIdleConnections, keepAlive, timeout.getSeconds());
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var httpClient = new OkHttpClient.Builder()
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var httpClient = new OkHttpClient.Builder()
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.connectionSpecs(Arrays.asList(MODERN_TLS, CLEARTEXT))
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.connectionSpecs(Arrays.asList(MODERN_TLS, CLEARTEXT))
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.connectTimeout(timeout).callTimeout(timeout).readTimeout(timeout).writeTimeout(timeout)
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.connectTimeout(timeout).callTimeout(timeout).readTimeout(timeout).writeTimeout(timeout)
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.connectionPool(new ConnectionPool(maxIdleConnections, keepAlive, TimeUnit.MINUTES))
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.connectionPool(connectionPool)
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.build();
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.build();
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w3 = Web3j.build(new HttpService(url, httpClient));
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w3 = Web3j.build(new HttpService(url, httpClient));
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log.info("Web3 client initialized successfully");
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log.info("Web3 client initialized successfully");
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41
src/main/java/stream/ohlc/OHLCAccumulator.java
Normal file
41
src/main/java/stream/ohlc/OHLCAccumulator.java
Normal file
@@ -0,0 +1,41 @@
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|
package stream.ohlc;
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import java.math.BigDecimal;
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public class OHLCAccumulator {
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public String pool = null;
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public String token0 = null; // Added
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public String token1 = null; // Added
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public BigDecimal open = null;
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||||||
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public BigDecimal high = null;
|
||||||
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public BigDecimal low = null;
|
||||||
|
public BigDecimal close = null;
|
||||||
|
public BigDecimal volume = BigDecimal.ZERO;
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||||||
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public int tradeCount = 0;
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||||||
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public long firstTradeTime = 0;
|
||||||
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public long lastTradeTime = 0;
|
||||||
|
|
||||||
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public OHLCAccumulator() {}
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|
||||||
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public void updatePrice(BigDecimal price, long timestamp) {
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|
if (open == null) {
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open = price;
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|
high = price;
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||||||
|
low = price;
|
||||||
|
firstTradeTime = timestamp;
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||||||
|
} else {
|
||||||
|
high = high.max(price);
|
||||||
|
low = low.min(price);
|
||||||
|
}
|
||||||
|
close = price;
|
||||||
|
lastTradeTime = timestamp;
|
||||||
|
}
|
||||||
|
|
||||||
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public void addVolume(BigDecimal amount) {
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|
volume = volume.add(amount);
|
||||||
|
}
|
||||||
|
|
||||||
|
public void incrementTradeCount() {
|
||||||
|
tradeCount++;
|
||||||
|
}
|
||||||
|
}
|
||||||
98
src/main/java/stream/ohlc/OHLCAggregator.java
Normal file
98
src/main/java/stream/ohlc/OHLCAggregator.java
Normal file
@@ -0,0 +1,98 @@
|
|||||||
|
package stream.ohlc;
|
||||||
|
|
||||||
|
import org.apache.flink.api.common.functions.AggregateFunction;
|
||||||
|
import stream.dto.Swap;
|
||||||
|
import stream.dto.OHLCCandle;
|
||||||
|
import java.math.BigDecimal;
|
||||||
|
|
||||||
|
public class OHLCAggregator implements AggregateFunction<Swap, OHLCAccumulator, OHLCCandle> {
|
||||||
|
|
||||||
|
private final long windowSize = 60; // 1 minute in seconds
|
||||||
|
|
||||||
|
@Override
|
||||||
|
public OHLCAccumulator createAccumulator() {
|
||||||
|
return new OHLCAccumulator();
|
||||||
|
}
|
||||||
|
|
||||||
|
@Override
|
||||||
|
public OHLCAccumulator add(Swap swap, OHLCAccumulator accumulator) {
|
||||||
|
// Initialize pool and tokens on first swap
|
||||||
|
if (accumulator.pool == null) {
|
||||||
|
accumulator.pool = swap.getPool();
|
||||||
|
// Store tokens in consistent order (you could sort by address)
|
||||||
|
accumulator.token0 = swap.getTakerAsset();
|
||||||
|
accumulator.token1 = swap.getMakerAsset();
|
||||||
|
}
|
||||||
|
|
||||||
|
// Update OHLC prices
|
||||||
|
accumulator.updatePrice(swap.getPrice(), swap.getTime());
|
||||||
|
|
||||||
|
// Calculate volume (using the taker's input amount as volume)
|
||||||
|
BigDecimal volume = swap.getAmountIn().abs();
|
||||||
|
accumulator.addVolume(volume);
|
||||||
|
|
||||||
|
// Increment trade count
|
||||||
|
accumulator.incrementTradeCount();
|
||||||
|
|
||||||
|
return accumulator;
|
||||||
|
}
|
||||||
|
|
||||||
|
@Override
|
||||||
|
public OHLCAccumulator merge(OHLCAccumulator acc1, OHLCAccumulator acc2) {
|
||||||
|
OHLCAccumulator merged = new OHLCAccumulator();
|
||||||
|
|
||||||
|
// Merge pool and token info
|
||||||
|
merged.pool = acc1.pool != null ? acc1.pool : acc2.pool;
|
||||||
|
merged.token0 = acc1.token0 != null ? acc1.token0 : acc2.token0;
|
||||||
|
merged.token1 = acc1.token1 != null ? acc1.token1 : acc2.token1;
|
||||||
|
|
||||||
|
// Merge OHLC data
|
||||||
|
if (acc1.open != null && acc2.open != null) {
|
||||||
|
merged.open = acc1.firstTradeTime <= acc2.firstTradeTime ? acc1.open : acc2.open;
|
||||||
|
merged.close = acc1.lastTradeTime >= acc2.lastTradeTime ? acc1.close : acc2.close;
|
||||||
|
merged.high = acc1.high.max(acc2.high);
|
||||||
|
merged.low = acc1.low.min(acc2.low);
|
||||||
|
merged.firstTradeTime = Math.min(acc1.firstTradeTime, acc2.firstTradeTime);
|
||||||
|
merged.lastTradeTime = Math.max(acc1.lastTradeTime, acc2.lastTradeTime);
|
||||||
|
} else if (acc1.open != null) {
|
||||||
|
merged.open = acc1.open;
|
||||||
|
merged.close = acc1.close;
|
||||||
|
merged.high = acc1.high;
|
||||||
|
merged.low = acc1.low;
|
||||||
|
merged.firstTradeTime = acc1.firstTradeTime;
|
||||||
|
merged.lastTradeTime = acc1.lastTradeTime;
|
||||||
|
} else if (acc2.open != null) {
|
||||||
|
merged.open = acc2.open;
|
||||||
|
merged.close = acc2.close;
|
||||||
|
merged.high = acc2.high;
|
||||||
|
merged.low = acc2.low;
|
||||||
|
merged.firstTradeTime = acc2.firstTradeTime;
|
||||||
|
merged.lastTradeTime = acc2.lastTradeTime;
|
||||||
|
}
|
||||||
|
|
||||||
|
merged.volume = acc1.volume.add(acc2.volume);
|
||||||
|
merged.tradeCount = acc1.tradeCount + acc2.tradeCount;
|
||||||
|
|
||||||
|
return merged;
|
||||||
|
}
|
||||||
|
|
||||||
|
@Override
|
||||||
|
public OHLCCandle getResult(OHLCAccumulator accumulator) {
|
||||||
|
long windowStart = (accumulator.firstTradeTime / windowSize) * windowSize;
|
||||||
|
long windowEnd = windowStart + windowSize;
|
||||||
|
|
||||||
|
return new OHLCCandle(
|
||||||
|
accumulator.pool,
|
||||||
|
accumulator.token0,
|
||||||
|
accumulator.token1,
|
||||||
|
windowStart,
|
||||||
|
windowEnd,
|
||||||
|
accumulator.open,
|
||||||
|
accumulator.high,
|
||||||
|
accumulator.low,
|
||||||
|
accumulator.close,
|
||||||
|
accumulator.volume,
|
||||||
|
accumulator.tradeCount
|
||||||
|
);
|
||||||
|
}
|
||||||
|
}
|
||||||
26
src/main/java/stream/ohlc/OHLCPipeline.java
Normal file
26
src/main/java/stream/ohlc/OHLCPipeline.java
Normal file
@@ -0,0 +1,26 @@
|
|||||||
|
package stream.ohlc;
|
||||||
|
|
||||||
|
import org.apache.flink.streaming.api.datastream.DataStream;
|
||||||
|
import org.apache.flink.streaming.api.windowing.assigners.TumblingProcessingTimeWindows;
|
||||||
|
import java.time.Duration;
|
||||||
|
import stream.dto.Swap;
|
||||||
|
import stream.dto.OHLCCandle;
|
||||||
|
|
||||||
|
public class OHLCPipeline {
|
||||||
|
|
||||||
|
public DataStream<OHLCCandle> createOHLCStream(DataStream<Swap> swapStream) {
|
||||||
|
|
||||||
|
return swapStream
|
||||||
|
// NO watermarks needed for processing-time windows
|
||||||
|
.keyBy(Swap::getPool)
|
||||||
|
|
||||||
|
// Use 1-minute processing-time windows
|
||||||
|
.window(TumblingProcessingTimeWindows.of(Duration.ofMinutes(1)))
|
||||||
|
|
||||||
|
// Simply use the aggregator
|
||||||
|
.aggregate(new OHLCAggregator())
|
||||||
|
|
||||||
|
// Filter out empty windows
|
||||||
|
.filter(candle -> candle.getTradeCount() > 0);
|
||||||
|
}
|
||||||
|
}
|
||||||
Reference in New Issue
Block a user