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fix(lighter): query Coinalyze from now-25h to catch delayed hourly buckets #1975

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Merged
Flotapponnier merged 1 commit into from
Aug 16, 2026
Merged

fix(lighter): query Coinalyze from now-25h to catch delayed hourly buckets #1975

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25 changes: 16 additions & 9 deletions harnesses/perp-liq-rate/cmd/script/source_lighter.go
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Original file line number Diff line number Diff line change
Expand Up @@ -2,12 +2,13 @@ package main

// source_lighter.go — Lighter (mainnet.zklighter.elliot.ai).
//
// Liquidations: Lighter /api/v1/trades requires auth (HTTP 400). Data comes
// from Coinalyze /v1/liquidation-history (symbols 0.T=ETH, 1.T=BTC), hourly
// buckets in base asset units; multiplied by current mark_price from
// orderBookDetails. Requires env COINALYZE_API_KEY; returns empty without it.
// OI: GET /api/v1/orderBookDetails?filter=perp; open_interest (base units) ×
// mark_price (USD). Market IDs resolved dynamically by symbol prefix match.
// Liquidations: native /api/v1/trades requires auth. Data comes from Coinalyze
// /v1/liquidation-history (symbols 0.T=ETH 1.T=BTC), 1-hour buckets in base
// units. Queried with a fixed 25h lookback on every tick (not sinceMs) so that
// completed buckets, published ~1h after the hour ends, are never missed.
// SeenSet dedup prevents double-counting. Requires COINALYZE_API_KEY.
// OI: GET /api/v1/orderBookDetails?filter=perp; open_interest × mark_price.
// Market IDs resolved dynamically by symbol prefix match.
// 404/501 marks the venue unavailable; after 3 consecutive failures the source
// logs once and suppresses further error increments until recovery.

Expand Down Expand Up @@ -139,16 +140,22 @@ func (l *Lighter) FetchLiquidationsSince(asset string, sinceMs int64) ([]LiqEven

markPx := float64(market.MarkPrice)

from := sinceMs / 1000
to := time.Now().Unix()
// Query from now-25h instead of sinceMs: Coinalyze publishes completed
// hourly buckets (~1h after the hour ends), so by the time a bucket is
// available the sinceMs high-water mark has already advanced past it.
// Using a fixed 25h lookback ensures every tick re-fetches the full
// window; the SeenSet dedup prevents double-counting.
now := time.Now()
from := now.Add(-25 * time.Hour).Unix()
to := now.Unix()
cz := &czClient{apiKey: l.czAPIKey, baseURL: l.czBaseURL}
buckets, err := cz.fetchLiqBuckets(czSym, from, to)
if err != nil {
return nil, fmt.Errorf("lighter coinalyze liquidations: %w", err)
}

// Per-bucket prices via HL candleSnapshot (same asset, free endpoint).
priceMap, _ := fetchHourlyCloses(asset, sinceMs, to*1000, l.hlInfoURL)
priceMap, _ := fetchHourlyCloses(asset, from*1000, to*1000, l.hlInfoURL)
// markPx is the fallback for buckets that have no candle.
events := bucketsToEvents("czlighter", asset, buckets, priceMap, markPx, sinceMs)
return events, nil
Expand Down
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