Wes/dydx pricing data

macros/is_nyc_operating_hours.sql

@@ -0,0 +1,7 @@
+{% macro is_nyc_operating_hours(timestamp_column) %}
+    case 
+        when date_part('DOW', convert_timezone('UTC', 'America/New_York', {{ timestamp_column }})) in (0, 6) then false
+        when convert_timezone('UTC', 'America/New_York', {{ timestamp_column }})::time between '09:00:00' and '15:59:59' then true
+        else false
+    end
+{% endmacro %}

models/projects/dydx_v4/raw/ez_dydx_v4_price_performance.sql

@@ -0,0 +1,30 @@
+{{
+    config(
+        materialized = "table",
+        snowflake_warehouse = "DYDX",
+        database = "dydx_v4",
+        schema = "raw",
+        alias = "ez_price_performance"
+    )
+}}
+
+with prices as (
+    select 
+        date_trunc('hour', block_timestamp) as hour
+        , symbol
+        , price
+        , {{ is_nyc_operating_hours('hour') }} as nyc_operating_hours
+    from {{ref('fact_dydx_v4_perps_prices')}} t1
+    WHERE symbol in ('BTC', 'ETH')
+)
+
+select
+    hour
+    , symbol
+    , max(price) as high
+    , min(price) as low
+    , avg(price) as average
+    , median(price) as median
+    , nyc_operating_hours
+from prices
+group by hour, symbol, nyc_operating_hours

models/projects/dydx_v4/raw/fact_dydx_v4_perps_token_prices.sql

@@ -0,0 +1,19 @@
+{{
+    config(
+        materialized = "table",
+        snowflake_warehouse = "DYDX",
+        database = "dydx_v4",
+        schema = "raw",
+        alias = "fact_perps_token_prices"
+    )
+}}
+
+select
+    block_timestamp
+    , tx_hash
+    , 'dydx_v4' as chain
+    , 'dydx_v4' as app
+    , symbol
+    , price
+    , null as token_address
+from {{ ref('fact_dydx_v4_perps_prices') }}

models/projects/jupiter/raw/ez_jupiter_perps_price_performance.sql

@@ -14,11 +14,7 @@ with agg as (
         agg.price,
         agg.mint,
         m.symbol,
-        CASE 
-            when date_part('DOW', convert_timezone('UTC', 'America/New_York', block_timestamp)) IN (0, 6) then 'FALSE'
-            when convert_timezone('UTC', 'America/New_York', block_timestamp)::time between '09:00:00' and '15:59:59' then 'TRUE'
-            else 'FALSE'
-        END AS nyc_operating_hours
+        {{ is_nyc_operating_hours('hour') }} as nyc_operating_hours
     FROM {{ ref('fact_jupiter_perps_txs') }} agg
     LEFT JOIN solana_flipside.price.ez_asset_metadata m ON m.token_address = agg.mint
 )

models/projects/jupiter/raw/fact_jupiter_perps_token_prices.sql

@@ -10,11 +10,11 @@
 
 SELECT
     block_timestamp,
-    tx_id,
+    tx_id as tx_hash,
     chain,
     app,
-    mint,
+    symbol,
     price,
-    size_usd,
-    fee_usd
-FROM {{ ref('fact_jupiter_perps_txs') }}
+    mint as token_address
+FROM {{ ref('fact_jupiter_perps_txs') }} t
+LEFT JOIN solana_flipside.price.ez_asset_metadata m ON m.token_address = t.mint

models/projects/uniswap/raw/ez_uniswap_price_performance.sql

@@ -19,11 +19,7 @@ prices as (
         date_trunc('hour', block_timestamp) as hour
         , unwrapped_symbol as symbol
         , price
-        , CASE 
-            when date_part('DOW', convert_timezone('UTC', 'America/New_York', block_timestamp)) IN (0, 6) then 'FALSE'
-            when convert_timezone('UTC', 'America/New_York', block_timestamp)::time between '09:00:00' and '15:59:59' then 'TRUE'
-            else 'FALSE'
-        END AS nyc_operating_hours
+        , {{ is_nyc_operating_hours('hour') }} as nyc_operating_hours
     from {{ref('fact_uniswap_dex_token_prices')}} t1
     inner join tracked_metadata 
         on lower(t1.token_address) = lower(tracked_metadata.contract_address) 

models/staging/dydx/__dydx__sources.yml

@@ -9,3 +9,5 @@ sources:
       - name: raw_dydx_v4_txn_and_trading_fees
       - name: raw_dydx_v4_unique_traders
       - name: raw_dydx_v4_fees
+      - name: raw_dydx_v4_perpetuals_markets_metadata
+      - name: raw_dydx_v4_price

models/staging/dydx/dim_dydx_perps_markets.sql

@@ -0,0 +1,32 @@
+{{
+    config({
+        "materialized": "table"
+    })
+}}
+
+with max_extraction as (
+    SELECT
+        max(extraction_date) as max_extraction
+    FROM
+        {{ source("PROD_LANDING", "raw_dydx_v4_perpetuals_markets_metadata") }}
+),
+latest_data as (
+    SELECT
+        parse_json(source_json) as data
+    FROM
+        {{ source("PROD_LANDING", "raw_dydx_v4_perpetuals_markets_metadata") }}
+    WHERE
+        extraction_date = (
+            select
+                max_extraction
+            from
+                max_extraction
+        )
+)
+select
+    value:ticker::string as ticker
+    , value:clobPairId::number as clob_pair_id
+    , value:atomicResolution::number as atomic_resolution
+from
+    latest_data
+    , lateral flatten (input => data:markets)

models/staging/dydx/fact_dydx_v4_perps_prices.sql

@@ -0,0 +1,54 @@
+{{
+    config({
+        "materialized": "incremental",
+        "snowflake_warehouse": "DYDX",
+    })
+}}
+
+with all_dates as (
+    select
+        extraction_date,
+        TO_TIMESTAMP_NTZ(value:block_timestamp)::date as date
+    from {{ source("PROD_LANDING", "raw_dydx_v4_price") }},
+    lateral flatten (input => parse_json(source_json)) as flat_json
+    {% if is_incremental() %}
+    where TO_TIMESTAMP_NTZ(value:block_timestamp)::date >= (select max(block_timestamp) from {{ this }})
+    {% endif %}
+)
+, dates as (
+    SELECT
+        MAX(extraction_date) as max_extraction,
+        date
+    FROM all_dates
+    GROUP BY 2
+)
+, flattened_json as (
+    SELECT
+        TO_TIMESTAMP_NTZ(value:block_timestamp)::timestamp as block_timestamp,
+        value:tx_hash::string as tx_hash,
+        value:E::number as E,
+        value:G::number as G,
+        value:I::number as I,
+        value:perpetual_id::number as perpetual_id,
+        extraction_date
+    FROM {{ source("PROD_LANDING", "raw_dydx_v4_price") }} raw,
+        LATERAL FLATTEN (input => PARSE_JSON(source_json)) AS flat_json
+    {% if is_incremental() %}
+    where TO_TIMESTAMP_NTZ(value:block_timestamp)::date >= (select max(block_timestamp) from {{ this }})
+    {% endif %}
+)
+select
+    f.block_timestamp,
+    f.tx_hash,
+    f.perpetual_id,
+    left(ticker, length(ticker)-4) as symbol,
+    abs((f.E + f.G) / f.I) * POW(10, (-6 - m.atomic_resolution)) as price, -- based on equation found here https://docs.dydx.exchange/api_integration-guides/how_to_interpret_block_data_for_trades
+    f.E,
+    f.G,
+    f.I,
+    m.clob_pair_id,
+    m.atomic_resolution
+from flattened_json f
+join dates d on d.max_extraction = f.extraction_date AND d.date = date(f.block_timestamp)
+left join {{ ref("dim_dydx_perps_markets") }} m on f.perpetual_id = m.clob_pair_id
+where m.ticker like '%USD%' -- in case they add non-USD pairs

models/staging/jupiter/fact_jupiter_perps_txs.sql

@@ -53,17 +53,13 @@ with hex_cte as (
         {{ hex_to_base58("SUBSTRING(hex_data,456+1,64)") }} as owner, -- owner/trader address
         {{ hex_to_base58("SUBSTRING(hex_data,243,64)") }} as mint,
         -- Price calculation with dynamic offset
-        {{ big_endian_hex_to_decimal("SUBSTRING(hex_data,619+1,16)") }}/1e6 as price,
-            SUBSTRING(
+        {{ big_endian_hex_to_decimal(
+            "SUBSTRING(
                 hex_data,
-                619 -- Base offset to price
-                + (CASE WHEN SUBSTRING(hex_data, 618, 1) = '1'
-                        THEN 16
-                        ELSE 0
-                    END) -- Add offset if transferToken present
-                , 16
-            )
-        )/1e6 as price,        
+                619 + (CASE WHEN SUBSTRING(hex_data, 618, 1) = '1' THEN 16 ELSE 0 END),
+                16
+            )"
+        ) }}/1e6 as price,        
         hex_data
     FROM hex_cte
     WHERE substring(hex_data,1+16,16) = '409c2b4a6d83107f' -- DecreasePosition