Merge pull request #172 from drift-labs/master

slot staleness for vamm orders remove from cache

src/dlob-subscriber/DLOBSubscriberIO.ts

@@ -1,21 +1,20 @@
 import {
-	BN,
 	DLOBSubscriber,
 	DLOBSubscriptionConfig,
 	DriftEnv,
 	L2OrderBookGenerator,
 	MarketType,
 	PositionDirection,
-	groupL2,
 	isVariant,
 } from '@drift-labs/sdk';
 import { RedisClient } from '@drift/common';
-
+import { logger } from '../utils/logger';
 import {
 	SubscriberLookup,
 	addMarketSlotToResponse,
 	addOracletoResponse,
 	l2WithBNToStrings,
+	parsePositiveIntArray,
 } from '../utils/utils';
 import { setHealthStatus, HEALTH_STATUS } from '../core/metrics';
 
@@ -26,23 +25,24 @@ type wsMarketArgs = {
 	depth: number;
 	includeVamm: boolean;
 	numVammOrders?: number;
-	grouping?: number;
 	fallbackL2Generators?: L2OrderBookGenerator[];
 	updateOnChange?: boolean;
 };
 
+require('dotenv').config();
+
 const PERP_MAKRET_STALENESS_THRESHOLD = 30 * 60 * 1000;
 const SPOT_MAKRET_STALENESS_THRESHOLD = 60 * 60 * 1000;
+const STALE_ORACLE_REMOVE_VAMM_THRESHOLD = 100;
 
-const PERP_MARKETS_TO_SKIP_SLOT_CHECK = {
+const PERP_MARKETS_TO_SKIP_SLOT_CHECK =
-	'mainnet-beta': [17, 25],
+	process.env.PERP_MARKETS_TO_SKIP_SLOT_CHECK !== undefined
-	devnet: [17, 21, 23],
+		? parsePositiveIntArray(process.env.PERP_MARKETS_TO_SKIP_SLOT_CHECK)
-};
+		: [];
-
+const SPOT_MARKETS_TO_SKIP_SLOT_CHECK =
-const SPOT_MARKETS_TO_SKIP_SLOT_CHECK = {
+	process.env.SPOT_MARKETS_TO_SKIP_SLOT_CHECK !== undefined
-	'mainnet-beta': [6, 8, 10, 15],
+		? parsePositiveIntArray(process.env.SPOT_MARKETS_TO_SKIP_SLOT_CHECK)
-	devnet: [],
+		: [];
-};
 
 export type wsMarketInfo = {
 	marketIndex: number;
@@ -59,9 +59,6 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 		Map<number, { slot: number; ts: number }>
 	>;
 
-	public skipSlotStalenessCheckMarketsPerp: number[];
-	public skipSlotStalenessCheckMarketsSpot: number[];
-
 	constructor(
 		config: DLOBSubscriptionConfig & {
 			env: DriftEnv;
@@ -85,11 +82,6 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 		this.lastMarketSlotMap.set(MarketType.SPOT, new Map());
 		this.lastMarketSlotMap.set(MarketType.PERP, new Map());
 
-		this.skipSlotStalenessCheckMarketsPerp =
-			PERP_MARKETS_TO_SKIP_SLOT_CHECK[config.env];
-		this.skipSlotStalenessCheckMarketsSpot =
-			SPOT_MARKETS_TO_SKIP_SLOT_CHECK[config.env];
-
 		for (const market of config.perpMarketInfos) {
 			const perpMarket = this.driftClient.getPerpMarketAccount(
 				market.marketIndex
@@ -138,9 +130,25 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 
 	getL2AndSendMsg(marketArgs: wsMarketArgs): void {
 		const clientPrefix = this.redisClient.forceGetClient().options.keyPrefix;
-		const grouping = marketArgs.grouping;
 		const { marketName, ...l2FuncArgs } = marketArgs;
-		const l2 = this.getL2(l2FuncArgs);
+		const marketType = isVariant(marketArgs.marketType, 'perp')
+			? 'perp'
+			: 'spot';
+
+		// Test for oracle staleness to know whether to include vamm
+		const dlobSlot = this.slotSource.getSlot();
+		const oracleSlot =
+			marketType === 'perp'
+				? this.driftClient.getOracleDataForPerpMarket(marketArgs.marketIndex)
+						.slot
+				: this.driftClient.getOracleDataForSpotMarket(marketArgs.marketIndex)
+						.slot;
+		let includeVamm = marketArgs.includeVamm;
+		if (dlobSlot - oracleSlot > STALE_ORACLE_REMOVE_VAMM_THRESHOLD) {
+			logger.info('Oracle is stale, removing vamm orders');
+			includeVamm = false;
+		}
+		const l2 = this.getL2({ ...l2FuncArgs, includeVamm });
 		const slot = l2.slot;
 		const lastMarketSlotAndTime = this.lastMarketSlotMap
 			.get(marketArgs.marketType)
@@ -154,18 +162,8 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 		if (slot) {
 			delete l2.slot;
 		}
-		const marketType = isVariant(marketArgs.marketType, 'perp')
+
-			? 'perp'
+		const l2Formatted = l2WithBNToStrings(l2);
-			: 'spot';
-		let l2Formatted: any;
-		if (grouping) {
-			const groupingBN = new BN(grouping);
-			l2Formatted = l2WithBNToStrings(
-				groupL2(l2, groupingBN, marketArgs.depth)
-			);
-		} else {
-			l2Formatted = l2WithBNToStrings(l2);
-		}
 
 		if (marketArgs.updateOnChange) {
 			if (
@@ -200,13 +198,9 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 		// Check if slot diffs are too large for oracle
 		const skipSlotCheck =
 			(marketType === 'perp' &&
-				this.skipSlotStalenessCheckMarketsPerp.includes(
+				PERP_MARKETS_TO_SKIP_SLOT_CHECK.includes(marketArgs.marketIndex)) ||
-					marketArgs.marketIndex
-				)) ||
 			(marketType === 'spot' &&
-				this.skipSlotStalenessCheckMarketsSpot.includes(
+				SPOT_MARKETS_TO_SKIP_SLOT_CHECK.includes(marketArgs.marketIndex));
-					marketArgs.marketIndex
-				));
 		if (
 			Math.abs(slot - parseInt(l2Formatted['oracleData']['slot'])) >
 				this.killSwitchSlotDiffThreshold &&

src/wsConnectionManager.ts

@@ -141,7 +141,9 @@ async function main() {
 					try {
 						redisChannel = getRedisChannelFromMessage(parsedMessage);
 					} catch (error) {
-						const requestChannel = sanitiseChannelForClient(parsedMessage?.channel);
+						const requestChannel = sanitiseChannelForClient(
+							parsedMessage?.channel
+						);
 						if (requestChannel) {
 							ws.send(
 								JSON.stringify({
@@ -214,7 +216,9 @@ async function main() {
 					try {
 						redisChannel = getRedisChannelFromMessage(parsedMessage);
 					} catch (error) {
-						const requestChannel = sanitiseChannelForClient(parsedMessage?.channel);
+						const requestChannel = sanitiseChannelForClient(
+							parsedMessage?.channel
+						);
 						if (requestChannel) {
 							console.log('Error unsubscribing from channel:', error.message);
 							ws.send(

yarn.lock

@@ -414,7 +414,7 @@
     kuler "^2.0.0"
 
 "@drift-labs/sdk@file:./drift-common/protocol/sdk", "@drift-labs/sdk@file:drift-common/protocol/sdk":
-  version "2.82.0-beta.16"
+  version "2.84.0-beta.1"
   dependencies:
     "@coral-xyz/anchor" "0.28.1-beta.2"
     "@ellipsis-labs/phoenix-sdk" "^1.4.2"
@@ -429,7 +429,7 @@
 "@drift/common@file:./drift-common/common-ts":
   version "1.0.0"
   dependencies:
-    "@drift-labs/sdk" "file:../Library/Caches/Yarn/v6/npm-@drift-common-1.0.0-886bdde9-d98f-4a7b-8526-a3c8414e8bbc-1715733801694/node_modules/@drift/protocol/sdk"
+    "@drift-labs/sdk" "file:../../Library/Caches/Yarn/v6/npm-@drift-common-1.0.0-e79f07a6-e675-4831-af0e-f2c460b62255-1718639556768/node_modules/@drift/protocol/sdk"
     "@jest/globals" "^29.3.1"
     "@slack/web-api" "^6.4.0"
     "@solana/spl-token" "^0.3.8"
@@ -443,6 +443,7 @@
     rxjs "^7.8.1"
     tiny-invariant "^1.3.1"
     tweetnacl "^1.0.3"
+    typescript "^5.4.5"
 
 "@ellipsis-labs/phoenix-sdk@^1.4.2":
   version "1.4.2"
@@ -5759,6 +5760,11 @@ typescript@4.5.4:
   resolved "https://registry.yarnpkg.com/typescript/-/typescript-4.5.4.tgz#a17d3a0263bf5c8723b9c52f43c5084edf13c2e8"
   integrity sha512-VgYs2A2QIRuGphtzFV7aQJduJ2gyfTljngLzjpfW9FoYZF6xuw1W0vW9ghCKLfcWrCFxK81CSGRAvS1pn4fIUg==
 
+typescript@^5.4.5:
+  version "5.4.5"
+  resolved "https://registry.yarnpkg.com/typescript/-/typescript-5.4.5.tgz#42ccef2c571fdbd0f6718b1d1f5e6e5ef006f611"
+  integrity sha512-vcI4UpRgg81oIRUFwR0WSIHKt11nJ7SAVlYNIu+QpqeyXP+gpQJy/Z4+F0aGxSE4MqwjyXvW/TzgkLAx2AGHwQ==
+
 uid2@0.0.3:
   version "0.0.3"
   resolved "https://registry.yarnpkg.com/uid2/-/uid2-0.0.3.tgz#483126e11774df2f71b8b639dcd799c376162b82"