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Merge pull request #426 from drift-labs/master

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indicative quotes v2 (#420)
This commit is contained in:
moosecat
2025-06-16 09:48:49 -07:00
committed by GitHub
parent 34a0503a2a b4ed7cc31c
commit 2303326654
2 changed files with 121 additions and 109 deletions
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165
src/dlob-subscriber/DLOBSubscriberIO.ts
View File

@@ -145,98 +145,101 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
const mms = await this.indicativeQuotesRedisClient.smembers( const mms = await this.indicativeQuotesRedisClient.smembers(
`market_mms_${marketType}_${marketArgs.marketIndex}` `market_mms_${marketType}_${marketArgs.marketIndex}`
); );
const mmQuotes = await Promise.all( let mmQuotes: any = await Promise.all(
mms.map((mm) => { mms.map((mm) => {
return this.indicativeQuotesRedisClient.get( return this.indicativeQuotesRedisClient.get(
`mm_quotes_${marketType}_${marketArgs.marketIndex}_${mm}` `mm_quotes_v2_${marketType}_${marketArgs.marketIndex}_${mm}`
); );
}) })
); );
mmQuotes = mmQuotes.filter((x) => !!x);
const nowMinus1000Ms = Date.now() - 1000; const nowMinus1000Ms = Date.now() - 1000;
for (const quote of mmQuotes) { for (const quotes of mmQuotes) {
try { try {
if (Number(quote['ts']) > nowMinus1000Ms) { if (Number(quotes['ts']) > nowMinus1000Ms) {
const indicativeBaseOrder: Order = { for (const quote of quotes['quotes']) {
status: OrderStatus.OPEN, const indicativeBaseOrder: Order = {
orderType: OrderType.LIMIT, status: OrderStatus.OPEN,
orderId: 0, orderType: OrderType.LIMIT,
slot: new BN(this.slotSource.getSlot()), orderId: 0,
marketIndex: marketArgs.marketIndex, slot: new BN(this.slotSource.getSlot()),
marketType: marketArgs.marketType, marketIndex: marketArgs.marketIndex,
baseAssetAmount: ZERO, marketType: marketArgs.marketType,
immediateOrCancel: false, baseAssetAmount: ZERO,
direction: PositionDirection.LONG, immediateOrCancel: false,
oraclePriceOffset: 0, direction: PositionDirection.LONG,
maxTs: new BN(quote['ts'] + 1000), oraclePriceOffset: 0,
reduceOnly: false, maxTs: new BN(quote['ts'] + 1000),
triggerCondition: OrderTriggerCondition.ABOVE, reduceOnly: false,
price: ZERO, triggerCondition: OrderTriggerCondition.ABOVE,
userOrderId: 0, price: ZERO,
postOnly: true, userOrderId: 0,
auctionDuration: 0, postOnly: true,
auctionStartPrice: ZERO, auctionDuration: 0,
auctionEndPrice: ZERO, auctionStartPrice: ZERO,
// Rest are not necessary and set for type conforming auctionEndPrice: ZERO,
existingPositionDirection: PositionDirection.LONG, // Rest are not necessary and set for type conforming
triggerPrice: ZERO, existingPositionDirection: PositionDirection.LONG,
baseAssetAmountFilled: ZERO, triggerPrice: ZERO,
quoteAssetAmountFilled: ZERO, baseAssetAmountFilled: ZERO,
quoteAssetAmount: ZERO, quoteAssetAmountFilled: ZERO,
bitFlags: 0, quoteAssetAmount: ZERO,
postedSlotTail: 0, bitFlags: 0,
}; postedSlotTail: 0,
};
if (quote['bid_size'] && quote['bid_price'] != null) { if (quote['bid_size'] && quote['bid_price'] != null) {
// Sanity check bid price and size // Sanity check bid price and size
const indicativeBid: Order = Object.assign( const indicativeBid: Order = Object.assign(
{}, {},
indicativeBaseOrder, indicativeBaseOrder,
{ {
orderId: indicativeOrderId, orderId: indicativeOrderId,
oraclePriceOffset: quote['is_oracle_offset'] oraclePriceOffset: quote['is_oracle_offset']
? quote['bid_price'] ? quote['bid_price']
: 0, : 0,
price: quote['is_oracle_offset'] price: quote['is_oracle_offset']
? 0 ? 0
: new BN(quote['bid_price']), : new BN(quote['bid_price']),
baseAssetAmount: new BN(quote['bid_size']), baseAssetAmount: new BN(quote['bid_size']),
direction: PositionDirection.LONG, direction: PositionDirection.LONG,
} }
); );
this.dlob.insertOrder( this.dlob.insertOrder(
indicativeBid, indicativeBid,
INDICATIVE_QUOTES_PUBKEY, INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(), this.slotSource.getSlot(),
false false
); );
indicativeOrderId += 1; indicativeOrderId += 1;
} }
if (quote['ask_size'] && quote['ask_price'] != null) { if (quote['ask_size'] && quote['ask_price'] != null) {
const indicativeAsk: Order = Object.assign( const indicativeAsk: Order = Object.assign(
{}, {},
indicativeBaseOrder, indicativeBaseOrder,
{ {
orderId: indicativeOrderId, orderId: indicativeOrderId,
oraclePriceOffset: quote['is_oracle_offset'] oraclePriceOffset: quote['is_oracle_offset']
? quote['ask_price'] ? quote['ask_price']
: 0, : 0,
price: quote['is_oracle_offset'] price: quote['is_oracle_offset']
? 0 ? 0
: new BN(quote['ask_price']), : new BN(quote['ask_price']),
baseAssetAmount: new BN(quote['ask_size']), baseAssetAmount: new BN(quote['ask_size']),
direction: PositionDirection.SHORT, direction: PositionDirection.SHORT,
} }
); );
this.dlob.insertOrder( this.dlob.insertOrder(
indicativeAsk, indicativeAsk,
INDICATIVE_QUOTES_PUBKEY, INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(), this.slotSource.getSlot(),
false false
); );
indicativeOrderId += 1; indicativeOrderId += 1;
}
} }
} }
} catch (error) { } catch (error) {

65
src/index.ts
View File

@@ -786,14 +786,20 @@ const main = async (): Promise<void> => {
try { try {
// Check origin validation // Check origin validation
const origin = req.get('Origin') || req.get('Referer'); const origin = req.get('Origin') || req.get('Referer');
const allowedOrigins = ['https://app.drift.trade', 'https://beta.drift.trade']; const allowedOrigins = [
'https://app.drift.trade',
const hasAuth = ( 'https://beta.drift.trade',
(req.headers.Authorization || req.headers.authorization) === ];
process.env.INTERNAL_SECRET
)
if (!hasAuth && (!origin || !allowedOrigins.some(allowed => origin.startsWith(allowed)))) { const hasAuth =
(req.headers.Authorization || req.headers.authorization) ===
process.env.INTERNAL_SECRET;
if (
!hasAuth &&
(!origin ||
!allowedOrigins.some((allowed) => origin.startsWith(allowed)))
) {
res.status(403).json({ error: 'Forbidden: Invalid origin' }); res.status(403).json({ error: 'Forbidden: Invalid origin' });
return; return;
} }
@@ -815,23 +821,20 @@ const main = async (): Promise<void> => {
channel: 'real_time', channel: 'real_time',
jsonBinaryEncoding: 'hex', jsonBinaryEncoding: 'hex',
}; };
const latestPriceRes = await fetch( const latestPriceRes = await fetch(pythLazerEndpoint, {
pythLazerEndpoint, method: 'POST',
{ headers: {
method: 'POST', Authorization: `Bearer ${pythLazerDriftToken}`,
headers: { },
Authorization: `Bearer ${pythLazerDriftToken}`, body: JSON.stringify(latestLazerPricePayload),
}, }).then((res) => res.json());
body: JSON.stringify(latestLazerPricePayload),
}
).then((res) => res.json());
const data = latestPriceRes.solana.data; const data = latestPriceRes.solana.data;
if (data) { if (data) {
res.status(200).json({ res.status(200).json({
data data,
}); });
return; return;
@@ -848,14 +851,20 @@ const main = async (): Promise<void> => {
try { try {
// Check origin validation // Check origin validation
const origin = req.get('Origin') || req.get('Referer'); const origin = req.get('Origin') || req.get('Referer');
const allowedOrigins = ['https://app.drift.trade', 'https://beta.drift.trade']; const allowedOrigins = [
'https://app.drift.trade',
const hasAuth = ( 'https://beta.drift.trade',
];
const hasAuth =
(req.headers.Authorization || req.headers.authorization) === (req.headers.Authorization || req.headers.authorization) ===
process.env.INTERNAL_SECRET process.env.INTERNAL_SECRET;
)
if (
if (!hasAuth && (!origin || !allowedOrigins.some(allowed => origin.startsWith(allowed)))) { !hasAuth &&
(!origin ||
!allowedOrigins.some((allowed) => origin.startsWith(allowed)))
) {
res.status(403).json({ error: 'Forbidden: Invalid origin' }); res.status(403).json({ error: 'Forbidden: Invalid origin' });
return; return;
} }
@@ -881,7 +890,7 @@ const main = async (): Promise<void> => {
if (data) { if (data) {
res.status(200).json({ res.status(200).json({
data data,
}); });
return; return;