Merge pull request #426 from drift-labs/master
indicative quotes v2 (#420)
This commit is contained in:
moosecat
@@ -145,98 +145,101 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
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const mms = await this.indicativeQuotesRedisClient.smembers(
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`market_mms_${marketType}_${marketArgs.marketIndex}`
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);
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const mmQuotes = await Promise.all(
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let mmQuotes: any = await Promise.all(
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mms.map((mm) => {
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return this.indicativeQuotesRedisClient.get(
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`mm_quotes_${marketType}_${marketArgs.marketIndex}_${mm}`
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`mm_quotes_v2_${marketType}_${marketArgs.marketIndex}_${mm}`
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);
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})
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);
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mmQuotes = mmQuotes.filter((x) => !!x);
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const nowMinus1000Ms = Date.now() - 1000;
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for (const quote of mmQuotes) {
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for (const quotes of mmQuotes) {
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try {
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if (Number(quote['ts']) > nowMinus1000Ms) {
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const indicativeBaseOrder: Order = {
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status: OrderStatus.OPEN,
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orderType: OrderType.LIMIT,
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orderId: 0,
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slot: new BN(this.slotSource.getSlot()),
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marketIndex: marketArgs.marketIndex,
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marketType: marketArgs.marketType,
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baseAssetAmount: ZERO,
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immediateOrCancel: false,
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direction: PositionDirection.LONG,
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oraclePriceOffset: 0,
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maxTs: new BN(quote['ts'] + 1000),
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reduceOnly: false,
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triggerCondition: OrderTriggerCondition.ABOVE,
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price: ZERO,
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userOrderId: 0,
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postOnly: true,
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auctionDuration: 0,
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auctionStartPrice: ZERO,
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auctionEndPrice: ZERO,
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// Rest are not necessary and set for type conforming
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existingPositionDirection: PositionDirection.LONG,
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triggerPrice: ZERO,
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baseAssetAmountFilled: ZERO,
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quoteAssetAmountFilled: ZERO,
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quoteAssetAmount: ZERO,
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bitFlags: 0,
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postedSlotTail: 0,
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};
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if (Number(quotes['ts']) > nowMinus1000Ms) {
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for (const quote of quotes['quotes']) {
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const indicativeBaseOrder: Order = {
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status: OrderStatus.OPEN,
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orderType: OrderType.LIMIT,
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orderId: 0,
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slot: new BN(this.slotSource.getSlot()),
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marketIndex: marketArgs.marketIndex,
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marketType: marketArgs.marketType,
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baseAssetAmount: ZERO,
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immediateOrCancel: false,
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direction: PositionDirection.LONG,
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oraclePriceOffset: 0,
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maxTs: new BN(quote['ts'] + 1000),
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reduceOnly: false,
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triggerCondition: OrderTriggerCondition.ABOVE,
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price: ZERO,
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userOrderId: 0,
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postOnly: true,
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auctionDuration: 0,
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auctionStartPrice: ZERO,
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auctionEndPrice: ZERO,
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// Rest are not necessary and set for type conforming
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existingPositionDirection: PositionDirection.LONG,
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triggerPrice: ZERO,
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baseAssetAmountFilled: ZERO,
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quoteAssetAmountFilled: ZERO,
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quoteAssetAmount: ZERO,
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bitFlags: 0,
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postedSlotTail: 0,
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};
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if (quote['bid_size'] && quote['bid_price'] != null) {
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// Sanity check bid price and size
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if (quote['bid_size'] && quote['bid_price'] != null) {
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// Sanity check bid price and size
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const indicativeBid: Order = Object.assign(
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{},
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indicativeBaseOrder,
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{
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orderId: indicativeOrderId,
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oraclePriceOffset: quote['is_oracle_offset']
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? quote['bid_price']
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: 0,
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price: quote['is_oracle_offset']
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? 0
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: new BN(quote['bid_price']),
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baseAssetAmount: new BN(quote['bid_size']),
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direction: PositionDirection.LONG,
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}
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);
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this.dlob.insertOrder(
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indicativeBid,
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INDICATIVE_QUOTES_PUBKEY,
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this.slotSource.getSlot(),
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false
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);
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indicativeOrderId += 1;
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}
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const indicativeBid: Order = Object.assign(
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{},
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indicativeBaseOrder,
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{
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orderId: indicativeOrderId,
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oraclePriceOffset: quote['is_oracle_offset']
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? quote['bid_price']
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: 0,
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price: quote['is_oracle_offset']
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? 0
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: new BN(quote['bid_price']),
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baseAssetAmount: new BN(quote['bid_size']),
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direction: PositionDirection.LONG,
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}
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);
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this.dlob.insertOrder(
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indicativeBid,
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INDICATIVE_QUOTES_PUBKEY,
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this.slotSource.getSlot(),
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false
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);
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indicativeOrderId += 1;
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}
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if (quote['ask_size'] && quote['ask_price'] != null) {
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const indicativeAsk: Order = Object.assign(
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{},
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indicativeBaseOrder,
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{
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orderId: indicativeOrderId,
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oraclePriceOffset: quote['is_oracle_offset']
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? quote['ask_price']
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: 0,
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price: quote['is_oracle_offset']
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? 0
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: new BN(quote['ask_price']),
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baseAssetAmount: new BN(quote['ask_size']),
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direction: PositionDirection.SHORT,
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}
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);
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this.dlob.insertOrder(
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indicativeAsk,
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INDICATIVE_QUOTES_PUBKEY,
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this.slotSource.getSlot(),
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false
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);
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indicativeOrderId += 1;
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if (quote['ask_size'] && quote['ask_price'] != null) {
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const indicativeAsk: Order = Object.assign(
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{},
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indicativeBaseOrder,
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{
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orderId: indicativeOrderId,
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oraclePriceOffset: quote['is_oracle_offset']
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? quote['ask_price']
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: 0,
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price: quote['is_oracle_offset']
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? 0
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: new BN(quote['ask_price']),
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baseAssetAmount: new BN(quote['ask_size']),
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direction: PositionDirection.SHORT,
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}
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);
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this.dlob.insertOrder(
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indicativeAsk,
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INDICATIVE_QUOTES_PUBKEY,
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this.slotSource.getSlot(),
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false
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);
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indicativeOrderId += 1;
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}
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}
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}
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} catch (error) {
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65
src/index.ts
65
src/index.ts
@@ -786,14 +786,20 @@ const main = async (): Promise<void> => {
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try {
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// Check origin validation
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const origin = req.get('Origin') || req.get('Referer');
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const allowedOrigins = ['https://app.drift.trade', 'https://beta.drift.trade'];
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const hasAuth = (
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(req.headers.Authorization || req.headers.authorization) ===
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process.env.INTERNAL_SECRET
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)
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const allowedOrigins = [
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'https://app.drift.trade',
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'https://beta.drift.trade',
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];
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if (!hasAuth && (!origin || !allowedOrigins.some(allowed => origin.startsWith(allowed)))) {
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const hasAuth =
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(req.headers.Authorization || req.headers.authorization) ===
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process.env.INTERNAL_SECRET;
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if (
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!hasAuth &&
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(!origin ||
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!allowedOrigins.some((allowed) => origin.startsWith(allowed)))
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) {
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res.status(403).json({ error: 'Forbidden: Invalid origin' });
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return;
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}
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@@ -815,23 +821,20 @@ const main = async (): Promise<void> => {
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channel: 'real_time',
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jsonBinaryEncoding: 'hex',
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};
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const latestPriceRes = await fetch(
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pythLazerEndpoint,
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{
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method: 'POST',
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headers: {
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Authorization: `Bearer ${pythLazerDriftToken}`,
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},
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body: JSON.stringify(latestLazerPricePayload),
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}
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).then((res) => res.json());
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const latestPriceRes = await fetch(pythLazerEndpoint, {
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method: 'POST',
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headers: {
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Authorization: `Bearer ${pythLazerDriftToken}`,
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},
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body: JSON.stringify(latestLazerPricePayload),
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}).then((res) => res.json());
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const data = latestPriceRes.solana.data;
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if (data) {
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res.status(200).json({
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data
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data,
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});
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return;
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@@ -848,14 +851,20 @@ const main = async (): Promise<void> => {
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try {
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// Check origin validation
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const origin = req.get('Origin') || req.get('Referer');
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const allowedOrigins = ['https://app.drift.trade', 'https://beta.drift.trade'];
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const hasAuth = (
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const allowedOrigins = [
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'https://app.drift.trade',
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'https://beta.drift.trade',
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];
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const hasAuth =
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(req.headers.Authorization || req.headers.authorization) ===
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process.env.INTERNAL_SECRET
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)
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if (!hasAuth && (!origin || !allowedOrigins.some(allowed => origin.startsWith(allowed)))) {
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process.env.INTERNAL_SECRET;
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if (
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!hasAuth &&
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(!origin ||
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!allowedOrigins.some((allowed) => origin.startsWith(allowed)))
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) {
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res.status(403).json({ error: 'Forbidden: Invalid origin' });
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return;
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}
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@@ -881,7 +890,7 @@ const main = async (): Promise<void> => {
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if (data) {
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res.status(200).json({
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data
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data,
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});
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return;
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