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Merge pull request #563 from drift-labs/jack/group-at-least-20

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Jack/group at least 20
This commit is contained in:
jack
2025-11-28 09:14:20 +11:00
committed by GitHub
parent 876f7a3602 232dd28b98
commit 2518547341
1 changed files with 38 additions and 18 deletions
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56
src/utils/utils.ts
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@@ -310,26 +310,42 @@ export function publishGroupings(
asks: fullAggregatedAsks, asks: fullAggregatedAsks,
}); });
const aggregatedBids = fullAggregatedBids.slice(0, 20); // Count crossed levels at the beginning
const aggregatedAsks = fullAggregatedAsks.slice(0, 20); let crossedBids = 0;
const bestAsk = fullAggregatedAsks[0]?.price;
if (bestAsk !== undefined) {
for (const bid of fullAggregatedBids) {
if (bid.price >= bestAsk) {
crossedBids++;
} else {
break;
}
}
}
let crossedAsks = 0;
const bestBid = fullAggregatedBids[0]?.price;
if (bestBid !== undefined) {
for (const ask of fullAggregatedAsks) {
if (ask.price <= bestBid) {
crossedAsks++;
} else {
break;
}
}
}
const maxCrossed = Math.max(crossedBids, crossedAsks);
const levelsToTake = 20 + maxCrossed;
const aggregatedBids = fullAggregatedBids.slice(0, levelsToTake);
const aggregatedAsks = fullAggregatedAsks.slice(0, levelsToTake);
const l2Formatted_grouped20 = Object.assign({}, l2Formatted, { const l2Formatted_grouped20 = Object.assign({}, l2Formatted, {
bids: aggregatedBids, bids: aggregatedBids,
asks: aggregatedAsks, asks: aggregatedAsks,
}); });
if (
(['SOL-PERP', 'BTC-PERP', 'ETH-PERP'].includes(
l2Formatted_grouped20.marketName
) &&
aggregatedBids.length !== 20) ||
aggregatedAsks.length !== 20
) {
logger.error(
`Error aggregating dlob levels: group=${group}, bids=${fullAggregatedBids.length}, asks=${fullAggregatedAsks.length}`
);
logger.error(`Response: ${JSON.stringify(l2Formatted_grouped20)}`);
}
redisClient.publish( redisClient.publish(
`${clientPrefix}orderbook_${marketType}_${ `${clientPrefix}orderbook_${marketType}_${
marketArgs.marketIndex marketArgs.marketIndex
@@ -706,7 +722,8 @@ export function createMarketBasedAuctionParams(
// Set market-specific defaults (only used if values are undefined) // Set market-specific defaults (only used if values are undefined)
const marketSpecificDefaults: Partial<AuctionParamArgs> = { const marketSpecificDefaults: Partial<AuctionParamArgs> = {
...DEFAULT_AUCTION_PARAMS, ...DEFAULT_AUCTION_PARAMS,
auctionStartPriceOffsetFrom: isMajorMarket && version === 1 ? 'mark' : 'bestOffer', auctionStartPriceOffsetFrom:
isMajorMarket && version === 1 ? 'mark' : 'bestOffer',
auctionStartPriceOffset: isMajorMarket && version === 1 ? 0 : -0.1, auctionStartPriceOffset: isMajorMarket && version === 1 ? 0 : -0.1,
}; };
@@ -1477,8 +1494,11 @@ export const calculateDynamicSlippage = (
const minSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MIN || '0.035'); // 0.035% minimum const minSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MIN || '0.035'); // 0.035% minimum
const maxSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MAX || '5'); // 5% maximum const maxSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MAX || '5'); // 5% maximum
let finalSlippage = Math.min(Math.max(dynamicSlippage, minSlippage), maxSlippage); let finalSlippage = Math.min(
Math.max(dynamicSlippage, minSlippage),
maxSlippage
);
// Apply 10% boost for API v2 // Apply 10% boost for API v2
if (apiVersion === 2) { if (apiVersion === 2) {
finalSlippage = finalSlippage * 1.1; finalSlippage = finalSlippage * 1.1;