diff --git a/src/dlob-subscriber/DLOBSubscriberIO.ts b/src/dlob-subscriber/DLOBSubscriberIO.ts index 0f7f52e..d692901 100644 --- a/src/dlob-subscriber/DLOBSubscriberIO.ts +++ b/src/dlob-subscriber/DLOBSubscriberIO.ts @@ -1,14 +1,17 @@ import { BN, + BigNum, DLOBSubscriber, DLOBSubscriptionConfig, DriftEnv, L2OrderBookGenerator, MarketType, + ONE, Order, OrderStatus, OrderTriggerCondition, OrderType, + PRICE_PRECISION, PerpOperation, PositionDirection, ZERO, @@ -23,11 +26,12 @@ import { addOracletoResponse, l2WithBNToStrings, parsePositiveIntArray, + publishGroupings, } from '../utils/utils'; import { setHealthStatus, HEALTH_STATUS } from '../core/metrics'; import { OffloadQueue } from '../utils/offload'; -type wsMarketArgs = { +export type wsMarketArgs = { marketIndex: number; marketType: MarketType; marketName: string; @@ -36,6 +40,7 @@ type wsMarketArgs = { numVammOrders?: number; fallbackL2Generators?: L2OrderBookGenerator[]; updateOnChange?: boolean; + tickSize?: BN; }; require('dotenv').config(); @@ -123,6 +128,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber { includeVamm, updateOnChange: false, fallbackL2Generators: [], + tickSize: perpMarket?.amm?.orderTickSize ?? ONE, }); } for (const market of config.spotMarketInfos) { @@ -137,6 +143,8 @@ export class DLOBSubscriberIO extends DLOBSubscriber { config.spotMarketSubscribers[market.marketIndex].phoenix, config.spotMarketSubscribers[market.marketIndex].openbook, ].filter((a) => !!a), + tickSize: + config.spotMarketSubscribers[market.marketIndex].tickSize ?? ONE, }); } } @@ -423,6 +431,15 @@ export class DLOBSubscriberIO extends DLOBSubscriber { l2Formatted_depth100 ); + publishGroupings( + l2Formatted, + marketArgs, + this.redisClient, + clientPrefix, + marketType, + this.indicativeQuotesRedisClient + ); + if (!this.indicativeQuotesRedisClient) { const bids = this.dlob .getBestMakers({ diff --git a/src/publishers/dlobPublisher.ts b/src/publishers/dlobPublisher.ts index 1d92ff2..1b5f545 100644 --- a/src/publishers/dlobPublisher.ts +++ b/src/publishers/dlobPublisher.ts @@ -20,6 +20,7 @@ import { PhoenixSubscriber, MarketType, OraclePriceData, + ONE, } from '@drift-labs/sdk'; import { RedisClient, RedisClientPrefix } from '@drift/common/clients'; @@ -301,6 +302,8 @@ const initializeAllMarketSubscribers = async (driftClient: DriftClient) => { } } } + + markets[market.marketIndex].tickSize = market?.orderTickSize ?? ONE } return markets; diff --git a/src/templates/full.html b/src/templates/full.html new file mode 100644 index 0000000..ae8c50c --- /dev/null +++ b/src/templates/full.html @@ -0,0 +1,787 @@ + + + + + + Drift Orderbook (full) + + + + + +
Disconnected
+ +
+
+
Bids
+
+ Price + Size + Total +
+
+
+
+
Asks
+
+ Price + Size + Total +
+
+
+
+ +
+
+ Connection Log + Show Log +
+
+
+ + + + diff --git a/src/utils/utils.ts b/src/utils/utils.ts index 329a95c..1257e95 100644 --- a/src/utils/utils.ts +++ b/src/utils/utils.ts @@ -1,4 +1,6 @@ import { + BN, + BigNum, DriftClient, DriftEnv, L2OrderBook, @@ -19,6 +21,16 @@ import { logger } from './logger'; import { NextFunction, Request, Response } from 'express'; import FEATURE_FLAGS from './featureFlags'; import { Connection } from '@solana/web3.js'; +import { wsMarketArgs } from 'src/dlob-subscriber/DLOBSubscriberIO'; + +export const GROUPING_OPTIONS = [1, 10, 100, 500, 1000]; +export const GROUPING_DEPENDENCIES = { + 1: null, + 10: 1, + 100: 10, + 500: 100, + 1000: 100, +}; export const l2WithBNToStrings = (l2: L2OrderBook): any => { for (const key of Object.keys(l2)) { @@ -171,6 +183,119 @@ export const addMarketSlotToResponse = ( response['marketSlot'] = marketSlot; }; +export function aggregatePrices(entries, side, pricePrecision) { + const isAsk = side === 'ask'; + const result = new Map(); + + entries.forEach((entry) => { + const price = parseFloat(entry.price); + const data = { + size: parseFloat(entry.size), + sources: entry.sources || {}, + }; + + let bucketPrice, displayPrice; + if (isAsk) { + displayPrice = Math.ceil(price / pricePrecision) * pricePrecision; + bucketPrice = displayPrice; + } else { + displayPrice = Math.floor(price / pricePrecision) * pricePrecision; + bucketPrice = displayPrice; + } + + const bucketKey = Math.round(bucketPrice); + + if (!result.has(bucketKey)) { + result.set(bucketKey, { + size: 0, + price: displayPrice, + sources: {}, + }); + } + + const bucketData = result.get(bucketKey); + bucketData.size += data.size; + + if (data.sources) { + Object.entries(data.sources).forEach( + ([sourceKey, sourceSize]: [string, string]) => { + if (!bucketData.sources[sourceKey]) { + bucketData.sources[sourceKey] = 0; + } + bucketData.sources[sourceKey] += parseFloat(sourceSize); + } + ); + } + }); + + return Array.from(result.values()); +} + +export function publishGroupings( + l2Formatted, + marketArgs: wsMarketArgs, + redisClient: RedisClient, + clientPrefix: string, + marketType: string, + indicativeQuotesRedisClient: RedisClient +) { + const groupingResults = new Map(); + + GROUPING_OPTIONS.forEach((group) => { + const pricePrecision = BigNum.from(group).mul(marketArgs.tickSize).toNum(); + const dependency = GROUPING_DEPENDENCIES[group]; + + let fullAggregatedBids, fullAggregatedAsks; + + if (dependency && groupingResults.has(dependency)) { + const previousResults = groupingResults.get(dependency); + + fullAggregatedBids = aggregatePrices( + previousResults.bids, + 'bid', + pricePrecision + ).sort((a, b) => b[0] - a[0]); + + fullAggregatedAsks = aggregatePrices( + previousResults.asks, + 'ask', + pricePrecision + ).sort((a, b) => a[0] - b[0]); + } else { + fullAggregatedBids = aggregatePrices( + l2Formatted.bids, + 'bid', + pricePrecision + ).sort((a, b) => b[0] - a[0]); + + fullAggregatedAsks = aggregatePrices( + l2Formatted.asks, + 'ask', + pricePrecision + ).sort((a, b) => a[0] - b[0]); + } + + groupingResults.set(group, { + bids: fullAggregatedBids, + asks: fullAggregatedAsks, + }); + + const aggregatedBids = fullAggregatedBids.slice(0, 20); + const aggregatedAsks = fullAggregatedAsks.slice(0, 20); + const l2Formatted_grouped20 = Object.assign({}, l2Formatted, { + bids: aggregatedBids, + asks: aggregatedAsks, + }); + + redisClient.publish( + `${clientPrefix}orderbook_${marketType}_${ + marketArgs.marketIndex + }_grouped_${group}${indicativeQuotesRedisClient ? '_indicative' : ''}`, + l2Formatted_grouped20 + ); + }); +} + /** * Takes in a req.query like: `{ * marketName: 'SOL-PERP,BTC-PERP,ETH-PERP', @@ -484,6 +609,7 @@ export type SubscriberLookup = { phoenix?: PhoenixSubscriber; serum?: SerumSubscriber; openbook?: OpenbookV2Subscriber; + tickSize?: BN; }; }; diff --git a/src/wsConnectionManager.ts b/src/wsConnectionManager.ts index 39bf659..f37b7a9 100644 --- a/src/wsConnectionManager.ts +++ b/src/wsConnectionManager.ts @@ -3,7 +3,7 @@ import express from 'express'; import * as http from 'http'; import compression from 'compression'; import { WebSocket, WebSocketServer } from 'ws'; -import { sleep, selectMostRecentBySlot } from './utils/utils'; +import { sleep, selectMostRecentBySlot, GROUPING_OPTIONS } from './utils/utils'; import { register, Gauge, Counter } from 'prom-client'; import { DriftEnv, PerpMarkets, SpotMarkets } from '@drift-labs/sdk'; import { RedisClient, RedisClientPrefix } from '@drift/common/clients'; @@ -95,8 +95,12 @@ const getRedisChannelFromMessage = (message: any): string => { return `trades_${marketType}_${marketIndex}`; case 'orderbook': return `orderbook_${marketType}_${marketIndex}`; - case 'orderbook_indicative': + case 'orderbook_indicative': { + if (message.grouping && GROUPING_OPTIONS.includes(parseInt(message.grouping))) { + return `orderbook_${marketType}_${marketIndex}_grouped_${message.grouping}_indicative`; + } return `orderbook_${marketType}_${marketIndex}_indicative`; + } case 'priorityfees': return `priorityFees_${marketType}_${marketIndex}`; case undefined: