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filter indicative + random prettify (#443)

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* filter indicative + random prettify

* bug fix

* update to filter orders that arent as good as resting orders
This commit is contained in:
moosecat
2025-07-10 10:27:12 -07:00
committed by GitHub
parent e7aedb839c
commit 4157cd8e5b
3 changed files with 52 additions and 17 deletions
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60
src/dlob-subscriber/DLOBSubscriberIO.ts
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@@ -1,6 +1,5 @@
import {
BN,
BigNum,
DLOBSubscriber,
DLOBSubscriptionConfig,
DriftEnv,
@@ -11,10 +10,10 @@ import {
OrderStatus,
OrderTriggerCondition,
OrderType,
PRICE_PRECISION,
PerpOperation,
PositionDirection,
ZERO,
getLimitPrice,
isOperationPaused,
isVariant,
} from '@drift-labs/sdk';
@@ -151,10 +150,31 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
override async updateDLOB(): Promise<void> {
await super.updateDLOB();
const dlob = this.getDLOB();
let indicativeOrderId = 0;
for (const marketArgs of this.marketArgs) {
try {
if (this.indicativeQuotesRedisClient) {
const oraclePriceData = isVariant(marketArgs.marketType, 'perp')
? this.driftClient.getOracleDataForPerpMarket(
marketArgs.marketIndex
)
: this.driftClient.getOracleDataForSpotMarket(
marketArgs.marketIndex
);
const bestBid = dlob.getBestBid(
marketArgs.marketIndex,
this.slotSource.getSlot(),
marketArgs.marketType,
oraclePriceData
);
const bestAsk = dlob.getBestAsk(
marketArgs.marketIndex,
this.slotSource.getSlot(),
marketArgs.marketType,
oraclePriceData
);
const marketType = isVariant(marketArgs.marketType, 'perp')
? 'perp'
: 'spot';
@@ -208,7 +228,6 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
if (quote['bid_size'] && quote['bid_price'] != null) {
// Sanity check bid price and size
const indicativeBid: Order = Object.assign(
{},
indicativeBaseOrder,
@@ -224,15 +243,21 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
direction: PositionDirection.LONG,
}
);
this.dlob.insertOrder(
const limitPrice = getLimitPrice(
indicativeBid,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
oraclePriceData,
this.slotSource.getSlot()
);
indicativeOrderId += 1;
if (limitPrice.lte(bestBid)) {
this.dlob.insertOrder(
indicativeBid,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
);
indicativeOrderId += 1;
}
}
if (quote['ask_size'] && quote['ask_price'] != null) {
const indicativeAsk: Order = Object.assign(
{},
@@ -249,13 +274,20 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
direction: PositionDirection.SHORT,
}
);
this.dlob.insertOrder(
const limitPrice = getLimitPrice(
indicativeAsk,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
oraclePriceData,
this.slotSource.getSlot()
);
indicativeOrderId += 1;
if (limitPrice.gte(bestAsk)) {
this.dlob.insertOrder(
indicativeAsk,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
);
indicativeOrderId += 1;
}
}
}
}