filter indicative + random prettify (#443)

* filter indicative + random prettify

* bug fix

* update to filter orders that arent as good as resting orders

src/dlob-subscriber/DLOBSubscriberIO.ts

@@ -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,
+											oraclePriceData,
-											this.slotSource.getSlot(),
+											this.slotSource.getSlot()
-											false
 										);
-										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,
+											oraclePriceData,
-											this.slotSource.getSlot(),
+											this.slotSource.getSlot()
-											false
 										);
-										indicativeOrderId += 1;
+										if (limitPrice.gte(bestAsk)) {
+											this.dlob.insertOrder(
+												indicativeAsk,
+												INDICATIVE_QUOTES_PUBKEY,
+												this.slotSource.getSlot(),
+												false
+											);
+											indicativeOrderId += 1;
+										}
 									}
 								}
 							}

src/publishers/dlobPublisher.ts

@@ -303,7 +303,7 @@ const initializeAllMarketSubscribers = async (driftClient: DriftClient) => {
 			}
 		}
 
-		markets[market.marketIndex].tickSize = market?.orderTickSize ?? ONE
+		markets[market.marketIndex].tickSize = market?.orderTickSize ?? ONE;
 	}
 
 	return markets;
@@ -527,7 +527,7 @@ const main = async () => {
 		killSwitchSlotDiffThreshold: KILLSWITCH_SLOT_DIFF_THRESHOLD,
 		protectedMakerView: false,
 		indicativeQuotesRedisClient: indicativeRedisClient,
-		enableOffloadQueue
+		enableOffloadQueue,
 	});
 	await dlobSubscriberIndicative.subscribe();
 

src/wsConnectionManager.ts

@@ -96,7 +96,10 @@ const getRedisChannelFromMessage = (message: any): string => {
 		case 'orderbook':
 			return `orderbook_${marketType}_${marketIndex}`;
 		case 'orderbook_indicative': {
-			if (message.grouping && GROUPING_OPTIONS.includes(parseInt(message.grouping))) {
+			if (
+				message.grouping &&
+				GROUPING_OPTIONS.includes(parseInt(message.grouping))
+			) {
 				return `orderbook_${marketType}_${marketIndex}_grouped_${message.grouping}_indicative`;
 			}
 			return `orderbook_${marketType}_${marketIndex}_indicative`;