Merge pull request #80 from drift-labs/master

oracle kill switch

src/dlob-subscriber/DLOBSubscriberIO.ts

@@ -36,6 +36,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 	public marketL2Args: wsMarketL2Args[] = [];
 	public lastSeenL2Formatted: Map<MarketType, Map<number, any>>;
 	redisClient: RedisClient;
+	public killSwitchSlotDiffThreshold: number;
 
 	constructor(
 		config: DLOBSubscriptionConfig & {
@@ -43,10 +44,13 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 			perpMarketInfos: wsMarketInfo[];
 			spotMarketInfos: wsMarketInfo[];
 			spotMarketSubscribers: SubscriberLookup;
+			killSwitchSlotDiffThreshold?: number;
 		}
 	) {
 		super(config);
 		this.redisClient = config.redisClient;
+		this.killSwitchSlotDiffThreshold =
+			config.killSwitchSlotDiffThreshold || 200;
 
 		// Set up appropriate maps
 		this.lastSeenL2Formatted = new Map();
@@ -139,6 +143,18 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 			l2Args.marketIndex
 		);
 
+		if (
+			Math.abs(slot - parseInt(l2Formatted['oracleData']['slot'])) >
+			this.killSwitchSlotDiffThreshold
+		) {
+			console.log(`Killing process due to slot diffs for market ${marketName}: 
+				dlobProvider slot: ${slot}
+				oracle slot: ${l2Formatted['oracleData']['slot']}
+				market slot: ${l2Formatted['marketSlot']}
+			`);
+			process.exit(1);
+		}
+
 		const l2Formatted_depth100 = Object.assign({}, l2Formatted, {
 			bids: l2Formatted.bids.slice(0, 100),
 			asks: l2Formatted.asks.slice(0, 100),

src/publishers/dlobPublisher.ts

@@ -71,6 +71,9 @@ const ORDERBOOK_UPDATE_INTERVAL =
 	parseInt(process.env.ORDERBOOK_UPDATE_INTERVAL) || 1000;
 const WS_FALLBACK_FETCH_INTERVAL = 10_000;
 
+const KILLSWITCH_SLOT_DIFF_THRESHOLD =
+	parseInt(process.env.KILLSWITCH_SLOT_DIFF_THRESHOLD) || 200;
+
 // comma separated list of perp market indexes to load: i.e. 0,1,2,3
 const PERP_MARKETS_TO_LOAD =
 	process.env.PERP_MARKETS_TO_LOAD !== undefined
@@ -395,6 +398,7 @@ const main = async () => {
 		spotMarketSubscribers: MARKET_SUBSCRIBERS,
 		perpMarketInfos,
 		spotMarketInfos,
+		killSwitchSlotDiffThreshold: KILLSWITCH_SLOT_DIFF_THRESHOLD,
 	});
 	await dlobSubscriber.subscribe();
 	if (useWebsocket && !FEATURE_FLAGS.DISABLE_GPA_REFRESH) {