trade/trade-drift-dlob
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Merge pull request #87 from drift-labs/master

Browse Source 
market staleness for perp or spot
This commit is contained in:
Nour Alharithi
2024-02-06 14:39:47 -08:00
committed by GitHub
parent f3c4e83090 bfd5689df4
commit 49831bfe38
3 changed files with 15 additions and 12 deletions
Download Patch File Download Diff File Expand all files Collapse all files

2
package.json
View File

@@ -6,7 +6,7 @@
"license": "Apache-2.0", "license": "Apache-2.0",
"dependencies": { "dependencies": {
"@coral-xyz/anchor": "^0.29.0", "@coral-xyz/anchor": "^0.29.0",
"@drift-labs/sdk": "2.60.0-beta.10", "@drift-labs/sdk": "2.60.0-beta.13",
"@opentelemetry/api": "^1.1.0", "@opentelemetry/api": "^1.1.0",
"@opentelemetry/auto-instrumentations-node": "^0.31.1", "@opentelemetry/auto-instrumentations-node": "^0.31.1",
"@opentelemetry/exporter-prometheus": "^0.31.0", "@opentelemetry/exporter-prometheus": "^0.31.0",

17
src/dlob-subscriber/DLOBSubscriberIO.ts
View File

@@ -27,7 +27,8 @@ type wsMarketL2Args = {
updateOnChange?: boolean; updateOnChange?: boolean;
}; };
const MAKRET_STALENESS_THRESHOLD = 10 * 60 * 1000; const PERP_MAKRET_STALENESS_THRESHOLD = 10 * 60 * 1000;
const SPOT_MAKRET_STALENESS_THRESHOLD = 20 * 60 * 1000;
export type wsMarketInfo = { export type wsMarketInfo = {
marketIndex: number; marketIndex: number;
@@ -180,6 +181,10 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
} }
// Check if times and slots are too different for market // Check if times and slots are too different for market
const MAKRET_STALENESS_THRESHOLD =
marketType === 'perp'
? PERP_MAKRET_STALENESS_THRESHOLD
: SPOT_MAKRET_STALENESS_THRESHOLD;
if ( if (
lastMarketSlotAndTime && lastMarketSlotAndTime &&
l2Formatted['marketSlot'] === lastMarketSlotAndTime.slot && l2Formatted['marketSlot'] === lastMarketSlotAndTime.slot &&
@@ -197,12 +202,10 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
console.log( console.log(
`Updating market slot for ${l2Args.marketName} with slot ${l2Formatted['marketSlot']}` `Updating market slot for ${l2Args.marketName} with slot ${l2Formatted['marketSlot']}`
); );
this.lastMarketSlotMap this.lastMarketSlotMap.get(l2Args.marketType).set(l2Args.marketIndex, {
.get(l2Args.marketType) slot: l2Formatted['marketSlot'],
.set(l2Args.marketIndex, { ts: Date.now(),
slot: l2Formatted['marketSlot'], });
ts: Date.now(),
});
} }
const l2Formatted_depth100 = Object.assign({}, l2Formatted, { const l2Formatted_depth100 = Object.assign({}, l2Formatted, {

8
yarn.lock
View File

@@ -115,10 +115,10 @@
enabled "2.0.x" enabled "2.0.x"
kuler "^2.0.0" kuler "^2.0.0"
"@drift-labs/sdk@2.60.0-beta.10": "@drift-labs/sdk@2.60.0-beta.13":
version "2.60.0-beta.10" version "2.60.0-beta.13"
resolved "https://registry.yarnpkg.com/@drift-labs/sdk/-/sdk-2.60.0-beta.10.tgz#7aae00ed374493c06033bbb51679af77c70611ab" resolved "https://registry.yarnpkg.com/@drift-labs/sdk/-/sdk-2.60.0-beta.13.tgz#8abb3b0f6bc0341b071f3b769067c9d7e286444f"
integrity sha512-BBfYpA6MTCohDN6t1EqiJtZiGRCBn5pFhXmQcTZ8t3Qd3kXj8kutV5k//Ps14IdlaWcnyxL8lfB33JCtzudsSQ== integrity sha512-UJuZ72nSN8IUl7t1X/hQmnRtz2x86yTrNEY6lQtYXjCsovgOWGune4TlvF+BNBZ/L83uY4wwWETSWqwEJ5C0iA==
dependencies: dependencies:
"@coral-xyz/anchor" "0.28.1-beta.2" "@coral-xyz/anchor" "0.28.1-beta.2"
"@ellipsis-labs/phoenix-sdk" "^1.4.2" "@ellipsis-labs/phoenix-sdk" "^1.4.2"