chore: reduce number of levels sent to UI

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,
@@ -21,6 +24,7 @@ import {
 	SubscriberLookup,
 	addMarketSlotToResponse,
 	addOracletoResponse,
+	aggregatePrices,
 	l2WithBNToStrings,
 	parsePositiveIntArray,
 } from '../utils/utils';
@@ -35,10 +39,12 @@ type wsMarketArgs = {
 	numVammOrders?: number;
 	fallbackL2Generators?: L2OrderBookGenerator[];
 	updateOnChange?: boolean;
+	tickSize?: BN
 };
 
 require('dotenv').config();
 
+export const GROUPING_OPTIONS = [1, 10, 100, 500, 1000];
 const PERP_MAKRET_STALENESS_THRESHOLD = 30 * 60 * 1000;
 const SPOT_MAKRET_STALENESS_THRESHOLD = 60 * 60 * 1000;
 const STALE_ORACLE_REMOVE_VAMM_THRESHOLD = 160;
@@ -114,6 +120,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 				includeVamm,
 				updateOnChange: false,
 				fallbackL2Generators: [],
+				tickSize: perpMarket?.amm?.orderTickSize ?? ONE
 			});
 		}
 		for (const market of config.spotMarketInfos) {
@@ -128,6 +135,7 @@ 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
 			});
 		}
 	}
@@ -391,6 +399,30 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 			}`,
 			l2Formatted_depth100
 		);
+ 
+		GROUPING_OPTIONS.forEach(group => {
+			const pricePrecision = BigNum.from(group).mul(marketArgs.tickSize).toNum()
+			const aggregatedBids = aggregatePrices(l2Formatted.bids, 'bid', pricePrecision)
+				.sort((a, b) => b[0] - a[0])
+				.slice(0, 20)
+			
+			const aggregatedAsks = aggregatePrices(l2Formatted.asks, 'ask', pricePrecision)
+				.sort((a, b) => a[0] - b[0])
+				.slice(0, 20)
+			
+			const l2Formatted_grouped20 = Object.assign({}, l2Formatted, {
+				bids: aggregatedBids,
+				asks: aggregatedAsks,
+			});
+			
+			this.redisClient.publish(
+				`${clientPrefix}orderbook_${marketType}_${marketArgs.marketIndex}_grouped_${group}${
+					this.indicativeQuotesRedisClient ? '_indicative' : ''
+				}`,
+				l2Formatted_grouped20
+			);
+		})
+
 
 		if (!this.indicativeQuotesRedisClient) {
 			const bids = this.dlob