Auction Params Endpoint (#442)
* move auction endpoint changes to fresh branch * final cleanup and add testing for util functions * fix tests * fix quote amount conversion
This commit is contained in:
lowkeynicc
@@ -14,14 +14,26 @@ import {
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SpotMarketConfig,
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decodeUser,
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isVariant,
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PositionDirection,
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ZERO,
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BASE_PRECISION,
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PRICE_PRECISION,
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calculateEstimatedEntryPriceWithL2,
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AssetType,
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MainnetSpotMarkets,
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DevnetSpotMarkets,
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QUOTE_PRECISION,
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PERCENTAGE_PRECISION_EXP,
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} from '@drift-labs/sdk';
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import { RedisClient } from '@drift/common/clients';
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import { logger } from './logger';
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import { NextFunction, Request, Response } from 'express';
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import FEATURE_FLAGS from './featureFlags';
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import { Connection } from '@solana/web3.js';
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import { wsMarketArgs } from 'src/dlob-subscriber/DLOBSubscriberIO';
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import { DEFAULT_AUCTION_PARAMS } from './constants';
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import { AuctionParamArgs } from './types';
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import { COMMON_MATH, ENUM_UTILS } from '@drift/common';
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export const GROUPING_OPTIONS = [1, 10, 100, 500, 1000];
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export const GROUPING_DEPENDENCIES = {
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@@ -632,3 +644,581 @@ export const selectMostRecentBySlot = (
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return !mostRecent || current.slot > mostRecent.slot ? current : mostRecent;
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}, null);
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};
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export function createMarketBasedAuctionParams(
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args: AuctionParamArgs,
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overrideDefaults?: Partial<AuctionParamArgs>
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): AuctionParamArgs {
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// Determine if this is a major market (PERP with marketIndex 0, 1, or 2)
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const isMajorMarket =
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args.marketType?.toLowerCase() === 'perp' &&
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[0, 1, 2].includes(args.marketIndex);
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// Resolve "marketBased" values and undefined values (both should use market-based logic)
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const resolvedAuctionStartPriceOffsetFrom =
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args.auctionStartPriceOffsetFrom === 'marketBased' || args.auctionStartPriceOffsetFrom === undefined
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? isMajorMarket
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? 'mark'
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: 'bestOffer'
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: args.auctionStartPriceOffsetFrom;
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const resolvedAuctionStartPriceOffset =
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args.auctionStartPriceOffset === 'marketBased' || args.auctionStartPriceOffset === undefined
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? isMajorMarket
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? 0
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: -0.1
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: args.auctionStartPriceOffset;
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// Set market-specific defaults (only used if values are undefined)
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const marketSpecificDefaults: Partial<AuctionParamArgs> = {
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...DEFAULT_AUCTION_PARAMS,
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auctionStartPriceOffsetFrom: isMajorMarket ? 'mark' : 'bestOffer',
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auctionStartPriceOffset: isMajorMarket ? 0 : -0.1,
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};
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// Apply custom overrides if provided
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const finalDefaults = overrideDefaults
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? { ...marketSpecificDefaults, ...overrideDefaults }
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: marketSpecificDefaults;
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return {
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...finalDefaults,
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...args,
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// Override with resolved "marketBased" values if were provided
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auctionStartPriceOffsetFrom:
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resolvedAuctionStartPriceOffsetFrom ??
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finalDefaults.auctionStartPriceOffsetFrom,
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auctionStartPriceOffset:
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resolvedAuctionStartPriceOffset ?? finalDefaults.auctionStartPriceOffset,
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};
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}
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/**
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* Parse boolean values from string query parameters
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* @param value - string value from query parameter
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* @returns boolean | undefined - true for 'true'/'1', false for other values, undefined if input is undefined
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*/
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export const parseBoolean = (
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value: string | undefined
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): boolean | undefined => {
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if (value === undefined) return undefined;
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return value === 'true' || value === '1';
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};
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/**
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* Safely parse numeric values from string query parameters
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* @param value - string value from query parameter
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* @returns number | undefined - parsed number or undefined if invalid/empty
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*/
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export const parseNumber = (value: string | undefined): number | undefined => {
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if (!value) return undefined;
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const parsed = parseFloat(value);
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return isNaN(parsed) ? undefined : parsed;
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};
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/**
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* Convert string to BN
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* @param value - string value to convert
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* @returns BN
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*/
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export const stringToBN = (value: string): BN => {
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if (!value) return ZERO;
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return new BN(value);
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};
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/**
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* Convert raw Redis L2 data (with string prices/sizes) to proper L2OrderBook format (with BN values)
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* @param rawL2 - Raw L2 data from Redis with string values
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* @returns L2OrderBook with proper BN values
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*/
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export const convertRawL2ToBN = (rawL2: any): L2OrderBook => {
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const convertLevel = (level: any) => ({
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...level,
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price: new BN(level.price),
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size: new BN(level.size),
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});
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return {
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...rawL2,
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bids: rawL2.bids?.map(convertLevel) || [],
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asks: rawL2.asks?.map(convertLevel) || [],
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};
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};
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/**
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* Get L2 orderbook data and calculate estimated prices
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* @param driftClient - DriftClient instance
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* @param marketType - MarketType enum
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* @param marketIndex - Market index number
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* @param direction - Position direction
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* @param amount - Amount as BN (could be base or quote amount)
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* @param assetType - Whether amount is 'base' or 'quote'
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* @param fetchFromRedis - Redis fetch function
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* @param selectMostRecentBySlot - Slot selection function
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* @returns Price data object with oracle, best, entry, worst, and mark prices
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*/
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export const getEstimatedPrices = async (
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driftClient: DriftClient,
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marketType: MarketType,
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marketIndex: number,
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direction: PositionDirection,
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amount: BN,
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assetType: AssetType,
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fetchFromRedis: (
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key: string,
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selectionCriteria: (responses: any) => any
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) => Promise<any>,
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selectMostRecentBySlot: (responses: any[]) => any
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): Promise<{
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oraclePrice: BN;
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bestPrice: BN;
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entryPrice: BN;
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worstPrice: BN;
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markPrice: BN;
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priceImpact: BN;
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}> => {
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const isSpot = isVariant(marketType, 'spot');
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// Get L2 orderbook data using the new utility function
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const redisL2 = await fetchL2FromRedis(
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fetchFromRedis,
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selectMostRecentBySlot,
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marketType,
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marketIndex
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);
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let l2Formatted: L2OrderBook;
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if (redisL2) {
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l2Formatted = convertRawL2ToBN(redisL2);
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} else {
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l2Formatted = {
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bids: [],
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asks: [],
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};
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}
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const oracleData = isSpot
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? driftClient.getOracleDataForSpotMarket(marketIndex)
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: driftClient.getOracleDataForPerpMarket(marketIndex);
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// Get oracle price
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const oraclePrice = new BN(oracleData?.price || 0).mul(PRICE_PRECISION);
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const spreadInfo = COMMON_MATH.calculateSpreadBidAskMark(
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l2Formatted,
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oraclePrice
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);
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const markPrice = spreadInfo?.markPrice ?? oraclePrice;
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// If we have L2 data, calculate estimated prices
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if (l2Formatted.bids?.length > 0 || l2Formatted.asks?.length > 0) {
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try {
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const basePrecision = !isSpot
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? BASE_PRECISION
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: process.env.ENV === 'mainnet-beta'
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? MainnetSpotMarkets[marketIndex].precision
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: DevnetSpotMarkets[marketIndex].precision;
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const priceEstimate = calculateEstimatedEntryPriceWithL2(
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assetType,
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amount,
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direction,
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basePrecision,
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l2Formatted as L2OrderBook
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);
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return {
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oraclePrice,
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bestPrice: priceEstimate.bestPrice,
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entryPrice: priceEstimate.entryPrice,
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worstPrice: priceEstimate.worstPrice,
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markPrice,
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priceImpact: priceEstimate.priceImpact,
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};
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} catch (error) {
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// If calculation fails, fallback to oracle prices
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console.warn('Price calculation failed, using oracle fallback:', error);
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}
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}
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// Fallback to oracle prices if no L2 data or calculation fails
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return {
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oraclePrice,
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bestPrice: oraclePrice,
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entryPrice: oraclePrice,
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worstPrice: oraclePrice,
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markPrice,
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priceImpact: ZERO,
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};
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};
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/**
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* Maps AuctionParamArgs to the format expected by deriveMarketOrderParams
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* @param params - AuctionParamArgs from the API request
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* @param driftClient - DriftClient instance (optional, for price calculation)
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* @param fetchFromRedis - Redis fetch function (optional, for price calculation)
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* @param selectMostRecentBySlot - Slot selection function (optional, for price calculation)
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* @returns Object formatted for deriveMarketOrderParams function or error response
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*/
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export const mapToMarketOrderParams = async (
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params: AuctionParamArgs,
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driftClient?: DriftClient,
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fetchFromRedis?: (
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key: string,
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selectionCriteria: (responses: any) => any
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) => Promise<any>,
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selectMostRecentBySlot?: (responses: any[]) => any
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): Promise<{
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success: boolean;
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data?: {
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marketOrderParams: any;
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estimatedPrices: any;
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};
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error?: string;
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}> => {
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// Convert marketType string to MarketType enum
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const marketType =
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params.marketType.toLowerCase() === 'spot'
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? MarketType.SPOT
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: MarketType.PERP;
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// Convert direction string to PositionDirection enum
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const direction =
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params.direction === 'long'
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? PositionDirection.LONG
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: PositionDirection.SHORT;
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// Convert amount string to BN based on assetType
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const amount =
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params.assetType === 'base'
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? stringToBN(params.amount).mul(BASE_PRECISION)
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: stringToBN(params.amount).mul(QUOTE_PRECISION);
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// Convert additionalEndPriceBuffer string to BN with PRICE_PRECISION (1e6) if provided
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const additionalEndPriceBuffer = params.additionalEndPriceBuffer
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? stringToBN(params.additionalEndPriceBuffer).mul(PRICE_PRECISION)
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: undefined;
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// Calculate estimated prices and handle slippage tolerance calculation
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let estimatedPrices;
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let processedSlippageTolerance = params.slippageTolerance;
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if (driftClient && fetchFromRedis && selectMostRecentBySlot) {
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// Get L2 orderbook data using the utility function
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const redisL2 = await fetchL2FromRedis(
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fetchFromRedis,
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selectMostRecentBySlot,
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marketType,
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params.marketIndex
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);
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// Calculate estimated prices using the fetched L2 data
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estimatedPrices = await getEstimatedPricesWithL2(
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driftClient,
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marketType,
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params.marketIndex,
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direction,
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amount,
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params.assetType,
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redisL2
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);
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// Handle dynamic slippage tolerance calculation if needed
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if (params.slippageTolerance === undefined) {
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// Convert raw L2 to formatted L2 for slippage calculation
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let l2Formatted: L2OrderBook;
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if (redisL2) {
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l2Formatted = convertRawL2ToBN(redisL2);
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} else {
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l2Formatted = {
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bids: [],
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asks: [],
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};
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}
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processedSlippageTolerance = calculateDynamicSlippage(
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params.marketIndex,
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params.marketType,
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driftClient,
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l2Formatted
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);
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}
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} else {
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return {
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success: false,
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error: 'Cannot create valid auction parameters: could not fetch prices',
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};
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}
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// Calculate baseAmount based on assetType
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let baseAmount: BN;
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if (params.assetType === 'base') {
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// If assetType is base, use the amount directly
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baseAmount = amount;
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} else {
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// If assetType is quote, convert quote amount to base amount using entry price
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// baseAmount = (quoteAmount * QUOTE_PRECISION * BASE_PRECISION) / entryPrice
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baseAmount = amount.mul(BASE_PRECISION).div(estimatedPrices.entryPrice);
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}
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return {
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success: true,
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data: {
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marketOrderParams: {
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marketType,
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marketIndex: params.marketIndex,
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direction,
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maxLeverageSelected: false,
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maxLeverageOrderSize: ZERO,
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baseAmount,
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reduceOnly: params.reduceOnly ?? false,
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allowInfSlippage: params.allowInfSlippage ?? false,
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oraclePrice: estimatedPrices.oraclePrice,
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bestPrice: estimatedPrices.bestPrice,
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entryPrice: estimatedPrices.entryPrice,
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worstPrice: estimatedPrices.worstPrice,
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markPrice: estimatedPrices.markPrice,
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auctionDuration: params.auctionDuration,
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auctionStartPriceOffset: params.auctionStartPriceOffset as number,
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auctionEndPriceOffset: params.auctionEndPriceOffset,
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auctionStartPriceOffsetFrom: params.auctionStartPriceOffsetFrom as any,
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auctionEndPriceOffsetFrom: params.auctionEndPriceOffsetFrom,
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slippageTolerance: processedSlippageTolerance,
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isOracleOrder: params.isOracleOrder,
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additionalEndPriceBuffer,
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forceUpToSlippage: true,
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userOrderId: params.userOrderId,
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},
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estimatedPrices,
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},
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};
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};
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/**
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* Format auction parameters for API response
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* @param auctionParams - Raw auction parameters from deriveMarketOrderParams
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* @returns Formatted auction parameters with BNs as strings and enums as readable strings
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*/
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export const formatAuctionParamsForResponse = (auctionParams: any) => {
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const formatted = { ...auctionParams };
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|
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// we don't use this field anymore, TODO to remove from ui
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delete formatted.constrainedBySlippage;
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|
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// Convert all properties
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Object.keys(formatted).forEach((key) => {
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const value = formatted[key];
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// Check if it's a BN using BN.isBN()
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if (BN.isBN(value)) {
|
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formatted[key] = value.toString();
|
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}
|
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// Check if it's an enum (has nested object structure like {oracle: {}})
|
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else if (
|
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value &&
|
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typeof value === 'object' &&
|
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Object.keys(value).length === 1
|
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) {
|
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try {
|
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formatted[key] = ENUM_UTILS.toStr(value);
|
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} catch (e) {
|
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// If ENUM_UTILS.toStr fails, keep original value
|
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formatted[key] = value;
|
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}
|
||||
}
|
||||
});
|
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|
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return formatted;
|
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};
|
||||
|
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/**
|
||||
* Fetch L2 orderbook data from Redis
|
||||
* @param fetchFromRedis - Redis fetch function
|
||||
* @param selectMostRecentBySlot - Slot selection function
|
||||
* @param marketType - MarketType enum (spot or perp)
|
||||
* @param marketIndex - Market index number
|
||||
* @param includeIndicative - Whether to include indicative orders (optional)
|
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* @returns Promise<any> - Raw L2 data from Redis or null if not found
|
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*/
|
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export const fetchL2FromRedis = async (
|
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fetchFromRedis: (
|
||||
key: string,
|
||||
selectionCriteria: (responses: any) => any
|
||||
) => Promise<any>,
|
||||
selectMostRecentBySlot: (responses: any[]) => any,
|
||||
marketType: MarketType,
|
||||
marketIndex: number,
|
||||
includeIndicative?: boolean
|
||||
): Promise<any> => {
|
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const isSpot = isVariant(marketType, 'spot');
|
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const marketTypeStr = isSpot ? 'spot' : 'perp';
|
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const indicativeSuffix = includeIndicative ? '_indicative' : '';
|
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|
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return await fetchFromRedis(
|
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`last_update_orderbook_${marketTypeStr}_${marketIndex}${indicativeSuffix}`,
|
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selectMostRecentBySlot
|
||||
);
|
||||
};
|
||||
|
||||
/**
|
||||
* Calculate dynamic slippage tolerance using L2 data
|
||||
* @param direction - Position direction ('long' or 'short')
|
||||
* @param marketIndex - Market index number
|
||||
* @param marketType - Market type ('spot' or 'perp')
|
||||
* @param driftClient - DriftClient instance for oracle data
|
||||
* @param l2Formatted - Already formatted L2OrderBook data
|
||||
* @returns Dynamic slippage tolerance as a number
|
||||
*/
|
||||
export const calculateDynamicSlippage = (
|
||||
marketIndex: number,
|
||||
marketType: string,
|
||||
driftClient: DriftClient,
|
||||
l2Formatted: L2OrderBook
|
||||
): number => {
|
||||
// Determine if this is a major market (PERP with marketIndex 0, 1, or 2)
|
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const isPerp = marketType.toLowerCase() === 'perp';
|
||||
const isMajor = isPerp && marketIndex < 3;
|
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|
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const baseSlippage = isMajor
|
||||
? parseFloat(process.env.DYNAMIC_BASE_SLIPPAGE_MAJOR || '0') // 0% default
|
||||
: parseFloat(process.env.DYNAMIC_BASE_SLIPPAGE_NON_MAJOR || '0.5'); // 0.5% default
|
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|
||||
// Calculate spread using L2 data
|
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let spreadBaseSlippage = 0.0005; // 0.05% fallback spread
|
||||
try {
|
||||
// Get oracle data
|
||||
const oracleData = isPerp
|
||||
? driftClient.getOracleDataForPerpMarket(marketIndex)
|
||||
: driftClient.getOracleDataForSpotMarket(marketIndex);
|
||||
|
||||
// Get oracle price
|
||||
const oraclePrice = new BN(oracleData?.price || 0).mul(PRICE_PRECISION);
|
||||
|
||||
// Calculate actual spread
|
||||
const spreadInfo = COMMON_MATH.calculateSpreadBidAskMark(
|
||||
l2Formatted,
|
||||
oraclePrice
|
||||
);
|
||||
|
||||
const spreadPctNum = BigNum.from(
|
||||
spreadInfo.spreadPct,
|
||||
PERCENTAGE_PRECISION_EXP
|
||||
)?.toNum();
|
||||
|
||||
if (spreadInfo?.spreadPct) {
|
||||
spreadBaseSlippage = spreadPctNum / 2;
|
||||
}
|
||||
} catch (error) {
|
||||
console.warn('Failed to calculate spread, using fallback:', error);
|
||||
}
|
||||
|
||||
let dynamicSlippage = baseSlippage + spreadBaseSlippage;
|
||||
|
||||
// Apply multiplier from env var
|
||||
const multiplier = isMajor
|
||||
? parseFloat(process.env.DYNAMIC_SLIPPAGE_MULTIPLIER_MAJOR || '1.02')
|
||||
: parseFloat(process.env.DYNAMIC_SLIPPAGE_MULTIPLIER_NON_MAJOR || '1.5');
|
||||
dynamicSlippage = dynamicSlippage * multiplier;
|
||||
|
||||
// Enforce minimum and maximum limits from env vars
|
||||
const minSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MIN || '0.05'); // 0.05% minimum
|
||||
const maxSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MAX || '5'); // 5% maximum
|
||||
|
||||
return Math.min(Math.max(dynamicSlippage, minSlippage), maxSlippage);
|
||||
};
|
||||
|
||||
/**
|
||||
* Get L2 orderbook data and calculate estimated prices using pre-fetched L2 data
|
||||
* @param driftClient - DriftClient instance
|
||||
* @param marketType - MarketType enum
|
||||
* @param marketIndex - Market index number
|
||||
* @param direction - Position direction
|
||||
* @param amount - Amount as BN (could be base or quote amount)
|
||||
* @param assetType - Whether amount is 'base' or 'quote'
|
||||
* @param redisL2 - Pre-fetched L2 data from Redis
|
||||
* @returns Price data object with oracle, best, entry, worst, and mark prices
|
||||
*/
|
||||
export const getEstimatedPricesWithL2 = async (
|
||||
driftClient: DriftClient,
|
||||
marketType: MarketType,
|
||||
marketIndex: number,
|
||||
direction: PositionDirection,
|
||||
amount: BN,
|
||||
assetType: AssetType,
|
||||
redisL2: any
|
||||
): Promise<{
|
||||
oraclePrice: BN;
|
||||
bestPrice: BN;
|
||||
entryPrice: BN;
|
||||
worstPrice: BN;
|
||||
markPrice: BN;
|
||||
priceImpact: BN;
|
||||
}> => {
|
||||
const isSpot = isVariant(marketType, 'spot');
|
||||
|
||||
let l2Formatted: L2OrderBook;
|
||||
if (redisL2) {
|
||||
l2Formatted = convertRawL2ToBN(redisL2);
|
||||
} else {
|
||||
l2Formatted = {
|
||||
bids: [],
|
||||
asks: [],
|
||||
};
|
||||
}
|
||||
|
||||
const oracleData = isSpot
|
||||
? driftClient.getOracleDataForSpotMarket(marketIndex)
|
||||
: driftClient.getOracleDataForPerpMarket(marketIndex);
|
||||
|
||||
// Get oracle price
|
||||
const oraclePrice = oracleData.price ?? ZERO;
|
||||
|
||||
const spreadInfo = COMMON_MATH.calculateSpreadBidAskMark(
|
||||
l2Formatted,
|
||||
oraclePrice
|
||||
);
|
||||
|
||||
const markPrice = spreadInfo?.markPrice ?? oraclePrice;
|
||||
|
||||
// If we have L2 data, calculate estimated prices
|
||||
if (l2Formatted.bids?.length > 0 || l2Formatted.asks?.length > 0) {
|
||||
try {
|
||||
const basePrecision = !isSpot
|
||||
? BASE_PRECISION
|
||||
: process.env.ENV === 'mainnet-beta'
|
||||
? MainnetSpotMarkets[marketIndex].precision
|
||||
: DevnetSpotMarkets[marketIndex].precision;
|
||||
|
||||
const priceEstimate = calculateEstimatedEntryPriceWithL2(
|
||||
assetType,
|
||||
amount,
|
||||
direction,
|
||||
basePrecision,
|
||||
l2Formatted as L2OrderBook
|
||||
);
|
||||
|
||||
return {
|
||||
oraclePrice,
|
||||
bestPrice: priceEstimate.bestPrice,
|
||||
entryPrice: priceEstimate.entryPrice,
|
||||
worstPrice: priceEstimate.worstPrice,
|
||||
markPrice,
|
||||
priceImpact: priceEstimate.priceImpact,
|
||||
};
|
||||
} catch (error) {
|
||||
// If calculation fails, fallback to oracle prices
|
||||
console.warn('Price calculation failed, using oracle fallback:', error);
|
||||
}
|
||||
}
|
||||
|
||||
// Fallback to oracle prices if no L2 data or calculation fails
|
||||
return {
|
||||
oraclePrice,
|
||||
bestPrice: oraclePrice,
|
||||
entryPrice: oraclePrice,
|
||||
worstPrice: oraclePrice,
|
||||
markPrice,
|
||||
priceImpact: ZERO,
|
||||
};
|
||||
};
|
||||
|
||||
Reference in New Issue
Block a user