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

chore: test different logic

Browse Source
This commit is contained in:
Jack Waller
2025-11-27 16:09:40 +11:00
parent 1b6845e8ab
commit 792463c8f8
1 changed files with 25 additions and 14 deletions
Download Patch File Download Diff File Expand all files Collapse all files

39
src/utils/utils.ts
View File

@@ -312,32 +312,39 @@ export function publishGroupings(
// Count crossed levels at the beginning
let crossedBids = 0;
const bestAsk = fullAggregatedAsks[0]?.[0];
const bestAsk = fullAggregatedAsks[0]?.price;
if (bestAsk !== undefined) {
for (const bid of fullAggregatedBids) {
if (bid[0] >= bestAsk) {
if (bid.price >= bestAsk) {
crossedBids++;
} else {
break; // Stop at first uncrossed level
break;
}
}
}
let crossedAsks = 0;
const bestBid = fullAggregatedBids[0]?.[0];
const bestBid = fullAggregatedBids[0]?.price;
if (bestBid !== undefined) {
for (const ask of fullAggregatedAsks) {
if (ask[0] <= bestBid) {
if (ask.price <= bestBid) {
crossedAsks++;
} else {
break; // Stop at first uncrossed level
break;
}
}
}
const aggregatedBids = fullAggregatedBids.slice(0, 20 + crossedBids);
const aggregatedAsks = fullAggregatedAsks.slice(0, 20 + crossedAsks);
const maxCrossed = Math.max(crossedBids, crossedAsks);
const levelsToTake = 20 + maxCrossed;
if (group === 10) {
console.log(bestAsk, bestBid, crossedAsks, crossedBids, levelsToTake);
}
const aggregatedBids = fullAggregatedBids.slice(0, levelsToTake);
const aggregatedAsks = fullAggregatedAsks.slice(0, levelsToTake);
const l2Formatted_grouped20 = Object.assign({}, l2Formatted, {
bids: aggregatedBids,
asks: aggregatedAsks,
@@ -719,7 +726,8 @@ export function createMarketBasedAuctionParams(
// Set market-specific defaults (only used if values are undefined)
const marketSpecificDefaults: Partial<AuctionParamArgs> = {
...DEFAULT_AUCTION_PARAMS,
auctionStartPriceOffsetFrom: isMajorMarket && version === 1 ? 'mark' : 'bestOffer',
auctionStartPriceOffsetFrom:
isMajorMarket && version === 1 ? 'mark' : 'bestOffer',
auctionStartPriceOffset: isMajorMarket && version === 1 ? 0 : -0.1,
};
@@ -1490,8 +1498,11 @@ export const calculateDynamicSlippage = (
const minSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MIN || '0.035'); // 0.035% minimum
const maxSlippage = parseFloat(process.env.DYNAMIC_SLIPPAGE_MAX || '5'); // 5% maximum
let finalSlippage = Math.min(Math.max(dynamicSlippage, minSlippage), maxSlippage);
let finalSlippage = Math.min(
Math.max(dynamicSlippage, minSlippage),
maxSlippage
);
// Apply 10% boost for API v2
if (apiVersion === 2) {
finalSlippage = finalSlippage * 1.1;