send indicative quotes to mainnet (#374)
* Bumping drift-common to ab538e0c1efbf64a3dfecf2af16e5a75aab81400 * Bumping drift-common to cf7f6ec63febe0d3b661f187e4e26e729797c4d0 * Bumping drift-common to 149f5efe5444d89b53b5370dcea4a3115fec8c5f * Bumping drift-common to c879f8a85bfcbaef1f1c6d9c6bf4a05e8970fa0a * Bumping drift-common to d089c9ed7e7400a0f3ea98a0184a4e3bf273fcf5 * dlob add fetch indicative quotes (#372) * dlob add fetch indicative quotes * indicative ws stream * prettify * allow for oracle orders * Bumping drift-common to 56331c89a2285a04cc86a639e0fceeda03366f43 * add console log for debugging indicative * add indicative in l2 queries * add more console logging for debugging * bump common and remove logging * Bumping drift-common to 43104f473f43111f8cc34733a43a85b5fef7f778 * Bumping drift-common to 6d75612fa1fab858daa90cdb91f0c8c9edbc8242 * Bumping drift-common to 3a42e9665c04a27bcf92e7faa50c168690312880 * Bumping drift-common to 20351d45f2644fb7194ffce441d3d2cb8d6c6b4b * Bumping drift-common to 04216dfc03aa659db24fc24ba42aa8a4e9a8bb9a * Bumping drift-common to ad20bbe9d3a262c547f66ec464306fabac539fd8 * Bumping drift-common to 5539ad5f3849b19e1b7106f783a16a182fc9a411 * Bumping drift-common to 8b7e118f1aed9d1d7a786cd165f0ceef2a07297c * Bumping drift-common to 52b7948cebb0ed6bc1f8278b0f549366a1be3ba0 * Bumping drift-common to 26a603c2d78f7f662cb872075bdff1fd6b75ec43 * Bumping drift-common to 683bfc5cefe5097a257511507f22831f185f1549 * Bumping drift-common to b66eaade382a58b563fdc5ee6c03bc98e5bb2195 * Bumping drift-common to 9a48bea13265723c5d17377e68aaf9984b24c722 * Bumping drift-common to a147ab129f6eb59d77889ac2b7a915ca910d83dd * Bumping drift-common to 65891abfcd5f59c726aecb211ae77ca38394bdf1 * Bumping drift-common to 540cdbbc9b322990d288af8f4f3183f2c96087b7 * Bumping drift-common to 978b8a03b59d0dc24d1269f319ff6a7ff711775a * Bumping drift-common to af74d01953db3683bca585c2111910cbbe171a72 * Bumping drift-common to cd684e22082438f0cb784ec234fd9e5d3cd63bb2 --------- Co-authored-by: GitHub Actions <41898282+github-actions[bot]@users.noreply.github.com>
This commit is contained in:
moosecat
@@ -1,11 +1,17 @@
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import {
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BN,
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DLOBSubscriber,
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DLOBSubscriptionConfig,
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DriftEnv,
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L2OrderBookGenerator,
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MarketType,
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Order,
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OrderStatus,
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OrderTriggerCondition,
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OrderType,
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PerpOperation,
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PositionDirection,
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ZERO,
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isOperationPaused,
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isVariant,
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} from '@drift-labs/sdk';
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@@ -37,6 +43,8 @@ const PERP_MAKRET_STALENESS_THRESHOLD = 30 * 60 * 1000;
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const SPOT_MAKRET_STALENESS_THRESHOLD = 60 * 60 * 1000;
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const STALE_ORACLE_REMOVE_VAMM_THRESHOLD = 160;
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const INDICATIVE_QUOTES_PUBKEY = 'inDNdu3ML4vG5LNExqcwuCQtLcCU8KfK5YM2qYV3JJz';
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const PERP_MARKETS_TO_SKIP_SLOT_CHECK =
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process.env.PERP_MARKETS_TO_SKIP_SLOT_CHECK !== undefined
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? parsePositiveIntArray(process.env.PERP_MARKETS_TO_SKIP_SLOT_CHECK)
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@@ -55,6 +63,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
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public marketArgs: wsMarketArgs[] = [];
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public lastSeenL2Formatted: Map<MarketType, Map<number, any>>;
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redisClient: RedisClient;
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indicativeQuotesRedisClient?: RedisClient;
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public killSwitchSlotDiffThreshold: number;
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public lastMarketSlotMap: Map<
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MarketType,
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@@ -65,6 +74,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
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config: DLOBSubscriptionConfig & {
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env: DriftEnv;
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redisClient: RedisClient;
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indicativeQuotesRedisClient?: RedisClient;
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perpMarketInfos: wsMarketInfo[];
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spotMarketInfos: wsMarketInfo[];
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spotMarketSubscribers: SubscriberLookup;
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@@ -73,6 +83,8 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
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) {
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super(config);
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this.redisClient = config.redisClient;
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this.indicativeQuotesRedisClient = config.indicativeQuotesRedisClient;
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this.killSwitchSlotDiffThreshold =
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config.killSwitchSlotDiffThreshold || 200;
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@@ -124,6 +136,105 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
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await super.updateDLOB();
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for (const marketArgs of this.marketArgs) {
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try {
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if (this.indicativeQuotesRedisClient) {
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const marketType = isVariant(marketArgs.marketType, 'perp')
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? 'perp'
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: 'spot';
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const mms = await this.indicativeQuotesRedisClient.smembers(
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`market_mms_${marketType}_${marketArgs.marketIndex}`
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);
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const mmQuotes = await Promise.all(
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mms.map((mm) => {
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return this.indicativeQuotesRedisClient.get(
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`mm_quotes_${marketType}_${marketArgs.marketIndex}_${mm}`
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);
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})
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);
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const nowMinus1000Ms = Date.now() - 1000;
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mmQuotes.forEach((quote) => {
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if (Number(quote['ts']) > nowMinus1000Ms) {
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const indicativeBaseOrder: Order = {
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status: OrderStatus.OPEN,
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orderType: OrderType.LIMIT,
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orderId: 0,
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slot: new BN(this.slotSource.getSlot()),
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marketIndex: marketArgs.marketIndex,
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marketType: marketArgs.marketType,
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baseAssetAmount: ZERO,
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immediateOrCancel: false,
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direction: PositionDirection.LONG,
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oraclePriceOffset: 0,
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maxTs: new BN(quote['ts'] + 1000),
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reduceOnly: false,
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triggerCondition: OrderTriggerCondition.ABOVE,
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price: ZERO,
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userOrderId: 0,
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postOnly: true,
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auctionDuration: 0,
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auctionStartPrice: ZERO,
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auctionEndPrice: ZERO,
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// Rest are not necessary and set for type conforming
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existingPositionDirection: PositionDirection.LONG,
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triggerPrice: ZERO,
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baseAssetAmountFilled: ZERO,
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quoteAssetAmountFilled: ZERO,
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quoteAssetAmount: ZERO,
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bitFlags: 0,
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postedSlotTail: 0,
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};
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if (quote['bid_size'] && quote['bid_price']) {
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// Sanity check bid price and size
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const indicativeBid: Order = Object.assign(
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{},
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indicativeBaseOrder,
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{
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oraclePriceOffset: quote['is_oracle_offset']
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? quote['bid_price']
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: 0,
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price: quote['is_oracle_offset']
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? 0
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: new BN(quote['bid_price']),
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baseAssetAmount: new BN(quote['bid_size']),
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direction: PositionDirection.LONG,
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}
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);
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this.dlob.insertOrder(
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indicativeBid,
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INDICATIVE_QUOTES_PUBKEY,
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this.slotSource.getSlot(),
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false
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);
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}
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if (quote['ask_size'] && quote['ask_price']) {
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const indicativeAsk: Order = Object.assign(
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{},
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indicativeBaseOrder,
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{
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oraclePriceOffset: quote['is_oracle_offset']
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? quote['ask_price']
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: 0,
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price: quote['is_oracle_offset']
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? 0
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: new BN(quote['ask_price']),
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baseAssetAmount: new BN(quote['ask_size']),
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direction: PositionDirection.SHORT,
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}
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);
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this.dlob.insertOrder(
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indicativeAsk,
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INDICATIVE_QUOTES_PUBKEY,
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this.slotSource.getSlot(),
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false
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);
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}
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}
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});
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}
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this.getL2AndSendMsg(marketArgs);
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this.getL3AndSendMsg(marketArgs);
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} catch (error) {
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@@ -162,6 +273,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
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logger.info('Oracle is stale, removing vamm orders');
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includeVamm = false;
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}
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const l2 = this.getL2({ ...l2FuncArgs, includeVamm });
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const slot = l2.slot;
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const lastMarketSlotAndTime = this.lastMarketSlotMap
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@@ -264,44 +376,43 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
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this.redisClient.publish(
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`${clientPrefix}orderbook_${marketType}_${marketArgs.marketIndex}${
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this.protectedMakerView ? '_pmm' : ''
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this.indicativeQuotesRedisClient ? '_indicative' : ''
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}`,
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l2Formatted
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);
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this.redisClient.set(
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`last_update_orderbook_${marketType}_${marketArgs.marketIndex}${
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this.protectedMakerView ? '_pmm' : ''
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this.indicativeQuotesRedisClient ? '_indicative' : ''
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}`,
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l2Formatted_depth100
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);
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const oraclePriceData =
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marketType === 'spot'
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? this.driftClient.getOracleDataForSpotMarket(marketArgs.marketIndex)
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: this.driftClient.getOracleDataForPerpMarket(marketArgs.marketIndex);
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const bids = this.dlob
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.getBestMakers({
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marketIndex: marketArgs.marketIndex,
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marketType: marketArgs.marketType,
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direction: PositionDirection.LONG,
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slot: slot,
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oraclePriceData,
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numMakers: 4,
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})
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.map((x) => x.toString());
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const asks = this.dlob
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.getBestMakers({
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marketIndex: marketArgs.marketIndex,
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marketType: marketArgs.marketType,
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direction: PositionDirection.SHORT,
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slot,
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oraclePriceData,
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numMakers: 4,
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})
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.map((x) => x.toString());
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this.redisClient.set(
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`last_update_orderbook_best_makers_${marketType}_${marketArgs.marketIndex}`,
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{ bids, asks, slot }
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);
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if (!this.indicativeQuotesRedisClient) {
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const bids = this.dlob
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.getBestMakers({
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marketIndex: marketArgs.marketIndex,
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marketType: marketArgs.marketType,
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direction: PositionDirection.LONG,
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slot: slot,
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oraclePriceData: oracleData,
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numMakers: 4,
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})
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.map((x) => x.toString());
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const asks = this.dlob
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.getBestMakers({
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marketIndex: marketArgs.marketIndex,
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marketType: marketArgs.marketType,
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direction: PositionDirection.SHORT,
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slot,
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oraclePriceData: oracleData,
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numMakers: 4,
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})
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.map((x) => x.toString());
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this.redisClient.set(
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`last_update_orderbook_best_makers_${marketType}_${marketArgs.marketIndex}`,
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{ bids, asks, slot }
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);
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}
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}
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getL3AndSendMsg(marketArgs: wsMarketArgs): void {
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@@ -355,7 +466,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
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this.redisClient.set(
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`last_update_orderbook_l3_${marketType}_${marketArgs.marketIndex}${
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this.protectedMakerView ? '_pmm' : ''
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this.indicativeQuotesRedisClient ? '_indicative' : ''
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}`,
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l3
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);
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