chore: use previous groupings for calc

src/dlob-subscriber/DLOBSubscriberIO.ts

@@ -24,13 +24,13 @@ import {
 	SubscriberLookup,
 	addMarketSlotToResponse,
 	addOracletoResponse,
-	aggregatePrices,
 	l2WithBNToStrings,
 	parsePositiveIntArray,
+	publishGroupings,
 } from '../utils/utils';
 import { setHealthStatus, HEALTH_STATUS } from '../core/metrics';
 
-type wsMarketArgs = {
+export type wsMarketArgs = {
 	marketIndex: number;
 	marketType: MarketType;
 	marketName: string;
@@ -39,12 +39,11 @@ type wsMarketArgs = {
 	numVammOrders?: number;
 	fallbackL2Generators?: L2OrderBookGenerator[];
 	updateOnChange?: boolean;
-	tickSize?: BN
+	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;
@@ -120,7 +119,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 				includeVamm,
 				updateOnChange: false,
 				fallbackL2Generators: [],
-				tickSize: perpMarket?.amm?.orderTickSize ?? ONE
+				tickSize: perpMarket?.amm?.orderTickSize ?? ONE,
 			});
 		}
 		for (const market of config.spotMarketInfos) {
@@ -135,7 +134,8 @@ 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
+				tickSize:
+					config.spotMarketSubscribers[market.marketIndex].tickSize ?? ONE,
 			});
 		}
 	}
@@ -399,30 +399,15 @@ 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
-			);
-		})
 
+		publishGroupings(
+			l2Formatted,
+			marketArgs,
+			this.redisClient,
+			clientPrefix,
+			marketType,
+			this.indicativeQuotesRedisClient
+		);
 
 		if (!this.indicativeQuotesRedisClient) {
 			const bids = this.dlob

src/utils/utils.ts

@@ -1,8 +1,8 @@
 import {
 	BN,
+	BigNum,
 	DriftClient,
 	DriftEnv,
-	L2Level,
 	L2OrderBook,
 	L3OrderBook,
 	MarketType,
@@ -21,6 +21,16 @@ import { logger } from './logger';
 import { NextFunction, Request, Response } from 'express';
 import FEATURE_FLAGS from './featureFlags';
 import { Connection } from '@solana/web3.js';
+import { wsMarketArgs } from 'src/dlob-subscriber/DLOBSubscriberIO';
+
+export const GROUPING_OPTIONS = [1, 10, 100, 500, 1000];
+export const GROUPING_DEPENDENCIES = {
+	1: null,
+	10: 1,
+	100: 10,
+	500: 100,
+	1000: 100,
+};
 
 export const l2WithBNToStrings = (l2: L2OrderBook): any => {
 	for (const key of Object.keys(l2)) {
@@ -181,7 +191,7 @@ export function aggregatePrices(entries, side, pricePrecision) {
 		const price = parseFloat(entry.price);
 		const data = {
 			size: parseFloat(entry.size),
-			sources: entry.sources || {}
+			sources: entry.sources || {},
 		};
 
 		let bucketPrice, displayPrice;
@@ -207,19 +217,85 @@ export function aggregatePrices(entries, side, pricePrecision) {
 		bucketData.size += data.size;
 
 		if (data.sources) {
-			Object.entries(data.sources).forEach(([sourceKey, sourceSize]: [string, string]) => {
+			Object.entries(data.sources).forEach(
-				if (!bucketData.sources[sourceKey]) {
+				([sourceKey, sourceSize]: [string, string]) => {
-					bucketData.sources[sourceKey] = 0;
+					if (!bucketData.sources[sourceKey]) {
+						bucketData.sources[sourceKey] = 0;
+					}
+					bucketData.sources[sourceKey] += parseFloat(sourceSize);
 				}
-				bucketData.sources[sourceKey] += parseFloat(sourceSize);
+			);
-			});
 		}
-		
 	});
 
 	return Array.from(result.values());
 }
 
+export function publishGroupings(
+	l2Formatted,
+	marketArgs: wsMarketArgs,
+	redisClient: RedisClient,
+	clientPrefix: string,
+	marketType: string,
+	indicativeQuotesRedisClient: RedisClient
+) {
+	const groupingResults = new Map();
+
+	GROUPING_OPTIONS.forEach((group) => {
+		const pricePrecision = BigNum.from(group).mul(marketArgs.tickSize).toNum();
+		const dependency = GROUPING_DEPENDENCIES[group];
+
+		let fullAggregatedBids, fullAggregatedAsks;
+
+		if (dependency && groupingResults.has(dependency)) {
+			const previousResults = groupingResults.get(dependency);
+
+			fullAggregatedBids = aggregatePrices(
+				previousResults.bids,
+				'bid',
+				pricePrecision
+			).sort((a, b) => b[0] - a[0]);
+
+			fullAggregatedAsks = aggregatePrices(
+				previousResults.asks,
+				'ask',
+				pricePrecision
+			).sort((a, b) => a[0] - b[0]);
+		} else {
+			fullAggregatedBids = aggregatePrices(
+				l2Formatted.bids,
+				'bid',
+				pricePrecision
+			).sort((a, b) => b[0] - a[0]);
+
+			fullAggregatedAsks = aggregatePrices(
+				l2Formatted.asks,
+				'ask',
+				pricePrecision
+			).sort((a, b) => a[0] - b[0]);
+		}
+
+		groupingResults.set(group, {
+			bids: fullAggregatedBids,
+			asks: fullAggregatedAsks,
+		});
+
+		const aggregatedBids = fullAggregatedBids.slice(0, 20);
+		const aggregatedAsks = fullAggregatedAsks.slice(0, 20);
+		const l2Formatted_grouped20 = Object.assign({}, l2Formatted, {
+			bids: aggregatedBids,
+			asks: aggregatedAsks,
+		});
+
+		redisClient.publish(
+			`${clientPrefix}orderbook_${marketType}_${
+				marketArgs.marketIndex
+			}_grouped_${group}${indicativeQuotesRedisClient ? '_indicative' : ''}`,
+			l2Formatted_grouped20
+		);
+	});
+}
+
 /**
  * Takes in a req.query like: `{
  * 		marketName: 'SOL-PERP,BTC-PERP,ETH-PERP',

src/wsConnectionManager.ts

@@ -3,11 +3,10 @@ import express from 'express';
 import * as http from 'http';
 import compression from 'compression';
 import { WebSocket, WebSocketServer } from 'ws';
-import { sleep, selectMostRecentBySlot } from './utils/utils';
+import { sleep, selectMostRecentBySlot, GROUPING_OPTIONS } from './utils/utils';
 import { register, Gauge, Counter } from 'prom-client';
 import { DriftEnv, PerpMarkets, SpotMarkets } from '@drift-labs/sdk';
 import { RedisClient, RedisClientPrefix } from '@drift/common/clients';
-import { GROUPING_OPTIONS } from './dlob-subscriber/DLOBSubscriberIO';
 
 // Set up env constants
 require('dotenv').config();