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indicative quotes v2 (#420)

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* indicative quotes v2

* bump common
This commit is contained in:
moosecat
2025-06-16 09:38:31 -07:00
committed by GitHub
parent 2bfe3e1f47
commit b4ed7cc31c
2 changed files with 121 additions and 109 deletions
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165
src/dlob-subscriber/DLOBSubscriberIO.ts
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@@ -145,98 +145,101 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
const mms = await this.indicativeQuotesRedisClient.smembers(
`market_mms_${marketType}_${marketArgs.marketIndex}`
);
const mmQuotes = await Promise.all(
let mmQuotes: any = await Promise.all(
mms.map((mm) => {
return this.indicativeQuotesRedisClient.get(
`mm_quotes_${marketType}_${marketArgs.marketIndex}_${mm}`
`mm_quotes_v2_${marketType}_${marketArgs.marketIndex}_${mm}`
);
})
);
mmQuotes = mmQuotes.filter((x) => !!x);
const nowMinus1000Ms = Date.now() - 1000;
for (const quote of mmQuotes) {
for (const quotes of mmQuotes) {
try {
if (Number(quote['ts']) > nowMinus1000Ms) {
const indicativeBaseOrder: Order = {
status: OrderStatus.OPEN,
orderType: OrderType.LIMIT,
orderId: 0,
slot: new BN(this.slotSource.getSlot()),
marketIndex: marketArgs.marketIndex,
marketType: marketArgs.marketType,
baseAssetAmount: ZERO,
immediateOrCancel: false,
direction: PositionDirection.LONG,
oraclePriceOffset: 0,
maxTs: new BN(quote['ts'] + 1000),
reduceOnly: false,
triggerCondition: OrderTriggerCondition.ABOVE,
price: ZERO,
userOrderId: 0,
postOnly: true,
auctionDuration: 0,
auctionStartPrice: ZERO,
auctionEndPrice: ZERO,
// Rest are not necessary and set for type conforming
existingPositionDirection: PositionDirection.LONG,
triggerPrice: ZERO,
baseAssetAmountFilled: ZERO,
quoteAssetAmountFilled: ZERO,
quoteAssetAmount: ZERO,
bitFlags: 0,
postedSlotTail: 0,
};
if (Number(quotes['ts']) > nowMinus1000Ms) {
for (const quote of quotes['quotes']) {
const indicativeBaseOrder: Order = {
status: OrderStatus.OPEN,
orderType: OrderType.LIMIT,
orderId: 0,
slot: new BN(this.slotSource.getSlot()),
marketIndex: marketArgs.marketIndex,
marketType: marketArgs.marketType,
baseAssetAmount: ZERO,
immediateOrCancel: false,
direction: PositionDirection.LONG,
oraclePriceOffset: 0,
maxTs: new BN(quote['ts'] + 1000),
reduceOnly: false,
triggerCondition: OrderTriggerCondition.ABOVE,
price: ZERO,
userOrderId: 0,
postOnly: true,
auctionDuration: 0,
auctionStartPrice: ZERO,
auctionEndPrice: ZERO,
// Rest are not necessary and set for type conforming
existingPositionDirection: PositionDirection.LONG,
triggerPrice: ZERO,
baseAssetAmountFilled: ZERO,
quoteAssetAmountFilled: ZERO,
quoteAssetAmount: ZERO,
bitFlags: 0,
postedSlotTail: 0,
};
if (quote['bid_size'] && quote['bid_price'] != null) {
// Sanity check bid price and size
if (quote['bid_size'] && quote['bid_price'] != null) {
// Sanity check bid price and size
const indicativeBid: Order = Object.assign(
{},
indicativeBaseOrder,
{
orderId: indicativeOrderId,
oraclePriceOffset: quote['is_oracle_offset']
? quote['bid_price']
: 0,
price: quote['is_oracle_offset']
? 0
: new BN(quote['bid_price']),
baseAssetAmount: new BN(quote['bid_size']),
direction: PositionDirection.LONG,
}
);
this.dlob.insertOrder(
indicativeBid,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
);
indicativeOrderId += 1;
}
const indicativeBid: Order = Object.assign(
{},
indicativeBaseOrder,
{
orderId: indicativeOrderId,
oraclePriceOffset: quote['is_oracle_offset']
? quote['bid_price']
: 0,
price: quote['is_oracle_offset']
? 0
: new BN(quote['bid_price']),
baseAssetAmount: new BN(quote['bid_size']),
direction: PositionDirection.LONG,
}
);
this.dlob.insertOrder(
indicativeBid,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
);
indicativeOrderId += 1;
}
if (quote['ask_size'] && quote['ask_price'] != null) {
const indicativeAsk: Order = Object.assign(
{},
indicativeBaseOrder,
{
orderId: indicativeOrderId,
oraclePriceOffset: quote['is_oracle_offset']
? quote['ask_price']
: 0,
price: quote['is_oracle_offset']
? 0
: new BN(quote['ask_price']),
baseAssetAmount: new BN(quote['ask_size']),
direction: PositionDirection.SHORT,
}
);
this.dlob.insertOrder(
indicativeAsk,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
);
indicativeOrderId += 1;
if (quote['ask_size'] && quote['ask_price'] != null) {
const indicativeAsk: Order = Object.assign(
{},
indicativeBaseOrder,
{
orderId: indicativeOrderId,
oraclePriceOffset: quote['is_oracle_offset']
? quote['ask_price']
: 0,
price: quote['is_oracle_offset']
? 0
: new BN(quote['ask_price']),
baseAssetAmount: new BN(quote['ask_size']),
direction: PositionDirection.SHORT,
}
);
this.dlob.insertOrder(
indicativeAsk,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
);
indicativeOrderId += 1;
}
}
}
} catch (error) {