Merge pull request #225 from drift-labs/master

openbook + vamm threshold

src/dlob-subscriber/DLOBSubscriberIO.ts

@@ -33,7 +33,7 @@ require('dotenv').config();
 
 const PERP_MAKRET_STALENESS_THRESHOLD = 30 * 60 * 1000;
 const SPOT_MAKRET_STALENESS_THRESHOLD = 60 * 60 * 1000;
-const STALE_ORACLE_REMOVE_VAMM_THRESHOLD = 100;
+const STALE_ORACLE_REMOVE_VAMM_THRESHOLD = 10;
 
 const PERP_MARKETS_TO_SKIP_SLOT_CHECK =
 	process.env.PERP_MARKETS_TO_SKIP_SLOT_CHECK !== undefined
@@ -109,6 +109,7 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 				updateOnChange: false,
 				fallbackL2Generators: [
 					config.spotMarketSubscribers[market.marketIndex].phoenix,
+					config.spotMarketSubscribers[market.marketIndex].openbook,
 				].filter((a) => !!a),
 			});
 		}

src/index.ts

@@ -45,6 +45,7 @@ import {
 	validateDlobQuery,
 	getAccountFromId,
 	getRawAccountFromId,
+	getOpenbookSubscriber,
 } from './utils/utils';
 import FEATURE_FLAGS from './utils/featureFlags';
 import { getDLOBProviderFromOrderSubscriber } from './dlobProvider';
@@ -144,6 +145,7 @@ const initializeAllMarketSubscribers = async (driftClient: DriftClient) => {
 	for (const market of sdkConfig.SPOT_MARKETS) {
 		markets[market.marketIndex] = {
 			phoenix: undefined,
+			openbook: undefined,
 		};
 
 		if (market.phoenixMarket) {
@@ -177,6 +179,28 @@ const initializeAllMarketSubscribers = async (driftClient: DriftClient) => {
 				}
 			}
 		}
+
+		if (market.openbookMarket) {
+			const openbookConfigAccount =
+				await driftClient.getOpenbookV2FulfillmentConfig(market.openbookMarket);
+			if (isVariant(openbookConfigAccount.status, 'enabled')) {
+				const openbookSubscriber = getOpenbookSubscriber(
+					driftClient,
+					market,
+					sdkConfig
+				);
+				await openbookSubscriber.subscribe();
+				try {
+					openbookSubscriber.getL2Asks();
+					openbookSubscriber.getL2Bids();
+					markets[market.marketIndex].openbook = openbookSubscriber;
+				} catch (e) {
+					logger.info(
+						`Excluding openbook for ${market.marketIndex}, error: ${e}`
+					);
+				}
+			}
+		}
 	}
 
 	return markets;
@@ -633,6 +657,7 @@ const main = async (): Promise<void> => {
 				numVammOrders,
 				includeVamm,
 				includePhoenix,
+				includeOpenbook,
 				includeOracle,
 			} = req.query;
 
@@ -676,7 +701,11 @@ const main = async (): Promise<void> => {
 							}
 						}
 					}
-				} else if (isSpot && `${includePhoenix}`?.toLowerCase() === 'true') {
+				} else if (
+					isSpot &&
+					`${includePhoenix}`?.toLowerCase() === 'true' &&
+					`${includeOpenbook}`?.toLowerCase() === 'true'
+				) {
 					const redisClient = spotMarketRedisMap.get(normedMarketIndex).client;
 					const redisL2 = await redisClient.get(
 						`last_update_orderbook_spot_${normedMarketIndex}`
@@ -720,6 +749,8 @@ const main = async (): Promise<void> => {
 					? [
 							`${includePhoenix}`.toLowerCase() === 'true' &&
 								MARKET_SUBSCRIBERS[normedMarketIndex].phoenix,
+							`${includeOpenbook}`.toLowerCase() === 'true' &&
+								MARKET_SUBSCRIBERS[normedMarketIndex].openbook,
 					  ].filter((a) => !!a)
 					: [],
 			});
@@ -755,6 +786,7 @@ const main = async (): Promise<void> => {
 				depth,
 				includeVamm,
 				includePhoenix,
+				includeOpenbook,
 				includeOracle,
 			} = req.query;
 
@@ -765,6 +797,7 @@ const main = async (): Promise<void> => {
 				depth: depth as string | undefined,
 				includeVamm: includeVamm as string | undefined,
 				includePhoenix: includePhoenix as string | undefined,
+				includeOpenbook: includeOpenbook as string | undefined,
 				includeOracle: includeOracle as string | undefined,
 			});
 
@@ -831,7 +864,8 @@ const main = async (): Promise<void> => {
 							}
 						} else if (
 							isSpot &&
-							normedParam['includePhoenix']?.toLowerCase() === 'true'
+							normedParam['includePhoenix']?.toLowerCase() === 'true' &&
+							normedParam['includeOpenbook']?.toLowerCase() === 'true'
 						) {
 							const redisClient =
 								spotMarketRedisMap.get(normedMarketIndex).client;
@@ -880,6 +914,8 @@ const main = async (): Promise<void> => {
 							? [
 									`${normedParam['includePhoenix']}`.toLowerCase() === 'true' &&
 										MARKET_SUBSCRIBERS[normedMarketIndex].phoenix,
+									`${normedParam['includeOpenbook']}`.toLowerCase() ===
+										'true' && MARKET_SUBSCRIBERS[normedMarketIndex].openbook,
 							  ].filter((a) => !!a)
 							: [],
 					});

src/publishers/dlobPublisher.ts

@@ -22,7 +22,12 @@ import {
 import { RedisClient, RedisClientPrefix } from '@drift/common';
 
 import { logger, setLogLevel } from '../utils/logger';
-import { SubscriberLookup, parsePositiveIntArray, sleep } from '../utils/utils';
+import {
+	SubscriberLookup,
+	getOpenbookSubscriber,
+	parsePositiveIntArray,
+	sleep,
+} from '../utils/utils';
 import {
 	DLOBSubscriberIO,
 	wsMarketInfo,
@@ -233,6 +238,34 @@ const initializeAllMarketSubscribers = async (driftClient: DriftClient) => {
 				}
 			}
 		}
+
+		if (marketConfig.openbookMarket) {
+			const openbookMarketAccount =
+				await driftClient.getOpenbookV2FulfillmentConfig(
+					marketConfig.openbookMarket
+				);
+
+			if (isVariant(openbookMarketAccount.status, 'enabled')) {
+				logger.info(
+					`Loading openbook subscriber for spot market ${market.marketIndex}`
+				);
+				const openbookSubscriber = getOpenbookSubscriber(
+					driftClient,
+					marketConfig,
+					sdkConfig
+				);
+				await openbookSubscriber.subscribe();
+				try {
+					openbookSubscriber.getL2Asks();
+					openbookSubscriber.getL2Bids();
+					markets[market.marketIndex].openbook = openbookSubscriber;
+				} catch (e) {
+					logger.info(
+						`Excluding openbook for ${market.marketIndex}, error: ${e}`
+					);
+				}
+			}
+		}
 	}
 
 	return markets;

src/publishers/priorityFeesPublisher.ts

@@ -212,6 +212,10 @@ const main = async () => {
 			pubkeysForMarket.push(market.phoenixMarket.toString());
 		}
 
+		if (market.openbookMarket) {
+			pubkeysForMarket.push(market.openbookMarket.toString());
+		}
+
 		spotMarketPubkeys.push({
 			marketIndex: market.marketIndex,
 			pubkeys: pubkeysForMarket,

src/utils/utils.ts

@@ -4,6 +4,7 @@ import {
 	L2OrderBook,
 	L3OrderBook,
 	MarketType,
+	OpenbookV2Subscriber,
 	OraclePriceData,
 	PerpMarkets,
 	PhoenixSubscriber,
@@ -436,9 +437,25 @@ export const getSerumSubscriber = (
 	});
 };
 
+export const getOpenbookSubscriber = (
+	driftClient: DriftClient,
+	marketConfig: SpotMarketConfig,
+	sdkConfig
+): OpenbookV2Subscriber => {
+	return new OpenbookV2Subscriber({
+		connection: driftClient.connection,
+		programId: new PublicKey(sdkConfig.OPENBOOK),
+		marketAddress: marketConfig.openbookMarket,
+		accountSubscription: {
+			type: 'websocket',
+		},
+	});
+};
+
 export type SubscriberLookup = {
 	[marketIndex: number]: {
 		phoenix?: PhoenixSubscriber;
 		serum?: SerumSubscriber;
+		openbook?: OpenbookV2Subscriber;
 	};
 };