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try catch in mmQuotes loop

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This commit is contained in:
Nick Caradonna
2025-06-15 10:53:19 -04:00
parent 48c0b3ba75
commit c6c1ef2838
1 changed files with 83 additions and 79 deletions
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162
src/dlob-subscriber/DLOBSubscriberIO.ts
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@@ -155,88 +155,92 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
const nowMinus1000Ms = Date.now() - 1000;
for (const quote of mmQuotes) {
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,
};
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 (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;
}
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;
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;
}
}
} catch (error) {
console.log('skipping mmQuote: ', error);
}
}
}