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Merge pull request #449 from drift-labs/master

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indicative quotes
This commit is contained in:
moosecat
2025-07-10 13:35:52 -07:00
committed by GitHub
parent e62a91c0e6 68094cbda2
commit e7526acf92
1 changed files with 46 additions and 26 deletions
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72
src/dlob-subscriber/DLOBSubscriberIO.ts
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@@ -13,6 +13,7 @@ import {
PerpOperation, PerpOperation,
PositionDirection, PositionDirection,
ZERO, ZERO,
calculateBidAskPrice,
getLimitPrice, getLimitPrice,
isOperationPaused, isOperationPaused,
isVariant, isVariant,
@@ -39,7 +40,7 @@ export type wsMarketArgs = {
numVammOrders?: number; numVammOrders?: number;
fallbackL2Generators?: L2OrderBookGenerator[]; fallbackL2Generators?: L2OrderBookGenerator[];
updateOnChange?: boolean; updateOnChange?: boolean;
tickSize?: BN; tickSize: BN;
}; };
require('dotenv').config(); require('dotenv').config();
@@ -162,13 +163,13 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
: this.driftClient.getOracleDataForSpotMarket( : this.driftClient.getOracleDataForSpotMarket(
marketArgs.marketIndex marketArgs.marketIndex
); );
const bestBid = dlob.getBestBid( const bestDlobBid = dlob.getBestBid(
marketArgs.marketIndex, marketArgs.marketIndex,
this.slotSource.getSlot(), this.slotSource.getSlot(),
marketArgs.marketType, marketArgs.marketType,
oraclePriceData oraclePriceData
); );
const bestAsk = dlob.getBestAsk( const bestDlobAsk = dlob.getBestAsk(
marketArgs.marketIndex, marketArgs.marketIndex,
this.slotSource.getSlot(), this.slotSource.getSlot(),
marketArgs.marketType, marketArgs.marketType,
@@ -179,6 +180,21 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
? 'perp' ? 'perp'
: 'spot'; : 'spot';
let bestBid = bestDlobBid;
let bestAsk = bestDlobAsk;
if (marketType === 'perp') {
const [bestVammBid, bestVammAsk] = calculateBidAskPrice(
this.driftClient.getPerpMarketAccount(marketArgs.marketIndex).amm,
oraclePriceData,
true
);
bestBid =
bestBid && bestBid.gt(bestVammBid) ? bestBid : bestVammBid;
bestAsk =
bestAsk && bestAsk.lt(bestVammAsk) ? bestAsk : bestVammAsk;
}
const mms = await this.indicativeQuotesRedisClient.smembers( const mms = await this.indicativeQuotesRedisClient.smembers(
`market_mms_${marketType}_${marketArgs.marketIndex}` `market_mms_${marketType}_${marketArgs.marketIndex}`
); );
@@ -228,19 +244,18 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
if (quote['bid_size'] && quote['bid_price'] != null) { if (quote['bid_size'] && quote['bid_price'] != null) {
// Sanity check bid price and size // Sanity check bid price and size
const indicativeBid: Order = Object.assign( let indicativeBid: Order = Object.assign(
{}, {},
indicativeBaseOrder, indicativeBaseOrder,
{ {
orderId: indicativeOrderId, orderId: indicativeOrderId,
baseAssetAmount: new BN(quote['bid_size']),
oraclePriceOffset: quote['is_oracle_offset'] oraclePriceOffset: quote['is_oracle_offset']
? quote['bid_price'] ? quote['bid_price']
: 0, : 0,
price: quote['is_oracle_offset'] price: quote['is_oracle_offset']
? 0 ? 0
: new BN(quote['bid_price']), : new BN(quote['bid_price']),
baseAssetAmount: new BN(quote['bid_size']),
direction: PositionDirection.LONG,
} }
); );
const limitPrice = getLimitPrice( const limitPrice = getLimitPrice(
@@ -248,18 +263,22 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
oraclePriceData, oraclePriceData,
this.slotSource.getSlot() this.slotSource.getSlot()
); );
if (limitPrice.lte(bestBid)) { if (bestBid && limitPrice.gt(bestBid)) {
this.dlob.insertOrder( indicativeBid = Object.assign({}, indicativeBid, {
indicativeBid, price: bestBid,
INDICATIVE_QUOTES_PUBKEY, oraclePriceOffset: 0,
this.slotSource.getSlot(), });
false
);
indicativeOrderId += 1;
} }
this.dlob.insertOrder(
indicativeBid,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
);
indicativeOrderId += 1;
} }
if (quote['ask_size'] && quote['ask_price'] != null) { if (quote['ask_size'] && quote['ask_price'] != null) {
const indicativeAsk: Order = Object.assign( let indicativeAsk: Order = Object.assign(
{}, {},
indicativeBaseOrder, indicativeBaseOrder,
{ {
@@ -279,15 +298,19 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
oraclePriceData, oraclePriceData,
this.slotSource.getSlot() this.slotSource.getSlot()
); );
if (limitPrice.gte(bestAsk)) { if (bestAsk && limitPrice.lt(bestAsk)) {
this.dlob.insertOrder( indicativeAsk = Object.assign({}, indicativeAsk, {
indicativeAsk, price: bestAsk,
INDICATIVE_QUOTES_PUBKEY, oraclePriceOffset: 0,
this.slotSource.getSlot(), });
false
);
indicativeOrderId += 1;
} }
this.dlob.insertOrder(
indicativeAsk,
INDICATIVE_QUOTES_PUBKEY,
this.slotSource.getSlot(),
false
);
indicativeOrderId += 1;
} }
} }
} }
@@ -419,9 +442,6 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
lastMarketSlotAndTime && lastMarketSlotAndTime &&
l2Formatted['marketSlot'] !== lastMarketSlotAndTime.slot l2Formatted['marketSlot'] !== lastMarketSlotAndTime.slot
) { ) {
logger.warn(
`Updating market slot for ${marketArgs.marketName} from ${lastMarketSlotAndTime.slot} -> ${l2Formatted['marketSlot']}`
);
this.lastMarketSlotMap this.lastMarketSlotMap
.get(marketArgs.marketType) .get(marketArgs.marketType)
.set(marketArgs.marketIndex, { .set(marketArgs.marketIndex, {