Merge pull request #26 from drift-labs/luke/add-oracle-data

Added oracle data to l2 responses

src/dlob-subscriber/DLOBSubscriberIO.ts

@@ -11,9 +11,9 @@ import {
 	groupL2,
 	isVariant,
 } from '@drift-labs/sdk';
-import { getOracleForMarket, l2WithBNToStrings } from '../utils/utils';
-import { RedisClient } from '../utils/redisClient';
 import { driftEnv } from '../publishers/dlobPublisher';
+import { RedisClient } from '../utils/redisClient';
+import { addOracletoResponse, l2WithBNToStrings } from '../utils/utils';
 
 type wsMarketL2Args = {
 	marketIndex: number;
@@ -106,7 +106,8 @@ export class DLOBSubscriberIO extends DLOBSubscriber {
 		l2Formatted['marketName'] = marketName?.toUpperCase();
 		l2Formatted['marketType'] = marketType?.toLowerCase();
 		l2Formatted['marketIndex'] = l2Args.marketIndex;
-		l2Formatted['oracle'] = getOracleForMarket(
+		addOracletoResponse(
+			l2Formatted,
 			this.driftClient,
 			l2Args.marketType,
 			l2Args.marketIndex

src/index.ts

@@ -1,48 +1,48 @@
 import { program } from 'commander';
+import compression from 'compression';
+import cors from 'cors';
 import express from 'express';
 import rateLimit from 'express-rate-limit';
-import compression from 'compression';
 import morgan from 'morgan';
-import cors from 'cors';
 
-import { Connection, Commitment, PublicKey, Keypair } from '@solana/web3.js';
+import { Commitment, Connection, Keypair, PublicKey } from '@solana/web3.js';
 
 import {
-	getVariant,
+	BN,
-	DriftClient,
+	BulkAccountLoader,
-	initialize,
+	DLOBNode,
-	DriftEnv,
-	UserMap,
 	DLOBOrder,
 	DLOBOrders,
 	DLOBOrdersCoder,
-	DLOBNode,
-	isVariant,
-	BN,
-	groupL2,
-	Wallet,
-	UserStatsMap,
 	DLOBSubscriber,
-	BulkAccountLoader,
+	DriftClient,
+	DriftEnv,
+	UserMap,
+	UserStatsMap,
+	Wallet,
+	getVariant,
+	groupL2,
+	initialize,
+	isVariant,
 } from '@drift-labs/sdk';
 
 import { logger, setLogLevel } from './utils/logger';
 
+import { Mutex } from 'async-mutex';
 import * as http from 'http';
+import { handleHealthCheck } from './core/metrics';
+import { handleResponseTime } from './core/middleware';
 import {
-	l2WithBNToStrings,
-	sleep,
-	getOracleForMarket,
-	normalizeBatchQueryParams,
 	SubscriberLookup,
+	addOracletoResponse,
 	errorHandler,
 	getPhoenixSubscriber,
 	getSerumSubscriber,
+	l2WithBNToStrings,
+	normalizeBatchQueryParams,
+	sleep,
 	validateDlobQuery,
 } from './utils/utils';
-import { handleResponseTime } from './core/middleware';
-import { handleHealthCheck } from './core/metrics';
-import { Mutex } from 'async-mutex';
 
 require('dotenv').config();
 const driftEnv = (process.env.ENV || 'devnet') as DriftEnv;
@@ -639,7 +639,8 @@ const main = async () => {
 					groupL2(l2, groupingBN, finalDepth)
 				);
 				if (`${includeOracle}`.toLowerCase() === 'true') {
-					l2Formatted['oracle'] = getOracleForMarket(
+					addOracletoResponse(
+						l2Formatted,
 						driftClient,
 						normedMarketType,
 						normedMarketIndex
@@ -652,7 +653,8 @@ const main = async () => {
 				// make the BNs into strings
 				const l2Formatted = l2WithBNToStrings(l2);
 				if (`${includeOracle}`.toLowerCase() === 'true') {
-					l2Formatted['oracle'] = getOracleForMarket(
+					addOracletoResponse(
+						l2Formatted,
 						driftClient,
 						normedMarketType,
 						normedMarketIndex
@@ -760,7 +762,8 @@ const main = async () => {
 						groupL2(l2, groupingBN, finalDepth)
 					);
 					if (`${normedParam['includeOracle']}`.toLowerCase() === 'true') {
-						l2Formatted['oracle'] = getOracleForMarket(
+						addOracletoResponse(
+							l2Formatted,
 							driftClient,
 							normedMarketType,
 							normedMarketIndex
@@ -771,7 +774,8 @@ const main = async () => {
 					// make the BNs into strings
 					const l2Formatted = l2WithBNToStrings(l2);
 					if (`${normedParam['includeOracle']}`.toLowerCase() === 'true') {
-						l2Formatted['oracle'] = getOracleForMarket(
+						addOracletoResponse(
+							l2Formatted,
 							driftClient,
 							normedMarketType,
 							normedMarketIndex
@@ -821,7 +825,8 @@ const main = async () => {
 			}
 
 			if (`${includeOracle}`.toLowerCase() === 'true') {
-				l3['oracle'] = getOracleForMarket(
+				addOracletoResponse(
+					l3,
 					driftClient,
 					normedMarketType,
 					normedMarketIndex
@@ -852,4 +857,4 @@ async function recursiveTryCatch(f: () => void) {
 
 recursiveTryCatch(() => main());
 
-export { sdkConfig, endpoint, wsEndpoint, driftEnv, commitHash, driftClient };
+export { commitHash, driftClient, driftEnv, endpoint, sdkConfig, wsEndpoint };

src/utils/featureFlags.ts

@@ -0,0 +1,7 @@
+// TODO : Is it worth adding proper infrastructure for feature flags? .. Would allow more powerful things like toggling them at runtime rather than being hardcoded
+export const FEATURE_FLAGS = {
+	OLD_ORACLE_PRICE_IN_L2: true, // TODO : Remove this once we're confident that NEW_ORACLE_DATA_IN_L2 works .. delete corresponding code
+	NEW_ORACLE_DATA_IN_L2: true,
+};
+
+export default FEATURE_FLAGS;

src/utils/utils.ts

@@ -2,7 +2,9 @@ import {
 	DriftClient,
 	DriftEnv,
 	L2OrderBook,
+	L3OrderBook,
 	MarketType,
+	OraclePriceData,
 	PerpMarkets,
 	PhoenixSubscriber,
 	PublicKey,
@@ -13,6 +15,7 @@ import {
 } from '@drift-labs/sdk';
 import { logger } from './logger';
 import { NextFunction, Request, Response } from 'express';
+import FEATURE_FLAGS from './featureFlags';
 
 export const l2WithBNToStrings = (l2: L2OrderBook): any => {
 	for (const key of Object.keys(l2)) {
@@ -48,6 +51,67 @@ export const getOracleForMarket = (
 	}
 };
 
+type SerializableOraclePriceData = {
+	price: string;
+	slot: string;
+	confidence: string;
+	hasSufficientNumberOfDataPoints: boolean;
+	twap?: string;
+	twapConfidence?: string;
+};
+
+const getSerializableOraclePriceData = (
+	oraclePriceData: OraclePriceData
+): SerializableOraclePriceData => {
+	return {
+		price: oraclePriceData.price?.toString?.(),
+		slot: oraclePriceData.slot?.toString?.(),
+		confidence: oraclePriceData.confidence?.toString?.(),
+		hasSufficientNumberOfDataPoints:
+			oraclePriceData.hasSufficientNumberOfDataPoints,
+		twap: oraclePriceData.twap?.toString?.(),
+		twapConfidence: oraclePriceData.twapConfidence?.toString?.(),
+	};
+};
+
+export const getOracleDataForMarket = (
+	driftClient: DriftClient,
+	marketType: MarketType,
+	marketIndex: number
+): SerializableOraclePriceData => {
+	if (isVariant(marketType, 'spot')) {
+		return getSerializableOraclePriceData(
+			driftClient.getOracleDataForSpotMarket(marketIndex)
+		);
+	} else if (isVariant(marketType, 'perp')) {
+		return getSerializableOraclePriceData(
+			driftClient.getOracleDataForPerpMarket(marketIndex)
+		);
+	}
+};
+
+export const addOracletoResponse = (
+	response: L2OrderBook | L3OrderBook,
+	driftClient: DriftClient,
+	marketType: MarketType,
+	marketIndex: number
+): void => {
+	if (FEATURE_FLAGS.OLD_ORACLE_PRICE_IN_L2) {
+		response['oracle'] = getOracleForMarket(
+			driftClient,
+			marketType,
+			marketIndex
+		);
+	}
+	if (FEATURE_FLAGS.NEW_ORACLE_DATA_IN_L2) {
+		response['oracleData'] = getOracleDataForMarket(
+			driftClient,
+			marketType,
+			marketIndex
+		);
+	}
+};
+
 /**
  * Takes in a req.query like: `{
  * 		marketName: 'SOL-PERP,BTC-PERP,ETH-PERP',