124 lines
3.4 KiB
TypeScript
124 lines
3.4 KiB
TypeScript
import {
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BN,
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DLOBSubscriber,
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DLOBSubscriptionConfig,
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DevnetPerpMarkets,
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DevnetSpotMarkets,
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L2OrderBookGenerator,
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MainnetPerpMarkets,
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MainnetSpotMarkets,
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MarketType,
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groupL2,
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isVariant,
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} from '@drift-labs/sdk';
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import { getOracleForMarket, l2WithBNToStrings } from '../utils/utils';
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import { RedisClient } from '../utils/redisClient';
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import { driftEnv } from '../publishers/dlobPublisher';
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type wsMarketL2Args = {
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marketIndex: number;
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marketType: MarketType;
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marketName: string;
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depth: number;
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includeVamm: boolean;
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numVammOrders?: number;
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grouping?: number;
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fallbackL2Generators?: L2OrderBookGenerator[];
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updateOnChange?: boolean;
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};
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export class DLOBSubscriberIO extends DLOBSubscriber {
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public marketL2Args: wsMarketL2Args[] = [];
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public lastSeenL2Formatted: Map<MarketType, Map<number, any>>;
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redisClient: RedisClient;
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constructor(config: DLOBSubscriptionConfig & { redisClient: RedisClient }) {
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super(config);
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this.redisClient = config.redisClient;
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// Set up appropriate maps
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this.lastSeenL2Formatted = new Map();
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this.lastSeenL2Formatted.set(MarketType.SPOT, new Map());
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this.lastSeenL2Formatted.set(MarketType.PERP, new Map());
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// Add all active markets to the market L2Args
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const perpMarkets =
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driftEnv === 'devnet' ? DevnetPerpMarkets : MainnetPerpMarkets;
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const spotMarkets =
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driftEnv === 'devnet' ? DevnetSpotMarkets : MainnetSpotMarkets;
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for (const market of perpMarkets) {
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this.marketL2Args.push({
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marketIndex: market.marketIndex,
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marketType: MarketType.PERP,
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marketName: market.symbol,
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depth: -1,
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includeVamm: true,
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numVammOrders: 100,
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updateOnChange: true,
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fallbackL2Generators: [],
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});
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}
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for (const market of spotMarkets) {
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this.marketL2Args.push({
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marketIndex: market.marketIndex,
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marketType: MarketType.SPOT,
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marketName: market.symbol,
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depth: -1,
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includeVamm: false,
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updateOnChange: true,
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fallbackL2Generators: [],
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});
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}
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}
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override async updateDLOB(): Promise<void> {
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await super.updateDLOB();
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for (const l2Args of this.marketL2Args) {
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this.getL2AndSendMsg(l2Args);
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}
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}
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getL2AndSendMsg(l2Args: wsMarketL2Args): void {
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const grouping = l2Args.grouping;
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const { marketName, ...l2FuncArgs } = l2Args;
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const l2 = this.getL2(l2FuncArgs);
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const marketType = isVariant(l2Args.marketType, 'perp') ? 'perp' : 'spot';
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let l2Formatted: any;
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if (grouping) {
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const groupingBN = new BN(grouping);
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l2Formatted = l2WithBNToStrings(groupL2(l2, groupingBN, l2Args.depth));
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} else {
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l2Formatted = l2WithBNToStrings(l2);
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}
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if (l2Args.updateOnChange) {
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if (
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this.lastSeenL2Formatted
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.get(l2Args.marketType)
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?.get(l2Args.marketIndex) === JSON.stringify(l2Formatted)
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)
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return;
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}
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this.lastSeenL2Formatted
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.get(l2Args.marketType)
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?.set(l2Args.marketIndex, JSON.stringify(l2Formatted));
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l2Formatted['marketName'] = marketName?.toUpperCase();
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l2Formatted['marketType'] = marketType?.toLowerCase();
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l2Formatted['marketIndex'] = l2Args.marketIndex;
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l2Formatted['oracle'] = getOracleForMarket(
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this.driftClient,
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l2Args.marketType,
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l2Args.marketIndex
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);
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this.redisClient.client.publish(
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`orderbook_${marketType}_${l2Args.marketIndex}`,
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JSON.stringify(l2Formatted)
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);
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this.redisClient.client.set(
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`last_update_orderbook_${marketType}_${l2Args.marketIndex}`,
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JSON.stringify(l2Formatted)
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);
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}
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}
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