trade-frontend/apps/visualizer/src/features/market/dlobDerivedMetrics.ts

import type { DlobL2, OrderbookRow } from './useDlobL2';

export const DEFAULT_DLOB_DEPTH_BANDS_BPS = [5, 10, 20, 50, 100, 200] as const;
export const DEFAULT_DLOB_SLIPPAGE_SIZES_USD = [1, 2, 5, 10, 25, 50, 100, 250, 500, 1000, 5000, 10000, 50000] as const;

export type ComputedDlobDepthBandRow = {
  marketName: string;
  bandBps: number;
  midPrice: number | null;
  bestBid: number | null;
  bestAsk: number | null;
  bidUsd: number | null;
  askUsd: number | null;
  bidBase: number | null;
  askBase: number | null;
  imbalance: number | null;
  updatedAt: string | null;
};

export type ComputedDlobSlippageRow = {
  marketName: string;
  side: 'buy' | 'sell';
  sizeUsd: number;
  midPrice: number | null;
  vwapPrice: number | null;
  worstPrice: number | null;
  filledUsd: number | null;
  filledBase: number | null;
  impactBps: number | null;
  levelsConsumed: number | null;
  fillPct: number | null;
  updatedAt: string | null;
};

type OrderbookSide = 'buy' | 'sell';

function levelUsd(level: OrderbookRow): number {
  if (Number.isFinite(level.sizeUsd)) return level.sizeUsd;
  if (Number.isFinite(level.sizeBase) && Number.isFinite(level.price)) return level.sizeBase * level.price;
  return 0;
}

function canonicalBids(l2: DlobL2): OrderbookRow[] {
  return (Array.isArray(l2.bids) ? l2.bids : [])
    .slice()
    .sort((a, b) => b.price - a.price);
}

function canonicalAsks(l2: DlobL2): OrderbookRow[] {
  return (Array.isArray(l2.asks) ? l2.asks.slice().reverse() : [])
    .slice()
    .sort((a, b) => a.price - b.price);
}

function resolveBestBid(l2: DlobL2, bids: OrderbookRow[]): number | null {
  if (l2.bestBid != null && Number.isFinite(l2.bestBid)) return l2.bestBid;
  const price = bids[0]?.price;
  return Number.isFinite(price) ? price : null;
}

function resolveBestAsk(l2: DlobL2, asks: OrderbookRow[]): number | null {
  if (l2.bestAsk != null && Number.isFinite(l2.bestAsk)) return l2.bestAsk;
  const price = asks[0]?.price;
  return Number.isFinite(price) ? price : null;
}

function resolveMidPrice(l2: DlobL2, bestBid: number | null, bestAsk: number | null): number | null {
  if (l2.mid != null && Number.isFinite(l2.mid)) return l2.mid;
  if (bestBid != null && bestAsk != null) return (bestBid + bestAsk) / 2;
  return bestBid ?? bestAsk ?? null;
}

function computeBandDepth(
  bids: OrderbookRow[],
  asks: OrderbookRow[],
  midPrice: number | null,
  bandBps: number
): Pick<ComputedDlobDepthBandRow, 'bidUsd' | 'askUsd' | 'bidBase' | 'askBase' | 'imbalance'> {
  if (midPrice == null || !Number.isFinite(midPrice) || !(midPrice > 0)) {
    return {
      bidUsd: null,
      askUsd: null,
      bidBase: null,
      askBase: null,
      imbalance: null,
    };
  }

  const minBidPrice = midPrice * (1 - bandBps / 10_000);
  const maxAskPrice = midPrice * (1 + bandBps / 10_000);

  let bidBase = 0;
  let askBase = 0;
  let bidUsd = 0;
  let askUsd = 0;

  for (const level of bids) {
    if (!Number.isFinite(level.price) || !Number.isFinite(level.sizeBase)) continue;
    if (level.price < minBidPrice) break;
    bidBase += level.sizeBase;
    bidUsd += levelUsd(level);
  }

  for (const level of asks) {
    if (!Number.isFinite(level.price) || !Number.isFinite(level.sizeBase)) continue;
    if (level.price > maxAskPrice) break;
    askBase += level.sizeBase;
    askUsd += levelUsd(level);
  }

  const denom = bidUsd + askUsd;
  return {
    bidUsd,
    askUsd,
    bidBase,
    askBase,
    imbalance: denom > 0 ? (bidUsd - askUsd) / denom : null,
  };
}

function simulateFill(levels: OrderbookRow[], sizeUsd: number) {
  let remainingUsd = sizeUsd;
  let filledUsd = 0;
  let filledBase = 0;
  let worstPrice: number | null = null;
  let levelsConsumed = 0;

  for (const level of levels) {
    const availableUsd = levelUsd(level);
    if (!(availableUsd > 0) || !Number.isFinite(level.price) || !(level.price > 0)) continue;
    if (remainingUsd <= 0) break;

    levelsConsumed += 1;
    worstPrice = level.price;

    const takeUsd = Math.min(remainingUsd, availableUsd);
    filledUsd += takeUsd;
    filledBase += takeUsd / level.price;
    remainingUsd -= takeUsd;
  }

  return {
    filledUsd,
    filledBase,
    worstPrice,
    levelsConsumed,
    vwapPrice: filledBase > 0 ? filledUsd / filledBase : null,
    fillPct: sizeUsd > 0 ? (filledUsd / sizeUsd) * 100 : null,
  };
}

function impactBps(side: OrderbookSide, midPrice: number | null, vwapPrice: number | null): number | null {
  if (midPrice == null || vwapPrice == null) return null;
  if (!(midPrice > 0) || !Number.isFinite(vwapPrice)) return null;
  if (side === 'buy') return ((vwapPrice / midPrice) - 1) * 10_000;
  return (1 - vwapPrice / midPrice) * 10_000;
}

export function computeDepthBandsFromDlobL2(
  l2: DlobL2 | null | undefined,
  bandList: readonly number[] = DEFAULT_DLOB_DEPTH_BANDS_BPS
): ComputedDlobDepthBandRow[] {
  if (!l2?.marketName) return [];

  const bids = canonicalBids(l2);
  const asks = canonicalAsks(l2);
  const bestBid = resolveBestBid(l2, bids);
  const bestAsk = resolveBestAsk(l2, asks);
  const midPrice = resolveMidPrice(l2, bestBid, bestAsk);
  const updatedAt = l2.updatedAt ?? null;

  return bandList
    .map((bandBps) => Number(bandBps))
    .filter((bandBps, idx, arr) => Number.isFinite(bandBps) && bandBps > 0 && arr.indexOf(bandBps) === idx)
    .sort((a, b) => a - b)
    .map((bandBps) => ({
      marketName: l2.marketName,
      bandBps,
      midPrice,
      bestBid,
      bestAsk,
      updatedAt,
      ...computeBandDepth(bids, asks, midPrice, bandBps),
    }));
}

export function computeSlippageFromDlobL2(
  l2: DlobL2 | null | undefined,
  sizeList: readonly number[] = DEFAULT_DLOB_SLIPPAGE_SIZES_USD
): ComputedDlobSlippageRow[] {
  if (!l2?.marketName) return [];

  const bids = canonicalBids(l2);
  const asks = canonicalAsks(l2);
  const bestBid = resolveBestBid(l2, bids);
  const bestAsk = resolveBestAsk(l2, asks);
  const midPrice = resolveMidPrice(l2, bestBid, bestAsk);
  const updatedAt = l2.updatedAt ?? null;

  if (midPrice == null || !Number.isFinite(midPrice) || !(midPrice > 0)) return [];

  const sizes = sizeList
    .map((sizeUsd) => Number(sizeUsd))
    .filter((sizeUsd, idx, arr) => Number.isFinite(sizeUsd) && sizeUsd > 0 && arr.indexOf(sizeUsd) === idx)
    .sort((a, b) => a - b);

  const rows: ComputedDlobSlippageRow[] = [];

  for (const sizeUsd of sizes) {
    const buyFill = simulateFill(asks, sizeUsd);
    rows.push({
      marketName: l2.marketName,
      side: 'buy',
      sizeUsd,
      midPrice,
      vwapPrice: buyFill.vwapPrice,
      worstPrice: buyFill.worstPrice,
      filledUsd: buyFill.filledUsd,
      filledBase: buyFill.filledBase,
      impactBps: impactBps('buy', midPrice, buyFill.vwapPrice),
      levelsConsumed: buyFill.levelsConsumed,
      fillPct: buyFill.fillPct,
      updatedAt,
    });

    const sellFill = simulateFill(bids, sizeUsd);
    rows.push({
      marketName: l2.marketName,
      side: 'sell',
      sizeUsd,
      midPrice,
      vwapPrice: sellFill.vwapPrice,
      worstPrice: sellFill.worstPrice,
      filledUsd: sellFill.filledUsd,
      filledBase: sellFill.filledBase,
      impactBps: impactBps('sell', midPrice, sellFill.vwapPrice),
      levelsConsumed: sellFill.levelsConsumed,
      fillPct: sellFill.fillPct,
      updatedAt,
    });
  }

  return rows;
}