sdk: add L2 and L3 orderbook view (#445)

* inital L2 and L3 methods * vamm order prototype * l2 orderbook uses vamm * simplify the getL2 and getL3 function signatures * getL2/getL3 methods on DLOBSubscriber * tweak L2/L3 types * work for serum * tweak imports * fix falsey check * add http status code if DLOBApiClient fails * v2.26.0-beta.0 * ts-sdk: add @ellipsis-labs/phoenix-sdk * Add phoenix subscriber (#444) * Add phoenix subscriber * Address PR comments * update CHANGELOG.md * v2.26.0-beta.1 * program: check max_token_deposits at the end of fill_spot_order (#441) * bigz/spot-fill-max-check * address feedback bugs * CHANGELOG --------- Co-authored-by: Chris Heaney <[email protected]> * program: fix overflow error in if staking math (#443) * bigz/fix-large-insurance-math-error * update CHANGELOG.md * CHANGELOG * fix warning * jsdocs * use getMakerLimitBids/Asks for now --------- Co-authored-by: wphan <[email protected]> Co-authored-by: Jarry Xiao <[email protected]> Co-authored-by: bigzPubkey <[email protected]>
drift-labs · Apr 27, 2023 · 2f533ea · 2f533ea
1 parent 84ee075
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -9,6 +9,7 @@ and this project adheres to [Semantic Versioning](https://semver.org/spec/v2.0.0
 
 ### Features
 
+- program: add L2 and L3 view of DLOB ([#445](https://github.com/drift-labs/protocol-v2/pull/445))
 - ts-sdk: new DLOBSubscriber class to keep updated DLOB ([#439](https://github.com/drift-labs/protocol-v2/pull/439))
 - program: add support for phoenix spot markets ([#437](https://github.com/drift-labs/protocol-v2/pull/437))
 - sdk: ability to add stake from subaccount

diff --git a/programs/drift/src/controller/insurance/tests.rs b/programs/drift/src/controller/insurance/tests.rs
@@ -215,7 +215,8 @@ pub fn large_num_seeded_stake_if_test() {
         number_of_sub_accounts: 0,
         ..UserStats::default()
     };
-    let amount = 199_000_001 as u64; // ~200M + 1
+
+    let amount = 199_000_001; // ~200M + 1
 
     // all funds in revenue pool
     let mut spot_market = SpotMarket {

diff --git a/sdk/src/dlob/DLOB.ts b/sdk/src/dlob/DLOB.ts
@@ -1,37 +1,48 @@
 import { getOrderSignature, getVammNodeGenerator, NodeList } from './NodeList';
 import {
-	MarketType,
 	BN,
 	calculateAskPrice,
 	calculateBidPrice,
-	DriftClient,
 	convertToNumber,
-	isOrderExpired,
+	DLOBNode,
+	DLOBNodeType,
+	DriftClient,
+	getLimitPrice,
+	getVariant,
+	isFallbackAvailableLiquiditySource,
 	isOneOfVariant,
+	isOrderExpired,
+	isRestingLimitOrder,
+	isTakingOrder,
+	isTriggered,
 	isVariant,
-	getVariant,
+	MarketType,
+	MarketTypeStr,
+	mustBeTriggered,
+	OraclePriceData,
 	Order,
-	PRICE_PRECISION,
-	SpotMarketAccount,
+	OrderActionRecord,
+	OrderRecord,
 	PerpMarketAccount,
-	OraclePriceData,
+	PRICE_PRECISION,
 	SlotSubscriber,
-	MarketTypeStr,
+	SpotMarketAccount,
 	StateAccount,
-	mustBeTriggered,
-	isTriggered,
-	getLimitPrice,
+	TriggerOrderNode,
 	UserMap,
-	OrderRecord,
-	OrderActionRecord,
-	isRestingLimitOrder,
-	isTakingOrder,
-	isFallbackAvailableLiquiditySource,
 } from '..';
 import { PublicKey } from '@solana/web3.js';
-import { DLOBNode, DLOBNodeType, TriggerOrderNode } from '..';
 import { ammPaused, exchangePaused, fillPaused } from '../math/exchangeStatus';
 import { DLOBOrders } from './DLOBOrders';
+import {
+	createL2Levels,
+	getL2GeneratorFromDLOBNodes,
+	L2OrderBook,
+	L2OrderBookGenerator,
+	L3Level,
+	L3OrderBook,
+	mergeL2LevelGenerators,
+} from './orderBookLevels';
 
 export type MarketNodeLists = {
 	restingLimit: {
@@ -1689,4 +1700,153 @@ export class DLOB {
 			yield nodeLists.trigger.below;
 		}
 	}
+
+	/**
+	 * Get an L2 view of the order book for a given market.
+	 *
+	 * @param marketIndex
+	 * @param marketType
+	 * @param slot
+	 * @param oraclePriceData
+	 * @param depth how many levels of the order book to return
+	 * @param fallbackAsk best ask for fallback liquidity, only relevant for perps
+	 * @param fallbackBid best bid for fallback liquidity, only relevant for perps
+	 * @param fallbackL2Generators L2 generators for fallback liquidity e.g. vAMM {@link getVammL2Generator}, openbook {@link SerumSubscriber}
+	 */
+	public getL2({
+		marketIndex,
+		marketType,
+		slot,
+		oraclePriceData,
+		depth,
+		fallbackAsk,
+		fallbackBid,
+		fallbackL2Generators = [],
+	}: {
+		marketIndex: number;
+		marketType: MarketType;
+		slot: number;
+		oraclePriceData: OraclePriceData;
+		depth: number;
+		fallbackAsk?: BN;
+		fallbackBid?: BN;
+		fallbackL2Generators?: L2OrderBookGenerator[];
+	}): L2OrderBook {
+		const makerAskL2LevelGenerator = getL2GeneratorFromDLOBNodes(
+			this.getMakerLimitAsks(
+				marketIndex,
+				slot,
+				marketType,
+				oraclePriceData,
+				fallbackBid
+			),
+			oraclePriceData,
+			slot
+		);
+
+		const fallbackAskGenerators = fallbackL2Generators.map(
+			(fallbackL2Generator) => {
+				return fallbackL2Generator.getL2Asks();
+			}
+		);
+
+		const askL2LevelGenerator = mergeL2LevelGenerators(
+			[makerAskL2LevelGenerator, ...fallbackAskGenerators],
+			(a, b) => {
+				return a.price.lt(b.price);
+			}
+		);
+
+		const asks = createL2Levels(askL2LevelGenerator, depth);
+
+		const makerBidGenerator = getL2GeneratorFromDLOBNodes(
+			this.getMakerLimitBids(
+				marketIndex,
+				slot,
+				marketType,
+				oraclePriceData,
+				fallbackAsk
+			),
+			oraclePriceData,
+			slot
+		);
+
+		const fallbackBidGenerators = fallbackL2Generators.map((fallbackOrders) => {
+			return fallbackOrders.getL2Bids();
+		});
+
+		const bidL2LevelGenerator = mergeL2LevelGenerators(
+			[makerBidGenerator, ...fallbackBidGenerators],
+			(a, b) => {
+				return a.price.gt(b.price);
+			}
+		);
+
+		const bids = createL2Levels(bidL2LevelGenerator, depth);
+
+		return {
+			bids,
+			asks,
+		};
+	}
+
+	/**
+	 * Get an L3 view of the order book for a given market. Does not include fallback liquidity sources
+	 *
+	 * @param marketIndex
+	 * @param marketType
+	 * @param slot
+	 * @param oraclePriceData
+	 */
+	public getL3({
+		marketIndex,
+		marketType,
+		slot,
+		oraclePriceData,
+	}: {
+		marketIndex: number;
+		marketType: MarketType;
+		slot: number;
+		oraclePriceData: OraclePriceData;
+	}): L3OrderBook {
+		const bids: L3Level[] = [];
+		const asks: L3Level[] = [];
+
+		const restingAsks = this.getRestingLimitAsks(
+			marketIndex,
+			slot,
+			marketType,
+			oraclePriceData
+		);
+
+		for (const ask of restingAsks) {
+			asks.push({
+				price: ask.getPrice(oraclePriceData, slot),
+				size: ask.order.baseAssetAmount.sub(ask.order.baseAssetAmountFilled),
+				maker: ask.userAccount,
+				orderId: ask.order.orderId,
+			});
+		}
+
+		const restingBids = this.getRestingLimitBids(
+			marketIndex,
+			slot,
+			marketType,
+			oraclePriceData
+		);
+
+		for (const bid of restingBids) {
+			bids.push({
+				price: bid.getPrice(oraclePriceData, slot),
+				size: bid.order.baseAssetAmount.sub(bid.order.baseAssetAmountFilled),
+				maker: bid.userAccount,
+				orderId: bid.order.orderId,
+			});
+		}
+
+		return {
+			bids,
+			asks,
+		};
+	}
 }
diff --git a/sdk/src/dlob/DLOBApiClient.ts b/sdk/src/dlob/DLOBApiClient.ts
@@ -19,7 +19,9 @@ export class DLOBApiClient {
 	public async getDLOB(slot: number): Promise<DLOB> {
 		const r = await fetch(this.url);
 		if (!r.ok) {
-			throw new Error(`Failed to fetch DLOB from ${this.url}`);
+			throw new Error(
+				`Failed to fetch DLOB from ${this.url}. Status: ${r.status}, ${r.statusText}`
+			);
 		}
 
 		const resp = await r.json();