@drift-labs/common 1.0.13 → 1.0.16

package/lib/utils/orderbook/index.js

@@ -1,8 +1,27 @@
 "use strict";
+var __createBinding = (this && this.__createBinding) || (Object.create ? (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    var desc = Object.getOwnPropertyDescriptor(m, k);
+    if (!desc || ("get" in desc ? !m.__esModule : desc.writable || desc.configurable)) {
+      desc = { enumerable: true, get: function() { return m[k]; } };
+    }
+    Object.defineProperty(o, k2, desc);
+}) : (function(o, m, k, k2) {
+    if (k2 === undefined) k2 = k;
+    o[k2] = m[k];
+}));
+var __exportStar = (this && this.__exportStar) || function(m, exports) {
+    for (var p in m) if (p !== "default" && !Object.prototype.hasOwnProperty.call(exports, p)) __createBinding(exports, m, p);
+};
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.calculateDynamicSlippageFromL2 = exports.convertToL2OrderBook = exports.deserializeL2Response = void 0;
+exports.getEmptyFilledBidsAsks = exports.l2ToDisplayBidsAndAsks = exports.formatL2ToDisplay = exports.getCategorisedLiquidityForLevel = exports.getZeroPaddingForGroupingSize = exports.mergeBidsAndAsksForGroupsize = exports.getBucketForUserLiquidity = exports.getBucketAnchorPrice = exports.getUserLiquidityForPrice = exports.getBucketFloorForPrice = exports.getLiquidityPcts = exports.getFormattedSize = exports.calculateDynamicSlippageFromL2 = exports.convertToL2OrderBook = exports.deserializeL2Response = void 0;
 const sdk_1 = require("@drift-labs/sdk");
 const math_1 = require("../math");
+const types_1 = require("./types");
+const __1 = require("..");
+const constants_1 = require("./constants");
+__exportStar(require("./types"), exports);
+__exportStar(require("./constants"), exports);
 /**
  * Helper function to deserialize the response from the dlob server. (See https://drift-labs.github.io/v2-teacher/#get-l2-l3)
  * @param serializedOrderbook
@@ -144,4 +163,269 @@ const calculateDynamicSlippageFromL2 = ({ l2Data, marketId, startPrice, worstPri
     return Math.round(finalSlippage * 1000000) / 1000000;
 };
 exports.calculateDynamicSlippageFromL2 = calculateDynamicSlippageFromL2;
+const getFormattedSize = (sizesObject, price, currency, displayDecimals) => {
+    const sizeSum = Object.values(sizesObject || {}).reduce((acc, curr) => acc + curr, 0);
+    const displayValue = currency === types_1.CUMULATIVE_SIZE_CURRENCY.USD && price
+        ? sizeSum * price
+        : sizeSum;
+    return sdk_1.BigNum.fromPrint(displayValue.toFixed(displayDecimals), new sdk_1.BN(displayDecimals)).toMillified(3);
+};
+exports.getFormattedSize = getFormattedSize;
+const getLiquidityPcts = (totalSize, cumulativeSize = {}) => {
+    var _a, _b;
+    const totalCumulativeSize = Object.values(cumulativeSize).reduce((acc, curr) => acc + curr, 0);
+    const cumulativeSizePct = totalSize
+        ? (totalCumulativeSize / totalSize) * 100
+        : 0; // This is the portion of the total size of the orderbook that the cumulative size of the liquidity should be occupying.
+    const cumulativeRestingSize = totalCumulativeSize - ((_a = cumulativeSize === null || cumulativeSize === void 0 ? void 0 : cumulativeSize.indicative) !== null && _a !== void 0 ? _a : 0);
+    const cumulativeIndicativeSize = (_b = cumulativeSize === null || cumulativeSize === void 0 ? void 0 : cumulativeSize.indicative) !== null && _b !== void 0 ? _b : 0;
+    const restingLiquidityPct = (cumulativeRestingSize / totalCumulativeSize) * cumulativeSizePct; // This is the portion of the width of the orderbook that the resting liquidity should be occupying
+    const indicativeLiquidityPct = (cumulativeIndicativeSize / totalCumulativeSize) * cumulativeSizePct; // This is the portion of the width of the orderbook that the indicative liquidity should be occupying
+    return {
+        restingLiquidityPct,
+        indicativeLiquidityPct,
+    };
+};
+exports.getLiquidityPcts = getLiquidityPcts;
+const roundForOrderbook = (num) => Number(num.toFixed(6));
+const getBucketFloorForPrice = (price, groupingSize) => {
+    const priceIsNegative = price < 0;
+    const _groupingSize = groupingSize;
+    if (__1.COMMON_UTILS.dividesExactly(price, _groupingSize)) {
+        return roundForOrderbook(price);
+    }
+    const amountToDeduct = priceIsNegative
+        ? _groupingSize - (Math.abs(price) % _groupingSize)
+        : Math.abs(price) % _groupingSize;
+    const floorPrice = price - amountToDeduct;
+    return roundForOrderbook(floorPrice);
+};
+exports.getBucketFloorForPrice = getBucketFloorForPrice;
+const getUserLiquidityForPrice = ({ price, side, groupingSizeValue, userAskPriceBucketLookup, userBidPriceBucketLookup, }) => {
+    let isCurrentUserLiquidity = false;
+    let currentUserLiquiditySize = 0;
+    const priceToUse = price;
+    const priceBucket = (0, exports.getBucketFloorForPrice)(priceToUse, groupingSizeValue);
+    const lookupBucket = side === 'bid' ? userBidPriceBucketLookup : userAskPriceBucketLookup;
+    const matchingUserBidAsk = lookupBucket.get(priceBucket);
+    if (matchingUserBidAsk) {
+        isCurrentUserLiquidity = true;
+        currentUserLiquiditySize = matchingUserBidAsk.size;
+    }
+    return { isCurrentUserLiquidity, currentUserLiquiditySize };
+};
+exports.getUserLiquidityForPrice = getUserLiquidityForPrice;
+const getBucketCeilingForPrice = (price, groupingSize) => {
+    const _groupingSize = groupingSize;
+    return (0, exports.getBucketFloorForPrice)(price + _groupingSize, groupingSize);
+};
+const getBucketAnchorPrice = (type, price, groupingSize) => {
+    // If the grouping size matches exactly then the anchor price should be the same as the floor price regardless
+    if (__1.COMMON_UTILS.dividesExactly(price, groupingSize)) {
+        return (0, exports.getBucketFloorForPrice)(price, groupingSize);
+    }
+    if (type === 'bid') {
+        return (0, exports.getBucketFloorForPrice)(price, groupingSize);
+    }
+    else {
+        return getBucketCeilingForPrice(price, groupingSize);
+    }
+};
+exports.getBucketAnchorPrice = getBucketAnchorPrice;
+const getBucketForUserLiquidity = (price, groupingSize, type) => (0, exports.getBucketAnchorPrice)(type, price, groupingSize);
+exports.getBucketForUserLiquidity = getBucketForUserLiquidity;
+const mergeBidsAndAsksForGroupsize = (type, bidsAsks, groupingSize) => {
+    const bidsAsksBucketLookup = new Map();
+    for (const bidAsk of bidsAsks) {
+        const anchorPrice = (0, exports.getBucketAnchorPrice)(type, bidAsk.price, groupingSize);
+        const existingBucket = bidsAsksBucketLookup.get(anchorPrice);
+        if (existingBucket) {
+            existingBucket.size += bidAsk.size;
+        }
+        else {
+            bidsAsksBucketLookup.set(anchorPrice, { ...bidAsk });
+        }
+    }
+    return Array.from(bidsAsksBucketLookup.values());
+};
+exports.mergeBidsAndAsksForGroupsize = mergeBidsAndAsksForGroupsize;
+const getZeroPaddingForGroupingSize = (groupingSize) => {
+    const _groupingSize = groupingSize;
+    const precision = Math.floor(Math.log10(_groupingSize));
+    if (precision >= 0 || _groupingSize === 0)
+        return 0;
+    return Math.abs(precision);
+};
+exports.getZeroPaddingForGroupingSize = getZeroPaddingForGroupingSize;
+const sizeToNum = (size, precision) => sdk_1.BigNum.from(size, precision).toNum();
+const getCategorisedLiquidityForLevel = (level, basePrecision) => {
+    var _a, _b, _c, _d, _e, _f, _g, _h, _j, _k, _l, _m;
+    const dlobSize = sizeToNum((_b = (_a = level === null || level === void 0 ? void 0 : level.sources) === null || _a === void 0 ? void 0 : _a.dlob) !== null && _b !== void 0 ? _b : sdk_1.ZERO, basePrecision);
+    const vammSize = sizeToNum((_d = (_c = level === null || level === void 0 ? void 0 : level.sources) === null || _c === void 0 ? void 0 : _c.vamm) !== null && _d !== void 0 ? _d : sdk_1.ZERO, basePrecision);
+    const serumSize = sizeToNum((_f = (_e = level === null || level === void 0 ? void 0 : level.sources) === null || _e === void 0 ? void 0 : _e.serum) !== null && _f !== void 0 ? _f : sdk_1.ZERO, basePrecision);
+    const phoenixSize = sizeToNum((_h = (_g = level === null || level === void 0 ? void 0 : level.sources) === null || _g === void 0 ? void 0 : _g.phoenix) !== null && _h !== void 0 ? _h : sdk_1.ZERO, basePrecision);
+    const openbookSize = sizeToNum((_k = (_j = level === null || level === void 0 ? void 0 : level.sources) === null || _j === void 0 ? void 0 : _j.openbook) !== null && _k !== void 0 ? _k : sdk_1.ZERO, basePrecision);
+    const indicativeSize = sizeToNum((_m = (_l = level === null || level === void 0 ? void 0 : level.sources) === null || _l === void 0 ? void 0 : _l.indicative) !== null && _m !== void 0 ? _m : sdk_1.ZERO, basePrecision);
+    const categorisedLiquidity = {
+        dlob: dlobSize,
+        vamm: vammSize,
+        serum: serumSize,
+        phoenix: phoenixSize,
+        openbook: openbookSize,
+        indicative: indicativeSize,
+    };
+    return categorisedLiquidity;
+};
+exports.getCategorisedLiquidityForLevel = getCategorisedLiquidityForLevel;
+const formatLevelsToDisplay = (levels, basePrecision, depth) => {
+    var _a, _b;
+    const relevantSources = new Set();
+    for (const level of levels) {
+        for (const source of Object.keys(level.sources)) {
+            relevantSources.add(source);
+        }
+    }
+    const cumulativeSizes = Array.from(relevantSources).reduce((acc, source) => {
+        acc[source] = 0;
+        return acc;
+    }, {});
+    let cumulativePriceSizeProduct = 0;
+    let cumulativeTotalSize = 0;
+    const formattedLevels = levels.map((level) => {
+        var _a;
+        const bucketSize = (0, exports.getCategorisedLiquidityForLevel)(level, basePrecision);
+        const price = sdk_1.BigNum.from(level.price, sdk_1.PRICE_PRECISION_EXP).toNum();
+        const totalSize = Object.values(bucketSize).reduce((sum, size) => sum + size, 0);
+        for (const source of relevantSources) {
+            const currentValue = cumulativeSizes[source];
+            if (currentValue !== undefined) {
+                cumulativeSizes[source] = currentValue + ((_a = bucketSize[source]) !== null && _a !== void 0 ? _a : 0);
+            }
+        }
+        cumulativePriceSizeProduct += price * totalSize;
+        cumulativeTotalSize += totalSize;
+        return {
+            price,
+            size: bucketSize,
+            cumulativeSize: { ...cumulativeSizes },
+            cumulativeAvgPrice: cumulativeTotalSize > 0
+                ? cumulativePriceSizeProduct / cumulativeTotalSize
+                : 0,
+        };
+    });
+    if (depth && depth > 0) {
+        const visibleLevels = formattedLevels.slice(0, depth);
+        const maxCumulativeSize = Math.max(0, ...visibleLevels.map((level) => Object.values(level.cumulativeSize).reduce((sum, size) => sum + size, 0)));
+        return {
+            formattedLevels: visibleLevels,
+            bestLevel: (_a = visibleLevels === null || visibleLevels === void 0 ? void 0 : visibleLevels[0]) === null || _a === void 0 ? void 0 : _a.price,
+            cumulativeSize: maxCumulativeSize,
+        };
+    }
+    const totalSizeToReturn = Object.values(cumulativeSizes).reduce((total, current) => total + current, 0);
+    return {
+        formattedLevels,
+        bestLevel: (_b = formattedLevels === null || formattedLevels === void 0 ? void 0 : formattedLevels[0]) === null || _b === void 0 ? void 0 : _b.price,
+        cumulativeSize: totalSizeToReturn,
+    };
+};
+const formatL2ToDisplay = (l2State, basePrecision, depth) => {
+    const formattedBids = formatLevelsToDisplay(l2State.bids, basePrecision, depth);
+    const formattedAsks = formatLevelsToDisplay(l2State.asks, basePrecision, depth);
+    return {
+        bids: formattedBids.formattedLevels,
+        asks: formattedAsks.formattedLevels,
+        bidTotalSize: formattedBids.cumulativeSize,
+        askTotalSize: formattedAsks.cumulativeSize,
+    };
+};
+exports.formatL2ToDisplay = formatL2ToDisplay;
+const filterOutDisabledLiquidityTypes = (l2Levels, disabledLiquidityTypes) => l2Levels
+    .map((level) => {
+    var _a;
+    let totalDisabledSize = sdk_1.ZERO;
+    const disabledSourceObj = {};
+    for (const liquidityType of disabledLiquidityTypes) {
+        const disabledLiqSize = (_a = level.sources) === null || _a === void 0 ? void 0 : _a[liquidityType];
+        if (disabledLiqSize === null || disabledLiqSize === void 0 ? void 0 : disabledLiqSize.gt(sdk_1.ZERO)) {
+            totalDisabledSize = totalDisabledSize.add(disabledLiqSize);
+            disabledSourceObj[liquidityType] = sdk_1.ZERO;
+        }
+    }
+    return totalDisabledSize.gt(sdk_1.ZERO)
+        ? {
+            ...level,
+            size: level.size.sub(totalDisabledSize),
+            sources: {
+                ...level.sources,
+                ...disabledSourceObj,
+            },
+        }
+        : level;
+})
+    .filter((level) => level.size.gt(sdk_1.ZERO));
+const l2ToDisplayBidsAndAsks = (l2Orderbook, oraclePrice, tickSizeForMarket, groupSizeTickMultiplier, userBidsAndAsks, basePrecisionForMarket, disabledLiquidityTypes, maxDepth, depth // limit the number of visible rows to calculate totalSize from
+) => {
+    const filteredBids = disabledLiquidityTypes.length > 0
+        ? filterOutDisabledLiquidityTypes(l2Orderbook.bids, disabledLiquidityTypes)
+        : l2Orderbook.bids;
+    const filteredAsks = disabledLiquidityTypes.length > 0
+        ? filterOutDisabledLiquidityTypes(l2Orderbook.asks, disabledLiquidityTypes)
+        : l2Orderbook.asks;
+    // # Uncross the liquidity
+    const uncrossed = {
+        l2Orderbook,
+        bids: filteredBids,
+        asks: filteredAsks,
+    };
+    // Group the orderbook into levels based on the grouping size
+    const grouped = (0, sdk_1.groupL2)(uncrossed, tickSizeForMarket.muln(groupSizeTickMultiplier !== null && groupSizeTickMultiplier !== void 0 ? groupSizeTickMultiplier : 1), // one user had a weird error where .muln was throwing assertion failed error
+    maxDepth);
+    // # Convert to UI format
+    const formatted = (0, exports.formatL2ToDisplay)(grouped, basePrecisionForMarket, depth);
+    // Check that bids are in descending order
+    if (formatted.bids.some((bid, index) => {
+        if (index === 0)
+            return false;
+        return bid.price > formatted.bids[index - 1].price;
+    })) {
+        console.log('orderbook - bids_not_in_descending_order', {
+            l2Orderbook,
+            oraclePrice,
+            tickSizeForMarket,
+            userBidsAndAsks,
+            basePrecisionForMarket,
+            uncrossed,
+            formatted,
+        });
+    }
+    // Check that asks are in ascending order
+    if (formatted.asks.some((ask, index) => {
+        if (index === 0)
+            return false;
+        return ask.price < formatted.asks[index - 1].price;
+    })) {
+        console.log('orderbook - asks_not_in_ascending_order', {
+            l2Orderbook,
+            oraclePrice,
+            tickSizeForMarket,
+            userBidsAndAsks,
+            basePrecisionForMarket,
+            uncrossed,
+            formatted,
+        });
+    }
+    return formatted;
+};
+exports.l2ToDisplayBidsAndAsks = l2ToDisplayBidsAndAsks;
+const getEmptyFilledBidsAsks = (bidsOrAsks, depth) => {
+    const result = Array(depth).fill(constants_1.EMPTY_ORDERBOOK_ROW);
+    bidsOrAsks.forEach((bidOrAsk, index) => {
+        if (index < depth) {
+            result[index] = bidOrAsk;
+        }
+    });
+    return result;
+};
+exports.getEmptyFilledBidsAsks = getEmptyFilledBidsAsks;
 //# sourceMappingURL=index.js.map

package/lib/utils/orderbook/index.js.map

@@ -1 +1 @@
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{\n\tMarketType,\n\tOraclePriceData,\n\tL2OrderBook,\n\tBN,\n\tMMOraclePriceData,\n\tBigNum,\n\tPERCENTAGE_PRECISION_EXP,\n} from '@drift-labs/sdk';\nimport { MarketId } from '../../types';\nimport { COMMON_MATH } from '../math';\n\nexport interface L2WithOracle extends L2OrderBook {\n\toracleData: OraclePriceData;\n\tmarkPrice: BN;\n\tbestBidPrice: BN;\n\tbestAskPrice: BN;\n\tspreadPct: BN;\n\tspreadQuote: BN;\n\tmmOracleData?: MMOraclePriceData;\n}\n\nexport interface L2WithOracleAndMarketData extends L2WithOracle {\n\tmarketSlot: number;\n\tmarketIndex: number;\n\tmarketName: string;\n\tmarketType?: MarketType;\n}\n\nexport type RawL2Output = {\n\tmarketIndex: number;\n\tmarketType: MarketType;\n\tmarketName: string;\n\tmarketSlot: number;\n\tasks: {\n\t\tprice: string;\n\t\tsize: string;\n\t\tsources: {\n\t\t\t[key: string]: string;\n\t\t};\n\t}[];\n\tbids: {\n\t\tprice: string;\n\t\tsize: string;\n\t\tsources: {\n\t\t\t[key: string]: string;\n\t\t};\n\t}[];\n\toracleData: {\n\t\tprice: string;\n\t\tslot: string;\n\t\tconfidence: string;\n\t\thasSufficientNumberOfDataPoints: boolean;\n\t\ttwap?: string;\n\t\ttwapConfidence?: string;\n\t\tmaxPrice?: string;\n\t};\n\tmmOracleData?: {\n\t\tprice: string;\n\t\tslot: string;\n\t\tconfidence: string;\n\t\thasSufficientNumberOfDataPoints: boolean;\n\t\tisMMOracleActive: boolean;\n\t};\n\tmarkPrice: string;\n\tbestBidPrice: string;\n\tbestAskPrice: string;\n\tspreadPct: string;\n\tspreadQuote: string;\n\tslot?: number;\n};\n\nexport type LiquidityType = 'vamm' | 'dlob' | 'serum' | 'phoenix' | 'openbook';\n\n/**\n * Helper function to deserialize the response from the dlob server. (See https://drift-labs.github.io/v2-teacher/#get-l2-l3)\n * @param serializedOrderbook\n * @returns\n */\nexport const deserializeL2Response = (\n\tserializedOrderbook: RawL2Output\n): L2WithOracleAndMarketData => {\n\treturn {\n\t\tasks: serializedOrderbook.asks.map((ask) => ({\n\t\t\tprice: new BN(ask.price),\n\t\t\tsize: new BN(ask.size),\n\t\t\tsources: Object.entries(ask.sources).reduce((previous, [key, val]) => {\n\t\t\t\treturn {\n\t\t\t\t\t...previous,\n\t\t\t\t\t[key]: new BN(val),\n\t\t\t\t};\n\t\t\t}, {}),\n\t\t})),\n\t\tbids: serializedOrderbook.bids.map((bid) => ({\n\t\t\tprice: new BN(bid.price),\n\t\t\tsize: new BN(bid.size),\n\t\t\tsources: Object.entries(bid.sources).reduce((previous, [key, val]) => {\n\t\t\t\treturn {\n\t\t\t\t\t...previous,\n\t\t\t\t\t[key]: new BN(val),\n\t\t\t\t};\n\t\t\t}, {}),\n\t\t})),\n\t\toracleData: {\n\t\t\tprice: serializedOrderbook.oracleData.price\n\t\t\t\t? new BN(serializedOrderbook.oracleData.price)\n\t\t\t\t: undefined,\n\t\t\tslot: serializedOrderbook.oracleData.slot\n\t\t\t\t? new BN(serializedOrderbook.oracleData.slot)\n\t\t\t\t: undefined,\n\t\t\tconfidence: serializedOrderbook.oracleData.confidence\n\t\t\t\t? new BN(serializedOrderbook.oracleData.confidence)\n\t\t\t\t: undefined,\n\t\t\thasSufficientNumberOfDataPoints:\n\t\t\t\tserializedOrderbook.oracleData.hasSufficientNumberOfDataPoints,\n\t\t\ttwap: serializedOrderbook.oracleData.twap\n\t\t\t\t? new BN(serializedOrderbook.oracleData.twap)\n\t\t\t\t: undefined,\n\t\t\ttwapConfidence: serializedOrderbook.oracleData.twapConfidence\n\t\t\t\t? new BN(serializedOrderbook.oracleData.twapConfidence)\n\t\t\t\t: undefined,\n\t\t\tmaxPrice: serializedOrderbook.oracleData.maxPrice\n\t\t\t\t? new BN(serializedOrderbook.oracleData.maxPrice)\n\t\t\t\t: undefined,\n\t\t},\n\t\tmmOracleData: {\n\t\t\tprice: serializedOrderbook.mmOracleData?.price\n\t\t\t\t? new BN(serializedOrderbook.mmOracleData.price)\n\t\t\t\t: undefined,\n\t\t\tslot: serializedOrderbook.mmOracleData?.slot\n\t\t\t\t? new BN(serializedOrderbook.mmOracleData.slot)\n\t\t\t\t: undefined,\n\t\t\tconfidence: serializedOrderbook.mmOracleData?.confidence\n\t\t\t\t? new BN(serializedOrderbook.mmOracleData.confidence)\n\t\t\t\t: undefined,\n\t\t\thasSufficientNumberOfDataPoints:\n\t\t\t\tserializedOrderbook.mmOracleData?.hasSufficientNumberOfDataPoints,\n\t\t\tisMMOracleActive:\n\t\t\t\tserializedOrderbook.mmOracleData?.isMMOracleActive ?? false,\n\t\t},\n\t\tslot: serializedOrderbook.slot,\n\t\tmarketSlot: serializedOrderbook.marketSlot,\n\t\tmarketType: serializedOrderbook.marketType,\n\t\tmarketIndex: serializedOrderbook.marketIndex,\n\t\tmarketName: serializedOrderbook.marketName,\n\t\tmarkPrice: new BN(serializedOrderbook.markPrice),\n\t\tbestBidPrice: new BN(serializedOrderbook.bestBidPrice),\n\t\tbestAskPrice: new BN(serializedOrderbook.bestAskPrice),\n\t\tspreadPct: new BN(serializedOrderbook.spreadPct),\n\t\tspreadQuote: new BN(serializedOrderbook.spreadQuote),\n\t};\n};\n\nexport const convertToL2OrderBook = (\n\tl2Data: L2WithOracleAndMarketData[]\n): L2OrderBook => {\n\t// Find the market data - there should be one entry for our market\n\tconst marketData = l2Data[0];\n\n\tif (!marketData) {\n\t\tthrow new Error('No L2 data available for market');\n\t}\n\n\t// L2WithOracleAndMarketData extends L2OrderBook, so we can use it directly\n\treturn {\n\t\tasks: marketData.asks,\n\t\tbids: marketData.bids,\n\t\tslot: marketData.slot,\n\t};\n};\n\nexport interface DynamicSlippageConfig {\n\tdynamicSlippageMin?: number;\n\tdynamicSlippageMax?: number;\n\tdynamicBaseSlippageMajor?: number;\n\tdynamicBaseSlippageNonMajor?: number;\n\tdynamicSlippageMultiplierMajor?: number;\n\tdynamicSlippageMultiplierNonMajor?: number;\n}\n\nconst DEFAULT_DYNAMIC_SLIPPAGE_CONFIG: DynamicSlippageConfig = {\n\tdynamicSlippageMin: 0.05,\n\tdynamicSlippageMax: 5,\n\tdynamicBaseSlippageMajor: 0,\n\tdynamicBaseSlippageNonMajor: 0.5,\n\tdynamicSlippageMultiplierMajor: 1.02,\n\tdynamicSlippageMultiplierNonMajor: 1.2,\n};\n\nexport const calculateDynamicSlippageFromL2 = ({\n\tl2Data,\n\tmarketId,\n\tstartPrice,\n\tworstPrice,\n\toraclePrice,\n\tdynamicSlippageConfig,\n}: {\n\tl2Data: L2OrderBook;\n\tmarketId: MarketId;\n\tstartPrice: BN;\n\tworstPrice: BN;\n\toraclePrice?: BN;\n\tdynamicSlippageConfig?: DynamicSlippageConfig;\n}): number => {\n\tconst dynamicSlippageConfigToUse = dynamicSlippageConfig\n\t\t? { ...DEFAULT_DYNAMIC_SLIPPAGE_CONFIG, ...dynamicSlippageConfig }\n\t\t: DEFAULT_DYNAMIC_SLIPPAGE_CONFIG;\n\n\t// Calculate spread information from L2 data using the oracle price\n\tconst spreadBidAskMark = COMMON_MATH.calculateSpreadBidAskMark(\n\t\tl2Data,\n\t\toraclePrice\n\t);\n\n\tconst bestAskNum = spreadBidAskMark.bestAskPrice?.toNumber?.() || 0;\n\tconst bestBidNum = spreadBidAskMark.bestBidPrice?.toNumber?.() || 0;\n\n\tconst spreadPctFromL2 = BigNum.from(\n\t\tspreadBidAskMark.spreadPct,\n\t\tPERCENTAGE_PRECISION_EXP\n\t).toNum();\n\n\t// Calculate spread percentage\n\tconst spreadPct =\n\t\tspreadPctFromL2 ||\n\t\t(Math.abs(bestAskNum - bestBidNum) / ((bestAskNum + bestBidNum) / 2)) * 100;\n\n\t// Default to 0.5% if we get invalid spread info\n\tif (isNaN(spreadPct) || spreadPct <= 0) {\n\t\treturn 0.5;\n\t}\n\n\t// Apply a buffer based on the tier of the contract\n\t// Currently no buffer for SOL/BTC/ETH perp and a +10% buffer for other markets\n\tconst isMajor = marketId.isPerp && marketId.marketIndex < 3;\n\n\tconst spreadBaseSlippage = spreadPct / 2;\n\n\tconst baseSlippage = isMajor\n\t\t? dynamicSlippageConfigToUse.dynamicBaseSlippageMajor\n\t\t: dynamicSlippageConfigToUse.dynamicBaseSlippageNonMajor;\n\tlet dynamicSlippage = baseSlippage + spreadBaseSlippage;\n\n\t// Use halfway to worst price as size adjusted slippage\n\tif (startPrice && worstPrice) {\n\t\tconst sizeAdjustedSlippage =\n\t\t\t(startPrice.sub(worstPrice).abs().toNumber() /\n\t\t\t\tBN.max(startPrice, worstPrice).toNumber() /\n\t\t\t\t2) *\n\t\t\t100;\n\n\t\tdynamicSlippage = Math.max(dynamicSlippage, sizeAdjustedSlippage);\n\t}\n\n\t// Apply multiplier from env var\n\tconst multiplier = isMajor\n\t\t? dynamicSlippageConfigToUse.dynamicSlippageMultiplierMajor\n\t\t: dynamicSlippageConfigToUse.dynamicSlippageMultiplierNonMajor;\n\n\tdynamicSlippage = dynamicSlippage * multiplier;\n\n\t// Enforce .05% minimum, 5% maximum, can change these in env vars\n\tconst finalSlippage = Math.min(\n\t\tMath.max(dynamicSlippage, dynamicSlippageConfigToUse.dynamicSlippageMin),\n\t\tdynamicSlippageConfigToUse.dynamicSlippageMax\n\t);\n\n\t// Round to avoid floating point precision issues, preserving 6 decimal places\n\treturn Math.round(finalSlippage * 1000000) / 1000000;\n};\n"]}
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{\n\tL2OrderBook,\n\tBN,\n\tBigNum,\n\tPERCENTAGE_PRECISION_EXP,\n\tPRICE_PRECISION_EXP,\n\tL2Level,\n\tZERO,\n\tgroupL2,\n} from '@drift-labs/sdk';\nimport { MarketId } from '../../types';\nimport { COMMON_MATH } from '../math';\nimport {\n\tBidsAndAsks,\n\tCategorisedLiquidity,\n\tCUMULATIVE_SIZE_CURRENCY,\n\tEmptyRow,\n\tGroupingSizeQuoteValue,\n\tL2WithOracleAndMarketData,\n\tLiquidityType,\n\tOrderBookBidAsk,\n\tOrderBookDisplayStateBidAsk,\n\tRawL2Output,\n} from './types';\nimport { COMMON_UTILS } from '..';\nimport { EMPTY_ORDERBOOK_ROW } from './constants';\n\nexport * from './types';\nexport * from './constants';\n\n/**\n * Helper function to deserialize the response from the dlob server. (See https://drift-labs.github.io/v2-teacher/#get-l2-l3)\n * @param serializedOrderbook\n * @returns\n */\nexport const deserializeL2Response = (\n\tserializedOrderbook: RawL2Output\n): L2WithOracleAndMarketData => {\n\treturn {\n\t\tasks: serializedOrderbook.asks.map((ask) => ({\n\t\t\tprice: new BN(ask.price),\n\t\t\tsize: new BN(ask.size),\n\t\t\tsources: Object.entries(ask.sources).reduce((previous, [key, val]) => {\n\t\t\t\treturn {\n\t\t\t\t\t...previous,\n\t\t\t\t\t[key]: new BN(val),\n\t\t\t\t};\n\t\t\t}, {}),\n\t\t})),\n\t\tbids: serializedOrderbook.bids.map((bid) => ({\n\t\t\tprice: new BN(bid.price),\n\t\t\tsize: new BN(bid.size),\n\t\t\tsources: Object.entries(bid.sources).reduce((previous, [key, val]) => {\n\t\t\t\treturn {\n\t\t\t\t\t...previous,\n\t\t\t\t\t[key]: new BN(val),\n\t\t\t\t};\n\t\t\t}, {}),\n\t\t})),\n\t\toracleData: {\n\t\t\tprice: serializedOrderbook.oracleData.price\n\t\t\t\t? new BN(serializedOrderbook.oracleData.price)\n\t\t\t\t: undefined,\n\t\t\tslot: serializedOrderbook.oracleData.slot\n\t\t\t\t? new BN(serializedOrderbook.oracleData.slot)\n\t\t\t\t: undefined,\n\t\t\tconfidence: serializedOrderbook.oracleData.confidence\n\t\t\t\t? new BN(serializedOrderbook.oracleData.confidence)\n\t\t\t\t: undefined,\n\t\t\thasSufficientNumberOfDataPoints:\n\t\t\t\tserializedOrderbook.oracleData.hasSufficientNumberOfDataPoints,\n\t\t\ttwap: serializedOrderbook.oracleData.twap\n\t\t\t\t? new BN(serializedOrderbook.oracleData.twap)\n\t\t\t\t: undefined,\n\t\t\ttwapConfidence: serializedOrderbook.oracleData.twapConfidence\n\t\t\t\t? new BN(serializedOrderbook.oracleData.twapConfidence)\n\t\t\t\t: undefined,\n\t\t\tmaxPrice: serializedOrderbook.oracleData.maxPrice\n\t\t\t\t? new BN(serializedOrderbook.oracleData.maxPrice)\n\t\t\t\t: undefined,\n\t\t},\n\t\tmmOracleData: {\n\t\t\tprice: serializedOrderbook.mmOracleData?.price\n\t\t\t\t? new BN(serializedOrderbook.mmOracleData.price)\n\t\t\t\t: undefined,\n\t\t\tslot: serializedOrderbook.mmOracleData?.slot\n\t\t\t\t? new BN(serializedOrderbook.mmOracleData.slot)\n\t\t\t\t: undefined,\n\t\t\tconfidence: serializedOrderbook.mmOracleData?.confidence\n\t\t\t\t? new BN(serializedOrderbook.mmOracleData.confidence)\n\t\t\t\t: undefined,\n\t\t\thasSufficientNumberOfDataPoints:\n\t\t\t\tserializedOrderbook.mmOracleData?.hasSufficientNumberOfDataPoints,\n\t\t\tisMMOracleActive:\n\t\t\t\tserializedOrderbook.mmOracleData?.isMMOracleActive ?? false,\n\t\t},\n\t\tslot: serializedOrderbook.slot,\n\t\tmarketSlot: serializedOrderbook.marketSlot,\n\t\tmarketType: serializedOrderbook.marketType,\n\t\tmarketIndex: serializedOrderbook.marketIndex,\n\t\tmarketName: serializedOrderbook.marketName,\n\t\tmarkPrice: new BN(serializedOrderbook.markPrice),\n\t\tbestBidPrice: new BN(serializedOrderbook.bestBidPrice),\n\t\tbestAskPrice: new BN(serializedOrderbook.bestAskPrice),\n\t\tspreadPct: new BN(serializedOrderbook.spreadPct),\n\t\tspreadQuote: new BN(serializedOrderbook.spreadQuote),\n\t};\n};\n\nexport const convertToL2OrderBook = (\n\tl2Data: L2WithOracleAndMarketData[]\n): L2OrderBook => {\n\t// Find the market data - there should be one entry for our market\n\tconst marketData = l2Data[0];\n\n\tif (!marketData) {\n\t\tthrow new Error('No L2 data available for market');\n\t}\n\n\t// L2WithOracleAndMarketData extends L2OrderBook, so we can use it directly\n\treturn {\n\t\tasks: marketData.asks,\n\t\tbids: marketData.bids,\n\t\tslot: marketData.slot,\n\t};\n};\n\nexport interface DynamicSlippageConfig {\n\tdynamicSlippageMin?: number;\n\tdynamicSlippageMax?: number;\n\tdynamicBaseSlippageMajor?: number;\n\tdynamicBaseSlippageNonMajor?: number;\n\tdynamicSlippageMultiplierMajor?: number;\n\tdynamicSlippageMultiplierNonMajor?: number;\n}\n\nconst DEFAULT_DYNAMIC_SLIPPAGE_CONFIG: DynamicSlippageConfig = {\n\tdynamicSlippageMin: 0.05,\n\tdynamicSlippageMax: 5,\n\tdynamicBaseSlippageMajor: 0,\n\tdynamicBaseSlippageNonMajor: 0.5,\n\tdynamicSlippageMultiplierMajor: 1.02,\n\tdynamicSlippageMultiplierNonMajor: 1.2,\n};\n\nexport const calculateDynamicSlippageFromL2 = ({\n\tl2Data,\n\tmarketId,\n\tstartPrice,\n\tworstPrice,\n\toraclePrice,\n\tdynamicSlippageConfig,\n}: {\n\tl2Data: L2OrderBook;\n\tmarketId: MarketId;\n\tstartPrice: BN;\n\tworstPrice: BN;\n\toraclePrice?: BN;\n\tdynamicSlippageConfig?: DynamicSlippageConfig;\n}): number => {\n\tconst dynamicSlippageConfigToUse = dynamicSlippageConfig\n\t\t? { ...DEFAULT_DYNAMIC_SLIPPAGE_CONFIG, ...dynamicSlippageConfig }\n\t\t: DEFAULT_DYNAMIC_SLIPPAGE_CONFIG;\n\n\t// Calculate spread information from L2 data using the oracle price\n\tconst spreadBidAskMark = COMMON_MATH.calculateSpreadBidAskMark(\n\t\tl2Data,\n\t\toraclePrice\n\t);\n\n\tconst bestAskNum = spreadBidAskMark.bestAskPrice?.toNumber?.() || 0;\n\tconst bestBidNum = spreadBidAskMark.bestBidPrice?.toNumber?.() || 0;\n\n\tconst spreadPctFromL2 = BigNum.from(\n\t\tspreadBidAskMark.spreadPct,\n\t\tPERCENTAGE_PRECISION_EXP\n\t).toNum();\n\n\t// Calculate spread percentage\n\tconst spreadPct =\n\t\tspreadPctFromL2 ||\n\t\t(Math.abs(bestAskNum - bestBidNum) / ((bestAskNum + bestBidNum) / 2)) * 100;\n\n\t// Default to 0.5% if we get invalid spread info\n\tif (isNaN(spreadPct) || spreadPct <= 0) {\n\t\treturn 0.5;\n\t}\n\n\t// Apply a buffer based on the tier of the contract\n\t// Currently no buffer for SOL/BTC/ETH perp and a +10% buffer for other markets\n\tconst isMajor = marketId.isPerp && marketId.marketIndex < 3;\n\n\tconst spreadBaseSlippage = spreadPct / 2;\n\n\tconst baseSlippage = isMajor\n\t\t? dynamicSlippageConfigToUse.dynamicBaseSlippageMajor\n\t\t: dynamicSlippageConfigToUse.dynamicBaseSlippageNonMajor;\n\tlet dynamicSlippage = baseSlippage + spreadBaseSlippage;\n\n\t// Use halfway to worst price as size adjusted slippage\n\tif (startPrice && worstPrice) {\n\t\tconst sizeAdjustedSlippage =\n\t\t\t(startPrice.sub(worstPrice).abs().toNumber() /\n\t\t\t\tBN.max(startPrice, worstPrice).toNumber() /\n\t\t\t\t2) *\n\t\t\t100;\n\n\t\tdynamicSlippage = Math.max(dynamicSlippage, sizeAdjustedSlippage);\n\t}\n\n\t// Apply multiplier from env var\n\tconst multiplier = isMajor\n\t\t? dynamicSlippageConfigToUse.dynamicSlippageMultiplierMajor\n\t\t: dynamicSlippageConfigToUse.dynamicSlippageMultiplierNonMajor;\n\n\tdynamicSlippage = dynamicSlippage * multiplier;\n\n\t// Enforce .05% minimum, 5% maximum, can change these in env vars\n\tconst finalSlippage = Math.min(\n\t\tMath.max(dynamicSlippage, dynamicSlippageConfigToUse.dynamicSlippageMin),\n\t\tdynamicSlippageConfigToUse.dynamicSlippageMax\n\t);\n\n\t// Round to avoid floating point precision issues, preserving 6 decimal places\n\treturn Math.round(finalSlippage * 1000000) / 1000000;\n};\n\nexport const getFormattedSize = (\n\tsizesObject: Partial<Record<LiquidityType, number>>,\n\tprice: number,\n\tcurrency: CUMULATIVE_SIZE_CURRENCY,\n\tdisplayDecimals: number\n) => {\n\tconst sizeSum = Object.values(sizesObject || {}).reduce(\n\t\t(acc, curr) => acc + curr,\n\t\t0\n\t);\n\n\tconst displayValue =\n\t\tcurrency === CUMULATIVE_SIZE_CURRENCY.USD && price\n\t\t\t? sizeSum * price\n\t\t\t: sizeSum;\n\n\treturn BigNum.fromPrint(\n\t\tdisplayValue.toFixed(displayDecimals),\n\t\tnew BN(displayDecimals)\n\t).toMillified(3);\n};\n\nexport const getLiquidityPcts = (\n\ttotalSize: number,\n\tcumulativeSize: CategorisedLiquidity = {}\n) => {\n\tconst totalCumulativeSize = Object.values(cumulativeSize).reduce(\n\t\t(acc, curr) => acc + curr,\n\t\t0\n\t);\n\n\tconst cumulativeSizePct = totalSize\n\t\t? (totalCumulativeSize / totalSize) * 100\n\t\t: 0; // This is the portion of the total size of the orderbook that the cumulative size of the liquidity should be occupying.\n\n\tconst cumulativeRestingSize =\n\t\ttotalCumulativeSize - (cumulativeSize?.indicative ?? 0);\n\tconst cumulativeIndicativeSize = cumulativeSize?.indicative ?? 0;\n\n\tconst restingLiquidityPct =\n\t\t(cumulativeRestingSize / totalCumulativeSize) * cumulativeSizePct; // This is the portion of the width of the orderbook that the resting liquidity should be occupying\n\n\tconst indicativeLiquidityPct =\n\t\t(cumulativeIndicativeSize / totalCumulativeSize) * cumulativeSizePct; // This is the portion of the width of the orderbook that the indicative liquidity should be occupying\n\n\treturn {\n\t\trestingLiquidityPct,\n\t\tindicativeLiquidityPct,\n\t};\n};\n\nconst roundForOrderbook = (num: number) => Number(num.toFixed(6));\n\nexport const getBucketFloorForPrice = (\n\tprice: number,\n\tgroupingSize: GroupingSizeQuoteValue\n) => {\n\tconst priceIsNegative = price < 0;\n\n\tconst _groupingSize = groupingSize as unknown as number;\n\n\tif (COMMON_UTILS.dividesExactly(price, _groupingSize)) {\n\t\treturn roundForOrderbook(price);\n\t}\n\n\tconst amountToDeduct = priceIsNegative\n\t\t? _groupingSize - (Math.abs(price) % _groupingSize)\n\t\t: Math.abs(price) % _groupingSize;\n\n\tconst floorPrice = price - amountToDeduct;\n\n\treturn roundForOrderbook(floorPrice);\n};\n\nexport const getUserLiquidityForPrice = ({\n\tprice,\n\tside,\n\tgroupingSizeValue,\n\tuserAskPriceBucketLookup,\n\tuserBidPriceBucketLookup,\n}: {\n\tprice: number;\n\tside: 'bid' | 'ask';\n\tgroupingSizeValue: GroupingSizeQuoteValue;\n\tuserAskPriceBucketLookup: Map<number, OrderBookBidAsk>;\n\tuserBidPriceBucketLookup: Map<number, OrderBookBidAsk>;\n}) => {\n\tlet isCurrentUserLiquidity = false;\n\tlet currentUserLiquiditySize = 0;\n\n\tconst priceToUse = price;\n\tconst priceBucket = getBucketFloorForPrice(priceToUse, groupingSizeValue);\n\n\tconst lookupBucket =\n\t\tside === 'bid' ? userBidPriceBucketLookup : userAskPriceBucketLookup;\n\n\tconst matchingUserBidAsk = lookupBucket.get(priceBucket);\n\n\tif (matchingUserBidAsk) {\n\t\tisCurrentUserLiquidity = true;\n\t\tcurrentUserLiquiditySize = matchingUserBidAsk.size;\n\t}\n\n\treturn { isCurrentUserLiquidity, currentUserLiquiditySize };\n};\n\nconst getBucketCeilingForPrice = (\n\tprice: number,\n\tgroupingSize: GroupingSizeQuoteValue\n) => {\n\tconst _groupingSize = groupingSize as unknown as number;\n\treturn getBucketFloorForPrice(price + _groupingSize, groupingSize);\n};\n\nexport const getBucketAnchorPrice = (\n\ttype: 'bid' | 'ask',\n\tprice: number,\n\tgroupingSize: GroupingSizeQuoteValue\n) => {\n\t// If the grouping size matches exactly then the anchor price should be the same as the floor price regardless\n\tif (COMMON_UTILS.dividesExactly(price, groupingSize as unknown as number)) {\n\t\treturn getBucketFloorForPrice(price, groupingSize);\n\t}\n\n\tif (type === 'bid') {\n\t\treturn getBucketFloorForPrice(price, groupingSize);\n\t} else {\n\t\treturn getBucketCeilingForPrice(price, groupingSize);\n\t}\n};\n\nexport const getBucketForUserLiquidity = (\n\tprice: number,\n\tgroupingSize: GroupingSizeQuoteValue,\n\ttype: 'bid' | 'ask'\n) => getBucketAnchorPrice(type, price, groupingSize);\n\nexport const mergeBidsAndAsksForGroupsize = (\n\ttype: 'bid' | 'ask',\n\tbidsAsks: OrderBookBidAsk[],\n\tgroupingSize: GroupingSizeQuoteValue\n): OrderBookBidAsk[] => {\n\tconst bidsAsksBucketLookup = new Map<number, OrderBookBidAsk>();\n\n\tfor (const bidAsk of bidsAsks) {\n\t\tconst anchorPrice = getBucketAnchorPrice(type, bidAsk.price, groupingSize);\n\t\tconst existingBucket = bidsAsksBucketLookup.get(anchorPrice);\n\t\tif (existingBucket) {\n\t\t\texistingBucket.size += bidAsk.size;\n\t\t} else {\n\t\t\tbidsAsksBucketLookup.set(anchorPrice, { ...bidAsk });\n\t\t}\n\t}\n\n\treturn Array.from(bidsAsksBucketLookup.values());\n};\n\nexport const getZeroPaddingForGroupingSize = (\n\tgroupingSize: GroupingSizeQuoteValue\n) => {\n\tconst _groupingSize = groupingSize as unknown as number;\n\n\tconst precision = Math.floor(Math.log10(_groupingSize));\n\n\tif (precision >= 0 || _groupingSize === 0) return 0;\n\n\treturn Math.abs(precision);\n};\n\nconst sizeToNum = (size: BN, precision: BN) =>\n\tBigNum.from(size, precision).toNum();\n\nexport const getCategorisedLiquidityForLevel = (\n\tlevel: L2Level,\n\tbasePrecision: BN\n): CategorisedLiquidity => {\n\tconst dlobSize = sizeToNum(level?.sources?.dlob ?? ZERO, basePrecision);\n\tconst vammSize = sizeToNum(level?.sources?.vamm ?? ZERO, basePrecision);\n\tconst serumSize = sizeToNum(level?.sources?.serum ?? ZERO, basePrecision);\n\tconst phoenixSize = sizeToNum(level?.sources?.phoenix ?? ZERO, basePrecision);\n\tconst openbookSize = sizeToNum(\n\t\tlevel?.sources?.openbook ?? ZERO,\n\t\tbasePrecision\n\t);\n\tconst indicativeSize = sizeToNum(\n\t\tlevel?.sources?.indicative ?? ZERO,\n\t\tbasePrecision\n\t);\n\n\tconst categorisedLiquidity: CategorisedLiquidity = {\n\t\tdlob: dlobSize,\n\t\tvamm: vammSize,\n\t\tserum: serumSize,\n\t\tphoenix: phoenixSize,\n\t\topenbook: openbookSize,\n\t\tindicative: indicativeSize,\n\t};\n\n\treturn categorisedLiquidity;\n};\n\nconst formatLevelsToDisplay = (\n\tlevels: L2Level[],\n\tbasePrecision: BN,\n\tdepth?: number\n): {\n\tformattedLevels: OrderBookDisplayStateBidAsk[];\n\tbestLevel: number;\n\tcumulativeSize: number;\n} => {\n\tconst relevantSources: Set<LiquidityType> = new Set();\n\n\tfor (const level of levels) {\n\t\tfor (const source of Object.keys(level.sources)) {\n\t\t\trelevantSources.add(source as LiquidityType);\n\t\t}\n\t}\n\n\tconst cumulativeSizes: CategorisedLiquidity = Array.from(\n\t\trelevantSources\n\t).reduce((acc, source) => {\n\t\tacc[source] = 0;\n\t\treturn acc;\n\t}, {} as CategorisedLiquidity);\n\n\tlet cumulativePriceSizeProduct = 0;\n\tlet cumulativeTotalSize = 0;\n\n\tconst formattedLevels: OrderBookDisplayStateBidAsk[] = levels.map((level) => {\n\t\tconst bucketSize = getCategorisedLiquidityForLevel(level, basePrecision);\n\t\tconst price = BigNum.from(level.price, PRICE_PRECISION_EXP).toNum();\n\t\tconst totalSize = Object.values(bucketSize).reduce(\n\t\t\t(sum, size) => sum + size,\n\t\t\t0\n\t\t);\n\n\t\tfor (const source of relevantSources) {\n\t\t\tconst currentValue = cumulativeSizes[source];\n\t\t\tif (currentValue !== undefined) {\n\t\t\t\tcumulativeSizes[source] = currentValue + (bucketSize[source] ?? 0);\n\t\t\t}\n\t\t}\n\n\t\tcumulativePriceSizeProduct += price * totalSize;\n\t\tcumulativeTotalSize += totalSize;\n\n\t\treturn {\n\t\t\tprice,\n\t\t\tsize: bucketSize,\n\t\t\tcumulativeSize: { ...cumulativeSizes },\n\t\t\tcumulativeAvgPrice:\n\t\t\t\tcumulativeTotalSize > 0\n\t\t\t\t\t? cumulativePriceSizeProduct / cumulativeTotalSize\n\t\t\t\t\t: 0,\n\t\t};\n\t});\n\n\tif (depth && depth > 0) {\n\t\tconst visibleLevels = formattedLevels.slice(0, depth);\n\t\tconst maxCumulativeSize = Math.max(\n\t\t\t0,\n\t\t\t...visibleLevels.map((level) =>\n\t\t\t\tObject.values(level.cumulativeSize).reduce((sum, size) => sum + size, 0)\n\t\t\t)\n\t\t);\n\n\t\treturn {\n\t\t\tformattedLevels: visibleLevels,\n\t\t\tbestLevel: visibleLevels?.[0]?.price,\n\t\t\tcumulativeSize: maxCumulativeSize,\n\t\t};\n\t}\n\n\tconst totalSizeToReturn = Object.values(cumulativeSizes).reduce(\n\t\t(total, current) => total + current,\n\t\t0\n\t);\n\n\treturn {\n\t\tformattedLevels,\n\t\tbestLevel: formattedLevels?.[0]?.price,\n\t\tcumulativeSize: totalSizeToReturn,\n\t};\n};\n\nexport const formatL2ToDisplay = (\n\tl2State: L2OrderBook,\n\tbasePrecision: BN,\n\tdepth?: number\n) => {\n\tconst formattedBids = formatLevelsToDisplay(\n\t\tl2State.bids,\n\t\tbasePrecision,\n\t\tdepth\n\t);\n\tconst formattedAsks = formatLevelsToDisplay(\n\t\tl2State.asks,\n\t\tbasePrecision,\n\t\tdepth\n\t);\n\n\treturn {\n\t\tbids: formattedBids.formattedLevels,\n\t\tasks: formattedAsks.formattedLevels,\n\t\tbidTotalSize: formattedBids.cumulativeSize,\n\t\taskTotalSize: formattedAsks.cumulativeSize,\n\t};\n};\n\nconst filterOutDisabledLiquidityTypes = (\n\tl2Levels: L2Level[],\n\tdisabledLiquidityTypes: LiquidityType[]\n) =>\n\tl2Levels\n\t\t.map((level) => {\n\t\t\tlet totalDisabledSize = ZERO;\n\t\t\tconst disabledSourceObj: Record<LiquidityType, BN> = {} as Record<\n\t\t\t\tLiquidityType,\n\t\t\t\tBN\n\t\t\t>;\n\n\t\t\tfor (const liquidityType of disabledLiquidityTypes) {\n\t\t\t\tconst disabledLiqSize = level.sources?.[liquidityType];\n\t\t\t\tif (disabledLiqSize?.gt(ZERO)) {\n\t\t\t\t\ttotalDisabledSize = totalDisabledSize.add(disabledLiqSize);\n\t\t\t\t\tdisabledSourceObj[liquidityType] = ZERO;\n\t\t\t\t}\n\t\t\t}\n\n\t\t\treturn totalDisabledSize.gt(ZERO)\n\t\t\t\t? {\n\t\t\t\t\t\t...level,\n\t\t\t\t\t\tsize: level.size.sub(totalDisabledSize),\n\t\t\t\t\t\tsources: {\n\t\t\t\t\t\t\t...level.sources,\n\t\t\t\t\t\t\t...disabledSourceObj,\n\t\t\t\t\t\t},\n\t\t\t\t  }\n\t\t\t\t: level;\n\t\t})\n\t\t.filter((level) => level.size.gt(ZERO));\n\nexport const l2ToDisplayBidsAndAsks = (\n\tl2Orderbook: L2OrderBook,\n\toraclePrice: BN,\n\ttickSizeForMarket: BN,\n\tgroupSizeTickMultiplier: number,\n\tuserBidsAndAsks: BidsAndAsks,\n\tbasePrecisionForMarket: BN,\n\tdisabledLiquidityTypes: LiquidityType[],\n\tmaxDepth: number,\n\tdepth?: number // limit the number of visible rows to calculate totalSize from\n) => {\n\tconst filteredBids =\n\t\tdisabledLiquidityTypes.length > 0\n\t\t\t? filterOutDisabledLiquidityTypes(\n\t\t\t\t\tl2Orderbook.bids,\n\t\t\t\t\tdisabledLiquidityTypes\n\t\t\t  )\n\t\t\t: l2Orderbook.bids;\n\n\tconst filteredAsks =\n\t\tdisabledLiquidityTypes.length > 0\n\t\t\t? filterOutDisabledLiquidityTypes(\n\t\t\t\t\tl2Orderbook.asks,\n\t\t\t\t\tdisabledLiquidityTypes\n\t\t\t  )\n\t\t\t: l2Orderbook.asks;\n\n\t// # Uncross the liquidity\n\tconst uncrossed = {\n\t\tl2Orderbook,\n\t\tbids: filteredBids,\n\t\tasks: filteredAsks,\n\t};\n\n\t// Group the orderbook into levels based on the grouping size\n\tconst grouped = groupL2(\n\t\tuncrossed,\n\t\ttickSizeForMarket.muln(groupSizeTickMultiplier ?? 1), // one user had a weird error where .muln was throwing assertion failed error\n\t\tmaxDepth\n\t);\n\n\t// # Convert to UI format\n\tconst formatted = formatL2ToDisplay(grouped, basePrecisionForMarket, depth);\n\n\t// Check that bids are in descending order\n\tif (\n\t\tformatted.bids.some((bid, index) => {\n\t\t\tif (index === 0) return false;\n\n\t\t\treturn bid.price > formatted.bids[index - 1].price;\n\t\t})\n\t) {\n\t\tconsole.log('orderbook - bids_not_in_descending_order', {\n\t\t\tl2Orderbook,\n\t\t\toraclePrice,\n\t\t\ttickSizeForMarket,\n\t\t\tuserBidsAndAsks,\n\t\t\tbasePrecisionForMarket,\n\t\t\tuncrossed,\n\t\t\tformatted,\n\t\t});\n\t}\n\n\t// Check that asks are in ascending order\n\tif (\n\t\tformatted.asks.some((ask, index) => {\n\t\t\tif (index === 0) return false;\n\n\t\t\treturn ask.price < formatted.asks[index - 1].price;\n\t\t})\n\t) {\n\t\tconsole.log('orderbook - asks_not_in_ascending_order', {\n\t\t\tl2Orderbook,\n\t\t\toraclePrice,\n\t\t\ttickSizeForMarket,\n\t\t\tuserBidsAndAsks,\n\t\t\tbasePrecisionForMarket,\n\t\t\tuncrossed,\n\t\t\tformatted,\n\t\t});\n\t}\n\n\treturn formatted;\n};\n\nexport const getEmptyFilledBidsAsks = (\n\tbidsOrAsks: OrderBookDisplayStateBidAsk[],\n\tdepth: number\n): (OrderBookDisplayStateBidAsk | EmptyRow)[] => {\n\tconst result = Array(depth).fill(EMPTY_ORDERBOOK_ROW);\n\n\tbidsOrAsks.forEach((bidOrAsk, index) => {\n\t\tif (index < depth) {\n\t\t\tresult[index] = bidOrAsk;\n\t\t}\n\t});\n\n\treturn result;\n};\n"]}

package/lib/utils/orderbook/types.d.ts

@@ -0,0 +1,101 @@
+import { Opaque } from '../../types/utility';
+import { MarketType, OraclePriceData, L2OrderBook, BN, MMOraclePriceData, L2Level, BigNum } from '@drift-labs/sdk';
+export interface L2WithOracle extends L2OrderBook {
+    oracleData: OraclePriceData;
+    markPrice: BN;
+    bestBidPrice: BN;
+    bestAskPrice: BN;
+    spreadPct: BN;
+    spreadQuote: BN;
+    mmOracleData?: MMOraclePriceData;
+}
+export interface L2WithOracleAndMarketData extends L2WithOracle {
+    marketSlot: number;
+    marketIndex: number;
+    marketName: string;
+    marketType?: MarketType;
+}
+export type RawL2Output = {
+    marketIndex: number;
+    marketType: MarketType;
+    marketName: string;
+    marketSlot: number;
+    asks: {
+        price: string;
+        size: string;
+        sources: {
+            [key: string]: string;
+        };
+    }[];
+    bids: {
+        price: string;
+        size: string;
+        sources: {
+            [key: string]: string;
+        };
+    }[];
+    oracleData: {
+        price: string;
+        slot: string;
+        confidence: string;
+        hasSufficientNumberOfDataPoints: boolean;
+        twap?: string;
+        twapConfidence?: string;
+        maxPrice?: string;
+    };
+    mmOracleData?: {
+        price: string;
+        slot: string;
+        confidence: string;
+        hasSufficientNumberOfDataPoints: boolean;
+        isMMOracleActive: boolean;
+    };
+    markPrice: string;
+    bestBidPrice: string;
+    bestAskPrice: string;
+    spreadPct: string;
+    spreadQuote: string;
+    slot?: number;
+};
+export type LiquidityType = keyof L2Level['sources'];
+export type OrderBookBidAsk = {
+    price: number;
+    size: number;
+    type: LiquidityType;
+};
+export type BidsAndAsks = {
+    bids: OrderBookBidAsk[];
+    asks: OrderBookBidAsk[];
+};
+export declare enum CUMULATIVE_SIZE_CURRENCY {
+    USD = 0,
+    BASE = 1
+}
+export type GroupingSizeQuoteValue = Opaque<number, 'GroupingSizeQuoteValue'>;
+export type CategorisedLiquidity = Partial<Record<LiquidityType, number>>;
+export type GroupingSizeSelectionState = {
+    options: number[];
+    selectionIndex: number;
+    updateSelectionIndex: (newVal: number | string) => void;
+};
+export type MarketPriceState = {
+    bestBid: BigNum;
+    bestAsk: BigNum;
+    markPrice: BigNum;
+    spreadPct: BigNum;
+    spreadQuote: BigNum;
+    slot?: number;
+};
+export type OrderBookDisplayStateBidAsk = {
+    price: number;
+    size: CategorisedLiquidity;
+    cumulativeSize: CategorisedLiquidity;
+    cumulativeAvgPrice: number;
+};
+export type OrderBookDisplayState = {
+    bids: OrderBookDisplayStateBidAsk[];
+    asks: OrderBookDisplayStateBidAsk[];
+    bidTotalSize: number;
+    askTotalSize: number;
+};
+export type EmptyRow = Opaque<'EmptyRow', string>;

package/lib/utils/orderbook/types.js

@@ -0,0 +1,9 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.CUMULATIVE_SIZE_CURRENCY = void 0;
+var CUMULATIVE_SIZE_CURRENCY;
+(function (CUMULATIVE_SIZE_CURRENCY) {
+    CUMULATIVE_SIZE_CURRENCY[CUMULATIVE_SIZE_CURRENCY["USD"] = 0] = "USD";
+    CUMULATIVE_SIZE_CURRENCY[CUMULATIVE_SIZE_CURRENCY["BASE"] = 1] = "BASE";
+})(CUMULATIVE_SIZE_CURRENCY || (exports.CUMULATIVE_SIZE_CURRENCY = CUMULATIVE_SIZE_CURRENCY = {}));
+//# sourceMappingURL=types.js.map

package/lib/utils/orderbook/types.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"types.js","sourceRoot":"","sources":["../../../src/utils/orderbook/types.ts"],"names":[],"mappings":";;;AAqFA,IAAY,wBAGX;AAHD,WAAY,wBAAwB;IACnC,qEAAG,CAAA;IACH,uEAAI,CAAA;AACL,CAAC,EAHW,wBAAwB,wCAAxB,wBAAwB,QAGnC","sourcesContent":["import { Opaque } from '../../types/utility';\n\nimport {\n\tMarketType,\n\tOraclePriceData,\n\tL2OrderBook,\n\tBN,\n\tMMOraclePriceData,\n\tL2Level,\n\tBigNum,\n} from '@drift-labs/sdk';\n\nexport interface L2WithOracle extends L2OrderBook {\n\toracleData: OraclePriceData;\n\tmarkPrice: BN;\n\tbestBidPrice: BN;\n\tbestAskPrice: BN;\n\tspreadPct: BN;\n\tspreadQuote: BN;\n\tmmOracleData?: MMOraclePriceData;\n}\n\nexport interface L2WithOracleAndMarketData extends L2WithOracle {\n\tmarketSlot: number;\n\tmarketIndex: number;\n\tmarketName: string;\n\tmarketType?: MarketType;\n}\n\nexport type RawL2Output = {\n\tmarketIndex: number;\n\tmarketType: MarketType;\n\tmarketName: string;\n\tmarketSlot: number;\n\tasks: {\n\t\tprice: string;\n\t\tsize: string;\n\t\tsources: {\n\t\t\t[key: string]: string;\n\t\t};\n\t}[];\n\tbids: {\n\t\tprice: string;\n\t\tsize: string;\n\t\tsources: {\n\t\t\t[key: string]: string;\n\t\t};\n\t}[];\n\toracleData: {\n\t\tprice: string;\n\t\tslot: string;\n\t\tconfidence: string;\n\t\thasSufficientNumberOfDataPoints: boolean;\n\t\ttwap?: string;\n\t\ttwapConfidence?: string;\n\t\tmaxPrice?: string;\n\t};\n\tmmOracleData?: {\n\t\tprice: string;\n\t\tslot: string;\n\t\tconfidence: string;\n\t\thasSufficientNumberOfDataPoints: boolean;\n\t\tisMMOracleActive: boolean;\n\t};\n\tmarkPrice: string;\n\tbestBidPrice: string;\n\tbestAskPrice: string;\n\tspreadPct: string;\n\tspreadQuote: string;\n\tslot?: number;\n};\n\nexport type LiquidityType = keyof L2Level['sources'];\n\nexport type OrderBookBidAsk = {\n\tprice: number;\n\tsize: number;\n\ttype: LiquidityType;\n};\n\nexport type BidsAndAsks = {\n\tbids: OrderBookBidAsk[];\n\tasks: OrderBookBidAsk[];\n};\n\nexport enum CUMULATIVE_SIZE_CURRENCY {\n\tUSD,\n\tBASE,\n}\n\nexport type GroupingSizeQuoteValue = Opaque<number, 'GroupingSizeQuoteValue'>;\n\nexport type CategorisedLiquidity = Partial<Record<LiquidityType, number>>;\n\nexport type GroupingSizeSelectionState = {\n\toptions: number[];\n\tselectionIndex: number;\n\tupdateSelectionIndex: (newVal: number | string) => void;\n};\n\nexport type MarketPriceState = {\n\tbestBid: BigNum;\n\tbestAsk: BigNum;\n\tmarkPrice: BigNum;\n\tspreadPct: BigNum;\n\tspreadQuote: BigNum;\n\tslot?: number;\n};\n\nexport type OrderBookDisplayStateBidAsk = {\n\tprice: number;\n\tsize: CategorisedLiquidity;\n\tcumulativeSize: CategorisedLiquidity;\n\tcumulativeAvgPrice: number;\n};\n\nexport type OrderBookDisplayState = {\n\tbids: OrderBookDisplayStateBidAsk[];\n\tasks: OrderBookDisplayStateBidAsk[];\n\tbidTotalSize: number;\n\taskTotalSize: number;\n};\n\nexport type EmptyRow = Opaque<'EmptyRow', string>;\n"]}

package/lib/utils/signedMsgs.d.ts

@@ -0,0 +1 @@
+export declare function getSwiftConfirmationTimeoutMs(auctionDurationSlots: number, multiplier?: number): number;

package/lib/utils/signedMsgs.js

@@ -0,0 +1,10 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.getSwiftConfirmationTimeoutMs = void 0;
+const sdk_1 = require("@drift-labs/sdk");
+function getSwiftConfirmationTimeoutMs(auctionDurationSlots, multiplier) {
+    const baseMs = ((auctionDurationSlots !== null && auctionDurationSlots !== void 0 ? auctionDurationSlots : 0) + 15) * sdk_1.SLOT_TIME_ESTIMATE_MS;
+    return baseMs * (multiplier !== null && multiplier !== void 0 ? multiplier : 1);
+}
+exports.getSwiftConfirmationTimeoutMs = getSwiftConfirmationTimeoutMs;
+//# sourceMappingURL=signedMsgs.js.map

package/lib/utils/signedMsgs.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"signedMsgs.js","sourceRoot":"","sources":["../../src/utils/signedMsgs.ts"],"names":[],"mappings":";;;AAAA,yCAAwD;AAExD,SAAgB,6BAA6B,CAC5C,oBAA4B,EAC5B,UAAmB;IAEnB,MAAM,MAAM,GAAG,CAAC,CAAC,oBAAoB,aAApB,oBAAoB,cAApB,oBAAoB,GAAI,CAAC,CAAC,GAAG,EAAE,CAAC,GAAG,2BAAqB,CAAC;IAC1E,OAAO,MAAM,GAAG,CAAC,UAAU,aAAV,UAAU,cAAV,UAAU,GAAI,CAAC,CAAC,CAAC;AACnC,CAAC;AAND,sEAMC","sourcesContent":["import { SLOT_TIME_ESTIMATE_MS } from '@drift-labs/sdk';\n\nexport function getSwiftConfirmationTimeoutMs(\n\tauctionDurationSlots: number,\n\tmultiplier?: number\n): number {\n\tconst baseMs = ((auctionDurationSlots ?? 0) + 15) * SLOT_TIME_ESTIMATE_MS;\n\treturn baseMs * (multiplier ?? 1);\n}\n"]}

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/common",
-	"version": "1.0.13",
+	"version": "1.0.16",
 	"description": "Common functions for Drift",
 	"main": "./lib/index.js",
 	"types": "./lib/index.d.ts",