@drift-labs/sdk 0.2.0-master.30 → 0.2.0-master.32

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Files changed (60) hide show
  1. package/lib/admin.d.ts +11 -7
  2. package/lib/admin.js +50 -12
  3. package/lib/clearingHouse.d.ts +26 -23
  4. package/lib/clearingHouse.js +290 -652
  5. package/lib/clearingHouseUser.d.ts +1 -1
  6. package/lib/clearingHouseUser.js +9 -12
  7. package/lib/config.js +1 -1
  8. package/lib/constants/numericConstants.d.ts +7 -0
  9. package/lib/constants/numericConstants.js +8 -1
  10. package/lib/constants/spotMarkets.js +4 -4
  11. package/lib/dlob/DLOB.d.ts +7 -5
  12. package/lib/dlob/DLOB.js +159 -88
  13. package/lib/dlob/DLOBNode.d.ts +2 -0
  14. package/lib/dlob/DLOBNode.js +3 -0
  15. package/lib/dlob/NodeList.d.ts +2 -1
  16. package/lib/dlob/NodeList.js +10 -4
  17. package/lib/events/types.d.ts +2 -1
  18. package/lib/events/types.js +1 -0
  19. package/lib/factory/bigNum.d.ts +1 -0
  20. package/lib/factory/bigNum.js +14 -0
  21. package/lib/idl/clearing_house.json +1091 -611
  22. package/lib/math/amm.d.ts +2 -2
  23. package/lib/math/amm.js +31 -28
  24. package/lib/math/market.d.ts +1 -1
  25. package/lib/math/market.js +6 -6
  26. package/lib/math/spotBalance.js +7 -8
  27. package/lib/math/trade.js +11 -11
  28. package/lib/types.d.ts +118 -41
  29. package/lib/types.js +34 -4
  30. package/package.json +4 -2
  31. package/src/admin.ts +129 -29
  32. package/src/clearingHouse.ts +380 -787
  33. package/src/clearingHouseUser.ts +11 -14
  34. package/src/config.ts +1 -1
  35. package/src/constants/numericConstants.ts +7 -0
  36. package/src/constants/spotMarkets.ts +5 -4
  37. package/src/dlob/DLOB.ts +221 -103
  38. package/src/dlob/DLOBNode.ts +5 -0
  39. package/src/dlob/NodeList.ts +15 -5
  40. package/src/events/types.ts +3 -0
  41. package/src/factory/bigNum.ts +23 -0
  42. package/src/idl/clearing_house.json +1091 -611
  43. package/src/math/amm.ts +42 -29
  44. package/src/math/market.ts +9 -4
  45. package/src/math/spotBalance.ts +11 -8
  46. package/src/math/trade.ts +11 -11
  47. package/src/types.ts +82 -41
  48. package/tests/bn/test.ts +13 -8
  49. package/tests/dlob/helpers.ts +56 -33
  50. package/tests/dlob/test.ts +1397 -495
  51. package/src/assert/assert.js +0 -9
  52. package/src/events/eventList.js +0 -77
  53. package/src/examples/makeTradeExample.js +0 -157
  54. package/src/token/index.js +0 -38
  55. package/src/tx/types.js +0 -2
  56. package/src/tx/utils.js +0 -17
  57. package/src/util/computeUnits.js +0 -27
  58. package/src/util/getTokenAddress.js +0 -9
  59. package/src/util/promiseTimeout.js +0 -14
  60. package/src/util/tps.js +0 -27
package/tests/dlob/test.ts CHANGED
@@ -11,6 +11,11 @@ import {
11
11
  OrderStatus,
12
12
  OrderType,
13
13
  OrderTriggerCondition,
14
+ PRICE_PRECISION,
15
+ DLOBNode,
16
+ OraclePriceData,
17
+ NodeToFill,
18
+ isOrderExpired,
14
19
  } from '../../src';
15
20
 
16
21
  import { mockPerpMarkets, mockSpotMarkets } from './helpers';
@@ -20,15 +25,16 @@ function insertOrderToDLOB(
20
25
  userAccount: PublicKey,
21
26
  orderType: OrderType,
22
27
  marketType: MarketType,
23
- orderId: BN,
24
- marketIndex: BN,
28
+ orderId: number,
29
+ marketIndex: number,
25
30
  price: BN,
26
31
  baseAssetAmount: BN,
27
32
  direction: PositionDirection,
28
33
  auctionStartPrice: BN,
29
34
  auctionEndPrice: BN,
30
35
  slot?: BN,
31
- timeInForce = 30
36
+ timeInForce = 30,
37
+ oraclePriceOffset = new BN(0)
32
38
  ) {
33
39
  dlob.insertOrder(
34
40
  {
@@ -54,7 +60,7 @@ function insertOrderToDLOB(
54
60
  existingPositionDirection: PositionDirection.LONG,
55
61
  postOnly: false,
56
62
  immediateOrCancel: true,
57
- oraclePriceOffset: new BN(0),
63
+ oraclePriceOffset,
58
64
  auctionDuration: 10,
59
65
  auctionStartPrice,
60
66
  auctionEndPrice,
@@ -69,8 +75,8 @@ function insertTriggerOrderToDLOB(
69
75
  userAccount: PublicKey,
70
76
  orderType: OrderType,
71
77
  marketType: MarketType,
72
- orderId: BN,
73
- marketIndex: BN,
78
+ orderId: number,
79
+ marketIndex: number,
74
80
  price: BN,
75
81
  baseAssetAmount: BN,
76
82
  direction: PositionDirection,
@@ -79,7 +85,8 @@ function insertTriggerOrderToDLOB(
79
85
  auctionStartPrice: BN,
80
86
  auctionEndPrice: BN,
81
87
  slot?: BN,
82
- timeInForce = 30
88
+ timeInForce = 30,
89
+ oraclePriceOffset = new BN(0)
83
90
  ) {
84
91
  dlob.insertOrder(
85
92
  {
@@ -105,7 +112,7 @@ function insertTriggerOrderToDLOB(
105
112
  existingPositionDirection: PositionDirection.LONG,
106
113
  postOnly: false,
107
114
  immediateOrCancel: true,
108
- oraclePriceOffset: new BN(0),
115
+ oraclePriceOffset,
109
116
  auctionDuration: 10,
110
117
  auctionStartPrice,
111
118
  auctionEndPrice,
@@ -115,6 +122,98 @@ function insertTriggerOrderToDLOB(
115
122
  );
116
123
  }
117
124
 
125
+ function printOrderNode(
126
+ node: DLOBNode,
127
+ oracle: OraclePriceData | undefined,
128
+ slot: number | undefined
129
+ ) {
130
+ console.log(
131
+ ` . vAMMNode? ${node.isVammNode()},\t${
132
+ node.order ? getVariant(node.order?.orderType) : '~'
133
+ } ${node.order ? getVariant(node.order?.direction) : '~'}\t, ts: ${
134
+ node.order?.ts.toString() || '~'
135
+ }, orderId: ${node.order?.orderId.toString() || '~'},\tnode.getPrice: ${
136
+ oracle ? node.getPrice(oracle, slot!) : '~'
137
+ }, node.price: ${node.order?.price.toString() || '~'}, priceOffset: ${
138
+ node.order?.oraclePriceOffset.toString() || '~'
139
+ } quantity: ${node.order?.baseAssetAmountFilled.toString() || '~'}/${
140
+ node.order?.baseAssetAmount.toString() || '~'
141
+ }`
142
+ );
143
+ }
144
+
145
+ function printBookState(
146
+ dlob: DLOB,
147
+ marketIndex: number,
148
+ vBid: BN | undefined,
149
+ vAsk: BN | undefined,
150
+ slot: number,
151
+ oracle: OraclePriceData
152
+ ) {
153
+ const askNodes = dlob.getAsks(
154
+ marketIndex,
155
+ vAsk,
156
+ slot,
157
+ MarketType.PERP,
158
+ oracle
159
+ );
160
+ let aa = 0;
161
+ console.log(`Oracle price: ${oracle.price.toNumber()}`);
162
+ console.log(`asks:`);
163
+ for (const a of askNodes) {
164
+ printOrderNode(a, oracle, slot);
165
+ aa++;
166
+ }
167
+ console.log(`Total ask nodes: ${aa}`);
168
+
169
+ const bidNodes = dlob.getBids(
170
+ marketIndex,
171
+ vBid,
172
+ slot,
173
+ MarketType.PERP,
174
+ oracle
175
+ );
176
+ let bb = 0;
177
+ console.log(`bids:`);
178
+ for (const b of bidNodes) {
179
+ printOrderNode(b, oracle, slot);
180
+ bb++;
181
+ }
182
+ console.log(`Total bid nodes: ${bb}`);
183
+ }
184
+
185
+ function printCrossedNodes(n: NodeToFill, slot: number) {
186
+ console.log(
187
+ `Cross Found, taker: ${n.node.order !== undefined}, maker: ${
188
+ n.makerNode !== undefined
189
+ }`
190
+ );
191
+ if (n.node.order) {
192
+ const t = n.node.order;
193
+ const exp = isOrderExpired(t, slot);
194
+ console.log(
195
+ ` taker orderId: ${t.orderId}, ${getVariant(t.orderType)}, ${getVariant(
196
+ t.direction
197
+ )},\texpired: ${exp}, price: ${t.price.toString()}, priceOffset: ${t.oraclePriceOffset.toString()}, baseAmtFileld: ${t.baseAssetAmountFilled.toString()}/${t.baseAssetAmount.toString()}`
198
+ );
199
+ }
200
+ if (n.makerNode) {
201
+ if (n.makerNode.isVammNode()) {
202
+ console.log(` maker is vAMM node`);
203
+ } else {
204
+ const m = n.makerNode.order!;
205
+ const exp = isOrderExpired(m, slot);
206
+ console.log(
207
+ ` maker orderId: ${m.orderId}, ${getVariant(
208
+ m.orderType
209
+ )}, ${getVariant(
210
+ m.direction
211
+ )},\texpired: ${exp}, price: ${m.price.toString()}, priceOffset: ${m.oraclePriceOffset.toString()}, baseAmtFileld: ${m.baseAssetAmountFilled.toString()}/${m.baseAssetAmount.toString()}`
212
+ );
213
+ }
214
+ }
215
+ }
216
+
118
217
  let mockTs = 1;
119
218
  function getMockTimestamp(): number {
120
219
  return mockTs++;
@@ -185,6 +284,85 @@ describe('DLOB Tests', () => {
185
284
  expect(foundBids).to.equal(0);
186
285
  }
187
286
  });
287
+
288
+ it('Can clear DLOB', () => {
289
+ const vAsk = new BN(15);
290
+ const vBid = new BN(10);
291
+ const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
292
+ const marketIndex = 0;
293
+
294
+ const slot = 12;
295
+ const oracle = {
296
+ price: vBid.add(vAsk).div(new BN(2)),
297
+ slot: new BN(slot),
298
+ confidence: new BN(1),
299
+ hasSufficientNumberOfDataPoints: true,
300
+ };
301
+
302
+ insertOrderToDLOB(
303
+ dlob,
304
+ Keypair.generate().publicKey,
305
+ OrderType.LIMIT,
306
+ MarketType.PERP,
307
+ 0, // orderId
308
+ marketIndex,
309
+ new BN(9), // price
310
+ BASE_PRECISION, // quantity
311
+ PositionDirection.LONG,
312
+ vBid,
313
+ vAsk
314
+ );
315
+ insertOrderToDLOB(
316
+ dlob,
317
+ Keypair.generate().publicKey,
318
+ OrderType.LIMIT,
319
+ MarketType.PERP,
320
+ 1, // orderId
321
+ marketIndex,
322
+ new BN(8), // price
323
+ BASE_PRECISION, // quantity
324
+ PositionDirection.LONG,
325
+ vBid,
326
+ vAsk
327
+ );
328
+ insertOrderToDLOB(
329
+ dlob,
330
+ Keypair.generate().publicKey,
331
+ OrderType.LIMIT,
332
+ MarketType.PERP,
333
+ 2, // orderId
334
+ marketIndex,
335
+ new BN(8), // price
336
+ BASE_PRECISION, // quantity
337
+ PositionDirection.LONG,
338
+ vBid,
339
+ vAsk
340
+ );
341
+
342
+ const bids = dlob.getBids(
343
+ marketIndex,
344
+ undefined,
345
+ 0,
346
+ MarketType.PERP,
347
+ oracle
348
+ );
349
+ let b = 0;
350
+ for (const _bid of bids) {
351
+ b++;
352
+ }
353
+ expect(b).to.equal(3);
354
+
355
+ dlob.clear();
356
+ let thrown = false;
357
+ try {
358
+ const bids1 = dlob.getBids(marketIndex, vBid, 0, MarketType.PERP, oracle);
359
+ bids1.next();
360
+ } catch (e) {
361
+ console.error(e);
362
+ thrown = true;
363
+ }
364
+ expect(thrown, 'should throw after clearing').to.equal(true);
365
+ });
188
366
  });
189
367
 
190
368
  describe('DLOB Perp Tests', () => {
@@ -192,7 +370,7 @@ describe('DLOB Perp Tests', () => {
192
370
  const vAsk = new BN(15);
193
371
  const vBid = new BN(10);
194
372
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
195
- const marketIndex = new BN(0);
373
+ const marketIndex = 0;
196
374
 
197
375
  const slot = 12;
198
376
  const oracle = {
@@ -203,41 +381,41 @@ describe('DLOB Perp Tests', () => {
203
381
  };
204
382
  const testCases = [
205
383
  {
206
- expectedIdx: 3,
384
+ expectedIdx: 0,
207
385
  isVamm: false,
208
- orderId: new BN(5),
386
+ orderId: 5,
209
387
  price: new BN(0),
210
388
  direction: PositionDirection.LONG,
211
389
  orderType: OrderType.MARKET,
212
390
  },
213
391
  {
214
- expectedIdx: 4,
392
+ expectedIdx: 1,
215
393
  isVamm: false,
216
- orderId: new BN(6),
394
+ orderId: 6,
217
395
  price: new BN(0),
218
396
  direction: PositionDirection.LONG,
219
397
  orderType: OrderType.MARKET,
220
398
  },
221
399
  {
222
- expectedIdx: 5,
400
+ expectedIdx: 2,
223
401
  isVamm: false,
224
- orderId: new BN(7),
402
+ orderId: 7,
225
403
  price: new BN(0),
226
404
  direction: PositionDirection.LONG,
227
405
  orderType: OrderType.MARKET,
228
406
  },
229
407
  {
230
- expectedIdx: 0,
408
+ expectedIdx: 3,
231
409
  isVamm: false,
232
- orderId: new BN(1),
410
+ orderId: 1,
233
411
  price: new BN(12),
234
412
  direction: PositionDirection.LONG,
235
413
  orderType: OrderType.LIMIT,
236
414
  },
237
415
  {
238
- expectedIdx: 1,
416
+ expectedIdx: 4,
239
417
  isVamm: false,
240
- orderId: new BN(2),
418
+ orderId: 2,
241
419
  price: new BN(11),
242
420
  direction: PositionDirection.LONG,
243
421
  orderType: OrderType.LIMIT,
@@ -245,13 +423,13 @@ describe('DLOB Perp Tests', () => {
245
423
  {
246
424
  expectedIdx: 7,
247
425
  isVamm: false,
248
- orderId: new BN(3),
426
+ orderId: 3,
249
427
  price: new BN(8),
250
428
  direction: PositionDirection.LONG,
251
429
  orderType: OrderType.LIMIT,
252
430
  },
253
431
  {
254
- expectedIdx: 2,
432
+ expectedIdx: 5,
255
433
  isVamm: true,
256
434
  orderId: undefined,
257
435
  price: undefined,
@@ -261,7 +439,7 @@ describe('DLOB Perp Tests', () => {
261
439
  {
262
440
  expectedIdx: 6,
263
441
  isVamm: false,
264
- orderId: new BN(4),
442
+ orderId: 4,
265
443
  price: new BN(9),
266
444
  direction: PositionDirection.LONG,
267
445
  orderType: OrderType.LIMIT,
@@ -277,7 +455,7 @@ describe('DLOB Perp Tests', () => {
277
455
  Keypair.generate().publicKey,
278
456
  t.orderType || OrderType.LIMIT,
279
457
  MarketType.PERP,
280
- t.orderId || new BN(0), // orderId
458
+ t.orderId || 0, // orderId
281
459
  marketIndex,
282
460
  t.price || new BN(0), // price
283
461
  BASE_PRECISION, // quantity
@@ -294,28 +472,26 @@ describe('DLOB Perp Tests', () => {
294
472
  const bids = dlob.getBids(marketIndex, vBid, slot, MarketType.PERP, oracle);
295
473
 
296
474
  console.log('The Book Bids:');
475
+ const gotBids: Array<DLOBNode> = [];
297
476
  let countBids = 0;
298
477
  for (const bid of bids) {
299
- console.log(
300
- ` . vAMMNode? ${bid.isVammNode()}, ${JSON.stringify(
301
- bid.order?.orderType
302
- )} , ${bid.order?.orderId.toString()} , vammTestgetPRice: ${bid.getPrice(
303
- oracle,
304
- slot
305
- )}, price: ${bid.order?.price.toString()}, quantity: ${bid.order?.baseAssetAmountFilled.toString()}/${bid.order?.baseAssetAmount.toString()}`
478
+ gotBids.push(bid);
479
+ printOrderNode(bid, oracle, slot);
480
+ }
481
+ for (const bid of gotBids) {
482
+ expect(bid.isVammNode(), `expected vAMM node`).to.be.eq(
483
+ expectedTestCase[countBids].isVamm
306
484
  );
307
-
308
- expect(bid.isVammNode()).to.be.eq(expectedTestCase[countBids].isVamm);
309
- expect(bid.order?.orderId.toNumber()).to.equal(
310
- expectedTestCase[countBids].orderId?.toNumber()
485
+ expect(bid.order?.orderId, `expected orderId`).to.equal(
486
+ expectedTestCase[countBids].orderId
311
487
  );
312
- expect(bid.order?.price.toNumber()).to.equal(
488
+ expect(bid.order?.price.toNumber(), `expected price`).to.equal(
313
489
  expectedTestCase[countBids].price?.toNumber()
314
490
  );
315
- expect(bid.order?.direction).to.equal(
491
+ expect(bid.order?.direction, `expected order direction`).to.equal(
316
492
  expectedTestCase[countBids].direction
317
493
  );
318
- expect(bid.order?.orderType).to.equal(
494
+ expect(bid.order?.orderType, `expected order type`).to.equal(
319
495
  expectedTestCase[countBids].orderType
320
496
  );
321
497
  countBids++;
@@ -328,8 +504,8 @@ describe('DLOB Perp Tests', () => {
328
504
  const vAsk = new BN(15);
329
505
  const vBid = new BN(10);
330
506
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
331
- const marketIndex0 = new BN(0);
332
- const marketIndex1 = new BN(1);
507
+ const marketIndex0 = 0;
508
+ const marketIndex1 = 1;
333
509
 
334
510
  const slot = 12;
335
511
  const oracle = {
@@ -342,7 +518,7 @@ describe('DLOB Perp Tests', () => {
342
518
  {
343
519
  expectedIdx: 3,
344
520
  isVamm: false,
345
- orderId: new BN(5),
521
+ orderId: 5,
346
522
  price: new BN(0),
347
523
  direction: PositionDirection.LONG,
348
524
  orderType: OrderType.MARKET,
@@ -351,7 +527,7 @@ describe('DLOB Perp Tests', () => {
351
527
  {
352
528
  expectedIdx: 4,
353
529
  isVamm: false,
354
- orderId: new BN(6),
530
+ orderId: 6,
355
531
  price: new BN(0),
356
532
  direction: PositionDirection.LONG,
357
533
  orderType: OrderType.MARKET,
@@ -360,7 +536,7 @@ describe('DLOB Perp Tests', () => {
360
536
  {
361
537
  expectedIdx: 5,
362
538
  isVamm: false,
363
- orderId: new BN(7),
539
+ orderId: 7,
364
540
  price: new BN(0),
365
541
  direction: PositionDirection.LONG,
366
542
  orderType: OrderType.MARKET,
@@ -369,7 +545,7 @@ describe('DLOB Perp Tests', () => {
369
545
  {
370
546
  expectedIdx: 0,
371
547
  isVamm: false,
372
- orderId: new BN(1),
548
+ orderId: 1,
373
549
  price: new BN(12),
374
550
  direction: PositionDirection.LONG,
375
551
  orderType: OrderType.LIMIT,
@@ -378,7 +554,7 @@ describe('DLOB Perp Tests', () => {
378
554
  {
379
555
  expectedIdx: 1,
380
556
  isVamm: false,
381
- orderId: new BN(2),
557
+ orderId: 2,
382
558
  price: new BN(11),
383
559
  direction: PositionDirection.LONG,
384
560
  orderType: OrderType.LIMIT,
@@ -387,7 +563,7 @@ describe('DLOB Perp Tests', () => {
387
563
  {
388
564
  expectedIdx: 7,
389
565
  isVamm: false,
390
- orderId: new BN(3),
566
+ orderId: 3,
391
567
  price: new BN(8),
392
568
  direction: PositionDirection.LONG,
393
569
  orderType: OrderType.LIMIT,
@@ -396,7 +572,7 @@ describe('DLOB Perp Tests', () => {
396
572
  {
397
573
  expectedIdx: 6,
398
574
  isVamm: false,
399
- orderId: new BN(4),
575
+ orderId: 4,
400
576
  price: new BN(9),
401
577
  direction: PositionDirection.LONG,
402
578
  orderType: OrderType.LIMIT,
@@ -413,7 +589,7 @@ describe('DLOB Perp Tests', () => {
413
589
  Keypair.generate().publicKey,
414
590
  t.orderType || OrderType.LIMIT,
415
591
  MarketType.PERP,
416
- t.orderId || new BN(0), // orderId
592
+ t.orderId || 0, // orderId
417
593
  t.marketIndex,
418
594
  t.price || new BN(0), // price
419
595
  BASE_PRECISION, // quantity
@@ -471,7 +647,7 @@ describe('DLOB Perp Tests', () => {
471
647
  const vAsk = new BN(15);
472
648
  const vBid = new BN(10);
473
649
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
474
- const marketIndex = new BN(0);
650
+ const marketIndex = 0;
475
651
 
476
652
  const slot = 12;
477
653
  const oracle = {
@@ -484,7 +660,7 @@ describe('DLOB Perp Tests', () => {
484
660
  {
485
661
  expectedIdx: 0,
486
662
  isVamm: false,
487
- orderId: new BN(3),
663
+ orderId: 3,
488
664
  price: new BN(0),
489
665
  direction: PositionDirection.SHORT,
490
666
  orderType: OrderType.MARKET,
@@ -492,7 +668,7 @@ describe('DLOB Perp Tests', () => {
492
668
  {
493
669
  expectedIdx: 1,
494
670
  isVamm: false,
495
- orderId: new BN(4),
671
+ orderId: 4,
496
672
  price: new BN(0),
497
673
  direction: PositionDirection.SHORT,
498
674
  orderType: OrderType.MARKET,
@@ -500,7 +676,7 @@ describe('DLOB Perp Tests', () => {
500
676
  {
501
677
  expectedIdx: 2,
502
678
  isVamm: false,
503
- orderId: new BN(5),
679
+ orderId: 5,
504
680
  price: new BN(0),
505
681
  direction: PositionDirection.SHORT,
506
682
  orderType: OrderType.MARKET,
@@ -508,7 +684,7 @@ describe('DLOB Perp Tests', () => {
508
684
  {
509
685
  expectedIdx: 3,
510
686
  isVamm: false,
511
- orderId: new BN(1),
687
+ orderId: 1,
512
688
  price: new BN(13),
513
689
  direction: PositionDirection.SHORT,
514
690
  orderType: OrderType.LIMIT,
@@ -516,7 +692,7 @@ describe('DLOB Perp Tests', () => {
516
692
  {
517
693
  expectedIdx: 6,
518
694
  isVamm: false,
519
- orderId: new BN(6),
695
+ orderId: 6,
520
696
  price: new BN(16),
521
697
  direction: PositionDirection.SHORT,
522
698
  orderType: OrderType.LIMIT,
@@ -532,7 +708,7 @@ describe('DLOB Perp Tests', () => {
532
708
  {
533
709
  expectedIdx: 7,
534
710
  isVamm: false,
535
- orderId: new BN(7),
711
+ orderId: 7,
536
712
  price: new BN(17),
537
713
  direction: PositionDirection.SHORT,
538
714
  orderType: OrderType.LIMIT,
@@ -540,7 +716,7 @@ describe('DLOB Perp Tests', () => {
540
716
  {
541
717
  expectedIdx: 4,
542
718
  isVamm: false,
543
- orderId: new BN(2),
719
+ orderId: 2,
544
720
  price: new BN(14),
545
721
  direction: PositionDirection.SHORT,
546
722
  orderType: OrderType.LIMIT,
@@ -556,7 +732,7 @@ describe('DLOB Perp Tests', () => {
556
732
  Keypair.generate().publicKey,
557
733
  t.orderType || OrderType.LIMIT,
558
734
  MarketType.PERP,
559
- t.orderId || new BN(0), // orderId
735
+ t.orderId || 0, // orderId
560
736
  marketIndex,
561
737
  t.price || new BN(0), // price
562
738
  BASE_PRECISION, // quantity
@@ -585,9 +761,7 @@ describe('DLOB Perp Tests', () => {
585
761
  );
586
762
 
587
763
  expect(ask.isVammNode()).to.be.eq(expectedTestCase[countAsks].isVamm);
588
- expect(ask.order?.orderId.toNumber()).to.equal(
589
- expectedTestCase[countAsks].orderId?.toNumber()
590
- );
764
+ expect(ask.order?.orderId).to.equal(expectedTestCase[countAsks].orderId);
591
765
  expect(ask.order?.price.toNumber()).to.equal(
592
766
  expectedTestCase[countAsks].price?.toNumber()
593
767
  );
@@ -607,7 +781,7 @@ describe('DLOB Perp Tests', () => {
607
781
  const vAsk = new BN(11);
608
782
  const vBid = new BN(10);
609
783
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
610
- const marketIndex = new BN(0);
784
+ const marketIndex = 0;
611
785
  const oracle = {
612
786
  price: vBid.add(vAsk).div(new BN(2)),
613
787
  slot: new BN(12),
@@ -622,7 +796,7 @@ describe('DLOB Perp Tests', () => {
622
796
  Keypair.generate().publicKey,
623
797
  OrderType.MARKET,
624
798
  MarketType.PERP,
625
- new BN(i + 1),
799
+ i + 1,
626
800
  marketIndex,
627
801
  new BN(0),
628
802
  BASE_PRECISION,
@@ -639,7 +813,7 @@ describe('DLOB Perp Tests', () => {
639
813
  Keypair.generate().publicKey,
640
814
  OrderType.MARKET,
641
815
  MarketType.PERP,
642
- new BN(i + 1),
816
+ i + 1,
643
817
  marketIndex,
644
818
  new BN(0),
645
819
  BASE_PRECISION,
@@ -665,7 +839,7 @@ describe('DLOB Perp Tests', () => {
665
839
  expect(getVariant(ask.order?.status)).to.equal('open');
666
840
  expect(getVariant(ask.order?.orderType)).to.equal('market');
667
841
  expect(getVariant(ask.order?.direction)).to.equal('short');
668
- expect(ask.order?.orderId.toNumber()).to.equal(asks);
842
+ expect(ask.order?.orderId).to.equal(asks);
669
843
  }
670
844
  }
671
845
  expect(asks).to.equal(4); // vamm ask + 3 orders
@@ -686,7 +860,7 @@ describe('DLOB Perp Tests', () => {
686
860
  expect(getVariant(bid.order?.status)).to.equal('open');
687
861
  expect(getVariant(bid.order?.orderType)).to.equal('market');
688
862
  expect(getVariant(bid.order?.direction)).to.equal('long');
689
- expect(bid.order?.orderId.toNumber()).to.equal(bids);
863
+ expect(bid.order?.orderId).to.equal(bids);
690
864
  }
691
865
  bids++;
692
866
  }
@@ -704,13 +878,13 @@ describe('DLOB Perp Tests', () => {
704
878
  hasSufficientNumberOfDataPoints: true,
705
879
  };
706
880
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
707
- const marketIndex = new BN(0);
881
+ const marketIndex = 0;
708
882
  insertOrderToDLOB(
709
883
  dlob,
710
884
  Keypair.generate().publicKey,
711
885
  OrderType.LIMIT,
712
886
  MarketType.PERP,
713
- new BN(3),
887
+ 3, // orderId
714
888
  marketIndex,
715
889
  new BN(5),
716
890
  BASE_PRECISION,
@@ -724,7 +898,7 @@ describe('DLOB Perp Tests', () => {
724
898
  Keypair.generate().publicKey,
725
899
  OrderType.LIMIT,
726
900
  MarketType.PERP,
727
- new BN(2),
901
+ 2,
728
902
  marketIndex,
729
903
  new BN(6),
730
904
  BASE_PRECISION,
@@ -738,7 +912,7 @@ describe('DLOB Perp Tests', () => {
738
912
  Keypair.generate().publicKey,
739
913
  OrderType.LIMIT,
740
914
  MarketType.PERP,
741
- new BN(1),
915
+ 1, // orderId
742
916
  marketIndex,
743
917
  new BN(7),
744
918
  BASE_PRECISION,
@@ -752,7 +926,7 @@ describe('DLOB Perp Tests', () => {
752
926
  Keypair.generate().publicKey,
753
927
  OrderType.LIMIT,
754
928
  MarketType.PERP,
755
- new BN(1),
929
+ 1, // orderId
756
930
  marketIndex,
757
931
  new BN(12),
758
932
  BASE_PRECISION,
@@ -766,7 +940,7 @@ describe('DLOB Perp Tests', () => {
766
940
  Keypair.generate().publicKey,
767
941
  OrderType.LIMIT,
768
942
  MarketType.PERP,
769
- new BN(2),
943
+ 2, // orderId
770
944
  marketIndex,
771
945
  new BN(13),
772
946
  BASE_PRECISION,
@@ -780,7 +954,7 @@ describe('DLOB Perp Tests', () => {
780
954
  Keypair.generate().publicKey,
781
955
  OrderType.LIMIT,
782
956
  MarketType.PERP,
783
- new BN(3),
957
+ 3, // orderId
784
958
  marketIndex,
785
959
  new BN(14),
786
960
  BASE_PRECISION,
@@ -803,7 +977,7 @@ describe('DLOB Perp Tests', () => {
803
977
  expect(getVariant(ask.order?.status)).to.equal('open');
804
978
  expect(getVariant(ask.order?.orderType)).to.equal('limit');
805
979
  expect(getVariant(ask.order?.direction)).to.equal('short');
806
- expect(ask.order?.orderId.toNumber()).to.equal(asks);
980
+ expect(ask.order?.orderId).to.equal(asks);
807
981
  expect(ask.order?.price.gt(vAsk)).to.equal(true);
808
982
  }
809
983
 
@@ -829,7 +1003,7 @@ describe('DLOB Perp Tests', () => {
829
1003
  expect(getVariant(bid.order?.status)).to.equal('open');
830
1004
  expect(getVariant(bid.order?.orderType)).to.equal('limit');
831
1005
  expect(getVariant(bid.order?.direction)).to.equal('long');
832
- expect(bid.order?.orderId.toNumber()).to.equal(bids);
1006
+ expect(bid.order?.orderId).to.equal(bids);
833
1007
  expect(bid.order?.price.lt(vBid)).to.equal(true);
834
1008
  }
835
1009
  bids++;
@@ -837,11 +1011,182 @@ describe('DLOB Perp Tests', () => {
837
1011
  expect(bids).to.equal(4); // vamm bid + 3 orders
838
1012
  });
839
1013
 
1014
+ it('Test insert floatinglimit orders', () => {
1015
+ const slot = 12;
1016
+ const vAsk = new BN(11).mul(PRICE_PRECISION);
1017
+ const vBid = new BN(10).mul(PRICE_PRECISION);
1018
+ const oracle = {
1019
+ price: vBid.add(vAsk).div(new BN(2)),
1020
+ slot: new BN(slot),
1021
+ confidence: new BN(1),
1022
+ hasSufficientNumberOfDataPoints: true,
1023
+ };
1024
+ const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1025
+ const marketIndex = 0;
1026
+
1027
+ // insert floating bids
1028
+ insertOrderToDLOB(
1029
+ dlob,
1030
+ Keypair.generate().publicKey,
1031
+ OrderType.LIMIT,
1032
+ MarketType.PERP,
1033
+ 1, // orderId
1034
+ marketIndex,
1035
+ new BN(0), // price
1036
+ BASE_PRECISION, // quantity
1037
+ PositionDirection.LONG,
1038
+ vBid,
1039
+ vAsk,
1040
+ new BN(slot),
1041
+ 30, // TiF
1042
+ new BN(-1).mul(PRICE_PRECISION) // oraclePriceOffset
1043
+ );
1044
+ insertOrderToDLOB(
1045
+ dlob,
1046
+ Keypair.generate().publicKey,
1047
+ OrderType.LIMIT,
1048
+ MarketType.PERP,
1049
+ 3, // orderId
1050
+ marketIndex,
1051
+ new BN(0), // price
1052
+ BASE_PRECISION, // quantity
1053
+ PositionDirection.LONG,
1054
+ vBid,
1055
+ vAsk,
1056
+ new BN(slot),
1057
+ 30, // TiF
1058
+ new BN(-3).mul(PRICE_PRECISION) // oraclePriceOffset
1059
+ );
1060
+ insertOrderToDLOB(
1061
+ dlob,
1062
+ Keypair.generate().publicKey,
1063
+ OrderType.LIMIT,
1064
+ MarketType.PERP,
1065
+ 2, // orderId
1066
+ marketIndex,
1067
+ new BN(0), // price
1068
+ BASE_PRECISION, // quantity
1069
+ PositionDirection.LONG,
1070
+ vBid,
1071
+ vAsk,
1072
+ new BN(slot),
1073
+ 30, // TiF
1074
+ new BN(-2).mul(PRICE_PRECISION) // oraclePriceOffset
1075
+ );
1076
+
1077
+ // insert floating asks
1078
+ insertOrderToDLOB(
1079
+ dlob,
1080
+ Keypair.generate().publicKey,
1081
+ OrderType.LIMIT,
1082
+ MarketType.PERP,
1083
+ 5, // orderId
1084
+ marketIndex,
1085
+ new BN(0), // price
1086
+ BASE_PRECISION, // quantity
1087
+ PositionDirection.SHORT,
1088
+ vAsk,
1089
+ vBid,
1090
+ new BN(slot),
1091
+ 30, // TiF
1092
+ new BN(2).mul(PRICE_PRECISION) // oraclePriceOffset
1093
+ );
1094
+ insertOrderToDLOB(
1095
+ dlob,
1096
+ Keypair.generate().publicKey,
1097
+ OrderType.LIMIT,
1098
+ MarketType.PERP,
1099
+ 6, // orderId
1100
+ marketIndex,
1101
+ new BN(0), // price
1102
+ BASE_PRECISION, // quantity
1103
+ PositionDirection.SHORT,
1104
+ vAsk,
1105
+ vBid,
1106
+ new BN(slot),
1107
+ 30, // TiF
1108
+ new BN(3).mul(PRICE_PRECISION) // oraclePriceOffset
1109
+ );
1110
+ insertOrderToDLOB(
1111
+ dlob,
1112
+ Keypair.generate().publicKey,
1113
+ OrderType.LIMIT,
1114
+ MarketType.PERP,
1115
+ 4, // orderId
1116
+ marketIndex,
1117
+ new BN(0), // price
1118
+ BASE_PRECISION, // quantity
1119
+ PositionDirection.SHORT,
1120
+ vAsk,
1121
+ vBid,
1122
+ new BN(slot),
1123
+ 30, // TiF
1124
+ new BN(1).mul(PRICE_PRECISION) // oraclePriceOffset
1125
+ );
1126
+
1127
+ // check floating bids
1128
+ console.log(`bids:`);
1129
+ let lastBidPrice = new BN(9999999999999); // very big
1130
+ let bids = 0;
1131
+ for (const bid of dlob.getBids(
1132
+ marketIndex,
1133
+ vBid,
1134
+ slot,
1135
+ MarketType.PERP,
1136
+ oracle
1137
+ )) {
1138
+ printOrderNode(bid, oracle, slot);
1139
+
1140
+ if (!bid.isVammNode()) {
1141
+ expect(getVariant(bid.order?.status)).to.equal('open');
1142
+ expect(getVariant(bid.order?.orderType)).to.equal('limit');
1143
+ expect(getVariant(bid.order?.direction)).to.equal('long');
1144
+
1145
+ // price should be getting worse (getting lower) as we iterate
1146
+ const currentPrice = bid.getPrice(oracle, slot);
1147
+ expect(
1148
+ currentPrice.lte(lastBidPrice),
1149
+ `each bid should be lte the last. current: ${currentPrice.toString()}, last: ${lastBidPrice.toString()}`
1150
+ ).to.be.true;
1151
+ }
1152
+ lastBidPrice = bid.getPrice(oracle, slot);
1153
+ bids++;
1154
+ }
1155
+ expect(bids).to.equal(4); // vamm bid + 3 orders
1156
+
1157
+ // check floating asks
1158
+ console.log(`asks:`);
1159
+ let asks = 0;
1160
+ for (const ask of dlob.getAsks(
1161
+ marketIndex,
1162
+ vAsk,
1163
+ slot,
1164
+ MarketType.PERP,
1165
+ oracle
1166
+ )) {
1167
+ printOrderNode(ask, oracle, slot);
1168
+ if (!ask.isVammNode()) {
1169
+ expect(getVariant(ask.order?.status)).to.equal('open');
1170
+ expect(getVariant(ask.order?.orderType)).to.equal('limit');
1171
+ expect(getVariant(ask.order?.direction)).to.equal('short');
1172
+
1173
+ // price should be getting worse (getting higher) as we iterate
1174
+ const currentPrice = ask.getPrice(oracle, slot);
1175
+ expect(
1176
+ currentPrice.gte(lastBidPrice),
1177
+ `each ask should be gte the last. current: ${currentPrice.toString()}, last: ${lastBidPrice.toString()}`
1178
+ ).to.be.true;
1179
+ }
1180
+ asks++;
1181
+ }
1182
+ expect(asks).to.equal(4); // vamm ask + 3 orders
1183
+ });
1184
+
840
1185
  it('Test multiple market orders fill with multiple limit orders', () => {
841
1186
  const vAsk = new BN(15);
842
1187
  const vBid = new BN(10);
843
1188
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
844
- const marketIndex = new BN(0);
1189
+ const marketIndex = 0;
845
1190
 
846
1191
  // insert some limit buys above vamm bid, below ask
847
1192
  insertOrderToDLOB(
@@ -849,7 +1194,7 @@ describe('DLOB Perp Tests', () => {
849
1194
  Keypair.generate().publicKey,
850
1195
  OrderType.LIMIT,
851
1196
  MarketType.PERP,
852
- new BN(1), // orderId
1197
+ 1, // orderId
853
1198
  marketIndex,
854
1199
  new BN(11), // price
855
1200
  BASE_PRECISION, // quantity
@@ -862,7 +1207,7 @@ describe('DLOB Perp Tests', () => {
862
1207
  Keypair.generate().publicKey,
863
1208
  OrderType.LIMIT,
864
1209
  MarketType.PERP,
865
- new BN(2), // orderId
1210
+ 2, // orderId
866
1211
  marketIndex,
867
1212
  new BN(12), // price
868
1213
  BASE_PRECISION, // quantity
@@ -875,7 +1220,7 @@ describe('DLOB Perp Tests', () => {
875
1220
  Keypair.generate().publicKey,
876
1221
  OrderType.LIMIT,
877
1222
  MarketType.PERP,
878
- new BN(3), // orderId
1223
+ 3, // orderId
879
1224
  marketIndex,
880
1225
  new BN(13), // price
881
1226
  BASE_PRECISION, // quantity
@@ -887,8 +1232,6 @@ describe('DLOB Perp Tests', () => {
887
1232
  // should have no crossing orders
888
1233
  const nodesToFillBefore = dlob.findCrossingNodesToFill(
889
1234
  marketIndex,
890
- vBid,
891
- vAsk,
892
1235
  12, // auction over
893
1236
  MarketType.PERP,
894
1237
  {
@@ -906,7 +1249,7 @@ describe('DLOB Perp Tests', () => {
906
1249
  Keypair.generate().publicKey,
907
1250
  OrderType.MARKET,
908
1251
  MarketType.PERP,
909
- new BN(4), // orderId
1252
+ 4, // orderId
910
1253
  marketIndex,
911
1254
  new BN(12), // price
912
1255
  new BN(1).mul(BASE_PRECISION), // quantity
@@ -919,7 +1262,7 @@ describe('DLOB Perp Tests', () => {
919
1262
  Keypair.generate().publicKey,
920
1263
  OrderType.MARKET,
921
1264
  MarketType.PERP,
922
- new BN(5), // orderId
1265
+ 5, // orderId
923
1266
  marketIndex,
924
1267
  new BN(12), // price
925
1268
  new BN(1).mul(BASE_PRECISION), // quantity
@@ -930,8 +1273,6 @@ describe('DLOB Perp Tests', () => {
930
1273
 
931
1274
  const nodesToFillAfter = dlob.findCrossingNodesToFill(
932
1275
  marketIndex,
933
- vBid,
934
- vAsk,
935
1276
  12, // auction over
936
1277
  MarketType.PERP,
937
1278
  {
@@ -941,31 +1282,26 @@ describe('DLOB Perp Tests', () => {
941
1282
  hasSufficientNumberOfDataPoints: true,
942
1283
  }
943
1284
  );
1285
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
944
1286
  for (const n of nodesToFillAfter) {
945
- console.log(
946
- `cross found: taker orderId: ${n.node.order?.orderId.toString()}: BAA: ${n.node.order?.baseAssetAmount.toString()}, maker orderId: ${n.makerNode?.order?.orderId.toString()}: BAA: ${n.makerNode?.order?.baseAssetAmount.toString()}`
947
- );
1287
+ printCrossedNodes(n, 12);
948
1288
  }
949
1289
  expect(nodesToFillAfter.length).to.equal(2);
950
1290
 
951
1291
  // first taker should fill with best maker
952
- expect(nodesToFillAfter[0].node.order?.orderId.toNumber()).to.equal(4);
953
- expect(nodesToFillAfter[0].makerNode?.order?.orderId.toNumber()).to.equal(
954
- 3
955
- );
1292
+ expect(nodesToFillAfter[0].node.order?.orderId).to.equal(4);
1293
+ expect(nodesToFillAfter[0].makerNode?.order?.orderId).to.equal(3);
956
1294
 
957
1295
  // second taker should fill with second best maker
958
- expect(nodesToFillAfter[1].node.order?.orderId.toNumber()).to.equal(5);
959
- expect(nodesToFillAfter[1].makerNode?.order?.orderId.toNumber()).to.equal(
960
- 2
961
- );
1296
+ expect(nodesToFillAfter[1].node.order?.orderId).to.equal(5);
1297
+ expect(nodesToFillAfter[1].makerNode?.order?.orderId).to.equal(2);
962
1298
  });
963
1299
 
964
1300
  it('Test one market orders fills two limit orders', () => {
965
1301
  const vAsk = new BN(15);
966
1302
  const vBid = new BN(10);
967
1303
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
968
- const marketIndex = new BN(0);
1304
+ const marketIndex = 0;
969
1305
 
970
1306
  // insert some limit sells below vAMM ask, above bid
971
1307
  insertOrderToDLOB(
@@ -973,7 +1309,7 @@ describe('DLOB Perp Tests', () => {
973
1309
  Keypair.generate().publicKey,
974
1310
  OrderType.LIMIT,
975
1311
  MarketType.PERP,
976
- new BN(1), // orderId
1312
+ 1, // orderId
977
1313
  marketIndex,
978
1314
  new BN(14), // price
979
1315
  BASE_PRECISION, // quantity
@@ -986,7 +1322,7 @@ describe('DLOB Perp Tests', () => {
986
1322
  Keypair.generate().publicKey,
987
1323
  OrderType.LIMIT,
988
1324
  MarketType.PERP,
989
- new BN(2), // orderId
1325
+ 2, // orderId
990
1326
  marketIndex,
991
1327
  new BN(13), // price
992
1328
  BASE_PRECISION, // quantity
@@ -999,7 +1335,7 @@ describe('DLOB Perp Tests', () => {
999
1335
  Keypair.generate().publicKey,
1000
1336
  OrderType.LIMIT,
1001
1337
  MarketType.PERP,
1002
- new BN(3), // orderId
1338
+ 3, // orderId
1003
1339
  marketIndex,
1004
1340
  new BN(12), // price
1005
1341
  BASE_PRECISION, // quantity
@@ -1011,8 +1347,6 @@ describe('DLOB Perp Tests', () => {
1011
1347
  // should have no crossing orders
1012
1348
  const nodesToFillBefore = dlob.findCrossingNodesToFill(
1013
1349
  marketIndex,
1014
- vBid,
1015
- vAsk,
1016
1350
  12, // auction over
1017
1351
  MarketType.PERP,
1018
1352
  {
@@ -1030,7 +1364,7 @@ describe('DLOB Perp Tests', () => {
1030
1364
  Keypair.generate().publicKey,
1031
1365
  OrderType.MARKET,
1032
1366
  MarketType.PERP,
1033
- new BN(4), // orderId
1367
+ 4, // orderId
1034
1368
  marketIndex,
1035
1369
  new BN(13), // price
1036
1370
  new BN(2).mul(BASE_PRECISION), // quantity
@@ -1041,8 +1375,6 @@ describe('DLOB Perp Tests', () => {
1041
1375
 
1042
1376
  const nodesToFillAfter = dlob.findCrossingNodesToFill(
1043
1377
  marketIndex,
1044
- vBid,
1045
- vAsk,
1046
1378
  12, // auction over
1047
1379
  MarketType.PERP,
1048
1380
  {
@@ -1052,31 +1384,26 @@ describe('DLOB Perp Tests', () => {
1052
1384
  hasSufficientNumberOfDataPoints: true,
1053
1385
  }
1054
1386
  );
1387
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
1055
1388
  for (const n of nodesToFillAfter) {
1056
- console.log(
1057
- `cross found: taker orderId: ${n.node.order?.orderId.toString()}: BAA: ${n.node.order?.baseAssetAmountFilled.toString()}/${n.node.order?.baseAssetAmount.toString()}, maker orderId: ${n.makerNode?.order?.orderId.toString()}: BAA: ${n.makerNode?.order?.baseAssetAmountFilled.toString()}/${n.makerNode?.order?.baseAssetAmount.toString()}`
1058
- );
1389
+ printCrossedNodes(n, 12);
1059
1390
  }
1060
1391
  expect(nodesToFillAfter.length).to.equal(2);
1061
1392
 
1062
1393
  // taker should fill completely with best maker
1063
- expect(nodesToFillAfter[0].node.order?.orderId.toNumber()).to.equal(4);
1064
- expect(nodesToFillAfter[0].makerNode?.order?.orderId.toNumber()).to.equal(
1065
- 3
1066
- );
1394
+ expect(nodesToFillAfter[0].node.order?.orderId).to.equal(4);
1395
+ expect(nodesToFillAfter[0].makerNode?.order?.orderId).to.equal(3);
1067
1396
 
1068
1397
  // taker should fill completely with second best maker
1069
- expect(nodesToFillAfter[1].node.order?.orderId.toNumber()).to.equal(4);
1070
- expect(nodesToFillAfter[1].makerNode?.order?.orderId.toNumber()).to.equal(
1071
- 2
1072
- );
1398
+ expect(nodesToFillAfter[1].node.order?.orderId).to.equal(4);
1399
+ expect(nodesToFillAfter[1].makerNode?.order?.orderId).to.equal(2);
1073
1400
  });
1074
1401
 
1075
1402
  it('Test two market orders to fill one limit order', () => {
1076
1403
  const vAsk = new BN(15);
1077
1404
  const vBid = new BN(8);
1078
1405
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1079
- const marketIndex = new BN(0);
1406
+ const marketIndex = 0;
1080
1407
 
1081
1408
  const slot = 12;
1082
1409
  const oracle = {
@@ -1092,7 +1419,7 @@ describe('DLOB Perp Tests', () => {
1092
1419
  Keypair.generate().publicKey,
1093
1420
  OrderType.LIMIT,
1094
1421
  MarketType.PERP,
1095
- new BN(1), // orderId
1422
+ 1, // orderId
1096
1423
  marketIndex,
1097
1424
  new BN(14), // price
1098
1425
  BASE_PRECISION, // quantity
@@ -1105,7 +1432,7 @@ describe('DLOB Perp Tests', () => {
1105
1432
  Keypair.generate().publicKey,
1106
1433
  OrderType.LIMIT,
1107
1434
  MarketType.PERP,
1108
- new BN(2), // orderId
1435
+ 2, // orderId
1109
1436
  marketIndex,
1110
1437
  new BN(13), // price
1111
1438
  BASE_PRECISION, // quantity
@@ -1118,7 +1445,7 @@ describe('DLOB Perp Tests', () => {
1118
1445
  Keypair.generate().publicKey,
1119
1446
  OrderType.LIMIT,
1120
1447
  MarketType.PERP,
1121
- new BN(3), // orderId
1448
+ 3, // orderId
1122
1449
  marketIndex,
1123
1450
  new BN(9), // price <-- best price
1124
1451
  new BN(3).mul(BASE_PRECISION), // quantity
@@ -1130,8 +1457,6 @@ describe('DLOB Perp Tests', () => {
1130
1457
  // should have no crossing orders
1131
1458
  const nodesToFillBefore = dlob.findCrossingNodesToFill(
1132
1459
  marketIndex,
1133
- vBid,
1134
- vAsk,
1135
1460
  12, // auction over
1136
1461
  MarketType.PERP,
1137
1462
  oracle
@@ -1144,7 +1469,7 @@ describe('DLOB Perp Tests', () => {
1144
1469
  Keypair.generate().publicKey,
1145
1470
  OrderType.MARKET,
1146
1471
  MarketType.PERP,
1147
- new BN(4), // orderId
1472
+ 4, // orderId
1148
1473
  marketIndex,
1149
1474
  new BN(0), // price
1150
1475
  new BN(1).mul(BASE_PRECISION), // quantity
@@ -1157,7 +1482,7 @@ describe('DLOB Perp Tests', () => {
1157
1482
  Keypair.generate().publicKey,
1158
1483
  OrderType.MARKET,
1159
1484
  MarketType.PERP,
1160
- new BN(5), // orderId
1485
+ 5, // orderId
1161
1486
  marketIndex,
1162
1487
  new BN(0), // price
1163
1488
  new BN(2).mul(BASE_PRECISION), // quantity
@@ -1168,87 +1493,39 @@ describe('DLOB Perp Tests', () => {
1168
1493
 
1169
1494
  const nodesToFillAfter = dlob.findCrossingNodesToFill(
1170
1495
  marketIndex,
1171
- vBid,
1172
- vAsk,
1173
1496
  slot, // auction over
1174
1497
  MarketType.PERP,
1175
1498
  oracle
1176
1499
  );
1177
- const mktNodes = dlob.findMarketNodesToFill(
1500
+ const mktNodes = dlob.findExpiredMarketNodesToFill(
1178
1501
  marketIndex,
1179
1502
  slot,
1180
1503
  MarketType.PERP
1181
1504
  );
1182
1505
  console.log(`market nodes: ${mktNodes.length}`);
1183
1506
 
1184
- const askNodes = dlob.getAsks(
1185
- marketIndex,
1186
- vAsk,
1187
- slot,
1188
- MarketType.PERP,
1189
- oracle
1190
- );
1191
- let aa = 0;
1192
- for (const b of askNodes) {
1193
- console.log(
1194
- ` . ask: ${b.order?.orderId.toString()}: p1: ${b.order?.price.toString()} p2: ${b.getPrice(
1195
- oracle,
1196
- slot
1197
- )}, ${JSON.stringify(
1198
- b.order?.orderType
1199
- )} BAA: ${b.order?.baseAssetAmountFilled.toString()}/${b.order?.baseAssetAmount.toString()}`
1200
- );
1201
- aa++;
1202
- }
1203
- expect(aa).to.equal(4);
1507
+ printBookState(dlob, marketIndex, vBid, vAsk, slot, oracle);
1204
1508
 
1205
- const bidNodes = dlob.getBids(
1206
- marketIndex,
1207
- vBid,
1208
- slot,
1209
- MarketType.PERP,
1210
- oracle
1211
- );
1212
- let bb = 0;
1213
- for (const b of bidNodes) {
1214
- console.log(
1215
- ` . bid: ${b.order?.orderId.toString()}: p1: ${b.order?.price.toString()} p2: ${b.getPrice(
1216
- oracle,
1217
- slot
1218
- )}, ${JSON.stringify(
1219
- b.order?.orderType
1220
- )} BAA: ${b.order?.baseAssetAmountFilled.toString()}/${b.order?.baseAssetAmount.toString()}`
1221
- );
1222
- bb++;
1223
- }
1224
- expect(bb).to.equal(3);
1225
-
1226
- console.log(`bids nodes: ${bb}`);
1509
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
1227
1510
  for (const n of nodesToFillAfter) {
1228
- console.log(
1229
- `cross found: taker orderId: ${n.node.order?.orderId.toString()}: BAA: ${n.node.order?.baseAssetAmountFilled.toString()}/${n.node.order?.baseAssetAmount.toString()}, maker orderId: ${n.makerNode?.order?.orderId.toString()}: BAA: ${n.makerNode?.order?.baseAssetAmountFilled.toString()}/${n.makerNode?.order?.baseAssetAmount.toString()}`
1230
- );
1511
+ printCrossedNodes(n, slot);
1231
1512
  }
1232
1513
  expect(nodesToFillAfter.length).to.equal(2);
1233
1514
 
1234
1515
  // taker should fill completely with best maker
1235
- expect(nodesToFillAfter[0].node.order?.orderId.toNumber()).to.equal(4);
1236
- expect(nodesToFillAfter[0].makerNode?.order?.orderId.toNumber()).to.equal(
1237
- 3
1238
- );
1516
+ expect(nodesToFillAfter[0].node.order?.orderId).to.equal(4);
1517
+ expect(nodesToFillAfter[0].makerNode?.order?.orderId).to.equal(3);
1239
1518
 
1240
1519
  // taker should fill completely with second best maker
1241
- expect(nodesToFillAfter[1].node.order?.orderId.toNumber()).to.equal(5);
1242
- expect(nodesToFillAfter[1].makerNode?.order?.orderId.toNumber()).to.equal(
1243
- 3
1244
- );
1520
+ expect(nodesToFillAfter[1].node.order?.orderId).to.equal(5);
1521
+ expect(nodesToFillAfter[1].makerNode?.order?.orderId).to.equal(3);
1245
1522
  });
1246
1523
 
1247
1524
  it('Test trigger orders', () => {
1248
1525
  const vAsk = new BN(15);
1249
1526
  const vBid = new BN(8);
1250
1527
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1251
- const marketIndex = new BN(0);
1528
+ const marketIndex = 0;
1252
1529
 
1253
1530
  const slot = 20;
1254
1531
  const oracle = {
@@ -1267,7 +1544,7 @@ describe('DLOB Perp Tests', () => {
1267
1544
  Keypair.generate().publicKey,
1268
1545
  OrderType.TRIGGER_LIMIT,
1269
1546
  MarketType.PERP,
1270
- new BN(1), //orderId
1547
+ 1, //orderId
1271
1548
  marketIndex, // marketIndex
1272
1549
  vBid, // price
1273
1550
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -1283,7 +1560,7 @@ describe('DLOB Perp Tests', () => {
1283
1560
  Keypair.generate().publicKey,
1284
1561
  OrderType.TRIGGER_LIMIT,
1285
1562
  MarketType.PERP,
1286
- new BN(2), //orderId
1563
+ 2, //orderId
1287
1564
  marketIndex, // marketIndex
1288
1565
  vBid, // price
1289
1566
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -1299,7 +1576,7 @@ describe('DLOB Perp Tests', () => {
1299
1576
  Keypair.generate().publicKey,
1300
1577
  OrderType.TRIGGER_MARKET,
1301
1578
  MarketType.PERP,
1302
- new BN(3), //orderId
1579
+ 3, //orderId
1303
1580
  marketIndex, // marketIndex
1304
1581
  vAsk, // price
1305
1582
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -1315,7 +1592,7 @@ describe('DLOB Perp Tests', () => {
1315
1592
  Keypair.generate().publicKey,
1316
1593
  OrderType.TRIGGER_MARKET,
1317
1594
  MarketType.PERP,
1318
- new BN(4), //orderId
1595
+ 4, //orderId
1319
1596
  marketIndex, // marketIndex
1320
1597
  vBid, // price
1321
1598
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -1329,223 +1606,924 @@ describe('DLOB Perp Tests', () => {
1329
1606
  insertTriggerOrderToDLOB(
1330
1607
  dlob,
1331
1608
  Keypair.generate().publicKey,
1332
- OrderType.TRIGGER_LIMIT,
1609
+ OrderType.TRIGGER_LIMIT,
1610
+ MarketType.PERP,
1611
+ 5, //orderId
1612
+ marketIndex, // marketIndex
1613
+ vBid, // price
1614
+ BASE_PRECISION, // baseAssetAmount: BN,
1615
+ PositionDirection.LONG,
1616
+ oracle.price.add(new BN(1)), // triggerPrice: BN,
1617
+ OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1618
+ vBid,
1619
+ vAsk
1620
+ );
1621
+ // should trigger limit sell with below condition
1622
+ insertTriggerOrderToDLOB(
1623
+ dlob,
1624
+ Keypair.generate().publicKey,
1625
+ OrderType.TRIGGER_LIMIT,
1626
+ MarketType.PERP,
1627
+ 6, //orderId
1628
+ marketIndex, // marketIndex
1629
+ vBid, // price
1630
+ BASE_PRECISION, // baseAssetAmount: BN,
1631
+ PositionDirection.SHORT,
1632
+ oracle.price.add(new BN(1)), // triggerPrice: BN,
1633
+ OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1634
+ vBid,
1635
+ vAsk
1636
+ );
1637
+ // should trigger market buy with below condition
1638
+ insertTriggerOrderToDLOB(
1639
+ dlob,
1640
+ Keypair.generate().publicKey,
1641
+ OrderType.TRIGGER_MARKET,
1642
+ MarketType.PERP,
1643
+ 7, //orderId
1644
+ marketIndex, // marketIndex
1645
+ vBid, // price
1646
+ BASE_PRECISION, // baseAssetAmount: BN,
1647
+ PositionDirection.LONG,
1648
+ oracle.price.add(new BN(1)), // triggerPrice: BN,
1649
+ OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1650
+ vBid,
1651
+ vAsk
1652
+ );
1653
+ // should trigger market sell with below condition
1654
+ insertTriggerOrderToDLOB(
1655
+ dlob,
1656
+ Keypair.generate().publicKey,
1657
+ OrderType.TRIGGER_MARKET,
1658
+ MarketType.PERP,
1659
+ 8, //orderId
1660
+ marketIndex, // marketIndex
1661
+ vBid, // price
1662
+ BASE_PRECISION, // baseAssetAmount: BN,
1663
+ PositionDirection.LONG,
1664
+ oracle.price.add(new BN(1)), // triggerPrice: BN,
1665
+ OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1666
+ vBid,
1667
+ vAsk
1668
+ );
1669
+
1670
+ // should NOT trigger market sell with above condition
1671
+ insertTriggerOrderToDLOB(
1672
+ dlob,
1673
+ Keypair.generate().publicKey,
1674
+ OrderType.TRIGGER_MARKET,
1675
+ MarketType.PERP,
1676
+ 9, //orderId
1677
+ marketIndex, // marketIndex
1678
+ vBid, // price
1679
+ BASE_PRECISION, // baseAssetAmount: BN,
1680
+ PositionDirection.SHORT,
1681
+ oracle.price.add(new BN(1)), // triggerPrice: BN,
1682
+ OrderTriggerCondition.ABOVE, // triggerCondition: OrderTriggerCondition,
1683
+ vBid,
1684
+ vAsk
1685
+ );
1686
+ // should NOT trigger market sell with below condition
1687
+ insertTriggerOrderToDLOB(
1688
+ dlob,
1689
+ Keypair.generate().publicKey,
1690
+ OrderType.TRIGGER_MARKET,
1691
+ MarketType.PERP,
1692
+ 10, //orderId
1693
+ marketIndex, // marketIndex
1694
+ vBid, // price
1695
+ BASE_PRECISION, // baseAssetAmount: BN,
1696
+ PositionDirection.SHORT,
1697
+ oracle.price.sub(new BN(1)), // triggerPrice: BN,
1698
+ OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1699
+ vBid,
1700
+ vAsk
1701
+ );
1702
+ // should NOT trigger market buy with above condition
1703
+ insertTriggerOrderToDLOB(
1704
+ dlob,
1705
+ Keypair.generate().publicKey,
1706
+ OrderType.TRIGGER_MARKET,
1707
+ MarketType.PERP,
1708
+ 11, //orderId
1709
+ marketIndex, // marketIndex
1710
+ vBid, // price
1711
+ BASE_PRECISION, // baseAssetAmount: BN,
1712
+ PositionDirection.LONG,
1713
+ oracle.price.add(new BN(1)), // triggerPrice: BN,
1714
+ OrderTriggerCondition.ABOVE, // triggerCondition: OrderTriggerCondition,
1715
+ vBid,
1716
+ vAsk
1717
+ );
1718
+ // should NOT trigger market buy with below condition
1719
+ insertTriggerOrderToDLOB(
1720
+ dlob,
1721
+ Keypair.generate().publicKey,
1722
+ OrderType.TRIGGER_MARKET,
1723
+ MarketType.PERP,
1724
+ 12, //orderId
1725
+ marketIndex, // marketIndex
1726
+ vBid, // price
1727
+ BASE_PRECISION, // baseAssetAmount: BN,
1728
+ PositionDirection.LONG,
1729
+ oracle.price.sub(new BN(1)), // triggerPrice: BN,
1730
+ OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1731
+ vBid,
1732
+ vAsk
1733
+ );
1734
+
1735
+ const nodesToTrigger = dlob.findNodesToTrigger(
1736
+ marketIndex,
1737
+ slot,
1738
+ oracle.price,
1739
+ MarketType.PERP
1740
+ );
1741
+ console.log(`nodesToTriggeR: ${nodesToTrigger.length}`);
1742
+ for (const [idx, n] of nodesToTrigger.entries()) {
1743
+ expect(n.node.order?.orderId).to.equal(orderIdsToTrigger[idx]);
1744
+ console.log(`nodeToTrigger: ${n.node.order?.orderId.toString()}`);
1745
+ }
1746
+ });
1747
+
1748
+ it('Test will return expired market orders to fill', () => {
1749
+ const vAsk = new BN(15);
1750
+ const vBid = new BN(8);
1751
+ const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1752
+ const marketIndex = 0;
1753
+
1754
+ const slot = 20;
1755
+ const timeInForce = 30;
1756
+
1757
+ // non crossing bid
1758
+ insertOrderToDLOB(
1759
+ dlob,
1760
+ Keypair.generate().publicKey,
1761
+ OrderType.MARKET,
1762
+ MarketType.PERP,
1763
+ 255, // orderId
1764
+ marketIndex,
1765
+ new BN(2), // price, very low, don't cross vamm
1766
+ BASE_PRECISION, // quantity
1767
+ PositionDirection.LONG,
1768
+ vBid,
1769
+ vAsk,
1770
+ new BN(slot),
1771
+ timeInForce
1772
+ );
1773
+ insertOrderToDLOB(
1774
+ dlob,
1775
+ Keypair.generate().publicKey,
1776
+ OrderType.MARKET,
1777
+ MarketType.PERP,
1778
+ 2, // orderId
1779
+ marketIndex,
1780
+ new BN(30), // price, very high, don't cross vamm
1781
+ BASE_PRECISION, // quantity
1782
+ PositionDirection.SHORT,
1783
+ vAsk,
1784
+ vBid,
1785
+ new BN(slot),
1786
+ timeInForce
1787
+ );
1788
+
1789
+ // order auction is not yet complete, and order is not expired.
1790
+ const slot0 = slot;
1791
+ const nodesToFillBefore = dlob.findNodesToFill(
1792
+ marketIndex,
1793
+ vBid,
1794
+ vAsk,
1795
+ slot0,
1796
+ MarketType.PERP,
1797
+ {
1798
+ price: vBid.add(vAsk).div(new BN(2)),
1799
+ slot: new BN(slot0),
1800
+ confidence: new BN(1),
1801
+ hasSufficientNumberOfDataPoints: true,
1802
+ }
1803
+ );
1804
+ expect(nodesToFillBefore.length).to.equal(0);
1805
+
1806
+ // should get order to fill after timeInForce
1807
+ const slot1 = slot0 + timeInForce * 2; // overshoots expiry
1808
+ const nodesToFillAfter = dlob.findNodesToFill(
1809
+ marketIndex,
1810
+ vBid,
1811
+ vAsk,
1812
+ slot1, // auction is over, and order ix expired
1813
+ MarketType.PERP,
1814
+ {
1815
+ price: vBid.add(vAsk).div(new BN(2)),
1816
+ slot: new BN(slot1),
1817
+ confidence: new BN(1),
1818
+ hasSufficientNumberOfDataPoints: true,
1819
+ }
1820
+ );
1821
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
1822
+ for (const n of nodesToFillAfter) {
1823
+ printCrossedNodes(n, slot1);
1824
+ }
1825
+ expect(nodesToFillAfter.length).to.equal(2);
1826
+
1827
+ // check that the nodes have no makers
1828
+ expect(nodesToFillAfter[0].makerNode).to.equal(undefined);
1829
+ expect(nodesToFillAfter[1].makerNode).to.equal(undefined);
1830
+ });
1831
+
1832
+ it('Test skips vAMM and fills market buy order with floating limit order during auction', () => {
1833
+ const vAsk = new BN(15).mul(PRICE_PRECISION);
1834
+ const vBid = new BN(8).mul(PRICE_PRECISION);
1835
+ const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1836
+ const marketIndex = 0;
1837
+
1838
+ const slot = 12;
1839
+ const oracle = {
1840
+ price: vBid.add(vAsk).div(new BN(2)),
1841
+ slot: new BN(slot),
1842
+ confidence: new BN(1),
1843
+ hasSufficientNumberOfDataPoints: true,
1844
+ };
1845
+
1846
+ // insert some floating limit sells above vAMM ask
1847
+ insertOrderToDLOB(
1848
+ dlob,
1849
+ Keypair.generate().publicKey,
1850
+ OrderType.LIMIT,
1851
+ MarketType.PERP,
1852
+ 1, // orderId
1853
+ marketIndex,
1854
+ new BN(14).mul(PRICE_PRECISION), // price
1855
+ BASE_PRECISION, // quantity
1856
+ PositionDirection.SHORT,
1857
+ vBid,
1858
+ vAsk,
1859
+ new BN(slot),
1860
+ 30,
1861
+ new BN(1).mul(PRICE_PRECISION)
1862
+ );
1863
+ insertOrderToDLOB(
1864
+ dlob,
1865
+ Keypair.generate().publicKey,
1866
+ OrderType.LIMIT,
1867
+ MarketType.PERP,
1868
+ 2, // orderId
1869
+ marketIndex,
1870
+ new BN(13).mul(PRICE_PRECISION), // price
1871
+ BASE_PRECISION, // quantity
1872
+ PositionDirection.SHORT,
1873
+ vBid,
1874
+ vAsk,
1875
+ new BN(slot),
1876
+ 30,
1877
+ new BN(1).mul(PRICE_PRECISION)
1878
+ );
1879
+ insertOrderToDLOB(
1880
+ dlob,
1881
+ Keypair.generate().publicKey,
1882
+ OrderType.LIMIT,
1883
+ MarketType.PERP,
1884
+ 3, // orderId
1885
+ marketIndex,
1886
+ new BN(9).mul(PRICE_PRECISION), // price <-- best price
1887
+ new BN(3).mul(BASE_PRECISION), // quantity
1888
+ PositionDirection.SHORT,
1889
+ vBid,
1890
+ vAsk,
1891
+ new BN(slot),
1892
+ 30,
1893
+ new BN(1).mul(PRICE_PRECISION)
1894
+ );
1895
+
1896
+ // should have no crossing orders
1897
+ const nodesToFillBefore = dlob.findNodesToFill(
1898
+ marketIndex,
1899
+ vBid,
1900
+ vAsk,
1901
+ slot,
1902
+ MarketType.PERP,
1903
+ {
1904
+ price: vBid.add(vAsk).div(new BN(2)),
1905
+ slot: new BN(slot),
1906
+ confidence: new BN(1),
1907
+ hasSufficientNumberOfDataPoints: true,
1908
+ }
1909
+ );
1910
+ expect(nodesToFillBefore.length).to.equal(0);
1911
+
1912
+ // place two market buy orders to eat the best ask
1913
+ insertOrderToDLOB(
1914
+ dlob,
1915
+ Keypair.generate().publicKey,
1916
+ OrderType.MARKET,
1917
+ MarketType.PERP,
1918
+ 4, // orderId
1919
+ marketIndex,
1920
+ new BN(15).mul(PRICE_PRECISION), // price
1921
+ new BN(1).mul(BASE_PRECISION), // quantity
1922
+ PositionDirection.LONG,
1923
+ vBid,
1924
+ vAsk
1925
+ );
1926
+ insertOrderToDLOB(
1927
+ dlob,
1928
+ Keypair.generate().publicKey,
1929
+ OrderType.MARKET,
1930
+ MarketType.PERP,
1931
+ 5, // orderId
1932
+ marketIndex,
1933
+ new BN(15).mul(PRICE_PRECISION), // price
1934
+ new BN(2).mul(BASE_PRECISION), // quantity
1935
+ PositionDirection.LONG,
1936
+ vBid,
1937
+ vAsk
1938
+ );
1939
+
1940
+ const nodesToFillAfter = dlob.findNodesToFill(
1941
+ marketIndex,
1942
+ vBid,
1943
+ vAsk,
1944
+ slot,
1945
+ MarketType.PERP,
1946
+ {
1947
+ price: vBid.add(vAsk).div(new BN(2)),
1948
+ slot: new BN(slot),
1949
+ confidence: new BN(1),
1950
+ hasSufficientNumberOfDataPoints: true,
1951
+ }
1952
+ );
1953
+ const mktNodes = dlob.findExpiredMarketNodesToFill(
1954
+ marketIndex,
1955
+ slot,
1956
+ MarketType.PERP
1957
+ );
1958
+ console.log(`market nodes: ${mktNodes.length}`);
1959
+
1960
+ printBookState(dlob, marketIndex, vBid, vAsk, slot, oracle);
1961
+
1962
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
1963
+ for (const n of nodesToFillAfter) {
1964
+ printCrossedNodes(n, slot);
1965
+ }
1966
+ expect(nodesToFillAfter.length).to.equal(3);
1967
+
1968
+ // taker should fill first order completely with best maker (1/1)
1969
+ expect(nodesToFillAfter[0].node.order?.orderId).to.equal(4);
1970
+ expect(nodesToFillAfter[0].makerNode?.order?.orderId).to.equal(1);
1971
+
1972
+ // taker should fill partially with second best maker (1/2)
1973
+ expect(nodesToFillAfter[1].node.order?.orderId).to.equal(5);
1974
+ expect(nodesToFillAfter[1].makerNode?.order?.orderId).to.equal(2);
1975
+
1976
+ // taker should fill completely with third best maker (2/2)
1977
+ expect(nodesToFillAfter[2].node.order?.orderId).to.equal(5);
1978
+ expect(nodesToFillAfter[2].makerNode?.order?.orderId).to.equal(3);
1979
+ });
1980
+
1981
+ it('Test fills market buy order with better priced vAMM after auction', () => {
1982
+ const vAsk = new BN(15).mul(PRICE_PRECISION);
1983
+ const vBid = new BN(8).mul(PRICE_PRECISION);
1984
+ const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1985
+ const marketIndex = 0;
1986
+
1987
+ const slot = 12;
1988
+ const oracle = {
1989
+ price: vBid.add(vAsk).div(new BN(2)),
1990
+ slot: new BN(slot),
1991
+ confidence: new BN(1),
1992
+ hasSufficientNumberOfDataPoints: true,
1993
+ };
1994
+
1995
+ // insert some floating limit sells above vAMM ask
1996
+ insertOrderToDLOB(
1997
+ dlob,
1998
+ Keypair.generate().publicKey,
1999
+ OrderType.LIMIT,
2000
+ MarketType.PERP,
2001
+ 1, // orderId
2002
+ marketIndex,
2003
+ new BN(14).mul(PRICE_PRECISION), // price
2004
+ BASE_PRECISION, // quantity
2005
+ PositionDirection.SHORT,
2006
+ vBid,
2007
+ vAsk,
2008
+ new BN(slot),
2009
+ 0,
2010
+ new BN(3).mul(PRICE_PRECISION)
2011
+ );
2012
+ insertOrderToDLOB(
2013
+ dlob,
2014
+ Keypair.generate().publicKey,
2015
+ OrderType.LIMIT,
2016
+ MarketType.PERP,
2017
+ 2, // orderId
2018
+ marketIndex,
2019
+ new BN(13).mul(PRICE_PRECISION), // price
2020
+ BASE_PRECISION, // quantity
2021
+ PositionDirection.SHORT,
2022
+ vBid,
2023
+ vAsk,
2024
+ new BN(slot),
2025
+ 0,
2026
+ new BN(4).mul(PRICE_PRECISION)
2027
+ );
2028
+ insertOrderToDLOB(
2029
+ dlob,
2030
+ Keypair.generate().publicKey,
2031
+ OrderType.LIMIT,
2032
+ MarketType.PERP,
2033
+ 3, // orderId
2034
+ marketIndex,
2035
+ new BN(9).mul(PRICE_PRECISION), // price <-- best price
2036
+ new BN(3).mul(BASE_PRECISION), // quantity
2037
+ PositionDirection.SHORT,
2038
+ vBid,
2039
+ vAsk,
2040
+ new BN(slot),
2041
+ 0,
2042
+ new BN(5).mul(PRICE_PRECISION)
2043
+ );
2044
+
2045
+ // should have no crossing orders
2046
+ const auctionOverSlot = slot * 10;
2047
+ const nodesToFillBefore = dlob.findCrossingNodesToFill(
2048
+ marketIndex,
2049
+ auctionOverSlot, // auction over
2050
+ MarketType.PERP,
2051
+ oracle
2052
+ );
2053
+ expect(nodesToFillBefore.length).to.equal(0);
2054
+
2055
+ // place two market buy orders
2056
+ insertOrderToDLOB(
2057
+ dlob,
2058
+ Keypair.generate().publicKey,
2059
+ OrderType.MARKET,
2060
+ MarketType.PERP,
2061
+ 4, // orderId
2062
+ marketIndex,
2063
+ new BN(15).mul(PRICE_PRECISION), // price
2064
+ new BN(1).mul(BASE_PRECISION), // quantity
2065
+ PositionDirection.LONG,
2066
+ vBid,
2067
+ vAsk,
2068
+ new BN(slot),
2069
+ 0
2070
+ );
2071
+ insertOrderToDLOB(
2072
+ dlob,
2073
+ Keypair.generate().publicKey,
2074
+ OrderType.MARKET,
2075
+ MarketType.PERP,
2076
+ 5, // orderId
2077
+ marketIndex,
2078
+ new BN(15).mul(PRICE_PRECISION), // price
2079
+ new BN(2).mul(BASE_PRECISION), // quantity
2080
+ PositionDirection.LONG,
2081
+ vBid,
2082
+ vAsk,
2083
+ new BN(slot),
2084
+ 0
2085
+ );
2086
+
2087
+ const nodesToFillAfter = dlob.findNodesToFill(
2088
+ marketIndex,
2089
+ vBid,
2090
+ vAsk,
2091
+ auctionOverSlot, // auction in progress
2092
+ MarketType.PERP,
2093
+ oracle
2094
+ );
2095
+
2096
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
2097
+ for (const n of nodesToFillAfter) {
2098
+ printCrossedNodes(n, auctionOverSlot);
2099
+ }
2100
+ expect(nodesToFillAfter.length).to.equal(2);
2101
+
2102
+ // taker should fill completely with best maker
2103
+ expect(nodesToFillAfter[0].node.order?.orderId).to.equal(4);
2104
+ expect(nodesToFillAfter[0].makerNode?.order?.orderId).to.equal(1);
2105
+
2106
+ // taker should fill the rest with the vAMM
2107
+ expect(nodesToFillAfter[1].node.order?.orderId).to.equal(5);
2108
+ expect(nodesToFillAfter[1].makerNode?.order?.orderId).to.equal(undefined);
2109
+ });
2110
+
2111
+ it('Test skips vAMM and fills market sell order with floating limit buys during auction', () => {
2112
+ const vAsk = new BN(15).mul(PRICE_PRECISION);
2113
+ const vBid = new BN(8).mul(PRICE_PRECISION);
2114
+ const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
2115
+ const marketIndex = 0;
2116
+
2117
+ const slot = 12;
2118
+ const oracle = {
2119
+ price: vBid.add(vAsk).div(new BN(2)), // 11.5
2120
+ slot: new BN(slot),
2121
+ confidence: new BN(1),
2122
+ hasSufficientNumberOfDataPoints: true,
2123
+ };
2124
+
2125
+ // insert some floating limit buy below vAMM bid
2126
+ insertOrderToDLOB(
2127
+ dlob,
2128
+ Keypair.generate().publicKey,
2129
+ OrderType.LIMIT,
2130
+ MarketType.PERP,
2131
+ 2, // orderId
2132
+ marketIndex,
2133
+ new BN(0).mul(PRICE_PRECISION), // price, ignored since it's a floating limit
2134
+ BASE_PRECISION, // quantity
2135
+ PositionDirection.LONG,
2136
+ vBid,
2137
+ vAsk,
2138
+ new BN(slot),
2139
+ 30,
2140
+ new BN(-4).mul(PRICE_PRECISION) // second best bid, but worse than vBid (8): 7.5
2141
+ );
2142
+ insertOrderToDLOB(
2143
+ dlob,
2144
+ Keypair.generate().publicKey,
2145
+ OrderType.LIMIT,
2146
+ MarketType.PERP,
2147
+ 3, // orderId
2148
+ marketIndex,
2149
+ new BN(0).mul(PRICE_PRECISION), // price; ignored since it's a floating limit
2150
+ new BN(1).mul(BASE_PRECISION), // quantity
2151
+ PositionDirection.LONG,
2152
+ vBid,
2153
+ vAsk,
2154
+ new BN(slot),
2155
+ 30,
2156
+ new BN(-1).mul(PRICE_PRECISION) // best price: 10.5
2157
+ );
2158
+ insertOrderToDLOB(
2159
+ dlob,
2160
+ Keypair.generate().publicKey,
2161
+ OrderType.LIMIT,
2162
+ MarketType.PERP,
2163
+ 1, // orderId
2164
+ marketIndex,
2165
+ new BN(0).mul(PRICE_PRECISION), // price; ignored since it's a floating limit
2166
+ BASE_PRECISION, // quantity
2167
+ PositionDirection.LONG,
2168
+ vBid,
2169
+ vAsk,
2170
+ new BN(slot),
2171
+ 30,
2172
+ new BN(-5).mul(PRICE_PRECISION) // third best bid, worse than vBid (8): 6.5
2173
+ );
2174
+
2175
+ // should have no crossing orders
2176
+ const nodesToFillBefore = dlob.findCrossingNodesToFill(
2177
+ marketIndex,
2178
+ slot,
2179
+ MarketType.PERP,
2180
+ oracle
2181
+ );
2182
+ expect(nodesToFillBefore.length).to.equal(0);
2183
+
2184
+ // place two market sell orders to eat the best bid
2185
+ insertOrderToDLOB(
2186
+ dlob,
2187
+ Keypair.generate().publicKey,
2188
+ OrderType.MARKET,
2189
+ MarketType.PERP,
2190
+ 4, // orderId
2191
+ marketIndex,
2192
+ new BN(5).mul(PRICE_PRECISION), // price
2193
+ new BN(1).mul(BASE_PRECISION), // quantity
2194
+ PositionDirection.SHORT,
2195
+ vBid,
2196
+ vAsk
2197
+ );
2198
+ insertOrderToDLOB(
2199
+ dlob,
2200
+ Keypair.generate().publicKey,
2201
+ OrderType.MARKET,
2202
+ MarketType.PERP,
2203
+ 5, // orderId
2204
+ marketIndex,
2205
+ new BN(4).mul(PRICE_PRECISION), // price
2206
+ new BN(2).mul(BASE_PRECISION), // quantity
2207
+ PositionDirection.SHORT,
2208
+ vBid,
2209
+ vAsk
2210
+ );
2211
+
2212
+ const nodesToFillAfter = dlob.findCrossingNodesToFill(
2213
+ marketIndex,
2214
+ slot, // auction in progress
2215
+ MarketType.PERP,
2216
+ oracle
2217
+ );
2218
+ const mktNodes = dlob.findExpiredMarketNodesToFill(
2219
+ marketIndex,
2220
+ slot,
2221
+ MarketType.PERP
2222
+ );
2223
+ console.log(`market nodes: ${mktNodes.length}`);
2224
+
2225
+ printBookState(dlob, marketIndex, vBid, vAsk, slot, oracle);
2226
+
2227
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
2228
+ for (const n of nodesToFillAfter) {
2229
+ printCrossedNodes(n, slot);
2230
+ }
2231
+ expect(nodesToFillAfter.length).to.equal(3);
2232
+
2233
+ // taker should fill first order completely with best maker (1/1)
2234
+ expect(
2235
+ nodesToFillAfter[0].node.order?.orderId,
2236
+ 'wrong taker orderId'
2237
+ ).to.equal(4);
2238
+ expect(
2239
+ nodesToFillAfter[0].makerNode?.order?.orderId,
2240
+ 'wrong maker orderId'
2241
+ ).to.equal(3);
2242
+
2243
+ // taker should fill partially with second best maker (1/2)
2244
+ expect(
2245
+ nodesToFillAfter[1].node.order?.orderId,
2246
+ 'wrong maker orderId'
2247
+ ).to.equal(5);
2248
+ expect(
2249
+ nodesToFillAfter[1].makerNode?.order?.orderId,
2250
+ 'wrong maker orderId'
2251
+ ).to.equal(2);
2252
+
2253
+ // taker should fill completely with third best maker (2/2)
2254
+ expect(
2255
+ nodesToFillAfter[2].node.order?.orderId,
2256
+ 'wrong taker orderId'
2257
+ ).to.equal(5);
2258
+ expect(
2259
+ nodesToFillAfter[2].makerNode?.order?.orderId,
2260
+ 'wrong maker orderId'
2261
+ ).to.equal(1);
2262
+ });
2263
+
2264
+ it('Test fills market sell order with better priced vAMM after auction', () => {
2265
+ const vAsk = new BN(15).mul(PRICE_PRECISION);
2266
+ const vBid = new BN(8).mul(PRICE_PRECISION);
2267
+ const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
2268
+ const marketIndex = 0;
2269
+
2270
+ const slot = 12;
2271
+ const oracle = {
2272
+ price: vBid.add(vAsk).div(new BN(2)), // 11.5
2273
+ slot: new BN(slot),
2274
+ confidence: new BN(1),
2275
+ hasSufficientNumberOfDataPoints: true,
2276
+ };
2277
+
2278
+ // insert some floating limit buy below vAMM bid
2279
+ insertOrderToDLOB(
2280
+ dlob,
2281
+ Keypair.generate().publicKey,
2282
+ OrderType.LIMIT,
1333
2283
  MarketType.PERP,
1334
- new BN(5), //orderId
1335
- marketIndex, // marketIndex
1336
- vBid, // price
1337
- BASE_PRECISION, // baseAssetAmount: BN,
2284
+ 2, // orderId
2285
+ marketIndex,
2286
+ new BN(0).mul(PRICE_PRECISION), // price, ignored since it's a floating limit
2287
+ BASE_PRECISION, // quantity
1338
2288
  PositionDirection.LONG,
1339
- oracle.price.add(new BN(1)), // triggerPrice: BN,
1340
- OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1341
2289
  vBid,
1342
- vAsk
2290
+ vAsk,
2291
+ new BN(slot),
2292
+ 30,
2293
+ new BN(-4).mul(PRICE_PRECISION) // second best bid, but worse than vBid (8): 7.5
1343
2294
  );
1344
- // should trigger limit sell with below condition
1345
- insertTriggerOrderToDLOB(
2295
+ insertOrderToDLOB(
1346
2296
  dlob,
1347
2297
  Keypair.generate().publicKey,
1348
- OrderType.TRIGGER_LIMIT,
2298
+ OrderType.LIMIT,
1349
2299
  MarketType.PERP,
1350
- new BN(6), //orderId
1351
- marketIndex, // marketIndex
1352
- vBid, // price
1353
- BASE_PRECISION, // baseAssetAmount: BN,
1354
- PositionDirection.SHORT,
1355
- oracle.price.add(new BN(1)), // triggerPrice: BN,
1356
- OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
2300
+ 3, // orderId
2301
+ marketIndex,
2302
+ new BN(0).mul(PRICE_PRECISION), // price; ignored since it's a floating limit
2303
+ new BN(1).mul(BASE_PRECISION), // quantity
2304
+ PositionDirection.LONG,
1357
2305
  vBid,
1358
- vAsk
2306
+ vAsk,
2307
+ new BN(slot),
2308
+ 30,
2309
+ new BN(-1).mul(PRICE_PRECISION) // best price: 10.5
1359
2310
  );
1360
- // should trigger market buy with below condition
1361
- insertTriggerOrderToDLOB(
2311
+ insertOrderToDLOB(
1362
2312
  dlob,
1363
2313
  Keypair.generate().publicKey,
1364
- OrderType.TRIGGER_MARKET,
2314
+ OrderType.LIMIT,
1365
2315
  MarketType.PERP,
1366
- new BN(7), //orderId
1367
- marketIndex, // marketIndex
1368
- vBid, // price
1369
- BASE_PRECISION, // baseAssetAmount: BN,
2316
+ 1, // orderId
2317
+ marketIndex,
2318
+ new BN(0).mul(PRICE_PRECISION), // price; ignored since it's a floating limit
2319
+ BASE_PRECISION, // quantity
1370
2320
  PositionDirection.LONG,
1371
- oracle.price.add(new BN(1)), // triggerPrice: BN,
1372
- OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1373
2321
  vBid,
1374
- vAsk
2322
+ vAsk,
2323
+ new BN(slot),
2324
+ 30,
2325
+ new BN(-5).mul(PRICE_PRECISION) // third best bid, worse than vBid (8): 6.5
1375
2326
  );
1376
- // should trigger market sell with below condition
1377
- insertTriggerOrderToDLOB(
1378
- dlob,
1379
- Keypair.generate().publicKey,
1380
- OrderType.TRIGGER_MARKET,
1381
- MarketType.PERP,
1382
- new BN(8), //orderId
1383
- marketIndex, // marketIndex
1384
- vBid, // price
1385
- BASE_PRECISION, // baseAssetAmount: BN,
1386
- PositionDirection.LONG,
1387
- oracle.price.add(new BN(1)), // triggerPrice: BN,
1388
- OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
2327
+
2328
+ console.log('DLOB state before fill:');
2329
+ printBookState(dlob, marketIndex, vBid, vAsk, slot, oracle);
2330
+
2331
+ const nodesToFillBefore = dlob.findNodesToFill(
2332
+ marketIndex,
1389
2333
  vBid,
1390
- vAsk
2334
+ vAsk,
2335
+ slot,
2336
+ MarketType.PERP,
2337
+ oracle
1391
2338
  );
2339
+ expect(nodesToFillBefore.length).to.equal(0);
1392
2340
 
1393
- // should NOT trigger market sell with above condition
1394
- insertTriggerOrderToDLOB(
2341
+ // place two market sell orders to eat the best bid
2342
+ insertOrderToDLOB(
1395
2343
  dlob,
1396
2344
  Keypair.generate().publicKey,
1397
- OrderType.TRIGGER_MARKET,
2345
+ OrderType.MARKET,
1398
2346
  MarketType.PERP,
1399
- new BN(9), //orderId
1400
- marketIndex, // marketIndex
1401
- vBid, // price
1402
- BASE_PRECISION, // baseAssetAmount: BN,
2347
+ 4, // orderId
2348
+ marketIndex,
2349
+ new BN(5).mul(PRICE_PRECISION), // price
2350
+ new BN(1).mul(BASE_PRECISION), // quantity, should consume best bid floating limit
1403
2351
  PositionDirection.SHORT,
1404
- oracle.price.add(new BN(1)), // triggerPrice: BN,
1405
- OrderTriggerCondition.ABOVE, // triggerCondition: OrderTriggerCondition,
1406
2352
  vBid,
1407
- vAsk
2353
+ vAsk,
2354
+ new BN(slot)
1408
2355
  );
1409
- // should NOT trigger market sell with below condition
1410
- insertTriggerOrderToDLOB(
2356
+ insertOrderToDLOB(
1411
2357
  dlob,
1412
2358
  Keypair.generate().publicKey,
1413
- OrderType.TRIGGER_MARKET,
2359
+ OrderType.MARKET,
1414
2360
  MarketType.PERP,
1415
- new BN(10), //orderId
1416
- marketIndex, // marketIndex
1417
- vBid, // price
1418
- BASE_PRECISION, // baseAssetAmount: BN,
2361
+ 5, // orderId
2362
+ marketIndex,
2363
+ // new BN(8).mul(PRICE_PRECISION), // price, this price will fill with vamm
2364
+ new BN(4).mul(PRICE_PRECISION), // price, this SHOULD fill with vamm
2365
+ new BN(2).mul(BASE_PRECISION), // quantity, should be filled with next best bid (vAMM)
1419
2366
  PositionDirection.SHORT,
1420
- oracle.price.sub(new BN(1)), // triggerPrice: BN,
1421
- OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1422
2367
  vBid,
1423
- vAsk
2368
+ vAsk,
2369
+ new BN(slot)
1424
2370
  );
1425
- // should NOT trigger market buy with above condition
1426
- insertTriggerOrderToDLOB(
1427
- dlob,
1428
- Keypair.generate().publicKey,
1429
- OrderType.TRIGGER_MARKET,
1430
- MarketType.PERP,
1431
- new BN(11), //orderId
1432
- marketIndex, // marketIndex
1433
- vBid, // price
1434
- BASE_PRECISION, // baseAssetAmount: BN,
1435
- PositionDirection.LONG,
1436
- oracle.price.add(new BN(1)), // triggerPrice: BN,
1437
- OrderTriggerCondition.ABOVE, // triggerCondition: OrderTriggerCondition,
2371
+
2372
+ // auction ends, but order not expired
2373
+ const afterAuctionSlot = slot + 11;
2374
+ printBookState(dlob, marketIndex, vBid, vAsk, afterAuctionSlot, oracle);
2375
+
2376
+ const nodesToFillAfter = dlob.findNodesToFill(
2377
+ marketIndex,
1438
2378
  vBid,
1439
- vAsk
1440
- );
1441
- // should NOT trigger market buy with below condition
1442
- insertTriggerOrderToDLOB(
1443
- dlob,
1444
- Keypair.generate().publicKey,
1445
- OrderType.TRIGGER_MARKET,
2379
+ vAsk,
2380
+ afterAuctionSlot,
1446
2381
  MarketType.PERP,
1447
- new BN(12), //orderId
1448
- marketIndex, // marketIndex
1449
- vBid, // price
1450
- BASE_PRECISION, // baseAssetAmount: BN,
1451
- PositionDirection.LONG,
1452
- oracle.price.sub(new BN(1)), // triggerPrice: BN,
1453
- OrderTriggerCondition.BELOW, // triggerCondition: OrderTriggerCondition,
1454
- vBid,
1455
- vAsk
2382
+ oracle
1456
2383
  );
1457
2384
 
1458
- const nodesToTrigger = dlob.findNodesToTrigger(
1459
- marketIndex,
1460
- slot,
1461
- oracle.price,
1462
- MarketType.PERP
1463
- );
1464
- console.log(`nodesToTriggeR: ${nodesToTrigger.length}`);
1465
- for (const [idx, n] of nodesToTrigger.entries()) {
1466
- expect(n.node.order?.orderId.toNumber()).to.equal(orderIdsToTrigger[idx]);
1467
- console.log(`nodeToTrigger: ${n.node.order?.orderId.toString()}`);
2385
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
2386
+ for (const n of nodesToFillAfter) {
2387
+ printCrossedNodes(n, afterAuctionSlot);
1468
2388
  }
2389
+
2390
+ // taker should fill first order completely with best maker (1/1)
2391
+ expect(
2392
+ nodesToFillAfter[0].node.order?.orderId,
2393
+ 'wrong taker orderId'
2394
+ ).to.equal(4);
2395
+ expect(
2396
+ nodesToFillAfter[0].makerNode?.order?.orderId,
2397
+ 'wrong maker orderId'
2398
+ ).to.equal(3);
2399
+
2400
+ // taker should fill second order completely with vamm
2401
+ expect(
2402
+ nodesToFillAfter[1].node.order?.orderId,
2403
+ 'wrong taker orderId'
2404
+ ).to.equal(5);
2405
+ expect(
2406
+ nodesToFillAfter[1].makerNode?.order?.orderId,
2407
+ 'wrong maker orderId'
2408
+ ).to.equal(2); // filler should match the DLOB makers, protocol will fill the taker with vAMM if it offers a better price.
2409
+
2410
+ expect(nodesToFillAfter.length).to.equal(3);
1469
2411
  });
1470
2412
 
1471
- it('Test will return expired market orders to fill', () => {
1472
- const vAsk = new BN(15);
1473
- const vBid = new BN(8);
2413
+ it('Test fills crossing bids with vAMM after auction ends', () => {
2414
+ const vAsk = new BN(15).mul(PRICE_PRECISION);
2415
+ const vBid = new BN(8).mul(PRICE_PRECISION);
1474
2416
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1475
- const marketIndex = new BN(0);
2417
+ const marketIndex = 0;
1476
2418
 
1477
- const slot = 20;
1478
- const timeInForce = 30;
2419
+ const slot = 12;
2420
+ const oracle = {
2421
+ price: vBid.add(vAsk).div(new BN(2)), // 11.5
2422
+ slot: new BN(slot),
2423
+ confidence: new BN(1),
2424
+ hasSufficientNumberOfDataPoints: true,
2425
+ };
1479
2426
 
1480
- // non crossing bid
2427
+ // insert some floating limit buy below vAMM bid
1481
2428
  insertOrderToDLOB(
1482
2429
  dlob,
1483
2430
  Keypair.generate().publicKey,
1484
- OrderType.MARKET,
2431
+ OrderType.LIMIT,
1485
2432
  MarketType.PERP,
1486
- new BN(255), // orderId
2433
+ 2, // orderId
1487
2434
  marketIndex,
1488
- new BN(2), // price, very low, don't cross vamm
2435
+ new BN(17).mul(PRICE_PRECISION), // price, crosses vAsk
1489
2436
  BASE_PRECISION, // quantity
1490
2437
  PositionDirection.LONG,
1491
2438
  vBid,
1492
2439
  vAsk,
1493
2440
  new BN(slot),
1494
- timeInForce
2441
+ 30
1495
2442
  );
1496
2443
  insertOrderToDLOB(
1497
2444
  dlob,
1498
2445
  Keypair.generate().publicKey,
1499
- OrderType.MARKET,
2446
+ OrderType.LIMIT,
1500
2447
  MarketType.PERP,
1501
- new BN(2), // orderId
2448
+ 3, // orderId
1502
2449
  marketIndex,
1503
- new BN(30), // price, very high, don't cross vamm
1504
- BASE_PRECISION, // quantity
1505
- PositionDirection.SHORT,
2450
+ new BN(19).mul(PRICE_PRECISION), // price; crosses vAsk
2451
+ new BN(1).mul(BASE_PRECISION), // quantity
2452
+ PositionDirection.LONG,
2453
+ vBid,
1506
2454
  vAsk,
2455
+ new BN(slot),
2456
+ 30
2457
+ );
2458
+ insertOrderToDLOB(
2459
+ dlob,
2460
+ Keypair.generate().publicKey,
2461
+ OrderType.LIMIT,
2462
+ MarketType.PERP,
2463
+ 1, // orderId
2464
+ marketIndex,
2465
+ new BN(5).mul(PRICE_PRECISION), // price; doens't cross
2466
+ BASE_PRECISION, // quantity
2467
+ PositionDirection.LONG,
1507
2468
  vBid,
2469
+ vAsk,
1508
2470
  new BN(slot),
1509
- timeInForce
2471
+ 30
1510
2472
  );
2473
+ console.log(`Book state before fill:`);
2474
+ printBookState(dlob, marketIndex, vBid, vAsk, slot, oracle);
1511
2475
 
1512
- // order auction is not yet complete, and order is not expired.
1513
- const slot0 = slot;
1514
2476
  const nodesToFillBefore = dlob.findNodesToFill(
1515
2477
  marketIndex,
1516
2478
  vBid,
1517
2479
  vAsk,
1518
- slot0,
2480
+ slot,
1519
2481
  MarketType.PERP,
1520
- {
1521
- price: vBid.add(vAsk).div(new BN(2)),
1522
- slot: new BN(slot0),
1523
- confidence: new BN(1),
1524
- hasSufficientNumberOfDataPoints: true,
1525
- }
2482
+ oracle
1526
2483
  );
1527
2484
  expect(nodesToFillBefore.length).to.equal(0);
1528
2485
 
1529
- // should get order to fill after timeInForce
1530
- const slot1 = slot0 + timeInForce; // overshoots expiry
2486
+ // auction ends now
2487
+ const afterAuctionSlot = 10 * slot;
2488
+
1531
2489
  const nodesToFillAfter = dlob.findNodesToFill(
1532
2490
  marketIndex,
1533
2491
  vBid,
1534
2492
  vAsk,
1535
- slot1, // auction is over, and order ix expired
2493
+ afterAuctionSlot,
1536
2494
  MarketType.PERP,
1537
- {
1538
- price: vBid.add(vAsk).div(new BN(2)),
1539
- slot: new BN(slot1),
1540
- confidence: new BN(1),
1541
- hasSufficientNumberOfDataPoints: true,
1542
- }
2495
+ oracle
1543
2496
  );
1544
- expect(nodesToFillAfter.length).to.equal(2);
1545
2497
 
1546
- // check that the nodes have no makers
1547
- expect(nodesToFillAfter[0].makerNode).to.equal(undefined);
1548
- expect(nodesToFillAfter[1].makerNode).to.equal(undefined);
2498
+ console.log(`Book state after fill:`);
2499
+ printBookState(dlob, marketIndex, vBid, vAsk, afterAuctionSlot, oracle);
2500
+
2501
+ console.log(`Filled nodes: ${nodesToFillAfter.length}`);
2502
+ for (const n of nodesToFillAfter) {
2503
+ printCrossedNodes(n, afterAuctionSlot);
2504
+ }
2505
+
2506
+ // taker should fill first order completely with best maker (1/1)
2507
+ expect(
2508
+ nodesToFillAfter[0].node.order?.orderId,
2509
+ 'wrong taker orderId'
2510
+ ).to.equal(3);
2511
+ expect(
2512
+ nodesToFillAfter[0].makerNode?.order?.orderId,
2513
+ 'wrong maker orderId'
2514
+ ).to.equal(undefined);
2515
+
2516
+ // taker should fill second order completely with vamm
2517
+ expect(
2518
+ nodesToFillAfter[1].node.order?.orderId,
2519
+ 'wrong taker orderId'
2520
+ ).to.equal(2);
2521
+ expect(
2522
+ nodesToFillAfter[1].makerNode?.order?.orderId,
2523
+ 'wrong maker orderId'
2524
+ ).to.equal(undefined);
2525
+
2526
+ expect(nodesToFillAfter.length).to.equal(2);
1549
2527
  });
1550
2528
  });
1551
2529
 
@@ -1554,7 +2532,7 @@ describe('DLOB Spot Tests', () => {
1554
2532
  const vAsk = new BN(115);
1555
2533
  const vBid = new BN(100);
1556
2534
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1557
- const marketIndex = new BN(0);
2535
+ const marketIndex = 0;
1558
2536
 
1559
2537
  const slot = 12;
1560
2538
  const oracle = {
@@ -1566,49 +2544,49 @@ describe('DLOB Spot Tests', () => {
1566
2544
  const testCases = [
1567
2545
  {
1568
2546
  expectedIdx: 3,
1569
- orderId: new BN(5),
2547
+ orderId: 5,
1570
2548
  price: new BN(0), // will calc 108
1571
2549
  direction: PositionDirection.LONG,
1572
2550
  orderType: OrderType.MARKET,
1573
2551
  },
1574
2552
  {
1575
2553
  expectedIdx: 4,
1576
- orderId: new BN(6),
2554
+ orderId: 6,
1577
2555
  price: new BN(0), // will calc 108
1578
2556
  direction: PositionDirection.LONG,
1579
2557
  orderType: OrderType.MARKET,
1580
2558
  },
1581
2559
  {
1582
2560
  expectedIdx: 5,
1583
- orderId: new BN(7),
2561
+ orderId: 7,
1584
2562
  price: new BN(0), // will calc 108
1585
2563
  direction: PositionDirection.LONG,
1586
2564
  orderType: OrderType.MARKET,
1587
2565
  },
1588
2566
  {
1589
2567
  expectedIdx: 0,
1590
- orderId: new BN(1),
2568
+ orderId: 1,
1591
2569
  price: new BN(110),
1592
2570
  direction: PositionDirection.LONG,
1593
2571
  orderType: OrderType.LIMIT,
1594
2572
  },
1595
2573
  {
1596
2574
  expectedIdx: 1,
1597
- orderId: new BN(2),
2575
+ orderId: 2,
1598
2576
  price: new BN(109),
1599
2577
  direction: PositionDirection.LONG,
1600
2578
  orderType: OrderType.LIMIT,
1601
2579
  },
1602
2580
  {
1603
2581
  expectedIdx: 6,
1604
- orderId: new BN(3),
2582
+ orderId: 3,
1605
2583
  price: new BN(107),
1606
2584
  direction: PositionDirection.LONG,
1607
2585
  orderType: OrderType.LIMIT,
1608
2586
  },
1609
2587
  {
1610
2588
  expectedIdx: 7,
1611
- orderId: new BN(4),
2589
+ orderId: 4,
1612
2590
  price: new BN(106),
1613
2591
  direction: PositionDirection.LONG,
1614
2592
  orderType: OrderType.LIMIT,
@@ -1621,7 +2599,7 @@ describe('DLOB Spot Tests', () => {
1621
2599
  Keypair.generate().publicKey,
1622
2600
  t.orderType || OrderType.LIMIT,
1623
2601
  MarketType.SPOT,
1624
- t.orderId || new BN(0), // orderId
2602
+ t.orderId || 0, // orderId
1625
2603
  marketIndex,
1626
2604
  t.price || new BN(0), // price
1627
2605
  BASE_PRECISION, // quantity
@@ -1646,18 +2624,9 @@ describe('DLOB Spot Tests', () => {
1646
2624
  console.log('The Book Bids:');
1647
2625
  let countBids = 0;
1648
2626
  for (const bid of bids) {
1649
- console.log(
1650
- ` . vAMMNode? ${bid.isVammNode()}, ${JSON.stringify(
1651
- bid.order?.orderType
1652
- )} , ${bid.order?.orderId.toString()} , vammTestgetPRice: ${bid.getPrice(
1653
- oracle,
1654
- slot
1655
- )}, price: ${bid.order?.price.toString()}, quantity: ${bid.order?.baseAssetAmountFilled.toString()}/${bid.order?.baseAssetAmount.toString()}`
1656
- );
2627
+ printOrderNode(bid, oracle, slot);
1657
2628
 
1658
- expect(bid.order?.orderId.toNumber()).to.equal(
1659
- expectedTestCase[countBids].orderId?.toNumber()
1660
- );
2629
+ expect(bid.order?.orderId).to.equal(expectedTestCase[countBids].orderId);
1661
2630
  expect(bid.order?.price.toNumber()).to.equal(
1662
2631
  expectedTestCase[countBids].price?.toNumber()
1663
2632
  );
@@ -1677,8 +2646,8 @@ describe('DLOB Spot Tests', () => {
1677
2646
  const vAsk = new BN(15);
1678
2647
  const vBid = new BN(10);
1679
2648
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1680
- const marketIndex0 = new BN(0);
1681
- const marketIndex1 = new BN(1);
2649
+ const marketIndex0 = 0;
2650
+ const marketIndex1 = 1;
1682
2651
 
1683
2652
  const slot = 12;
1684
2653
  const oracle = {
@@ -1690,7 +2659,7 @@ describe('DLOB Spot Tests', () => {
1690
2659
  const testCases = [
1691
2660
  {
1692
2661
  expectedIdx: 3,
1693
- orderId: new BN(5),
2662
+ orderId: 5,
1694
2663
  price: new BN(0),
1695
2664
  direction: PositionDirection.LONG,
1696
2665
  orderType: OrderType.MARKET,
@@ -1698,7 +2667,7 @@ describe('DLOB Spot Tests', () => {
1698
2667
  },
1699
2668
  {
1700
2669
  expectedIdx: 4,
1701
- orderId: new BN(6),
2670
+ orderId: 6,
1702
2671
  price: new BN(0),
1703
2672
  direction: PositionDirection.LONG,
1704
2673
  orderType: OrderType.MARKET,
@@ -1706,7 +2675,7 @@ describe('DLOB Spot Tests', () => {
1706
2675
  },
1707
2676
  {
1708
2677
  expectedIdx: 5,
1709
- orderId: new BN(7),
2678
+ orderId: 7,
1710
2679
  price: new BN(0),
1711
2680
  direction: PositionDirection.LONG,
1712
2681
  orderType: OrderType.MARKET,
@@ -1714,7 +2683,7 @@ describe('DLOB Spot Tests', () => {
1714
2683
  },
1715
2684
  {
1716
2685
  expectedIdx: 0,
1717
- orderId: new BN(1),
2686
+ orderId: 1,
1718
2687
  price: new BN(12),
1719
2688
  direction: PositionDirection.LONG,
1720
2689
  orderType: OrderType.LIMIT,
@@ -1722,7 +2691,7 @@ describe('DLOB Spot Tests', () => {
1722
2691
  },
1723
2692
  {
1724
2693
  expectedIdx: 1,
1725
- orderId: new BN(2),
2694
+ orderId: 2,
1726
2695
  price: new BN(11),
1727
2696
  direction: PositionDirection.LONG,
1728
2697
  orderType: OrderType.LIMIT,
@@ -1730,7 +2699,7 @@ describe('DLOB Spot Tests', () => {
1730
2699
  },
1731
2700
  {
1732
2701
  expectedIdx: 7,
1733
- orderId: new BN(3),
2702
+ orderId: 3,
1734
2703
  price: new BN(8),
1735
2704
  direction: PositionDirection.LONG,
1736
2705
  orderType: OrderType.LIMIT,
@@ -1738,7 +2707,7 @@ describe('DLOB Spot Tests', () => {
1738
2707
  },
1739
2708
  {
1740
2709
  expectedIdx: 6,
1741
- orderId: new BN(4),
2710
+ orderId: 4,
1742
2711
  price: new BN(9),
1743
2712
  direction: PositionDirection.LONG,
1744
2713
  orderType: OrderType.LIMIT,
@@ -1752,7 +2721,7 @@ describe('DLOB Spot Tests', () => {
1752
2721
  Keypair.generate().publicKey,
1753
2722
  t.orderType || OrderType.LIMIT,
1754
2723
  MarketType.SPOT,
1755
- t.orderId || new BN(0), // orderId
2724
+ t.orderId || 0, // orderId
1756
2725
  t.marketIndex,
1757
2726
  t.price || new BN(0), // price
1758
2727
  BASE_PRECISION, // quantity
@@ -1810,7 +2779,7 @@ describe('DLOB Spot Tests', () => {
1810
2779
  const vAsk = new BN(15);
1811
2780
  const vBid = new BN(10);
1812
2781
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1813
- const marketIndex = new BN(0);
2782
+ const marketIndex = 0;
1814
2783
 
1815
2784
  const slot = 12;
1816
2785
  const oracle = {
@@ -1822,49 +2791,49 @@ describe('DLOB Spot Tests', () => {
1822
2791
  const testCases = [
1823
2792
  {
1824
2793
  expectedIdx: 0,
1825
- orderId: new BN(3),
2794
+ orderId: 3,
1826
2795
  price: new BN(0),
1827
2796
  direction: PositionDirection.SHORT,
1828
2797
  orderType: OrderType.MARKET,
1829
2798
  },
1830
2799
  {
1831
2800
  expectedIdx: 1,
1832
- orderId: new BN(4),
2801
+ orderId: 4,
1833
2802
  price: new BN(0),
1834
2803
  direction: PositionDirection.SHORT,
1835
2804
  orderType: OrderType.MARKET,
1836
2805
  },
1837
2806
  {
1838
2807
  expectedIdx: 2,
1839
- orderId: new BN(5),
2808
+ orderId: 5,
1840
2809
  price: new BN(0),
1841
2810
  direction: PositionDirection.SHORT,
1842
2811
  orderType: OrderType.MARKET,
1843
2812
  },
1844
2813
  {
1845
2814
  expectedIdx: 3,
1846
- orderId: new BN(1),
2815
+ orderId: 1,
1847
2816
  price: new BN(13),
1848
2817
  direction: PositionDirection.SHORT,
1849
2818
  orderType: OrderType.LIMIT,
1850
2819
  },
1851
2820
  {
1852
2821
  expectedIdx: 6,
1853
- orderId: new BN(6),
2822
+ orderId: 6,
1854
2823
  price: new BN(16),
1855
2824
  direction: PositionDirection.SHORT,
1856
2825
  orderType: OrderType.LIMIT,
1857
2826
  },
1858
2827
  {
1859
2828
  expectedIdx: 7,
1860
- orderId: new BN(7),
2829
+ orderId: 7,
1861
2830
  price: new BN(17),
1862
2831
  direction: PositionDirection.SHORT,
1863
2832
  orderType: OrderType.LIMIT,
1864
2833
  },
1865
2834
  {
1866
2835
  expectedIdx: 4,
1867
- orderId: new BN(2),
2836
+ orderId: 2,
1868
2837
  price: new BN(14),
1869
2838
  direction: PositionDirection.SHORT,
1870
2839
  orderType: OrderType.LIMIT,
@@ -1877,7 +2846,7 @@ describe('DLOB Spot Tests', () => {
1877
2846
  Keypair.generate().publicKey,
1878
2847
  t.orderType || OrderType.LIMIT,
1879
2848
  MarketType.SPOT,
1880
- t.orderId || new BN(0), // orderId
2849
+ t.orderId || 0, // orderId
1881
2850
  marketIndex,
1882
2851
  t.price || new BN(0), // price
1883
2852
  BASE_PRECISION, // quantity
@@ -1905,9 +2874,7 @@ describe('DLOB Spot Tests', () => {
1905
2874
  )}, price: ${ask.order?.price.toString()}, quantity: ${ask.order?.baseAssetAmountFilled.toString()}/${ask.order?.baseAssetAmount.toString()}`
1906
2875
  );
1907
2876
 
1908
- expect(ask.order?.orderId.toNumber()).to.equal(
1909
- expectedTestCase[countAsks].orderId?.toNumber()
1910
- );
2877
+ expect(ask.order?.orderId).to.equal(expectedTestCase[countAsks].orderId);
1911
2878
  expect(ask.order?.price.toNumber()).to.equal(
1912
2879
  expectedTestCase[countAsks].price?.toNumber()
1913
2880
  );
@@ -1934,7 +2901,7 @@ describe('DLOB Spot Tests', () => {
1934
2901
  hasSufficientNumberOfDataPoints: true,
1935
2902
  };
1936
2903
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
1937
- const marketIndex = new BN(0);
2904
+ const marketIndex = 0;
1938
2905
 
1939
2906
  // 3 mkt buys
1940
2907
  for (let i = 0; i < 3; i++) {
@@ -1943,7 +2910,7 @@ describe('DLOB Spot Tests', () => {
1943
2910
  Keypair.generate().publicKey,
1944
2911
  OrderType.MARKET,
1945
2912
  MarketType.SPOT,
1946
- new BN(i + 1),
2913
+ i + 1,
1947
2914
  marketIndex,
1948
2915
  new BN(0),
1949
2916
  BASE_PRECISION,
@@ -1960,7 +2927,7 @@ describe('DLOB Spot Tests', () => {
1960
2927
  Keypair.generate().publicKey,
1961
2928
  OrderType.MARKET,
1962
2929
  MarketType.SPOT,
1963
- new BN(i + 1),
2930
+ i + 1,
1964
2931
  marketIndex,
1965
2932
  new BN(0),
1966
2933
  BASE_PRECISION,
@@ -1986,7 +2953,7 @@ describe('DLOB Spot Tests', () => {
1986
2953
  expect(getVariant(ask.order?.status)).to.equal('open');
1987
2954
  expect(getVariant(ask.order?.orderType)).to.equal('market');
1988
2955
  expect(getVariant(ask.order?.direction)).to.equal('short');
1989
- expect(ask.order?.orderId.toNumber()).to.equal(asks);
2956
+ expect(ask.order?.orderId).to.equal(asks);
1990
2957
  }
1991
2958
  }
1992
2959
  expect(asks).to.equal(3);
@@ -2003,7 +2970,7 @@ describe('DLOB Spot Tests', () => {
2003
2970
  expect(getVariant(bid.order?.status)).to.equal('open');
2004
2971
  expect(getVariant(bid.order?.orderType)).to.equal('market');
2005
2972
  expect(getVariant(bid.order?.direction)).to.equal('long');
2006
- expect(bid.order?.orderId.toNumber()).to.equal(bids + 1);
2973
+ expect(bid.order?.orderId).to.equal(bids + 1);
2007
2974
  bids++;
2008
2975
  }
2009
2976
  expect(bids).to.equal(3); // 3 orders
@@ -2020,13 +2987,13 @@ describe('DLOB Spot Tests', () => {
2020
2987
  hasSufficientNumberOfDataPoints: true,
2021
2988
  };
2022
2989
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
2023
- const marketIndex = new BN(0);
2990
+ const marketIndex = 0;
2024
2991
  insertOrderToDLOB(
2025
2992
  dlob,
2026
2993
  Keypair.generate().publicKey,
2027
2994
  OrderType.LIMIT,
2028
2995
  MarketType.SPOT,
2029
- new BN(3),
2996
+ 3, // orderId
2030
2997
  marketIndex,
2031
2998
  new BN(50),
2032
2999
  BASE_PRECISION,
@@ -2040,7 +3007,7 @@ describe('DLOB Spot Tests', () => {
2040
3007
  Keypair.generate().publicKey,
2041
3008
  OrderType.LIMIT,
2042
3009
  MarketType.SPOT,
2043
- new BN(2),
3010
+ 2, // orderId
2044
3011
  marketIndex,
2045
3012
  new BN(60),
2046
3013
  BASE_PRECISION,
@@ -2054,7 +3021,7 @@ describe('DLOB Spot Tests', () => {
2054
3021
  Keypair.generate().publicKey,
2055
3022
  OrderType.LIMIT,
2056
3023
  MarketType.SPOT,
2057
- new BN(1),
3024
+ 1, // orderId
2058
3025
  marketIndex,
2059
3026
  new BN(70),
2060
3027
  BASE_PRECISION,
@@ -2068,7 +3035,7 @@ describe('DLOB Spot Tests', () => {
2068
3035
  Keypair.generate().publicKey,
2069
3036
  OrderType.LIMIT,
2070
3037
  MarketType.SPOT,
2071
- new BN(1),
3038
+ 1, // orderId
2072
3039
  marketIndex,
2073
3040
  new BN(120),
2074
3041
  BASE_PRECISION,
@@ -2082,7 +3049,7 @@ describe('DLOB Spot Tests', () => {
2082
3049
  Keypair.generate().publicKey,
2083
3050
  OrderType.LIMIT,
2084
3051
  MarketType.SPOT,
2085
- new BN(2),
3052
+ 2, // orderId
2086
3053
  marketIndex,
2087
3054
  new BN(130),
2088
3055
  BASE_PRECISION,
@@ -2096,7 +3063,7 @@ describe('DLOB Spot Tests', () => {
2096
3063
  Keypair.generate().publicKey,
2097
3064
  OrderType.LIMIT,
2098
3065
  MarketType.SPOT,
2099
- new BN(3),
3066
+ 3, // orderId
2100
3067
  marketIndex,
2101
3068
  new BN(140),
2102
3069
  BASE_PRECISION,
@@ -2122,7 +3089,7 @@ describe('DLOB Spot Tests', () => {
2122
3089
  expect(getVariant(ask.order?.status)).to.equal('open');
2123
3090
  expect(getVariant(ask.order?.orderType)).to.equal('limit');
2124
3091
  expect(getVariant(ask.order?.direction)).to.equal('short');
2125
- expect(ask.order?.orderId.toNumber()).to.equal(asks + 1);
3092
+ expect(ask.order?.orderId).to.equal(asks + 1);
2126
3093
  expect(ask.order?.price.gt(vAsk)).to.equal(true);
2127
3094
  asks++;
2128
3095
  }
@@ -2145,7 +3112,7 @@ describe('DLOB Spot Tests', () => {
2145
3112
  expect(getVariant(bid.order?.status)).to.equal('open');
2146
3113
  expect(getVariant(bid.order?.orderType)).to.equal('limit');
2147
3114
  expect(getVariant(bid.order?.direction)).to.equal('long');
2148
- expect(bid.order?.orderId.toNumber()).to.equal(bids + 1);
3115
+ expect(bid.order?.orderId).to.equal(bids + 1);
2149
3116
  expect(bid.order?.price.lt(vBid)).to.equal(true);
2150
3117
  bids++;
2151
3118
  }
@@ -2156,7 +3123,7 @@ describe('DLOB Spot Tests', () => {
2156
3123
  const vAsk = new BN(15);
2157
3124
  const vBid = new BN(10);
2158
3125
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
2159
- const marketIndex = new BN(0);
3126
+ const marketIndex = 0;
2160
3127
 
2161
3128
  // insert some limit buys above vamm bid, below ask
2162
3129
  insertOrderToDLOB(
@@ -2164,7 +3131,7 @@ describe('DLOB Spot Tests', () => {
2164
3131
  Keypair.generate().publicKey,
2165
3132
  OrderType.LIMIT,
2166
3133
  MarketType.SPOT,
2167
- new BN(1), // orderId
3134
+ 1, // orderId
2168
3135
  marketIndex,
2169
3136
  new BN(11), // price
2170
3137
  BASE_PRECISION, // quantity
@@ -2177,7 +3144,7 @@ describe('DLOB Spot Tests', () => {
2177
3144
  Keypair.generate().publicKey,
2178
3145
  OrderType.LIMIT,
2179
3146
  MarketType.SPOT,
2180
- new BN(2), // orderId
3147
+ 2, // orderId
2181
3148
  marketIndex,
2182
3149
  new BN(12), // price
2183
3150
  BASE_PRECISION, // quantity
@@ -2190,7 +3157,7 @@ describe('DLOB Spot Tests', () => {
2190
3157
  Keypair.generate().publicKey,
2191
3158
  OrderType.LIMIT,
2192
3159
  MarketType.SPOT,
2193
- new BN(3), // orderId
3160
+ 3, // orderId
2194
3161
  marketIndex,
2195
3162
  new BN(13), // price
2196
3163
  BASE_PRECISION, // quantity
@@ -2202,8 +3169,6 @@ describe('DLOB Spot Tests', () => {
2202
3169
  // should have no crossing orders
2203
3170
  const nodesToFillBefore = dlob.findCrossingNodesToFill(
2204
3171
  marketIndex,
2205
- vBid,
2206
- vAsk,
2207
3172
  12, // auction over
2208
3173
  MarketType.SPOT,
2209
3174
  {
@@ -2221,7 +3186,7 @@ describe('DLOB Spot Tests', () => {
2221
3186
  Keypair.generate().publicKey,
2222
3187
  OrderType.MARKET,
2223
3188
  MarketType.SPOT,
2224
- new BN(4), // orderId
3189
+ 4, // orderId
2225
3190
  marketIndex,
2226
3191
  new BN(12), // price
2227
3192
  new BN(1).mul(BASE_PRECISION), // quantity
@@ -2234,7 +3199,7 @@ describe('DLOB Spot Tests', () => {
2234
3199
  Keypair.generate().publicKey,
2235
3200
  OrderType.MARKET,
2236
3201
  MarketType.SPOT,
2237
- new BN(5), // orderId
3202
+ 5, // orderId
2238
3203
  marketIndex,
2239
3204
  new BN(12), // price
2240
3205
  new BN(1).mul(BASE_PRECISION), // quantity
@@ -2245,8 +3210,6 @@ describe('DLOB Spot Tests', () => {
2245
3210
 
2246
3211
  const nodesToFillAfter = dlob.findCrossingNodesToFill(
2247
3212
  marketIndex,
2248
- vBid,
2249
- vAsk,
2250
3213
  12, // auction over
2251
3214
  MarketType.SPOT,
2252
3215
  {
@@ -2264,23 +3227,19 @@ describe('DLOB Spot Tests', () => {
2264
3227
  expect(nodesToFillAfter.length).to.equal(2);
2265
3228
 
2266
3229
  // first taker should fill with best maker
2267
- expect(nodesToFillAfter[0].node.order?.orderId.toNumber()).to.equal(4);
2268
- expect(nodesToFillAfter[0].makerNode?.order?.orderId.toNumber()).to.equal(
2269
- 3
2270
- );
3230
+ expect(nodesToFillAfter[0].node.order?.orderId).to.equal(4);
3231
+ expect(nodesToFillAfter[0].makerNode?.order?.orderId).to.equal(3);
2271
3232
 
2272
3233
  // second taker should fill with second best maker
2273
- expect(nodesToFillAfter[1].node.order?.orderId.toNumber()).to.equal(5);
2274
- expect(nodesToFillAfter[1].makerNode?.order?.orderId.toNumber()).to.equal(
2275
- 2
2276
- );
3234
+ expect(nodesToFillAfter[1].node.order?.orderId).to.equal(5);
3235
+ expect(nodesToFillAfter[1].makerNode?.order?.orderId).to.equal(2);
2277
3236
  });
2278
3237
 
2279
3238
  it('Test one market order fills two limit orders', () => {
2280
3239
  const vAsk = new BN(15);
2281
3240
  const vBid = new BN(10);
2282
3241
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
2283
- const marketIndex = new BN(0);
3242
+ const marketIndex = 0;
2284
3243
 
2285
3244
  // insert some limit sells below vAMM ask, above bid
2286
3245
  insertOrderToDLOB(
@@ -2288,7 +3247,7 @@ describe('DLOB Spot Tests', () => {
2288
3247
  Keypair.generate().publicKey,
2289
3248
  OrderType.LIMIT,
2290
3249
  MarketType.SPOT,
2291
- new BN(1), // orderId
3250
+ 1, // orderId
2292
3251
  marketIndex,
2293
3252
  new BN(14), // price
2294
3253
  BASE_PRECISION, // quantity
@@ -2301,7 +3260,7 @@ describe('DLOB Spot Tests', () => {
2301
3260
  Keypair.generate().publicKey,
2302
3261
  OrderType.LIMIT,
2303
3262
  MarketType.SPOT,
2304
- new BN(2), // orderId
3263
+ 2, // orderId
2305
3264
  marketIndex,
2306
3265
  new BN(12), // price
2307
3266
  BASE_PRECISION, // quantity
@@ -2314,7 +3273,7 @@ describe('DLOB Spot Tests', () => {
2314
3273
  Keypair.generate().publicKey,
2315
3274
  OrderType.LIMIT,
2316
3275
  MarketType.SPOT,
2317
- new BN(3), // orderId
3276
+ 3, // orderId
2318
3277
  marketIndex,
2319
3278
  new BN(11), // price
2320
3279
  BASE_PRECISION, // quantity
@@ -2326,8 +3285,6 @@ describe('DLOB Spot Tests', () => {
2326
3285
  // should have no crossing orders
2327
3286
  const nodesToFillBefore = dlob.findCrossingNodesToFill(
2328
3287
  marketIndex,
2329
- vBid,
2330
- vAsk,
2331
3288
  12, // auction over
2332
3289
  MarketType.SPOT,
2333
3290
  {
@@ -2345,7 +3302,7 @@ describe('DLOB Spot Tests', () => {
2345
3302
  Keypair.generate().publicKey,
2346
3303
  OrderType.MARKET,
2347
3304
  MarketType.SPOT,
2348
- new BN(4), // orderId
3305
+ 4, // orderId
2349
3306
  marketIndex,
2350
3307
  new BN(12), // price
2351
3308
  new BN(2).mul(BASE_PRECISION), // quantity
@@ -2356,8 +3313,6 @@ describe('DLOB Spot Tests', () => {
2356
3313
 
2357
3314
  const nodesToFillAfter = dlob.findCrossingNodesToFill(
2358
3315
  marketIndex,
2359
- vBid,
2360
- vAsk,
2361
3316
  12, // auction over
2362
3317
  MarketType.SPOT,
2363
3318
  {
@@ -2375,23 +3330,19 @@ describe('DLOB Spot Tests', () => {
2375
3330
  expect(nodesToFillAfter.length).to.equal(2);
2376
3331
 
2377
3332
  // taker should fill completely with best maker
2378
- expect(nodesToFillAfter[0].node.order?.orderId.toNumber()).to.equal(4);
2379
- expect(nodesToFillAfter[0].makerNode?.order?.orderId.toNumber()).to.equal(
2380
- 3
2381
- );
3333
+ expect(nodesToFillAfter[0].node.order?.orderId).to.equal(4);
3334
+ expect(nodesToFillAfter[0].makerNode?.order?.orderId).to.equal(3);
2382
3335
 
2383
3336
  // taker should fill completely with second best maker
2384
- expect(nodesToFillAfter[1].node.order?.orderId.toNumber()).to.equal(4);
2385
- expect(nodesToFillAfter[1].makerNode?.order?.orderId.toNumber()).to.equal(
2386
- 2
2387
- );
3337
+ expect(nodesToFillAfter[1].node.order?.orderId).to.equal(4);
3338
+ expect(nodesToFillAfter[1].makerNode?.order?.orderId).to.equal(2);
2388
3339
  });
2389
3340
 
2390
3341
  it('Test two market orders to fill one limit order', () => {
2391
3342
  const vAsk = new BN(15);
2392
3343
  const vBid = new BN(8);
2393
3344
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
2394
- const marketIndex = new BN(0);
3345
+ const marketIndex = 0;
2395
3346
 
2396
3347
  const slot = 12;
2397
3348
  const oracle = {
@@ -2407,7 +3358,7 @@ describe('DLOB Spot Tests', () => {
2407
3358
  Keypair.generate().publicKey,
2408
3359
  OrderType.LIMIT,
2409
3360
  MarketType.SPOT,
2410
- new BN(1), // orderId
3361
+ 1, // orderId
2411
3362
  marketIndex,
2412
3363
  new BN(14), // price
2413
3364
  BASE_PRECISION, // quantity
@@ -2420,7 +3371,7 @@ describe('DLOB Spot Tests', () => {
2420
3371
  Keypair.generate().publicKey,
2421
3372
  OrderType.LIMIT,
2422
3373
  MarketType.SPOT,
2423
- new BN(2), // orderId
3374
+ 2, // orderId
2424
3375
  marketIndex,
2425
3376
  new BN(13), // price
2426
3377
  BASE_PRECISION, // quantity
@@ -2433,7 +3384,7 @@ describe('DLOB Spot Tests', () => {
2433
3384
  Keypair.generate().publicKey,
2434
3385
  OrderType.LIMIT,
2435
3386
  MarketType.SPOT,
2436
- new BN(3), // orderId
3387
+ 3, // orderId
2437
3388
  marketIndex,
2438
3389
  new BN(8), // price <-- best price
2439
3390
  new BN(3).mul(BASE_PRECISION), // quantity
@@ -2445,8 +3396,6 @@ describe('DLOB Spot Tests', () => {
2445
3396
  // should have no crossing orders
2446
3397
  const nodesToFillBefore = dlob.findCrossingNodesToFill(
2447
3398
  marketIndex,
2448
- vBid,
2449
- vAsk,
2450
3399
  12, // auction over
2451
3400
  MarketType.SPOT,
2452
3401
  oracle
@@ -2459,7 +3408,7 @@ describe('DLOB Spot Tests', () => {
2459
3408
  Keypair.generate().publicKey,
2460
3409
  OrderType.MARKET,
2461
3410
  MarketType.SPOT,
2462
- new BN(4), // orderId
3411
+ 4, // orderId
2463
3412
  marketIndex,
2464
3413
  new BN(0), // price
2465
3414
  new BN(1).mul(BASE_PRECISION), // quantity
@@ -2472,7 +3421,7 @@ describe('DLOB Spot Tests', () => {
2472
3421
  Keypair.generate().publicKey,
2473
3422
  OrderType.MARKET,
2474
3423
  MarketType.SPOT,
2475
- new BN(5), // orderId
3424
+ 5, // orderId
2476
3425
  marketIndex,
2477
3426
  new BN(0), // price
2478
3427
  new BN(2).mul(BASE_PRECISION), // quantity
@@ -2483,62 +3432,19 @@ describe('DLOB Spot Tests', () => {
2483
3432
 
2484
3433
  const nodesToFillAfter = dlob.findCrossingNodesToFill(
2485
3434
  marketIndex,
2486
- vBid,
2487
- vAsk,
2488
3435
  slot, // auction over
2489
3436
  MarketType.SPOT,
2490
3437
  oracle
2491
3438
  );
2492
- const mktNodes = dlob.findMarketNodesToFill(
3439
+ const mktNodes = dlob.findExpiredMarketNodesToFill(
2493
3440
  marketIndex,
2494
3441
  slot,
2495
3442
  MarketType.SPOT
2496
3443
  );
2497
3444
  console.log(`market nodes: ${mktNodes.length}`);
2498
3445
 
2499
- const askNodes = dlob.getAsks(
2500
- marketIndex,
2501
- vAsk,
2502
- slot,
2503
- MarketType.SPOT,
2504
- oracle
2505
- );
2506
- let aa = 0;
2507
- for (const b of askNodes) {
2508
- console.log(
2509
- ` . ask: ${b.order?.orderId.toString()}: p1: ${b.order?.price.toString()} p2: ${b.getPrice(
2510
- oracle,
2511
- slot
2512
- )}, ${JSON.stringify(
2513
- b.order?.orderType
2514
- )} BAA: ${b.order?.baseAssetAmountFilled.toString()}/${b.order?.baseAssetAmount.toString()}`
2515
- );
2516
- aa++;
2517
- }
2518
- expect(aa).to.equal(3);
2519
-
2520
- const bidNodes = dlob.getBids(
2521
- marketIndex,
2522
- vBid,
2523
- slot,
2524
- MarketType.SPOT,
2525
- oracle
2526
- );
2527
- let bb = 0;
2528
- for (const b of bidNodes) {
2529
- console.log(
2530
- ` . bid: ${b.order?.orderId.toString()}: p1: ${b.order?.price.toString()} p2: ${b.getPrice(
2531
- oracle,
2532
- slot
2533
- )}, ${JSON.stringify(
2534
- b.order?.orderType
2535
- )} BAA: ${b.order?.baseAssetAmountFilled.toString()}/${b.order?.baseAssetAmount.toString()}`
2536
- );
2537
- bb++;
2538
- }
2539
- expect(bb).to.equal(2);
3446
+ printBookState(dlob, marketIndex, vBid, vAsk, slot, oracle);
2540
3447
 
2541
- console.log(`bids nodes: ${bb}`);
2542
3448
  for (const n of nodesToFillAfter) {
2543
3449
  console.log(
2544
3450
  `cross found: taker orderId: ${n.node.order?.orderId.toString()}: BAA: ${n.node.order?.baseAssetAmountFilled.toString()}/${n.node.order?.baseAssetAmount.toString()}, maker orderId: ${n.makerNode?.order?.orderId.toString()}: BAA: ${n.makerNode?.order?.baseAssetAmountFilled.toString()}/${n.makerNode?.order?.baseAssetAmount.toString()}`
@@ -2547,23 +3453,19 @@ describe('DLOB Spot Tests', () => {
2547
3453
  expect(nodesToFillAfter.length).to.equal(2);
2548
3454
 
2549
3455
  // taker should fill completely with best maker
2550
- expect(nodesToFillAfter[0].node.order?.orderId.toNumber()).to.equal(4);
2551
- expect(nodesToFillAfter[0].makerNode?.order?.orderId.toNumber()).to.equal(
2552
- 3
2553
- );
3456
+ expect(nodesToFillAfter[0].node.order?.orderId).to.equal(4);
3457
+ expect(nodesToFillAfter[0].makerNode?.order?.orderId).to.equal(3);
2554
3458
 
2555
3459
  // taker should fill completely with second best maker
2556
- expect(nodesToFillAfter[1].node.order?.orderId.toNumber()).to.equal(5);
2557
- expect(nodesToFillAfter[1].makerNode?.order?.orderId.toNumber()).to.equal(
2558
- 3
2559
- );
3460
+ expect(nodesToFillAfter[1].node.order?.orderId).to.equal(5);
3461
+ expect(nodesToFillAfter[1].makerNode?.order?.orderId).to.equal(3);
2560
3462
  });
2561
3463
 
2562
3464
  it('Test trigger orders', () => {
2563
3465
  const vAsk = new BN(15);
2564
3466
  const vBid = new BN(8);
2565
3467
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
2566
- const marketIndex = new BN(0);
3468
+ const marketIndex = 0;
2567
3469
 
2568
3470
  const slot = 20;
2569
3471
  const oracle = {
@@ -2582,7 +3484,7 @@ describe('DLOB Spot Tests', () => {
2582
3484
  Keypair.generate().publicKey,
2583
3485
  OrderType.TRIGGER_LIMIT,
2584
3486
  MarketType.SPOT,
2585
- new BN(1), //orderId
3487
+ 1, //orderId
2586
3488
  marketIndex, // marketIndex
2587
3489
  vBid, // price
2588
3490
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2598,7 +3500,7 @@ describe('DLOB Spot Tests', () => {
2598
3500
  Keypair.generate().publicKey,
2599
3501
  OrderType.TRIGGER_LIMIT,
2600
3502
  MarketType.SPOT,
2601
- new BN(2), //orderId
3503
+ 2, //orderId
2602
3504
  marketIndex, // marketIndex
2603
3505
  vBid, // price
2604
3506
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2614,7 +3516,7 @@ describe('DLOB Spot Tests', () => {
2614
3516
  Keypair.generate().publicKey,
2615
3517
  OrderType.TRIGGER_MARKET,
2616
3518
  MarketType.SPOT,
2617
- new BN(3), //orderId
3519
+ 3, //orderId
2618
3520
  marketIndex, // marketIndex
2619
3521
  vAsk, // price
2620
3522
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2630,7 +3532,7 @@ describe('DLOB Spot Tests', () => {
2630
3532
  Keypair.generate().publicKey,
2631
3533
  OrderType.TRIGGER_MARKET,
2632
3534
  MarketType.SPOT,
2633
- new BN(4), //orderId
3535
+ 4, //orderId
2634
3536
  marketIndex, // marketIndex
2635
3537
  vBid, // price
2636
3538
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2646,7 +3548,7 @@ describe('DLOB Spot Tests', () => {
2646
3548
  Keypair.generate().publicKey,
2647
3549
  OrderType.TRIGGER_LIMIT,
2648
3550
  MarketType.SPOT,
2649
- new BN(5), //orderId
3551
+ 5, //orderId
2650
3552
  marketIndex, // marketIndex
2651
3553
  vBid, // price
2652
3554
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2662,7 +3564,7 @@ describe('DLOB Spot Tests', () => {
2662
3564
  Keypair.generate().publicKey,
2663
3565
  OrderType.TRIGGER_LIMIT,
2664
3566
  MarketType.SPOT,
2665
- new BN(6), //orderId
3567
+ 6, //orderId
2666
3568
  marketIndex, // marketIndex
2667
3569
  vBid, // price
2668
3570
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2678,7 +3580,7 @@ describe('DLOB Spot Tests', () => {
2678
3580
  Keypair.generate().publicKey,
2679
3581
  OrderType.TRIGGER_MARKET,
2680
3582
  MarketType.SPOT,
2681
- new BN(7), //orderId
3583
+ 7, //orderId
2682
3584
  marketIndex, // marketIndex
2683
3585
  vBid, // price
2684
3586
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2694,7 +3596,7 @@ describe('DLOB Spot Tests', () => {
2694
3596
  Keypair.generate().publicKey,
2695
3597
  OrderType.TRIGGER_MARKET,
2696
3598
  MarketType.SPOT,
2697
- new BN(8), //orderId
3599
+ 8, //orderId
2698
3600
  marketIndex, // marketIndex
2699
3601
  vBid, // price
2700
3602
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2711,7 +3613,7 @@ describe('DLOB Spot Tests', () => {
2711
3613
  Keypair.generate().publicKey,
2712
3614
  OrderType.TRIGGER_MARKET,
2713
3615
  MarketType.SPOT,
2714
- new BN(9), //orderId
3616
+ 9, //orderId
2715
3617
  marketIndex, // marketIndex
2716
3618
  vBid, // price
2717
3619
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2727,7 +3629,7 @@ describe('DLOB Spot Tests', () => {
2727
3629
  Keypair.generate().publicKey,
2728
3630
  OrderType.TRIGGER_MARKET,
2729
3631
  MarketType.SPOT,
2730
- new BN(10), //orderId
3632
+ 10, //orderId
2731
3633
  marketIndex, // marketIndex
2732
3634
  vBid, // price
2733
3635
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2743,7 +3645,7 @@ describe('DLOB Spot Tests', () => {
2743
3645
  Keypair.generate().publicKey,
2744
3646
  OrderType.TRIGGER_MARKET,
2745
3647
  MarketType.SPOT,
2746
- new BN(11), //orderId
3648
+ 11, //orderId
2747
3649
  marketIndex, // marketIndex
2748
3650
  vBid, // price
2749
3651
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2759,7 +3661,7 @@ describe('DLOB Spot Tests', () => {
2759
3661
  Keypair.generate().publicKey,
2760
3662
  OrderType.TRIGGER_MARKET,
2761
3663
  MarketType.SPOT,
2762
- new BN(12), //orderId
3664
+ 12, //orderId
2763
3665
  marketIndex, // marketIndex
2764
3666
  vBid, // price
2765
3667
  BASE_PRECISION, // baseAssetAmount: BN,
@@ -2778,8 +3680,8 @@ describe('DLOB Spot Tests', () => {
2778
3680
  );
2779
3681
  console.log(`nodesToTriggeR: ${nodesToTrigger.length}`);
2780
3682
  for (const [idx, n] of nodesToTrigger.entries()) {
2781
- expect(n.node.order?.orderId.toNumber()).to.equal(orderIdsToTrigger[idx]);
2782
- console.log(`nodeToTrigger: ${n.node.order?.orderId.toString()}`);
3683
+ expect(n.node.order?.orderId).to.equal(orderIdsToTrigger[idx]);
3684
+ console.log(`nodeToTrigger: ${n.node.order?.orderId}`);
2783
3685
  }
2784
3686
  });
2785
3687
 
@@ -2787,7 +3689,7 @@ describe('DLOB Spot Tests', () => {
2787
3689
  const vAsk = new BN(15);
2788
3690
  const vBid = new BN(8);
2789
3691
  const dlob = new DLOB(mockPerpMarkets, mockSpotMarkets, false);
2790
- const marketIndex = new BN(0);
3692
+ const marketIndex = 0;
2791
3693
 
2792
3694
  const slot = 20;
2793
3695
  const timeInForce = 30;
@@ -2798,7 +3700,7 @@ describe('DLOB Spot Tests', () => {
2798
3700
  Keypair.generate().publicKey,
2799
3701
  OrderType.MARKET,
2800
3702
  MarketType.SPOT,
2801
- new BN(255), // orderId
3703
+ 255, // orderId
2802
3704
  marketIndex,
2803
3705
  new BN(2), // price, very low, don't cross vamm
2804
3706
  BASE_PRECISION, // quantity
@@ -2813,7 +3715,7 @@ describe('DLOB Spot Tests', () => {
2813
3715
  Keypair.generate().publicKey,
2814
3716
  OrderType.MARKET,
2815
3717
  MarketType.SPOT,
2816
- new BN(2), // orderId
3718
+ 2, // orderId
2817
3719
  marketIndex,
2818
3720
  new BN(30), // price, very high, don't cross vamm
2819
3721
  BASE_PRECISION, // quantity
@@ -2842,7 +3744,7 @@ describe('DLOB Spot Tests', () => {
2842
3744
  expect(nodesToFillBefore.length).to.equal(0);
2843
3745
 
2844
3746
  // should get order to fill after timeInForce
2845
- const slot1 = slot0 + timeInForce; // overshoots expiry
3747
+ const slot1 = slot0 + timeInForce * 2; // overshoots expiry
2846
3748
  const nodesToFillAfter = dlob.findNodesToFill(
2847
3749
  marketIndex,
2848
3750
  vBid,