@drift-labs/sdk 0.2.0-temp.2 → 2.0.1

package/src/dlob/DLOB.ts

@@ -0,0 +1,1120 @@
+import { getOrderSignature, getVammNodeGenerator, NodeList } from './NodeList';
+import {
+	MarketType,
+	BN,
+	calculateAskPrice,
+	calculateBidPrice,
+	DriftClient,
+	convertToNumber,
+	isAuctionComplete,
+	isOrderExpired,
+	isOneOfVariant,
+	isVariant,
+	getVariant,
+	Order,
+	PRICE_PRECISION,
+	SpotMarketAccount,
+	PerpMarketAccount,
+	OraclePriceData,
+	SlotSubscriber,
+	UserMapInterface,
+	MarketTypeStr,
+	StateAccount,
+	isMarketOrder,
+	isLimitOrder,
+	getOptionalLimitPrice,
+	mustBeTriggered,
+	isTriggered,
+} from '..';
+import { PublicKey } from '@solana/web3.js';
+import { DLOBNode, DLOBNodeType, TriggerOrderNode } from '..';
+import { ammPaused, exchangePaused, fillPaused } from '../math/exchangeStatus';
+
+export type MarketNodeLists = {
+	limit: {
+		ask: NodeList<'limit'>;
+		bid: NodeList<'limit'>;
+	};
+	floatingLimit: {
+		ask: NodeList<'floatingLimit'>;
+		bid: NodeList<'floatingLimit'>;
+	};
+	market: {
+		ask: NodeList<'market'>;
+		bid: NodeList<'market'>;
+	};
+	trigger: {
+		above: NodeList<'trigger'>;
+		below: NodeList<'trigger'>;
+	};
+};
+
+type OrderBookCallback = () => void;
+
+export type NodeToFill = {
+	node: DLOBNode;
+	makerNode?: DLOBNode;
+};
+
+export type NodeToTrigger = {
+	node: TriggerOrderNode;
+};
+
+type Side = 'ask' | 'bid' | 'both' | 'nocross';
+
+export class DLOB {
+	openOrders = new Map<MarketTypeStr, Set<string>>();
+	orderLists = new Map<MarketTypeStr, Map<number, MarketNodeLists>>();
+	stateAccount: StateAccount;
+	marketIndexToAccount = new Map<
+		MarketTypeStr,
+		Map<number, PerpMarketAccount | SpotMarketAccount>
+	>();
+
+	userMap: UserMapInterface;
+	silent = false;
+	initialized = false;
+
+	/**
+	 *
+	 * @param perpMarkets The perp markets to maintain a DLOB for
+	 * @param spotMarkets The spot markets to maintain a DLOB for
+	 * @param userMap map of all users
+	 * @param silent set to true to prevent logging on inserts and removals
+	 */
+	public constructor(
+		perpMarkets: PerpMarketAccount[],
+		spotMarkets: SpotMarketAccount[],
+		stateAccount: StateAccount,
+		userMap: UserMapInterface,
+		silent?: boolean
+	) {
+		this.stateAccount = stateAccount;
+		this.userMap = userMap;
+		this.silent = silent;
+
+		this.openOrders.set('perp', new Set<string>());
+		this.openOrders.set('spot', new Set<string>());
+		this.orderLists.set('perp', new Map<number, MarketNodeLists>());
+		this.orderLists.set('spot', new Map<number, MarketNodeLists>());
+		this.marketIndexToAccount.set('perp', new Map<number, PerpMarketAccount>());
+		this.marketIndexToAccount.set('spot', new Map<number, SpotMarketAccount>());
+
+		for (const market of perpMarkets) {
+			const marketIndex = market.marketIndex;
+			this.marketIndexToAccount.get('perp').set(marketIndex, market);
+
+			this.orderLists.get('perp').set(marketIndex, {
+				limit: {
+					ask: new NodeList('limit', 'asc'),
+					bid: new NodeList('limit', 'desc'),
+				},
+				floatingLimit: {
+					ask: new NodeList('floatingLimit', 'asc'),
+					bid: new NodeList('floatingLimit', 'desc'),
+				},
+				market: {
+					ask: new NodeList('market', 'asc'),
+					bid: new NodeList('market', 'asc'), // always sort ascending for market orders
+				},
+				trigger: {
+					above: new NodeList('trigger', 'asc'),
+					below: new NodeList('trigger', 'desc'),
+				},
+			});
+		}
+		for (const market of spotMarkets) {
+			const marketIndex = market.marketIndex;
+			this.marketIndexToAccount.get('spot').set(marketIndex, market);
+
+			this.orderLists.get('spot').set(marketIndex, {
+				limit: {
+					ask: new NodeList('limit', 'asc'),
+					bid: new NodeList('limit', 'desc'),
+				},
+				floatingLimit: {
+					ask: new NodeList('floatingLimit', 'asc'),
+					bid: new NodeList('floatingLimit', 'desc'),
+				},
+				market: {
+					ask: new NodeList('market', 'asc'),
+					bid: new NodeList('market', 'asc'), // always sort ascending for market orders
+				},
+				trigger: {
+					above: new NodeList('trigger', 'asc'),
+					below: new NodeList('trigger', 'desc'),
+				},
+			});
+		}
+	}
+
+	public clear() {
+		for (const marketType of this.openOrders.keys()) {
+			this.openOrders.get(marketType).clear();
+		}
+		this.openOrders.clear();
+
+		for (const marketType of this.orderLists.keys()) {
+			for (const marketIndex of this.orderLists.get(marketType).keys()) {
+				const marketNodeLists = this.orderLists
+					.get(marketType)
+					.get(marketIndex);
+				for (const side of Object.keys(marketNodeLists)) {
+					for (const orderType of Object.keys(marketNodeLists[side])) {
+						marketNodeLists[side][orderType].clear();
+					}
+				}
+			}
+		}
+		this.orderLists.clear();
+
+		for (const marketType of this.marketIndexToAccount.keys()) {
+			this.marketIndexToAccount.get(marketType).clear();
+		}
+		this.marketIndexToAccount.clear();
+	}
+
+	/**
+	 * initializes a new DLOB instance
+	 *
+	 * @returns a promise that resolves when the DLOB is initialized
+	 */
+	public async init(): Promise<boolean> {
+		if (this.initialized) {
+			return false;
+		}
+
+		// initialize the dlob with the user map (prevents hitting getProgramAccounts)
+		for (const user of this.userMap.values()) {
+			const userAccount = user.getUserAccount();
+			const userAccountPubkey = user.getUserAccountPublicKey();
+
+			for (const order of userAccount.orders) {
+				this.insertOrder(order, userAccountPubkey);
+			}
+		}
+
+		this.initialized = true;
+		return true;
+	}
+
+	public insertOrder(
+		order: Order,
+		userAccount: PublicKey,
+		onInsert?: OrderBookCallback
+	): void {
+		if (isVariant(order.status, 'init')) {
+			return;
+		}
+
+		const marketType = getVariant(order.marketType) as MarketTypeStr;
+
+		if (isVariant(order.status, 'open')) {
+			this.openOrders
+				.get(marketType)
+				.add(getOrderSignature(order.orderId, userAccount));
+		}
+		this.getListForOrder(order)?.insert(
+			order,
+			marketType,
+			this.marketIndexToAccount.get(marketType).get(order.marketIndex),
+			userAccount
+		);
+
+		if (onInsert) {
+			onInsert();
+		}
+	}
+
+	public trigger(
+		order: Order,
+		userAccount: PublicKey,
+		onTrigger?: OrderBookCallback
+	): void {
+		if (isVariant(order.status, 'init')) {
+			return;
+		}
+
+		const marketType = getVariant(order.marketType) as MarketTypeStr;
+
+		const triggerList = this.orderLists.get(marketType).get(order.marketIndex)
+			.trigger[isVariant(order.triggerCondition, 'above') ? 'above' : 'below'];
+		triggerList.remove(order, userAccount);
+
+		this.getListForOrder(order)?.insert(
+			order,
+			marketType,
+			this.marketIndexToAccount.get(marketType).get(order.marketIndex),
+			userAccount
+		);
+		if (onTrigger) {
+			onTrigger();
+		}
+	}
+
+	public getListForOrder(order: Order): NodeList<any> | undefined {
+		const isInactiveTriggerOrder =
+			mustBeTriggered(order) && !isTriggered(order);
+
+		let type: DLOBNodeType;
+		if (isInactiveTriggerOrder) {
+			type = 'trigger';
+		} else if (isOneOfVariant(order.orderType, ['market', 'triggerMarket'])) {
+			type = 'market';
+		} else if (order.oraclePriceOffset !== 0) {
+			type = 'floatingLimit';
+		} else {
+			type = 'limit';
+		}
+
+		let subType: string;
+		if (isInactiveTriggerOrder) {
+			subType = isVariant(order.triggerCondition, 'above') ? 'above' : 'below';
+		} else {
+			subType = isVariant(order.direction, 'long') ? 'bid' : 'ask';
+		}
+
+		const marketType = getVariant(order.marketType) as MarketTypeStr;
+
+		if (!this.orderLists.has(marketType)) {
+			return undefined;
+		}
+
+		return this.orderLists.get(marketType).get(order.marketIndex)[type][
+			subType
+		];
+	}
+
+	public findNodesToFill(
+		marketIndex: number,
+		fallbackBid: BN | undefined,
+		fallbackAsk: BN | undefined,
+		slot: number,
+		ts: number,
+		marketType: MarketType,
+		oraclePriceData: OraclePriceData
+	): NodeToFill[] {
+		const marketAccount = this.marketIndexToAccount
+			.get(getVariant(marketType) as MarketTypeStr)
+			.get(marketIndex);
+
+		if (fillPaused(this.stateAccount, marketAccount)) {
+			return [];
+		}
+
+		// Find all the crossing nodes
+		const crossingNodesToFill: Array<NodeToFill> = this.findCrossingNodesToFill(
+			marketIndex,
+			slot,
+			marketType,
+			oraclePriceData
+		);
+
+		let fallbackCrossingNodesToFill = new Array<NodeToFill>();
+		if (!ammPaused(this.stateAccount, marketAccount)) {
+			fallbackCrossingNodesToFill = this.findFallbackCrossingNodesToFill(
+				marketIndex,
+				fallbackBid,
+				fallbackAsk,
+				slot,
+				marketType,
+				oraclePriceData
+			);
+		}
+
+		// get expired market nodes
+		const expiredNodesToFill = this.findExpiredNodesToFill(
+			marketIndex,
+			ts,
+			marketType
+		);
+		return crossingNodesToFill.concat(
+			fallbackCrossingNodesToFill,
+			expiredNodesToFill
+		);
+	}
+
+	public findCrossingNodesToFill(
+		marketIndex: number,
+		slot: number,
+		marketType: MarketType,
+		oraclePriceData: OraclePriceData
+	): NodeToFill[] {
+		const nodesToFill = new Array<NodeToFill>();
+
+		const askGenerator = this.getAsks(
+			marketIndex,
+			undefined, // dont include vask
+			slot,
+			marketType,
+			oraclePriceData
+		);
+		const bidGenerator = this.getBids(
+			marketIndex,
+			undefined, // dont include vbid
+			slot,
+			marketType,
+			oraclePriceData
+		);
+
+		let nextAsk = askGenerator.next();
+		let nextBid = bidGenerator.next();
+
+		// First try to find orders that cross
+		while (!nextAsk.done && !nextBid.done) {
+			const { crossingNodes, exhaustedSide } = this.findCrossingOrders(
+				nextAsk.value,
+				nextBid.value,
+				oraclePriceData,
+				slot
+			);
+
+			if (exhaustedSide === 'bid') {
+				nextBid = bidGenerator.next();
+			} else if (exhaustedSide === 'ask') {
+				nextAsk = askGenerator.next();
+			} else if (exhaustedSide === 'both') {
+				nextBid = bidGenerator.next();
+				nextAsk = askGenerator.next();
+			} else if (exhaustedSide === 'nocross') {
+				break;
+			} else {
+				console.error(`invalid exhaustedSide: ${exhaustedSide}`);
+				break;
+			}
+
+			for (const crossingNode of crossingNodes) {
+				nodesToFill.push(crossingNode);
+			}
+		}
+		return nodesToFill;
+	}
+
+	public findFallbackCrossingNodesToFill(
+		marketIndex: number,
+		fallbackBid: BN,
+		fallbackAsk: BN,
+		slot: number,
+		marketType: MarketType,
+		oraclePriceData: OraclePriceData
+	): NodeToFill[] {
+		const nodesToFill = new Array<NodeToFill>();
+
+		const askGenerator = this.getAsks(
+			marketIndex,
+			undefined, // dont include vask
+			slot,
+			marketType,
+			oraclePriceData
+		);
+		const bidGenerator = this.getBids(
+			marketIndex,
+			undefined, // dont include vbid
+			slot,
+			marketType,
+			oraclePriceData
+		);
+
+		let nextAsk = askGenerator.next();
+		let nextBid = bidGenerator.next();
+
+		// check for asks that cross fallbackBid
+		while (!nextAsk.done && fallbackBid !== undefined) {
+			const askNode = nextAsk.value;
+
+			if (isVariant(marketType, 'spot') && askNode.order?.postOnly) {
+				nextAsk = askGenerator.next();
+				continue;
+			}
+
+			const askLimitPrice = getOptionalLimitPrice(
+				askNode.order,
+				oraclePriceData,
+				slot
+			);
+
+			// order crosses if there is no limit price or it crosses fallback price
+			const crosses =
+				askLimitPrice === undefined || askLimitPrice.lte(fallbackBid);
+
+			// fallback is available if auction is complete or it's a spot order
+			const fallbackAvailable =
+				isVariant(marketType, 'spot') || isAuctionComplete(askNode.order, slot);
+
+			if (crosses && fallbackAvailable) {
+				nodesToFill.push({
+					node: askNode,
+					makerNode: undefined, // filled by fallback
+				});
+			}
+
+			nextAsk = askGenerator.next();
+		}
+
+		// check for bids that cross fallbackAsk
+		while (!nextBid.done && fallbackAsk !== undefined) {
+			const bidNode = nextBid.value;
+
+			if (isVariant(marketType, 'spot') && bidNode.order?.postOnly) {
+				nextBid = bidGenerator.next();
+				continue;
+			}
+
+			const bidLimitPrice = getOptionalLimitPrice(
+				bidNode.order,
+				oraclePriceData,
+				slot
+			);
+
+			// order crosses if there is no limit price or it crosses fallback price
+			const crosses =
+				bidLimitPrice === undefined || bidLimitPrice.gte(fallbackAsk);
+
+			// fallback is available if auction is complete or it's a spot order
+			const fallbackAvailable =
+				isVariant(marketType, 'spot') || isAuctionComplete(bidNode.order, slot);
+
+			if (crosses && fallbackAvailable) {
+				nodesToFill.push({
+					node: bidNode,
+					makerNode: undefined, // filled by fallback
+				});
+			}
+
+			nextBid = bidGenerator.next();
+		}
+
+		return nodesToFill;
+	}
+
+	public findExpiredNodesToFill(
+		marketIndex: number,
+		ts: number,
+		marketType: MarketType
+	): NodeToFill[] {
+		const nodesToFill = new Array<NodeToFill>();
+
+		const marketTypeStr = getVariant(marketType) as MarketTypeStr;
+		const nodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+
+		// All bids/asks that can expire
+		const bidGenerators = [
+			nodeLists.limit.bid.getGenerator(),
+			nodeLists.floatingLimit.bid.getGenerator(),
+			nodeLists.market.bid.getGenerator(),
+		];
+		const askGenerators = [
+			nodeLists.limit.ask.getGenerator(),
+			nodeLists.floatingLimit.ask.getGenerator(),
+			nodeLists.market.ask.getGenerator(),
+		];
+
+		for (const bidGenerator of bidGenerators) {
+			for (const bid of bidGenerator) {
+				if (isOrderExpired(bid.order, ts)) {
+					nodesToFill.push({
+						node: bid,
+					});
+				}
+			}
+		}
+
+		for (const askGenerator of askGenerators) {
+			for (const ask of askGenerator) {
+				if (isOrderExpired(ask.order, ts)) {
+					nodesToFill.push({
+						node: ask,
+					});
+				}
+			}
+		}
+
+		return nodesToFill;
+	}
+
+	public findJitAuctionNodesToFill(
+		marketIndex: number,
+		slot: number,
+		marketType: MarketType
+	): NodeToFill[] {
+		const nodesToFill = new Array<NodeToFill>();
+		// Then see if there are orders still in JIT auction
+		for (const marketBid of this.getMarketBids(marketIndex, marketType)) {
+			if (!isAuctionComplete(marketBid.order, slot)) {
+				nodesToFill.push({
+					node: marketBid,
+				});
+			}
+		}
+
+		for (const marketAsk of this.getMarketAsks(marketIndex, marketType)) {
+			if (!isAuctionComplete(marketAsk.order, slot)) {
+				nodesToFill.push({
+					node: marketAsk,
+				});
+			}
+		}
+		return nodesToFill;
+	}
+
+	public getMarketBids(
+		marketIndex: number,
+		marketType: MarketType
+	): Generator<DLOBNode> {
+		const marketTypeStr = getVariant(marketType) as MarketTypeStr;
+		return this.orderLists
+			.get(marketTypeStr)
+			.get(marketIndex)
+			.market.bid.getGenerator();
+	}
+
+	public getMarketAsks(
+		marketIndex: number,
+		marketType: MarketType
+	): Generator<DLOBNode> {
+		const marketTypeStr = getVariant(marketType) as MarketTypeStr;
+		return this.orderLists
+			.get(marketTypeStr)
+			.get(marketIndex)
+			.market.ask.getGenerator();
+	}
+
+	*getAsks(
+		marketIndex: number,
+		fallbackAsk: BN | undefined,
+		slot: number,
+		marketType: MarketType,
+		oraclePriceData: OraclePriceData
+	): Generator<DLOBNode> {
+		if (isVariant(marketType, 'spot') && !oraclePriceData) {
+			throw new Error('Must provide OraclePriceData to get spot asks');
+		}
+		const marketTypeStr = getVariant(marketType) as MarketTypeStr;
+		const nodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+
+		const generatorList = [
+			nodeLists.limit.ask.getGenerator(),
+			nodeLists.floatingLimit.ask.getGenerator(),
+			nodeLists.market.ask.getGenerator(),
+		];
+
+		if (marketTypeStr === 'perp' && fallbackAsk) {
+			generatorList.push(getVammNodeGenerator(fallbackAsk));
+		}
+		if (generatorList.length === 0) {
+			throw new Error('No ask generators found');
+		}
+
+		const askGenerators = generatorList.map((generator) => {
+			return {
+				next: generator.next(),
+				generator,
+			};
+		});
+
+		let asksExhausted = false;
+		while (!asksExhausted) {
+			const bestGenerator = askGenerators.reduce(
+				(bestGenerator, currentGenerator) => {
+					if (currentGenerator.next.done) {
+						return bestGenerator;
+					}
+
+					if (bestGenerator.next.done) {
+						return currentGenerator;
+					}
+
+					const bestAskPrice = bestGenerator.next.value.getPrice(
+						oraclePriceData,
+						slot
+					);
+					const currentAskPrice = currentGenerator.next.value.getPrice(
+						oraclePriceData,
+						slot
+					);
+
+					return bestAskPrice.lt(currentAskPrice)
+						? bestGenerator
+						: currentGenerator;
+				}
+			);
+
+			if (!bestGenerator.next.done) {
+				// skip this node if it's already completely filled
+				if (bestGenerator.next.value.isBaseFilled()) {
+					bestGenerator.next = bestGenerator.generator.next();
+					continue;
+				}
+
+				// skip order if user is being liquidated/bankrupt
+				if (bestGenerator.next.value.userAccount !== undefined) {
+					const user = this.userMap.get(
+						bestGenerator.next.value.userAccount.toString()
+					);
+					if (user?.isBeingLiquidated()) {
+						bestGenerator.next = bestGenerator.generator.next();
+						continue;
+					}
+				}
+
+				yield bestGenerator.next.value;
+				bestGenerator.next = bestGenerator.generator.next();
+			} else {
+				asksExhausted = true;
+			}
+		}
+	}
+
+	*getBids(
+		marketIndex: number,
+		fallbackBid: BN | undefined,
+		slot: number,
+		marketType: MarketType,
+		oraclePriceData: OraclePriceData
+	): Generator<DLOBNode> {
+		if (isVariant(marketType, 'spot') && !oraclePriceData) {
+			throw new Error('Must provide OraclePriceData to get spot bids');
+		}
+
+		const marketTypeStr = getVariant(marketType) as MarketTypeStr;
+		const nodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+
+		const generatorList = [
+			nodeLists.limit.bid.getGenerator(),
+			nodeLists.floatingLimit.bid.getGenerator(),
+			nodeLists.market.bid.getGenerator(),
+		];
+		if (marketTypeStr === 'perp' && fallbackBid) {
+			generatorList.push(getVammNodeGenerator(fallbackBid));
+		}
+		if (generatorList.length === 0) {
+			throw new Error('No bid generators found');
+		}
+
+		const bidGenerators = generatorList.map((generator) => {
+			return {
+				next: generator.next(),
+				generator,
+			};
+		});
+
+		let bidsExhausted = false; // there will always be the fallbackBid
+		while (!bidsExhausted) {
+			const bestGenerator = bidGenerators.reduce(
+				(bestGenerator, currentGenerator) => {
+					if (currentGenerator.next.done) {
+						return bestGenerator;
+					}
+
+					if (bestGenerator.next.done) {
+						return currentGenerator;
+					}
+
+					const bestBidPrice = bestGenerator.next.value.getPrice(
+						oraclePriceData,
+						slot
+					);
+					const currentBidPrice = currentGenerator.next.value.getPrice(
+						oraclePriceData,
+						slot
+					);
+
+					return bestBidPrice.gt(currentBidPrice)
+						? bestGenerator
+						: currentGenerator;
+				}
+			);
+
+			if (!bestGenerator.next.done) {
+				// skip this node if it's already completely filled
+				if (bestGenerator.next.value.isBaseFilled()) {
+					bestGenerator.next = bestGenerator.generator.next();
+					continue;
+				}
+
+				// skip order if user is being liquidated/bankrupt
+				if (bestGenerator.next.value.userAccount !== undefined) {
+					const user = this.userMap.get(
+						bestGenerator.next.value.userAccount.toString()
+					);
+					if (user?.isBeingLiquidated()) {
+						bestGenerator.next = bestGenerator.generator.next();
+						continue;
+					}
+				}
+
+				yield bestGenerator.next.value;
+				bestGenerator.next = bestGenerator.generator.next();
+			} else {
+				bidsExhausted = true;
+			}
+		}
+	}
+
+	findCrossingOrders(
+		askNode: DLOBNode,
+		bidNode: DLOBNode,
+		oraclePriceData: OraclePriceData,
+		slot: number
+	): {
+		crossingNodes: NodeToFill[];
+		exhaustedSide: Side;
+	} {
+		const bidPrice = bidNode.getPrice(oraclePriceData, slot);
+		const askPrice = askNode.getPrice(oraclePriceData, slot);
+
+		// orders don't cross - we're done walkin gup the book
+		if (bidPrice.lt(askPrice)) {
+			return {
+				crossingNodes: [],
+				exhaustedSide: 'nocross',
+			};
+		}
+
+		const bidOrder = bidNode.order;
+		const askOrder = askNode.order;
+
+		const bidUserAuthority = this.userMap.getUserAuthority(
+			bidNode.userAccount.toString()
+		);
+		const askUserAuthority = this.userMap.getUserAuthority(
+			askNode.userAccount.toString()
+		);
+
+		// Can't match orders from the same authority
+		const sameAuthority = bidUserAuthority.equals(askUserAuthority);
+		if (sameAuthority || (bidOrder.postOnly && askOrder.postOnly)) {
+			// don't have a principle way to pick which one to exhaust,
+			// exhaust each one 50% of the time so we can try each one against other orders
+			const exhaustedSide = Math.random() < 0.5 ? 'bid' : 'ask';
+			return {
+				crossingNodes: [],
+				exhaustedSide,
+			};
+		}
+
+		const { takerNode, makerNode, makerSide } = this.determineMakerAndTaker(
+			askNode,
+			bidNode
+		);
+
+		// If maker is market order and auction is complete, cant be maker
+		if (
+			isMarketOrder(makerNode.order) &&
+			isAuctionComplete(makerNode.order, slot)
+		) {
+			return {
+				crossingNodes: [],
+				exhaustedSide: makerSide,
+			};
+		}
+
+		const bidBaseRemaining = bidOrder.baseAssetAmount.sub(
+			bidOrder.baseAssetAmountFilled
+		);
+		const askBaseRemaining = askOrder.baseAssetAmount.sub(
+			askOrder.baseAssetAmountFilled
+		);
+
+		let exhaustedSide: Side;
+		if (bidBaseRemaining.eq(askBaseRemaining)) {
+			exhaustedSide = 'both';
+		} else if (bidBaseRemaining.gt(askBaseRemaining)) {
+			exhaustedSide = 'ask';
+		} else {
+			exhaustedSide = 'bid';
+		}
+
+		// update the orders on DLOB as if they were fill - so we don't try to match them on the next iteration
+		// NOTE: if something goes wrong during the actual fill (transaction fails, i.e. due to orders already being filled)
+		// then we risk having a mismatch between this local DLOB and the actual DLOB state on the blockchain. This isn't
+		// a problem in the current implementation because we construct a new DLOB from the blockchain state every time, rather
+		// than updating the existing DLOB based on events.
+		if (exhaustedSide === 'ask') {
+			// bid partially filled
+			const newBidOrder = { ...bidOrder };
+			newBidOrder.baseAssetAmountFilled =
+				bidOrder.baseAssetAmountFilled.add(askBaseRemaining);
+			this.getListForOrder(newBidOrder).update(
+				newBidOrder,
+				bidNode.userAccount
+			);
+
+			// ask completely filled
+			const newAskOrder = { ...askOrder };
+			newAskOrder.baseAssetAmountFilled = askOrder.baseAssetAmount;
+			this.getListForOrder(newAskOrder).update(
+				newAskOrder,
+				askNode.userAccount
+			);
+		} else if (exhaustedSide === 'bid') {
+			// ask partially filled
+			const newAskOrder = { ...askOrder };
+			newAskOrder.baseAssetAmountFilled =
+				askOrder.baseAssetAmountFilled.add(bidBaseRemaining);
+			this.getListForOrder(newAskOrder).update(
+				newAskOrder,
+				askNode.userAccount
+			);
+
+			// bid completely filled
+			const newBidOrder = { ...bidOrder };
+			newBidOrder.baseAssetAmountFilled = bidOrder.baseAssetAmount;
+			this.getListForOrder(newBidOrder).update(
+				newBidOrder,
+				bidNode.userAccount
+			);
+		} else {
+			// both completely filled
+			const newBidOrder = { ...bidOrder };
+			newBidOrder.baseAssetAmountFilled = bidOrder.baseAssetAmount;
+			this.getListForOrder(newBidOrder).update(
+				newBidOrder,
+				bidNode.userAccount
+			);
+
+			const newAskOrder = { ...askOrder };
+			newAskOrder.baseAssetAmountFilled = askOrder.baseAssetAmount;
+			this.getListForOrder(newAskOrder).update(
+				newAskOrder,
+				askNode.userAccount
+			);
+		}
+
+		return {
+			crossingNodes: [
+				{
+					node: takerNode,
+					makerNode: makerNode,
+				},
+			],
+			exhaustedSide,
+		};
+	}
+
+	determineMakerAndTaker(
+		askNode: DLOBNode,
+		bidNode: DLOBNode
+	): { takerNode: DLOBNode; makerNode: DLOBNode; makerSide: Side } {
+		if (bidNode.order.postOnly) {
+			return {
+				takerNode: askNode,
+				makerNode: bidNode,
+				makerSide: 'bid',
+			};
+		} else if (askNode.order.postOnly) {
+			return {
+				takerNode: bidNode,
+				makerNode: askNode,
+				makerSide: 'ask',
+			};
+		} else if (isMarketOrder(bidNode.order) && isLimitOrder(askNode.order)) {
+			return {
+				takerNode: bidNode,
+				makerNode: askNode,
+				makerSide: 'ask',
+			};
+		} else if (isMarketOrder(askNode.order) && isLimitOrder(bidNode.order)) {
+			return {
+				takerNode: askNode,
+				makerNode: bidNode,
+				makerSide: 'bid',
+			};
+		} else if (askNode.order.slot.lt(bidNode.order.slot)) {
+			return {
+				takerNode: bidNode,
+				makerNode: askNode,
+				makerSide: 'ask',
+			};
+		} else {
+			return {
+				takerNode: askNode,
+				makerNode: bidNode,
+				makerSide: 'bid',
+			};
+		}
+	}
+
+	public getBestAsk(
+		marketIndex: number,
+		fallbackAsk: BN | undefined,
+		slot: number,
+		marketType: MarketType,
+		oraclePriceData: OraclePriceData
+	): BN {
+		return this.getAsks(
+			marketIndex,
+			fallbackAsk,
+			slot,
+			marketType,
+			oraclePriceData
+		)
+			.next()
+			.value.getPrice(oraclePriceData, slot);
+	}
+
+	public getBestBid(
+		marketIndex: number,
+		fallbackBid: BN | undefined,
+		slot: number,
+		marketType: MarketType,
+		oraclePriceData: OraclePriceData
+	): BN {
+		return this.getBids(
+			marketIndex,
+			fallbackBid,
+			slot,
+			marketType,
+			oraclePriceData
+		)
+			.next()
+			.value.getPrice(oraclePriceData, slot);
+	}
+
+	public findNodesToTrigger(
+		marketIndex: number,
+		slot: number,
+		oraclePrice: BN,
+		marketType: MarketType
+	): NodeToTrigger[] {
+		if (exchangePaused(this.stateAccount)) {
+			return [];
+		}
+
+		const nodesToTrigger = [];
+		const marketTypeStr = getVariant(marketType) as MarketTypeStr;
+		for (const node of this.orderLists
+			.get(marketTypeStr)
+			.get(marketIndex)
+			.trigger.above.getGenerator()) {
+			if (oraclePrice.gt(node.order.triggerPrice)) {
+				if (isAuctionComplete(node.order, slot)) {
+					nodesToTrigger.push({
+						node: node,
+					});
+				}
+			} else {
+				break;
+			}
+		}
+
+		for (const node of this.orderLists
+			.get(marketTypeStr)
+			.get(marketIndex)
+			.trigger.below.getGenerator()) {
+			if (oraclePrice.lt(node.order.triggerPrice)) {
+				if (isAuctionComplete(node.order, slot)) {
+					nodesToTrigger.push({
+						node: node,
+					});
+				}
+			} else {
+				break;
+			}
+		}
+
+		return nodesToTrigger;
+	}
+
+	public printTopOfOrderLists(
+		sdkConfig: any,
+		driftClient: DriftClient,
+		slotSubscriber: SlotSubscriber,
+		marketIndex: number,
+		marketType: MarketType
+	) {
+		if (isVariant(marketType, 'perp')) {
+			const market = driftClient.getPerpMarketAccount(marketIndex);
+
+			const slot = slotSubscriber.getSlot();
+			const oraclePriceData =
+				driftClient.getOracleDataForPerpMarket(marketIndex);
+			const fallbackAsk = calculateAskPrice(market, oraclePriceData);
+			const fallbackBid = calculateBidPrice(market, oraclePriceData);
+
+			const bestAsk = this.getBestAsk(
+				marketIndex,
+				fallbackAsk,
+				slot,
+				marketType,
+				oraclePriceData
+			);
+			const bestBid = this.getBestBid(
+				marketIndex,
+				fallbackBid,
+				slot,
+				marketType,
+				oraclePriceData
+			);
+			const mid = bestAsk.add(bestBid).div(new BN(2));
+
+			const bidSpread =
+				(convertToNumber(bestBid, PRICE_PRECISION) /
+					convertToNumber(oraclePriceData.price, PRICE_PRECISION) -
+					1) *
+				100.0;
+			const askSpread =
+				(convertToNumber(bestAsk, PRICE_PRECISION) /
+					convertToNumber(oraclePriceData.price, PRICE_PRECISION) -
+					1) *
+				100.0;
+
+			console.log(`Market ${sdkConfig.MARKETS[marketIndex].symbol} Orders`);
+			console.log(
+				`  Ask`,
+				convertToNumber(bestAsk, PRICE_PRECISION).toFixed(3),
+				`(${askSpread.toFixed(4)}%)`
+			);
+			console.log(`  Mid`, convertToNumber(mid, PRICE_PRECISION).toFixed(3));
+			console.log(
+				`  Bid`,
+				convertToNumber(bestBid, PRICE_PRECISION).toFixed(3),
+				`(${bidSpread.toFixed(4)}%)`
+			);
+		} else if (isVariant(marketType, 'spot')) {
+			const slot = slotSubscriber.getSlot();
+			const oraclePriceData =
+				driftClient.getOracleDataForPerpMarket(marketIndex);
+
+			const bestAsk = this.getBestAsk(
+				marketIndex,
+				undefined,
+				slot,
+				marketType,
+				oraclePriceData
+			);
+			const bestBid = this.getBestBid(
+				marketIndex,
+				undefined,
+				slot,
+				marketType,
+				oraclePriceData
+			);
+			const mid = bestAsk.add(bestBid).div(new BN(2));
+
+			const bidSpread =
+				(convertToNumber(bestBid, PRICE_PRECISION) /
+					convertToNumber(oraclePriceData.price, PRICE_PRECISION) -
+					1) *
+				100.0;
+			const askSpread =
+				(convertToNumber(bestAsk, PRICE_PRECISION) /
+					convertToNumber(oraclePriceData.price, PRICE_PRECISION) -
+					1) *
+				100.0;
+
+			console.log(`Market ${sdkConfig.MARKETS[marketIndex].symbol} Orders`);
+			console.log(
+				`  Ask`,
+				convertToNumber(bestAsk, PRICE_PRECISION).toFixed(3),
+				`(${askSpread.toFixed(4)}%)`
+			);
+			console.log(`  Mid`, convertToNumber(mid, PRICE_PRECISION).toFixed(3));
+			console.log(
+				`  Bid`,
+				convertToNumber(bestBid, PRICE_PRECISION).toFixed(3),
+				`(${bidSpread.toFixed(4)}%)`
+			);
+		}
+	}
+}