@drift-labs/sdk 2.126.0-beta.6 → 2.126.0-beta.7

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Files changed (10) hide show
  1. package/VERSION +1 -1
  2. package/lib/browser/dlob/DLOB.d.ts +1 -0
  3. package/lib/browser/dlob/DLOB.js +11 -2
  4. package/lib/node/dlob/DLOB.d.ts +1 -0
  5. package/lib/node/dlob/DLOB.d.ts.map +1 -1
  6. package/lib/node/dlob/DLOB.js +11 -2
  7. package/package.json +1 -1
  8. package/src/dlob/DLOB.ts +25 -2
  9. package/tests/dlob/helpers.ts +1 -0
  10. package/tests/dlob/test.ts +283 -0
package/VERSION CHANGED
@@ -1 +1 @@
1
- 2.126.0-beta.6
1
+ 2.126.0-beta.7
package/lib/browser/dlob/DLOB.d.ts CHANGED
@@ -89,6 +89,7 @@ export declare class DLOB {
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  findExpiredNodesToFill(marketIndex: number, ts: number, marketType: MarketType, slot?: BN): NodeToFill[];
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  getTakingBids(marketIndex: number, marketType: MarketType, slot: number, oraclePriceData: OraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
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  getTakingAsks(marketIndex: number, marketType: MarketType, slot: number, oraclePriceData: OraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
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+ protected signedMsgGenerator(signedMsgOrderList: NodeList<'signedMsg'>, filter: (x: DLOBNode) => boolean): Generator<DLOBNode>;
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  protected getBestNode(generatorList: Array<Generator<DLOBNode>>, oraclePriceData: OraclePriceData, slot: number, compareFcn: (bestDLOBNode: DLOBNode, currentDLOBNode: DLOBNode, slot: number, oraclePriceData: OraclePriceData) => boolean, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
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  getRestingLimitAsks(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
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  getRestingLimitBids(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
package/lib/browser/dlob/DLOB.js CHANGED
@@ -517,7 +517,7 @@ class DLOB {
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  const generatorList = [
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  orderLists.market.bid.getGenerator(),
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  orderLists.takingLimit.bid.getGenerator(),
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- orderLists.signedMsg.bid.getGenerator(),
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+ this.signedMsgGenerator(orderLists.signedMsg.bid, (x) => !(0, __1.isRestingLimitOrder)(x.order, slot)),
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  ];
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  yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode) => {
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  return bestNode.order.slot.lt(currentNode.order.slot);
@@ -533,12 +533,19 @@ class DLOB {
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  const generatorList = [
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  orderLists.market.ask.getGenerator(),
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  orderLists.takingLimit.ask.getGenerator(),
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- orderLists.signedMsg.ask.getGenerator(),
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+ this.signedMsgGenerator(orderLists.signedMsg.ask, (x) => !(0, __1.isRestingLimitOrder)(x.order, slot)),
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  ];
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  yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode) => {
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  return bestNode.order.slot.lt(currentNode.order.slot);
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  }, filterFcn);
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  }
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+ *signedMsgGenerator(signedMsgOrderList, filter) {
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+ for (const signedMsgOrder of signedMsgOrderList.getGenerator()) {
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+ if (filter(signedMsgOrder)) {
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+ yield signedMsgOrder;
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+ }
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+ }
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+ }
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  *getBestNode(generatorList, oraclePriceData, slot, compareFcn, filterFcn) {
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  const generators = generatorList.map((generator) => {
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  return {
@@ -593,6 +600,7 @@ class DLOB {
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  nodeLists.restingLimit.ask.getGenerator(),
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  nodeLists.floatingLimit.ask.getGenerator(),
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  nodeLists.protectedFloatingLimit.ask.getGenerator(),
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+ this.signedMsgGenerator(nodeLists.signedMsg.ask, (x) => (0, __1.isRestingLimitOrder)(x.order, slot)),
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  ];
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  yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode, slot, oraclePriceData) => {
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  return bestNode
@@ -614,6 +622,7 @@ class DLOB {
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  nodeLists.restingLimit.bid.getGenerator(),
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  nodeLists.floatingLimit.bid.getGenerator(),
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  nodeLists.protectedFloatingLimit.bid.getGenerator(),
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+ this.signedMsgGenerator(nodeLists.signedMsg.bid, (x) => (0, __1.isRestingLimitOrder)(x.order, slot)),
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  ];
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  yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode, slot, oraclePriceData) => {
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  return bestNode
package/lib/node/dlob/DLOB.d.ts CHANGED
@@ -89,6 +89,7 @@ export declare class DLOB {
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  findExpiredNodesToFill(marketIndex: number, ts: number, marketType: MarketType, slot?: BN): NodeToFill[];
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  getTakingBids(marketIndex: number, marketType: MarketType, slot: number, oraclePriceData: OraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
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  getTakingAsks(marketIndex: number, marketType: MarketType, slot: number, oraclePriceData: OraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
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+ protected signedMsgGenerator(signedMsgOrderList: NodeList<'signedMsg'>, filter: (x: DLOBNode) => boolean): Generator<DLOBNode>;
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  protected getBestNode(generatorList: Array<Generator<DLOBNode>>, oraclePriceData: OraclePriceData, slot: number, compareFcn: (bestDLOBNode: DLOBNode, currentDLOBNode: DLOBNode, slot: number, oraclePriceData: OraclePriceData) => boolean, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
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  getRestingLimitAsks(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
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  getRestingLimitBids(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>;
package/lib/node/dlob/DLOB.d.ts.map CHANGED
@@ -1 +1 @@
1
- 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1
+ {"version":3,"file":"DLOB.d.ts","sourceRoot":"","sources":["../../../src/dlob/DLOB.ts"],"names":[],"mappings":";AAAA,OAAO,EAAqB,QAAQ,EAAE,MAAM,YAAY,CAAC;AACzD,OAAO,EAEN,EAAE,EAIF,QAAQ,EACR,YAAY,EACZ,WAAW,EAUX,UAAU,EACV,aAAa,EAEb,eAAe,EACf,KAAK,EACL,iBAAiB,EACjB,iBAAiB,EAGjB,qBAAqB,EAErB,cAAc,EACd,iBAAiB,EACjB,YAAY,EACZ,gBAAgB,EAChB,OAAO,EAEP,MAAM,IAAI,CAAC;AACZ,OAAO,EAAE,SAAS,EAAE,MAAM,iBAAiB,CAAC;AAE5C,OAAO,EAGN,WAAW,EACX,oBAAoB,EAEpB,WAAW,EAEX,MAAM,mBAAmB,CAAC;AAE3B,MAAM,MAAM,SAAS,GAAG;IAAE,IAAI,EAAE,SAAS,CAAC;IAAC,KAAK,EAAE,KAAK,CAAA;CAAE,CAAC;AAC1D,MAAM,MAAM,UAAU,GAAG,SAAS,EAAE,CAAC;AAErC,MAAM,MAAM,eAAe,GAAG;IAC7B,YAAY,EAAE;QACb,GAAG,EAAE,QAAQ,CAAC,cAAc,CAAC,CAAC;QAC9B,GAAG,EAAE,QAAQ,CAAC,cAAc,CAAC,CAAC;KAC9B,CAAC;IACF,aAAa,EAAE;QACd,GAAG,EAAE,QAAQ,CAAC,eAAe,CAAC,CAAC;QAC/B,GAAG,EAAE,QAAQ,CAAC,eAAe,CAAC,CAAC;KAC/B,CAAC;IACF,sBAAsB,EAAE;QACvB,GAAG,EAAE,QAAQ,CAAC,wBAAwB,CAAC,CAAC;QACxC,GAAG,EAAE,QAAQ,CAAC,wBAAwB,CAAC,CAAC;KACxC,CAAC;IACF,WAAW,EAAE;QACZ,GAAG,EAAE,QAAQ,CAAC,aAAa,CAAC,CAAC;QAC7B,GAAG,EAAE,QAAQ,CAAC,aAAa,CAAC,CAAC;KAC7B,CAAC;IACF,MAAM,EAAE;QACP,GAAG,EAAE,QAAQ,CAAC,QAAQ,CAAC,CAAC;QACxB,GAAG,EAAE,QAAQ,CAAC,QAAQ,CAAC,CAAC;KACxB,CAAC;IACF,OAAO,EAAE;QACR,KAAK,EAAE,QAAQ,CAAC,SAAS,CAAC,CAAC;QAC3B,KAAK,EAAE,QAAQ,CAAC,SAAS,CAAC,CAAC;KAC3B,CAAC;IACF,SAAS,EAAE;QACV,GAAG,EAAE,QAAQ,CAAC,WAAW,CAAC,CAAC;QAC3B,GAAG,EAAE,QAAQ,CAAC,WAAW,CAAC,CAAC;KAC3B,CAAC;CACF,CAAC;AAEF,KAAK,iBAAiB,GAAG,MAAM,IAAI,CAAC;AAEpC;;;;;GAKG;AACH,MAAM,MAAM,aAAa,GAAG,CAAC,IAAI,EAAE,QAAQ,KAAK,OAAO,CAAC;AAExD,MAAM,MAAM,UAAU,GAAG;IACxB,IAAI,EAAE,QAAQ,CAAC;IACf,UAAU,EAAE,QAAQ,EAAE,CAAC;CACvB,CAAC;AAEF,MAAM,MAAM,aAAa,GAAG;IAC3B,IAAI,EAAE,gBAAgB,CAAC;CACvB,CAAC;AAUF,qBAAa,IAAI;IAChB,UAAU,kCAAyC;IACnD,UAAU,mDAA0D;IACpE,4BAA4B,SAAK;IAEjC,WAAW,UAAS;IAEpB,uBAAuB,EAAE,qBAAqB,CAAC;gBAE5B,uBAAuB,CAAC,EAAE,qBAAqB;IAQlE,OAAO,CAAC,IAAI;IAOL,KAAK;IAyBZ;;;;OAIG;IACU,eAAe,CAC3B,OAAO,EAAE,OAAO,EAChB,IAAI,EAAE,MAAM,GACV,OAAO,CAAC,OAAO,CAAC;IAqBZ,WAAW,CACjB,KAAK,EAAE,KAAK,EACZ,WAAW,EAAE,MAAM,EACnB,IAAI,EAAE,MAAM,EACZ,oBAAoB,EAAE,OAAO,EAC7B,QAAQ,CAAC,EAAE,iBAAiB,GAC1B,IAAI;IAkCA,oBAAoB,CAC1B,KAAK,EAAE,KAAK,EACZ,WAAW,EAAE,MAAM,EACnB,oBAAoB,EAAE,OAAO,EAC7B,QAAQ,CAAC,EAAE,iBAAiB,GAC1B,IAAI;IAyBP,YAAY,CAAC,UAAU,EAAE,aAAa,EAAE,WAAW,EAAE,MAAM,GAAG,IAAI;IAiC3D,MAAM,CACZ,KAAK,EAAE,KAAK,EACZ,WAAW,EAAE,SAAS,EACtB,IAAI,EAAE,MAAM,EACZ,oBAAoB,EAAE,OAAO,EAC7B,QAAQ,CAAC,EAAE,iBAAiB,GAC1B,IAAI;IAiBA,sBAAsB,CAC5B,KAAK,EAAE,KAAK,EACZ,IAAI,EAAE,MAAM,EACZ,gBAAgB,EAAE,OAAO,GACvB,QAAQ,CAAC,GAAG,CAAC,GAAG,SAAS;IAoCrB,wBAAwB,CAAC,IAAI,EAAE,MAAM,GAAG,IAAI;IAYnD,qCAAqC,CACpC,IAAI,EAAE,MAAM,EACZ,aAAa,EAAE,aAAa,GAC1B,IAAI;IAyCA,QAAQ,CAAC,OAAO,EAAE,MAAM,EAAE,WAAW,EAAE,SAAS,GAAG,KAAK,GAAG,SAAS;IAYpE,eAAe,CACrB,WAAW,EAAE,MAAM,EACnB,WAAW,EAAE,EAAE,GAAG,SAAS,EAC3B,WAAW,EAAE,EAAE,GAAG,SAAS,EAC3B,IAAI,EAAE,MAAM,EACZ,EAAE,EAAE,MAAM,EACV,UAAU,EAAE,UAAU,EACtB,eAAe,EAAE,eAAe,EAChC,YAAY,EAAE,YAAY,EAC1B,aAAa,EAAE,iBAAiB,GAAG,iBAAiB,GAClD,UAAU,EAAE;IAsDf,cAAc,CACb,UAAU,EAAE,UAAU,EACtB,YAAY,EAAE,YAAY,EAC1B,aAAa,EAAE,iBAAiB,GAAG,iBAAiB,GAClD;QAAE,oBAAoB,EAAE,MAAM,CAAC;QAAC,sBAAsB,EAAE,MAAM,CAAA;KAAE;IAwBnE,gBAAgB,CACf,4BAA4B,EAAE,UAAU,EAAE,EAC1C,sBAAsB,EAAE,UAAU,EAAE,GAClC,UAAU,EAAE;IA+BR,gCAAgC,CACtC,WAAW,EAAE,MAAM,EACnB,IAAI,EAAE,MAAM,EACZ,UAAU,EAAE,UAAU,EACtB,eAAe,EAAE,eAAe,EAChC,WAAW,EAAE,OAAO,EACpB,kBAAkB,EAAE,MAAM,EAC1B,oBAAoB,EAAE,MAAM,EAC5B,sBAAsB,EAAE,MAAM,EAC9B,WAAW,EAAE,EAAE,GAAG,SAAS,EAC3B,WAAW,EAAE,EAAE,GAAG,SAAS,GACzB,UAAU,EAAE;IAyER,qBAAqB,CAC3B,WAAW,EAAE,MAAM,EACnB,IAAI,EAAE,MAAM,EACZ,UAAU,EAAE,UAAU,EACtB,eAAe,EAAE,eAAe,EAChC,WAAW,EAAE,OAAO,EACpB,kBAAkB,EAAE,MAAM,EAC1B,WAAW,EAAE,EAAE,GAAG,SAAS,EAC3B,WAAW,CAAC,EAAE,EAAE,GAAG,SAAS,GAC1B,UAAU,EAAE;IAqHR,iCAAiC,CACvC,WAAW,EAAE,MAAM,EACnB,IAAI,EAAE,MAAM,EACZ,UAAU,EAAE,UAAU,EACtB,eAAe,EAAE,eAAe,EAChC,kBAAkB,EAAE,SAAS,CAAC,QAAQ,CAAC,EACvC,oBAAoB,EAAE,CACrB,WAAW,EAAE,MAAM,EACnB,IAAI,EAAE,MAAM,EACZ,UAAU,EAAE,UAAU,EACtB,eAAe,EAAE,eAAe,KAC5B,SAAS,CAAC,QAAQ,CAAC,EACxB,SAAS,EAAE,CAAC,UAAU,EAAE,EAAE,GAAG,SAAS,EAAE,UAAU,EAAE,EAAE,KAAK,OAAO,GAChE,UAAU,EAAE;IAmFR,kCAAkC,CACxC,UAAU,EAAE,UAAU,EACtB,IAAI,EAAE,MAAM,EACZ,eAAe,EAAE,eAAe,EAChC,aAAa,EAAE,SAAS,CAAC,QAAQ,CAAC,EAClC,SAAS,EAAE,CAAC,SAAS,EAAE,EAAE,GAAG,SAAS,KAAK,OAAO,EACjD,kBAAkB,EAAE,MAAM,GACxB,UAAU,EAAE;IAuCR,sBAAsB,CAC5B,WAAW,EAAE,MAAM,EACnB,EAAE,EAAE,MAAM,EACV,UAAU,EAAE,UAAU,EACtB,IAAI,CAAC,EAAE,EAAE,GACP,UAAU,EAAE;IAoEd,aAAa,CACb,WAAW,EAAE,MAAM,EACnB,UAAU,EAAE,UAAU,EACtB,IAAI,EAAE,MAAM,EACZ,eAAe,EAAE,eAAe,EAChC,SAAS,CAAC,EAAE,aAAa,GACvB,SAAS,CAAC,QAAQ,CAAC;IA6BrB,aAAa,CACb,WAAW,EAAE,MAAM,EACnB,UAAU,EAAE,UAAU,EACtB,IAAI,EAAE,MAAM,EACZ,eAAe,EAAE,eAAe,EAChC,SAAS,CAAC,EAAE,aAAa,GACvB,SAAS,CAAC,QAAQ,CAAC;IA6BtB,SAAS,CAAE,kBAAkB,CAC5B,kBAAkB,EAAE,QAAQ,CAAC,WAAW,CAAC,EACzC,MAAM,EAAE,CAAC,CAAC,EAAE,QAAQ,KAAK,OAAO,GAC9B,SAAS,CAAC,QAAQ,CAAC;IAQtB,SAAS,CAAE,WAAW,CACrB,aAAa,EAAE,KAAK,CAAC,SAAS,CAAC,QAAQ,CAAC,CAAC,EACzC,eAAe,EAAE,eAAe,EAChC,IAAI,EAAE,MAAM,EACZ,UAAU,EAAE,CACX,YAAY,EAAE,QAAQ,EACtB,eAAe,EAAE,QAAQ,EACzB,IAAI,EAAE,MAAM,EACZ,eAAe,EAAE,eAAe,KAC5B,OAAO,EACZ,SAAS,CAAC,EAAE,aAAa,GACvB,SAAS,CAAC,QAA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package/lib/node/dlob/DLOB.js CHANGED
@@ -517,7 +517,7 @@ class DLOB {
517
517
  const generatorList = [
518
518
  orderLists.market.bid.getGenerator(),
519
519
  orderLists.takingLimit.bid.getGenerator(),
520
- orderLists.signedMsg.bid.getGenerator(),
520
+ this.signedMsgGenerator(orderLists.signedMsg.bid, (x) => !(0, __1.isRestingLimitOrder)(x.order, slot)),
521
521
  ];
522
522
  yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode) => {
523
523
  return bestNode.order.slot.lt(currentNode.order.slot);
@@ -533,12 +533,19 @@ class DLOB {
533
533
  const generatorList = [
534
534
  orderLists.market.ask.getGenerator(),
535
535
  orderLists.takingLimit.ask.getGenerator(),
536
- orderLists.signedMsg.ask.getGenerator(),
536
+ this.signedMsgGenerator(orderLists.signedMsg.ask, (x) => !(0, __1.isRestingLimitOrder)(x.order, slot)),
537
537
  ];
538
538
  yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode) => {
539
539
  return bestNode.order.slot.lt(currentNode.order.slot);
540
540
  }, filterFcn);
541
541
  }
542
+ *signedMsgGenerator(signedMsgOrderList, filter) {
543
+ for (const signedMsgOrder of signedMsgOrderList.getGenerator()) {
544
+ if (filter(signedMsgOrder)) {
545
+ yield signedMsgOrder;
546
+ }
547
+ }
548
+ }
542
549
  *getBestNode(generatorList, oraclePriceData, slot, compareFcn, filterFcn) {
543
550
  const generators = generatorList.map((generator) => {
544
551
  return {
@@ -593,6 +600,7 @@ class DLOB {
593
600
  nodeLists.restingLimit.ask.getGenerator(),
594
601
  nodeLists.floatingLimit.ask.getGenerator(),
595
602
  nodeLists.protectedFloatingLimit.ask.getGenerator(),
603
+ this.signedMsgGenerator(nodeLists.signedMsg.ask, (x) => (0, __1.isRestingLimitOrder)(x.order, slot)),
596
604
  ];
597
605
  yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode, slot, oraclePriceData) => {
598
606
  return bestNode
@@ -614,6 +622,7 @@ class DLOB {
614
622
  nodeLists.restingLimit.bid.getGenerator(),
615
623
  nodeLists.floatingLimit.bid.getGenerator(),
616
624
  nodeLists.protectedFloatingLimit.bid.getGenerator(),
625
+ this.signedMsgGenerator(nodeLists.signedMsg.bid, (x) => (0, __1.isRestingLimitOrder)(x.order, slot)),
617
626
  ];
618
627
  yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode, slot, oraclePriceData) => {
619
628
  return bestNode
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@drift-labs/sdk",
3
- "version": "2.126.0-beta.6",
3
+ "version": "2.126.0-beta.7",
4
4
  "main": "lib/node/index.js",
5
5
  "types": "lib/node/index.d.ts",
6
6
  "browser": "./lib/browser/index.js",
package/src/dlob/DLOB.ts CHANGED
@@ -989,7 +989,10 @@ export class DLOB {
989
989
  const generatorList = [
990
990
  orderLists.market.bid.getGenerator(),
991
991
  orderLists.takingLimit.bid.getGenerator(),
992
- orderLists.signedMsg.bid.getGenerator(),
992
+ this.signedMsgGenerator(
993
+ orderLists.signedMsg.bid,
994
+ (x: DLOBNode) => !isRestingLimitOrder(x.order, slot)
995
+ ),
993
996
  ];
994
997
 
995
998
  yield* this.getBestNode(
@@ -1021,7 +1024,10 @@ export class DLOB {
1021
1024
  const generatorList = [
1022
1025
  orderLists.market.ask.getGenerator(),
1023
1026
  orderLists.takingLimit.ask.getGenerator(),
1024
- orderLists.signedMsg.ask.getGenerator(),
1027
+ this.signedMsgGenerator(
1028
+ orderLists.signedMsg.ask,
1029
+ (x: DLOBNode) => !isRestingLimitOrder(x.order, slot)
1030
+ ),
1025
1031
  ];
1026
1032
 
1027
1033
  yield* this.getBestNode(
@@ -1035,6 +1041,17 @@ export class DLOB {
1035
1041
  );
1036
1042
  }
1037
1043
 
1044
+ protected *signedMsgGenerator(
1045
+ signedMsgOrderList: NodeList<'signedMsg'>,
1046
+ filter: (x: DLOBNode) => boolean
1047
+ ): Generator<DLOBNode> {
1048
+ for (const signedMsgOrder of signedMsgOrderList.getGenerator()) {
1049
+ if (filter(signedMsgOrder)) {
1050
+ yield signedMsgOrder;
1051
+ }
1052
+ }
1053
+ }
1054
+
1038
1055
  protected *getBestNode(
1039
1056
  generatorList: Array<Generator<DLOBNode>>,
1040
1057
  oraclePriceData: OraclePriceData,
@@ -1119,6 +1136,9 @@ export class DLOB {
1119
1136
  nodeLists.restingLimit.ask.getGenerator(),
1120
1137
  nodeLists.floatingLimit.ask.getGenerator(),
1121
1138
  nodeLists.protectedFloatingLimit.ask.getGenerator(),
1139
+ this.signedMsgGenerator(nodeLists.signedMsg.ask, (x: DLOBNode) =>
1140
+ isRestingLimitOrder(x.order, slot)
1141
+ ),
1122
1142
  ];
1123
1143
 
1124
1144
  yield* this.getBestNode(
@@ -1158,6 +1178,9 @@ export class DLOB {
1158
1178
  nodeLists.restingLimit.bid.getGenerator(),
1159
1179
  nodeLists.floatingLimit.bid.getGenerator(),
1160
1180
  nodeLists.protectedFloatingLimit.bid.getGenerator(),
1181
+ this.signedMsgGenerator(nodeLists.signedMsg.bid, (x: DLOBNode) =>
1182
+ isRestingLimitOrder(x.order, slot)
1183
+ ),
1161
1184
  ];
1162
1185
 
1163
1186
  yield* this.getBestNode(
package/tests/dlob/helpers.ts CHANGED
@@ -149,6 +149,7 @@ export const mockAMM: AMM = {
149
149
 
150
150
  takerSpeedBumpOverride: 0,
151
151
  ammSpreadAdjustment: 0,
152
+ ammInventorySpreadAdjustment: 0,
152
153
  };
153
154
 
154
155
  export const mockPerpMarkets: Array<PerpMarketAccount> = [
package/tests/dlob/test.ts CHANGED
@@ -3859,6 +3859,289 @@ describe('DLOB Perp Tests', () => {
3859
3859
  'wrong maker orderId'
3860
3860
  ).to.equal(5);
3861
3861
  });
3862
+
3863
+ it('DLOB signedMsgOrder filtering - taking vs resting orders', () => {
3864
+ const vAsk = new BN(15);
3865
+ const vBid = new BN(10);
3866
+ const slot = 1;
3867
+ const oracle = {
3868
+ price: vBid.add(vAsk).div(new BN(2)),
3869
+ slot: new BN(slot),
3870
+ confidence: new BN(1),
3871
+ hasSufficientNumberOfDataPoints: true,
3872
+ };
3873
+
3874
+ const users = [
3875
+ Keypair.generate(),
3876
+ Keypair.generate(),
3877
+ Keypair.generate(),
3878
+ Keypair.generate(),
3879
+ ];
3880
+ const dlob = new DLOB();
3881
+ const marketIndex = 0;
3882
+ const marketType = MarketType.PERP;
3883
+
3884
+ // Create orders for both directions (LONG for bids, SHORT for asks)
3885
+ const directions = [PositionDirection.LONG, PositionDirection.SHORT];
3886
+ const orderConfigs = [
3887
+ {
3888
+ orderId: 1,
3889
+ price: 11,
3890
+ postOnly: false,
3891
+ auctionComplete: false,
3892
+ orderType: OrderType.LIMIT,
3893
+ }, // taking order 1
3894
+ {
3895
+ orderId: 2,
3896
+ price: 12,
3897
+ postOnly: false,
3898
+ auctionComplete: false,
3899
+ orderType: OrderType.MARKET,
3900
+ }, // taking order 2
3901
+ {
3902
+ orderId: 3,
3903
+ price: 13,
3904
+ postOnly: true,
3905
+ auctionComplete: false,
3906
+ orderType: OrderType.LIMIT,
3907
+ }, // resting order 1
3908
+ {
3909
+ orderId: 4,
3910
+ price: 14,
3911
+ postOnly: false,
3912
+ auctionComplete: true,
3913
+ orderType: OrderType.LIMIT,
3914
+ }, // resting order 2
3915
+ ];
3916
+
3917
+ directions.forEach((direction, dirIndex) => {
3918
+ orderConfigs.forEach((config, orderIndex) => {
3919
+ const orderSlot = config.auctionComplete ? slot - 11 : slot;
3920
+ const order: Order = {
3921
+ status: OrderStatus.OPEN,
3922
+ orderId: config.orderId + dirIndex * 10, // unique orderId per direction
3923
+ marketType: MarketType.PERP,
3924
+ marketIndex: 0,
3925
+ price: new BN(config.price).mul(PRICE_PRECISION),
3926
+ baseAssetAmount: BASE_PRECISION,
3927
+ direction,
3928
+ orderType: config.orderType,
3929
+ postOnly: config.postOnly,
3930
+ auctionDuration: 10,
3931
+ slot: new BN(orderSlot),
3932
+ auctionStartPrice: vBid,
3933
+ auctionEndPrice: vAsk,
3934
+ bitFlags: 1, // isSignedMsg flag
3935
+ userOrderId: 0,
3936
+ baseAssetAmountFilled: new BN(0),
3937
+ quoteAssetAmountFilled: new BN(0),
3938
+ quoteAssetAmount: new BN(0),
3939
+ reduceOnly: false,
3940
+ triggerPrice: new BN(0),
3941
+ triggerCondition: OrderTriggerCondition.ABOVE,
3942
+ existingPositionDirection: direction,
3943
+ immediateOrCancel: false,
3944
+ oraclePriceOffset: 0,
3945
+ maxTs: ZERO,
3946
+ postedSlotTail: 0,
3947
+ };
3948
+ dlob.insertSignedMsgOrder(
3949
+ order,
3950
+ users[orderIndex].publicKey.toString(),
3951
+ false
3952
+ );
3953
+ });
3954
+ });
3955
+
3956
+ // Test taking bids - should only include taking orders (1, 2) in LONG direction
3957
+ const takingBids = Array.from(
3958
+ dlob.getTakingBids(marketIndex, marketType, slot, oracle)
3959
+ );
3960
+
3961
+ const signedMsgTakingBids = takingBids.filter((node) => node.isSignedMsg);
3962
+ expect(signedMsgTakingBids.length).to.equal(2);
3963
+ expect(signedMsgTakingBids.some((node) => node.order.orderId === 1)).to.be
3964
+ .true; // taking order 1
3965
+ expect(signedMsgTakingBids.some((node) => node.order.orderId === 2)).to.be
3966
+ .true; // taking order 2
3967
+
3968
+ // Test resting limit bids - should only include resting orders (3, 4) in LONG direction
3969
+ const restingBids = Array.from(
3970
+ dlob.getRestingLimitBids(marketIndex, slot, marketType, oracle)
3971
+ );
3972
+
3973
+ const signedMsgRestingBids = restingBids.filter((node) => node.isSignedMsg);
3974
+ expect(signedMsgRestingBids.length).to.equal(2);
3975
+ expect(signedMsgRestingBids.some((node) => node.order.orderId === 3)).to.be
3976
+ .true; // resting order 1
3977
+ expect(signedMsgRestingBids.some((node) => node.order.orderId === 4)).to.be
3978
+ .true; // resting order 2
3979
+
3980
+ // Test taking asks - should only include taking orders (11, 12) in SHORT direction
3981
+ const takingAsks = Array.from(
3982
+ dlob.getTakingAsks(marketIndex, marketType, slot, oracle)
3983
+ );
3984
+
3985
+ const signedMsgTakingAsks = takingAsks.filter((node) => node.isSignedMsg);
3986
+ expect(signedMsgTakingAsks.length).to.equal(2);
3987
+ expect(signedMsgTakingAsks.some((node) => node.order.orderId === 11)).to.be
3988
+ .true; // taking order 1
3989
+ expect(signedMsgTakingAsks.some((node) => node.order.orderId === 12)).to.be
3990
+ .true; // taking order 2
3991
+
3992
+ // Test resting limit asks - should only include resting orders (13, 14) in SHORT direction
3993
+ const restingAsks = Array.from(
3994
+ dlob.getRestingLimitAsks(marketIndex, slot, marketType, oracle)
3995
+ );
3996
+
3997
+ const signedMsgRestingAsks = restingAsks.filter((node) => node.isSignedMsg);
3998
+ expect(signedMsgRestingAsks.length).to.equal(2);
3999
+ expect(signedMsgRestingAsks.some((node) => node.order.orderId === 13)).to.be
4000
+ .true; // resting order 1
4001
+ expect(signedMsgRestingAsks.some((node) => node.order.orderId === 14)).to.be
4002
+ .true; // resting order 2
4003
+ });
4004
+
4005
+ it('DLOB signedMsgOrder filtering - auction completion transition', () => {
4006
+ const vAsk = new BN(15);
4007
+ const vBid = new BN(10);
4008
+ let slot = 1;
4009
+ const oracle = {
4010
+ price: vBid.add(vAsk).div(new BN(2)),
4011
+ slot: new BN(slot),
4012
+ confidence: new BN(1),
4013
+ hasSufficientNumberOfDataPoints: true,
4014
+ };
4015
+
4016
+ const user0 = Keypair.generate();
4017
+ const dlob = new DLOB();
4018
+ const marketIndex = 0;
4019
+ const marketType = MarketType.PERP;
4020
+
4021
+ // Insert a limit order that starts as taking (in auction) and becomes resting (auction complete)
4022
+ const limitOrder: Order = {
4023
+ status: OrderStatus.OPEN,
4024
+ orderId: 1,
4025
+ marketType: MarketType.PERP,
4026
+ marketIndex: 0,
4027
+ price: new BN(11).mul(PRICE_PRECISION),
4028
+ baseAssetAmount: BASE_PRECISION,
4029
+ direction: PositionDirection.LONG,
4030
+ orderType: OrderType.LIMIT,
4031
+ postOnly: false,
4032
+ auctionDuration: 10,
4033
+ slot: new BN(slot),
4034
+ auctionStartPrice: vBid,
4035
+ auctionEndPrice: vAsk,
4036
+ bitFlags: 1, // isSignedMsg flag
4037
+ userOrderId: 0,
4038
+ baseAssetAmountFilled: new BN(0),
4039
+ quoteAssetAmountFilled: new BN(0),
4040
+ quoteAssetAmount: new BN(0),
4041
+ reduceOnly: false,
4042
+ triggerPrice: new BN(0),
4043
+ triggerCondition: OrderTriggerCondition.ABOVE,
4044
+ existingPositionDirection: PositionDirection.LONG,
4045
+ immediateOrCancel: false,
4046
+ oraclePriceOffset: 0,
4047
+ maxTs: ZERO,
4048
+ postedSlotTail: 0,
4049
+ };
4050
+ dlob.insertSignedMsgOrder(limitOrder, user0.publicKey.toString(), false);
4051
+
4052
+ // Initially, the order should be in taking orders (auction not complete)
4053
+ let takingBids = Array.from(
4054
+ dlob.getTakingBids(marketIndex, marketType, slot, oracle)
4055
+ );
4056
+ let signedMsgTakingBids = takingBids.filter((node) => node.isSignedMsg);
4057
+ expect(signedMsgTakingBids.length).to.equal(1);
4058
+ expect(signedMsgTakingBids[0].order.orderId).to.equal(1);
4059
+
4060
+ let restingBids = Array.from(
4061
+ dlob.getRestingLimitBids(marketIndex, slot, marketType, oracle)
4062
+ );
4063
+ let signedMsgRestingBids = restingBids.filter((node) => node.isSignedMsg);
4064
+ expect(signedMsgRestingBids.length).to.equal(0);
4065
+
4066
+ // After auction duration, the order should move to resting orders
4067
+ slot = 12; // slot + auctionDuration + 1
4068
+ oracle.slot = new BN(slot);
4069
+
4070
+ takingBids = Array.from(
4071
+ dlob.getTakingBids(marketIndex, marketType, slot, oracle)
4072
+ );
4073
+ signedMsgTakingBids = takingBids.filter((node) => node.isSignedMsg);
4074
+ expect(signedMsgTakingBids.length).to.equal(0);
4075
+
4076
+ restingBids = Array.from(
4077
+ dlob.getRestingLimitBids(marketIndex, slot, marketType, oracle)
4078
+ );
4079
+ signedMsgRestingBids = restingBids.filter((node) => node.isSignedMsg);
4080
+ expect(signedMsgRestingBids.length).to.equal(1);
4081
+ expect(signedMsgRestingBids[0].order.orderId).to.equal(1);
4082
+ });
4083
+
4084
+ it('DLOB signedMsgOrder filtering - postOnly orders always resting', () => {
4085
+ const vAsk = new BN(15);
4086
+ const vBid = new BN(10);
4087
+ const slot = 1;
4088
+ const oracle = {
4089
+ price: vBid.add(vAsk).div(new BN(2)),
4090
+ slot: new BN(slot),
4091
+ confidence: new BN(1),
4092
+ hasSufficientNumberOfDataPoints: true,
4093
+ };
4094
+
4095
+ const user0 = Keypair.generate();
4096
+ const dlob = new DLOB();
4097
+ const marketIndex = 0;
4098
+ const marketType = MarketType.PERP;
4099
+
4100
+ // Insert a postOnly limit order (should always be resting regardless of auction state)
4101
+ const postOnlyOrder: Order = {
4102
+ status: OrderStatus.OPEN,
4103
+ orderId: 1,
4104
+ marketType: MarketType.PERP,
4105
+ marketIndex: 0,
4106
+ price: new BN(11).mul(PRICE_PRECISION),
4107
+ baseAssetAmount: BASE_PRECISION,
4108
+ direction: PositionDirection.LONG,
4109
+ orderType: OrderType.LIMIT,
4110
+ postOnly: true,
4111
+ auctionDuration: 10,
4112
+ slot: new BN(slot),
4113
+ auctionStartPrice: vBid,
4114
+ auctionEndPrice: vAsk,
4115
+ bitFlags: 1, // isSignedMsg flag
4116
+ userOrderId: 0,
4117
+ baseAssetAmountFilled: new BN(0),
4118
+ quoteAssetAmountFilled: new BN(0),
4119
+ quoteAssetAmount: new BN(0),
4120
+ reduceOnly: false,
4121
+ triggerPrice: new BN(0),
4122
+ triggerCondition: OrderTriggerCondition.ABOVE,
4123
+ existingPositionDirection: PositionDirection.LONG,
4124
+ immediateOrCancel: false,
4125
+ oraclePriceOffset: 0,
4126
+ maxTs: ZERO,
4127
+ postedSlotTail: 0,
4128
+ };
4129
+ dlob.insertSignedMsgOrder(postOnlyOrder, user0.publicKey.toString(), false);
4130
+
4131
+ // PostOnly orders should always be in resting orders, never in taking orders
4132
+ const takingBids = Array.from(
4133
+ dlob.getTakingBids(marketIndex, marketType, slot, oracle)
4134
+ );
4135
+ const signedMsgTakingBids = takingBids.filter((node) => node.isSignedMsg);
4136
+ expect(signedMsgTakingBids.length).to.equal(0);
4137
+
4138
+ const restingBids = Array.from(
4139
+ dlob.getRestingLimitBids(marketIndex, slot, marketType, oracle)
4140
+ );
4141
+ const signedMsgRestingBids = restingBids.filter((node) => node.isSignedMsg);
4142
+ expect(signedMsgRestingBids.length).to.equal(1);
4143
+ expect(signedMsgRestingBids[0].order.orderId).to.equal(1);
4144
+ });
3862
4145
  });
3863
4146
 
3864
4147
  describe('DLOB Spot Tests', () => {