@drift-labs/sdk 2.17.0-beta.0 → 2.18.0-beta.0

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Files changed (26) hide show
  1. package/lib/dlob/DLOB.d.ts +31 -25
  2. package/lib/dlob/DLOB.js +229 -155
  3. package/lib/dlob/DLOBNode.d.ts +11 -5
  4. package/lib/dlob/DLOBNode.js +13 -5
  5. package/lib/driftClient.js +5 -10
  6. package/lib/examples/loadDlob.js +1 -1
  7. package/lib/idl/drift.json +1 -1
  8. package/lib/math/auction.d.ts +1 -0
  9. package/lib/math/auction.js +9 -2
  10. package/lib/math/orders.d.ts +2 -0
  11. package/lib/math/orders.js +11 -2
  12. package/lib/math/spotBalance.js +1 -1
  13. package/lib/types.d.ts +1 -1
  14. package/lib/user.js +1 -4
  15. package/package.json +1 -1
  16. package/src/dlob/DLOB.ts +362 -161
  17. package/src/dlob/DLOBNode.ts +20 -7
  18. package/src/driftClient.ts +5 -10
  19. package/src/examples/loadDlob.ts +1 -1
  20. package/src/idl/drift.json +1 -1
  21. package/src/math/auction.ts +13 -1
  22. package/src/math/orders.ts +14 -1
  23. package/src/math/spotBalance.ts +1 -1
  24. package/src/types.ts +1 -1
  25. package/src/user.ts +1 -4
  26. package/tests/dlob/test.ts +612 -76
package/lib/dlob/DLOB.d.ts CHANGED
@@ -5,14 +5,18 @@ import { PublicKey } from '@solana/web3.js';
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  import { DLOBNode, DLOBNodeType, TriggerOrderNode } from '..';
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  import { DLOBOrders } from './DLOBOrders';
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  export declare type MarketNodeLists = {
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- limit: {
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- ask: NodeList<'limit'>;
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- bid: NodeList<'limit'>;
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+ restingLimit: {
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+ ask: NodeList<'restingLimit'>;
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+ bid: NodeList<'restingLimit'>;
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  };
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  floatingLimit: {
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  ask: NodeList<'floatingLimit'>;
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  bid: NodeList<'floatingLimit'>;
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  };
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+ takingLimit: {
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+ ask: NodeList<'takingLimit'>;
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+ bid: NodeList<'takingLimit'>;
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+ };
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  market: {
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  ask: NodeList<'market'>;
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  bid: NodeList<'market'>;
@@ -33,6 +37,7 @@ export declare type NodeToTrigger = {
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  export declare class DLOB {
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  openOrders: Map<MarketTypeStr, Set<string>>;
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  orderLists: Map<MarketTypeStr, Map<number, MarketNodeLists>>;
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+ maxSlotForRestingLimitOrders: number;
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  initialized: boolean;
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  constructor();
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  private init;
@@ -42,37 +47,38 @@ export declare class DLOB {
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  *
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  * @returns a promise that resolves when the DLOB is initialized
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  */
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- initFromUserMap(userMap: UserMap): Promise<boolean>;
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- initFromOrders(dlobOrders: DLOBOrders): boolean;
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- handleOrderRecord(record: OrderRecord): void;
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- handleOrderActionRecord(record: OrderActionRecord): void;
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- insertOrder(order: Order, userAccount: PublicKey, onInsert?: OrderBookCallback): void;
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+ initFromUserMap(userMap: UserMap, slot: number): Promise<boolean>;
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+ initFromOrders(dlobOrders: DLOBOrders, slot: number): boolean;
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+ handleOrderRecord(record: OrderRecord, slot: number): void;
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+ handleOrderActionRecord(record: OrderActionRecord, slot: number): void;
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+ insertOrder(order: Order, userAccount: PublicKey, slot: number, onInsert?: OrderBookCallback): void;
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  addOrderList(marketType: MarketTypeStr, marketIndex: number): void;
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- updateOrder(order: Order, userAccount: PublicKey, cumulativeBaseAssetAmountFilled: BN, onUpdate?: OrderBookCallback): void;
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- trigger(order: Order, userAccount: PublicKey, onTrigger?: OrderBookCallback): void;
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- delete(order: Order, userAccount: PublicKey, onDelete?: OrderBookCallback): void;
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- getListForOrder(order: Order): NodeList<any> | undefined;
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+ updateOrder(order: Order, userAccount: PublicKey, slot: number, cumulativeBaseAssetAmountFilled: BN, onUpdate?: OrderBookCallback): void;
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+ trigger(order: Order, userAccount: PublicKey, slot: number, onTrigger?: OrderBookCallback): void;
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+ delete(order: Order, userAccount: PublicKey, slot: number, onDelete?: OrderBookCallback): void;
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+ getListForOrder(order: Order, slot: number): NodeList<any> | undefined;
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+ updateRestingLimitOrders(slot: number): void;
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+ updateRestingLimitOrdersForMarketType(slot: number, marketTypeStr: MarketTypeStr): void;
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  getOrder(orderId: number, userAccount: PublicKey): Order | undefined;
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  findNodesToFill(marketIndex: number, fallbackBid: BN | undefined, fallbackAsk: BN | undefined, slot: number, ts: number, marketType: MarketType, oraclePriceData: OraclePriceData, stateAccount: StateAccount, marketAccount: PerpMarketAccount | SpotMarketAccount): NodeToFill[];
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- findLimitOrderNodesToFill(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, isAmmPaused: boolean, fallbackAsk: BN | undefined, fallbackBid: BN | undefined): NodeToFill[];
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- findMarketNodesToFill(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, isAmmPaused: boolean, fallbackAsk: BN | undefined, fallbackBid?: BN | undefined): NodeToFill[];
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- findMarketNodesCrossingLimitNodes(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, takerNodeGenerator: Generator<DLOBNode>, makerNodeGeneratorFn: (marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, fallbackPrice?: BN) => Generator<DLOBNode>, doesCross: (takerPrice: BN | undefined, makerPrice: BN) => boolean, fallbackPrice?: BN): NodeToFill[];
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- findNodesCrossingFallbackLiquidity(marketType: MarketType, slot: number, oraclePriceData: OraclePriceData, nodeGenerator: Generator<DLOBNode>, fallbackPrice: BN, doesCross: (nodePrice: BN | undefined, fallbackPrice: BN) => boolean): NodeToFill[];
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+ findRestingLimitOrderNodesToFill(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, isAmmPaused: boolean, minAuctionDuration: number, fallbackAsk: BN | undefined, fallbackBid: BN | undefined): NodeToFill[];
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+ findTakingNodesToFill(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, isAmmPaused: boolean, minAuctionDuration: number, fallbackAsk: BN | undefined, fallbackBid?: BN | undefined): NodeToFill[];
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+ findTakingNodesCrossingMakerNodes(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, takerNodeGenerator: Generator<DLOBNode>, makerNodeGeneratorFn: (marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, fallbackPrice?: BN) => Generator<DLOBNode>, doesCross: (takerPrice: BN | undefined, makerPrice: BN) => boolean, fallbackPrice?: BN): NodeToFill[];
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+ findNodesCrossingFallbackLiquidity(marketType: MarketType, slot: number, oraclePriceData: OraclePriceData, nodeGenerator: Generator<DLOBNode>, fallbackPrice: BN, doesCross: (nodePrice: BN | undefined, fallbackPrice: BN) => boolean, minAuctionDuration: number): NodeToFill[];
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  findExpiredNodesToFill(marketIndex: number, ts: number, marketType: MarketType): NodeToFill[];
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- findJitAuctionNodesToFill(marketIndex: number, slot: number, marketType: MarketType): NodeToFill[];
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- getMarketBids(marketIndex: number, marketType: MarketType): Generator<DLOBNode>;
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- getMarketAsks(marketIndex: number, marketType: MarketType): Generator<DLOBNode>;
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+ findJitAuctionNodesToFill(marketIndex: number, slot: number, oraclePriceData: OraclePriceData, marketType: MarketType): NodeToFill[];
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+ getTakingBids(marketIndex: number, marketType: MarketType, slot: number, oraclePriceData: OraclePriceData): Generator<DLOBNode>;
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+ getTakingAsks(marketIndex: number, marketType: MarketType, slot: number, oraclePriceData: OraclePriceData): Generator<DLOBNode>;
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  private getBestNode;
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- getLimitAsks(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData): Generator<DLOBNode>;
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+ getRestingLimitAsks(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData): Generator<DLOBNode>;
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  /**
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- * Filters the limit asks that are post only, have been place for sufficiently long or are above the fallback bid
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- * Market orders can only fill against orders that meet this criteria
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+ * Filters the limit asks that are resting and do not cross fallback bid
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+ * Taking orders can only fill against orders that meet this criteria
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  *
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  * @returns
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  */
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  getMakerLimitAsks(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, fallbackBid?: BN): Generator<DLOBNode>;
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- isRestingLimitOrder(order: Order, slot: number): boolean;
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- getLimitBids(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData): Generator<DLOBNode>;
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+ getRestingLimitBids(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData): Generator<DLOBNode>;
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  /**
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  * Filters the limit bids that are post only, have been place for sufficiently long or are below the fallback ask
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  * Market orders can only fill against orders that meet this criteria
@@ -82,7 +88,7 @@ export declare class DLOB {
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  getMakerLimitBids(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, fallbackAsk?: BN): Generator<DLOBNode>;
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  getAsks(marketIndex: number, fallbackAsk: BN | undefined, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData): Generator<DLOBNode>;
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  getBids(marketIndex: number, fallbackBid: BN | undefined, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData): Generator<DLOBNode>;
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- findCrossingLimitOrders(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, fallbackAsk: BN | undefined, fallbackBid: BN | undefined): NodeToFill[];
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+ findCrossingRestingLimitOrders(marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: OraclePriceData, minAuctionDuration: number, fallbackAsk: BN | undefined, fallbackBid: BN | undefined): NodeToFill[];
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  determineMakerAndTaker(askNode: DLOBNode, bidNode: DLOBNode): {
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  takerNode: DLOBNode;
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  makerNode: DLOBNode;