@drift-labs/sdk 2.26.0-beta.0 → 2.26.0-beta.2

package/examples/phoenix.ts

@@ -0,0 +1,40 @@
+import { Connection, PublicKey } from '@solana/web3.js';
+import { PRICE_PRECISION, PhoenixSubscriber } from '../src';
+import { PROGRAM_ID } from '@ellipsis-labs/phoenix-sdk';
+
+export async function listenToBook(): Promise<void> {
+	const connection = new Connection('https://api.mainnet-beta.solana.com');
+
+	const phoenixSubscriber = new PhoenixSubscriber({
+		connection,
+		programId: PROGRAM_ID,
+		marketAddress: new PublicKey(
+			'4DoNfFBfF7UokCC2FQzriy7yHK6DY6NVdYpuekQ5pRgg'
+		),
+		accountSubscription: {
+			type: 'websocket',
+		},
+	});
+
+	await phoenixSubscriber.subscribe();
+
+	for (let i = 0; i < 10; i++) {
+		const bid = phoenixSubscriber.getBestBid().toNumber() / PRICE_PRECISION;
+		const ask = phoenixSubscriber.getBestAsk().toNumber() / PRICE_PRECISION;
+		console.log(`iter ${i}:`, bid.toFixed(3), '@', ask.toFixed(3));
+		await new Promise((r) => setTimeout(r, 2000));
+	}
+
+	await phoenixSubscriber.unsubscribe();
+}
+
+(async function () {
+	try {
+		await listenToBook();
+	} catch (err) {
+		console.log('Error: ', err);
+		process.exit(1);
+	}
+
+	process.exit(0);
+})();

package/lib/addresses/pda.d.ts

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { PublicKey } from '@solana/web3.js';
 import { BN } from '@coral-xyz/anchor';
 export declare function getDriftStateAccountPublicKeyAndNonce(programId: PublicKey): Promise<[PublicKey, number]>;

package/lib/adminClient.d.ts

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { PublicKey, TransactionSignature } from '@solana/web3.js';
 import { FeeStructure, OracleGuardRails, OracleSource, ExchangeStatus, MarketStatus, ContractTier, AssetTier, SpotFulfillmentConfigStatus } from './types';
 import { BN } from '@coral-xyz/anchor';

package/lib/constants/numericConstants.d.ts

@@ -1,62 +1,60 @@
-/// <reference types="bn.js" />
-import { BN } from '../';
-export declare const ZERO: BN;
-export declare const ONE: BN;
-export declare const TWO: BN;
-export declare const THREE: BN;
-export declare const FOUR: BN;
-export declare const FIVE: BN;
-export declare const SIX: BN;
-export declare const SEVEN: BN;
-export declare const EIGHT: BN;
-export declare const NINE: BN;
-export declare const TEN: BN;
-export declare const TEN_THOUSAND: BN;
-export declare const BN_MAX: BN;
-export declare const TEN_MILLION: BN;
-export declare const MAX_LEVERAGE: BN;
-export declare const MAX_LEVERAGE_ORDER_SIZE: BN;
-export declare const PERCENTAGE_PRECISION_EXP: BN;
-export declare const PERCENTAGE_PRECISION: BN;
-export declare const CONCENTRATION_PRECISION: BN;
-export declare const QUOTE_PRECISION_EXP: BN;
-export declare const FUNDING_RATE_BUFFER_PRECISION_EXP: BN;
-export declare const PRICE_PRECISION_EXP: BN;
-export declare const FUNDING_RATE_PRECISION_EXP: BN;
-export declare const PEG_PRECISION_EXP: BN;
-export declare const AMM_RESERVE_PRECISION_EXP: BN;
-export declare const SPOT_MARKET_RATE_PRECISION_EXP: BN;
-export declare const SPOT_MARKET_RATE_PRECISION: BN;
-export declare const SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION_EXP: BN;
-export declare const SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION: BN;
-export declare const SPOT_MARKET_UTILIZATION_PRECISION_EXP: BN;
-export declare const SPOT_MARKET_UTILIZATION_PRECISION: BN;
-export declare const SPOT_MARKET_WEIGHT_PRECISION: BN;
-export declare const SPOT_MARKET_BALANCE_PRECISION_EXP: BN;
-export declare const SPOT_MARKET_BALANCE_PRECISION: BN;
-export declare const SPOT_MARKET_IMF_PRECISION_EXP: BN;
-export declare const SPOT_MARKET_IMF_PRECISION: BN;
-export declare const LIQUIDATION_FEE_PRECISION: BN;
-export declare const QUOTE_PRECISION: BN;
-export declare const PRICE_PRECISION: BN;
-export declare const FUNDING_RATE_PRECISION: BN;
-export declare const FUNDING_RATE_BUFFER_PRECISION: BN;
-export declare const PEG_PRECISION: BN;
-export declare const AMM_RESERVE_PRECISION: BN;
-export declare const BASE_PRECISION: BN;
-export declare const BASE_PRECISION_EXP: BN;
-export declare const AMM_TO_QUOTE_PRECISION_RATIO: BN;
-export declare const PRICE_DIV_PEG: BN;
-export declare const PRICE_TO_QUOTE_PRECISION: BN;
-export declare const AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO: BN;
-export declare const MARGIN_PRECISION: BN;
-export declare const BID_ASK_SPREAD_PRECISION: BN;
-export declare const LIQUIDATION_PCT_PRECISION: BN;
-export declare const FIVE_MINUTE: BN;
-export declare const ONE_HOUR: BN;
-export declare const ONE_YEAR: BN;
+export declare const ZERO: any;
+export declare const ONE: any;
+export declare const TWO: any;
+export declare const THREE: any;
+export declare const FOUR: any;
+export declare const FIVE: any;
+export declare const SIX: any;
+export declare const SEVEN: any;
+export declare const EIGHT: any;
+export declare const NINE: any;
+export declare const TEN: any;
+export declare const TEN_THOUSAND: any;
+export declare const BN_MAX: any;
+export declare const TEN_MILLION: any;
+export declare const MAX_LEVERAGE: any;
+export declare const MAX_LEVERAGE_ORDER_SIZE: any;
+export declare const PERCENTAGE_PRECISION_EXP: any;
+export declare const PERCENTAGE_PRECISION: any;
+export declare const CONCENTRATION_PRECISION: any;
+export declare const QUOTE_PRECISION_EXP: any;
+export declare const FUNDING_RATE_BUFFER_PRECISION_EXP: any;
+export declare const PRICE_PRECISION_EXP: any;
+export declare const FUNDING_RATE_PRECISION_EXP: any;
+export declare const PEG_PRECISION_EXP: any;
+export declare const AMM_RESERVE_PRECISION_EXP: any;
+export declare const SPOT_MARKET_RATE_PRECISION_EXP: any;
+export declare const SPOT_MARKET_RATE_PRECISION: any;
+export declare const SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION_EXP: any;
+export declare const SPOT_MARKET_CUMULATIVE_INTEREST_PRECISION: any;
+export declare const SPOT_MARKET_UTILIZATION_PRECISION_EXP: any;
+export declare const SPOT_MARKET_UTILIZATION_PRECISION: any;
+export declare const SPOT_MARKET_WEIGHT_PRECISION: any;
+export declare const SPOT_MARKET_BALANCE_PRECISION_EXP: any;
+export declare const SPOT_MARKET_BALANCE_PRECISION: any;
+export declare const SPOT_MARKET_IMF_PRECISION_EXP: any;
+export declare const SPOT_MARKET_IMF_PRECISION: any;
+export declare const LIQUIDATION_FEE_PRECISION: any;
+export declare const QUOTE_PRECISION: any;
+export declare const PRICE_PRECISION: any;
+export declare const FUNDING_RATE_PRECISION: any;
+export declare const FUNDING_RATE_BUFFER_PRECISION: any;
+export declare const PEG_PRECISION: any;
+export declare const AMM_RESERVE_PRECISION: any;
+export declare const BASE_PRECISION: any;
+export declare const BASE_PRECISION_EXP: any;
+export declare const AMM_TO_QUOTE_PRECISION_RATIO: any;
+export declare const PRICE_DIV_PEG: any;
+export declare const PRICE_TO_QUOTE_PRECISION: any;
+export declare const AMM_TIMES_PEG_TO_QUOTE_PRECISION_RATIO: any;
+export declare const MARGIN_PRECISION: any;
+export declare const BID_ASK_SPREAD_PRECISION: any;
+export declare const LIQUIDATION_PCT_PRECISION: any;
+export declare const FIVE_MINUTE: any;
+export declare const ONE_HOUR: any;
+export declare const ONE_YEAR: any;
 export declare const QUOTE_SPOT_MARKET_INDEX = 0;
-export declare const LAMPORTS_PRECISION: BN;
-export declare const LAMPORTS_EXP: BN;
-export declare const OPEN_ORDER_MARGIN_REQUIREMENT: BN;
-export declare const DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT: BN;
+export declare const LAMPORTS_PRECISION: any;
+export declare const LAMPORTS_EXP: any;
+export declare const OPEN_ORDER_MARGIN_REQUIREMENT: any;
+export declare const DEFAULT_REVENUE_SINCE_LAST_FUNDING_SPREAD_RETREAT: any;

package/lib/constants/spotMarkets.d.ts

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { PublicKey } from '@solana/web3.js';
 import { BN, DriftEnv, OracleSource } from '../';
 export type SpotMarketConfig = {

package/lib/dlob/DLOB.d.ts

@@ -1,9 +1,8 @@
-/// <reference types="bn.js" />
 import { NodeList } from './NodeList';
-import { MarketType, BN, DriftClient, Order, SpotMarketAccount, PerpMarketAccount, OraclePriceData, SlotSubscriber, MarketTypeStr, StateAccount, UserMap, OrderRecord, OrderActionRecord } from '..';
+import { BN, DLOBNode, DLOBNodeType, DriftClient, MarketType, MarketTypeStr, OraclePriceData, Order, OrderActionRecord, OrderRecord, PerpMarketAccount, SlotSubscriber, SpotMarketAccount, StateAccount, TriggerOrderNode, UserMap } from '..';
 import { PublicKey } from '@solana/web3.js';
-import { DLOBNode, DLOBNodeType, TriggerOrderNode } from '..';
 import { DLOBOrders } from './DLOBOrders';
+import { L2OrderBook, L2OrderBookGenerator, L3OrderBook } from './orderBookLevels';
 export type MarketNodeLists = {
     restingLimit: {
         ask: NodeList<'restingLimit'>;
@@ -100,5 +99,41 @@ export declare class DLOB {
     printTopOfOrderLists(sdkConfig: any, driftClient: DriftClient, slotSubscriber: SlotSubscriber, marketIndex: number, marketType: MarketType): void;
     getDLOBOrders(): DLOBOrders;
     getNodeLists(): Generator<NodeList<DLOBNodeType>>;
+    /**
+     * Get an L2 view of the order book for a given market.
+     *
+     * @param marketIndex
+     * @param marketType
+     * @param slot
+     * @param oraclePriceData
+     * @param depth how many levels of the order book to return
+     * @param fallbackAsk best ask for fallback liquidity, only relevant for perps
+     * @param fallbackBid best bid for fallback liquidity, only relevant for perps
+     * @param fallbackL2Generators L2 generators for fallback liquidity e.g. vAMM {@link getVammL2Generator}, openbook {@link SerumSubscriber}
+     */
+    getL2({ marketIndex, marketType, slot, oraclePriceData, depth, fallbackAsk, fallbackBid, fallbackL2Generators, }: {
+        marketIndex: number;
+        marketType: MarketType;
+        slot: number;
+        oraclePriceData: OraclePriceData;
+        depth: number;
+        fallbackAsk?: BN;
+        fallbackBid?: BN;
+        fallbackL2Generators?: L2OrderBookGenerator[];
+    }): L2OrderBook;
+    /**
+     * Get an L3 view of the order book for a given market. Does not include fallback liquidity sources
+     *
+     * @param marketIndex
+     * @param marketType
+     * @param slot
+     * @param oraclePriceData
+     */
+    getL3({ marketIndex, marketType, slot, oraclePriceData, }: {
+        marketIndex: number;
+        marketType: MarketType;
+        slot: number;
+        oraclePriceData: OraclePriceData;
+    }): L3OrderBook;
 }
 export {};

package/lib/dlob/DLOB.js

@@ -4,6 +4,7 @@ exports.DLOB = void 0;
 const NodeList_1 = require("./NodeList");
 const __1 = require("..");
 const exchangeStatus_1 = require("../math/exchangeStatus");
+const orderBookLevels_1 = require("./orderBookLevels");
 const SUPPORTED_ORDER_TYPES = [
     'market',
     'limit',
@@ -954,5 +955,73 @@ class DLOB {
             yield nodeLists.trigger.below;
         }
     }
+    /**
+     * Get an L2 view of the order book for a given market.
+     *
+     * @param marketIndex
+     * @param marketType
+     * @param slot
+     * @param oraclePriceData
+     * @param depth how many levels of the order book to return
+     * @param fallbackAsk best ask for fallback liquidity, only relevant for perps
+     * @param fallbackBid best bid for fallback liquidity, only relevant for perps
+     * @param fallbackL2Generators L2 generators for fallback liquidity e.g. vAMM {@link getVammL2Generator}, openbook {@link SerumSubscriber}
+     */
+    getL2({ marketIndex, marketType, slot, oraclePriceData, depth, fallbackAsk, fallbackBid, fallbackL2Generators = [], }) {
+        const makerAskL2LevelGenerator = (0, orderBookLevels_1.getL2GeneratorFromDLOBNodes)(this.getMakerLimitAsks(marketIndex, slot, marketType, oraclePriceData, fallbackBid), oraclePriceData, slot);
+        const fallbackAskGenerators = fallbackL2Generators.map((fallbackL2Generator) => {
+            return fallbackL2Generator.getL2Asks();
+        });
+        const askL2LevelGenerator = (0, orderBookLevels_1.mergeL2LevelGenerators)([makerAskL2LevelGenerator, ...fallbackAskGenerators], (a, b) => {
+            return a.price.lt(b.price);
+        });
+        const asks = (0, orderBookLevels_1.createL2Levels)(askL2LevelGenerator, depth);
+        const makerBidGenerator = (0, orderBookLevels_1.getL2GeneratorFromDLOBNodes)(this.getMakerLimitBids(marketIndex, slot, marketType, oraclePriceData, fallbackAsk), oraclePriceData, slot);
+        const fallbackBidGenerators = fallbackL2Generators.map((fallbackOrders) => {
+            return fallbackOrders.getL2Bids();
+        });
+        const bidL2LevelGenerator = (0, orderBookLevels_1.mergeL2LevelGenerators)([makerBidGenerator, ...fallbackBidGenerators], (a, b) => {
+            return a.price.gt(b.price);
+        });
+        const bids = (0, orderBookLevels_1.createL2Levels)(bidL2LevelGenerator, depth);
+        return {
+            bids,
+            asks,
+        };
+    }
+    /**
+     * Get an L3 view of the order book for a given market. Does not include fallback liquidity sources
+     *
+     * @param marketIndex
+     * @param marketType
+     * @param slot
+     * @param oraclePriceData
+     */
+    getL3({ marketIndex, marketType, slot, oraclePriceData, }) {
+        const bids = [];
+        const asks = [];
+        const restingAsks = this.getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData);
+        for (const ask of restingAsks) {
+            asks.push({
+                price: ask.getPrice(oraclePriceData, slot),
+                size: ask.order.baseAssetAmount.sub(ask.order.baseAssetAmountFilled),
+                maker: ask.userAccount,
+                orderId: ask.order.orderId,
+            });
+        }
+        const restingBids = this.getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData);
+        for (const bid of restingBids) {
+            bids.push({
+                price: bid.getPrice(oraclePriceData, slot),
+                size: bid.order.baseAssetAmount.sub(bid.order.baseAssetAmountFilled),
+                maker: bid.userAccount,
+                orderId: bid.order.orderId,
+            });
+        }
+        return {
+            bids,
+            asks,
+        };
+    }
 }
 exports.DLOB = DLOB;

package/lib/dlob/DLOBApiClient.js

@@ -16,7 +16,7 @@ class DLOBApiClient {
     async getDLOB(slot) {
         const r = await (0, node_fetch_1.default)(this.url);
         if (!r.ok) {
-            throw new Error(`Failed to fetch DLOB from ${this.url}`);
+            throw new Error(`Failed to fetch DLOB from ${this.url}. Status: ${r.status}, ${r.statusText}`);
         }
         const resp = await r.json();
         const responseSlot = resp['slot'];

package/lib/dlob/DLOBNode.d.ts

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { BN, OraclePriceData, Order } from '..';
 import { PublicKey } from '@solana/web3.js';
 export interface DLOBNode {

package/lib/dlob/DLOBSubscriber.d.ts

@@ -4,7 +4,11 @@ import { DLOB } from './DLOB';
 import { EventEmitter } from 'events';
 import StrictEventEmitter from 'strict-event-emitter-types';
 import { DLOBSource, DLOBSubscriberEvents, DLOBSubscriptionConfig, SlotSource } from './types';
+import { DriftClient } from '../driftClient';
+import { MarketType } from '../types';
+import { L2OrderBook, L2OrderBookGenerator, L3OrderBook } from './orderBookLevels';
 export declare class DLOBSubscriber {
+    driftClient: DriftClient;
     dlobSource: DLOBSource;
     slotSource: SlotSource;
     updateFrequency: number;
@@ -15,5 +19,35 @@ export declare class DLOBSubscriber {
     subscribe(): Promise<void>;
     updateDLOB(): Promise<void>;
     getDLOB(): DLOB;
+    /**
+     * Get the L2 order book for a given market.
+     *
+     * @param marketName e.g. "SOL-PERP" or "SOL". If not provided, marketIndex and marketType must be provided.
+     * @param marketIndex
+     * @param marketType
+     * @param depth Number of orders to include in the order book. Defaults to 10.
+     * @param includeVamm Whether to include the VAMM orders in the order book. Defaults to false. If true, creates vAMM generator {@link getVammL2Generator} and adds it to fallbackL2Generators.
+     * @param fallbackL2Generators L2 generators for fallback liquidity e.g. vAMM {@link getVammL2Generator}, openbook {@link SerumSubscriber}
+     */
+    getL2({ marketName, marketIndex, marketType, depth, includeVamm, fallbackL2Generators, }: {
+        marketName?: string;
+        marketIndex?: number;
+        marketType?: MarketType;
+        depth?: number;
+        includeVamm?: boolean;
+        fallbackL2Generators?: L2OrderBookGenerator[];
+    }): L2OrderBook;
+    /**
+     * Get the L3 order book for a given market.
+     *
+     * @param marketName e.g. "SOL-PERP" or "SOL". If not provided, marketIndex and marketType must be provided.
+     * @param marketIndex
+     * @param marketType
+     */
+    getL3({ marketName, marketIndex, marketType, }: {
+        marketName?: string;
+        marketIndex?: number;
+        marketType?: MarketType;
+    }): L3OrderBook;
     unsubscribe(): Promise<void>;
 }

package/lib/dlob/DLOBSubscriber.js

@@ -3,9 +3,13 @@ Object.defineProperty(exports, "__esModule", { value: true });
 exports.DLOBSubscriber = void 0;
 const DLOB_1 = require("./DLOB");
 const events_1 = require("events");
+const types_1 = require("../types");
+const orderBookLevels_1 = require("./orderBookLevels");
+const market_1 = require("../math/market");
 class DLOBSubscriber {
     constructor(config) {
         this.dlob = new DLOB_1.DLOB();
+        this.driftClient = config.driftClient;
         this.dlobSource = config.dlobSource;
         this.slotSource = config.slotSource;
         this.updateFrequency = config.updateFrequency;
@@ -32,6 +36,102 @@ class DLOBSubscriber {
     getDLOB() {
         return this.dlob;
     }
+    /**
+     * Get the L2 order book for a given market.
+     *
+     * @param marketName e.g. "SOL-PERP" or "SOL". If not provided, marketIndex and marketType must be provided.
+     * @param marketIndex
+     * @param marketType
+     * @param depth Number of orders to include in the order book. Defaults to 10.
+     * @param includeVamm Whether to include the VAMM orders in the order book. Defaults to false. If true, creates vAMM generator {@link getVammL2Generator} and adds it to fallbackL2Generators.
+     * @param fallbackL2Generators L2 generators for fallback liquidity e.g. vAMM {@link getVammL2Generator}, openbook {@link SerumSubscriber}
+     */
+    getL2({ marketName, marketIndex, marketType, depth = 10, includeVamm = false, fallbackL2Generators = [], }) {
+        if (marketName) {
+            const derivedMarketInfo = this.driftClient.getMarketIndexAndType(marketName);
+            if (!derivedMarketInfo) {
+                throw new Error(`Market ${marketName} not found`);
+            }
+            marketIndex = derivedMarketInfo.marketIndex;
+            marketType = derivedMarketInfo.marketType;
+        }
+        else {
+            if (marketIndex === undefined || marketType === undefined) {
+                throw new Error('Either marketName or marketIndex and marketType must be provided');
+            }
+        }
+        let oraclePriceData;
+        let fallbackBid;
+        let fallbackAsk;
+        const isPerp = (0, types_1.isVariant)(marketType, 'perp');
+        if (isPerp) {
+            const perpMarketAccount = this.driftClient.getPerpMarketAccount(marketIndex);
+            oraclePriceData = this.driftClient.getOraclePriceDataAndSlot(perpMarketAccount.amm.oracle);
+            fallbackBid = (0, market_1.calculateBidPrice)(perpMarketAccount, oraclePriceData);
+            fallbackAsk = (0, market_1.calculateAskPrice)(perpMarketAccount, oraclePriceData);
+        }
+        else {
+            oraclePriceData =
+                this.driftClient.getOracleDataForSpotMarket(marketIndex);
+        }
+        if (isPerp && includeVamm) {
+            fallbackL2Generators = [
+                (0, orderBookLevels_1.getVammL2Generator)({
+                    marketAccount: this.driftClient.getPerpMarketAccount(marketIndex),
+                    oraclePriceData,
+                    numOrders: depth,
+                }),
+            ];
+        }
+        return this.dlob.getL2({
+            marketIndex,
+            marketType,
+            depth,
+            oraclePriceData,
+            slot: this.slotSource.getSlot(),
+            fallbackBid,
+            fallbackAsk,
+            fallbackL2Generators: fallbackL2Generators,
+        });
+    }
+    /**
+     * Get the L3 order book for a given market.
+     *
+     * @param marketName e.g. "SOL-PERP" or "SOL". If not provided, marketIndex and marketType must be provided.
+     * @param marketIndex
+     * @param marketType
+     */
+    getL3({ marketName, marketIndex, marketType, }) {
+        if (marketName) {
+            const derivedMarketInfo = this.driftClient.getMarketIndexAndType(marketName);
+            if (!derivedMarketInfo) {
+                throw new Error(`Market ${marketName} not found`);
+            }
+            marketIndex = derivedMarketInfo.marketIndex;
+            marketType = derivedMarketInfo.marketType;
+        }
+        else {
+            if (marketIndex === undefined || marketType === undefined) {
+                throw new Error('Either marketName or marketIndex and marketType must be provided');
+            }
+        }
+        let oraclePriceData;
+        const isPerp = (0, types_1.isVariant)(marketType, 'perp');
+        if (isPerp) {
+            oraclePriceData =
+                this.driftClient.getOracleDataForPerpMarket(marketIndex);
+        }
+        else {
+            oraclePriceData =
+                this.driftClient.getOracleDataForSpotMarket(marketIndex);
+        }
+        return this.dlob.getL3({
+            marketIndex,
+            marketType,
+            oraclePriceData,
+            slot: this.slotSource.getSlot(),
+        });
+    }
     async unsubscribe() {
         if (this.intervalId) {
             clearInterval(this.intervalId);

package/lib/dlob/NodeList.d.ts

@@ -1,4 +1,3 @@
-/// <reference types="bn.js" />
 import { BN, MarketTypeStr, Order } from '..';
 import { PublicKey } from '@solana/web3.js';
 import { DLOBNode, DLOBNodeMap } from './DLOBNode';

package/lib/dlob/orderBookLevels.d.ts

@@ -0,0 +1,44 @@
+import { BN, DLOBNode, OraclePriceData, PerpMarketAccount } from '..';
+import { PublicKey } from '@solana/web3.js';
+type liquiditySource = 'serum' | 'vamm' | 'dlob';
+export type L2Level = {
+    price: BN;
+    size: BN;
+    sources: {
+        [key in liquiditySource]?: BN;
+    };
+};
+export type L2OrderBook = {
+    asks: L2Level[];
+    bids: L2Level[];
+};
+export interface L2OrderBookGenerator {
+    getL2Asks(): Generator<L2Level>;
+    getL2Bids(): Generator<L2Level>;
+}
+export type L3Level = {
+    price: BN;
+    size: BN;
+    maker: PublicKey;
+    orderId: number;
+};
+export type L3OrderBook = {
+    asks: L3Level[];
+    bids: L3Level[];
+};
+/**
+ * Get an {@link Generator<L2Level>} generator from a {@link Generator<DLOBNode>}
+ * @param dlobNodes e.g. {@link DLOB#getMakerLimitAsks} or {@link DLOB#getMakerLimitBids}
+ * @param oraclePriceData
+ * @param slot
+ */
+export declare function getL2GeneratorFromDLOBNodes(dlobNodes: Generator<DLOBNode>, oraclePriceData: OraclePriceData, slot: number): Generator<L2Level>;
+export declare function mergeL2LevelGenerators(l2LevelGenerators: Generator<L2Level>[], compare: (a: L2Level, b: L2Level) => boolean): Generator<L2Level>;
+export declare function createL2Levels(generator: Generator<L2Level>, depth: number): L2Level[];
+export declare function getVammL2Generator({ marketAccount, oraclePriceData, numOrders, now, }: {
+    marketAccount: PerpMarketAccount;
+    oraclePriceData: OraclePriceData;
+    numOrders: number;
+    now?: BN;
+}): L2OrderBookGenerator;
+export {};