@drift-labs/sdk 2.43.0-beta.5 → 2.43.0-beta.7

package/VERSION

@@ -1 +1 @@
-2.43.0-beta.5
+2.43.0-beta.7

package/lib/dlob/DLOB.js

@@ -956,6 +956,7 @@ class DLOB {
         return {
             bids,
             asks,
+            slot,
         };
     }
     /**
@@ -990,6 +991,7 @@ class DLOB {
         return {
             bids,
             asks,
+            slot,
         };
     }
     estimateFillExactBaseAmountInForSide(baseAmountIn, oraclePriceData, slot, dlobSide) {

package/lib/dlob/orderBookLevels.d.ts

@@ -12,6 +12,7 @@ export type L2Level = {
 export type L2OrderBook = {
     asks: L2Level[];
     bids: L2Level[];
+    slot?: number;
 };
 export interface L2OrderBookGenerator {
     getL2Asks(): Generator<L2Level>;
@@ -26,6 +27,7 @@ export type L3Level = {
 export type L3OrderBook = {
     asks: L3Level[];
     bids: L3Level[];
+    slot?: number;
 };
 export declare const DEFAULT_TOP_OF_BOOK_QUOTE_AMOUNTS: BN[];
 /**

package/lib/dlob/orderBookLevels.js

@@ -92,7 +92,14 @@ function getVammL2Generator({ marketAccount, oraclePriceData, numOrders, now, to
         (0, assert_1.assert)(topOfBookQuoteAmounts.length < numOrders);
     }
     const updatedAmm = (0, __1.calculateUpdatedAMM)(marketAccount.amm, oraclePriceData);
-    const [openBids, openAsks] = (0, __1.calculateMarketOpenBidAsk)(updatedAmm.baseAssetReserve, updatedAmm.minBaseAssetReserve, updatedAmm.maxBaseAssetReserve, updatedAmm.orderStepSize);
+    let [openBids, openAsks] = (0, __1.calculateMarketOpenBidAsk)(updatedAmm.baseAssetReserve, updatedAmm.minBaseAssetReserve, updatedAmm.maxBaseAssetReserve, updatedAmm.orderStepSize);
+    const minOrderSize = marketAccount.amm.orderStepSize;
+    if (openBids.lt(minOrderSize.muln(2))) {
+        openBids = __1.ZERO;
+    }
+    if (openAsks.abs().lt(minOrderSize.muln(2))) {
+        openAsks = __1.ZERO;
+    }
     now = now !== null && now !== void 0 ? now : new __1.BN(Date.now() / 1000);
     const [bidReserves, askReserves] = (0, __1.calculateSpreadReserves)(updatedAmm, oraclePriceData, now);
     let numBids = 0;

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.43.0-beta.5",
+	"version": "2.43.0-beta.7",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/dlob/DLOB.ts

@@ -1725,6 +1725,7 @@ export class DLOB {
 		return {
 			bids,
 			asks,
+			slot,
 		};
 	}
 
@@ -1785,6 +1786,7 @@ export class DLOB {
 		return {
 			bids,
 			asks,
+			slot,
 		};
 	}
 

package/src/dlob/orderBookLevels.ts

@@ -29,6 +29,7 @@ export type L2Level = {
 export type L2OrderBook = {
 	asks: L2Level[];
 	bids: L2Level[];
+	slot?: number;
 };
 
 export interface L2OrderBookGenerator {
@@ -46,6 +47,7 @@ export type L3Level = {
 export type L3OrderBook = {
 	asks: L3Level[];
 	bids: L3Level[];
+	slot?: number;
 };
 
 export const DEFAULT_TOP_OF_BOOK_QUOTE_AMOUNTS = [
@@ -164,13 +166,22 @@ export function getVammL2Generator({
 
 	const updatedAmm = calculateUpdatedAMM(marketAccount.amm, oraclePriceData);
 
-	const [openBids, openAsks] = calculateMarketOpenBidAsk(
+	let [openBids, openAsks] = calculateMarketOpenBidAsk(
 		updatedAmm.baseAssetReserve,
 		updatedAmm.minBaseAssetReserve,
 		updatedAmm.maxBaseAssetReserve,
 		updatedAmm.orderStepSize
 	);
 
+	const minOrderSize = marketAccount.amm.orderStepSize;
+	if (openBids.lt(minOrderSize.muln(2))) {
+		openBids = ZERO;
+	}
+
+	if (openAsks.abs().lt(minOrderSize.muln(2))) {
+		openAsks = ZERO;
+	}
+
 	now = now ?? new BN(Date.now() / 1000);
 	const [bidReserves, askReserves] = calculateSpreadReserves(
 		updatedAmm,

package/tests/amm/test.ts

@@ -956,4 +956,82 @@ describe('AMM Tests', () => {
 		);
 		assert(totalAskSize.sub(openAsks.abs()).lte(new BN(5))); // only tiny rounding errors
 	});
+
+	it('orderbook L2 gen (no topOfBookQuoteAmounts, 10 numOrders, no liquidity)', async () => {
+		const myMockPerpMarkets = _.cloneDeep(mockPerpMarkets);
+
+		const mockMarket1: PerpMarketAccount = myMockPerpMarkets[0];
+		const cc = 38104569;
+		mockMarket1.amm.baseAssetReserve = new BN(cc).mul(BASE_PRECISION);
+		mockMarket1.amm.minOrderSize = new BN(5);
+		mockMarket1.amm.maxBaseAssetReserve = mockMarket1.amm.baseAssetReserve.add(
+			new BN(9)
+		);
+		mockMarket1.amm.minBaseAssetReserve =
+			mockMarket1.amm.baseAssetReserve.sub(new BN(9));
+		mockMarket1.amm.quoteAssetReserve = new BN(cc).mul(BASE_PRECISION);
+		mockMarket1.amm.pegMultiplier = new BN(18.32 * PEG_PRECISION.toNumber());
+		mockMarket1.amm.sqrtK = new BN(cc).mul(BASE_PRECISION);
+
+		const now = new BN(1688881915);
+
+		const oraclePriceData: OraclePriceData = {
+			price: new BN(18.624 * PRICE_PRECISION.toNumber()),
+			slot: new BN(0),
+			confidence: new BN(1),
+			hasSufficientNumberOfDataPoints: true,
+		};
+		mockMarket1.amm.historicalOracleData.lastOraclePrice = new BN(
+			18.5535 * PRICE_PRECISION.toNumber()
+		);
+
+		const updatedAmm = calculateUpdatedAMM(mockMarket1.amm, oraclePriceData);
+
+		const [openBids, openAsks] = calculateMarketOpenBidAsk(
+			updatedAmm.baseAssetReserve,
+			updatedAmm.minBaseAssetReserve,
+			updatedAmm.maxBaseAssetReserve,
+			updatedAmm.orderStepSize
+		);
+
+		const generator = getVammL2Generator({
+			marketAccount: mockMarket1,
+			oraclePriceData,
+			numOrders: 10,
+			now,
+			topOfBookQuoteAmounts: [],
+		});
+
+		const bids = Array.from(generator.getL2Bids());
+		// console.log(bids);
+
+		const totalBidSize = bids.reduce((total: BN, order: L2Level) => {
+			return total.add(order.size);
+		}, ZERO);
+
+		console.log(
+			'totalBidSize:',
+			totalBidSize.toString(),
+			'openBids:',
+			openBids.toString()
+		);
+		assert(openBids.eq(new BN(9)));
+		assert(totalBidSize.eq(ZERO));
+
+		const asks = Array.from(generator.getL2Asks());
+		// console.log(asks);
+
+		const totalAskSize = asks.reduce((total: BN, order: L2Level) => {
+			return total.add(order.size);
+		}, ZERO);
+		console.log(
+			'totalAskSize:',
+			totalAskSize.toString(),
+			'openAsks:',
+			openAsks.toString()
+		);
+
+		assert(openAsks.eq(new BN(-9)));
+		assert(totalAskSize.eq(ZERO));
+	});
 });