@drift-labs/sdk 2.65.0-beta.4 → 2.65.0-beta.5

package/VERSION

@@ -1 +1 @@
-2.65.0-beta.4
+2.65.0-beta.5

package/lib/dlob/orderBookLevels.js

@@ -311,6 +311,18 @@ function uncrossL2(bids, asks, oraclePrice, oracleTwap5Min, markTwap5Min, groupi
     const referencePrice = oraclePrice.add(markTwap5Min.sub(oracleTwap5Min));
     let bidIndex = 0;
     let askIndex = 0;
+    let maxBid;
+    let minAsk;
+    const getPriceAndSetBound = (newPrice, direction) => {
+        if ((0, __1.isVariant)(direction, 'long')) {
+            maxBid = maxBid ? __1.BN.min(maxBid, newPrice) : newPrice;
+            return maxBid;
+        }
+        else {
+            minAsk = minAsk ? __1.BN.max(minAsk, newPrice) : newPrice;
+            return minAsk;
+        }
+    };
     while (bidIndex < bids.length || askIndex < asks.length) {
         const nextBid = cloneL2Level(bids[bidIndex]);
         const nextAsk = cloneL2Level(asks[askIndex]);
@@ -337,19 +349,23 @@ function uncrossL2(bids, asks, oraclePrice, oracleTwap5Min, markTwap5Min, groupi
             }
             if (nextBid.price.gt(referencePrice) &&
                 nextAsk.price.gt(referencePrice)) {
-                const newBidPrice = nextAsk.price.sub(grouping);
+                let newBidPrice = nextAsk.price.sub(grouping);
+                newBidPrice = getPriceAndSetBound(newBidPrice, __1.PositionDirection.LONG);
                 updateLevels(newBidPrice, nextBid, newBids);
                 bidIndex++;
             }
             else if (nextAsk.price.lt(referencePrice) &&
                 nextBid.price.lt(referencePrice)) {
-                const newAskPrice = nextBid.price.add(grouping);
+                let newAskPrice = nextBid.price.add(grouping);
+                newAskPrice = getPriceAndSetBound(newAskPrice, __1.PositionDirection.SHORT);
                 updateLevels(newAskPrice, nextAsk, newAsks);
                 askIndex++;
             }
             else {
-                const newBidPrice = referencePrice.sub(grouping);
-                const newAskPrice = referencePrice.add(grouping);
+                let newBidPrice = referencePrice.sub(grouping);
+                let newAskPrice = referencePrice.add(grouping);
+                newBidPrice = getPriceAndSetBound(newBidPrice, __1.PositionDirection.LONG);
+                newAskPrice = getPriceAndSetBound(newAskPrice, __1.PositionDirection.SHORT);
                 updateLevels(newBidPrice, nextBid, newBids);
                 updateLevels(newAskPrice, nextAsk, newAsks);
                 bidIndex++;
@@ -357,9 +373,21 @@ function uncrossL2(bids, asks, oraclePrice, oracleTwap5Min, markTwap5Min, groupi
             }
         }
         else {
-            newAsks.push(nextAsk);
+            if (minAsk && nextAsk.price.lte(minAsk)) {
+                const newAskPrice = getPriceAndSetBound(nextAsk.price, __1.PositionDirection.SHORT);
+                updateLevels(newAskPrice, nextAsk, newAsks);
+            }
+            else {
+                newAsks.push(nextAsk);
+            }
             askIndex++;
-            newBids.push(nextBid);
+            if (maxBid && nextBid.price.gte(maxBid)) {
+                const newBidPrice = getPriceAndSetBound(nextBid.price, __1.PositionDirection.LONG);
+                updateLevels(newBidPrice, nextBid, newBids);
+            }
+            else {
+                newBids.push(nextBid);
+            }
             bidIndex++;
         }
     }

package/lib/userMap/userMap.d.ts

@@ -8,8 +8,8 @@ export interface UserMapInterface {
     has(key: string): boolean;
     get(key: string): User | undefined;
     getWithSlot(key: string): DataAndSlot<User> | undefined;
-    mustGet(key: string): Promise<User>;
-    mustGetWithSlot(key: string): Promise<DataAndSlot<User>>;
+    mustGet(key: string, accountSubscription?: UserSubscriptionConfig): Promise<User>;
+    mustGetWithSlot(key: string, accountSubscription?: UserSubscriptionConfig): Promise<DataAndSlot<User>>;
     getUserAuthority(key: string): PublicKey | undefined;
     updateWithOrderRecord(record: OrderRecord): Promise<void>;
     values(): IterableIterator<User>;

package/lib/userMap/userMap.js

@@ -73,6 +73,7 @@ class UserMap {
         await this.subscription.subscribe();
     }
     async addPubkey(userAccountPublicKey, userAccount, slot, accountSubscription) {
+        var _a;
         const user = new __1.User({
             driftClient: this.driftClient,
             userAccountPublicKey,
@@ -84,7 +85,7 @@ class UserMap {
         await user.subscribe(userAccount);
         this.userMap.set(userAccountPublicKey.toString(), {
             data: user,
-            slot: slot !== null && slot !== void 0 ? slot : -1,
+            slot: (_a = user.getUserAccountAndSlot().slot) !== null && _a !== void 0 ? _a : -1,
         });
     }
     has(key) {

package/package.json

@@ -1,6 +1,6 @@
 {
 	"name": "@drift-labs/sdk",
-	"version": "2.65.0-beta.4",
+	"version": "2.65.0-beta.5",
 	"main": "lib/index.js",
 	"types": "lib/index.d.ts",
 	"author": "crispheaney",

package/src/dlob/orderBookLevels.ts

@@ -7,6 +7,7 @@ import {
 	calculateSpreadReserves,
 	calculateUpdatedAMM,
 	DLOBNode,
+	isVariant,
 	OraclePriceData,
 	PerpMarketAccount,
 	PositionDirection,
@@ -492,6 +493,19 @@ export function uncrossL2(
 
 	let bidIndex = 0;
 	let askIndex = 0;
+	let maxBid: BN;
+	let minAsk: BN;
+
+	const getPriceAndSetBound = (newPrice: BN, direction: PositionDirection) => {
+		if (isVariant(direction, 'long')) {
+			maxBid = maxBid ? BN.min(maxBid, newPrice) : newPrice;
+			return maxBid;
+		} else {
+			minAsk = minAsk ? BN.max(minAsk, newPrice) : newPrice;
+			return minAsk;
+		}
+	};
+
 	while (bidIndex < bids.length || askIndex < asks.length) {
 		const nextBid = cloneL2Level(bids[bidIndex]);
 		const nextAsk = cloneL2Level(asks[askIndex]);
@@ -525,29 +539,51 @@ export function uncrossL2(
 				nextBid.price.gt(referencePrice) &&
 				nextAsk.price.gt(referencePrice)
 			) {
-				const newBidPrice = nextAsk.price.sub(grouping);
+				let newBidPrice = nextAsk.price.sub(grouping);
+				newBidPrice = getPriceAndSetBound(newBidPrice, PositionDirection.LONG);
 				updateLevels(newBidPrice, nextBid, newBids);
 				bidIndex++;
 			} else if (
 				nextAsk.price.lt(referencePrice) &&
 				nextBid.price.lt(referencePrice)
 			) {
-				const newAskPrice = nextBid.price.add(grouping);
+				let newAskPrice = nextBid.price.add(grouping);
+				newAskPrice = getPriceAndSetBound(newAskPrice, PositionDirection.SHORT);
 				updateLevels(newAskPrice, nextAsk, newAsks);
 				askIndex++;
 			} else {
-				const newBidPrice = referencePrice.sub(grouping);
-				const newAskPrice = referencePrice.add(grouping);
+				let newBidPrice = referencePrice.sub(grouping);
+				let newAskPrice = referencePrice.add(grouping);
+
+				newBidPrice = getPriceAndSetBound(newBidPrice, PositionDirection.LONG);
+				newAskPrice = getPriceAndSetBound(newAskPrice, PositionDirection.SHORT);
+
 				updateLevels(newBidPrice, nextBid, newBids);
 				updateLevels(newAskPrice, nextAsk, newAsks);
 				bidIndex++;
 				askIndex++;
 			}
 		} else {
-			newAsks.push(nextAsk);
+			if (minAsk && nextAsk.price.lte(minAsk)) {
+				const newAskPrice = getPriceAndSetBound(
+					nextAsk.price,
+					PositionDirection.SHORT
+				);
+				updateLevels(newAskPrice, nextAsk, newAsks);
+			} else {
+				newAsks.push(nextAsk);
+			}
 			askIndex++;
 
-			newBids.push(nextBid);
+			if (maxBid && nextBid.price.gte(maxBid)) {
+				const newBidPrice = getPriceAndSetBound(
+					nextBid.price,
+					PositionDirection.LONG
+				);
+				updateLevels(newBidPrice, nextBid, newBids);
+			} else {
+				newBids.push(nextBid);
+			}
 			bidIndex++;
 		}
 	}

package/src/userMap/userMap.ts

@@ -42,8 +42,14 @@ export interface UserMapInterface {
 	has(key: string): boolean;
 	get(key: string): User | undefined;
 	getWithSlot(key: string): DataAndSlot<User> | undefined;
-	mustGet(key: string): Promise<User>;
-	mustGetWithSlot(key: string): Promise<DataAndSlot<User>>;
+	mustGet(
+		key: string,
+		accountSubscription?: UserSubscriptionConfig
+	): Promise<User>;
+	mustGetWithSlot(
+		key: string,
+		accountSubscription?: UserSubscriptionConfig
+	): Promise<DataAndSlot<User>>;
 	getUserAuthority(key: string): PublicKey | undefined;
 	updateWithOrderRecord(record: OrderRecord): Promise<void>;
 	values(): IterableIterator<User>;
@@ -158,7 +164,7 @@ export class UserMap implements UserMapInterface {
 		await user.subscribe(userAccount);
 		this.userMap.set(userAccountPublicKey.toString(), {
 			data: user,
-			slot: slot ?? -1,
+			slot: user.getUserAccountAndSlot().slot ?? -1,
 		});
 	}
 

package/tests/dlob/test.ts

@@ -6677,4 +6677,67 @@ describe('Uncross L2', () => {
 		expect(asksAreSortedAsc(newAsks), "Uncrossed asks are ascending").to.be.true;
 		expect(bidsAreSortedDesc(newBids), "Uncrossed bids are descending").to.be.true;
 	});
+	
+	it('Crossing edge case : top bid and ask have a big cross, following ones dont - shouldnt get uncrossed out of order', () => {
+		const bids = [
+			"101825900",
+			"101783900",
+			"101783000",
+			"101782600",
+			"101770700",
+			"101770200",
+			"101749857",
+			"101735900",
+			"101729994",
+			"101726900",
+		  ].map(priceStr => (
+			{
+				price: new BN(priceStr),
+				size: new BN(1).mul(BASE_PRECISION),
+				sources: { vamm: new BN(1).mul(BASE_PRECISION) },
+			}
+		));
+
+		const asks = [
+			"101750700",
+			"101790467",
+			"101793400",
+			"101794116",
+			"101798548",
+			"101799532",
+			"101803500",
+			"101820927",
+			"101823900",
+			"101827638",
+		  ].map(priceStr => ({
+			price: new BN(priceStr),
+			size: new BN(1).mul(BASE_PRECISION),
+			sources: { vamm: new BN(1).mul(BASE_PRECISION) },
+		}));
+
+		expect(asksAreSortedAsc(asks), "Input asks are ascending").to.be.true;
+		expect(bidsAreSortedDesc(bids), "Input bids are descending").to.be.true;
+
+		const oraclePrice = new BN("101711384");
+		const oraclePrice5Min = new BN("101805000");
+		const markPrice5Min = new BN("101867000");
+
+		const groupingSize = new BN("100");
+
+		const userAsks = new Set<string>();
+
+		const { bids: newBids, asks: newAsks } = uncrossL2(
+			bids,
+			asks,
+			oraclePrice,
+			oraclePrice5Min,
+			markPrice5Min,
+			groupingSize,
+			new Set<string>(),
+			userAsks
+		);
+
+		expect(asksAreSortedAsc(newAsks), "Uncrossed asks are ascending").to.be.true;
+		expect(bidsAreSortedDesc(newBids), "Uncrossed bids are descending").to.be.true;
+	});
 });