@velocity-exchange/sdk 0.0.1

package/lib/node/dlob/DLOB.js

@@ -0,0 +1,1137 @@
+"use strict";
+Object.defineProperty(exports, "__esModule", { value: true });
+exports.DLOB = void 0;
+/**
+ * DLOB — Decentralized Limit Order Book.
+ *
+ * Maintains an in-memory order book built from on-chain `User` accounts.
+ * Used by keeper bots to identify the best maker orders to match against taker fills.
+ *
+ * Key types:
+ *   {@link DLOBNode}        — a single order node with price/size/user info (DLOBNode.ts)
+ *   {@link DLOBSubscriber}  — subscribes to on-chain accounts and keeps the DLOB live (DLOBSubscriber.ts)
+ *   {@link NodeList}        — sorted linked list of DLOBNodes per side/market (NodeList.ts)
+ *   `orderBookLevels.ts`    — aggregated L2/L3 book level construction for quoting
+ */
+const NodeList_1 = require("./NodeList");
+const anchor_1 = require("../isomorphic/anchor");
+const numericConstants_1 = require("../constants/numericConstants");
+const userName_1 = require("../userName");
+const orders_1 = require("../math/orders");
+const types_1 = require("../types");
+const web3_js_1 = require("@solana/web3.js");
+const exchangeStatus_1 = require("../math/exchangeStatus");
+const orderBookLevels_1 = require("./orderBookLevels");
+const auction_1 = require("../math/auction");
+const conversion_1 = require("../math/conversion");
+const SUPPORTED_ORDER_TYPES = [
+    'market',
+    'limit',
+    'triggerMarket',
+    'triggerLimit',
+    'oracle',
+];
+class DLOB {
+    constructor() {
+        this.openOrders = new Map();
+        this.orderLists = new Map();
+        this.maxSlotForRestingLimitOrders = 0;
+        this.initialized = false;
+        this.init();
+    }
+    init() {
+        this.openOrders.set('perp', new Set());
+        this.openOrders.set('spot', new Set());
+        this.orderLists.set('perp', new Map());
+        this.orderLists.set('spot', new Map());
+    }
+    clear() {
+        for (const marketType of this.openOrders.keys()) {
+            this.openOrders.get(marketType).clear();
+        }
+        this.openOrders.clear();
+        for (const marketType of this.orderLists.keys()) {
+            for (const marketIndex of this.orderLists.get(marketType).keys()) {
+                const marketNodeLists = this.orderLists
+                    .get(marketType)
+                    .get(marketIndex);
+                for (const side of Object.keys(marketNodeLists)) {
+                    for (const orderType of Object.keys(marketNodeLists[side])) {
+                        marketNodeLists[side][orderType].clear();
+                    }
+                }
+            }
+        }
+        this.orderLists.clear();
+        this.maxSlotForRestingLimitOrders = 0;
+        this.init();
+    }
+    /**
+     * initializes a new DLOB instance
+     *
+     * @returns a promise that resolves when the DLOB is initialized
+     */
+    async initFromUserMap(userMap, slot) {
+        var _a;
+        if (this.initialized) {
+            return false;
+        }
+        // initialize the dlob with the user map
+        for (const user of userMap.values()) {
+            const userAccount = user.getUserAccount();
+            const userAccountPubkey = user.getUserAccountPublicKey();
+            const userAccountPubkeyString = userAccountPubkey.toString();
+            for (const order of userAccount.orders) {
+                let baseAssetAmount = order.baseAssetAmount;
+                if (order.reduceOnly) {
+                    const existingBaseAmount = ((_a = userAccount.perpPositions.find((pos) => pos.marketIndex === order.marketIndex && pos.openOrders > 0)) === null || _a === void 0 ? void 0 : _a.baseAssetAmount) || numericConstants_1.ZERO;
+                    baseAssetAmount = (0, orders_1.calculateOrderBaseAssetAmount)(order, existingBaseAmount);
+                }
+                this.insertOrder(order, userAccountPubkeyString, slot, baseAssetAmount);
+            }
+        }
+        this.initialized = true;
+        return true;
+    }
+    insertOrder(order, userAccount, slot, baseAssetAmount, onInsert) {
+        var _a;
+        if (!(0, types_1.isVariant)(order.status, 'open')) {
+            return;
+        }
+        if (!(0, types_1.isOneOfVariant)(order.orderType, SUPPORTED_ORDER_TYPES)) {
+            return;
+        }
+        const marketType = (0, types_1.getVariant)(order.marketType);
+        if (!this.orderLists.get(marketType).has(order.marketIndex)) {
+            this.addOrderList(marketType, order.marketIndex);
+        }
+        if ((0, types_1.isVariant)(order.status, 'open')) {
+            this.openOrders
+                .get(marketType)
+                .add((0, NodeList_1.getOrderSignature)(order.orderId, userAccount));
+        }
+        (_a = this.getListForOnChainOrder(order, slot)) === null || _a === void 0 ? void 0 : _a.insert(order, marketType, userAccount, baseAssetAmount);
+        if (onInsert) {
+            onInsert();
+        }
+    }
+    insertSignedMsgOrder(order, userAccount, baseAssetAmount, onInsert) {
+        const marketType = (0, types_1.getVariant)(order.marketType);
+        const marketIndex = order.marketIndex;
+        const bidOrAsk = (0, types_1.isVariant)(order.direction, 'long') ? 'bid' : 'ask';
+        if (!this.orderLists.get(marketType).has(order.marketIndex)) {
+            this.addOrderList(marketType, order.marketIndex);
+        }
+        this.openOrders
+            .get(marketType)
+            .add((0, NodeList_1.getOrderSignature)(order.orderId, userAccount));
+        this.orderLists
+            .get(marketType)
+            .get(marketIndex)
+            .signedMsg[bidOrAsk].insert(order, marketType, userAccount, baseAssetAmount);
+        if (onInsert) {
+            onInsert();
+        }
+    }
+    addOrderList(marketType, marketIndex) {
+        this.orderLists.get(marketType).set(marketIndex, {
+            restingLimit: {
+                ask: new NodeList_1.NodeList('restingLimit', 'asc'),
+                bid: new NodeList_1.NodeList('restingLimit', 'desc'),
+            },
+            floatingLimit: {
+                ask: new NodeList_1.NodeList('floatingLimit', 'asc'),
+                bid: new NodeList_1.NodeList('floatingLimit', 'desc'),
+            },
+            takingLimit: {
+                ask: new NodeList_1.NodeList('takingLimit', 'asc'),
+                bid: new NodeList_1.NodeList('takingLimit', 'asc'), // always sort ascending for market orders
+            },
+            market: {
+                ask: new NodeList_1.NodeList('market', 'asc'),
+                bid: new NodeList_1.NodeList('market', 'asc'), // always sort ascending for market orders
+            },
+            trigger: {
+                above: new NodeList_1.NodeList('trigger', 'asc'),
+                below: new NodeList_1.NodeList('trigger', 'desc'),
+            },
+            signedMsg: {
+                ask: new NodeList_1.NodeList('signedMsg', 'asc'),
+                bid: new NodeList_1.NodeList('signedMsg', 'asc'),
+            },
+        });
+    }
+    delete(order, userAccount, slot, onDelete) {
+        var _a;
+        if (!(0, types_1.isVariant)(order.status, 'open')) {
+            return;
+        }
+        this.updateRestingLimitOrders(slot);
+        (_a = this.getListForOnChainOrder(order, slot)) === null || _a === void 0 ? void 0 : _a.remove(order, userAccount.toString());
+        if (onDelete) {
+            onDelete();
+        }
+    }
+    getListForOnChainOrder(order, slot) {
+        const isInactiveTriggerOrder = (0, orders_1.mustBeTriggered)(order) && !(0, orders_1.isTriggered)(order);
+        let type;
+        if (isInactiveTriggerOrder) {
+            type = 'trigger';
+        }
+        else if ((0, types_1.isOneOfVariant)(order.orderType, ['market', 'triggerMarket', 'oracle'])) {
+            type = 'market';
+        }
+        else if (order.oraclePriceOffset !== 0) {
+            type = 'floatingLimit';
+        }
+        else {
+            const isResting = (0, orders_1.isRestingLimitOrder)(order, slot);
+            type = isResting ? 'restingLimit' : 'takingLimit';
+        }
+        let subType;
+        if (isInactiveTriggerOrder) {
+            subType = (0, types_1.isVariant)(order.triggerCondition, 'above') ? 'above' : 'below';
+        }
+        else {
+            subType = (0, types_1.isVariant)(order.direction, 'long') ? 'bid' : 'ask';
+        }
+        const marketType = (0, types_1.getVariant)(order.marketType);
+        if (!this.orderLists.has(marketType)) {
+            return undefined;
+        }
+        return this.orderLists.get(marketType).get(order.marketIndex)[type][subType];
+    }
+    updateRestingLimitOrders(slot) {
+        if (slot <= this.maxSlotForRestingLimitOrders) {
+            return;
+        }
+        this.maxSlotForRestingLimitOrders = slot;
+        this.updateRestingLimitOrdersForMarketType(slot, 'perp');
+        this.updateRestingLimitOrdersForMarketType(slot, 'spot');
+    }
+    updateRestingLimitOrdersForMarketType(slot, marketTypeStr) {
+        for (const [_, nodeLists] of this.orderLists.get(marketTypeStr)) {
+            const nodesToUpdate = [];
+            for (const node of nodeLists.takingLimit.ask.getGenerator()) {
+                if (!(0, orders_1.isRestingLimitOrder)(node.order, slot)) {
+                    continue;
+                }
+                nodesToUpdate.push({
+                    side: 'ask',
+                    node,
+                });
+            }
+            for (const node of nodeLists.takingLimit.bid.getGenerator()) {
+                if (!(0, orders_1.isRestingLimitOrder)(node.order, slot)) {
+                    continue;
+                }
+                nodesToUpdate.push({
+                    side: 'bid',
+                    node,
+                });
+            }
+            for (const nodeToUpdate of nodesToUpdate) {
+                const { side, node } = nodeToUpdate;
+                nodeLists.takingLimit[side].remove(node.order, node.userAccount);
+                nodeLists.restingLimit[side].insert(node.order, marketTypeStr, node.userAccount);
+            }
+        }
+    }
+    getOrder(orderId, userAccount) {
+        const orderSignature = (0, NodeList_1.getOrderSignature)(orderId, userAccount.toString());
+        for (const nodeList of this.getNodeLists()) {
+            const node = nodeList.get(orderSignature);
+            if (node) {
+                return node.order;
+            }
+        }
+        return undefined;
+    }
+    findNodesToFill(marketIndex, fallbackBid, fallbackAsk, slot, ts, marketType, oraclePriceData, stateAccount, marketAccount) {
+        if ((0, exchangeStatus_1.fillPaused)(stateAccount, marketAccount)) {
+            return [];
+        }
+        const isAmmPaused = (0, exchangeStatus_1.ammPaused)(stateAccount, marketAccount);
+        const { makerRebateNumerator, makerRebateDenominator } = this.getMakerRebate(marketType, stateAccount, marketAccount);
+        const takingOrderNodesToFill = this.findTakingNodesToFill(marketIndex, slot, marketType, oraclePriceData, isAmmPaused, stateAccount, marketAccount, fallbackAsk, fallbackBid);
+        const restingLimitOrderNodesToFill = this.findRestingLimitOrderNodesToFill(marketIndex, slot, marketType, oraclePriceData, isAmmPaused, stateAccount, marketAccount, makerRebateNumerator, makerRebateDenominator, fallbackAsk, fallbackBid);
+        // get expired market nodes
+        const expiredNodesToFill = this.findExpiredNodesToFill(marketIndex, ts, marketType, new anchor_1.BN(slot));
+        const stepSize = (0, types_1.isVariant)(marketType, 'perp')
+            ? marketAccount.amm.orderStepSize
+            : marketAccount.orderStepSize;
+        const cancelReduceOnlyNodesToFill = this.findUnfillableReduceOnlyOrdersToCancel(marketIndex, marketType, stepSize);
+        return this.mergeNodesToFill(restingLimitOrderNodesToFill, takingOrderNodesToFill)
+            .concat(expiredNodesToFill)
+            .concat(cancelReduceOnlyNodesToFill);
+    }
+    getMakerRebate(marketType, stateAccount, marketAccount) {
+        let makerRebateNumerator;
+        let makerRebateDenominator;
+        if ((0, types_1.isVariant)(marketType, 'perp')) {
+            makerRebateNumerator =
+                stateAccount.perpFeeStructure.feeTiers[0].makerRebateNumerator;
+            makerRebateDenominator =
+                stateAccount.perpFeeStructure.feeTiers[0].makerRebateDenominator;
+        }
+        else {
+            makerRebateNumerator =
+                stateAccount.spotFeeStructure.feeTiers[0].makerRebateNumerator;
+            makerRebateDenominator =
+                stateAccount.spotFeeStructure.feeTiers[0].makerRebateDenominator;
+        }
+        // @ts-ignore
+        const feeAdjustment = marketAccount.feeAdjustment || 0;
+        if (feeAdjustment !== 0) {
+            makerRebateNumerator += (makerRebateNumerator * feeAdjustment) / 100;
+        }
+        return { makerRebateNumerator, makerRebateDenominator };
+    }
+    mergeNodesToFill(restingLimitOrderNodesToFill, takingOrderNodesToFill) {
+        const mergedNodesToFill = new Map();
+        const mergeNodesToFillHelper = (nodesToFillArray) => {
+            nodesToFillArray.forEach((nodeToFill) => {
+                const nodeSignature = (0, NodeList_1.getOrderSignature)(nodeToFill.node.order.orderId, nodeToFill.node.userAccount);
+                if (!mergedNodesToFill.has(nodeSignature)) {
+                    mergedNodesToFill.set(nodeSignature, {
+                        node: nodeToFill.node,
+                        makerNodes: [],
+                    });
+                }
+                if (nodeToFill.makerNodes) {
+                    mergedNodesToFill
+                        .get(nodeSignature)
+                        .makerNodes.push(...nodeToFill.makerNodes);
+                }
+            });
+        };
+        mergeNodesToFillHelper(restingLimitOrderNodesToFill);
+        mergeNodesToFillHelper(takingOrderNodesToFill);
+        return Array.from(mergedNodesToFill.values());
+    }
+    findRestingLimitOrderNodesToFill(marketIndex, slot, marketType, oraclePriceData, isAmmPaused, stateAccount, marketAccount, makerRebateNumerator, makerRebateDenominator, fallbackAsk, fallbackBid) {
+        const nodesToFill = new Array();
+        const crossingNodes = this.findCrossingRestingLimitOrders(marketIndex, slot, marketType, oraclePriceData);
+        for (const crossingNode of crossingNodes) {
+            nodesToFill.push(crossingNode);
+        }
+        if (fallbackBid && !isAmmPaused) {
+            const askGenerator = this.getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData);
+            const fallbackBidWithBuffer = fallbackBid.sub(fallbackBid.muln(makerRebateNumerator).divn(makerRebateDenominator));
+            const asksCrossingFallback = this.findNodesCrossingFallbackLiquidity(marketType, slot, oraclePriceData, askGenerator, (askPrice) => {
+                return askPrice.lte(fallbackBidWithBuffer);
+            }, stateAccount, marketAccount);
+            for (const askCrossingFallback of asksCrossingFallback) {
+                nodesToFill.push(askCrossingFallback);
+            }
+        }
+        if (fallbackAsk && !isAmmPaused) {
+            const bidGenerator = this.getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData);
+            const fallbackAskWithBuffer = fallbackAsk.add(fallbackAsk.muln(makerRebateNumerator).divn(makerRebateDenominator));
+            const bidsCrossingFallback = this.findNodesCrossingFallbackLiquidity(marketType, slot, oraclePriceData, bidGenerator, (bidPrice) => {
+                return bidPrice.gte(fallbackAskWithBuffer);
+            }, stateAccount, marketAccount);
+            for (const bidCrossingFallback of bidsCrossingFallback) {
+                nodesToFill.push(bidCrossingFallback);
+            }
+        }
+        return nodesToFill;
+    }
+    findTakingNodesToFill(marketIndex, slot, marketType, oraclePriceData, isAmmPaused, state, marketAccount, fallbackAsk, fallbackBid) {
+        const nodesToFill = new Array();
+        let takingOrderGenerator = this.getTakingAsks(marketIndex, marketType, slot, oraclePriceData);
+        const takingAsksCrossingBids = this.findTakingNodesCrossingMakerNodes(marketIndex, slot, marketType, oraclePriceData, takingOrderGenerator, this.getRestingLimitBids.bind(this), (takerPrice, makerPrice) => {
+            if ((0, types_1.isVariant)(marketType, 'spot')) {
+                if (takerPrice === undefined) {
+                    return false;
+                }
+                if (fallbackBid && makerPrice.lt(fallbackBid)) {
+                    return false;
+                }
+            }
+            return takerPrice === undefined || takerPrice.lte(makerPrice);
+        });
+        for (const takingAskCrossingBid of takingAsksCrossingBids) {
+            nodesToFill.push(takingAskCrossingBid);
+        }
+        if (fallbackBid && !isAmmPaused) {
+            takingOrderGenerator = this.getTakingAsks(marketIndex, marketType, slot, oraclePriceData);
+            const takingAsksCrossingFallback = this.findNodesCrossingFallbackLiquidity(marketType, slot, oraclePriceData, takingOrderGenerator, (takerPrice) => {
+                return takerPrice === undefined || takerPrice.lte(fallbackBid);
+            }, state, marketAccount);
+            for (const takingAskCrossingFallback of takingAsksCrossingFallback) {
+                nodesToFill.push(takingAskCrossingFallback);
+            }
+        }
+        takingOrderGenerator = this.getTakingBids(marketIndex, marketType, slot, oraclePriceData);
+        const takingBidsToFill = this.findTakingNodesCrossingMakerNodes(marketIndex, slot, marketType, oraclePriceData, takingOrderGenerator, this.getRestingLimitAsks.bind(this), (takerPrice, makerPrice) => {
+            if ((0, types_1.isVariant)(marketType, 'spot')) {
+                if (takerPrice === undefined) {
+                    return false;
+                }
+                if (fallbackAsk && makerPrice.gt(fallbackAsk)) {
+                    return false;
+                }
+            }
+            return takerPrice === undefined || takerPrice.gte(makerPrice);
+        });
+        for (const takingBidToFill of takingBidsToFill) {
+            nodesToFill.push(takingBidToFill);
+        }
+        if (fallbackAsk && !isAmmPaused) {
+            takingOrderGenerator = this.getTakingBids(marketIndex, marketType, slot, oraclePriceData);
+            const takingBidsCrossingFallback = this.findNodesCrossingFallbackLiquidity(marketType, slot, oraclePriceData, takingOrderGenerator, (takerPrice) => {
+                return takerPrice === undefined || takerPrice.gte(fallbackAsk);
+            }, state, marketAccount);
+            for (const marketBidCrossingFallback of takingBidsCrossingFallback) {
+                nodesToFill.push(marketBidCrossingFallback);
+            }
+        }
+        return nodesToFill;
+    }
+    findTakingNodesCrossingMakerNodes(marketIndex, slot, marketType, oraclePriceData, takerNodeGenerator, makerNodeGeneratorFn, doesCross) {
+        const nodesToFill = new Array();
+        for (const takerNode of takerNodeGenerator) {
+            const makerNodeGenerator = makerNodeGeneratorFn(marketIndex, slot, marketType, oraclePriceData);
+            for (const makerNode of makerNodeGenerator) {
+                // Can't match orders from the same user
+                const sameUser = takerNode.userAccount === makerNode.userAccount;
+                if (sameUser) {
+                    continue;
+                }
+                const makerPrice = makerNode.getPrice(oraclePriceData, slot);
+                const takerPrice = takerNode.getPrice(oraclePriceData, slot);
+                const ordersCross = doesCross(takerPrice, makerPrice);
+                if (!ordersCross) {
+                    // market orders aren't sorted by price, they are sorted by time, so we need to traverse
+                    // through all of em
+                    break;
+                }
+                nodesToFill.push({
+                    node: takerNode,
+                    makerNodes: [makerNode],
+                });
+                const makerOrder = makerNode.order;
+                const takerOrder = takerNode.order;
+                const makerBaseRemaining = makerOrder.baseAssetAmount.sub(makerOrder.baseAssetAmountFilled);
+                const takerBaseRemaining = takerOrder.baseAssetAmount.sub(takerOrder.baseAssetAmountFilled);
+                const baseFilled = anchor_1.BN.min(makerBaseRemaining, takerBaseRemaining);
+                const newMakerOrder = { ...makerOrder };
+                newMakerOrder.baseAssetAmountFilled =
+                    makerOrder.baseAssetAmountFilled.add(baseFilled);
+                this.getListForOnChainOrder(newMakerOrder, slot).update(newMakerOrder, makerNode.userAccount);
+                const newTakerOrder = { ...takerOrder };
+                newTakerOrder.baseAssetAmountFilled =
+                    takerOrder.baseAssetAmountFilled.add(baseFilled);
+                if (takerNode.isSignedMsg) {
+                    const marketTypeStr = (0, types_1.getVariant)(marketType);
+                    const orderList = (0, types_1.isVariant)(takerOrder.direction, 'long')
+                        ? this.orderLists.get(marketTypeStr).get(marketIndex).signedMsg.bid
+                        : this.orderLists.get(marketTypeStr).get(marketIndex).signedMsg.ask;
+                    orderList.update(newTakerOrder, takerNode.userAccount);
+                }
+                else {
+                    this.getListForOnChainOrder(newTakerOrder, slot).update(newTakerOrder, takerNode.userAccount);
+                }
+                if (newTakerOrder.baseAssetAmountFilled.eq(takerOrder.baseAssetAmount)) {
+                    break;
+                }
+            }
+        }
+        return nodesToFill;
+    }
+    findNodesCrossingFallbackLiquidity(marketType, slot, oraclePriceData, nodeGenerator, doesCross, state, marketAccount) {
+        var _a;
+        const nodesToFill = new Array();
+        let nextNode = nodeGenerator.next();
+        while (!nextNode.done) {
+            const node = nextNode.value;
+            if ((0, types_1.isVariant)(marketType, 'spot') && ((_a = node.order) === null || _a === void 0 ? void 0 : _a.postOnly)) {
+                nextNode = nodeGenerator.next();
+                continue;
+            }
+            const nodePrice = (0, orders_1.getLimitPrice)(node.order, oraclePriceData, slot);
+            // order crosses if there is no limit price or it crosses fallback price
+            const crosses = doesCross(nodePrice);
+            // fallback is available if auction is complete or it's a spot order
+            const fallbackAvailable = (0, types_1.isVariant)(marketType, 'spot') ||
+                (0, auction_1.isFallbackAvailableLiquiditySource)(node.order, oraclePriceData, slot, state, marketAccount);
+            if (crosses && fallbackAvailable) {
+                nodesToFill.push({
+                    node: node,
+                    makerNodes: [], // filled by fallback
+                });
+            }
+            nextNode = nodeGenerator.next();
+        }
+        return nodesToFill;
+    }
+    findExpiredNodesToFill(marketIndex, ts, marketType, slot) {
+        const nodesToFill = new Array();
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const nodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        if (!nodeLists) {
+            return nodesToFill;
+        }
+        // All bids/asks that can expire
+        // dont try to expire limit orders with tif as its inefficient use of blockspace
+        const bidGenerators = [
+            nodeLists.takingLimit.bid.getGenerator(),
+            nodeLists.restingLimit.bid.getGenerator(),
+            nodeLists.floatingLimit.bid.getGenerator(),
+            nodeLists.market.bid.getGenerator(),
+            nodeLists.signedMsg.bid.getGenerator(),
+        ];
+        const askGenerators = [
+            nodeLists.takingLimit.ask.getGenerator(),
+            nodeLists.restingLimit.ask.getGenerator(),
+            nodeLists.floatingLimit.ask.getGenerator(),
+            nodeLists.market.ask.getGenerator(),
+            nodeLists.signedMsg.ask.getGenerator(),
+        ];
+        for (const bidGenerator of bidGenerators) {
+            for (const bid of bidGenerator) {
+                if (bid.isSignedMsg &&
+                    slot.gt(bid.order.slot.addn(bid.order.auctionDuration))) {
+                    this.orderLists
+                        .get(marketTypeStr)
+                        .get(marketIndex)
+                        .signedMsg.bid.remove(bid.order, bid.userAccount);
+                }
+                else if ((0, orders_1.isOrderExpired)(bid.order, ts, true, 25)) {
+                    nodesToFill.push({
+                        node: bid,
+                        makerNodes: [],
+                    });
+                }
+            }
+        }
+        for (const askGenerator of askGenerators) {
+            for (const ask of askGenerator) {
+                if (ask.isSignedMsg &&
+                    slot.gt(ask.order.slot.addn(ask.order.auctionDuration))) {
+                    this.orderLists
+                        .get(marketTypeStr)
+                        .get(marketIndex)
+                        .signedMsg.ask.remove(ask.order, ask.userAccount);
+                }
+                else if ((0, orders_1.isOrderExpired)(ask.order, ts, true, 25)) {
+                    nodesToFill.push({
+                        node: ask,
+                        makerNodes: [],
+                    });
+                }
+            }
+        }
+        return nodesToFill;
+    }
+    findUnfillableReduceOnlyOrdersToCancel(marketIndex, marketType, stepSize) {
+        const nodesToFill = new Array();
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const nodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        if (!nodeLists) {
+            return nodesToFill;
+        }
+        const generators = [
+            nodeLists.takingLimit.bid.getGenerator(),
+            nodeLists.restingLimit.bid.getGenerator(),
+            nodeLists.floatingLimit.bid.getGenerator(),
+            nodeLists.market.bid.getGenerator(),
+            nodeLists.signedMsg.bid.getGenerator(),
+            nodeLists.takingLimit.ask.getGenerator(),
+            nodeLists.restingLimit.ask.getGenerator(),
+            nodeLists.floatingLimit.ask.getGenerator(),
+            nodeLists.market.ask.getGenerator(),
+            nodeLists.signedMsg.ask.getGenerator(),
+            nodeLists.trigger.above.getGenerator(),
+            nodeLists.trigger.below.getGenerator(),
+        ];
+        for (const generator of generators) {
+            for (const node of generator) {
+                if (!node.order.reduceOnly) {
+                    continue;
+                }
+                if (node.baseAssetAmount.lt(stepSize)) {
+                    nodesToFill.push({
+                        node,
+                        makerNodes: [],
+                    });
+                }
+            }
+        }
+        return nodesToFill;
+    }
+    *getTakingBids(marketIndex, marketType, slot, oraclePriceData, filterFcn) {
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const orderLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        if (!orderLists) {
+            return;
+        }
+        this.updateRestingLimitOrders(slot);
+        const generatorList = [
+            orderLists.market.bid.getGenerator(),
+            orderLists.takingLimit.bid.getGenerator(),
+            this.signedMsgGenerator(orderLists.signedMsg.bid, (x) => !(0, orders_1.isRestingLimitOrder)(x.order, slot)),
+        ];
+        yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode) => {
+            return bestNode.order.slot.lt(currentNode.order.slot);
+        }, filterFcn);
+    }
+    *getTakingAsks(marketIndex, marketType, slot, oraclePriceData, filterFcn) {
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const orderLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        if (!orderLists) {
+            return;
+        }
+        this.updateRestingLimitOrders(slot);
+        const generatorList = [
+            orderLists.market.ask.getGenerator(),
+            orderLists.takingLimit.ask.getGenerator(),
+            this.signedMsgGenerator(orderLists.signedMsg.ask, (x) => !(0, orders_1.isRestingLimitOrder)(x.order, slot)),
+        ];
+        yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode) => {
+            return bestNode.order.slot.lt(currentNode.order.slot);
+        }, filterFcn);
+    }
+    *signedMsgGenerator(signedMsgOrderList, filter) {
+        for (const signedMsgOrder of signedMsgOrderList.getGenerator()) {
+            if (filter(signedMsgOrder)) {
+                yield signedMsgOrder;
+            }
+        }
+    }
+    *getBestNode(generatorList, oraclePriceData, slot, compareFcn, filterFcn) {
+        const generators = generatorList.map((generator) => {
+            return {
+                next: generator.next(),
+                generator,
+            };
+        });
+        let sideExhausted = false;
+        while (!sideExhausted) {
+            const bestGenerator = generators.reduce((bestGenerator, currentGenerator) => {
+                if (currentGenerator.next.done) {
+                    return bestGenerator;
+                }
+                if (bestGenerator.next.done) {
+                    return currentGenerator;
+                }
+                const bestValue = bestGenerator.next.value;
+                const currentValue = currentGenerator.next.value;
+                return compareFcn(bestValue, currentValue, slot, oraclePriceData)
+                    ? bestGenerator
+                    : currentGenerator;
+            });
+            if (!bestGenerator.next.done) {
+                // skip this node if it's already completely filled
+                if (bestGenerator.next.value.isBaseFilled()) {
+                    bestGenerator.next = bestGenerator.generator.next();
+                    continue;
+                }
+                if (filterFcn && !filterFcn(bestGenerator.next.value)) {
+                    bestGenerator.next = bestGenerator.generator.next();
+                    continue;
+                }
+                yield bestGenerator.next.value;
+                bestGenerator.next = bestGenerator.generator.next();
+            }
+            else {
+                sideExhausted = true;
+            }
+        }
+    }
+    *getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData, filterFcn) {
+        if ((0, types_1.isVariant)(marketType, 'spot') && !oraclePriceData) {
+            throw new Error('Must provide OraclePriceData to get spot asks');
+        }
+        this.updateRestingLimitOrders(slot);
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const nodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        if (!nodeLists) {
+            return;
+        }
+        const generatorList = [
+            nodeLists.restingLimit.ask.getGenerator(),
+            nodeLists.floatingLimit.ask.getGenerator(),
+            this.signedMsgGenerator(nodeLists.signedMsg.ask, (x) => (0, orders_1.isRestingLimitOrder)(x.order, slot)),
+        ];
+        yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode, slot, oraclePriceData) => {
+            return bestNode
+                .getPrice(oraclePriceData, slot)
+                .lt(currentNode.getPrice(oraclePriceData, slot));
+        }, filterFcn);
+    }
+    *getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData, filterFcn) {
+        if ((0, types_1.isVariant)(marketType, 'spot') && !oraclePriceData) {
+            throw new Error('Must provide OraclePriceData to get spot bids');
+        }
+        this.updateRestingLimitOrders(slot);
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const nodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        if (!nodeLists) {
+            return;
+        }
+        const generatorList = [
+            nodeLists.restingLimit.bid.getGenerator(),
+            nodeLists.floatingLimit.bid.getGenerator(),
+            this.signedMsgGenerator(nodeLists.signedMsg.bid, (x) => (0, orders_1.isRestingLimitOrder)(x.order, slot)),
+        ];
+        yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode, slot, oraclePriceData) => {
+            return bestNode
+                .getPrice(oraclePriceData, slot)
+                .gt(currentNode.getPrice(oraclePriceData, slot));
+        }, filterFcn);
+    }
+    /**
+     * This will look at both the taking and resting limit asks
+     * @param marketIndex
+     * @param fallbackAsk
+     * @param slot
+     * @param marketType
+     * @param oraclePriceData
+     * @param filterFcn
+     */
+    *getAsks(marketIndex, _fallbackAsk, slot, marketType, oraclePriceData, filterFcn) {
+        if ((0, types_1.isVariant)(marketType, 'spot') && !oraclePriceData) {
+            throw new Error('Must provide OraclePriceData to get spot asks');
+        }
+        const generatorList = [
+            this.getTakingAsks(marketIndex, marketType, slot, oraclePriceData),
+            this.getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData),
+        ];
+        yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode, slot, oraclePriceData) => {
+            var _a, _b;
+            const bestNodePrice = (_a = bestNode.getPrice(oraclePriceData, slot)) !== null && _a !== void 0 ? _a : numericConstants_1.ZERO;
+            const currentNodePrice = (_b = currentNode.getPrice(oraclePriceData, slot)) !== null && _b !== void 0 ? _b : numericConstants_1.ZERO;
+            if (bestNodePrice.eq(currentNodePrice)) {
+                return bestNode.order.slot.lt(currentNode.order.slot);
+            }
+            return bestNodePrice.lt(currentNodePrice);
+        }, filterFcn);
+    }
+    /**
+     * This will look at both the taking and resting limit bids
+     * @param marketIndex
+     * @param fallbackBid
+     * @param slot
+     * @param marketType
+     * @param oraclePriceData
+     * @param filterFcn
+     */
+    *getBids(marketIndex, _fallbackBid, slot, marketType, oraclePriceData, filterFcn) {
+        if ((0, types_1.isVariant)(marketType, 'spot') && !oraclePriceData) {
+            throw new Error('Must provide OraclePriceData to get spot bids');
+        }
+        const generatorList = [
+            this.getTakingBids(marketIndex, marketType, slot, oraclePriceData),
+            this.getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData),
+        ];
+        yield* this.getBestNode(generatorList, oraclePriceData, slot, (bestNode, currentNode, slot, oraclePriceData) => {
+            var _a, _b;
+            const bestNodePrice = (_a = bestNode.getPrice(oraclePriceData, slot)) !== null && _a !== void 0 ? _a : numericConstants_1.BN_MAX;
+            const currentNodePrice = (_b = currentNode.getPrice(oraclePriceData, slot)) !== null && _b !== void 0 ? _b : numericConstants_1.BN_MAX;
+            if (bestNodePrice.eq(currentNodePrice)) {
+                return bestNode.order.slot.lt(currentNode.order.slot);
+            }
+            return bestNodePrice.gt(currentNodePrice);
+        }, filterFcn);
+    }
+    findCrossingRestingLimitOrders(marketIndex, slot, marketType, oraclePriceData) {
+        const nodesToFill = new Array();
+        for (const askNode of this.getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData)) {
+            const bidGenerator = this.getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData);
+            for (const bidNode of bidGenerator) {
+                const bidPrice = bidNode.getPrice(oraclePriceData, slot);
+                const askPrice = askNode.getPrice(oraclePriceData, slot);
+                // orders don't cross
+                if (bidPrice.lt(askPrice)) {
+                    break;
+                }
+                const bidOrder = bidNode.order;
+                const askOrder = askNode.order;
+                // Can't match orders from the same user
+                const sameUser = bidNode.userAccount === askNode.userAccount;
+                if (sameUser) {
+                    continue;
+                }
+                const makerAndTaker = this.determineMakerAndTaker(askNode, bidNode);
+                // unable to match maker and taker due to post only or slot
+                if (!makerAndTaker) {
+                    continue;
+                }
+                const { takerNode, makerNode } = makerAndTaker;
+                const bidBaseRemaining = bidOrder.baseAssetAmount.sub(bidOrder.baseAssetAmountFilled);
+                const askBaseRemaining = askOrder.baseAssetAmount.sub(askOrder.baseAssetAmountFilled);
+                const baseFilled = anchor_1.BN.min(bidBaseRemaining, askBaseRemaining);
+                const newBidOrder = { ...bidOrder };
+                newBidOrder.baseAssetAmountFilled =
+                    bidOrder.baseAssetAmountFilled.add(baseFilled);
+                this.getListForOnChainOrder(newBidOrder, slot).update(newBidOrder, bidNode.userAccount);
+                // ask completely filled
+                const newAskOrder = { ...askOrder };
+                newAskOrder.baseAssetAmountFilled =
+                    askOrder.baseAssetAmountFilled.add(baseFilled);
+                this.getListForOnChainOrder(newAskOrder, slot).update(newAskOrder, askNode.userAccount);
+                nodesToFill.push({
+                    node: takerNode,
+                    makerNodes: [makerNode],
+                });
+                if (newAskOrder.baseAssetAmount.eq(newAskOrder.baseAssetAmountFilled)) {
+                    break;
+                }
+            }
+        }
+        return nodesToFill;
+    }
+    determineMakerAndTaker(askNode, bidNode) {
+        const askSlot = askNode.order.slot.add(new anchor_1.BN(askNode.order.auctionDuration));
+        const bidSlot = bidNode.order.slot.add(new anchor_1.BN(bidNode.order.auctionDuration));
+        if (bidNode.order.postOnly && askNode.order.postOnly) {
+            return undefined;
+        }
+        else if (bidNode.order.postOnly) {
+            return {
+                takerNode: askNode,
+                makerNode: bidNode,
+            };
+        }
+        else if (askNode.order.postOnly) {
+            return {
+                takerNode: bidNode,
+                makerNode: askNode,
+            };
+        }
+        else if (askSlot.lte(bidSlot)) {
+            return {
+                takerNode: bidNode,
+                makerNode: askNode,
+            };
+        }
+        else {
+            return {
+                takerNode: askNode,
+                makerNode: bidNode,
+            };
+        }
+    }
+    getBestAsk(marketIndex, slot, marketType, oraclePriceData) {
+        const bestAsk = this.getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData).next().value;
+        if (bestAsk) {
+            return bestAsk.getPrice(oraclePriceData, slot);
+        }
+        return undefined;
+    }
+    getBestBid(marketIndex, slot, marketType, oraclePriceData) {
+        const bestBid = this.getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData).next().value;
+        if (bestBid) {
+            return bestBid.getPrice(oraclePriceData, slot);
+        }
+        return undefined;
+    }
+    *getStopLosses(marketIndex, marketType, direction) {
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const marketNodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        if ((0, types_1.isVariant)(direction, 'long') && marketNodeLists.trigger.below) {
+            for (const node of marketNodeLists.trigger.below.getGenerator()) {
+                if ((0, types_1.isVariant)(node.order.direction, 'short')) {
+                    yield node;
+                }
+            }
+        }
+        else if ((0, types_1.isVariant)(direction, 'short') && marketNodeLists.trigger.above) {
+            for (const node of marketNodeLists.trigger.above.getGenerator()) {
+                if ((0, types_1.isVariant)(node.order.direction, 'long')) {
+                    yield node;
+                }
+            }
+        }
+    }
+    *getStopLossMarkets(marketIndex, marketType, direction) {
+        for (const node of this.getStopLosses(marketIndex, marketType, direction)) {
+            if ((0, types_1.isVariant)(node.order.orderType, 'triggerMarket')) {
+                yield node;
+            }
+        }
+    }
+    *getStopLossLimits(marketIndex, marketType, direction) {
+        for (const node of this.getStopLosses(marketIndex, marketType, direction)) {
+            if ((0, types_1.isVariant)(node.order.orderType, 'triggerLimit')) {
+                yield node;
+            }
+        }
+    }
+    *getTakeProfits(marketIndex, marketType, direction) {
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const marketNodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        if ((0, types_1.isVariant)(direction, 'long') && marketNodeLists.trigger.above) {
+            for (const node of marketNodeLists.trigger.above.getGenerator()) {
+                if ((0, types_1.isVariant)(node.order.direction, 'short')) {
+                    yield node;
+                }
+            }
+        }
+        else if ((0, types_1.isVariant)(direction, 'short') && marketNodeLists.trigger.below) {
+            for (const node of marketNodeLists.trigger.below.getGenerator()) {
+                if ((0, types_1.isVariant)(node.order.direction, 'long')) {
+                    yield node;
+                }
+            }
+        }
+    }
+    *getTakeProfitMarkets(marketIndex, marketType, direction) {
+        for (const node of this.getTakeProfits(marketIndex, marketType, direction)) {
+            if ((0, types_1.isVariant)(node.order.orderType, 'triggerMarket')) {
+                yield node;
+            }
+        }
+    }
+    *getTakeProfitLimits(marketIndex, marketType, direction) {
+        for (const node of this.getTakeProfits(marketIndex, marketType, direction)) {
+            if ((0, types_1.isVariant)(node.order.orderType, 'triggerLimit')) {
+                yield node;
+            }
+        }
+    }
+    findNodesToTrigger(marketIndex, slot, triggerPrice, marketType, stateAccount) {
+        if ((0, exchangeStatus_1.exchangePaused)(stateAccount)) {
+            return [];
+        }
+        const nodesToTrigger = [];
+        const marketTypeStr = (0, types_1.getVariant)(marketType);
+        const marketNodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+        const triggerAboveList = marketNodeLists
+            ? marketNodeLists.trigger.above
+            : undefined;
+        if (triggerAboveList) {
+            for (const node of triggerAboveList.getGenerator()) {
+                if (triggerPrice.gt(node.order.triggerPrice)) {
+                    nodesToTrigger.push({
+                        node: node,
+                    });
+                }
+                else {
+                    break;
+                }
+            }
+        }
+        const triggerBelowList = marketNodeLists
+            ? marketNodeLists.trigger.below
+            : undefined;
+        if (triggerBelowList) {
+            for (const node of triggerBelowList.getGenerator()) {
+                if (triggerPrice.lt(node.order.triggerPrice)) {
+                    nodesToTrigger.push({
+                        node: node,
+                    });
+                }
+                else {
+                    break;
+                }
+            }
+        }
+        return nodesToTrigger;
+    }
+    printTop(driftClient, slotSubscriber, marketIndex, marketType) {
+        if ((0, types_1.isVariant)(marketType, 'perp')) {
+            const slot = slotSubscriber.getSlot();
+            const oraclePriceData = driftClient.getMMOracleDataForPerpMarket(marketIndex);
+            const bestAsk = this.getBestAsk(marketIndex, slot, marketType, oraclePriceData);
+            const bestBid = this.getBestBid(marketIndex, slot, marketType, oraclePriceData);
+            const mid = bestAsk.add(bestBid).div(new anchor_1.BN(2));
+            const bidSpread = ((0, conversion_1.convertToNumber)(bestBid, numericConstants_1.PRICE_PRECISION) /
+                (0, conversion_1.convertToNumber)(oraclePriceData.price, numericConstants_1.PRICE_PRECISION) -
+                1) *
+                100.0;
+            const askSpread = ((0, conversion_1.convertToNumber)(bestAsk, numericConstants_1.PRICE_PRECISION) /
+                (0, conversion_1.convertToNumber)(oraclePriceData.price, numericConstants_1.PRICE_PRECISION) -
+                1) *
+                100.0;
+            const name = (0, userName_1.decodeName)(driftClient.getPerpMarketAccount(marketIndex).name);
+            console.log(`Market ${name} Orders`);
+            console.log(`  Ask`, (0, conversion_1.convertToNumber)(bestAsk, numericConstants_1.PRICE_PRECISION).toFixed(3), `(${askSpread.toFixed(4)}%)`);
+            console.log(`  Mid`, (0, conversion_1.convertToNumber)(mid, numericConstants_1.PRICE_PRECISION).toFixed(3));
+            console.log(`  Bid`, (0, conversion_1.convertToNumber)(bestBid, numericConstants_1.PRICE_PRECISION).toFixed(3), `(${bidSpread.toFixed(4)}%)`);
+        }
+        else if ((0, types_1.isVariant)(marketType, 'spot')) {
+            const slot = slotSubscriber.getSlot();
+            const oraclePriceData = driftClient.getOracleDataForSpotMarket(marketIndex);
+            const bestAsk = this.getBestAsk(marketIndex, slot, types_1.MarketType.SPOT, oraclePriceData);
+            const bestBid = this.getBestBid(marketIndex, slot, types_1.MarketType.SPOT, oraclePriceData);
+            const mid = bestAsk.add(bestBid).div(new anchor_1.BN(2));
+            const bidSpread = ((0, conversion_1.convertToNumber)(bestBid, numericConstants_1.PRICE_PRECISION) /
+                (0, conversion_1.convertToNumber)(oraclePriceData.price, numericConstants_1.PRICE_PRECISION) -
+                1) *
+                100.0;
+            const askSpread = ((0, conversion_1.convertToNumber)(bestAsk, numericConstants_1.PRICE_PRECISION) /
+                (0, conversion_1.convertToNumber)(oraclePriceData.price, numericConstants_1.PRICE_PRECISION) -
+                1) *
+                100.0;
+            const name = (0, userName_1.decodeName)(driftClient.getSpotMarketAccount(marketIndex).name);
+            console.log(`Market ${name} Orders`);
+            console.log(`  Ask`, (0, conversion_1.convertToNumber)(bestAsk, numericConstants_1.PRICE_PRECISION).toFixed(3), `(${askSpread.toFixed(4)}%)`);
+            console.log(`  Mid`, (0, conversion_1.convertToNumber)(mid, numericConstants_1.PRICE_PRECISION).toFixed(3));
+            console.log(`  Bid`, (0, conversion_1.convertToNumber)(bestBid, numericConstants_1.PRICE_PRECISION).toFixed(3), `(${bidSpread.toFixed(4)}%)`);
+        }
+    }
+    getDLOBOrders() {
+        const dlobOrders = [];
+        for (const nodeList of this.getNodeLists()) {
+            for (const node of nodeList.getGenerator()) {
+                dlobOrders.push({
+                    user: new web3_js_1.PublicKey(node.userAccount),
+                    order: node.order,
+                });
+            }
+        }
+        return dlobOrders;
+    }
+    *getNodeLists() {
+        for (const [_, nodeLists] of this.orderLists.get('perp')) {
+            yield nodeLists.restingLimit.bid;
+            yield nodeLists.restingLimit.ask;
+            yield nodeLists.takingLimit.bid;
+            yield nodeLists.takingLimit.ask;
+            yield nodeLists.market.bid;
+            yield nodeLists.market.ask;
+            yield nodeLists.floatingLimit.bid;
+            yield nodeLists.floatingLimit.ask;
+            yield nodeLists.trigger.above;
+            yield nodeLists.trigger.below;
+        }
+        for (const [_, nodeLists] of this.orderLists.get('spot')) {
+            yield nodeLists.restingLimit.bid;
+            yield nodeLists.restingLimit.ask;
+            yield nodeLists.takingLimit.bid;
+            yield nodeLists.takingLimit.ask;
+            yield nodeLists.market.bid;
+            yield nodeLists.market.ask;
+            yield nodeLists.floatingLimit.bid;
+            yield nodeLists.floatingLimit.ask;
+            yield nodeLists.trigger.above;
+            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 fallbackL2Generators L2 generators for fallback liquidity e.g. vAMM {@link getVammL2Generator}
+     */
+    getL2({ marketIndex, marketType, slot, oraclePriceData, depth, fallbackL2Generators = [], }) {
+        const makerAskL2LevelGenerator = (0, orderBookLevels_1.getL2GeneratorFromDLOBNodes)(this.getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData), 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.getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData), 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,
+            slot,
+        };
+    }
+    /**
+     * 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: new web3_js_1.PublicKey(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: new web3_js_1.PublicKey(bid.userAccount),
+                orderId: bid.order.orderId,
+            });
+        }
+        return {
+            bids,
+            asks,
+            slot,
+        };
+    }
+    estimateFillExactBaseAmountInForSide(baseAmountIn, oraclePriceData, slot, dlobSide) {
+        let runningSumQuote = numericConstants_1.ZERO;
+        let runningSumBase = numericConstants_1.ZERO;
+        for (const side of dlobSide) {
+            const price = side.getPrice(oraclePriceData, slot); //side.order.quoteAssetAmount.div(side.order.baseAssetAmount);
+            const baseAmountRemaining = side.order.baseAssetAmount.sub(side.order.baseAssetAmountFilled);
+            if (runningSumBase.add(baseAmountRemaining).gt(baseAmountIn)) {
+                const remainingBase = baseAmountIn.sub(runningSumBase);
+                runningSumBase = runningSumBase.add(remainingBase);
+                runningSumQuote = runningSumQuote.add(remainingBase.mul(price));
+                break;
+            }
+            else {
+                runningSumBase = runningSumBase.add(baseAmountRemaining);
+                runningSumQuote = runningSumQuote.add(baseAmountRemaining.mul(price));
+            }
+        }
+        return runningSumQuote
+            .mul(numericConstants_1.QUOTE_PRECISION)
+            .div(numericConstants_1.BASE_PRECISION.mul(numericConstants_1.PRICE_PRECISION));
+    }
+    /**
+     *
+     * @param param.marketIndex the index of the market
+     * @param param.marketType the type of the market
+     * @param param.baseAmount the base amount in to estimate
+     * @param param.orderDirection the direction of the trade
+     * @param param.slot current slot for estimating dlob node price
+     * @param param.oraclePriceData the oracle price data
+     * @returns the estimated quote amount filled: QUOTE_PRECISION
+     */
+    estimateFillWithExactBaseAmount({ marketIndex, marketType, baseAmount, orderDirection, slot, oraclePriceData, }) {
+        if ((0, types_1.isVariant)(orderDirection, 'long')) {
+            return this.estimateFillExactBaseAmountInForSide(baseAmount, oraclePriceData, slot, this.getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData));
+        }
+        else if ((0, types_1.isVariant)(orderDirection, 'short')) {
+            return this.estimateFillExactBaseAmountInForSide(baseAmount, oraclePriceData, slot, this.getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData));
+        }
+    }
+    getBestMakers({ marketIndex, marketType, direction, slot, oraclePriceData, numMakers, }) {
+        const makers = new Map();
+        const generator = (0, types_1.isVariant)(direction, 'long')
+            ? this.getRestingLimitBids(marketIndex, slot, marketType, oraclePriceData)
+            : this.getRestingLimitAsks(marketIndex, slot, marketType, oraclePriceData);
+        for (const node of generator) {
+            if (!makers.has(node.userAccount.toString())) {
+                makers.set(node.userAccount.toString(), new web3_js_1.PublicKey(node.userAccount));
+            }
+            if (makers.size === numMakers) {
+                break;
+            }
+        }
+        return Array.from(makers.values());
+    }
+}
+exports.DLOB = DLOB;