@velocity-exchange/sdk 0.0.5 → 0.2.0

package/src/dlob/DLOBNode.ts

@@ -10,9 +10,16 @@ import { MMOraclePriceData, OraclePriceData } from '../oracles/types';
 import { convertToNumber } from '../math/conversion';
 import { getOrderSignature } from './NodeList';
 
+export type NodeOraclePriceData<T extends MarketTypeStr = MarketTypeStr> =
+	T extends 'spot' ? OraclePriceData : MMOraclePriceData;
+
 export interface DLOBNode {
 	getPrice<T extends MarketTypeStr>(
-		oraclePriceData: T extends 'spot' ? OraclePriceData : MMOraclePriceData,
+		oraclePriceData: NodeOraclePriceData<T>,
+		slot: number
+	): BN | undefined;
+	getPriceOrThrow<T extends MarketTypeStr>(
+		oraclePriceData: NodeOraclePriceData<T>,
 		slot: number
 	): BN;
 	isVammNode(): boolean;
@@ -77,12 +84,25 @@ export abstract class OrderNode implements DLOBNode {
 	}
 
 	getPrice<T extends MarketTypeStr>(
-		oraclePriceData: T extends 'spot' ? OraclePriceData : MMOraclePriceData,
+		oraclePriceData: NodeOraclePriceData<T>,
 		slot: number
-	): BN {
+	): BN | undefined {
 		return getLimitPrice<T>(this.order, oraclePriceData, slot);
 	}
 
+	getPriceOrThrow<T extends MarketTypeStr>(
+		oraclePriceData: NodeOraclePriceData<T>,
+		slot: number
+	): BN {
+		const price = this.getPrice<T>(oraclePriceData, slot);
+		if (price === undefined) {
+			throw new Error(
+				`OrderNode.getPrice: order ${this.order.orderId} has no limit price`
+			);
+		}
+		return price;
+	}
+
 	isBaseFilled(): boolean {
 		return this.order.baseAssetAmountFilled.eq(this.order.baseAssetAmount);
 	}

package/src/dlob/DLOBSubscriber.ts

@@ -21,10 +21,6 @@ import { BN } from '../isomorphic/anchor';
 
 export class DLOBSubscriber {
 	velocityClient: VelocityClient;
-	/** @deprecated Use `velocityClient` instead. `driftClient` will be removed in a future major. */
-	public get driftClient(): VelocityClient {
-		return this.velocityClient;
-	}
 	dlobSource: DLOBSource;
 	slotSource: SlotSource;
 	updateFrequency: number;
@@ -32,11 +28,9 @@ export class DLOBSubscriber {
 	dlob: DLOB;
 	public eventEmitter: StrictEventEmitter<EventEmitter, DLOBSubscriberEvents>;
 	constructor(config: DLOBSubscriptionConfig) {
-		const velocityClient = config.velocityClient ?? config.driftClient;
+		const velocityClient = config.velocityClient;
 		if (!velocityClient) {
-			throw new Error(
-				'DLOBSubscriber: velocityClient (or deprecated driftClient) must be provided'
-			);
+			throw new Error('DLOBSubscriber: velocityClient must be provided');
 		}
 		this.velocityClient = velocityClient;
 		this.dlobSource = config.dlobSource;
@@ -58,7 +52,10 @@ export class DLOBSubscriber {
 				await this.updateDLOB();
 				this.eventEmitter.emit('update', this.dlob);
 			} catch (e) {
-				this.eventEmitter.emit('error', e);
+				this.eventEmitter.emit(
+					'error',
+					e instanceof Error ? e : new Error(String(e))
+				);
 			}
 		}, this.updateFrequency);
 	}
@@ -117,44 +114,52 @@ export class DLOBSubscriber {
 			}
 		}
 
-		let oraclePriceData;
 		const isPerp = isVariant(marketType, 'perp');
 		if (isPerp) {
 			const perpMarketAccount =
-				this.velocityClient.getPerpMarketAccount(marketIndex);
-			oraclePriceData = this.velocityClient.getOracleDataForPerpMarket(
+				this.velocityClient.getPerpMarketAccountOrThrow(marketIndex);
+			const oraclePriceData = this.velocityClient.getMMOracleDataForPerpMarket(
 				perpMarketAccount.marketIndex
 			);
-		} else {
-			oraclePriceData =
-				this.velocityClient.getOracleDataForSpotMarket(marketIndex);
-		}
 
-		if (isPerp && includeVamm) {
-			if (fallbackL2Generators.length > 0) {
-				throw new Error(
-					'includeVamm can only be used if fallbackL2Generators is empty'
-				);
+			if (includeVamm) {
+				if (fallbackL2Generators.length > 0) {
+					throw new Error(
+						'includeVamm can only be used if fallbackL2Generators is empty'
+					);
+				}
+
+				fallbackL2Generators = [
+					getVammL2Generator({
+						marketAccount: perpMarketAccount,
+						mmOraclePriceData:
+							this.velocityClient.getMMOracleDataForPerpMarket(marketIndex),
+						numOrders: numVammOrders ?? depth,
+						topOfBookQuoteAmounts:
+							marketIndex < 3
+								? MAJORS_TOP_OF_BOOK_QUOTE_AMOUNTS
+								: DEFAULT_TOP_OF_BOOK_QUOTE_AMOUNTS,
+						latestSlot,
+					}),
+				];
 			}
 
-			fallbackL2Generators = [
-				getVammL2Generator({
-					marketAccount: this.velocityClient.getPerpMarketAccount(marketIndex),
-					mmOraclePriceData:
-						this.velocityClient.getMMOracleDataForPerpMarket(marketIndex),
-					numOrders: numVammOrders ?? depth,
-					topOfBookQuoteAmounts:
-						marketIndex < 3
-							? MAJORS_TOP_OF_BOOK_QUOTE_AMOUNTS
-							: DEFAULT_TOP_OF_BOOK_QUOTE_AMOUNTS,
-					latestSlot,
-				}),
-			];
+			return this.dlob.getL2({
+				marketIndex,
+				marketType: MarketType.PERP,
+				depth,
+				oraclePriceData,
+				slot: this.slotSource.getSlot(),
+				fallbackL2Generators: fallbackL2Generators,
+			});
 		}
 
+		const oraclePriceData =
+			this.velocityClient.getOracleDataForSpotMarket(marketIndex);
+
 		return this.dlob.getL2({
 			marketIndex,
-			marketType,
+			marketType: MarketType.SPOT,
 			depth,
 			oraclePriceData,
 			slot: this.slotSource.getSlot(),
@@ -194,19 +199,25 @@ export class DLOBSubscriber {
 			}
 		}
 
-		let oraclePriceData;
 		const isPerp = isVariant(marketType, 'perp');
 		if (isPerp) {
-			oraclePriceData =
-				this.velocityClient.getOracleDataForPerpMarket(marketIndex);
-		} else {
-			oraclePriceData =
-				this.velocityClient.getOracleDataForSpotMarket(marketIndex);
+			const oraclePriceData =
+				this.velocityClient.getMMOracleDataForPerpMarket(marketIndex);
+
+			return this.dlob.getL3({
+				marketIndex,
+				marketType: MarketType.PERP,
+				oraclePriceData,
+				slot: this.slotSource.getSlot(),
+			});
 		}
 
+		const oraclePriceData =
+			this.velocityClient.getOracleDataForSpotMarket(marketIndex);
+
 		return this.dlob.getL3({
 			marketIndex,
-			marketType,
+			marketType: MarketType.SPOT,
 			oraclePriceData,
 			slot: this.slotSource.getSlot(),
 		});

package/src/dlob/NodeList.ts

@@ -78,9 +78,10 @@ export class NodeList<NodeType extends keyof DLOBNodeMap>
 			currentNode = currentNode.next;
 		}
 
-		newNode.next = currentNode.next;
-		if (currentNode.next !== undefined) {
-			newNode.next.previous = newNode;
+		const nextNode = currentNode.next;
+		newNode.next = nextNode;
+		if (nextNode !== undefined) {
+			nextNode.previous = newNode;
 		}
 		currentNode.next = newNode;
 		newNode.previous = currentNode;
@@ -109,8 +110,8 @@ export class NodeList<NodeType extends keyof DLOBNodeMap>
 
 	public update(order: Order, userAccount: string): void {
 		const orderId = getOrderSignature(order.orderId, userAccount);
-		if (this.nodeMap.has(orderId)) {
-			const node = this.nodeMap.get(orderId);
+		const node = this.nodeMap.get(orderId);
+		if (node !== undefined) {
 			Object.assign(node.order, order);
 			node.haveFilled = false;
 		}
@@ -118,8 +119,8 @@ export class NodeList<NodeType extends keyof DLOBNodeMap>
 
 	public remove(order: Order, userAccount: string): void {
 		const orderId = getOrderSignature(order.orderId, userAccount);
-		if (this.nodeMap.has(orderId)) {
-			const node = this.nodeMap.get(orderId);
+		const node = this.nodeMap.get(orderId);
+		if (node !== undefined) {
 			if (node.next) {
 				node.next.previous = node.previous;
 			}

package/src/dlob/orderBookLevels.ts

@@ -86,6 +86,9 @@ export function* getL2GeneratorFromDLOBNodes(
 	slot: number
 ): Generator<L2Level> {
 	for (const dlobNode of dlobNodes) {
+		if (!dlobNode.order) {
+			continue;
+		}
 		const size = dlobNode.baseAssetAmount.sub(
 			dlobNode.order.baseAssetAmountFilled
 		) as BN;
@@ -96,7 +99,7 @@ export function* getL2GeneratorFromDLOBNodes(
 
 		yield {
 			size,
-			price: dlobNode.getPrice(oraclePriceData, slot),
+			price: dlobNode.getPriceOrThrow(oraclePriceData, slot),
 			sources:
 				dlobNode.userAccount == INDICATIVE_QUOTES_PUBKEY
 					? { indicative: size }
@@ -111,16 +114,21 @@ export function* mergeL2LevelGenerators(
 	l2LevelGenerators: Generator<L2Level>[],
 	compare: (a: L2Level, b: L2Level) => boolean
 ): Generator<L2Level> {
-	const generators = l2LevelGenerators.map((generator) => {
+	type GeneratorState = {
+		generator: Generator<L2Level>;
+		next: IteratorResult<L2Level>;
+	};
+
+	const generators: GeneratorState[] = l2LevelGenerators.map((generator) => {
 		return {
 			generator,
 			next: generator.next(),
 		};
 	});
 
-	let next;
+	let next: GeneratorState | undefined;
 	do {
-		next = generators.reduce((best, next) => {
+		next = generators.reduce<GeneratorState | undefined>((best, next) => {
 			if (next.next.done) {
 				return best;
 			}
@@ -154,9 +162,13 @@ export function createL2Levels(
 		if (levels.length > 0 && levels[levels.length - 1].price.eq(price)) {
 			const currentLevel = levels[levels.length - 1];
 			currentLevel.size = currentLevel.size.add(size);
-			for (const [source, size] of Object.entries(level.sources)) {
-				if (currentLevel.sources[source]) {
-					currentLevel.sources[source] = currentLevel.sources[source].add(size);
+			for (const [source, size] of Object.entries(level.sources) as [
+				liquiditySource,
+				BN,
+			][]) {
+				const existingSize = currentLevel.sources[source];
+				if (existingSize) {
+					currentLevel.sources[source] = existingSize.add(size);
 				} else {
 					currentLevel.sources[source] = size;
 				}
@@ -196,15 +208,17 @@ export function getVammL2Generator({
 				updatedAmm.baseAssetReserve,
 				updatedAmm.minBaseAssetReserve,
 				updatedAmm.maxBaseAssetReserve,
-				updatedAmm.orderStepSize
+				marketAccount.orderStepSize
 		  );
 
-	if (openBids.lt(marketAccount.amm.minOrderSize.muln(2))) openBids = ZERO;
-	if (openAsks.abs().lt(marketAccount.amm.minOrderSize.muln(2)))
+	if (openBids.lt(marketAccount.marketStats.minOrderSize.muln(2)))
+		openBids = ZERO;
+	if (openAsks.abs().lt(marketAccount.marketStats.minOrderSize.muln(2)))
 		openAsks = ZERO;
 
 	const [bidReserves, askReserves] = calculateSpreadReserves(
 		updatedAmm,
+		marketAccount.marketStats,
 		mmOraclePriceData,
 		now,
 		latestSlot
@@ -215,8 +229,8 @@ export function getVammL2Generator({
 		numOrders,
 		numBaseOrders,
 		mmOraclePriceData,
-		orderTickSize: marketAccount.amm.orderTickSize,
-		orderStepSize: marketAccount.amm.orderStepSize,
+		orderTickSize: marketAccount.orderTickSize,
+		orderStepSize: marketAccount.orderStepSize,
 		pegMultiplier: updatedAmm.pegMultiplier,
 		sqrtK: updatedAmm.sqrtK,
 		topOfBookQuoteAmounts,
@@ -348,9 +362,13 @@ function groupL2Levels(
 			);
 
 			currentLevel.size = currentLevel.size.add(size);
-			for (const [source, size] of Object.entries(level.sources)) {
-				if (currentLevel.sources[source]) {
-					currentLevel.sources[source] = currentLevel.sources[source].add(size);
+			for (const [source, size] of Object.entries(level.sources) as [
+				liquiditySource,
+				BN,
+			][]) {
+				const existingSize = currentLevel.sources[source];
+				if (existingSize) {
+					currentLevel.sources[source] = existingSize.add(size);
 				} else {
 					currentLevel.sources[source] = size;
 				}
@@ -380,12 +398,16 @@ const mergeByPrice = (bidsOrAsks: L2Level[]) => {
 	const merged = new Map<string, L2Level>();
 	for (const level of bidsOrAsks) {
 		const key = level.price.toString();
-		if (merged.has(key)) {
-			const existing = merged.get(key);
+		const existing = merged.get(key);
+		if (existing) {
 			existing.size = existing.size.add(level.size);
-			for (const [source, size] of Object.entries(level.sources)) {
-				if (existing.sources[source]) {
-					existing.sources[source] = existing.sources[source].add(size);
+			for (const [source, size] of Object.entries(level.sources) as [
+				liquiditySource,
+				BN,
+			][]) {
+				const existingSize = existing.sources[source];
+				if (existingSize) {
+					existing.sources[source] = existingSize.add(size);
 				} else {
 					existing.sources[source] = size;
 				}
@@ -443,11 +465,15 @@ export function uncrossL2(
 			levels[levels.length - 1].size = levels[levels.length - 1].size.add(
 				oldLevel.size
 			);
-			for (const [source, size] of Object.entries(oldLevel.sources)) {
-				if (levels[levels.length - 1].sources[source]) {
+			for (const [source, size] of Object.entries(oldLevel.sources) as [
+				liquiditySource,
+				BN,
+			][]) {
+				const existingSize = levels[levels.length - 1].sources[source];
+				if (existingSize) {
 					levels[levels.length - 1].sources = {
 						...levels[levels.length - 1].sources,
-						[source]: levels[levels.length - 1].sources[source].add(size),
+						[source]: existingSize.add(size),
 					};
 				} else {
 					levels[levels.length - 1].sources[source] = size;
@@ -467,8 +493,8 @@ export function uncrossL2(
 
 	let bidIndex = 0;
 	let askIndex = 0;
-	let maxBid: BN;
-	let minAsk: BN;
+	let maxBid: BN | undefined;
+	let minAsk: BN | undefined;
 
 	const getPriceAndSetBound = (newPrice: BN, direction: PositionDirection) => {
 		if (isVariant(direction, 'long')) {

package/src/dlob/types.ts

@@ -3,8 +3,6 @@ import { VelocityClient } from '../velocityClient';
 
 export type DLOBSubscriptionConfig = {
 	velocityClient?: VelocityClient;
-	/** @deprecated Use `velocityClient` instead. `driftClient` will be removed in a future major. */
-	driftClient?: VelocityClient;
 	dlobSource: DLOBSource;
 	slotSource: SlotSource;
 	updateFrequency: number;

package/src/events/eventList.ts

@@ -51,7 +51,7 @@ export class EventList<Type extends EventType> {
 			}
 
 			newNode.next = currentNode.next;
-			if (currentNode.next !== undefined) {
+			if (newNode.next !== undefined) {
 				newNode.next.prev = newNode;
 			} else {
 				this.tail = newNode;
@@ -68,6 +68,9 @@ export class EventList<Type extends EventType> {
 
 	detach(): void {
 		const node = this.tail;
+		if (node === undefined) {
+			return;
+		}
 		if (node.prev !== undefined) {
 			node.prev.next = node.next;
 		} else {