@drift-labs/sdk-browser

/// <reference types="bn.js" /> import { NodeList } from './NodeList'; import { BN } from '@coral-xyz/anchor'; import { DLOBNode, DLOBNodeType, TriggerOrderNode } from './DLOBNode'; import { DriftClient } from '../driftClient'; import { MarketType, MarketTypeStr, Order, PerpMarketAccount, PositionDirection, SpotMarketAccount, StateAccount } from '../types'; import { MMOraclePriceData, OraclePriceData } from '../oracles/types'; import { ProtectMakerParamsMap } from './types'; import { SlotSubscriber } from '../slot/SlotSubscriber'; import { UserMap } from '../userMap/userMap'; import { PublicKey } from '@solana/web3.js'; import { L2OrderBook, L2OrderBookGenerator, L3OrderBook } from './orderBookLevels'; export type DLOBOrder = { user: PublicKey; order: Order; }; export type DLOBOrders = DLOBOrder[]; export type MarketNodeLists = { restingLimit: { ask: NodeList<'restingLimit'>; bid: NodeList<'restingLimit'>; }; floatingLimit: { ask: NodeList<'floatingLimit'>; bid: NodeList<'floatingLimit'>; }; protectedFloatingLimit: { ask: NodeList<'protectedFloatingLimit'>; bid: NodeList<'protectedFloatingLimit'>; }; takingLimit: { ask: NodeList<'takingLimit'>; bid: NodeList<'takingLimit'>; }; market: { ask: NodeList<'market'>; bid: NodeList<'market'>; }; trigger: { above: NodeList<'trigger'>; below: NodeList<'trigger'>; }; signedMsg: { ask: NodeList<'signedMsg'>; bid: NodeList<'signedMsg'>; }; }; type OrderBookCallback = () => void; /** * Receives a DLOBNode and is expected to return true if the node should * be taken into account when generating, or false otherwise. * * Currently used in functions that rely on getBestNode */ export type DLOBFilterFcn = (node: DLOBNode) => boolean; export type NodeToFill = { node: DLOBNode; makerNodes: DLOBNode[]; }; export type NodeToTrigger = { node: TriggerOrderNode; }; export declare class DLOB { openOrders: Map<MarketTypeStr, Set<string>>; orderLists: Map<MarketTypeStr, Map<number, MarketNodeLists>>; maxSlotForRestingLimitOrders: number; initialized: boolean; protectedMakerParamsMap: ProtectMakerParamsMap; constructor(protectedMakerParamsMap?: ProtectMakerParamsMap); private init; clear(): void; /** * initializes a new DLOB instance * * @returns a promise that resolves when the DLOB is initialized */ initFromUserMap(userMap: UserMap, slot: number): Promise<boolean>; insertOrder(order: Order, userAccount: string, slot: number, isUserProtectedMaker: boolean, baseAssetAmount: BN, onInsert?: OrderBookCallback): void; insertSignedMsgOrder(order: Order, userAccount: string, isUserProtectedMaker: boolean, baseAssetAmount?: BN, onInsert?: OrderBookCallback): void; addOrderList(marketType: MarketTypeStr, marketIndex: number): void; delete(order: Order, userAccount: PublicKey, slot: number, isUserProtectedMaker: boolean, onDelete?: OrderBookCallback): void; getListForOnChainOrder(order: Order, slot: number, isProtectedMaker: boolean): NodeList<any> | undefined; updateRestingLimitOrders(slot: number): void; updateRestingLimitOrdersForMarketType(slot: number, marketTypeStr: MarketTypeStr): void; getOrder(orderId: number, userAccount: PublicKey): Order | undefined; findNodesToFill<T extends MarketType>(marketIndex: number, fallbackBid: BN | undefined, fallbackAsk: BN | undefined, slot: number, ts: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, stateAccount: StateAccount, marketAccount: T extends { spot: unknown; } ? SpotMarketAccount : PerpMarketAccount): NodeToFill[]; getMakerRebate(marketType: MarketType, stateAccount: StateAccount, marketAccount: PerpMarketAccount | SpotMarketAccount): { makerRebateNumerator: number; makerRebateDenominator: number; }; mergeNodesToFill(restingLimitOrderNodesToFill: NodeToFill[], takingOrderNodesToFill: NodeToFill[]): NodeToFill[]; findRestingLimitOrderNodesToFill<T extends MarketType>(marketIndex: number, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, isAmmPaused: boolean, minAuctionDuration: number, makerRebateNumerator: number, makerRebateDenominator: number, fallbackAsk: BN | undefined, fallbackBid: BN | undefined): NodeToFill[]; findTakingNodesToFill<T extends MarketType>(marketIndex: number, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, isAmmPaused: boolean, minAuctionDuration: number, fallbackAsk: BN | undefined, fallbackBid?: BN | undefined): NodeToFill[]; findTakingNodesCrossingMakerNodes<T extends MarketType>(marketIndex: number, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, takerNodeGenerator: Generator<DLOBNode>, makerNodeGeneratorFn: (marketIndex: number, slot: number, marketType: MarketType, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData) => Generator<DLOBNode>, doesCross: (takerPrice: BN | undefined, makerPrice: BN) => boolean): NodeToFill[]; findNodesCrossingFallbackLiquidity<T extends MarketType>(marketType: T, slot: number, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, nodeGenerator: Generator<DLOBNode>, doesCross: (nodePrice: BN | undefined) => boolean, minAuctionDuration: number): NodeToFill[]; findExpiredNodesToFill(marketIndex: number, ts: number, marketType: MarketType, slot?: BN): NodeToFill[]; findUnfillableReduceOnlyOrdersToCancel(marketIndex: number, marketType: MarketType, stepSize: BN): NodeToFill[]; getTakingBids<T extends MarketType>(marketIndex: number, marketType: T, slot: number, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>; getTakingAsks<T extends MarketType>(marketIndex: number, marketType: T, slot: number, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>; protected signedMsgGenerator(signedMsgOrderList: NodeList<'signedMsg'>, filter: (x: DLOBNode) => boolean): Generator<DLOBNode>; protected getBestNode<T extends MarketTypeStr>(generatorList: Array<Generator<DLOBNode>>, oraclePriceData: T extends 'spot' ? OraclePriceData : MMOraclePriceData, slot: number, compareFcn: (bestDLOBNode: DLOBNode, currentDLOBNode: DLOBNode, slot: number, oraclePriceData: T extends 'spot' ? OraclePriceData : MMOraclePriceData) => boolean, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>; getRestingLimitAsks<T extends MarketType>(marketIndex: number, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>; getRestingLimitBids<T extends MarketType>(marketIndex: number, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>; /** * This will look at both the taking and resting limit asks * @param marketIndex * @param fallbackAsk * @param slot * @param marketType * @param oraclePriceData * @param filterFcn */ getAsks<T extends MarketType>(marketIndex: number, _fallbackAsk: BN | undefined, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>; /** * This will look at both the taking and resting limit bids * @param marketIndex * @param fallbackBid * @param slot * @param marketType * @param oraclePriceData * @param filterFcn */ getBids<T extends MarketType>(marketIndex: number, _fallbackBid: BN | undefined, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData, filterFcn?: DLOBFilterFcn): Generator<DLOBNode>; findCrossingRestingLimitOrders<T extends MarketType>(marketIndex: number, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData): NodeToFill[]; determineMakerAndTaker(askNode: DLOBNode, bidNode: DLOBNode): { takerNode: DLOBNode; makerNode: DLOBNode; } | undefined; getBestAsk<T extends MarketType>(marketIndex: number, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData): BN | undefined; getBestBid<T extends MarketType>(marketIndex: number, slot: number, marketType: T, oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData): BN | undefined; getStopLosses(marketIndex: number, marketType: MarketType, direction: PositionDirection): Generator<DLOBNode>; getStopLossMarkets(marketIndex: number, marketType: MarketType, direction: PositionDirection): Generator<DLOBNode>; getStopLossLimits(marketIndex: number, marketType: MarketType, direction: PositionDirection): Generator<DLOBNode>; getTakeProfits(marketIndex: number, marketType: MarketType, direction: PositionDirection): Generator<DLOBNode>; getTakeProfitMarkets(marketIndex: number, marketType: MarketType, direction: PositionDirection): Generator<DLOBNode>; getTakeProfitLimits(marketIndex: number, marketType: MarketType, direction: PositionDirection): Generator<DLOBNode>; findNodesToTrigger(marketIndex: number, slot: number, triggerPrice: BN, marketType: MarketType, stateAccount: StateAccount): NodeToTrigger[]; printTop(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 fallbackL2Generators L2 generators for fallback liquidity e.g. vAMM {@link getVammL2Generator}, openbook {@link SerumSubscriber} */ getL2<T extends MarketType>({ marketIndex, marketType, slot, oraclePriceData, depth, fallbackL2Generators, }: { marketIndex: number; marketType: T; slot: number; oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData; depth: number; 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<T extends MarketType>({ marketIndex, marketType, slot, oraclePriceData, }: { marketIndex: number; marketType: T; slot: number; oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData; }): L3OrderBook; private estimateFillExactBaseAmountInForSide; /** * * @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<T extends MarketType>({ marketIndex, marketType, baseAmount, orderDirection, slot, oraclePriceData, }: { marketIndex: number; marketType: T; baseAmount: BN; orderDirection: PositionDirection; slot: number; oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData; }): BN; getBestMakers<T extends MarketType>({ marketIndex, marketType, direction, slot, oraclePriceData, numMakers, }: { marketIndex: number; marketType: T; direction: PositionDirection; slot: number; oraclePriceData: T extends { spot: unknown; } ? OraclePriceData : MMOraclePriceData; numMakers: number; }): PublicKey[]; } export {};