frank/dlob

src/dlob/market.rs

@@ -0,0 +1,142 @@
+use dashmap::{DashMap, DashSet};
+use drift::controller::position::PositionDirection;
+use drift::state::user::{Order, OrderTriggerCondition, OrderType};
+
+use crate::dlob::dlob_node::{Node, NodeType, SortDirection};
+use crate::dlob::order_list::Orderlist;
+use crate::is_one_of_variant;
+use crate::math::order::is_resting_limit_order;
+
+#[derive(Clone)]
+pub(crate) struct Market {
+    pub resting_limit_orders: Orderlist,
+    pub floating_limit_orders: Orderlist,
+    pub taking_limit_orders: Orderlist,
+    pub market_orders: Orderlist,
+    pub trigger_orders: Orderlist,
+}
+
+#[derive(Copy, Clone)]
+pub enum SubType {
+    Bid,
+    Ask,
+    Above,
+    Below,
+}
+
+impl Market {
+    pub(crate) fn new() -> Market {
+        Market {
+            resting_limit_orders: Orderlist::new(
+                SortDirection::Descending,
+                SortDirection::Ascending,
+            ),
+            floating_limit_orders: Orderlist::new(
+                SortDirection::Descending,
+                SortDirection::Ascending,
+            ),
+            taking_limit_orders: Orderlist::new(SortDirection::Ascending, SortDirection::Ascending),
+            market_orders: Orderlist::new(SortDirection::Ascending, SortDirection::Ascending),
+            trigger_orders: Orderlist::new(SortDirection::Ascending, SortDirection::Descending),
+        }
+    }
+
+    pub(crate) fn get_list_for_order(
+        &mut self,
+        order: &Order,
+        slot: u64,
+    ) -> (Option<&mut Orderlist>, SubType) {
+        let is_inactive_trigger_order = order.must_be_triggered() && !order.triggered();
+
+        let node_type = if is_inactive_trigger_order {
+            NodeType::Trigger
+        } else if is_one_of_variant(
+            &order.order_type,
+            &[
+                OrderType::Market,
+                OrderType::TriggerMarket,
+                OrderType::Oracle,
+            ],
+        ) {
+            NodeType::Market
+        } else if order.oracle_price_offset != 0 {
+            NodeType::FloatingLimit
+        } else {
+            if is_resting_limit_order(order, slot) {
+                NodeType::RestingLimit
+            } else {
+                NodeType::TakingLimit
+            }
+        };
+
+        let order_list = match node_type {
+            NodeType::RestingLimit => &mut self.resting_limit_orders,
+            NodeType::FloatingLimit => &mut self.floating_limit_orders,
+            NodeType::TakingLimit => &mut self.taking_limit_orders,
+            NodeType::Market => &mut self.market_orders,
+            NodeType::Trigger => &mut self.trigger_orders,
+            NodeType::VAMM => return (None, SubType::Bid),
+        };
+
+        let sub_type = if is_inactive_trigger_order {
+            if order.trigger_condition == OrderTriggerCondition::Above {
+                SubType::Bid
+            } else {
+                SubType::Ask
+            }
+        } else {
+            match order.direction {
+                PositionDirection::Long => SubType::Bid,
+                PositionDirection::Short => SubType::Ask,
+            }
+        };
+
+        (Some(order_list), sub_type)
+    }
+
+    pub(crate) fn get_best_order(
+        &self,
+        order_list: &mut Orderlist,
+        sub_type: SubType,
+    ) -> Option<Node> {
+        match sub_type {
+            SubType::Bid => order_list.get_best_bid(),
+            SubType::Ask => order_list.get_best_ask(),
+            _ => unimplemented!(),
+        };
+
+        None
+    }
+
+    pub(crate) fn get_order_list_for_node_type(&self, node_type: NodeType) -> Orderlist {
+        match node_type {
+            NodeType::RestingLimit => &self.resting_limit_orders,
+            NodeType::FloatingLimit => &self.floating_limit_orders,
+            NodeType::TakingLimit => &self.taking_limit_orders,
+            NodeType::Market => &self.market_orders,
+            NodeType::Trigger => &self.trigger_orders,
+            NodeType::VAMM => panic!("VAMM order list not found"),
+        }
+        .clone()
+    }
+}
+
+pub(crate) type Exchange = DashMap<String, DashMap<u16, Market>>;
+
+pub fn get_order_lists(exchange: &Exchange) -> Vec<Orderlist> {
+    let mut order_lists = vec![];
+
+    for market_type_ref in exchange.iter() {
+        for market_ref in market_type_ref.iter() {
+            order_lists.push(market_ref.value().resting_limit_orders.clone());
+            order_lists.push(market_ref.value().floating_limit_orders.clone());
+            order_lists.push(market_ref.value().taking_limit_orders.clone());
+            order_lists.push(market_ref.value().market_orders.clone());
+            order_lists.push(market_ref.value().trigger_orders.clone());
+        }
+    }
+
+    order_lists
+}
+
+pub(crate) type OpenOrders = DashMap<String, DashSet<String>>;

src/dlob/mod.rs

@@ -0,0 +1,4 @@
+pub mod dlob;
+mod dlob_node;
+mod market;
+mod order_list;

src/dlob/order_list.rs

@@ -0,0 +1,175 @@
+use std::collections::BinaryHeap;
+
+use dashmap::DashMap;
+
+use crate::dlob::dlob_node::{get_order_signature, DLOBNode, DirectionalNode, Node, SortDirection};
+
+#[derive(Clone, Debug)]
+pub struct Orderlist {
+    pub bids: BinaryHeap<DirectionalNode>,
+    pub asks: BinaryHeap<DirectionalNode>,
+    pub order_sigs: DashMap<String, Node>,
+    bid_sort_direction: SortDirection,
+    ask_sort_direction: SortDirection,
+}
+
+impl Orderlist {
+    pub fn new(bid_sort_direction: SortDirection, ask_sort_direction: SortDirection) -> Self {
+        Orderlist {
+            bids: BinaryHeap::new(),
+            asks: BinaryHeap::new(),
+            order_sigs: DashMap::new(),
+            bid_sort_direction,
+            ask_sort_direction,
+        }
+    }
+
+    pub fn insert_bid(&mut self, node: Node) {
+        let order_sig = get_order_signature(node.get_order().order_id, node.get_user_account());
+        self.order_sigs.insert(order_sig.clone(), node.clone());
+        let directional = DirectionalNode::new(node, self.bid_sort_direction);
+        self.bids.push(directional);
+    }
+
+    pub fn insert_ask(&mut self, node: Node) {
+        let order_sig = get_order_signature(node.get_order().order_id, node.get_user_account());
+        self.order_sigs.insert(order_sig.clone(), node.clone());
+        let directional = DirectionalNode::new(node, self.ask_sort_direction);
+        self.asks.push(directional);
+    }
+
+    pub fn get_best_bid(&mut self) -> Option<Node> {
+        if let Some(node) = self.bids.pop().map(|node| node.node.clone()) {
+            let order_sig = get_order_signature(node.get_order().order_id, node.get_user_account());
+            if self.order_sigs.contains_key(&order_sig) {
+                self.order_sigs.remove(&order_sig);
+                return Some(node);
+            }
+        }
+        None
+    }
+
+    pub fn get_best_ask(&mut self) -> Option<Node> {
+        if let Some(node) = self.asks.pop().map(|node| node.node.clone()) {
+            let order_sig = get_order_signature(node.get_order().order_id, node.get_user_account());
+            if self.order_sigs.contains_key(&order_sig) {
+                self.order_sigs.remove(&order_sig);
+                return Some(node);
+            }
+        }
+        None
+    }
+
+    pub fn get_node(&self, order_sig: &String) -> Option<Node> {
+        self.order_sigs.get(order_sig).map(|node| node.clone())
+    }
+
+    pub fn bids_empty(&self) -> bool {
+        self.bids.is_empty()
+    }
+
+    pub fn asks_empty(&self) -> bool {
+        self.asks.is_empty()
+    }
+}
+
+#[cfg(test)]
+mod tests {
+    use crate::dlob::dlob_node::{create_node, NodeType};
+
+    use super::*;
+    use drift::state::user::Order;
+    use solana_sdk::pubkey::Pubkey;
+
+    #[test]
+    fn test_insertion_and_ordering() {
+        let mut orderlist = Orderlist::new(SortDirection::Ascending, SortDirection::Ascending);
+        let user_account = Pubkey::new_unique();
+        let order_1 = Order {
+            order_id: 1,
+            slot: 1,
+            ..Order::default()
+        };
+        let order_2 = Order {
+            order_id: 2,
+            slot: 2,
+            ..Order::default()
+        };
+        let order_3 = Order {
+            order_id: 3,
+            slot: 3,
+            ..Order::default()
+        };
+        let order_4 = Order {
+            order_id: 4,
+            slot: 4,
+            ..Order::default()
+        };
+        let order_5 = Order {
+            order_id: 5,
+            slot: 5,
+            ..Order::default()
+        };
+        let order_6 = Order {
+            order_id: 6,
+            slot: 1,
+            ..Order::default()
+        };
+        let order_7 = Order {
+            order_id: 7,
+            slot: 2,
+            ..Order::default()
+        };
+        let order_8 = Order {
+            order_id: 8,
+            slot: 3,
+            ..Order::default()
+        };
+        let order_9 = Order {
+            order_id: 9,
+            slot: 4,
+            ..Order::default()
+        };
+        let order_10 = Order {
+            order_id: 10,
+            slot: 5,
+            ..Order::default()
+        };
+
+        let node_1 = create_node(NodeType::TakingLimit, order_1, user_account);
+        let node_2 = create_node(NodeType::TakingLimit, order_2, user_account);
+        let node_3 = create_node(NodeType::TakingLimit, order_3, user_account);
+        let node_4 = create_node(NodeType::TakingLimit, order_4, user_account);
+        let node_5 = create_node(NodeType::TakingLimit, order_5, user_account);
+
+        let node_6 = create_node(NodeType::TakingLimit, order_6, user_account);
+        let node_7 = create_node(NodeType::TakingLimit, order_7, user_account);
+        let node_8 = create_node(NodeType::TakingLimit, order_8, user_account);
+        let node_9 = create_node(NodeType::TakingLimit, order_9, user_account);
+        let node_10 = create_node(NodeType::TakingLimit, order_10, user_account);
+
+        orderlist.insert_bid(node_1);
+        orderlist.insert_bid(node_2);
+        orderlist.insert_bid(node_3);
+        orderlist.insert_bid(node_4);
+        orderlist.insert_bid(node_5);
+
+        orderlist.insert_ask(node_6);
+        orderlist.insert_ask(node_7);
+        orderlist.insert_ask(node_8);
+        orderlist.insert_ask(node_9);
+        orderlist.insert_ask(node_10);
+
+        assert_eq!(orderlist.get_best_bid().unwrap().get_order().slot, 1);
+        assert_eq!(orderlist.get_best_bid().unwrap().get_order().slot, 2);
+        assert_eq!(orderlist.get_best_bid().unwrap().get_order().slot, 3);
+        assert_eq!(orderlist.get_best_bid().unwrap().get_order().slot, 4);
+        assert_eq!(orderlist.get_best_bid().unwrap().get_order().slot, 5);
+
+        assert_eq!(orderlist.get_best_ask().unwrap().get_order().slot, 1);
+        assert_eq!(orderlist.get_best_ask().unwrap().get_order().slot, 2);
+        assert_eq!(orderlist.get_best_ask().unwrap().get_order().slot, 3);
+        assert_eq!(orderlist.get_best_ask().unwrap().get_order().slot, 4);
+        assert_eq!(orderlist.get_best_ask().unwrap().get_order().slot, 5);
+    }
+}

src/lib.rs

@@ -67,10 +67,12 @@ pub mod websocket_program_account_subscriber;
 
 // subscribers
 pub mod auction_subscriber;
-pub mod dlob;
+pub mod dlob_client;
 pub mod event_subscriber;
 pub mod slot_subscriber;
 
+pub mod dlob;
+pub mod math;
 pub mod usermap;
 
 use types::*;