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Try catch around price calculation #786

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merged 8 commits into from
Dec 22, 2023
Merged

Try catch around price calculation #786

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5aadf7b
Pull the data for lot and tick sizes
jarry-xiao Dec 18, 2023
4cb7ca6
naming
jarry-xiao Dec 18, 2023
4997e98
more robust strategy
jarry-xiao Dec 21, 2023
34ebdad
Merge branch 'master' into phoenix/fix-js-number-overflow
jarry-xiao Dec 21, 2023
4d5e0ac
ts
jarry-xiao Dec 21, 2023
ce9d015
add example code for each market
jarry-xiao Dec 21, 2023
fa9a3a3
prettier
jarry-xiao Dec 21, 2023
4ac7655
linter
jarry-xiao Dec 21, 2023
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71 changes: 45 additions & 26 deletions sdk/examples/phoenix.ts
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Original file line number Diff line number Diff line change
@@ -1,38 +1,57 @@
import { Connection, PublicKey } from '@solana/web3.js';
import { BASE_PRECISION, PRICE_PRECISION, PhoenixSubscriber } from '../src';
import {
BASE_PRECISION,
L2Level,
PRICE_PRECISION,
PhoenixSubscriber,
} from '../src';
import { PROGRAM_ID } from '@ellipsis-labs/phoenix-sdk';

export async function listenToBook(): Promise<void> {
const connection = new Connection('https://api.mainnet-beta.solana.com');

const phoenixSubscriber = new PhoenixSubscriber({
connection,
programId: PROGRAM_ID,
marketAddress: new PublicKey(
'4DoNfFBfF7UokCC2FQzriy7yHK6DY6NVdYpuekQ5pRgg'
),
accountSubscription: {
type: 'websocket',
},
});

await phoenixSubscriber.subscribe();

for (let i = 0; i < 10; i++) {
const bids = phoenixSubscriber.getL2Levels("bids");
const asks = phoenixSubscriber.getL2Levels("asks");
console.log("bids");
for (const bid of bids) {
console.log(bid.price.toNumber() / PRICE_PRECISION.toNumber(), bid.size.toNumber() / BASE_PRECISION.toNumber());
for (const market of [
'4DoNfFBfF7UokCC2FQzriy7yHK6DY6NVdYpuekQ5pRgg', // SOL/USDC
'Ew3vFDdtdGrknJAVVfraxCA37uNJtimXYPY4QjnfhFHH', // ETH/USDC
'2sTMN9A1D1qeZLF95XQgJCUPiKe5DiV52jLfZGqMP46m', // PYTH/USDC
'BRLLmdtPGuuFn3BU6orYw4KHaohAEptBToi3dwRUnHQZ', // JTO/USDC
]) {
const phoenixSubscriber = new PhoenixSubscriber({
connection,
programId: PROGRAM_ID,
marketAddress: new PublicKey(market),
accountSubscription: {
type: 'websocket',
},
});

await phoenixSubscriber.subscribe();

const bids = phoenixSubscriber.getL2Levels('bids');
const asks = phoenixSubscriber.getL2Levels('asks');
let bid: L2Level | null = null;
for (const b of bids) {
bid = b;
break;
}
console.log("asks");
for (const ask of asks) {
console.log(ask.price.toNumber() / PRICE_PRECISION.toNumber(), ask.size.toNumber() / BASE_PRECISION.toNumber());
let ask: L2Level | null = null;
for (const a of asks) {
ask = a;
break;
}
await new Promise((r) => setTimeout(r, 2000));
}

await phoenixSubscriber.unsubscribe();
console.log('market', market);
console.log(
(bid?.size.toNumber() || 0) / BASE_PRECISION.toNumber(),
(bid?.price.toNumber() || 0) / PRICE_PRECISION.toNumber(),
'@',
(ask?.price.toNumber() || (1 << 53) - 1) / PRICE_PRECISION.toNumber(),
(ask?.size.toNumber() || 0) / BASE_PRECISION.toNumber()
);
console.log();

await phoenixSubscriber.unsubscribe();
}
}

(async function () {
Expand Down
39 changes: 19 additions & 20 deletions sdk/src/phoenix/phoenixSubscriber.ts
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Original file line number Diff line number Diff line change
Expand Up @@ -6,7 +6,6 @@ import {
toNum,
getMarketUiLadder,
Market,
getMarketLadder,
} from '@ellipsis-labs/phoenix-sdk';
import { PRICE_PRECISION } from '../constants/numericConstants';
import { BN } from '@coral-xyz/anchor';
Expand Down Expand Up @@ -164,37 +163,37 @@ export class PhoenixSubscriber implements L2OrderBookGenerator {
}

*getL2Levels(side: 'bids' | 'asks'): Generator<L2Level> {
const tickSize = this.market.data.header
.tickSizeInQuoteAtomsPerBaseUnit as BN;
const baseLotsToRawBaseUnits = this.market.baseLotsToRawBaseUnits(1);

const basePrecision = new BN(
Math.pow(10, this.market.data.header.baseParams.decimals) *
baseLotsToRawBaseUnits
const basePrecision = Math.pow(
10,
this.market.data.header.baseParams.decimals
);

const pricePrecision = PRICE_PRECISION.div(tickSize as BN);
const pricePrecision = PRICE_PRECISION.toNumber();

const ladder = getMarketLadder(
const ladder = getMarketUiLadder(
this.market,
this.lastSlot,
this.lastUnixTimestamp,
20
);

for (let i = 0; i < ladder[side].length; i++) {
const { priceInTicks, sizeInBaseLots } = ladder[side][i];
const size = sizeInBaseLots.mul(basePrecision);
yield {
price: priceInTicks.mul(new BN(pricePrecision)),
size,
sources: {
phoenix: size,
},
};
const { price, quantity } = ladder[side][i];
try {
const size = new BN(quantity * basePrecision);
const updatedPrice = new BN(price * pricePrecision);
yield {
price: updatedPrice,
size,
sources: {
phoenix: size,
},
};
} catch {
continue;
}
}
}

public async unsubscribe(): Promise<void> {
if (!this.subscribed) {
return;
Expand Down
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