Try catch around price calculation (#786)

* Pull the data for lot and tick sizes * naming * more robust strategy * ts * add example code for each market * prettier * linter
drift-labs · Dec 22, 2023 · a2956ec · a2956ec
1 parent 6946812
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diff --git a/sdk/examples/phoenix.ts b/sdk/examples/phoenix.ts
@@ -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 () {

diff --git a/sdk/src/phoenix/phoenixSubscriber.ts b/sdk/src/phoenix/phoenixSubscriber.ts
@@ -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';
@@ -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;