serum-vial - npm Package Compare versions

Comparing version 1.3.1 to 1.3.2

dist/data_mapper.d.ts

@@ -28,3 +28,2 @@ import { Market } from '@project-serum/serum';
     private _addChangedOrderItemsToL3Diff;
-    private _addOpenOrdersForImmediateMakerFills;
     reset(): void;
@@ -31,0 +30,0 @@ private _validateL3DiffCorrectness;

dist/data_mapper.js

@@ -34,5 +34,44 @@ "use strict";
         const l3Diff = [];
+        const newAsksSlabItems = accountsData.asks !== undefined
+            ? [...serum_1.Orderbook.decode(this._options.market, accountsData.asks).slab.items(false)]
+            : this._asksAccountSlabItems;
+        const newAsksOrders = accountsData.asks !== undefined && newAsksSlabItems !== undefined
+            ? newAsksSlabItems.map(this._mapAskSlabItemToOrder)
+            : this._asksAccountOrders;
+        const newBidsSlabItems = accountsData.bids !== undefined
+            ? [...serum_1.Orderbook.decode(this._options.market, accountsData.bids).slab.items(true)]
+            : this._bidsAccountSlabItems;
+        const newBidsOrders = accountsData.bids !== undefined && newBidsSlabItems !== undefined
+            ? newBidsSlabItems.map(this._mapBidSlabItemToOrder)
+            : this._bidsAccountOrders;
         if (this._initialized && accountsData.eventQueue !== undefined) {
             let fillsIds = new Map();
             for (const event of this._getNewlyAddedEvents(accountsData.eventQueue)) {
+                // for maker fills check first if there's existing open order for it
+                // as it may not exist in scenario where order was added to the order book and matched in the same slot
+                if (event.eventFlags.fill === true && event.eventFlags.maker === true) {
+                    const makerFill = this._mapEventToDataMessage(event, timestamp, slot, fillsIds);
+                    const currentOpenOrders = makerFill.side === 'buy' ? newBidsOrders : newAsksOrders;
+                    const lastOpenOrders = makerFill.side === 'buy' ? this._bidsAccountOrders : this._asksAccountOrders;
+                    const hasMatchingOpenOrder = currentOpenOrders.some((o) => o.orderId === makerFill.orderId) ||
+                        lastOpenOrders.some((o) => o.orderId === makerFill.orderId);
+                    if (hasMatchingOpenOrder === false) {
+                        const openMessage = {
+                            type: 'open',
+                            market: this._options.symbol,
+                            timestamp,
+                            slot,
+                            version: this._version,
+                            orderId: makerFill.orderId,
+                            clientId: makerFill.clientId,
+                            side: makerFill.side,
+                            price: makerFill.price,
+                            size: makerFill.size,
+                            account: makerFill.account,
+                            accountSlot: makerFill.accountSlot,
+                            feeTier: makerFill.feeTier
+                        };
+                        l3Diff.push(openMessage);
+                    }
+                }
                 const message = this._mapEventToDataMessage(event, timestamp, slot, fillsIds);
@@ -49,4 +88,2 @@ if (message === undefined) {
         if (accountsData.asks !== undefined) {
-            const newAsksSlabItems = [...serum_1.Orderbook.decode(this._options.market, accountsData.asks).slab.items(false)];
-            const newAsksOrders = newAsksSlabItems.map(this._mapAskSlabItemToOrder);
             if (this._initialized) {
@@ -63,4 +100,2 @@ const currentAsksMap = new Map(this._asksAccountOrders.map(this._toMapConstructorStructure));
         if (accountsData.bids !== undefined) {
-            const newBidsSlabItems = [...serum_1.Orderbook.decode(this._options.market, accountsData.bids).slab.items(true)];
-            const newBidsOrders = newBidsSlabItems.map(this._mapBidSlabItemToOrder);
             if (this._initialized) {
@@ -77,3 +112,2 @@ const currentBidsMap = new Map(this._bidsAccountOrders.map(this._toMapConstructorStructure));
         if (this._initialized) {
-            this._addOpenOrdersForImmediateMakerFills(l3Diff, timestamp, slot);
             const diffIsValid = this._validateL3DiffCorrectness(l3Diff);
@@ -310,42 +344,2 @@ if (diffIsValid === false) {
     }
-    _addOpenOrdersForImmediateMakerFills(l3Diff, timestamp, slot) {
-        const openOrdersToAdd = [];
-        for (const item of l3Diff) {
-            // for maker fills check first if there's existing open order for it
-            // as it may not exist in scenario where order was added to the order book and matched in the same slot
-            if (item.type === 'fill' && item.maker === true) {
-                const openOrders = item.side === 'buy' ? this._bidsAccountOrders : this._asksAccountOrders;
-                const hasMatchingOpenOrder = openOrders.some((o) => o.orderId === item.orderId);
-                if (hasMatchingOpenOrder === false) {
-                    const openMessage = {
-                        type: 'open',
-                        market: this._options.symbol,
-                        timestamp,
-                        slot,
-                        version: this._version,
-                        orderId: item.orderId,
-                        clientId: item.clientId,
-                        side: item.side,
-                        price: item.price,
-                        size: item.size,
-                        account: item.account,
-                        accountSlot: item.accountSlot,
-                        feeTier: item.feeTier
-                    };
-                    openOrdersToAdd.push(openMessage);
-                }
-            }
-        }
-        for (const openOrder of openOrdersToAdd) {
-            const matchingL3Index = l3Diff.findIndex((i) => i.type === 'fill' && i.maker === true && i.orderId === openOrder.orderId);
-            // insert open order before first matching l3 index if it exists
-            if (matchingL3Index !== -1) {
-                l3Diff.splice(matchingL3Index, 0, openOrder);
-            }
-            else {
-                // if there's not matching fill/done l3 add open order at the end
-                l3Diff.push(openOrder);
-            }
-        }
-    }
     reset() {
@@ -405,2 +399,17 @@ if (this._initialized === false) {
             if (item.type === 'done') {
+                if (item.reason === 'canceled') {
+                    const matchingOrder = ordersMap.get(item.orderId);
+                    if (matchingOrder !== undefined) {
+                        if (matchingOrder.size !== item.sizeRemaining) {
+                            logger_1.logger.log('warn', 'Done(cancel) message with incorrect sizeRemaining', {
+                                market: this._options.symbol,
+                                doneMessage: item,
+                                matchingOrder,
+                                slot: item.slot,
+                                l3Diff
+                            });
+                            return false;
+                        }
+                    }
+                }
                 ordersMap.delete(item.orderId);
@@ -575,10 +584,3 @@ }
                 accountSlot: openOrdersSlot,
-                sizeRemaining: undefined,
-                price: undefined
-                // sizeRemaining:
-                //   reason === 'canceled' ? this._getDoneSize(event).toFixed(this._options.sizeDecimalPlaces) : undefined,
-                // price:
-                //   reason === 'canceled'
-                //     ? this._options.market.priceLotsToNumber(event.orderId.ushrn(64)).toFixed(this._options.priceDecimalPlaces)
-                //     : undefined
+                sizeRemaining: reason === 'canceled' ? this._getDoneSize(event).toFixed(this._options.sizeDecimalPlaces) : undefined
             };
@@ -585,0 +587,0 @@ return doneMessage;

dist/types.d.ts

@@ -74,3 +74,2 @@ import { Op, Channel, MessageType } from './consts';
     readonly reason: 'filled' | 'canceled';
-    readonly price: string | undefined;
     readonly sizeRemaining: string | undefined;
@@ -77,0 +76,0 @@ readonly side: 'buy' | 'sell';

package.json

 {
   "name": "serum-vial",
-  "version": "1.3.1",
+  "version": "1.3.2",
   "engines": {
@@ -5,0 +5,0 @@ "node": ">=15"

README.md

@@ -795,3 +795,3 @@ <img src="https://raw.githubusercontent.com/tardis-dev/serum-vial/master/logo.svg">
 
-- `price` and `sizeRemaining` fields are available only since v1.3.0 and only for canceled orders (`reason="canceled"`)
+- `sizeRemaining` field is available only since v1.3.2 and only for canceled orders (`reason="canceled"`)
 
@@ -809,3 +809,2 @@ ```ts
   "reason" : "canceled" | "filled",
-  "price": string | undefined
   "sizeRemaining": string | undefined
@@ -832,4 +831,3 @@ "account": string,
   "accountSlot": 0,
-  "sizeRemaining": "508.5",
-  "price": "6.364"
+  "sizeRemaining": "508.5"
 }
@@ -836,0 +834,0 @@ ```

src/data_mapper.ts

@@ -79,6 +79,60 @@ import { EVENT_QUEUE_LAYOUT, Market, Orderbook, getLayoutVersion } from '@project-serum/serum'
 
+    const newAsksSlabItems =
+      accountsData.asks !== undefined
+        ? [...Orderbook.decode(this._options.market, accountsData.asks).slab.items(false)]
+        : this._asksAccountSlabItems
+
+    const newAsksOrders =
+      accountsData.asks !== undefined && newAsksSlabItems !== undefined
+        ? newAsksSlabItems.map(this._mapAskSlabItemToOrder)
+        : this._asksAccountOrders
+
+    const newBidsSlabItems =
+      accountsData.bids !== undefined
+        ? [...Orderbook.decode(this._options.market, accountsData.bids).slab.items(true)]
+        : this._bidsAccountSlabItems
+
+    const newBidsOrders =
+      accountsData.bids !== undefined && newBidsSlabItems !== undefined
+        ? newBidsSlabItems.map(this._mapBidSlabItemToOrder)
+        : this._bidsAccountOrders
+
     if (this._initialized && accountsData.eventQueue !== undefined) {
       let fillsIds: Map<string, Fill> = new Map()
       for (const event of this._getNewlyAddedEvents(accountsData.eventQueue)) {
+        // for maker fills check first if there's existing open order for it
+        // as it may not exist in scenario where order was added to the order book and matched in the same slot
+
+        if (event.eventFlags.fill === true && event.eventFlags.maker === true) {
+          const makerFill: Fill = this._mapEventToDataMessage(event, timestamp, slot, fillsIds)! as Fill
+          const currentOpenOrders = makerFill.side === 'buy' ? newBidsOrders! : newAsksOrders!
+          const lastOpenOrders = makerFill.side === 'buy' ? this._bidsAccountOrders! : this._asksAccountOrders!
+
+          const hasMatchingOpenOrder =
+            currentOpenOrders.some((o) => o.orderId === makerFill.orderId) ||
+            lastOpenOrders.some((o) => o.orderId === makerFill.orderId)
+
+          if (hasMatchingOpenOrder === false) {
+            const openMessage: Open = {
+              type: 'open',
+              market: this._options.symbol,
+              timestamp,
+              slot,
+              version: this._version,
+              orderId: makerFill.orderId,
+              clientId: makerFill.clientId,
+              side: makerFill.side,
+              price: makerFill.price,
+              size: makerFill.size,
+              account: makerFill.account,
+              accountSlot: makerFill.accountSlot,
+              feeTier: makerFill.feeTier
+            }
+
+            l3Diff.push(openMessage)
+          }
+        }
+
         const message = this._mapEventToDataMessage(event, timestamp, slot, fillsIds)
+
         if (message === undefined) {
@@ -96,9 +150,6 @@ continue
     if (accountsData.asks !== undefined) {
-      const newAsksSlabItems = [...Orderbook.decode(this._options.market, accountsData.asks).slab.items(false)]
-      const newAsksOrders = newAsksSlabItems.map(this._mapAskSlabItemToOrder)
-
       if (this._initialized) {
         const currentAsksMap = new Map(this._asksAccountOrders!.map(this._toMapConstructorStructure))
 
-        for (const ask of newAsksOrders) {
+        for (const ask of newAsksOrders!) {
           const matchingExistingOrder = currentAsksMap.get(ask.orderId)
@@ -114,9 +165,6 @@ this._addChangedOrderItemsToL3Diff(matchingExistingOrder, ask, timestamp, slot, l3Diff)
     if (accountsData.bids !== undefined) {
-      const newBidsSlabItems = [...Orderbook.decode(this._options.market, accountsData.bids).slab.items(true)]
-      const newBidsOrders = newBidsSlabItems.map(this._mapBidSlabItemToOrder)
-
       if (this._initialized) {
         const currentBidsMap = new Map(this._bidsAccountOrders!.map(this._toMapConstructorStructure))
 
-        for (const bid of newBidsOrders) {
+        for (const bid of newBidsOrders!) {
           const matchingExistingOrder = currentBidsMap.get(bid.orderId)
@@ -132,4 +180,2 @@ this._addChangedOrderItemsToL3Diff(matchingExistingOrder, bid, timestamp, slot, l3Diff)
     if (this._initialized) {
-      this._addOpenOrdersForImmediateMakerFills(l3Diff, timestamp, slot)
-
       const diffIsValid = this._validateL3DiffCorrectness(l3Diff)
@@ -432,51 +478,2 @@
 
-  private _addOpenOrdersForImmediateMakerFills(
-    l3Diff: (Open | Fill | Done | Change)[],
-    timestamp: string,
-    slot: number
-  ) {
-    const openOrdersToAdd: Open[] = []
-
-    for (const item of l3Diff) {
-      // for maker fills check first if there's existing open order for it
-      // as it may not exist in scenario where order was added to the order book and matched in the same slot
-      if (item.type === 'fill' && item.maker === true) {
-        const openOrders = item.side === 'buy' ? this._bidsAccountOrders! : this._asksAccountOrders!
-        const hasMatchingOpenOrder = openOrders.some((o) => o.orderId === item.orderId)
-        if (hasMatchingOpenOrder === false) {
-          const openMessage: Open = {
-            type: 'open',
-            market: this._options.symbol,
-            timestamp,
-            slot,
-            version: this._version,
-            orderId: item.orderId,
-            clientId: item.clientId,
-            side: item.side,
-            price: item.price,
-            size: item.size,
-            account: item.account,
-            accountSlot: item.accountSlot,
-            feeTier: item.feeTier
-          }
-
-          openOrdersToAdd.push(openMessage)
-        }
-      }
-    }
-
-    for (const openOrder of openOrdersToAdd) {
-      const matchingL3Index = l3Diff.findIndex(
-        (i) => i.type === 'fill' && i.maker === true && i.orderId === openOrder.orderId
-      )
-      // insert open order before first matching l3 index if it exists
-      if (matchingL3Index !== -1) {
-        l3Diff.splice(matchingL3Index, 0, openOrder)
-      } else {
-        // if there's not matching fill/done l3 add open order at the end
-        l3Diff.push(openOrder)
-      }
-    }
-  }
-
   public reset() {
@@ -546,2 +543,19 @@ if (this._initialized === false) {
       if (item.type === 'done') {
+        if (item.reason === 'canceled') {
+          const matchingOrder = ordersMap.get(item.orderId)
+          if (matchingOrder !== undefined) {
+            if (matchingOrder.size !== item.sizeRemaining) {
+              logger.log('warn', 'Done(cancel) message with incorrect sizeRemaining', {
+                market: this._options.symbol,
+                doneMessage: item,
+                matchingOrder,
+                slot: item.slot,
+                l3Diff
+              })
+
+              return false
+            }
+          }
+        }
+
         ordersMap.delete(item.orderId)
@@ -754,10 +768,4 @@ }
         accountSlot: openOrdersSlot,
-        sizeRemaining: undefined,
-        price: undefined
-        // sizeRemaining:
-        //   reason === 'canceled' ? this._getDoneSize(event).toFixed(this._options.sizeDecimalPlaces) : undefined,
-        // price:
-        //   reason === 'canceled'
-        //     ? this._options.market.priceLotsToNumber(event.orderId.ushrn(64)).toFixed(this._options.priceDecimalPlaces)
-        //     : undefined
+        sizeRemaining:
+          reason === 'canceled' ? this._getDoneSize(event).toFixed(this._options.sizeDecimalPlaces) : undefined
       }
@@ -764,0 +772,0 @@ return doneMessage

src/types.ts

@@ -89,3 +89,2 @@ import { Op, Channel, MessageType } from './consts'
   readonly reason: 'filled' | 'canceled'
-  readonly price: string | undefined
   readonly sizeRemaining: string | undefined
@@ -92,0 +91,0 @@ readonly side: 'buy' | 'sell'

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Improved metrics

Total package byte prevSize

303037

increased by0.34%

Lines of code

4486

increased by0.04%

Worsened metrics

Number of lines in readme file

905

decreased by-0.22%

No dependency changes