serum-vial

serum-vial: real-time WS market data API for Serum DEX

Why?

We all know that Serum DEX is awesome, but since it's a new ecosystem, tooling around it may not be so convenient especially from centralized exchanges APIs users perspective. Serum-vial which is a real-time WebSocket market data API server for Serum DEX hopes to alleviate some of those issues by offering:

• familiar experience for centralized exchanges APIs users

  • WebSocket API with Pub/Sub flow - subscribe to selected channels and markets and receive real-time data as easy to parse JSON messages that can be consumed from any language supporting WebSocket protocol

  • incremental L2 order book updates - instead of decoding Serum market asks and bids accounts for each account change in order to detect order book updates, receive initial L2 snapshot and incremental updates as JSON messages real-time over WebSocket connection

  • tick-by-tick trades - instead of decoding eventQueue account data which is quite large (> 1MB) and in practice it's hard to consume real-time directly from Solana RPC node due to it's size, receive individual trade messages real-time over WebSocket connection

  • real-time L3 data - receive the most granular updates on individual order level: open, change, fill and done messages for every order that Serum DEX processes

• decreased load and bandwidth consumption for Solana RPC nodes hosts - by providing real-time market data API via serum-vial server instead of RPC node directly, hosts can decrease substantially both CPU load and bandwidth requirements as only serum-vial will be direct consumer of RPC API when it comes to market data accounts changes and will efficiently normalize and broadcast small JSON messages to all connected clients

What about placing/cancelling orders endpoints?

Serum-vial provides real-time market data only and does not include endpoints for placing/canceling or tracking own orders as that requires handling private keys which is currently out of scope of this project.

Both serum-rest-server and @project-serum/serum provide such functionality and are recommended alternatives.

Getting started

Run the code snippet below in the browser Dev Tools directly or in Node.js (requires installation of ws lib, see).

// connect to hosted demo server
const ws = new WebSocket('wss://serum-vial.tardis.dev/v1/ws')
// if connecting to serum-vial server running locally
// const ws = new WebSocket('ws://localhost:8000/v1/ws')

ws.onmessage = (message) => {
  console.log(JSON.parse(message.data))
}

ws.onopen = () => {
  // subscribe both to L2 and L3 real-time channels
  const subscribeL2 = {
    op: 'subscribe',
    channel: 'level2',
    markets: ['BTC/USDC']
  }

  const subscribeL3 = {
    op: 'subscribe',
    channel: 'level3',
    markets: ['BTC/USDC']
  }

  ws.send(JSON.stringify(subscribeL2))
  ws.send(JSON.stringify(subscribeL3))
}

Demo

Demo of Serum DEX UI backed by serum-vial WebSocket API for trade and order book data is available at:

serum-dex.tardis.dev

Since by default serum-vial uses confirmed commitment level for getting accounts notification from RPC node, it may sometimes feel slightly lagging when it comes to order book updates vs default DEX UI which uses recent/processed commitment. Trade data is provided faster since by default DEX UI is pooling eventQueue account data on interval due to it's size (> 1MB), and serum-vial uses real-time eventQueue account notification as a source for trade messages which aren't delayed by pooling interval time.

Installation

npx _{(requires Node.js >= 15 and git installed on host machine)}

Installs and starts serum-vial server running on port 8000.

npx serum-vial

If you'd like to switch to different Solana RPC node endpoint, change port or run with debug logs enabled, just add one of the available CLI options.

npx serum-vial --endpoint https://solana-api.projectserum.com --log-level debug --port 8080

Alternatively you can install serum-vial globally.

npm install -g serum-vial
serum-vial

CLI options

name	default	description
port	8000	Port to bind server on
endpoint	https://solana-api.projectserum.com	Solana RPC node endpoint that serum-vial uses as a data source
log-level	info	Log level, available options: debug, info, warn and error
minions-count	1	Minions worker threads count that are responsible for broadcasting normalized WS messages to connected clients
commitment	confirmed	Solana commitment level to use when communicating with RPC node, available options: confirmed and processed
markets-json	@project-serum/serum markets.json file, but only non depreciated markets	path to custom market.json definition file if one wants to run serum-vial for custom markets

Run npx serum-vial --help to see all available startup options.

Docker

Pulls and runs latest version of tardisdev/serum-vial Docker Image on port 8000.

docker run -p 8000:8000 -d tardisdev/serum-vial:latest

If you'd like to switch to different Solana RPC node endpoint, change port or run with debug logs enabled, just specify those via one of the available env variables.

docker run -p 8000:8000 -e "SV_LOG_LEVEL=debug" -d tardisdev/serum-vial:latest

ENV Variables

name	default	description
SV_PORT	8000	Port to bind server on
SV_ENDPOINT	https://solana-api.projectserum.com	Solana RPC node endpoint that serum-vial uses as a data source
SV_LOG_LEVEL	info	Log level, available options: debug, info, warn and error
SV_MINIONS_COUNT	1	Minions worker threads count that are responsible for broadcasting normalized WS messages to connected clients
SV_COMMITMENT	confirmed	Solana commitment level to use when communicating with RPC node, available options: confirmed and processed
SV_MARKETS_JSON	@project-serum/serum markets.json file, but only non depreciated markets	path to custom market.json definition file if one wants to run serum-vial for custom markets

SSL/TLS Support

Serum-vial supports SSL/TLS but it's not enabled by default. In order to enable it you need to set CERT_FILE_NAME env var pointing to the certificate file and KEY_FILE_NAME pointing to private key of that certificate.

WebSocket API

WebSocket API provides real-time market data feeds of Serum DEX and uses a bidirectional protocol which encodes all messages as JSON objects.

• each WebSocket client is required to actively send native WebSocket pings to the server with interval less than 30 seconds, otherwise connection may be dropped due to inactivity

• message compression is enabled for clients supporting permessage-deflate

Endpoint URL

• ws://localhost:8000/v1/ws - assuming serum-vial runs locally on default port without SSL enabled

• wss://serum-vial.tardis.dev/v1/ws - demo serum-vial server endpoint

Subscribing to data feeds

To begin receiving real-time market data feed messages, you must first send a subscribe message to the server indicating channels and markets for which you want the data for.

If you want to unsubscribe from channel and markets, send an unsubscribe message. The structure is equivalent to subscribe messages except op field which should be set to "op": "unsubscribe".

const ws = new WebSocket('ws://localhost:8000/v1/ws')

ws.onopen = () => {
  const subscribeL2 = {
    op: 'subscribe',
    channel: 'trades',
    markets: ['BTC/USDC']
  }

  ws.send(JSON.stringify(subscribeL2))
}

Subscribe/unsubscribe message format

• see supported channels & corresponding data messages types
• see supported markets

{
  "op": "subscribe" | "unsubscribe",
  "channel": "level3" | "level2" | "level1" | "trades",
  "markets": string[]
}

sample subscribe message

{
  "op": "subscribe",
  "channel": "level2",
  "markets": ["BTC/USDC"]
}

Subscription confirmation message format

Once a subscribe (or unsubscribe) message is received by the server, it will push subscribed (or unsubscribed) confirmation message or error if received message was invalid.

{
"type": "subscribed" | "unsubscribed",
"channel": "level3" | "level2" | "level1" | "trades",
"markets": string[],
"timestamp": string
}

sample subscribed confirmation message

{
  "type": "subscribed",
  "channel": "level2",
  "markets": ["BTC/USDC"],
  "timestamp": "2021-03-23T17:06:30.010Z"
}

Error message format

Error message is pushed for invalid subscribe/unsubscribe messages - non existing market, invalid channel name etc.

{
  "type": "error",
  "message": "string,
  "timestamp": "string
}

sample error message

{
  "type": "error",
  "message": "Invalid channel provided: 'levels1'.",
  "timestamp": "2021-03-23T17:13:31.010Z"
}

Supported channels & corresponding message types

When subscribed to the channel, server will push the data messages as specified below.

• trades

  • recent_trades
  • trade

• level1

  • quote

• level2

  • l2snapshot
  • l2update

• level3

  • l3snapshot
  • open
  • fill
  • change
  • done

Supported markets

Markets supported by serum-vial server can be queried via GET /markets HTTP endpoint ([].name field).

Data messages

• type is determining message's data type so it can be handled appropriately

• timestamp when message has been received from node RPC API in ISO 8601 format with milliseconds, for example: "2021-03-23T17:03:03.994Z"

• slot is a Solana's slot number for which message has produced

• version of Serum DEX program layout (DEX version)

• price and size are provided as strings to preserve precision

recent_trades

Up to 100 recent trades pushed immediately after successful subscription confirmation.

• every trade in trades array has the same format as trade message
• trades are ordered from oldest to newest

{
  "type": "recent_trades",
  "market": string,
  "trades": Trade[],
  "timestamp": string
}

sample recent_trades message

{
  "type": "recent_trades",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T07:05:27.377Z",
  "trades": [
    {
      "type": "trade",
      "market": "BTC/USDC",
      "timestamp": "2021-03-23T19:03:06.723Z",
      "slot": 70468384,
      "version": 3,
      "id": "10239824528804319520203515|3.0821|1616526186723",
      "side": "buy",
      "price": "55447.7",
      "size": "3.0821"
    }
  ]
}

trade

Pushed real-time for each trade as it happens on a DEX (decoded from the eventQueue account).

• side describes a liquidity taker side

• id field is an unique id constructed by joining taker order id, order size and timestamp (as milliseconds since epoch)

{
  "type": "trade",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "id": string,
  "side": "buy" | "sell",
  "price": string,
  "size": string
}

sample trade message

{
  "type": "trade",
  "market": "BTC/USDC",
  "timestamp": "2021-03-23T19:03:06.723Z",
  "slot": 70468384,
  "version": 3,
  "id": "10239824528804319520203515|3.0821|1616526186723",
  "side": "buy",
  "price": "55447.7",
  "size": "3.0821"
}

quote

Pushed real-time for any change in best bid/ask price or size for a given market (decoded from the bids and asks accounts).

• bestAsk and bestBid are tuples where first item is a price and second is a size of the best bid/ask level

{
  "type": "quote",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "bestAsk": [price: string, size: string] | undefined,
  "bestBid": [price: string, size: string] | undefined
}

sample quote message

{
  "type": "quote",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T07:11:57.186Z",
  "slot": 70544253,
  "version": 3,
  "bestAsk": ["55336.1", "5.0960"],
  "bestBid": ["55285.6", "7.5000"]
}

l2snapshot

Entire up-to-date order book snapshot with orders aggregated by price level pushed immediately after successful subscription confirmation.

• asks and bids arrays contain tuples where first item of a tuple is a price level and second one is a size of the resting orders at that price level

• it can be pushed for an active connection as well when underlying server connection to the RPC node has been restarted, in such scenario locally maintained order book should be re-initialized with a new snapshot

• together with l2update messages it can be used to maintain local up-to-date full order book state

{
  "type": "l2snapshot",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "asks": [price: string, size: string][],
  "bids": [price: string, size: string][]
}

sample l2snapshot message

{
  "type": "l2snapshot",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T09:00:53.087Z",
  "slot": 70555623,
  "version": 3,
  "asks": [
    ["56463.3", "8.6208"],
    ["56474.3", "5.8632"],
    ["56496.4", "3.7627"]
  ],
  "bids": [
    ["56386.0", "4.8541"],
    ["56370.1", "6.8054"],
    ["56286.3", "8.6631"]
  ]
}

l2update

Pushed real-time for any change to the order book for a given market with updated price levels and sizes since the previous update (decoded from the bids and asks accounts).

• together with l2snapshot, l2update messages can be used to maintain local up-to-date full order book state

• asks and bids arrays contain updates which are provided as a tuples where first item is an updated price level and second one is an updated size of the resting orders at that price level (absolute value, not delta)

• if size is set to 0 it means that such price level does not exist anymore and shall be removed from locally maintained order book

{
  "type": "l2update",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "asks": [price: string, size: string][],
  "bids": [price: string, size: string][]
}

sample l2update message

{
  "type": "l2update",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T09:00:55.586Z",
  "slot": 70555627,
  "version": 3,
  "asks": [["56511.5", "7.5000"]],
  "bids": [
    ["56421.6", "0.0000"],
    ["56433.6", "5.9475"]
  ]
}

l3snapshot

Entire up-to-date order book snapshot with all individual orders pushed immediately after successful subscription confirmation.

• clientId is an client provided order id for an order

• account is an open orders account address

• accountSlot is a an open orders account slot number

• together with open, change, fill and done messages it can be used to maintain local up to date Level 3 order book state

• it can be pushed for an active connection as well when underlying server connection to the RPC node has been restarted, in such scenario locally maintained L3 order book should be re-initialized with a new snapshot

{
  "type": "l3snapshot",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "asks": {
    "price": string,
    "size": string,
    "side": "sell",
    "orderId": string,
    "clientId": string,
    "account": string,
    "accountSlot": number,
    "feeTier": number
  }[],
  "bids": {
    "price": string,
    "size": string,
    "side": "buy",
    "orderId": string,
    "clientId": string,
    "account": string,
    "accountSlot": number,
    "feeTier": number
  }[]
}

sample l3snapshot message

{
  "type": "l3snapshot",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T09:49:51.070Z",
  "slot": 70560748,
  "version": 3,
  "asks": [
    {
      "orderId": "10430028906948338708824594",
      "clientId": "13065347387987527730",
      "side": "sell",
      "price": "56541.3",
      "size": "4.9049",
      "account": "EXkXcPkqFwqJPXpJdTHMdvmLE282PRShqwMTteWcfz85",
      "accountSlot": 8,
      "feeTier": 3
    }
  ],
  "bids": [
    {
      "orderId": "10414533641926422683532775",
      "clientId": "1616579378239885365",
      "side": "buy",
      "price": "56457.2",
      "size": "7.5000",
      "account": "6Yqus2UYf1wSaKBE4GSLeE2Ge225THeyPcgWBaoGzx3e",
      "accountSlot": 10,
      "feeTier": 6
    }
  ]
}

open

Pushed real-time for every new order opened on the limit order book (decoded from the bids and asks accounts).

• no open messages are pushed for order that are filled or cancelled immediately (ImmediateOrCancel orders for example)

{
  "type": "open",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "orderId": string,
  "clientId": string,
  "side": "buy" | "sell",
  "price": string,
  "size": string,
  "account": string,
  "accountSlot": number,
  "feeTier": number
}

sample open message

{
  "type": "open",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T10:14:33.967Z",
  "slot": 70563387,
  "version": 3,
  "orderId": "10395754856459386361922812",
  "clientId": "1616580865182472471",
  "side": "sell",
  "price": "56355.5",
  "size": "7.5000",
  "account": "6Yqus2UYf1wSaKBE4GSLeE2Ge225THeyPcgWBaoGzx3e",
  "accountSlot": 6,
  "feeTier": 6
}

change

Pushed real-time anytime order size changes as a result of self-trade prevention (decoded from the bids and asks accounts).

• size field contains updated order size

{
  "type": "change",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "orderId": string,
  "clientId": string,
  "side": "buy" | "sell",
  "price": string,
  "size": string,
  "account": string,
  "accountSlot": number,
  "feeTier": number
}

sample change message

{
  "type": "change",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T10:25:21.739Z",
  "slot": 70564525,
  "version": 3,
  "orderId": "10352165200213210691454558",
  "clientId": "15125925100673159264",
  "side": "sell",
  "price": "56119.2",
  "size": "8.4494",
  "account": "EXkXcPkqFwqJPXpJdTHMdvmLE282PRShqwMTteWcfz85",
  "accountSlot": 6,
  "feeTier": 3
}

fill

Pushed real-time anytime trade happens (decoded from the eventQueue accounts).

• there are always two fill messages for a trade, one for a maker and one for a taker order

• feeCost is provided in a quote currency

{
  "type": "fill",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "orderId": string,
  "clientId": string,
  "side": "buy" | "sell",
  "price": string,
  "size": string,
  "maker" boolean,
  "feeCost" number,
  "account": string,
  "accountSlot": number,
  "feeTier": number
}

sample fill message

{
  "type": "fill",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T11:27:21.739Z",
  "slot": 70564527,
  "version": 3,
  "orderId": "1035216520046710691454558",
  "clientId": "151259251006473159264",
  "side": "sell",
  "price": "56119.2",
  "size": "8.4494",
  "maker": false,
  "feeCost": 15.6,
  "account": "EXkXcPkqFwqJPXpJdTHMdvmLE282PRShqwMTteWcfz85",
  "accountSlot": 6,
  "feeTier": 3
}

done

Pushed real-time when the order is no longer on the order book (decoded from the eventQueue accounts).

• this message can result from an order being canceled or filled (reason field)

• there will be no more messages for this orderId after a done message

• it can be pushed for orders that were never 'open' in the order book in the first place (ImmediateOrCancel orders for example)

{
  "type": "done",
  "market": string,
  "timestamp": string,
  "slot": number,
  "version": number,
  "orderId": string,
  "clientId": string,
  "side": "buy" | "sell",
  "reason" : "canceled" | "filled",
  "account": string,
  "accountSlot": number
}

sample done message

{
  "type": "done",
  "market": "BTC/USDC",
  "timestamp": "2021-03-24T10:25:30.091Z",
  "slot": 70564539,
  "version": 3,
  "orderId": "10366018705012566564718169",
  "clientId": "1616581504702049718",
  "side": "sell",
  "reason": "canceled",
  "account": "6Yqus2UYf1wSaKBE4GSLeE2Ge225THeyPcgWBaoGzx3e",
  "accountSlot": 9
}

HTTP API

GET /markets

Returns Serum DEX markets list supported by serum-vial instance (it can be updated by providing custom markets.json file).

Endpoint URL

• http://localhost:8000/v1/markets - assuming serum-vial runs locally on default port without SSL enabled

• https://serum-vial.tardis.dev/v1/markets - demo serum-vial server endpoint

Response format

{
  "name": string,
  "baseMintAddress": string,
  "quoteMintAddress": string,
  "version": number,
  "address": string,
  "programId": string,
  "baseCurrency": string,
  "quoteCurrency": string,
  "tickSize": number,
  "minOrderSize": number,
  "deprecated": boolean
}[]

sample response

[
  {
    "name": "BTC/USDC",
    "baseCurrency": "BTC",
    "quoteCurrency": "USDC",
    "version": 3,
    "address": "A8YFbxQYFVqKZaoYJLLUVcQiWP7G2MeEgW5wsAQgMvFw",
    "programId": "9xQeWvG816bUx9EPjHmaT23yvVM2ZWbrrpZb9PusVFin",
    "baseMintAddress": "9n4nbM75f5Ui33ZbPYXn59EwSgE8CGsHtAeTH5YFeJ9E",
    "quoteMintAddress": "EPjFWdd5AufqSSqeM2qN1xzybapC8G4wEGGkZwyTDt1v",
    "tickSize": 0.1,
    "minOrderSize": 0.0001,
    "deprecated": false
  }
]

Architecture

Credits

This project was possible thanks to ecoSerum Grant.