# # ⚠ Warning # # THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT # LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN # NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, # WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE # SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE. # # [🥭 Mango Markets](https://mango.markets/) support is available at: # [Docs](https://docs.mango.markets/) # [Discord](https://discord.gg/67jySBhxrg) # [Twitter](https://twitter.com/mangomarkets) # [Github](https://github.com/blockworks-foundation) # [Email](mailto:hello@blockworks.foundation) import abc import typing from datetime import datetime from decimal import Decimal from solana.publickey import PublicKey from .accountinfo import AccountInfo from .addressableaccount import AddressableAccount from .context import Context from .layouts import layouts from .lotsizeconverter import LotSizeConverter from .metadata import Metadata from .observables import Disposable from .orders import Side from .version import Version from .websocketsubscription import ( WebSocketAccountSubscription, WebSocketSubscriptionManager, ) # # 🥭 PerpEvent class # # `PerpEvent` is the base class of all perp event objects. # class PerpEvent(metaclass=abc.ABCMeta): def __init__(self, event_type: int, original_index: Decimal) -> None: self.event_type: int = event_type self.original_index: Decimal = original_index @abc.abstractproperty @property def accounts_to_crank(self) -> typing.Sequence[PublicKey]: raise NotImplementedError( "PerpEvent.accounts_to_crank is not implemented on the base type." ) def __repr__(self) -> str: return f"{self}" # # 🥭 PerpFillEvent class # # `PerpOutEvent` stores details of a perp 'fill' event. # class PerpFillEvent(PerpEvent): def __init__( self, event_type: int, original_index: Decimal, timestamp: datetime, taker_side: Side, price: Decimal, quantity: Decimal, best_initial: Decimal, maker_slot: Decimal, maker_out: bool, maker: PublicKey, maker_order_id: Decimal, maker_client_order_id: Decimal, taker: PublicKey, taker_order_id: Decimal, taker_client_order_id: Decimal, ) -> None: super().__init__(event_type, original_index) self.timestamp: datetime = timestamp self.taker_side: Side = taker_side self.price: Decimal = price self.quantity: Decimal = quantity self.best_initial: Decimal = best_initial self.maker_slot: Decimal = maker_slot self.maker_out: bool = maker_out self.maker: PublicKey = maker self.maker_order_id: Decimal = maker_order_id self.maker_client_order_id: Decimal = maker_client_order_id self.taker: PublicKey = taker self.taker_order_id: Decimal = taker_order_id self.taker_client_order_id: Decimal = taker_client_order_id @property def key(self) -> str: return f"{self.maker_order_id}/{self.taker_order_id}" @property def accounts_to_crank(self) -> typing.Sequence[PublicKey]: return [self.maker, self.taker] def __str__(self) -> str: return f"""« PerpFillEvent [{self.original_index}] {self.taker_side} {self.quantity:,.8f} at {self.price:,.8f} [{self.timestamp}] Maker: {self.maker}, {self.maker_order_id} / {self.maker_client_order_id} Taker: {self.taker}, {self.taker_order_id} / {self.taker_client_order_id} Best Initial: {self.best_initial} Maker Slot: {self.maker_slot} Maker Out: {self.maker_out} »""" # # 🥭 PerpOutEvent class # # `PerpOutEvent` stores details of a perp 'out' event. # class PerpOutEvent(PerpEvent): def __init__( self, event_type: int, original_index: Decimal, owner: PublicKey, side: Side, quantity: Decimal, slot: Decimal, ) -> None: super().__init__(event_type, original_index) self.owner: PublicKey = owner self.side: Side = side self.slot: Decimal = slot self.quantity: Decimal = quantity @property def accounts_to_crank(self) -> typing.Sequence[PublicKey]: return [self.owner] def __str__(self) -> str: return f"""« PerpOutEvent [{self.original_index}] [{self.owner}] {self.side} {self.quantity}, slot: {self.slot} »""" # # 🥭 PerpLiquidateEvent class # # `PerpLiquidateEvent` stores details of a perp 'liquidate' event. # class PerpLiquidateEvent(PerpEvent): def __init__( self, event_type: int, original_index: Decimal, timestamp: datetime, seq_num: Decimal, liquidatee: PublicKey, liquidator: PublicKey, price: Decimal, quantity: Decimal, liquidation_fee: Decimal, ) -> None: super().__init__(event_type, original_index) self.timestamp: datetime = timestamp self.seq_num: Decimal = seq_num self.liquidatee: PublicKey = liquidatee self.liquidator: PublicKey = liquidator self.price: Decimal = price self.quantity: Decimal = quantity self.liquidation_fee: Decimal = liquidation_fee @property def accounts_to_crank(self) -> typing.Sequence[PublicKey]: return [self.liquidatee, self.liquidator] def __str__(self) -> str: return f"""« PerpLiquidateEvent Liquidator {self.liquidator} liquidated {self.liquidatee} with {self.quantity} at {self.price} »""" # # 🥭 PerpUnknownEvent class # # `PerpUnknownEvent` details an unknown `PerpEvent`. This should never be encountered, but might if # the event queue data is upgraded before this code. # class PerpUnknownEvent(PerpEvent): def __init__( self, event_type: int, original_index: Decimal, owner: PublicKey ) -> None: super().__init__(event_type, original_index) self.owner: PublicKey = owner @property def accounts_to_crank(self) -> typing.Sequence[PublicKey]: return [self.owner] def __str__(self) -> str: return f"« PerpUnknownEvent [{self.original_index}] [{self.owner}] »" # # 🥭 event_builder function # # `event_builder()` takes an event layout and returns a typed `PerpEvent`. # def event_builder( lot_size_converter: LotSizeConverter, event_layout: typing.Any, original_index: Decimal, ) -> typing.Optional[PerpEvent]: if event_layout.event_type == b"\x00": if event_layout.maker is None and event_layout.taker is None: return None taker_side: Side = Side.from_value(event_layout.taker_side) quantity: Decimal = lot_size_converter.base_size_lots_to_number( event_layout.quantity ) price: Decimal = lot_size_converter.price_lots_to_number(event_layout.price) return PerpFillEvent( event_layout.event_type, original_index, event_layout.timestamp, taker_side, price, quantity, event_layout.best_initial, event_layout.maker_slot, event_layout.maker_out, event_layout.maker, event_layout.maker_order_id, event_layout.maker_client_order_id, event_layout.taker, event_layout.taker_order_id, event_layout.taker_client_order_id, ) elif event_layout.event_type == b"\x01": return PerpOutEvent( event_layout.event_type, original_index, event_layout.owner, event_layout.side, event_layout.quantity, event_layout.slot, ) elif event_layout.event_type == b"\x02": return PerpLiquidateEvent( event_layout.event_type, original_index, event_layout.timestamp, event_layout.seq_num, event_layout.liquidatee, event_layout.liquidator, event_layout.price, event_layout.quantity, event_layout.liquidation_fee, ) else: return PerpUnknownEvent( event_layout.event_type, original_index, event_layout.owner ) # # 🥭 PerpEventQueue class # # `PerpEventQueue` stores details of perp events in a ringbuffer, along with indices to track which events are # processed by 'consume events' and which are not. # class PerpEventQueue(AddressableAccount): def __init__( self, account_info: AccountInfo, version: Version, meta_data: Metadata, lot_size_converter: LotSizeConverter, head: Decimal, count: Decimal, sequence_number: Decimal, unprocessed_events: typing.Sequence[PerpEvent], processed_events: typing.Sequence[PerpEvent], ) -> None: super().__init__(account_info) self.version: Version = version self.meta_data: Metadata = meta_data self.lot_size_converter: LotSizeConverter = lot_size_converter self.head: Decimal = head self.count: Decimal = count self.sequence_number: Decimal = sequence_number self.unprocessed_events: typing.Sequence[PerpEvent] = unprocessed_events self.processed_events: typing.Sequence[PerpEvent] = processed_events @staticmethod def from_layout( layout: typing.Any, account_info: AccountInfo, version: Version, lot_size_converter: LotSizeConverter, ) -> "PerpEventQueue": meta_data: Metadata = Metadata.from_layout(layout.meta_data) head: Decimal = layout.head count: Decimal = layout.count seq_num: Decimal = layout.seq_num events: typing.List[PerpEvent] = [] for index, raw_event in enumerate(layout.events): built_event = event_builder(lot_size_converter, raw_event, Decimal(index)) if built_event is not None: events += [built_event] # Events are stored in a ringbuffer, and the oldest is overwritten when a new event arrives. # Make it a bit simpler to use by splitting at the insertion point and swapping the two pieces # around so that users don't have to do modulo arithmetic on the capacity. ordered_events = events[int(head) :] + events[0 : int(head)] # Now chop the oldest-to-newest list of events into processed and unprocessed. The `count` # property holds the number of unprocessed events. unprocessed_events = ordered_events[0 : int(count)] processed_events = ordered_events[int(count) :] return PerpEventQueue( account_info, version, meta_data, lot_size_converter, head, count, seq_num, unprocessed_events, processed_events, ) @staticmethod def parse( account_info: AccountInfo, lot_size_converter: LotSizeConverter ) -> "PerpEventQueue": # Data length isn't fixed so can't check we get the right value the way we normally do. layout = layouts.PERP_EVENT_QUEUE.parse(account_info.data) return PerpEventQueue.from_layout( layout, account_info, Version.V1, lot_size_converter ) @staticmethod def load( context: Context, address: PublicKey, lot_size_converter: LotSizeConverter ) -> "PerpEventQueue": account_info = AccountInfo.load(context, address) if account_info is None: raise Exception(f"PerpEventQueue account not found at address '{address}'") return PerpEventQueue.parse(account_info, lot_size_converter) @property def accounts_to_crank(self) -> typing.Sequence[PublicKey]: to_crank: typing.List[PublicKey] = [] for event_to_crank in self.unprocessed_events: to_crank += event_to_crank.accounts_to_crank seen = [] distinct = [] for account in to_crank: account_str = account.to_base58() if account_str not in seen: distinct += [account] seen += [account_str] return distinct def subscribe( self, context: Context, websocketmanager: WebSocketSubscriptionManager, callback: typing.Callable[["PerpEventQueue"], None], ) -> Disposable: def __parser(account_info: AccountInfo) -> PerpEventQueue: return PerpEventQueue.parse(account_info, self.lot_size_converter) subscription = WebSocketAccountSubscription(context, self.address, __parser) websocketmanager.add(subscription) subscription.publisher.subscribe(on_next=callback) # type: ignore[call-arg] return subscription def events_for_account( self, mango_account_address: PublicKey ) -> typing.Sequence[PerpEvent]: events: typing.List[PerpEvent] = [] for event in [*self.processed_events, *self.unprocessed_events]: if mango_account_address in event.accounts_to_crank: events += [event] return events def fills_for_account( self, mango_account_address: PublicKey ) -> typing.Sequence[PerpFillEvent]: fills: typing.List[PerpFillEvent] = [] for event in self.events_for_account(mango_account_address): if isinstance(event, PerpFillEvent): fills += [event] return fills @property def capacity(self) -> int: return len(self.unprocessed_events) + len(self.processed_events) def __str__(self) -> str: unprocessed_events = ( "\n ".join( [ f"{event}".replace("\n", "\n ") for event in self.unprocessed_events if event is not None ] ) or "None" ) processed_events = ( "\n ".join( [ f"{event}".replace("\n", "\n ") for event in self.processed_events if event is not None ] ) or "None" ) return f"""« PerpEventQueue [{self.version}] {self.address} {self.meta_data} Head: {self.head} Count: {self.count} Sequence Number: {self.sequence_number} Capacity: {self.capacity} Unprocessed Events: {unprocessed_events} Processed Events: {processed_events} »""" # # 🥭 UnseenPerpEventChangesTracker class # # `UnseenPerpEventChangesTracker` tracks changes to a specific `PerpEventQueue`. When an updated version # of the `PerpEventQueue` is passed to `unseen()`, any new events are returned. # # Seen events are tracked by keeping a 'sequence_number' index of the last event seen in the # `PerpEventQueue` ringbuffer. When a new `PerpEventQueue` appears, the difference between its # sequence_number and the stored sequence_number is used to calculate the number of new events # to return. # class UnseenPerpEventChangesTracker: def __init__(self, initial: PerpEventQueue) -> None: self.last_sequence_number: Decimal = initial.sequence_number def unseen(self, event_queue: PerpEventQueue) -> typing.Sequence[PerpEvent]: unseen: typing.List[PerpEvent] = [] new_sequence_number: Decimal = event_queue.sequence_number if self.last_sequence_number != new_sequence_number: number_of_changes: Decimal = new_sequence_number - self.last_sequence_number unseen = [*event_queue.processed_events, *event_queue.unprocessed_events][ 0 - int(number_of_changes) : ] self.last_sequence_number = new_sequence_number return unseen # # 🥭 UnseenAccountFillEventTracker class # # `UnseenAccountFillEventTracker` tracks fills for a specific Mango Account in a specific # `PerpEventQueue`. When an updated version of the `PerpEventQueue` is passed to `unseen()`, # any new fills are returned. # class UnseenAccountFillEventTracker: def __init__( self, initial: PerpEventQueue, mango_account_address: PublicKey ) -> None: self.mango_account_address: PublicKey = mango_account_address self.last_sequence_number: Decimal = initial.sequence_number initial_fills: typing.Sequence[PerpFillEvent] = initial.fills_for_account( mango_account_address ) self.last_key: str = initial_fills[-1].key if len(initial_fills) > 0 else "" def unseen(self, event_queue: PerpEventQueue) -> typing.Sequence[PerpEvent]: fills: typing.Sequence[PerpFillEvent] = event_queue.fills_for_account( self.mango_account_address ) if len(fills) == 0: return [] last_key_position: int = -1 for counter, fill in enumerate(fills): if fill.key == self.last_key: last_key_position = counter break unseen: typing.Sequence[PerpFillEvent] if last_key_position == -1: # We haven't seen any of these fills unseen = fills elif last_key_position == len(fills) - 1: unseen = [] else: unseen = fills[last_key_position + 1 :] self.last_key = unseen[-1].key return unseen