Merge pull request #2 from microwavedcola1/dev

Dev

mango-service-v3/package.json

@@ -12,6 +12,7 @@
   "license": "MIT",
   "dependencies": {
     "@blockworks-foundation/mango-client": "^3.0.13",
+    "ansi-regex": "5.0.1",
     "big.js": "^6.1.1",
     "body-parser": "^1.19.0",
     "express": "^4.17.1",

mango-service-v3/src/mango.simple.client.ts

@@ -8,6 +8,9 @@ import {
   getMultipleAccounts,
   getTokenBySymbol,
   GroupConfig,
+  makeCancelPerpOrderInstruction,
+  makeCancelSpotOrderInstruction,
+  makeSettleFundsInstruction,
   MangoAccount,
   MangoClient,
   MangoGroup,
@@ -15,6 +18,7 @@ import {
   PerpMarket,
   PerpMarketLayout,
   PerpOrder,
+  QUOTE_INDEX,
 } from "@blockworks-foundation/mango-client";
 import { Market, Orderbook } from "@project-serum/serum";
 import { Order } from "@project-serum/serum/lib/market";
@@ -32,6 +36,7 @@ import os from "os";
 import { OrderInfo } from "types";
 import { logger, zipDict } from "./utils";
 import BN from "bn.js";
+import { Transaction } from "@solana/web3.js";
 
 class MangoSimpleClient {
   constructor(
@@ -422,15 +427,37 @@ class MangoSimpleClient {
   public async cancelAllOrders(): Promise<void> {
     const allMarkets = await this.fetchAllMarkets();
     const orders = (await this.fetchAllBidsAndAsks(true)).flat();
-    // todo combine multiple cancels into one transaction
+
-    await Promise.all(
+    const transactions = await Promise.all(
       orders.map((orderInfo) =>
-        this.cancelOrder(
+        this.buildCancelOrderTransaction(
           orderInfo,
           allMarkets[orderInfo.market.account.publicKey.toBase58()]
         )
       )
     );
+
+    let i, j;
+    // assuming we can fit 10 cancel order transactions in a solana transaction
+    // we could switch to computing actual transactionSize every time we add an 
+    // instruction and use a dynamic chunk size
+    const chunk = 10;
+    const transactionsToSend: Transaction[] = [];
+
+    for (i = 0, j = transactions.length; i < j; i += chunk) {
+      const transactionsChunk = transactions.slice(i, i + chunk);
+      const transactionToSend = new Transaction();
+      for (const transaction of transactionsChunk) {
+        for (const instruction of transaction.instructions) {
+          transactionToSend.add(instruction);
+        }
+      }
+      transactionsToSend.push(transactionToSend);
+    }
+
+    for (const transaction of transactionsToSend) {
+      await this.client.sendTransaction(transaction, this.owner, []);
+    }
   }
 
   public async cancelOrder(orderInfo: OrderInfo, market?: Market | PerpMarket) {
@@ -479,6 +506,55 @@ class MangoSimpleClient {
     }
   }
 
+  public async buildCancelOrderTransaction(
+    orderInfo: OrderInfo,
+    market?: Market | PerpMarket
+  ): Promise<Transaction> {
+    if (orderInfo.market.config.kind === "perp") {
+      const perpMarketConfig = getMarketByBaseSymbolAndKind(
+        this.mangoGroupConfig,
+        orderInfo.market.config.baseSymbol,
+        "perp"
+      );
+      if (market === undefined) {
+        market = await this.mangoGroup.loadPerpMarket(
+          this.connection,
+          perpMarketConfig.marketIndex,
+          perpMarketConfig.baseDecimals,
+          perpMarketConfig.quoteDecimals
+        );
+      }
+      return this.buildCancelPerpOrderInstruction(
+        this.mangoGroup,
+        this.mangoAccount,
+        this.owner,
+        market as PerpMarket,
+        orderInfo.order as PerpOrder
+      );
+    } else {
+      const spotMarketConfig = getMarketByBaseSymbolAndKind(
+        this.mangoGroupConfig,
+        orderInfo.market.config.baseSymbol,
+        "spot"
+      );
+      if (market === undefined) {
+        market = await Market.load(
+          this.connection,
+          spotMarketConfig.publicKey,
+          undefined,
+          this.mangoGroupConfig.serumProgramId
+        );
+      }
+      return await this.buildCancelSpotOrderTransaction(
+        this.mangoGroup,
+        this.mangoAccount,
+        this.owner,
+        market as Market,
+        orderInfo.order as Order
+      );
+    }
+  }
+
   public async getOrderByOrderId(orderId: string): Promise<OrderInfo[]> {
     const orders = (await this.fetchAllBidsAndAsks(true)).flat();
     const orderInfos = orders.filter(
@@ -580,6 +656,102 @@ class MangoSimpleClient {
     }));
   }
 
+  private buildCancelPerpOrderInstruction(
+    mangoGroup: MangoGroup,
+    mangoAccount: MangoAccount,
+    owner: Account,
+    perpMarket: PerpMarket,
+    order: PerpOrder,
+    invalidIdOk = false // Don't throw error if order is invalid
+  ): Transaction {
+    const instruction = makeCancelPerpOrderInstruction(
+      this.mangoGroupConfig.mangoProgramId,
+      mangoGroup.publicKey,
+      mangoAccount.publicKey,
+      owner.publicKey,
+      perpMarket.publicKey,
+      perpMarket.bids,
+      perpMarket.asks,
+      order,
+      invalidIdOk
+    );
+
+    const transaction = new Transaction();
+    transaction.add(instruction);
+    return transaction;
+  }
+
+  private async buildCancelSpotOrderTransaction(
+    mangoGroup: MangoGroup,
+    mangoAccount: MangoAccount,
+    owner: Account,
+    spotMarket: Market,
+    order: Order
+  ): Promise<Transaction> {
+    const transaction = new Transaction();
+    const instruction = makeCancelSpotOrderInstruction(
+      this.mangoGroupConfig.mangoProgramId,
+      mangoGroup.publicKey,
+      owner.publicKey,
+      mangoAccount.publicKey,
+      spotMarket.programId,
+      spotMarket.publicKey,
+      spotMarket["_decoded"].bids,
+      spotMarket["_decoded"].asks,
+      order.openOrdersAddress,
+      mangoGroup.signerKey,
+      spotMarket["_decoded"].eventQueue,
+      order
+    );
+    transaction.add(instruction);
+
+    const dexSigner = await PublicKey.createProgramAddress(
+      [
+        spotMarket.publicKey.toBuffer(),
+        spotMarket["_decoded"].vaultSignerNonce.toArrayLike(Buffer, "le", 8),
+      ],
+      spotMarket.programId
+    );
+
+    const marketIndex = mangoGroup.getSpotMarketIndex(spotMarket.publicKey);
+    if (!mangoGroup.rootBankAccounts.length) {
+      await mangoGroup.loadRootBanks(this.connection);
+    }
+    const baseRootBank = mangoGroup.rootBankAccounts[marketIndex];
+    const quoteRootBank = mangoGroup.rootBankAccounts[QUOTE_INDEX];
+    const baseNodeBank = baseRootBank?.nodeBankAccounts[0];
+    const quoteNodeBank = quoteRootBank?.nodeBankAccounts[0];
+
+    if (!baseNodeBank || !quoteNodeBank) {
+      throw new Error("Invalid or missing node banks");
+    }
+
+    // todo what is a makeSettleFundsInstruction?
+    const settleFundsInstruction = makeSettleFundsInstruction(
+      this.mangoGroupConfig.mangoProgramId,
+      mangoGroup.publicKey,
+      mangoGroup.mangoCache,
+      owner.publicKey,
+      mangoAccount.publicKey,
+      spotMarket.programId,
+      spotMarket.publicKey,
+      mangoAccount.spotOpenOrders[marketIndex],
+      mangoGroup.signerKey,
+      spotMarket["_decoded"].baseVault,
+      spotMarket["_decoded"].quoteVault,
+      mangoGroup.tokens[marketIndex].rootBank,
+      baseNodeBank.publicKey,
+      mangoGroup.tokens[QUOTE_INDEX].rootBank,
+      quoteNodeBank.publicKey,
+      baseNodeBank.vault,
+      quoteNodeBank.vault,
+      dexSigner
+    );
+    transaction.add(settleFundsInstruction);
+
+    return transaction;
+  }
+
   private roundRobinClusterUrl() {
     if (process.env.CLUSTER_URL) {
       return;

mango-service-v3/src/utils.ts

@@ -1,8 +1,23 @@
 import { Config, GroupConfig } from "@blockworks-foundation/mango-client";
 import { I80F48 } from "@blockworks-foundation/mango-client/lib/src/fixednum";
 import { CustomValidator } from "express-validator";
-/// logging related
 import pino from "pino";
+import { Transaction, Connection, Account } from "@solana/web3.js";
+
+/// solana related
+
+export async function transactionSize(
+  connection: Connection,
+  singleTransaction: Transaction,
+  owner: Account
+) {
+  singleTransaction.recentBlockhash = (
+    await connection.getRecentBlockhash()
+  ).blockhash;
+  singleTransaction.setSigners(owner.publicKey);
+  singleTransaction.sign(this.owner);
+  return singleTransaction.serialize().length;
+}
 
 /// mango related
 

mango-service-v3/yarn.lock

@@ -335,16 +335,16 @@ ansi-align@^3.0.0:
   dependencies:
     string-width "^3.0.0"
 
+ansi-regex@5.0.1, ansi-regex@^5.0.1:
+  version "5.0.1"
+  resolved "https://registry.yarnpkg.com/ansi-regex/-/ansi-regex-5.0.1.tgz#082cb2c89c9fe8659a311a53bd6a4dc5301db304"
+  integrity sha512-quJQXlTSUGL2LH9SUXo8VwsY4soanhgo6LNSm84E1LBcE8s3O0wpdiRzyR9z/ZZJMlMWv37qOOb9pdJlMUEKFQ==
+
 ansi-regex@^4.1.0:
   version "4.1.0"
   resolved "https://registry.yarnpkg.com/ansi-regex/-/ansi-regex-4.1.0.tgz#8b9f8f08cf1acb843756a839ca8c7e3168c51997"
   integrity sha512-1apePfXM1UOSqw0o9IiFAovVz9M5S1Dg+4TrDwfMewQ6p/rmMueb7tWZjQ1rx4Loy1ArBggoqGpfqqdI4rondg==
 
-ansi-regex@^5.0.1:
-  version "5.0.1"
-  resolved "https://registry.yarnpkg.com/ansi-regex/-/ansi-regex-5.0.1.tgz#082cb2c89c9fe8659a311a53bd6a4dc5301db304"
-  integrity sha512-quJQXlTSUGL2LH9SUXo8VwsY4soanhgo6LNSm84E1LBcE8s3O0wpdiRzyR9z/ZZJMlMWv37qOOb9pdJlMUEKFQ==
-
 ansi-styles@^3.2.1:
   version "3.2.1"
   resolved "https://registry.yarnpkg.com/ansi-styles/-/ansi-styles-3.2.1.tgz#41fbb20243e50b12be0f04b8dedbf07520ce841d"

py/mango_service_v3_py/api.py

@@ -1,6 +1,8 @@
 import json
 import os
 import time
+from decimal import Decimal
+from threading import Timer
 from typing import List
 
 import httpx
@@ -39,41 +41,41 @@ class MangoServiceV3Client:
         else:
             self.BASE_URL = "http://localhost:3000/api"
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_open_positions(self) -> List[Position]:
         response = httpx.get(f"{self.BASE_URL}/positions", timeout=10.0)
         return parse_obj_as(List[Position], json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_balances(self) -> List[Balance]:
         response = httpx.get(f"{self.BASE_URL}/wallet/balances", timeout=10.0)
         return parse_obj_as(List[Balance], json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_markets(self) -> List[Market]:
         response = httpx.get(f"{self.BASE_URL}/markets", timeout=10.0)
         return parse_obj_as(List[Market], json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_market_by_market_name(self, market_name: str) -> List[Market]:
         response = httpx.get(f"{self.BASE_URL}/markets/{market_name}", timeout=10.0)
         return parse_obj_as(List[Market], json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_orderboook(self, market_name: str, depth: int = 30) -> Orderbook:
         response = httpx.get(
             f"{self.BASE_URL}/markets/{market_name}/orderbook?depth={depth}"
         )
         return parse_obj_as(Orderbook, json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_trades(self, market_name: str) -> List[Trade]:
         response = httpx.get(
             f"{self.BASE_URL}/markets/{market_name}/trades", timeout=10.0
         )
         return parse_obj_as(List[Trade], json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_candles(
         self, market_name: str, resolution: int, start_time: int, end_time: int
     ) -> List[Candle]:
@@ -82,19 +84,19 @@ class MangoServiceV3Client:
         )
         return parse_obj_as(List[Candle], json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_orders(self,) -> List[Order]:
         response = httpx.get(f"{self.BASE_URL}/orders", timeout=10.0)
         return parse_obj_as(List[Order], json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def get_orders_by_market_name(self, market_name: str) -> List[Order]:
         response = httpx.get(
             f"{self.BASE_URL}/orders?market={market_name}", timeout=10.0
         )
         return parse_obj_as(List[Order], json.loads(response.text)["result"])
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def place_order(self, order: PlaceOrder) -> None:
         response = httpx.post(
             f"{self.BASE_URL}/orders", json=order.dict(by_alias=True), timeout=10.0
@@ -104,17 +106,17 @@ class MangoServiceV3Client:
         #         List[BadRequestError], json.loads(response.text)["errors"]
         #     )
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def cancel_order_by_client_id(self, client_id):
         response = httpx.delete(
             f"{self.BASE_URL}/orders/by_client_id/{client_id}", timeout=10.0
         )
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def cancel_order_by_order_id(self, order_id):
         response = httpx.delete(f"{self.BASE_URL}/orders/{order_id}", timeout=10.0)
 
-    @delayed(os.environ["DELAY"])
+    @delayed(2)
     def cancel_all_orders(self):
         response = httpx.delete(f"{self.BASE_URL}/orders", timeout=10.0)