initial working with tardis orderbook data

Author: lmvdz

index.ts

@@ -1,12 +1,12 @@
 // Setup provider (see anchor docs for more instructions on setting up a provider using your wallet)
-import * as anchor from "@project-serum/anchor";
-import * as zo from "@zero_one/client";
-import { Connection, Keypair, PublicKey, Transaction } from "@solana/web3.js";
+import { default as zo } from "@zero_one/client";
+import { ConfirmOptions, Connection, Keypair, PublicKey, Transaction } from "@solana/web3.js";
 import { TpuClient } from "tpu-client";
 import { config } from "dotenv";
-import { Program } from "@project-serum/anchor";
-import { FundingInfo, OrderType } from "@zero_one/client";
-
+import { createProgram, createProvider, FundingInfo, IDL, OrderType, Zo } from "@zero_one/client";
+import { fork, ChildProcess } from 'child_process'
+import { Spreads, Spread } from "./tardis";
+import * as anchor from "@project-serum/anchor";
 
 config({path: './.env.local'});
 
@@ -29,12 +29,25 @@ export interface IWallet {
     publicKey: PublicKey;
 }
 
-export declare class Wallet implements IWallet {
+class Wallet {
     readonly payer: Keypair;
-    constructor(payer: Keypair);
-    signTransaction(tx: Transaction): Promise<Transaction>;
-    signAllTransactions(txs: Transaction[]): Promise<Transaction[]>;
-    get publicKey(): PublicKey;
+
+    constructor(payer) {
+        this.payer = payer;
+    }
+    async signTransaction(tx: Transaction) {
+        tx.partialSign(this.payer);
+        return tx;
+    }
+    async signAllTransactions(txs: Array<Transaction>) {
+        return txs.map((t) => { 
+            t.partialSign(this.payer);
+            return t;
+        });
+    }
+    get publicKey() {
+        return this.payer.publicKey;
+    }
 }
 
 // setup wallet
@@ -80,15 +93,17 @@ class MarketMaker {
     tpuClient: TpuClient
     provider: anchor.Provider
     idl: zo.Zo
-    program: Program<zo.Zo>
+    program: anchor.Program<zo.Zo>
     state: zo.State
     margin: zo.Margin
     running: boolean
+    spreads: Spreads
     spread: number
     markets: Map<string, zo.ZoMarket>
     orderbooks: Map<string, Orderbook>
+    tardis: ChildProcess
 
-    constructor(tpuClient: TpuClient, provider: anchor.Provider, idl: zo.Zo, program: Program<zo.Zo>, state: zo.State, margin: zo.Margin) {
+    constructor(tpuClient: TpuClient, provider: anchor.Provider, idl: zo.Zo, program: anchor.Program<zo.Zo>, state: zo.State, margin: zo.Margin) {
         this.tpuClient = tpuClient;
         this.provider = provider;
         this.idl = idl;
@@ -100,16 +115,52 @@ class MarketMaker {
 
     static async load() {
         const tpuClient = await TpuClient.load(new Connection(process.env.RPC_URL));
-        const provider = new anchor.Provider( tpuClient.connection, botWallet, { commitment: 'processed' } );
-        const idl = await anchor.Program.fetchIdl(new PublicKey(zo.ZERO_ONE_MAINNET_PROGRAM_ID), provider) as zo.Zo;
-        const program = new anchor.Program(idl, zo.ZERO_ONE_MAINNET_PROGRAM_ID, provider) as Program<zo.Zo>; 
-        const state = await zo.State.load(program, zo.ZO_MAINNET_STATE_KEY) as zo.State;
-        const margin = await zo.Margin.create(program, state) as zo.Margin;
+        const provider = createProvider( tpuClient.connection, botWallet, { commitment: 'processed' } );
+        const program = createProgram(provider, zo.Cluster.Mainnet);
+        const state = await (zo.State).load(program, zo.ZO_MAINNET_STATE_KEY) as zo.State;
+        const margin = await zo.Margin.load(program, state) as zo.Margin;
 
-        return new MarketMaker(tpuClient, provider, idl, program, state, margin);
+        return new MarketMaker(tpuClient, provider, zo.IDL, program, state, margin);
     }
 
 
+    public startTardis() {
+        if(!this.tardis)
+        this.tardis = fork('./tardis.ts', [], { stdio: ['pipe', 'pipe', 'pipe', 'ipc']})
+        
+        if(this.tardis.stderr)
+        this.tardis.stderr.on('data', (data : Buffer) => {
+            console.log(data.toString());
+        })
+
+        this.tardis.on('close', (code, sig) => {
+            this.tardis.kill();
+            delete this.tardis
+            this.startTardis();
+        })
+
+        if(this.tardis.stdout)
+        this.tardis.stdout.on('data', (data: Buffer) => {
+            console.log(data.toString());
+        })
+
+        this.tardis.on('message', (data : string) => {
+            let d = JSON.parse(data);
+            switch(d.type) {
+              case 'started':
+                  break;
+              case 'data':
+                  break;
+              case 'spreads':
+                  this.spreads = d.spreads as Spreads;
+                  console.log(this.spreads);
+                  break;
+              case 'error':
+                  console.error(d.data);
+                  break;
+            }
+        })
+    }
 
     public stop() {
         this.running = false;
@@ -205,5 +256,8 @@ class MarketMaker {
 
 }
 
+MarketMaker.load().then(marketMaker => {
+    marketMaker.startTardis();
+});
 
 

package.json

@@ -2,15 +2,25 @@
   "name": "zo-mm",
   "version": "1.0.0",
   "description": "",
-  "main": "index.js",
+  "type": "module",
+  "exports": [
+    "./index.ts",
+    "./tardis.ts"
+  ],
   "scripts": {
-    "test": "echo \"Error: no test specified\" && exit 1"
+    "start": "node --loader ts-node/esm ./index.ts"
   },
   "author": "",
   "license": "ISC",
   "dependencies": {
+    "@solana/web3.js": "^1.41.4",
     "@zero_one/client": "file:zo-client",
     "dotenv": "^16.0.0",
-    "tpu-client": "^1.0.4"
+    "tardis-dev": "^13.2.0",
+    "tpu-client": "^1.0.4",
+    "ts-node": "^10.7.0"
+  },
+  "devDependencies": {
+    "typescript": "^4.6.4"
   }
 }

tardis.ts

@@ -0,0 +1,52 @@
+import { streamNormalized, normalizeBookChanges, combine, compute, computeBookSnapshots, StreamNormalizedOptions, Exchange, BookPriceLevel, Optional } from 'tardis-dev'
+
+
+
+const exchangesToStream = [
+    { exchange: 'bitmex', symbols: ['XBTUSD'] } as StreamNormalizedOptions<'bitmex'>,
+    { exchange: 'deribit' as Exchange, symbols: ['BTC-PERPETUAL'] } as StreamNormalizedOptions<'deribit'>,
+    { exchange: 'cryptofacilities' as Exchange, symbols: ['PI_XBTUSD'] } as StreamNormalizedOptions<'cryptofacilities'>,
+    { exchange: 'ftx' as Exchange, symbols: ['BTC-PERP']} as StreamNormalizedOptions<'ftx'>,
+    { exchange: 'binance-futures' as Exchange, symbols: ['btcusdt']} as StreamNormalizedOptions<'binance-futures'>
+]
+
+const realTimeStreams = exchangesToStream.map((e) => {
+    return streamNormalized(e, normalizeBookChanges)
+})
+
+const messages = combine(...realTimeStreams)
+
+const realTimeQuoteComputable = computeBookSnapshots({
+    depth: 1,
+    interval: 0,
+    name: 'realtime_quote'
+})
+
+const messagesWithQuotes = compute(messages, realTimeQuoteComputable)
+
+const spreads = {} as Spreads
+
+export interface Spreads {
+    [key: string]: Spread
+}
+export interface Spread {
+    spread: number,
+    bestBid: Optional<BookPriceLevel>,
+    bestAsk: Optional<BookPriceLevel>
+}
+
+(async() => {
+    // update spreads info real-time
+    for await (const message of messagesWithQuotes) {
+        if(!process.send) process.exit()
+        if (message.type === 'book_snapshot') {
+            spreads[message.exchange] = {
+                spread: message.asks[0].price - message.bids[0].price,
+                bestBid: message.bids[0],
+                bestAsk: message.asks[0]
+            } as Spread
+            process.send(JSON.stringify({ type: 'spreads', spreads }));
+        }
+    }
+
+})();

tsconfig.json

@@ -0,0 +1,15 @@
+{
+    "compilerOptions": {
+      "module": "ES2020",
+      "target": "es6",
+      "esModuleInterop": true,
+      "declaration": true,
+      "outDir": "./lib",
+      "moduleResolution": "node",
+      "skipLibCheck": true,
+      "allowJs": true,
+      "allowSyntheticDefaultImports": true
+    },
+    "include": ["./"],
+    "exclude": ["node_modules"]
+}