Merge pull request #603 from drift-labs/jonthia/be-247-indicative-liquidity-dashboard

hotfix: maker ind pub key to authority & subaccount mapping

Author: jonthia-drift

.env.trades.local.example

@@ -12,11 +12,13 @@ METRICS_PORT=9465
 INDICATIVE_QUOTES_MAX_AGE_MS=1000
 INDICATIVE_QUOTES_CACHE_TTL_MS=250
 
+INDICATIVE_TO_MAKER_AUTHORITY_MAP='{"7yivAV6EE7PofhvnjnGJMsL2qrnxVXzvGgrkSDQiveK6":"GXyE3Snk3pPYX4Nz9QRVBrnBfbJRTAQYxuy5DRdnebAn","CHmpeeywt1xkXUubKnCRV3DymSJ1xtMVSRhZcJepBamU":"BxTExiVRt9EHe4b47ZDQLDGxee1hPexvkmaDFMLZTDvv","wvTxWGdSG6aV4zShf3CFzPPwTuw6eZsZTrpRNRSkVL9":"E69Pb3EoqrEYjNzFuw2JyEerwyPBFVdGZwmWoDzT9LVL","BroTbC7irNtmQdxcq5BxgYXkkdgJqYWccfBVydt6nMhe":"EibQ2VYpzj18qSdEBkmxWVzde7FzamTxVG9rZyY689Yj"}'
+
 ENABLE_MOCK_FILL_ENDPOINT=true
 MOCK_ONLY_MODE=true
 MOCK_FILL_PORT=9470
 
 MOCK_MARKET_TYPE=perp
 MOCK_MARKET_INDEX=0
-MOCK_QUOTES_JSON=[{"maker":"good-maker","side":"long","price":100,"size":2},{"maker":"bad-maker","side":"long","price":99,"size":1}]
-MOCK_FILLS_JSON=[{"maker":"good-maker","side":"long","fillPrice":100,"fillSize":1,"oraclePrice":100}]
+MOCK_QUOTES_JSON=[{"maker":"CHmpeeywt1xkXUubKnCRV3DymSJ1xtMVSRhZcJepBamU","side":"long","price":99.8,"size":10},{"maker":"CHmpeeywt1xkXUubKnCRV3DymSJ1xtMVSRhZcJepBamU","side":"long","price":99.9,"size":2},{"maker":"wvTxWGdSG6aV4zShf3CFzPPwTuw6eZsZTrpRNRSkVL9","side":"long","price":101,"size":1},{"maker":"CHmpeeywt1xkXUubKnCRV3DymSJ1xtMVSRhZcJepBamU","side":"short","price":101.1,"size":2}]
+MOCK_FILLS_JSON=[{"maker":"C13FZykQfLXKuMAMh2iuG7JxhQqd8otujNRAgVETU6id","side":"long","fillPrice":99.9,"fillSize":1,"oraclePrice":99.95}]

src/publishers/tests/tradeMetricsProcessor.test.ts

@@ -135,7 +135,8 @@ describe('tradeMetricsProcessor', () => {
 			takerOrderBaseAssetAmount: 1,
 			takerOrderCumulativeBaseAssetAmountFilled: 1,
 			takerOrderCumulativeQuoteAssetAmountFilled: 100.1,
-			maker: 'good-maker',
+			maker: 'maker-user-account',
+			makerIndicativeKey: 'good-maker',
 			makerOrderId: 2,
 			makerOrderDirection: 'long',
 			makerOrderBaseAssetAmount: 1,
@@ -367,6 +368,86 @@ describe('tradeMetricsProcessor', () => {
 		);
 	});
 
+	it('emits maker_not_competitive using the indicative maker label when indicative key is provided', async () => {
+		const metrics = createMetricSinks();
+		const quoteState = new Map<string, any>([
+			['market_mms_perp_0', ['quoted-maker']],
+			[
+				'mm_quotes_v2_perp_0_quoted-maker',
+				{
+					ts: 1710000000000,
+					quotes: [{ bid_price: 99900000, bid_size: 1000000000 }],
+				},
+			],
+		]);
+
+		const { processFillEvent } = createTradeMetricsProcessor({
+			redisClientPrefix: 'dlob:',
+			indicativeQuoteMaxAgeMs: 1000,
+			indicativeQuotesCacheTtlMs: 250,
+			spotMarketPrecisionResolver: () => undefined,
+			publisherRedisClient: {
+				publish: async () => 1,
+			},
+			indicativeQuotesRedisClient: {
+				smembers: async (key) => quoteState.get(key) ?? [],
+				get: async (key) => quoteState.get(key),
+			},
+			metrics,
+			nowMsProvider: () => 1710000000000,
+		});
+
+		const fillEvent: FillEvent = {
+			ts: 1710000000000,
+			marketIndex: 0,
+			marketType: 'perp',
+			filler: 'mock-filler',
+			takerFee: 0,
+			makerFee: 0,
+			quoteAssetAmountSurplus: 0,
+			baseAssetAmountFilled: 1,
+			quoteAssetAmountFilled: 100,
+			taker: 'mock-taker',
+			takerOrderId: 1,
+			takerOrderDirection: 'short',
+			takerOrderBaseAssetAmount: 1,
+			takerOrderCumulativeBaseAssetAmountFilled: 1,
+			takerOrderCumulativeQuoteAssetAmountFilled: 100,
+			maker: 'maker-user-account',
+			makerIndicativeKey: 'quoted-maker',
+			makerOrderId: 2,
+			makerOrderDirection: 'long',
+			makerOrderBaseAssetAmount: 1,
+			makerOrderCumulativeBaseAssetAmountFilled: 1,
+			makerOrderCumulativeQuoteAssetAmountFilled: 100,
+			oraclePrice: 100,
+			txSig: 'mock-4',
+			slot: 4,
+			fillRecordId: 4,
+			action: 'fill',
+			actionExplanation: 'none',
+			referrerReward: 0,
+			bitFlags: 0,
+		};
+
+		await processFillEvent(fillEvent);
+
+		expect(metrics.indicativeQuoteEvaluationCount.calls).toEqual(
+			expect.arrayContaining([
+				{
+					value: 1,
+					attributes: {
+						maker: 'quoted-maker',
+						market_index: 0,
+						market_type: 'perp',
+						side: 'long',
+						result: 'maker_not_competitive',
+					},
+				},
+			])
+		);
+	});
+
 	it('treats quotes as fresh based on evaluation time rather than fill timestamp', async () => {
 		const metrics = createMetricSinks();
 		const quoteState = new Map<string, any>([
@@ -456,4 +537,81 @@ describe('tradeMetricsProcessor', () => {
 			])
 		);
 	});
+
+	it('matches competitive fills using precomputed indicative key', async () => {
+		const metrics = createMetricSinks();
+		const quoteState = new Map<string, any>([
+			['market_mms_perp_0', ['indicative-maker']],
+			[
+				'mm_quotes_v2_perp_0_indicative-maker',
+				{
+					ts: 1710000000000,
+					quotes: [{ bid_price: 100100000, bid_size: 1000000000 }],
+				},
+			],
+		]);
+
+		const { processFillEvent } = createTradeMetricsProcessor({
+			redisClientPrefix: 'dlob:',
+			indicativeQuoteMaxAgeMs: 1000,
+			indicativeQuotesCacheTtlMs: 250,
+			spotMarketPrecisionResolver: () => undefined,
+			publisherRedisClient: {
+				publish: async () => 1,
+			},
+			indicativeQuotesRedisClient: {
+				smembers: async (key) => quoteState.get(key) ?? [],
+				get: async (key) => quoteState.get(key),
+			},
+			metrics,
+			nowMsProvider: () => 1710000000000,
+		});
+
+		const fillEvent: FillEvent = {
+			ts: 1710000000000,
+			marketIndex: 0,
+			marketType: 'perp',
+			filler: 'mock-filler',
+			takerFee: 0,
+			makerFee: 0,
+			quoteAssetAmountSurplus: 0,
+			baseAssetAmountFilled: 1,
+			quoteAssetAmountFilled: 100.1,
+			taker: 'mock-taker',
+			takerOrderId: 1,
+			takerOrderDirection: 'short',
+			takerOrderBaseAssetAmount: 1,
+			takerOrderCumulativeBaseAssetAmountFilled: 1,
+			takerOrderCumulativeQuoteAssetAmountFilled: 100.1,
+			maker: 'maker-user-account',
+			makerIndicativeKey: 'indicative-maker',
+			makerOrderId: 2,
+			makerOrderDirection: 'long',
+			makerOrderBaseAssetAmount: 1,
+			makerOrderCumulativeBaseAssetAmountFilled: 1,
+			makerOrderCumulativeQuoteAssetAmountFilled: 100.1,
+			oraclePrice: 100,
+			txSig: 'mock-5',
+			slot: 5,
+			fillRecordId: 5,
+			action: 'fill',
+			actionExplanation: 'none',
+			referrerReward: 0,
+			bitFlags: 0,
+		};
+
+		await processFillEvent(fillEvent);
+
+		expect(metrics.indicativeCompetitiveFillCount.calls).toEqual([
+			{
+				value: 1,
+				attributes: {
+					maker: 'indicative-maker',
+					market_index: 0,
+					market_type: 'perp',
+					side: 'long',
+				},
+			},
+		]);
+	});
 });

src/publishers/tradeMetricsProcessor.ts

@@ -30,6 +30,7 @@ export type FillEvent = {
 	takerOrderCumulativeBaseAssetAmountFilled: number;
 	takerOrderCumulativeQuoteAssetAmountFilled: number;
 	maker?: string;
+	makerIndicativeKey?: string;
 	makerOrderId?: number;
 	makerOrderDirection?: string;
 	makerOrderBaseAssetAmount: number;
@@ -270,7 +271,7 @@ export const createTradeMetricsProcessor = ({
 					result: 'competitive',
 				});
 
-				if (fillEvent.maker === quote.maker) {
+				if (fillEvent.makerIndicativeKey === quote.maker) {
 					metrics.indicativeCompetitiveFillCount.add(1, attrs);
 					metrics.indicativeCompetitiveCapturedNotional.add(
 						Math.min(fillEvent.baseAssetAmountFilled, opportunitySize) *
@@ -300,19 +301,25 @@ export const createTradeMetricsProcessor = ({
 				});
 			}
 
-			const fillMakerEvaluation = fillEvent.maker
+			const fillMakerEvaluation = fillEvent.makerIndicativeKey
 				? marketQuoteEvaluations.find(
-						(evaluation) => evaluation.maker === fillEvent.maker
+						(evaluation) => evaluation.maker === fillEvent.makerIndicativeKey
 				  )
 				: undefined;
 			if (
-				fillEvent.maker &&
+				fillEvent.makerIndicativeKey &&
 				fillMakerEvaluation &&
 				fillMakerEvaluation.totalQuoteValueOnBook > 0 &&
-				!marketQuotes.find((quote) => quote.maker === fillEvent.maker)
+				!marketQuotes.find(
+					(quote) => quote.maker === fillEvent.makerIndicativeKey
+				)
 			) {
 				metrics.indicativeQuoteEvaluationCount.add(1, {
-					...getMakerMetricAttrs(fillEvent, fillEvent.maker, fillSide),
+					...getMakerMetricAttrs(
+						fillEvent,
+						fillMakerEvaluation.maker,
+						fillSide
+					),
 					result: 'maker_not_competitive',
 				});
 			}

src/publishers/tradesPublisher.ts

@@ -112,6 +112,14 @@ const wsEndpoint = process.env.WS_ENDPOINT;
 const indicativeQuotesCacheTtlMs = process.env.INDICATIVE_QUOTES_CACHE_TTL_MS
 	? parseInt(process.env.INDICATIVE_QUOTES_CACHE_TTL_MS)
 	: 250;
+const indicativeToMakerAuthorityMap = process.env
+	.INDICATIVE_TO_MAKER_AUTHORITY_MAP
+	? (JSON.parse(process.env.INDICATIVE_TO_MAKER_AUTHORITY_MAP) as Record<
+			string,
+			string
+	  >)
+	: {};
+const subaccountToIndicative = new Map<string, string>();
 const enableMockFillEndpoint =
 	process.env.ENABLE_MOCK_FILL_ENDPOINT?.toLowerCase() === 'true';
 const mockOnlyMode = process.env.MOCK_ONLY_MODE?.toLowerCase() === 'true';
@@ -134,7 +142,13 @@ const startMockFillEndpoint = (
 	app.use(express.json());
 	app.post('/mockFill', async (req, res) => {
 		try {
-			await processFillEvent(req.body as FillEvent);
+			const fillEvent = req.body as FillEvent;
+			await processFillEvent({
+				...fillEvent,
+				makerIndicativeKey: fillEvent.maker
+					? subaccountToIndicative.get(fillEvent.maker)
+					: undefined,
+			} as FillEvent);
 			res.status(200).json({ ok: true });
 		} catch (error) {
 			logger.error('Failed to process mock fill:', error);
@@ -148,6 +162,33 @@ const startMockFillEndpoint = (
 	});
 };
 
+const preloadMakerAccountCache = async () => {
+	for (const [indicativeMaker, authority] of Object.entries(
+		indicativeToMakerAuthorityMap
+	)) {
+		try {
+			const userAccounts =
+				await driftClient.getUserAccountsAndAddressesForAuthority(
+					new PublicKey(authority)
+				);
+			for (const userAccount of userAccounts) {
+				subaccountToIndicative.set(
+					userAccount.publicKey.toBase58(),
+					indicativeMaker
+				);
+			}
+			logger.info(
+				`Preloaded ${userAccounts.length} subaccounts for indicative maker ${indicativeMaker}`
+			);
+		} catch (error) {
+			logger.error(
+				`Failed to preload subaccounts for indicative maker ${indicativeMaker}:`,
+				error
+			);
+		}
+	}
+};
+
 const main = async () => {
 	const wallet = new Wallet(new Keypair());
 	const clearingHousePublicKey = new PublicKey(sdkConfig.DRIFT_PROGRAM_ID);
@@ -173,6 +214,8 @@ const main = async () => {
 	await redisClient.connect();
 	const indicativeQuotesRedisClient = new RedisClient({});
 	await indicativeQuotesRedisClient.connect();
+	await driftClient.subscribe();
+	await preloadMakerAccountCache();
 
 	const { processFillEvent } = createTradeMetricsProcessor({
 		redisClientPrefix,
@@ -216,8 +259,6 @@ const main = async () => {
 	);
 	logger.info(`Wallet pubkey: ${wallet.publicKey.toBase58()}`);
 	logger.info(` . SOL balance: ${lamportsBalance / 10 ** 9}`);
-
-	await driftClient.subscribe();
 	driftClient.eventEmitter.on('error', (e) => {
 		logger.error(e);
 	});
@@ -318,7 +359,12 @@ const main = async () => {
 			})
 		)
 		.subscribe(async (fillEvent: FillEvent) => {
-			await processFillEvent(fillEvent);
+			await processFillEvent({
+				...fillEvent,
+				makerIndicativeKey: fillEvent.maker
+					? subaccountToIndicative.get(fillEvent.maker)
+					: undefined,
+			});
 		});
 
 	console.log('Publishing trades');