feat: add taker and maker account fields to trade message

tardis-dev · Dec 23, 2021 · 0013a6a · 0013a6a
1 parent ff28542
commit 0013a6a
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Showing 3 changed files with 42 additions and 30 deletions.
diff --git a/README.md b/README.md
@@ -370,19 +370,9 @@ Up to 100 recent trades pushed immediately after successful subscription confirm
       "side": "sell",
       "price": "160.73",
       "size": "4.53",
-      "eventTimestamp": "2021-12-14T12:32:59.000Z"
-    },
-    {
-      "type": "trade",
-      "market": "SOL-PERP",
-      "timestamp": "2021-12-14T12:33:42.437Z",
-      "slot": 111490426,
-      "version": 1,
-      "id": "296476070752659925097329|296512964240807321150640",
-      "side": "sell",
-      "price": "160.73",
-      "size": "0.50",
-      "eventTimestamp": "2021-12-14T12:33:39.000Z"
+      "eventTimestamp": "2021-12-14T12:32:59.000Z",
+      "takerAccount": "AAddgLu9reZCUWW1bNQFaXrCMAtwQpMRvmeusgk4pCM6",
+      "makerAccount": "EpAdzaqV13Es3x4dukfjFoCrKVXnZ7y9Y76whgMHo5qx"
     }
   ]
 }
@@ -400,6 +390,8 @@ Pushed real-time for each trade as it happens on a DEX (decoded from the `eventQ
 
 - `eventTimestamp` is a timestamp of trade provided by DEX (with seconds precision) in [ISO 8601](https://en.wikipedia.org/wiki/ISO_8601)
 
+- `takerAccount` and `makerAccount` fields provide info regarding maker and taker open account addresses that constitute the trade
+
 ```ts
 {
   "type": "trade",
@@ -412,6 +404,8 @@ Pushed real-time for each trade as it happens on a DEX (decoded from the `eventQ
   "price": string,
   "size": string,
   "eventTimestamp": string
+  "takerAccount": string
+  "makerAccount": string
 }
 ```
 
@@ -428,7 +422,9 @@ Pushed real-time for each trade as it happens on a DEX (decoded from the `eventQ
   "side": "sell",
   "price": "160.64",
   "size": "0.50",
-  "eventTimestamp": "2021-12-14T12:35:29.000Z"
+  "eventTimestamp": "2021-12-14T12:35:29.000Z",
+  "takerAccount": "AAddgLu9reZCUWW1bNQFaXrCMAtwQpMRvmeusgk4pCM6",
+  "makerAccount": "EpAdzaqV13Es3x4dukfjFoCrKVXnZ7y9Y76whgMHo5qx"
 }
 ```
 

diff --git a/src/data_mapper.ts b/src/data_mapper.ts
@@ -369,21 +369,33 @@ export class DataMapper {
 
         // detect l2 trades based on fills
         if (message.type === 'fill' && message.maker === false) {
-          // this is rather fragile way of finding matching fill, can it be done better?
-
-          const matchingMakerFill =
-            l3Diff[i - 1] !== undefined && l3Diff[i - 1]!.type === 'fill'
-              ? (l3Diff[i - 1] as Fill)
-              : l3Diff[i - 2] !== undefined && l3Diff[i - 2]!.type === 'fill'
-              ? (l3Diff[i - 2] as Fill)
-              : undefined
-
-          const makerFillOrderId =
-            matchingMakerFill !== undefined &&
-            matchingMakerFill.maker === true &&
-            matchingMakerFill.size === message.size
-              ? matchingMakerFill.orderId
-              : '_'
+          let matchingMakerFill
+
+          for (let j = i - 1; j >= 0; j--) {
+            const potentialFillMessage = l3Diff[j]!
+
+            if (
+              potentialFillMessage.type === 'fill' &&
+              potentialFillMessage.maker === true &&
+              potentialFillMessage.size === message.size
+            ) {
+              matchingMakerFill = potentialFillMessage
+              break
+            }
+          }
+
+          const makerFillOrderId = matchingMakerFill !== undefined ? matchingMakerFill.orderId : undefined
+
+          const makerFillAccount = matchingMakerFill !== undefined ? matchingMakerFill.account : undefined
+
+          if (makerFillOrderId === undefined) {
+            logger.log('warn', 'Trade without matching maker fill order', {
+              market: this._options.symbol,
+              slot,
+              fill: message,
+              l3Diff
+            })
+          }
 
           const tradeId = `${message.orderId}|${makerFillOrderId}`
 
@@ -397,7 +409,9 @@ export class DataMapper {
             side: message.side,
             price: message.price,
             size: message.size,
-            eventTimestamp: message.eventTimestamp
+            eventTimestamp: message.eventTimestamp,
+            takerAccount: message.account,
+            makerAccount: makerFillAccount!
           }
 
           yield this._putInEnvelope(tradeMessage, true)

diff --git a/src/types.ts b/src/types.ts
@@ -58,6 +58,8 @@ export interface Trade extends DataMessage, WithEventTimestamp {
   readonly size: string
   readonly side: 'buy' | 'sell' // liquidity taker side
   readonly id: string
+  readonly takerAccount: string
+  readonly makerAccount: string
 }
 
 export interface Fill extends DataMessage, OrderItem {