Merge pull request #139 from mangrovedao/feature/mangrove.js/market-i…

…mprovements

Feature/mangrove.js/market improvements

packages/mangrove.js/CHANGELOG.md

@@ -5,6 +5,7 @@
 - `Market.{subscribe|consoleAsks|consoleBids|prettyPrint}` are no longer `async`
 - Removed `fromId` and `blockNumber` from `Market.BookOptions`
 - `Market.Offer.{prev|next}` are now `undefined` if there is no previous/next offer
+- `Market.getPivot` now throws `Error` if the order book cache is insufficient to determine a pivot
 
 # 0.0.8
 

packages/mangrove.js/src/market.ts

@@ -46,8 +46,8 @@ namespace Market {
 
  export type Offer = {
  id: number;
- prev: number;
- next: number;
+ prev: number | undefined;
+ next: number | undefined;
  gasprice: number;
  maker: string;
  gasreq: number;
@@ -204,8 +204,8 @@ class Market {
  this.#updateBook("bids");
  }
 
- #semibookCallback({ cbArg, ba, event, ethersEvent }: SemibookEvent): void {
- this.#updateBook(ba);
+ #semibookCallback({ cbArg, event, ethersEvent }: SemibookEvent): void {
+ this.#updateBook(cbArg.ba);
  for (const [cb, params] of this.#subscriptions) {
  if (params.type === "once") {
  if (!("filter" in params) || params.filter(cbArg, event, ethersEvent)) {
@@ -294,26 +294,34 @@ class Market {
  /* Given a price, find the id of the immediately-better offer in the
  book. */
  getPivot(ba: "asks" | "bids", price: Bigish): number {
- // we select as pivot the immediately-better offer
- // the actual ordering in the offer list is lexicographic
+ // We select as pivot the immediately-better offer.
+ // The actual ordering in the offer list is lexicographic
  // price * gasreq (or price^{-1} * gasreq)
- // we ignore the gasreq comparison because we may not
+ // We ignore the gasreq comparison because we may not
  // know the gasreq (could be picked by offer contract)
  price = Big(price);
  const comparison = ba === "asks" ? "gt" : "lt";
- let latest_id = 0;
- for (const [i, offer] of this.#book[ba].entries()) {
+ let lastSeenOffer: Market.Offer;
+ let pivotFound = false;
+ for (const offer of this.#book[ba]) {
+ lastSeenOffer = offer;
  if (offer.price[comparison](price)) {
+ pivotFound = true;
  break;
  }
- latest_id = offer.id;
- if (i === this.#book[ba].length) {
- throw new Error(
- "Impossible to safely determine a pivot. Please restart with a larger maxOffers."
- );
- }
  }
- return latest_id;
+ if (pivotFound) {
+ return lastSeenOffer.prev || 0;
+ }
+ // If we reached the end of the offer list (which is possible empty), use the last offer as pivot
+ if (lastSeenOffer?.next === undefined) {
+ return lastSeenOffer?.id || 0;
+ } else {
+ // The semibook cache is incomplete
+ throw new Error(
+ "Impossible to safely determine a pivot. Please restart with a larger maxOffers."
+ );
+ }
  }
 
  /** Determine the price from gives or wants depending on whether you're working with bids or asks. */

packages/mangrove.js/src/semibook.ts

@@ -8,7 +8,6 @@ let canConstructSemibook = false;
 
 export type SemibookEvent = {
  cbArg: Market.BookSubscriptionCbArgument;
- ba: "bids" | "asks";
  event: Market.BookSubscriptionEvent;
  ethersEvent: ethers.Event;
 };
@@ -218,7 +217,6 @@ export class Semibook implements Iterable<Market.Offer> {
  offer: offer,
  ba: this.ba,
  },
- ba: this.ba,
  event,
  ethersEvent,
  });
@@ -238,7 +236,6 @@ export class Semibook implements Iterable<Market.Offer> {
  takerGives: inbound_tkn.fromUnits(event.args.takerGives),
  mgvData: event.args.mgvData,
  },
- ba: this.ba,
  event,
  ethersEvent,
  });
@@ -257,7 +254,6 @@ export class Semibook implements Iterable<Market.Offer> {
  takerWants: outbound_tkn.fromUnits(event.args.takerWants),
  takerGives: inbound_tkn.fromUnits(event.args.takerGives),
  },
- ba: this.ba,
  event,
  ethersEvent,
  });
@@ -274,7 +270,6 @@ export class Semibook implements Iterable<Market.Offer> {
  ba: this.ba,
  offer: removedOffer,
  },
- ba: this.ba,
  event,
  ethersEvent,
  });