Example orderbook subscribe sol.

[papadpickle]

this example subscribes to SOL perp market on-chain events for bids, asks and fill. following info is logged at each update of orderbook as well as fill event:

• latest trade
• bid-ask values
• midprice
• spread in bps
• market depth at +/-2%

note: in case no fill event received before an orderbook update, the latest trade will be empty. maybe there is a way to get the last traded price(mango-bowl recent trades maybe?), in that case we can add that in future.

snippet:

additions:

• a subscription::wssSubscriber class, which can be/is reused to subscribe to given uri. callbacks can be registered by its clients to handle the incoming wss messages.
• a subscription::bookSide class, which uses wssSubscriber to subscribe to bids and asks and offers its clients interfaces to get best prices and volume. additionaly it can notify the clients on each update via a callback.
• an orderbook::book class which contains two bookSide instances representing bids and asks and offers its clients an interface to get the level1 info.
• a subscription::trades class, which uses wssSubscriber to subscribe to market event queue and offers its clients interfaces to get last traded price. additionaly it can notify the clients on each update via a callback.
• a orderbook::level1 and orderbook::order structs

minor improvements:

• const correctness at solana api
• added todo to use scoped enums at existing mango code, didnt change it here as this might require changes in other examples as well.

[mschneider]

[2022-03-01 20:24:16.874] [info] ============Update============
[2022-03-01 20:24:16.874] [info] Latest trade: 9880
[2022-03-01 20:24:16.874] [info] Bid-Ask 9879-9880
[2022-03-01 20:24:16.874] [info] MidPrice: 9879.5
[2022-03-01 20:24:16.874] [info] Spread: 1.01 bps
[2022-03-01 20:24:16.874] [info] Market depth -2%: 1458616
[2022-03-01 20:24:16.874] [info] Market depth +2%: 950953

output should probably display ui units instead of native units, i'll open a separate ticket for this

[mschneider]

tried it locally and the code works well for a few minutes but then one by one the different sockets disconnect. once a single socket disconnects, aggregated data can be invalid (e.g. mid price, after one side of the book stopped updating)

[papadpickle]

added changes to stop logging and exit in case of problem at any of the wss connections.

[papadpickle]

re your comment https://github.com/mschneider/solcpp/pull/19#discussion_r817093630:

1. parsing of the messages is moved to the classes(BookSide and Trade in mango_v3.hpp) out of subscriptions.
2. handled at point 1
3. this is first iteration of parsing the incoming messages and extracted only necessary info. We can fill up/edit the parsing and data struct as we go was my idea. You can create an issue here which can be handled later.
4. I have refactored the code by adding AccountSubscriber class, removed unnecessary subscriber classes and replacing critical sections with shared_ptr.

I have one point about the structure of the code overall: we can refactor the monolithic mango_v3.hpp into individual hpp and cpp files to speed up dev work. Now a single line change at those interfaces forces the recompilation of everything. Since we are anyway creating a static lib, we may as well go with seperate files instead of having one huge hpp. Unless of course you decide to make it a header only lib.

[papadpickle]

updated the PR with following changes:

• https://github.com/mschneider/solcpp/pull/19#discussion_r840560642 -> decoding in the account subscriber itself.
• handling bookTimeDelay to filter expired orders
• using FillEvent struct for trades.
• using LeafNode struct as order struct
• minor improvements