AquaDEX protocol. A limit orderbook matching engine.
"mkt" - Market Tokens (quantities) "prc" - Pricing Tokens (prices)
Create a new trading market.
- agent_nonce: u8 - Bump seed of Token Agent
- mkt_vault_nonce: u8 - Bump seed of Market Vault associated token account
- prc_vault_nonce: u8 - Bump seed of Pricing Vault associated token account
- mkt_decimals: u8 - Decimals of the market token
- prc_decimals: u8 - Decimals of the pricing token
- mkt_mint_type: u8 - Mint type of the market token (0 = SPL, 1 = AST-1)
- prc_mint_type: u8 - Mint type of the pricing token (0 = SPL, 1 = AST-1)
- manager_actions: bool - 0: full self-custody markets; 1: enable "manager_cancel_order", "manager_withdraw" & "manager_vault_withdraw" functions
- expire_enable: bool - Enable orders to expire
- expire_min: bool - Minimum time (in seconds) before an order can expire. Must be 1 second or greater.
- min_quantity: bool - Minimum quantity (can be 0)
- tick_decimals: u8 - 10^X decimals in raw tokens will be rounded from midpoint
- taker_fee: u8 - Taker commission fee (X / 10,000,000; or 1,000 = 1 basis point)
- maker_rebate: u8 - Maker rebate (X / 10,000,000; or 1,000 = 1 basis point)
- log_fee: u8 - Log fee (reserve space in settlement log; can be 0 when using "user vaults")
- log_rebate: u8 - Log rebate (when closing settled position; can be 0 when using "user vaults")
- log_reimburse: u8 - Log reimburse (for creating new settlement log accounts; can be 0 when using "user vaults")
- mkt_vault_uuid: u128 - Market Vault UUID (for AST-1 security tokens only, otherwise: 0)
- prc_vault_uuid: u128 - Pricing Vault UUID (for AST-1 security tokens only, otherwise: 0)
Place a "bid" limit order to purchase market tokens at a certain maximum price, or less (in pricing tokens).
- quantity: u64 - Limit bid quantity (in market tokens)
- price: u64 - Limit bid price (in pricing tokens)
- post: bool - Post the order order to the orderbook, otherwise it must be filled immediately
- fill: bool - Require orders that are not posted to be filled completely (ignored for posted orders)
- expires: i64 - Unix timestamp for order expiration (must be in the future, must exceed minimum duration)
- preview: bool - Do not execute just preview and return what would have happened
- rollover: bool - Perform settlement log rollover
Place an "ask" limit order to sell market tokens at a certain minimum price, or more (in pricing tokens).
- quantity: u64 - Limit bid quantity (in market tokens)
- price: u64 - Limit bid price (in pricing tokens)
- post: bool - Post the order order to the orderbook, otherwise it must be filled immediately
- fill: bool - Require orders that are not posted to be filled completely (ignored for posted orders)
- expires: i64 - Unix timestamp for order expiration (must be in the future, must exceed minimum duration)
- preview: bool - Do not execute just preview and return what would have happened
- rollover: bool - Perform settlement log rollover
Cancel a pending order, and withdraw tokens from the vault.
- side: u8 - Orderbook side of cancelled order: 0 - Bid, 1 - Ask
- order_id: u128 - Order ID to cancel
Withdraw tokens from orders cleared by counter-parties.
var mint1 = 'So11111111111111111111111111111111111111112'
var mint2 = 'Gh9ZwEmdLJ8DscKNTkTqPbNwLNNBjuSzaG9Vp2KGtKJr'
console.log("Mints: " + mint1 + " " + mint2)
const tokenMint1 = new PublicKey(mint1)
const tokenMint2 = new PublicKey(mint2)
market = anchor.web3.Keypair.generate()
marketPK = market.publicKey
marketState = anchor.web3.Keypair.generate()
orders = anchor.web3.Keypair.generate()
tradeLog = anchor.web3.Keypair.generate()
settle1 = anchor.web3.Keypair.generate()
settle2 = anchor.web3.Keypair.generate()
writeData['market'] = marketPK.toString()
writeData['marketState'] = marketState.publicKey.toString()
writeData['orders'] = orders.publicKey.toString()
writeData['tradeLog'] = tradeLog.publicKey.toString()
writeData['settle1'] = settle1.publicKey.toString()
writeData['settle2'] = settle2.publicKey.toString()
const ordersBytes = 226 + (16384 * 6)
const ordersRent = await provider.connection.getMinimumBalanceForRentExemption(ordersBytes)
const tradeLogBytes = 326 + (16384 * 1)
const tradeLogRent = await provider.connection.getMinimumBalanceForRentExemption(tradeLogBytes)
const settleBytes = 326 + (16384 * 6)
const settleRent = await provider.connection.getMinimumBalanceForRentExemption(settleBytes)
const marketAgent = await programAddress([marketPK.toBuffer()], aquadexPK)
const marketAgentPK = new PublicKey(marketAgent.pubkey)
const marketAdmin = await programAddress([marketPK.toBuffer(), Buffer.from('admin', 'utf8')], aquadexPK)
const marketAdminPK = new PublicKey(marketAdmin.pubkey)
const tokenVault1 = await associatedTokenAddress(marketAgentPK, tokenMint1)
const tokenVault2 = await associatedTokenAddress(marketAgentPK, tokenMint2)
var ta = new anchor.web3.Transaction()
ta.add(anchor.web3.SystemProgram.createAccount({
fromPubkey: provider.wallet.publicKey,
newAccountPubkey: marketPK,
space: aquadex.account.market.size,
lamports: await provider.connection.getMinimumBalanceForRentExemption(aquadex.account.market.size),
programId: aquadexPK,
}))
ta.add(anchor.web3.SystemProgram.createAccount({
fromPubkey: provider.wallet.publicKey,
newAccountPubkey: marketState.publicKey,
space: aquadex.account.marketState.size,
lamports: await provider.connection.getMinimumBalanceForRentExemption(aquadex.account.marketState.size),
programId: aquadexPK,
}))
ta.add(anchor.web3.SystemProgram.createAccount({
fromPubkey: provider.wallet.publicKey,
newAccountPubkey: orders.publicKey,
space: ordersBytes,
lamports: ordersRent,
programId: aquadexPK,
}))
ta.add(anchor.web3.SystemProgram.createAccount({
fromPubkey: provider.wallet.publicKey,
newAccountPubkey: tradeLog.publicKey,
space: tradeLogBytes,
lamports: tradeLogRent,
programId: aquadexPK,
}))
ta.add(anchor.web3.SystemProgram.createAccount({
fromPubkey: provider.wallet.publicKey,
newAccountPubkey: settle1.publicKey,
space: settleBytes,
lamports: settleRent,
programId: aquadexPK,
}))
ta.add(anchor.web3.SystemProgram.createAccount({
fromPubkey: provider.wallet.publicKey,
newAccountPubkey: settle2.publicKey,
space: settleBytes,
lamports: settleRent,
programId: aquadexPK,
}))
console.log(await provider.sendAndConfirm(ta, [market, marketState, orders, tradeLog, settle1, settle2]))
// Sleep at least 180 seconds to be sure the validator is up-to-date with the accounts created above
tx.add(ComputeBudgetProgram.setComputeUnitLimit({units: 1000000}))
tx.add(aquadex.instruction.createMarket(
marketAgent.nonce,
tokenVault1.nonce,
tokenVault2.nonce,
9, // Mkt Decimals
6, // Prc Decimals
0, // Mkt Mint Type - 0: SPL, 1: AST-1
0, // Prc Mint Type
false, // Manager actions (FALSE for trustless mode)
true, // Expire enable
3, // Tick size
new anchor.BN(1), // Min expire
new anchor.BN(0), // Min quantity
new anchor.BN(3600), // Taker fee (X / 10,000,000; or 1,000 = 1 BPS)
new anchor.BN(2500), // Maker rebate (X / 10,000,000; or 1,000 = 1 BPS)
new anchor.BN(0), // Log fee (reserve space in settlement log)
new anchor.BN(0), // Log rebate (when closing settled position)
new anchor.BN(0), // Log reimburse (for creating new settlement log accounts)
new anchor.BN(0), // Mkt Token UUID (AST-1 Tokens only)
new anchor.BN(0), // Prc Token UUID (AST-1 Tokens only)
{
accounts: {
market: marketPK,
admin: marketAdminPK,
state: marketState.publicKey,
tradeLog: tradeLog.publicKey,
agent: new PublicKey(marketAgent.pubkey),
manager: provider.wallet.publicKey,
feeManager: provider.wallet.publicKey,
vaultManager: provider.wallet.publicKey,
mktMint: tokenMint1,
mktVault: new PublicKey(tokenVault1.pubkey),
prcMint: tokenMint2,
prcVault: new PublicKey(tokenVault2.pubkey),
orders: orders.publicKey,
settleA: settle1.publicKey,
settleB: settle2.publicKey,
splTokenProg: TOKEN_PROGRAM_ID,
ascTokenProg: SPL_ASSOCIATED_TOKEN,
systemProgram: SystemProgram.programId,
systemRent: SYSVAR_RENT_PUBKEY,
},
}
))
console.log('Create Market')
console.log(await provider.sendAndConfirm(tx))async function limitOrder(orderType, user, result, qty, price) {
// Fetch up-to-date data (market data can be cached, state data should be reloaded)
var marketData = await aquadex.account.market.fetch(marketPK)
var stateData = await aquadex.account.market.fetch(marketData.state)
var settle1PK = stateData.settleA
var settle2PK = stateData.settleB
var userToken1 = await associatedTokenAddress(user.publicKey, marketData.mktMint)
var userToken2 = await associatedTokenAddress(user.publicKey, marketData.prcMint)
var params = {
accounts: {
market: marketPK,
state: marketSpec.state,
agent: marketSpec.agent
tradeLog: marketSpec.tradeLog
user: user.publicKey,
userMktToken: new PublicKey(userToken1.pubkey),
userPrcToken: new PublicKey(userToken2.pubkey),
mktVault: marketData.mktVault,
prcVault: marketData.prcVault,
orders: marketData.orders,
settleA: stateData.settleA,
settleB: stateData.settleB,
result: result.publicKey,
splTokenProg: TOKEN_PROGRAM_ID,
},
signers: [user, result],
}
var rollover = false
var signers = [user, result]
var tx = new anchor.web3.Transaction()
// Market roll-over will not happen if the settlement log is frequently cleared to "user vaults"
if (mktSpec.logRollover) {
console.log("--- PERFORMING SETTLEMENT LOG ROLLOVER ---")
rollover = true
const settle = anchor.web3.Keypair.generate()
const settleBytes = 326 + (16384 * 6)
const settleRent = await provider.connection.getMinimumBalanceForRentExemption(settleBytes)
signers.push(settle)
tx.add(anchor.web3.SystemProgram.createAccount({
fromPubkey: provider.wallet.publicKey,
newAccountPubkey: settle.publicKey,
space: settleBytes,
lamports: settleRent,
programId: aquadexPK,
}))
params['remainingAccounts'] = [
{ pubkey: settle.publicKey, isWritable: true, isSigner: false },
]
}
if (orderType === 'bid') {
tx.add(await aquadex.instruction.limitBid(
new anchor.BN(qty), // Quantity
new anchor.BN(price), // Price
true, // Post order
false, // Fill or cancel
new anchor.BN(0), // Order expiry
preview, // Preview
rollover, // Rollover settlement log
params,
))
} else {
tx.add(await aquadex.instruction.limitAsk(
new anchor.BN(qty), // Quantity
new anchor.BN(price), // Price
true, // Post order
false, // Fill or cancel
new anchor.BN(0), // Order expiry
preview, // Preview
rollover, // Rollover settlement log
params,
))
}
await provider.send(tx, signers)
}
// Create temp account for optional result data
var resultData = anchor.web3.Keypair.generate()
var tx = new anchor.web3.Transaction()
tx.add(
anchor.web3.SystemProgram.createAccount({
fromPubkey: provider.wallet.publicKey,
newAccountPubkey: resultData.publicKey,
space: tradeResultBytes,
lamports: tradeResultRent,
programId: aquadexPK
})
)
await provider.sendAndConfirm(tx, [resultData])
// Perform a limit bid
console.log('Bid')
console.log(await limitOrder('bid', userWallet, resultData, qty.toFixed(0), price.toFixed(0), false))
var res = await aquadex.account.tradeResult.fetch(resultData.publicKey)
// Perform a limit ask
console.log('Ask')
console.log(await limitOrder('ask', userWallet, resultData, qty.toFixed(0), price.toFixed(0), false))
var res = await aquadex.account.tradeResult.fetch(resultData.publicKey)