Example orderbook subscribe sol.

examples/CMakeLists.txt

@@ -5,13 +5,15 @@ add_executable(example-get-account-info getAccountInfo.cpp)
 add_executable(example-account-subscribe accountSubscribe.cpp)
 add_executable(example-send-transaction sendTransaction.cpp)
 add_executable(example-place-order placeOrder.cpp)
+add_executable(example-orderbook-subscribe orderbookSubscribe.cpp)
 add_executable(example-positions positions.cpp)
 
 # link
 target_link_libraries(example-get-account-info ${CONAN_LIBS} sol)
 target_link_libraries(example-account-subscribe ${CONAN_LIBS} sol)
 target_link_libraries(example-send-transaction ${CONAN_LIBS} sol)
 target_link_libraries(example-place-order ${CONAN_LIBS} sol)
+target_link_libraries(example-orderbook-subscribe ${CONAN_LIBS} sol)
 target_link_libraries(example-positions ${CONAN_LIBS} sol)
 
 target_compile_definitions(example-place-order PUBLIC FIXTURES_DIR="${CMAKE_SOURCE_DIR}/tests/fixtures")

examples/orderbookSubscribe.cpp

@@ -0,0 +1,105 @@
+#include <cpr/cpr.h>
+#include <spdlog/spdlog.h>
+
+#include <chrono>
+#include <mutex>
+#include <websocketpp/client.hpp>
+#include <websocketpp/config/asio_client.hpp>
+
+#include "mango_v3.hpp"
+#include "solana.hpp"
+#include "subscriptions/accountSubscriber.hpp"
+#include "subscriptions/orderbook.hpp"
+
+class updateLogger {
+ public:
+  updateLogger(
+      mango_v3::subscription::orderbook& orderbook,
+      mango_v3::subscription::accountSubscriber<mango_v3::Trades>& trades,
+      const mango_v3::NativeToUi& nativeToUi)
+      : orderbook(orderbook), trades(trades), nativeToUi(nativeToUi) {
+    orderbook.registerUpdateCallback(std::bind(&updateLogger::logUpdate, this));
+    trades.registerUpdateCallback(std::bind(&updateLogger::logUpdate, this));
+    orderbook.registerCloseCallback(std::bind(&updateLogger::abort, this));
+    trades.registerCloseCallback(std::bind(&updateLogger::abort, this));
+  }
+
+  void start() {
+    orderbook.subscribe();
+    trades.subscribe();
+  }
+
+  void logUpdate() {
+    std::scoped_lock lock(logMtx);
+    auto level1Snapshot = orderbook.getLevel1();
+    if (level1Snapshot) {
+      if (level1Snapshot->valid()) {
+        spdlog::info("============Update============");
+        auto lastTrade = trades.getAccount()->getLastTrade();
+        if (lastTrade) {
+          spdlog::info("Last trade: price {:.2f}, quantity {:.2f}",
+                       nativeToUi.getPrice(lastTrade->price),
+                       nativeToUi.getQuantity(lastTrade->quantity));
+        } else {
+          spdlog::info("No trade since the subscription started");
+        }
+        spdlog::info("Bid-Ask ({:.2f}) {:.2f}-{:.2f} ({:.2f})",
+                     nativeToUi.getQuantity(level1Snapshot->highestBidSize),
+                     nativeToUi.getPrice(level1Snapshot->highestBid),
+                     nativeToUi.getPrice(level1Snapshot->lowestAsk),
+                     nativeToUi.getQuantity(level1Snapshot->lowestAskSize));
+        spdlog::info("MidPrice: {:.2f}",
+                     nativeToUi.getPrice(level1Snapshot->midPoint));
+        spdlog::info("Spread: {:.2f} bps", level1Snapshot->spreadBps);
+
+        constexpr auto depth = 2;
+        spdlog::info("Market depth -{}%: {}", depth,
+                     orderbook.getDepth(-depth));
+        spdlog::info("Market depth +{}%: {}", depth, orderbook.getDepth(depth));
+      }
+    }
+  }
+
+  void abort() {
+    spdlog::error("websocket subscription error");
+    throw std::runtime_error("websocket subscription error");
+  }
+
+ private:
+  mango_v3::subscription::orderbook& orderbook;
+  mango_v3::subscription::accountSubscriber<mango_v3::Trades>& trades;
+  const mango_v3::NativeToUi& nativeToUi;
+  std::mutex logMtx;
+};
+
+int main() {
+  using namespace mango_v3;
+  const auto& config = MAINNET;
+  const solana::rpc::Connection solCon;
+  const auto group = solCon.getAccountInfo<MangoGroup>(config.group);
+
+  const auto symbolIt =
+      std::find(config.symbols.begin(), config.symbols.end(), "SOL");
+  const auto marketIndex = symbolIt - config.symbols.begin();
+  assert(config.symbols[marketIndex] == "SOL");
+
+  const auto perpMarketPk = group.perpMarkets[marketIndex].perpMarket;
+  auto market = solCon.getAccountInfo<PerpMarket>(perpMarketPk.toBase58());
+  assert(market.mangoGroup.toBase58() == config.group);
+
+  subscription::accountSubscriber<Trades> trades(market.eventQueue.toBase58());
+  subscription::orderbook book(market);
+
+  mango_v3::NativeToUi nativeToUi(market.quoteLotSize, market.baseLotSize,
+                                  group.tokens[QUOTE_INDEX].decimals,
+                                  group.tokens[marketIndex].decimals);
+  updateLogger logger(book, trades, nativeToUi);
+  logger.start();
+
+  using namespace std::literals::chrono_literals;
+  while (true) {
+    std::this_thread::sleep_for(100s);
+  }
+
+  return 0;
+}