trading_bot_v4/lib/drift/orderbook-service.ts

/**
 * OrderbookService - Shadow logging for orderbook metrics (Phase 1)
 * 
 * Purpose: Subscribe to Drift orderbook L2 data, compute metrics, expose for logging.
 * Current mode: SHADOW ONLY - does NOT gate trading decisions.
 * 
 * Metrics computed:
 * - Spread bps: (bestAsk - bestBid) / mid * 10000
 * - Top-N imbalance: (Σ bidQty - Σ askQty) / (Σ bidQty + Σ askQty)
 * - Market impact: depth required to move price by X bps
 * - Liquidity walls: largest opposing side sizes within distance bands
 * - Same-side depth: support for our direction within distance bands
 * 
 * Usage:
 * ```typescript
 * const obService = await getOrderbookService()
 * await obService.subscribeToMarket('SOL-PERP')
 * const metrics = obService.getMetrics('SOL-PERP')
 * ```
 */

import { logger } from '../utils/logger'
import { getDriftService } from './client'
import { getMarketConfig } from '../../config/trading'

export interface OrderbookLevel {
  price: number
  size: number
  sizeUSD: number
}

export interface OrderbookSnapshot {
  symbol: string
  timestamp: number
  bids: OrderbookLevel[]
  asks: OrderbookLevel[]
  midPrice: number
}

export interface OrderbookMetrics {
  symbol: string
  timestamp: number
  
  // Spread
  spreadBps: number // (bestAsk - bestBid) / mid * 10000
  
  // Imbalance (top 10 levels)
  imbalance: number // (Σ bidQty - Σ askQty) / total, range [-1, 1]
  
  // Depth analysis (0-2% from mid)
  oppDepth0_2pctUSD: number // opposing side cumulative USD within 2% (0.02 * mid)
  sameDepth0_2pctUSD: number // same side cumulative USD within 2%
  
  // Market impact
  impactBpsAtNotional: number // bps move to trade our typical notional
  
  // Largest opposing wall
  largestOppWallBps: number // distance to largest opposing wall in bps
  largestOppWallUSD: number // size of that wall in USD
  
  // Largest same-side wall (support for our direction)
  largestSameWallBps: number
  largestSameWallUSD: number
  
  // Quality flags
  isLiquid: boolean // spread < threshold
  hasOppWall: boolean // large wall within threshold distance
}

export interface OrderbookAnalysis {
  direction: 'long' | 'short'
  metrics: OrderbookMetrics
  notionalUSD: number
}

class OrderbookService {
  private subscriptions: Map<string, any> = new Map()
  
  private readonly SPREAD_THRESHOLD_BPS = 5 // 5 bps = 0.05%
  private readonly WALL_THRESHOLD_USD = 50000 // $50k wall
  private readonly DEPTH_DISTANCE_PCT = 0.02 // 2% from mid
  private readonly TOP_N_LEVELS = 10 // for imbalance calc
  
  constructor() {
    logger.log('📖 OrderbookService initialized (SHADOW mode - on-demand snapshots)')
  }
  
  /**
   * Subscribe to orderbook for a market symbol
   * NOTE: This just maintains connection, no continuous updates
   */
  async subscribeToMarket(symbol: string): Promise<void> {
    if (this.subscriptions.has(symbol)) {
      logger.log(`📖 Already subscribed to orderbook: ${symbol}`)
      return
    }
    
    try {
      const driftService = await getDriftService()
      const marketConfig = getMarketConfig(symbol)
      
      // Store subscription reference (connection kept alive)
      this.subscriptions.set(symbol, { marketConfig })
      
      logger.log(`📖 Subscribed to orderbook: ${symbol} (on-demand snapshots)`)
    } catch (error) {
      console.error(`❌ Failed to subscribe to orderbook ${symbol}:`, error)
      throw error
    }
  }
  
  /**
   * Unsubscribe from a market
   */
  unsubscribe(symbol: string): void {
    this.subscriptions.delete(symbol)
    logger.log(`📖 Unsubscribed from orderbook: ${symbol}`)
  }
  
  /**
   * Get on-demand orderbook snapshot for a symbol
   * Phase 1: Simplified - uses oracle price + estimated spread
   * Phase 2+: Will integrate DLOB L2 data for real depth analysis
   */
  private async getSnapshotNow(symbol: string): Promise<OrderbookSnapshot | null> {
    try {
      const marketConfig = getMarketConfig(symbol)
      if (!marketConfig) {
        console.error(`❌ No market config for ${symbol}`)
        return null
      }

      const driftService = getDriftService()
      
      // Phase 1: Use oracle price (fast, reliable for shadow logging)
      const oraclePrice = await driftService.getOraclePrice(marketConfig.driftMarketIndex)
      const midPrice = oraclePrice
      
      // Phase 1: Estimated L2 levels (placeholder for real DLOB data)
      // Typical SOL spread is 0.01-0.05%, we'll use 0.02% for estimates
      const spreadBps = 2 // 0.02%
      const spreadPrice = midPrice * (spreadBps / 10000)
      
      const bids: OrderbookLevel[] = [
        { 
          price: midPrice - spreadPrice, 
          size: 10000, // Placeholder token size
          sizeUSD: 10000 * (midPrice - spreadPrice) // Placeholder USD value
        },
      ]
      
      const asks: OrderbookLevel[] = [
        { 
          price: midPrice + spreadPrice, 
          size: 10000, // Placeholder token size
          sizeUSD: 10000 * (midPrice + spreadPrice) // Placeholder USD value
        },
      ]

      return {
        symbol,
        timestamp: Date.now(),
        bids,
        asks,
        midPrice
      }
    } catch (error) {
      console.error(`❌ Failed to get snapshot for ${symbol}:`, error)
      return null
    }
  }
  
  /**
   * Compute all orderbook metrics from snapshot
   */
  private computeMetrics(snapshot: OrderbookSnapshot): OrderbookMetrics {
    const { bids, asks, midPrice } = snapshot
    
    // 1. Spread
    const spreadBps = ((asks[0].price - bids[0].price) / midPrice) * 10000
    
    // 2. Imbalance (top N levels)
    const topBids = bids.slice(0, this.TOP_N_LEVELS)
    const topAsks = asks.slice(0, this.TOP_N_LEVELS)
    const bidQty = topBids.reduce((sum, b) => sum + b.sizeUSD, 0)
    const askQty = topAsks.reduce((sum, a) => sum + a.sizeUSD, 0)
    const imbalance = (bidQty - askQty) / (bidQty + askQty)
    
    // 3. Depth within 2% bands
    const depthThreshold = midPrice * this.DEPTH_DISTANCE_PCT
    const askDepth = asks
      .filter(a => a.price <= midPrice + depthThreshold)
      .reduce((sum, a) => sum + a.sizeUSD, 0)
    const bidDepth = bids
      .filter(b => b.price >= midPrice - depthThreshold)
      .reduce((sum, b) => sum + b.sizeUSD, 0)
    
    // 4. Find largest walls (for longs, opposing = asks)
    const largestAsk = asks.reduce((max, a) => a.sizeUSD > max.sizeUSD ? a : max, asks[0])
    const largestBid = bids.reduce((max, b) => b.sizeUSD > max.sizeUSD ? b : max, bids[0])
    
    return {
      symbol: snapshot.symbol,
      timestamp: snapshot.timestamp,
      spreadBps: Math.round(spreadBps * 100) / 100,
      imbalance: Math.round(imbalance * 1000) / 1000,
      
      // For LONG: opposing = asks (resistance), same = bids (support)
      // We'll store both and let consumer pick based on direction
      oppDepth0_2pctUSD: askDepth,
      sameDepth0_2pctUSD: bidDepth,
      
      impactBpsAtNotional: 0, // TODO: implement impact calculation
      
      largestOppWallBps: Math.abs((largestAsk.price - midPrice) / midPrice) * 10000,
      largestOppWallUSD: Math.round(largestAsk.sizeUSD),
      
      largestSameWallBps: Math.abs((largestBid.price - midPrice) / midPrice) * 10000,
      largestSameWallUSD: Math.round(largestBid.sizeUSD),
      
      isLiquid: spreadBps < this.SPREAD_THRESHOLD_BPS,
      hasOppWall: largestAsk.sizeUSD > this.WALL_THRESHOLD_USD
    }
  }
  
  /**
   * Get current metrics for a symbol (with direction context)
   * This triggers on-demand snapshot + computation
   */
  async getMetricsForDirection(symbol: string, direction: 'long' | 'short', notionalUSD: number): Promise<OrderbookAnalysis | null> {
    // Get fresh snapshot right now
    const snapshot = await this.getSnapshotNow(symbol)
    if (!snapshot) return null
    
    // Compute metrics from snapshot
    const baseMetrics = this.computeMetrics(snapshot)
    
    // Flip opposing/same based on direction
    const metrics: OrderbookMetrics = direction === 'long' ? {
      ...baseMetrics,
      // For LONG: asks = opposing, bids = same
      oppDepth0_2pctUSD: baseMetrics.oppDepth0_2pctUSD,
      sameDepth0_2pctUSD: baseMetrics.sameDepth0_2pctUSD,
    } : {
      ...baseMetrics,
      // For SHORT: bids = opposing, asks = same
      oppDepth0_2pctUSD: baseMetrics.sameDepth0_2pctUSD, // flip
      sameDepth0_2pctUSD: baseMetrics.oppDepth0_2pctUSD, // flip
      largestOppWallBps: baseMetrics.largestSameWallBps, // flip
      largestOppWallUSD: baseMetrics.largestSameWallUSD, // flip
      largestSameWallBps: baseMetrics.largestOppWallBps, // flip
      largestSameWallUSD: baseMetrics.largestOppWallUSD, // flip
    }
    
    return {
      direction,
      metrics,
      notionalUSD
    }
  }
}

// Singleton instance
let instance: OrderbookService | null = null

/**
 * Get singleton OrderbookService instance
 */
export function getOrderbookService(): OrderbookService {
  if (!instance) {
    instance = new OrderbookService()
  }
  return instance
}

/**
 * Initialize orderbook subscriptions for active markets
 */
export async function initializeOrderbookService(symbols: string[]): Promise<void> {
  const service = getOrderbookService()
  
  for (const symbol of symbols) {
    try {
      await service.subscribeToMarket(symbol)
    } catch (error) {
      console.error(`❌ Failed to subscribe to ${symbol}:`, error)
      // Continue with other symbols
    }
  }
  
  logger.log(`📖 OrderbookService initialized for ${symbols.length} symbols`)
}