market order with slippage params

Author: lavrric

examples/create_market_order.py

@@ -5,11 +5,11 @@
 logging.basicConfig(level=logging.DEBUG)
 
 # The API_KEY_PRIVATE_KEY provided belongs to a dummy account registered on Testnet.
-# It was generated using the setup_system.py script, and servers as an example.
+# It was generated using the setup_system.py script, and serves as an example.
 BASE_URL = "https://testnet.zklighter.elliot.ai"
 API_KEY_PRIVATE_KEY = "0xed636277f3753b6c0275f7a28c2678a7f3a95655e09deaebec15179b50c5da7f903152e50f594f7b"
 ACCOUNT_INDEX = 65
-API_KEY_INDEX = 1
+API_KEY_INDEX = 2
 
 
 def trim_exception(e: Exception) -> str:
@@ -28,7 +28,7 @@ async def main():
         market_index=0,
         client_order_index=0,
         base_amount=1000,  # 0.1 ETH
-        avg_execution_price=170000,  # $1700
+        avg_execution_price=170000,  # $1700 -- worst acceptable price for the order
         is_ask=True,
     )
     print("Create Order Tx:", tx)

examples/create_market_order_max_slippage.py

@@ -0,0 +1,36 @@
+import asyncio
+import logging
+import lighter
+
+logging.basicConfig(level=logging.DEBUG)
+
+# The API_KEY_PRIVATE_KEY provided belongs to a dummy account registered on Testnet.
+# It was generated using the setup_system.py script, and serves as an example.
+BASE_URL = "https://testnet.zklighter.elliot.ai"
+API_KEY_PRIVATE_KEY = "0x321ec32c490960eb83df619e2701b5948e32da808fc0b6fd99550ce92af130f1c4088a37a0793972"
+ACCOUNT_INDEX = 46
+API_KEY_INDEX = 2
+
+
+def trim_exception(e: Exception) -> str:
+    return str(e).strip().split("\n")[-1]
+
+
+async def main():
+    client = lighter.SignerClient(
+        url=BASE_URL,
+        private_key=API_KEY_PRIVATE_KEY,
+        account_index=ACCOUNT_INDEX,
+        api_key_index=API_KEY_INDEX,
+    )
+
+    # tx = await client.create_market_order_limited_slippage(market_index=0, client_order_index=0, base_amount=30000000,
+    #                                                        max_slippage=0.001, is_ask=True)
+    tx = await client.create_market_order_if_slippage(market_index=0, client_order_index=0, base_amount=30000000,
+                                                           max_slippage=0.01, is_ask=True)
+    print("Create Order Tx:", tx)
+    await client.close()
+
+
+if __name__ == "__main__":
+    asyncio.run(main())

lighter/signer_client.py

@@ -190,6 +190,7 @@ def __init__(
         self.signer = _initialize_signer()
         self.api_client = lighter.ApiClient(configuration=Configuration(host=url))
         self.tx_api = lighter.TransactionApi(self.api_client)
+        self.order_api = lighter.OrderApi(self.api_client)
         self.nonce_manager = nonce_manager.nonce_manager_factory(
             nonce_manager_type=nonce_management_type,
             account_index=account_index,
@@ -618,6 +619,82 @@ async def create_market_order(
             api_key_index=api_key_index,
         )
 
+    # will only do the amount such that the slippage is limited to the value provided
+    async def create_market_order_limited_slippage(
+        self,
+        market_index,
+        client_order_index,
+        base_amount,
+        max_slippage,
+        is_ask,
+        reduce_only: bool = False,
+        nonce=-1,
+        api_key_index=-1,
+    ) -> (CreateOrder, TxHash, str):
+        order_book_orders = await self.order_api.order_book_orders(market_index, 1)
+        best_price = int((order_book_orders.bids[0].price if is_ask else order_book_orders.asks[0].price).replace(".", ""))
+        acceptable_execution_price = round(best_price * (1 + max_slippage * (-1 if is_ask else 1)))
+        return await self.create_order(
+            market_index,
+            client_order_index,
+            base_amount,
+            price=acceptable_execution_price,
+            is_ask=is_ask,
+            order_type=self.ORDER_TYPE_MARKET,
+            time_in_force=self.ORDER_TIME_IN_FORCE_IMMEDIATE_OR_CANCEL,
+            order_expiry=self.DEFAULT_IOC_EXPIRY,
+            reduce_only=reduce_only,
+            nonce=nonce,
+            api_key_index=api_key_index,
+        )
+
+    # will only execute the order if it executes with slippage <= max_slippage
+    async def create_market_order_if_slippage(
+        self,
+        market_index,
+        client_order_index,
+        base_amount,
+        max_slippage,
+        is_ask,
+        reduce_only: bool = False,
+        nonce=-1,
+        api_key_index=-1,
+    ) -> (CreateOrder, TxHash, str):
+        order_book_orders = await self.order_api.order_book_orders(market_index, 100)
+        best_price = int((order_book_orders.bids[0].price if is_ask else order_book_orders.asks[0].price).replace(".", ""))
+
+        matched_usd_amount, matched_size = 0, 0
+        for order_book_order in (order_book_orders.bids if is_ask else order_book_orders.asks):
+            if matched_size == base_amount:
+                break
+            curr_order_price = int(order_book_order.price.replace(".", ""))
+            curr_order_size = int(order_book_order.remaining_base_amount.replace(".", ""))
+            to_be_used_order_size = min(base_amount - matched_size, curr_order_size)
+            matched_usd_amount += curr_order_price * to_be_used_order_size
+            matched_size += to_be_used_order_size
+
+        potential_execution_price = matched_usd_amount / matched_size
+        acceptable_execution_price = best_price * (1 + max_slippage * (-1 if is_ask else 1))
+        if (is_ask and potential_execution_price < acceptable_execution_price) or (not is_ask and potential_execution_price > acceptable_execution_price):
+            return None, None, "Excessive slippage"
+
+        if matched_size < base_amount:
+            return None, None, "Cannot be sure slippage will be acceptable due to the high size"
+
+        return await self.create_order(
+            market_index,
+            client_order_index,
+            base_amount,
+            price=round(acceptable_execution_price),
+            is_ask=is_ask,
+            order_type=self.ORDER_TYPE_MARKET,
+            time_in_force=self.ORDER_TIME_IN_FORCE_IMMEDIATE_OR_CANCEL,
+            order_expiry=self.DEFAULT_IOC_EXPIRY,
+            reduce_only=reduce_only,
+            nonce=nonce,
+            api_key_index=api_key_index,
+        )
+
     @process_api_key_and_nonce
     async def cancel_order(self, market_index, order_index, nonce=-1, api_key_index=-1) -> (CancelOrder, TxHash, str):
         tx_info, error = self.sign_cancel_order(market_index, order_index, nonce)