DLOB (Decentralized Limit Order Book)

import { OrderSubscriber } from "@velocity-exchange/sdk";
 
const orderSubscriber = new OrderSubscriber({
  velocityClient,
  subscriptionConfig: { type: "websocket" },
  fastDecode: true,
  decodeData: true,
});
await orderSubscriber.subscribe();

import { DLOBSubscriber } from "@velocity-exchange/sdk";
 
const dlobSubscriber = new DLOBSubscriber({
  velocityClient,
  dlobSource: orderSubscriber,   // feeds from your OrderSubscriber
  slotSource: slotSubscriber,    // needed for order expiry/timing
  updateFrequency: 1000,         // rebuild the book every 1000ms
});
await dlobSubscriber.subscribe();

import { SlotSubscriber } from "@velocity-exchange/sdk";
 
const slotSubscriber = new SlotSubscriber(connection);
await slotSubscriber.subscribe();
 
const currentSlot = slotSubscriber.getSlot();

import { DLOB } from "@velocity-exchange/sdk";
 
// Access via DLOBSubscriber (recommended)
const dlob = dlobSubscriber.getDLOB();

import { UserMap } from "@velocity-exchange/sdk";

import { SlotSubscriber, OrderSubscriber, DLOBSubscriber } from "@velocity-exchange/sdk";
 
// 1. Track the current slot (needed for order expiry)
const slotSubscriber = new SlotSubscriber(connection);
await slotSubscriber.subscribe();
 
// 2. Subscribe to all open orders across all users
const orderSubscriber = new OrderSubscriber({
  velocityClient,
  subscriptionConfig: { type: "websocket" },
  fastDecode: true,
  decodeData: true,
});
await orderSubscriber.subscribe();
 
// 3. Build and maintain the DLOB from the order stream
const dlobSubscriber = new DLOBSubscriber({
  velocityClient,
  dlobSource: orderSubscriber,
  slotSource: slotSubscriber,
  updateFrequency: 1000,
});
await dlobSubscriber.subscribe();

import { MarketType, PRICE_PRECISION, BASE_PRECISION, convertToNumber } from "@velocity-exchange/sdk";
 
const dlob = dlobSubscriber.getDLOB();
const marketIndex = 0; // SOL-PERP
// For perp markets, use getMMOracleDataForPerpMarket (returns MMOraclePriceData)
const oraclePriceData = velocityClient.getMMOracleDataForPerpMarket(marketIndex);
const slot = slotSubscriber.getSlot();
 
const l2 = dlob.getL2({
  marketIndex,
  marketType: MarketType.PERP,
  oraclePriceData,
  slot,
  depth: 10, // number of price levels per side
});
 
// l2.bids and l2.asks are arrays of { price: BN, size: BN }
console.log("Top bid:", convertToNumber(l2.bids[0].price, PRICE_PRECISION),
            "size:", convertToNumber(l2.bids[0].size, BASE_PRECISION));
console.log("Top ask:", convertToNumber(l2.asks[0].price, PRICE_PRECISION),
            "size:", convertToNumber(l2.asks[0].size, BASE_PRECISION));

import { MarketType, PRICE_PRECISION, convertToNumber } from "@velocity-exchange/sdk";
 
const dlob = dlobSubscriber.getDLOB();
const marketIndex = 0;
const oraclePriceData = velocityClient.getMMOracleDataForPerpMarket(marketIndex);
const slot = slotSubscriber.getSlot();
 
// Returns BN | undefined (undefined if no orders on that side)
const bestBid = dlob.getBestBid(marketIndex, slot, MarketType.PERP, oraclePriceData);
const bestAsk = dlob.getBestAsk(marketIndex, slot, MarketType.PERP, oraclePriceData);
 
if (bestBid && bestAsk) {
  console.log("Best bid:", convertToNumber(bestBid, PRICE_PRECISION));
  console.log("Best ask:", convertToNumber(bestAsk, PRICE_PRECISION));
  console.log("Spread:", convertToNumber(bestAsk.sub(bestBid), PRICE_PRECISION));
}