sdk: handle unfillable reduce only orders (#1790)

* sdk: handle unfillable reduce only orders

* fix dlob tests build errors

* fix some test build errors

Author: wphan

sdk/package.json

@@ -15,10 +15,11 @@
 		"build": "yarn clean && tsc -p tsconfig.json && tsc -p tsconfig.browser.json && node scripts/postbuild.js",
 		"build:browser": "yarn clean && tsc -p tsconfig.json && tsc -p tsconfig.browser.json && node scripts/postbuild.js --force-env browser",
 		"clean": "rm -rf lib",
-		"test": "mocha -r ts-node/register tests/**/*.ts",
+		"test": "mocha -r ts-node/register tests/**/*.ts --ignore 'tests/dlob/**/*.ts'",
 		"test:inspect": "mocha --inspect-brk -r ts-node/register tests/**/*.ts",
 		"test:bignum": "mocha -r ts-node/register tests/bn/**/*.ts",
 		"test:ci": "mocha -r ts-node/register tests/ci/**/*.ts",
+		"test:dlob": "mocha -r ts-node/register tests/dlob/**/*.ts",
 		"patch-and-pub": "npm version patch --force && npm publish",
 		"prettify": "prettier --check './src/***/*.ts'",
 		"prettify:fix": "prettier --write './{src,tests}/***/*.ts'",

sdk/src/dlob/DLOB.ts

@@ -508,10 +508,23 @@ export class DLOB {
 			new BN(slot)
 		);
 
+		const stepSize = isVariant(marketType, 'perp')
+			? (marketAccount as PerpMarketAccount).amm.orderStepSize
+			: (marketAccount as SpotMarketAccount).orderStepSize;
+
+		const cancelReduceOnlyNodesToFill =
+			this.findUnfillableReduceOnlyOrdersToCancel(
+				marketIndex,
+				marketType,
+				stepSize
+			);
+
 		return this.mergeNodesToFill(
 			restingLimitOrderNodesToFill,
 			takingOrderNodesToFill
-		).concat(expiredNodesToFill);
+		)
+			.concat(expiredNodesToFill)
+			.concat(cancelReduceOnlyNodesToFill);
 	}
 
 	getMakerRebate(
@@ -1011,6 +1024,52 @@ export class DLOB {
 		return nodesToFill;
 	}
 
+	public findUnfillableReduceOnlyOrdersToCancel(
+		marketIndex: number,
+		marketType: MarketType,
+		stepSize: BN
+	): NodeToFill[] {
+		const nodesToFill = new Array<NodeToFill>();
+
+		const marketTypeStr = getVariant(marketType) as MarketTypeStr;
+		const nodeLists = this.orderLists.get(marketTypeStr).get(marketIndex);
+
+		if (!nodeLists) {
+			return nodesToFill;
+		}
+
+		const generators = [
+			nodeLists.takingLimit.bid.getGenerator(),
+			nodeLists.restingLimit.bid.getGenerator(),
+			nodeLists.floatingLimit.bid.getGenerator(),
+			nodeLists.market.bid.getGenerator(),
+			nodeLists.signedMsg.bid.getGenerator(),
+			nodeLists.takingLimit.ask.getGenerator(),
+			nodeLists.restingLimit.ask.getGenerator(),
+			nodeLists.floatingLimit.ask.getGenerator(),
+			nodeLists.market.ask.getGenerator(),
+			nodeLists.signedMsg.ask.getGenerator(),
+			nodeLists.trigger.above.getGenerator(),
+			nodeLists.trigger.below.getGenerator(),
+		];
+
+		for (const generator of generators) {
+			for (const node of generator) {
+				if (!node.order.reduceOnly) {
+					continue;
+				}
+
+				if (node.baseAssetAmount.lt(stepSize)) {
+					nodesToFill.push({
+						node,
+						makerNodes: [],
+					});
+				}
+			}
+		}
+
+		return nodesToFill;
+	}
 	*getTakingBids<T extends MarketType>(
 		marketIndex: number,
 		marketType: T,

sdk/src/types.ts

@@ -196,6 +196,7 @@ export class OrderBitFlag {
 	static readonly SignedMessage = 1;
 	static readonly OracleTriggerMarket = 2;
 	static readonly SafeTriggerOrder = 4;
+	static readonly NewTriggerReduceOnly = 8;
 }
 
 export class OrderAction {