feat: add support for depth parameter in orderbook query

This commit adds new method to DLOBClient, which allows to request
orderbook with a required depth. To handle cases when depth is not
provided, default constant can be used, which is set to value of 10.

Motivation: currently DLOBClient requests the entirety of orderbook,
which contains around 50 levels. Sometimes this can be unecessary, for
example if we are only interested in best bid/ask, which is why it can
be useful to have an option to control the depth of requested orderbook.

src/constants.rs

@@ -14,6 +14,8 @@ use crate::types::Context;
 
 static STATE_ACCOUNT: OnceLock<Pubkey> = OnceLock::new();
 
+pub const DEFAULT_ORDERBOOK_DEPTH: u8 = 10;
+
 pub const TOKEN_PROGRAM_ID: Pubkey =
     solana_sdk::pubkey!("TokenkegQfeZyiNwAJbNbGKPFXCWuBvf9Ss623VQ5DA");
 

src/dlob.rs

@@ -18,6 +18,7 @@ use tokio::{
 use tokio_tungstenite::{connect_async, tungstenite::protocol::Message};
 
 use crate::{
+    constants::DEFAULT_ORDERBOOK_DEPTH,
     types::{MarketId, SdkError, SdkResult},
     utils::dlob_subscribe_ws_json,
 };
@@ -43,14 +44,23 @@ impl DLOBClient {
     }
     /// Query L2 Orderbook for given `market`
     pub async fn get_l2(&self, market: MarketId) -> Result<L2Orderbook, SdkError> {
+        self.get_l2_with_depth(market, DEFAULT_ORDERBOOK_DEPTH)
+            .await
+    }
+
+    pub async fn get_l2_with_depth(
+        &self,
+        market: MarketId,
+        depth: u8,
+    ) -> Result<L2Orderbook, SdkError> {
         let market_type = match market.kind {
             MarketType::Perp => "perp",
             MarketType::Spot => "spot",
         };
         let response = self
             .client
             .get(format!(
-                "{}/l2?marketType={}&marketIndex={}",
+                "{}/l2?marketType={}&marketIndex={}&depth={depth}",
                 &self.url, market_type, market.index
             ))
             .send()
@@ -89,7 +99,8 @@ impl DLOBClient {
             async move {
                 loop {
                     let _ = interval.tick().await;
-                    if tx.try_send(client.get_l2(market).await).is_err() {
+                    let book = client.get_l2(market).await;
+                    if tx.try_send(book).is_err() {
                         // capacity reached or receiver closed, end the subscription task
                         break;
                     }