use crate::{
folio::FolioMessage,
orderflow::*,
symbology::{market::NormalizedMarketInfo, ProductId},
Dir, Str,
};
use arcstr::ArcStr;
use chrono::{DateTime, Utc};
use derive::FromValue;
use netidx_derive::Pack;
use rust_decimal::Decimal;
use serde_derive::{Deserialize, Serialize};
use std::ops::{Deref, DerefMut};
#[derive(Debug, Clone, Serialize, Deserialize, Pack)]
pub struct WintermuteMarketInfo {
pub tick_size: Decimal,
pub step_size: Decimal,
pub is_delisted: bool,
}
impl NormalizedMarketInfo for WintermuteMarketInfo {
fn tick_size(&self) -> Decimal {
self.tick_size
}
fn step_size(&self) -> Decimal {
self.step_size
}
fn is_delisted(&self) -> bool {
self.is_delisted
}
}
impl std::fmt::Display for WintermuteMarketInfo {
fn fmt(&self, f: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
write!(f, "{}", serde_json::to_string_pretty(self).unwrap())?;
Ok(())
}
}
#[derive(Debug, Clone, Pack, FromValue, Serialize, Deserialize)]
pub enum WintermuteMessage {
Order(WintermuteOrder),
Ack(Ack),
Reject(Reject),
Fill(WintermuteFill),
Out(Out),
ExecutionReport(ExecutionReport),
Balances(Vec<(ProductId, Decimal)>),
Folio(FolioMessage),
}
impl TryInto<WintermuteMessage> for &OrderflowMessage {
type Error = ();
fn try_into(self) -> Result<WintermuteMessage, ()> {
match self {
OrderflowMessage::Order(o) => {
Ok(WintermuteMessage::Order(WintermuteOrder { order: *o }))
}
OrderflowMessage::Ack(a) => Ok(WintermuteMessage::Ack(*a)),
OrderflowMessage::Cancel(_) => Err(()),
OrderflowMessage::Reject(r) => Ok(WintermuteMessage::Reject(r.clone())),
OrderflowMessage::Fill(f) => {
Ok(WintermuteMessage::Fill(WintermuteFill { fill: *f }))
}
OrderflowMessage::Out(o) => Ok(WintermuteMessage::Out(*o)),
}
}
}
impl TryInto<OrderflowMessage> for &WintermuteMessage {
type Error = ();
fn try_into(self) -> Result<OrderflowMessage, ()> {
match self {
WintermuteMessage::Order(o) => Ok(OrderflowMessage::Order(**o)),
WintermuteMessage::Ack(a) => Ok(OrderflowMessage::Ack(*a)),
WintermuteMessage::Reject(r) => Ok(OrderflowMessage::Reject(r.clone())),
WintermuteMessage::Fill(f) => Ok(OrderflowMessage::Fill(**f)),
WintermuteMessage::Out(o) => Ok(OrderflowMessage::Out(*o)),
WintermuteMessage::Balances(_)
| WintermuteMessage::Folio(_)
| WintermuteMessage::ExecutionReport(_) => Err(()),
}
}
}
impl TryInto<FolioMessage> for &WintermuteMessage {
type Error = ();
fn try_into(self) -> Result<FolioMessage, ()> {
match self {
WintermuteMessage::Folio(f) => Ok(f.clone()),
_ => Err(()),
}
}
}
impl TryFrom<&FolioMessage> for WintermuteMessage {
type Error = ();
fn try_from(f: &FolioMessage) -> Result<Self, ()> {
Ok(Self::Folio(f.clone()))
}
}
#[derive(Debug, Clone, Serialize, Deserialize, FromValue, Pack)]
pub struct ExecutionReport {
pub client_order_id: Str,
pub order_id: Str,
pub execution_id: Str,
pub exec_type: ExecType,
pub order_status: Str,
pub symbol: Str,
pub product: Str,
pub currency: Str,
pub side: Dir,
pub order_qty: Decimal,
pub last_qty: Decimal,
pub cum_qty: Decimal,
pub leaves_qty: Decimal,
pub price: Option<Decimal>,
pub transact_time: DateTime<Utc>,
pub text: Option<ArcStr>,
}
#[derive(Debug, Clone, Copy, Serialize, Deserialize, FromValue, Pack)]
pub enum ExecType {
Canceled,
Rejected,
Expired,
Trade,
}
#[derive(Debug, Clone, Copy, Pack, Serialize, Deserialize)]
pub struct WintermuteOrder {
#[serde(flatten)]
pub order: Order,
}
impl From<Order> for WintermuteOrder {
fn from(order: Order) -> Self {
Self { order }
}
}
impl Deref for WintermuteOrder {
type Target = Order;
fn deref(&self) -> &Self::Target {
&self.order
}
}
impl DerefMut for WintermuteOrder {
fn deref_mut(&mut self) -> &mut Self::Target {
&mut self.order
}
}
#[derive(Debug, Clone, Pack, Serialize, Deserialize)]
pub struct WintermuteFill {
#[serde(flatten)]
pub fill: Result<Fill, AberrantFill>,
}
impl Deref for WintermuteFill {
type Target = Result<Fill, AberrantFill>;
fn deref(&self) -> &Self::Target {
&self.fill
}
}