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#![warn(
missing_debug_implementations,
missing_copy_implementations,
rust_2018_idioms,
// missing_docs
)]
///! # Barter-Data
use crate::{
model::MarketData
};
use barter_integration::{
Subscription, SubscriptionMeta, SubscriptionIds, SubscriptionId, InstrumentKind,
socket::{
Event, ExchangeSocket, Transformer,
error::SocketError,
protocol::websocket::{WebSocket, WsMessage, WebSocketParser, connect},
}
};
use std::{
time::Duration,
fmt::{Display, Formatter},
};
use serde::{
Deserialize, Serialize,
de::DeserializeOwned
};
use async_trait::async_trait;
use futures::{SinkExt, Stream, StreamExt};
/// Core data structures to support consuming `MarketStream`s.
///
/// eg/ `MarketData`, `Trade`, `Subscription`, `SubscriptionId`, etc.
pub mod model;
/// Contains `Subscriber` & `ExchangeMapper` implementations for specific exchanges.
pub mod exchange;
/// Initialises [`MarketStream`]s for an arbitrary number of exchanges using generic Barter
/// [`Subscription`]s.
pub mod builder;
/// Custom `DataError`s generated in `barter-data`.
pub mod error;
/// Convenient type alias for an [`ExchangeSocket`] utilising a tungstenite [`WebSocket`]
pub type ExchangeWebSocket<Exchange> = ExchangeSocket<WebSocketParser, WebSocket, Exchange, MarketData>;
/// `Stream` supertrait for streams that yield [`MarketData`]s. Provides an entry-point abstraction
/// for an [`ExchangeWebSocket`].
#[async_trait]
pub trait MarketStream: Stream<Item = Result<Event<MarketData>, SocketError>> + Sized + Unpin {
/// Initialises a new [`MarketData`] stream using the provided subscriptions.
async fn init(subscriptions: &[Subscription]) -> Result<Self, SocketError>;
}
/// Trait that defines how a subscriber will establish a [`WebSocket`] connection with an exchange,
/// and action [`Subscription`]s. This must be implemented when integrating a new exchange.
#[async_trait]
pub trait Subscriber {
/// Deserialisable type that this [`Subscriber`] expects to receive from the exchange in
/// response to [`Subscription`] requests. Implements [`Validator`] in order to determine
/// if the `SubResponse` communicates a successful outcome.
type SubResponse: Validator + DeserializeOwned;
/// Initialises a [`WebSocket`] connection, actions the provided collection of Barter
/// [`Subscription`]s, and validates that the [`Subscription`] were accepted by the exchange.
async fn subscribe(subscriptions: &[Subscription]) -> Result<(WebSocket, SubscriptionIds), SocketError> {
// Connect to exchange
let mut websocket = connect(Self::base_url()).await?;
// Subscribe
let SubscriptionMeta {
ids,
subscriptions,
expected_responses,
} = Self::build_subscription_meta(subscriptions)?;
for subscription in subscriptions {
websocket.send(subscription).await?;
}
// Validate subscriptions
Self::validate(&mut websocket, expected_responses).await?;
Ok((websocket, ids))
}
/// Returns the Base URL of the exchange to establish a connection with.
fn base_url() -> &'static str;
/// Uses the provided Barter [`Subscription`]s to build exchange specific subscription
/// payloads. Generates a [`SubscriptionIds`] `Hashmap` that is used by an [`ExchangeTransformer`]
/// to identify the Barter [`Subscription`]s associated with received messages.
fn build_subscription_meta(
subscriptions: &[Subscription],
) -> Result<SubscriptionMeta, SocketError>;
/// Uses the provided WebSocket connection to consume [`Subscription`] responses and
/// validate their outcomes.
async fn validate(websocket: &mut WebSocket, expected_responses: usize) -> Result<(), SocketError> {
// Establish time limit in which we expect to validate all the Subscriptions
let timeout = Self::subscription_timeout();
// Parameter to keep track of successful Subscription outcomes
let mut success_responses = 0usize;
loop {
// Break if all Subscriptions were a success
if success_responses == expected_responses {
break Ok(());
}
tokio::select! {
// If timeout reached, return SubscribeError
_ = tokio::time::sleep(timeout) => {
break Err(SocketError::Subscribe(
format!("subscription validation timeout reached: {:?}", timeout))
)
},
// Parse incoming messages and determine subscription outcomes
message = websocket.next() => match message {
Some(Ok(WsMessage::Text(payload))) => {
if let Ok(response) = serde_json::from_str::<Self::SubResponse>(&payload) {
match response.validate() {
// Subscription success
Ok(_) => { success_responses += 1; }
// Subscription failure
Err(err) => break Err(err)
}
} else {
// Some already active Subscriptions may start coming through
continue;
}
},
Some(Ok(WsMessage::Close(close_frame))) => {
break Err(SocketError::Subscribe(
format!("received WebSocket CloseFrame: {:?}", close_frame))
)
},
_ => continue,
}
}
}
}
/// Return the expected `Duration` in which the exchange will respond to all actioned
/// `WebSocket` [`Subscription`] requests.
///
/// Default: 10 seconds
fn subscription_timeout() -> Duration {
Duration::from_secs(10)
}
}
/// `Validator`s are capable of determining if their internal state is satisfactory to fulfill some
/// use case defined by the implementor.
pub trait Validator {
/// Check if `Self` is valid for some use case.
fn validate(self) -> Result<Self, SocketError>
where
Self: Sized;
}
/// Trait that defines how to translate between exchange specific data structures & Barter data
/// structures. This must be implemented when integrating a new exchange.
pub trait ExchangeTransformer: Transformer<MarketData> + Sized
where
<Self as Transformer<MarketData>>::Input: Identifiable
{
/// Unique identifier for an `ExchangeTransformer`.
const EXCHANGE: ExchangeTransformerId;
/// Construct a new `ExchangeTransformer` using a `HashMap` containing the relationship between
/// all active Barter [`Subscription`]s and their associated exchange specific identifiers.
fn new(ids: SubscriptionIds) -> Self;
}
/// `Identifiable` structures are capable of determining their associated [`SubscriptionId`]. Used
/// by [`ExchangeTransformer`] implementations to determine the original Barter [`Subscription`]
/// associated with an incoming exchange message.
pub trait Identifiable {
fn id(&self) -> SubscriptionId;
}
#[async_trait]
impl<Exchange> MarketStream for ExchangeWebSocket<Exchange>
where
Exchange: Subscriber + ExchangeTransformer + Send,
<Exchange as Transformer<MarketData>>::Input: Identifiable
{
async fn init(subscriptions: &[Subscription]) -> Result<Self, SocketError> {
// Connect & subscribe
let (websocket, ids) = Exchange::subscribe(subscriptions).await?;
// Construct ExchangeTransformer
let transformer = Exchange::new(ids);
Ok(ExchangeSocket::new(websocket, transformer))
}
}
/// Used to uniquely identify an `ExchangeTransformer` implementation. Each variant represents an
/// exchange server which can be subscribed to. Note that an exchange may have multiple servers
/// (eg/ binance, binance_futures), therefore there is a many-to-one relationship between
/// an `ExchangeId` and an exchange name.
#[derive(Copy, Clone, Eq, PartialEq, Ord, PartialOrd, Hash, Debug, Deserialize, Serialize)]
#[serde(rename = "exchange", rename_all = "snake_case")]
pub enum ExchangeTransformerId {
BinanceFutures,
Binance,
Ftx,
}
impl Display for ExchangeTransformerId {
fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result {
write!(f, "{}", self.as_str())
}
}
impl ExchangeTransformerId {
/// Return the exchange name this `ExchangeTransformerId` is associated with.
///
/// eg/ ExchangeTransformerId::BinanceFutures => "binance"
pub fn exchange(&self) -> &'static str {
match self {
ExchangeTransformerId::Binance | ExchangeTransformerId::BinanceFutures => "binance",
ExchangeTransformerId::Ftx => "ftx",
}
}
/// Return the &str representation this `ExchangeTransformerId` is associated with.
pub fn as_str(&self) -> &'static str {
match self {
ExchangeTransformerId::Binance => "binance",
ExchangeTransformerId::BinanceFutures => "binance_futures",
ExchangeTransformerId::Ftx => "ftx",
}
}
/// Determines whether this `ExchangeTransformerId` supports the ingestion of
/// [`InstrumentKind::Spot`](InstrumentKind) market data.
pub fn supports_spot(&self) -> bool {
match self {
ExchangeTransformerId::BinanceFutures => false,
_ => true,
}
}
/// Determines whether this `ExchangeTransformerId` supports the collection of
/// [`InstrumentKind::Future**`](InstrumentKind) market data.
pub fn supports_futures(&self) -> bool {
match self {
ExchangeTransformerId::BinanceFutures => true,
ExchangeTransformerId::Ftx => true,
_ => false,
}
}
}
impl Validator for (&ExchangeTransformerId, &Vec<Subscription>) {
fn validate(self) -> Result<Self, SocketError>
where
Self: Sized
{
let (transformer_id, subscriptions) = self;
// Check type of InstrumentKinds associated with this ExchangeTransformer's Subscriptions
let mut spot_subs = false;
let mut future_subs = false;
subscriptions
.iter()
.for_each(|subscription| match subscription.instrument.kind {
InstrumentKind::Spot => spot_subs = true,
InstrumentKind::FuturePerpetual => future_subs = true,
});
// Ensure ExchangeTransformer supports those InstrumentKinds
let supports_spot = transformer_id.supports_spot();
let supports_futures = transformer_id.supports_futures();
match (supports_spot, supports_futures, spot_subs, future_subs) {
// ExchangeTransformer has full support for all Subscription InstrumentKinds
(true, true, _, _) => Ok(self),
// ExchangeTransformer supports InstrumentKind::Spot, and therefore provided Subscriptions
(true, false, true, false) => Ok(self),
// ExchangeTransformer supports InstrumentKind::Future*, and therefore provided Subscriptions
(false, true, false, true) => Ok(self),
// ExchangeTransformer cannot support configured Subscriptions
_ => Err(SocketError::Subscribe(format!(
"ExchangeTransformer {} does not support InstrumentKinds of provided Subscriptions",
transformer_id
))),
}
}
}