1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
use super::super::channel::BinanceChannel;
use super::BinanceLevel;
use crate::{
    exchange::subscription::ExchangeSub,
    subscription::book::{OrderBook, OrderBookSide},
    Identifier,
};
use barter_integration::model::{Side, SubscriptionId};
use chrono::Utc;
use serde::{Deserialize, Serialize};

/// [`Binance`](super::super::Binance) OrderBook Level2 snapshot HTTP message.
///
/// Used as the starting [`OrderBook`] before OrderBook Level2 delta WebSocket updates are
/// applied.
///
/// ### Payload Examples
/// See docs: <https://binance-docs.github.io/apidocs/spot/en/#order-book>
/// #### BinanceSpot OrderBookL2Snapshot
/// ```json
/// {
///     "lastUpdateId": 1027024,
///     "bids": [
///         ["4.00000000", "431.00000000"]
///     ],
///     "asks": [
///         ["4.00000200", "12.00000000"]
///     ]
/// }
/// ```
///
/// #### BinanceFuturesUsd OrderBookL2Snapshot
/// See docs: <https://binance-docs.github.io/apidocs/futures/en/#order-book>
/// ```json
/// {
///     "lastUpdateId": 1027024,
///     "E": 1589436922972,
///     "T": 1589436922959,
///     "bids": [
///         ["4.00000000", "431.00000000"]
///     ],
///     "asks": [
///         ["4.00000200", "12.00000000"]
///     ]
/// }
/// ```
#[derive(Clone, PartialEq, PartialOrd, Debug, Deserialize, Serialize)]
pub struct BinanceOrderBookL2Snapshot {
    #[serde(rename = "lastUpdateId")]
    pub last_update_id: u64,
    pub bids: Vec<BinanceLevel>,
    pub asks: Vec<BinanceLevel>,
}

impl From<BinanceOrderBookL2Snapshot> for OrderBook {
    fn from(snapshot: BinanceOrderBookL2Snapshot) -> Self {
        Self {
            last_update_time: Utc::now(),
            bids: OrderBookSide::new(Side::Buy, snapshot.bids),
            asks: OrderBookSide::new(Side::Sell, snapshot.asks),
        }
    }
}

/// Deserialize a
/// [`BinanceSpotOrderBookL2Delta`](super::super::spot::l2::BinanceSpotOrderBookL2Delta) or
/// [`BinanceFuturesOrderBookL2Delta`](super::super::futures::l2::BinanceFuturesOrderBookL2Delta)
/// "s" field (eg/ "BTCUSDT") as the associated [`SubscriptionId`]
///
/// eg/ "@depth@100ms|BTCUSDT"
pub fn de_ob_l2_subscription_id<'de, D>(deserializer: D) -> Result<SubscriptionId, D::Error>
where
    D: serde::de::Deserializer<'de>,
{
    <&str as Deserialize>::deserialize(deserializer)
        .map(|market| ExchangeSub::from((BinanceChannel::ORDER_BOOK_L2, market)).id())
}

#[cfg(test)]
mod tests {
    use super::*;

    mod de {
        use super::*;

        #[test]
        fn test_binance_order_book_l2_snapshot() {
            struct TestCase {
                input: &'static str,
                expected: BinanceOrderBookL2Snapshot,
            }

            let tests = vec![
                TestCase {
                    // TC0: valid Spot BinanceOrderBookL2Snapshot
                    input: r#"
                    {
                        "lastUpdateId": 1027024,
                        "bids": [
                            [
                                "4.00000000",
                                "431.00000000"
                            ]
                        ],
                        "asks": [
                            [
                                "4.00000200",
                                "12.00000000"
                            ]
                        ]
                    }
                    "#,
                    expected: BinanceOrderBookL2Snapshot {
                        last_update_id: 1027024,
                        bids: vec![BinanceLevel {
                            price: 4.0,
                            amount: 431.0,
                        }],
                        asks: vec![BinanceLevel {
                            price: 4.00000200,
                            amount: 12.0,
                        }],
                    },
                },
                TestCase {
                    // TC1: valid FuturePerpetual BinanceOrderBookL2Snapshot
                    input: r#"
                    {
                        "lastUpdateId": 1027024,
                        "E": 1589436922972,
                        "T": 1589436922959,
                        "bids": [
                            [
                                "4.00000000",
                                "431.00000000"
                            ]
                        ],
                        "asks": [
                            [
                                "4.00000200",
                                "12.00000000"
                            ]
                        ]
                    }
                    "#,
                    expected: BinanceOrderBookL2Snapshot {
                        last_update_id: 1027024,
                        bids: vec![BinanceLevel {
                            price: 4.0,
                            amount: 431.0,
                        }],
                        asks: vec![BinanceLevel {
                            price: 4.00000200,
                            amount: 12.0,
                        }],
                    },
                },
            ];

            for (index, test) in tests.into_iter().enumerate() {
                assert_eq!(
                    serde_json::from_str::<BinanceOrderBookL2Snapshot>(test.input).unwrap(),
                    test.expected,
                    "TC{} failed",
                    index
                );
            }
        }
    }
}