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use super::super::book::{l2::BinanceOrderBookL2Snapshot, BinanceLevel};
use crate::{
error::DataError,
subscription::book::OrderBook,
transformer::book::{InstrumentOrderBook, OrderBookUpdater},
Identifier,
};
use async_trait::async_trait;
use barter_integration::{
error::SocketError,
model::{instrument::Instrument, SubscriptionId},
protocol::websocket::WsMessage,
};
use chrono::Utc;
use serde::{Deserialize, Serialize};
use tokio::sync::mpsc;
/// [`BinanceFuturesUsd`](super::BinanceFuturesUsd) HTTP OrderBook L2 snapshot url.
///
/// See docs: <https://binance-docs.github.io/apidocs/futures/en/#order-book>
pub const HTTP_BOOK_L2_SNAPSHOT_URL_BINANCE_SPOT: &str = "https://fapi.binance.com/fapi/v1/depth";
/// [`BinanceFuturesUsd`](super::BinanceFuturesUsd) OrderBook Level2 deltas WebSocket message.
///
/// ### Raw Payload Examples
/// See docs: <https://binance-docs.github.io/apidocs/futures/en/#partial-book-depth-streams>
/// ```json
/// {
/// "e": "depthUpdate",
/// "E": 123456789,
/// "T": 123456788,
/// "s": "BTCUSDT",
/// "U": 157,
/// "u": 160,
/// "pu": 149,
/// "b": [
/// ["0.0024", "10"]
/// ],
/// "a": [
/// ["0.0026", "100"]
/// ]
/// }
/// ```
#[derive(Clone, PartialEq, PartialOrd, Debug, Deserialize, Serialize)]
pub struct BinanceFuturesOrderBookL2Delta {
#[serde(
alias = "s",
deserialize_with = "super::super::book::l2::de_ob_l2_subscription_id"
)]
pub subscription_id: SubscriptionId,
#[serde(alias = "U")]
pub first_update_id: u64,
#[serde(alias = "u")]
pub last_update_id: u64,
#[serde(alias = "pu")]
pub prev_last_update_id: u64,
#[serde(alias = "b")]
pub bids: Vec<BinanceLevel>,
#[serde(alias = "a")]
pub asks: Vec<BinanceLevel>,
}
impl Identifier<Option<SubscriptionId>> for BinanceFuturesOrderBookL2Delta {
fn id(&self) -> Option<SubscriptionId> {
Some(self.subscription_id.clone())
}
}
/// [`Binance`](super::super::Binance) [`BinanceServerFuturesUsd`](super::BinanceServerFuturesUsd)
/// [`OrderBookUpdater`].
///
/// BinanceFuturesUsd: How To Manage A Local OrderBook Correctly
///
/// 1. Open a stream to wss://fstream.binance.com/stream?streams=BTCUSDT@depth.
/// 2. Buffer the events you receive from the stream.
/// 3. Get a depth snapshot from <https://fapi.binance.com/fapi/v1/depth?symbol=BTCUSDT&limit=1000>.
/// 4. -- *DIFFERENT FROM SPOT* --
/// Drop any event where u is < lastUpdateId in the snapshot.
/// 5. -- *DIFFERENT FROM SPOT* --
/// The first processed event should have U <= lastUpdateId AND u >= lastUpdateId
/// 6. -- *DIFFERENT FROM SPOT* --
/// While listening to the stream, each new event's pu should be equal to the previous
/// event's u, otherwise initialize the process from step 3.
/// 7. The data in each event is the absolute quantity for a price level.
/// 8. If the quantity is 0, remove the price level.
///
/// Notes:
/// - Receiving an event that removes a price level that is not in your local order book can happen and is normal.
/// - Uppercase U => first_update_id
/// - Lowercase u => last_update_id,
/// - Lowercase pu => prev_last_update_id
///
/// See docs: <https://binance-docs.github.io/apidocs/futures/en/#how-to-manage-a-local-order-book-correctly>
#[derive(Copy, Clone, Eq, PartialEq, Ord, PartialOrd, Hash, Debug, Deserialize, Serialize)]
pub struct BinanceFuturesBookUpdater {
pub updates_processed: u64,
pub last_update_id: u64,
}
impl BinanceFuturesBookUpdater {
/// Construct a new BinanceFutures [`OrderBookUpdater`] using the provided last_update_id from
/// a HTTP snapshot.
pub fn new(last_update_id: u64) -> Self {
Self {
updates_processed: 0,
last_update_id,
}
}
/// BinanceFuturesUsd: How To Manage A Local OrderBook Correctly: Step 5:
/// "The first processed event should have U <= lastUpdateId AND u >= lastUpdateId"
///
/// See docs: <https://binance-docs.github.io/apidocs/futures/en/#how-to-manage-a-local-order-book-correctly>
pub fn is_first_update(&self) -> bool {
self.updates_processed == 0
}
/// BinanceFuturesUsd: How To Manage A Local OrderBook Correctly: Step 5:
/// "The first processed event should have U <= lastUpdateId AND u >= lastUpdateId"
///
/// See docs: <https://binance-docs.github.io/apidocs/futures/en/#how-to-manage-a-local-order-book-correctly>
pub fn validate_first_update(
&self,
update: &BinanceFuturesOrderBookL2Delta,
) -> Result<(), DataError> {
if update.first_update_id <= self.last_update_id
&& update.last_update_id >= self.last_update_id
{
Ok(())
} else {
Err(DataError::InvalidSequence {
prev_last_update_id: self.last_update_id,
first_update_id: update.first_update_id,
})
}
}
/// BinanceFuturesUsd: How To Manage A Local OrderBook Correctly: Step 6:
/// "While listening to the stream, each new event's pu should be equal to the previous
/// event's u, otherwise initialize the process from step 3."
///
/// See docs: <https://binance-docs.github.io/apidocs/futures/en/#how-to-manage-a-local-order-book-correctly>
pub fn validate_next_update(
&self,
update: &BinanceFuturesOrderBookL2Delta,
) -> Result<(), DataError> {
if update.prev_last_update_id == self.last_update_id {
Ok(())
} else {
Err(DataError::InvalidSequence {
prev_last_update_id: self.last_update_id,
first_update_id: update.first_update_id,
})
}
}
}
#[async_trait]
impl OrderBookUpdater for BinanceFuturesBookUpdater {
type OrderBook = OrderBook;
type Update = BinanceFuturesOrderBookL2Delta;
async fn init<Exchange, Kind>(
_: mpsc::UnboundedSender<WsMessage>,
instrument: Instrument,
) -> Result<InstrumentOrderBook<Self>, DataError>
where
Exchange: Send,
Kind: Send,
{
// Construct initial OrderBook snapshot GET url
let snapshot_url = format!(
"{}?symbol={}{}&limit=100",
HTTP_BOOK_L2_SNAPSHOT_URL_BINANCE_SPOT,
instrument.base.as_ref().to_uppercase(),
instrument.quote.as_ref().to_uppercase()
);
// Fetch initial OrderBook snapshot via HTTP
let snapshot = reqwest::get(snapshot_url)
.await
.map_err(SocketError::Http)?
.json::<BinanceOrderBookL2Snapshot>()
.await
.map_err(SocketError::Http)?;
Ok(InstrumentOrderBook {
instrument,
updater: Self::new(snapshot.last_update_id),
book: OrderBook::from(snapshot),
})
}
fn update(
&mut self,
book: &mut Self::OrderBook,
update: Self::Update,
) -> Result<Option<Self::OrderBook>, DataError> {
// BinanceFuturesUsd: How To Manage A Local OrderBook Correctly
// See Self's Rust Docs for more information on each numbered step
// See docs: <https://binance-docs.github.io/apidocs/futures/en/#how-to-manage-a-local-order-book-correctly>
// 4. Drop any event where u is < lastUpdateId in the snapshot:
if update.last_update_id < self.last_update_id {
return Ok(None);
}
if self.is_first_update() {
// 5. The first processed event should have U <= lastUpdateId AND u >= lastUpdateId:
self.validate_first_update(&update)?;
} else {
// 6. Each new event's pu should be equal to the previous event's u:
self.validate_next_update(&update)?;
}
// Update OrderBook metadata & Levels:
// 7. The data in each event is the absolute quantity for a price level.
// 8. If the quantity is 0, remove the price level.
book.last_update_time = Utc::now();
book.bids.upsert(update.bids);
book.asks.upsert(update.asks);
// Update OrderBookUpdater metadata
self.updates_processed += 1;
self.last_update_id = update.last_update_id;
Ok(Some(book.snapshot()))
}
}
#[cfg(test)]
mod tests {
use super::*;
mod de {
use super::*;
#[test]
fn test_binance_futures_order_book_l2_deltas() {
let input = r#"
{
"e": "depthUpdate",
"E": 123456789,
"T": 123456788,
"s": "BTCUSDT",
"U": 157,
"u": 160,
"pu": 149,
"b": [
[
"0.0024",
"10"
]
],
"a": [
[
"0.0026",
"100"
]
]
}
"#;
assert_eq!(
serde_json::from_str::<BinanceFuturesOrderBookL2Delta>(input).unwrap(),
BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("@depth@100ms|BTCUSDT"),
first_update_id: 157,
last_update_id: 160,
prev_last_update_id: 149,
bids: vec![BinanceLevel {
price: 0.0024,
amount: 10.0
},],
asks: vec![BinanceLevel {
price: 0.0026,
amount: 100.0
},]
}
);
}
}
mod binance_futures_book_updater {
use super::*;
use crate::subscription::book::{Level, OrderBookSide};
use barter_integration::model::Side;
#[test]
fn test_is_first_update() {
struct TestCase {
updater: BinanceFuturesBookUpdater,
expected: bool,
}
let tests = vec![
TestCase {
// TC0: is first update
updater: BinanceFuturesBookUpdater::new(10),
expected: true,
},
TestCase {
// TC1: is not first update
updater: BinanceFuturesBookUpdater {
updates_processed: 10,
last_update_id: 100,
},
expected: false,
},
];
for (index, test) in tests.into_iter().enumerate() {
assert_eq!(
test.updater.is_first_update(),
test.expected,
"TC{} failed",
index
);
}
}
#[test]
fn test_validate_first_update() {
struct TestCase {
updater: BinanceFuturesBookUpdater,
input: BinanceFuturesOrderBookL2Delta,
expected: Result<(), DataError>,
}
let tests = vec![
TestCase {
// TC0: valid first update
updater: BinanceFuturesBookUpdater {
updates_processed: 0,
last_update_id: 100,
},
input: BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("subscription_id"),
first_update_id: 100,
last_update_id: 110,
prev_last_update_id: 90,
bids: vec![],
asks: vec![],
},
expected: Ok(()),
},
TestCase {
// TC1: invalid first update w/ u < lastUpdateId
updater: BinanceFuturesBookUpdater {
updates_processed: 0,
last_update_id: 100,
},
input: BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("subscription_id"),
first_update_id: 100,
last_update_id: 90,
prev_last_update_id: 90,
bids: vec![],
asks: vec![],
},
expected: Err(DataError::InvalidSequence {
prev_last_update_id: 100,
first_update_id: 100,
}),
},
TestCase {
// TC2: invalid first update w/ U > lastUpdateId
updater: BinanceFuturesBookUpdater {
updates_processed: 0,
last_update_id: 100,
},
input: BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("subscription_id"),
first_update_id: 110,
last_update_id: 120,
prev_last_update_id: 90,
bids: vec![],
asks: vec![],
},
expected: Err(DataError::InvalidSequence {
prev_last_update_id: 100,
first_update_id: 110,
}),
},
TestCase {
// TC3: invalid first update w/ u < lastUpdateId & U > lastUpdateId
updater: BinanceFuturesBookUpdater {
updates_processed: 0,
last_update_id: 100,
},
input: BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("subscription_id"),
first_update_id: 110,
last_update_id: 90,
prev_last_update_id: 90,
bids: vec![],
asks: vec![],
},
expected: Err(DataError::InvalidSequence {
prev_last_update_id: 100,
first_update_id: 110,
}),
},
];
for (index, test) in tests.into_iter().enumerate() {
let actual = test.updater.validate_first_update(&test.input);
match (actual, test.expected) {
(Ok(actual), Ok(expected)) => {
assert_eq!(actual, expected, "TC{} failed", index)
}
(Err(_), Err(_)) => {
// Test passed
}
(actual, expected) => {
// Test failed
panic!("TC{index} failed because actual != expected. \nActual: {actual:?}\nExpected: {expected:?}\n");
}
}
}
}
#[test]
fn test_validate_next_update() {
struct TestCase {
updater: BinanceFuturesBookUpdater,
input: BinanceFuturesOrderBookL2Delta,
expected: Result<(), DataError>,
}
let tests = vec![
TestCase {
// TC0: valid next update
updater: BinanceFuturesBookUpdater {
updates_processed: 100,
last_update_id: 100,
},
input: BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("subscription_id"),
first_update_id: 101,
last_update_id: 110,
prev_last_update_id: 100,
bids: vec![],
asks: vec![],
},
expected: Ok(()),
},
TestCase {
// TC1: invalid first update w/ pu != prev_last_update_id
updater: BinanceFuturesBookUpdater {
updates_processed: 100,
last_update_id: 100,
},
input: BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("subscription_id"),
first_update_id: 100,
last_update_id: 90,
prev_last_update_id: 90,
bids: vec![],
asks: vec![],
},
expected: Err(DataError::InvalidSequence {
prev_last_update_id: 100,
first_update_id: 100,
}),
},
];
for (index, test) in tests.into_iter().enumerate() {
let actual = test.updater.validate_next_update(&test.input);
match (actual, test.expected) {
(Ok(actual), Ok(expected)) => {
assert_eq!(actual, expected, "TC{} failed", index)
}
(Err(_), Err(_)) => {
// Test passed
}
(actual, expected) => {
// Test failed
panic!("TC{index} failed because actual != expected. \nActual: {actual:?}\nExpected: {expected:?}\n");
}
}
}
}
#[test]
fn update() {
struct TestCase {
updater: BinanceFuturesBookUpdater,
book: OrderBook,
input_update: BinanceFuturesOrderBookL2Delta,
expected: Result<Option<OrderBook>, DataError>,
}
let time = Utc::now();
let tests = vec![
TestCase {
// TC0: Drop any event where u is < lastUpdateId in the snapshot
updater: BinanceFuturesBookUpdater {
updates_processed: 100,
last_update_id: 100,
},
book: OrderBook {
last_update_time: time,
bids: OrderBookSide::new(Side::Buy, vec![Level::new(50, 1)]),
asks: OrderBookSide::new(Side::Sell, vec![Level::new(100, 1)]),
},
input_update: BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("subscription_id"),
first_update_id: 0,
last_update_id: 0,
prev_last_update_id: 0,
bids: vec![],
asks: vec![],
},
expected: Ok(None),
},
TestCase {
// TC1: valid update with sorted snapshot generated
updater: BinanceFuturesBookUpdater {
updates_processed: 100,
last_update_id: 100,
},
book: OrderBook {
last_update_time: time,
bids: OrderBookSide::new(
Side::Buy,
vec![Level::new(80, 1), Level::new(100, 1), Level::new(90, 1)],
),
asks: OrderBookSide::new(
Side::Sell,
vec![Level::new(150, 1), Level::new(110, 1), Level::new(120, 1)],
),
},
input_update: BinanceFuturesOrderBookL2Delta {
subscription_id: SubscriptionId::from("subscription_id"),
first_update_id: 101,
last_update_id: 110,
prev_last_update_id: 100,
bids: vec![
// Level exists & new value is 0 => remove Level
BinanceLevel {
price: 80.0,
amount: 0.0,
},
// Level exists & new value is > 0 => replace Level
BinanceLevel {
price: 90.0,
amount: 10.0,
},
],
asks: vec![
// Level does not exist & new value > 0 => insert new Level
BinanceLevel {
price: 200.0,
amount: 1.0,
},
// Level does not exist & new value is 0 => no change
BinanceLevel {
price: 500.0,
amount: 0.0,
},
],
},
expected: Ok(Some(OrderBook {
last_update_time: time,
bids: OrderBookSide::new(
Side::Buy,
vec![Level::new(100, 1), Level::new(90, 10)],
),
asks: OrderBookSide::new(
Side::Sell,
vec![
Level::new(110, 1),
Level::new(120, 1),
Level::new(150, 1),
Level::new(200, 1),
],
),
})),
},
];
for (index, mut test) in tests.into_iter().enumerate() {
let actual = test.updater.update(&mut test.book, test.input_update);
match (actual, test.expected) {
(Ok(Some(actual)), Ok(Some(expected))) => {
// Replace time with deterministic timestamp
let actual = OrderBook {
last_update_time: time,
..actual
};
assert_eq!(actual, expected, "TC{} failed", index)
}
(Ok(None), Ok(None)) => {
// Test passed
}
(Err(_), Err(_)) => {
// Test passed
}
(actual, expected) => {
// Test failed
panic!("TC{index} failed because actual != expected. \nActual: {actual:?}\nExpected: {expected:?}\n");
}
}
}
}
}
}