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use super::BinanceChannel;
use crate::{
event::{MarketEvent, MarketIter},
exchange::{ExchangeId, ExchangeSub},
subscription::trade::PublicTrade,
Identifier,
};
use barter_integration::model::{instrument::Instrument, Exchange, Side, SubscriptionId};
use chrono::{DateTime, Utc};
use serde::{Deserialize, Serialize};
/// Binance real-time trade message.
///
/// Note:
/// For [`BinanceFuturesUsd`](super::futures::BinanceFuturesUsd) this real-time stream is
/// undocumented.
///
/// See discord: <https://discord.com/channels/910237311332151317/923160222711812126/975712874582388757>
///
/// ### Raw Payload Examples
/// See docs: <https://binance-docs.github.io/apidocs/spot/en/#trade-streams>
/// #### Spot Side::Buy Trade
/// ```json
/// {
/// "e":"trade",
/// "E":1649324825173,
/// "s":"ETHUSDT",
/// "t":1000000000,
/// "p":"10000.19",
/// "q":"0.239000",
/// "b":10108767791,
/// "a":10108764858,
/// "T":1749354825200,
/// "m":false,
/// "M":true
/// }
/// ```
///
/// #### FuturePerpetual Side::Sell Trade
/// ```json
/// {
/// "e": "trade",
/// "E": 1649839266194,
/// "T": 1749354825200,
/// "s": "ETHUSDT",
/// "t": 1000000000,
/// "p":"10000.19",
/// "q":"0.239000",
/// "X": "MARKET",
/// "m": true
/// }
/// ```
#[derive(Clone, PartialEq, PartialOrd, Debug, Deserialize, Serialize)]
pub struct BinanceTrade {
#[serde(alias = "s", deserialize_with = "de_trade_subscription_id")]
pub subscription_id: SubscriptionId,
#[serde(
alias = "T",
deserialize_with = "barter_integration::de::de_u64_epoch_ms_as_datetime_utc"
)]
pub time: DateTime<Utc>,
#[serde(alias = "t")]
pub id: u64,
#[serde(alias = "p", deserialize_with = "barter_integration::de::de_str")]
pub price: f64,
#[serde(alias = "q", deserialize_with = "barter_integration::de::de_str")]
pub amount: f64,
#[serde(alias = "m", deserialize_with = "de_side_from_buyer_is_maker")]
pub side: Side,
}
impl Identifier<Option<SubscriptionId>> for BinanceTrade {
fn id(&self) -> Option<SubscriptionId> {
Some(self.subscription_id.clone())
}
}
impl From<(ExchangeId, Instrument, BinanceTrade)> for MarketIter<PublicTrade> {
fn from((exchange_id, instrument, trade): (ExchangeId, Instrument, BinanceTrade)) -> Self {
Self(vec![Ok(MarketEvent {
exchange_time: trade.time,
received_time: Utc::now(),
exchange: Exchange::from(exchange_id),
instrument,
kind: PublicTrade {
id: trade.id.to_string(),
price: trade.price,
amount: trade.amount,
side: trade.side,
},
})])
}
}
/// Deserialize a [`BinanceTrade`] "s" (eg/ "BTCUSDT") as the associated [`SubscriptionId`]
/// (eg/ "@trade|BTCUSDT").
pub fn de_trade_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::TRADES, market)).id())
}
/// Deserialize a [`BinanceTrade`] "buyer_is_maker" boolean field to a Barter [`Side`].
///
/// Variants:
/// buyer_is_maker => Side::Sell
/// !buyer_is_maker => Side::Buy
pub fn de_side_from_buyer_is_maker<'de, D>(deserializer: D) -> Result<Side, D::Error>
where
D: serde::de::Deserializer<'de>,
{
Deserialize::deserialize(deserializer).map(|buyer_is_maker| {
if buyer_is_maker {
Side::Sell
} else {
Side::Buy
}
})
}
#[cfg(test)]
mod tests {
use super::*;
mod de {
use super::*;
use barter_integration::{de::datetime_utc_from_epoch_duration, error::SocketError};
use serde::de::Error;
use std::time::Duration;
#[test]
fn test_binance_trade() {
struct TestCase {
input: &'static str,
expected: Result<BinanceTrade, SocketError>,
}
let tests = vec![
TestCase {
// TC0: Spot trade valid
input: r#"
{
"e":"trade","E":1649324825173,"s":"ETHUSDT","t":1000000000,
"p":"10000.19","q":"0.239000","b":10108767791,"a":10108764858,
"T":1749354825200,"m":false,"M":true
}
"#,
expected: Ok(BinanceTrade {
subscription_id: SubscriptionId::from("@trade|ETHUSDT"),
time: datetime_utc_from_epoch_duration(Duration::from_millis(
1749354825200,
)),
id: 1000000000,
price: 10000.19,
amount: 0.239000,
side: Side::Buy,
}),
},
TestCase {
// TC1: Spot trade malformed w/ "yes" is_buyer_maker field
input: r#"{
"e":"trade","E":1649324825173,"s":"ETHUSDT","t":1000000000,
"p":"10000.19000000","q":"0.239000","b":10108767791,"a":10108764858,
"T":1649324825173,"m":"yes","M":true
}"#,
expected: Err(SocketError::Deserialise {
error: serde_json::Error::custom(""),
payload: "".to_owned(),
}),
},
TestCase {
// TC2: FuturePerpetual trade w/ type MARKET
input: r#"
{
"e": "trade","E": 1649839266194,"T": 1749354825200,"s": "ETHUSDT",
"t": 1000000000,"p":"10000.19","q":"0.239000","X": "MARKET","m": true
}
"#,
expected: Ok(BinanceTrade {
subscription_id: SubscriptionId::from("@trade|ETHUSDT"),
time: datetime_utc_from_epoch_duration(Duration::from_millis(
1749354825200,
)),
id: 1000000000,
price: 10000.19,
amount: 0.239000,
side: Side::Sell,
}),
},
TestCase {
// TC3: FuturePerpetual trade w/ type LIQUIDATION
input: r#"
{
"e": "trade","E": 1649839266194,"T": 1749354825200,"s": "ETHUSDT",
"t": 1000000000,"p":"10000.19","q":"0.239000","X": "LIQUIDATION","m": false
}
"#,
expected: Ok(BinanceTrade {
subscription_id: SubscriptionId::from("@trade|ETHUSDT"),
time: datetime_utc_from_epoch_duration(Duration::from_millis(
1749354825200,
)),
id: 1000000000,
price: 10000.19,
amount: 0.239000,
side: Side::Buy,
}),
},
TestCase {
// TC4: FuturePerpetual trade w/ type LIQUIDATION
input: r#"{
"e": "trade","E": 1649839266194,"T": 1749354825200,"s": "ETHUSDT",
"t": 1000000000,"p":"10000.19","q":"0.239000","X": "INSURANCE_FUND","m": false
}"#,
expected: Ok(BinanceTrade {
subscription_id: SubscriptionId::from("@trade|ETHUSDT"),
time: datetime_utc_from_epoch_duration(Duration::from_millis(
1749354825200,
)),
id: 1000000000,
price: 10000.19,
amount: 0.239000,
side: Side::Buy,
}),
},
];
for (index, test) in tests.into_iter().enumerate() {
let actual = serde_json::from_str::<BinanceTrade>(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");
}
}
}
}
}
}