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
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
use super::trade::BitfinexTrade;
use crate::{
    event::MarketIter, exchange::ExchangeId, subscription::trade::PublicTrade, Identifier,
};
use barter_integration::{
    de::extract_next,
    model::{instrument::Instrument, SubscriptionId},
};
use serde::Serialize;

/// [`Bitfinex`](super::Bitfinex) message received over
/// [`WebSocket`](barter_integration::protocol::websocket::WebSocket) relating to an active
/// [`Subscription`](crate::Subscription).
///
/// The message is associated with the original [`Subscription`](crate::Subscription) using the
/// `channel_id` field as the [`SubscriptionId`](barter_integration::model::SubscriptionId).
///
/// ### Raw Payload Examples
/// #### Heartbeat
/// See docs: <https://docs.bitfinex.com/docs/ws-general#heartbeating>
/// ```json
/// [420191,"hb"]
/// ```
///
/// #### Side::Buy Trade
/// See docs: <https://docs.bitfinex.com/reference/ws-public-trades>
/// ```json
/// [420191,"te",[1225484398,1665452200022,0.08980641,19027.02807752]]
/// ```
///
/// #### Side::Sell Trade
/// See docs: <https://docs.bitfinex.com/reference/ws-public-trades>
/// ```json
/// [420191,"te",[1225484398,1665452200022,-0.08980641,19027.02807752]]
/// ```
#[derive(Clone, Copy, PartialEq, PartialOrd, Debug, Serialize)]
pub struct BitfinexMessage {
    pub channel_id: u32,
    pub payload: BitfinexPayload,
}

/// [`Bitfinex`](super::Bitfinex) market data variants associated with an
/// active [`Subscription`](crate::Subscription).
///
/// See [`BitfinexMessage`] for full raw payload examples.
///
/// See docs: <https://docs.bitfinex.com/docs/ws-general>
#[derive(Clone, Copy, PartialEq, PartialOrd, Debug, Serialize)]
pub enum BitfinexPayload {
    Heartbeat,
    Trade(BitfinexTrade),
}

impl Identifier<Option<SubscriptionId>> for BitfinexMessage {
    fn id(&self) -> Option<SubscriptionId> {
        match self.payload {
            BitfinexPayload::Heartbeat => None,
            BitfinexPayload::Trade(_) => Some(SubscriptionId::from(self.channel_id.to_string())),
        }
    }
}

impl From<(ExchangeId, Instrument, BitfinexMessage)> for MarketIter<PublicTrade> {
    fn from((exchange_id, instrument, message): (ExchangeId, Instrument, BitfinexMessage)) -> Self {
        match message.payload {
            BitfinexPayload::Heartbeat => Self(vec![]),
            BitfinexPayload::Trade(trade) => Self::from((exchange_id, instrument, trade)),
        }
    }
}

impl<'de> serde::Deserialize<'de> for BitfinexMessage {
    fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
    where
        D: serde::de::Deserializer<'de>,
    {
        struct SeqVisitor;

        impl<'de> serde::de::Visitor<'de> for SeqVisitor {
            type Value = BitfinexMessage;

            fn expecting(&self, formatter: &mut std::fmt::Formatter<'_>) -> std::fmt::Result {
                formatter.write_str("BitfinexMessage struct from the Bitfinex WebSocket API")
            }

            fn visit_seq<SeqAccessor>(
                self,
                mut seq: SeqAccessor,
            ) -> Result<Self::Value, SeqAccessor::Error>
            where
                SeqAccessor: serde::de::SeqAccess<'de>,
            {
                // Trade: [CHANNEL_ID, <"te", "tu">, [ID, TIME, AMOUNT, PRICE]]
                // Heartbeat: [ CHANNEL_ID, "hb" ]
                // Candle: [CHANNEL_ID, [MTS, OPEN, CLOSE, HIGH, LOW, VOLUME]]

                // Extract CHANNEL_ID used to identify SubscriptionId: 1st element of the sequence
                let channel_id: u32 = extract_next(&mut seq, "channel_id")?;

                // Extract message tag to identify payload type: 2nd element of the sequence
                let message_tag: String = extract_next(&mut seq, "message_tag")?;

                // Use message tag to extract the payload: 3rd element of sequence
                let payload = match message_tag.as_str() {
                    // Filter "tu" Trades since they are identical but slower
                    // '--> use as additional Heartbeat
                    "hb" | "tu" => BitfinexPayload::Heartbeat,
                    "te" => BitfinexPayload::Trade(extract_next(&mut seq, "BitfinexTrade")?),
                    other => {
                        return Err(serde::de::Error::unknown_variant(
                            other,
                            &["heartbeat (hb)", "trade (te | tu)"],
                        ))
                    }
                };

                // Ignore any additional elements or SerDe will fail
                //  '--> Bitfinex may add fields without warning
                while seq.next_element::<serde::de::IgnoredAny>()?.is_some() {}
                Ok(BitfinexMessage {
                    channel_id,
                    payload,
                })
            }
        }

        // Use Visitor implementation to deserialise the WebSocket BitfinexMessage
        deserializer.deserialize_seq(SeqVisitor)
    }
}

#[cfg(test)]
mod tests {
    use super::*;
    use barter_integration::{
        de::datetime_utc_from_epoch_duration, error::SocketError, model::Side,
    };
    use std::time::Duration;

    #[test]
    fn test_de_bitfinex_message() {
        struct TestCase {
            input: &'static str,
            expected: Result<BitfinexMessage, SocketError>,
        }

        // Trade: [CHANNEL_ID, <"te", "tu">, [ID, TIME, AMOUNT, PRICE]]
        // Heartbeat: [ CHANNEL_ID, "hb" ]
        // Candle: [CHANNEL_ID, [MTS, OPEN, CLOSE, HIGH, LOW, VOLUME]]

        let cases = vec![
            // TC0: Trade message te Sell
            TestCase {
                input: r#"[420191,"te",[1225484398,1665452200022,-0.08980641,19027.02807752]]"#,
                expected: Ok(BitfinexMessage {
                    channel_id: 420191,
                    payload: BitfinexPayload::Trade(BitfinexTrade {
                        id: 1225484398,
                        time: datetime_utc_from_epoch_duration(Duration::from_millis(
                            1665452200022,
                        )),
                        side: Side::Sell,
                        price: 19027.02807752,
                        amount: 0.08980641,
                    }),
                }),
            },
            // TC1: Trade message te Buy
            TestCase {
                input: r#"[420191,"te",[1225484398,1665452200022,0.08980641,19027.02807752]]"#,
                expected: Ok(BitfinexMessage {
                    channel_id: 420191,
                    payload: BitfinexPayload::Trade(BitfinexTrade {
                        id: 1225484398,
                        time: datetime_utc_from_epoch_duration(Duration::from_millis(
                            1665452200022,
                        )),
                        side: Side::Buy,
                        price: 19027.02807752,
                        amount: 0.08980641,
                    }),
                }),
            },
            // TC2: Trade tu --> Should be marked as a heartbeat
            TestCase {
                input: r#"[420191,"tu",[1225484398,1665452200022,-0.08980641,19027.02807752]]"#,
                expected: Ok(BitfinexMessage {
                    channel_id: 420191,
                    payload: BitfinexPayload::Heartbeat,
                }),
            },
            // TC3: Heartbeat message
            TestCase {
                input: r#"[420191,"hb"]"#,
                expected: Ok(BitfinexMessage {
                    channel_id: 420191,
                    payload: BitfinexPayload::Heartbeat,
                }),
            },
        ];

        for (index, test) in cases.into_iter().enumerate() {
            let actual = serde_json::from_str::<BitfinexMessage>(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");
                }
            }
        }
    }
}