apple-quant-algorithmic 0.1.0

Apple Quant's algorithmic trading api
Documentation 
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use databento::{
	DateTimeLike, LiveClient,
	dbn::{Dataset, Schema},
	live::Subscription,
};

use crate::{
	backends::databento::{Symbology, schema_value},
	instrument::InstrumentTicker,
	schema::SchemaFlags,
};

pub(crate) struct DatabentoLive {
	pub client: LiveClient,
}

impl DatabentoLive {
	pub(crate) async fn new(
		instrument_ticker: &InstrumentTicker,
		start_timestamp: impl DateTimeLike,
		schemas: &[Schema],
		api_key: &str,
	) -> Result<(Self, SchemaFlags), ()> {
		let Some(highest_schema) = schemas
			.iter()
			.max_by_key(|&schema| schema_value(schema))
		else {
			return Err(());
		};

		let mut client = LiveClient::builder()
			.key(api_key)
			.expect("no key")
			.dataset(Dataset::GlbxMdp3)
			.build()
			.await
			.unwrap();

		let offset_date_time = start_timestamp.to_date_time();

		let (symbol, stype) = instrument_ticker.symbol();

		for &schema in schemas {
			let subscription = Subscription::builder()
				.symbols([symbol.as_str()])
				.schema(schema)
				.stype_in(stype)
				.start(offset_date_time)
				.build();

			client
				.subscribe(subscription)
				.await
				.unwrap();
		}

		client.start().await.unwrap();

		Ok((
			Self { client },
			highest_schema.into(),
		))
	}
}