atelier_data 0.0.15

Data Artifacts and I/O for the atelier-rs engine
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

use crate::orderbooks::delta::NormalizedDelta;
use serde::Deserialize;

/// Top-level level2 WebSocket message from Coinbase Advanced Trade.
///
/// ```json
/// {
///   "channel": "l2_data",
///   "timestamp": "2023-02-09T20:32:50.714964855Z",
///   "sequence_num": 0,
///   "events": [{ "type": "snapshot", "product_id": "BTC-USD", "updates": [...] }]
/// }
/// ```
#[derive(Deserialize, Debug, Clone)]
pub struct CoinbaseOrderbookResponse {
    pub channel: String,
    pub timestamp: String,
    pub sequence_num: u64,
    pub events: Vec<CoinbaseL2Event>,
}

/// A single level2 event (snapshot or update) within the response.
#[derive(Deserialize, Debug, Clone)]
pub struct CoinbaseL2Event {
    /// `"snapshot"` or `"update"`.
    #[serde(rename = "type")]
    pub ty: String,
    pub product_id: String,
    pub updates: Vec<CoinbaseL2Update>,
}

/// Individual price-level update in a level2 message.
///
/// `new_quantity` of `"0"` means remove the level.
#[derive(Deserialize, Debug, Clone)]
pub struct CoinbaseL2Update {
    pub side: String,
    pub event_time: String,
    pub price_level: String,
    pub new_quantity: String,
}

impl CoinbaseOrderbookResponse {
    /// Convert to exchange-agnostic [`NormalizedDelta`] for the first event.
    ///
    /// Coinbase level2 messages may contain multiple events; this converts
    /// the first one. For multi-product subscriptions on a single connection,
    /// the caller should iterate `events` directly.
    pub fn to_normalized(&self) -> Option<NormalizedDelta> {
        let event = self.events.first()?;

        let mut bids = Vec::new();
        let mut asks = Vec::new();

        for update in &event.updates {
            let pair = (update.price_level.clone(), update.new_quantity.clone());
            match update.side.as_str() {
                "bid" => bids.push(pair),
                "offer" | "ask" => asks.push(pair),
                _ => {}
            }
        }

        Some(NormalizedDelta {
            symbol: event.product_id.clone(),
            bids,
            asks,
            update_id: self.sequence_num,
            sequence: self.sequence_num,
            is_snapshot: event.ty == "snapshot",
        })
    }
}