ax-exchange-sdk 0.2.0

ArchitectX SDK
Documentation
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
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
use crate::{
    protocol::ws::{self, Timestamp},
    types::{Order, OrderRejectReason, OrderState, Side},
};
use anyhow::{anyhow, Result};
use chrono::{DateTime, Utc};
use rust_decimal::Decimal;
use serde::{Deserialize, Serialize};
use uuid::Uuid;

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[serde(tag = "t")]
pub enum OrderGatewayRequest {
    #[serde(rename = "p")]
    PlaceOrder(PlaceOrderRequest),
    #[serde(rename = "x")]
    CancelOrder(CancelOrderRequest),
    #[serde(rename = "o")]
    GetOpenOrders(GetOpenOrdersRequest),
}

#[derive(Debug)]
#[repr(u8)]
pub enum OrderGatewayRequestType {
    PlaceOrder,
    CancelOrder,
    GetOpenOrders,
}

/// Expected response types from the order gateway.
#[derive(Debug, Clone, Serialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[serde(untagged)]
pub enum OrderGatewayResponse {
    LoginResponse(LoginResponse),
    PlaceOrderResponse(PlaceOrderResponse),
    CancelOrderResponse(CancelOrderResponse),
    GetOpenOrdersResponse(GetOpenOrdersResponse),
}

/// Expected message types from the order gateway.
#[derive(Debug)]
pub enum OrderGatewayMessage {
    Event(OrderGatewayEvent),
    Response(ws::Response<OrderGatewayResponse>),
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct LoginResponse {
    #[serde(rename = "li")]
    pub logged_in: String,
    #[serde(rename = "o")]
    pub open_orders: Option<Vec<OrderDetails>>,
}

impl LoginResponse {
    pub fn into_open_orders(self) -> Result<Vec<Order>> {
        let mut oos = vec![];
        if let Some(orders) = self.open_orders {
            for order in orders {
                oos.push(order.try_into()?);
            }
        }
        Ok(oos)
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema))]
pub struct PlaceOrderRequest {
    /// Order symbol; e.g. GBPUSD-PERP, EURUSD-PERP
    #[serde(rename = "s")]
    pub symbol: String,
    /// Order side; buying ("B") or selling ("S")
    #[serde(rename = "d")]
    pub side: Side,
    /// Order quantity in contracts; e.g. 100, 1000
    #[serde(rename = "q")]
    pub quantity: i32,
    /// Order price in USD as decimal string; e.g. "1.2345"
    #[serde(rename = "p")]
    pub price: Decimal,
    /// Order time in force; e.g. "GTC", "IOC", "DAY"
    #[serde(rename = "tif")]
    pub time_in_force: String,
    /// Whether the order is post-only (maker-or-cancel)
    #[serde(rename = "po")]
    pub post_only: bool,
    /// Optional order tag; maximum 10 alphanumeric characters
    #[serde(rename = "tag", skip_serializing_if = "Option::is_none")]
    pub tag: Option<String>,
}

impl PlaceOrderRequest {
    /// Convert this place order request into a pending order
    pub fn into_pending_order(self, order_id: String, user_id: Uuid) -> crate::types::Order {
        crate::types::Order {
            order_id,
            user_id,
            symbol: self.symbol,
            side: self.side,
            quantity: self.quantity,
            price: self.price,
            time_in_force: self.time_in_force,
            tag: self.tag,
            timestamp: Utc::now(),
            order_state: OrderState::Pending,
            filled_quantity: 0,
            remaining_quantity: self.quantity,
            completion_time: None,
            reject_reason: None,
            reject_message: None,
        }
    }
}

impl From<crate::types::PlaceOrder> for PlaceOrderRequest {
    fn from(value: crate::types::PlaceOrder) -> Self {
        Self {
            symbol: value.symbol,
            side: value.side,
            quantity: value.quantity,
            price: value.price,
            time_in_force: value.time_in_force,
            post_only: value.post_only,
            tag: value.tag,
        }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema))]
pub struct PlaceOrderResponse {
    /// Order ID of the placed order; e.g. "ORD-1234567890"
    #[serde(rename = "oid")]
    pub order_id: String,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema))]
pub struct CancelOrderRequest {
    /// Order ID to cancel; e.g. "ORD-1234567890"
    #[serde(rename = "oid")]
    pub order_id: String,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema))]
pub struct CancelOrderResponse {
    /// Whether the cancel request has been accepted; e.g. true, false
    #[serde(rename = "cxl_rx")]
    pub cancel_request_accepted: bool,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema, utoipa::IntoParams))]
pub struct GetOpenOrdersRequest {}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema))]
pub struct GetOpenOrdersResponse {
    pub orders: Vec<OrderDetails>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[serde(tag = "t")]
pub enum OrderGatewayEvent {
    // TODO: deprecate in favor of WS native ping
    #[serde(rename = "h")]
    Heartbeat(Timestamp),
    #[serde(rename = "e")]
    CancelRejected(CancelRejected),
    #[serde(rename = "n")]
    OrderAcked(OrderAcked),
    #[serde(rename = "c")]
    OrderCanceled(OrderCanceled),
    #[serde(rename = "r")]
    OrderReplacedOrAmended(OrderReplacedOrAmended),
    #[serde(rename = "j")]
    OrderRejected(OrderRejected),
    #[serde(rename = "x")]
    OrderExpired(OrderExpired),
    #[serde(rename = "d")]
    OrderDoneForDay(OrderDoneForDay),
    #[serde(rename = "p")]
    OrderPartiallyFilled(OrderPartiallyFilled),
    #[serde(rename = "f")]
    OrderFilled(OrderFilled),
}

impl OrderGatewayEvent {
    /// Order ID that the event pertains to, if applicable and singular.
    pub fn order_id(&self) -> Option<&str> {
        match self {
            OrderGatewayEvent::Heartbeat(..) => None,
            OrderGatewayEvent::CancelRejected(rej) => Some(&rej.order_id),
            OrderGatewayEvent::OrderAcked(ack) => Some(&ack.order.order_id),
            OrderGatewayEvent::OrderCanceled(ccl) => Some(&ccl.order.order_id),
            OrderGatewayEvent::OrderReplacedOrAmended(roa) => Some(&roa.order.order_id),
            OrderGatewayEvent::OrderRejected(rej) => Some(&rej.order.order_id),
            OrderGatewayEvent::OrderExpired(exp) => Some(&exp.order.order_id),
            OrderGatewayEvent::OrderDoneForDay(done) => Some(&done.order.order_id),
            OrderGatewayEvent::OrderPartiallyFilled(fill) => Some(&fill.order.order_id),
            OrderGatewayEvent::OrderFilled(fill) => Some(&fill.order.order_id),
        }
    }

    /// Symbol that the event pertains to, if applicable and singular.
    pub fn symbol(&self) -> Option<&str> {
        match self {
            OrderGatewayEvent::Heartbeat(..) => None,
            OrderGatewayEvent::CancelRejected(..) => None,
            OrderGatewayEvent::OrderAcked(ack) => Some(&ack.order.symbol),
            OrderGatewayEvent::OrderCanceled(ccl) => Some(&ccl.order.symbol),
            OrderGatewayEvent::OrderReplacedOrAmended(roa) => Some(&roa.order.symbol),
            OrderGatewayEvent::OrderRejected(rej) => Some(&rej.order.symbol),
            OrderGatewayEvent::OrderExpired(exp) => Some(&exp.order.symbol),
            OrderGatewayEvent::OrderDoneForDay(done) => Some(&done.order.symbol),
            OrderGatewayEvent::OrderPartiallyFilled(fill) => Some(&fill.order.symbol),
            OrderGatewayEvent::OrderFilled(fill) => Some(&fill.order.symbol),
        }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct CancelRejected {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "oid")]
    pub order_id: String,
    #[serde(rename = "r")]
    pub reject_reason: String,
    #[serde(rename = "txt")]
    pub reject_message: String,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct OrderAcked {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "eid")]
    pub execution_id: String,
    #[serde(rename = "o")]
    pub order: OrderDetails,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct OrderCanceled {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "eid")]
    pub execution_id: String,
    #[serde(rename = "o")]
    pub order: OrderDetails,
    #[serde(rename = "xr")]
    pub cancel_reason: String,
    #[serde(rename = "txt")]
    pub cancel_message: String,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct OrderReplacedOrAmended {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "eid")]
    pub execution_id: String,
    #[serde(rename = "o")]
    pub order: OrderDetails,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct OrderRejected {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "eid")]
    pub execution_id: String,
    #[serde(rename = "o")]
    pub order: OrderDetails,
    #[serde(rename = "r")]
    pub reject_reason: Option<OrderRejectReason>,
    #[serde(rename = "txt")]
    pub reject_message: Option<String>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct OrderExpired {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "eid")]
    pub execution_id: String,
    #[serde(rename = "o")]
    pub order: OrderDetails,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct OrderDoneForDay {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "eid")]
    pub execution_id: String,
    #[serde(rename = "o")]
    pub order: OrderDetails,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct OrderPartiallyFilled {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "eid")]
    pub execution_id: String,
    #[serde(rename = "o")]
    pub order: OrderDetails,
    // TODO: retag as "x"
    #[serde(rename = "xs")]
    pub fill: FillDetails,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct OrderFilled {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "eid")]
    pub execution_id: String,
    #[serde(rename = "o")]
    pub order: OrderDetails,
    // TODO: retag as "x"
    #[serde(rename = "xs")]
    pub fill: FillDetails,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema))]
pub struct OrderDetails {
    #[serde(rename = "oid")]
    pub order_id: String,
    #[serde(rename = "u")]
    pub user_id: Uuid,
    #[serde(rename = "s")]
    pub symbol: String,
    #[serde(rename = "p")]
    pub price: Decimal,
    #[serde(rename = "q")]
    pub quantity: i32,
    #[serde(rename = "xq")]
    pub filled_quantity: i32,
    #[serde(rename = "rq")]
    pub remaining_quantity: i32,
    #[serde(rename = "o")]
    pub order_state: OrderState,
    #[serde(rename = "d")]
    pub side: Side,
    #[serde(rename = "tif")]
    pub time_in_force: String,
    #[serde(rename = "tag", skip_serializing_if = "Option::is_none")]
    pub tag: Option<String>,
    #[serde(rename = "r", skip_serializing_if = "Option::is_none")]
    pub reject_reason: Option<OrderRejectReason>,
    #[serde(rename = "txt", skip_serializing_if = "Option::is_none")]
    pub reject_message: Option<String>,
    #[serde(flatten)]
    pub timestamp: Timestamp,
}

impl TryFrom<OrderDetails> for crate::types::Order {
    type Error = anyhow::Error;

    fn try_from(value: OrderDetails) -> Result<Self, Self::Error> {
        Ok(crate::types::Order {
            order_id: value.order_id,
            user_id: value.user_id,
            symbol: value.symbol,
            price: value.price,
            quantity: value.quantity,
            filled_quantity: value.filled_quantity,
            remaining_quantity: value.remaining_quantity,
            order_state: value.order_state,
            side: value.side,
            time_in_force: value.time_in_force,
            tag: value.tag,
            timestamp: value
                .timestamp
                .as_datetime()
                .ok_or_else(|| anyhow!("invalid timestamp"))?,
            completion_time: None,
            reject_reason: value.reject_reason,
            reject_message: value.reject_message,
        })
    }
}

impl From<crate::types::Order> for OrderDetails {
    fn from(value: crate::types::Order) -> Self {
        Self {
            order_id: value.order_id,
            user_id: value.user_id,
            symbol: value.symbol,
            price: value.price,
            quantity: value.quantity,
            filled_quantity: value.filled_quantity,
            remaining_quantity: value.remaining_quantity,
            order_state: value.order_state,
            side: value.side,
            time_in_force: value.time_in_force,
            tag: value.tag,
            reject_reason: value.reject_reason,
            reject_message: value.reject_message,
            timestamp: Timestamp {
                ts: value.timestamp.timestamp() as i32,
                tn: value.timestamp.timestamp_subsec_nanos() as u32,
            },
        }
    }
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "schemars", derive(schemars::JsonSchema))]
pub struct FillDetails {
    #[serde(rename = "tid")]
    pub trade_id: String,
    #[serde(rename = "s")]
    pub symbol: String,
    #[serde(rename = "q")]
    pub quantity: i32,
    #[serde(rename = "p")]
    pub price: Decimal,
    #[serde(rename = "d")]
    pub side: String,
    #[serde(rename = "agg")]
    pub is_taker: bool,
}

/// Order history query filters
#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema, utoipa::IntoParams))]
pub struct GetOrdersRequest {
    pub symbol: Option<String>,
    pub start_time: Option<DateTime<Utc>>,
    pub end_time: Option<DateTime<Utc>>,
    pub limit: Option<u32>,
    pub offset: Option<u32>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema))]
pub struct GetOrdersResponse {
    pub orders: Vec<OrderDetails>,
    pub total_count: u64,
    pub limit: u32,
    pub offset: u32,
}