ax-exchange-sdk 1.0.2

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

use crate::{
    protocol::ws::Timestamp,
    types::trading::{Candle, CandleWidth},
    InstrumentState,
};
use enumflags2::bitflags;
use rust_decimal::Decimal;
use serde::{Deserialize, Serialize};

#[derive(Debug, Clone, Serialize, Deserialize)]
#[serde(tag = "type", rename_all = "lowercase")]
pub enum MarketdataRequest<'a> {
    /// Subscribe to ticker and trade updates on a symbol at a level.
    Subscribe {
        symbol: &'a str,
        level: SubscriptionLevel,
    },
    /// Unsubscribe from ticker and trade updates on a symbol.
    Unsubscribe { symbol: &'a str },
    /// Subscribe to candle updates on a symbol.
    #[serde(rename = "subscribe_candles")]
    SubscribeCandles { symbol: &'a str, width: CandleWidth },
    /// Unsubscribe from candle updates on a pair of symbol and width.
    #[serde(rename = "unsubscribe_candles")]
    UnsubscribeCandles { symbol: &'a str, width: CandleWidth },
}

#[bitflags]
#[repr(u8)]
#[derive(Clone, Copy, Debug, Deserialize, Eq, PartialEq, Serialize)]
pub enum SubscriptionLevel {
    /// Receive updates on just the top level of the order book.
    #[serde(rename = "LEVEL_1")]
    Level1 = 0b001,
    /// Receive updates (price and quantity) for all levels of the order book.
    #[serde(rename = "LEVEL_2")]
    Level2 = 0b010,
    /// Receive updates (price, quantity, and distinct orders) for all levels of the order book.
    #[serde(rename = "LEVEL_3")]
    Level3 = 0b100,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
#[serde(tag = "t")]
pub enum MarketdataEvent {
    #[serde(rename = "h")]
    Heartbeat(Timestamp),
    #[serde(rename = "s")]
    Ticker(Ticker),
    #[serde(rename = "1")]
    L1BookUpdate(L1BookUpdate),
    #[serde(rename = "2")]
    L2BookUpdate(L2BookUpdate),
    #[serde(rename = "3")]
    L3BookUpdate(L3BookUpdate),
    #[serde(rename = "t")]
    Trade(Trade),
    #[serde(rename = "c")]
    Candle(Candle),
}

#[derive(Debug, Clone, Deserialize, Serialize)]
#[cfg_attr(feature = "utoipa", derive(utoipa::ToSchema))]
pub struct Ticker {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    /// Instrument symbol; e.g. GBPUSD-PERP, EURUSD-PERP
    #[serde(rename = "s")]
    pub symbol: String,
    /// Last trade price in USD
    #[serde(rename = "p")]
    pub last_trade_price: Option<Decimal>,
    /// Last trade quantity in contracts
    #[serde(rename = "q")]
    pub last_trade_quantity: i32,
    /// Session open price in USD
    #[serde(rename = "o")]
    pub session_open_price: Option<Decimal>,
    /// Session low price in USD
    #[serde(rename = "l")]
    pub session_low_price: Option<Decimal>,
    /// Session high price in USD
    #[serde(rename = "h")]
    pub session_high_price: Option<Decimal>,
    /// Total volume in contracts
    #[serde(rename = "v")]
    pub total_volume: i32,
    /// Open interest in contracts
    #[serde(rename = "oi")]
    pub open_interest: u32,
    /// Instrument state
    #[serde(rename = "i")]
    #[serde(default)]
    pub instrument_state: InstrumentState,
}

pub type L1BookUpdate = L2BookUpdate;

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct L2BookUpdate {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "s")]
    pub symbol: String,
    #[serde(rename = "b")]
    pub bids: Vec<L2BookLevel>,
    #[serde(rename = "a")]
    pub asks: Vec<L2BookLevel>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct L2BookLevel {
    #[serde(rename = "p")]
    pub price: Decimal,
    #[serde(rename = "q")]
    pub quantity: i32,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct L3BookUpdate {
    #[serde(flatten)]
    pub timestamp: Timestamp,
    #[serde(rename = "s")]
    pub symbol: String,
    #[serde(rename = "b")]
    pub bids: Vec<L3BookLevel>,
    #[serde(rename = "a")]
    pub asks: Vec<L3BookLevel>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct L3BookLevel {
    #[serde(rename = "p")]
    pub price: Decimal,
    #[serde(rename = "q")]
    pub quantity: i32,
    #[serde(rename = "o")]
    pub order_quantities: Vec<i32>,
}

#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct Trade {
    #[serde(rename = "p")]
    pub price: Decimal,
    #[serde(rename = "q")]
    pub quantity: i32,
    #[serde(rename = "s")]
    pub symbol: String,
    #[serde(rename = "d")]
    pub taker_side: crate::types::trading::Side,
    #[serde(flatten)]
    pub timestamp: Timestamp,
}