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#![warn(
missing_debug_implementations,
missing_copy_implementations,
rust_2018_idioms,
)]
use crate::model::{
subscription::{Subscription, SubscriptionIds, SubscriptionMeta},
MarketEvent,
};
use async_trait::async_trait;
use barter_integration::{
error::SocketError,
model::Exchange,
protocol::websocket::{connect, WebSocket, WebSocketParser, WsMessage, WsSink, WsStream},
Event, ExchangeStream, Transformer, Validator,
};
use futures::{SinkExt, Stream, StreamExt};
use serde::{de::DeserializeOwned, Deserialize, Serialize};
use std::{
fmt::{Debug, Display, Formatter},
time::Duration,
};
use tokio::sync::mpsc;
use tracing::error;
pub mod model;
pub mod exchange;
pub mod builder;
pub type ExchangeWsStream<Exchange> =
ExchangeStream<WebSocketParser, WsStream, Exchange, MarketEvent>;
#[async_trait]
pub trait MarketStream:
Stream<Item = Result<Event<MarketEvent>, SocketError>> + Sized + Unpin
{
async fn init(subscriptions: &[Subscription]) -> Result<Self, SocketError>;
}
#[async_trait]
pub trait Subscriber {
type SubResponse: Validator + DeserializeOwned;
async fn subscribe(
subscriptions: &[Subscription],
) -> Result<(WebSocket, SubscriptionIds), SocketError> {
let mut websocket = connect(Self::base_url()).await?;
let SubscriptionMeta {
ids,
subscriptions,
expected_responses,
} = Self::build_subscription_meta(subscriptions)?;
for subscription in subscriptions {
websocket.send(subscription).await?;
}
let ids = Self::validate(ids, &mut websocket, expected_responses).await?;
Ok((websocket, ids))
}
fn base_url() -> &'static str;
fn build_subscription_meta(
subscriptions: &[Subscription],
) -> Result<SubscriptionMeta, SocketError>;
async fn validate(
ids: SubscriptionIds,
websocket: &mut WebSocket,
expected_responses: usize,
) -> Result<SubscriptionIds, SocketError> {
let timeout = Self::subscription_timeout();
let mut success_responses = 0usize;
loop {
if success_responses == expected_responses {
break Ok(ids);
}
tokio::select! {
_ = tokio::time::sleep(timeout) => {
break Err(SocketError::Subscribe(
format!("subscription validation timeout reached: {:?}", timeout))
)
},
message = websocket.next() => match message {
Some(Ok(WsMessage::Text(payload))) => {
if let Ok(response) = serde_json::from_str::<Self::SubResponse>(&payload) {
match response.validate() {
Ok(_) => { success_responses += 1; }
Err(err) => break Err(err)
}
} else {
continue;
}
},
Some(Ok(WsMessage::Close(close_frame))) => {
break Err(SocketError::Subscribe(
format!("received WebSocket CloseFrame: {:?}", close_frame))
)
},
_ => continue,
}
}
}
}
fn subscription_timeout() -> Duration {
Duration::from_secs(10)
}
}
pub trait ExchangeTransformer: Transformer<MarketEvent> + Sized {
const EXCHANGE: ExchangeId;
fn new(ws_sink_tx: mpsc::UnboundedSender<WsMessage>, ids: SubscriptionIds) -> Self;
}
#[async_trait]
impl<Exchange> MarketStream for ExchangeWsStream<Exchange>
where
Exchange: Subscriber + ExchangeTransformer + Send,
{
async fn init(subscriptions: &[Subscription]) -> Result<Self, SocketError> {
let (websocket, ids) = Exchange::subscribe(subscriptions).await?;
let (ws_sink, ws_stream) = websocket.split();
let (ws_sink_tx, ws_sink_rx) = mpsc::unbounded_channel();
tokio::spawn(distribute_responses_to_the_exchange(
Exchange::EXCHANGE,
ws_sink,
ws_sink_rx,
));
let transformer = Exchange::new(ws_sink_tx, ids);
Ok(ExchangeWsStream::new(ws_stream, transformer))
}
}
#[derive(Copy, Clone, Eq, PartialEq, Ord, PartialOrd, Hash, Debug, Deserialize, Serialize)]
#[serde(rename = "exchange", rename_all = "snake_case")]
pub enum ExchangeId {
BinanceFuturesUsd,
Binance,
Coinbase,
Ftx,
Kraken,
}
impl From<ExchangeId> for Exchange {
fn from(exchange_id: ExchangeId) -> Self {
Exchange::from(exchange_id.as_str())
}
}
impl Display for ExchangeId {
fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result {
write!(f, "{}", self.as_str())
}
}
impl ExchangeId {
pub fn name(&self) -> &'static str {
match self {
ExchangeId::Binance | ExchangeId::BinanceFuturesUsd => "binance",
ExchangeId::Coinbase => "coinbase",
ExchangeId::Ftx => "ftx",
ExchangeId::Kraken => "kraken",
}
}
pub fn as_str(&self) -> &'static str {
match self {
ExchangeId::Binance => "binance",
ExchangeId::BinanceFuturesUsd => "binance_futures_usd",
ExchangeId::Coinbase => "coinbase",
ExchangeId::Ftx => "ftx",
ExchangeId::Kraken => "kraken",
}
}
#[allow(clippy::match_like_matches_macro)]
pub fn supports_spot(&self) -> bool {
match self {
ExchangeId::BinanceFuturesUsd => false,
_ => true,
}
}
#[allow(clippy::match_like_matches_macro)]
pub fn supports_futures(&self) -> bool {
match self {
ExchangeId::BinanceFuturesUsd => true,
ExchangeId::Ftx => true,
_ => false,
}
}
#[allow(clippy::match_like_matches_macro)]
pub fn supports_trades(&self) -> bool {
match self {
_ => true,
}
}
#[allow(clippy::match_like_matches_macro)]
pub fn supports_candles(&self) -> bool {
match self {
ExchangeId::Kraken => true,
_ => false,
}
}
#[allow(clippy::match_like_matches_macro)]
pub fn supports_order_books(&self) -> bool {
match self {
ExchangeId::BinanceFuturesUsd => true,
_ => false,
}
}
#[allow(clippy::match_like_matches_macro)]
pub fn supports_order_book_l2_deltas(&self) -> bool {
match self {
_ => false,
}
}
#[allow(clippy::match_like_matches_macro)]
pub fn supports_order_book_l3_deltas(&self) -> bool {
match self {
_ => false,
}
}
}
async fn distribute_responses_to_the_exchange(
exchange: ExchangeId,
mut ws_sink: WsSink,
mut ws_sink_rx: mpsc::UnboundedReceiver<WsMessage>,
) {
while let Some(message) = ws_sink_rx.recv().await {
if let Err(error) = ws_sink.send(message).await {
if barter_integration::protocol::websocket::is_websocket_disconnected(&error) {
break;
}
error!(
%exchange,
%error,
"failed to send ExchangeTransformer output message to the exchange via WsSink"
);
}
}
}
pub mod test_util {
use crate::{
model::{Candle, DataKind, MarketEvent, PublicTrade},
ExchangeId,
};
use barter_integration::model::{Exchange, Instrument, InstrumentKind, Side};
use chrono::Utc;
use std::ops::{Add, Sub};
pub fn market_trade(side: Side) -> MarketEvent {
MarketEvent {
exchange_time: Utc::now(),
received_time: Utc::now(),
exchange: Exchange::from(ExchangeId::Binance),
instrument: Instrument::from(("btc", "usdt", InstrumentKind::Spot)),
kind: DataKind::Trade(PublicTrade {
id: "trade_id".to_string(),
price: 1000.0,
quantity: 1.0,
side,
}),
}
}
pub fn market_candle(interval: chrono::Duration) -> MarketEvent {
let now = Utc::now();
MarketEvent {
exchange_time: now,
received_time: now.add(chrono::Duration::milliseconds(200)),
exchange: Exchange::from(ExchangeId::Binance),
instrument: Instrument::from(("btc", "usdt", InstrumentKind::Spot)),
kind: DataKind::Candle(Candle {
start_time: now.sub(interval),
end_time: now,
open: 960.0,
high: 1100.0,
low: 950.0,
close: 1000.0,
volume: 100000.0,
trade_count: 1000,
}),
}
}
}