crypto-msg-parser 1.0.1

use crypto_market_type::MarketType;

use crate::{MessageType, TradeMsg, TradeSide};

use chrono::DateTime;
use serde::{Deserialize, Serialize};
use serde_json::{Result, Value};
use std::collections::HashMap;

const EXCHANGE_NAME: &str = "bitmex";

// see https://www.bitmex.com/app/wsAPI#Response-Format
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct RawTradeMsg {
    timestamp: String,
    symbol: String,
    side: String, // Sell, Buy'
    size: f64,
    price: f64,
    tickDirection: String, // MinusTick, PlusTick, ZeroMinusTick, ZeroPlusTick
    trdMatchID: String,
    grossValue: f64,
    homeNotional: f64,
    foreignNotional: f64,
    #[serde(flatten)]
    extra: HashMap<String, Value>,
}

#[derive(Serialize, Deserialize)]
struct WebsocketMsg<T: Sized> {
    table: String,
    action: String,
    data: Vec<T>,
}

pub(crate) fn parse_trade(market_type: MarketType, msg: &str) -> Result<Vec<TradeMsg>> {
    let ws_msg = serde_json::from_str::<WebsocketMsg<RawTradeMsg>>(msg)?;
    let raw_trades = ws_msg.data;
    let trades: Vec<TradeMsg> = raw_trades
        .into_iter()
        .map(|raw_trade| {
            // assert_eq!(raw_trade.foreignNotional, raw_trade.homeNotional * raw_trade.price); // tiny diff actually exists
            let timestamp = DateTime::parse_from_rfc3339(&raw_trade.timestamp).unwrap();

            TradeMsg {
                exchange: EXCHANGE_NAME.to_string(),
                market_type,
                symbol: raw_trade.symbol.to_string(),
                pair: crypto_pair::normalize_pair(&raw_trade.symbol, EXCHANGE_NAME).unwrap(),
                msg_type: MessageType::Trade,
                timestamp: timestamp.timestamp_millis(),
                price: raw_trade.price,
                quantity: raw_trade.homeNotional,
                volume: raw_trade.foreignNotional,
                side: if raw_trade.side == "Sell" {
                    TradeSide::Sell
                } else {
                    TradeSide::Buy
                },
                trade_id: raw_trade.trdMatchID.clone(),
                raw: serde_json::to_value(&raw_trade).unwrap(),
            }
        })
        .collect();

    Ok(trades)
}