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 = "ftx";

// https://docs.ftx.com/#trades
#[derive(Serialize, Deserialize)]
struct RawTradeMsg {
    id: i64,
    price: f64,
    size: f64,
    side: String, // buy, sell
    liquidation: bool,
    time: String,
    #[serde(flatten)]
    extra: HashMap<String, Value>,
}

#[derive(Serialize, Deserialize)]
struct WebsocketMsg<T: Sized> {
    channel: String,
    market: String,
    #[serde(rename = "type")]
    type_: String,
    data: T,
}

pub(crate) fn parse_trade(market_type: MarketType, msg: &str) -> Result<Vec<TradeMsg>> {
    let ws_msg = serde_json::from_str::<WebsocketMsg<Vec<RawTradeMsg>>>(msg)?;
    let symbol = ws_msg.market.as_str();
    let pair = crypto_pair::normalize_pair(symbol, EXCHANGE_NAME).unwrap();

    let trades: Vec<TradeMsg> = ws_msg
        .data
        .into_iter()
        .map(|raw_trade| {
            let timestamp = DateTime::parse_from_rfc3339(&raw_trade.time).unwrap();

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

    Ok(trades)
}