crypto-msg-parser 1.4.1

Parse websocket messages from cryptocurreny exchanges
Documentation 
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use crypto_market_type::MarketType;

use super::super::utils::calc_quantity_and_volume;
use crate::{MessageType, Order, OrderBookMsg, TradeMsg, TradeSide};

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

const EXCHANGE_NAME: &str = "mxc";

// https://mxcdevelop.github.io/APIDoc/contract.api.cn.html#4483df6e28
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct RawTradeMsg {
    p: f64, // price
    v: f64, // quantity
    T: i64, // 1, buy; 2, sell
    t: i64, // timestamp
    #[serde(flatten)]
    extra: HashMap<String, Value>,
}

// https://mxcdevelop.github.io/APIDoc/contract.api.cn.html#a1128a972d
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct RawOrderbookMsg {
    asks: Vec<[f64; 3]>,
    bids: Vec<[f64; 3]>,
    #[serde(flatten)]
    extra: HashMap<String, Value>,
}

#[derive(Serialize, Deserialize)]
struct WebsocketMsg<T: Sized> {
    channel: String,
    symbol: String,
    ts: i64,
    data: T,
}

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

    let (quantity_base, quantity_quote, _) =
        calc_quantity_and_volume(EXCHANGE_NAME, market_type, &pair, raw_trade.p, raw_trade.v);

    let trade = TradeMsg {
        exchange: EXCHANGE_NAME.to_string(),
        market_type,
        symbol: symbol.to_string(),
        pair,
        msg_type: MessageType::Trade,
        timestamp: raw_trade.t,
        price: raw_trade.p,
        quantity_base,
        quantity_quote,
        quantity_contract: Some(raw_trade.v),
        side: if raw_trade.T == 2 {
            TradeSide::Sell
        } else {
            TradeSide::Buy
        },
        trade_id: raw_trade.t.to_string(),
        raw: serde_json::to_value(&raw_trade).unwrap(),
    };

    Ok(vec![trade])
}

pub(crate) fn parse_l2(market_type: MarketType, msg: &str) -> Result<Vec<OrderBookMsg>> {
    let ws_msg = serde_json::from_str::<WebsocketMsg<RawOrderbookMsg>>(msg)?;
    let symbol = ws_msg.symbol.as_str();
    let pair = crypto_pair::normalize_pair(symbol, EXCHANGE_NAME).unwrap();

    let parse_order = |raw_order: &[f64; 3]| -> Order {
        let price = raw_order[0];
        let quantity = raw_order[1];
        let (quantity_base, quantity_quote, quantity_contract) =
            calc_quantity_and_volume(EXCHANGE_NAME, market_type, &pair, price, quantity);
        Order {
            price,
            quantity_base,
            quantity_quote,
            quantity_contract,
        }
    };

    let orderbook = OrderBookMsg {
        exchange: EXCHANGE_NAME.to_string(),
        market_type,
        symbol: symbol.to_string(),
        pair: pair.to_string(),
        msg_type: MessageType::L2Event,
        timestamp: ws_msg.ts,
        asks: ws_msg
            .data
            .asks
            .iter()
            .map(|x| parse_order(x))
            .collect::<Vec<Order>>(),
        bids: ws_msg
            .data
            .bids
            .iter()
            .map(|x| parse_order(x))
            .collect::<Vec<Order>>(),
        snapshot: false,
        raw: serde_json::from_str(msg)?,
    };

    Ok(vec![orderbook])
}