mod utils;
#[cfg(test)]
mod trade {
use crypto_msg_parser::{parse_trade, MarketType, TradeSide};
use float_cmp::approx_eq;
#[test]
fn spot_20210916() {
let raw_msg = r#"{"method": "trades.update", "params": ["BTC_USDT", [{"id": 643716793, "time": 1616327474.6243241, "price": "56173.28", "amount": "0.0037", "type": "sell"}]], "id": null}"#;
let trades = &parse_trade("gate", MarketType::Spot, raw_msg).unwrap();
assert_eq!(trades.len(), 1);
let trade = &trades[0];
crate::utils::check_trade_fields("gate", MarketType::Spot, "BTC/USDT".to_string(), trade);
assert_eq!(trades[0].quantity_base, 0.0037);
assert_eq!(trades[0].quantity_quote, 0.0037 * 56173.28);
assert_eq!(trades[0].quantity_contract, None);
assert_eq!(trades[0].side, TradeSide::Sell);
}
#[test]
fn spot() {
let raw_msg = r#"{"time":1631824310,"channel":"spot.trades","event":"update","result":{"id":1638417041,"create_time":1631824310,"create_time_ms":"1631824310261.896","side":"buy","currency_pair":"BTC_USDT","amount":"0.00052","price":"47395.009"}}"#;
let trades = &parse_trade("gate", MarketType::Spot, raw_msg).unwrap();
assert_eq!(trades.len(), 1);
let trade = &trades[0];
crate::utils::check_trade_fields("gate", MarketType::Spot, "BTC/USDT".to_string(), trade);
assert_eq!(trades[0].price, 47395.009);
assert_eq!(trades[0].quantity_base, 0.00052);
assert_eq!(trades[0].quantity_quote, 0.00052 * 47395.009);
assert_eq!(trades[0].quantity_contract, None);
assert_eq!(trades[0].side, TradeSide::Buy);
}
#[test]
fn linear_future() {
let raw_msg = r#"{"time":1615253386,"channel":"futures.trades","event":"update","error":null,"result":[{"size":-19,"id":48081,"create_time":1615253386,"price":"53560.5","contract":"BTC_USDT_20210326"}]}"#;
let trades = &parse_trade("gate", MarketType::LinearFuture, raw_msg).unwrap();
assert_eq!(trades.len(), 1);
let trade = &trades[0];
crate::utils::check_trade_fields(
"gate",
MarketType::LinearFuture,
"BTC/USDT".to_string(),
trade,
);
assert!(approx_eq!(
f64,
trade.quantity_base,
19.0 * 0.0001,
epsilon = 0.0000000001
));
assert!(approx_eq!(
f64,
trade.quantity_quote,
0.0019 * 53560.5,
epsilon = 0.0001
));
assert_eq!(trade.quantity_contract, Some(19.0));
assert_eq!(trade.side, TradeSide::Sell);
}
#[test]
fn inverse_swap() {
let raw_msg = r#"{"time":1616327545,"channel":"futures.trades","event":"update","error":null,"result":[{"size":7,"id":19910126,"create_time":1616327545,"create_time_ms":1616327545436,"price":"56155.2","contract":"BTC_USD"}]}"#;
let trades = &parse_trade("gate", MarketType::InverseSwap, raw_msg).unwrap();
assert_eq!(trades.len(), 1);
let trade = &trades[0];
crate::utils::check_trade_fields(
"gate",
MarketType::InverseSwap,
"BTC/USD".to_string(),
trade,
);
assert_eq!(trade.quantity_base, 7.0 / 56155.2);
assert_eq!(trade.quantity_quote, 7.0);
assert_eq!(trade.quantity_contract, Some(7.0));
assert_eq!(trade.side, TradeSide::Buy);
}
#[test]
fn linear_swap() {
let raw_msg = r#"{"time":1616327563,"channel":"futures.trades","event":"update","error":null,"result":[{"size":50,"id":15366793,"create_time":1616327563,"create_time_ms":1616327563918,"price":"56233.3","contract":"BTC_USDT"}]}"#;
let trades = &parse_trade("gate", MarketType::LinearSwap, raw_msg).unwrap();
assert_eq!(trades.len(), 1);
let trade = &trades[0];
crate::utils::check_trade_fields(
"gate",
MarketType::LinearSwap,
"BTC/USDT".to_string(),
trade,
);
assert!(approx_eq!(
f64,
trade.quantity_base,
0.0001 * 50.0,
epsilon = 0.00000001
));
assert!(approx_eq!(
f64,
trade.quantity_quote,
0.005 * 56233.3,
epsilon = 0.00001
));
assert_eq!(trade.quantity_contract, Some(50.0));
assert_eq!(trade.side, TradeSide::Buy);
}
}
#[cfg(test)]
mod l2_orderbook {
use chrono::prelude::*;
use crypto_msg_parser::{parse_l2, MarketType};
use float_cmp::approx_eq;
#[test]
fn spot_snapshot_20200916() {
let raw_msg = r#"{"method": "depth.update", "params": [true, {"asks": [["37483.21", "0.048"], ["37483.89", "0.0739"], ["37486.86", "0.1639"]], "bids": [["37483.19", "0.01"], ["37480.69", "0.0183"], ["37479.16", "0.0292"]], "id": 3166483561}, "BTC_USDT"], "id": null}"#;
let orderbook = &parse_l2(
"gate",
MarketType::Spot,
raw_msg,
Some(Utc::now().timestamp_millis()),
)
.unwrap()[0];
assert_eq!(orderbook.asks.len(), 3);
assert_eq!(orderbook.bids.len(), 3);
assert!(orderbook.snapshot);
crate::utils::check_orderbook_fields(
"gate",
MarketType::Spot,
"BTC/USDT".to_string(),
orderbook,
);
assert_eq!(orderbook.asks[0].price, 37483.21);
assert_eq!(orderbook.asks[0].quantity_base, 0.048);
assert_eq!(orderbook.asks[0].quantity_quote, 37483.21 * 0.048);
assert_eq!(orderbook.asks[2].price, 37486.86);
assert_eq!(orderbook.asks[2].quantity_base, 0.1639);
assert_eq!(orderbook.asks[2].quantity_quote, 37486.86 * 0.1639);
assert_eq!(orderbook.bids[0].price, 37483.19);
assert_eq!(orderbook.bids[0].quantity_base, 0.01);
assert_eq!(orderbook.bids[0].quantity_quote, 37483.19 * 0.01);
assert_eq!(orderbook.bids[2].price, 37479.16);
assert_eq!(orderbook.bids[2].quantity_base, 0.0292);
assert_eq!(orderbook.bids[2].quantity_quote, 37479.16 * 0.0292);
}
#[test]
fn spot_snapshot() {
let raw_msg = r#"{"time":1631845776,"channel":"spot.order_book","event":"update","result":{"t":1631845775906,"lastUpdateId":4622752959,"s":"BTC_USDT","bids":[["47815.97","0.0608"],["47815.07","0.0367"],["47815.01","0.0001"]],"asks":[["47815.98","0.004"],["47815.99","0.00290642"],["47816","0.001"]]}}"#;
let orderbook = &parse_l2(
"gate",
MarketType::Spot,
raw_msg,
Some(Utc::now().timestamp_millis()),
)
.unwrap()[0];
assert_eq!(orderbook.asks.len(), 3);
assert_eq!(orderbook.bids.len(), 3);
assert!(orderbook.snapshot);
crate::utils::check_orderbook_fields(
"gate",
MarketType::Spot,
"BTC/USDT".to_string(),
orderbook,
);
assert_eq!(orderbook.asks[0].price, 47815.98);
assert_eq!(orderbook.asks[0].quantity_base, 0.004);
assert_eq!(orderbook.asks[0].quantity_quote, 47815.98 * 0.004);
assert_eq!(orderbook.asks[0].quantity_contract, None);
assert_eq!(orderbook.asks[2].price, 47816.0);
assert_eq!(orderbook.asks[2].quantity_base, 0.001);
assert_eq!(orderbook.asks[2].quantity_quote, 47816.0 * 0.001);
assert_eq!(orderbook.asks[2].quantity_contract, None);
assert_eq!(orderbook.bids[0].price, 47815.97);
assert_eq!(orderbook.bids[0].quantity_base, 0.0608);
assert_eq!(orderbook.bids[0].quantity_quote, 47815.97 * 0.0608);
assert_eq!(orderbook.bids[0].quantity_contract, None);
assert_eq!(orderbook.bids[2].price, 47815.01);
assert_eq!(orderbook.bids[2].quantity_base, 0.0001);
assert_eq!(orderbook.bids[2].quantity_quote, 47815.01 * 0.0001);
assert_eq!(orderbook.bids[2].quantity_contract, None);
}
#[test]
fn spot_update_20210916() {
let raw_msg = r#"{"method": "depth.update", "params": [false, {"asks": [["37483.89", "0"]], "bids": [["37479.16", "0"], ["37478.79", "0.0554"]]}, "BTC_USDT"], "id": null}"#;
let orderbook = &parse_l2(
"gate",
MarketType::Spot,
raw_msg,
Some(Utc::now().timestamp_millis()),
)
.unwrap()[0];
assert_eq!(orderbook.asks.len(), 1);
assert_eq!(orderbook.bids.len(), 2);
assert!(!orderbook.snapshot);
crate::utils::check_orderbook_fields(
"gate",
MarketType::Spot,
"BTC/USDT".to_string(),
orderbook,
);
assert_eq!(orderbook.asks[0].price, 37483.89);
assert_eq!(orderbook.asks[0].quantity_base, 0.0);
assert_eq!(orderbook.asks[0].quantity_quote, 0.0);
assert_eq!(orderbook.bids[0].price, 37479.16);
assert_eq!(orderbook.bids[0].quantity_base, 0.0);
assert_eq!(orderbook.bids[0].quantity_quote, 0.0);
assert_eq!(orderbook.bids[1].price, 37478.79);
assert_eq!(orderbook.bids[1].quantity_base, 0.0554);
assert_eq!(orderbook.bids[1].quantity_quote, 37478.79 * 0.0554);
}
#[test]
fn spot_update() {
let raw_msg = r#"{"time":1631836142,"channel":"spot.order_book_update","event":"update","result":{"t":1631836142325,"e":"depthUpdate","E":1631836142,"s":"BTC_USDT","U":4622074361,"u":4622074364,"b":[["47737.89","0.002"],["47741.35","0"]],"a":[["47813.04","0.0355"],["47978.86","0"]]}}"#;
let orderbook = &parse_l2(
"gate",
MarketType::Spot,
raw_msg,
Some(Utc::now().timestamp_millis()),
)
.unwrap()[0];
assert_eq!(orderbook.asks.len(), 2);
assert_eq!(orderbook.bids.len(), 2);
assert!(!orderbook.snapshot);
crate::utils::check_orderbook_fields(
"gate",
MarketType::Spot,
"BTC/USDT".to_string(),
orderbook,
);
assert_eq!(orderbook.asks[0].price, 47813.04);
assert_eq!(orderbook.asks[0].quantity_base, 0.0355);
assert_eq!(orderbook.asks[0].quantity_quote, 0.0355 * 47813.04);
assert_eq!(orderbook.asks[0].quantity_contract, None);
assert_eq!(orderbook.asks[1].price, 47978.86);
assert_eq!(orderbook.asks[1].quantity_base, 0.0);
assert_eq!(orderbook.asks[1].quantity_quote, 0.0);
assert_eq!(orderbook.asks[1].quantity_contract, None);
assert_eq!(orderbook.bids[0].price, 47737.89);
assert_eq!(orderbook.bids[0].quantity_base, 0.002);
assert_eq!(orderbook.bids[0].quantity_quote, 0.002 * 47737.89);
assert_eq!(orderbook.bids[0].quantity_contract, None);
assert_eq!(orderbook.bids[1].price, 47741.35);
assert_eq!(orderbook.bids[1].quantity_base, 0.0);
assert_eq!(orderbook.bids[1].quantity_quote, 0.0);
assert_eq!(orderbook.bids[1].quantity_contract, None);
}
#[test]
fn inverse_swap_snapshot() {
let raw_msg = r#"{"id":null,"time":1622682306,"channel":"futures.order_book","event":"all","error":null,"result":{"t":1622682306315,"id":2861474582,"contract":"BTC_USD","asks":[{"p":"37481.3","s":7766},{"p":"37484.7","s":1775},{"p":"37485.1","s":2004}],"bids":[{"p":"37481.2","s":51735},{"p":"37480.2","s":9111},{"p":"37479.1","s":2004}]}}"#;
let orderbook = &parse_l2("gate", MarketType::InverseSwap, raw_msg, None).unwrap()[0];
assert_eq!(orderbook.asks.len(), 3);
assert_eq!(orderbook.bids.len(), 3);
assert!(orderbook.snapshot);
crate::utils::check_orderbook_fields(
"gate",
MarketType::InverseSwap,
"BTC/USD".to_string(),
orderbook,
);
assert_eq!(orderbook.timestamp, 1622682306315);
assert_eq!(orderbook.asks[0].price, 37481.3);
assert_eq!(orderbook.asks[0].quantity_base, 7766.0 / 37481.3);
assert_eq!(orderbook.asks[0].quantity_quote, 7766.0);
assert_eq!(orderbook.asks[0].quantity_contract.unwrap(), 7766.0);
assert_eq!(orderbook.asks[2].price, 37485.1);
assert_eq!(orderbook.asks[2].quantity_base, 2004.0 / 37485.1);
assert_eq!(orderbook.asks[2].quantity_quote, 2004.0);
assert_eq!(orderbook.asks[2].quantity_contract.unwrap(), 2004.0);
assert_eq!(orderbook.bids[0].price, 37481.2);
assert_eq!(orderbook.bids[0].quantity_base, 51735.0 / 37481.2);
assert_eq!(orderbook.bids[0].quantity_quote, 51735.0);
assert_eq!(orderbook.bids[0].quantity_contract.unwrap(), 51735.0);
assert_eq!(orderbook.bids[2].price, 37479.1);
assert_eq!(orderbook.bids[2].quantity_base, 2004.0 / 37479.1);
assert_eq!(orderbook.bids[2].quantity_quote, 2004.0);
assert_eq!(orderbook.bids[2].quantity_contract.unwrap(), 2004.0);
}
#[test]
fn linear_swap_snapshot() {
let raw_msg = r#"{"id":null,"time":1622689062,"channel":"futures.order_book","event":"all","error":null,"result":{"t":1622689062072,"id":4906611559,"contract":"BTC_USDT","asks":[{"p":"37396.5","s":22137},{"p":"37397.3","s":500},{"p":"37401.2","s":790}],"bids":[{"p":"37396.4","s":8553},{"p":"37393.9","s":525},{"p":"37393.6","s":500}]}}"#;
let orderbook = &parse_l2("gate", MarketType::LinearSwap, raw_msg, None).unwrap()[0];
assert_eq!(orderbook.asks.len(), 3);
assert_eq!(orderbook.bids.len(), 3);
assert!(orderbook.snapshot);
crate::utils::check_orderbook_fields(
"gate",
MarketType::LinearSwap,
"BTC/USDT".to_string(),
orderbook,
);
assert_eq!(orderbook.timestamp, 1622689062072);
assert_eq!(orderbook.asks[0].price, 37396.5);
assert!(approx_eq!(
f64,
orderbook.asks[0].quantity_base,
2.2137,
epsilon = 0.000000000000001
));
assert!(approx_eq!(
f64,
orderbook.asks[0].quantity_quote,
37396.5 * 2.2137,
epsilon = 0.0000000001
));
assert_eq!(orderbook.asks[0].quantity_contract.unwrap(), 22137.0);
assert_eq!(orderbook.asks[2].price, 37401.2);
assert_eq!(orderbook.asks[2].quantity_base, 0.079);
assert_eq!(orderbook.asks[2].quantity_quote, 37401.2 * 0.079);
assert_eq!(orderbook.asks[2].quantity_contract.unwrap(), 790.0);
assert_eq!(orderbook.bids[0].price, 37396.4);
assert!(approx_eq!(
f64,
orderbook.bids[0].quantity_base,
0.8553,
epsilon = 0.000000000000001
));
assert!(approx_eq!(
f64,
orderbook.bids[0].quantity_quote,
37396.4 * 0.8553,
epsilon = 0.001
));
assert_eq!(orderbook.bids[0].quantity_contract.unwrap(), 8553.0);
assert_eq!(orderbook.bids[2].price, 37393.6);
assert!(approx_eq!(
f64,
orderbook.bids[2].quantity_base,
0.05,
epsilon = 0.00000001
));
assert!(approx_eq!(
f64,
orderbook.bids[2].quantity_quote,
37393.6 * 0.05,
epsilon = 0.01
));
assert_eq!(orderbook.bids[2].quantity_contract.unwrap(), 500.0);
}
#[test]
fn linear_future_snapshot() {
let raw_msg = r#"{"time":1622697760,"channel":"futures.order_book","event":"all","error":null,"result":{"contract":"BTC_USDT_20210625","asks":[{"p":"38624.6","s":500},{"p":"38708.3","s":500},{"p":"38821","s":2000}],"bids":[{"p":"38538","s":500},{"p":"38460","s":500},{"p":"38373","s":2000}]}}"#;
let orderbook = &parse_l2("gate", MarketType::LinearFuture, raw_msg, None).unwrap()[0];
assert_eq!(orderbook.asks.len(), 3);
assert_eq!(orderbook.bids.len(), 3);
assert!(orderbook.snapshot);
crate::utils::check_orderbook_fields(
"gate",
MarketType::LinearFuture,
"BTC/USDT".to_string(),
orderbook,
);
assert_eq!(orderbook.timestamp, 1622697760000);
assert_eq!(orderbook.asks[0].price, 38624.6);
assert_eq!(orderbook.asks[0].quantity_base, 0.05);
assert_eq!(orderbook.asks[0].quantity_quote, 38624.6 * 0.05);
assert_eq!(orderbook.asks[0].quantity_contract.unwrap(), 500.0);
assert_eq!(orderbook.asks[2].price, 38821.0);
assert_eq!(orderbook.asks[2].quantity_base, 0.2);
assert_eq!(orderbook.asks[2].quantity_quote, 38821.0 * 0.2);
assert_eq!(orderbook.asks[2].quantity_contract.unwrap(), 2000.0);
assert_eq!(orderbook.bids[0].price, 38538.0);
assert_eq!(orderbook.bids[0].quantity_base, 0.05);
assert_eq!(orderbook.bids[0].quantity_quote, 38538.0 * 0.05);
assert_eq!(orderbook.bids[0].quantity_contract.unwrap(), 500.0);
assert_eq!(orderbook.bids[2].price, 38373.0);
assert_eq!(orderbook.bids[2].quantity_base, 0.2);
assert_eq!(orderbook.bids[2].quantity_quote, 38373.0 * 0.2);
assert_eq!(orderbook.bids[2].quantity_contract.unwrap(), 2000.0);
}
#[test]
fn linear_future_update() {
let raw_msg = r#"{"time":1622769533,"channel":"futures.order_book","event":"update","error":null,"result":[{"p":"38258.9","s":-500,"c":"BTC_USDT_20210625","id":90062644},{"p":"38258.9","s":0,"c":"BTC_USDT_20210625","id":90062645},{"p":"38013","s":500,"c":"BTC_USDT_20210625","id":90062646}]}"#;
let orderbook = &parse_l2("gate", MarketType::LinearFuture, raw_msg, None).unwrap()[0];
assert_eq!(orderbook.asks.len(), 2);
assert_eq!(orderbook.bids.len(), 1);
assert!(!orderbook.snapshot);
crate::utils::check_orderbook_fields(
"gate",
MarketType::LinearFuture,
"BTC/USDT".to_string(),
orderbook,
);
assert_eq!(orderbook.timestamp, 1622769533000);
assert_eq!(orderbook.asks[0].price, 38258.9);
assert_eq!(orderbook.asks[0].quantity_base, 0.05);
assert_eq!(orderbook.asks[0].quantity_quote, 38258.9 * 0.05);
assert_eq!(orderbook.asks[0].quantity_contract.unwrap(), 500.0);
assert_eq!(orderbook.asks[1].price, 38258.9);
assert_eq!(orderbook.asks[1].quantity_base, 0.0);
assert_eq!(orderbook.asks[1].quantity_quote, 0.0);
assert_eq!(orderbook.asks[1].quantity_contract.unwrap(), 0.0);
assert_eq!(orderbook.bids[0].price, 38013.0);
assert_eq!(orderbook.bids[0].quantity_base, 0.05);
assert_eq!(orderbook.bids[0].quantity_quote, 38013.0 * 0.05);
assert_eq!(orderbook.bids[0].quantity_contract.unwrap(), 500.0);
}
}