crypto-msg-parser 1.4.1

Parse websocket messages from cryptocurreny exchanges
Documentation 
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mod utils;

use crypto_msg_parser::{parse_l2, parse_trade, MarketType, TradeSide};

#[test]
fn trade() {
    let raw_msg =
        r#"[321,[["57126.70000","0.02063928","1616333924.737428","b","m",""]],"trade","XBT/USD"]"#;
    let trade = &parse_trade("kraken", MarketType::Spot, raw_msg).unwrap()[0];

    crate::utils::check_trade_fields("kraken", MarketType::Spot, "BTC/USD".to_string(), trade);

    assert_eq!(trade.quantity_base, 0.02063928);
    assert_eq!(trade.side, TradeSide::Buy);
}

#[test]
fn l2_orderbook_snapshot() {
    let raw_msg = r#"[320,{"as":[["39090.60000","0.00007039","1622714245.847093"],["39094.90000","0.20000000","1622714255.810162"],["39096.20000","0.25584089","1622714249.255261"]],"bs":[["39071.40000","7.93106570","1622714255.963942"],["39071.30000","0.01090000","1622714249.826684"],["39071.20000","0.76000000","1622714253.348549"]]},"book-25","XBT/USD"]"#;
    let orderbook = &parse_l2("kraken", MarketType::Spot, 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(
        "kraken",
        MarketType::Spot,
        "BTC/USD".to_string(),
        orderbook,
    );

    assert_eq!(orderbook.timestamp, 1622714245847);

    assert_eq!(orderbook.bids[0].price, 39071.4);
    assert_eq!(orderbook.bids[0].quantity_base, 7.93106570);
    assert_eq!(orderbook.bids[0].quantity_quote, 39071.4 * 7.93106570);

    assert_eq!(orderbook.bids[2].price, 39071.2);
    assert_eq!(orderbook.bids[2].quantity_base, 0.76);
    assert_eq!(orderbook.bids[2].quantity_quote, 39071.2 * 0.76);

    assert_eq!(orderbook.asks[0].price, 39090.6);
    assert_eq!(orderbook.asks[0].quantity_base, 0.00007039);
    assert_eq!(orderbook.asks[0].quantity_quote, 39090.6 * 0.00007039);

    assert_eq!(orderbook.asks[2].price, 39096.2);
    assert_eq!(orderbook.asks[2].quantity_base, 0.25584089);
    assert_eq!(orderbook.asks[2].quantity_quote, 39096.2 * 0.25584089);
}

#[test]
fn l2_orderbook_update() {
    let raw_msg = r#"[320,{"b":[["39071.40000","7.26106570","1622714256.068601"]],"c":"2040672112"},"book-25","XBT/USD"]"#;
    let orderbook = &parse_l2("kraken", MarketType::Spot, raw_msg, None).unwrap()[0];

    assert_eq!(orderbook.asks.len(), 0);
    assert_eq!(orderbook.bids.len(), 1);
    assert!(!orderbook.snapshot);

    crate::utils::check_orderbook_fields(
        "kraken",
        MarketType::Spot,
        "BTC/USD".to_string(),
        orderbook,
    );

    assert_eq!(orderbook.timestamp, 1622714256068);

    assert_eq!(orderbook.bids[0].price, 39071.4);
    assert_eq!(orderbook.bids[0].quantity_base, 7.26106570);
    assert_eq!(orderbook.bids[0].quantity_quote, 39071.4 * 7.26106570);

    let raw_msg = r#"[320,{"a":[["38800.00000","0.02203518","1622766170.577187"]]},{"b":[["38800.00000","0.03017320","1622766170.577304"]],"c":"2479000840"},"book-25","XBT/USD"]"#;
    let orderbook = &parse_l2("kraken", MarketType::Spot, raw_msg, None).unwrap()[0];

    assert_eq!(orderbook.asks.len(), 1);
    assert_eq!(orderbook.bids.len(), 1);
    assert!(!orderbook.snapshot);

    crate::utils::check_orderbook_fields(
        "kraken",
        MarketType::Spot,
        "BTC/USD".to_string(),
        orderbook,
    );

    assert_eq!(orderbook.timestamp, 1622766170577);

    assert_eq!(orderbook.asks[0].price, 38800.0);
    assert_eq!(orderbook.asks[0].quantity_base, 0.02203518);
    assert_eq!(orderbook.asks[0].quantity_quote, 38800.0 * 0.02203518);

    assert_eq!(orderbook.bids[0].price, 38800.0);
    assert_eq!(orderbook.bids[0].quantity_base, 0.03017320);
    assert_eq!(orderbook.bids[0].quantity_quote, 38800.0 * 0.03017320);
}