crypto-msg-parser 1.4.1

Parse websocket messages from cryptocurreny exchanges
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187

mod utils;

#[cfg(test)]
mod trade {
    use crypto_msg_parser::{parse_trade, MarketType, TradeSide};

    #[test]
    fn spot() {
        let raw_msg = r#"[["T","329","1616384937","BTC_USDT","bid","57347.4","0.048800"]]"#;
        let trades = &parse_trade("zbg", MarketType::Spot, raw_msg).unwrap();

        assert_eq!(trades.len(), 1);
        let trade = &trades[0];

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

        assert_eq!(trade.quantity_base, 0.048800);
        assert_eq!(trade.side, TradeSide::Buy);

        let raw_msg = r#"["T","329","1616486457","BTC_USDT","ask","54139.4","0.654172"]"#;
        let trades = &parse_trade("zbg", MarketType::Spot, raw_msg).unwrap();

        assert_eq!(trades.len(), 1);
        let trade = &trades[0];

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

        assert_eq!(trade.quantity_base, 0.654172);
        assert_eq!(trade.side, TradeSide::Sell);
    }

    #[test]
    fn linear_swap() {
        let raw_msg =
            r#"["future_tick",{"contractId":1000000,"trades":[1616385064674265,"57326","31",-1]}]"#;
        let trades = &parse_trade("zbg", MarketType::LinearSwap, raw_msg).unwrap();

        assert_eq!(trades.len(), 1);
        let trade = &trades[0];

        crate::utils::check_trade_fields(
            "zbg",
            MarketType::LinearSwap,
            "BTC/USDT".to_string(),
            trade,
        );

        assert_eq!(trade.quantity_base, 0.01 * 31.0);
        assert_eq!(trade.quantity_quote, 0.01 * 31.0 * 57326.0);
        assert_eq!(trade.quantity_contract, Some(31.0));
        assert_eq!(trade.side, TradeSide::Sell);
    }

    #[test]
    fn inverse_swap() {
        let raw_msg = r#"["future_tick",{"contractId":1000001,"trades":[1616385036580662,"57370","188",-1]}]"#;
        let trades = &parse_trade("zbg", MarketType::InverseSwap, raw_msg).unwrap();

        assert_eq!(trades.len(), 1);
        let trade = &trades[0];

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

        assert_eq!(trade.quantity_base, 188.0 / 57370.0);
        assert_eq!(trade.quantity_quote, 188.0);
        assert_eq!(trade.quantity_contract, Some(188.0));
        assert_eq!(trade.side, TradeSide::Sell);
    }
}

#[cfg(test)]
mod l2_orderbook {
    use crypto_msg_parser::{parse_l2, MarketType};

    #[test]
    fn spot_snapshot() {
        let raw_msg = r#"[["AE","329","BTC_USDT","1622729950",{"asks":[["38394.8","0.01917"],["38394.2","0.195885"]]},{"bids":[["38388.7","0.146025"],["38388.1","0.155175"]]}]]"#;
        let orderbook = &parse_l2("zbg", MarketType::Spot, raw_msg, None).unwrap()[0];

        assert_eq!(orderbook.asks.len(), 2);
        assert_eq!(orderbook.bids.len(), 2);
        assert!(orderbook.snapshot);

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

        assert_eq!(orderbook.timestamp, 1622729950000);

        assert_eq!(orderbook.bids[0].price, 38388.7);
        assert_eq!(orderbook.bids[0].quantity_base, 0.146025);
        assert_eq!(orderbook.bids[0].quantity_quote, 38388.7 * 0.146025);

        assert_eq!(orderbook.asks[0].price, 38394.2);
        assert_eq!(orderbook.asks[0].quantity_base, 0.195885);
        assert_eq!(orderbook.asks[0].quantity_quote, 38394.2 * 0.195885);
    }

    #[test]
    fn spot_update() {
        let raw_msg = r#"["E","329","1622729958","BTC_USDT","BID","38382.3","0.1842"]"#;
        let orderbook = &parse_l2("zbg", 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(
            "zbg",
            MarketType::Spot,
            "BTC/USDT".to_string(),
            orderbook,
        );

        assert_eq!(orderbook.timestamp, 1622729958000);

        assert_eq!(orderbook.bids[0].price, 38382.3);
        assert_eq!(orderbook.bids[0].quantity_base, 0.1842);
        assert_eq!(orderbook.bids[0].quantity_quote, 38382.3 * 0.1842);
    }

    #[test]
    fn linear_swap_update() {
        let raw_msg = r#"["future_snapshot_depth",{"asks":[["38704","2684"]],"contractId":1000000,"bids":[["38703","1606"],["38702.5","616"]],"tradeDate":20210603,"time":1622733219128160}]"#;
        let orderbook = &parse_l2("zbg", MarketType::LinearSwap, raw_msg, None).unwrap()[0];

        assert_eq!(orderbook.asks.len(), 1);
        assert_eq!(orderbook.bids.len(), 2);
        assert!(!orderbook.snapshot);

        crate::utils::check_orderbook_fields(
            "zbg",
            MarketType::LinearSwap,
            "BTC/USDT".to_string(),
            orderbook,
        );

        assert_eq!(orderbook.timestamp, 1622733219128);

        assert_eq!(orderbook.asks[0].price, 38704.0);
        assert_eq!(orderbook.asks[0].quantity_base, 26.84);
        assert_eq!(orderbook.asks[0].quantity_quote, 38704.0 * 26.84);
        assert_eq!(orderbook.asks[0].quantity_contract.unwrap(), 2684.0);

        assert_eq!(orderbook.bids[0].price, 38703.0);
        assert_eq!(orderbook.bids[0].quantity_base, 16.06);
        assert_eq!(orderbook.bids[0].quantity_quote, 38703.0 * 16.06);
        assert_eq!(orderbook.bids[0].quantity_contract.unwrap(), 1606.0);
    }

    #[test]
    fn inverse_swap_update() {
        let raw_msg = r#"["future_snapshot_depth",{"asks":[["38547.5","4406"],["38548","11545"]],"contractId":1000001,"bids":[["38547","24345"],["38546.5","63623"]],"tradeDate":20210603,"time":1622734001831219}]"#;
        let orderbook = &parse_l2("zbg", MarketType::InverseSwap, raw_msg, None).unwrap()[0];

        assert_eq!(orderbook.asks.len(), 2);
        assert_eq!(orderbook.bids.len(), 2);
        assert!(!orderbook.snapshot);

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

        assert_eq!(orderbook.timestamp, 1622734001831);

        assert_eq!(orderbook.asks[0].price, 38547.5);
        assert_eq!(orderbook.asks[0].quantity_base, 4406.0 / 38547.5);
        assert_eq!(orderbook.asks[0].quantity_quote, 4406.0);
        assert_eq!(orderbook.asks[0].quantity_contract.unwrap(), 4406.0);

        assert_eq!(orderbook.bids[0].price, 38547.0);
        assert_eq!(orderbook.bids[0].quantity_base, 24345.0 / 38547.0);
        assert_eq!(orderbook.bids[0].quantity_quote, 24345.0);
        assert_eq!(orderbook.bids[0].quantity_contract.unwrap(), 24345.0);
    }
}