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

pub mod exchanges;
mod msg;
mod order;

use crypto_market_type::MarketType;
use crypto_msg_type::MessageType;
pub use msg::*;
pub use order::Order;

use serde_json::Result;

/// Extract the symbol from the message.
pub fn extract_symbol(exchange: &str, market_type: MarketType, msg: &str) -> Option<String> {
    match exchange {
        "binance" => exchanges::binance::extract_symbol(market_type, msg),
        "bitfinex" => exchanges::bitfinex::extract_symbol(market_type, msg),
        "bitget" => exchanges::bitget::extract_symbol(market_type, msg),
        "bithumb" => exchanges::bithumb::extract_symbol(market_type, msg),
        "bitmex" => exchanges::bitmex::extract_symbol(market_type, msg),
        "bitstamp" => exchanges::bitstamp::extract_symbol(market_type, msg),
        "bitz" => exchanges::bitz::extract_symbol(market_type, msg),
        "bybit" => exchanges::bybit::extract_symbol(market_type, msg),
        "coinbase_pro" => exchanges::coinbase_pro::extract_symbol(market_type, msg),
        "deribit" => exchanges::deribit::extract_symbol(market_type, msg),
        "dydx" => exchanges::dydx::extract_symbol(market_type, msg),
        "ftx" => exchanges::ftx::extract_symbol(market_type, msg),
        "gate" => exchanges::gate::extract_symbol(market_type, msg),
        "huobi" => exchanges::huobi::extract_symbol(market_type, msg),
        "kraken" => exchanges::kraken::extract_symbol(market_type, msg),
        "kucoin" => exchanges::kucoin::extract_symbol(market_type, msg),
        "mxc" => exchanges::mxc::extract_symbol(market_type, msg),
        "okex" => exchanges::okex::extract_symbol(market_type, msg),
        "zbg" => exchanges::zbg::extract_symbol(market_type, msg),
        _ => panic!("Unknown exchange {}", exchange),
    }
}

/// Parse trade messages.
pub fn parse_trade(exchange: &str, market_type: MarketType, msg: &str) -> Result<Vec<TradeMsg>> {
    match exchange {
        "binance" => exchanges::binance::parse_trade(market_type, msg),
        "bitfinex" => exchanges::bitfinex::parse_trade(market_type, msg),
        "bitget" => exchanges::bitget::parse_trade(market_type, msg),
        "bithumb" => exchanges::bithumb::parse_trade(market_type, msg),
        "bitmex" => exchanges::bitmex::parse_trade(market_type, msg),
        "bitstamp" => exchanges::bitstamp::parse_trade(market_type, msg),
        "bitz" => exchanges::bitz::parse_trade(market_type, msg),
        "bybit" => exchanges::bybit::parse_trade(market_type, msg),
        "coinbase_pro" => exchanges::coinbase_pro::parse_trade(market_type, msg),
        "deribit" => exchanges::deribit::parse_trade(market_type, msg),
        "dydx" => exchanges::dydx::parse_trade(market_type, msg),
        "ftx" => exchanges::ftx::parse_trade(market_type, msg),
        "gate" => exchanges::gate::parse_trade(market_type, msg),
        "huobi" => exchanges::huobi::parse_trade(market_type, msg),
        "kraken" => exchanges::kraken::parse_trade(market_type, msg),
        "kucoin" => exchanges::kucoin::parse_trade(market_type, msg),
        "mxc" => exchanges::mxc::parse_trade(market_type, msg),
        "okex" => exchanges::okex::parse_trade(market_type, msg),
        "zbg" => exchanges::zbg::parse_trade(market_type, msg),
        _ => panic!("Unknown exchange {}", exchange),
    }
}

/// Parse level2 orderbook messages.
pub fn parse_l2(
    exchange: &str,
    market_type: MarketType,
    msg: &str,
    timestamp: Option<i64>,
) -> Result<Vec<OrderBookMsg>> {
    let ret = match exchange {
        "binance" => exchanges::binance::parse_l2(market_type, msg),
        "bitfinex" => exchanges::bitfinex::parse_l2(
            market_type,
            msg,
            timestamp.expect("Bitfinex orderbook messages doesn't have timestamp"),
        ),
        "bitget" => exchanges::bitget::parse_l2(market_type, msg),
        "bithumb" => exchanges::bithumb::parse_l2(market_type, msg),
        "bitmex" => exchanges::bitmex::parse_l2(
            market_type,
            msg,
            timestamp.expect("BitMEX orderbook messages don't have timestamp"),
        ),
        "bitstamp" => exchanges::bitstamp::parse_l2(market_type, msg),
        "bitz" => exchanges::bitz::parse_l2(market_type, msg),
        "bybit" => exchanges::bybit::parse_l2(market_type, msg),
        "coinbase_pro" => exchanges::coinbase_pro::parse_l2(market_type, msg, timestamp),
        "deribit" => exchanges::deribit::parse_l2(market_type, msg),
        "dydx" => exchanges::dydx::parse_l2(
            market_type,
            msg,
            timestamp.expect("dYdX orderbook messages don't have timestamp"),
        ),
        "ftx" => exchanges::ftx::parse_l2(market_type, msg),
        "gate" => exchanges::gate::parse_l2(market_type, msg, timestamp),
        "huobi" => exchanges::huobi::parse_l2(market_type, msg),
        "kraken" => exchanges::kraken::parse_l2(market_type, msg),
        "kucoin" => exchanges::kucoin::parse_l2(market_type, msg, timestamp),
        "mxc" => exchanges::mxc::parse_l2(market_type, msg, timestamp),
        "okex" => exchanges::okex::parse_l2(market_type, msg),
        "zbg" => exchanges::zbg::parse_l2(market_type, msg),
        _ => panic!("Unknown exchange {}", exchange),
    };
    match ret {
        Ok(mut orderbooks) => {
            for orderbook in orderbooks.iter_mut() {
                if orderbook.snapshot {
                    // sorted in ascending order by price
                    orderbook
                        .asks
                        .sort_by(|a, b| a.price.partial_cmp(&b.price).unwrap());
                    // sorted in descending order by price
                    orderbook
                        .bids
                        .sort_by(|a, b| b.price.partial_cmp(&a.price).unwrap());
                }
            }
            Ok(orderbooks)
        }
        Err(_) => ret,
    }
}

/// Parse funding rate messages.
pub fn parse_funding_rate(
    exchange: &str,
    market_type: MarketType,
    msg: &str,
) -> Result<Vec<FundingRateMsg>> {
    let func = match exchange {
        "binance" => exchanges::binance::parse_funding_rate,
        "bitget" => exchanges::bitget::parse_funding_rate,
        "bitmex" => exchanges::bitmex::parse_funding_rate,
        "huobi" => exchanges::huobi::parse_funding_rate,
        "okex" => exchanges::okex::parse_funding_rate,
        _ => panic!("{} does NOT have perpetual swap market", exchange),
    };
    func(market_type, msg)
}

/// Infer the message type from the message.
pub fn get_msg_type(exchange: &str, msg: &str) -> MessageType {
    match exchange {
        "binance" => exchanges::binance::get_msg_type(msg),
        "bitget" => exchanges::bitget::get_msg_type(msg),
        "bitmex" => exchanges::bitmex::get_msg_type(msg),
        "bybit" => exchanges::bybit::get_msg_type(msg),
        "deribit" => exchanges::deribit::get_msg_type(msg),
        "ftx" => exchanges::ftx::get_msg_type(msg),
        "huobi" => exchanges::huobi::get_msg_type(msg),
        "okex" => exchanges::okex::get_msg_type(msg),
        _ => MessageType::Other,
    }
}