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use crypto_market_type::MarketType;
use crypto_msg_type::MessageType;
use crate::{Order, OrderBookMsg, TradeMsg, TradeSide};
use serde::{Deserialize, Serialize};
use serde_json::Value;
use simple_error::SimpleError;
use std::collections::HashMap;
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct RawTradeMsg {
p: String,
q: String,
T: i64,
t: i64,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
#[derive(Serialize, Deserialize)]
struct RawOrder {
p: String,
q: String,
a: String,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
#[derive(Serialize, Deserialize)]
struct PushSymbolData {
version: Option<String>,
deals: Option<Vec<RawTradeMsg>>,
asks: Option<Vec<RawOrder>>,
bids: Option<Vec<RawOrder>>,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
#[derive(Serialize, Deserialize)]
struct WebsocketMsg<T: Sized> {
symbol: String,
data: T,
version: Option<String>,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
pub(super) fn parse_trade(msg: &str) -> Result<Vec<TradeMsg>, SimpleError> {
let ws_msg: WebsocketMsg<PushSymbolData> =
if let Ok(arr) = serde_json::from_str::<Vec<Value>>(msg) {
assert_eq!(arr.len(), 2);
serde_json::from_value(arr[1].clone()).map_err(|_e| {
SimpleError::new(format!(
"Failed to deserialize {} to WebsocketMsg<PushSymbolData>",
arr[1]
))
})?
} else if let Ok(ws_msg) = serde_json::from_str::<WebsocketMsg<PushSymbolData>>(msg) {
ws_msg
} else {
return Err(SimpleError::new(format!("Failed to parse {}", msg)));
};
if ws_msg.data.deals.is_none() {
return Ok(Vec::new());
}
let raw_trades = ws_msg.data.deals.unwrap();
let symbol = ws_msg.symbol.as_str();
let pair = crypto_pair::normalize_pair(symbol, super::EXCHANGE_NAME)
.ok_or_else(|| SimpleError::new(format!("Failed to normalize {} from {}", symbol, msg)))?;
let mut trades: Vec<TradeMsg> = raw_trades
.into_iter()
.map(|raw_trade| {
let price = raw_trade.p.parse::<f64>().unwrap();
let quantity = raw_trade.q.parse::<f64>().unwrap();
TradeMsg {
exchange: super::EXCHANGE_NAME.to_string(),
market_type: MarketType::Spot,
symbol: symbol.to_string(),
pair: pair.clone(),
msg_type: MessageType::Trade,
timestamp: raw_trade.t,
price,
quantity_base: quantity,
quantity_quote: price * quantity,
quantity_contract: None,
side: if raw_trade.T == 2 {
TradeSide::Sell
} else {
TradeSide::Buy
},
trade_id: raw_trade.t.to_string(),
json: serde_json::to_string(&raw_trade).unwrap(),
}
})
.collect();
if trades.len() == 1 {
trades[0].json = msg.to_string();
}
Ok(trades)
}
fn parse_order(raw_order: &RawOrder) -> Order {
let price = raw_order.p.parse::<f64>().unwrap();
let quantity_base = raw_order.q.parse::<f64>().unwrap();
let quantity_quote = raw_order.a.parse::<f64>().unwrap();
Order {
price,
quantity_base,
quantity_quote,
quantity_contract: None,
}
}
pub(super) fn parse_l2(msg: &str, timestamp: i64) -> Result<Vec<OrderBookMsg>, SimpleError> {
let ws_msg: WebsocketMsg<PushSymbolData> =
if let Ok(arr) = serde_json::from_str::<Vec<Value>>(msg) {
assert_eq!(arr.len(), 2);
serde_json::from_value(arr[1].clone()).map_err(|_e| {
SimpleError::new(format!(
"Failed to deserialize {} to WebsocketMsg<PushSymbolData>",
arr[1]
))
})?
} else if let Ok(ws_msg) = serde_json::from_str::<WebsocketMsg<PushSymbolData>>(msg) {
ws_msg
} else {
return Err(SimpleError::new(format!("Failed to parse {}", msg)));
};
if ws_msg.data.asks.is_none() && ws_msg.data.bids.is_none() {
return Ok(Vec::new());
}
let symbol = ws_msg.symbol.as_str();
let pair = crypto_pair::normalize_pair(symbol, super::EXCHANGE_NAME)
.ok_or_else(|| SimpleError::new(format!("Failed to normalize {} from {}", symbol, msg)))?;
let orderbook = OrderBookMsg {
exchange: super::EXCHANGE_NAME.to_string(),
market_type: MarketType::Spot,
symbol: symbol.to_string(),
pair,
msg_type: MessageType::L2Event,
timestamp,
seq_id: ws_msg.data.version.map(|v| v.parse::<u64>().unwrap()),
prev_seq_id: None,
asks: if let Some(asks) = ws_msg.data.asks {
asks.iter().map(parse_order).collect::<Vec<Order>>()
} else {
Vec::new()
},
bids: if let Some(bids) = ws_msg.data.bids {
bids.iter().map(parse_order).collect::<Vec<Order>>()
} else {
Vec::new()
},
snapshot: false,
json: msg.to_string(),
};
Ok(vec![orderbook])
}
#[derive(Serialize, Deserialize)]
struct RawL2TopKMsg {
asks: Vec<[String; 2]>,
bids: Vec<[String; 2]>,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
pub(super) fn parse_l2_topk(msg: &str, timestamp: i64) -> Result<Vec<OrderBookMsg>, SimpleError> {
let ws_msg =
serde_json::from_str::<WebsocketMsg<RawL2TopKMsg>>(msg).map_err(SimpleError::from)?;
let symbol = ws_msg.symbol.as_str();
let pair = crypto_pair::normalize_pair(symbol, super::EXCHANGE_NAME)
.ok_or_else(|| SimpleError::new(format!("Failed to normalize {} from {}", symbol, msg)))?;
let parse_order = |raw_order: &[String; 2]| -> Order {
let price = raw_order[0].parse::<f64>().unwrap();
let quantity_base = raw_order[1].parse::<f64>().unwrap();
Order {
price,
quantity_base,
quantity_quote: price * quantity_base,
quantity_contract: None,
}
};
let orderbook = OrderBookMsg {
exchange: super::EXCHANGE_NAME.to_string(),
market_type: MarketType::Spot,
symbol: symbol.to_string(),
pair,
msg_type: MessageType::L2TopK,
timestamp,
seq_id: ws_msg.version.map(|v| v.parse::<u64>().unwrap()),
prev_seq_id: None,
asks: ws_msg
.data
.asks
.iter()
.map(parse_order)
.collect::<Vec<Order>>(),
bids: ws_msg
.data
.bids
.iter()
.map(parse_order)
.collect::<Vec<Order>>(),
snapshot: true,
json: msg.to_string(),
};
Ok(vec![orderbook])
}