crypto-msg-parser 2.9.2

use crypto_market_type::MarketType;
use crypto_msg_type::MessageType;

use crate::exchanges::utils::{calc_quantity_and_volume, deserialize_null_default};
use crypto_message::{BboMsg, CandlestickMsg, Order, OrderBookMsg, TradeMsg, TradeSide};

use super::message::WebsocketMsg;
use serde::{Deserialize, Serialize};
use serde_json::Value;
use simple_error::SimpleError;
use std::collections::HashMap;

const EXCHANGE_NAME: &str = "huobi";

// see https://huobiapi.github.io/docs/coin_margined_swap/v1/en/#subscribe-trade-detail-data
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct InverseTradeMsg {
    id: i64,
    ts: i64,
    amount: f64,
    quantity: f64,
    price: f64,
    direction: String, // sell, buy
    #[serde(flatten)]
    extra: HashMap<String, Value>,
}

// https://huobiapi.github.io/docs/dm/v1/en/#subscribe-market-depth-data
// https://huobiapi.github.io/docs/dm/v1/en/#subscribe-incremental-market-depth-data
// https://huobiapi.github.io/docs/coin_margined_swap/v1/en/#subscribe-market-depth-data
// https://huobiapi.github.io/docs/coin_margined_swap/v1/en/#subscribe-incremental-market-depth-data
// https://huobiapi.github.io/docs/usdt_swap/v1/en/#general-subscribe-market-depth-data
// https://huobiapi.github.io/docs/usdt_swap/v1/en/#general-subscribe-incremental-market-depth-data
// https://huobiapi.github.io/docs/dm/v1/en/#subscribe-market-bbo-data
// https://huobiapi.github.io/docs/coin_margined_swap/v1/en/#subscribe-market-bbo-data-push
// https://huobiapi.github.io/docs/usdt_swap/v1/en/#general-subscribe-market-bbo-data-push
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct InverseOrderbookMsg {
    id: i64,
    ts: i64,
    mrid: u64,
    event: Option<String>, // snapshot, update, None if L2TopK
    ch: String,
    #[serde(default, deserialize_with = "deserialize_null_default")]
    bids: Vec<[f64; 2]>,
    #[serde(default, deserialize_with = "deserialize_null_default")]
    asks: Vec<[f64; 2]>,
    #[serde(flatten)]
    extra: HashMap<String, Value>,
}

// https://huobiapi.github.io/docs/dm/v1/en/#subscribe-market-bbo-data
// https://huobiapi.github.io/docs/coin_margined_swap/v1/en/#subscribe-market-bbo-data-push
// https://huobiapi.github.io/docs/usdt_swap/v1/en/#general-subscribe-market-bbo-data-push
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct RawBboMsg {
    id: u64,
    ts: u64,
    mrid: u64,
    event: Option<String>, // snapshot, update, None if L2TopK
    ch: String,
    bid: [f64; 2],
    ask: [f64; 2],
    #[serde(flatten)]
    extra: HashMap<String, Value>,
}

#[derive(Serialize, Deserialize)]
struct TradeTick {
    id: i64,
    ts: i64,
    data: Vec<InverseTradeMsg>,
}

// https://huobiapi.github.io/docs/coin_margined_swap/v1/en/#subscribe-kline-data
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct RawCandlestickMsg {
    id: i64,
    mrid: i64,
    open: f64,
    close: f64,
    low: f64,
    high: f64,
    amount: f64,
    vol: f64,
    count: u64,
    #[serde(flatten)]
    extra: HashMap<String, Value>,
}

pub(crate) fn parse_trade(
    market_type: MarketType,
    msg: &str,
) -> Result<Vec<TradeMsg>, SimpleError> {
    let ws_msg = serde_json::from_str::<WebsocketMsg<TradeTick>>(msg).map_err(SimpleError::from)?;

    let symbol = ws_msg.ch.split('.').nth(1).unwrap();
    let pair = crypto_pair::normalize_pair(symbol, EXCHANGE_NAME)
        .ok_or_else(|| SimpleError::new(format!("Failed to normalize {symbol} from {msg}")))?;

    let mut trades: Vec<TradeMsg> = ws_msg
        .tick
        .data
        .into_iter()
        .map(|raw_trade| {
            let (_, quantity_quote, _) = calc_quantity_and_volume(
                EXCHANGE_NAME,
                market_type,
                &pair,
                raw_trade.price,
                raw_trade.amount,
            );
            TradeMsg {
                exchange: EXCHANGE_NAME.to_string(),
                market_type,
                symbol: symbol.to_string(),
                pair: pair.to_string(),
                msg_type: MessageType::Trade,
                timestamp: raw_trade.ts,
                price: raw_trade.price,
                quantity_base: raw_trade.quantity,
                quantity_quote,
                quantity_contract: Some(raw_trade.amount),
                side: if raw_trade.direction == "sell" { TradeSide::Sell } else { TradeSide::Buy },
                trade_id: raw_trade.id.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(market_type: MarketType, pair: &str, raw_order: &[f64; 2]) -> Order {
    let price = raw_order[0];
    let quantity = raw_order[1];

    let (quantity_base, quantity_quote, quantity_contract) =
        calc_quantity_and_volume(EXCHANGE_NAME, market_type, pair, price, quantity);
    Order { price, quantity_base, quantity_quote, quantity_contract }
}

pub(crate) fn parse_l2(
    market_type: MarketType,
    msg: &str,
) -> Result<Vec<OrderBookMsg>, SimpleError> {
    let ws_msg = serde_json::from_str::<WebsocketMsg<InverseOrderbookMsg>>(msg)
        .map_err(SimpleError::from)?;
    let symbol = ws_msg.ch.split('.').nth(1).unwrap();
    let pair = crypto_pair::normalize_pair(symbol, EXCHANGE_NAME)
        .ok_or_else(|| SimpleError::new(format!("Failed to normalize {symbol} from {msg}")))?;
    let timestamp = ws_msg.ts;

    let msg_type = if ws_msg.ch.ends_with(".high_freq") {
        MessageType::L2Event
    } else if ws_msg.ch.contains(".depth.step") {
        MessageType::L2TopK
    } else {
        panic!("Unsupported channel {}", ws_msg.ch);
    };

    let snapshot = if msg_type == MessageType::L2Event {
        ws_msg.tick.event.unwrap() == "snapshot"
    } else {
        true
    };

    let orderbook = OrderBookMsg {
        exchange: EXCHANGE_NAME.to_string(),
        market_type,
        symbol: symbol.to_string(),
        pair: pair.to_string(),
        msg_type,
        timestamp,
        seq_id: Some(ws_msg.tick.mrid),
        prev_seq_id: None,
        asks: ws_msg.tick.asks.iter().map(|x| parse_order(market_type, &pair, x)).collect(),
        bids: ws_msg.tick.bids.iter().map(|x| parse_order(market_type, &pair, x)).collect(),
        snapshot,
        json: msg.to_string(),
    };

    Ok(vec![orderbook])
}

pub(super) fn parse_bbo(market_type: MarketType, msg: &str) -> Result<Vec<BboMsg>, SimpleError> {
    let ws_msg = serde_json::from_str::<WebsocketMsg<RawBboMsg>>(msg).map_err(SimpleError::from)?;
    debug_assert!(ws_msg.ch.ends_with(".bbo"));
    let symbol = ws_msg.ch.split('.').nth(1).unwrap();
    let pair = crypto_pair::normalize_pair(symbol, EXCHANGE_NAME)
        .ok_or_else(|| SimpleError::new(format!("Failed to normalize {symbol} from {msg}")))?;

    let best_ask = parse_order(market_type, &pair, &ws_msg.tick.ask);
    let best_bid = parse_order(market_type, &pair, &ws_msg.tick.bid);

    let bbo_msg = BboMsg {
        exchange: EXCHANGE_NAME.to_string(),
        market_type,
        symbol: symbol.to_string(),
        pair,
        msg_type: MessageType::BBO,
        timestamp: ws_msg.ts,
        ask_price: best_ask.price,
        ask_quantity_base: best_ask.quantity_base,
        ask_quantity_quote: best_ask.quantity_quote,
        ask_quantity_contract: best_ask.quantity_contract,
        bid_price: best_bid.price,
        bid_quantity_base: best_bid.quantity_base,
        bid_quantity_quote: best_bid.quantity_quote,
        bid_quantity_contract: best_bid.quantity_contract,
        id: Some(ws_msg.tick.mrid),
        json: msg.to_string(),
    };

    Ok(vec![bbo_msg])
}

pub(super) fn parse_candlestick(
    market_type: MarketType,
    msg: &str,
) -> Result<Vec<CandlestickMsg>, SimpleError> {
    let ws_msg =
        serde_json::from_str::<WebsocketMsg<RawCandlestickMsg>>(msg).map_err(SimpleError::from)?;
    debug_assert!(ws_msg.ch.contains(".kline."));

    let (symbol, period) = {
        let arr: Vec<&str> = ws_msg.ch.split('.').collect();
        let symbol = arr[1];
        let period = arr[3];
        (symbol, period)
    };
    let pair = crypto_pair::normalize_pair(symbol, EXCHANGE_NAME).unwrap();

    let quote_volume = {
        let contract_value =
            crypto_contract_value::get_contract_value(EXCHANGE_NAME, market_type, &pair).unwrap();
        contract_value * ws_msg.tick.vol
    };

    let kline_msg = CandlestickMsg {
        exchange: EXCHANGE_NAME.to_string(),
        market_type,
        msg_type: MessageType::Candlestick,
        symbol: symbol.to_string(),
        pair,
        timestamp: ws_msg.ts,
        begin_time: ws_msg.tick.id,
        open: ws_msg.tick.open,
        high: ws_msg.tick.high,
        low: ws_msg.tick.low,
        close: ws_msg.tick.close,
        volume: ws_msg.tick.amount,
        quote_volume: Some(quote_volume),
        period: period.to_string(),
        json: msg.to_string(),
    };

    Ok(vec![kline_msg])
}