digdigdig3-station 0.3.14

Consumer-facing builder over digdigdig3 ExchangeHub. Persistence, cache, replay, cure, orderbook tracker, multiplex, reconnect.
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

use digdigdig3::core::types::{OrderSide, StreamEvent};
use serde::{Deserialize, Serialize};

use crate::series::DataPoint;

/// Per-order L3 book update.
///
/// Disk layout:
/// - Header (44 B): `ts_ms (8) | price (8) | quantity (8) | side (1) | _pad (7) | blob_off (8) | blob_len (4)`.
/// - Blob: `len(order_id):u16 | order_id_utf8 | len(action):u16 | action_utf8`.
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct OrderbookL3Point {
    pub ts_ms: i64,
    pub side: OrderSide,
    pub order_id: String,
    pub price: f64,
    pub quantity: f64,
    pub action: String,
}

const TAIL_OFFSET: usize = 32;

impl DataPoint for OrderbookL3Point {
    const RECORD_SIZE: usize = 44;

    fn encode(&self, out: &mut [u8]) {
        out[0..8].copy_from_slice(&(self.ts_ms as u64).to_le_bytes());
        out[8..16].copy_from_slice(&self.price.to_le_bytes());
        out[16..24].copy_from_slice(&self.quantity.to_le_bytes());
        out[24] = match self.side {
            OrderSide::Buy => 0,
            OrderSide::Sell => 1,
        };
    }

    fn decode(bytes: &[u8]) -> Option<Self> {
        if bytes.len() != Self::RECORD_SIZE { return None; }
        Some(Self {
            ts_ms: u64::from_le_bytes(bytes[0..8].try_into().ok()?) as i64,
            side: match bytes[24] { 0 => OrderSide::Buy, _ => OrderSide::Sell },
            order_id: String::new(),
            price: f64::from_le_bytes(bytes[8..16].try_into().ok()?),
            quantity: f64::from_le_bytes(bytes[16..24].try_into().ok()?),
            action: String::new(),
        })
    }

    fn timestamp_ms(&self) -> i64 { self.ts_ms }

    fn from_stream_event(ev: &StreamEvent) -> Option<Self> {
        if let StreamEvent::OrderbookL3 {
            symbol: _,
            side,
            order_id,
            price,
            quantity,
            action,
            timestamp,
        } = ev {
            Some(Self {
                ts_ms: *timestamp,
                side: *side,
                order_id: order_id.clone(),
                price: *price,
                quantity: *quantity,
                action: action.clone(),
            })
        } else {
            None
        }
    }

    fn encode_blob(&self) -> Option<Vec<u8>> {
        let id = self.order_id.as_bytes();
        let a = self.action.as_bytes();
        let mut out = Vec::with_capacity(4 + id.len() + a.len());
        out.extend_from_slice(&(id.len() as u16).to_le_bytes());
        out.extend_from_slice(id);
        out.extend_from_slice(&(a.len() as u16).to_le_bytes());
        out.extend_from_slice(a);
        Some(out)
    }

    fn decode_blob(header: &[u8], blob: &[u8]) -> Option<Self> {
        let mut p = Self::decode(header)?;
        let mut cur = 0usize;
        if blob.len() >= cur + 2 {
            let l = u16::from_le_bytes(blob[cur..cur + 2].try_into().ok()?) as usize;
            cur += 2;
            if blob.len() >= cur + l {
                p.order_id = String::from_utf8_lossy(&blob[cur..cur + l]).into_owned();
                cur += l;
            }
        }
        if blob.len() >= cur + 2 {
            let l = u16::from_le_bytes(blob[cur..cur + 2].try_into().ok()?) as usize;
            cur += 2;
            if blob.len() >= cur + l {
                p.action = String::from_utf8_lossy(&blob[cur..cur + l]).into_owned();
            }
        }
        Some(p)
    }

    fn blob_pointer_offset() -> Option<usize> { Some(TAIL_OFFSET) }
}