digdigdig3_station/data/
liquidation.rs

1use digdigdig3::core::types::{StreamEvent, TradeSide};
2use serde::{Deserialize, Serialize};
3
4use crate::series::DataPoint;
5
6/// 32 B record (LE):
7///   u64 ts, f64 price, f64 quantity, f64 value (NaN if absent), u8 side
8#[derive(Debug, Clone, Serialize, Deserialize)]
9pub struct LiquidationPoint {
10    pub ts_ms: i64,
11    pub price: f64,
12    pub quantity: f64,
13    pub value: f64,
14    pub side: u8,
15}
16
17const SIZE: usize = 33;
18
19impl DataPoint for LiquidationPoint {
20    const RECORD_SIZE: usize = SIZE;
21
22    fn encode(&self, out: &mut [u8]) {
23        out[0..8].copy_from_slice(&(self.ts_ms as u64).to_le_bytes());
24        out[8..16].copy_from_slice(&self.price.to_le_bytes());
25        out[16..24].copy_from_slice(&self.quantity.to_le_bytes());
26        out[24..32].copy_from_slice(&self.value.to_le_bytes());
27        out[32] = self.side;
28    }
29
30    fn decode(bytes: &[u8]) -> Option<Self> {
31        if bytes.len() != SIZE { return None; }
32        Some(Self {
33            ts_ms: u64::from_le_bytes(bytes[0..8].try_into().ok()?) as i64,
34            price: f64::from_le_bytes(bytes[8..16].try_into().ok()?),
35            quantity: f64::from_le_bytes(bytes[16..24].try_into().ok()?),
36            value: f64::from_le_bytes(bytes[24..32].try_into().ok()?),
37            side: bytes[32],
38        })
39    }
40
41    fn timestamp_ms(&self) -> i64 { self.ts_ms }
42
43    fn from_stream_event(ev: &StreamEvent) -> Option<Self> {
44        if let StreamEvent::Liquidation { liquidation, .. } = ev {
45            let side = match liquidation.side {
46                TradeSide::Buy => 0,
47                TradeSide::Sell => 1,
48            };
49            Some(Self {
50                ts_ms: liquidation.timestamp,
51                price: liquidation.price,
52                quantity: liquidation.quantity,
53                value: liquidation.value.unwrap_or(f64::NAN),
54                side,
55            })
56        } else {
57            None
58        }
59    }
60}
digdigdig3_station/data/liquidation.rs

digdigdig3_station/data/
liquidation.rs
