marketdata-core

Rust library for Fugle market data streaming. Provides REST API and WebSocket clients for Taiwan stock and futures/options market data.

Features

• REST Client: Synchronous HTTP client for market data queries
  • Stock intraday data (quote, ticker, candles, trades, volumes)
  • FutOpt (futures/options) intraday data
• WebSocket Client: Async real-time streaming
  • Stock channels: trades, candles, books, aggregates, indices
  • FutOpt channels: trades, candles, books, aggregates
  • Automatic reconnection with exponential backoff
  • Health check monitoring
• Authentication: API key, bearer token, or SDK token
• FFI-ready: Error codes and types designed for Python/JavaScript bindings

Quick Start

Installation

Add to your Cargo.toml:

[dependencies]
marketdata-core = { path = "../marketdata-core" }
tokio = { version = "1", features = ["rt-multi-thread", "macros"] }

REST API

use marketdata_core::{RestClient, Auth};

fn main() -> Result<(), marketdata_core::MarketDataError> {
    // Create client with API key authentication
    let client = RestClient::new(Auth::ApiKey(
        std::env::var("FUGLE_API_KEY").expect("FUGLE_API_KEY not set")
    ));

    // Get stock quote
    let quote = client.stock().intraday().quote().symbol("2330").send()?;
    println!("TSMC Quote:");
    println!("  Price: {:?}", quote.close_price);
    println!("  Change: {:?}", quote.change);
    println!("  Volume: {:?}", quote.total.trade_volume);

    // Get stock ticker info
    let ticker = client.stock().intraday().ticker().symbol("2330").send()?;
    println!("\nTicker: {} - {}", ticker.symbol, ticker.name);

    // Get intraday candles (5-minute)
    let candles = client.stock().intraday().candles()
        .symbol("2330")
        .timeframe("5")
        .send()?;
    println!("\nCandles: {} entries", candles.data.len());

    // Get FutOpt quote
    let futopt_quote = client.futopt().intraday().quote()
        .symbol("TXF202502")
        .send()?;
    println!("\nFutures Quote: {:?}", futopt_quote.close_price);

    Ok(())
}

WebSocket Streaming

use marketdata_core::{
    AuthRequest, Channel, WebSocketClient,
    websocket::{ConnectionConfig, ConnectionEvent},
};
use std::sync::Arc;

#[tokio::main]
async fn main() -> Result<(), marketdata_core::MarketDataError> {
    // Create WebSocket client
    let config = ConnectionConfig::fugle_stock(
        AuthRequest::with_api_key(
            std::env::var("FUGLE_API_KEY").expect("FUGLE_API_KEY not set")
        )
    );
    let client = WebSocketClient::new(config);

    // Connect and authenticate
    client.connect().await?;
    println!("Connected to WebSocket");

    // Subscribe to channels — single symbol
    use marketdata_core::websocket::channels::StockSubscription;
    client.subscribe(StockSubscription::new(Channel::Trades, "2330")).await?;
    client.subscribe(StockSubscription::new(Channel::Books, "2330")).await?;

    // Batch subscribe — one frame, N symbols
    client.subscribe(StockSubscription::new(
        Channel::Aggregates,
        vec!["2330", "0050", "2603"],
    )).await?;
    println!("Subscribed to 2330 trades + books and 3-symbol aggregates batch");

    // Get message receiver
    let messages = client.messages();

    // Process messages in a separate task
    let msg_handle = tokio::spawn(async move {
        for _ in 0..10 {
            // receive_timeout returns Result<Option<msg>, _>:
            //   Ok(Some(msg)) — message received
            //   Ok(None)      — timeout elapsed
            //   Err(_)        — channel closed
            match messages.receive_timeout(std::time::Duration::from_secs(5)) {
                Ok(Some(msg)) => {
                    if msg.is_data() {
                        println!("Data: {:?} - {:?}", msg.channel, msg.symbol);
                    }
                }
                Ok(None) => continue,
                Err(_) => break,
            }
        }
    });

    // Wait for messages
    msg_handle.await.ok();

    // Graceful disconnect
    client.disconnect().await?;
    println!("Disconnected");

    Ok(())
}

Authentication

Three authentication methods are supported:

use marketdata_core::Auth;

// 1. API Key (most common)
let auth = Auth::ApiKey("your-api-key".to_string());

// 2. Bearer Token
let auth = Auth::BearerToken("your-bearer-token".to_string());

// 3. SDK Token
let auth = Auth::SdkToken("your-sdk-token".to_string());

For WebSocket:

use marketdata_core::AuthRequest;

let auth = AuthRequest::with_api_key("your-api-key");
let auth = AuthRequest::with_token("your-bearer-token");
let auth = AuthRequest::with_sdk_token("your-sdk-token");

Configuration

ReconnectionConfig

Control WebSocket automatic reconnection behavior with exponential backoff:

use marketdata_core::websocket::ReconnectionConfig;
use std::time::Duration;

let reconnect = ReconnectionConfig::new(
    10,                              // max_attempts (min: 1)
    Duration::from_millis(2_000),    // initial_delay (min: 100ms)
    Duration::from_millis(120_000),  // max_delay
)?;

Parameters:

• max_attempts (u32): Maximum reconnection attempts (default: 5, range: 1+)
• initial_delay (Duration): Initial delay for exponential backoff (default: 1000ms, min: 100ms)
• max_delay (Duration): Maximum delay cap (default: 60000ms)

Validation:

• max_attempts must be >= 1
• initial_delay must be >= 100ms (prevents connection storms)
• max_delay must be >= initial_delay (logical constraint)

HealthCheckConfig

Control connection liveness detection. The SDK declares the connection dead and triggers reconnect when no inbound frame arrives within heartbeat_timeout.

The SDK uses passive activity detection at the WebSocket read site — no background task, no atomic timestamps, no protocol-level pings. The dispatch loop wraps each ws_read.next() in tokio::time::timeout(heartbeat_timeout, ...) and emits ConnectionEvent::HeartbeatTimeout when the timer fires.

use marketdata_core::websocket::HealthCheckConfig;
use std::time::Duration;

// Recommended: with_timeout validates against the 5s sanity floor.
let health = HealthCheckConfig::with_timeout(Duration::from_secs(35))?;

// Default: enabled=true, heartbeat_timeout=35s (Fugle server's 30s heartbeat
// + 5s buffer).
let health = HealthCheckConfig::default();

// Opt out (discouraged — stalled connections won't surface until OS times
// out the underlying TCP, typically hours later).
let health = HealthCheckConfig::disabled();

Parameters:

• enabled (bool): Whether liveness detection is active. Default true in 3.0 (was false in 2.x).
• heartbeat_timeout (Duration): Maximum allowed gap between inbound frames. Default 35s. Floor 5s — but values below the live server's 30s heartbeat period will cause repeated false disconnects.

Migration from 2.x: interval × max_missed_pongs collapsed into a single heartbeat_timeout field. If you used HealthCheckConfig::new(enabled, interval, max_missed_pongs), the equivalent is HealthCheckConfig::with_timeout(interval * max_missed_pongs)?.

Config Constants

All configuration constants are exported from lib.rs for use in binding layers:

// Reconnection defaults
pub const DEFAULT_MAX_ATTEMPTS: u32 = 5;
pub const DEFAULT_INITIAL_DELAY_MS: u64 = 1000;
pub const DEFAULT_MAX_DELAY_MS: u64 = 60000;
pub const MIN_INITIAL_DELAY_MS: u64 = 100;

// Health check defaults (3.0)
pub const DEFAULT_HEALTH_CHECK_ENABLED: bool = true;
pub const DEFAULT_HEARTBEAT_TIMEOUT_MS: u64 = 35000;
pub const MIN_HEARTBEAT_TIMEOUT_MS: u64 = 5000;

Which constructor should I use?

The SDK exposes four distinct construction paths. They look similar; this section pins which to reach for in which situation.

1. bon-derived builders — default-filled construction, maybe_* setters for Option<T> fields, no validation. Use for:

• SubscribeRequest::builder()
• RetryPolicy::builder()
• ReconnectionConfig::builder()

use marketdata_core::{ReconnectionConfig, RetryPolicy};
use std::time::Duration;

let reconnect = ReconnectionConfig::builder()
    .max_attempts(10)
    .initial_delay(Duration::from_secs(2))
    .build();

let retry = RetryPolicy::builder()
    .max_attempts(5)
    .initial_backoff(Duration::from_millis(250))
    .max_backoff(Duration::from_secs(10))
    .build();

2. Validating positional constructors — return Result<Self, MarketDataError> and reject bad inputs at construction. Use when validation matters:

• ReconnectionConfig::new(max_attempts, initial_delay, max_delay)?

use marketdata_core::ReconnectionConfig;
use std::time::Duration;

let reconnect = ReconnectionConfig::new(
    5,
    Duration::from_secs(1),
    Duration::from_secs(60),
)?; // returns ConfigError on invalid inputs

3. Typestate factory — derives stock + futopt endpoint configurations from one auth credential. Use for full-application setup:

use marketdata_core::websocket::WebSocketFactory;
use marketdata_core::AuthRequest;

let cfg = WebSocketFactory::new()
    .auth(AuthRequest::with_api_key("k"))
    .stock()
    .build();

4. Convenience constructors — one-liner for common cases. Use in examples, scripts, and one-shot integration tests:

• ConnectionConfig::fugle_stock(auth)
• ConnectionConfig::fugle_futopt(auth)
• RetryPolicy::conservative() / RetryPolicy::aggressive()
• ReconnectionConfig::default() / ReconnectionConfig::disabled()

use marketdata_core::websocket::ConnectionConfig;
use marketdata_core::AuthRequest;

let cfg = ConnectionConfig::fugle_stock(AuthRequest::with_api_key("k"));

Rule of thumb: Reach for the bon builder by default. If your inputs come from external configuration (env vars, JSON, a CLI flag) and you want bounds-checking at the boundary, use the positional new(...) constructor. Use the typestate factory when one auth credential drives multiple endpoint configurations.

Error Handling

All operations return Result<T, MarketDataError>:

use marketdata_core::MarketDataError;

match client.stock().intraday().quote().symbol("2330").send() {
    Ok(quote) => println!("Price: {:?}", quote.close_price),
    Err(MarketDataError::AuthError { msg }) => {
        eprintln!("Authentication failed: {}", msg);
    }
    Err(MarketDataError::ApiError { status, message }) => {
        eprintln!("API error {}: {}", status, message);
    }
    Err(MarketDataError::TimeoutError { operation }) => {
        eprintln!("Timeout during: {}", operation);
    }
    Err(e) => eprintln!("Error: {}", e),
}

Error codes for FFI consumers:

API Reference

See the API documentation for complete details.

REST Endpoints

Stock Intraday:

• client.stock().intraday().quote() - Real-time quote
• client.stock().intraday().ticker() - Symbol information
• client.stock().intraday().candles() - OHLCV candles
• client.stock().intraday().trades() - Trade history
• client.stock().intraday().volumes() - Volume by price

FutOpt Intraday:

• client.futopt().intraday().quote() - Real-time quote
• client.futopt().intraday().ticker() - Contract information
• client.futopt().intraday().tickers() - Multiple contracts
• client.futopt().intraday().candles() - OHLCV candles
• client.futopt().intraday().trades() - Trade history
• client.futopt().intraday().volumes() - Volume by price
• client.futopt().intraday().products() - Product listing

WebSocket Channels

Examples

See the examples/ directory:

• rest_basic.rs - REST API usage
• websocket_basic.rs - WebSocket streaming

Run examples:

export FUGLE_API_KEY="your-api-key"
cargo run --example rest_basic
cargo run --example websocket_basic

License

MIT