use crate::{
ChannelId, PriceFeedId, PriceFeedProperty,
api::MarketSession,
price::Price,
rate::Rate,
time::{DurationUs, TimestampUs},
};
use {
anyhow::bail,
byteorder::{BE, ByteOrder, LE, ReadBytesExt, WriteBytesExt},
serde::{Deserialize, Serialize},
std::{
io::{Cursor, Read, Write},
num::NonZeroI64,
},
};
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
pub struct PayloadData {
pub timestamp_us: TimestampUs,
pub channel_id: ChannelId,
pub feeds: Vec<PayloadFeedData>,
}
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
pub struct PayloadFeedData {
pub feed_id: PriceFeedId,
pub properties: Vec<PayloadPropertyValue>,
}
#[derive(Debug, Clone, PartialEq, Eq, Hash)]
pub enum PayloadPropertyValue {
Price(Option<Price>),
BestBidPrice(Option<Price>),
BestAskPrice(Option<Price>),
PublisherCount(u16),
Exponent(i16),
Confidence(Option<Price>),
FundingRate(Option<Rate>),
FundingTimestamp(Option<TimestampUs>),
FundingRateInterval(Option<DurationUs>),
MarketSession(MarketSession),
}
#[derive(Debug, Clone, PartialEq, Eq, Hash, Serialize, Deserialize)]
pub struct AggregatedPriceFeedData {
pub price: Option<Price>,
pub best_bid_price: Option<Price>,
pub best_ask_price: Option<Price>,
pub publisher_count: u16,
pub exponent: i16,
pub confidence: Option<Price>,
pub funding_rate: Option<Rate>,
pub funding_timestamp: Option<TimestampUs>,
pub funding_rate_interval: Option<DurationUs>,
pub market_session: MarketSession,
}
impl AggregatedPriceFeedData {
pub fn empty(exponent: i16, market_session: MarketSession) -> Self {
Self {
price: None,
best_bid_price: None,
best_ask_price: None,
publisher_count: 0,
exponent,
confidence: None,
funding_rate: None,
funding_timestamp: None,
funding_rate_interval: None,
market_session,
}
}
}
pub const PAYLOAD_FORMAT_MAGIC: u32 = 2479346549;
impl PayloadData {
pub fn new(
timestamp_us: TimestampUs,
channel_id: ChannelId,
feeds: &[(PriceFeedId, AggregatedPriceFeedData)],
requested_properties: &[PriceFeedProperty],
) -> Self {
Self {
timestamp_us,
channel_id,
feeds: feeds
.iter()
.map(|(feed_id, feed)| PayloadFeedData {
feed_id: *feed_id,
properties: requested_properties
.iter()
.map(|property| match property {
PriceFeedProperty::Price => PayloadPropertyValue::Price(feed.price),
PriceFeedProperty::BestBidPrice => {
PayloadPropertyValue::BestBidPrice(feed.best_bid_price)
}
PriceFeedProperty::BestAskPrice => {
PayloadPropertyValue::BestAskPrice(feed.best_ask_price)
}
PriceFeedProperty::PublisherCount => {
PayloadPropertyValue::PublisherCount(feed.publisher_count)
}
PriceFeedProperty::Exponent => {
PayloadPropertyValue::Exponent(feed.exponent)
}
PriceFeedProperty::Confidence => {
PayloadPropertyValue::Confidence(feed.confidence)
}
PriceFeedProperty::FundingRate => {
PayloadPropertyValue::FundingRate(feed.funding_rate)
}
PriceFeedProperty::FundingTimestamp => {
PayloadPropertyValue::FundingTimestamp(feed.funding_timestamp)
}
PriceFeedProperty::FundingRateInterval => {
PayloadPropertyValue::FundingRateInterval(
feed.funding_rate_interval,
)
}
PriceFeedProperty::MarketSession => {
PayloadPropertyValue::MarketSession(feed.market_session)
}
})
.collect(),
})
.collect(),
}
}
pub fn serialize<BO: ByteOrder>(&self, mut writer: impl Write) -> anyhow::Result<()> {
writer.write_u32::<BO>(PAYLOAD_FORMAT_MAGIC)?;
writer.write_u64::<BO>(self.timestamp_us.as_micros())?;
writer.write_u8(self.channel_id.0)?;
writer.write_u8(self.feeds.len().try_into()?)?;
for feed in &self.feeds {
writer.write_u32::<BO>(feed.feed_id.0)?;
writer.write_u8(feed.properties.len().try_into()?)?;
for property in &feed.properties {
match property {
PayloadPropertyValue::Price(price) => {
writer.write_u8(PriceFeedProperty::Price as u8)?;
write_option_price::<BO>(&mut writer, *price)?;
}
PayloadPropertyValue::BestBidPrice(price) => {
writer.write_u8(PriceFeedProperty::BestBidPrice as u8)?;
write_option_price::<BO>(&mut writer, *price)?;
}
PayloadPropertyValue::BestAskPrice(price) => {
writer.write_u8(PriceFeedProperty::BestAskPrice as u8)?;
write_option_price::<BO>(&mut writer, *price)?;
}
PayloadPropertyValue::PublisherCount(count) => {
writer.write_u8(PriceFeedProperty::PublisherCount as u8)?;
writer.write_u16::<BO>(*count)?;
}
PayloadPropertyValue::Exponent(exponent) => {
writer.write_u8(PriceFeedProperty::Exponent as u8)?;
writer.write_i16::<BO>(*exponent)?;
}
PayloadPropertyValue::Confidence(confidence) => {
writer.write_u8(PriceFeedProperty::Confidence as u8)?;
write_option_price::<BO>(&mut writer, *confidence)?;
}
PayloadPropertyValue::FundingRate(rate) => {
writer.write_u8(PriceFeedProperty::FundingRate as u8)?;
write_option_rate::<BO>(&mut writer, *rate)?;
}
PayloadPropertyValue::FundingTimestamp(timestamp) => {
writer.write_u8(PriceFeedProperty::FundingTimestamp as u8)?;
write_option_timestamp::<BO>(&mut writer, *timestamp)?;
}
&PayloadPropertyValue::FundingRateInterval(interval) => {
writer.write_u8(PriceFeedProperty::FundingRateInterval as u8)?;
write_option_duration::<BO>(&mut writer, interval)?;
}
PayloadPropertyValue::MarketSession(market_session) => {
writer.write_u8(PriceFeedProperty::MarketSession as u8)?;
writer.write_i16::<BO>((*market_session).into())?;
}
}
}
}
Ok(())
}
pub fn deserialize_slice_le(data: &[u8]) -> anyhow::Result<Self> {
Self::deserialize::<LE>(Cursor::new(data))
}
pub fn deserialize_slice_be(data: &[u8]) -> anyhow::Result<Self> {
Self::deserialize::<BE>(Cursor::new(data))
}
pub fn deserialize<BO: ByteOrder>(mut reader: impl Read) -> anyhow::Result<Self> {
let magic = reader.read_u32::<BO>()?;
if magic != PAYLOAD_FORMAT_MAGIC {
bail!("magic mismatch");
}
let timestamp_us = TimestampUs::from_micros(reader.read_u64::<BO>()?);
let channel_id = ChannelId(reader.read_u8()?);
let num_feeds = reader.read_u8()?;
let mut feeds = Vec::with_capacity(num_feeds.into());
for _ in 0..num_feeds {
let feed_id = PriceFeedId(reader.read_u32::<BO>()?);
let num_properties = reader.read_u8()?;
let mut feed = PayloadFeedData {
feed_id,
properties: Vec::with_capacity(num_properties.into()),
};
for _ in 0..num_properties {
let property = reader.read_u8()?;
let value = if property == PriceFeedProperty::Price as u8 {
PayloadPropertyValue::Price(read_option_price::<BO>(&mut reader)?)
} else if property == PriceFeedProperty::BestBidPrice as u8 {
PayloadPropertyValue::BestBidPrice(read_option_price::<BO>(&mut reader)?)
} else if property == PriceFeedProperty::BestAskPrice as u8 {
PayloadPropertyValue::BestAskPrice(read_option_price::<BO>(&mut reader)?)
} else if property == PriceFeedProperty::PublisherCount as u8 {
PayloadPropertyValue::PublisherCount(reader.read_u16::<BO>()?)
} else if property == PriceFeedProperty::Exponent as u8 {
PayloadPropertyValue::Exponent(reader.read_i16::<BO>()?)
} else if property == PriceFeedProperty::Confidence as u8 {
PayloadPropertyValue::Confidence(read_option_price::<BO>(&mut reader)?)
} else if property == PriceFeedProperty::FundingRate as u8 {
PayloadPropertyValue::FundingRate(read_option_rate::<BO>(&mut reader)?)
} else if property == PriceFeedProperty::FundingTimestamp as u8 {
PayloadPropertyValue::FundingTimestamp(read_option_timestamp::<BO>(
&mut reader,
)?)
} else if property == PriceFeedProperty::FundingRateInterval as u8 {
PayloadPropertyValue::FundingRateInterval(read_option_interval::<BO>(
&mut reader,
)?)
} else if property == PriceFeedProperty::MarketSession as u8 {
PayloadPropertyValue::MarketSession(reader.read_i16::<BO>()?.try_into()?)
} else {
bail!("unknown property");
};
feed.properties.push(value);
}
feeds.push(feed);
}
Ok(Self {
timestamp_us,
channel_id,
feeds,
})
}
}
fn write_option_price<BO: ByteOrder>(
mut writer: impl Write,
value: Option<Price>,
) -> std::io::Result<()> {
writer.write_i64::<BO>(value.map_or(0, |v| v.mantissa_i64()))
}
fn read_option_price<BO: ByteOrder>(mut reader: impl Read) -> std::io::Result<Option<Price>> {
let value = NonZeroI64::new(reader.read_i64::<BO>()?);
Ok(value.map(Price::from_nonzero_mantissa))
}
fn write_option_rate<BO: ByteOrder>(
mut writer: impl Write,
value: Option<Rate>,
) -> std::io::Result<()> {
match value {
Some(value) => {
writer.write_u8(1)?;
writer.write_i64::<BO>(value.mantissa())
}
None => {
writer.write_u8(0)?;
Ok(())
}
}
}
fn read_option_rate<BO: ByteOrder>(mut reader: impl Read) -> std::io::Result<Option<Rate>> {
let present = reader.read_u8()? != 0;
if present {
Ok(Some(Rate::from_mantissa(reader.read_i64::<BO>()?)))
} else {
Ok(None)
}
}
fn write_option_timestamp<BO: ByteOrder>(
mut writer: impl Write,
value: Option<TimestampUs>,
) -> std::io::Result<()> {
match value {
Some(value) => {
writer.write_u8(1)?;
writer.write_u64::<BO>(value.as_micros())
}
None => {
writer.write_u8(0)?;
Ok(())
}
}
}
fn read_option_timestamp<BO: ByteOrder>(
mut reader: impl Read,
) -> std::io::Result<Option<TimestampUs>> {
let present = reader.read_u8()? != 0;
if present {
Ok(Some(TimestampUs::from_micros(reader.read_u64::<BO>()?)))
} else {
Ok(None)
}
}
fn write_option_duration<BO: ByteOrder>(
mut writer: impl Write,
value: Option<DurationUs>,
) -> std::io::Result<()> {
match value {
Some(value) => {
writer.write_u8(1)?;
writer.write_u64::<BO>(value.as_micros())
}
None => {
writer.write_u8(0)?;
Ok(())
}
}
}
fn read_option_interval<BO: ByteOrder>(
mut reader: impl Read,
) -> std::io::Result<Option<DurationUs>> {
let present = reader.read_u8()? != 0;
if present {
Ok(Some(DurationUs::from_micros(reader.read_u64::<BO>()?)))
} else {
Ok(None)
}
}