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pub mod exchanges;
mod msg;
mod order;
use crypto_market_type::MarketType;
use crypto_msg_type::MessageType;
pub use msg::*;
pub use order::Order;
use simple_error::SimpleError;
pub fn extract_symbol(
exchange: &str,
market_type: MarketType,
msg: &str,
) -> Result<String, SimpleError> {
match exchange {
"binance" => exchanges::binance::extract_symbol(msg),
"bitfinex" => exchanges::bitfinex::extract_symbol(msg),
"bitget" => exchanges::bitget::extract_symbol(market_type, msg),
"bithumb" => exchanges::bithumb::extract_symbol(market_type, msg),
"bitmex" => exchanges::bitmex::extract_symbol(market_type, msg),
"bitstamp" => exchanges::bitstamp::extract_symbol(market_type, msg),
"bitz" => exchanges::bitz::extract_symbol(market_type, msg),
"bybit" => exchanges::bybit::extract_symbol(market_type, msg),
"coinbase_pro" => exchanges::coinbase_pro::extract_symbol(market_type, msg),
"deribit" => exchanges::deribit::extract_symbol(market_type, msg),
"dydx" => exchanges::dydx::extract_symbol(msg),
"ftx" => exchanges::ftx::extract_symbol(market_type, msg),
"gate" => exchanges::gate::extract_symbol(market_type, msg),
"huobi" => exchanges::huobi::extract_symbol(msg),
"kraken" => exchanges::kraken::extract_symbol(market_type, msg),
"kucoin" => exchanges::kucoin::extract_symbol(msg),
"mxc" | "mexc" => exchanges::mexc::extract_symbol(msg),
"okex" => exchanges::okex::extract_symbol(market_type, msg),
"okx" => exchanges::okx::extract_symbol(market_type, msg),
"zbg" => exchanges::zbg::extract_symbol(market_type, msg),
_ => Err(SimpleError::new(format!("Unknown exchange {}", exchange))),
}
}
pub fn extract_timestamp(
exchange: &str,
market_type: MarketType,
msg: &str,
received_at: Option<i64>,
) -> Result<i64, SimpleError> {
let timestamp = match exchange {
"binance" => exchanges::binance::extract_timestamp(msg),
"bitfinex" => exchanges::bitfinex::extract_timestamp(msg),
"bitget" => exchanges::bitget::extract_timestamp(market_type, msg),
"bithumb" => exchanges::bithumb::extract_timestamp(market_type, msg),
"bitmex" => exchanges::bitmex::extract_timestamp(market_type, msg),
"bitstamp" => exchanges::bitstamp::extract_timestamp(market_type, msg),
"bitz" => exchanges::bitz::extract_timestamp(market_type, msg),
"bybit" => exchanges::bybit::extract_timestamp(market_type, msg),
"coinbase_pro" => exchanges::coinbase_pro::extract_timestamp(market_type, msg),
"deribit" => exchanges::deribit::extract_timestamp(market_type, msg),
"dydx" => exchanges::dydx::extract_timestamp(market_type, msg),
"ftx" => exchanges::ftx::extract_timestamp(market_type, msg),
"gate" => exchanges::gate::extract_timestamp(market_type, msg),
"huobi" => exchanges::huobi::extract_timestamp(msg),
"kraken" => exchanges::kraken::extract_timestamp(market_type, msg),
"kucoin" => exchanges::kucoin::extract_timestamp(market_type, msg),
"mxc" | "mexc" => exchanges::mexc::extract_timestamp(msg),
"okex" => exchanges::okex::extract_timestamp(market_type, msg),
"okx" => exchanges::okx::extract_timestamp(market_type, msg),
"zbg" => exchanges::zbg::extract_timestamp(market_type, msg),
_ => Err(SimpleError::new(format!("Unknown exchange {}", exchange))),
};
match timestamp {
Ok(ts) => Ok(ts.unwrap_or_else(|| received_at.unwrap())),
Err(e) => Err(e),
}
}
pub fn parse_trade(
exchange: &str,
market_type: MarketType,
msg: &str,
) -> Result<Vec<TradeMsg>, SimpleError> {
match exchange {
"binance" => exchanges::binance::parse_trade(market_type, msg),
"bitfinex" => exchanges::bitfinex::parse_trade(market_type, msg),
"bitget" => exchanges::bitget::parse_trade(market_type, msg),
"bithumb" => exchanges::bithumb::parse_trade(market_type, msg),
"bitmex" => exchanges::bitmex::parse_trade(market_type, msg),
"bitstamp" => exchanges::bitstamp::parse_trade(market_type, msg),
"bitz" => exchanges::bitz::parse_trade(market_type, msg),
"bybit" => exchanges::bybit::parse_trade(market_type, msg),
"coinbase_pro" => exchanges::coinbase_pro::parse_trade(market_type, msg),
"deribit" => exchanges::deribit::parse_trade(market_type, msg),
"dydx" => exchanges::dydx::parse_trade(market_type, msg),
"ftx" => exchanges::ftx::parse_trade(market_type, msg),
"gate" => exchanges::gate::parse_trade(market_type, msg),
"huobi" => exchanges::huobi::parse_trade(market_type, msg),
"kraken" => exchanges::kraken::parse_trade(market_type, msg),
"kucoin" => exchanges::kucoin::parse_trade(market_type, msg),
"mxc" | "mexc" => exchanges::mexc::parse_trade(market_type, msg),
"okex" => exchanges::okex::parse_trade(market_type, msg),
"okx" => exchanges::okx::parse_trade(market_type, msg),
"zbg" => exchanges::zbg::parse_trade(market_type, msg),
_ => Err(SimpleError::new(format!("Unknown exchange {}", exchange))),
}
}
pub fn parse_l2(
exchange: &str,
market_type: MarketType,
msg: &str,
timestamp: Option<i64>,
) -> Result<Vec<OrderBookMsg>, SimpleError> {
let ret = match exchange {
"binance" => exchanges::binance::parse_l2(market_type, msg),
"bitfinex" => exchanges::bitfinex::parse_l2(
market_type,
msg,
timestamp.expect("Bitfinex orderbook messages doesn't have timestamp"),
),
"bitget" => exchanges::bitget::parse_l2(market_type, msg),
"bithumb" => exchanges::bithumb::parse_l2(market_type, msg),
"bitmex" => exchanges::bitmex::parse_l2(
market_type,
msg,
timestamp.expect("BitMEX orderbook messages don't have timestamp"),
),
"bitstamp" => exchanges::bitstamp::parse_l2(market_type, msg),
"bitz" => exchanges::bitz::parse_l2(market_type, msg),
"bybit" => exchanges::bybit::parse_l2(market_type, msg),
"coinbase_pro" => exchanges::coinbase_pro::parse_l2(market_type, msg, timestamp),
"deribit" => exchanges::deribit::parse_l2(market_type, msg),
"dydx" => exchanges::dydx::parse_l2(
market_type,
msg,
timestamp.expect("dYdX orderbook messages don't have timestamp"),
),
"ftx" => exchanges::ftx::parse_l2(market_type, msg),
"gate" => exchanges::gate::parse_l2(market_type, msg, timestamp),
"huobi" => exchanges::huobi::parse_l2(market_type, msg),
"kraken" => exchanges::kraken::parse_l2(market_type, msg),
"kucoin" => exchanges::kucoin::parse_l2(market_type, msg, timestamp),
"mxc" | "mexc" => exchanges::mexc::parse_l2(market_type, msg, timestamp),
"okex" => exchanges::okex::parse_l2(market_type, msg),
"okx" => exchanges::okx::parse_l2(market_type, msg),
"zbg" => exchanges::zbg::parse_l2(market_type, msg),
_ => Err(SimpleError::new(format!("Unknown exchange {}", exchange))),
};
match ret {
Ok(mut orderbooks) => {
for orderbook in orderbooks.iter_mut() {
if orderbook.snapshot {
orderbook
.asks
.sort_by(|a, b| a.price.partial_cmp(&b.price).unwrap());
orderbook
.bids
.sort_by(|a, b| b.price.partial_cmp(&a.price).unwrap());
}
}
Ok(orderbooks)
}
Err(_) => ret,
}
}
pub fn parse_l2_topk(
exchange: &str,
market_type: MarketType,
msg: &str,
) -> Result<Vec<OrderBookMsg>, SimpleError> {
let ret = match exchange {
"binance" => exchanges::binance::parse_l2_topk(market_type, msg),
_ => Err(SimpleError::new(format!("Unknown exchange {}", exchange))),
};
match ret {
Ok(mut orderbooks) => {
for orderbook in orderbooks.iter_mut() {
if orderbook.snapshot {
orderbook
.asks
.sort_by(|a, b| a.price.partial_cmp(&b.price).unwrap());
orderbook
.bids
.sort_by(|a, b| b.price.partial_cmp(&a.price).unwrap());
}
}
Ok(orderbooks)
}
Err(_) => ret,
}
}
pub fn parse_funding_rate(
exchange: &str,
market_type: MarketType,
msg: &str,
) -> Result<Vec<FundingRateMsg>, SimpleError> {
let func = match exchange {
"binance" => exchanges::binance::parse_funding_rate,
"bitget" => exchanges::bitget::parse_funding_rate,
"bitmex" => exchanges::bitmex::parse_funding_rate,
"huobi" => exchanges::huobi::parse_funding_rate,
"okex" => exchanges::okex::parse_funding_rate,
"okx" => exchanges::okx::parse_funding_rate,
_ => {
return Err(SimpleError::new(format!(
"{} does NOT have perpetual swap market",
exchange
)))
}
};
func(market_type, msg)
}
pub fn get_msg_type(exchange: &str, msg: &str) -> MessageType {
match exchange {
"binance" => exchanges::binance::get_msg_type(msg),
"bitget" => exchanges::bitget::get_msg_type(msg),
"bitmex" => exchanges::bitmex::get_msg_type(msg),
"bybit" => exchanges::bybit::get_msg_type(msg),
"deribit" => exchanges::deribit::get_msg_type(msg),
"ftx" => exchanges::ftx::get_msg_type(msg),
"huobi" => exchanges::huobi::get_msg_type(msg),
"kraken" => exchanges::kraken::get_msg_type(msg),
"okex" => exchanges::okex::get_msg_type(msg),
"okx" => exchanges::okx::get_msg_type(msg),
_ => MessageType::Other,
}
}