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use crypto_market_type::MarketType;
use crypto_msg_type::MessageType;
use crate::{exchanges::utils::calc_quantity_and_volume, Order, OrderBookMsg, TradeMsg, TradeSide};
use serde::{Deserialize, Serialize};
use serde_json::Value;
use simple_error::SimpleError;
use std::collections::HashMap;
const EXCHANGE_NAME: &str = "kraken";
#[derive(Serialize, Deserialize)]
struct Trade {
feed: String,
product_id: String,
side: String,
uid: String,
#[serde(rename = "type")]
type_: String,
seq: i64,
time: i64,
qty: f64,
price: f64,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
#[derive(Serialize, Deserialize)]
struct TradeSnapshot {
feed: String,
product_id: String,
trades: Vec<Trade>,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
#[derive(Serialize, Deserialize)]
struct RawOrder {
price: f64,
qty: f64,
}
#[derive(Serialize, Deserialize)]
struct OrderbookSnapshot {
feed: String,
product_id: String,
timestamp: i64,
seq: i64,
asks: Vec<RawOrder>,
bids: Vec<RawOrder>,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
#[derive(Serialize, Deserialize)]
struct OrderbookUpdate {
feed: String,
product_id: String,
side: String,
seq: i64,
price: f64,
qty: f64,
timestamp: i64,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
pub(super) fn extract_symbol(msg: &str) -> Result<String, SimpleError> {
let obj = serde_json::from_str::<HashMap<String, Value>>(msg).map_err(|_e| {
SimpleError::new(format!(
"Failed to deserialize {} to HashMap<String, Value>",
msg
))
})?;
if obj.contains_key("product_id") {
Ok(obj.get("product_id").unwrap().as_str().unwrap().to_string())
} else {
Err(SimpleError::new(format!("No product_id found in {}", msg)))
}
}
pub(super) fn extract_timestamp(msg: &str) -> Result<Option<i64>, SimpleError> {
let obj = serde_json::from_str::<HashMap<String, Value>>(msg).map_err(|_e| {
SimpleError::new(format!(
"Failed to deserialize {} to HashMap<String, Value>",
msg
))
})?;
let feed = obj["feed"].as_str().unwrap();
match feed {
"trade" => Ok(Some(obj["time"].as_i64().unwrap())),
"trade_snapshot" => {
let trades = obj["trades"].as_array().unwrap();
let timestamp = trades.iter().fold(std::i64::MIN, |a, raw_trade| {
a.max(raw_trade["time"].as_i64().unwrap())
});
if timestamp == std::i64::MIN {
Err(SimpleError::new(format!("trades is empty in {}", msg)))
} else {
Ok(Some(timestamp))
}
}
"book" => Ok(Some(obj["timestamp"].as_i64().unwrap())),
"book_snapshot" => Ok(Some(obj["timestamp"].as_i64().unwrap())),
_ => Err(SimpleError::new(format!("Unknown feed in {}", msg))),
}
}
fn convert_trade(raw_trade: Trade) -> TradeMsg {
let market_type = if raw_trade.product_id.starts_with("PI_") {
MarketType::InverseSwap
} else if raw_trade.product_id.starts_with("FI_") {
MarketType::InverseFuture
} else {
MarketType::Unknown
};
let pair = crypto_pair::normalize_pair(&raw_trade.product_id, EXCHANGE_NAME).unwrap();
TradeMsg {
exchange: EXCHANGE_NAME.to_string(),
market_type,
symbol: raw_trade.product_id.clone(),
pair,
msg_type: MessageType::Trade,
timestamp: raw_trade.time,
price: raw_trade.price,
quantity_base: raw_trade.qty / raw_trade.price,
quantity_quote: raw_trade.qty,
quantity_contract: Some(raw_trade.qty),
side: if raw_trade.side == "sell" {
TradeSide::Sell
} else {
TradeSide::Buy
},
trade_id: raw_trade.seq.to_string(),
json: serde_json::to_string(&raw_trade).unwrap(),
}
}
pub(crate) fn parse_trade(msg: &str) -> Result<Vec<TradeMsg>, SimpleError> {
if let Ok(trade) = serde_json::from_str::<Trade>(msg) {
Ok(vec![convert_trade(trade)])
} else if let Ok(trade_snapshot) = serde_json::from_str::<TradeSnapshot>(msg) {
Ok(trade_snapshot
.trades
.into_iter()
.map(convert_trade)
.collect())
} else {
Err(SimpleError::new(format!("Failed to parse {}", msg)))
}
}
pub(crate) fn parse_l2(msg: &str) -> Result<Vec<OrderBookMsg>, SimpleError> {
if let Ok(orderbook_update) = serde_json::from_str::<OrderbookUpdate>(msg) {
let market_type = if orderbook_update.product_id.starts_with("PI_") {
MarketType::InverseSwap
} else if orderbook_update.product_id.starts_with("FI_") {
MarketType::InverseFuture
} else {
MarketType::Unknown
};
let pair =
crypto_pair::normalize_pair(&orderbook_update.product_id, EXCHANGE_NAME).unwrap();
let orders = {
let (quantity_base, quantity_quote, quantity_contract) = calc_quantity_and_volume(
EXCHANGE_NAME,
market_type,
&pair,
orderbook_update.price,
orderbook_update.qty,
);
vec![Order {
price: orderbook_update.price,
quantity_base,
quantity_quote,
quantity_contract,
}]
};
let mut orderbook = OrderBookMsg {
exchange: EXCHANGE_NAME.to_string(),
market_type,
symbol: orderbook_update.product_id.clone(),
pair,
msg_type: MessageType::L2Event,
timestamp: orderbook_update.timestamp,
seq_id: Some(orderbook_update.seq as u64),
prev_seq_id: None,
asks: Vec::new(),
bids: Vec::new(),
snapshot: false,
json: msg.to_string(),
};
if orderbook_update.side == "buy" {
orderbook.bids = orders;
} else if orderbook_update.side == "sell" {
orderbook.asks = orders;
} else {
panic!("Unexpected side {}", orderbook_update.side);
}
Ok(vec![orderbook])
} else if let Ok(orderbook_snapshot) = serde_json::from_str::<OrderbookSnapshot>(msg) {
let market_type = if orderbook_snapshot.product_id.starts_with("PI_") {
MarketType::InverseSwap
} else if orderbook_snapshot.product_id.starts_with("FI_") {
MarketType::InverseFuture
} else {
MarketType::Unknown
};
let pair =
crypto_pair::normalize_pair(&orderbook_snapshot.product_id, EXCHANGE_NAME).unwrap();
let parse_order = |raw_order: &RawOrder| -> Order {
let (quantity_base, quantity_quote, quantity_contract) = calc_quantity_and_volume(
EXCHANGE_NAME,
market_type,
&pair,
raw_order.price,
raw_order.qty,
);
Order {
price: raw_order.price,
quantity_base,
quantity_quote,
quantity_contract,
}
};
let orderbook = OrderBookMsg {
exchange: EXCHANGE_NAME.to_string(),
market_type,
symbol: orderbook_snapshot.product_id.clone(),
pair: pair.clone(),
msg_type: MessageType::L2Event,
timestamp: orderbook_snapshot.timestamp,
seq_id: Some(orderbook_snapshot.seq as u64),
prev_seq_id: None,
asks: orderbook_snapshot
.asks
.iter()
.map(|raw_order| parse_order(raw_order))
.collect::<Vec<Order>>(),
bids: orderbook_snapshot
.bids
.iter()
.map(|raw_order| parse_order(raw_order))
.collect::<Vec<Order>>(),
snapshot: true,
json: msg.to_string(),
};
Ok(vec![orderbook])
} else {
Err(SimpleError::new(format!("Failed to parse {}", msg)))
}
}