1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
use crypto_market_type::MarketType;
use crypto_msg_type::MessageType;
use crate::{TradeMsg, TradeSide};
use serde::{Deserialize, Serialize};
use serde_json::Value;
use simple_error::SimpleError;
use std::collections::HashMap;
use super::message::WebsocketMsg;
const EXCHANGE_NAME: &str = "huobi";
#[derive(Serialize, Deserialize)]
#[allow(non_snake_case)]
struct LinearTradeMsg {
id: i64,
ts: i64,
amount: f64,
quantity: f64,
trade_turnover: f64,
price: f64,
direction: String,
#[serde(flatten)]
extra: HashMap<String, Value>,
}
#[derive(Serialize, Deserialize)]
struct TradeTick {
id: i64,
ts: i64,
data: Vec<LinearTradeMsg>,
}
pub(crate) fn parse_trade(
market_type: MarketType,
msg: &str,
) -> Result<Vec<TradeMsg>, SimpleError> {
let ws_msg = serde_json::from_str::<WebsocketMsg<TradeTick>>(msg).map_err(|_e| {
SimpleError::new(format!(
"Failed to deserialize {} to WebsocketMsg<TradeTick>",
msg
))
})?;
let symbol = ws_msg.ch.split('.').nth(1).unwrap();
let pair = crypto_pair::normalize_pair(symbol, EXCHANGE_NAME)
.ok_or_else(|| SimpleError::new(format!("Failed to normalize {} from {}", symbol, msg)))?;
let mut trades: Vec<TradeMsg> = ws_msg
.tick
.data
.into_iter()
.map(|raw_trade| TradeMsg {
exchange: EXCHANGE_NAME.to_string(),
market_type,
symbol: symbol.to_string(),
pair: pair.to_string(),
msg_type: MessageType::Trade,
timestamp: raw_trade.ts,
price: raw_trade.price,
quantity_base: raw_trade.quantity,
quantity_quote: raw_trade.trade_turnover,
quantity_contract: Some(raw_trade.amount),
side: if raw_trade.direction == "sell" {
TradeSide::Sell
} else {
TradeSide::Buy
},
trade_id: raw_trade.id.to_string(),
json: serde_json::to_string(&raw_trade).unwrap(),
})
.collect();
if trades.len() == 1 {
trades[0].json = msg.to_string();
}
Ok(trades)
}