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
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
use crate::WSClient;
use std::collections::HashMap;
use std::sync::{Arc, Mutex};
use super::utils::ensure_frame_size;
use super::ws_client_internal::{MiscMessage, WSClientInternal};
use super::{Candlestick, Level3OrderBook, OrderBook, OrderBookTopK, Ticker, Trade, BBO};
use log::*;
use serde_json::Value;
use tungstenite::Message;
pub(super) const EXCHANGE_NAME: &str = "deribit";
const WEBSOCKET_URL: &str = "wss://www.deribit.com/ws/api/v2/";
const WS_FRAME_SIZE: usize = 32 * 1024;
pub struct DeribitWSClient<'a> {
client: WSClientInternal<'a>,
}
fn topics_to_command(chunk: &[String], subscribe: bool) -> String {
format!(
r#"{{"method": "public/{}", "params": {{"channels": {}}}}}"#,
if subscribe {
"subscribe"
} else {
"unsubscribe"
},
serde_json::to_string(chunk).unwrap()
)
}
fn channels_to_commands(channels: &[String], subscribe: bool) -> Vec<String> {
let mut all_commands: Vec<String> =
ensure_frame_size(channels, subscribe, topics_to_command, WS_FRAME_SIZE, None);
all_commands
.push(r#"{"method": "public/set_heartbeat", "params": {"interval": 10}}"#.to_string());
all_commands
}
fn on_misc_msg(msg: &str) -> MiscMessage {
let obj = serde_json::from_str::<HashMap<String, Value>>(msg).unwrap();
if obj.contains_key("error") {
panic!("Received {} from {}", msg, EXCHANGE_NAME);
} else if obj.contains_key("result") {
info!("Received {} from {}", msg, EXCHANGE_NAME);
MiscMessage::Misc
} else if obj.contains_key("method") && obj.contains_key("params") {
match obj.get("method").unwrap().as_str().unwrap() {
"subscription" => MiscMessage::Normal,
"heartbeat" => {
let param_type = obj
.get("params")
.unwrap()
.as_object()
.unwrap()
.get("type")
.unwrap()
.as_str()
.unwrap();
if param_type == "test_request" {
let ws_msg = Message::Text(r#"{"method": "public/test"}"#.to_string());
MiscMessage::WebSocket(ws_msg)
} else {
info!("Received {} from {}", msg, EXCHANGE_NAME);
MiscMessage::Misc
}
}
_ => {
warn!("Received {} from {}", msg, EXCHANGE_NAME);
MiscMessage::Misc
}
}
} else {
error!("Received {} from {}", msg, EXCHANGE_NAME);
MiscMessage::Misc
}
}
fn to_raw_channel(channel: &str, pair: &str) -> String {
match channel {
"trade" => format!("trades.{}.raw", pair),
"ticker" => format!("ticker.{}.100ms", pair),
"orderbook" => format!("book.{}.100ms", pair),
"orderbook_snapshot" => format!("book.{}.5.10.100ms", pair),
"bbo" => format!("quote.{}", pair),
_ => panic!("Unknown channel {}", channel),
}
}
#[rustfmt::skip]
impl_trait!(Trade, DeribitWSClient, subscribe_trade, "trade", to_raw_channel);
#[rustfmt::skip]
impl_trait!(Ticker, DeribitWSClient, subscribe_ticker, "ticker", to_raw_channel);
#[rustfmt::skip]
impl_trait!(OrderBook, DeribitWSClient, subscribe_orderbook, "orderbook", to_raw_channel);
#[rustfmt::skip]
impl_trait!(OrderBookTopK, DeribitWSClient, subscribe_orderbook_topk, "orderbook_snapshot", to_raw_channel);
#[rustfmt::skip]
impl_trait!(BBO, DeribitWSClient, subscribe_bbo, "bbo", to_raw_channel);
fn to_candlestick_raw_channel(pair: &str, interval: usize) -> String {
let interval_str = match interval {
60 => "1",
180 => "3",
300 => "5",
600 => "10",
900 => "15",
1800 => "30",
3600 => "60",
7200 => "120",
10800 => "180",
21600 => "360",
43200 => "720",
86400 => "1D",
_ => panic!("Unknown interval {}", interval),
};
format!("chart.trades.{}.{}", pair, interval_str)
}
impl_candlestick!(DeribitWSClient);
panic_l3_orderbook!(DeribitWSClient);
define_client!(
DeribitWSClient,
EXCHANGE_NAME,
WEBSOCKET_URL,
channels_to_commands,
on_misc_msg,
None,
None
);
#[cfg(test)]
mod tests {
#[test]
fn test_one_channel() {
let commands =
super::channels_to_commands(&vec!["trades.BTC-26MAR21.raw".to_string()], true);
assert_eq!(2, commands.len());
assert_eq!(
r#"{"method": "public/subscribe", "params": {"channels": ["trades.BTC-26MAR21.raw"]}}"#,
commands[0]
);
assert_eq!(
r#"{"method": "public/set_heartbeat", "params": {"interval": 10}}"#,
commands[1]
);
}
#[test]
fn test_two_channel() {
let commands = super::channels_to_commands(
&vec![
"trades.BTC-26MAR21.raw".to_string(),
"ticker.BTC-26MAR21.100ms".to_string(),
],
true,
);
assert_eq!(2, commands.len());
assert_eq!(
r#"{"method": "public/subscribe", "params": {"channels": ["trades.BTC-26MAR21.raw","ticker.BTC-26MAR21.100ms"]}}"#,
commands[0]
);
assert_eq!(
r#"{"method": "public/set_heartbeat", "params": {"interval": 10}}"#,
commands[1]
);
}
}