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use std::{
collections::{HashMap, HashSet},
sync::Arc,
};
use uuid::Uuid;
use async_std::sync::{Mutex, RwLock};
use async_std::task;
use crate::{
fixapi::FixApi,
messages::MarketDataReq,
types::{
ConnectionHandler, DepthPrice, Error, Field, IncrementalRefresh, InternalMDResult,
MarketDataHandler, MarketType, SpotPrice,
},
};
#[derive(Debug, PartialEq, Clone, Eq)]
enum RequestState {
Requested(String),
Accepted,
Rejected,
}
pub struct MarketClient {
internal: FixApi,
spot_req_states: Arc<Mutex<HashMap<u32, RequestState>>>,
depth_req_states: Arc<Mutex<HashMap<u32, RequestState>>>,
spot_market_data: Arc<Mutex<HashMap<u32, SpotPrice>>>,
depth_market_data: Arc<RwLock<HashMap<u32, HashMap<String, DepthPrice>>>>,
//
//
market_data_handler: Option<Arc<dyn MarketDataHandler + Send + Sync>>,
}
fn insert_entry_to(e: HashMap<Field, String>, depth_data: &mut HashMap<String, DepthPrice>) {
if e.len() < 4 {
return;
}
let eid = e.get(&Field::MDEntryID).unwrap();
depth_data.insert(
eid.clone(),
DepthPrice {
price_type: e.get(&Field::MDEntryType).unwrap().parse().unwrap(),
price: e.get(&Field::MDEntryPx).unwrap().parse::<f64>().unwrap(),
size: e.get(&Field::MDEntrySize).unwrap().parse::<f64>().unwrap(),
},
);
}
fn depth_data_from_entries(data: Vec<HashMap<Field, String>>) -> HashMap<String, DepthPrice> {
let mut depth_data = HashMap::new();
for e in data.into_iter() {
insert_entry_to(e, &mut depth_data);
}
depth_data
}
fn spot_price_from_market_data(data: Vec<HashMap<Field, String>>) -> SpotPrice {
let mut price = SpotPrice {
bid: 0f64,
ask: 0f64,
};
for i in 0..2 {
let value = data[i]
.get(&Field::MDEntryPx)
.unwrap()
.parse::<f64>()
.unwrap();
if data[i].get(&Field::MDEntryType).unwrap() == "0" {
price.bid = value;
} else {
price.ask = value;
}
}
price
}
impl MarketClient {
pub fn new(
host: String,
login: String,
password: String,
broker: String,
heartbeat_interval: Option<u32>,
) -> Self {
Self {
internal: FixApi::new(
crate::types::SubID::QUOTE,
host,
login,
password,
broker,
heartbeat_interval,
),
spot_req_states: Arc::new(Mutex::new(HashMap::new())),
spot_market_data: Arc::new(Mutex::new(HashMap::new())),
depth_req_states: Arc::new(Mutex::new(HashMap::new())),
depth_market_data: Arc::new(RwLock::new(HashMap::new())),
market_data_handler: None,
}
}
pub fn register_market_handler_arc<T: MarketDataHandler + Send + Sync + 'static>(
&mut self,
handler: Arc<T>,
) {
self.market_data_handler = Some(handler);
}
pub fn register_market_handler<T: MarketDataHandler + Send + Sync + 'static>(
&mut self,
handler: T,
) {
self.market_data_handler = Some(Arc::new(handler));
}
pub fn register_connection_handler_arc<T: ConnectionHandler + Send + Sync + 'static>(
&mut self,
handler: Arc<T>,
) {
self.internal.register_connection_handler_arc(handler);
}
pub fn register_connection_handler<T: ConnectionHandler + Send + Sync + 'static>(
&mut self,
handler: T,
) {
self.internal.register_connection_handler(handler);
}
fn register_internal_handler(&mut self) {
// clone
let trigger = self.internal.trigger.clone();
let spot_req_states_clone = self.spot_req_states.clone();
let spot_market_data_clone = self.spot_market_data.clone();
let depth_req_states_clone = self.depth_req_states.clone();
let depth_market_data_clone = self.depth_market_data.clone();
let market_data_handler = self.market_data_handler.clone();
let market_callback = move |mdresult: InternalMDResult| {
// symbol_id is only valid for msg_type - 'W'
let tx = trigger.clone();
let spot_req_states_clone = spot_req_states_clone.clone();
let spot_market_data_clone = spot_market_data_clone.clone();
let depth_req_states_clone = depth_req_states_clone.clone();
let depth_market_data_clone = depth_market_data_clone.clone();
let market_data_handler = market_data_handler.clone();
// let mtype = String::from(msg_type);
//
task::spawn(async move {
match mdresult {
InternalMDResult::MD {
msg_type,
symbol_id,
data,
} => {
match msg_type {
'W' => {
// check whether data is spot or depth
if data.len() != 0 && !data[0].contains_key(&Field::MDEntryID) {
//spot
let requested_symbol = spot_req_states_clone
.lock()
.await
.get(&symbol_id)
.map(|v| match v {
RequestState::Requested(_) => true,
_ => false,
})
.unwrap_or(false);
if requested_symbol {
spot_req_states_clone
.lock()
.await
.insert(symbol_id, RequestState::Accepted);
// to handler
if let Some(handler) = &market_data_handler {
handler.on_accpeted_spot_subscription(symbol_id).await;
}
}
// update spot data
if data.len() >= 2 {
let prices = spot_price_from_market_data(data);
spot_market_data_clone
.lock()
.await
.insert(symbol_id, prices.clone());
// to handler
if let Some(handler) = &market_data_handler {
handler.on_price_of(symbol_id, prices).await;
}
}
} else {
// depth
let requested_symbol = depth_req_states_clone
.lock()
.await
.get(&symbol_id)
.map(|v| match v {
RequestState::Requested(_) => true,
_ => false,
})
.unwrap_or(false);
if requested_symbol {
depth_req_states_clone
.lock()
.await
.insert(symbol_id, RequestState::Accepted);
if let Some(handler) = &market_data_handler {
handler.on_accpeted_depth_subscription(symbol_id).await;
}
}
{
let depth_data = depth_data_from_entries(data);
// FIXME which one should be first?
// to handler
if let Some(handler) = &market_data_handler {
handler
.on_market_depth_full_refresh(
symbol_id,
depth_data.clone(),
)
.await;
}
// update the depth data
depth_market_data_clone
.write()
.await
.insert(symbol_id, depth_data);
}
}
}
'X' => {
// ignore the symbol_id argument
//
// Market data incremental refresh
if Some(&RequestState::Accepted)
== depth_req_states_clone.lock().await.get(&symbol_id)
{
let mut incre_list = Vec::new();
for e in data.into_iter() {
let symbol =
e.get(&Field::Symbol).unwrap().parse::<u32>().unwrap();
match e.get(&Field::MDUpdateAction) {
Some(s) if s == "2" => {
// delete
incre_list.push(IncrementalRefresh::Delete {
symbol_id: symbol,
entry_id: e
.get(&Field::MDEntryID)
.unwrap()
.clone(),
});
}
Some(s) if s == "0" => {
// new
let eid = e.get(&Field::MDEntryID).unwrap();
incre_list.push(IncrementalRefresh::New {
symbol_id: symbol,
entry_id: eid.clone(),
data: DepthPrice {
price_type: e
.get(&Field::MDEntryType)
.unwrap()
.parse()
.unwrap(),
price: e
.get(&Field::MDEntryPx)
.unwrap()
.parse::<f64>()
.unwrap(),
size: e
.get(&Field::MDEntrySize)
.unwrap()
.parse::<f64>()
.unwrap(),
},
});
}
_ => {}
}
}
// FIXME which one should be first?
// to handler
if let Some(handler) = market_data_handler {
handler
.on_market_depth_incremental_refresh(incre_list.clone())
.await;
}
{
let mut depth_cont = depth_market_data_clone.write().await;
for incre in incre_list.into_iter() {
match incre {
IncrementalRefresh::New {
symbol_id,
entry_id,
data,
} => {
let s = depth_cont
.entry(symbol_id)
.or_insert(HashMap::new());
s.insert(entry_id, data);
}
IncrementalRefresh::Delete {
symbol_id,
entry_id,
} => {
let s = depth_cont
.entry(symbol_id)
.or_insert(HashMap::new());
s.remove(&entry_id);
}
}
}
}
//
}
}
_ => {}
}
}
InternalMDResult::MDReject {
symbol_id,
md_req_id,
err_msg,
} => {
println!("asdfasdfdas");
let spot_requested = spot_req_states_clone
.lock()
.await
.values()
.filter(|s| match s {
RequestState::Requested(value) => value == md_req_id.as_str(),
_ => false,
})
.count()
== 1;
if spot_requested {
// change the state
spot_req_states_clone
.lock()
.await
.insert(symbol_id, RequestState::Rejected);
// notify
if let Some(handler) = &market_data_handler {
handler
.on_rejected_spot_subscription(symbol_id, err_msg.clone())
.await;
}
}
let depth_requested = depth_req_states_clone
.lock()
.await
.values()
.filter(|s| match s {
RequestState::Requested(value) => value == md_req_id.as_str(),
_ => false,
})
.count()
== 1;
if depth_requested {
// change the state
depth_req_states_clone
.lock()
.await
.insert(symbol_id, RequestState::Rejected);
// notify
if let Some(handler) = &market_data_handler {
handler
.on_rejected_depth_subscription(symbol_id, err_msg.clone())
.await;
}
}
}
}
});
};
self.internal.register_market_callback(market_callback);
}
/// Connects to a server
///
/// This method first attempt to establish a connection. If the connection is succesful, then
/// it proceeds to logon directly.
pub async fn connect(&mut self) -> Result<(), Error> {
// set market handler
self.register_internal_handler();
// connection
self.internal.connect().await?;
self.internal.logon().await
}
pub async fn disconnect(&mut self) -> Result<(), Error> {
self.internal.logout().await?;
self.internal.disconnect().await
}
pub fn is_connected(&self) -> bool {
self.internal.is_connected()
}
pub async fn spot_subscription_list(&self) -> HashSet<u32> {
self.spot_req_states
.lock()
.await
.iter()
.filter(|(_, v)| *v == &RequestState::Accepted)
.map(|(k, _)| *k)
.collect()
}
pub async fn depth_subscription_list(&self) -> HashSet<u32> {
self.depth_req_states
.lock()
.await
.iter()
.filter(|(_, v)| *v == &RequestState::Accepted)
.map(|(k, _)| *k)
.collect()
}
pub async fn price_of(&self, symbol_id: u32) -> Result<SpotPrice, Error> {
self.spot_market_data
.lock()
.await
.get(&symbol_id)
.map(|v| v.clone())
.ok_or(Error::NotSubscribed(symbol_id, MarketType::Spot))
}
pub async fn depth_data(&self, symbol_id: u32) -> Result<HashMap<String, DepthPrice>, Error> {
self.depth_market_data
.read()
.await
.get(&symbol_id)
.map(|v| v.clone())
.ok_or(Error::NotSubscribed(symbol_id, MarketType::Spot))
}
pub async fn subscribe_spot(&self, symbol_id: u32) -> Result<(), Error> {
// FIXME later
// .. code is too messy. is there a better way?
let mdreqid = Uuid::new_v4().to_string();
// check already subscribed?
if let Some(state) = self.spot_req_states.lock().await.get(&symbol_id) {
match state {
RequestState::Accepted => {
return Err(Error::SubscribedAlready(symbol_id, MarketType::Spot));
}
RequestState::Requested(_) => {
return Err(Error::RequestingSubscription(symbol_id, MarketType::Spot));
}
_ => {}
}
}
// add to requested symbol.
self.spot_req_states
.lock()
.await
.insert(symbol_id, RequestState::Requested(mdreqid.clone()));
// intialize the request and send req
let req = MarketDataReq::new(mdreqid, '1', 1, None, &['0', '1'], 1, symbol_id);
self.internal.send_message(req).await?;
Ok(())
}
pub async fn unsubscribe_spot(&self, symbol_id: u32) -> Result<(), Error> {
// if let Some(RequestState::Requested) =
let states = self
.spot_req_states
.lock()
.await
.get(&symbol_id)
.map(|v| v.clone());
match states {
Some(RequestState::Requested(_)) => {
return Err(Error::RequestingSubscription(symbol_id, MarketType::Spot));
}
Some(RequestState::Rejected) | None => {
return Err(Error::NotSubscribed(symbol_id, MarketType::Spot));
}
_ => {
self.spot_req_states.lock().await.remove(&symbol_id);
self.spot_market_data.lock().await.remove(&symbol_id);
let req = MarketDataReq::new("-1".into(), '2', 1, None, &['0', '1'], 1, symbol_id);
let _seq_num = self.internal.send_message(req).await?;
log::trace!("Unsubscribed spot for symbol({})", symbol_id);
Ok(())
}
}
}
pub async fn subscribe_depth(&self, symbol_id: u32) -> Result<(), Error> {
let mdreqid = Uuid::new_v4().to_string();
// check already subscribed?
if let Some(state) = self.depth_req_states.lock().await.get(&symbol_id) {
match state {
RequestState::Accepted => {
return Err(Error::SubscribedAlready(symbol_id, MarketType::Depth));
}
RequestState::Requested(_) => {
return Err(Error::RequestingSubscription(symbol_id, MarketType::Depth));
}
_ => {}
}
}
// add to requested symbol.
self.depth_req_states
.lock()
.await
.insert(symbol_id, RequestState::Requested(mdreqid.clone()));
// intialize the request and send req
let req = MarketDataReq::new(mdreqid, '1', 0, None, &['0', '1'], 1, symbol_id);
self.internal.send_message(req).await?;
Ok(())
}
pub async fn unsubscribe_depth(&self, symbol_id: u32) -> Result<(), Error> {
let states = self
.depth_req_states
.lock()
.await
.get(&symbol_id)
.map(|v| v.clone());
match states {
Some(RequestState::Requested(_)) => {
return Err(Error::RequestingSubscription(symbol_id, MarketType::Depth));
}
Some(RequestState::Rejected) | None => {
return Err(Error::NotSubscribed(symbol_id, MarketType::Depth));
}
_ => {
self.depth_req_states.lock().await.remove(&symbol_id);
self.depth_market_data.write().await.remove(&symbol_id);
let req = MarketDataReq::new("-1".into(), '2', 0, None, &['0', '1'], 1, symbol_id);
self.internal.send_message(req).await?;
log::trace!("Unsubscribed depth for symbol({})", symbol_id);
Ok(())
}
}
}
}