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
use cxmr_candles::CandleCollector;
use cxmr_feeds::EventData;
use cxmr_orderbook::OrderBook;
use super::{Snapshot, State};
#[derive(Default)]
pub struct SnapshotCollector {
collector: CandleCollector,
orderbook: OrderBook,
}
impl SnapshotCollector {
pub fn new(interval: u64) -> Self {
SnapshotCollector {
collector: CandleCollector::new(interval),
..SnapshotCollector::default()
}
}
pub fn finish(self) -> Option<State> {
let orderbook = self.orderbook;
self.collector
.finish()
.map(move |candle| State::new_close(candle, orderbook))
}
pub fn try_pop(&mut self, ts: u64) -> Option<State> {
self.collector
.try_pop(ts)
.map(|candle| State::new_close(candle, self.orderbook.clone()))
}
pub fn update(&mut self, event: &EventData) -> Option<State> {
self.orderbook.update_from_row(event);
if event.is_trade {
let update = self.collector.update(event)?;
Some(State::new(update, self.orderbook.clone()))
} else {
self.try_pop(event.ts)
}
}
pub fn consume(mut self, events: &Vec<EventData>) -> Option<Snapshot> {
let mut states: Vec<_> = events
.iter()
.filter_map(|event| self.update(event))
.collect();
let interval = self.collector.interval;
if let Some(state) = self.finish() {
states.push(state);
}
Some(Snapshot {
market: None,
start_time: events.first().map(|ev| ev.ts),
interval,
states,
})
}
pub fn consume_close(mut self, events: &Vec<EventData>) -> Option<Snapshot> {
self.collector.close_only = true;
self.consume(events)
}
}
#[cfg(test)]
mod tests {
use super::*;
use cxmr_tectonic::read_dtf;
static TEST_FILE: &'static str = "../../tests/data-002/bnc_ETH_PAX.dtf";
#[test]
fn dtf_snapshots() {
let interval = 4 * 60 * 60 * 1000;
let mut events = read_dtf(TEST_FILE).unwrap().events.unwrap();
events.iter_mut().for_each(|event| {
assert!(event.amount >= 0.0);
event.amount = event.amount.round();
});
let mut snapshot: Vec<State> = SnapshotCollector::new(interval)
.consume(&events)
.unwrap()
.states
.into_iter()
.filter_map(|state| state.into_close())
.collect();
let events = <Vec<EventData>>::from(&Snapshot {
market: None,
start_time: None,
interval,
states: snapshot.clone(),
});
let mut snapshot_squashed: Vec<State> = SnapshotCollector::new(interval)
.consume(&events)
.unwrap()
.states
.into_iter()
.filter_map(|state| state.into_close())
.collect();
snapshot.iter_mut().for_each(|state| {
state.candle.volume = state.candle.volume.round();
state.orderbook.last_update = 0;
});
snapshot_squashed.iter_mut().for_each(|state| {
state.candle.volume = state.candle.volume.round();
state.orderbook.last_update = 0;
});
assert_eq!(snapshot.len(), 7);
for (index, a) in snapshot.iter().enumerate() {
let sq = snapshot_squashed.get(index).unwrap();
assert_eq!(a.candle, sq.candle, "Index: {}", index);
assert_eq!(a.orderbook, sq.orderbook, "Index: {}", index);
}
}
#[test]
fn downscale() {
let interval = 60 * 60 * 1000;
let longer_interval = 4 * interval;
let events = read_dtf(TEST_FILE).unwrap().events.unwrap();
let snapshot = SnapshotCollector::new(interval)
.consume(&events)
.unwrap()
.into_close();
assert_eq!(snapshot.states.len(), 23);
let snapshot_bin = Snapshot::open(TEST_FILE, longer_interval).unwrap();
let snapshot_longerned = snapshot.downscale(longer_interval).unwrap();
assert_eq!(snapshot_longerned.states.len(), snapshot_bin.states.len());
for (index, a) in snapshot_bin.states.iter().enumerate() {
let sq = snapshot_longerned.states.get(index).unwrap();
assert_eq!(a.candle, sq.candle, "Index: {}", index);
assert_eq!(a.orderbook, sq.orderbook, "Index: {}", index);
}
}
}