deribit_base/model/
market_data.rs

1/******************************************************************************
2   Author: Joaquín Béjar García
3   Email: jb@taunais.com
4   Date: 21/7/25
5******************************************************************************/
6
7use crate::model::{currency::Currency, instrument::InstrumentKind};
8use serde::{Deserialize, Serialize};
9
10/// Ticker information
11#[derive(Debug, Clone, Serialize, Deserialize)]
12pub struct Ticker {
13    /// Instrument name
14    pub instrument_name: String,
15    /// Timestamp of the ticker data
16    pub timestamp: i64,
17    /// Best bid price
18    pub best_bid_price: Option<f64>,
19    /// Best bid amount
20    pub best_bid_amount: Option<f64>,
21    /// Best ask price
22    pub best_ask_price: Option<f64>,
23    /// Best ask amount
24    pub best_ask_amount: Option<f64>,
25    /// Last trade price
26    pub last_price: Option<f64>,
27    /// Mark price
28    pub mark_price: Option<f64>,
29    /// Index price
30    pub index_price: Option<f64>,
31    /// Open interest
32    pub open_interest: f64,
33    /// 24h volume
34    pub volume_24h: f64,
35    /// 24h volume in USD
36    pub volume_usd_24h: f64,
37    /// 24h price change
38    pub price_change_24h: f64,
39    /// High price in 24h
40    pub high_24h: Option<f64>,
41    /// Low price in 24h
42    pub low_24h: Option<f64>,
43    /// Underlying price (for derivatives)
44    pub underlying_price: Option<f64>,
45    /// Underlying index
46    pub underlying_index: Option<String>,
47    /// Instrument kind
48    pub instrument_kind: Option<InstrumentKind>,
49    /// Current funding rate (for perpetuals)
50    pub current_funding: Option<f64>,
51    /// Funding 8h rate
52    pub funding_8h: Option<f64>,
53    /// Implied volatility (for options)
54    pub iv: Option<f64>,
55    /// Greeks (for options)
56    pub greeks: Option<Greeks>,
57    /// Interest rate
58    pub interest_rate: Option<f64>,
59}
60
61impl Ticker {
62    /// Calculate bid-ask spread
63    pub fn spread(&self) -> Option<f64> {
64        match (self.best_ask_price, self.best_bid_price) {
65            (Some(ask), Some(bid)) => Some(ask - bid),
66            _ => None,
67        }
68    }
69
70    /// Calculate mid price
71    pub fn mid_price(&self) -> Option<f64> {
72        match (self.best_ask_price, self.best_bid_price) {
73            (Some(ask), Some(bid)) => Some((ask + bid) / 2.0),
74            _ => None,
75        }
76    }
77
78    /// Calculate spread percentage
79    pub fn spread_percentage(&self) -> Option<f64> {
80        match (self.spread(), self.mid_price()) {
81            (Some(spread), Some(mid)) if mid != 0.0 => Some((spread / mid) * 100.0),
82            _ => None,
83        }
84    }
85
86    /// Check if there's a valid bid-ask spread
87    pub fn has_valid_spread(&self) -> bool {
88        self.best_bid_price.is_some() && self.best_ask_price.is_some()
89    }
90}
91
92/// Order book entry
93#[derive(Debug, Clone, Serialize, Deserialize)]
94pub struct OrderBookEntry {
95    /// Price level
96    pub price: f64,
97    /// Amount at this price level
98    pub amount: f64,
99}
100
101impl OrderBookEntry {
102    /// Create a new order book entry
103    pub fn new(price: f64, amount: f64) -> Self {
104        Self { price, amount }
105    }
106
107    /// Calculate notional value
108    pub fn notional(&self) -> f64 {
109        self.price * self.amount
110    }
111}
112
113/// Order book data
114#[derive(Debug, Clone, Serialize, Deserialize)]
115pub struct OrderBook {
116    /// Instrument name
117    pub instrument_name: String,
118    /// Timestamp of the order book
119    pub timestamp: i64,
120    /// Bid levels (sorted by price descending)
121    pub bids: Vec<OrderBookEntry>,
122    /// Ask levels (sorted by price ascending)
123    pub asks: Vec<OrderBookEntry>,
124    /// Change ID for incremental updates
125    pub change_id: u64,
126    /// Previous change ID
127    pub prev_change_id: Option<u64>,
128}
129
130impl OrderBook {
131    /// Create a new empty order book
132    pub fn new(instrument_name: String, timestamp: i64, change_id: u64) -> Self {
133        Self {
134            instrument_name,
135            timestamp,
136            bids: Vec::new(),
137            asks: Vec::new(),
138            change_id,
139            prev_change_id: None,
140        }
141    }
142
143    /// Get best bid price
144    pub fn best_bid(&self) -> Option<f64> {
145        self.bids.first().map(|entry| entry.price)
146    }
147
148    /// Get best ask price
149    pub fn best_ask(&self) -> Option<f64> {
150        self.asks.first().map(|entry| entry.price)
151    }
152
153    /// Get bid-ask spread
154    pub fn spread(&self) -> Option<f64> {
155        match (self.best_ask(), self.best_bid()) {
156            (Some(ask), Some(bid)) => Some(ask - bid),
157            _ => None,
158        }
159    }
160
161    /// Get mid price
162    pub fn mid_price(&self) -> Option<f64> {
163        match (self.best_ask(), self.best_bid()) {
164            (Some(ask), Some(bid)) => Some((ask + bid) / 2.0),
165            _ => None,
166        }
167    }
168
169    /// Calculate total bid volume
170    pub fn total_bid_volume(&self) -> f64 {
171        self.bids.iter().map(|entry| entry.amount).sum()
172    }
173
174    /// Calculate total ask volume
175    pub fn total_ask_volume(&self) -> f64 {
176        self.asks.iter().map(|entry| entry.amount).sum()
177    }
178
179    /// Get volume at specific price level
180    pub fn volume_at_price(&self, price: f64, is_bid: bool) -> f64 {
181        let levels = if is_bid { &self.bids } else { &self.asks };
182        levels
183            .iter()
184            .find(|entry| (entry.price - price).abs() < f64::EPSILON)
185            .map(|entry| entry.amount)
186            .unwrap_or(0.0)
187    }
188}
189
190/// Greeks for options
191#[derive(Debug, Clone, Serialize, Deserialize)]
192pub struct Greeks {
193    /// Delta - sensitivity to underlying price changes
194    pub delta: f64,
195    /// Gamma - rate of change of delta
196    pub gamma: f64,
197    /// Theta - time decay
198    pub theta: f64,
199    /// Vega - sensitivity to volatility changes
200    pub vega: f64,
201    /// Rho - sensitivity to interest rate changes
202    pub rho: Option<f64>,
203}
204
205/// Market statistics
206#[derive(Debug, Clone, Serialize, Deserialize)]
207pub struct MarketStats {
208    /// Currency
209    pub currency: Currency,
210    /// Total volume in 24h
211    pub volume_24h: f64,
212    /// Volume change in 24h
213    pub volume_change_24h: f64,
214    /// Price change in 24h
215    pub price_change_24h: f64,
216    /// High price in 24h
217    pub high_24h: f64,
218    /// Low price in 24h
219    pub low_24h: f64,
220    /// Number of active instruments
221    pub active_instruments: u32,
222    /// Total open interest
223    pub total_open_interest: f64,
224}
225
226/// Candlestick/OHLCV data
227#[derive(Debug, Clone, Serialize, Deserialize)]
228pub struct Candle {
229    /// Timestamp
230    pub timestamp: i64,
231    /// Open price
232    pub open: f64,
233    /// High price
234    pub high: f64,
235    /// Low price
236    pub low: f64,
237    /// Close price
238    pub close: f64,
239    /// Volume
240    pub volume: f64,
241    /// Number of trades
242    pub trades: Option<u64>,
243}
244
245impl Candle {
246    /// Check if this is a bullish candle
247    pub fn is_bullish(&self) -> bool {
248        self.close > self.open
249    }
250
251    /// Check if this is a bearish candle
252    pub fn is_bearish(&self) -> bool {
253        self.close < self.open
254    }
255
256    /// Calculate the body size
257    pub fn body_size(&self) -> f64 {
258        (self.close - self.open).abs()
259    }
260
261    /// Calculate the upper shadow
262    pub fn upper_shadow(&self) -> f64 {
263        self.high - self.close.max(self.open)
264    }
265
266    /// Calculate the lower shadow
267    pub fn lower_shadow(&self) -> f64 {
268        self.close.min(self.open) - self.low
269    }
270
271    /// Calculate the range (high - low)
272    pub fn range(&self) -> f64 {
273        self.high - self.low
274    }
275}
deribit_base/model/market_data.rs

deribit_base/model/
market_data.rs
