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

use crate::Str;
use derive_more::Display;
use exc_service::{ExchangeError, Request};
use futures::stream::BoxStream;
use indicator::{Tick, TickValue, Tickable};
use rust_decimal::Decimal;
use serde::{Deserialize, Serialize};
use time::OffsetDateTime;

/// Ticker Stream.
pub type TickerStream = BoxStream<'static, Result<Ticker, ExchangeError>>;

/// Subscribe tickers.
#[derive(Debug, Clone)]
pub struct SubscribeTickers {
    /// Instrument.
    pub instrument: Str,
}

impl SubscribeTickers {
    /// Create a new [`SubscribeTickers`] request.
    pub fn new(inst: impl AsRef<str>) -> Self {
        Self {
            instrument: Str::new(inst),
        }
    }
}

impl Request for SubscribeTickers {
    type Response = TickerStream;
}

/// Ticker.
#[derive(Debug, Clone, Copy, Serialize, Deserialize, Display)]
#[display(
    fmt = "ts={ts}, last=({last}, {size}), bid=({bid:?}, {bid_size:?}), ask=({ask:?}, {ask_size:?})"
)]
pub struct Ticker {
    /// Timestamp.
    #[serde(with = "time::serde::rfc3339")]
    pub ts: OffsetDateTime,
    /// Last traded price.
    pub last: Decimal,
    /// Last traded size.
    #[serde(default)]
    pub size: Decimal,
    /// Last traded side.
    #[serde(default)]
    pub buy: Option<bool>,
    /// Current best bid.
    #[serde(default)]
    pub bid: Option<Decimal>,
    /// The size of current best bid.
    #[serde(default)]
    pub bid_size: Option<Decimal>,
    /// Current best ask.
    #[serde(default)]
    pub ask: Option<Decimal>,
    /// The size of current best ask.
    #[serde(default)]
    pub ask_size: Option<Decimal>,
}

impl Tickable for Ticker {
    type Value = Self;

    fn tick(&self) -> Tick {
        Tick::new(self.ts)
    }

    fn value(&self) -> &Self::Value {
        self
    }

    fn into_tick_value(self) -> TickValue<Self::Value> {
        TickValue::new(self.ts, self)
    }
}