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#[cfg(feature = "bindings")]
use ligen_macro::inner_ligen;
#[cfg(feature = "bindings")]
inner_ligen!(ignore);
use std::convert::TryFrom;
use async_trait::async_trait;
use chrono::Duration;
use client::BaseClient;
use transport::Transport;
use openlimits_exchange::{
errors::OpenLimitsError,
model::{
AskBid, Balance, CancelAllOrdersRequest, CancelOrderRequest, Candle,
GetHistoricRatesRequest, GetHistoricTradesRequest, GetOrderHistoryRequest, GetOrderRequest,
GetPriceTickerRequest, Liquidity, OpenLimitOrderRequest, OpenMarketOrderRequest,
Order, OrderBookRequest, OrderBookResponse, OrderCanceled, OrderStatus, OrderType,
Paginator, Side, Ticker, TimeInForce, Trade, TradeHistoryRequest,
},
};
use openlimits_exchange::traits::info::*;
use openlimits_exchange::traits::*;
use openlimits_exchange::shared::Result;
use openlimits_exchange::shared::timestamp_to_naive_datetime;
pub mod client;
pub mod model;
mod transport;
mod coinbase_content_error;
mod coinbase_credentials;
mod coinbase_parameters;
pub use coinbase_content_error::CoinbaseContentError;
pub use coinbase_credentials::CoinbaseCredentials;
pub use coinbase_parameters::CoinbaseParameters;
pub use openlimits_exchange::shared;
use openlimits_exchange::exchange::Environment;
pub use crate::client::websocket::CoinbaseWebsocket;
use openlimits_exchange::model::market_pair::MarketPair;
#[derive(Clone)]
pub struct Coinbase {
pub exchange_info: ExchangeInfo,
pub client: BaseClient,
}
#[async_trait]
impl Exchange for Coinbase {
type InitParams = CoinbaseParameters;
type InnerClient = BaseClient;
async fn new(parameters: Self::InitParams) -> Result<Self> {
let coinbase = match parameters.credentials {
Some(credentials) => Coinbase {
exchange_info: ExchangeInfo::new(),
client: BaseClient {
transport: Transport::with_credential(
&credentials.api_key,
&credentials.api_secret,
&credentials.passphrase,
parameters.environment == Environment::Sandbox,
)?,
},
},
None => Coinbase {
exchange_info: ExchangeInfo::new(),
client: BaseClient {
transport: Transport::new(parameters.environment == Environment::Sandbox)?,
},
},
};
coinbase.refresh_market_info().await?;
Ok(coinbase)
}
fn inner_client(&self) -> Option<&Self::InnerClient> {
Some(&self.client)
}
}
#[async_trait]
impl ExchangeInfoRetrieval for Coinbase {
async fn retrieve_pairs(&self) -> Result<Vec<MarketPairInfo>> {
self.client.products().await.map(|v| {
v.into_iter()
.map(|product| MarketPairInfo {
symbol: product.id,
base: product.base_currency,
quote: product.quote_currency,
base_increment: product.base_increment,
quote_increment: product.quote_increment,
min_base_trade_size: None,
min_quote_trade_size: None,
})
.collect()
})
}
async fn refresh_market_info(&self) -> Result<Vec<MarketPairHandle>> {
self.exchange_info
.refresh(self as &dyn ExchangeInfoRetrieval)
.await
}
async fn get_pair(&self, name: &MarketPair) -> Result<MarketPairHandle> {
let name = crate::model::MarketPair::from(name.clone()).0;
self.exchange_info.get_pair(&name)
}
}
#[async_trait]
impl ExchangeMarketData for Coinbase {
async fn order_book(&self, req: &OrderBookRequest) -> Result<OrderBookResponse> {
self.client
.book::<model::BookRecordL2, _>(req.market_pair.clone())
.await
.map(Into::into)
}
async fn get_price_ticker(&self, req: &GetPriceTickerRequest) -> Result<Ticker> {
self.client.ticker(req.market_pair.clone()).await.map(Into::into)
}
async fn get_historic_rates(&self, req: &GetHistoricRatesRequest) -> Result<Vec<Candle>> {
let params = model::CandleRequestParams::try_from(req)?;
self.client
.candles(req.market_pair.clone(), Some(¶ms))
.await
.map(|v| v.into_iter().map(Into::into).collect())
}
async fn get_historic_trades(&self, _req: &GetHistoricTradesRequest) -> Result<Vec<Trade>> {
unimplemented!("Only implemented for Nash right now");
}
}
impl From<model::Book<model::BookRecordL2>> for OrderBookResponse {
fn from(book: model::Book<model::BookRecordL2>) -> Self {
Self {
update_id: Some(book.sequence as u64),
last_update_id: None,
bids: book.bids.into_iter().map(Into::into).collect(),
asks: book.asks.into_iter().map(Into::into).collect(),
}
}
}
impl From<model::BookRecordL2> for AskBid {
fn from(bids: model::BookRecordL2) -> Self {
Self {
price: bids.price,
qty: bids.size,
}
}
}
impl From<model::Order> for Order {
fn from(order: model::Order) -> Self {
let (price, size, order_type) = match order._type {
model::OrderType::Limit {
price,
size,
time_in_force: _,
} => (Some(price), size, OrderType::Limit),
model::OrderType::Market { size, funds: _ } => (None, size, OrderType::Market),
};
Self {
id: order.id,
market_pair: order.product_id,
client_order_id: None,
created_at: Some((order.created_at.timestamp_millis()) as u64),
order_type,
side: order.side.into(),
status: order.status.into(),
size,
price,
remaining: Some(size - order.filled_size),
trades: Vec::new(),
}
}
}
#[async_trait]
impl ExchangeAccount for Coinbase {
async fn limit_buy(&self, req: &OpenLimitOrderRequest) -> Result<Order> {
let pair = self.get_pair(&req.market_pair).await?.read()?;
self.client
.limit_buy(
pair,
req.size,
req.price,
model::OrderTimeInForce::from(req.time_in_force),
req.post_only,
)
.await
.map(Into::into)
}
async fn limit_sell(&self, req: &OpenLimitOrderRequest) -> Result<Order> {
let pair = self.get_pair(&req.market_pair).await?.read()?;
self.client
.limit_sell(
pair,
req.size,
req.price,
model::OrderTimeInForce::from(req.time_in_force),
req.post_only,
)
.await
.map(Into::into)
}
async fn market_buy(&self, req: &OpenMarketOrderRequest) -> Result<Order> {
let pair = self.get_pair(&req.market_pair).await?.read()?;
self.client.market_buy(pair, req.size).await.map(Into::into)
}
async fn market_sell(&self, req: &OpenMarketOrderRequest) -> Result<Order> {
let pair = self.get_pair(&req.market_pair).await?.read()?;
self.client
.market_sell(pair, req.size)
.await
.map(Into::into)
}
async fn cancel_order(&self, req: &CancelOrderRequest) -> Result<OrderCanceled> {
self.client
.cancel_order(req.id.clone(), req.market_pair.as_deref())
.await
.map(Into::into)
}
async fn cancel_all_orders(&self, req: &CancelAllOrdersRequest) -> Result<Vec<OrderCanceled>> {
self.client
.cancel_all_orders(req.market_pair.clone())
.await
.map(|v| v.into_iter().map(Into::into).collect())
}
async fn get_all_open_orders(&self) -> Result<Vec<Order>> {
let params = model::GetOrderRequest {
status: Some(String::from("open")),
paginator: None,
product_id: None,
};
self.client
.get_orders(Some(¶ms))
.await
.map(|v| v.into_iter().map(Into::into).collect())
}
async fn get_order_history(&self, req: &GetOrderHistoryRequest) -> Result<Vec<Order>> {
let req: model::GetOrderRequest = req.into();
self.client
.get_orders(Some(&req))
.await
.map(|v| v.into_iter().map(Into::into).collect())
}
async fn get_trade_history(&self, req: &TradeHistoryRequest) -> Result<Vec<Trade>> {
let req = req.into();
self.client
.get_fills(Some(&req))
.await
.map(|v| v.into_iter().map(Into::into).collect())
}
async fn get_account_balances(&self, paginator: Option<Paginator>) -> Result<Vec<Balance>> {
let paginator: Option<model::Paginator> = paginator.map(|p| p.into());
self.client
.get_account(paginator.as_ref())
.await
.map(|v| v.into_iter().map(Into::into).collect())
}
async fn get_order(&self, req: &GetOrderRequest) -> Result<Order> {
let id = req.id.clone();
self.client.get_order(id).await.map(Into::into)
}
}
impl From<model::Account> for Balance {
fn from(account: model::Account) -> Self {
Self {
asset: account.currency,
free: account.available,
total: account.balance,
}
}
}
impl From<model::Fill> for Trade {
fn from(fill: model::Fill) -> Self {
let (buyer_order_id, seller_order_id) = match fill.side.as_str() {
"buy" => (Some(fill.order_id), None),
_ => (None, Some(fill.order_id)),
};
Self {
id: fill.trade_id.to_string(),
buyer_order_id,
seller_order_id,
market_pair: fill.product_id,
price: fill.price,
qty: fill.size,
fees: Some(fill.fee),
side: match fill.side.as_str() {
"buy" => Side::Buy,
_ => Side::Sell,
},
liquidity: match fill.liquidity.as_str() {
"M" => Some(Liquidity::Maker),
"T" => Some(Liquidity::Taker),
_ => None,
},
created_at: fill.created_at.to_string(),
}
}
}
impl From<model::Ticker> for Ticker {
fn from(ticker: model::Ticker) -> Self {
Self {
price: Some(ticker.price),
price_24h: None,
}
}
}
impl From<model::Candle> for Candle {
fn from(candle: model::Candle) -> Self {
Self {
time: candle.time * 1000,
low: candle.low,
high: candle.high,
open: candle.open,
close: candle.close,
volume: candle.volume,
}
}
}
impl TryFrom<&GetHistoricRatesRequest> for model::CandleRequestParams {
type Error = OpenLimitsError;
fn try_from(params: &GetHistoricRatesRequest) -> Result<Self> {
let granularity = u32::try_from(params.interval)?;
Ok(Self {
daterange: params.paginator.clone().map(|p| p.into()),
granularity: Some(granularity),
})
}
}
impl From<&GetOrderHistoryRequest> for model::GetOrderRequest {
fn from(req: &GetOrderHistoryRequest) -> Self {
Self {
product_id: req.market_pair.clone().map(|market| crate::model::MarketPair::from(market).0),
paginator: req.paginator.clone().map(|p| p.into()),
status: None,
}
}
}
impl From<Paginator> for model::Paginator {
fn from(paginator: Paginator) -> Self {
Self {
after: paginator
.after
.map(|s| s.parse::<u64>().expect("Couldn't parse paginator.")),
before: paginator
.before
.map(|s| s.parse::<u64>().expect("Couldn't parse paginator.")),
limit: paginator.limit,
}
}
}
impl From<&Paginator> for model::Paginator {
fn from(paginator: &Paginator) -> Self {
Self {
after: paginator
.after
.as_ref()
.map(|s| s.parse().expect("coinbase page id did not parse as u64")),
before: paginator
.before
.as_ref()
.map(|s| s.parse().expect("coinbase page id did not parse as u64")),
limit: paginator.limit,
}
}
}
impl From<Paginator> for model::DateRange {
fn from(paginator: Paginator) -> Self {
Self {
start: paginator.start_time.map(timestamp_to_naive_datetime),
end: paginator.end_time.map(timestamp_to_naive_datetime),
}
}
}
impl From<&Paginator> for model::DateRange {
fn from(paginator: &Paginator) -> Self {
Self {
start: paginator.start_time.map(timestamp_to_naive_datetime),
end: paginator.end_time.map(timestamp_to_naive_datetime),
}
}
}
impl From<TimeInForce> for model::OrderTimeInForce {
fn from(tif: TimeInForce) -> Self {
match tif {
TimeInForce::GoodTillCancelled => model::OrderTimeInForce::GTC,
TimeInForce::FillOrKill => model::OrderTimeInForce::FOK,
TimeInForce::ImmediateOrCancelled => model::OrderTimeInForce::IOC,
TimeInForce::GoodTillTime(duration) => {
let day: Duration = Duration::days(1);
let hour: Duration = Duration::hours(1);
let minute: Duration = Duration::minutes(1);
if duration == day {
model::OrderTimeInForce::GTT {
cancel_after: model::CancelAfter::Day,
}
} else if duration == hour {
model::OrderTimeInForce::GTT {
cancel_after: model::CancelAfter::Hour,
}
} else if duration == minute {
model::OrderTimeInForce::GTT {
cancel_after: model::CancelAfter::Min,
}
} else {
panic!("Coinbase only supports durations of 1 day, 1 hour or 1 minute")
}
}
}
}
}
impl From<&TradeHistoryRequest> for model::GetFillsReq {
fn from(req: &TradeHistoryRequest) -> Self {
Self {
order_id: req.order_id.clone(),
paginator: req.paginator.clone().map(|p| p.into()),
product_id: req.market_pair.clone().map(|market| crate::model::MarketPair::from(market).0),
}
}
}
impl From<model::OrderSide> for Side {
fn from(req: model::OrderSide) -> Self {
match req {
model::OrderSide::Buy => Side::Buy,
model::OrderSide::Sell => Side::Sell,
}
}
}
impl From<model::OrderStatus> for OrderStatus {
fn from(req: model::OrderStatus) -> OrderStatus {
match req {
model::OrderStatus::Active => OrderStatus::Active,
model::OrderStatus::Done => OrderStatus::Filled,
model::OrderStatus::Open => OrderStatus::Open,
model::OrderStatus::Pending => OrderStatus::Pending,
model::OrderStatus::Rejected => OrderStatus::Rejected,
}
}
}