rustrade_data/exchange/okx/
trade.rs

1use crate::{
2    Identifier,
3    event::{MarketEvent, MarketIter},
4    exchange::ExchangeSub,
5    subscription::trade::PublicTrade,
6};
7use chrono::{DateTime, Utc};
8use rustrade_instrument::{Side, exchange::ExchangeId};
9use rustrade_integration::subscription::SubscriptionId;
10use serde::{Deserialize, Serialize};
11
12/// Terse type alias for an [`Okx`](super::Okx) real-time trades WebSocket message.
13pub type OkxTrades = OkxMessage<OkxTrade>;
14
15/// [`Okx`](super::Okx) market data WebSocket message.
16///
17/// ### Raw Payload Examples
18/// See docs: <https://www.okx.com/docs-v5/en/#websocket-api-public-channel>
19/// #### Spot Buy Trade
20/// ```json
21/// {
22///   "arg": {
23///     "channel": "trades",
24///     "instId": "BTC-USDT"
25///   },
26///   "data": [
27///     {
28///       "instId": "BTC-USDT",
29///       "tradeId": "130639474",
30///       "px": "42219.9",
31///       "sz": "0.12060306",
32///       "side": "buy",
33///       "ts": "1630048897897"
34///     }
35///   ]
36/// }
37/// ```
38///
39/// #### Option Call Sell Trade
40/// ```json
41/// {
42///   "arg": {
43///     "channel": "trades",
44///     "instId": "BTC-USD-231229-35000-C"
45///   },
46///   "data": [
47///     {
48///       "instId": "BTC-USD-231229-35000-C",
49///       "tradeId": "4",
50///       "px": "0.1525",
51///       "sz": "21",
52///       "side": "sell",
53///       "ts": "1681473269025"
54///     }
55///   ]
56/// }
57/// ```
58#[derive(Clone, Eq, PartialEq, Ord, PartialOrd, Hash, Debug, Deserialize, Serialize)]
59pub struct OkxMessage<T> {
60    #[serde(
61        rename = "arg",
62        deserialize_with = "de_okx_message_arg_as_subscription_id"
63    )]
64    pub subscription_id: SubscriptionId,
65    pub data: Vec<T>,
66}
67
68impl<T> Identifier<Option<SubscriptionId>> for OkxMessage<T> {
69    fn id(&self) -> Option<SubscriptionId> {
70        Some(self.subscription_id.clone())
71    }
72}
73
74/// [`Okx`](super::Okx) real-time trade WebSocket message.
75///
76/// See [`OkxMessage`] for full raw payload examples.
77///
78/// See docs: <https://www.okx.com/docs-v5/en/#websocket-api-public-channel-trades-channel>
79#[derive(Clone, PartialEq, PartialOrd, Debug, Deserialize, Serialize)]
80pub struct OkxTrade {
81    #[serde(rename = "tradeId")]
82    pub id: String,
83    #[serde(
84        rename = "px",
85        deserialize_with = "rustrade_integration::serde::de::de_str"
86    )]
87    pub price: f64,
88    #[serde(
89        rename = "sz",
90        deserialize_with = "rustrade_integration::serde::de::de_str"
91    )]
92    pub amount: f64,
93    pub side: Side,
94    #[serde(
95        rename = "ts",
96        deserialize_with = "rustrade_integration::serde::de::de_str_u64_epoch_ms_as_datetime_utc"
97    )]
98    pub time: DateTime<Utc>,
99}
100
101impl<InstrumentKey: Clone> From<(ExchangeId, InstrumentKey, OkxTrades)>
102    for MarketIter<InstrumentKey, PublicTrade>
103{
104    fn from((exchange, instrument, trades): (ExchangeId, InstrumentKey, OkxTrades)) -> Self {
105        trades
106            .data
107            .into_iter()
108            .map(|trade| {
109                Ok(MarketEvent {
110                    time_exchange: trade.time,
111                    time_received: Utc::now(),
112                    exchange,
113                    instrument: instrument.clone(),
114                    kind: PublicTrade {
115                        id: trade.id.into(),
116                        price: trade.price,
117                        amount: trade.amount,
118                        side: trade.side,
119                    },
120                })
121            })
122            .collect()
123    }
124}
125
126/// Deserialize an [`OkxMessage`] "arg" field as a Barter [`SubscriptionId`].
127fn de_okx_message_arg_as_subscription_id<'de, D>(
128    deserializer: D,
129) -> Result<SubscriptionId, D::Error>
130where
131    D: serde::de::Deserializer<'de>,
132{
133    #[derive(Deserialize)]
134    #[serde(rename_all = "camelCase")]
135    struct Arg<'a> {
136        channel: &'a str,
137        inst_id: &'a str,
138    }
139
140    Deserialize::deserialize(deserializer)
141        .map(|arg: Arg<'_>| ExchangeSub::from((arg.channel, arg.inst_id)).id())
142}
143
144#[cfg(test)]
145mod tests {
146    use super::*;
147
148    mod de {
149        use super::*;
150        use rustrade_integration::{
151            error::SocketError, serde::de::datetime_utc_from_epoch_duration,
152        };
153        use std::time::Duration;
154
155        #[test]
156        fn test_okx_message_trades() {
157            let input = r#"
158            {
159                "arg": {
160                    "channel": "trades",
161                    "instId": "BTC-USDT"
162                },
163                "data": [
164                    {
165                        "instId": "BTC-USDT",
166                        "tradeId": "130639474",
167                        "px": "42219.9",
168                        "sz": "0.12060306",
169                        "side": "buy",
170                        "ts": "1630048897897"
171                    }
172                ]
173            }
174            "#;
175
176            let actual = serde_json::from_str::<OkxTrades>(input);
177            let expected: Result<OkxTrades, SocketError> = Ok(OkxTrades {
178                subscription_id: SubscriptionId::from("trades|BTC-USDT"),
179                data: vec![OkxTrade {
180                    id: "130639474".to_string(),
181                    price: 42219.9,
182                    amount: 0.12060306,
183                    side: Side::Buy,
184                    time: datetime_utc_from_epoch_duration(Duration::from_millis(1630048897897)),
185                }],
186            });
187
188            match (actual, expected) {
189                (Ok(actual), Ok(expected)) => {
190                    assert_eq!(actual, expected, "TC failed")
191                }
192                (Err(_), Err(_)) => {
193                    // Test passed
194                }
195                (actual, expected) => {
196                    // Test failed
197                    panic!(
198                        "TC failed because actual != expected. \nActual: {actual:?}\nExpected: {expected:?}\n"
199                    );
200                }
201            }
202        }
203    }
204}
rustrade_data/exchange/okx/trade.rs

rustrade_data/exchange/okx/
trade.rs
