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 rust_decimal::Decimal;
9use rustrade_instrument::{Side, exchange::ExchangeId};
10use rustrade_integration::subscription::SubscriptionId;
11use serde::{Deserialize, Serialize};
12
13/// Terse type alias for an [`Okx`](super::Okx) real-time trades WebSocket message.
14pub type OkxTrades = OkxMessage<OkxTrade>;
15
16/// [`Okx`](super::Okx) market data WebSocket message.
17///
18/// ### Raw Payload Examples
19/// See docs: <https://www.okx.com/docs-v5/en/#websocket-api-public-channel>
20/// #### Spot Buy Trade
21/// ```json
22/// {
23///   "arg": {
24///     "channel": "trades",
25///     "instId": "BTC-USDT"
26///   },
27///   "data": [
28///     {
29///       "instId": "BTC-USDT",
30///       "tradeId": "130639474",
31///       "px": "42219.9",
32///       "sz": "0.12060306",
33///       "side": "buy",
34///       "ts": "1630048897897"
35///     }
36///   ]
37/// }
38/// ```
39///
40/// #### Option Call Sell Trade
41/// ```json
42/// {
43///   "arg": {
44///     "channel": "trades",
45///     "instId": "BTC-USD-231229-35000-C"
46///   },
47///   "data": [
48///     {
49///       "instId": "BTC-USD-231229-35000-C",
50///       "tradeId": "4",
51///       "px": "0.1525",
52///       "sz": "21",
53///       "side": "sell",
54///       "ts": "1681473269025"
55///     }
56///   ]
57/// }
58/// ```
59#[derive(Clone, Eq, PartialEq, Ord, PartialOrd, Hash, Debug, Deserialize, Serialize)]
60pub struct OkxMessage<T> {
61    #[serde(
62        rename = "arg",
63        deserialize_with = "de_okx_message_arg_as_subscription_id"
64    )]
65    pub subscription_id: SubscriptionId,
66    pub data: Vec<T>,
67}
68
69impl<T> Identifier<Option<SubscriptionId>> for OkxMessage<T> {
70    fn id(&self) -> Option<SubscriptionId> {
71        Some(self.subscription_id.clone())
72    }
73}
74
75/// [`Okx`](super::Okx) real-time trade WebSocket message.
76///
77/// See [`OkxMessage`] for full raw payload examples.
78///
79/// See docs: <https://www.okx.com/docs-v5/en/#websocket-api-public-channel-trades-channel>
80#[derive(Clone, PartialEq, PartialOrd, Debug, Deserialize, Serialize)]
81pub struct OkxTrade {
82    #[serde(rename = "tradeId")]
83    pub id: String,
84    #[serde(
85        rename = "px",
86        deserialize_with = "rustrade_integration::serde::de::de_str"
87    )]
88    pub price: Decimal,
89    #[serde(
90        rename = "sz",
91        deserialize_with = "rustrade_integration::serde::de::de_str"
92    )]
93    pub amount: Decimal,
94    pub side: Side,
95    #[serde(
96        rename = "ts",
97        deserialize_with = "rustrade_integration::serde::de::de_str_u64_epoch_ms_as_datetime_utc"
98    )]
99    pub time: DateTime<Utc>,
100}
101
102impl<InstrumentKey: Clone> From<(ExchangeId, InstrumentKey, OkxTrades)>
103    for MarketIter<InstrumentKey, PublicTrade>
104{
105    fn from((exchange, instrument, trades): (ExchangeId, InstrumentKey, OkxTrades)) -> Self {
106        trades
107            .data
108            .into_iter()
109            .map(|trade| {
110                Ok(MarketEvent {
111                    time_exchange: trade.time,
112                    time_received: Utc::now(),
113                    exchange,
114                    instrument: instrument.clone(),
115                    kind: PublicTrade {
116                        id: trade.id.into(),
117                        price: trade.price,
118                        amount: trade.amount,
119                        side: Some(trade.side),
120                    },
121                })
122            })
123            .collect()
124    }
125}
126
127/// Deserialize an [`OkxMessage`] "arg" field as a Barter [`SubscriptionId`].
128fn de_okx_message_arg_as_subscription_id<'de, D>(
129    deserializer: D,
130) -> Result<SubscriptionId, D::Error>
131where
132    D: serde::de::Deserializer<'de>,
133{
134    #[derive(Deserialize)]
135    #[serde(rename_all = "camelCase")]
136    struct Arg<'a> {
137        channel: &'a str,
138        inst_id: &'a str,
139    }
140
141    Deserialize::deserialize(deserializer)
142        .map(|arg: Arg<'_>| ExchangeSub::from((arg.channel, arg.inst_id)).id())
143}
144
145#[cfg(test)]
146mod tests {
147    use super::*;
148
149    mod de {
150        use super::*;
151        use rust_decimal_macros::dec;
152        use rustrade_integration::{
153            error::SocketError, serde::de::datetime_utc_from_epoch_duration,
154        };
155        use std::time::Duration;
156
157        #[test]
158        fn test_okx_message_trades() {
159            let input = r#"
160            {
161                "arg": {
162                    "channel": "trades",
163                    "instId": "BTC-USDT"
164                },
165                "data": [
166                    {
167                        "instId": "BTC-USDT",
168                        "tradeId": "130639474",
169                        "px": "42219.9",
170                        "sz": "0.12060306",
171                        "side": "buy",
172                        "ts": "1630048897897"
173                    }
174                ]
175            }
176            "#;
177
178            let actual = serde_json::from_str::<OkxTrades>(input);
179            let expected: Result<OkxTrades, SocketError> = Ok(OkxTrades {
180                subscription_id: SubscriptionId::from("trades|BTC-USDT"),
181                data: vec![OkxTrade {
182                    id: "130639474".to_string(),
183                    price: dec!(42219.9),
184                    amount: dec!(0.12060306),
185                    side: Side::Buy,
186                    time: datetime_utc_from_epoch_duration(Duration::from_millis(1630048897897)),
187                }],
188            });
189
190            match (actual, expected) {
191                (Ok(actual), Ok(expected)) => {
192                    assert_eq!(actual, expected, "TC failed")
193                }
194                (Err(_), Err(_)) => {
195                    // Test passed
196                }
197                (actual, expected) => {
198                    // Test failed
199                    panic!(
200                        "TC failed because actual != expected. \nActual: {actual:?}\nExpected: {expected:?}\n"
201                    );
202                }
203            }
204        }
205    }
206}
rustrade_data/exchange/okx/trade.rs

rustrade_data/exchange/okx/
trade.rs
