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use std::collections::BTreeMap;
use crate::dtf::update::Update;
type Time = u64;
enum EventType {
CancelEvent,
TradeEvent,
CreateEvent,
}
#[derive(Debug)]
struct Events {
cancelled: BTreeMap<Time, Vec<Update>>,
trades: BTreeMap<Time, Vec<Update>>,
created: BTreeMap<Time, Vec<Update>>,
}
impl<'a> From<&'a [Update]> for Events {
fn from(ups: &[Update]) -> Events {
let mut cancelled = BTreeMap::new();
let mut trades = BTreeMap::new();
let mut created = BTreeMap::new();
let mut current_level = BTreeMap::new();
for row in ups {
let ts = row.ts;
let price = row.price.to_bits();
if row.is_trade {
let v = trades.entry(ts).or_insert(Vec::new());
(*v).push(row.clone());
} else {
let prev = if current_level.contains_key(&price) {
*current_level.get(&price).unwrap()
} else {
0.
};
if row.size == 0. || row.size <= prev {
let v = cancelled.entry(ts).or_insert(Vec::new());
(*v).push(row.clone());
} else if row.size > prev {
let v = created.entry(ts).or_insert(Vec::new());
(*v).push(row.clone());
} else {
unreachable!();
}
}
current_level.insert(price, row.size);
}
Events {
cancelled,
trades,
created,
}
}
}
impl Events {
pub fn filter_volume(&self, event_type: EventType, from_vol: f32, to_vol: f32) -> Vec<Update> {
let obj = match event_type {
EventType::CancelEvent => &self.cancelled,
EventType::CreateEvent => &self.created,
EventType::TradeEvent => &self.trades,
};
let mut ret = Vec::new();
for v in obj.values() {
for up in v.iter() {
if up.size >= from_vol && up.size <= to_vol {
ret.push(up.clone());
}
}
}
ret
}
}
#[cfg(test)]
mod test {
use super::*;
use crate::dtf;
static FNAME: &str = "test/test-data/bt_btcnav.dtf";
static POLO: &str = "test/test-data/pl_btc_nav.dtf";
#[test]
fn test_into_events() {
}
#[test]
fn test_volume_filter() {
let records = dtf::file_format::decode(FNAME, Some(10000)).unwrap();
let ups = records.as_slice();
let evts = Events::from(ups);
let cancels = evts.filter_volume(EventType::CancelEvent, 100., 200.);
assert!(cancels.len() > 0);
for up in cancels.iter() {
assert!(up.size >= 100. && up.size <= 200.);
}
let creates = evts.filter_volume(EventType::CreateEvent, 100., 200.);
assert!(creates.len() > 0);
for up in creates.iter() {
assert!(up.size >= 100. && up.size <= 200.);
}
let trades = evts.filter_volume(EventType::TradeEvent, 100., 200.);
assert!(trades.len() > 0);
for up in trades.iter() {
assert!(up.size >= 100. && up.size <= 200.);
}
}
#[test]
fn should_work_with_poloniex_too() {
let records = dtf::file_format::decode(POLO, Some(10000)).unwrap();
let ups = records.as_slice();
let evts = Events::from(ups);
let trades = evts.filter_volume(EventType::TradeEvent, 100., 200.);
assert!(trades.len() > 0);
for up in trades.iter() {
assert!(up.size >= 100. && up.size <= 200.);
}
}
}