Implemented parse_l2_snapshot() for bitget (#12)

* implement parse_l2_snapshot for bitget * code style optimization --------- Co-authored-by: adorewisdom <[email protected]>
crypto-crawler · Jul 14, 2024 · 6c38124 · 6c38124
1 parent d38faa3
commit 6c38124
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Showing 4 changed files with 225 additions and 8 deletions.
diff --git a/crypto-msg-parser/src/exchanges/bitget/bitget_mix.rs b/crypto-msg-parser/src/exchanges/bitget/bitget_mix.rs
@@ -3,6 +3,8 @@ use crypto_msg_type::MessageType;
 
 use crypto_message::{CandlestickMsg, Order, OrderBookMsg, TradeMsg, TradeSide};
 
+use crate::exchanges::utils::calc_quantity_and_volume;
+
 use super::EXCHANGE_NAME;
 use serde::{Deserialize, Serialize};
 use serde_json::Value;
@@ -35,6 +37,25 @@ struct RawOrderBook {
     extra: HashMap<String, Value>,
 }
 
+// doc: https://bitgetlimited.github.io/apidoc/en/spot/#get-depth
+#[derive(Serialize, Deserialize)]
+#[allow(non_snake_case)]
+struct RestMsg<T: Sized> {
+    code: String,
+    msg: String,
+    requestTime: i64,
+    data: T,
+    #[serde(flatten)]
+    extra: HashMap<String, Value>,
+}
+
+#[derive(Serialize, Deserialize)]
+struct RawL2SnapshotData {
+    asks: Vec<[String; 2]>,
+    bids: Vec<[String; 2]>,
+    timestamp: String,
+}
+
 fn extract_market_type_and_symbol(arg: &Arg) -> (MarketType, String) {
     match arg.instType.as_str() {
         "sp" => (MarketType::Spot, format!("{}_SPBL", arg.instId)),
@@ -191,6 +212,48 @@ pub(super) fn parse_l2(msg: &str) -> Result<Vec<OrderBookMsg>, SimpleError> {
     Ok(orderbooks)
 }
 
+/// docs:
+/// * https://bitgetlimited.github.io/apidoc/en/spot/
+/// * https://api.bitget.com/api/spot/v1/market/depth?symbol=BTCUSDT_SPBL&type=step0
+/// * https://bitgetlimited.github.io/apidoc/en/mix/#restapi
+/// * https://api.bitget.com/api/mix/v1/market/depth?symbol=BTCUSDT_UMCBL&limit=100
+pub(super) fn parse_l2_snapshot(
+    market_type: MarketType,
+    msg: &str,
+    symbol: Option<&str>,
+) -> Result<Vec<OrderBookMsg>, SimpleError> {
+    let rs_msg = serde_json::from_str::<RestMsg<RawL2SnapshotData>>(msg)
+        .map_err(|_e| SimpleError::new(format!("Failed to parse JSON string {msg}")))?;
+
+    let symbol = symbol.unwrap_or_default();
+    let pair = crypto_pair::normalize_pair(symbol, EXCHANGE_NAME).unwrap();
+
+    let parse_order = |raw_order: &[String; 2]| -> Order {
+        let price = raw_order[0].parse::<f64>().unwrap();
+        let quantity = raw_order[1].parse::<f64>().unwrap();
+        let (quantity_base, quantity_quote, quantity_contract) =
+            calc_quantity_and_volume(EXCHANGE_NAME, market_type, &pair, price, quantity);
+        Order { price, quantity_base, quantity_quote, quantity_contract }
+    };
+
+    let orderbook_msg = OrderBookMsg {
+        exchange: EXCHANGE_NAME.to_string(),
+        market_type,
+        symbol: symbol.to_string(),
+        pair: pair.clone(),
+        msg_type: MessageType::L2Snapshot,
+        timestamp: rs_msg.data.timestamp.parse::<i64>().unwrap(),
+        seq_id: None,
+        prev_seq_id: None,
+        asks: rs_msg.data.asks.iter().map(parse_order).collect(),
+        bids: rs_msg.data.bids.iter().map(parse_order).collect(),
+        snapshot: true,
+        json: serde_json::to_string(&rs_msg).unwrap(),
+    };
+
+    Ok(vec![orderbook_msg])
+}
+
 /// docs：
 /// * https://bitgetlimited.github.io/apidoc/en/spot/#candlesticks-channel
 /// * https://bitgetlimited.github.io/apidoc/en/mix/#candlesticks-channel

diff --git a/crypto-msg-parser/src/exchanges/bitget/mod.rs b/crypto-msg-parser/src/exchanges/bitget/mod.rs
@@ -89,7 +89,7 @@ pub(crate) fn get_msg_type(msg: &str) -> MessageType {
             }
         }
     } else {
-        MessageType::Other
+        MessageType::L2Snapshot
     }
 }
 
@@ -185,3 +185,11 @@ pub(crate) fn parse_candlestick(
         Err(SimpleError::new(format!("Unsupported Candlestick message {msg}")))
     }
 }
+
+pub(crate) fn parse_l2_snapshot(
+    market_type: MarketType,
+    msg: &str,
+    symbol: Option<&str>,
+) -> Result<Vec<OrderBookMsg>, SimpleError> {
+    bitget_mix::parse_l2_snapshot(market_type, msg, symbol)
+}
diff --git a/crypto-msg-parser/src/lib.rs b/crypto-msg-parser/src/lib.rs
@@ -292,6 +292,7 @@ pub fn parse_l2_snapshot(
 ) -> Result<Vec<OrderBookMsg>, SimpleError> {
     let ret = match exchange {
         "binance" => exchanges::binance::parse_l2_snapshot(market_type, msg, symbol, received_at),
+        "bitget" => exchanges::bitget::parse_l2_snapshot(market_type, msg, symbol),
         _ => Err(SimpleError::new(format!("Unknown exchange {exchange}"))),
     };
     match ret {

diff --git a/crypto-msg-parser/tests/bitget.rs b/crypto-msg-parser/tests/bitget.rs
@@ -685,42 +685,187 @@ mod ticker {
 mod l2_snapshot {
     use super::EXCHANGE_NAME;
     use crypto_market_type::MarketType;
-    use crypto_msg_parser::{extract_symbol, extract_timestamp};
+    use crypto_msg_parser::{extract_symbol, extract_timestamp, parse_l2_snapshot, round};
+    use crypto_msg_type::MessageType;
 
     #[test]
     fn spot() {
-        let raw_msg = r#"{"code":"00000","msg":"success","requestTime":1654232411024,"data":{"asks":[["30413.33","0.0141"],["30413.37","0.0112"],["30413.41","0.0179"]],"bids":[["30413.27","0.0296"],["30413.23","0.0484"],["30413.19","0.1272"]],"timestamp":"1654232411024"}}"#;
+        let raw_msg = r#"{"code":"00000","msg":"success","requestTime":1677628818447,"data":{"asks":[["23141.01","0.0763"],["23141.16","0.1244"],["23141.4","0.0120"]],"bids":[["23139.91","0.7697"],["23139.76","1.2558"],["23139.56","0.0120"]],"timestamp":"1677628818450"}}"#;
 
         assert_eq!("NONE", extract_symbol(EXCHANGE_NAME, MarketType::Spot, raw_msg).unwrap());
+
         assert_eq!(
-            1654232411024,
+            1677628818450,
             extract_timestamp(EXCHANGE_NAME, MarketType::Spot, raw_msg).unwrap().unwrap()
         );
+
+        let orderbook = &parse_l2_snapshot(
+            EXCHANGE_NAME,
+            MarketType::Spot,
+            raw_msg,
+            Some("BTCUSDT_SPBL"),
+            None,
+        )
+        .unwrap()[0];
+
+        assert_eq!(orderbook.asks.len(), 3);
+        assert_eq!(orderbook.bids.len(), 3);
+        assert!(orderbook.snapshot);
+
+        crate::utils::check_orderbook_fields(
+            EXCHANGE_NAME,
+            MarketType::Spot,
+            MessageType::L2Snapshot,
+            "BTC/USDT".to_string(),
+            "BTCUSDT_SPBL".to_string(),
+            orderbook,
+            raw_msg,
+        );
+
+        assert_eq!(orderbook.timestamp, 1677628818450);
+        assert_eq!(orderbook.seq_id, None);
+        assert_eq!(orderbook.prev_seq_id, None);
+
+        assert_eq!(orderbook.asks[2].price, 23141.4);
+        assert_eq!(orderbook.asks[2].quantity_base, 0.0120);
+        assert_eq!(orderbook.asks[2].quantity_quote, round(23141.4 * 0.0120));
+        assert_eq!(orderbook.asks[2].quantity_contract, None);
+
+        assert_eq!(orderbook.asks[0].price, 23141.01);
+        assert_eq!(orderbook.asks[0].quantity_base, 0.0763);
+        assert_eq!(orderbook.asks[0].quantity_quote, round(23141.01 * 0.0763));
+        assert_eq!(orderbook.asks[0].quantity_contract, None);
+
+        assert_eq!(orderbook.bids[0].price, 23139.91);
+        assert_eq!(orderbook.bids[0].quantity_base, 0.7697);
+        assert_eq!(orderbook.bids[0].quantity_quote, round(23139.91 * 0.7697));
+        assert_eq!(orderbook.bids[0].quantity_contract, None);
+
+        assert_eq!(orderbook.bids[2].price, 23139.56);
+        assert_eq!(orderbook.bids[2].quantity_base, 0.0120);
+        assert_eq!(orderbook.bids[2].quantity_quote, round(23139.56 * 0.0120));
+        assert_eq!(orderbook.bids[2].quantity_contract, None);
     }
 
     #[test]
     fn inverse_swap() {
-        let raw_msg = r#"{"code":"00000","msg":"success","requestTime":1654234201087,"data":{"asks":[["30521","1.661"],["30521.5","2.312"],["30522","0.139"]],"bids":[["3.052E+4","0.256"],["30519.5","0.482"],["30519","0.079"]],"timestamp":"1654234201087"}}"#;
+        let raw_msg = r#"{"code":"00000","msg":"success","requestTime":0,"data":{"asks":[["23146","3.666"],["23146.5","5.562"],["2.315E+4","0.5"]],"bids":[["23145","0.107"],["23143","0.363"],["23141.5","0.518"]],"timestamp":"1677628802358"}}"#;
 
         assert_eq!(
             "NONE",
             extract_symbol(EXCHANGE_NAME, MarketType::InverseSwap, raw_msg).unwrap()
         );
+
         assert_eq!(
-            1654234201087,
+            1677628802358,
             extract_timestamp(EXCHANGE_NAME, MarketType::InverseSwap, raw_msg).unwrap().unwrap()
         );
+
+        let orderbook = &parse_l2_snapshot(
+            EXCHANGE_NAME,
+            MarketType::InverseSwap,
+            raw_msg,
+            Some("BTCUSD_DMCBL"),
+            None,
+        )
+        .unwrap()[0];
+
+        assert_eq!(orderbook.asks.len(), 3);
+        assert_eq!(orderbook.bids.len(), 3);
+        assert!(orderbook.snapshot);
+
+        crate::utils::check_orderbook_fields(
+            EXCHANGE_NAME,
+            MarketType::InverseSwap,
+            MessageType::L2Snapshot,
+            "BTC/USD".to_string(),
+            "BTCUSD_DMCBL".to_string(),
+            orderbook,
+            raw_msg,
+        );
+
+        assert_eq!(orderbook.timestamp, 1677628802358);
+        assert_eq!(orderbook.seq_id, None);
+        assert_eq!(orderbook.prev_seq_id, None);
+
+        assert_eq!(orderbook.asks[2].price, 2.315E+4);
+        assert_eq!(orderbook.asks[2].quantity_base, 0.5 / 2.315E+4);
+        assert_eq!(orderbook.asks[2].quantity_quote, 0.5);
+        assert_eq!(orderbook.asks[2].quantity_contract, Some(0.5));
+
+        assert_eq!(orderbook.asks[0].price, 23146.0);
+        assert_eq!(orderbook.asks[0].quantity_base, 3.666 / 23146.0);
+        assert_eq!(orderbook.asks[0].quantity_quote, 3.666);
+        assert_eq!(orderbook.asks[0].quantity_contract, Some(3.666));
+
+        assert_eq!(orderbook.bids[0].price, 23145.0);
+        assert_eq!(orderbook.bids[0].quantity_base, 0.107 * 1.0 / 23145.0);
+        assert_eq!(orderbook.bids[0].quantity_quote, 0.107);
+        assert_eq!(orderbook.bids[0].quantity_contract, Some(0.107));
+
+        assert_eq!(orderbook.bids[2].price, 23141.5);
+        assert_eq!(orderbook.bids[2].quantity_base, 0.518 / 23141.5);
+        assert_eq!(orderbook.bids[2].quantity_quote, 0.518);
+        assert_eq!(orderbook.bids[2].quantity_contract, Some(0.518));
     }
 
     #[test]
     fn linear_swap() {
-        let raw_msg = r#"{"code":"00000","msg":"success","requestTime":1654234229348,"data":{"asks":[["30544","13.904"],["30544.5","2.678"],["30545","4.923"]],"bids":[["30543","0.756"],["30542.5","0.749"],["30542","15.438"]],"timestamp":"1654234229348"}}"#;
+        let raw_msg = r#"{"code":"00000","msg":"success","requestTime":0,"data":{"asks":[["23133.5","28.326"],["23134","3.027"],["23134.5","128.392"]],"bids":[["23133","16.282"],["23132.5","0.074"],["23132","0.039"]],"timestamp":"1677628852476"}}"#;
 
         assert_eq!("NONE", extract_symbol(EXCHANGE_NAME, MarketType::LinearSwap, raw_msg).unwrap());
+
         assert_eq!(
-            1654234229348,
+            1677628852476,
             extract_timestamp(EXCHANGE_NAME, MarketType::LinearSwap, raw_msg).unwrap().unwrap()
         );
+
+        let orderbook = &parse_l2_snapshot(
+            EXCHANGE_NAME,
+            MarketType::LinearSwap,
+            raw_msg,
+            Some("BTCUSDT_UMCBL"),
+            None,
+        )
+        .unwrap()[0];
+
+        assert_eq!(orderbook.asks.len(), 3);
+        assert_eq!(orderbook.bids.len(), 3);
+        assert!(orderbook.snapshot);
+
+        crate::utils::check_orderbook_fields(
+            EXCHANGE_NAME,
+            MarketType::LinearSwap,
+            MessageType::L2Snapshot,
+            "BTC/USDT".to_string(),
+            "BTCUSDT_UMCBL".to_string(),
+            orderbook,
+            raw_msg,
+        );
+
+        assert_eq!(orderbook.timestamp, 1677628852476);
+        assert_eq!(orderbook.seq_id, None);
+        assert_eq!(orderbook.prev_seq_id, None);
+
+        assert_eq!(orderbook.asks[2].price, 23134.5);
+        assert_eq!(orderbook.asks[2].quantity_base, 128.392 * 0.001);
+        assert_eq!(orderbook.asks[2].quantity_quote, round(128.392 * 0.001 * 23134.5));
+        assert_eq!(orderbook.asks[2].quantity_contract, Some(128.392));
+
+        assert_eq!(orderbook.asks[0].price, 23133.5);
+        assert_eq!(orderbook.asks[0].quantity_base, 28.326 * 0.001);
+        assert_eq!(orderbook.asks[0].quantity_quote, round(28.326 * 0.001 * 23133.5));
+        assert_eq!(orderbook.asks[0].quantity_contract, Some(28.326));
+
+        assert_eq!(orderbook.bids[0].price, 23133.0);
+        assert_eq!(orderbook.bids[0].quantity_base, 16.282 * 0.001);
+        assert_eq!(orderbook.bids[0].quantity_quote, round(16.282 * 0.001 * 23133.0));
+        assert_eq!(orderbook.bids[0].quantity_contract, Some(16.282));
+
+        assert_eq!(orderbook.bids[2].price, 23132.0);
+        assert_eq!(orderbook.bids[2].quantity_base, 0.039 * 0.001);
+        assert_eq!(orderbook.bids[2].quantity_quote, round(0.039 * 0.001 * 23132.0));
+        assert_eq!(orderbook.bids[2].quantity_contract, Some(0.039));
     }
 }