implement parse_l2_snapshot for bitfinex

crypto-crawler · Jul 7, 2024 · b6f2de6 · b6f2de6
1 parent 059fe6c
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Showing 3 changed files with 180 additions and 4 deletions.
diff --git a/crypto-msg-parser/src/exchanges/bitfinex.rs b/crypto-msg-parser/src/exchanges/bitfinex.rs
@@ -208,6 +208,72 @@ pub(crate) fn parse_l2(
     Ok(vec![orderbook])
 }
 
+
+
+// See https://docs.bitfinex.com/reference/rest-public-book
+// See https://api-pub.bitfinex.com/v2/book/{symbol}/{precision}
+// request example https://api-pub.bitfinex.com/v2/book/tBTCUSD/P0?len=100
+//[[68361,2,0.17328582],[68360,1,0.65244918],[68357,1,0.07]]
+//price ,count ,amount
+// See https://binance-docs.github.io/apidocs/spot/en/#order-book
+
+
+pub(crate) fn parse_l2_snapshot(
+    market_type: MarketType,
+    msg: &str,
+    symbol:Option<&str>,
+    received_at: Option<i64>
+) -> Result<Vec<OrderBookMsg>, SimpleError> {
+    let rs_msg = serde_json::from_str::<Vec<[Value;3]>>(msg)
+        .map_err(|_e| SimpleError::new(format!("Failed to deserialize {msg} to Vec<[Value;3]]>")))?;
+
+    let s=symbol.unwrap_or("").to_string();
+    let pair = crypto_pair::normalize_pair(&s, EXCHANGE_NAME)
+        .ok_or_else(|| SimpleError::new(format!("Failed to normalize {s} from {msg}")))?;
+
+    let snapshot = true;
+    let parse_order = |x: &[Value; 3]| -> Order {
+        let price = x[0].as_f64().unwrap();
+        // delete price level if count = 0
+        let quantity = x[2].as_f64().unwrap().abs();
+
+        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 mut asks=Vec::new();
+    let mut bids=Vec::new();
+
+    for raw_order in rs_msg.iter() {
+        let order = parse_order(raw_order);
+        if raw_order[2].as_f64().unwrap() > 0.0 {
+            bids.push(order);
+        } else {
+            asks.push(order);
+        }
+    }
+
+    let  orderbook = OrderBookMsg {
+        exchange: EXCHANGE_NAME.to_string(),
+        market_type,
+        symbol: s,
+        pair: pair.clone(),
+        msg_type: MessageType::L2Snapshot,
+        timestamp:received_at.unwrap(),
+        seq_id: None,
+        prev_seq_id: None,
+        asks: asks.clone(),
+        bids: bids.clone(),
+        snapshot,
+        json: msg.to_string(),
+    }; 
+
+    Ok(vec![orderbook])
+}
+
+
 fn parse_one_candle(
     market_type: MarketType,
     symbol: &str,

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),
+        "bitfinex" => exchanges::bitfinex::parse_l2_snapshot(market_type, msg, symbol,received_at),
         _ => Err(SimpleError::new(format!("Unknown exchange {exchange}"))),
     };
     match ret {

diff --git a/crypto-msg-parser/tests/bitfinex.rs b/crypto-msg-parser/tests/bitfinex.rs
@@ -500,24 +500,133 @@ 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#"[[30428,1,0.01],[30426,1,0.1],[30424,1,0.2954],[30423,1,0.3333],[30422,3,0.72231346],[30420,2,0.3349],[30416,2,0.29700845],[30415,3,0.482257],[30414,1,0.4],[30413,1,0.15439084]]"#;
-
+
+     /* data sample excerpt
+     1677628803683   1677628803683   [[23144,3,0.87789],[23142,3,0.27991505],[23141,4,0.48547974],
+     [23325,5,-0.00297898],[23326,1,-0.00060965],[23327,2,-0.00119078]]
+      */
+
+       //let raw_msg = r#"[[30428,1,0.01],[30426,1,0.1],[30424,1,0.2954],[30423,1,0.3333],[30422,3,0.72231346],[30420,2,0.3349],[30416,2,0.29700845],[30415,3,0.482257],[30414,1,0.4],[30413,1,0.15439084]]"#;
+        let raw_msg = r#"[[23144,3,0.87789],[23142,3,0.27991505],[23141,4,0.48547974],[23325,5,-0.00297898],[23326,1,-0.00060965],[23327,2,-0.00119078]]"#;
+        let received_at=Some(1677628803683) ;
         assert_eq!("NONE", extract_symbol(EXCHANGE_NAME, MarketType::Spot, raw_msg).unwrap());
         assert_eq!(None, extract_timestamp(EXCHANGE_NAME, MarketType::Spot, raw_msg).unwrap());
+
+        let orderbook = &parse_l2_snapshot(
+            EXCHANGE_NAME,
+            MarketType::Spot,
+            raw_msg,
+            Some("tBTCUSD"),
+            received_at,
+        )
+        .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/USD".to_string(),
+            "tBTCUSD".to_string(),
+            orderbook,
+            raw_msg,
+        );
+
+        assert_eq!(orderbook.timestamp, received_at.unwrap());
+        assert_eq!(orderbook.seq_id, None);
+        assert_eq!(orderbook.prev_seq_id, None);
+        //"bids":[23144,3,0.87789],[23142,3,0.27991505],[23141,4,0.48547974] descending
+
+
+        assert_eq!(orderbook.bids[0].price, 23144.0);
+        assert_eq!(orderbook.bids[0].quantity_base, 0.87789);
+        assert_eq!(orderbook.bids[0].quantity_quote, 23144.0 * 0.87789);
+        assert_eq!(orderbook.bids[0].quantity_contract, None);
+
+        assert_eq!(orderbook.bids[2].price, 23141.0);
+        assert_eq!(orderbook.bids[2].quantity_base, 0.48547974);
+        assert_eq!(orderbook.bids[2].quantity_quote, 23141.0 * 0.48547974);
+        assert_eq!(orderbook.bids[2].quantity_contract, None);
+        //"asks":[[23325,5,-0.00297898],[23326,1,-0.00060965],[23327,2,-0.00119078]] ascending
+        assert_eq!(orderbook.asks[0].price, 23325.0);
+        assert_eq!(orderbook.asks[0].quantity_base, 0.00297898);
+        assert_eq!(orderbook.asks[0].quantity_quote, 23325.0 * 0.00297898);
+        assert_eq!(orderbook.asks[0].quantity_contract, None);
+
+        assert_eq!(orderbook.asks[2].price, 23327.0);
+        assert_eq!(orderbook.asks[2].quantity_base, 0.00119078);
+        assert_eq!(orderbook.asks[2].quantity_quote, 23327.0 * 0.00119078);
+        assert_eq!(orderbook.asks[2].quantity_contract, None);
     }
 
     #[test]
     fn linear_swap() {
-        let raw_msg = r#"[[28293,1,0.0350506],[28291,1,0.0526735],[28289,2,0.1037385],[28287,1,0.1059222],[28285,1,0.1324028],[28284,1,0.1765371],[28282,1,0.2206713],[28280,1,0.2427385],[28277,1,0.2648056]]"#;
 
+        /*
+        1677628819111   1677628819111   [[23143,5,0.4721613],[23142,3,0.22947044],[23141,2,0.6234],[23906,1,-0.005],[23920,1,-0.0026],[23923,1,-0.02]]
+         */
+        //let raw_msg = r#"[[28293,1,0.0350506],[28291,1,0.0526735],[28289,2,0.1037385],[28287,1,0.1059222],[28285,1,0.1324028],[28284,1,0.1765371],[28282,1,0.2206713],[28280,1,0.2427385],[28277,1,0.2648056]]"#;
+        let raw_msg = r#"[[23143,5,0.4721613],[23142,3,0.22947044],[23141,2,0.6234],[23906,1,-0.005],[23920,1,-0.0026],[23923,1,-0.02]]"#;
+        let received_at=Some(1677628819111) ;
         assert_eq!("NONE", extract_symbol(EXCHANGE_NAME, MarketType::LinearSwap, raw_msg).unwrap());
         assert_eq!(
             None,
             extract_timestamp(EXCHANGE_NAME, MarketType::LinearSwap, raw_msg).unwrap()
         );
+
+        let orderbook = &parse_l2_snapshot(
+            EXCHANGE_NAME,
+            MarketType::Spot,
+            raw_msg,
+            Some("tBTCF0:USTF0"),
+            received_at
+        )
+        .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(),
+            "tBTCF0:USTF0".to_string(),
+            orderbook,
+            raw_msg,
+        );
+
+        assert_eq!(orderbook.timestamp, received_at.unwrap());
+        assert_eq!(orderbook.seq_id, None);
+        assert_eq!(orderbook.prev_seq_id, None);
+        //"bids":[23143,5,0.4721613],[23142,3,0.22947044],[23141,2,0.6234] descending
+        assert_eq!(orderbook.bids[2].price, 23141.0);
+        assert_eq!(orderbook.bids[2].quantity_base, 0.6234);
+        assert_eq!(orderbook.bids[2].quantity_quote, round(23141.0 * 0.6234));
+        assert_eq!(orderbook.bids[2].quantity_contract, None);
+
+        assert_eq!(orderbook.bids[0].price, 23143.0);
+        assert_eq!(orderbook.bids[0].quantity_base, 0.4721613);
+        assert_eq!(orderbook.bids[0].quantity_quote, round(23143.0 * 0.4721613));
+        assert_eq!(orderbook.bids[0].quantity_contract, None);
+        //"asks":[[23906,1,-0.005],[23920,1,-0.0026],[23923,1,-0.02]] ascending
+        assert_eq!(orderbook.asks[0].price, 23906.0);
+        assert_eq!(orderbook.asks[0].quantity_base, 0.005);
+        assert_eq!(orderbook.asks[0].quantity_quote, round(23906.0 * 0.005));
+        assert_eq!(orderbook.asks[0].quantity_contract, None);
+
+        assert_eq!(orderbook.asks[2].price, 23923.0);
+        assert_eq!(orderbook.asks[2].quantity_base, 0.02);
+        assert_eq!(orderbook.asks[2].quantity_quote, round(23923.0 * 0.02));
+        assert_eq!(orderbook.asks[2].quantity_contract, None);
     }
 }