Merge branch 'main' into parse_l2_snapshot_binance

crypto-message/Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "crypto-message"
-version = "1.1.20"
+version = "1.1.21"
 edition = "2021"
 description = "Unified data structures for all cryptocurrency exchanges."
 license = "Apache-2.0"
@@ -12,11 +12,11 @@ keywords = ["cryptocurrency", "blockchain", "trading"]
 ahash = "0.8.11"
 crypto-market-type = "1.1.6"
 crypto-msg-type = "1.0.12"
-protobuf = "3.4.0"
-serde = { version = "1.0.197", features = ["derive"] }
-serde_json = "1.0.115"
-strum = "0.26.2"
-strum_macros = "0.26.2"
+protobuf = "3.5.0"
+serde = { version = "1.0.203", features = ["derive"] }
+serde_json = "1.0.120"
+strum = "0.26.3"
+strum_macros = "0.26.4"
 
 [features]
 f32 = []

crypto-message/src/proto/message.rs

@@ -23,7 +23,7 @@
 
 /// Generated files are compatible only with the same version
 /// of protobuf runtime.
-const _PROTOBUF_VERSION_CHECK: () = ::protobuf::VERSION_3_4_0;
+const _PROTOBUF_VERSION_CHECK: () = ::protobuf::VERSION_3_5_0;
 
 ///  Tick-by-tick trade message.
 #[derive(PartialEq,Clone,Default,Debug)]

crypto-msg-parser/Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "crypto-msg-parser"
-version = "2.9.1"
+version = "2.9.2"
 authors = ["soulmachine <[email protected]>"]
 edition = "2021"
 description = "Parse websocket messages from cryptocurreny exchanges"
@@ -9,17 +9,17 @@ repository = "https://github.com/crypto-crawler/crypto-msg-parser/tree/main/cryp
 keywords = ["cryptocurrency", "blockchain", "trading"]
 
 [dependencies]
-chrono = "0.4.31"
-crypto-contract-value = "1.7.24"
+chrono = "0.4.38"
+crypto-contract-value = "1.7.25"
 crypto-market-type = "1.1.6"
 crypto-msg-type = "1.0.12"
-crypto-message = "1.1.19"
-crypto-pair = "2.3.19"
+crypto-message = "1.1.21"
+crypto-pair = "2.3.20"
 if_chain = "1.0.2"
 once_cell = "1.19.0"
-reqwest = { version = "0.11.23", features = ["blocking", "gzip"] }
-simple-error = "0.3.0"
-serde = { version = "1.0.193", features = ["derive"] }
-serde_json = "1.0.108"
-strum = "0.25.0"
-strum_macros = "0.25.3"
+reqwest = { version = "0.12.5", features = ["blocking", "gzip"] }
+simple-error = "0.3.1"
+serde = { version = "1.0.203", features = ["derive"] }
+serde_json = "1.0.120"
+strum = "0.26.3"
+strum_macros = "0.26.4"

crypto-msg-parser/src/exchanges/bitmex.rs

@@ -18,7 +18,7 @@ const EXCHANGE_NAME: &str = "bitmex";
 
 // symbol -> tickSize
 static SYMBOL_INDEX_AND_TICK_SIZE_MAP: Lazy<HashMap<String, (usize, f64)>> = Lazy::new(|| {
-    let mut m: HashMap<String, (usize, f64)> = vec![
+    let m: HashMap<String, (usize, f64)> = vec![
         ("A50G16", (65, 2.5)),
         ("A50H16", (67, 2.5)),
         ("A50J16", (72, 2.5)),
@@ -491,14 +491,16 @@ static SYMBOL_INDEX_AND_TICK_SIZE_MAP: Lazy<HashMap<String, (usize, f64)>> = Laz
     .map(|x| (x.0.to_string(), x.1))
     .collect();
 
-    let from_online = fetch_tick_sizes();
-    for (symbol, tick_size) in from_online {
-        m.insert(symbol, tick_size);
-    }
+    // deprecated by May 31st 2023
+    // let from_online = fetch_tick_sizes();
+    // for (symbol, tick_size) in from_online {
+    //     m.insert(symbol, tick_size);
+    // }
 
     m
 });
 
+#[allow(dead_code)]
 fn fetch_tick_sizes() -> BTreeMap<String, (usize, f64)> {
     #[derive(Serialize, Deserialize)]
     #[allow(non_snake_case)]
@@ -566,7 +568,7 @@ struct RawOrder {
     id: usize,
     side: String,       // Sell, Buy
     size: Option<f64>,  // None if action = delete
-    price: Option<f64>, // None if action = delete
+    price: Option<f64>, /* always exists after May 31st 2023, see https://www.bitmex.com/app/wsAPI#OrderBookL2 */
     timestamp: Option<String>,
     #[serde(flatten)]
     extra: HashMap<String, Value>,