feat(rust): add functionality to retrieve the depth snapshot.

nkaz001 · Jul 10, 2024 · f6097e1 · f6097e1
1 parent 568d1a4
commit f6097e1
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Showing 5 changed files with 124 additions and 5 deletions.
diff --git a/hftbacktest/Cargo.toml b/hftbacktest/Cargo.toml
@@ -12,7 +12,7 @@ keywords = [
     "quantitative",
     "trading",
     "backtesting",
-    "crypto",
+    "cryptocurrency",
     "hft"
 ]
 categories = ["finance", "mathematics", "science", "algorithms", "simulation"]
@@ -27,6 +27,7 @@ binancefutures = ["serde", "serde_json", "tokio-tungstenite", "reqwest", "sha2",
 bybit = ["serde", "serde_json", "tokio-tungstenite", "reqwest", "sha2", "hmac", "rand"]
 unstable_l3 = []
 unstable_fuse = []
+unstable_marketdeptharrayview = []
 
 [dependencies]
 tracing = "0.1.40"
@@ -37,7 +38,7 @@ chrono = { version = "0.4.33", optional = true }
 serde = { version = "1.0.196", features = ["derive"], optional = true }
 serde_json = { version = "1.0.113", optional = true }
 tokio = { version = "1.35.1", features = ["full"], optional = true }
-tokio-tungstenite = { version = "0.23.0", features = ["native-tls"], optional = true }
+tokio-tungstenite = { version = "0.23.1", features = ["native-tls"], optional = true }
 reqwest = { version = "0.12.3", features = ["json"], optional = true }
 zip = { version = "2.1.3", optional = true }
 futures-util = { version = "0.3.30", optional = true }

diff --git a/hftbacktest/src/depth/btreemarketdepth.rs b/hftbacktest/src/depth/btreemarketdepth.rs
@@ -11,7 +11,7 @@ use super::{
 };
 use crate::{
     backtest::{reader::Data, BacktestError},
-    prelude::Side,
+    prelude::{Side, DEPTH_SNAPSHOT_EVENT, EXCH_EVENT, LOCAL_EVENT},
     types::{Event, BUY, SELL},
 };
 
@@ -203,6 +203,34 @@ impl ApplySnapshot<Event> for BTreeMarketDepth {
         self.best_bid_tick = *self.bid_depth.keys().last().unwrap_or(&INVALID_MIN);
         self.best_ask_tick = *self.ask_depth.keys().next().unwrap_or(&INVALID_MAX);
     }
+
+    fn snapshot(&self) -> Vec<Event> {
+        let mut events = Vec::new();
+
+        for (&px_tick, &qty) in self.bid_depth.iter().rev() {
+            events.push(Event {
+                ev: EXCH_EVENT | LOCAL_EVENT | BUY | DEPTH_SNAPSHOT_EVENT,
+                // todo: it's not a problem now, but it would be better to have valid timestamps.
+                exch_ts: 0,
+                local_ts: 0,
+                px: px_tick as f32 * self.tick_size,
+                qty,
+            });
+        }
+
+        for (&px_tick, &qty) in self.ask_depth.iter() {
+            events.push(Event {
+                ev: EXCH_EVENT | LOCAL_EVENT | SELL | DEPTH_SNAPSHOT_EVENT,
+                // todo: it's not a problem now, but it would be better to have valid timestamps.
+                exch_ts: 0,
+                local_ts: 0,
+                px: px_tick as f32 * self.tick_size,
+                qty,
+            });
+        }
+
+        events
+    }
 }
 
 impl L3MarketDepth for BTreeMarketDepth {

diff --git a/hftbacktest/src/depth/fuse.rs b/hftbacktest/src/depth/fuse.rs
@@ -3,7 +3,7 @@ use std::collections::{hash_map::Entry, HashMap};
 use super::{ApplySnapshot, L1MarketDepth, L3Order, MarketDepth, INVALID_MAX, INVALID_MIN};
 use crate::{
     backtest::{reader::Data, BacktestError},
-    prelude::{L2MarketDepth, Side},
+    prelude::{L2MarketDepth, Side, DEPTH_SNAPSHOT_EVENT, EXCH_EVENT, LOCAL_EVENT},
     types::{Event, BUY, SELL},
 };
 
@@ -363,6 +363,46 @@ impl ApplySnapshot<Event> for FusedHashMapMarketDepth {
             }
         }
     }
+
+    fn snapshot(&self) -> Vec<Event> {
+        let mut events = Vec::new();
+
+        let mut bid_depth = self
+            .bid_depth
+            .iter()
+            .map(|(&px_tick, &qty)| (px_tick, qty))
+            .collect::<Vec<_>>();
+        bid_depth.sort_by(|a, b| b.0.cmp(&a.0));
+        for (px_tick, qty) in bid_depth {
+            events.push(Event {
+                ev: EXCH_EVENT | LOCAL_EVENT | BUY | DEPTH_SNAPSHOT_EVENT,
+                exch_ts: qty.timestamp,
+                // todo: it's not a problem now, but it would be better to have valid timestamps.
+                local_ts: 0,
+                px: px_tick as f32 * self.tick_size,
+                qty: qty.qty,
+            });
+        }
+
+        let mut ask_depth = self
+            .ask_depth
+            .iter()
+            .map(|(&px_tick, &qty)| (px_tick, qty))
+            .collect::<Vec<_>>();
+        ask_depth.sort_by(|a, b| a.0.cmp(&b.0));
+        for (px_tick, qty) in ask_depth {
+            events.push(Event {
+                ev: EXCH_EVENT | LOCAL_EVENT | SELL | DEPTH_SNAPSHOT_EVENT,
+                exch_ts: qty.timestamp,
+                // todo: it's not a problem now, but it would be better to have valid timestamps.
+                local_ts: 0,
+                px: px_tick as f32 * self.tick_size,
+                qty: qty.qty,
+            });
+        }
+
+        events
+    }
 }
 
 impl L1MarketDepth for FusedHashMapMarketDepth {

diff --git a/hftbacktest/src/depth/hashmapmarketdepth.rs b/hftbacktest/src/depth/hashmapmarketdepth.rs
@@ -4,7 +4,7 @@ use super::{ApplySnapshot, L3MarketDepth, L3Order, MarketDepth, INVALID_MAX, INV
 use crate::{
     backtest::{reader::Data, BacktestError},
     prelude::{L2MarketDepth, Side},
-    types::{Event, BUY, SELL},
+    types::{Event, BUY, DEPTH_SNAPSHOT_EVENT, EXCH_EVENT, LOCAL_EVENT, SELL},
 };
 
 /// L2/L3 Market depth implementation based on a hash map.
@@ -296,6 +296,46 @@ impl ApplySnapshot<Event> for HashMapMarketDepth {
             }
         }
     }
+
+    fn snapshot(&self) -> Vec<Event> {
+        let mut events = Vec::new();
+
+        let mut bid_depth = self
+            .bid_depth
+            .iter()
+            .map(|(&px_tick, &qty)| (px_tick, qty))
+            .collect::<Vec<_>>();
+        bid_depth.sort_by(|a, b| b.0.cmp(&a.0));
+        for (px_tick, qty) in bid_depth {
+            events.push(Event {
+                ev: EXCH_EVENT | LOCAL_EVENT | BUY | DEPTH_SNAPSHOT_EVENT,
+                // todo: it's not a problem now, but it would be better to have valid timestamps.
+                exch_ts: 0,
+                local_ts: 0,
+                px: px_tick as f32 * self.tick_size,
+                qty,
+            });
+        }
+
+        let mut ask_depth = self
+            .ask_depth
+            .iter()
+            .map(|(&px_tick, &qty)| (px_tick, qty))
+            .collect::<Vec<_>>();
+        ask_depth.sort_by(|a, b| a.0.cmp(&b.0));
+        for (px_tick, qty) in ask_depth {
+            events.push(Event {
+                ev: EXCH_EVENT | LOCAL_EVENT | SELL | DEPTH_SNAPSHOT_EVENT,
+                // todo: it's not a problem now, but it would be better to have valid timestamps.
+                exch_ts: 0,
+                local_ts: 0,
+                px: px_tick as f32 * self.tick_size,
+                qty,
+            });
+        }
+
+        events
+    }
 }
 
 impl L3MarketDepth for HashMapMarketDepth {

diff --git a/hftbacktest/src/depth/mod.rs b/hftbacktest/src/depth/mod.rs
@@ -90,6 +90,9 @@ where
 {
     /// Applies the snapshot from the given data to this market depth.
     fn apply_snapshot(&mut self, data: &Data<EventT>);
+
+    /// Returns the current market depth as the depth snapshot events.
+    fn snapshot(&self) -> Vec<EventT>;
 }
 
 /// Level3 order from the market feed.
@@ -167,3 +170,10 @@ pub trait L1MarketDepth {
         timestamp: i64,
     ) -> (i32, i32, i32, f32, f32, i64);
 }
+
+#[cfg(feature = "unstable_marketdeptharrayview")]
+pub trait L2MarketDepthArrayView {
+    fn bid_depth(&self) -> &[f32];
+
+    fn ask_depth(&self) -> &[f32];
+}