as-rust/standard/src/handle_info.rs

use std::cmp::Ordering;
use std::str::FromStr;
use rust_decimal::{Decimal};
use rust_decimal::prelude::FromPrimitive;
use rust_decimal_macros::dec;
use tracing::{error};
use exchanges::response_base::ResponseData;
use global::public_params;
use crate::exchange::ExchangeEnum;
use crate::{binance_swap_handle, gate_swap_handle, bybit_swap_handle, kucoin_handle};
use crate::{Account, MarketOrder, Position, SpecialDepth, SpecialOrder, SpecialTicker};

#[allow(dead_code)]
pub struct HandleSwapInfo;

pub struct DepthParam {
    pub depth_asks: Vec<MarketOrder>,
    pub depth_bids: Vec<MarketOrder>,
    pub t: Decimal,
    pub create_at: i64
}

#[allow(dead_code)]
impl HandleSwapInfo {
    // 处理账号信息
    pub fn handle_account_info(exchange: ExchangeEnum, res_data: &ResponseData, symbol: &String) -> Account {
        match exchange {
            // ExchangeEnum::BinanceSwap => {
            //     error!("暂未提供此交易所方法！handle_account_info：{:?}", exchange);
            //     panic!("暂未提供此交易所方法！handle_account_info：{:?}", exchange);
            // }
            ExchangeEnum::GateSwap => {
                gate_swap_handle::handle_account_info(res_data, symbol)
            }
            ExchangeEnum::KucoinSwap => {
                kucoin_handle::handle_account_info(res_data, symbol)
            }
            // ExchangeEnum::KucoinSpot => {
            //     kucoin_spot_handle::handle_account_info(res_data, symbol)
            // }
            // ExchangeEnum::OkxSwap => {
            //     okx_handle::handle_account_info(res_data, symbol)
            // }
            // ExchangeEnum::BitgetSpot => {
            //     bitget_spot_handle::handle_account_info(res_data, symbol)
            // },
            ExchangeEnum::BybitSwap => {
                bybit_swap_handle::handle_account_info(res_data, symbol)
            }
            _ => {
                error!("未找到该交易所！handle_account_info: {:?}",exchange);
                panic!("未找到该交易所！handle_account_info: {:?}", exchange);
            }
        }
    }
    // 处理特殊Ticket信息
    pub fn handle_book_ticker(exchange: ExchangeEnum, res_data: &ResponseData) -> SpecialDepth {
        match exchange {
            // ExchangeEnum::BinanceSpot => {
            //     binance_spot_handle::handle_special_ticker(res_data)
            // }
            ExchangeEnum::BinanceSwap => {
                binance_swap_handle::handle_book_ticker(res_data)
            }
            ExchangeEnum::GateSwap => {
                gate_swap_handle::handle_book_ticker(res_data)
            }
            ExchangeEnum::KucoinSwap => {
                kucoin_handle::handle_book_ticker(res_data)
            }
            // ExchangeEnum::KucoinSpot => {
            //     kucoin_spot_handle::handle_special_ticker(res_data)
            // }
            // ExchangeEnum::OkxSwap => {
            //     okx_handle::handle_special_ticker(res_data)
            // }
            // ExchangeEnum::BitgetSpot => {
            //     bitget_spot_handle::handle_special_ticker(res_data)
            // },
            ExchangeEnum::BybitSwap => {
                bybit_swap_handle::handle_ticker(res_data)
            }
        }
    }
    // 处理position信息
    pub fn handle_position(exchange: ExchangeEnum, res_data: &ResponseData, ct_val: &Decimal) -> Vec<Position> {
        match exchange {
            ExchangeEnum::BinanceSwap => {
                error!("暂未提供此交易所方法！handle_position：{:?}", exchange);
                panic!("暂未提供此交易所方法！handle_position：{:?}", exchange);
            }
            ExchangeEnum::GateSwap => {
                gate_swap_handle::handle_position(res_data, ct_val)
            }
            ExchangeEnum::KucoinSwap => {
                kucoin_handle::handle_position(res_data, ct_val)
            }
            // ExchangeEnum::KucoinSpot => {
            //     error!("暂未提供此交易所方法！handle_position：{:?}", exchange);
            //     panic!("暂未提供此交易所方法！handle_position：{:?}", exchange);
            // }
            // ExchangeEnum::OkxSwap => {
            //     okx_handle::handle_position(res_data, ct_val)
            // }
            // ExchangeEnum::BitgetSpot => {
            //     error!("暂未提供此交易所方法！handle_position：{:?}", exchange);
            //     panic!("暂未提供此交易所方法！handle_position：{:?}", exchange);
            // },
            ExchangeEnum::BybitSwap => {
                bybit_swap_handle::handle_position(res_data, ct_val)
            }
        }
    }
    // 处理订单信息
    pub fn handle_order(exchange: ExchangeEnum, res_data: ResponseData, ct_val: Decimal) -> SpecialOrder {
        match exchange {
            ExchangeEnum::BinanceSwap => {
                error!("暂未提供此交易所方法！handle_order：{:?}", exchange);
                panic!("暂未提供此交易所方法！handle_order：{:?}", exchange);
            }
            ExchangeEnum::GateSwap => {
                gate_swap_handle::handle_order(res_data, ct_val)
            }
            ExchangeEnum::KucoinSwap => {
                kucoin_handle::handle_order(res_data, ct_val)
            }
            // ExchangeEnum::KucoinSpot => {
            //     kucoin_spot_handle::handle_order(res_data, ct_val)
            // }
            // ExchangeEnum::OkxSwap => {
            //     okx_handle::handle_order(res_data, ct_val)
            // }
            // ExchangeEnum::BitgetSpot => {
            //     bitget_spot_handle::handle_order(res_data, ct_val)
            // },
            ExchangeEnum::BybitSwap => {
                bybit_swap_handle::handle_order(res_data, ct_val)
            }
        }
    }

    // 处理深度信息
    pub fn handle_special_depth(exchange: ExchangeEnum, res_data: &ResponseData) -> SpecialDepth {
        let label = res_data.label.clone();
        // 格式化
        let mut format_depth = format_depth(exchange, res_data);
        // 运算、组装
        make_special_depth(label, &mut format_depth.depth_asks, &mut format_depth.depth_bids, format_depth.t, format_depth.create_at)
    }
}


pub fn make_special_depth(label: String, depth_asks: &mut Vec<MarketOrder>, depth_bids: &mut Vec<MarketOrder>, t: Decimal, create_at: i64) -> SpecialDepth{
    depth_asks.sort_by(|a, b| a.price.partial_cmp(&b.price).unwrap_or(Ordering::Equal));
    depth_bids.sort_by(|a, b| b.price.partial_cmp(&a.price).unwrap_or(Ordering::Equal));
    // TODO 不排序的话，有4us可以省下来。
    let mp = (depth_asks[0].price + depth_bids[0].price) * dec!(0.5);
    let step = (public_params::EFF_RANGE * mp / Decimal::from_usize(public_params::LEVEL).unwrap()).round_dp(mp.scale());
    let mut ap = Vec::new();
    let mut bp = Vec::new();
    let mut av: Vec<Decimal> = Vec::new();
    let mut bv: Vec<Decimal> = Vec::new();
    for i in 0..public_params::LEVEL {
        let price = (depth_asks[0].price + step * Decimal::from_f64(i as f64).unwrap()).round_dp(depth_asks[0].price.scale());
        ap.push(price);
    }
    for i in 0..public_params::LEVEL {
        let price = (depth_bids[0].price - step * Decimal::from_f64(i as f64).unwrap()).round_dp(depth_bids[0].price.scale());
        bp.push(price);
    }
    let mut ap_price_tag = depth_asks[0].price + step;
    let mut ap_index = 0;
    for item in depth_asks.iter() {
        let price = item.price;
        let amount = item.amount;
        if av.get(ap_index).is_none() { av.push(Decimal::ZERO) };
        if price < ap_price_tag {
            av[ap_index] += amount;
        } else {
            ap_price_tag += step;
            ap_index += 1;
            if ap_index == public_params::LEVEL {
                break;
            }
            av[ap_index] += amount
        }
    }

    let mut bp_price_tag = depth_bids[0].price - step;
    let mut bp_index = 0;
    for item in depth_bids.iter() {
        let price = item.price;
        let amount = item.amount;
        if bv.get(bp_index).is_none() { bv.push(Decimal::ZERO) };
        if price > bp_price_tag {
            bv[bp_index] += amount;
        } else {
            bp_price_tag -= step;
            bp_index += 1;
            if bp_index == public_params::LEVEL {
                break;
            }
            bv[bp_index] += amount
        }
    }

    let ticker_info = SpecialTicker { sell: depth_asks[0].price, buy: depth_bids[0].price, mid_price: mp, t, create_at };
    let depth_info = bp.iter().cloned().chain(bv.iter().cloned()).chain(ap.iter().cloned()).chain(av.iter().cloned()).collect();
    SpecialDepth {
        name: label,
        depth: depth_info,
        ticker: ticker_info,
        t,
        create_at,
    }
}

pub fn format_depth(exchange: ExchangeEnum, res_data: &ResponseData) -> DepthParam {
    let depth_asks: Vec<MarketOrder>;
    let depth_bids: Vec<MarketOrder>;
    let t: Decimal;
    let create_at: i64;
    match exchange {
        // ExchangeEnum::BinanceSpot => {
        //     depth_asks = binance_swap_handle::format_depth_items(res_data_json["asks"].clone());
        //     depth_bids = binance_swap_handle::format_depth_items(res_data_json["bids"].clone());
        //     t = Decimal::from_str(&res_data_json["lastUpdateId"].to_string()).unwrap();
        //     create_at = 0;
        // }
        ExchangeEnum::BinanceSwap => {
            depth_asks = binance_swap_handle::format_depth_items(res_data.data["a"].clone());
            depth_bids = binance_swap_handle::format_depth_items(res_data.data["b"].clone());
            t = Decimal::from_str(&res_data.data["u"].to_string()).unwrap();
            create_at = res_data.data["E"].as_i64().unwrap() * 1000;
        }
        ExchangeEnum::GateSwap => {
            depth_asks = gate_swap_handle::format_depth_items(&res_data.data["asks"]);
            depth_bids = gate_swap_handle::format_depth_items(&res_data.data["bids"]);
            // todo! 有id可以取 保证与py一致
            t = Decimal::from_str(&res_data.data["t"].to_string()).unwrap();
            create_at = res_data.data["t"].as_i64().unwrap() * 1000;
        }
        ExchangeEnum::KucoinSwap => {
            depth_asks = kucoin_handle::format_depth_items(res_data.data["asks"].clone());
            depth_bids = kucoin_handle::format_depth_items(res_data.data["bids"].clone());
            t = Decimal::from_str(&res_data.data["sequence"].to_string()).unwrap();
            create_at = res_data.data["ts"].as_i64().unwrap() * 1000;
        }
        // ExchangeEnum::KucoinSpot => {
        //     depth_asks = kucoin_spot_handle::format_depth_items(res_data_json["asks"].clone());
        //     depth_bids = kucoin_spot_handle::format_depth_items(res_data_json["bids"].clone());
        //     t = Decimal::from_str(&res_data_json["timestamp"].to_string()).unwrap();
        //     create_at = res_data_json["timestamp"].as_i64().unwrap() * 1000;
        // }
        // ExchangeEnum::OkxSwap => {
        //     depth_asks = okx_handle::format_depth_items(res_data_json[0]["asks"].clone());
        //     depth_bids = okx_handle::format_depth_items(res_data_json[0]["bids"].clone());
        //     t = Decimal::from_str(&res_data_json[0]["seqId"].to_string()).unwrap();
        //     create_at = res_data_json[0]["ts"].as_str().unwrap().parse::<i64>().unwrap() * 1000;
        // }
        // ExchangeEnum::BitgetSpot => {
        //     depth_asks = bitget_spot_handle::format_depth_items(res_data_json[0]["asks"].clone());
        //     depth_bids = bitget_spot_handle::format_depth_items(res_data_json[0]["bids"].clone());
        //     t = Decimal::from_str(res_data_json[0]["ts"].as_str().unwrap()).unwrap();
        //     create_at = res_data_json[0]["ts"].as_str().unwrap().parse::<i64>().unwrap() * 1000;
        // }
        ExchangeEnum::BybitSwap => {
            depth_asks = bybit_swap_handle::format_depth_items(res_data.data["a"].clone());
            depth_bids = bybit_swap_handle::format_depth_items(res_data.data["b"].clone());
            t = Decimal::from_i64(res_data.reach_time).unwrap();
            create_at = res_data.reach_time * 1000;
        }
    }

    DepthParam{
        depth_asks,
        depth_bids,
        t,
        create_at
    }
}