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@@ -1,7 +1,7 @@
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#![windows_subsystem = "windows"]
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mod data_providers;
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-use data_providers::binance::market_data;
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+use data_providers::binance::market_data::{self, FeedLatency};
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use data_providers::{binance, bybit};
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mod charts;
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use charts::custom_line::{self, CustomLine};
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@@ -9,6 +9,7 @@ use charts::heatmap::{self, Heatmap};
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use charts::footprint::{self, Footprint};
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use iced::event;
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+use std::collections::VecDeque;
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use std::vec;
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use chrono::{NaiveDateTime, DateTime, Utc};
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use iced::{
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@@ -296,6 +297,10 @@ struct State {
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tick_multiply: u16,
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min_tick_size: Option<f32>,
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+
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+ exchange_latency: Option<u32>,
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+
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+ feed_latency_cache: VecDeque<FeedLatency>,
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}
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impl State {
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@@ -381,6 +386,10 @@ impl State {
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pane_lock: false,
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tick_multiply: 1,
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min_tick_size: None,
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+
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+ exchange_latency: None,
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+
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+ feed_latency_cache: VecDeque::new(),
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}
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}
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@@ -544,16 +553,35 @@ impl State {
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self.time_and_sales = Some(TimeAndSales::new());
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}
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if pane_state.id == PaneId::FootprintChart {
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- let fetch_ticksize: Task<Message> = Task::perform(
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- bybit::market_data::fetch_ticksize(self.selected_ticker.unwrap_or(Ticker::BTCUSDT)),
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- move |result| match result {
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- Ok(ticksize) => Message::SetMinTickSize(ticksize),
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- Err(err) => {
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- Message::ErrorOccurred(err.to_string())
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- }
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+ match self.selected_exchange {
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+ Some(Exchange::BinanceFutures) => {
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+ let fetch_ticksize: Task<Message> = Task::perform(
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+ binance::market_data::fetch_ticksize(self.selected_ticker.unwrap_or(Ticker::BTCUSDT)),
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+ move |result| match result {
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+ Ok(ticksize) => Message::SetMinTickSize(ticksize),
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+ Err(err) => {
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+ Message::ErrorOccurred(err.to_string())
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+ }
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+ }
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+ );
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+ tasks.push(fetch_ticksize);
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+ },
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+ Some(Exchange::BybitLinear) => {
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+ let fetch_ticksize: Task<Message> = Task::perform(
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+ bybit::market_data::fetch_ticksize(self.selected_ticker.unwrap_or(Ticker::BTCUSDT)),
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+ move |result| match result {
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+ Ok(ticksize) => Message::SetMinTickSize(ticksize),
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+ Err(err) => {
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+ Message::ErrorOccurred(err.to_string())
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+ }
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+ }
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+ );
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+ tasks.push(fetch_ticksize);
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+ },
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+ None => {
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+ eprintln!("No exchange selected");
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}
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- );
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- tasks.push(fetch_ticksize);
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+ }
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}
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if let Some(selected_timeframe) = pane_state.stream.1 {
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@@ -620,6 +648,9 @@ impl State {
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self.custom_line = None;
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self.footprint_chart = None;
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+ self.exchange_latency = None;
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+ self.feed_latency_cache.clear();
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+
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Task::none()
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}
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},
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@@ -677,7 +708,7 @@ impl State {
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binance::market_data::Event::Disconnected => {
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self.binance_ws_state = BinanceWsState::Disconnected;
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}
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- binance::market_data::Event::DepthReceived(depth_update, depth, trades_buffer) => {
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+ binance::market_data::Event::DepthReceived(feed_latency, depth_update, depth, trades_buffer) => {
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if let Some(time_and_sales) = &mut self.time_and_sales {
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time_and_sales.update(&trades_buffer);
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}
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@@ -690,6 +721,8 @@ impl State {
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if let Some(chart) = &mut self.footprint_chart {
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chart.insert_datapoint(trades_buffer_clone, depth_update);
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}
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+
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+ self.feed_latency_cache.push_back(feed_latency);
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}
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binance::market_data::Event::KlineReceived(kline, timeframe) => {
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for (_, pane_state) in self.panes.iter() {
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@@ -716,6 +749,48 @@ impl State {
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}
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}
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}
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+
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+ let mut depth_latency_sum: i64 = 0;
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+ let mut depth_latency_count: i64 = 0;
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+ let mut trade_latency_sum: i64 = 0;
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+ let mut trade_latency_count: i64 = 0;
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+
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+ for feed_latency in self.feed_latency_cache.iter() {
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+ depth_latency_sum += feed_latency.depth_latency;
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+ depth_latency_count += 1;
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+
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+ if let Some(trade_latency) = feed_latency.trade_latency {
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+ trade_latency_sum += trade_latency;
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+ trade_latency_count += 1;
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+ }
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+ }
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+
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+ let average_depth_latency = if depth_latency_count > 0 {
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+ Some(depth_latency_sum / depth_latency_count)
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+ } else {
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+ None
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+ };
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+
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+ let average_trade_latency = if trade_latency_count > 0 {
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+ Some(trade_latency_sum / trade_latency_count)
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+ } else {
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+ None
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+ };
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+
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+ let highest_average_latency = match (average_depth_latency, average_trade_latency) {
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+ (Some(depth), Some(trade)) => Some(std::cmp::max(depth, trade) as u32),
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+ (Some(depth), None) => Some(depth as u32),
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+ (None, Some(trade)) => Some(trade as u32),
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+ (None, None) => None,
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+ };
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+
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+ if let Some(latency) = highest_average_latency {
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+ self.exchange_latency = Some(latency);
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+ }
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+
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+ while self.feed_latency_cache.len() > 100 {
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+ self.feed_latency_cache.pop_front();
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+ }
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}
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},
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@@ -730,7 +805,7 @@ impl State {
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println!("Bybit disconnected");
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}
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- bybit::market_data::Event::DepthReceived(depth_update, depth, trades_buffer) => {
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+ bybit::market_data::Event::DepthReceived(feed_latency, depth_update, depth, trades_buffer) => {
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// convert bybit trade to binance trade
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let mut binance_trades: Vec<binance::market_data::Trade> = vec![];
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@@ -763,6 +838,8 @@ impl State {
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if let Some(chart) = &mut self.footprint_chart {
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chart.insert_datapoint(trades_clone, depth_update);
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}
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+
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+ self.feed_latency_cache.push_back(feed_latency);
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}
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bybit::market_data::Event::KlineReceived(kline, timeframe) => {
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for (_, pane_state) in self.panes.iter() {
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@@ -799,6 +876,50 @@ impl State {
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}
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}
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}
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+
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+ let mut depth_latency_sum: i64 = 0;
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+ let mut depth_latency_count: i64 = 0;
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+ let mut trade_latency_sum: i64 = 0;
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+ let mut trade_latency_count: i64 = 0;
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+
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+ for feed_latency in self.feed_latency_cache.iter() {
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+ // Always add depth_latency
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+ depth_latency_sum += feed_latency.depth_latency;
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+ depth_latency_count += 1;
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+
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+ // Add trade_latency if it exists
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+ if let Some(trade_latency) = feed_latency.trade_latency {
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+ trade_latency_sum += trade_latency;
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+ trade_latency_count += 1;
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+ }
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+ }
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+
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+ let average_depth_latency = if depth_latency_count > 0 {
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+ Some(depth_latency_sum / depth_latency_count)
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+ } else {
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+ None
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+ };
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+
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+ let average_trade_latency = if trade_latency_count > 0 {
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+ Some(trade_latency_sum / trade_latency_count)
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+ } else {
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+ None
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+ };
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+
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+ let highest_average_latency = match (average_depth_latency, average_trade_latency) {
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+ (Some(depth), Some(trade)) => Some(std::cmp::max(depth, trade) as u32),
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+ (Some(depth), None) => Some(depth as u32),
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+ (None, Some(trade)) => Some(trade as u32),
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+ (None, None) => None,
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+ };
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+
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+ if let Some(latency) = highest_average_latency {
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+ self.exchange_latency = Some(latency);
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+ }
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+
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+ while self.feed_latency_cache.len() > 100 {
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+ self.feed_latency_cache.pop_front();
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+ }
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}
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}
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};
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@@ -1050,7 +1171,23 @@ impl State {
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if self.ws_running {
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ws_controls = ws_controls.push(
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- Text::new(self.selected_ticker.unwrap_or_else(|| { dbg!("No ticker found"); Ticker::BTCUSDT } ).to_string()).size(20));
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+ Row::new()
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+ .spacing(10)
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+ .align_items(Alignment::Center)
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+ .push(
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+ Column::new()
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+ .align_items(Alignment::Start)
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+ .push(
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+ Text::new(self.selected_exchange.unwrap_or_else(|| { dbg!("No exchange found"); Exchange::BinanceFutures }).to_string()).size(10)
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+ )
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+ .push(
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+ tooltip(Text::new(format!("{} ms", self.exchange_latency.unwrap_or_default())).size(10), "Exchange feed latency", tooltip::Position::Bottom).style(style::tooltip)
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+ )
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+ )
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+ .push(
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+ Text::new(self.selected_ticker.unwrap_or_else(|| { dbg!("No ticker found"); Ticker::BTCUSDT } ).to_string()).size(20)
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+ )
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+ );
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} else {
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let symbol_pick_list = pick_list(
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&Ticker::ALL[..],
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Berke