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0
websocket
/mono/crates/exchange_proxy/src/bin/poloniex/adapter/websocket/public.rs
use crate::adapter::{ models::websocket::{ public::{ request::{ PublicWsPing, PublicWsRequest, PublicWsSubscription, PublicWsSubscriptionRequest, PublicWsSubscriptionType, }, response::PublicWsMessage, }, PoloniexWsRequestEvent, }, PoloniexAdapter, PoloniexPublicWebsocketTrait, POLONIEX_WS_URL, }; use async_trait::async_trait; use exchange_proxy::{ error::{ExchangeAdapterError, ExchangeAdapterResult}, websocket::FdrWebsocketStatus, }; use fdr_common::crypto::assets::CurrencyPair; use futures_util::{SinkExt, StreamExt}; use tokio_tungstenite::connect_async; use url::Url; #[async_trait] impl PoloniexPublicWebsocketTrait for PoloniexAdapter { async fn ping_public_ws(&mut self) -> ExchangeAdapterResult<()> { self.send_public_ws_request(PublicWsRequest::Ping(PublicWsPing { event: PoloniexWsRequestEvent::Ping, })) .await } async fn connect_public_ws(&mut self) -> ExchangeAdapterResult<bool> { if matches!(self.public_ws.status, FdrWebsocketStatus::Connected) { return Ok(false); } let ret = matches!(self.public_ws.status, FdrWebsocketStatus::Disconnected); let (public_ws, _) = connect_async(Url::parse(format!("{}/public", POLONIEX_WS_URL).as_str())?).await?; self.public_ws.stream = Some(public_ws); self.public_ws.status = FdrWebsocketStatus::Connected; Ok(ret) } async fn disconnect_public_ws(&mut self) -> ExchangeAdapterResult<bool> { let disconnected = match self.public_ws.stream { Some(ref mut connection) => { // swallow error where it could be already closed from other end let _ = connection.close(None).await; true } None => false, }; self.public_ws.status = FdrWebsocketStatus::Disconnected; self.public_ws.stream = None; Ok(disconnected) } async fn subscribe_book_ws(&mut self, pairs: Vec<CurrencyPair>) -> ExchangeAdapterResult<()> { self.send_public_ws_request(PublicWsRequest::Subscribe(PublicWsSubscriptionRequest { event: PoloniexWsRequestEvent::Subscribe, subscription: Some(PublicWsSubscription { channel: vec![PublicWsSubscriptionType::BookLevelTwo], depth: None, pairs: Some( pairs .iter() .map(|p| p.to_string().replace('/', "_")) .collect::<Vec<String>>(), ), }), })) .await } async fn subscribe_trades_ws(&mut self, pairs: Vec<CurrencyPair>) -> ExchangeAdapterResult<()> { self.send_public_ws_request(PublicWsRequest::Subscribe(PublicWsSubscriptionRequest { event: PoloniexWsRequestEvent::Subscribe, subscription: Some(PublicWsSubscription { channel: vec![PublicWsSubscriptionType::Trades], depth: None, pairs: Some( pairs .iter() .map(|p| p.to_string().replace('/', "_")) .collect::<Vec<String>>(), ), }), })) .await } async fn subscribe_ticker_ws(&mut self, pairs: Vec<CurrencyPair>) -> ExchangeAdapterResult<()> { self.send_public_ws_request(PublicWsRequest::Subscribe(PublicWsSubscriptionRequest { event: PoloniexWsRequestEvent::Subscribe, subscription: Some(PublicWsSubscription { channel: vec![PublicWsSubscriptionType::Ticker], depth: None, pairs: Some( pairs .iter() .map(|p| p.to_string().replace('/', "_")) .collect::<Vec<String>>(), ), }), })) .await } async fn await_public_ws_message_ws(&mut self) -> ExchangeAdapterResult<PublicWsMessage> { match self.public_ws.stream { Some(ref mut socket) => match socket.next().await { Some(Ok(msg)) => Ok(msg.try_into()?), Some(Err(e)) => { let _ = self.disconnect_public_ws().await; self.public_ws.status = FdrWebsocketStatus::Disconnected; self.public_ws.stream = None; Err(e.into()) } _ => { let _ = self.disconnect_public_ws().await; Err(ExchangeAdapterError::NoConnection) } }, None => Err(ExchangeAdapterError::NoConnection), } } } impl PoloniexAdapter { async fn send_public_ws_request(&mut self, req: PublicWsRequest) -> ExchangeAdapterResult<()> { match self.public_ws.stream { Some(ref mut socket) => Ok(socket.send(req.try_into()?).await?), None => Err(ExchangeAdapterError::NoConnection), } } }
0
server
/mono/crates/exchange_proxy/src/server/mod.rs
use std::sync::Arc; use axum::Router; use fdr_common::task::{FdrTask, FdrTaskResult, ShutdownType}; use fdr_http::Server as FdrHttpServer; use crate::{context::Context, error::ExchangeProxyError}; pub mod realm; pub struct Server { context: Arc<Context>, } impl Server { pub fn new(context: Arc<Context>) -> Self { Self { context } } } #[async_trait::async_trait] impl FdrTask<ExchangeProxyError> for Server { async fn run(self: Box<Self>) -> FdrTaskResult<ExchangeProxyError> { FdrHttpServer::serve( self.context.clone(), self.context.config.server.listen_address.clone(), self.context.config.server.port, build_router(), ) .await } fn name(&self) -> String { "HTTP Server".to_string() } fn shutdown_type(&self) -> ShutdownType { ShutdownType::Managed } } fn build_router() -> Router { Router::new() .merge(realm::trading::router()) .merge(realm::market::router()) .merge(realm::funding::router()) .merge(realm::subaccounts::router()) .merge(realm::user_data::router()) }
0
realm
/mono/crates/exchange_proxy/src/server/realm/mod.rs
pub mod funding; pub mod market; pub mod subaccounts; pub mod trading; pub mod user_data;
0
subaccounts
/mono/crates/exchange_proxy/src/server/realm/subaccounts/mod.rs
use axum::{routing::get, Router}; pub fn router() -> Router { Router::new().route("/sub_accounts/hello", get(hello)) } async fn hello() -> &'static str { "Hello, World!" }
0
market
/mono/crates/exchange_proxy/src/server/realm/market/pair.rs
use crate::context::Context; use axum::{extract::Path, Extension, Json}; use catalog::{KRAKEN_PAIRS, POLONIEX_PAIRS}; use exchange_client::realm::{market::get_pair::GetPairsResponse, FdrApiResult}; use fdr_common::{ crypto::{assets::CurrencyPair, pairs::TradingPair}, exchange::Exchange, tracing::instrument, }; use http::StatusCode; use std::{collections::HashMap, sync::Arc}; #[instrument(skip(ctx))] pub(crate) async fn get_pairs(Extension(ctx): Extension<Arc<Context>>) -> FdrApiResult<GetPairsResponse> { let resp = match ctx.exchange() { Exchange::Kraken => KRAKEN_PAIRS.clone(), Exchange::Poloniex => POLONIEX_PAIRS.clone(), Exchange::Backtest => KRAKEN_PAIRS.clone(), Exchange::Coinbase => HashMap::new(), }; Ok((StatusCode::OK, Json(GetPairsResponse { pairs: resp }))) } #[instrument(skip(ctx))] pub(crate) async fn get_pair( Extension(ctx): Extension<Arc<Context>>, Path(pair): Path<CurrencyPair>, ) -> FdrApiResult<Option<TradingPair>> { let resp = match ctx.exchange() { Exchange::Kraken => KRAKEN_PAIRS.get(&pair).cloned(), Exchange::Poloniex => POLONIEX_PAIRS.get(&pair).cloned(), Exchange::Backtest => KRAKEN_PAIRS.get(&pair).cloned(), Exchange::Coinbase => None, }; match resp { Some(pair) => Ok((StatusCode::OK, Json(Some(pair)))), None => Ok((StatusCode::NOT_FOUND, Json(None))), } }
0
market
/mono/crates/exchange_proxy/src/server/realm/market/mod.rs
use axum::{routing::get, Router}; mod asset; mod book; mod pair; pub fn router() -> Router { Router::new() .route("/market/books", get(book::get_books)) .route("/market/book/:pair", get(book::get_book)) .route("/market/assets", get(asset::get_assets)) .route("/market/asset/:asset", get(asset::get_asset)) .route("/market/pairs", get(pair::get_pairs)) .route("/market/pair/:pair", get(pair::get_pair)) }
0
market
/mono/crates/exchange_proxy/src/server/realm/market/asset.rs
use crate::context::Context; use axum::{extract::Path, Extension, Json}; use catalog::{KRAKEN_ASSETS, POLONIEX_ASSETS}; use exchange_client::realm::{market::get_asset::GetAssetsResponse, FdrApiResult}; use fdr_common::{ crypto::assets::{Asset, TradingAsset}, exchange::Exchange, tracing::instrument, }; use http::StatusCode; use std::{collections::HashMap, sync::Arc}; #[instrument(skip(ctx))] pub(crate) async fn get_assets(Extension(ctx): Extension<Arc<Context>>) -> FdrApiResult<GetAssetsResponse> { let resp = match ctx.exchange() { Exchange::Kraken => KRAKEN_ASSETS.clone(), Exchange::Poloniex => POLONIEX_ASSETS.clone(), Exchange::Backtest => KRAKEN_ASSETS.clone(), Exchange::Coinbase => HashMap::new(), }; Ok((StatusCode::OK, Json(GetAssetsResponse { assets: resp }))) } #[instrument(skip(ctx))] pub(crate) async fn get_asset( Extension(ctx): Extension<Arc<Context>>, Path(asset): Path<Asset>, ) -> FdrApiResult<Option<TradingAsset>> { let resp = match ctx.exchange() { Exchange::Kraken => KRAKEN_ASSETS.get(&asset).cloned(), Exchange::Poloniex => POLONIEX_ASSETS.get(&asset).cloned(), Exchange::Backtest => KRAKEN_ASSETS.get(&asset).cloned(), Exchange::Coinbase => None, }; match resp { Some(asset) => Ok((StatusCode::OK, Json(Some(asset)))), None => Ok((StatusCode::NOT_FOUND, Json(None))), } }
0
market
/mono/crates/exchange_proxy/src/server/realm/market/book.rs
use crate::{book_manager::BookManagerGetters, context::Context}; use axum::{ extract::{Path, Query}, Extension, Json, }; use exchange_client::realm::{ market::get_book::{BookWithMeta, GetBookResponse}, FdrApiError, FdrApiResult, }; use fdr_common::{crypto::assets::CurrencyPair, tracing::instrument}; use http::StatusCode; use std::{collections::BTreeMap, sync::Arc}; /// We may only want to get the kafka partition and topic of the last snapshot #[derive(Debug, serde::Deserialize)] pub struct BookParams { tpl_only: bool, } #[instrument(skip(ctx))] pub(crate) async fn get_book( params: Query<BookParams>, Path(pair): Path<CurrencyPair>, Extension(ctx): Extension<Arc<Context>>, ) -> FdrApiResult<GetBookResponse> { let book_manager = ctx.book_manager.read().await; let offsets = ctx.book_offsets.read().await; let snapshot_offsets = ctx.book_snapshot_offsets.read().await; let book = book_manager .get_books() .get(&pair) .ok_or_else(|| FdrApiError::new(StatusCode::NOT_FOUND, Some(format!("No order book found for: {pair}"))))?; let books = [( pair, BookWithMeta { topic: format!("{}_book_{}", ctx.config.exchange.exchange_name(), pair.topic_suffix()), current_offset: offsets.get(&pair).copied().unwrap_or(0), last_snapshot_offset: snapshot_offsets.get(&pair).copied().unwrap_or(0), book: (!params.tpl_only).then_some(book.clone()), }, )] .into_iter() .collect::<BTreeMap<CurrencyPair, BookWithMeta>>(); Ok((StatusCode::OK, Json(GetBookResponse { books }))) } #[instrument(skip(ctx))] pub(crate) async fn get_books( params: Query<BookParams>, Extension(ctx): Extension<Arc<Context>>, ) -> FdrApiResult<GetBookResponse> { let book_manager = ctx.book_manager.read().await; let offsets = ctx.book_offsets.read().await; let snapshot_offsets = ctx.book_snapshot_offsets.read().await; let books = book_manager .get_books() .iter() .map(|(pair, book)| { ( *pair, BookWithMeta { topic: format!("{}_book_{}", ctx.config.exchange.exchange_name(), pair.topic_suffix()), current_offset: offsets.get(pair).copied().unwrap_or(0), last_snapshot_offset: snapshot_offsets.get(pair).copied().unwrap_or(0), book: (!params.tpl_only).then_some(book.clone()), }, ) }) .collect::<BTreeMap<CurrencyPair, BookWithMeta>>(); Ok((StatusCode::OK, Json(GetBookResponse { books }))) }
0
trading
/mono/crates/exchange_proxy/src/server/realm/trading/mod.rs
use axum::{routing::post, Router}; mod cancel_order; mod create_order; pub fn router() -> Router { let router = Router::new() .route("/trading/cancel_async", post(cancel_order::cancel_order_async)) .route("/trading/cancel", post(cancel_order::cancel_order)); #[cfg(feature = "create_order")] let router = router .route("/trading/create_async", post(create_order::create_order_async)) .route("/trading/create", post(create_order::create_order)); router }
0
trading
/mono/crates/exchange_proxy/src/server/realm/trading/create_order.rs
use std::sync::Arc; use axum::{Extension, Json}; use chrono::Utc; use exchange_client::realm::{ trading::create_order::{CreateOrderRequest, CreateOrderResponse}, FdrApiError, FdrApiResult, }; use http::StatusCode; use rust_decimal::Decimal; use uuid::Uuid; use fdr_common::{ crypto::orders::{FdrOrderStatus, FdrOrderType}, exchange::Exchange, tracing::instrument, TradingStrategy, }; use fdr_http::IdempotencyKey; use fdr_store::orders::{ models::{GetOrderFilter, OrderDto}, OrderStore, }; use crate::{ context::Context, error::{ExchangeProxyError, ExchangeProxyResult}, }; // #[debug_handler] #[instrument(skip(ctx))] pub(crate) async fn create_order_async( Extension(strategy): Extension<TradingStrategy>, Extension(ctx): Extension<Arc<Context>>, Extension(idempotency_key): Extension<Option<IdempotencyKey>>, Json(payload): Json<CreateOrderRequest>, ) -> FdrApiResult<CreateOrderResponse> { match validate_order_request(&payload) { Ok(_) => Ok(save_order_request(payload, &ctx, idempotency_key, strategy).await?), Err(e) => Err(e.into()), } } // #[debug_handler] #[instrument(skip(ctx))] pub(crate) async fn create_order( Extension(ctx): Extension<Arc<Context>>, Extension(strategy): Extension<TradingStrategy>, Extension(idempotency_key): Extension<Option<IdempotencyKey>>, Json(payload): Json<CreateOrderRequest>, ) -> FdrApiResult<()> { match validate_order_request(&payload) { Ok(_) => { let (status_code, resp) = save_order_request(payload, &ctx, idempotency_key, strategy).await?; let order_dto = await_order_fill(resp.order_id, &ctx).await?; match order_dto.error { Some(error) => Err(FdrApiError::new(StatusCode::BAD_REQUEST, Some(error))), None => Ok((status_code, Json(()))), } } Err(e) => Err(e.into()), } } fn validate_order_request(payload: &CreateOrderRequest) -> ExchangeProxyResult<()> { if matches!(payload.type_, FdrOrderType::Market) && payload.price.is_some() { return Err(ExchangeProxyError::ApiError( "You submitted a market order with a price... this is not supported.".to_string(), )); } if matches!(payload.type_, FdrOrderType::Market) && matches!(payload.market.exchange, Exchange::Poloniex) { return Err(ExchangeProxyError::ApiError( "Market orders are not yet supported via Poloniex Proxy".to_string(), )); } Ok(()) } async fn save_order_request( payload: CreateOrderRequest, ctx: &Arc<Context>, id: Option<IdempotencyKey>, strategy: TradingStrategy, ) -> ExchangeProxyResult<(StatusCode, Json<CreateOrderResponse>)> { let (order_id, cnt) = ctx .pool .acquire() .await? .save_order(&make_order_dto(&payload, id), strategy) .await?; if cnt == 0 { // The order already exists. We need to retrieve it and ensure this request is identical. let existing_order = ctx .pool .acquire() .await? .get_order(GetOrderFilter::Id(order_id)) .await?; if !check_order_equality(&existing_order, &payload) { return Err(ExchangeProxyError::ResourceAlreadyExists( "A different order already exists with that ID".to_string(), )); } } let status_code = if cnt == 0 { StatusCode::OK } else { StatusCode::CREATED }; Ok(( status_code, Json(CreateOrderResponse { order_id, exchange_order_ref: None, order_status: None, }), )) } async fn await_order_fill(order_id: Uuid, ctx: &Arc<Context>) -> ExchangeProxyResult<OrderDto> { let mut order_dto = ctx .pool .acquire() .await? .get_order(GetOrderFilter::Id(order_id)) .await?; while matches!(order_dto.order_status, FdrOrderStatus::New | FdrOrderStatus::Pending) { tokio::time::sleep(std::time::Duration::from_millis(50)).await; order_dto = ctx .pool .acquire() .await? .get_order(GetOrderFilter::Id(order_id)) .await?; } Ok(order_dto) } fn check_order_equality(existing_order: &OrderDto, order_request: &CreateOrderRequest) -> bool { existing_order.exchange == order_request.market.exchange && existing_order.order_type == order_request.type_ && existing_order.base == order_request.market.pair.base() && existing_order.quote == order_request.market.pair.quote() && existing_order.order_side == order_request.side && existing_order.price == order_request.price && existing_order.volume == order_request.volume && existing_order.expire_time == order_request.expire_time } fn make_order_dto(req: &CreateOrderRequest, id: Option<IdempotencyKey>) -> OrderDto { OrderDto { id: id.as_deref().cloned().unwrap_or(Uuid::new_v4()), strat_run_id: req.strat_run_id, strategy: req.strategy, exchange: req.market.exchange, exchange_order_ref: None, user_ref: 0, error: None, order_type: req.type_, order_status: FdrOrderStatus::New, base: req.market.pair.base(), quote: req.market.pair.quote(), order_side: req.side, price: req.price, volume: req.volume, volume_filled: Decimal::ZERO, total_cost: None, expire_time: req.expire_time, created_at: Utc::now(), updated_at: Utc::now(), cancellation_status: None, extra_fields: None, } }
0
trading
/mono/crates/exchange_proxy/src/server/realm/trading/cancel_order.rs
use std::sync::Arc; use axum::{Extension, Json}; use exchange_client::realm::{ trading::cancel_order::{CancelOrderRequest, CancelOrderResponse}, FdrApiError, FdrApiResult, }; use http::StatusCode; use fdr_common::{ crypto::orders::{FdrOrderCancellationStatus, FdrOrderStatus}, tracing::instrument, }; use fdr_store::{ error::FdrStoreError, orders::{models::GetOrderFilter, OrderStore}, }; use crate::{context::Context, error::ExchangeProxyError}; #[instrument(skip(ctx))] pub(crate) async fn cancel_order_async( Extension(ctx): Extension<Arc<Context>>, Json(payload): Json<CancelOrderRequest>, ) -> FdrApiResult<()> { ctx.pool .acquire() .await .map_err(ExchangeProxyError::FdrStore)? .update_order( GetOrderFilter::Id(payload.order_id), None, Some(FdrOrderCancellationStatus::Requested), None, None, None, ) .await .map_err(|e| { FdrApiError::new( StatusCode::INTERNAL_SERVER_ERROR, match e { FdrStoreError::DisallowedOrderCancellationStatusTransition(s) => Some(s), FdrStoreError::DisallowedOrderStatusTransition(s) => Some(s), _ => None, }, ) })?; Ok((StatusCode::OK, Json(()))) } #[instrument(skip(ctx))] pub(crate) async fn cancel_order( Extension(ctx): Extension<Arc<Context>>, Json(payload): Json<CancelOrderRequest>, ) -> FdrApiResult<CancelOrderResponse> { let order_id = payload.order_id; let _ = cancel_order_async(Extension(ctx.clone()), Json(payload)).await?; let mut order_dto = ctx .pool .acquire() .await .map_err(ExchangeProxyError::FdrStore)? .get_order(GetOrderFilter::Id(order_id)) .await .map_err(ExchangeProxyError::FdrStore)?; while order_dto.order_status != FdrOrderStatus::Cancelled { tokio::time::sleep(std::time::Duration::from_millis(50)).await; order_dto = ctx .pool .acquire() .await .map_err(ExchangeProxyError::FdrStore)? .get_order(GetOrderFilter::Id(order_id)) .await .map_err(ExchangeProxyError::FdrStore)? } Ok(( StatusCode::OK, Json(CancelOrderResponse { order_status: Some(order_dto.order_status), }), )) }
0
funding
/mono/crates/exchange_proxy/src/server/realm/funding/mod.rs
use axum::{routing::get, Router}; pub fn router() -> Router { Router::new().route("/funding/hello", get(hello)) } async fn hello() -> &'static str { "Hello, World!" }
0
user_data
/mono/crates/exchange_proxy/src/server/realm/user_data/mod.rs
use axum::{routing::get, Router}; mod get_trade_volume; pub fn router() -> Router { Router::new().route("/user_data/trade_volume", get(get_trade_volume::get_trade_volume)) }
0
user_data
/mono/crates/exchange_proxy/src/server/realm/user_data/get_trade_volume.rs
use crate::{ context::Context, error::{ExchangeAdapterError, ExchangeProxyError}, }; use axum::{Extension, Json}; use exchange_client::realm::{ user_data::get_trade_volume::{GetTradeVolumeRequest, GetTradeVolumeResponse}, FdrApiResult, }; use fdr_common::{tracing::instrument, TradingStrategy}; use http::StatusCode; use std::sync::Arc; #[instrument(skip(ctx))] pub(crate) async fn get_trade_volume( Extension(strategy): Extension<TradingStrategy>, Extension(ctx): Extension<Arc<Context>>, Json(payload): Json<GetTradeVolumeRequest>, ) -> FdrApiResult<GetTradeVolumeResponse> { let adapter = ctx .get_adapter(strategy) .await .ok_or_else(|| ExchangeProxyError::ExchangeAdapter(ExchangeAdapterError::MissingAdapter(strategy)))?; let resp = adapter .trade_volume(payload) .await .map_err(ExchangeProxyError::ExchangeAdapter)?; Ok((StatusCode::OK, Json(resp))) }
0
reconciler
/mono/crates/exchange_proxy/src/reconciler/mod.rs
use async_trait::async_trait; use std::{collections::HashMap, sync::Arc, time::Duration}; use rust_decimal::prelude::ToPrimitive; use sqlx::Error; use tokio_util::sync::CancellationToken; use uuid::Uuid; use fdr_common::{ crypto::{assets::CurrencyPair, orders::FdrOrderStatus}, exchange::Market, task::{FdrTask, FdrTaskResult, ShutdownType}, tracing::instrument, TradingStrategy, }; use fdr_event::{ events::{FdrEvent, FdrOrderPlaced, FdrOrderTrade, FdrOrderUpdate}, FdrEventProducer, }; use fdr_store::{ error::FdrStoreError, orders::{ models::{GetOrderFilter, GetOrdersFilter, OrderDto}, OrderStore, }, trades::{models::TradeDto, TradeStore}, }; use crate::{ adapter::ExchangeAdapterReconcilerTrait, context::Context, error::{ExchangeProxyError, ExchangeProxyResult}, reconciler::models::{ReconcileBy, ReconcilerTrade}, }; pub mod models; pub struct OrderReconciler<T> where T: ExchangeAdapterReconcilerTrait, { pub context: Arc<Context>, pub adapter: T, pub strategy: TradingStrategy, pub cancellation_token: CancellationToken, } #[async_trait] impl<T> FdrTask<ExchangeProxyError> for OrderReconciler<T> where T: ExchangeAdapterReconcilerTrait + Send + Sync, { async fn run(mut self: Box<Self>) -> FdrTaskResult<ExchangeProxyError> { let mut run = true; let mut trade_check_interval = tokio::time::interval(Duration::from_secs(90)); let mut order_check_interval = tokio::time::interval(Duration::from_secs(60)); while run { tokio::select! { _ = self.cancellation_token.cancelled() => { debug!( self.context.logger, "Reconciler shutting down..."; "reason" => "shutdown signal received" ); run = false; }, _ = order_check_interval.tick() => { match reconcile_orders(self.context.clone(), &self.adapter, self.strategy).await { Ok(count) if count > 0 => { info!(self.context.logger, "order reconciliation complete"; "count" => count); } Ok(count) => { debug!(self.context.logger, "order reconciliation complete"; "count" => count); } Err(e) => { error!(self.context.logger, "Error reconciling orders"; "error" => e.to_string()); } } }, _ = trade_check_interval.tick() => { match reconcile_trades(self.context.clone(), &mut self.adapter, self.strategy).await { Ok(count) if count > 0 => { info!(self.context.logger, "trade reconciliation complete"; "count" => count); }, Ok(count) => { debug!(self.context.logger, "trade reconciliation complete"; "count" => count); }, Err(e) => { error!(self.context.logger, "Error reconciling trades"; "error" => e.to_string()); } }; }, } } debug!(self.context.logger, "Engine shutting down..."); Ok(()) } fn name(&self) -> String { "Order Reconciler".to_string() } fn shutdown_type(&self) -> ShutdownType { ShutdownType::Managed } } #[instrument(skip(context, adapter))] pub async fn reconcile_orders<T>( context: Arc<Context>, adapter: &T, strategy: TradingStrategy, ) -> ExchangeProxyResult<usize> where T: ExchangeAdapterReconcilerTrait, { let mut count_reconciled = 0; let (exchange_open_orders, fdr_active_orders) = tokio::try_join!( async { adapter .get_open_orders() .await .map_err(ExchangeProxyError::ExchangeAdapter) }, async { let fdr_active_orders = context .pool .acquire() .await? .get_orders(GetOrdersFilter { exchange: Some(context.config.exchange.exchange), strategies: Some(vec![strategy]), order_status: Some(vec![FdrOrderStatus::Pending, FdrOrderStatus::Open]), // Check for orders that have been open for less than 5 minutes, otherwise we'll be pulling a lot of orders start_time: Some(chrono::Utc::now() - chrono::Duration::minutes(5)), // Check for orders that have been open for more than 10 seconds, to give the exchange time to process the order end_time: Some(chrono::Utc::now() - chrono::Duration::seconds(10)), ..Default::default() }) .await?; Ok(fdr_active_orders) } )?; let mut orders_to_update = Vec::with_capacity(exchange_open_orders.len()); let zombie_orders = fdr_active_orders .iter() .filter(|order| { !exchange_open_orders.iter().any(|e_order| match e_order.reconcile_by { ReconcileBy::OrderId(order_id) if order_id == order.id => { if e_order.order_status != order.order_status { orders_to_update.push(e_order); } true } ReconcileBy::UserRef(user_ref) if user_ref == order.user_ref => { if e_order.order_status != order.order_status { orders_to_update.push(e_order); } true } _ => false, }) || exchange_open_orders.is_empty() }) .collect::<Vec<_>>(); for order_update in orders_to_update { let order_dto = context .pool .acquire() .await? .update_order( GetOrderFilter::ExchangeRef(order_update.exchange_order_ref.clone()), Some(order_update.order_status), None, None, Some(order_update.volume_filled), None, ) .await?; if order_update.order_status != FdrOrderStatus::Open { warn!( context.logger, "Unexpected status for reconciled order"; "exchange_order_ref" => %order_update.exchange_order_ref, "order_status" => order_update.order_status.to_string(), ); } let event = FdrEvent::Order(FdrOrderUpdate::Placed(FdrOrderPlaced { order_id: order_dto.id, market: Market { pair: CurrencyPair::new(order_dto.base, order_dto.quote), exchange: order_dto.exchange, }, side: order_dto.order_side, type_: order_dto.order_type, order_status: order_dto.order_status, price: order_dto.price, volume: Some(order_dto.volume), timestamp: order_dto.created_at, extra_fields: HashMap::default(), })); context .kafka_producer .publish_fdr_event(&event.topic(context.config.exchange.exchange), None, &event) .await?; context.metrics.reconciled.inc_orders(context.config.exchange.exchange); count_reconciled += 1; } for order in zombie_orders { let response = adapter .get_closed_order( order.created_at, order.id, order.user_ref.to_string().as_str(), order.exchange_order_ref.as_ref(), ) .await; match response { Ok(order_details) => { let _ = context .pool .acquire() .await? .update_order( GetOrderFilter::UserRef(order.user_ref), Some(order_details.order_status), None, Some(order_details.exchange_order_ref.clone()), Some(order_details.volume_filled), None, ) .await?; } Err(e) => { let _ = context .pool .acquire() .await? .update_order( GetOrderFilter::UserRef(order.user_ref), Some(FdrOrderStatus::Error), None, order.exchange_order_ref.clone(), Some(order.volume_filled), Some(e.to_string()), ) .await?; } } count_reconciled += 1; context.metrics.reconciled.inc_orders(context.config.exchange.exchange); } Ok(count_reconciled) } #[instrument(skip(context, adapter))] pub async fn reconcile_trades<T>( context: Arc<Context>, adapter: &mut T, strategy: TradingStrategy, ) -> ExchangeProxyResult<usize> where T: ExchangeAdapterReconcilerTrait, { let trades = adapter.get_trade_history().await?; let mut count_reconciled = 0; for trade in trades { let Ok(Some(order)) = get_associated_order(context.clone(), &trade, strategy).await else { continue; }; let (trade_id, rows_affected) = context .pool .acquire() .await? .save_trade(TradeDto { id: Uuid::new_v4(), order_ref: trade.order_ref, exchange: context.config.exchange.exchange, trade_ref: trade.trade_ref, pos_trade_ref: trade.position_tx_ref, base: trade.base, quote: trade.quote, price: trade.price, volume: trade.volume, user_ref: Some(order.user_ref), cost: trade.cost, order_side: trade.order_side, time: trade.time, fee: trade.fee, extra_fields: None, order_type: trade.order_type, margin: trade.margin, strat_run_id: order.strat_run_id, }) .await?; let pair = CurrencyPair::new(trade.base, trade.quote); if rows_affected != 0 { context.metrics.reconciled.inc_trades(context.config.exchange.exchange); count_reconciled += 1; let event = FdrEvent::Order(FdrOrderUpdate::Trade(FdrOrderTrade { trade_id, market: Market { pair, exchange: context.config.exchange.exchange, }, order_id: order.id, price: trade.price, volume: trade.volume, cost: trade.cost.unwrap_or_default(), side: trade.order_side, timestamp: trade.time, fee: trade.fee, extra_fields: Default::default(), })); context .kafka_producer .publish_fdr_event(&event.topic(context.config.exchange.exchange), None, &event) .await?; // Metrics context .metrics .trade .count .with_label_values(&[context.exchange().to_string().as_str(), pair.to_string().as_str()]) .inc(); context .metrics .trade .cost .with_label_values(&[context.exchange().to_string().as_str(), pair.to_string().as_str()]) .set(trade.cost.unwrap_or_default().to_f64().unwrap_or_default()); context .metrics .trade .volume .with_label_values(&[context.exchange().to_string().as_str(), pair.to_string().as_str()]) .set(trade.volume.to_f64().unwrap_or_default()); context .metrics .trade .price .with_label_values(&[context.exchange().to_string().as_str(), pair.to_string().as_str()]) .set(trade.price.to_f64().unwrap_or_default()); context .metrics .trade .fee .with_label_values(&[context.exchange().to_string().as_str(), pair.to_string().as_str()]) .set(trade.fee.to_f64().unwrap_or_default()); } } Ok(count_reconciled) } async fn get_associated_order( context: Arc<Context>, trade: &ReconcilerTrade, strategy: TradingStrategy, ) -> ExchangeProxyResult<Option<OrderDto>> { let get_orders_result = context .pool .acquire() .await? .get_orders(GetOrdersFilter { exchange_order_ref: Some(trade.order_ref.clone()), strategies: Some(vec![strategy]), exchange: Some(context.config.exchange.exchange), ..Default::default() }) .await .map_err(|e| { warn!( context.logger, "failed to find associated order"; "error" => e.to_string(), "order_ref" => &trade.order_ref, ); e }); // todo(steve.sampson): Improve this + error handling let order = match get_orders_result { Ok(orders) => { if orders.len() != 1 { return Err(ExchangeProxyError::Custom("TODO".to_string())); // todo: error type } orders.first().cloned() } Err(FdrStoreError::Sqlx(Error::RowNotFound)) => { // None } _ => { // None } }; Ok(order) }
0
reconciler
/mono/crates/exchange_proxy/src/reconciler/models.rs
use chrono::{DateTime, Utc}; use fdr_common::crypto::{ assets::Asset, orders::{FdrOrderSide, FdrOrderStatus, FdrOrderType}, }; use rust_decimal::Decimal; use uuid::Uuid; #[derive(Debug, Copy, Clone)] pub enum ReconcileBy { OrderId(Uuid), // kraken API is lame UserRef(i32), } #[derive(Debug, Clone)] /// NEVER use this struct outside of the proxy service pub struct ReconcilerOrder { pub reconcile_by: ReconcileBy, pub exchange_order_ref: String, pub order_type: FdrOrderType, pub order_status: FdrOrderStatus, pub base: Asset, pub quote: Asset, pub order_side: FdrOrderSide, pub price: Option<Decimal>, pub volume: Decimal, pub volume_filled: Decimal, pub total_cost: Option<Decimal>, } #[derive(Debug, Clone)] /// NEVER use this struct outside of the proxy service pub struct ReconcilerTrade { pub trade_ref: String, pub user_ref: Option<i32>, pub order_ref: String, pub position_tx_ref: String, pub base: Asset, pub quote: Asset, pub time: DateTime<Utc>, pub order_side: FdrOrderSide, pub order_type: FdrOrderType, pub price: Decimal, pub fee: Decimal, pub volume: Decimal, pub cost: Option<Decimal>, pub margin: Option<Decimal>, }
0
permute
/mono/crates/permute/Cargo.toml
[package] name = "permute" version = "0.1.0" edition = "2021" # See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html [dependencies] serde = { workspace = true, features = ["derive"] }
0
src
/mono/crates/permute/src/inc_range.rs
use std::{ cmp::PartialOrd, ops::{Add, Mul}, }; use serde::Deserialize; use crate::nth_iter::Nth; /// IncrementRange defines a range of values from `min` to `max` in increments /// of `inc`. For example, IncrementRange{0, 10, 2} would produce the values /// {0, 2, 4, 6, 8, 10}. The IncrementRange is incluside of `min` and `max`. #[derive(Debug, Deserialize)] pub struct IncrementRange<T> { pub min: T, pub max: T, pub inc: T, } impl<T> IncrementRange<T> where T: Copy + Add<T, Output = T> + Mul<T, Output = T> + PartialOrd, { pub fn new(min: T, max: T, inc: T) -> Self { Self { min, max, inc } } } // This is all that is needed to get all of the iteration function for free // from the blanket implementations in the nth_iter mod. impl<N, T> Nth<N> for IncrementRange<T> where N: Into<T>, T: Copy + Add<T, Output = T> + Mul<T, Output = T> + PartialOrd, { type Output = Option<T>; fn nth(&self, index: N) -> Self::Output { let val = self.min + self.inc * index.into(); if val <= self.max { Some(val) } else { None } } } #[cfg(test)] mod tests { use super::IncrementRange; use crate::nth_iter::{Nth, NthIter, NthIterator}; #[test] fn nth_from_range() { let range = IncrementRange::new(0, 10, 2); assert_eq!(range.nth(0), Some(0)); assert_eq!(range.nth(1), Some(2)); assert_eq!(range.nth(2), Some(4)); assert_eq!(range.nth(3), Some(6)); assert_eq!(range.nth(4), Some(8)); assert_eq!(range.nth(5), Some(10)); } // Helper trait to check if a value approximates another value. The value // must be convertable Into<f64> to approximate trait Approx<T> { fn threshold(&self) -> T; fn approx(&self, rhs: T) -> bool; } impl Approx<f64> for f64 { fn threshold(&self) -> f64 { 0.0000001 } fn approx(&self, rhs: f64) -> bool { (self - rhs).abs() <= self.threshold() } } #[test] fn nth_from_range_float() { let range = IncrementRange::new(0.0, 1.1, 0.2); assert!(range.nth(0).map(|val| val.approx(0.0)).unwrap_or(false)); assert!(range.nth(1).map(|val| val.approx(0.2)).unwrap_or(false)); assert!(range.nth(2).map(|val| val.approx(0.4)).unwrap_or(false)); assert!(range.nth(3).map(|val| val.approx(0.6)).unwrap_or(false)); assert!(range.nth(4).map(|val| val.approx(0.8)).unwrap_or(false)); assert!(range.nth(5).map(|val| val.approx(1.0)).unwrap_or(false)); } #[test] fn iter_from_range() { let range = IncrementRange::new(0, 10, 2); let mut iter: NthIterator<'_, _, u8, _> = range.iter(); assert_eq!(iter.next(), Some(0)); assert_eq!(iter.next(), Some(2)); assert_eq!(iter.next(), Some(4)); assert_eq!(iter.next(), Some(6)); assert_eq!(iter.next(), Some(8)); assert_eq!(iter.next(), Some(10)); } #[test] fn iter_range_with_for_loop() { let range = IncrementRange::new(0, 10, 2); let iter: NthIterator<'_, _, u8, _> = range.iter(); // Iterate with a loop for val in iter { assert!(val % 2 == 0); } } }
0
src
/mono/crates/permute/src/increment.rs
use std::ops::AddAssign; /// Increment describes how to increment a value pub trait Increment { fn increment(&mut self); } /// Implement Increment for anything that you can AddAssign the value 1 u32 impl<T> Increment for T where T: Copy + AddAssign + From<u8>, { fn increment(&mut self) { *self += 1.into() } }
0
src
/mono/crates/permute/src/nth_iter.rs
use crate::increment::Increment; /// Nth produces the nth element in a set. Nth is based on std::ops::Index but /// allows for returning owned values (where Index only allows for returning /// borrowed values). This is useful for generating the nth element of a set on /// demand, without the responsibility of owning the value in memory. pub trait Nth<N> { type Output; fn nth(&self, nth: N) -> Self::Output; } /// NthIterator is an internal iterator structure used to keep track of the iterator /// state. NthIterator can iterate any type that can produce an `Nth` value as an /// Option. Optionality is required to imply when to discontinue iteration. pub struct NthIterator<'a, R, N, T> where R: Nth<N, Output = Option<T>>, N: Copy + Default + Increment, T: Copy, { range: &'a R, index: N, } impl<'a, R, N, T> NthIterator<'a, R, N, T> where R: Nth<N, Output = Option<T>>, N: Copy + Default + Increment, T: Copy, { pub fn new(range: &'a R) -> Self { Self { range, index: N::default(), } } } impl<'a, R, N, T> Iterator for NthIterator<'a, R, N, T> where R: Nth<N, Output = Option<T>>, N: Copy + Default + Increment, T: Copy, { type Item = T; fn next(&mut self) -> Option<Self::Item> { let val = self.range.nth(self.index); self.index.increment(); val } } /// NthIter provides an iter() method that returns an owned NthIterator for any /// type that implements `Nth`. This makes it really easy to create a new /// collection that provides the `Nth` element, and then derive an iterator from /// it. pub trait NthIter<R, N, T> where R: Nth<N, Output = Option<T>>, N: Copy + Default + Increment, T: Copy, { fn iter(&self) -> NthIterator<'_, R, N, T> where N: Copy + Default + Increment; } impl<R, N, T> NthIter<R, N, T> for R where R: Nth<N, Output = Option<T>>, N: Copy + Default + Increment, T: Copy, { fn iter(&self) -> NthIterator<'_, R, N, T> where N: Copy + Default + Increment, { NthIterator::new(self) } } #[cfg(test)] mod tests { use super::NthIterator; use crate::inc_range::IncrementRange; #[test] fn iter_incremental_range() { let range = IncrementRange::new(0, 10, 2); let mut iter: NthIterator<'_, _, u8, _> = NthIterator::new(&range); assert_eq!(iter.next(), Some(0)); assert_eq!(iter.next(), Some(2)); assert_eq!(iter.next(), Some(4)); assert_eq!(iter.next(), Some(6)); assert_eq!(iter.next(), Some(8)); assert_eq!(iter.next(), Some(10)); } }
0
src
/mono/crates/permute/src/lib.rs
mod increment; pub mod inc_range; pub mod nth_iter;
0
catalog
/mono/crates/catalog/Cargo.toml
[package] name = "catalog" version = "0.1.0" edition = "2021" authors = ["Steve Sampson <mail@stephensampson.dev>"] description = "Exchange Catalogs... Assets, Pairs, and their specs" [dependencies] fdr-common = { path = "../fdr_common" } indexmap = { workspace = true } lazy_static = { workspace = true } rust_decimal = { workspace = true, features = ["serde", "db-postgres"] } serde = { workspace = true, features = ["derive"] } serde_json = { workspace = true } uuid = { workspace = true, features = ["v4", "fast-rng", "serde"] } [features] kraken = [] poloniex = [] models = []
0
resources
/mono/crates/catalog/resources/poloniex_pairs.json
[ { "symbol" : "BTS_BTC", "baseCurrencyName" : "BTS", "quoteCurrencyName" : "BTC", "displayName" : "BTS/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018816626, "tradableStartTime" : 1659018816626, "symbolTradeLimit" : { "symbol" : "BTS_BTC", "priceScale" : 10, "quantityScale" : 0, "amountScale" : 8, "minQuantity" : "100", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "DASH_BTC", "baseCurrencyName" : "DASH", "quoteCurrencyName" : "BTC", "displayName" : "DASH/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018817267, "tradableStartTime" : 1659018817267, "symbolTradeLimit" : { "symbol" : "DASH_BTC", "priceScale" : 6, "quantityScale" : 2, "amountScale" : 6, "minQuantity" : "0.01", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "DOGE_BTC", "baseCurrencyName" : "DOGE", "quoteCurrencyName" : "BTC", "displayName" : "DOGE/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018817873, "tradableStartTime" : 1659018817873, "symbolTradeLimit" : { "symbol" : "DOGE_BTC", "priceScale" : 9, "quantityScale" : 0, "amountScale" : 8, "minQuantity" : "10", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : true, "maxLeverage" : 3 } }, { "symbol" : "LTC_BTC", "baseCurrencyName" : "LTC", "quoteCurrencyName" : "BTC", "displayName" : "LTC/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018817950, "tradableStartTime" : 1659018817950, "symbolTradeLimit" : { "symbol" : "LTC_BTC", "priceScale" : 6, "quantityScale" : 2, "amountScale" : 6, "minQuantity" : "0.01", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : true, "maxLeverage" : 3 } }, { "symbol" : "XLM_BTC", "baseCurrencyName" : "XLM", "quoteCurrencyName" : "BTC", "displayName" : "XLM/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018818660, "tradableStartTime" : 1659018818660, "symbolTradeLimit" : { "symbol" : "XLM_BTC", "priceScale" : 9, "quantityScale" : 0, "amountScale" : 8, "minQuantity" : "10", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "XEM_BTC", "baseCurrencyName" : "XEM", "quoteCurrencyName" : "BTC", "displayName" : "XEM/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018819284, "tradableStartTime" : 1659018819284, "symbolTradeLimit" : { "symbol" : "XEM_BTC", "priceScale" : 9, "quantityScale" : 0, "amountScale" : 8, "minQuantity" : "10", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "XMR_BTC", "baseCurrencyName" : "XMR", "quoteCurrencyName" : "BTC", "displayName" : "XMR/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018819365, "tradableStartTime" : 1659018819365, "symbolTradeLimit" : { "symbol" : "XMR_BTC", "priceScale" : 6, "quantityScale" : 2, "amountScale" : 6, "minQuantity" : "0.01", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "XRP_BTC", "baseCurrencyName" : "XRP", "quoteCurrencyName" : "BTC", "displayName" : "XRP/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018819440, "tradableStartTime" : 1659018819440, "symbolTradeLimit" : { "symbol" : "XRP_BTC", "priceScale" : 8, "quantityScale" : 0, "amountScale" : 8, "minQuantity" : "1", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : true, "maxLeverage" : 3 } }, { "symbol" : "BTC_USDT", "baseCurrencyName" : "BTC", "quoteCurrencyName" : "USDT", "displayName" : "BTC/USDT", "state" : "NORMAL", "visibleStartTime" : 1659018819512, "tradableStartTime" : 1659018819512, "symbolTradeLimit" : { "symbol" : "BTC_USDT", "priceScale" : 2, "quantityScale" : 6, "amountScale" : 2, "minQuantity" : "0.000001", "minAmount" : "1", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : true, "maxLeverage" : 3 } }, { "symbol" : "DASH_USDT", "baseCurrencyName" : "DASH", "quoteCurrencyName" : "USDT", "displayName" : "DASH/USDT", "state" : "NORMAL", "visibleStartTime" : 1659018819586, "tradableStartTime" : 1659018819586, "symbolTradeLimit" : { "symbol" : "DASH_USDT", "priceScale" : 2, "quantityScale" : 6, "amountScale" : 2, "minQuantity" : "0.000001", "minAmount" : "1", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "LTC_USDT", "baseCurrencyName" : "LTC", "quoteCurrencyName" : "USDT", "displayName" : "LTC/USDT", "state" : "NORMAL", "visibleStartTime" : 1659018819655, "tradableStartTime" : 1659018819655, "symbolTradeLimit" : { "symbol" : "LTC_USDT", "priceScale" : 3, "quantityScale" : 6, "amountScale" : 2, "minQuantity" : "0.000001", "minAmount" : "1", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : true, "maxLeverage" : 3 } }, { "symbol" : "XLM_USDT", "baseCurrencyName" : "XLM", "quoteCurrencyName" : "USDT", "displayName" : "XLM/USDT", "state" : "NORMAL", "visibleStartTime" : 1659018819729, "tradableStartTime" : 1659018819729, "symbolTradeLimit" : { "symbol" : "XLM_USDT", "priceScale" : 4, "quantityScale" : 4, "amountScale" : 4, "minQuantity" : "0.0001", "minAmount" : "1", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "XMR_USDT", "baseCurrencyName" : "XMR", "quoteCurrencyName" : "USDT", "displayName" : "XMR/USDT", "state" : "NORMAL", "visibleStartTime" : 1659018819801, "tradableStartTime" : 1659018819801, "symbolTradeLimit" : { "symbol" : "XMR_USDT", "priceScale" : 2, "quantityScale" : 6, "amountScale" : 2, "minQuantity" : "0.000001", "minAmount" : "1", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "XRP_USDT", "baseCurrencyName" : "XRP", "quoteCurrencyName" : "USDT", "displayName" : "XRP/USDT", "state" : "NORMAL", "visibleStartTime" : 1659018819871, "tradableStartTime" : 1659018819871, "symbolTradeLimit" : { "symbol" : "XRP_USDT", "priceScale" : 4, "quantityScale" : 4, "amountScale" : 4, "minQuantity" : "0.0001", "minAmount" : "1", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : true, "maxLeverage" : 3 } }, { "symbol" : "ETH_BTC", "baseCurrencyName" : "ETH", "quoteCurrencyName" : "BTC", "displayName" : "ETH/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018819937, "tradableStartTime" : 1659018819937, "symbolTradeLimit" : { "symbol" : "ETH_BTC", "priceScale" : 5, "quantityScale" : 3, "amountScale" : 5, "minQuantity" : "0.001", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : true, "maxLeverage" : 3 } }, { "symbol" : "ETH_USDT", "baseCurrencyName" : "ETH", "quoteCurrencyName" : "USDT", "displayName" : "ETH/USDT", "state" : "NORMAL", "visibleStartTime" : 1659018820007, "tradableStartTime" : 1659018820007, "symbolTradeLimit" : { "symbol" : "ETH_USDT", "priceScale" : 2, "quantityScale" : 6, "amountScale" : 2, "minQuantity" : "0.000001", "minAmount" : "1", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : true, "maxLeverage" : 3 } }, { "symbol" : "SC_BTC", "baseCurrencyName" : "SC", "quoteCurrencyName" : "BTC", "displayName" : "SC/BTC", "state" : "NORMAL", "visibleStartTime" : 1659018820079, "tradableStartTime" : 1659018820079, "symbolTradeLimit" : { "symbol" : "SC_BTC", "priceScale" : 10, "quantityScale" : 0, "amountScale" : 8, "minQuantity" : "100", "minAmount" : "0.00001", "highestBid" : "0", "lowestAsk" : "0" }, "crossMargin" : { "supportCrossMargin" : false, "maxLeverage" : 1 } }, { "symbol" : "DCR_BTC", "baseCurrencyName" : 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0
resources
/mono/crates/catalog/resources/poloniex_assets.json
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"ZACK", "delisted" : false, "tradeEnable" : true, "name" : "ZACK MORRIS", "networkList" : [ { "id" : 1567, "coin" : "ZACK", "name" : "Solana", "currencyType" : "address", "blockchain" : "SOL", "withdrawalEnable" : false, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "57.00000000", "decimals" : 6, "withdrawFee" : "38.00000000", "minConfirm" : 300 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 393, "coin" : "ZAP", "delisted" : true, "tradeEnable" : false, "name" : "Zap", "networkList" : [ { "id" : 393, "coin" : "ZAP", "name" : "Ethereum", "currencyType" : "address", "blockchain" : "ETH", "withdrawalEnable" : false, "depositEnable" : false, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "973.73399333", "minConfirm" : 64 } ] }, { "id" : 769, "coin" : "ZBCN", "delisted" : false, "tradeEnable" : false, "name" : "Zebec Protocol", "networkList" : [ { "id" : 769, "coin" : "ZBCN", "name" : "Solana", "currencyType" : "address", "blockchain" : "SOL", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "279.20000000", "decimals" : 8, "withdrawFee" : "1500.00000000", "minConfirm" : 15 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 286, "coin" : "ZEC", "delisted" : false, "tradeEnable" : true, "name" : "Zcash", "networkList" : [ { "id" : 286, "coin" : "ZEC", "name" : "Zcash", "currencyType" : "address", "blockchain" : "ZEC", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "0.01000000", "minConfirm" : 8 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 727, "coin" : "ZELIX", "delisted" : false, "tradeEnable" : true, "name" : "Zelix", "networkList" : [ { "id" : 727, "coin" : "ZELIX", "name" : "Ethereum", "currencyType" : "address", "blockchain" : "ETH", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "10368.92627163", "minConfirm" : 64 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 1156, "coin" : "ZERO", "delisted" : false, "tradeEnable" : true, "name" : "Analysoor", "networkList" : [ { "id" : 1156, "coin" : "ZERO", "name" : "Solana", "currencyType" : "address", "blockchain" : "SOL", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "4.75000000", "decimals" : 8, "withdrawFee" : "3.17000000", "minConfirm" : 300 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 1487, "coin" : "ZEROLEND", "delisted" : false, "tradeEnable" : true, "name" : "ZeroLend", "networkList" : [ { "id" : 1487, "coin" : "ZEROLEND", "name" : "ETHLINEA", "currencyType" : "address", "blockchain" : "ETHLINEA", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "3.00000000", "minConfirm" : 64 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 1252, "coin" : "ZETA", "delisted" : false, "tradeEnable" : true, "name" : "zetachain", "networkList" : [ { "id" : 1252, "coin" : "ZETA", "name" : "Ethereum", "currencyType" : "address", "blockchain" : "ETH", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "3.87159817", "minConfirm" : 64 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 1589, "coin" : "ZION", "delisted" : false, "tradeEnable" : true, "name" : "ZION THOMAS", "networkList" : [ { "id" : 1589, "coin" : "ZION", "name" : "Solana", "currencyType" : "address", "blockchain" : "SOL", "withdrawalEnable" : false, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "2100.00000000", "decimals" : 6, "withdrawFee" : "1400.00000000", "minConfirm" : 300 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 1190, "coin" : "ZKF", "delisted" : false, "tradeEnable" : true, "name" : "zkfair", "networkList" : [ { "id" : 1190, "coin" : "ZKF", "name" : "Ethereum", "currencyType" : "address", "blockchain" : "ETH", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "1925.99438961", "minConfirm" : 64 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 497, "coin" : "ZKS", "delisted" : false, "tradeEnable" : true, "name" : "ZKSpace", "networkList" : [ { "id" : 497, "coin" : "ZKS", "name" : "Ethereum", "currencyType" : "address", "blockchain" : "ETH", "withdrawalEnable" : false, "depositEnable" : false, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "171.07962437", "minConfirm" : 64 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 460, "coin" : "ZLOT", "delisted" : true, "tradeEnable" : false, "name" : "zLOT", "networkList" : [ { "id" : 460, "coin" : "ZLOT", "name" : "Ethereum", "currencyType" : "address", "blockchain" : "ETH", "withdrawalEnable" : false, "depositEnable" : false, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "0.58399696", "minConfirm" : 64 } ] }, { "id" : 1312, "coin" : "ZORRO", "delisted" : false, "tradeEnable" : false, "name" : "ZORRO", "networkList" : [ { "id" : 1312, "coin" : "ZORRO", "name" : "ZKSYNC", "currencyType" : "address", "blockchain" : "ETHZKSYNC", "withdrawalEnable" : false, "depositEnable" : false, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "2400.00000000", "minConfirm" : 64 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 917, "coin" : "ZPC", "delisted" : true, "tradeEnable" : false, "name" : "ZenPandaCoin", "networkList" : [ { "id" : 917, "coin" : "ZPC", "name" : "Arbitrum", "currencyType" : "address", "blockchain" : "ETHARB", "withdrawalEnable" : false, "depositEnable" : false, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "1400000000.00000000", "minConfirm" : 12 } ] }, { "id" : 293, "coin" : "ZRX", "delisted" : false, "tradeEnable" : true, "name" : "0x", "networkList" : [ { "id" : 293, "coin" : "ZRX", "name" : "Ethereum", "currencyType" : "address", "blockchain" : "ETH", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "6.37513457", "minConfirm" : 64 } ], "supportCollateral" : false, "supportBorrow" : false }, { "id" : 1202, "coin" : "ZUZALU", "delisted" : false, "tradeEnable" : true, "name" : "Zuzalu Inu", "networkList" : [ { "id" : 1202, "coin" : "ZUZALU", "name" : "Ethereum", "currencyType" : "address", "blockchain" : "ETH", "withdrawalEnable" : true, "depositEnable" : true, "depositAddress" : null, "withdrawMin" : "-1", "decimals" : 8, "withdrawFee" : "2679.34178862", "minConfirm" : 64 } ], "supportCollateral" : false, "supportBorrow" : false } ]
0
resources
/mono/crates/catalog/resources/update_catalog.sh
#!/bin/bash # Update Kraken Assets curl https://api.kraken.com/0/public/Assets | jq .result > kraken_assets.json # Update Kraken Pairs curl https://api.kraken.com/0/public/AssetPairs | jq .result > kraken_pairs.json # Update Poloniex Assets curl https://api.poloniex.com/v2/currencies > poloniex_assets.json # Update Poloniex Pairs curl https://api.poloniex.com/markets > poloniex_pairs.json
0
resources
/mono/crates/catalog/resources/kraken_pairs.json
{ "1INCHEUR": { "altname": "1INCHEUR", "wsname": "1INCH/EUR", "aclass_base": "currency", "base": "1INCH", "aclass_quote": "currency", "quote": "ZEUR", "lot": "unit", "cost_decimals": 5, "pair_decimals": 3, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [], "leverage_sell": [], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "11", "costmin": "0.45", "tick_size": "0.001", "status": "online" }, "1INCHUSD": { "altname": "1INCHUSD", "wsname": "1INCH/USD", "aclass_base": "currency", "base": "1INCH", "aclass_quote": "currency", "quote": "ZUSD", "lot": "unit", "cost_decimals": 5, "pair_decimals": 3, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [], "leverage_sell": [], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "11", "costmin": "0.5", "tick_size": "0.001", "status": "online" }, "AAVEETH": { "altname": "AAVEETH", "wsname": "AAVE/ETH", "aclass_base": "currency", "base": "AAVE", "aclass_quote": "currency", "quote": "XETH", "lot": "unit", "cost_decimals": 10, "pair_decimals": 4, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [], "leverage_sell": [], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "0.05", "costmin": "0.0002", "tick_size": "0.0001", "status": "online" }, "AAVEEUR": { "altname": "AAVEEUR", "wsname": "AAVE/EUR", "aclass_base": "currency", "base": "AAVE", "aclass_quote": "currency", "quote": "ZEUR", "lot": "unit", "cost_decimals": 5, "pair_decimals": 2, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [ 2, 3 ], "leverage_sell": [ 2, 3 ], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "0.05", "costmin": "0.45", "tick_size": "0.01", "status": "online", "long_position_limit": 460, "short_position_limit": 440 }, "AAVEGBP": { "altname": "AAVEGBP", "wsname": "AAVE/GBP", "aclass_base": "currency", "base": "AAVE", "aclass_quote": "currency", "quote": "ZGBP", "lot": "unit", "cost_decimals": 5, "pair_decimals": 2, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [], "leverage_sell": [], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "0.05", "costmin": "0.43", "tick_size": "0.01", "status": "online" }, "AAVEUSD": { "altname": "AAVEUSD", "wsname": "AAVE/USD", "aclass_base": "currency", "base": "AAVE", "aclass_quote": "currency", "quote": "ZUSD", "lot": "unit", "cost_decimals": 5, "pair_decimals": 2, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [ 2, 3 ], "leverage_sell": [ 2, 3 ], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "0.05", "costmin": "0.5", "tick_size": "0.01", "status": "online", "long_position_limit": 520, "short_position_limit": 650 }, "AAVEXBT": { "altname": "AAVEXBT", "wsname": "AAVE/XBT", "aclass_base": "currency", "base": "AAVE", "aclass_quote": "currency", "quote": "XXBT", "lot": "unit", "cost_decimals": 7, "pair_decimals": 6, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [], "leverage_sell": [], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "0.05", "costmin": "0.00002", "tick_size": "0.000001", "status": "online" }, "ACAEUR": { "altname": "ACAEUR", "wsname": "ACA/EUR", "aclass_base": "currency", "base": "ACA", "aclass_quote": "currency", "quote": "ZEUR", "lot": "unit", "cost_decimals": 5, "pair_decimals": 3, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [], "leverage_sell": [], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "40", "costmin": "0.45", "tick_size": "0.001", "status": "online" }, "ACAUSD": { "altname": "ACAUSD", "wsname": "ACA/USD", "aclass_base": "currency", "base": "ACA", "aclass_quote": "currency", "quote": "ZUSD", "lot": "unit", "cost_decimals": 5, "pair_decimals": 3, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [], "leverage_sell": [], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 0.12 ], [ 250000, 0.1 ], [ 500000, 0.08 ], [ 1000000, 0.06 ], [ 2500000, 0.04 ], [ 5000000, 0.02 ], [ 10000000, 0 ] ], "fee_volume_currency": "ZUSD", "margin_call": 80, "margin_stop": 40, "ordermin": "40", "costmin": "0.5", "tick_size": "0.001", "status": "online" }, "ACHEUR": { "altname": "ACHEUR", "wsname": "ACH/EUR", "aclass_base": "currency", "base": "ACH", "aclass_quote": "currency", "quote": "ZEUR", "lot": "unit", "cost_decimals": 7, "pair_decimals": 5, "lot_decimals": 8, "lot_multiplier": 1, "leverage_buy": [], "leverage_sell": [], "fees": [ [ 0, 0.4 ], [ 10000, 0.35 ], [ 50000, 0.24 ], [ 100000, 0.22 ], [ 250000, 0.2 ], [ 500000, 0.18 ], [ 1000000, 0.16 ], [ 2500000, 0.14 ], [ 5000000, 0.12 ], [ 10000000, 0.1 ] ], "fees_maker": [ [ 0, 0.25 ], [ 10000, 0.2 ], [ 50000, 0.14 ], [ 100000, 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resources
/mono/crates/catalog/resources/kraken_assets.json
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"enabled" }, "COTI": { "aclass": "currency", "altname": "COTI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "CQT": { "aclass": "currency", "altname": "CQT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "CRV": { "aclass": "currency", "altname": "CRV", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "CSM": { "aclass": "currency", "altname": "CSM", "decimals": 6, "display_decimals": 3, "status": "enabled" }, "CTSI": { "aclass": "currency", "altname": "CTSI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "CVC": { "aclass": "currency", "altname": "CVC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "CVX": { "aclass": "currency", "altname": "CVX", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "DAI": { "aclass": "currency", "altname": "DAI", "decimals": 10, "display_decimals": 5, "collateral_value": 0.9, "status": "enabled" }, "DASH": { "aclass": "currency", "altname": "DASH", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "DENT": { "aclass": "currency", "altname": "DENT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "DOT": { "aclass": "currency", "altname": "DOT", "decimals": 10, "display_decimals": 8, "collateral_value": 0.9, "status": "enabled" }, "DOT.P": { "aclass": "currency", "altname": "DOT.P", "decimals": 10, "display_decimals": 8, "status": "enabled" }, "DOT.S": { "aclass": "currency", "altname": "DOT.S", "decimals": 10, "display_decimals": 8, "status": "enabled" }, "DOT28.S": { "aclass": "currency", "altname": "DOT28.S", "decimals": 10, "display_decimals": 8, "status": "enabled" }, "DYDX": { "aclass": "currency", "altname": "DYDX", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "DYM": { "aclass": "currency", "altname": "DYM", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "EGLD": { "aclass": "currency", "altname": "EGLD", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "ENJ": { "aclass": "currency", "altname": "ENJ", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "ENS": { "aclass": "currency", "altname": "ENS", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "EOS": { "aclass": "currency", "altname": "EOS", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "ETH2": { "aclass": "currency", "altname": "ETH2", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "ETH2.S": { "aclass": "currency", "altname": "ETH2.S", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "ETHW": { "aclass": "currency", "altname": "ETHW", "decimals": 7, "display_decimals": 5, "status": "enabled" }, "EUL": { "aclass": "currency", "altname": "EUL", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "EUR.HOLD": { "aclass": "currency", "altname": "EUR.HOLD", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "EUR.M": { "aclass": "currency", "altname": "EUR.M", "decimals": 4, "display_decimals": 4, "status": "enabled" }, "EURT": { "aclass": "currency", "altname": "EURT", "decimals": 8, "display_decimals": 4, "status": "enabled" }, "EWT": { "aclass": "currency", "altname": "EWT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "FARM": { "aclass": "currency", "altname": "FARM", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "FET": { "aclass": "currency", "altname": "FET", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "FIDA": { "aclass": "currency", "altname": "FIDA", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "FIL": { "aclass": "currency", "altname": "FIL", "decimals": 10, "display_decimals": 6, "status": "enabled" }, "FIS": { "aclass": "currency", "altname": "FIS", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "FLOW": { "aclass": "currency", "altname": "FLOW", "decimals": 10, "display_decimals": 6, "status": "enabled" }, "FLOW.S": { "aclass": "currency", "altname": "FLOW.S", "decimals": 10, "display_decimals": 6, "status": "enabled" }, "FLOW14.S": { "aclass": "currency", "altname": "FLOW14.S", "decimals": 10, "display_decimals": 6, "status": "enabled" }, "FLOWH": { "aclass": "currency", "altname": "FLOWH", "decimals": 10, "display_decimals": 6, "status": "enabled" }, "FLOWH.S": { "aclass": "currency", "altname": "FLOWH.S", "decimals": 10, "display_decimals": 6, "status": "enabled" }, "FLR": { "aclass": "currency", "altname": "FLR", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "FLR.S": { "aclass": "currency", "altname": "FLR.S", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "FORTH": { "aclass": "currency", "altname": "FORTH", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "FTM": { "aclass": "currency", "altname": "FTM", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "FXS": { "aclass": "currency", "altname": "FXS", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GAL": { "aclass": "currency", "altname": "GAL", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "GALA": { "aclass": "currency", "altname": "GALA", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GARI": { "aclass": "currency", "altname": "GARI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GBP.HOLD": { "aclass": "currency", "altname": "GBP.HOLD", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "GENS": { "aclass": "currency", "altname": "GENS", "decimals": 3, "display_decimals": 1, "status": "enabled" }, "GHST": { "aclass": "currency", "altname": "GHST", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GLMR": { "aclass": "currency", "altname": "GLMR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GMT": { "aclass": "currency", "altname": "GMT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GMX": { "aclass": "currency", "altname": "GMX", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "GNO": { "aclass": "currency", "altname": "GNO", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GRT": { "aclass": "currency", "altname": "GRT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GRT.S": { "aclass": "currency", "altname": "GRT.S", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GRT28.S": { "aclass": "currency", "altname": "GRT28.S", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GST": { "aclass": "currency", "altname": "GST", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "GTC": { "aclass": "currency", "altname": "GTC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "HDX": { "aclass": "currency", "altname": "HDX", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "HFT": { "aclass": "currency", "altname": "HFT", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "HNT": { "aclass": "currency", "altname": "HNT", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "ICP": { "aclass": "currency", "altname": "ICP", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "ICX": { "aclass": "currency", "altname": "ICX", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "IDEX": { "aclass": "currency", "altname": "IDEX", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "IMX": { "aclass": "currency", "altname": "IMX", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "INJ": { "aclass": "currency", "altname": "INJ", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "INTR": { "aclass": "currency", "altname": "INTR", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "JASMY": { "aclass": "currency", "altname": "JASMY", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "JTO": { "aclass": "currency", "altname": "JTO", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "JUNO": { "aclass": "currency", "altname": "JUNO", "decimals": 6, "display_decimals": 5, "status": "enabled" }, "JUP": { "aclass": "currency", "altname": "JUP", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "KAR": { "aclass": "currency", "altname": "KAR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "KAVA": { "aclass": "currency", "altname": "KAVA", "decimals": 8, "display_decimals": 6, "status": "enabled" }, "KAVA.S": { "aclass": "currency", "altname": "KAVA.S", "decimals": 8, "display_decimals": 6, "status": "enabled" }, "KAVA21.S": { "aclass": "currency", "altname": "KAVA21.S", "decimals": 8, "display_decimals": 6, "status": "enabled" }, "KEEP": { "aclass": "currency", "altname": "KEEP", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "KEY": { "aclass": "currency", "altname": "KEY", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "KFEE": { "aclass": "currency", "altname": "FEE", "decimals": 2, "display_decimals": 2, "status": "enabled" }, "KILT": { "aclass": "currency", "altname": "KILT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "KIN": { "aclass": "currency", "altname": "KIN", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "KINT": { "aclass": "currency", "altname": "KINT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "KNC": { "aclass": "currency", "altname": "KNC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "KP3R": { "aclass": "currency", "altname": "KP3R", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "KSM": { "aclass": "currency", "altname": "KSM", "decimals": 10, "display_decimals": 8, "status": "enabled" }, "KSM.P": { "aclass": "currency", "altname": "KSM.P", "decimals": 10, "display_decimals": 8, "status": "enabled" }, "KSM.S": { "aclass": "currency", "altname": "KSM.S", "decimals": 10, "display_decimals": 8, "status": "enabled" }, "KSM07.S": { "aclass": "currency", "altname": "KSM07.S", "decimals": 10, "display_decimals": 8, "status": "enabled" }, "LCX": { "aclass": "currency", "altname": "LCX", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "LDO": { "aclass": "currency", "altname": "LDO", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "LINK": { "aclass": "currency", "altname": "LINK", "decimals": 10, "display_decimals": 5, "collateral_value": 0.7, "status": "enabled" }, "LMWR": { "aclass": "currency", "altname": "LMWR", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "LPT": { "aclass": "currency", "altname": "LPT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "LRC": { "aclass": "currency", "altname": "LRC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "LSK": { "aclass": "currency", "altname": "LSK", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "LUNA": { "aclass": "currency", "altname": "LUNA", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "LUNA.S": { "aclass": "currency", "altname": "LUNA.S", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "LUNA2": { "aclass": "currency", "altname": "LUNA2", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "MANA": { "aclass": "currency", "altname": "MANA", "decimals": 10, "display_decimals": 5, "collateral_value": 0.7, "status": "enabled" }, "MASK": { "aclass": "currency", "altname": "MASK", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MATIC": { "aclass": "currency", "altname": "MATIC", "decimals": 10, "display_decimals": 5, "collateral_value": 0.7, "status": "enabled" }, "MATIC.S": { "aclass": "currency", "altname": "MATIC.S", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MATIC04.S": { "aclass": "currency", "altname": "MATIC04.S", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MC": { "aclass": "currency", "altname": "MC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MINA": { "aclass": "currency", "altname": "MINA", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MINA.S": { "aclass": "currency", "altname": "MINA.S", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MIR": { "aclass": "currency", "altname": "MIR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MKR": { "aclass": "currency", "altname": "MKR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MNGO": { "aclass": "currency", "altname": "MNGO", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "MOON": { "aclass": "currency", "altname": "MOON", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "MOVR": { "aclass": "currency", "altname": "MOVR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MSOL": { "aclass": "currency", "altname": "MSOL", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MULTI": { "aclass": "currency", "altname": "MULTI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MV": { "aclass": "currency", "altname": "MV", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "MXC": { "aclass": "currency", "altname": "MXC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "NANO": { "aclass": "currency", "altname": "NANO", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "NEAR": { "aclass": "currency", "altname": "NEAR", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "NMR": { "aclass": "currency", "altname": "NMR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "NODL": { "aclass": "currency", "altname": "NODL", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "NYM": { "aclass": "currency", "altname": "NYM", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "OCEAN": { "aclass": "currency", "altname": "OCEAN", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "OGN": { "aclass": "currency", "altname": "OGN", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "OMG": { "aclass": "currency", "altname": "OMG", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "ONDO": { "aclass": "currency", "altname": "ONDO", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "OP": { "aclass": "currency", "altname": "OP", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "ORCA": { "aclass": "currency", "altname": "ORCA", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "OTP": { "aclass": "currency", "altname": "OTP", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "OXT": { "aclass": "currency", "altname": "OXT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "OXY": { "aclass": "currency", "altname": "OXY", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "PARA": { "aclass": "currency", "altname": "PARA", "decimals": 3, "display_decimals": 1, "status": "enabled" }, "PAXG": { "aclass": "currency", "altname": "PAXG", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "PEPE": { "aclass": "currency", "altname": "PEPE", "decimals": 2, "display_decimals": 0, "status": "enabled" }, "PERP": { "aclass": "currency", "altname": "PERP", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "PHA": { "aclass": "currency", "altname": "PHA", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "PICA": { "aclass": "currency", "altname": "PICA", "decimals": 3, "display_decimals": 1, "status": "enabled" }, "PLA": { "aclass": "currency", "altname": "PLA", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "POL": { "aclass": "currency", "altname": "POL", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "POLIS": { "aclass": "currency", "altname": "POLIS", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "POLS": { "aclass": "currency", "altname": "POLS", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "POND": { "aclass": "currency", "altname": "POND", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "POWR": { "aclass": "currency", "altname": "POWR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "PSTAKE": { "aclass": "currency", "altname": "PSTAKE", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "PYTH": { "aclass": "currency", "altname": "PYTH", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "PYUSD": { "aclass": "currency", "altname": "PYUSD", "decimals": 8, "display_decimals": 4, "status": "enabled" }, "QNT": { "aclass": "currency", "altname": "QNT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "QTUM": { "aclass": "currency", "altname": "QTUM", "decimals": 10, "display_decimals": 6, "status": "enabled" }, "RAD": { "aclass": "currency", "altname": "RAD", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "RARE": { "aclass": "currency", "altname": "RARE", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "RARI": { "aclass": "currency", "altname": "RARI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "RAY": { "aclass": "currency", "altname": "RAY", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "RBC": { "aclass": "currency", "altname": "RBC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "REN": { "aclass": "currency", "altname": "REN", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "REPV2": { "aclass": "currency", "altname": "REPV2", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "REQ": { "aclass": "currency", "altname": "REQ", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "RLC": { "aclass": "currency", "altname": "RLC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "RNDR": { "aclass": "currency", "altname": "RNDR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "ROOK": { "aclass": "currency", "altname": "ROOK", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "RPL": { "aclass": "currency", "altname": "RPL", "decimals": 7, "display_decimals": 5, "status": "enabled" }, "RUNE": { "aclass": "currency", "altname": "RUNE", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SAMO": { "aclass": "currency", "altname": "SAMO", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "SAND": { "aclass": "currency", "altname": "SAND", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SBR": { "aclass": "currency", "altname": "SBR", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "SC": { "aclass": "currency", "altname": "SC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SCRT": { "aclass": "currency", "altname": "SCRT", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "SCRT.S": { "aclass": "currency", "altname": "SCRT.S", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "SCRT21.S": { "aclass": "currency", "altname": "SCRT21.S", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "SDN": { "aclass": "currency", "altname": "SDN", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SEI": { "aclass": "currency", "altname": "SEI", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "SGB": { "aclass": "currency", "altname": "SGB", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SHIB": { "aclass": "currency", "altname": "SHIB", "decimals": 5, "display_decimals": 0, "status": "enabled" }, "SNX": { "aclass": "currency", "altname": "SNX", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SOL": { "aclass": "currency", "altname": "SOL", "decimals": 10, "display_decimals": 5, "collateral_value": 0.9, "status": "enabled" }, "SOL.S": { "aclass": "currency", "altname": "SOL.S", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SOL03.S": { "aclass": "currency", "altname": "SOL03.S", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SPELL": { "aclass": "currency", "altname": "SPELL", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SRM": { "aclass": "currency", "altname": "SRM", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "STEP": { "aclass": "currency", "altname": "STEP", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "STG": { "aclass": "currency", "altname": "STG", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "STORJ": { "aclass": "currency", "altname": "STORJ", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "STRK": { "aclass": "currency", "altname": "STRK", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "STX": { "aclass": "currency", "altname": "STX", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "SUI": { "aclass": "currency", "altname": "SUI", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "SUPER": { "aclass": "currency", "altname": "SUPER", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SUSHI": { "aclass": "currency", "altname": "SUSHI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SXP": { "aclass": "currency", "altname": "SXP", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "SYN": { "aclass": "currency", "altname": "SYN", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "T": { "aclass": "currency", "altname": "T", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "TBTC": { "aclass": "currency", "altname": "TBTC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "TEER": { "aclass": "currency", "altname": "TEER", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "TIA": { "aclass": "currency", "altname": "TIA", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "TLM": { "aclass": "currency", "altname": "TLM", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "TOKE": { "aclass": "currency", "altname": "TOKE", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "TRIBE": { "aclass": "currency", "altname": "TRIBE", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "TRU": { "aclass": "currency", "altname": "TRU", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "TRX": { "aclass": "currency", "altname": "TRX", "decimals": 8, "display_decimals": 6, "collateral_value": 0.5, "status": "enabled" }, "TRX.S": { "aclass": "currency", "altname": "TRX.S", "decimals": 8, "display_decimals": 6, "status": "enabled" }, "TUSD": { "aclass": "currency", "altname": "TUSD", "decimals": 8, "display_decimals": 4, "status": "enabled" }, "TVK": { "aclass": "currency", "altname": "TVK", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "UMA": { "aclass": "currency", "altname": "UMA", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "UNFI": { "aclass": "currency", "altname": "UNFI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "UNI": { "aclass": "currency", "altname": "UNI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "USD.HOLD": { "aclass": "currency", "altname": "USD.HOLD", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "USD.M": { "aclass": "currency", "altname": "USD.M", "decimals": 4, "display_decimals": 4, "status": "enabled" }, "USDC": { "aclass": "currency", "altname": "USDC", "decimals": 8, "display_decimals": 4, "collateral_value": 1, "status": "enabled" }, "USDC.M": { "aclass": "currency", "altname": "USDC.M", "decimals": 8, "display_decimals": 4, "status": "enabled" }, "USDT": { "aclass": "currency", "altname": "USDT", "decimals": 8, "display_decimals": 4, "collateral_value": 0.9, "status": "enabled" }, "USDT.M": { "aclass": "currency", "altname": "USDT.M", "decimals": 8, "display_decimals": 4, "status": "enabled" }, "UST": { "aclass": "currency", "altname": "UST", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "W": { "aclass": "currency", "altname": "W", "decimals": 6, "display_decimals": 4, "status": "enabled" }, "WAVES": { "aclass": "currency", "altname": "WAVES", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "WAXL": { "aclass": "currency", "altname": "WAXL", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "WBTC": { "aclass": "currency", "altname": "WBTC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "WETH": { "aclass": "currency", "altname": "WETH", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "WIF": { "aclass": "currency", "altname": "WIF", "decimals": 5, "display_decimals": 3, "status": "enabled" }, "WOO": { "aclass": "currency", "altname": "WOO", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "XBT.M": { "aclass": "currency", "altname": "XBT.M", "decimals": 10, "display_decimals": 8, "status": "enabled" }, "XCN": { "aclass": "currency", "altname": "XCN", "decimals": 4, "display_decimals": 2, "status": "enabled" }, "XETC": { "aclass": "currency", "altname": "ETC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "XETH": { "aclass": "currency", "altname": "ETH", "decimals": 10, "display_decimals": 5, "collateral_value": 1, "status": "enabled" }, "XLTC": { "aclass": "currency", "altname": "LTC", "decimals": 10, "display_decimals": 5, "collateral_value": 0.7, "status": "enabled" }, "XMLN": { "aclass": "currency", "altname": "MLN", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "XREP": { "aclass": "currency", "altname": "REP", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "XRT": { "aclass": "currency", "altname": "XRT", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "XTZ": { "aclass": "currency", "altname": "XTZ", "decimals": 8, "display_decimals": 6, "collateral_value": 0.5, "status": "enabled" }, "XTZ.S": { "aclass": "currency", "altname": "XTZ.S", "decimals": 8, "display_decimals": 6, "status": "enabled" }, "XXBT": { "aclass": "currency", "altname": "XBT", "decimals": 10, "display_decimals": 5, "collateral_value": 1, "status": "enabled" }, "XXDG": { "aclass": "currency", "altname": "XDG", "decimals": 8, "display_decimals": 2, "status": "enabled" }, "XXLM": { "aclass": "currency", "altname": "XLM", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "XXMR": { "aclass": "currency", "altname": "XMR", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "XXRP": { "aclass": "currency", "altname": "XRP", "decimals": 8, "display_decimals": 5, "status": "enabled" }, "XZEC": { "aclass": "currency", "altname": "ZEC", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "YFI": { "aclass": "currency", "altname": "YFI", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "YGG": { "aclass": "currency", "altname": "YGG", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "ZAUD": { "aclass": "currency", "altname": "AUD", "decimals": 4, "display_decimals": 2, "collateral_value": 1, "status": "enabled" }, "ZCAD": { "aclass": "currency", "altname": "CAD", "decimals": 4, "display_decimals": 2, "collateral_value": 1, "status": "enabled" }, "ZEUR": { "aclass": "currency", "altname": "EUR", "decimals": 4, "display_decimals": 2, "collateral_value": 1, "status": "enabled" }, "ZGBP": { "aclass": "currency", "altname": "GBP", "decimals": 4, "display_decimals": 2, "collateral_value": 1, "status": "enabled" }, "ZJPY": { "aclass": "currency", "altname": "JPY", "decimals": 2, "display_decimals": 0, "collateral_value": 1, "status": "enabled" }, "ZRX": { "aclass": "currency", "altname": "ZRX", "decimals": 10, "display_decimals": 5, "status": "enabled" }, "ZUSD": { "aclass": "currency", "altname": "USD", "decimals": 4, "display_decimals": 2, "collateral_value": 1, "status": "enabled" } }
0
src
/mono/crates/catalog/src/lib.rs
#![allow(ambiguous_glob_reexports)] #[cfg(feature = "kraken")] pub mod kraken; #[cfg(feature = "kraken")] pub use kraken::*; #[cfg(feature = "poloniex")] pub mod poloniex; #[cfg(feature = "poloniex")] pub use poloniex::*; pub enum CatalogError { Parse(String), }
0
kraken
/mono/crates/catalog/src/kraken/assets.rs
use std::collections::HashMap; use lazy_static::lazy_static; use fdr_common::crypto::assets::{Asset, TradingAsset}; use crate::KrakenAsset; lazy_static! { pub static ref KRAKEN_ASSETS: HashMap<Asset, TradingAsset> = { let asset_catalog = include_str!("../../resources/kraken_assets.json"); serde_json::from_str::<HashMap<String, KrakenAsset>>(asset_catalog) .expect("Unable to parse assets") .into_iter() .filter_map(|(name, kasset)| { Asset::try_from(name.as_str()).ok().map(|asset| { ( asset, TradingAsset { name: asset.to_string(), alt_name: asset.to_string(), decimals: kasset.decimals, display_decimals: Some(kasset.display_decimals), }, ) }) }) .collect::<HashMap<Asset, TradingAsset>>() }; } #[cfg(test)] mod tests { use crate::KRAKEN_ASSETS; use fdr_common::crypto::assets::Asset; #[test] fn test_assets() { KRAKEN_ASSETS.get(&Asset::Btc).unwrap(); KRAKEN_ASSETS.get(&Asset::Usdt).unwrap(); KRAKEN_ASSETS.get(&Asset::Dai).unwrap(); } }
0
kraken
/mono/crates/catalog/src/kraken/pairs.rs
use std::collections::HashMap; use lazy_static::lazy_static; use fdr_common::crypto::{ assets::{Asset, CurrencyPair}, pairs::TradingPair, }; use crate::KrakenPair; lazy_static! { pub static ref KRAKEN_PAIR_DATA: &'static str = include_str!("../../resources/kraken_pairs.json"); pub static ref KRAKEN_PAIRS: HashMap<CurrencyPair, TradingPair> = { let kraken_pairs: HashMap<String, KrakenPair> = serde_json::from_str(&KRAKEN_PAIR_DATA).expect("Unable to parse pairs"); kraken_pairs .into_iter() .filter_map(|(_, trading_pair)| { let base = Asset::try_from(trading_pair.base.as_str()).ok()?; let quote = Asset::try_from(trading_pair.quote.as_str()).ok()?; let currency_pair = CurrencyPair::new(base, quote); let trading_pair = TradingPair::try_from(trading_pair).ok()?; Some((currency_pair, trading_pair)) }) .collect::<HashMap<CurrencyPair, TradingPair>>() }; pub static ref KRAKEN_API_PAIRS: HashMap<String, CurrencyPair> = { let kraken_pairs: HashMap<String, KrakenPair> = serde_json::from_str(&KRAKEN_PAIR_DATA).expect("Unable to parse pairs"); kraken_pairs .into_iter() .filter_map(|(symbol, trading_pair)| { let base = Asset::try_from(trading_pair.base.as_str()).ok()?; let quote = Asset::try_from(trading_pair.quote.as_str()).ok()?; let currency_pair = CurrencyPair::new(base, quote); Some((symbol, currency_pair)) }) .collect::<HashMap<String, CurrencyPair>>() }; } #[cfg(test)] mod tests { use crate::{KRAKEN_API_PAIRS, KRAKEN_PAIRS}; use fdr_common::crypto::assets::{Asset, CurrencyPair}; #[test] fn test_pairs() { KRAKEN_PAIRS.get(&CurrencyPair::new(Asset::Btc, Asset::Usd)).unwrap(); KRAKEN_PAIRS.get(&CurrencyPair::new(Asset::Btc, Asset::Usdt)).unwrap(); KRAKEN_PAIRS.get(&CurrencyPair::new(Asset::Dai, Asset::Usd)).unwrap(); } #[test] fn test_api_pairs() { KRAKEN_API_PAIRS.get("XXBTZUSD").unwrap(); } }
0
kraken
/mono/crates/catalog/src/kraken/mod.rs
pub mod assets; pub use assets::*; pub mod pairs; pub use pairs::*; #[cfg(feature = "models")] pub mod models; #[cfg(feature = "models")] pub use models::*;
0
kraken
/mono/crates/catalog/src/kraken/models.rs
use std::str::FromStr; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use fdr_common::crypto::{assets::TradingAsset, pairs::TradingPair}; #[derive(Serialize, Deserialize, Debug)] pub struct KrakenAsset { pub altname: String, pub aclass: String, pub decimals: u32, pub status: String, pub display_decimals: u32, pub collateral_value: Option<Decimal>, } impl From<KrakenAsset> for TradingAsset { fn from(asset: KrakenAsset) -> Self { Self { name: asset.altname.clone(), alt_name: asset.altname.clone(), decimals: asset.decimals, display_decimals: Some(asset.display_decimals), } } } #[derive(Serialize, Deserialize, Debug)] pub struct KrakenPair { #[serde(rename(deserialize = "altname"))] pub alt_name: String, #[serde(rename(deserialize = "wsname"))] pub ws_name: String, pub aclass_base: String, pub base: String, pub aclass_quote: String, pub quote: String, pub lot: String, pub pair_decimals: u32, pub lot_decimals: u32, pub lot_multiplier: u32, pub leverage_buy: Vec<u32>, pub leverage_sell: Vec<u32>, pub fees: Vec<Vec<f32>>, pub fees_maker: Vec<Vec<f32>>, pub fee_volume_currency: String, pub margin_call: u32, pub margin_stop: u32, #[serde(rename(deserialize = "ordermin"))] pub order_min: String, #[serde(rename(deserialize = "costmin"))] pub cost_min: Option<String>, pub status: String, pub tick_size: String, pub long_position_limit: Option<u64>, pub short_position_limit: Option<u64>, } impl TryFrom<KrakenPair> for TradingPair { type Error = (); fn try_from(pair: KrakenPair) -> Result<Self, Self::Error> { Ok(Self { cost_decimals: pair.pair_decimals, pair_decimals: pair.pair_decimals, lot_decimals: pair.lot_decimals, min_order: Decimal::from_str(&pair.order_min).map_err(|_| ())?, tick_size: Decimal::from_str(&pair.tick_size).map_err(|_| ())?, }) } }
0
poloniex
/mono/crates/catalog/src/poloniex/assets.rs
use std::collections::HashMap; use lazy_static::lazy_static; use fdr_common::crypto::assets::{Asset, TradingAsset}; use crate::PoloniexAsset; lazy_static! { pub static ref POLONIEX_ASSETS: HashMap<Asset, TradingAsset> = { let asset_catalog = include_str!("../../resources/poloniex_assets.json"); // this is a cheeky way to ignore asets that we don't support without having to generate // our enum or make it 15K lines long serde_json::from_str::<Vec<PoloniexAsset>>(asset_catalog) .expect("Unable to parse assets") .into_iter() .filter_map(|e| { Asset::try_from(e.coin.as_str()).ok().map(|asset| { ( asset, TradingAsset { name: asset.to_string(), alt_name: asset.to_string(), decimals: e.network_list[0].decimals, display_decimals: None, }, ) }) }) .collect::<HashMap<Asset, TradingAsset>>() }; } #[cfg(test)] mod tests { use crate::POLONIEX_ASSETS; use fdr_common::crypto::assets::Asset; #[test] fn test_assets() { POLONIEX_ASSETS.get(&Asset::Btc).expect("BTC not found"); POLONIEX_ASSETS.get(&Asset::Usdt).expect("USDT not found"); POLONIEX_ASSETS.get(&Asset::Dai).expect("DAI not found"); } }
0
poloniex
/mono/crates/catalog/src/poloniex/pairs.rs
use std::collections::HashMap; use lazy_static::lazy_static; use fdr_common::crypto::{ assets::{Asset, CurrencyPair}, pairs::TradingPair, }; use crate::PoloniexPair; lazy_static! { pub static ref POLONIEX_PAIR_DATA: &'static str = include_str!("../../resources/poloniex_pairs.json"); pub static ref POLONIEX_PAIRS: HashMap<CurrencyPair, TradingPair> = { let poloniex_pairs: Vec<PoloniexPair> = serde_json::from_str(&POLONIEX_PAIR_DATA).expect("Unable to parse pairs"); poloniex_pairs .into_iter() .filter_map(|trading_pair| { let base = Asset::try_from(trading_pair.base_currency_name.as_str()).ok()?; let quote = Asset::try_from(trading_pair.quote_currency_name.as_str()).ok()?; let currency_pair = CurrencyPair::new(base, quote); let trading_pair = TradingPair::from(trading_pair); Some((currency_pair, trading_pair)) }) .collect::<HashMap<CurrencyPair, TradingPair>>() }; }
0
poloniex
/mono/crates/catalog/src/poloniex/mod.rs
pub mod assets; pub use assets::*; pub mod pairs; pub use pairs::*; #[cfg(feature = "models")] pub mod models; #[cfg(feature = "models")] pub use models::*;
0
poloniex
/mono/crates/catalog/src/poloniex/models.rs
use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use crate::CatalogError; use fdr_common::crypto::{assets::TradingAsset, pairs::TradingPair}; #[derive(Serialize, Deserialize, Debug, Clone)] #[serde(rename_all(deserialize = "camelCase"))] pub struct PoloniexAsset { pub id: u32, pub coin: String, pub delisted: bool, pub trade_enable: bool, pub name: String, pub network_list: Vec<PoloniexNetwork>, } #[derive(Serialize, Deserialize, Debug, Clone)] #[serde(rename_all(deserialize = "camelCase"))] pub struct PoloniexNetwork { pub id: u32, pub coin: Option<String>, pub name: Option<String>, pub currency_type: Option<String>, pub blockchain: Option<String>, pub withdrawal_enable: Option<bool>, pub deposit_enable: Option<bool>, pub deposit_address: Option<String>, pub withdraw_min: Option<String>, pub decimals: u32, pub withdraw_fee: Option<Decimal>, pub min_confirm: Option<u32>, } impl TryFrom<PoloniexAsset> for TradingAsset { type Error = CatalogError; fn try_from(asset: PoloniexAsset) -> Result<Self, Self::Error> { // todo(steve.sampson): how do we handle an asset being available on multiple networks? // For now, just use the first one. let Some(network) = asset.network_list.first() else { return Err(CatalogError::Parse(format!("Asset {} has no networks", asset.coin))); }; Ok(TradingAsset { name: asset.coin.clone(), alt_name: asset.coin, decimals: network.decimals, display_decimals: None, }) } } #[derive(Serialize, Deserialize, Debug)] #[serde(rename_all(deserialize = "camelCase"))] pub struct PoloniexPair { pub symbol: String, pub base_currency_name: String, pub quote_currency_name: String, pub display_name: String, pub state: String, pub visible_start_time: u64, pub tradable_start_time: u64, pub symbol_trade_limit: PoloniexSymbolTradeLimit, pub cross_margin: PoloniexCrossMargin, } #[derive(Serialize, Deserialize, Debug)] #[serde(rename_all(deserialize = "camelCase"))] pub struct PoloniexSymbolTradeLimit { pub symbol: String, pub price_scale: u32, pub quantity_scale: u32, pub amount_scale: u32, pub min_quantity: Decimal, pub min_amount: Decimal, pub highest_bid: Decimal, pub lowest_ask: Decimal, } #[derive(Serialize, Deserialize, Debug)] #[serde(rename_all(deserialize = "camelCase"))] pub struct PoloniexCrossMargin { pub support_cross_margin: bool, pub max_leverage: u32, } impl From<PoloniexPair> for TradingPair { fn from(pair: PoloniexPair) -> Self { TradingPair { // todo(steve.sampson): have @chris.o validate this logic or check it against his TS impl pair_decimals: pair.symbol_trade_limit.price_scale, cost_decimals: pair.symbol_trade_limit.amount_scale, lot_decimals: pair.symbol_trade_limit.quantity_scale, min_order: pair.symbol_trade_limit.min_quantity, tick_size: pair.symbol_trade_limit.min_amount, } } }
0
back_testing_service
/mono/crates/back_testing_service/Cargo.toml
[package] name = "back-testing-service" version = "0.1.0" edition = "2021" authors = ["Justin Heisler"] description = "Back testing mock server" [dependencies] exchange-proxy = { path = "../exchange_proxy" } exchange-client = { path = "../exchange_client" } fdr-common = { path = "../fdr_common", features = ["tracing"] } fdr-http = { path = "../fdr_http" } fdr-store = { path = "../fdr_store" } strat-common = { path = "../strat_common" } fdr-event = { path = "../fdr_event", features = ["backtest"] } strategy-manager = { path = "../strategy_manager" } strategies = { path = "../strategies" } catalog = { path = "../catalog" } config-generator = { path = "../back_testing_config_generator" } async-trait = { workspace = true } axum = { workspace = true, features = ["ws"] } chrono = { workspace = true, features = ["serde"] } clap = { workspace = true, features = ["derive", "env", "cargo"] } derive_more = { workspace = true } http = { workspace = true } http-body = { workspace = true } hyper = { workspace = true, features = ["full"] } rust_decimal = { workspace = true, features = ["serde", "db-postgres"] } serde = { workspace = true, features = ["derive"] } serde_json = { workspace = true } slog = { workspace = true, features = ["max_level_trace"] } sqlx = { workspace = true, features = [ "runtime-tokio-native-tls", "postgres", "json", "migrate", "time", "uuid", "rust_decimal", ] } prometheus = { workspace = true } reqwest = { workspace = true } thiserror = { workspace = true } tokio = { workspace = true, features = ["full"] } tokio-util = { workspace = true } tracing = { workspace = true, default-features = false, features = [ "std", "attributes", ] } tracing-opentelemetry = { workspace = true, default-features = true } toml = { workspace = true } url = { workspace = true } uuid = { workspace = true, features = ["v4", "fast-rng", "serde"] } time = { workspace = true, features = [] } tower-http = { workspace = true, features = ["full"] } futures-util = { workspace = true } tower = { workspace = true } rand = "0.8.5"
0
src
/mono/crates/back_testing_service/src/metrics.rs
use fdr_common::error::FdrResult; use prometheus::Registry; use std::sync::Arc; pub struct Metrics { pub registry: Arc<Registry>, } impl Metrics { pub fn new(prefix: &str) -> FdrResult<Self> { let registry = Registry::new_custom(Some(prefix.to_string()), None)?; Ok(Self { registry: Arc::new(registry), }) } }
0
src
/mono/crates/back_testing_service/src/error.rs
use exchange_client::realm::FdrApiError; use http::StatusCode; use thiserror::Error; use uuid::Uuid; use fdr_common::error::FdrError; use fdr_event::{events::FdrEvent, FdrEventError}; use fdr_store::error::FdrStoreError; use strategies::error::StrategyError; use strategy_manager::error::StrategyManagerError; #[derive(Error, Debug)] pub enum BackTestingServiceError { #[error(transparent)] FdrError(#[from] FdrError), #[error("Received Kafka Message w/No Body")] EmptyPayload, #[error(transparent)] Sqlx(#[from] sqlx::Error), #[error(transparent)] DbMigration(#[from] sqlx::migrate::MigrateError), #[error(transparent)] SerdeJson(#[from] serde_json::Error), #[error(transparent)] Io(#[from] std::io::Error), #[error(transparent)] Uuid(#[from] uuid::Error), #[error(transparent)] Decimal(#[from] rust_decimal::Error), #[error(transparent)] ParseUrl(#[from] url::ParseError), #[error(transparent)] Hyper(#[from] hyper::Error), #[error(transparent)] AddrParse(#[from] std::net::AddrParseError), #[error(transparent)] Prometheus(#[from] prometheus::Error), #[error("Missing strategy")] MissingStrategy, #[error("{0}")] MissingField(String), #[error("Could not find the specified row")] RowNotfound, #[error("Invalid API Usage: {0}")] ApiError(String), #[error("The database returned an error: {0}")] DatabaseError(String), #[error("{0}")] ResourceAlreadyExists(String), #[error("Required field {0} was not provided")] RequiredField(String), #[error(transparent)] Axum(#[from] axum::Error), #[error(transparent)] FdrStoreError(#[from] FdrStoreError), #[error(transparent)] ChannelSendError(#[from] Box<tokio::sync::broadcast::error::SendError<FdrEvent>>), #[error(transparent)] Proxy(#[from] exchange_proxy::error::ExchangeProxyError), #[error("Could not find order with id: {0}")] OrderNotFound(Uuid), #[error(transparent)] StrategyManagerError(#[from] StrategyManagerError), #[error(transparent)] StrategyError(#[from] StrategyError), #[error(transparent)] FdrEventError(#[from] FdrEventError), } pub type BackTestingServiceResult<T> = Result<T, BackTestingServiceError>; impl BackTestingServiceError { pub fn status_code(&self) -> StatusCode { match self { BackTestingServiceError::FdrError(_) | BackTestingServiceError::DbMigration(_) | BackTestingServiceError::SerdeJson(_) | BackTestingServiceError::Io(_) | BackTestingServiceError::Uuid(_) | BackTestingServiceError::Decimal(_) | BackTestingServiceError::ParseUrl(_) | BackTestingServiceError::Hyper(_) | BackTestingServiceError::Prometheus(_) | BackTestingServiceError::Sqlx(_) | BackTestingServiceError::RowNotfound | BackTestingServiceError::MissingStrategy | BackTestingServiceError::MissingField(_) | BackTestingServiceError::EmptyPayload | BackTestingServiceError::AddrParse(_) | BackTestingServiceError::DatabaseError(_) | BackTestingServiceError::RequiredField(_) | BackTestingServiceError::Axum(_) | BackTestingServiceError::FdrStoreError(_) | BackTestingServiceError::ChannelSendError(_) | BackTestingServiceError::Proxy(_) | BackTestingServiceError::StrategyManagerError(_) | BackTestingServiceError::StrategyError(_) | BackTestingServiceError::FdrEventError(_) | BackTestingServiceError::ApiError(_) => StatusCode::INTERNAL_SERVER_ERROR, BackTestingServiceError::OrderNotFound(_) => StatusCode::NOT_FOUND, BackTestingServiceError::ResourceAlreadyExists(_) => StatusCode::CONFLICT, } } } impl From<BackTestingServiceError> for FdrApiError { fn from(error: BackTestingServiceError) -> Self { Self::new(error.status_code(), Some(error.to_string())) } }
0
src
/mono/crates/back_testing_service/src/main.rs
#![allow(dead_code)] #[macro_use] extern crate slog; use crate::{ error::{BackTestingServiceError, BackTestingServiceResult}, exchange_adapter::MockExchangeAdapter, init::init_global_state, manager::BackTestManager, }; use async_trait::async_trait; use axum::Router; use config_generator::config::BackTestConfig; use fdr_common::{ context::FdrServiceContext, task::{DefaultSignalHandler, FdrTask, FdrTaskManagerBuilder, FdrTaskResult, ShutdownType}, utils::cli::{Args, Parser}, }; use fdr_event::{FdrEventConsumer, FdrEventProducer}; use fdr_http::Server; use manager::context::Context; use std::sync::Arc; use strategies::Strategy; use strategy_manager::{init::StrategyManagerInitTrait, StrategyManager}; use tokio_util::sync::CancellationToken; pub mod error; pub mod exchange_adapter; pub mod init; pub mod manager; pub mod metrics; #[tokio::main(flavor = "multi_thread", worker_threads = 4)] async fn main() -> BackTestingServiceResult<()> { let args: Args<BackTestConfig> = Args::parse(); let context = Arc::new(Context::from_config(args.config.clone()).await?); let backtest_manager = Arc::new(BackTestManager::new(context.clone())); let mock_exchange_adapter = Arc::new(MockExchangeAdapter::new(backtest_manager.clone())); let strategy_manager_context = Arc::new( strategy_manager::context::Context::from_config_with_channels( args.config.strategy_manager.clone(), backtest_manager.ctx.mem_pool.clone(), context.logger.clone(), context.event_producer.clone() as Arc<dyn FdrEventConsumer + Send + Sync + 'static>, // our producer is the strats consumer context.event_consumer.clone() as Arc<dyn FdrEventProducer + Send + Sync + 'static>, // our consumer is the strats producer mock_exchange_adapter, ) .await?, ); let strategy_manager = Arc::new(StrategyManager::new(strategy_manager_context.clone())?); strategy_manager.init_state().await?; init_global_state( context.clone(), &args.config.strategy_manager.strategies, backtest_manager.ctx.pg_pool.clone(), backtest_manager.ctx.mem_pool.clone(), ) .await?; let mut strats = Vec::new(); for strat_configs in args.config.strategy_manager.strategies { strats.push( Strategy::new( strategy_manager_context.clone(), strat_configs.clone(), backtest_manager.ctx.mem_pool.clone(), ) .await?, ); } let cancellation_token = CancellationToken::new(); let mut task_manager = FdrTaskManagerBuilder::new(context.logger().clone()).with_cancellation_token(cancellation_token.clone()); for strategy in strats { task_manager = task_manager.add_task(StrategyTask(strategy)); } let mut task_manager = task_manager .add_task(StrategyManagerTask(strategy_manager.clone())) .add_task(StrategyManagerReceiverTask(strategy_manager.clone())) .add_task(HttpServerTask(strategy_manager_context.clone())) .add_task(BackTestManagerTask(backtest_manager.clone())) .add_task(DefaultSignalHandler(context.logger.clone())) .build(); task_manager.run().await; Ok(()) } pub struct BackTestManagerTask(Arc<BackTestManager>); #[async_trait] impl FdrTask<BackTestingServiceError> for BackTestManagerTask { async fn run(self: Box<Self>) -> FdrTaskResult<BackTestingServiceError> { Ok(self.0.start().await?) } fn name(&self) -> String { "Back Test Manager".to_string() } fn shutdown_type(&self) -> ShutdownType { ShutdownType::Managed } } struct StrategyTask(Strategy<strategy_manager::context::Context>); #[async_trait] impl FdrTask<BackTestingServiceError> for StrategyTask { async fn run(mut self: Box<Self>) -> FdrTaskResult<BackTestingServiceError> { Ok(self.0.subscribe_to_changes().await?) } fn name(&self) -> String { format!("Strategy {}", self.0) } fn shutdown_type(&self) -> ShutdownType { ShutdownType::Managed } } struct StrategyManagerTask(Arc<StrategyManager>); #[async_trait] impl FdrTask<BackTestingServiceError> for StrategyManagerTask { async fn run(self: Box<Self>) -> FdrTaskResult<BackTestingServiceError> { Ok(self.0.start().await?) } fn name(&self) -> String { "Strategy Manager".to_string() } fn shutdown_type(&self) -> ShutdownType { ShutdownType::Managed } } struct StrategyManagerReceiverTask(Arc<StrategyManager>); #[async_trait] impl FdrTask<BackTestingServiceError> for StrategyManagerReceiverTask { async fn run(self: Box<Self>) -> FdrTaskResult<BackTestingServiceError> { Ok(self.0.subscribe_to_requests().await?) } fn name(&self) -> String { "Strategy Manager Receiver".to_string() } fn shutdown_type(&self) -> ShutdownType { ShutdownType::Managed } } struct HttpServerTask(Arc<strategy_manager::context::Context>); #[async_trait] impl FdrTask<BackTestingServiceError> for HttpServerTask { async fn run(self: Box<Self>) -> FdrTaskResult<BackTestingServiceError> { Server::serve( self.0.clone(), self.0.config.server.listen_address.clone(), self.0.config.server.port, Router::default(), ) .await } fn name(&self) -> String { "HTTP Server".to_string() } fn shutdown_type(&self) -> ShutdownType { ShutdownType::Managed } }
0
init
/mono/crates/back_testing_service/src/init/mod.rs
use crate::{error::BackTestingServiceResult, manager::context::Context}; use ::strategies::{config::StrategyConfigKind, market_makers::on_ticker::MarketMakerOnTickerConfig}; use fdr_common::exchange::Venue; use fdr_store::{ archive::{models::GetArchivesFilter, ArchiveStore}, backtest::{ account_details::BackTestAccountDetailsStore, balance_accounts::BackTestBalanceAccountStore, cleanup::BackTestCleanup, strat_balance_accounts::BackTestStratBalanceAccountsStore, strat_runs::BackTestStratRunStore, strategies::BackTestStrategyStore, }, core::pool::Pool, virtual_accounts::{AccountStatus, VirtualAccountDto, VirtualAccountStore}, }; use rust_decimal::Decimal; use std::sync::Arc; use uuid::Uuid; pub async fn init_global_state( context: Arc<Context>, strategies: &[StrategyConfigKind], pg_pool: Arc<Pool>, mem_pool: Arc<Pool>, ) -> BackTestingServiceResult<()> { // Clean up previous runs let mut db_transaction = pg_pool.begin().await?; // Remove any existing records if let Err(e) = db_transaction.cleanup_previous_runs(context.config.run_id).await { error!(context.logger, "Failed to clean up previous runs"; "error" => format!("{:?}", e)); } else { info!(context.logger, "Cleaned up previous runs"); db_transaction.commit().await?; } info!(context.logger, "Creating Strategy"); let mut db_conn = pg_pool.acquire().await?; let (strat_id, _) = db_conn.add_strategy(context.config.strategy_type).await?; for strategy in strategies { match &strategy { StrategyConfigKind::TriangularArbitrage(_) => {} StrategyConfigKind::MarketMakerOnTicker(config) => { init_market_marker(context.clone(), strat_id, config, pg_pool.clone(), mem_pool.clone()).await?; } } } Ok(()) } async fn init_market_marker( context: Arc<Context>, strat_id: Uuid, config: &MarketMakerOnTickerConfig, pg_pool: Arc<Pool>, mem_pool: Arc<Pool>, ) -> BackTestingServiceResult<()> { let mut db_conn = pg_pool.acquire().await?; let balance = context .config .balances .iter() .find(|balance| balance.asset == config.pair.quote()) .map(|balance| balance.amount) .expect("back test balances didn't load from config"); let timestamp = db_conn .get_archive_records(GetArchivesFilter { pairs: Some(vec![config.pair]), exchange: None, page: 0, page_size: 1, archive_type: None, start_time: None, end_time: None, }) .await? .front() .unwrap() .timestamp; info!(context.logger, "Adding strat run record"); let (strat_run_id, _) = db_conn .add_strat_run(config.strat_run_id, strat_id, config.pair) .await?; info!(context.logger, "Adding balance accounts"); let (base_account_id, _) = db_conn.add_balance_account(config.pair.base(), Decimal::ZERO).await?; db_conn .add_account_details( config.pair.base().to_string().as_str(), base_account_id, Venue::Backtest, ) .await?; let (quote_account_id, _) = db_conn.add_balance_account(config.pair.quote(), Decimal::ZERO).await?; db_conn .add_account_details( config.pair.quote().to_string().as_str(), quote_account_id, Venue::Backtest, ) .await?; info!(context.logger, "Adding virtual balance accounts"); let base_virtual_account = VirtualAccountDto { id: Uuid::new_v4(), account_id: base_account_id, account_status: AccountStatus::Active, asset: config.pair.base(), amount: Decimal::ZERO, venue: Venue::Backtest, created_at: timestamp, }; let quote_virtual_account = VirtualAccountDto { id: Uuid::new_v4(), account_id: quote_account_id, account_status: AccountStatus::Active, asset: config.pair.quote(), amount: balance.total(), venue: Venue::Backtest, created_at: timestamp, }; let mut mem_conn = mem_pool.acquire().await?; db_conn.add_virtual_account(quote_virtual_account.clone()).await?; db_conn.add_virtual_account(base_virtual_account.clone()).await?; mem_conn.add_virtual_account(quote_virtual_account.clone()).await?; mem_conn.add_virtual_account(base_virtual_account.clone()).await?; info!(context.logger, "Adding strat balance accounts"); let _ = db_conn .add_strat_balance_account(strat_run_id, base_virtual_account.id) .await?; let _ = db_conn .add_strat_balance_account(strat_run_id, quote_virtual_account.id) .await?; info!(context.logger, "Adding ledger record"); let _ = db_conn .add_ledger_entry(quote_virtual_account.id, balance.total(), timestamp) .await?; Ok(()) }
0
manager
/mono/crates/back_testing_service/src/manager/mod.rs
use crate::{error::BackTestingServiceResult, manager::context::Context}; use chrono::Utc; use fdr_common::{ crypto::{ assets::CurrencyPair, orders::{FdrOrderSide, FdrOrderStatus}, }, exchange::{Exchange, Market}, ticker::FdrTickerUpdate, }; use fdr_event::{ events::{ FdrEvent, FdrOrderCanceled, FdrOrderFilled, FdrOrderPlaced, FdrOrderTrade, FdrOrderUpdate, StrategyUpdate, }, FdrEventConsumer, FdrEventProducer, }; use fdr_store::{ archive::{ models::{ArchiveType, GetArchivesFilter, GetCandlesFilter, OhlcDataDto}, ArchiveStore, }, core::BATCH_SIZE, metrics, orders, orders::{ models::{GetOrderFilter, GetOrdersFilter, OrderDto}, OrderStore, }, trades, trades::{models::TradeDto, TradeStore}, virtual_accounts, }; use rand::{ distributions::{Distribution, Uniform}, rngs::StdRng, SeedableRng, }; use rust_decimal::{ prelude::{FromPrimitive, ToPrimitive}, Decimal, }; use std::{ collections::{HashMap, VecDeque}, sync::Arc, vec, }; use tokio::sync::RwLock; use uuid::Uuid; pub mod context; mod models; #[derive(Debug, Clone, Default)] pub struct ArchivedTickers { tickers: VecDeque<FdrTickerUpdate>, last_ticker: Option<FdrTickerUpdate>, page: i32, } const PAGE_SIZE: i32 = 10000; const NO_MORE_DATA: i32 = i32::MIN; pub struct BackTestManager { pub ctx: Arc<Context>, // TODO: Update this to have the RwLock on the ArchivedTickers tickers: RwLock<HashMap<CurrencyPair, ArchivedTickers>>, } impl BackTestManager { pub fn new(ctx: Arc<Context>) -> Self { let pairs = ctx.pairs.clone(); Self { ctx, tickers: RwLock::new(pairs.iter().map(|pair| (*pair, Default::default())).collect()), } } pub async fn start(&self) -> BackTestingServiceResult<()> { info!(self.ctx.logger, "Back Test Manager Started"; "version" => env!("CARGO_PKG_VERSION")); // First tickers will cause the strategy manager to reach out for initialization self.send_first_tickers().await?; loop { tokio::select! { res = self.ctx.event_consumer.recv_fdr_event_with_metadata() => { let fdr_event_with_meta = res?; match fdr_event_with_meta.event { FdrEvent::Strategy(strategy_updates) => { if let Some(pair) = self.handle_strategy_updates(strategy_updates).await? { self.generate_internal_ticker_update(&pair).await?; } else { error!(self.ctx.logger, "Unable to parse pair to generate a new ticker"); } } _ => continue, }; } } } } async fn get_db_order(&self, id: Uuid) -> BackTestingServiceResult<OrderDto> { Ok(self .ctx .mem_pool .acquire() .await? .get_order(GetOrderFilter::Id(id)) .await?) } async fn handle_strategy_updates( &self, updates: Vec<StrategyUpdate>, ) -> BackTestingServiceResult<Option<CurrencyPair>> { let mut pair = None; for update in updates { match update { StrategyUpdate::OrderCreated(uuid) => { let order_dto = self.get_db_order(uuid).await?; if pair.is_none() { pair = Some(CurrencyPair::new(order_dto.base, order_dto.quote)); } self.handle_newly_created_order(order_dto).await?; } StrategyUpdate::OrderCancellationRequested(uuid) => { let order_dto = self.get_db_order(uuid).await?; if pair.is_none() { pair = Some(CurrencyPair::new(order_dto.base, order_dto.quote)); } self.handle_order_cancellation_request(order_dto).await?; } } } Ok(pair) } async fn handle_newly_created_order(&self, order: OrderDto) -> BackTestingServiceResult<()> { let pair = CurrencyPair::new(order.base, order.quote); let ticker_time = if let Some(current_ticker) = self.get_last_ticker(&pair).await { current_ticker.timestamp } else { Utc::now() }; trace!(self.ctx.logger, "Creating order"; "order" => format!("{:?}", order)); self.ctx .mem_pool .acquire() .await? .update_order( GetOrderFilter::Id(order.id), Some(FdrOrderStatus::Open), None, Some(Uuid::new_v4().to_string()), None, None, ) .await?; self.ctx .event_producer .publish_fdr_event( "backtest_orders", None, &FdrEvent::Order(FdrOrderUpdate::Placed(FdrOrderPlaced { order_id: order.id, market: Market { exchange: order.exchange, pair, }, side: order.order_side, type_: order.order_type, order_status: order.order_status, price: order.price, volume: Some(order.volume), timestamp: ticker_time, extra_fields: HashMap::new(), })), ) .await?; Ok(()) } async fn handle_order_cancellation_request(&self, order: OrderDto) -> BackTestingServiceResult<()> { let order_id = order.id; trace!(self.ctx.logger, "Cancelling order"; "order_id" => format!("{:?}", order_id)); if order.order_status != FdrOrderStatus::Filled { let mut db_conn = self.ctx.mem_pool.acquire().await?; db_conn .update_order( GetOrderFilter::Id(order_id), Some(FdrOrderStatus::Cancelled), None, None, None, None, ) .await?; } self.ctx .event_producer .publish_fdr_event( "backtest_orders", None, &FdrEvent::Order(FdrOrderUpdate::Canceled(FdrOrderCanceled { order_id, market: Market { pair: CurrencyPair::new(order.base, order.quote), exchange: Exchange::Backtest, }, side: order.order_side, type_: order.order_type, order_status: order.order_status, price: order.price.unwrap_or_default(), volume: order.volume, volume_remaining: order.volume - order.volume_filled, timestamp: order.created_at, })), ) .await?; Ok(()) } pub async fn send_first_tickers(&self) -> BackTestingServiceResult<()> { for pair in self.ctx.pairs.iter() { self.generate_internal_ticker_update(pair).await?; } Ok(()) } pub(crate) async fn store_data(&self, finished: bool) -> BackTestingServiceResult<()> { if !finished && self .ctx .mem_pool .acquire() .await? .get_orders(GetOrdersFilter { pairs: None, exchange_order_ref: None, exchange: None, strategies: None, order_status: None, cancellation_status: None, has_volume_filled: None, start_time: None, end_time: None, strat_run_id: Some(self.ctx.config.run_id), }) .await? .len() < BATCH_SIZE { return Ok(()); } orders::memory::flush_to_postgres(self.ctx.pg_pool.clone(), finished).await?; trades::memory::flush_to_postgres(self.ctx.pg_pool.clone()).await?; metrics::memory::flush_to_postgres(self.ctx.pg_pool.clone()).await?; virtual_accounts::memory::flush_to_postgres(self.ctx.pg_pool.clone()).await?; Ok(()) } /// this method generates the next ticker update internally and sends it to the private collector's fake websocket. async fn generate_internal_ticker_update(&self, pair: &CurrencyPair) -> BackTestingServiceResult<()> { if let Some(ticker) = self.next_ticker(pair).await? { self.check_for_trades(&ticker).await?; debug!(self.ctx.logger, "Sending ticker update"; "ticker" => format!("{:?}", ticker)); self.ctx .event_producer .publish_fdr_event("backtest_ticker", None, &FdrEvent::Ticker(ticker)) .await?; } Ok(()) } /// this method checks if a trade would have happened and, if so, sends a trade update internally to the private /// collector's fake websocket. /// TODO(justin.heisler): I am pretty sure this method can not retrieve cloned orders from the order manager... /// I think it needs to get mutable reference to orders in the order manager because if a trade happens, it /// needs to inspect the volume_remaining field of the order and update it, right? pub(crate) async fn check_for_trades(&self, ticker: &FdrTickerUpdate) -> BackTestingServiceResult<()> { let orders = self .ctx .mem_pool .acquire() .await? .get_orders(GetOrdersFilter { pairs: None, exchange_order_ref: None, exchange: None, strategies: None, order_status: Some(vec![FdrOrderStatus::Open]), cancellation_status: None, has_volume_filled: None, start_time: None, end_time: None, strat_run_id: None, }) .await?; for order in orders { let mut trade_happened = false; match order.order_side { FdrOrderSide::Sell => { if ticker.last_price > order.price { trade_happened = true; } } FdrOrderSide::Buy => { if ticker.last_price < order.price { trade_happened = true; } } } if trade_happened { // Determine what volume filled let trade_volume = if let Some(ticker_volume) = ticker.volume { if order.volume > ticker_volume { ticker_volume } else { order.volume } } else { Decimal::ZERO }; let price = order.price.unwrap(); let cost = price * order.volume; let trade = FdrOrderTrade { order_id: order.id, trade_id: Uuid::new_v4(), price: order.price.unwrap(), volume: trade_volume, cost, // TODO: Implement fees fee: Default::default(), timestamp: ticker.timestamp, market: Market { pair: ticker.pair, exchange: ticker.exchange, }, side: order.order_side, extra_fields: Default::default(), }; // Save trade let mut db_conn = self.ctx.mem_pool.acquire().await?; let mut trade_dto: TradeDto = trade.clone().try_into()?; trade_dto.strat_run_id = order.strat_run_id; db_conn.save_trade(trade_dto).await?; // Update order status db_conn .update_order( GetOrderFilter::Id(order.id), Some(FdrOrderStatus::Filled), None, None, Some(order.volume_filled + trade_volume), None, ) .await?; self.ctx .event_producer .publish_fdr_event( "backtest_orders", None, &FdrEvent::Order(FdrOrderUpdate::Trade(trade.clone())), ) .await?; self.ctx .event_producer .publish_fdr_event( "backtest_orders", None, &FdrEvent::Order(FdrOrderUpdate::Filled(FdrOrderFilled { order_id: trade.order_id, timestamp: trade.timestamp, extra_fields: Default::default(), })), ) .await?; } } Ok(()) } pub async fn get_last_ticker(&self, pair: &CurrencyPair) -> Option<FdrTickerUpdate> { if let Some(ticker) = self.tickers.read().await.get(pair) { ticker.last_ticker } else { None } } pub async fn next_ticker(&self, pair: &CurrencyPair) -> BackTestingServiceResult<Option<FdrTickerUpdate>> { if let Some(ticker) = self.tickers.write().await.get_mut(pair) { if ticker.page == NO_MORE_DATA { return Ok(None); } if ticker.tickers.is_empty() { if self.ctx.config.ticker_data.generate { let candles = self .ctx .pg_pool .acquire() .await? .get_candles(GetCandlesFilter { pairs: Some(self.ctx.config.ticker_data.pairs.clone()), exchange: Some(self.ctx.config.ticker_data.exchange), interval: Some(self.ctx.config.ticker_data.interval), page: ticker.page, page_size: PAGE_SIZE, start_time: self.ctx.config.ticker_data.start_time, end_time: self.ctx.config.ticker_data.end_time, }) .await?; ticker.tickers = self.generate_tickers_from_ohlcv(candles).await?; } else { ticker.tickers = self .ctx .pg_pool .acquire() .await? .get_archive_records(GetArchivesFilter { pairs: Some(vec![*pair]), exchange: None, page: ticker.page, page_size: PAGE_SIZE, archive_type: Some(ArchiveType::Ticker), start_time: self.ctx.config.archive.start_time, end_time: self.ctx.config.archive.end_time, }) .await? .into_iter() .map(|ticker| FdrTickerUpdate::try_from(ticker).unwrap()) .collect(); } if ticker.tickers.is_empty() { ticker.page = NO_MORE_DATA; return Ok(None); } ticker.page += 1; } let new_ticker = ticker.tickers.pop_front(); ticker.last_ticker = new_ticker; Ok(new_ticker) } else { Ok(None) } } pub async fn generate_tickers_from_ohlcv( &self, candles: VecDeque<OhlcDataDto>, ) -> BackTestingServiceResult<VecDeque<FdrTickerUpdate>> { let mut tickers = VecDeque::new(); let mut rng = StdRng::seed_from_u64(self.ctx.config.ticker_data.generator_seed); for ohlcv in candles { let count = ohlcv.count.map_or(10, |count| count); let volume: Option<Decimal> = ohlcv.volume.map(|volume| volume / Decimal::new(count.into(), 0)); let open_ticker = create_ticker_update(ohlcv, ohlcv.open, volume); let close_ticker = create_ticker_update(ohlcv, ohlcv.close, volume); // If there is only 1 record then we'll skip open, high, low, and just insert close if count > 1 { tickers.push_back(open_ticker); } // If there are more than 2 records, we can generate tickers between the high and low if count > 2 { if count == 3 { if ohlcv.high != ohlcv.open && ohlcv.high != ohlcv.close { tickers.push_back(create_ticker_update(ohlcv, ohlcv.high, volume)); } else if ohlcv.low != ohlcv.open && ohlcv.low != ohlcv.close { tickers.push_back(create_ticker_update(ohlcv, ohlcv.low, volume)); } else { let open_or_close = Uniform::new(0, 2).sample(&mut rng); tickers.push_back(match open_or_close { 0 => open_ticker, 1 => close_ticker, _ => panic!("Invalid open_or_close"), }); } } else { // if high == low == open == close then fill tickers with same price where n = count if ohlcv.high == ohlcv.low && ohlcv.high == ohlcv.open && ohlcv.high == ohlcv.close { for _ in 0..count { tickers.push_back(create_ticker_update(ohlcv, ohlcv.open, volume)); } } else { let filler_count = count - 4; let filler_rate = (((filler_count) / 3) as f64).floor() as i64; // ticker count between o,h,l, and c let filler_remainder = filler_count % 3; // remainder of the ticker count between o,h,l, and c let (range_start, range_end) = if ohlcv.open < ohlcv.close { (ohlcv.low, ohlcv.high) } else { (ohlcv.high, ohlcv.low) }; let mut terciles = [vec![], vec![], vec![]]; for _ in 0..filler_rate { terciles[0].push(create_ticker_update( ohlcv, random_price(&mut rng, ohlcv.open, range_start), volume, )); terciles[1].push(create_ticker_update( ohlcv, random_price(&mut rng, range_start, range_end), volume, )); terciles[2].push(create_ticker_update( ohlcv, random_price(&mut rng, range_end, ohlcv.close), volume, )); } for _ in 0..filler_remainder { let tercile = Uniform::new(0, 3).sample(&mut rng); let (begin, end) = match tercile { 0 => (ohlcv.open, range_start), 1 => (range_start, range_end), 2 => (range_end, ohlcv.close), _ => panic!("Invalid tercile"), }; terciles[tercile].push(create_ticker_update( ohlcv, random_price(&mut rng, begin, end), volume, )); } tickers.extend(terciles[0].iter()); tickers.push_back(create_ticker_update(ohlcv, range_start, volume)); tickers.extend(terciles[1].iter()); tickers.push_back(create_ticker_update(ohlcv, range_end, volume)); tickers.extend(terciles[2].iter()); } } } tickers.push_back(close_ticker); } Ok(tickers) } } // Helper functions fn create_ticker_update(ohlcv: OhlcDataDto, price: Decimal, volume: Option<Decimal>) -> FdrTickerUpdate { FdrTickerUpdate { exchange: ohlcv.exchange, pair: CurrencyPair::new(ohlcv.base, ohlcv.quote), timestamp: ohlcv.timestamp, chan_id: 0, bid: None, bid_size: None, ask: None, ask_size: None, last_price: Some(price), last_price_volume: volume, low: None, high: None, volume: None, low_24: None, high_24: None, volume_24: None, } } fn random_price(rng: &mut StdRng, start: Decimal, end: Decimal) -> Decimal { if start == end { return start; } let start_f64 = start.to_f64().expect("Failed to convert start to f64"); let end_f64 = end.to_f64().expect("Failed to convert end to f64"); let between = Uniform::new(start_f64.min(end_f64), start_f64.max(end_f64)); let random_f64 = between.sample(rng); Decimal::from_f64(random_f64).expect("Failed to convert random number to Decimal") }
0
manager
/mono/crates/back_testing_service/src/manager/models.rs
use chrono::{DateTime, Utc}; use fdr_common::{ crypto::{ assets::CurrencyPair, orders::{FdrOrderSide, FdrOrderStatus, FdrOrderType, OrderEntry}, }, exchange::{Exchange, Market}, TradingStrategy, }; use fdr_event::events::FdrOrderPlaced; use rust_decimal::Decimal; use std::collections::HashMap; use tokio::sync::RwLock; use uuid::Uuid; #[derive(Debug, Clone, Copy)] pub struct BackTestOrderEntry { pub id: Uuid, pub strat_run_id: Option<Uuid>, pub exchange: Exchange, pub pair: CurrencyPair, pub side: FdrOrderSide, pub price: Option<Decimal>, pub volume: Decimal, pub volume_remaining: Decimal, pub order_status: FdrOrderStatus, pub strategy: TradingStrategy, pub type_: FdrOrderType, pub ticker_time: DateTime<Utc>, } impl From<BackTestOrderEntry> for FdrOrderPlaced { fn from(order: BackTestOrderEntry) -> Self { FdrOrderPlaced { order_id: order.id, market: Market { exchange: order.exchange, pair: order.pair, }, side: order.side, type_: order.type_, order_status: order.order_status, price: order.price, volume: Some(order.volume), timestamp: order.ticker_time, extra_fields: HashMap::new(), } } } impl From<BackTestOrderEntry> for OrderEntry { fn from(order: BackTestOrderEntry) -> Self { OrderEntry { id: order.id, market: Market { exchange: order.exchange, pair: order.pair, }, side: order.side, price: order.price, volume: order.volume, volume_remaining: order.volume_remaining, order_status: order.order_status, strategy: order.strategy, type_: order.type_, strat_run_id: order.strat_run_id, } } } #[derive(Debug, Default)] pub struct BackTestOrderManager { orders: RwLock<HashMap<Uuid, BackTestOrderEntry>>, } impl BackTestOrderManager { pub fn new() -> Self { BackTestOrderManager { orders: RwLock::new(HashMap::new()), } } pub async fn get_orders(&self, pair: &CurrencyPair) -> Vec<BackTestOrderEntry> { self.orders .read() .await .values() .filter(|order| order.pair == *pair) .cloned() .collect() } pub async fn get_orders_by_side(&self, pair: &CurrencyPair, side: FdrOrderSide) -> Vec<BackTestOrderEntry> { self.orders .read() .await .values() .filter(|order| order.side == side && order.pair == *pair) .cloned() .collect() } pub async fn get_all_orders(&self) -> Vec<BackTestOrderEntry> { self.orders.read().await.values().cloned().collect() } pub async fn is_empty(&self) -> bool { self.orders.read().await.is_empty() } pub async fn get_order(&self, id: &Uuid) -> Option<BackTestOrderEntry> { self.orders.read().await.get(id).copied() } pub async fn clear(&self) { self.orders.write().await.clear(); } pub async fn add_order(&self, order: BackTestOrderEntry) -> Option<BackTestOrderEntry> { self.orders.write().await.insert(order.id, order) } pub async fn remove_order(&self, id: &Uuid) -> Option<BackTestOrderEntry> { self.orders.write().await.remove(id) } pub async fn remove_pair_orders(&self, pair: &CurrencyPair) { self.orders.write().await.retain(|_, order| order.pair != *pair) } pub async fn update_order(&self, updated_order: BackTestOrderEntry) { if let Some(order) = self.orders.write().await.get_mut(&updated_order.id) { *order = updated_order; } } /// Used to update an order that has been placed asynchronously where the id is not known when requested. pub async fn update_async_order(&self, updated_order: BackTestOrderEntry, original_id: Uuid) { if let Some(order) = self.orders.write().await.get_mut(&original_id) { *order = updated_order; } } }
0
manager
/mono/crates/back_testing_service/src/manager/context.rs
use async_trait::async_trait; use prometheus::Registry; use slog::Logger; use std::{collections::HashMap, sync::Arc}; use crate::{error::BackTestingServiceError, manager::models::BackTestOrderManager, metrics::Metrics}; use config_generator::config::BackTestConfig; use fdr_common::{context::FdrServiceContext, crypto::assets::CurrencyPair, logging::default_logger}; use fdr_event::{channel::FdrEventChannel, events::FdrOrderTrade}; use fdr_store::core::pool::{init_postgres_pool_from_config, Pool}; use tokio::sync::RwLock; use uuid::Uuid; pub struct Context { pub config: BackTestConfig, pub logger: Logger, pub metrics: Metrics, pub mem_pool: Arc<Pool>, pub pg_pool: Arc<Pool>, pub pairs: Vec<CurrencyPair>, pub open_orders: BackTestOrderManager, pub closed_orders: BackTestOrderManager, pub trades: RwLock<HashMap<Uuid, FdrOrderTrade>>, pub event_consumer: Arc<FdrEventChannel>, pub event_producer: Arc<FdrEventChannel>, } #[async_trait] impl FdrServiceContext<BackTestConfig> for Context where BackTestConfig: serde::de::DeserializeOwned + Clone + Send + Sync + 'static, { type Context = Context; type Error = BackTestingServiceError; async fn from_config(config: BackTestConfig) -> Result<Self::Context, Self::Error> { let logger = default_logger(); let metrics = Metrics::new(config.metrics.prefix.as_str())?; let pg_pool = Arc::new(init_postgres_pool_from_config(&config.postgres).await?); let mem_pool = Arc::new(Pool::Memory); let pairs = config .strategy_manager .markets .iter() .flat_map(|(_, market)| market.keys().copied()) .collect::<Vec<CurrencyPair>>(); Ok(Self { config, logger, metrics, mem_pool, pg_pool, pairs, open_orders: Default::default(), closed_orders: Default::default(), trades: Default::default(), event_consumer: Arc::new(FdrEventChannel::new(100)), event_producer: Arc::new(FdrEventChannel::new(100)), }) } fn logger(&self) -> Logger { self.logger.clone() } fn metrics_registry(&self) -> Arc<Registry> { self.metrics.registry.clone() } }
0
exchange_adapter
/mono/crates/back_testing_service/src/exchange_adapter/mod.rs
use crate::manager::BackTestManager; use async_trait::async_trait; use exchange_client::{ error::ExchangeClientResult, realm::{ market::{ get_asset::GetAssetsResponse, get_book::GetBookResponse, get_pair::GetPairsResponse, ExchangeAdapterMarketTrait, }, user_data::{ get_balance::GetBalanceResponse, get_trade_volume::{GetTradeVolumeRequest, GetTradeVolumeResponse}, ExchangeAdapterUserDataTrait, }, }, }; use fdr_common::crypto::{ assets::{Asset, CurrencyPair, TradingAsset}, orders::OrderEntry, pairs::{FeeData, TradingPair}, }; use fdr_event::{events::FdrEvent, FdrEventProducer}; use std::{collections::HashMap, sync::Arc}; use strategy_manager::{ error::{StrategyManagerError, StrategyManagerResult}, exchange_adapter::StrategyManagerExchangeAdapterTrait, }; pub struct MockExchangeAdapter { mgr: Arc<BackTestManager>, } impl MockExchangeAdapter { pub fn new(mgr: Arc<BackTestManager>) -> Self { Self { mgr } } } #[async_trait] impl StrategyManagerExchangeAdapterTrait for MockExchangeAdapter { async fn noop(&self, pair: CurrencyPair) -> StrategyManagerResult<()> { if let Some(ticker) = self .mgr .next_ticker(&pair) .await .map_err(|e| StrategyManagerError::Noop(e.to_string()))? { self.mgr .check_for_trades(&ticker) .await .map_err(|e| StrategyManagerError::Noop(e.to_string()))?; self.mgr .ctx .event_producer .publish_fdr_event("backtest_ticker", None, &FdrEvent::Ticker(ticker)) .await .map_err(|e| StrategyManagerError::Noop(e.to_string()))?; self.mgr .store_data(false) .await .map_err(|e| StrategyManagerError::Noop(e.to_string()))?; } else { // Else here should mean we have no more records to process, dump to db info!(self.mgr.ctx.logger, "Archive data complete, storing data"); self.mgr .store_data(true) .await .map_err(|e| StrategyManagerError::Noop(e.to_string()))?; } Ok(()) } } #[async_trait] impl ExchangeAdapterUserDataTrait for MockExchangeAdapter { async fn get_balances(&self) -> ExchangeClientResult<GetBalanceResponse> { todo!() } async fn get_trade_volume(&self, _req: GetTradeVolumeRequest) -> ExchangeClientResult<GetTradeVolumeResponse> { let fees: HashMap<CurrencyPair, FeeData> = self .mgr .ctx .config .fees .iter() .map(|fee_info| { ( fee_info.pair, FeeData { fee: fee_info.fee, min_fee: Default::default(), max_fee: Default::default(), next_fee: None, next_volume: None, tier_volume: Default::default(), }, ) }) .collect(); Ok(GetTradeVolumeResponse { currency: Asset::Usd, volume: Default::default(), fees_maker: fees.clone(), fees, }) } async fn get_open_orders(&self) -> ExchangeClientResult<Vec<OrderEntry>> { Ok(self .mgr .ctx .open_orders .get_all_orders() .await .into_iter() .map(Into::into) .collect()) } } #[async_trait] impl ExchangeAdapterMarketTrait for MockExchangeAdapter { async fn get_asset(&self, asset: Asset) -> ExchangeClientResult<Option<TradingAsset>> { let asset = catalog::KRAKEN_ASSETS.get(&asset).cloned(); Ok(asset) } async fn get_assets(&self) -> ExchangeClientResult<GetAssetsResponse> { let assets = catalog::KRAKEN_ASSETS.clone(); Ok(GetAssetsResponse { assets }) } async fn get_pair(&self, pair: CurrencyPair) -> ExchangeClientResult<Option<TradingPair>> { let pair = catalog::KRAKEN_PAIRS.clone().get(&pair).cloned(); Ok(pair) } async fn get_pairs(&self) -> ExchangeClientResult<GetPairsResponse> { let resp = catalog::KRAKEN_PAIRS.clone(); Ok(GetPairsResponse { pairs: resp }) } async fn get_books(&self, _tpl_only: bool) -> ExchangeClientResult<GetBookResponse> { Ok(GetBookResponse { books: Default::default(), }) } async fn get_book(&self, _pair: CurrencyPair, _tpl_only: bool) -> ExchangeClientResult<Option<GetBookResponse>> { Ok(Some(GetBookResponse { books: Default::default(), })) } }
0
config
/mono/crates/back_testing_service/src/config/config-local.toml.tmpl
strategy_type = "MARKET_MAKER_ON_TICKER" run_id = "90d99ddf-ba11-480e-9a31-792670745053" state_strategy = "Database" [server] port = 3000 listen_address = "0.0.0.0" [postgres] hostname = "localhost" port = 5432 database = "trading-test" max_connections = 100 username = "trading-test" password = "trading-test" [metrics] prefix = "fdr" [[balances]] asset = "DOT" [balances.amount] available = "0" total = "0" [[balances]] asset = "USD" [balances.amount] available = "10000" total = "10000" [strategy_manager] use_market_balance = true back_test = true run_id = "90d99ddf-ba11-480e-9a31-792670745053" [[strategy_manager.strategies]] [strategy_manager.strategies.strategy.MarketMakerOnTicker] max_orders = 1 cancel_threshold = "0.0005" desired_profit = "0.0006" price_guard = "TvwapSimplifiedAverageCost" set_bid = "50" pair = "DOT_USD" exchange = "BACKTEST" strat_run_id = "90d99ddf-ba11-480e-9a31-792670745053" [[strategy_manager.strategies.subscribed_keys]] exchange = "BACKTEST" pairs = ["DOT_USD"] [strategy_manager.metrics] prefix = "fdr" [strategy_manager.server] port = 3000 listen_address = "0.0.0.0" [strategy_manager.tracing] level = "DEBUG" tempo_url = "http://localhost" tempo_port = 4317 service_name = "back_testing_service" [strategy_manager.notify_subscribers] ticker = true book = false order_cancelled = true trade = true alert = true order_placed = true order_error = true [strategy_manager.markets.BACKTEST.DOT_USD] vwap_decay_factor = 0.00001 vwap_history = 0 [strategy_manager.markets.BACKTEST.DOT_USD.ticker_delta] decay_factor = 0.001 ticker_start_time = "2023-12-01 18:37:13.287642Z" [strategy_manager.markets.BACKTEST.DOT_USD.ticker_delta.coefficient] time_window = 30 increase_by = "1" [strategy_manager.markets.BACKTEST.DOT_USD.volume_weights] profit_weight_scalar = "5.811629" balance_weight_scalar = "0.3923507" [strategy_manager.postgres] hostname = "localhost" port = 5432 database = "trading" max_connections = 10 username = "trading" password = "trading" [[fees]] pair = "DOT_USD" fee = "0" [tracing] level = "DEBUG" tempo_url = "http://localhost" tempo_port = 4317 service_name = "back_testing_service" [ticker_data] generate = false generator_seed = 1337 interval = 1 start_time = 1701392400 end_time = 1701565200 exchange = "BACKTEST" pairs = ["DOT/USD"]
0
technical_analysis
/mono/crates/technical_analysis/Cargo.toml
[package] name = "technical_analysis" version.workspace = true edition.workspace = true # See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html [dependencies] fdr-common = { path = "../fdr_common" } async-trait = { workspace = true } chrono = { workspace = true, features = ["serde"] } clap = { workspace = true, features = ["derive", "env", "cargo"] } derive_more = { workspace = true } lazy_static = { workspace = true } http = { workspace = true } http-body = { workspace = true } hyper = { workspace = true } rust_decimal = { workspace = true, features = ["serde", "db-postgres"] } rust_decimal_macros = { workspace = true } serde = { workspace = true, features = ["derive"] } serde_json = { workspace = true } slog = { workspace = true, features = ["max_level_trace"] } strum = { workspace = true, features = ["derive"] } strum_macros = { workspace = true } sqlx = { workspace = true, features = [ "runtime-tokio-native-tls", "postgres", "json", "migrate", "time", "uuid", "rust_decimal", ] } prometheus = { workspace = true } thiserror = { workspace = true } tokio = { workspace = true, features = ["full"] } tracing = { workspace = true, default-features = false, features = [ "std", "attributes", ] } tracing-opentelemetry = { workspace = true, default-features = true } toml = { workspace = true } url = { workspace = true } uuid = { workspace = true, features = ["v4", "fast-rng", "serde"] }
0
src
/mono/crates/technical_analysis/src/value.rs
use derive_more::Display; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use strum_macros::EnumIter; use crate::error::IndicatorError; #[derive(Display, Debug, EnumIter, Serialize, Deserialize, Hash, Eq, PartialEq, Clone, Copy)] pub enum IndicatorSymbol { #[serde(rename = "sma")] #[display(fmt = "sma")] SimpleMovingAverage, #[serde(rename = "ema")] #[display(fmt = "ema")] ExponentialMovingAverage, #[serde(rename = "rsi")] #[display(fmt = "rsi")] RelativeStrengthIndex, #[serde(rename = "stddev")] #[display(fmt = "stddev")] StandardDeviation, #[serde(rename = "stdprc")] #[display(fmt = "stdprc")] StandardDeviationPercent, #[serde(rename = "vwap")] #[display(fmt = "vwap")] VolumeWeightedAveragePrice, } /// IndicatorValue provides a statically typed way to return multiple types. This greatly simplifies our types, and /// makes serialization and deserialization easier. #[derive(Display, Debug, Serialize, Deserialize, PartialEq, Clone, Copy)] pub enum IndicatorValue { Decimal(Decimal), Bool(bool), None, } /// From into Option<T> allows the caller to handle the invalid type conversion and chose whether to return an error /// or assume a default if the returned value is None. impl From<IndicatorValue> for Option<Decimal> { fn from(value: IndicatorValue) -> Self { match value { IndicatorValue::Decimal(d) => Some(d), _ => None, } } } /// TryFrom into T formats the error for the caller if they know they always want to return an error if the conversion /// fails (they do not want to assume a default value). impl TryFrom<IndicatorValue> for Decimal { type Error = IndicatorError; fn try_from(value: IndicatorValue) -> Result<Self, Self::Error> { Option::<Decimal>::from(value) .ok_or_else(|| IndicatorError::InvalidTypeConversion(value, "Decimal".to_string())) } }
0
src
/mono/crates/technical_analysis/src/error.rs
use fdr_common::exchange::Market; use std::sync::PoisonError; use thiserror::Error; use crate::{ period::Period, value::{IndicatorSymbol, IndicatorValue}, }; pub type IndicatorResult<T> = Result<T, IndicatorError>; #[derive(Error, Debug)] pub enum IndicatorError { #[error("Market not configured in registry: {0}")] RegistryMissingMarket(Market), #[error("Indicator `{1}` not configured for market: {0}")] RegistryMissingIndicator(Market, IndicatorSymbol), #[error("Error retrieving cached indicator value")] CacheMiss, #[error("Lock poisoned: {0}")] LockPoisoned(String), #[error("No tickers provided for market {0} period {1}")] NoTickersProvided(Market, Period), #[error("Invalid type conversion. Tried to convert {0} in {1}")] InvalidTypeConversion(IndicatorValue, String), #[error("Ticker is missing last price for market {0} period {1}")] NoTickerLastPrice(Market, Period), } impl<T> From<PoisonError<T>> for IndicatorError { fn from(value: PoisonError<T>) -> Self { IndicatorError::LockPoisoned(value.to_string()) } }
0
src
/mono/crates/technical_analysis/src/registry.rs
use crate::{ error::IndicatorResult, indicators::{cache::CachedIndicator, IndicatorTrait}, period::Period, value::{IndicatorSymbol, IndicatorValue}, }; use fdr_common::{exchange::Market, ticker::ticker_buffer::TickerBuffer}; use std::{collections::HashMap, sync::Arc}; use strum::IntoEnumIterator; use tokio::sync::RwLock; pub type RegistryType = HashMap<Market, HashMap<IndicatorSymbol, CachedIndicator>>; #[derive(Default)] pub struct IndicatorRegistry { pub(crate) registry: RegistryType, } impl IndicatorRegistry { pub fn new() -> Self { Self::default() } pub fn register(&mut self, market: Market, indicator: Box<dyn IndicatorTrait>) { self.registry .entry(market) .or_default() .insert(indicator.symbol(), CachedIndicator::new(indicator)); } pub async fn update_market_indicators( &self, market: Market, tickers: Arc<RwLock<TickerBuffer>>, ) -> IndicatorResult<HashMap<IndicatorSymbol, HashMap<Period, IndicatorValue>>> { let mut res = HashMap::new(); let Some(market_registry) = self.registry.get(&market) else { return Ok(res); }; let ticker_buffer = tickers.read().await; for period in Period::iter() { // Retrieve the set of tickers once per period let tickers: Vec<_> = ticker_buffer.range_in_past(period).collect(); for (symbol, indicator) in market_registry.iter() { let value = indicator.calculate(&self.registry, &market, period, &tickers)?; // Store the updated value in the `res` map of symbol -> period -> value res.entry(*symbol).or_insert_with(HashMap::new).insert(period, value); } } Ok(res) } }
0
src
/mono/crates/technical_analysis/src/period.rs
use chrono::Duration; use derive_more::Display; use lazy_static::lazy_static; use strum_macros::EnumIter; lazy_static! { static ref MINUTE1: Duration = Duration::minutes(1); static ref MINUTE3: Duration = Duration::minutes(3); static ref MINUTE5: Duration = Duration::minutes(5); static ref MINUTE15: Duration = Duration::minutes(15); static ref MINUTE30: Duration = Duration::minutes(30); static ref HOUR1: Duration = Duration::hours(1); static ref HOUR2: Duration = Duration::hours(2); static ref HOUR4: Duration = Duration::hours(4); static ref HOUR6: Duration = Duration::hours(6); static ref HOUR12: Duration = Duration::hours(12); static ref DAY1: Duration = Duration::days(1); static ref DAY3: Duration = Duration::days(3); static ref WEEK1: Duration = Duration::weeks(1); static ref WEEK3: Duration = Duration::weeks(3); static ref MONTH1: Duration = Duration::weeks(4); } /// The periods used for the indicators. These are the same as the periods used in the Kraken platform. /// All values are in seconds. #[derive( Debug, Clone, Copy, EnumIter, Hash, Display, PartialEq, Eq, serde::Serialize, serde::Deserialize, sqlx::Type, )] pub enum Period { #[display(fmt = "1m")] Minute1, #[display(fmt = "3m")] Minute3, #[display(fmt = "5m")] Minute5, #[display(fmt = "15m")] Minute15, #[display(fmt = "30m")] Minute30, #[display(fmt = "1h")] Hour1, #[display(fmt = "2h")] Hour2, #[display(fmt = "4h")] Hour4, #[display(fmt = "6h")] Hour6, #[display(fmt = "12h")] Hour12, #[display(fmt = "1d")] Day1, #[display(fmt = "3d")] Day3, #[display(fmt = "1w")] Week1, #[display(fmt = "3w")] Week3, #[display(fmt = "4w")] Month1, } impl Period { pub fn as_duration(&self) -> Duration { match self { Period::Minute1 => *MINUTE1, Period::Minute3 => *MINUTE3, Period::Minute5 => *MINUTE5, Period::Minute15 => *MINUTE15, Period::Minute30 => *MINUTE30, Period::Hour1 => *HOUR1, Period::Hour2 => *HOUR2, Period::Hour4 => *HOUR4, Period::Hour6 => *HOUR6, Period::Hour12 => *HOUR12, Period::Day1 => *DAY1, Period::Day3 => *DAY3, Period::Week1 => *WEEK1, Period::Week3 => *WEEK3, Period::Month1 => *MONTH1, } } } impl From<Period> for Duration { fn from(value: Period) -> Self { value.as_duration() } }
0
src
/mono/crates/technical_analysis/src/lib.rs
pub mod error; pub mod indicators; pub mod period; pub mod registry; pub mod value;
0
indicators
/mono/crates/technical_analysis/src/indicators/cache.rs
use crate::{ error::IndicatorResult, indicators::IndicatorTrait, period::Period, registry::RegistryType, value::{IndicatorSymbol, IndicatorValue}, }; use chrono::{DateTime, Utc}; use fdr_common::{exchange::Market, ticker::FdrTickerUpdate}; use std::{collections::HashMap, sync::RwLock}; const DATETIME_ZERO: DateTime<Utc> = DateTime::from_timestamp_nanos(0); pub struct CachedIndicator { target: Box<dyn IndicatorTrait>, values: RwLock<HashMap<Period, (DateTime<Utc>, IndicatorValue)>>, } impl CachedIndicator { pub fn new(target: Box<dyn IndicatorTrait>) -> Self { Self { target, values: RwLock::new(HashMap::new()), } } } impl IndicatorTrait for CachedIndicator { fn calculate( &self, registry: &RegistryType, market: &Market, period: Period, tickers: &[&FdrTickerUpdate], ) -> IndicatorResult<IndicatorValue> { let newest_timestamp = tickers.first().map_or(DATETIME_ZERO, |ticker| ticker.timestamp); // Determine if the timestamp is newer than our last update let mut values = self.values.write()?; let (last_updated, value) = values.entry(period).or_insert((DATETIME_ZERO, IndicatorValue::None)); if newest_timestamp > *last_updated { *value = self.target.calculate(registry, market, period, tickers)?; *last_updated = newest_timestamp; Ok(*value) } else { Ok(*value) } } fn description(&self) -> &'static str { self.target.description() } fn symbol(&self) -> IndicatorSymbol { self.target.symbol() } }
0
indicators
/mono/crates/technical_analysis/src/indicators/standard_deviation.rs
use crate::{ error::IndicatorResult, indicators::{IndicatorTrait, IndicatorValue}, period::Period, registry::RegistryType, value::IndicatorSymbol, }; use fdr_common::{exchange::Market, ticker::FdrTickerUpdate}; use rust_decimal::{Decimal, MathematicalOps}; use rust_decimal_macros::dec; pub struct StandardDeviation; /// Standard Deviation is a measure of the amount of variation or dispersion of a set of values. /// A low standard deviation indicates that the values tend to be close to the mean of the set, /// while a high standard deviation indicates that the values are spread out over a wider range. /// std_dev = sqrt((sum(x - mean)^2) / count) fn calculate_standard_deviation(tickers: &[&FdrTickerUpdate]) -> Decimal { // TODO: Change this to be a normalized standard deviation let count = Decimal::from(tickers.len()); if count < dec!(2) { return Decimal::ZERO; } let mean = tickers.iter().map(|ticker| ticker.last_price()).sum::<Decimal>() / count; let sum_of_squared_diff = tickers.iter().map(|p| (p.last_price() - mean).powi(2)).sum::<Decimal>(); (sum_of_squared_diff / (count - Decimal::ONE)) .sqrt() .unwrap_or_default() } impl IndicatorTrait for StandardDeviation { fn calculate( &self, _registry: &RegistryType, _market: &Market, _period: Period, tickers: &[&FdrTickerUpdate], ) -> IndicatorResult<IndicatorValue> { Ok(IndicatorValue::Decimal( calculate_standard_deviation(tickers) .round_dp_with_strategy(6, rust_decimal::RoundingStrategy::MidpointAwayFromZero), )) } fn description(&self) -> &'static str { "Standard Deviation is a measure of the amount of variation or dispersion of a set of values. \ A low standard deviation indicates that the values tend to be close to the mean of the set, \ while a high standard deviation indicates that the values are spread out over a wider range." } fn symbol(&self) -> IndicatorSymbol { IndicatorSymbol::StandardDeviation } }
0
indicators
/mono/crates/technical_analysis/src/indicators/mod.rs
use crate::{ error::IndicatorResult, period::Period, registry::RegistryType, value::{IndicatorSymbol, IndicatorValue}, }; use fdr_common::{exchange::Market, ticker::FdrTickerUpdate}; pub mod cache; pub mod exponential_moving_average; pub mod relative_strength_index; pub mod simple_moving_average; pub mod standard_deviation; pub mod stdprc; pub mod vwap; pub use cache::*; pub use exponential_moving_average::*; pub use relative_strength_index::*; pub use simple_moving_average::*; pub use standard_deviation::*; pub use stdprc::*; pub trait IndicatorTrait: Send + Sync { fn calculate( &self, registry: &RegistryType, market: &Market, period: Period, tickers: &[&FdrTickerUpdate], ) -> IndicatorResult<IndicatorValue>; fn description(&self) -> &'static str; fn symbol(&self) -> IndicatorSymbol; } #[cfg(test)] mod tests { use crate::{ indicators::{ ExponentialMovingAverage, RelativeStrengthIndex, SimpleMovingAverage, StandardDeviation, StandardDeviationPercent, }, period::Period, registry::IndicatorRegistry, value::{IndicatorSymbol, IndicatorValue}, }; use chrono::Utc; use fdr_common::{ crypto::assets::{Asset, CurrencyPair}, exchange::{Exchange, Market}, ticker::{ticker_buffer::TickerBuffer, FdrTickerUpdate}, }; use rust_decimal::Decimal; use rust_decimal_macros::dec; use std::{sync::Arc, time::Duration}; use tokio::sync::RwLock; pub fn get_mock_tickers() -> TickerBuffer { let now = Utc::now(); let mut ticker_buffer = TickerBuffer::new(Period::Month1.as_duration()); ticker_buffer.push(get_mock_ticker( now - Period::Minute30.as_duration() + Duration::from_secs(2), dec!(5.34), )); ticker_buffer.push(get_mock_ticker( now - Period::Minute15.as_duration() + Duration::from_secs(2), dec!(5.45), )); ticker_buffer.push(get_mock_ticker( (now - Period::Minute15.as_duration()) + Duration::from_secs(4), dec!(5.35), )); ticker_buffer.push(get_mock_ticker( now - Period::Minute5.as_duration() + Duration::from_secs(2), dec!(5.41), )); ticker_buffer.push(get_mock_ticker( now - Period::Minute5.as_duration() + Duration::from_secs(3), dec!(5.23), )); ticker_buffer } pub fn get_mock_ticker(timestamp: chrono::DateTime<Utc>, price: Decimal) -> FdrTickerUpdate { FdrTickerUpdate { exchange: Exchange::Kraken, pair: CurrencyPair::new(Asset::Dot, Asset::Usd), timestamp, chan_id: 0, bid: None, bid_size: None, ask: None, ask_size: None, last_price: Some(price), last_price_volume: None, low: None, high: None, volume: None, low_24: None, high_24: None, volume_24: None, } } #[tokio::test] async fn test_market_indicators() { let market = Market { exchange: Exchange::Kraken, pair: CurrencyPair::new(Asset::Dot, Asset::Usd), }; let mut market_registry = IndicatorRegistry::new(); market_registry.register(market, Box::new(SimpleMovingAverage {})); market_registry.register(market, Box::new(ExponentialMovingAverage {})); market_registry.register(market, Box::new(StandardDeviation {})); market_registry.register(market, Box::new(RelativeStrengthIndex {})); market_registry.register(market, Box::new(StandardDeviationPercent {})); let tickers = Arc::new(RwLock::new(get_mock_tickers())); let res = market_registry.update_market_indicators(market, tickers).await.unwrap(); // Check the updated values themselves for (symbol, updated_values) in res.iter() { match symbol { IndicatorSymbol::SimpleMovingAverage => { assert_eq!( updated_values.get(&Period::Minute15).unwrap(), &IndicatorValue::Decimal(dec!(5.36)) ); } IndicatorSymbol::ExponentialMovingAverage => { assert_eq!( updated_values.get(&Period::Minute15).unwrap(), &IndicatorValue::Decimal(dec!(5.318560)) ); } IndicatorSymbol::StandardDeviation => { assert_eq!( updated_values.get(&Period::Minute15).unwrap(), &IndicatorValue::Decimal(dec!(0.095917)) ); } IndicatorSymbol::RelativeStrengthIndex => { assert_eq!( updated_values.get(&Period::Minute15).unwrap(), &IndicatorValue::Decimal(dec!(82.352941)) ); } IndicatorSymbol::StandardDeviationPercent => { assert_eq!( updated_values.get(&Period::Minute15).unwrap(), &IndicatorValue::Decimal(dec!(0.017599)) ) } } } } }
0
indicators
/mono/crates/technical_analysis/src/indicators/stdprc.rs
use super::IndicatorTrait; use crate::error::{IndicatorError, IndicatorResult}; use crate::period::Period; use crate::registry::RegistryType; use crate::value::{IndicatorSymbol, IndicatorValue}; use fdr_common::exchange::Market; use fdr_common::ticker::FdrTickerUpdate; use rust_decimal::{Decimal, RoundingStrategy}; /// The `StandardDeviationPercent` struct represents an indicator for measuring the /// volatility of security prices. It does this by comparing the standard deviation /// of prices within a specified period to the last price, giving a relative measure /// of deviation as a percentage. This is useful for traders and analysts to gauge /// the level of price fluctuations relative to the recent price. pub struct StandardDeviationPercent; impl IndicatorTrait for StandardDeviationPercent { fn calculate( &self, registry: &RegistryType, market: &Market, period: Period, tickers: &[&FdrTickerUpdate], ) -> IndicatorResult<IndicatorValue> { // Retrieve the standard deviation indicator from the registry let stddev_indicator = registry .get(market) .ok_or(IndicatorError::RegistryMissingMarket(*market))? .get(&IndicatorSymbol::StandardDeviation) .ok_or(IndicatorError::RegistryMissingIndicator( *market, IndicatorSymbol::StandardDeviation, ))?; // Calculate the standard deviation for the given tickers let stddev_value = stddev_indicator.calculate(registry, market, period, tickers)?; let last_price = tickers .first() .ok_or(IndicatorError::NoTickersProvided(*market, period))? .last_price .ok_or(IndicatorError::NoTickerLastPrice(*market, period))?; let stddev: Decimal = stddev_value.try_into()?; // Calculate the standard deviation as a percentage of the last price let stddev_percent = (stddev / last_price).round_dp_with_strategy(6, RoundingStrategy::MidpointAwayFromZero); // Return the result as an IndicatorValue Ok(IndicatorValue::Decimal(stddev_percent)) } fn description(&self) -> &'static str { "Standard Deviation as a percentage of the last price. This indicator measures the volatility of security \ prices by comparing the standard deviation of prices within a specified period to the last price, providing a \ relative measure of deviation as a percentage." } fn symbol(&self) -> IndicatorSymbol { IndicatorSymbol::StandardDeviationPercent } }
0
indicators
/mono/crates/technical_analysis/src/indicators/exponential_moving_average.rs
use crate::{ error::IndicatorResult, indicators::{IndicatorTrait, IndicatorValue}, period::Period, registry::RegistryType, value::IndicatorSymbol, }; use fdr_common::{exchange::Market, ticker::FdrTickerUpdate}; use rust_decimal::Decimal; use rust_decimal_macros::dec; /// Exponential Moving Average is a type of moving average that places a greater weight and /// significance on the most recent data points. The exponential moving average is also referred /// to as the exponentially weighted moving average. An exponentially weighted moving average is /// a moving average for time-series data that places more weight on recent observations. fn calculate_exponential_moving_average(tickers: &[&FdrTickerUpdate]) -> Decimal { let count = tickers.len(); let count = Decimal::from(count); if count == Decimal::ZERO { return Decimal::ZERO; } // Find the SMA for prices minus the last price let sma = tickers.iter().map(|ticker| ticker.last_price()).sum::<Decimal>() / count; let initial_ema = sma; // Calculate the smoothing factor let alpha = dec!(2) / (count + Decimal::ONE); let mut ema = initial_ema; for &ticker in tickers.iter().skip(1) { ema = alpha * ticker.last_price() + (Decimal::ONE - alpha) * ema; } ema } pub struct ExponentialMovingAverage; impl IndicatorTrait for ExponentialMovingAverage { fn calculate( &self, _registry: &RegistryType, _market: &Market, _period: Period, tickers: &[&FdrTickerUpdate], ) -> IndicatorResult<IndicatorValue> { Ok(IndicatorValue::Decimal( calculate_exponential_moving_average(tickers) .round_dp_with_strategy(6, rust_decimal::RoundingStrategy::MidpointAwayFromZero), )) } fn description(&self) -> &'static str { "Exponential Moving Average is a type of moving average that places a greater weight and \ significance on the most recent data points. The exponential moving average is also referred \ to as the exponentially weighted moving average. An exponentially weighted moving average is \ a moving average for time-series data that places more weight on recent observations." } fn symbol(&self) -> IndicatorSymbol { IndicatorSymbol::ExponentialMovingAverage } }
0
indicators
/mono/crates/technical_analysis/src/indicators/vwap.rs
use crate::{ error::IndicatorResult, indicators::{IndicatorTrait, IndicatorValue}, period::Period, registry::RegistryType, value::IndicatorSymbol, }; use fdr_common::{exchange::Market, ticker::FdrTickerUpdate}; use rust_decimal::Decimal; pub struct VWAPIndicator; /// Volume Weighted Average Price is a technical analysis tool that calculates the average price /// of a security over a given period, taking into account the volume traded during that period. fn calculate_vwap(tickers: &[&FdrTickerUpdate]) -> Decimal { let mut sum_prices = Decimal::ZERO; let mut sum_volume = Decimal::ZERO; for ticker in tickers { sum_prices += ticker.last_price() * Decimal::from(ticker.volume); sum_volume += Decimal::from(ticker.volume); } if sum_volume == Decimal::ZERO { return Decimal::ZERO; } sum_prices / sum_volume } impl IndicatorTrait for VWAPIndicator { fn calculate( &self, _registry: &RegistryType, _market: &Market, _period: Period, tickers: &[&FdrTickerUpdate], ) -> IndicatorResult<IndicatorValue> { Ok(IndicatorValue::Decimal( calculate_vwap(tickers) .round_dp_with_strategy(6, rust_decimal::RoundingStrategy::MidpointAwayFromZero), )) } fn description(&self) -> &'static str { "Volume Weighted Average Price is a technical analysis tool that calculates the average \ price of a security over a given period, taking into account the volume traded during that period." } fn symbol(&self) -> IndicatorSymbol { IndicatorSymbol::VolumeWeightedAveragePrice } }
0
indicators
/mono/crates/technical_analysis/src/indicators/simple_moving_average.rs
use crate::{ error::IndicatorResult, indicators::{IndicatorTrait, IndicatorValue}, period::Period, registry::RegistryType, value::IndicatorSymbol, }; use fdr_common::{exchange::Market, ticker::FdrTickerUpdate}; use rust_decimal::Decimal; pub struct SimpleMovingAverage; /// Simple Moving Average is a technical analysis tool that smooths out price data by creating a /// constantly updated average price. The average is taken over a specific period of time. /// sma = sum(prices) / count fn calculate_simple_moving_average(tickers: &[&FdrTickerUpdate]) -> Decimal { let count = Decimal::from(tickers.len()); if count == Decimal::ZERO { return Decimal::ZERO; } tickers.iter().map(|ticker| ticker.last_price()).sum::<Decimal>() / count } impl IndicatorTrait for SimpleMovingAverage { fn calculate( &self, _registry: &RegistryType, _market: &Market, _period: Period, tickers: &[&FdrTickerUpdate], ) -> IndicatorResult<IndicatorValue> { Ok(IndicatorValue::Decimal( calculate_simple_moving_average(tickers) .round_dp_with_strategy(6, rust_decimal::RoundingStrategy::MidpointAwayFromZero), )) } fn description(&self) -> &'static str { "Simple Moving Average is a technical analysis tool that smooths out price data by \ creating a constantly updated average price. The average is taken over a specific period of time." } fn symbol(&self) -> IndicatorSymbol { IndicatorSymbol::SimpleMovingAverage } }
0
indicators
/mono/crates/technical_analysis/src/indicators/relative_strength_index.rs
use crate::{ error::IndicatorResult, indicators::{IndicatorTrait, IndicatorValue}, period::Period, registry::RegistryType, value::IndicatorSymbol, }; use fdr_common::{exchange::Market, ticker::FdrTickerUpdate}; use rust_decimal::Decimal; pub struct RelativeStrengthIndex; /// Relative Strength Index is a momentum oscillator that measures the speed and change of price /// movements. RSI oscillates between zero and 100. Traditionally and according to Wilder, RSI is /// considered overbought when above 70 and oversold when below 30. /// rsi = 100 - (100 / (1 + avg_gain / avg_loss)) /// avg_gain = sum(gains) / period_len /// avg_loss = sum(losses) / period_len /// gain = price[i] - price[i - 1] if price[i] > price[i - 1] else 0 /// loss = price[i - 1] - price[i] if price[i] < price[i - 1] else 0 /// period_len = prices.len() - 1 /// https://www.investopedia.com/terms/r/rsi.asp fn calculate_relative_price_index(tickers: &[&FdrTickerUpdate]) -> Decimal { // Ensure tickers are in ascending order let tickers: Vec<_> = tickers.iter().rev().collect(); let period_len = tickers.len(); if period_len < 2 { return Decimal::ZERO; } let mut gains_losses: Vec<(Decimal, Decimal)> = Vec::new(); for i in 1..period_len { let gain = if tickers[i].last_price > tickers[i - 1].last_price { tickers[i].last_price() - tickers[i - 1].last_price() } else { Decimal::ZERO }; let loss = if tickers[i].last_price < tickers[i - 1].last_price { tickers[i - 1].last_price() - tickers[i].last_price() } else { Decimal::ZERO }; gains_losses.push((gain, loss)); } let avg_gain: Decimal = gains_losses.iter().map(|(gain, _)| *gain).sum::<Decimal>() / Decimal::from(period_len - 1); let avg_loss: Decimal = gains_losses.iter().map(|(_, loss)| *loss).sum::<Decimal>() / Decimal::from(period_len - 1); // RS = avg_gain / avg_loss let rs = if avg_loss == Decimal::ZERO { Decimal::ZERO } else { avg_gain / avg_loss }; // RSI = 100 - (100 / (1 + RS)) Decimal::ONE_HUNDRED - (Decimal::ONE_HUNDRED / (Decimal::ONE + rs)) } impl IndicatorTrait for RelativeStrengthIndex { fn calculate( &self, _registry: &RegistryType, _market: &Market, _period: Period, tickers: &[&FdrTickerUpdate], ) -> IndicatorResult<IndicatorValue> { Ok(IndicatorValue::Decimal( calculate_relative_price_index(tickers) .round_dp_with_strategy(6, rust_decimal::RoundingStrategy::MidpointAwayFromZero), )) } fn description(&self) -> &'static str { "Relative Strength Index is a momentum oscillator that measures the speed and change of price \ movements. RSI oscillates between zero and 100. Traditionally and according to Wilder, RSI is \ considered overbought when above 70 and oversold when below 30." } fn symbol(&self) -> IndicatorSymbol { IndicatorSymbol::RelativeStrengthIndex } }
0
price_guard
/mono/crates/price_guard/Cargo.toml
[package] name = "price_guard" version.workspace = true edition.workspace = true # See more keys and their definitions at https://doc.rust-lang.org/cargo/reference/manifest.html [dependencies] fdr-common = { path = "../fdr_common" } fdr-store = { path = "../fdr_store" } async-trait = { workspace = true } rust_decimal = { workspace = true, features = ["serde", "db-postgres"] } serde = { workspace = true } uuid = { workspace = true } thiserror = { workspace = true } chrono = { workspace = true }
0
src
/mono/crates/price_guard/src/bucket.rs
use crate::{error::PriceGuardResult, PriceGuardTrait}; use async_trait::async_trait; use fdr_common::crypto::orders::FdrOrderSide; use fdr_store::trades::models::TradeDto; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use std::collections::BTreeMap; #[derive(Debug, Clone, Serialize, Deserialize, PartialEq)] pub struct Bucket { pub buys: BTreeMap<Decimal, Decimal>, pub avg_buy: Decimal, pub sells: BTreeMap<Decimal, Decimal>, pub avg_sell: Decimal, } impl Bucket { pub fn new(buys: BTreeMap<Decimal, Decimal>, sells: BTreeMap<Decimal, Decimal>) -> Self { Self { buys, avg_buy: Default::default(), sells, avg_sell: Default::default(), } } fn calculate_averages(&mut self) -> (Decimal, Decimal) { let (total_value_buy, total_volume_buy) = self.buys.iter().fold( (Decimal::ZERO, Decimal::ZERO), |(total_value, total_volume), (price, volume)| (total_value + price * volume, total_volume + volume), ); let buy_avg = if total_volume_buy == Decimal::ZERO { Decimal::ZERO } else { total_value_buy / total_volume_buy }; let (total_value_sell, total_volume_sell) = self.sells.iter().fold( (Decimal::ZERO, Decimal::ZERO), |(total_value, total_volume), (price, volume)| (total_value + price * volume, total_volume + volume), ); let sell_avg = if total_volume_sell == Decimal::ZERO { Decimal::ZERO } else { total_value_sell / total_volume_sell }; self.avg_buy = buy_avg; self.avg_sell = sell_avg; (buy_avg, sell_avg) } pub fn add_entry(&mut self, trade: &TradeDto) { let mut remaining_volume = trade.volume; let mut to_be_removed = Vec::new(); let mut to_be_updated = Vec::new(); match trade.order_side { FdrOrderSide::Sell => { if let Some(existing_volume) = self.sells.get_mut(&trade.price) { *existing_volume += trade.volume; } else { self.sells.insert(trade.price, trade.volume); }; for (price, volume) in self.buys.iter() { if remaining_volume > Decimal::ZERO { if volume >= &remaining_volume { to_be_updated.push((*price, volume - remaining_volume)); break; } else { remaining_volume -= *volume; to_be_removed.push(*price); } } else { break; } } for price in to_be_removed { self.buys.remove(&price); } for (price, new_volume) in to_be_updated { if let Some(volume) = self.buys.get_mut(&price) { *volume = new_volume; } } } FdrOrderSide::Buy => { if let Some(existing_volume) = self.buys.get_mut(&trade.price) { *existing_volume += trade.volume; Some(*existing_volume) } else { self.buys.insert(trade.price, trade.volume); Some(trade.volume) }; for (price, volume) in self.sells.iter().rev() { if remaining_volume > Decimal::ZERO { if volume >= &remaining_volume { to_be_updated.push((*price, volume - remaining_volume)); break; } else { remaining_volume -= *volume; to_be_removed.push(*price); } } else { break; } } for price in to_be_removed { self.sells.remove(&price); } for (price, new_volume) in to_be_updated { if let Some(volume) = self.sells.get_mut(&price) { *volume = new_volume; } } } } self.calculate_averages(); } } #[async_trait] impl PriceGuardTrait for Bucket { async fn apply_trade(&mut self, trade: &TradeDto) -> PriceGuardResult<()> { self.add_entry(trade); Ok(()) } async fn get_min_sell_price(&self) -> PriceGuardResult<Option<Decimal>> { Ok(Some(self.avg_buy)) } async fn get_max_buy_price(&self) -> PriceGuardResult<Option<Decimal>> { Ok(Some(self.avg_sell)) } }
0
src
/mono/crates/price_guard/src/average.rs
use crate::{error::PriceGuardResult, PriceGuardTrait}; use async_trait::async_trait; use fdr_common::crypto::assets::CurrencyPair; use fdr_store::{core::pool::Pool, metrics::MetricsStore, trades::models::TradeDto}; use rust_decimal::Decimal; use std::sync::Arc; use uuid::Uuid; /// A guard that uses the average price of each side of the trade history to determine the min sell /// and max buy prices. /// /// The exception to this is the `simple` flag, which will cause the guard to only use the max buy /// price. As this means we allow the bot to buy freely, but the sell price should be above the `average_cost`. #[derive(Clone, Debug)] pub struct AveragePriceGuard { /// Whether to use the simple mode. simple: bool, /// The `run_id` for the current strat run. run_id: Uuid, /// The currency pair to guard. pair: CurrencyPair, /// The pool to use for acquiring the metrics. pool: Arc<Pool>, } impl AveragePriceGuard { /// Create a new `AveragePriceGuard`. pub fn new(pool: Arc<Pool>, run_id: Uuid, pair: CurrencyPair, simple: bool) -> Self { Self { simple, run_id, pair, pool, } } } #[async_trait] impl PriceGuardTrait for AveragePriceGuard { async fn apply_trade(&mut self, _trade: &TradeDto) -> PriceGuardResult<()> { Ok(()) } async fn get_min_sell_price(&self) -> PriceGuardResult<Option<Decimal>> { if !self.simple { Ok(self .pool .acquire() .await? .get_last_trade_metrics(&self.run_id, &self.pair.base(), &self.pair.quote()) .await? .map(|latest_trade_metrics| latest_trade_metrics.average_sell)) } else { Ok(None) } } async fn get_max_buy_price(&self) -> PriceGuardResult<Option<Decimal>> { Ok(self .pool .acquire() .await? .get_last_trade_metrics(&self.run_id, &self.pair.base(), &self.pair.quote()) .await? .map(|latest_trade_metrics| latest_trade_metrics.average_cost)) } }
0
src
/mono/crates/price_guard/src/error.rs
use thiserror::Error; #[derive(Error, Debug)] pub enum PriceGuardError { #[error(transparent)] FdrStore(#[from] fdr_store::error::FdrStoreError), } pub type PriceGuardResult<T> = Result<T, PriceGuardError>;
0
src
/mono/crates/price_guard/src/static_guard.rs
use crate::{error::PriceGuardResult, PriceGuardTrait}; use async_trait::async_trait; use fdr_store::trades::models::TradeDto; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; #[derive(Clone, Debug, PartialEq, Serialize, Deserialize)] pub struct StaticPriceGuardConfig { pub min_sell_price: Decimal, pub max_buy_price: Decimal, } /// Static price guard. This guard is used to set a static min sell price and max buy price. This /// type of guard would be set for things like stable pairs where we can guarantee a certain price /// range. #[derive(Debug, Clone, Serialize, Deserialize, PartialEq)] pub struct StaticPriceGuard { config: StaticPriceGuardConfig, } impl StaticPriceGuard { pub fn new(config: StaticPriceGuardConfig) -> Self { Self { config } } } #[async_trait] impl PriceGuardTrait for StaticPriceGuard { async fn apply_trade(&mut self, _trade: &TradeDto) -> PriceGuardResult<()> { Ok(()) } async fn get_min_sell_price(&self) -> PriceGuardResult<Option<Decimal>> { Ok(Some(self.config.min_sell_price)) } async fn get_max_buy_price(&self) -> PriceGuardResult<Option<Decimal>> { Ok(Some(self.config.max_buy_price)) } }
0
src
/mono/crates/price_guard/src/tvwap.rs
use async_trait::async_trait; use std::{collections::VecDeque, f64::consts::E, sync::Arc}; use chrono::{DateTime, Utc}; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use uuid::Uuid; use crate::{error::PriceGuardResult, PriceGuardTrait}; use fdr_common::crypto::{ assets::{Asset, CurrencyPair}, orders::FdrOrderSide, }; use fdr_store::{ core::pool::Pool, trades::{models::TradeDto, TradeStore, TradesFilter}, }; #[derive(Debug, Clone, PartialEq, Serialize, Deserialize)] pub struct Vwap { pub base: Asset, pub quote: Asset, pub side: FdrOrderSide, pub volume: Decimal, pub cost: Decimal, pub updated_at: DateTime<Utc>, } #[derive(Clone, Debug, PartialEq, Serialize, Deserialize)] pub struct TimeVolumeWeightedAveragePriceGuardConfig { /// The factor to which the time weight falls based on the age of the trade. /// i.e the older a trade is, the less weight it carries in the average. pub decay_factor: f64, pub last_ticker_time: Option<DateTime<Utc>>, pub init_history: i32, } /// MovingTvwaps track the time/volume weighted average for trades on each side. #[derive(Clone, Debug, PartialEq)] pub struct TimeVolumeWeightedAveragePriceGuard { /// The sell side time/volume weighted average sell: VecDeque<Vwap>, /// The buy side time/volume weighted average buy: VecDeque<Vwap>, last_ticker_time: DateTime<Utc>, simple: bool, config: TimeVolumeWeightedAveragePriceGuardConfig, } impl TimeVolumeWeightedAveragePriceGuard { pub async fn new( pool: Arc<Pool>, config: TimeVolumeWeightedAveragePriceGuardConfig, run_id: Uuid, pair: CurrencyPair, simple: bool, ) -> PriceGuardResult<Self> { let mut conn = pool.acquire().await?; let mut sells = VecDeque::new(); // Initialize the buy and sell sides with the initial history if !simple { sells = conn .get_trades(TradesFilter { pairs: Some(vec![pair]), limit: Some(config.init_history), exchange: None, run_id: Some(run_id), side: Some(FdrOrderSide::Sell), }) .await? .into_iter() .map(|trade| trade.into()) .collect(); } let buys = conn .get_trades(TradesFilter { pairs: Some(vec![pair]), limit: Some(config.init_history), exchange: None, run_id: Some(run_id), side: Some(FdrOrderSide::Buy), }) .await? .into_iter() .map(|trade| trade.into()) .collect(); Ok(Self { last_ticker_time: config.last_ticker_time.unwrap_or_else(Utc::now), config, sell: sells, buy: buys, simple, }) } pub fn apply_trade(&mut self, trade: &TradeDto) -> PriceGuardResult<()> { let vwap = Vwap::from(trade.clone()); match vwap.side { FdrOrderSide::Buy => { self.buy.push_back(vwap); } FdrOrderSide::Sell => { self.sell.push_back(vwap); } } Ok(()) } pub fn check_for_outdated_vwap_entries(&mut self, ticker_time: &DateTime<Utc>) { // Buy Side while let Some(vwap) = self.buy.front() { if get_time_weight(&vwap.updated_at, ticker_time, self.config.decay_factor) > self.config.decay_factor { break; } self.buy.pop_front(); } // Sell Side while let Some(vwap) = self.sell.front() { if get_time_weight(&vwap.updated_at, ticker_time, self.config.decay_factor) > self.config.decay_factor { break; } self.sell.pop_front(); } self.last_ticker_time = *ticker_time; } pub fn get_vwap(&self, side: FdrOrderSide) -> Decimal { match side { FdrOrderSide::Buy => calculate_tvwap(&self.buy, &self.last_ticker_time, self.config.decay_factor), FdrOrderSide::Sell => calculate_tvwap(&self.sell, &self.last_ticker_time, self.config.decay_factor), } } } /// This method calculates an exponentially decaying time weight fn get_time_weight(updated_at: &DateTime<Utc>, ticker_time: &DateTime<Utc>, decay_factor: f64) -> f64 { let time_difference_seconds = (*ticker_time - updated_at).num_seconds() as f64; let decay_exponent = -decay_factor * time_difference_seconds; E.powf(decay_exponent) } fn calculate_tvwap(vwap_dtos: &VecDeque<Vwap>, ticker_time: &DateTime<Utc>, decay_factor: f64) -> Decimal { if vwap_dtos.is_empty() { return Decimal::ZERO; } let mut total_cost = Decimal::ZERO; let mut total_volume = Decimal::ZERO; for vwap in vwap_dtos.iter() { let time_weight = Decimal::from_f64_retain(get_time_weight(&vwap.updated_at, ticker_time, decay_factor)) .unwrap_or(Decimal::ZERO); total_cost += vwap.cost * time_weight; total_volume += vwap.volume * time_weight; } if total_volume.is_zero() { Decimal::ZERO } else { total_cost / total_volume } } #[async_trait] impl PriceGuardTrait for TimeVolumeWeightedAveragePriceGuard { async fn apply_trade(&mut self, trade: &TradeDto) -> PriceGuardResult<()> { self.apply_trade(trade) } async fn get_min_sell_price(&self) -> PriceGuardResult<Option<Decimal>> { Ok(Some(self.get_vwap(FdrOrderSide::Sell))) } async fn get_max_buy_price(&self) -> PriceGuardResult<Option<Decimal>> { Ok(Some(self.get_vwap(FdrOrderSide::Buy))) } } impl From<TradeDto> for Vwap { fn from(trade: TradeDto) -> Self { Self { base: trade.base, quote: trade.quote, side: trade.order_side, volume: trade.volume, cost: trade.cost.unwrap_or(Decimal::ZERO), updated_at: trade.time, } } }
0
src
/mono/crates/price_guard/src/lib.rs
pub mod average; pub mod bucket; pub mod error; pub mod static_guard; pub mod tvwap; use crate::{ average::AveragePriceGuard, bucket::Bucket, error::PriceGuardResult, static_guard::{StaticPriceGuard, StaticPriceGuardConfig}, tvwap::{TimeVolumeWeightedAveragePriceGuard, TimeVolumeWeightedAveragePriceGuardConfig}, }; use async_trait::async_trait; use fdr_common::crypto::assets::CurrencyPair; use fdr_store::{core::pool::Pool, trades::models::TradeDto}; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use std::sync::Arc; use uuid::Uuid; #[derive(Debug, Clone, Serialize, Deserialize, PartialEq)] pub enum PriceGuardConfig { Static(StaticPriceGuardConfig), Average, SimplifiedAverage, TvwapAverage(TimeVolumeWeightedAveragePriceGuardConfig), TvwapSimplifiedAverage(TimeVolumeWeightedAveragePriceGuardConfig), Bucket, } #[derive(Debug, Clone)] pub enum PriceGuard { Static(StaticPriceGuard), Average(AveragePriceGuard), SimplifiedAverage(AveragePriceGuard), TvwapAverage(TimeVolumeWeightedAveragePriceGuard), TvwapSimplifiedAverage(TimeVolumeWeightedAveragePriceGuard), Bucket(Bucket), } impl PriceGuard { pub async fn new( config: PriceGuardConfig, pool: Arc<Pool>, run_id: Uuid, pair: CurrencyPair, ) -> PriceGuardResult<Self> { Ok(match config { PriceGuardConfig::Static(config) => PriceGuard::Static(StaticPriceGuard::new(config)), PriceGuardConfig::Average => PriceGuard::Average(AveragePriceGuard::new(pool.clone(), run_id, pair, false)), PriceGuardConfig::SimplifiedAverage => { PriceGuard::SimplifiedAverage(AveragePriceGuard::new(pool.clone(), run_id, pair, true)) } PriceGuardConfig::TvwapAverage(config) => PriceGuard::TvwapAverage( TimeVolumeWeightedAveragePriceGuard::new(pool.clone(), config, run_id, pair, false).await?, ), PriceGuardConfig::TvwapSimplifiedAverage(config) => PriceGuard::TvwapSimplifiedAverage( TimeVolumeWeightedAveragePriceGuard::new(pool.clone(), config, run_id, pair, true).await?, ), PriceGuardConfig::Bucket => PriceGuard::Bucket(Bucket::new(Default::default(), Default::default())), }) } } #[async_trait] pub trait PriceGuardTrait { async fn apply_trade(&mut self, trade: &TradeDto) -> PriceGuardResult<()>; async fn get_min_sell_price(&self) -> PriceGuardResult<Option<Decimal>>; async fn get_max_buy_price(&self) -> PriceGuardResult<Option<Decimal>>; } #[async_trait] impl PriceGuardTrait for PriceGuard { async fn apply_trade(&mut self, trade: &TradeDto) -> PriceGuardResult<()> { match self { PriceGuard::Static(guard) => guard.apply_trade(trade).await?, PriceGuard::Average(guard) => guard.apply_trade(trade).await?, PriceGuard::SimplifiedAverage(guard) => guard.apply_trade(trade).await?, PriceGuard::TvwapAverage(guard) => guard.apply_trade(trade)?, PriceGuard::TvwapSimplifiedAverage(guard) => guard.apply_trade(trade)?, PriceGuard::Bucket(guard) => guard.apply_trade(trade).await?, } Ok(()) } async fn get_min_sell_price(&self) -> PriceGuardResult<Option<Decimal>> { match self { PriceGuard::Static(guard) => guard.get_min_sell_price().await, PriceGuard::Average(guard) => guard.get_min_sell_price().await, PriceGuard::SimplifiedAverage(guard) => guard.get_min_sell_price().await, PriceGuard::TvwapAverage(guard) => guard.get_min_sell_price().await, PriceGuard::TvwapSimplifiedAverage(guard) => guard.get_min_sell_price().await, PriceGuard::Bucket(guard) => guard.get_min_sell_price().await, } } async fn get_max_buy_price(&self) -> PriceGuardResult<Option<Decimal>> { match self { PriceGuard::Static(guard) => guard.get_max_buy_price().await, PriceGuard::Average(guard) => guard.get_max_buy_price().await, PriceGuard::SimplifiedAverage(guard) => guard.get_max_buy_price().await, PriceGuard::TvwapAverage(guard) => guard.get_max_buy_price().await, PriceGuard::TvwapSimplifiedAverage(guard) => guard.get_max_buy_price().await, PriceGuard::Bucket(guard) => guard.get_max_buy_price().await, } } }
0
fdr_common
/mono/crates/fdr_common/Cargo.toml
[package] name = "fdr-common" version = "0.1.0" edition = "2021" authors = ["Steve Sampson <mail@stephensampson.dev>"] description = "Common code for trading applications" [package.metadata.cargo-udeps.ignore] normal = ["rust_decimal_macros"] [dependencies] anyhow = { workspace = true } async-trait = { workspace = true } chrono = { workspace = true, features = ["serde"] } clap = { workspace = true, features = ["derive", "env", "cargo"] } derive_more = { workspace = true } http = { workspace = true } hyper = { workspace = true } indexmap = { workspace = true } lazy_static = { workspace = true } prometheus = { workspace = true } rust_decimal = { workspace = true, features = ["serde", "db-postgres"] } rust_decimal_macros = { workspace = true } serde = { workspace = true, features = ["derive"] } serde_json = { workspace = true } slog = { workspace = true, features = ["max_level_trace"] } slog-async = { workspace = true } slog-term = { workspace = true } slog-envlogger = { workspace = true } slog-scope = { workspace = true } sqlx = { workspace = true } thiserror = { workspace = true } tokio = { workspace = true, features = ["full"] } tokio-util = { workspace = true } tower = { workspace = true, features = ["full"] } toml = { workspace = true } url = { workspace = true } uuid = { workspace = true, features = ["v4", "fast-rng", "serde"] } regex = { workspace = true } # tracing dependencies tracing = { workspace = true, default-features = false, features = ["std", "attributes"] } tracing-subscriber = { workspace = true, default-features = false, features = ["json", "env-filter", "serde"] } tracing-opentelemetry = { workspace = true, default-features = true } opentelemetry = { workspace = true, default-features = false, features = ["trace"] } opentelemetry_sdk = { workspace = true, features = ["rt-tokio"] } opentelemetry-otlp = { workspace = true, default-features = false, features = ["trace", "grpc-tonic"] } tracing-attributes = { workspace = true } tracing-core = { workspace = true } [features] tracing = ["tracing/std", "tracing/attributes"]
0
src
/mono/crates/fdr_common/src/task.rs
use std::{ collections::HashMap, fmt::Debug, sync::{ atomic::{AtomicBool, Ordering}, Arc, }, time::Duration, }; use slog::{info, warn}; use tokio::{ signal::unix::{signal, SignalKind}, sync::Barrier, task::{Id, JoinError, JoinSet}, }; use tokio_util::sync::CancellationToken; pub type FdrTaskResult<E> = Result<(), E>; pub type MaybeFinishedTask<E> = Option<Result<(Option<Id>, FdrTaskResult<E>), JoinError>>; #[async_trait::async_trait] pub trait FdrTask<E>: Send + Sync where E: std::error::Error, { async fn run(self: Box<Self>) -> FdrTaskResult<E>; fn name(&self) -> String; fn shutdown_type(&self) -> ShutdownType; } #[derive(Debug, Clone, Copy)] pub enum ShutdownType { /// Some tasks may not be safe to abruptly abort and could require more complex shutdown logic. /// For these tasks, they should listen on the cancellation token and exit gracefully when /// they receive a shutdown signal. Manual, /// Let the task manager shut down your task. For tasks that are safe to abruptly abort, /// they can be launched with this type. This will cause the task to be launched with /// a tokio::select! that will listen for a shutdown signal and will exit if it receives one. Managed, } pub struct FdrTaskManager<E: std::error::Error> { logger: slog::Logger, tasks: Vec<Box<dyn FdrTask<E>>>, task_map: HashMap<Id, String>, cancellation_token: CancellationToken, graceful_shutdown_timeout: Duration, barrier: Arc<Barrier>, running: Arc<AtomicBool>, join_set: JoinSet<FdrTaskResult<E>>, } impl<E> FdrTaskManager<E> where E: std::error::Error + Send + Sync + 'static, { pub async fn run(&mut self) { let tasks = std::mem::take(&mut self.tasks); for task in tasks { let task_name = task.name(); let handle = self.join_set.spawn(FdrTaskManager::<E>::launch_task( task, self.barrier.clone(), self.running.clone(), self.cancellation_token.clone(), )); info!(self.logger, "starting {task_name}..."; "task_id" => handle.id().to_string()); self.task_map.insert(handle.id(), task_name); } self.wait_for_tasks().await } pub fn shutdown(&self) { self.cancellation_token.cancel(); } pub fn is_running(&self) -> bool { self.running.load(Ordering::SeqCst) } pub fn is_complete(&self) -> bool { self.join_set.is_empty() } async fn launch_task( task: Box<dyn FdrTask<E>>, barrier: Arc<Barrier>, running_status: Arc<AtomicBool>, cancellation_token: CancellationToken, ) -> FdrTaskResult<E> { let _ = barrier.wait().await; running_status.store(true, Ordering::SeqCst); match task.shutdown_type() { ShutdownType::Manual => task.run().await, ShutdownType::Managed => { tokio::select! { _ = cancellation_token.cancelled() => Ok(()), res = task.run() => res, } } } } async fn wait_for_tasks(&mut self) { let first_exited_task = self .join_set .join_next_with_id() .await .map(|r| r.map(|(id, res)| (Some(id), res))); self.cancellation_token.cancel(); let drained_successfully = tokio::select! { _ = tokio::time::sleep(self.graceful_shutdown_timeout) => { self.join_set.abort_all(); false }, _ = self.drain_join_set(first_exited_task) => true, }; if !drained_successfully { self.drain_join_set(None).await; } } async fn drain_join_set(&mut self, finished_task: MaybeFinishedTask<E>) { if let Some(result) = finished_task { self.log_completed_task(result).await; } while let Some(result) = self.join_set.join_next_with_id().await { self.log_completed_task(result.map(|(id, res)| (Some(id), res))).await; } } async fn log_completed_task(&self, result: Result<(Option<Id>, FdrTaskResult<E>), JoinError>) { match result { Ok((Some(id), Ok(()))) => { info!( self.logger, "Task shut down cleanly"; "task_name" => self.task_map.get(&id), ); } Ok((Some(id), Err(err))) => { warn!( self.logger, "Task shut down with errors"; "task_name" => self.task_map.get(&id), "error" => %err, ) } Ok((None, Ok(_))) => { info!(self.logger, "Task shut down cleanly"); } Ok((None, Err(e))) => { warn!(self.logger, "Task shut down with errors"; "error" => %e); } Err(err) => { warn!( self.logger, "Task died"; "task_name" => self.task_map.get(&err.id()), "error" => %err, ); } } } } pub struct FdrTaskManagerBuilder<E: std::error::Error> { logger: slog::Logger, tasks: Vec<Box<dyn FdrTask<E>>>, graceful_shutdown_timeout: Option<Duration>, cancellation_token: Option<CancellationToken>, } impl<E> FdrTaskManagerBuilder<E> where E: std::error::Error + Send + Sync + 'static, { pub fn new(logger: slog::Logger) -> Self { Self { logger, tasks: Vec::new(), graceful_shutdown_timeout: None, cancellation_token: None, } } pub fn with_graceful_shutdown_timeout(mut self, timeout: Duration) -> Self { self.graceful_shutdown_timeout = Some(timeout); self } pub fn with_cancellation_token(mut self, token: CancellationToken) -> Self { self.cancellation_token = Some(token); self } pub fn add_task(mut self, task: impl FdrTask<E> + 'static) -> Self { self.tasks.push(Box::new(task)); self } pub fn build(self) -> FdrTaskManager<E> { FdrTaskManager { logger: self.logger, task_map: HashMap::with_capacity(self.tasks.len()), barrier: Arc::new(Barrier::new(self.tasks.len())), running: Arc::new(AtomicBool::new(false)), cancellation_token: self.cancellation_token.unwrap_or_default(), graceful_shutdown_timeout: self.graceful_shutdown_timeout.unwrap_or_else(|| Duration::from_secs(5)), tasks: self.tasks, join_set: JoinSet::new(), } } } pub struct DefaultSignalHandler(pub slog::Logger); #[async_trait::async_trait] impl<E: std::error::Error + 'static> FdrTask<E> for DefaultSignalHandler { async fn run(self: Box<Self>) -> FdrTaskResult<E> { let signal_kind = tokio::select! { kind = wait_for_signal(SignalKind::terminate()) => kind, kind = wait_for_signal(SignalKind::interrupt()) => kind, kind = wait_for_signal(SignalKind::hangup()) => kind, kind = wait_for_signal(SignalKind::quit()) => kind, }; info!(self.0, "Received shutdown signal..."; "signal_kind" => ?signal_kind); info!(self.0, "Graceful shutdown initiated"); Ok(()) } fn name(&self) -> String { "Signal Handler".to_string() } fn shutdown_type(&self) -> ShutdownType { ShutdownType::Managed } } async fn wait_for_signal(kind: SignalKind) -> SignalKind { signal(kind).expect("shutdown_listener").recv().await; kind }
0
src
/mono/crates/fdr_common/src/metrics.rs
use crate::error::FdrResult; use prometheus::{Encoder, Registry, TextEncoder}; use std::sync::Arc; pub fn get_metrics_registry(metrics_registry: Arc<Registry>) -> FdrResult<String> { let mut buffer = vec![]; let encoder = TextEncoder::new(); let metric_families = metrics_registry.gather(); encoder.encode(&metric_families, &mut buffer)?; Ok(String::from_utf8(buffer)?) }
0
src
/mono/crates/fdr_common/src/error.rs
use crate::crypto::assets::CurrencyPair; use thiserror::Error; #[derive(Error, Debug)] pub enum FdrError { #[error(transparent)] Hyper(#[from] hyper::Error), #[error(transparent)] Anyhow(#[from] anyhow::Error), #[error(transparent)] AddrParse(#[from] std::net::AddrParseError), #[error(transparent)] Prometheus(#[from] prometheus::Error), #[error("Received Kafka Message w/No Body")] EmptyPayload, #[error(transparent)] SerdeJson(#[from] serde_json::Error), #[error(transparent)] Io(#[from] std::io::Error), #[error(transparent)] Uuid(#[from] uuid::Error), #[error(transparent)] Decimal(#[from] rust_decimal::Error), #[error(transparent)] Sqlx(#[from] sqlx::Error), #[error(transparent)] ParseUrl(#[from] url::ParseError), #[error("Unable to update last hit")] UpdateLastHit, #[error("Failed to update the ticker")] TickerNotUpdated, #[error("PairConfig missing")] PairConfigMissing, #[error("Failed to increase wallet balance")] IncreaseFailed, #[error("Failed to decrease wallet balance")] DecreaseFailed, #[error("Unknown asset: {0}")] UnknownAsset(String), #[error("Failed to parse: {0}")] Parse(String), #[error("Unknown CurrencyPair: {0}")] UnknownCurrencyPair(CurrencyPair), #[error("Config requires a trading pair")] MissingTradingPair, #[error("Kafka consumer must be set to run this strategy")] KafkaConsumerNotSet, #[error("State update message failed to send")] StateUpdateMessageFailed, #[error("Spawned strategies panicked")] StrategyPanicked, #[error("Failed to publish an event")] PublisherError, #[error(transparent)] FromUtf8(#[from] std::string::FromUtf8Error), #[error("Error: {0}, Raw Error: {1}")] FileNotFound(String, String), } #[derive(Error, Clone, Debug, serde::Serialize, serde::Deserialize, PartialEq)] pub enum ExchangeError { #[error("Invalid arguments: {0}")] InvalidArguments(String), #[error("Rate limit exceeded")] RateLimitExceeded, #[error("Insufficient funds")] InsufficientFunds, #[error("Unknown error {0}")] UnknownError(String), } pub type FdrResult<T> = Result<T, FdrError>;
0
src
/mono/crates/fdr_common/src/logging.rs
use slog::Drain; pub fn default_logger() -> slog::Logger { let drain = slog_async::Async::new(slog_envlogger::new( slog_term::CompactFormat::new(slog_term::TermDecorator::new().build()) .build() .fuse(), )) .build(); slog::Logger::root(drain.fuse(), slog::o!()) }
0
src
/mono/crates/fdr_common/src/lib.rs
use derive_more::Display; use rust_decimal::Decimal; use sqlx::postgres::{PgHasArrayType, PgTypeInfo}; pub mod config; pub mod context; pub mod crypto; pub mod error; pub mod exchange; pub mod metrics; pub mod task; #[cfg(feature = "tracing")] pub mod tracing; pub mod logging; pub mod ticker; pub mod utils; pub type Price = Decimal; pub type Volume = Decimal; #[derive(serde::Serialize, Clone, Debug)] pub struct OrderId(pub String); #[derive(serde::Serialize, Display, Debug, Copy, Clone, sqlx::Type, Hash, PartialEq, Eq)] #[serde(rename_all = "SCREAMING_SNAKE_CASE")] #[sqlx(type_name = "trading_strategy", rename_all = "SCREAMING_SNAKE_CASE")] pub enum TradingStrategy { #[display(fmt = "MARKET_MAKER_ON_TICKER")] MarketMakerOnTicker, #[display(fmt = "MIRROR")] Mirror, #[display(fmt = "TRIANGULAR_ARBITRAGE")] TriangularArbitrage, #[display(fmt = "UNKNOWN")] Unknown, } impl PgHasArrayType for TradingStrategy { fn array_type_info() -> PgTypeInfo { PgTypeInfo::with_name("_trading_strategy") } } // impl<T: AsRef<str>> TryFrom<T> for Strategy { impl TryFrom<&str> for TradingStrategy { type Error = (); fn try_from(value: &str) -> Result<Self, Self::Error> { match value { "MARKET_MAKER_ON_TICKER" => Ok(Self::MarketMakerOnTicker), "MIRROR" => Ok(Self::Mirror), "UNKNOWN" => Ok(Self::Unknown), "TRIANGULAR_ARBITRAGE" => Ok(Self::TriangularArbitrage), _ => Err(()), } } } impl<'de> serde::Deserialize<'de> for TradingStrategy { fn deserialize<D>(deserializer: D) -> Result<Self, D::Error> where D: serde::Deserializer<'de>, { let s = String::deserialize(deserializer)?.to_uppercase(); TradingStrategy::try_from(s.as_str()).map_err(|_| serde::de::Error::custom(format!("invalid strategy: {s}"))) } }
0
src
/mono/crates/fdr_common/src/context.rs
use async_trait::async_trait; use slog::Logger; use std::sync::Arc; #[async_trait] pub trait FdrServiceContext<C> where C: serde::de::DeserializeOwned + Clone + Send + Sync + 'static, { type Context: FdrServiceContext<C>; type Error; async fn from_config(config: C) -> Result<Self::Context, Self::Error>; fn graceful_shutdown_seconds(&self) -> u64 { 5 } fn logger(&self) -> Logger; fn metrics_registry(&self) -> Arc<prometheus::Registry>; }
0
exchange
/mono/crates/fdr_common/src/exchange/auth.rs
use crate::utils::config::from_file_or_const; #[derive(Debug, Clone, serde::Deserialize)] pub struct ExchangeAuth { #[serde(deserialize_with = "from_file_or_const")] pub api_key: String, #[serde(deserialize_with = "from_file_or_const")] pub api_secret: String, }
0
exchange
/mono/crates/fdr_common/src/exchange/mod.rs
use derive_more::Display; use serde::{Deserialize, Serialize}; use crate::{crypto::assets::CurrencyPair, ticker::FdrTickerUpdate}; pub mod auth; #[derive(serde::Serialize, Display, Debug, Copy, Clone, sqlx::Type, Hash, PartialEq, Eq, Default)] #[serde(rename_all = "UPPERCASE")] #[sqlx(type_name = "exchange", rename_all = "UPPERCASE")] pub enum Exchange { #[default] #[display(fmt = "kraken")] Kraken, #[display(fmt = "poloniex")] Poloniex, #[display(fmt = "coinbase")] Coinbase, #[display(fmt = "backtest")] Backtest, } #[derive(serde::Serialize, Display, Debug, Copy, Clone, sqlx::Type, Hash, PartialEq, Eq, Default)] #[serde(rename_all = "UPPERCASE")] #[sqlx(type_name = "venue", rename_all = "UPPERCASE")] pub enum Venue { #[default] #[display(fmt = "kraken")] Kraken, #[display(fmt = "poloniex")] Poloniex, #[display(fmt = "coinbase")] Coinbase, #[display(fmt = "backtest")] Backtest, } impl From<Venue> for Exchange { fn from(value: Venue) -> Self { match value { Venue::Kraken => Exchange::Kraken, Venue::Poloniex => Exchange::Poloniex, Venue::Coinbase => Exchange::Coinbase, Venue::Backtest => Exchange::Backtest, } } } impl From<Exchange> for Venue { fn from(value: Exchange) -> Self { match value { Exchange::Kraken => Venue::Kraken, Exchange::Poloniex => Venue::Poloniex, Exchange::Coinbase => Venue::Coinbase, Exchange::Backtest => Venue::Backtest, } } } #[derive(Display, Debug, Copy, Clone, PartialEq, Eq, Hash, Serialize, Deserialize)] #[display(fmt = "{}({})", exchange, pair)] pub struct Market { pub pair: CurrencyPair, pub exchange: Exchange, } impl From<&FdrTickerUpdate> for Market { fn from(ticker: &FdrTickerUpdate) -> Self { Self { pair: ticker.pair, exchange: ticker.exchange, } } } impl<'de> serde::Deserialize<'de> for Exchange { fn deserialize<D>(deserializer: D) -> Result<Self, D::Error> where D: serde::Deserializer<'de>, { let s = String::deserialize(deserializer)?.to_uppercase(); match s.as_str() { "KRAKEN" => Ok(Self::Kraken), "POLONIEX" => Ok(Self::Poloniex), "COINBASE" => Ok(Self::Coinbase), "BACKTEST" => Ok(Self::Backtest), _ => Err(serde::de::Error::custom(format!("invalid exchange: {s}"))), } } }
0
crypto
/mono/crates/fdr_common/src/crypto/assets.rs
use crate::error::FdrError; use derive_more::Display as DDisplay; use serde::Deserialize; use sqlx::postgres::{PgHasArrayType, PgTypeInfo}; use std::fmt::{Display, Formatter}; #[derive( serde::Deserialize, serde::Serialize, DDisplay, Debug, Copy, Clone, sqlx::Type, Hash, Ord, PartialOrd, Eq, PartialEq, )] #[serde(rename_all = "UPPERCASE")] #[sqlx(type_name = "asset", rename_all = "UPPERCASE")] pub enum Asset { #[serde(alias = "ZEUR")] #[display(fmt = "EUR")] Eur, #[serde(alias = "ZCAD")] #[display(fmt = "CAD")] Cad, #[serde(alias = "ZUSD")] #[display(fmt = "USD")] Usd, #[serde(alias = "XBT", alias = "XXBT")] #[display(fmt = "BTC")] Btc, #[serde(alias = "XETH")] #[display(fmt = "ETH")] Eth, #[display(fmt = "DAI")] Dai, #[display(fmt = "USDT")] Usdt, #[display(fmt = "GALA")] Gala, #[display(fmt = "WAXL")] Waxl, #[display(fmt = "CHR")] Chr, #[display(fmt = "ALICE")] Alice, #[serde(alias = "XETC")] #[display(fmt = "ETC")] Etc, #[display(fmt = "POND")] Pond, #[display(fmt = "API3")] Api3, #[display(fmt = "BTT")] Btt, #[serde(alias = "ADA.S")] #[display(fmt = "ADA.S")] AdaStaking, #[display(fmt = "EUL")] Eul, #[display(fmt = "SNX")] Snx, #[display(fmt = "ORCA")] Orca, #[serde(alias = "MINA.S")] #[display(fmt = "MINA.S")] MinaStaking, #[display(fmt = "REQ")] Req, #[display(fmt = "SXP")] Sxp, #[display(fmt = "COMP")] Comp, #[display(fmt = "BAL")] Bal, #[display(fmt = "ANKR")] Ankr, #[serde(alias = "KAVA.S")] #[display(fmt = "KAVA.S")] KavaStaking, #[display(fmt = "BADGER")] Badger, #[display(fmt = "CQT")] Cqt, #[serde(alias = "1INCH")] #[display(fmt = "1INCH")] OneInch, #[display(fmt = "QNT")] Qnt, #[serde(alias = "ZAUD")] #[display(fmt = "AUD")] Aud, #[display(fmt = "ATOM")] Atom, #[display(fmt = "SAMO")] Samo, #[serde(alias = "KSM07.S")] #[display(fmt = "KSM07.S")] Ksm07Staking, #[display(fmt = "POLS")] Pols, #[display(fmt = "USDC")] Usdc, #[display(fmt = "PLA")] Pla, #[display(fmt = "RAY")] Ray, #[display(fmt = "PARA")] Para, #[display(fmt = "ROOK")] Rook, #[display(fmt = "FIS")] Fis, #[display(fmt = "UNI")] Uni, #[display(fmt = "AGLD")] Agld, #[display(fmt = "KSM")] Ksm, #[display(fmt = "OMG")] Omg, #[serde(alias = "DOT28.S")] #[display(fmt = "DOT28.S")] Dot28Staking, #[display(fmt = "BAT")] Bat, #[display(fmt = "TBTC")] Tbtc, #[display(fmt = "BIT")] Bit, #[display(fmt = "OXT")] Oxt, #[serde(alias = "ALGO.S")] #[display(fmt = "ALGO.S")] AlgoStaking, #[display(fmt = "PERP")] Perp, #[display(fmt = "RAD")] Rad, #[display(fmt = "SGB")] Sgb, #[display(fmt = "NMR")] Nmr, #[display(fmt = "RNDR")] Rndr, #[display(fmt = "APT")] Apt, #[display(fmt = "MINA")] Mina, #[display(fmt = "SRM")] Srm, #[display(fmt = "BNC")] Bnc, #[serde(alias = "ZJPY")] #[display(fmt = "JPY")] Jpy, #[display(fmt = "STG")] Stg, #[display(fmt = "FTM")] Ftm, #[display(fmt = "KAR")] Kar, #[display(fmt = "FLOWH")] Flowh, #[display(fmt = "MV")] Mv, #[display(fmt = "SHIB")] Shib, #[display(fmt = "KP3R")] Kp3r, #[display(fmt = "KNC")] Knc, #[display(fmt = "ALPHA")] Alpha, #[display(fmt = "FIDA")] Fida, #[display(fmt = "ENS")] Ens, #[display(fmt = "GNO")] Gno, #[display(fmt = "CHF")] Chf, #[display(fmt = "FLOW")] Flow, #[display(fmt = "STEP")] Step, #[display(fmt = "MASK")] Mask, #[serde(alias = "XTZ.S")] #[display(fmt = "XTZ.S")] XtzStaking, #[display(fmt = "TRIBE")] Tribe, #[display(fmt = "FLR")] Flr, #[serde(alias = "LUNA.S")] #[display(fmt = "LUNA.S")] LunaStaking, #[display(fmt = "FIL")] Fil, #[serde(alias = "FLOW.S")] #[display(fmt = "FLOW.S")] FlowStaking, #[display(fmt = "ASTR")] Astr, #[display(fmt = "GAL")] Gal, #[serde(alias = "MATIC04.S")] #[display(fmt = "MATIC04.S")] Matic04Staking, #[display(fmt = "NYM")] Nym, #[display(fmt = "TRU")] Tru, #[display(fmt = "OCEAN")] Ocean, #[display(fmt = "CELR")] Celr, #[display(fmt = "LINK")] Link, #[display(fmt = "ANT")] Ant, #[serde(alias = "SOL.S")] #[display(fmt = "SOL.S")] SolStaking, #[serde(alias = "AUD.HOLD")] #[display(fmt = "AUD.HOLD")] AudHold, #[display(fmt = "TRX")] Trx, #[display(fmt = "WAVES")] Waves, #[serde(alias = "GRT28.S")] #[display(fmt = "GRT28.S")] Grt28Staking, #[serde(alias = "EUR.HOLD")] #[display(fmt = "EUR.HOLD")] EurHold, #[display(fmt = "STX")] Stx, #[display(fmt = "ICX")] Icx, #[serde(alias = "SCRT21.S")] #[display(fmt = "SCRT21.S")] Scrt21Staking, #[serde(alias = "KSM.P")] #[display(fmt = "KSM.P")] KsmParachain, #[display(fmt = "RBC")] Rbc, #[display(fmt = "OGN")] Ogn, #[serde(alias = "ZGBP")] #[display(fmt = "GBP")] Gbp, #[display(fmt = "SDN")] Sdn, #[display(fmt = "GMT")] Gmt, #[display(fmt = "GLMR")] Glmr, #[display(fmt = "JASMY")] Jasmy, #[display(fmt = "CRV")] Crv, #[display(fmt = "ARPA")] Arpa, #[display(fmt = "ZRX")] Zrx, #[display(fmt = "CVX")] Cvx, #[display(fmt = "XTZ")] Xtz, #[display(fmt = "ACH")] Ach, #[display(fmt = "ETHW")] Ethw, #[display(fmt = "EGLD")] Egld, #[display(fmt = "ENJ")] Enj, #[serde(alias = "CHF.HOLD")] #[display(fmt = "CHF.HOLD")] ChfHold, #[display(fmt = "DASH")] Dash, #[display(fmt = "KAVA")] Kava, #[display(fmt = "GRT")] Grt, #[display(fmt = "CFG")] Cfg, #[display(fmt = "FXS")] Fxs, #[serde(alias = "XBT.M")] #[display(fmt = "XBT.M")] XbtStaking, #[display(fmt = "MIR")] Mir, #[serde(alias = "FLOWH.S")] #[display(fmt = "FLOWH.S")] FlowhStaking, #[display(fmt = "BOBA")] Boba, #[display(fmt = "LSK")] Lsk, #[display(fmt = "LDO")] Ldo, #[display(fmt = "KINT")] Kint, #[display(fmt = "MSOL")] Msol, #[display(fmt = "SAND")] Sand, #[display(fmt = "RUNE")] Rune, #[display(fmt = "XRT")] Xrt, #[display(fmt = "OXY")] Oxy, #[display(fmt = "SYN")] Syn, #[display(fmt = "ACA")] Aca, #[serde(alias = "TRX.S")] #[display(fmt = "TRX.S")] TrxStaking, #[serde(alias = "SOL03.S")] #[display(fmt = "SOL03.S")] Sol03Staking, #[display(fmt = "HDX")] Hdx, #[display(fmt = "WBTC")] Wbtc, #[display(fmt = "STORJ")] Storj, #[display(fmt = "TLM")] Tlm, #[serde(alias = "USD.HOLD")] #[display(fmt = "USD.HOLD")] UsdHold, #[display(fmt = "BAND")] Band, #[display(fmt = "UNFI")] Unfi, #[display(fmt = "LPT")] Lpt, #[display(fmt = "MC")] Mc, #[display(fmt = "UST")] Ust, #[display(fmt = "T")] T, #[display(fmt = "POWR")] Powr, #[display(fmt = "SCRT")] Scrt, #[display(fmt = "IMX")] Imx, #[serde(alias = "KAVA21.S")] #[display(fmt = "KAVA21.S")] Kava21Staking, #[display(fmt = "DYDX")] Dydx, #[display(fmt = "RLC")] Rlc, #[display(fmt = "ADX")] Adx, #[display(fmt = "FARM")] Farm, #[serde(alias = "XXMR")] #[display(fmt = "XMR")] Xmr, #[display(fmt = "SPELL")] Spell, #[display(fmt = "IDEX")] Idex, #[display(fmt = "XZEC")] Xzec, #[display(fmt = "RARI")] Rari, #[display(fmt = "MXC")] Mxc, #[display(fmt = "BNT")] Bnt, #[serde(alias = "XXRP")] #[display(fmt = "XRP")] Xrp, #[display(fmt = "CHZ")] Chz, #[display(fmt = "PAXG")] Paxg, #[display(fmt = "BLUR")] Blur, #[serde(alias = "ETH2.S")] #[display(fmt = "ETH2.S")] Eth2Staking, #[display(fmt = "MANA")] Mana, #[serde(alias = "AED.HOLD")] #[display(fmt = "AED.HOLD")] AedHold, #[serde(alias = "XREP")] #[display(fmt = "REP")] Rep, #[serde(alias = "XXDG")] #[display(fmt = "DOGE")] Doge, #[display(fmt = "ALCX")] Alcx, #[display(fmt = "C98")] C98, #[display(fmt = "FET")] Fet, #[serde(alias = "DOT.P")] #[display(fmt = "DOT.P")] DotParachain, #[display(fmt = "ADA")] Ada, #[display(fmt = "AUDIO")] Audio, #[display(fmt = "FORTH")] Forth, #[display(fmt = "TOKE")] Toke, #[display(fmt = "YFI")] Yfi, #[display(fmt = "REN")] Ren, #[display(fmt = "CTSI")] Ctsi, #[display(fmt = "TVK")] Tvk, #[display(fmt = "NODL")] Nodl, #[display(fmt = "GARI")] Gari, #[display(fmt = "EWT")] Ewt, #[display(fmt = "BCH")] Bch, #[display(fmt = "EOS")] Eos, #[serde(alias = "USD.M")] #[display(fmt = "USD.M")] UsdStaking, #[display(fmt = "SC")] Sc, #[display(fmt = "MKR")] Mkr, #[serde(alias = "MATIC.S")] #[display(fmt = "MATIC.S")] MaticStaking, #[display(fmt = "SUSHI")] Sushi, #[display(fmt = "KEEP")] Keep, #[display(fmt = "SBR")] Sbr, #[serde(alias = "DOT.S")] #[display(fmt = "DOT.S")] DotStaking, #[display(fmt = "MATIC")] Matic, #[display(fmt = "GST")] Gst, #[display(fmt = "GMX")] Gmx, #[display(fmt = "KIN")] Kin, #[display(fmt = "AKT")] Akt, #[display(fmt = "DOT")] Dot, #[display(fmt = "RPL")] Rpl, #[display(fmt = "COTI")] Coti, #[display(fmt = "AXS")] Axs, #[display(fmt = "AAVE")] Aave, #[display(fmt = "ETH2")] Eth2, #[display(fmt = "ALGO")] Algo, #[display(fmt = "CSM")] Csm, #[serde(alias = "XXLM")] #[display(fmt = "XLM")] Xlm, #[display(fmt = "MNGO")] Mngo, #[serde(alias = "GBP.HOLD")] #[display(fmt = "GBP.HOLD")] GbpHold, #[display(fmt = "LRC")] Lrc, #[display(fmt = "BICO")] Bico, #[display(fmt = "DENT")] Dent, #[display(fmt = "KFEE")] Kfee, #[serde(alias = "XMLN")] #[display(fmt = "MLN")] Mln, #[display(fmt = "BSX")] Bsx, #[display(fmt = "HFT")] Hft, #[display(fmt = "ATLAS")] Atlas, #[display(fmt = "SOL")] Sol, #[display(fmt = "LUNA")] Luna, #[display(fmt = "KEY")] Key, #[display(fmt = "JUNO")] Juno, #[serde(alias = "EUR.M")] #[display(fmt = "EUR.M")] EurStaking, #[serde(alias = "USDT.M")] #[display(fmt = "USDT.M")] UsdtStaking, #[serde(alias = "ATOM21.S")] #[display(fmt = "ATOM21.S")] Atom21Staking, #[display(fmt = "WOO")] Woo, #[display(fmt = "POLIS")] Polis, #[display(fmt = "AIR")] Air, #[display(fmt = "INTR")] Intr, #[display(fmt = "NANO")] Nano, #[display(fmt = "LCX")] Lcx, #[display(fmt = "AVAX")] Avax, #[serde(alias = "FLR.S")] #[display(fmt = "FLR.S")] FlrStaking, #[serde(alias = "KSM.S")] #[display(fmt = "KSM.S")] KsmStaking, #[serde(alias = "XLTC")] #[display(fmt = "LTC")] Ltc, #[serde(alias = "SCRT.S")] #[display(fmt = "SCRT.S")] ScrtStaking, #[display(fmt = "MULTI")] Multi, #[serde(alias = "FLOW14.S")] #[display(fmt = "FLOW14.S")] Flow14Staking, #[display(fmt = "LUNA2")] Luna2, #[display(fmt = "TEER")] Teer, #[display(fmt = "KILT")] Kilt, #[display(fmt = "QTUM")] Qtum, #[display(fmt = "PHA")] Pha, #[display(fmt = "INJ")] Inj, #[display(fmt = "PSTAKE")] Pstake, #[serde(alias = "ATOM.S")] #[display(fmt = "ATOM.S")] AtomStaking, #[display(fmt = "BOND")] Bond, #[display(fmt = "CVC")] Cvc, #[display(fmt = "WETH")] Weth, #[display(fmt = "NEAR")] Near, #[serde(alias = "USDC.M")] #[display(fmt = "USDC.M")] UsdcStaking, #[serde(alias = "CAD.HOLD")] #[display(fmt = "CAD.HOLD")] CadHold, #[display(fmt = "GHST")] Ghst, #[display(fmt = "YGG")] Ygg, #[display(fmt = "RARE")] Rare, #[display(fmt = "BLZ")] Blz, #[display(fmt = "MOVR")] Movr, #[display(fmt = "AED")] Aed, #[display(fmt = "GTC")] Gtc, #[display(fmt = "XCN")] Xcn, #[display(fmt = "SUPER")] Super, #[display(fmt = "ICP")] Icp, #[display(fmt = "APE")] Ape, #[display(fmt = "REPV2")] Repv2, #[serde(alias = "GRT.S")] #[display(fmt = "GRT.S")] GrtStaking, #[display(fmt = "UMA")] Uma, #[display(fmt = "NFT")] Nft, #[display(fmt = "WSTUSDT")] WstUsdt, } impl PgHasArrayType for Asset { fn array_type_info() -> PgTypeInfo { PgTypeInfo::with_name("_asset") } } impl TryFrom<&str> for Asset { type Error = FdrError; fn try_from(input: &str) -> Result<Self, Self::Error> { Ok(serde_json::from_str( format!("\"{}\"", input.to_ascii_uppercase()).as_str(), )?) } } #[derive(Hash, PartialEq, Eq, Debug, Copy, Clone, Ord, PartialOrd, sqlx::FromRow)] // todo(steve.sampson): populate optional fields on creation of struct /// all fields of this struct are to remain hidden. A CurrencyPair object /// can be created from a string, or from a base/quote via new(), but the /// other fields will then be looked up from a static map. When this is /// implemented, they will no longer be "Optional". pub struct CurrencyPair { base: Asset, quote: Asset, } impl TryFrom<&str> for CurrencyPair { type Error = FdrError; fn try_from(input: &str) -> Result<Self, Self::Error> { let mut parts = input.split(&['/', '_']); let base = parts .next() .ok_or_else(|| FdrError::Parse("input as currency pair".to_string()))?; let quote = parts .next() .ok_or_else(|| FdrError::Parse("input as currency pair".to_string()))?; let (base, quote) = (Asset::try_from(base)?, Asset::try_from(quote)?); Ok(Self { base, quote }) } } impl Display for CurrencyPair { fn fmt(&self, f: &mut Formatter<'_>) -> std::fmt::Result { write!(f, "{}_{}", self.base, self.quote) } } impl CurrencyPair { pub fn new(base: Asset, quote: Asset) -> Self { Self { base, quote } } pub fn base(&self) -> Asset { self.base } pub fn quote(&self) -> Asset { self.quote } pub fn topic_suffix(&self) -> String { format!( "{}_{}", self.base.to_string().to_lowercase(), self.quote.to_string().to_lowercase() ) } pub fn has_asset(&self, asset: Asset) -> bool { self.base == asset || self.quote == asset } pub fn has_assets(&self, asset_a: Asset, asset_b: Asset) -> bool { (self.base == asset_a || self.base == asset_b) && (self.quote == asset_a || self.quote == asset_b) } } impl serde::Serialize for CurrencyPair { fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error> where S: serde::Serializer, { serializer.serialize_str(&format!("{}_{}", self.base, self.quote)) } } impl<'de> Deserialize<'de> for CurrencyPair { fn deserialize<D>(deserializer: D) -> Result<Self, D::Error> where D: serde::Deserializer<'de>, { let s = String::deserialize(deserializer)?; let mut parts = s.split(['/', '_']); let base = parts.next().ok_or_else(|| serde::de::Error::custom("missing base"))?; let quote = parts.next().ok_or_else(|| serde::de::Error::custom("missing quote"))?; let base = Asset::try_from(base).map_err(serde::de::Error::custom)?; let quote = Asset::try_from(quote).map_err(serde::de::Error::custom)?; Ok(Self { base, quote }) } } #[derive(serde::Serialize, serde::Deserialize, Debug, Clone)] pub struct TradingAsset { pub name: String, pub alt_name: String, pub decimals: u32, pub display_decimals: Option<u32>, }
0
crypto
/mono/crates/fdr_common/src/crypto/orders.rs
use crate::{crypto::assets::Asset, exchange::Market, TradingStrategy}; use derive_more::Display; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use uuid::Uuid; #[derive(Debug, Copy, Clone, PartialEq, Eq, Serialize, Deserialize)] pub struct OrderEntry { pub id: Uuid, pub market: Market, pub side: FdrOrderSide, pub price: Option<Decimal>, pub volume: Decimal, pub volume_remaining: Decimal, pub order_status: FdrOrderStatus, pub strategy: TradingStrategy, pub type_: FdrOrderType, pub strat_run_id: Option<Uuid>, } impl OrderEntry { pub fn get_locked_balance(&self) -> Option<(Asset, Decimal)> { self.price.map(|price| match self.side { FdrOrderSide::Buy => (self.market.pair.quote(), self.volume_remaining * price), FdrOrderSide::Sell => (self.market.pair.base(), self.volume_remaining), }) } } #[derive(serde::Deserialize, serde::Serialize, PartialEq, Eq, Debug, Copy, Clone, sqlx::Type, Display, Hash)] #[serde(rename_all = "UPPERCASE")] #[sqlx(type_name = "order_side", rename_all = "UPPERCASE")] pub enum FdrOrderSide { #[display(fmt = "Sell")] #[serde(alias = "SELL", alias = "sell")] Sell, #[display(fmt = "Buy")] #[serde(alias = "BUY", alias = "buy")] Buy, } #[derive(serde::Deserialize, serde::Serialize, PartialEq, Eq, Debug, Copy, Clone, sqlx::Type)] #[serde(rename_all = "SCREAMING_SNAKE_CASE")] #[sqlx(type_name = "order_type", rename_all = "SCREAMING_SNAKE_CASE")] pub enum FdrOrderType { Market, Limit, LimitMakerOnly, } impl Default for FdrOrderType { fn default() -> Self { Self::LimitMakerOnly } } #[derive(serde::Deserialize, serde::Serialize, PartialEq, Eq, Debug, Copy, Clone, sqlx::Type, Display)] #[serde(rename_all = "SCREAMING_SNAKE_CASE")] #[sqlx(type_name = "order_status", rename_all = "SCREAMING_SNAKE_CASE")] pub enum FdrOrderStatus { /// the order has been accepted into the FDR OEE New, /// The order has been received by the exchange but not yet posted to the order book Pending, /// The order is active on the order book but not yet filled (could be partially filled) Open, /// The exchange has confirmed the order has been filled. The order is no longer active. Filled, /// The cancellation request has been communicated to the exchange but not yet confirmed CancellationPending, /// The exchange has confirmed the order has been cancelled. The order is no longer active. Cancelled, /// An error has occurred... Check the error column in the database Error, } #[derive(serde::Deserialize, serde::Serialize, PartialEq, Eq, Debug, Copy, Clone, sqlx::Type, Display)] #[serde(rename_all = "SCREAMING_SNAKE_CASE")] #[sqlx(type_name = "cancellation_status", rename_all = "SCREAMING_SNAKE_CASE")] pub enum FdrOrderCancellationStatus { /// A cancellation request has been accepted by the FDR OEE Requested, /// The cancellation request has been communicated to the exchange but not yet confirmed Pending, /// The cancellation request has been acknowledged by the exchange Complete, /// The cancellation request has been aborted Aborted, }
0
crypto
/mono/crates/fdr_common/src/crypto/pairs.rs
use rust_decimal::Decimal; #[derive(Debug, Default, Clone, Copy, serde::Deserialize, serde::Serialize, PartialEq)] pub struct TradingPair { pub cost_decimals: u32, pub pair_decimals: u32, pub lot_decimals: u32, pub min_order: Decimal, pub tick_size: Decimal, } #[derive(Debug, Default, Clone, Copy, serde::Deserialize, serde::Serialize, PartialEq)] pub struct FeeData { #[serde(default)] pub fee: Decimal, #[serde(default)] #[serde(rename(deserialize = "minfee"))] pub min_fee: Decimal, #[serde(default)] #[serde(rename(deserialize = "maxfee"))] pub max_fee: Decimal, #[serde(default)] #[serde(rename(deserialize = "nextfee"))] pub next_fee: Option<Decimal>, #[serde(default)] #[serde(rename(deserialize = "nextvolume"))] pub next_volume: Option<Decimal>, #[serde(default)] #[serde(rename(deserialize = "tiervolume"))] pub tier_volume: Decimal, }
0
crypto
/mono/crates/fdr_common/src/crypto/account_balance.rs
use crate::{ crypto::assets::{Asset, CurrencyPair}, exchange::Exchange, TradingStrategy, }; use derive_more::Display; use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use uuid::Uuid; #[derive(serde::Deserialize, serde::Serialize, PartialEq, Eq, Debug, Copy, Clone, sqlx::Type, Display)] #[serde(rename_all = "SCREAMING_SNAKE_CASE")] #[sqlx(type_name = "account_status", rename_all = "SCREAMING_SNAKE_CASE")] pub enum AccountStatus { Active, Inactive, } #[derive(serde::Deserialize, serde::Serialize, PartialEq, Eq, Debug, Copy, Clone, sqlx::Type, Display)] #[serde(rename_all = "SCREAMING_SNAKE_CASE")] #[sqlx(type_name = "account_type", rename_all = "SCREAMING_SNAKE_CASE")] pub enum AccountType { Exchange, Strategy, Market, } #[derive(serde::Deserialize, serde::Serialize, Debug, Copy, Clone)] pub struct AccountBalance { pub id: Uuid, pub account_id: Uuid, pub asset: Asset, pub allocated: Decimal, pub unallocated: Decimal, pub available: Decimal, } #[derive(Debug, Serialize, Deserialize, Clone)] pub enum AccountWithBalance { Exchange(ExchangeAccountWithBalance), Strategy(StrategyAccountWithBalance), Market(MarketAccountWithBalance), } impl AccountWithBalance { pub fn exchange(&self) -> Exchange { match self { AccountWithBalance::Exchange(account) => account.exchange, AccountWithBalance::Strategy(account) => account.exchange, AccountWithBalance::Market(account) => account.exchange, } } } #[derive(Debug, Serialize, Deserialize, Clone)] pub struct MarketAccountWithBalance { pub id: Uuid, pub account_status: AccountStatus, pub strategy: TradingStrategy, pub exchange: Exchange, pub pair: CurrencyPair, pub asset: Asset, pub balance: AccountBalance, } #[derive(Debug, Serialize, Deserialize, Clone)] pub struct ExchangeAccountWithBalance { pub id: Uuid, pub account_status: AccountStatus, pub exchange: Exchange, pub asset: Asset, pub balance: AccountBalance, } #[derive(Debug, Serialize, Deserialize, Clone)] pub struct StrategyAccountWithBalance { pub id: Uuid, pub account_parent_id: Uuid, pub account_status: AccountStatus, pub strategy: TradingStrategy, pub exchange: Exchange, pub asset: Asset, pub balance: AccountBalance, }
0
crypto
/mono/crates/fdr_common/src/crypto/asset_balance.rs
use rust_decimal::Decimal; use serde::{Deserialize, Serialize}; use std::ops::{Add, Sub}; #[derive(Debug, Default, Copy, Clone, Serialize, Deserialize, PartialEq)] pub struct AssetBalance { available: Decimal, total: Decimal, } #[derive(Debug, Copy, Clone, Serialize, Deserialize, PartialEq)] pub enum BalanceType { Available, Total, } impl AssetBalance { pub fn new(available: Decimal, total: Decimal) -> Self { Self { available, total } } pub fn available(&self) -> Decimal { self.available } pub fn total(&self) -> Decimal { self.total } pub fn increase_balances(&mut self, amount: &Decimal) { self.increase_available_balance(amount); self.increase_total_balance(amount); } pub fn decrease_balances(&mut self, amount: &Decimal) { self.decrease_available_balance(amount); self.decrease_total_balance(amount); } pub fn increase_available_balance(&mut self, amount: &Decimal) { self.available = self.available.add(amount); } pub fn increase_total_balance(&mut self, amount: &Decimal) { self.total = self.total.add(amount); } pub fn decrease_available_balance(&mut self, amount: &Decimal) { let new_balance = self.available.sub(amount); if new_balance.is_sign_negative() { self.available = Decimal::ZERO; } else { self.available = new_balance; } } pub fn decrease_total_balance(&mut self, amount: &Decimal) { let new_balance = self.total.sub(amount); if new_balance.is_sign_negative() { self.total = Decimal::ZERO; } else { self.total = new_balance; } } pub fn update_available_balance(&mut self, amount: &Decimal) { let new_balance = self.available.add(amount); if new_balance.is_sign_negative() { self.available = Decimal::ZERO; } else { self.available = new_balance; } } pub fn update_total_balance(&mut self, amount: &Decimal) { let new_balance = self.total.add(amount); if new_balance.is_sign_negative() { self.total = Decimal::ZERO; } else { self.total = new_balance; } } }
0
crypto
/mono/crates/fdr_common/src/crypto/mod.rs
pub mod account_balance; pub mod asset_balance; pub mod assets; pub mod book; pub mod orders; pub mod pairs;
0
crypto
/mono/crates/fdr_common/src/crypto/book.rs
use crate::{Price, Volume}; use std::collections::BTreeMap; #[derive(Default, Debug, Clone, PartialEq, serde::Serialize, serde::Deserialize)] /// A book is a collection of asks and bids /// The asks and bids are both sorted by price ascending /// but we can easily reverse the iterator to get descending /// Example: /// ``` /// use rust_decimal::Decimal; /// use fdr_common::{Price, Volume}; /// use fdr_common::crypto::book::Book; /// let mut book = Book::new(10); /// book.bids.insert(Price::from(200), Volume::from(1)); /// assert_eq!(book.bids.len(), 1); /// ``` /// will create a book with one ask and one bid pub struct Book { pub top_updated: bool, pub asks: BTreeMap<Price, Volume>, pub bids: BTreeMap<Price, Volume>, pub depth: usize, #[serde(skip)] // this is used internally by the strats and shouldn't be transmitted on the wire pub sync_required: Option<i64>, } impl Book { pub fn new(depth: usize) -> Self { Self { top_updated: false, asks: BTreeMap::new(), bids: BTreeMap::new(), depth, sync_required: None, } } pub fn highest_bid(&self) -> Option<(Price, Volume)> { self.bids.last_key_value().map(|(price, volume)| (*price, *volume)) } pub fn lowest_ask(&self) -> Option<(Price, Volume)> { self.asks.first_key_value().map(|(price, volume)| (*price, *volume)) } }
0
tracing
/mono/crates/fdr_common/src/tracing/mod.rs
use http::HeaderMap; use opentelemetry::{ global, propagation::{Extractor, Injector}, KeyValue, }; use opentelemetry_otlp::{Protocol, WithExportConfig}; use opentelemetry_sdk::{ propagation::TraceContextPropagator, runtime, trace, trace::{RandomIdGenerator, Sampler}, Resource, }; use tracing_opentelemetry::OpenTelemetrySpanExt; use tracing_subscriber::{layer::SubscriberExt, util::SubscriberInitExt, Layer, Registry}; pub use tracing::{instrument, level_filters::LevelFilter}; use crate::tracing::config::TracingConfig; pub mod config; /// initialize tracing. this function will install the otlp exporter and set the global tracer. /// the exporter / tracer will be installed on the tokio runtime, therefore you must call this /// from a tokio runtime. pub fn init_tracing(config: TracingConfig) { global::set_text_map_propagator(TraceContextPropagator::new()); let exporter = opentelemetry_otlp::new_exporter() .tonic() .with_endpoint(format!("{}:{}", config.tempo_url, config.tempo_port)) // change the endpoint accordingly .with_protocol(Protocol::Grpc); let tracer = opentelemetry_otlp::new_pipeline() .tracing() .with_exporter(exporter) .with_trace_config( trace::config() .with_sampler( config .sample_ratio .map_or_else(|| Sampler::AlwaysOn, Sampler::TraceIdRatioBased), ) .with_id_generator(RandomIdGenerator::default()) .with_max_events_per_span(64) .with_max_attributes_per_span(16) .with_max_events_per_span(16) .with_resource(Resource::new(vec![KeyValue::new("service.name", config.service_name)])), ) .install_batch(runtime::Tokio) .expect("pipeline install failure"); let layer = tracing_opentelemetry::layer() .with_tracer(tracer) .with_filter(config.level); Registry::default() .with(layer) .try_init() .expect("failed to initialize tracing"); } pub struct HeaderInjector<'a>(pub &'a mut http::HeaderMap); impl<'a> Injector for HeaderInjector<'a> { /// Set a key and value in the HeaderMap. Does nothing if the key or value are not valid inputs. fn set(&mut self, key: &str, value: String) { if let Ok(name) = http::header::HeaderName::from_bytes(key.as_bytes()) { if let Ok(val) = http::header::HeaderValue::from_str(&value) { self.0.insert(name, val); } } } } pub fn store_tracing_context(headers: &mut HeaderMap) { let span = tracing::Span::current(); let context = span.context(); let mut injector = HeaderInjector(headers); global::get_text_map_propagator(|propagator| propagator.inject_context(&context, &mut injector)); } pub struct HeaderExtractor<'a>(pub &'a http::HeaderMap); impl<'a> Extractor for HeaderExtractor<'a> { /// Get a value for a key from the HeaderMap. If the value is not valid ASCII, returns None. fn get(&self, key: &str) -> Option<&str> { self.0.get(key).and_then(|value| value.to_str().ok()) } /// Collect all the keys from the HeaderMap. fn keys(&self) -> Vec<&str> { self.0.keys().map(|value| value.as_str()).collect::<Vec<_>>() } } pub fn restore_tracing_context(headers: &HeaderMap) -> opentelemetry::Context { global::get_text_map_propagator(|propagator| { let extractor = HeaderExtractor(headers); propagator.extract(&extractor) }) }
0
tracing
/mono/crates/fdr_common/src/tracing/config.rs
use serde::{Deserialize, Serialize}; use tracing_core::LevelFilter; #[derive(Debug, Serialize, Deserialize, Clone)] pub struct TracingConfig { #[serde( deserialize_with = "deserialize_level_filter", serialize_with = "serialize_level_filter" )] pub level: LevelFilter, pub tempo_url: String, pub tempo_port: u32, pub service_name: String, #[serde(default)] pub sample_ratio: Option<f64>, } pub fn serialize_level_filter<S>(level: &LevelFilter, serializer: S) -> Result<S::Ok, S::Error> where S: serde::ser::Serializer, { match *level { LevelFilter::OFF => serializer.serialize_str("OFF"), LevelFilter::ERROR => serializer.serialize_str("ERROR"), LevelFilter::WARN => serializer.serialize_str("WARN"), LevelFilter::INFO => serializer.serialize_str("INFO"), LevelFilter::DEBUG => serializer.serialize_str("DEBUG"), LevelFilter::TRACE => serializer.serialize_str("TRACE"), } } pub fn deserialize_level_filter<'de, D>(deserializer: D) -> Result<LevelFilter, D::Error> where D: serde::de::Deserializer<'de>, { struct StringLevelFilter; impl<'de> serde::de::Visitor<'de> for StringLevelFilter { type Value = LevelFilter; fn expecting(&self, formatter: &mut std::fmt::Formatter<'_>) -> std::fmt::Result { formatter.write_str("string") } fn visit_str<E>(self, value: &str) -> Result<LevelFilter, E> where E: serde::de::Error, { match value { "OFF" => Ok(LevelFilter::OFF), "ERROR" => Ok(LevelFilter::ERROR), "WARN" => Ok(LevelFilter::WARN), "INFO" => Ok(LevelFilter::INFO), "DEBUG" => Ok(LevelFilter::DEBUG), "TRACE" => Ok(LevelFilter::TRACE), _ => Err(serde::de::Error::custom(format!("unknown log level: {value}"))), } } } deserializer.deserialize_any(StringLevelFilter) }
0
utils
/mono/crates/fdr_common/src/utils/mod.rs
pub mod channel; pub mod cli; pub mod config; pub mod serde;
0
utils
/mono/crates/fdr_common/src/utils/config.rs
use crate::error::FdrError; use serde::{ de::{Deserializer, Error}, Deserialize, }; pub fn from_file_or_const<'de, D>(deserializer: D) -> Result<String, D::Error> where D: Deserializer<'de>, { let s = String::deserialize(deserializer)?; if let Some(s) = s.strip_prefix("file:") { std::fs::read_to_string(s) .map_err(|e| FdrError::FileNotFound(format!("Failed to find file: {s}"), e.to_string())) .map_err(Error::custom) } else { Ok(s) } }
0
utils
/mono/crates/fdr_common/src/utils/cli.rs
pub use clap::Parser; #[derive(Parser, Debug)] pub struct Args<T: serde::de::DeserializeOwned + Clone + Send + Sync + 'static> { #[arg(short, long, env, value_parser = toml_from_file::<T>)] pub config: T, #[arg(short, long, env, default_value = "false")] pub validate: bool, } pub fn toml_from_file<T: serde::de::DeserializeOwned>(path: &str) -> Result<T, String> { // toml::from_str(&std::fs::read_to_string(path).expect("Something went wrong reading the file")) // .expect("failed to parse config file") // The above does not work as we can not deserialize enums from toml when they are not the only // table in the file without first converting to JSON as a workaround. // Example Error: thread 'main' panicked at 'failed to parse config file: Error { inner: ErrorInner { kind: Wanted { expected: "exactly 1 table", found: "more than 1 table" }, line: None, col: 0, at: Some(0), message: "", key: [] } }', let toml = std::fs::read_to_string(path).map_err(|e| e.to_string())?; let config_json = toml::from_str(&toml).map_err(|e| e.to_string())?; let config = serde_json::from_value(config_json).map_err(|e| e.to_string())?; Ok(config) }
0
utils
/mono/crates/fdr_common/src/utils/channel.rs
use tokio::sync::broadcast::{channel, Receiver, Sender}; pub struct Channel<T: Clone> { tx: Sender<T>, } impl<T: Clone> Default for Channel<T> { fn default() -> Self { let (tx, _) = channel::<T>(1); Self { tx } } } impl<T: Clone> Channel<T> { pub fn new(capacity: usize) -> Self { let (tx, _) = channel::<T>(capacity); Self { tx } } } impl<T: Clone> Clone for Channel<T> { fn clone(&self) -> Self { Self { tx: self.tx.clone() } } } impl<T: Clone> Channel<T> { pub fn rx(&self) -> Receiver<T> { self.tx.subscribe() } pub fn tx(&self) -> Sender<T> { self.tx.clone() } }
0
serde
/mono/crates/fdr_common/src/utils/serde/mod.rs
use chrono::{DateTime, Utc}; use serde::{ de::{DeserializeOwned, Visitor}, Deserialize, Deserializer, Serializer, }; use std::{fmt, fmt::Display}; pub fn serialize_option_as_string<S, T>(value: &Option<T>, serializer: S) -> Result<S::Ok, S::Error> where S: Serializer, T: Display + Sized, { match value { Some(v) => serializer.serialize_str(&v.to_string()), None => serializer.serialize_none(), } } pub fn deserialize_string_or_i32<'de, D>(deserializer: D) -> Result<i32, D::Error> where D: Deserializer<'de>, { struct StringOrI32; impl<'de> Visitor<'de> for StringOrI32 { type Value = i32; fn expecting(&self, formatter: &mut fmt::Formatter<'_>) -> fmt::Result { formatter.write_str("string or i32") } fn visit_i32<E>(self, value: i32) -> Result<i32, E> { Ok(value) } fn visit_str<E>(self, value: &str) -> Result<i32, E> where E: serde::de::Error, { value.parse::<i32>().map_err(serde::de::Error::custom) } } deserializer.deserialize_any(StringOrI32) } pub fn deserialize_string_or_u64<'de, D>(deserializer: D) -> Result<u64, D::Error> where D: Deserializer<'de>, { struct StringOrU64; impl<'de> Visitor<'de> for StringOrU64 { type Value = u64; fn expecting(&self, formatter: &mut fmt::Formatter<'_>) -> fmt::Result { formatter.write_str("string or u64") } fn visit_u64<E>(self, value: u64) -> Result<u64, E> { Ok(value) } fn visit_str<E>(self, value: &str) -> Result<u64, E> where E: serde::de::Error, { value.parse::<u64>().map_err(serde::de::Error::custom) } } deserializer.deserialize_any(StringOrU64) } pub fn serialize_as_string<S, T: Display>(value: &T, serializer: S) -> Result<S::Ok, S::Error> where S: Serializer, { serializer.serialize_str(&value.to_string()) } pub fn empty_string_as_none<'de, D, T>(deserializer: D) -> Result<Option<T>, D::Error> where D: Deserializer<'de>, T: DeserializeOwned, { struct OptionEmptyStringVisitor<T>(std::marker::PhantomData<T>); impl<'de, T> Visitor<'de> for OptionEmptyStringVisitor<T> where T: DeserializeOwned, { type Value = Option<T>; fn expecting(&self, formatter: &mut fmt::Formatter<'_>) -> fmt::Result { formatter.write_str("string or null") } fn visit_str<E>(self, value: &str) -> Result<Self::Value, E> where E: serde::de::Error, { if value.is_empty() { Ok(None) } else { match serde_json::from_str::<T>(format!("\"{}\"", value.to_ascii_uppercase()).as_str()) { Ok(t) => Ok(Some(t)), Err(_) => Err(serde::de::Error::custom("Could not deserialize string")), } } } } deserializer.deserialize_any(OptionEmptyStringVisitor(std::marker::PhantomData)) } pub fn iso8601_deserialize<'de, D>(deserializer: D) -> Result<Option<DateTime<Utc>>, D::Error> where D: Deserializer<'de>, { let s = String::deserialize(deserializer)?; Ok(if s.is_empty() { None } else { Some( DateTime::parse_from_rfc3339(&s) .map_err(serde::de::Error::custom)? .with_timezone(&Utc), ) }) }
0
ticker
/mono/crates/fdr_common/src/ticker/mod.rs
pub mod ticker_buffer; use crate::{crypto::assets::CurrencyPair, exchange::Exchange}; use chrono::{DateTime, Utc}; use rust_decimal::Decimal; #[derive(Debug, Copy, Clone, serde::Deserialize, serde::Serialize, Eq, PartialEq, Hash)] pub struct FdrTickerUpdate { pub exchange: Exchange, pub pair: CurrencyPair, pub timestamp: DateTime<Utc>, pub chan_id: u64, pub bid: Option<Decimal>, pub bid_size: Option<Decimal>, pub ask: Option<Decimal>, pub ask_size: Option<Decimal>, /// last executed price pub last_price: Option<Decimal>, /// last executed price volume pub last_price_volume: Option<Decimal>, /// Today's low pub low: Option<Decimal>, /// Today's high pub high: Option<Decimal>, /// Today's volume pub volume: Option<Decimal>, /// 24 hour low pub low_24: Option<Decimal>, /// 24 hour high pub high_24: Option<Decimal>, /// 24 hour volume pub volume_24: Option<Decimal>, } impl FdrTickerUpdate { pub fn last_price(&self) -> Decimal { self.last_price.unwrap_or_default() } pub fn volume(&self) -> Decimal { self.volume.unwrap_or_default() } }
0
ticker
/mono/crates/fdr_common/src/ticker/ticker_buffer.rs
use crate::ticker::FdrTickerUpdate; use chrono::{DateTime, Duration, Utc}; use std::collections::{BTreeMap, Bound}; const DEFAULT_CAPACITY: usize = 1000; /// TickerBuffer stores tickers up to a max duration ago. The buffer can provides time bound ranges of tickers in log(N) /// time and attempts to reduce the cost of memory allocation and clean up by dynamically growing it's capacity. pub struct TickerBuffer { buffer: BTreeMap<DateTime<Utc>, FdrTickerUpdate>, max_age: Duration, capacity: usize, } impl TickerBuffer { pub fn new(max_age: Duration) -> Self { Self { buffer: BTreeMap::new(), max_age, capacity: DEFAULT_CAPACITY, } } pub fn push(&mut self, ticker: FdrTickerUpdate) { self.buffer.insert(ticker.timestamp, ticker); // Remove old prices that outside of the largest period if self.buffer.len() >= self.capacity { // Remove any tickers older than a month let oldest_time = ticker.timestamp - self.max_age; self.buffer = self.buffer.split_off(&oldest_time); } // Increase the capacity of the tickers if we are getting close to the limit if self.buffer.len() >= self.capacity * 3 / 4 { self.capacity *= 2; } } pub fn range(&self, range: (Bound<DateTime<Utc>>, Bound<DateTime<Utc>>)) -> impl Iterator<Item = &FdrTickerUpdate> { self.buffer.range(range).map(|(_, ticker)| ticker) } /// Retrieves the tickers in the past `dur` duration. Accepts anything that can be turned into a duration, allowing /// for use with `Period` or `Duration` directly. pub fn range_in_past<T: Into<Duration>>(&self, dur: T) -> impl Iterator<Item = &FdrTickerUpdate> { let now = Utc::now(); let ago = now - dur.into(); self.range((Bound::Included(ago), Bound::Included(now))) } }
0
config
/mono/crates/fdr_common/src/config/mod.rs
use crate::{exchange::Exchange, TradingStrategy}; use serde::{Deserialize, Serialize}; #[derive(Debug, Clone, Serialize, Deserialize)] pub struct MetricsConfig { pub prefix: String, } #[derive(Debug, Clone, Serialize, Deserialize)] pub struct ServerConfig { pub port: u16, pub listen_address: String, } #[derive(Debug, Clone, Serialize, Deserialize)] pub struct ExchangeConfiguration { pub exchange: Exchange, pub strategy: TradingStrategy, pub url: String, pub port: u16, }
0
fdr_balances
/mono/crates/fdr_balances/Cargo.toml
[package] name = "fdr-balances" version.workspace = true edition.workspace = true [dependencies] fdr-common = { path = "../fdr_common", features = ["tracing"] } fdr-store = { path = "../fdr_store" } fdr-event = { path = "../fdr_event" } async-trait = { workspace = true } rust_decimal = { workspace = true, features = ["serde", "db-postgres"] } uuid = { workspace = true } serde = { workspace = true } sqlx = { workspace = true, features = [ "runtime-tokio-native-tls", "postgres", "json", "migrate", "time", "uuid", "chrono", ] } thiserror = { workspace = true } url = { workspace = true } serde_json = { workspace = true } chrono = { workspace = true } tokio = { workspace = true } derive_more = { workspace = true }
0
src
/mono/crates/fdr_balances/src/error.rs
use thiserror::Error; #[derive(Error, Debug)] pub enum FdrBalancesError { #[error(transparent)] Sqlx(#[from] sqlx::Error), #[error(transparent)] UrlParse(#[from] url::ParseError), #[error(transparent)] Json(#[from] serde_json::Error), #[error(transparent)] FdrStore(#[from] fdr_store::error::FdrStoreError), #[error("Balance update failed")] BalanceUpdateFailed, } pub type FdrBalancesResult<T> = Result<T, FdrBalancesError>;
0
src
/mono/crates/fdr_balances/src/lib.rs
pub mod error; pub mod virtual_account;
0
virtual_account
/mono/crates/fdr_balances/src/virtual_account/pair.rs
use crate::{error::FdrBalancesResult, virtual_account::VirtualAccount}; use chrono::{DateTime, Utc}; use fdr_event::events::FdrOrderTrade; use rust_decimal::Decimal; #[derive(Debug)] pub struct VirtualAccountPair { base: VirtualAccount, quote: VirtualAccount, } #[derive(Debug)] pub struct PairBalances { pub base: Decimal, pub quote: Decimal, } impl VirtualAccountPair { pub fn new(base: VirtualAccount, quote: VirtualAccount) -> Self { Self { base, quote } } pub async fn get_balances(&self) -> FdrBalancesResult<PairBalances> { Ok(PairBalances { base: self.base.balance().await?, quote: self.quote.balance().await?, }) } pub async fn update_balances_on_trade( &self, trade: &FdrOrderTrade, timestamp: Option<DateTime<Utc>>, ) -> FdrBalancesResult<()> { self.base.update_balance_on_trade(trade, timestamp).await?; self.quote.update_balance_on_trade(trade, timestamp).await?; Ok(()) } }
0
virtual_account
/mono/crates/fdr_balances/src/virtual_account/mod.rs
pub mod pair; use crate::error::FdrBalancesResult; use chrono::{DateTime, Utc}; use fdr_common::crypto::{assets::Asset, orders::FdrOrderSide}; use fdr_event::events::FdrOrderTrade; use fdr_store::{core::pool::Pool, virtual_accounts::VirtualAccountStore}; use rust_decimal::Decimal; use std::{ops::Neg, sync::Arc}; use uuid::Uuid; #[derive(Debug)] pub struct VirtualAccount { asset: Asset, id: Uuid, pool: Arc<Pool>, } impl VirtualAccount { pub fn new(asset: Asset, id: Uuid, pool: Arc<Pool>) -> Self { Self { asset, id, pool } } pub async fn balance(&self) -> FdrBalancesResult<Decimal> { let mut conn = self.pool.acquire().await?; let balances = conn.get_virtual_account(self.id).await?; Ok(balances.amount) } pub async fn update_balance(&self, amount: Decimal, created_at: Option<DateTime<Utc>>) -> FdrBalancesResult<u64> { let time = created_at.unwrap_or_else(Utc::now); let mut db_conn = self.pool.acquire().await?; Ok(db_conn.add_ledger_entry(self.id, amount, time).await?.1) } pub async fn update_balance_on_trade( &self, trade: &FdrOrderTrade, created_at: Option<DateTime<Utc>>, ) -> FdrBalancesResult<()> { match trade.side { FdrOrderSide::Sell => { // Reduce base balance, we don't update the available balance here because it gets // reduced when the order goes up. if self.asset == trade.market.pair.base() { self.update_balance(trade.volume.neg(), created_at).await?; } else if self.asset == trade.market.pair.quote() { self.update_balance(trade.cost, created_at).await?; } } FdrOrderSide::Buy => { // Reduce the total quote balance, we don't update the available balance here because it gets // reduced when the order is made. if self.asset == trade.market.pair.quote() { self.update_balance(trade.cost.neg(), created_at).await?; } else if self.asset == trade.market.pair.base() { self.update_balance(trade.volume, created_at).await?; } } } Ok(()) } }
0
strategies
/mono/crates/strategies/Cargo.toml
[package] name = "strategies" version = "0.1.0" edition = "2021" authors = ["Justin"] description = "Strategy Repository" [dependencies] strat-common = { path = "../strat_common" } fdr-common = { path = "../fdr_common" } fdr-event = { path = "../fdr_event" } fdr-store = { path = "../fdr_store" } fdr-balances = { path = "../fdr_balances" } price_guard = { path = "../price_guard" } async-trait = { workspace = true } chrono = { workspace = true } clap = { workspace = true, features = ["derive", "env", "cargo"] } derive_more = { workspace = true } http = { workspace = true } http-body = { workspace = true } hyper = { workspace = true, features = ["full"] } indexmap = { workspace = true } prometheus = { workspace = true } rust_decimal = { workspace = true, features = ["serde", "db-postgres"] } rust_decimal_macros = { workspace = true } serde = { workspace = true, features = ["derive"] } serde_json = { workspace = true } slog = { workspace = true, features = ["max_level_trace"] } sqlx = { workspace = true, features = ["runtime-tokio-native-tls", "postgres", "json", "migrate", "time", "uuid", "rust_decimal"] } thiserror = { workspace = true } tokio = { workspace = true, features = ["full", "tracing"] } toml = { workspace = true } tower = { workspace = true, features = ["full"] } tracing = { workspace = true, default-features = false, features = ["std", "attributes"] } tracing-opentelemetry = { workspace = true, default-features = true } url = { workspace = true } uuid = { workspace = true, features = ["v4", "fast-rng", "serde"] }
0
src
/mono/crates/strategies/src/error.rs
use fdr_balances::error::FdrBalancesError; use thiserror::Error; use fdr_common::{ crypto::assets::{Asset, CurrencyPair}, error::FdrError, exchange::Exchange, }; use fdr_event::FdrEventError; use fdr_store::error::FdrStoreError; use price_guard::error::PriceGuardError; use strat_common::state_managers::channel_manager::UpdateType; #[derive(Error, Debug)] pub enum StrategyError { #[error(transparent)] FdrError(#[from] FdrError), #[error("Received Kafka Message w/No Body")] EmptyPayload, #[error(transparent)] Hyper(#[from] hyper::Error), #[error(transparent)] AddrParse(#[from] std::net::AddrParseError), #[error(transparent)] SerdeJson(#[from] serde_json::Error), #[error(transparent)] Io(#[from] std::io::Error), #[error(transparent)] Uuid(#[from] uuid::Error), #[error(transparent)] Decimal(#[from] rust_decimal::Error), #[error(transparent)] ParseUrl(#[from] url::ParseError), #[error("Last Ticker Hit not set")] TickerNotSet, #[error("Orders not initialized")] OrderManagerNotInitialized, #[error("Cannot calculate price, last_hit not available")] CannotCalculatePrice, #[error("Error converting num_orders dec to u32")] CannotConvertDecimal, #[error("Order came in cancelled that wasn't requested!")] UnknownCancelledOrder, #[error("Order came in placed that isn't considered new!")] UnknownPlacedOrder, #[error("Order came in that we did not place!")] UnknownTradedOrder, #[error("Unknown TradingPair: {0}")] UnknownTradingPair(CurrencyPair), #[error("Unknown CurrencyPair: {0}")] UnknownCurrencyPair(CurrencyPair), #[error("Unknown fees for CurrencyPair: {0}")] UnknownExchange(Exchange), #[error("Unknown fees for Exchange: {0}")] UnknownFees(CurrencyPair), #[error("No order_book data for {0}")] NoOrderbook(CurrencyPair), #[error("Order to be cancelled that has a bad status: {0}")] UnknownCancelStatus(String), #[error(transparent)] Prometheus(#[from] prometheus::Error), #[error("Kafka consumer must be set to run this strategy")] KafkaConsumerNotSet, #[error("No market found for {0}")] NoMarketFound(CurrencyPair), #[error("No BTC pair ticker found for asset: {0}")] MissingBtcPair(Asset), #[error("Error creating orders: {0}")] CreateOrders(String), #[error("No actions provided")] NoOrderActions, #[error("No orderbook found for: {0}")] MissingOrderBook(CurrencyPair), #[error("No book order found for: {0}")] NoBookOrderFound(CurrencyPair), #[error("No fees found for: {0}")] NoFeesFound(CurrencyPair), #[error("No price strategy given in config")] MissingPriceStrategy, #[error("No receiver for type {0}, for pair {1}")] MissingReceiver(UpdateType, CurrencyPair), #[error(transparent)] FdrKafka(#[from] FdrEventError), #[error("No request sender found")] InvalidRequestSender, #[error(transparent)] FdrStore(#[from] FdrStoreError), #[error(transparent)] FdrBalance(#[from] FdrBalancesError), #[error("Missing balance records")] MissingBalanceRecords, #[error("Error handling event: {0}")] HandleEventError(String), #[error("Bad Config: {0}")] BadConfig(String), #[error("Failed to Initialize: {0}")] Init(String), #[error(transparent)] PriceGuardError(#[from] PriceGuardError), } pub type StrategyResult<T> = Result<T, StrategyError>;
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