minicheddar / crypto-stream Goto Github PK

Add support for Huobi futures

• Implement futures trade detail stream
  https://huobiapi.github.io/docs/dm/v1/en/#subscribe-trade-detail-data

• Implement futures market depth stream
  https://huobiapi.github.io/docs/dm/v1/en/#subscribe-incremental-market-depth-data

Whilst ping/pongs are handled per exchange task, if a websocket connection is dropped it does not automatically reconnect.

Add support for automatic reconnect with exponential back-off (to avoid rate limiting)

Rust does not allow ordering of f32/f64s as part of std. This prevents using f64 as a key in BTreeMap<f64, OrderbookLevel>.

For now, we should just use this (https://crates.io/crates/ordered-float), but I'm curious on the performance difference between.

• Implementing PartialOrd for floats as above
• Having serde deserialise 'float-like' data straight to Decimal
• Having serde deserialise to f64, but converting to Decimal when returning MarketDataKind:L2Update/Snapshot
• Storing prices as u64 with a mantissa on the number of floating points as a separate piece of metadata (like smart contracts)

This is definitely a low-priority premature micro-optimisation!

Add support for Kraken cryptocurrency exchange

• spot trade stream
  https://docs.kraken.com/websockets/#message-trade

• spot orderbook depth stream
  https://docs.kraken.com/websockets/#message-book

• futures trade stream
  https://support.kraken.com/hc/en-us/articles/360022839771-Trade

• futures orderbook depth stream
  https://support.kraken.com/hc/en-us/articles/360022635912-Book

Add support for Huobi cryptocurrency exchange

• Implement spot trade detail stream
  https://huobiapi.github.io/docs/spot/v1/en/#trade-detail

• Implement spot market by price stream
  https://huobiapi.github.io/docs/spot/v1/en/#market-by-price-refresh-update

• Implement futures trade detail stream
  https://huobiapi.github.io/docs/dm/v1/en/#subscribe-trade-detail-data

• Implement futures market depth stream
  https://huobiapi.github.io/docs/dm/v1/en/#subscribe-incremental-market-depth-data

Each exchange connector has been (deliberately) duplicated to expedite development speed.

Once the initial set of exchanges have been implemented, there may be an opportunity to break out common integration code to a re-usable set of components.

No attempt has been made to optimise the performance of the market data handlers.

We should commit some baseline benchmarks, and profile the code to see where the hot spots are.

There is some good guidance to Rust performance optimisation in the perf-book:
https://nnethercote.github.io/perf-book/introduction.html

serde_json deserialisation is likely the bottleneck here; but I'm also interested to understand the performance characteristics of tokio::spawn_blocking vs thread::spawn (as opposed to what we are currently doing with tokio::spawn)

We are also doing lots of unnecessary Arc<HashMap<Instrument, WebsocketSubscription>> lookups on each market data event to populate the MarketData.Instrument field.

As there are no immediate plans to build a cross-exchange symbol map; we can probably just replace the Instrument type with the symbol ticker String, and save a bunch of locks and HashMap lookups.

Add support for Bybit cryptocurrency exchange

• spot trade stream
  https://bybit-exchange.github.io/docs/spot/v3/#t-websockettrade

• spot orderbook depth stream
  https://bybit-exchange.github.io/docs/spot/v3/#t-websocketdepth

• perpetual futures trade stream
  https://bybit-exchange.github.io/docs/futuresV2/linear/#t-websockettrade

• perpetual futures orderbook depth stream
  https://bybit-exchange.github.io/docs/futuresV2/linear/#t-websocketorderbook25

Add support for Kucoin cryptocurrency exchange

• spot trade stream
  https://docs.kucoin.com/#match-execution-data

• spot orderbook depth stream
  https://docs.kucoin.com/#level2-5-best-ask-bid-orders

• futures trade stream
  https://docs.kucoin.com/futures/#execution-data

• futures orderbook depth stream
  https://docs.kucoin.com/futures/#message-channel-for-the-5-best-ask-bid-full-data-of-level-2

Add support for Gate.io cryptocurrency exchange:

• spot trades channel
  https://www.gate.io/docs/developers/apiv4/ws/en/#public-trades-channel

• spot orderbook channel
  https://www.gate.io/docs/developers/apiv4/ws/en/#order-book-channel

• perpetual futures trades channel
  https://www.gate.io/docs/developers/futures/ws/en/#trades-api

• perpetual futures orderbook channel
  https://www.gate.io/docs/developers/futures/ws/en/#order-book-api