barter-integration

Crates.iobarter-integration
lib.rsbarter-integration
version0.7.2
sourcesrc
created_at2022-04-07 21:46:23.021519
updated_at2024-05-14 10:03:52.197422
descriptionLow-level framework for composing flexible web integrations, especially with financial exchanges
homepage
repositoryhttps://github.com/barter-rs/barter-integration-rs
max_upload_size
id563930
size127,918
Just A Stream (just-a-stream)

documentation

https://docs.rs/barter-integration/

README

Barter-Integration

High-performance, low-level framework for composing flexible web integrations.

Utilised by other Barter trading ecosystem crates to build robust financial exchange integrations, primarily for public data collection & trade execution. It is:

  • Low-Level: Translates raw data streams communicated over the web into any desired data model using arbitrary data transformations.
  • Flexible: Compatible with any protocol (WebSocket, FIX, Http, etc.), any input/output model, and any user defined transformations.

Core abstractions include:

  • RestClient providing configurable signed Http communication between client & server.
  • ExchangeStream providing configurable communication over any asynchronous stream protocols (WebSocket, FIX, etc.).

Both core abstractions provide the robust glue you need to conveniently translate between server & client data models.

See: Barter, Barter-Data & Barter-Execution

Crates.io MIT licensed Build Status Discord chat

API Documentation | Chat

Overview

Barter-Integration is a high-performance, low-level, configurable framework for composing flexible web integrations.

RestClient

(sync private & public Http communication)

At a high level, a RestClient is has a few major components that allow it to execute RestRequests:

  • RequestSigner with configurable signing logic on the target API.
  • HttpParser that translates API specific responses into the desired output types.

ExchangeStream

(async communication using streaming protocols such as WebSocket and FIX)

At a high level, an ExchangeStream is made up of a few major components:

  • Inner Stream/Sink socket (eg/ WebSocket, FIX, etc).
  • StreamParser that is capable of parsing input protocol messages (eg/ WebSocket, FIX, etc.) as exchange specific messages.
  • Transformer that transforms from exchange specific message into an iterator of the desired outputs type.

Examples

Fetch Ftx Account Balances Using Signed GET request:

use std::borrow::Cow;

use barter_integration::{
    error::SocketError,
    metric::Tag,
    model::Symbol,
    protocol::http::{
        private::{encoder::HexEncoder, RequestSigner, Signer},
        rest::{client::RestClient, RestRequest},
        HttpParser,
    },
};
use bytes::Bytes;
use chrono::{DateTime, Utc};
use hmac::{Hmac, Mac};
use reqwest::{RequestBuilder, StatusCode};
use serde::Deserialize;
use thiserror::Error;
use tokio::sync::mpsc;

struct FtxSigner {
    api_key: String,
}

// Configuration required to sign every Ftx `RestRequest`
struct FtxSignConfig<'a> {
    api_key: &'a str,
    time: DateTime<Utc>,
    method: reqwest::Method,
    path: Cow<'static, str>,
}

impl Signer for FtxSigner {
    type Config<'a> = FtxSignConfig<'a> where Self: 'a;

    fn config<'a, Request>(
        &'a self,
        request: Request,
        _: &RequestBuilder,
    ) -> Result<Self::Config<'a>, SocketError>
    where
        Request: RestRequest,
    {
        Ok(FtxSignConfig {
            api_key: self.api_key.as_str(),
            time: Utc::now(),
            method: Request::method(),
            path: request.path(),
        })
    }

    fn add_bytes_to_sign<M>(mac: &mut M, config: &Self::Config<'a>) -> Bytes
    where
        M: Mac
    {
        mac.update(config.time.to_string().as_bytes());
        mac.update(config.method.as_str().as_bytes());
        mac.update(config.path.as_bytes());
    }

    fn build_signed_request<'a>(
        config: Self::Config<'a>,
        builder: RequestBuilder,
        signature: String,
    ) -> Result<reqwest::Request, SocketError> {
        // Add Ftx required Headers & build reqwest::Request
        builder
            .header("FTX-KEY", config.api_key)
            .header("FTX-TS", &config.time.timestamp_millis().to_string())
            .header("FTX-SIGN", &signature)
            .build()
            .map_err(SocketError::from)
    }
}

struct FtxParser;

impl HttpParser for FtxParser {
    type ApiError = serde_json::Value;
    type OutputError = ExecutionError;

    fn parse_api_error(&self, status: StatusCode, api_error: Self::ApiError) -> Self::OutputError {
        // For simplicity, use serde_json::Value as Error and extract raw String for parsing
        let error = api_error.to_string();

        // Parse Ftx error message to determine custom ExecutionError variant
        match error.as_str() {
            message if message.contains("Invalid login credentials") => {
                ExecutionError::Unauthorised(error)
            }
            _ => ExecutionError::Socket(SocketError::HttpResponse(status, error)),
        }
    }
}

#[derive(Debug, Error)]
enum ExecutionError {
    #[error("request authorisation invalid: {0}")]
    Unauthorised(String),

    #[error("SocketError: {0}")]
    Socket(#[from] SocketError),
}

struct FetchBalancesRequest;

impl RestRequest for FetchBalancesRequest {
    type Response = FetchBalancesResponse; // Define Response type
    type QueryParams = (); // FetchBalances does not require any QueryParams
    type Body = (); // FetchBalances does not require any Body

    fn path(&self) -> Cow<'static, str> {
        Cow::Borrowed("/api/wallet/balances")
    }

    fn method() -> reqwest::Method {
        reqwest::Method::GET
    }
}

#[derive(Deserialize)]
#[allow(dead_code)]
struct FetchBalancesResponse {
    success: bool,
    result: Vec<FtxBalance>,
}

#[derive(Deserialize)]
#[allow(dead_code)]
struct FtxBalance {
    #[serde(rename = "coin")]
    symbol: Symbol,
    total: f64,
}

/// See Barter-Execution for a comprehensive real-life example, as well as code you can use out of the
/// box to execute trades on many exchanges.
#[tokio::main]
async fn main() {
    // HMAC-SHA256 encoded account API secret used for signing private http requests
    let mac: Hmac<sha2::Sha256> = Hmac::new_from_slice("api_secret".as_bytes()).unwrap();

    // Build Ftx configured RequestSigner for signing http requests with hex encoding
    let request_signer = RequestSigner::new(
        FtxSigner {
            api_key: "api_key".to_string(),
        },
        mac,
        HexEncoder,
    );

    // Build RestClient with Ftx configuration
    let rest_client = RestClient::new("https://ftx.com", request_signer, FtxParser);

    // Fetch Result<FetchBalancesResponse, ExecutionError>
    let _response = rest_client.execute(FetchBalancesRequest).await;
}

Consume Binance Futures tick-by-tick Trades and calculate a rolling sum of volume:

use barter_integration::{
    error::SocketError,
    protocol::websocket::{WebSocket, WebSocketParser, WsMessage},
    ExchangeStream, Transformer,
};
use futures::{SinkExt, StreamExt};
use serde::{de, Deserialize};
use serde_json::json;
use std::str::FromStr;
use tokio_tungstenite::connect_async;
use tracing::debug;

// Convenient type alias for an `ExchangeStream` utilising a tungstenite `WebSocket`
type ExchangeWsStream<Exchange> = ExchangeStream<WebSocketParser, WebSocket, Exchange, VolumeSum>;

// Communicative type alias for what the VolumeSum the Transformer is generating
type VolumeSum = f64;

#[derive(Deserialize)]
#[serde(untagged, rename_all = "camelCase")]
enum BinanceMessage {
    SubResponse {
        result: Option<Vec<String>>,
        id: u32,
    },
    Trade {
        #[serde(rename = "q", deserialize_with = "de_str")]
        quantity: f64,
    },
}

struct StatefulTransformer {
    sum_of_volume: VolumeSum,
}

impl Transformer<VolumeSum> for StatefulTransformer {
    type Input = BinanceMessage;
    type OutputIter = Vec<Result<VolumeSum, SocketError>>;

    fn transform(&mut self, input: Self::Input) -> Self::OutputIter {
        // Add new input Trade quantity to sum
        match input {
            BinanceMessage::SubResponse { result, id } => {
                debug!("Received SubResponse for {}: {:?}", id, result);
                // Don't care about this for the example
            }
            BinanceMessage::Trade { quantity, .. } => {
                // Add new Trade volume to internal state VolumeSum
                self.sum_of_volume += quantity;
            }
        };

        // Return IntoIterator of length 1 containing the running sum of volume
        vec![Ok(self.sum_of_volume)]
    }
}

/// See Barter-Data for a comprehensive real-life example, as well as code you can use out of the
/// box to collect real-time public market data from many exchanges.
#[tokio::main]
async fn main() {
    // Establish Sink/Stream communication with desired WebSocket server
    let mut binance_conn = connect_async("wss://fstream.binance.com/ws/")
        .await
        .map(|(ws_conn, _)| ws_conn)
        .expect("failed to connect");

    // Send something over the socket (eg/ Binance trades subscription)
    binance_conn
        .send(WsMessage::Text(
            json!({"method": "SUBSCRIBE","params": ["btcusdt@aggTrade"],"id": 1}).to_string(),
        ))
        .await
        .expect("failed to send WsMessage over socket");

    // Instantiate some arbitrary Transformer to apply to data parsed from the WebSocket protocol
    let transformer = StatefulTransformer { sum_of_volume: 0.0 };

    // ExchangeWsStream includes pre-defined WebSocket Sink/Stream & WebSocket StreamParser
    let mut ws_stream = ExchangeWsStream::new(binance_conn, transformer);

    // Receive a stream of your desired Output data model from the ExchangeStream
    while let Some(volume_result) = ws_stream.next().await {
        match volume_result {
            Ok(cumulative_volume) => {
                // Do something with your data
                println!("{cumulative_volume:?}");
            }
            Err(error) => {
                // React to any errors produced by the internal transformation
                eprintln!("{error}")
            }
        }
    }
}

/// Deserialize a `String` as the desired type.
fn de_str<'de, D, T>(deserializer: D) -> Result<T, D::Error>
where
    D: de::Deserializer<'de>,
    T: FromStr,
    T::Err: std::fmt::Display,
{
    let data: String = Deserialize::deserialize(deserializer)?;
    data.parse::<T>().map_err(de::Error::custom)
}

For a larger, "real world" example, see the Barter-Data repository.

Getting Help

Firstly, see if the answer to your question can be found in the API Documentation. If the answer is not there, I'd be happy to help to Chat and try answer your question via Discord.

Contributing

Thanks for your help in improving the Barter ecosystem! Please do get in touch on the discord to discuss development, new features, and the future roadmap.

Related Projects

In addition to the Barter-Integration crate, the Barter project also maintains:

  • Barter: High-performance, extensible & modular trading components with batteries-included. Contains a pre-built trading Engine that can serve as a live-trading or backtesting system.
  • Barter-Data: A high-performance WebSocket integration library for streaming public data from leading cryptocurrency exchanges.
  • Barter-Execution: Financial exchange integrations for trade execution - yet to be released!

Roadmap

  • Add new default StreamParser implementations to enable integration with other popular systems such as Kafka.

Licence

This project is licensed under the MIT license.

Contribution

Unless you explicitly state otherwise, any contribution intentionally submitted for inclusion in Barter-Integration by you, shall be licensed as MIT, without any additional terms or conditions.

Commit count: 143

cargo fmt