9c3d741a08
Move 17 library crates into crates/, CLI binary into bin/fxt, consolidate 10 test crates into testing/, split config crate from deployment config files. Root directory reduced from 38+ to ~17 directories. All Cargo.toml paths and build.rs proto refs updated. Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
135 lines
3.4 KiB
Rust
135 lines
3.4 KiB
Rust
//! Market data types for common use
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use crate::types::{OrderSide, Price, Quantity, Symbol};
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use chrono::{DateTime, Utc};
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use serde::{Deserialize, Serialize};
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/// Market data event types
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#[derive(Debug, Clone, Serialize, Deserialize)]
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#[allow(clippy::module_name_repetitions)]
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pub enum MarketDataEvent {
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/// Trade execution event
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Trade(TradeEvent),
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/// Quote update (bid/ask) event
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Quote(QuoteEvent),
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/// Bar/candlestick data event
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Bar(BarEvent),
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/// Order book update event
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OrderBook(OrderBookEvent),
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/// News and market information event
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News(NewsEvent),
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}
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/// Trade event
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#[derive(Debug, Clone, Serialize, Deserialize)]
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pub struct TradeEvent {
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/// Trading symbol
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pub symbol: Symbol,
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/// Trade execution price
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pub price: Price,
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/// Trade quantity
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pub quantity: Quantity,
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/// Trade side (buy or sell)
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pub side: OrderSide,
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/// Trade execution timestamp
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pub timestamp: DateTime<Utc>,
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/// Unique trade identifier
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pub trade_id: String,
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}
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/// Quote event
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#[derive(Debug, Clone, Serialize, Deserialize)]
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pub struct QuoteEvent {
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/// Trading symbol
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pub symbol: Symbol,
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/// Best bid price
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pub bid_price: Price,
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/// Best bid quantity
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pub bid_quantity: Quantity,
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/// Best ask price
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pub ask_price: Price,
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/// Best ask quantity
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pub ask_quantity: Quantity,
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/// Quote timestamp
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pub timestamp: DateTime<Utc>,
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}
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/// Bar event (OHLCV)
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#[derive(Debug, Clone, Serialize, Deserialize)]
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pub struct BarEvent {
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/// Trading symbol
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pub symbol: Symbol,
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/// Opening price
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pub open: Price,
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/// Highest price
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pub high: Price,
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/// Lowest price
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pub low: Price,
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/// Closing price
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pub close: Price,
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/// Trading volume
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pub volume: Quantity,
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/// Bar timestamp
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pub timestamp: DateTime<Utc>,
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/// Bar time interval
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pub interval: BarInterval,
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}
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/// Bar interval
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#[derive(Debug, Clone, Copy, Serialize, Deserialize)]
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pub enum BarInterval {
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/// 1-second interval
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Second1,
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/// 1-minute interval
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Minute1,
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/// 5-minute interval
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Minute5,
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/// 15-minute interval
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Minute15,
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/// 1-hour interval
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Hour1,
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/// 1-day interval
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Day1,
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}
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/// Order book event
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#[derive(Debug, Clone, Serialize, Deserialize)]
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pub struct OrderBookEvent {
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/// Trading symbol
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pub symbol: Symbol,
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/// Bid levels (price, quantity)
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pub bids: Vec<(Price, Quantity)>,
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/// Ask levels (price, quantity)
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pub asks: Vec<(Price, Quantity)>,
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/// Order book timestamp
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pub timestamp: DateTime<Utc>,
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}
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/// News event
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#[derive(Debug, Clone, Serialize, Deserialize)]
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pub struct NewsEvent {
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/// Related trading symbol (if applicable)
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pub symbol: Option<Symbol>,
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/// News headline
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pub headline: String,
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/// News content/body
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pub content: String,
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/// News publication timestamp
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pub timestamp: DateTime<Utc>,
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/// News source identifier
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pub source: String,
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}
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impl MarketDataEvent {
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/// Get the timestamp for any market data event
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pub const fn timestamp(&self) -> Option<DateTime<Utc>> {
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match self {
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MarketDataEvent::Quote(q) => Some(q.timestamp),
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MarketDataEvent::Trade(t) => Some(t.timestamp),
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MarketDataEvent::Bar(b) => Some(b.timestamp),
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MarketDataEvent::OrderBook(o) => Some(o.timestamp),
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MarketDataEvent::News(n) => Some(n.timestamp),
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}
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}
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}
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