nautilus_coinbase_intx/common/
parse.rs

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1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::{num::NonZero, str::FromStr};
17
18use nautilus_core::{datetime::NANOSECONDS_IN_MILLISECOND, nanos::UnixNanos};
19use nautilus_model::{
20    currencies::CURRENCY_MAP,
21    data::BarSpecification,
22    enums::{
23        AggressorSide, BarAggregation, CurrencyType, LiquiditySide, OrderSide, PositionSide,
24        PriceType,
25    },
26    identifiers::{InstrumentId, Symbol},
27    types::{Currency, Money, Price, Quantity},
28};
29use serde::{Deserialize, Deserializer};
30use ustr::Ustr;
31
32use crate::{
33    common::{
34        consts::COINBASE_INTX_VENUE,
35        enums::{CoinbaseIntxExecType, CoinbaseIntxSide},
36    },
37    websocket::enums::CoinbaseIntxWsChannel,
38};
39
40pub const BAR_SPEC_1_MINUTE: BarSpecification = BarSpecification {
41    step: NonZero::new(1).unwrap(),
42    aggregation: BarAggregation::Minute,
43    price_type: PriceType::Last,
44};
45pub const BAR_SPEC_5_MINUTE: BarSpecification = BarSpecification {
46    step: NonZero::new(5).unwrap(),
47    aggregation: BarAggregation::Minute,
48    price_type: PriceType::Last,
49};
50pub const BAR_SPEC_30_MINUTE: BarSpecification = BarSpecification {
51    step: NonZero::new(30).unwrap(),
52    aggregation: BarAggregation::Minute,
53    price_type: PriceType::Last,
54};
55pub const BAR_SPEC_2_HOUR: BarSpecification = BarSpecification {
56    step: NonZero::new(2).unwrap(),
57    aggregation: BarAggregation::Hour,
58    price_type: PriceType::Last,
59};
60pub const BAR_SPEC_1_DAY: BarSpecification = BarSpecification {
61    step: NonZero::new(1).unwrap(),
62    aggregation: BarAggregation::Day,
63    price_type: PriceType::Last,
64};
65
66/// Custom deserializer for strings to u64.
67pub fn deserialize_optional_string_to_u64<'de, D>(deserializer: D) -> Result<Option<u64>, D::Error>
68where
69    D: Deserializer<'de>,
70{
71    let s: Option<String> = Option::deserialize(deserializer)?;
72    match s {
73        Some(s) if s.is_empty() => Ok(None),
74        Some(s) => s.parse().map(Some).map_err(serde::de::Error::custom),
75        None => Ok(None),
76    }
77}
78
79/// Returns the currency either from the internal currency map or creates a default crypto.
80pub fn get_currency(code: &str) -> Currency {
81    CURRENCY_MAP
82        .lock()
83        .unwrap()
84        .get(code)
85        .copied()
86        .unwrap_or(Currency::new(code, 8, 0, code, CurrencyType::Crypto))
87}
88
89/// Parses a Nautilus instrument ID from the given Coinbase `symbol` value.
90#[must_use]
91pub fn parse_instrument_id(symbol: Ustr) -> InstrumentId {
92    InstrumentId::new(Symbol::from_ustr_unchecked(symbol), *COINBASE_INTX_VENUE)
93}
94
95pub fn parse_millisecond_timestamp(timestamp: &str) -> anyhow::Result<UnixNanos> {
96    let millis: u64 = timestamp.parse()?;
97    Ok(UnixNanos::from(millis * NANOSECONDS_IN_MILLISECOND))
98}
99
100pub fn parse_rfc3339_timestamp(timestamp: &str) -> anyhow::Result<UnixNanos> {
101    let dt = chrono::DateTime::parse_from_rfc3339(timestamp)?;
102    Ok(UnixNanos::from(dt.timestamp_nanos_opt().unwrap() as u64))
103}
104
105pub fn parse_price(value: &str) -> anyhow::Result<Price> {
106    Price::from_str(value).map_err(|e| anyhow::anyhow!(e))
107}
108
109pub fn parse_quantity(value: &str, precision: u8) -> anyhow::Result<Quantity> {
110    Quantity::new_checked(value.parse::<f64>()?, precision)
111}
112
113pub fn parse_notional(value: &str, currency: Currency) -> anyhow::Result<Option<Money>> {
114    let parsed = value.trim().parse::<f64>()?;
115    Ok(if parsed == 0.0 {
116        None
117    } else {
118        Some(Money::new(parsed, currency))
119    })
120}
121
122pub fn parse_aggressor_side(side: &Option<CoinbaseIntxSide>) -> AggressorSide {
123    match side {
124        Some(CoinbaseIntxSide::Buy) => nautilus_model::enums::AggressorSide::Buyer,
125        Some(CoinbaseIntxSide::Sell) => nautilus_model::enums::AggressorSide::Seller,
126        None => nautilus_model::enums::AggressorSide::NoAggressor,
127    }
128}
129
130pub fn parse_execution_type(liquidity: &Option<CoinbaseIntxExecType>) -> LiquiditySide {
131    match liquidity {
132        Some(CoinbaseIntxExecType::Maker) => nautilus_model::enums::LiquiditySide::Maker,
133        Some(CoinbaseIntxExecType::Taker) => nautilus_model::enums::LiquiditySide::Taker,
134        _ => nautilus_model::enums::LiquiditySide::NoLiquiditySide,
135    }
136}
137
138pub fn parse_position_side(current_qty: Option<f64>) -> PositionSide {
139    match current_qty {
140        Some(qty) if qty.is_sign_positive() => PositionSide::Long,
141        Some(qty) if qty.is_sign_negative() => PositionSide::Short,
142        _ => PositionSide::Flat,
143    }
144}
145
146pub fn parse_order_side(order_side: &Option<CoinbaseIntxSide>) -> OrderSide {
147    match order_side {
148        Some(CoinbaseIntxSide::Buy) => OrderSide::Buy,
149        Some(CoinbaseIntxSide::Sell) => OrderSide::Sell,
150        None => OrderSide::NoOrderSide,
151    }
152}
153
154pub fn bar_spec_as_coinbase_channel(
155    bar_spec: BarSpecification,
156) -> anyhow::Result<CoinbaseIntxWsChannel> {
157    let channel = match bar_spec {
158        BAR_SPEC_1_MINUTE => CoinbaseIntxWsChannel::CandlesOneMinute,
159        BAR_SPEC_5_MINUTE => CoinbaseIntxWsChannel::CandlesFiveMinute,
160        BAR_SPEC_30_MINUTE => CoinbaseIntxWsChannel::CandlesThirtyMinute,
161        BAR_SPEC_2_HOUR => CoinbaseIntxWsChannel::CandlesTwoHour,
162        BAR_SPEC_1_DAY => CoinbaseIntxWsChannel::CandlesOneDay,
163        _ => anyhow::bail!("Invalid `BarSpecification` for channel, was {bar_spec}"),
164    };
165    Ok(channel)
166}
167
168pub fn coinbase_channel_as_bar_spec(
169    channel: &CoinbaseIntxWsChannel,
170) -> anyhow::Result<BarSpecification> {
171    let bar_spec = match channel {
172        CoinbaseIntxWsChannel::CandlesOneMinute => BAR_SPEC_1_MINUTE,
173        CoinbaseIntxWsChannel::CandlesFiveMinute => BAR_SPEC_5_MINUTE,
174        CoinbaseIntxWsChannel::CandlesThirtyMinute => BAR_SPEC_30_MINUTE,
175        CoinbaseIntxWsChannel::CandlesTwoHour => BAR_SPEC_2_HOUR,
176        CoinbaseIntxWsChannel::CandlesOneDay => BAR_SPEC_1_DAY,
177        // TODO: Complete remainder
178        _ => anyhow::bail!("Invalid channel for `BarSpecification`, was {channel}"),
179    };
180    Ok(bar_spec)
181}
nautilus_coinbase_intx/common/parse.rs

nautilus_coinbase_intx/common/
parse.rs
