1pub mod book;
32pub mod config;
33mod handlers;
34#[cfg(feature = "defi")]
35pub mod pool;
36
37use std::{
38 any::Any,
39 cell::{Ref, RefCell},
40 collections::hash_map::Entry,
41 fmt::Display,
42 num::NonZeroUsize,
43 rc::Rc,
44};
45
46use ahash::{AHashMap, AHashSet};
47use book::{BookSnapshotInfo, BookSnapshotter, BookUpdater};
48use config::DataEngineConfig;
49use handlers::{BarBarHandler, BarQuoteHandler, BarTradeHandler};
50use indexmap::IndexMap;
51#[cfg(feature = "defi")]
52use nautilus_common::messages::defi::{DefiSubscribeCommand, DefiUnsubscribeCommand};
53use nautilus_common::{
54 cache::Cache,
55 clock::Clock,
56 logging::{RECV, RES},
57 messages::data::{
58 DataCommand, DataResponse, RequestCommand, SubscribeBars, SubscribeBookDeltas,
59 SubscribeBookDepth10, SubscribeBookSnapshots, SubscribeCommand, UnsubscribeBars,
60 UnsubscribeBookDeltas, UnsubscribeBookDepth10, UnsubscribeBookSnapshots,
61 UnsubscribeCommand,
62 },
63 msgbus::{self, MStr, Topic, handler::ShareableMessageHandler, switchboard},
64 timer::TimeEventCallback,
65};
66use nautilus_core::{
67 correctness::{
68 FAILED, check_key_in_map, check_key_not_in_map, check_predicate_false, check_predicate_true,
69 },
70 datetime::millis_to_nanos,
71};
72#[cfg(feature = "defi")]
73use nautilus_model::defi::Blockchain;
74#[cfg(feature = "defi")]
75use nautilus_model::defi::DefiData;
76use nautilus_model::{
77 data::{
78 Bar, BarType, Data, DataType, FundingRateUpdate, IndexPriceUpdate, InstrumentClose,
79 MarkPriceUpdate, OrderBookDelta, OrderBookDeltas, OrderBookDepth10, QuoteTick, TradeTick,
80 },
81 enums::{AggregationSource, BarAggregation, BookType, PriceType, RecordFlag},
82 identifiers::{ClientId, InstrumentId, Venue},
83 instruments::{Instrument, InstrumentAny, SyntheticInstrument},
84 orderbook::OrderBook,
85};
86use nautilus_persistence::backend::catalog::ParquetDataCatalog;
87use ustr::Ustr;
88
89#[cfg(feature = "defi")]
90use crate::engine::pool::PoolUpdater;
91use crate::{
92 aggregation::{
93 BarAggregator, TickBarAggregator, TimeBarAggregator, ValueBarAggregator,
94 VolumeBarAggregator,
95 },
96 client::DataClientAdapter,
97};
98
99#[derive(Debug)]
101pub struct DataEngine {
102 clock: Rc<RefCell<dyn Clock>>,
103 cache: Rc<RefCell<Cache>>,
104 clients: IndexMap<ClientId, DataClientAdapter>,
105 default_client: Option<DataClientAdapter>,
106 external_clients: AHashSet<ClientId>,
107 catalogs: AHashMap<Ustr, ParquetDataCatalog>,
108 routing_map: IndexMap<Venue, ClientId>,
109 book_intervals: AHashMap<NonZeroUsize, AHashSet<InstrumentId>>,
110 book_updaters: AHashMap<InstrumentId, Rc<BookUpdater>>,
111 book_snapshotters: AHashMap<InstrumentId, Rc<BookSnapshotter>>,
112 bar_aggregators: AHashMap<BarType, Rc<RefCell<Box<dyn BarAggregator>>>>,
113 bar_aggregator_handlers: AHashMap<BarType, Vec<(MStr<Topic>, ShareableMessageHandler)>>,
114 _synthetic_quote_feeds: AHashMap<InstrumentId, Vec<SyntheticInstrument>>,
115 _synthetic_trade_feeds: AHashMap<InstrumentId, Vec<SyntheticInstrument>>,
116 buffered_deltas_map: AHashMap<InstrumentId, OrderBookDeltas>,
117 msgbus_priority: u8,
118 config: DataEngineConfig,
119 #[cfg(feature = "defi")]
120 pool_updaters: AHashMap<InstrumentId, Rc<crate::engine::pool::PoolUpdater>>,
121}
122
123impl DataEngine {
124 #[must_use]
126 pub fn new(
127 clock: Rc<RefCell<dyn Clock>>,
128 cache: Rc<RefCell<Cache>>,
129 config: Option<DataEngineConfig>,
130 ) -> Self {
131 let config = config.unwrap_or_default();
132
133 let external_clients: AHashSet<ClientId> = config
134 .external_clients
135 .clone()
136 .unwrap_or_default()
137 .into_iter()
138 .collect();
139
140 Self {
141 clock,
142 cache,
143 clients: IndexMap::new(),
144 default_client: None,
145 external_clients,
146 catalogs: AHashMap::new(),
147 routing_map: IndexMap::new(),
148 book_intervals: AHashMap::new(),
149 book_updaters: AHashMap::new(),
150 book_snapshotters: AHashMap::new(),
151 bar_aggregators: AHashMap::new(),
152 bar_aggregator_handlers: AHashMap::new(),
153 _synthetic_quote_feeds: AHashMap::new(),
154 _synthetic_trade_feeds: AHashMap::new(),
155 buffered_deltas_map: AHashMap::new(),
156 msgbus_priority: 10, config,
158 #[cfg(feature = "defi")]
159 pool_updaters: AHashMap::new(),
160 }
161 }
162
163 #[must_use]
165 pub fn get_clock(&self) -> Ref<'_, dyn Clock> {
166 self.clock.borrow()
167 }
168
169 #[must_use]
171 pub fn get_cache(&self) -> Ref<'_, Cache> {
172 self.cache.borrow()
173 }
174
175 pub fn register_catalog(&mut self, catalog: ParquetDataCatalog, name: Option<String>) {
181 let name = Ustr::from(&name.unwrap_or("catalog_0".to_string()));
182
183 check_key_not_in_map(&name, &self.catalogs, "name", "catalogs").expect(FAILED);
184
185 self.catalogs.insert(name, catalog);
186 log::info!("Registered catalog <{name}>");
187 }
188
189 pub fn register_client(&mut self, client: DataClientAdapter, routing: Option<Venue>) {
196 let client_id = client.client_id();
197
198 if let Some(default_client) = &self.default_client {
199 check_predicate_false(
200 default_client.client_id() == client.client_id(),
201 "client_id already registered as default client",
202 )
203 .expect(FAILED);
204 }
205
206 check_key_not_in_map(&client_id, &self.clients, "client_id", "clients").expect(FAILED);
207
208 if let Some(routing) = routing {
209 self.routing_map.insert(routing, client_id);
210 log::info!("Set client {client_id} routing for {routing}");
211 }
212
213 if client.venue.is_none() && self.default_client.is_none() {
214 self.default_client = Some(client);
215 log::info!("Registered client {client_id} for default routing");
216 } else {
217 self.clients.insert(client_id, client);
218 log::info!("Registered client {client_id}");
219 }
220 }
221
222 pub fn deregister_client(&mut self, client_id: &ClientId) {
228 check_key_in_map(client_id, &self.clients, "client_id", "clients").expect(FAILED);
229
230 self.clients.shift_remove(client_id);
231 log::info!("Deregistered client {client_id}");
232 }
233
234 pub fn register_default_client(&mut self, client: DataClientAdapter) {
246 check_predicate_true(
247 self.default_client.is_none(),
248 "default client already registered",
249 )
250 .expect(FAILED);
251
252 let client_id = client.client_id();
253
254 self.default_client = Some(client);
255 log::info!("Registered default client {client_id}");
256 }
257
258 pub fn start(&mut self) {
260 for client in self.get_clients_mut() {
261 if let Err(e) = client.start() {
262 log::error!("{e}");
263 }
264 }
265 }
266
267 pub fn stop(&mut self) {
269 for client in self.get_clients_mut() {
270 if let Err(e) = client.stop() {
271 log::error!("{e}");
272 }
273 }
274 }
275
276 pub fn reset(&mut self) {
278 for client in self.get_clients_mut() {
279 if let Err(e) = client.reset() {
280 log::error!("{e}");
281 }
282 }
283 }
284
285 pub fn dispose(&mut self) {
287 for client in self.get_clients_mut() {
288 if let Err(e) = client.dispose() {
289 log::error!("{e}");
290 }
291 }
292
293 self.clock.borrow_mut().cancel_timers();
294 }
295
296 #[must_use]
298 pub fn check_connected(&self) -> bool {
299 self.get_clients()
300 .iter()
301 .all(|client| client.is_connected())
302 }
303
304 #[must_use]
306 pub fn check_disconnected(&self) -> bool {
307 self.get_clients()
308 .iter()
309 .all(|client| !client.is_connected())
310 }
311
312 #[must_use]
314 pub fn registered_clients(&self) -> Vec<ClientId> {
315 self.get_clients()
316 .into_iter()
317 .map(|client| client.client_id())
318 .collect()
319 }
320
321 fn collect_subscriptions<F, T>(&self, get_subs: F) -> Vec<T>
324 where
325 F: Fn(&DataClientAdapter) -> &AHashSet<T>,
326 T: Clone,
327 {
328 self.get_clients()
329 .into_iter()
330 .flat_map(get_subs)
331 .cloned()
332 .collect()
333 }
334
335 #[must_use]
336 pub fn get_clients(&self) -> Vec<&DataClientAdapter> {
337 let (default_opt, clients_map) = (&self.default_client, &self.clients);
338 let mut clients: Vec<&DataClientAdapter> = clients_map.values().collect();
339
340 if let Some(default) = default_opt {
341 clients.push(default);
342 }
343
344 clients
345 }
346
347 #[must_use]
348 pub fn get_clients_mut(&mut self) -> Vec<&mut DataClientAdapter> {
349 let (default_opt, clients_map) = (&mut self.default_client, &mut self.clients);
350 let mut clients: Vec<&mut DataClientAdapter> = clients_map.values_mut().collect();
351
352 if let Some(default) = default_opt {
353 clients.push(default);
354 }
355
356 clients
357 }
358
359 pub fn get_client(
360 &mut self,
361 client_id: Option<&ClientId>,
362 venue: Option<&Venue>,
363 ) -> Option<&mut DataClientAdapter> {
364 if let Some(client_id) = client_id {
365 if let Some(client) = self.clients.get_mut(client_id) {
367 return Some(client);
368 }
369
370 if let Some(default) = self.default_client.as_mut()
372 && default.client_id() == *client_id
373 {
374 return Some(default);
375 }
376
377 return None;
379 }
380
381 if let Some(v) = venue {
382 if let Some(client_id) = self.routing_map.get(v) {
384 return self.clients.get_mut(client_id);
385 }
386 }
387
388 self.get_default_client()
390 }
391
392 const fn get_default_client(&mut self) -> Option<&mut DataClientAdapter> {
393 self.default_client.as_mut()
394 }
395
396 #[must_use]
398 pub fn subscribed_custom_data(&self) -> Vec<DataType> {
399 self.collect_subscriptions(|client| &client.subscriptions_custom)
400 }
401
402 #[must_use]
404 pub fn subscribed_instruments(&self) -> Vec<InstrumentId> {
405 self.collect_subscriptions(|client| &client.subscriptions_instrument)
406 }
407
408 #[must_use]
410 pub fn subscribed_book_deltas(&self) -> Vec<InstrumentId> {
411 self.collect_subscriptions(|client| &client.subscriptions_book_deltas)
412 }
413
414 #[must_use]
416 pub fn subscribed_book_snapshots(&self) -> Vec<InstrumentId> {
417 self.collect_subscriptions(|client| &client.subscriptions_book_snapshots)
418 }
419
420 #[must_use]
422 pub fn subscribed_quotes(&self) -> Vec<InstrumentId> {
423 self.collect_subscriptions(|client| &client.subscriptions_quotes)
424 }
425
426 #[must_use]
428 pub fn subscribed_trades(&self) -> Vec<InstrumentId> {
429 self.collect_subscriptions(|client| &client.subscriptions_trades)
430 }
431
432 #[must_use]
434 pub fn subscribed_bars(&self) -> Vec<BarType> {
435 self.collect_subscriptions(|client| &client.subscriptions_bars)
436 }
437
438 #[must_use]
440 pub fn subscribed_mark_prices(&self) -> Vec<InstrumentId> {
441 self.collect_subscriptions(|client| &client.subscriptions_mark_prices)
442 }
443
444 #[must_use]
446 pub fn subscribed_index_prices(&self) -> Vec<InstrumentId> {
447 self.collect_subscriptions(|client| &client.subscriptions_index_prices)
448 }
449
450 #[must_use]
452 pub fn subscribed_funding_rates(&self) -> Vec<InstrumentId> {
453 self.collect_subscriptions(|client| &client.subscriptions_funding_rates)
454 }
455
456 #[must_use]
458 pub fn subscribed_instrument_status(&self) -> Vec<InstrumentId> {
459 self.collect_subscriptions(|client| &client.subscriptions_instrument_status)
460 }
461
462 #[must_use]
464 pub fn subscribed_instrument_close(&self) -> Vec<InstrumentId> {
465 self.collect_subscriptions(|client| &client.subscriptions_instrument_close)
466 }
467
468 #[cfg(feature = "defi")]
469 #[must_use]
471 pub fn subscribed_blocks(&self) -> Vec<Blockchain> {
472 self.collect_subscriptions(|client| &client.subscriptions_blocks)
473 }
474
475 #[cfg(feature = "defi")]
476 #[must_use]
478 pub fn subscribed_pools(&self) -> Vec<InstrumentId> {
479 self.collect_subscriptions(|client| &client.subscriptions_pools)
480 }
481
482 #[cfg(feature = "defi")]
483 #[must_use]
485 pub fn subscribed_pool_swaps(&self) -> Vec<InstrumentId> {
486 self.collect_subscriptions(|client| &client.subscriptions_pool_swaps)
487 }
488
489 #[cfg(feature = "defi")]
490 #[must_use]
492 pub fn subscribed_pool_liquidity_updates(&self) -> Vec<InstrumentId> {
493 self.collect_subscriptions(|client| &client.subscriptions_pool_liquidity_updates)
494 }
495
496 pub fn execute(&mut self, cmd: &DataCommand) {
502 if let Err(e) = match cmd {
503 DataCommand::Subscribe(c) => self.execute_subscribe(c),
504 DataCommand::Unsubscribe(c) => self.execute_unsubscribe(c),
505 DataCommand::Request(c) => self.execute_request(c),
506 #[cfg(feature = "defi")]
507 DataCommand::DefiSubscribe(c) => self.execute_defi_subscribe(c),
508 #[cfg(feature = "defi")]
509 DataCommand::DefiUnsubscribe(c) => self.execute_defi_unsubscribe(c),
510 _ => {
511 log::warn!("Unhandled DataCommand variant: {cmd:?}");
512 Ok(())
513 }
514 } {
515 log::error!("{e}");
516 }
517 }
518
519 pub fn execute_subscribe(&mut self, cmd: &SubscribeCommand) -> anyhow::Result<()> {
526 match &cmd {
528 SubscribeCommand::BookDeltas(cmd) => self.subscribe_book_deltas(cmd)?,
529 SubscribeCommand::BookDepth10(cmd) => self.subscribe_book_depth10(cmd)?,
530 SubscribeCommand::BookSnapshots(cmd) => self.subscribe_book_snapshots(cmd)?,
531 SubscribeCommand::Bars(cmd) => self.subscribe_bars(cmd)?,
532 _ => {} }
534
535 if let Some(client_id) = cmd.client_id()
536 && self.external_clients.contains(client_id)
537 {
538 if self.config.debug {
539 log::debug!("Skipping subscribe command for external client {client_id}: {cmd:?}",);
540 }
541 return Ok(());
542 }
543
544 if let Some(client) = self.get_client(cmd.client_id(), cmd.venue()) {
545 client.execute_subscribe(cmd);
546 } else {
547 log::error!(
548 "Cannot handle command: no client found for client_id={:?}, venue={:?}",
549 cmd.client_id(),
550 cmd.venue(),
551 );
552 }
553
554 Ok(())
555 }
556
557 #[cfg(feature = "defi")]
558 pub fn execute_defi_subscribe(&mut self, cmd: &DefiSubscribeCommand) -> anyhow::Result<()> {
565 if let Some(client_id) = cmd.client_id()
566 && self.external_clients.contains(client_id)
567 {
568 if self.config.debug {
569 log::debug!("Skipping defi subscribe for external client {client_id}: {cmd:?}",);
570 }
571 return Ok(());
572 }
573
574 match cmd {
575 DefiSubscribeCommand::Pool(cmd) => self.setup_pool_updater(&cmd.instrument_id),
576 DefiSubscribeCommand::PoolSwaps(cmd) => self.setup_pool_updater(&cmd.instrument_id),
577 DefiSubscribeCommand::PoolLiquidityUpdates(cmd) => {
578 self.setup_pool_updater(&cmd.instrument_id);
579 }
580 _ => {}
581 }
582
583 if let Some(client) = self.get_client(cmd.client_id(), cmd.venue()) {
585 client.execute_defi_subscribe(cmd);
586 } else {
587 log::error!(
588 "Cannot handle command: no client found for client_id={:?}, venue={:?}",
589 cmd.client_id(),
590 cmd.venue(),
591 );
592 }
593
594 Ok(())
595 }
596
597 pub fn execute_unsubscribe(&mut self, cmd: &UnsubscribeCommand) -> anyhow::Result<()> {
603 match &cmd {
604 UnsubscribeCommand::BookDeltas(cmd) => self.unsubscribe_book_deltas(cmd)?,
605 UnsubscribeCommand::BookDepth10(cmd) => self.unsubscribe_book_depth10(cmd)?,
606 UnsubscribeCommand::BookSnapshots(cmd) => self.unsubscribe_book_snapshots(cmd)?,
607 UnsubscribeCommand::Bars(cmd) => self.unsubscribe_bars(cmd)?,
608 _ => {} }
610
611 if let Some(client_id) = cmd.client_id()
612 && self.external_clients.contains(client_id)
613 {
614 if self.config.debug {
615 log::debug!(
616 "Skipping unsubscribe command for external client {client_id}: {cmd:?}",
617 );
618 }
619 return Ok(());
620 }
621
622 if let Some(client) = self.get_client(cmd.client_id(), cmd.venue()) {
623 client.execute_unsubscribe(cmd);
624 } else {
625 log::error!(
626 "Cannot handle command: no client found for client_id={:?}, venue={:?}",
627 cmd.client_id(),
628 cmd.venue(),
629 );
630 }
631
632 Ok(())
633 }
634
635 #[cfg(feature = "defi")]
636 pub fn execute_defi_unsubscribe(&mut self, cmd: &DefiUnsubscribeCommand) -> anyhow::Result<()> {
642 if let Some(client_id) = cmd.client_id()
643 && self.external_clients.contains(client_id)
644 {
645 if self.config.debug {
646 log::debug!("Skipping defi unsubscribe for external client {client_id}: {cmd:?}",);
647 }
648 return Ok(());
649 }
650
651 if let Some(client) = self.get_client(cmd.client_id(), cmd.venue()) {
652 client.execute_defi_unsubscribe(cmd);
653 } else {
654 log::error!(
655 "Cannot handle command: no client found for client_id={:?}, venue={:?}",
656 cmd.client_id(),
657 cmd.venue(),
658 );
659 }
660
661 Ok(())
662 }
663
664 pub fn execute_request(&mut self, req: &RequestCommand) -> anyhow::Result<()> {
671 if let Some(cid) = req.client_id()
673 && self.external_clients.contains(cid)
674 {
675 if self.config.debug {
676 log::debug!("Skipping data request for external client {cid}: {req:?}");
677 }
678 return Ok(());
679 }
680 if let Some(client) = self.get_client(req.client_id(), req.venue()) {
681 match req {
682 RequestCommand::Data(req) => client.request_data(req),
683 RequestCommand::Instrument(req) => client.request_instrument(req),
684 RequestCommand::Instruments(req) => client.request_instruments(req),
685 RequestCommand::BookSnapshot(req) => client.request_book_snapshot(req),
686 RequestCommand::Quotes(req) => client.request_quotes(req),
687 RequestCommand::Trades(req) => client.request_trades(req),
688 RequestCommand::Bars(req) => client.request_bars(req),
689 }
690 } else {
691 anyhow::bail!(
692 "Cannot handle request: no client found for {:?} {:?}",
693 req.client_id(),
694 req.venue()
695 );
696 }
697 }
698
699 pub fn process(&mut self, data: &dyn Any) {
703 if let Some(data) = data.downcast_ref::<Data>() {
705 self.process_data(data.clone()); return;
707 }
708
709 #[cfg(feature = "defi")]
710 if let Some(data) = data.downcast_ref::<DefiData>() {
711 self.process_defi_data(data.clone()); return;
713 }
714
715 if let Some(instrument) = data.downcast_ref::<InstrumentAny>() {
716 self.handle_instrument(instrument.clone());
717 } else if let Some(funding_rate) = data.downcast_ref::<FundingRateUpdate>() {
718 self.handle_funding_rate(*funding_rate);
719 } else {
720 log::error!("Cannot process data {data:?}, type is unrecognized");
721 }
722 }
723
724 pub fn process_data(&mut self, data: Data) {
726 match data {
727 Data::Delta(delta) => self.handle_delta(delta),
728 Data::Deltas(deltas) => self.handle_deltas(deltas.into_inner()),
729 Data::Depth10(depth) => self.handle_depth10(*depth),
730 Data::Quote(quote) => self.handle_quote(quote),
731 Data::Trade(trade) => self.handle_trade(trade),
732 Data::Bar(bar) => self.handle_bar(bar),
733 Data::MarkPriceUpdate(mark_price) => self.handle_mark_price(mark_price),
734 Data::IndexPriceUpdate(index_price) => self.handle_index_price(index_price),
735 Data::InstrumentClose(close) => self.handle_instrument_close(close),
736 }
737 }
738
739 #[cfg(feature = "defi")]
741 pub fn process_defi_data(&mut self, data: DefiData) {
742 match data {
743 DefiData::Block(block) => {
744 let topic = switchboard::get_defi_blocks_topic(block.chain());
745 msgbus::publish(topic, &block as &dyn Any);
746 }
747 DefiData::Pool(pool) => {
748 if let Err(err) = self.cache.borrow_mut().add_pool(pool.clone()) {
749 log::error!("Failed to add Pool to cache: {err}");
750 }
751
752 let topic = switchboard::get_defi_pool_topic(pool.instrument_id);
753 msgbus::publish(topic, &pool as &dyn Any);
754 }
755 DefiData::PoolSwap(swap) => {
756 let topic = switchboard::get_defi_pool_swaps_topic(swap.instrument_id);
757 msgbus::publish(topic, &swap as &dyn Any);
758 }
759 DefiData::PoolLiquidityUpdate(update) => {
760 let topic = switchboard::get_defi_liquidity_topic(update.instrument_id);
761 msgbus::publish(topic, &update as &dyn Any);
762 }
763 DefiData::PoolFeeCollect(collect) => {
764 let topic = switchboard::get_defi_collect_topic(collect.instrument_id);
765 msgbus::publish(topic, &collect as &dyn Any);
766 }
767 }
768 }
769
770 pub fn response(&self, resp: DataResponse) {
772 log::debug!("{RECV}{RES} {resp:?}");
773
774 match &resp {
775 DataResponse::Instrument(resp) => {
776 self.handle_instrument_response(resp.data.clone());
777 }
778 DataResponse::Instruments(resp) => {
779 self.handle_instruments(&resp.data);
780 }
781 DataResponse::Quotes(resp) => self.handle_quotes(&resp.data),
782 DataResponse::Trades(resp) => self.handle_trades(&resp.data),
783 DataResponse::Bars(resp) => self.handle_bars(&resp.data),
784 _ => todo!(),
785 }
786
787 msgbus::send_response(resp.correlation_id(), &resp);
788 }
789
790 fn handle_instrument(&mut self, instrument: InstrumentAny) {
793 if let Err(e) = self
794 .cache
795 .as_ref()
796 .borrow_mut()
797 .add_instrument(instrument.clone())
798 {
799 log_error_on_cache_insert(&e);
800 }
801
802 let topic = switchboard::get_instrument_topic(instrument.id());
803 msgbus::publish(topic, &instrument as &dyn Any);
804 }
805
806 fn handle_delta(&mut self, delta: OrderBookDelta) {
807 let deltas = if self.config.buffer_deltas {
808 if let Some(buffered_deltas) = self.buffered_deltas_map.get_mut(&delta.instrument_id) {
809 buffered_deltas.deltas.push(delta);
810 } else {
811 let buffered_deltas = OrderBookDeltas::new(delta.instrument_id, vec![delta]);
812 self.buffered_deltas_map
813 .insert(delta.instrument_id, buffered_deltas);
814 }
815
816 if !RecordFlag::F_LAST.matches(delta.flags) {
817 return; }
819
820 self.buffered_deltas_map
822 .remove(&delta.instrument_id)
823 .unwrap()
824 } else {
825 OrderBookDeltas::new(delta.instrument_id, vec![delta])
826 };
827
828 let topic = switchboard::get_book_deltas_topic(deltas.instrument_id);
829 msgbus::publish(topic, &deltas as &dyn Any);
830 }
831
832 fn handle_deltas(&mut self, deltas: OrderBookDeltas) {
833 let deltas = if self.config.buffer_deltas {
834 let mut is_last_delta = false;
835 for delta in &deltas.deltas {
836 if RecordFlag::F_LAST.matches(delta.flags) {
837 is_last_delta = true;
838 break;
839 }
840 }
841
842 let instrument_id = deltas.instrument_id;
843
844 if let Some(buffered_deltas) = self.buffered_deltas_map.get_mut(&instrument_id) {
845 buffered_deltas.deltas.extend(deltas.deltas);
846 } else {
847 self.buffered_deltas_map.insert(instrument_id, deltas);
848 }
849
850 if !is_last_delta {
851 return;
852 }
853
854 self.buffered_deltas_map.remove(&instrument_id).unwrap()
856 } else {
857 deltas
858 };
859
860 let topic = switchboard::get_book_deltas_topic(deltas.instrument_id);
861 msgbus::publish(topic, &deltas as &dyn Any);
862 }
863
864 fn handle_depth10(&mut self, depth: OrderBookDepth10) {
865 let topic = switchboard::get_book_depth10_topic(depth.instrument_id);
866 msgbus::publish(topic, &depth as &dyn Any);
867 }
868
869 fn handle_quote(&mut self, quote: QuoteTick) {
870 if let Err(e) = self.cache.as_ref().borrow_mut().add_quote(quote) {
871 log_error_on_cache_insert(&e);
872 }
873
874 let topic = switchboard::get_quotes_topic(quote.instrument_id);
877 msgbus::publish(topic, "e as &dyn Any);
878 }
879
880 fn handle_trade(&mut self, trade: TradeTick) {
881 if let Err(e) = self.cache.as_ref().borrow_mut().add_trade(trade) {
882 log_error_on_cache_insert(&e);
883 }
884
885 let topic = switchboard::get_trades_topic(trade.instrument_id);
888 msgbus::publish(topic, &trade as &dyn Any);
889 }
890
891 fn handle_bar(&mut self, bar: Bar) {
892 if self.config.validate_data_sequence
894 && let Some(last_bar) = self.cache.as_ref().borrow().bar(&bar.bar_type)
895 {
896 if bar.ts_event < last_bar.ts_event {
897 log::warn!(
898 "Bar {bar} was prior to last bar `ts_event` {}",
899 last_bar.ts_event
900 );
901 return; }
903 if bar.ts_init < last_bar.ts_init {
904 log::warn!(
905 "Bar {bar} was prior to last bar `ts_init` {}",
906 last_bar.ts_init
907 );
908 return; }
910 }
912
913 if let Err(e) = self.cache.as_ref().borrow_mut().add_bar(bar) {
914 log_error_on_cache_insert(&e);
915 }
916
917 let topic = switchboard::get_bars_topic(bar.bar_type);
918 msgbus::publish(topic, &bar as &dyn Any);
919 }
920
921 fn handle_mark_price(&mut self, mark_price: MarkPriceUpdate) {
922 if let Err(e) = self.cache.as_ref().borrow_mut().add_mark_price(mark_price) {
923 log_error_on_cache_insert(&e);
924 }
925
926 let topic = switchboard::get_mark_price_topic(mark_price.instrument_id);
927 msgbus::publish(topic, &mark_price as &dyn Any);
928 }
929
930 fn handle_index_price(&mut self, index_price: IndexPriceUpdate) {
931 if let Err(e) = self
932 .cache
933 .as_ref()
934 .borrow_mut()
935 .add_index_price(index_price)
936 {
937 log_error_on_cache_insert(&e);
938 }
939
940 let topic = switchboard::get_index_price_topic(index_price.instrument_id);
941 msgbus::publish(topic, &index_price as &dyn Any);
942 }
943
944 pub fn handle_funding_rate(&mut self, funding_rate: FundingRateUpdate) {
946 if let Err(e) = self
947 .cache
948 .as_ref()
949 .borrow_mut()
950 .add_funding_rate(funding_rate)
951 {
952 log_error_on_cache_insert(&e);
953 }
954
955 let topic = switchboard::get_funding_rate_topic(funding_rate.instrument_id);
956 msgbus::publish(topic, &funding_rate as &dyn Any);
957 }
958
959 fn handle_instrument_close(&mut self, close: InstrumentClose) {
960 let topic = switchboard::get_instrument_close_topic(close.instrument_id);
961 msgbus::publish(topic, &close as &dyn Any);
962 }
963
964 fn subscribe_book_deltas(&mut self, cmd: &SubscribeBookDeltas) -> anyhow::Result<()> {
967 if cmd.instrument_id.is_synthetic() {
968 anyhow::bail!("Cannot subscribe for synthetic instrument `OrderBookDelta` data");
969 }
970
971 self.setup_order_book(&cmd.instrument_id, cmd.book_type, true, cmd.managed)?;
972
973 Ok(())
974 }
975
976 fn subscribe_book_depth10(&mut self, cmd: &SubscribeBookDepth10) -> anyhow::Result<()> {
977 if cmd.instrument_id.is_synthetic() {
978 anyhow::bail!("Cannot subscribe for synthetic instrument `OrderBookDepth10` data");
979 }
980
981 self.setup_order_book(&cmd.instrument_id, cmd.book_type, false, cmd.managed)?;
982
983 Ok(())
984 }
985
986 fn subscribe_book_snapshots(&mut self, cmd: &SubscribeBookSnapshots) -> anyhow::Result<()> {
987 if self.subscribed_book_deltas().contains(&cmd.instrument_id) {
988 return Ok(());
989 }
990
991 if cmd.instrument_id.is_synthetic() {
992 anyhow::bail!("Cannot subscribe for synthetic instrument `OrderBookDelta` data");
993 }
994
995 let first_for_interval = match self.book_intervals.entry(cmd.interval_ms) {
997 Entry::Vacant(e) => {
998 let mut set = AHashSet::new();
999 set.insert(cmd.instrument_id);
1000 e.insert(set);
1001 true
1002 }
1003 Entry::Occupied(mut e) => {
1004 e.get_mut().insert(cmd.instrument_id);
1005 false
1006 }
1007 };
1008
1009 if first_for_interval {
1010 let interval_ns = millis_to_nanos(cmd.interval_ms.get() as f64);
1012 let topic = switchboard::get_book_snapshots_topic(cmd.instrument_id, cmd.interval_ms);
1013
1014 let snap_info = BookSnapshotInfo {
1015 instrument_id: cmd.instrument_id,
1016 venue: cmd.instrument_id.venue,
1017 is_composite: cmd.instrument_id.symbol.is_composite(),
1018 root: Ustr::from(cmd.instrument_id.symbol.root()),
1019 topic,
1020 interval_ms: cmd.interval_ms,
1021 };
1022
1023 let now_ns = self.clock.borrow().timestamp_ns().as_u64();
1025 let start_time_ns = now_ns - (now_ns % interval_ns) + interval_ns;
1026
1027 let snapshotter = Rc::new(BookSnapshotter::new(snap_info, self.cache.clone()));
1028 self.book_snapshotters
1029 .insert(cmd.instrument_id, snapshotter.clone());
1030 let timer_name = snapshotter.timer_name;
1031
1032 let callback =
1033 TimeEventCallback::Rust(Rc::new(move |event| snapshotter.snapshot(event)));
1034
1035 self.clock
1036 .borrow_mut()
1037 .set_timer_ns(
1038 &timer_name,
1039 interval_ns,
1040 Some(start_time_ns.into()),
1041 None,
1042 Some(callback),
1043 None,
1044 None,
1045 )
1046 .expect(FAILED);
1047 }
1048
1049 self.setup_order_book(&cmd.instrument_id, cmd.book_type, false, true)?;
1050
1051 Ok(())
1052 }
1053
1054 fn subscribe_bars(&mut self, cmd: &SubscribeBars) -> anyhow::Result<()> {
1055 match cmd.bar_type.aggregation_source() {
1056 AggregationSource::Internal => {
1057 if !self.bar_aggregators.contains_key(&cmd.bar_type.standard()) {
1058 self.start_bar_aggregator(cmd.bar_type)?;
1059 }
1060 }
1061 AggregationSource::External => {
1062 if cmd.bar_type.instrument_id().is_synthetic() {
1063 anyhow::bail!(
1064 "Cannot subscribe for externally aggregated synthetic instrument bar data"
1065 );
1066 }
1067 }
1068 }
1069
1070 Ok(())
1071 }
1072
1073 fn unsubscribe_book_deltas(&mut self, cmd: &UnsubscribeBookDeltas) -> anyhow::Result<()> {
1074 if !self.subscribed_book_deltas().contains(&cmd.instrument_id) {
1075 log::warn!("Cannot unsubscribe from `OrderBookDeltas` data: not subscribed");
1076 return Ok(());
1077 }
1078
1079 let topics = vec![
1080 switchboard::get_book_deltas_topic(cmd.instrument_id),
1081 switchboard::get_book_depth10_topic(cmd.instrument_id),
1082 ];
1084
1085 self.maintain_book_updater(&cmd.instrument_id, &topics);
1086 self.maintain_book_snapshotter(&cmd.instrument_id);
1087
1088 Ok(())
1089 }
1090
1091 fn unsubscribe_book_depth10(&mut self, cmd: &UnsubscribeBookDepth10) -> anyhow::Result<()> {
1092 if !self.subscribed_book_deltas().contains(&cmd.instrument_id) {
1093 log::warn!("Cannot unsubscribe from `OrderBookDeltas` data: not subscribed");
1094 return Ok(());
1095 }
1096
1097 let topics = vec![
1098 switchboard::get_book_deltas_topic(cmd.instrument_id),
1099 switchboard::get_book_depth10_topic(cmd.instrument_id),
1100 ];
1102
1103 self.maintain_book_updater(&cmd.instrument_id, &topics);
1104 self.maintain_book_snapshotter(&cmd.instrument_id);
1105
1106 Ok(())
1107 }
1108
1109 fn unsubscribe_book_snapshots(&mut self, cmd: &UnsubscribeBookSnapshots) -> anyhow::Result<()> {
1110 if !self.subscribed_book_deltas().contains(&cmd.instrument_id) {
1111 log::warn!("Cannot unsubscribe from `OrderBook` snapshots: not subscribed");
1112 return Ok(());
1113 }
1114
1115 let mut to_remove = Vec::new();
1117 for (interval, set) in &mut self.book_intervals {
1118 if set.remove(&cmd.instrument_id) && set.is_empty() {
1119 to_remove.push(*interval);
1120 }
1121 }
1122
1123 for interval in to_remove {
1124 self.book_intervals.remove(&interval);
1125 }
1126
1127 let topics = vec![
1128 switchboard::get_book_deltas_topic(cmd.instrument_id),
1129 switchboard::get_book_depth10_topic(cmd.instrument_id),
1130 ];
1132
1133 self.maintain_book_updater(&cmd.instrument_id, &topics);
1134 self.maintain_book_snapshotter(&cmd.instrument_id);
1135
1136 Ok(())
1137 }
1138
1139 fn unsubscribe_bars(&mut self, cmd: &UnsubscribeBars) -> anyhow::Result<()> {
1141 let bar_type = cmd.bar_type;
1143 if self.bar_aggregators.contains_key(&bar_type.standard()) {
1144 if let Err(err) = self.stop_bar_aggregator(bar_type) {
1145 log::error!("Error stopping bar aggregator for {bar_type}: {err}");
1146 }
1147 self.bar_aggregators.remove(&bar_type.standard());
1148 log::debug!("Removed bar aggregator for {bar_type}");
1149 }
1150 Ok(())
1151 }
1152
1153 fn maintain_book_updater(&mut self, instrument_id: &InstrumentId, topics: &[MStr<Topic>]) {
1154 if let Some(updater) = self.book_updaters.get(instrument_id) {
1155 let handler = ShareableMessageHandler(updater.clone());
1156
1157 for topic in topics {
1159 if msgbus::subscriptions_count(topic.as_str()) == 1
1160 && msgbus::is_subscribed(topic.as_str(), handler.clone())
1161 {
1162 log::debug!("Unsubscribing BookUpdater from {topic}");
1163 msgbus::unsubscribe_topic(*topic, handler.clone());
1164 }
1165 }
1166
1167 let still_subscribed = topics
1169 .iter()
1170 .any(|topic| msgbus::is_subscribed(topic.as_str(), handler.clone()));
1171 if !still_subscribed {
1172 self.book_updaters.remove(instrument_id);
1173 log::debug!("Removed BookUpdater for instrument ID {instrument_id}");
1174 }
1175 }
1176 }
1177
1178 fn maintain_book_snapshotter(&mut self, instrument_id: &InstrumentId) {
1179 if let Some(snapshotter) = self.book_snapshotters.get(instrument_id) {
1180 let topic = switchboard::get_book_snapshots_topic(
1181 *instrument_id,
1182 snapshotter.snap_info.interval_ms,
1183 );
1184
1185 if msgbus::subscriptions_count(topic.as_str()) == 0 {
1187 let timer_name = snapshotter.timer_name;
1188 self.book_snapshotters.remove(instrument_id);
1189 let mut clock = self.clock.borrow_mut();
1190 if clock.timer_names().contains(&timer_name.as_str()) {
1191 clock.cancel_timer(&timer_name);
1192 }
1193 log::debug!("Removed BookSnapshotter for instrument ID {instrument_id}");
1194 }
1195 }
1196 }
1197
1198 fn handle_instrument_response(&self, instrument: InstrumentAny) {
1201 let mut cache = self.cache.as_ref().borrow_mut();
1202 if let Err(e) = cache.add_instrument(instrument) {
1203 log_error_on_cache_insert(&e);
1204 }
1205 }
1206
1207 fn handle_instruments(&self, instruments: &[InstrumentAny]) {
1208 let mut cache = self.cache.as_ref().borrow_mut();
1210 for instrument in instruments {
1211 if let Err(e) = cache.add_instrument(instrument.clone()) {
1212 log_error_on_cache_insert(&e);
1213 }
1214 }
1215 }
1216
1217 fn handle_quotes(&self, quotes: &[QuoteTick]) {
1218 if let Err(e) = self.cache.as_ref().borrow_mut().add_quotes(quotes) {
1219 log_error_on_cache_insert(&e);
1220 }
1221 }
1222
1223 fn handle_trades(&self, trades: &[TradeTick]) {
1224 if let Err(e) = self.cache.as_ref().borrow_mut().add_trades(trades) {
1225 log_error_on_cache_insert(&e);
1226 }
1227 }
1228
1229 fn handle_bars(&self, bars: &[Bar]) {
1230 if let Err(e) = self.cache.as_ref().borrow_mut().add_bars(bars) {
1231 log_error_on_cache_insert(&e);
1232 }
1233 }
1234
1235 #[allow(clippy::too_many_arguments)]
1238 fn setup_order_book(
1239 &mut self,
1240 instrument_id: &InstrumentId,
1241 book_type: BookType,
1242 only_deltas: bool,
1243 managed: bool,
1244 ) -> anyhow::Result<()> {
1245 let mut cache = self.cache.borrow_mut();
1246 if managed && !cache.has_order_book(instrument_id) {
1247 let book = OrderBook::new(*instrument_id, book_type);
1248 log::debug!("Created {book}");
1249 cache.add_order_book(book)?;
1250 }
1251
1252 let updater = Rc::new(BookUpdater::new(instrument_id, self.cache.clone()));
1254 self.book_updaters.insert(*instrument_id, updater.clone());
1255
1256 let handler = ShareableMessageHandler(updater);
1257
1258 let topic = switchboard::get_book_deltas_topic(*instrument_id);
1259 if !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1260 msgbus::subscribe(topic.into(), handler.clone(), Some(self.msgbus_priority));
1261 }
1262
1263 let topic = switchboard::get_book_depth10_topic(*instrument_id);
1264 if !only_deltas && !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1265 msgbus::subscribe(topic.into(), handler, Some(self.msgbus_priority));
1266 }
1267
1268 Ok(())
1269 }
1270
1271 #[cfg(feature = "defi")]
1272 fn setup_pool_updater(&mut self, instrument_id: &InstrumentId) {
1273 if self.pool_updaters.contains_key(instrument_id) {
1274 return;
1275 }
1276
1277 let updater = Rc::new(PoolUpdater::new(instrument_id, self.cache.clone()));
1278 let handler = ShareableMessageHandler(updater.clone());
1279
1280 let swap_topic = switchboard::get_defi_pool_swaps_topic(*instrument_id);
1282 if !msgbus::is_subscribed(swap_topic.as_str(), handler.clone()) {
1283 msgbus::subscribe(
1284 swap_topic.into(),
1285 handler.clone(),
1286 Some(self.msgbus_priority),
1287 );
1288 }
1289
1290 let liquidity_topic = switchboard::get_defi_liquidity_topic(*instrument_id);
1291 if !msgbus::is_subscribed(liquidity_topic.as_str(), handler.clone()) {
1292 msgbus::subscribe(liquidity_topic.into(), handler, Some(self.msgbus_priority));
1293 }
1294
1295 self.pool_updaters.insert(*instrument_id, updater);
1296 log::debug!("Created PoolUpdater for instrument ID {instrument_id}");
1297 }
1298
1299 fn create_bar_aggregator(
1300 &mut self,
1301 instrument: &InstrumentAny,
1302 bar_type: BarType,
1303 ) -> Box<dyn BarAggregator> {
1304 let cache = self.cache.clone();
1305
1306 let handler = move |bar: Bar| {
1307 if let Err(e) = cache.as_ref().borrow_mut().add_bar(bar) {
1308 log_error_on_cache_insert(&e);
1309 }
1310
1311 let topic = switchboard::get_bars_topic(bar.bar_type);
1312 msgbus::publish(topic, &bar as &dyn Any);
1313 };
1314
1315 let clock = self.clock.clone();
1316 let config = self.config.clone();
1317
1318 let price_precision = instrument.price_precision();
1319 let size_precision = instrument.size_precision();
1320
1321 if bar_type.spec().is_time_aggregated() {
1322 let time_bars_origin_offset = config
1324 .time_bars_origins
1325 .get(&bar_type.spec().aggregation)
1326 .map(|duration| chrono::TimeDelta::from_std(*duration).unwrap_or_default());
1327
1328 Box::new(TimeBarAggregator::new(
1329 bar_type,
1330 price_precision,
1331 size_precision,
1332 clock,
1333 handler,
1334 false, config.time_bars_build_with_no_updates,
1336 config.time_bars_timestamp_on_close,
1337 config.time_bars_interval_type,
1338 time_bars_origin_offset,
1339 20, false, ))
1342 } else {
1343 match bar_type.spec().aggregation {
1344 BarAggregation::Tick => Box::new(TickBarAggregator::new(
1345 bar_type,
1346 price_precision,
1347 size_precision,
1348 handler,
1349 false,
1350 )) as Box<dyn BarAggregator>,
1351 BarAggregation::Volume => Box::new(VolumeBarAggregator::new(
1352 bar_type,
1353 price_precision,
1354 size_precision,
1355 handler,
1356 false,
1357 )) as Box<dyn BarAggregator>,
1358 BarAggregation::Value => Box::new(ValueBarAggregator::new(
1359 bar_type,
1360 price_precision,
1361 size_precision,
1362 handler,
1363 false,
1364 )) as Box<dyn BarAggregator>,
1365 _ => panic!(
1366 "Cannot create aggregator: {} aggregation not currently supported",
1367 bar_type.spec().aggregation
1368 ),
1369 }
1370 }
1371 }
1372
1373 fn start_bar_aggregator(&mut self, bar_type: BarType) -> anyhow::Result<()> {
1374 let instrument = {
1376 let cache = self.cache.borrow();
1377 cache
1378 .instrument(&bar_type.instrument_id())
1379 .ok_or_else(|| {
1380 anyhow::anyhow!(
1381 "Cannot start bar aggregation: no instrument found for {}",
1382 bar_type.instrument_id(),
1383 )
1384 })?
1385 .clone()
1386 };
1387
1388 let bar_key = bar_type.standard();
1390
1391 let aggregator = if let Some(rc) = self.bar_aggregators.get(&bar_key) {
1393 rc.clone()
1394 } else {
1395 let agg = self.create_bar_aggregator(&instrument, bar_type);
1396 let rc = Rc::new(RefCell::new(agg));
1397 self.bar_aggregators.insert(bar_key, rc.clone());
1398 rc
1399 };
1400
1401 let mut handlers = Vec::new();
1403
1404 if bar_type.is_composite() {
1405 let topic = switchboard::get_bars_topic(bar_type.composite());
1406 let handler =
1407 ShareableMessageHandler(Rc::new(BarBarHandler::new(aggregator.clone(), bar_key)));
1408
1409 if !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1410 msgbus::subscribe(topic.into(), handler.clone(), Some(self.msgbus_priority));
1411 }
1412
1413 handlers.push((topic, handler));
1414 } else if bar_type.spec().price_type == PriceType::Last {
1415 let topic = switchboard::get_trades_topic(bar_type.instrument_id());
1416 let handler =
1417 ShareableMessageHandler(Rc::new(BarTradeHandler::new(aggregator.clone(), bar_key)));
1418
1419 if !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1420 msgbus::subscribe(topic.into(), handler.clone(), Some(self.msgbus_priority));
1421 }
1422
1423 handlers.push((topic, handler));
1424 } else {
1425 let topic = switchboard::get_quotes_topic(bar_type.instrument_id());
1426 let handler =
1427 ShareableMessageHandler(Rc::new(BarQuoteHandler::new(aggregator.clone(), bar_key)));
1428
1429 if !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1430 msgbus::subscribe(topic.into(), handler.clone(), Some(self.msgbus_priority));
1431 }
1432
1433 handlers.push((topic, handler));
1434 }
1435
1436 self.bar_aggregator_handlers.insert(bar_key, handlers);
1437 aggregator.borrow_mut().set_is_running(true);
1438
1439 Ok(())
1440 }
1441
1442 fn stop_bar_aggregator(&mut self, bar_type: BarType) -> anyhow::Result<()> {
1443 let aggregator = self
1444 .bar_aggregators
1445 .remove(&bar_type.standard())
1446 .ok_or_else(|| {
1447 anyhow::anyhow!("Cannot stop bar aggregator: no aggregator to stop for {bar_type}")
1448 })?;
1449
1450 aggregator.borrow_mut().stop();
1451
1452 let bar_key = bar_type.standard();
1454 if let Some(subs) = self.bar_aggregator_handlers.remove(&bar_key) {
1455 for (topic, handler) in subs {
1456 if msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1457 msgbus::unsubscribe_topic(topic, handler);
1458 }
1459 }
1460 }
1461
1462 Ok(())
1463 }
1464}
1465
1466#[inline(always)]
1467fn log_error_on_cache_insert<T: Display>(e: &T) {
1468 log::error!("Error on cache insert: {e}");
1469}