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 }
764 }
765
766 pub fn response(&self, resp: DataResponse) {
768 log::debug!("{RECV}{RES} {resp:?}");
769
770 match &resp {
771 DataResponse::Instrument(resp) => {
772 self.handle_instrument_response(resp.data.clone());
773 }
774 DataResponse::Instruments(resp) => {
775 self.handle_instruments(&resp.data);
776 }
777 DataResponse::Quotes(resp) => self.handle_quotes(&resp.data),
778 DataResponse::Trades(resp) => self.handle_trades(&resp.data),
779 DataResponse::Bars(resp) => self.handle_bars(&resp.data),
780 _ => todo!(),
781 }
782
783 msgbus::send_response(resp.correlation_id(), &resp);
784 }
785
786 fn handle_instrument(&mut self, instrument: InstrumentAny) {
789 if let Err(e) = self
790 .cache
791 .as_ref()
792 .borrow_mut()
793 .add_instrument(instrument.clone())
794 {
795 log_error_on_cache_insert(&e);
796 }
797
798 let topic = switchboard::get_instrument_topic(instrument.id());
799 msgbus::publish(topic, &instrument as &dyn Any);
800 }
801
802 fn handle_delta(&mut self, delta: OrderBookDelta) {
803 let deltas = if self.config.buffer_deltas {
804 if let Some(buffered_deltas) = self.buffered_deltas_map.get_mut(&delta.instrument_id) {
805 buffered_deltas.deltas.push(delta);
806 } else {
807 let buffered_deltas = OrderBookDeltas::new(delta.instrument_id, vec![delta]);
808 self.buffered_deltas_map
809 .insert(delta.instrument_id, buffered_deltas);
810 }
811
812 if !RecordFlag::F_LAST.matches(delta.flags) {
813 return; }
815
816 self.buffered_deltas_map
818 .remove(&delta.instrument_id)
819 .unwrap()
820 } else {
821 OrderBookDeltas::new(delta.instrument_id, vec![delta])
822 };
823
824 let topic = switchboard::get_book_deltas_topic(deltas.instrument_id);
825 msgbus::publish(topic, &deltas as &dyn Any);
826 }
827
828 fn handle_deltas(&mut self, deltas: OrderBookDeltas) {
829 let deltas = if self.config.buffer_deltas {
830 let mut is_last_delta = false;
831 for delta in &deltas.deltas {
832 if RecordFlag::F_LAST.matches(delta.flags) {
833 is_last_delta = true;
834 break;
835 }
836 }
837
838 let instrument_id = deltas.instrument_id;
839
840 if let Some(buffered_deltas) = self.buffered_deltas_map.get_mut(&instrument_id) {
841 buffered_deltas.deltas.extend(deltas.deltas);
842 } else {
843 self.buffered_deltas_map.insert(instrument_id, deltas);
844 }
845
846 if !is_last_delta {
847 return;
848 }
849
850 self.buffered_deltas_map.remove(&instrument_id).unwrap()
852 } else {
853 deltas
854 };
855
856 let topic = switchboard::get_book_deltas_topic(deltas.instrument_id);
857 msgbus::publish(topic, &deltas as &dyn Any);
858 }
859
860 fn handle_depth10(&mut self, depth: OrderBookDepth10) {
861 let topic = switchboard::get_book_depth10_topic(depth.instrument_id);
862 msgbus::publish(topic, &depth as &dyn Any);
863 }
864
865 fn handle_quote(&mut self, quote: QuoteTick) {
866 if let Err(e) = self.cache.as_ref().borrow_mut().add_quote(quote) {
867 log_error_on_cache_insert(&e);
868 }
869
870 let topic = switchboard::get_quotes_topic(quote.instrument_id);
873 msgbus::publish(topic, "e as &dyn Any);
874 }
875
876 fn handle_trade(&mut self, trade: TradeTick) {
877 if let Err(e) = self.cache.as_ref().borrow_mut().add_trade(trade) {
878 log_error_on_cache_insert(&e);
879 }
880
881 let topic = switchboard::get_trades_topic(trade.instrument_id);
884 msgbus::publish(topic, &trade as &dyn Any);
885 }
886
887 fn handle_bar(&mut self, bar: Bar) {
888 if self.config.validate_data_sequence
890 && let Some(last_bar) = self.cache.as_ref().borrow().bar(&bar.bar_type)
891 {
892 if bar.ts_event < last_bar.ts_event {
893 log::warn!(
894 "Bar {bar} was prior to last bar `ts_event` {}",
895 last_bar.ts_event
896 );
897 return; }
899 if bar.ts_init < last_bar.ts_init {
900 log::warn!(
901 "Bar {bar} was prior to last bar `ts_init` {}",
902 last_bar.ts_init
903 );
904 return; }
906 }
908
909 if let Err(e) = self.cache.as_ref().borrow_mut().add_bar(bar) {
910 log_error_on_cache_insert(&e);
911 }
912
913 let topic = switchboard::get_bars_topic(bar.bar_type);
914 msgbus::publish(topic, &bar as &dyn Any);
915 }
916
917 fn handle_mark_price(&mut self, mark_price: MarkPriceUpdate) {
918 if let Err(e) = self.cache.as_ref().borrow_mut().add_mark_price(mark_price) {
919 log_error_on_cache_insert(&e);
920 }
921
922 let topic = switchboard::get_mark_price_topic(mark_price.instrument_id);
923 msgbus::publish(topic, &mark_price as &dyn Any);
924 }
925
926 fn handle_index_price(&mut self, index_price: IndexPriceUpdate) {
927 if let Err(e) = self
928 .cache
929 .as_ref()
930 .borrow_mut()
931 .add_index_price(index_price)
932 {
933 log_error_on_cache_insert(&e);
934 }
935
936 let topic = switchboard::get_index_price_topic(index_price.instrument_id);
937 msgbus::publish(topic, &index_price as &dyn Any);
938 }
939
940 pub fn handle_funding_rate(&mut self, funding_rate: FundingRateUpdate) {
942 if let Err(e) = self
943 .cache
944 .as_ref()
945 .borrow_mut()
946 .add_funding_rate(funding_rate)
947 {
948 log_error_on_cache_insert(&e);
949 }
950
951 let topic = switchboard::get_funding_rate_topic(funding_rate.instrument_id);
952 msgbus::publish(topic, &funding_rate as &dyn Any);
953 }
954
955 fn handle_instrument_close(&mut self, close: InstrumentClose) {
956 let topic = switchboard::get_instrument_close_topic(close.instrument_id);
957 msgbus::publish(topic, &close as &dyn Any);
958 }
959
960 fn subscribe_book_deltas(&mut self, cmd: &SubscribeBookDeltas) -> anyhow::Result<()> {
963 if cmd.instrument_id.is_synthetic() {
964 anyhow::bail!("Cannot subscribe for synthetic instrument `OrderBookDelta` data");
965 }
966
967 self.setup_order_book(&cmd.instrument_id, cmd.book_type, true, cmd.managed)?;
968
969 Ok(())
970 }
971
972 fn subscribe_book_depth10(&mut self, cmd: &SubscribeBookDepth10) -> anyhow::Result<()> {
973 if cmd.instrument_id.is_synthetic() {
974 anyhow::bail!("Cannot subscribe for synthetic instrument `OrderBookDepth10` data");
975 }
976
977 self.setup_order_book(&cmd.instrument_id, cmd.book_type, false, cmd.managed)?;
978
979 Ok(())
980 }
981
982 fn subscribe_book_snapshots(&mut self, cmd: &SubscribeBookSnapshots) -> anyhow::Result<()> {
983 if self.subscribed_book_deltas().contains(&cmd.instrument_id) {
984 return Ok(());
985 }
986
987 if cmd.instrument_id.is_synthetic() {
988 anyhow::bail!("Cannot subscribe for synthetic instrument `OrderBookDelta` data");
989 }
990
991 let first_for_interval = match self.book_intervals.entry(cmd.interval_ms) {
993 Entry::Vacant(e) => {
994 let mut set = AHashSet::new();
995 set.insert(cmd.instrument_id);
996 e.insert(set);
997 true
998 }
999 Entry::Occupied(mut e) => {
1000 e.get_mut().insert(cmd.instrument_id);
1001 false
1002 }
1003 };
1004
1005 if first_for_interval {
1006 let interval_ns = millis_to_nanos(cmd.interval_ms.get() as f64);
1008 let topic = switchboard::get_book_snapshots_topic(cmd.instrument_id, cmd.interval_ms);
1009
1010 let snap_info = BookSnapshotInfo {
1011 instrument_id: cmd.instrument_id,
1012 venue: cmd.instrument_id.venue,
1013 is_composite: cmd.instrument_id.symbol.is_composite(),
1014 root: Ustr::from(cmd.instrument_id.symbol.root()),
1015 topic,
1016 interval_ms: cmd.interval_ms,
1017 };
1018
1019 let now_ns = self.clock.borrow().timestamp_ns().as_u64();
1021 let start_time_ns = now_ns - (now_ns % interval_ns) + interval_ns;
1022
1023 let snapshotter = Rc::new(BookSnapshotter::new(snap_info, self.cache.clone()));
1024 self.book_snapshotters
1025 .insert(cmd.instrument_id, snapshotter.clone());
1026 let timer_name = snapshotter.timer_name;
1027
1028 let callback =
1029 TimeEventCallback::Rust(Rc::new(move |event| snapshotter.snapshot(event)));
1030
1031 self.clock
1032 .borrow_mut()
1033 .set_timer_ns(
1034 &timer_name,
1035 interval_ns,
1036 Some(start_time_ns.into()),
1037 None,
1038 Some(callback),
1039 None,
1040 None,
1041 )
1042 .expect(FAILED);
1043 }
1044
1045 self.setup_order_book(&cmd.instrument_id, cmd.book_type, false, true)?;
1046
1047 Ok(())
1048 }
1049
1050 fn subscribe_bars(&mut self, cmd: &SubscribeBars) -> anyhow::Result<()> {
1051 match cmd.bar_type.aggregation_source() {
1052 AggregationSource::Internal => {
1053 if !self.bar_aggregators.contains_key(&cmd.bar_type.standard()) {
1054 self.start_bar_aggregator(cmd.bar_type)?;
1055 }
1056 }
1057 AggregationSource::External => {
1058 if cmd.bar_type.instrument_id().is_synthetic() {
1059 anyhow::bail!(
1060 "Cannot subscribe for externally aggregated synthetic instrument bar data"
1061 );
1062 }
1063 }
1064 }
1065
1066 Ok(())
1067 }
1068
1069 fn unsubscribe_book_deltas(&mut self, cmd: &UnsubscribeBookDeltas) -> anyhow::Result<()> {
1070 if !self.subscribed_book_deltas().contains(&cmd.instrument_id) {
1071 log::warn!("Cannot unsubscribe from `OrderBookDeltas` data: not subscribed");
1072 return Ok(());
1073 }
1074
1075 let topics = vec![
1076 switchboard::get_book_deltas_topic(cmd.instrument_id),
1077 switchboard::get_book_depth10_topic(cmd.instrument_id),
1078 ];
1080
1081 self.maintain_book_updater(&cmd.instrument_id, &topics);
1082 self.maintain_book_snapshotter(&cmd.instrument_id);
1083
1084 Ok(())
1085 }
1086
1087 fn unsubscribe_book_depth10(&mut self, cmd: &UnsubscribeBookDepth10) -> anyhow::Result<()> {
1088 if !self.subscribed_book_deltas().contains(&cmd.instrument_id) {
1089 log::warn!("Cannot unsubscribe from `OrderBookDeltas` data: not subscribed");
1090 return Ok(());
1091 }
1092
1093 let topics = vec![
1094 switchboard::get_book_deltas_topic(cmd.instrument_id),
1095 switchboard::get_book_depth10_topic(cmd.instrument_id),
1096 ];
1098
1099 self.maintain_book_updater(&cmd.instrument_id, &topics);
1100 self.maintain_book_snapshotter(&cmd.instrument_id);
1101
1102 Ok(())
1103 }
1104
1105 fn unsubscribe_book_snapshots(&mut self, cmd: &UnsubscribeBookSnapshots) -> anyhow::Result<()> {
1106 if !self.subscribed_book_deltas().contains(&cmd.instrument_id) {
1107 log::warn!("Cannot unsubscribe from `OrderBook` snapshots: not subscribed");
1108 return Ok(());
1109 }
1110
1111 let mut to_remove = Vec::new();
1113 for (interval, set) in &mut self.book_intervals {
1114 if set.remove(&cmd.instrument_id) && set.is_empty() {
1115 to_remove.push(*interval);
1116 }
1117 }
1118
1119 for interval in to_remove {
1120 self.book_intervals.remove(&interval);
1121 }
1122
1123 let topics = vec![
1124 switchboard::get_book_deltas_topic(cmd.instrument_id),
1125 switchboard::get_book_depth10_topic(cmd.instrument_id),
1126 ];
1128
1129 self.maintain_book_updater(&cmd.instrument_id, &topics);
1130 self.maintain_book_snapshotter(&cmd.instrument_id);
1131
1132 Ok(())
1133 }
1134
1135 fn unsubscribe_bars(&mut self, cmd: &UnsubscribeBars) -> anyhow::Result<()> {
1137 let bar_type = cmd.bar_type;
1139 if self.bar_aggregators.contains_key(&bar_type.standard()) {
1140 if let Err(err) = self.stop_bar_aggregator(bar_type) {
1141 log::error!("Error stopping bar aggregator for {bar_type}: {err}");
1142 }
1143 self.bar_aggregators.remove(&bar_type.standard());
1144 log::debug!("Removed bar aggregator for {bar_type}");
1145 }
1146 Ok(())
1147 }
1148
1149 fn maintain_book_updater(&mut self, instrument_id: &InstrumentId, topics: &[MStr<Topic>]) {
1150 if let Some(updater) = self.book_updaters.get(instrument_id) {
1151 let handler = ShareableMessageHandler(updater.clone());
1152
1153 for topic in topics {
1155 if msgbus::subscriptions_count(topic.as_str()) == 1
1156 && msgbus::is_subscribed(topic.as_str(), handler.clone())
1157 {
1158 log::debug!("Unsubscribing BookUpdater from {topic}");
1159 msgbus::unsubscribe_topic(*topic, handler.clone());
1160 }
1161 }
1162
1163 let still_subscribed = topics
1165 .iter()
1166 .any(|topic| msgbus::is_subscribed(topic.as_str(), handler.clone()));
1167 if !still_subscribed {
1168 self.book_updaters.remove(instrument_id);
1169 log::debug!("Removed BookUpdater for instrument ID {instrument_id}");
1170 }
1171 }
1172 }
1173
1174 fn maintain_book_snapshotter(&mut self, instrument_id: &InstrumentId) {
1175 if let Some(snapshotter) = self.book_snapshotters.get(instrument_id) {
1176 let topic = switchboard::get_book_snapshots_topic(
1177 *instrument_id,
1178 snapshotter.snap_info.interval_ms,
1179 );
1180
1181 if msgbus::subscriptions_count(topic.as_str()) == 0 {
1183 let timer_name = snapshotter.timer_name;
1184 self.book_snapshotters.remove(instrument_id);
1185 let mut clock = self.clock.borrow_mut();
1186 if clock.timer_names().contains(&timer_name.as_str()) {
1187 clock.cancel_timer(&timer_name);
1188 }
1189 log::debug!("Removed BookSnapshotter for instrument ID {instrument_id}");
1190 }
1191 }
1192 }
1193
1194 fn handle_instrument_response(&self, instrument: InstrumentAny) {
1197 let mut cache = self.cache.as_ref().borrow_mut();
1198 if let Err(e) = cache.add_instrument(instrument) {
1199 log_error_on_cache_insert(&e);
1200 }
1201 }
1202
1203 fn handle_instruments(&self, instruments: &[InstrumentAny]) {
1204 let mut cache = self.cache.as_ref().borrow_mut();
1206 for instrument in instruments {
1207 if let Err(e) = cache.add_instrument(instrument.clone()) {
1208 log_error_on_cache_insert(&e);
1209 }
1210 }
1211 }
1212
1213 fn handle_quotes(&self, quotes: &[QuoteTick]) {
1214 if let Err(e) = self.cache.as_ref().borrow_mut().add_quotes(quotes) {
1215 log_error_on_cache_insert(&e);
1216 }
1217 }
1218
1219 fn handle_trades(&self, trades: &[TradeTick]) {
1220 if let Err(e) = self.cache.as_ref().borrow_mut().add_trades(trades) {
1221 log_error_on_cache_insert(&e);
1222 }
1223 }
1224
1225 fn handle_bars(&self, bars: &[Bar]) {
1226 if let Err(e) = self.cache.as_ref().borrow_mut().add_bars(bars) {
1227 log_error_on_cache_insert(&e);
1228 }
1229 }
1230
1231 #[allow(clippy::too_many_arguments)]
1234 fn setup_order_book(
1235 &mut self,
1236 instrument_id: &InstrumentId,
1237 book_type: BookType,
1238 only_deltas: bool,
1239 managed: bool,
1240 ) -> anyhow::Result<()> {
1241 let mut cache = self.cache.borrow_mut();
1242 if managed && !cache.has_order_book(instrument_id) {
1243 let book = OrderBook::new(*instrument_id, book_type);
1244 log::debug!("Created {book}");
1245 cache.add_order_book(book)?;
1246 }
1247
1248 let updater = Rc::new(BookUpdater::new(instrument_id, self.cache.clone()));
1250 self.book_updaters.insert(*instrument_id, updater.clone());
1251
1252 let handler = ShareableMessageHandler(updater);
1253
1254 let topic = switchboard::get_book_deltas_topic(*instrument_id);
1255 if !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1256 msgbus::subscribe(topic.into(), handler.clone(), Some(self.msgbus_priority));
1257 }
1258
1259 let topic = switchboard::get_book_depth10_topic(*instrument_id);
1260 if !only_deltas && !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1261 msgbus::subscribe(topic.into(), handler, Some(self.msgbus_priority));
1262 }
1263
1264 Ok(())
1265 }
1266
1267 #[cfg(feature = "defi")]
1268 fn setup_pool_updater(&mut self, instrument_id: &InstrumentId) {
1269 if self.pool_updaters.contains_key(instrument_id) {
1270 return;
1271 }
1272
1273 let updater = Rc::new(PoolUpdater::new(instrument_id, self.cache.clone()));
1274 let handler = ShareableMessageHandler(updater.clone());
1275
1276 let swap_topic = switchboard::get_defi_pool_swaps_topic(*instrument_id);
1278 if !msgbus::is_subscribed(swap_topic.as_str(), handler.clone()) {
1279 msgbus::subscribe(
1280 swap_topic.into(),
1281 handler.clone(),
1282 Some(self.msgbus_priority),
1283 );
1284 }
1285
1286 let liquidity_topic = switchboard::get_defi_liquidity_topic(*instrument_id);
1287 if !msgbus::is_subscribed(liquidity_topic.as_str(), handler.clone()) {
1288 msgbus::subscribe(liquidity_topic.into(), handler, Some(self.msgbus_priority));
1289 }
1290
1291 self.pool_updaters.insert(*instrument_id, updater);
1292 log::debug!("Created PoolUpdater for instrument ID {instrument_id}");
1293 }
1294
1295 fn create_bar_aggregator(
1296 &mut self,
1297 instrument: &InstrumentAny,
1298 bar_type: BarType,
1299 ) -> Box<dyn BarAggregator> {
1300 let cache = self.cache.clone();
1301
1302 let handler = move |bar: Bar| {
1303 if let Err(e) = cache.as_ref().borrow_mut().add_bar(bar) {
1304 log_error_on_cache_insert(&e);
1305 }
1306
1307 let topic = switchboard::get_bars_topic(bar.bar_type);
1308 msgbus::publish(topic, &bar as &dyn Any);
1309 };
1310
1311 let clock = self.clock.clone();
1312 let config = self.config.clone();
1313
1314 let price_precision = instrument.price_precision();
1315 let size_precision = instrument.size_precision();
1316
1317 if bar_type.spec().is_time_aggregated() {
1318 let time_bars_origin_offset = config
1320 .time_bars_origins
1321 .get(&bar_type.spec().aggregation)
1322 .map(|duration| chrono::TimeDelta::from_std(*duration).unwrap_or_default());
1323
1324 Box::new(TimeBarAggregator::new(
1325 bar_type,
1326 price_precision,
1327 size_precision,
1328 clock,
1329 handler,
1330 false, config.time_bars_build_with_no_updates,
1332 config.time_bars_timestamp_on_close,
1333 config.time_bars_interval_type,
1334 time_bars_origin_offset,
1335 20, false, ))
1338 } else {
1339 match bar_type.spec().aggregation {
1340 BarAggregation::Tick => Box::new(TickBarAggregator::new(
1341 bar_type,
1342 price_precision,
1343 size_precision,
1344 handler,
1345 false,
1346 )) as Box<dyn BarAggregator>,
1347 BarAggregation::Volume => Box::new(VolumeBarAggregator::new(
1348 bar_type,
1349 price_precision,
1350 size_precision,
1351 handler,
1352 false,
1353 )) as Box<dyn BarAggregator>,
1354 BarAggregation::Value => Box::new(ValueBarAggregator::new(
1355 bar_type,
1356 price_precision,
1357 size_precision,
1358 handler,
1359 false,
1360 )) as Box<dyn BarAggregator>,
1361 _ => panic!(
1362 "Cannot create aggregator: {} aggregation not currently supported",
1363 bar_type.spec().aggregation
1364 ),
1365 }
1366 }
1367 }
1368
1369 fn start_bar_aggregator(&mut self, bar_type: BarType) -> anyhow::Result<()> {
1370 let instrument = {
1372 let cache = self.cache.borrow();
1373 cache
1374 .instrument(&bar_type.instrument_id())
1375 .ok_or_else(|| {
1376 anyhow::anyhow!(
1377 "Cannot start bar aggregation: no instrument found for {}",
1378 bar_type.instrument_id(),
1379 )
1380 })?
1381 .clone()
1382 };
1383
1384 let bar_key = bar_type.standard();
1386
1387 let aggregator = if let Some(rc) = self.bar_aggregators.get(&bar_key) {
1389 rc.clone()
1390 } else {
1391 let agg = self.create_bar_aggregator(&instrument, bar_type);
1392 let rc = Rc::new(RefCell::new(agg));
1393 self.bar_aggregators.insert(bar_key, rc.clone());
1394 rc
1395 };
1396
1397 let mut handlers = Vec::new();
1399
1400 if bar_type.is_composite() {
1401 let topic = switchboard::get_bars_topic(bar_type.composite());
1402 let handler =
1403 ShareableMessageHandler(Rc::new(BarBarHandler::new(aggregator.clone(), bar_key)));
1404
1405 if !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1406 msgbus::subscribe(topic.into(), handler.clone(), Some(self.msgbus_priority));
1407 }
1408
1409 handlers.push((topic, handler));
1410 } else if bar_type.spec().price_type == PriceType::Last {
1411 let topic = switchboard::get_trades_topic(bar_type.instrument_id());
1412 let handler =
1413 ShareableMessageHandler(Rc::new(BarTradeHandler::new(aggregator.clone(), bar_key)));
1414
1415 if !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1416 msgbus::subscribe(topic.into(), handler.clone(), Some(self.msgbus_priority));
1417 }
1418
1419 handlers.push((topic, handler));
1420 } else {
1421 let topic = switchboard::get_quotes_topic(bar_type.instrument_id());
1422 let handler =
1423 ShareableMessageHandler(Rc::new(BarQuoteHandler::new(aggregator.clone(), bar_key)));
1424
1425 if !msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1426 msgbus::subscribe(topic.into(), handler.clone(), Some(self.msgbus_priority));
1427 }
1428
1429 handlers.push((topic, handler));
1430 }
1431
1432 self.bar_aggregator_handlers.insert(bar_key, handlers);
1433 aggregator.borrow_mut().set_is_running(true);
1434
1435 Ok(())
1436 }
1437
1438 fn stop_bar_aggregator(&mut self, bar_type: BarType) -> anyhow::Result<()> {
1439 let aggregator = self
1440 .bar_aggregators
1441 .remove(&bar_type.standard())
1442 .ok_or_else(|| {
1443 anyhow::anyhow!("Cannot stop bar aggregator: no aggregator to stop for {bar_type}")
1444 })?;
1445
1446 aggregator.borrow_mut().stop();
1447
1448 let bar_key = bar_type.standard();
1450 if let Some(subs) = self.bar_aggregator_handlers.remove(&bar_key) {
1451 for (topic, handler) in subs {
1452 if msgbus::is_subscribed(topic.as_str(), handler.clone()) {
1453 msgbus::unsubscribe_topic(topic, handler);
1454 }
1455 }
1456 }
1457
1458 Ok(())
1459 }
1460}
1461
1462#[inline(always)]
1463fn log_error_on_cache_insert<T: Display>(e: &T) {
1464 log::error!("Error on cache insert: {e}");
1465}