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Add symbol meta store #187

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146 changes: 108 additions & 38 deletions src/exchange/exchange_client.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -22,6 +22,7 @@ use crate::{
},
helpers::{next_nonce, uuid_to_hex_string},
info::info_client::InfoClient,
market_meta_store::MarketMetaStore,
meta::Meta,
prelude::*,
req::HttpClient,
Expand Down Expand Up @@ -110,22 +111,16 @@ impl ExchangeClient {
let client = client.unwrap_or_default();
let base_url = base_url.unwrap_or(BaseUrl::Mainnet);

let info = InfoClient::new(None, Some(base_url)).await?;
let info = InfoClient::new(Some(client.clone()), Some(base_url)).await?;
let meta = if let Some(meta) = meta {
meta
} else {
info.meta().await?
};

let mut coin_to_asset = HashMap::new();
for (asset_ind, asset) in meta.universe.iter().enumerate() {
coin_to_asset.insert(asset.name.clone(), asset_ind as u32);
}

coin_to_asset = info
.spot_meta()
.await?
.add_pair_and_name_to_index_map(coin_to_asset);
let spot_meta = info.spot_meta().await?;
let market_meta_data = MarketMetaStore::build_data(&meta, &spot_meta, &[]);
let coin_to_asset = market_meta_data.coin_to_asset.clone();

Ok(ExchangeClient {
wallet,
Expand All @@ -139,6 +134,17 @@ impl ExchangeClient {
})
}

fn asset_id(&self, coin: &str) -> Result<u32> {
self.coin_to_asset
.get(coin)
.copied()
.ok_or(Error::AssetNotFound)
}

fn conversion_map(&self) -> HashMap<String, u32> {
self.coin_to_asset.clone()
}

async fn post(
&self,
action: serde_json::Value,
Expand Down Expand Up @@ -420,28 +426,28 @@ impl ExchangeClient {
_ => return Err(Error::GenericRequest("Invalid base URL".to_string())),
};
let info_client = InfoClient::new(None, Some(base_url)).await?;
let meta = info_client.meta().await?;

let asset_meta = meta
.universe
.iter()
.find(|a| a.name == asset)
let spot_meta = info_client.spot_meta().await?;
let market_meta_data = MarketMetaStore::build_data(&self.meta, &spot_meta, &[]);
let market_meta_store = MarketMetaStore::from_data(market_meta_data);
let asset_id = market_meta_store
.asset_id(asset)
.or_else(|| self.coin_to_asset.get(asset).copied())
.ok_or(Error::AssetNotFound)?;

let sz_decimals = asset_meta.sz_decimals;
let max_decimals: u32 = if self.coin_to_asset[asset] < 10000 {
6
} else {
8
};
let sz_decimals = market_meta_store
.sz_decimals(asset)
.ok_or(Error::AssetNotFound)?;
let max_decimals: u32 = if asset_id < 10000 { 6 } else { 8 };
let price_decimals = max_decimals.saturating_sub(sz_decimals);

let px = if let Some(px) = px {
px
} else {
let all_mids = info_client.all_mids().await?;
let mid_key = market_meta_store
.mid_key(asset)
.unwrap_or_else(|| asset.to_string());
all_mids
.get(asset)
.get(&mid_key)
.ok_or(Error::AssetNotFound)?
.parse::<f64>()
.map_err(|_| Error::FloatStringParse)?
Expand Down Expand Up @@ -488,10 +494,11 @@ impl ExchangeClient {
let wallet = wallet.unwrap_or(&self.wallet);
let timestamp = next_nonce();

let coin_to_asset = self.conversion_map();
let mut transformed_orders = Vec::new();

for order in orders {
transformed_orders.push(order.convert(&self.coin_to_asset)?);
transformed_orders.push(order.convert(&coin_to_asset)?);
}

let action = Actions::Order(BulkOrder {
Expand All @@ -518,10 +525,11 @@ impl ExchangeClient {

builder.builder = builder.builder.to_lowercase();

let coin_to_asset = self.conversion_map();
let mut transformed_orders = Vec::new();

for order in orders {
transformed_orders.push(order.convert(&self.coin_to_asset)?);
transformed_orders.push(order.convert(&coin_to_asset)?);
}

let action = Actions::Order(BulkOrder {
Expand Down Expand Up @@ -555,10 +563,7 @@ impl ExchangeClient {

let mut transformed_cancels = Vec::new();
for cancel in cancels.into_iter() {
let &asset = self
.coin_to_asset
.get(&cancel.asset)
.ok_or(Error::AssetNotFound)?;
let asset = self.asset_id(&cancel.asset)?;
transformed_cancels.push(CancelRequest {
asset,
oid: cancel.oid,
Expand Down Expand Up @@ -593,11 +598,12 @@ impl ExchangeClient {
let wallet = wallet.unwrap_or(&self.wallet);
let timestamp = next_nonce();

let coin_to_asset = self.conversion_map();
let mut transformed_modifies = Vec::new();
for modify in modifies.into_iter() {
transformed_modifies.push(ModifyRequest {
oid: modify.oid,
order: modify.order.convert(&self.coin_to_asset)?,
order: modify.order.convert(&coin_to_asset)?,
});
}

Expand Down Expand Up @@ -631,10 +637,7 @@ impl ExchangeClient {

let mut transformed_cancels: Vec<CancelRequestCloid> = Vec::new();
for cancel in cancels.into_iter() {
let &asset = self
.coin_to_asset
.get(&cancel.asset)
.ok_or(Error::AssetNotFound)?;
let asset = self.asset_id(&cancel.asset)?;
transformed_cancels.push(CancelRequestCloid {
asset,
cloid: uuid_to_hex_string(cancel.cloid),
Expand Down Expand Up @@ -664,7 +667,7 @@ impl ExchangeClient {

let timestamp = next_nonce();

let &asset_index = self.coin_to_asset.get(coin).ok_or(Error::AssetNotFound)?;
let asset_index = self.asset_id(coin)?;
let action = Actions::UpdateLeverage(UpdateLeverage {
asset: asset_index,
is_cross,
Expand All @@ -689,7 +692,7 @@ impl ExchangeClient {
let amount = (amount * 1_000_000.0).round() as i64;
let timestamp = next_nonce();

let &asset_index = self.coin_to_asset.get(coin).ok_or(Error::AssetNotFound)?;
let asset_index = self.asset_id(coin)?;
let action = Actions::UpdateIsolatedMargin(UpdateIsolatedMargin {
asset: asset_index,
is_buy: true,
Expand Down Expand Up @@ -884,13 +887,14 @@ fn round_to_significant_and_decimal(value: f64, sig_figs: u32, max_decimals: u32

#[cfg(test)]
mod tests {
use std::str::FromStr;
use std::{collections::HashMap, str::FromStr};

use alloy::primitives::address;

use super::*;
use crate::{
exchange::order::{Limit, OrderRequest, Trigger},
exchange::{cancel::ClientCancelRequest, modify::ClientModifyRequest},
Order,
};

Expand Down Expand Up @@ -1164,4 +1168,70 @@ mod tests {

Ok(())
}

fn test_exchange_client(coin_to_asset: HashMap<String, u32>) -> Result<ExchangeClient> {
let wallet = get_wallet()?;
Ok(ExchangeClient {
http_client: HttpClient {
client: Client::new(),
base_url: BaseUrl::Mainnet.get_url(),
},
wallet,
meta: Meta { universe: vec![] },
vault_address: None,
coin_to_asset,
})
}

#[test]
fn exchange_client_conversion_uses_market_meta_store() -> Result<()> {
let coin_to_asset = HashMap::from([
("BTC".to_string(), 0),
("HYPE/USDC".to_string(), 10107),
("@107".to_string(), 10107),
("dexA:AAA".to_string(), 110000),
]);
let client = test_exchange_client(coin_to_asset)?;

let order = ClientOrderRequest {
asset: "HYPE/USDC".to_string(),
is_buy: true,
reduce_only: false,
limit_px: 1.25,
sz: 2.0,
cloid: None,
order_type: ClientOrder::Limit(ClientLimit {
tif: "Gtc".to_string(),
}),
}
.convert(&client.conversion_map())?;
assert_eq!(order.asset, 10107);

let modify = ClientModifyRequest {
oid: 7,
order: ClientOrderRequest {
asset: "dexA:AAA".to_string(),
is_buy: false,
reduce_only: false,
limit_px: 2.0,
sz: 3.0,
cloid: None,
order_type: ClientOrder::Limit(ClientLimit {
tif: "Alo".to_string(),
}),
},
};
assert_eq!(
modify.order.convert(&client.conversion_map())?.asset,
110000
);

let cancel = ClientCancelRequest {
asset: "@107".to_string(),
oid: 42,
};
assert_eq!(client.asset_id(&cancel.asset)?, 10107);

Ok(())
}
}
2 changes: 1 addition & 1 deletion src/helpers.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -70,7 +70,7 @@ pub fn bps_diff(x: f64, y: f64) -> u16 {
}
}

#[derive(Copy, Clone)]
#[derive(Copy, Clone, Debug)]
pub enum BaseUrl {
Localhost,
Testnet,
Expand Down
38 changes: 37 additions & 1 deletion src/info/info_client.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -11,7 +11,7 @@ use crate::{
L2SnapshotResponse, OpenOrdersResponse, OrderInfo, RecentTradesResponse, UserFillsResponse,
UserStateResponse,
},
meta::{AssetContext, Meta, SpotMeta, SpotMetaAndAssetCtxs},
meta::{AssetContext, Meta, PerpDex, SpotMeta, SpotMetaAndAssetCtxs},
prelude::*,
req::HttpClient,
ws::{Subscription, WsManager},
Expand Down Expand Up @@ -58,6 +58,7 @@ pub enum InfoRequest {
MetaAndAssetCtxs,
SpotMeta,
SpotMetaAndAssetCtxs,
PerpDexs,
AllMids,
UserFills {
user: Address,
Expand Down Expand Up @@ -182,6 +183,17 @@ impl InfoClient {
serde_json::from_str(&return_data).map_err(|e| Error::JsonParse(e.to_string()))
}

async fn send_info_value<T: for<'a> Deserialize<'a>>(
&self,
info_request: serde_json::Value,
) -> Result<T> {
let data =
serde_json::to_string(&info_request).map_err(|e| Error::JsonParse(e.to_string()))?;

let return_data = self.http_client.post("/info", data).await?;
serde_json::from_str(&return_data).map_err(|e| Error::JsonParse(e.to_string()))
}

pub async fn open_orders(&self, address: Address) -> Result<Vec<OpenOrdersResponse>> {
let input = InfoRequest::OpenOrders { user: address };
self.send_info_request(input).await
Expand Down Expand Up @@ -212,6 +224,19 @@ impl InfoClient {
self.send_info_request(input).await
}

pub async fn meta_for_dex(&self, dex: String) -> Result<Meta> {
self.send_info_value(serde_json::json!({
"type": "meta",
"dex": dex,
}))
.await
}

pub async fn perp_dexs(&self) -> Result<Vec<Option<PerpDex>>> {
let input = InfoRequest::PerpDexs;
self.send_info_request(input).await
}

pub async fn meta_and_asset_contexts(&self) -> Result<(Meta, Vec<AssetContext>)> {
let input = InfoRequest::MetaAndAssetCtxs;
self.send_info_request(input).await
Expand Down Expand Up @@ -321,3 +346,14 @@ impl InfoClient {
self.send_info_request(input).await
}
}

#[cfg(test)]
mod tests {
use super::*;

#[test]
fn serializes_perp_dexs_request() {
let json = serde_json::to_value(InfoRequest::PerpDexs).unwrap();
assert_eq!(json, serde_json::json!({ "type": "perpDexs" }));
}
}
6 changes: 5 additions & 1 deletion src/lib.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -6,6 +6,7 @@ mod exchange;
mod helpers;
mod info;
mod market_maker;
mod market_meta_store;
mod meta;
mod prelude;
mod req;
Expand All @@ -18,5 +19,8 @@ pub use exchange::*;
pub use helpers::{bps_diff, truncate_float, BaseUrl};
pub use info::{info_client::*, *};
pub use market_maker::{MarketMaker, MarketMakerInput, MarketMakerRestingOrder};
pub use meta::{AssetContext, AssetMeta, Meta, MetaAndAssetCtxs, SpotAssetMeta, SpotMeta};
pub use market_meta_store::{
MarketMetaStore, MarketMetaStoreData, MarketMetaStoreDexs, MarketMetaStoreOptions,
};
pub use meta::{AssetContext, AssetMeta, Meta, MetaAndAssetCtxs, PerpDex, SpotAssetMeta, SpotMeta};
pub use ws::*;
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