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AppError { + #[error(transparent)] + UrlParseError(#[from] ParseError), + + #[error(transparent)] + ReqwestError(#[from] reqwest::Error), + + #[error(transparent)] + ReqwestWsError(#[from] reqwest_websocket::Error), + + #[error(transparent)] + SerdeError(#[from] serde_json::Error), + + #[error(transparent)] + DbError(#[from] rusqlite::Error), +} diff --git a/src/main.rs b/src/main.rs new file mode 100644 index 0000000..4439854 --- /dev/null +++ b/src/main.rs @@ -0,0 +1,95 @@ +use chrono::{NaiveDate, NaiveDateTime, TimeDelta, Utc}; +use error::AppResult; +use futures_util::StreamExt; +use models::{Candle, CandleInterval, Pair}; +use poloniex::PoloniexClient; +use repo::Repo; + +mod error; +mod models; +mod poloniex; +mod repo; + +async fn fetch_candles_until_now( + poloniex_client: &PoloniexClient, + pair: &Pair, + interval: CandleInterval, + mut start_time: NaiveDateTime, +) -> AppResult> { + let mut result = vec![]; + + loop { + let candles = poloniex_client + .get_historical_candles(pair, interval, start_time, Utc::now().naive_utc()) + .await?; + + let Some(last_candle) = candles.last() else { + // больше нет свечей, скачали все возможные + break; + }; + + let last_candle_ts = last_candle.ts.and_utc().timestamp(); + let now = Utc::now().timestamp(); + + dbg!(last_candle_ts, now); + if last_candle_ts < now { + // если какие-то свечки недополучили из-за лимитов, + // смещаем запрашиваемый временной отрезок вправо + start_time = last_candle.ts + TimeDelta::seconds(1); + + if start_time.and_utc().timestamp() >= now { + break; + } + } else { + break; + } + + result.extend(candles); + } + + Ok(result) +} + +async fn _main() -> AppResult<()> { + let poloniex_client = PoloniexClient::new( + "https://api.poloniex.com", + "wss://ws.poloniex.com/ws/public", + )?; + let repo = Repo::new_init("poloniex_data.db")?; + + let start_time = NaiveDate::from_ymd_opt(2024, 12, 1) + .unwrap() + .and_hms_opt(0, 0, 0) + .unwrap(); + + let pair = Pair::new("BTC", "USDT"); + let candles = + fetch_candles_until_now(&poloniex_client, &pair, CandleInterval::M1, start_time).await?; + + println!("fetched {} candles", candles.len()); + + // нельзя так делать, нужно использовать транзакцию + // и батч-вставку для уменьшения количества обращений к бд, + // но в контексте тестового и так сойдёт + for candle in candles { + repo.insert_candle(&candle)?; + } + + let mut trades = poloniex_client.recent_trades_stream(&pair).await?; + + while let Some(t) = trades.next().await { + println!("{t:?}"); + + if let Ok(trade) = t { + repo.insert_trade(&trade)?; + } + } + Ok(()) +} + +#[tokio::main] +async fn main() { + if let Err(e) = _main().await { + eprintln!("{e}"); + } +} diff --git a/src/models.rs b/src/models.rs new file mode 100644 index 0000000..eb06a30 --- /dev/null +++ b/src/models.rs @@ -0,0 +1,102 @@ +use std::fmt::{self, Display}; + +use chrono::{DateTime, NaiveDateTime}; +use serde::{Deserialize, Deserializer, Serialize}; +use serde_tuple::Deserialize_tuple; + +pub struct Pair { + pub base: String, + pub quote: String, +} + +impl Pair { + pub fn new(base: &str, quote: &str) -> Self { + Self { + base: base.to_string(), + quote: quote.to_string(), + } + } +} + +impl Display for Pair { + fn fmt(&self, f: &mut fmt::Formatter<'_>) -> fmt::Result { + write!(f, "{}_{}", self.base, self.quote) + } +} + +#[derive(strum::AsRefStr, Clone, Copy)] +pub enum CandleInterval { + #[strum(serialize = "MINUTE_1")] + M1, + #[strum(serialize = "MINUTE_15")] + M15, + #[strum(serialize = "HOUR_1")] + H1, + #[strum(serialize = "DAY_1")] + D1, +} + +#[derive(Debug, Deserialize_tuple)] +pub struct Candle { + pub low: String, + pub high: String, + pub open: String, + pub close: String, + pub amount: String, + pub quantity: String, + pub buy_taker_amount: String, + pub buy_taker_quantity: String, + pub trade_count: i64, + #[serde(deserialize_with = "deser_naive_dt")] + pub ts: NaiveDateTime, + pub weighted_average: String, + pub interval: String, + #[serde(deserialize_with = "deser_naive_dt")] + pub start_time: NaiveDateTime, + #[serde(deserialize_with = "deser_naive_dt")] + pub close_time: NaiveDateTime, +} + +fn deser_naive_dt<'de, D: Deserializer<'de>>(deserialize: D) -> Result { + let ts = Deserialize::deserialize(deserialize)?; + DateTime::from_timestamp_millis(ts) + .ok_or(serde::de::Error::custom(format!("wrong timestamp '{ts}'"))) + .map(|dt| dt.naive_utc()) +} + +#[derive(Deserialize, Debug)] +#[serde(rename_all = "camelCase")] +pub struct Trade { + pub symbol: String, + pub amount: String, + pub taker_side: String, + pub quantity: String, + #[serde(deserialize_with = "deser_naive_dt")] + pub create_time: NaiveDateTime, + pub price: String, + pub id: String, + #[serde(deserialize_with = "deser_naive_dt")] + pub ts: NaiveDateTime, +} + +#[derive(Serialize)] +pub struct SubscriptionRequest { + pub event: String, + pub channel: Vec, + pub symbols: Vec, +} + +#[derive(Deserialize, Debug)] +#[allow(dead_code)] +pub struct SubscriptionResponse { + pub event: String, + pub channel: String, + pub symbols: Vec, +} + +#[derive(Deserialize, Debug)] +#[allow(dead_code)] +pub struct SubscriptionResponseData { + pub channel: String, + pub data: Vec, +} diff --git a/src/poloniex.rs b/src/poloniex.rs new file mode 100644 index 0000000..617ab83 --- /dev/null +++ b/src/poloniex.rs @@ -0,0 +1,103 @@ +use std::pin::Pin; + +use chrono::{NaiveDate, NaiveDateTime}; +use futures_util::{SinkExt, Stream, TryStreamExt as _}; +use reqwest::Url; +use reqwest_websocket::Message; +use serde::{Deserialize, Serialize}; + +use crate::{ + error::{AppError, AppResult}, + models::{ + Candle, CandleInterval, Pair, SubscriptionRequest, SubscriptionResponse, + SubscriptionResponseData, Trade, + }, +}; + +pub struct PoloniexClient { + rest_base_url: Url, + ws_base_url: Url, +} + +impl PoloniexClient { + pub fn new(rest_base_url: &str, ws_base_url: &str) -> AppResult { + let rest_base_url = rest_base_url.parse()?; + let ws_base_url = ws_base_url.parse()?; + + Ok(Self { + rest_base_url, + ws_base_url, + }) + } + + pub async fn get_historical_candles( + &self, + pair: &Pair, + interval: CandleInterval, + start_date: NaiveDateTime, + end_date: NaiveDateTime, + ) -> AppResult> { + let mut req = self + .rest_base_url + .join(&format!("/markets/{}/candles", pair.to_string()))?; + + req.query_pairs_mut() + .append_pair( + "startTime", + &start_date.and_utc().timestamp_millis().to_string(), + ) + .append_pair( + "endTime", + &end_date.and_utc().timestamp_millis().to_string(), + ) + .append_pair("interval", interval.as_ref()) + .append_pair("limit", "500"); + + let result = reqwest::get(req).await?; + + if let Err(e) = result.error_for_status_ref() { + println!("{:?}", result.text().await); + return Err(e.into()); + }; + result.json().await.map_err(AppError::from) + } + + pub async fn recent_trades_stream( + &self, + pair: &Pair, + ) -> AppResult>>>> { + let mut ws = reqwest_websocket::websocket(self.ws_base_url.clone()).await?; + + let req = SubscriptionRequest { + event: "subscribe".to_string(), + channel: vec!["trades".to_string()], + symbols: vec![pair.to_string()], + }; + + ws.send(Message::Text(serde_json::to_string(&req)?)).await?; + + Ok(Box::pin(async_stream::stream! { + while let Some(message) = ws.try_next().await.unwrap() { + match message { + Message::Text(text) => { + if let Ok(sub) = serde_json::from_str::(&text) { + println!("{sub:?}"); + continue + } + + dbg!(&text); + let trades = serde_json::from_str::>(&text)?; + for trade in trades.data { + yield Ok(trade) + } + }, + Message::Close {..} => { + eprintln!("trades stream closed: {message:?}"); + break + }, + m => eprintln!("unknown message {m:?}") + } + } + })) + } +} diff --git a/src/repo.rs b/src/repo.rs new file mode 100644 index 0000000..cce06b0 --- /dev/null +++ b/src/repo.rs @@ -0,0 +1,159 @@ +use std::{fs, path::Path}; + +use rusqlite::{self, params, Connection}; + +use crate::{ + error::{AppError, AppResult}, + models::{Candle, Trade}, +}; + +pub struct Repo { + conn: Connection, +} + +impl Repo { + pub fn new_init(db_path: impl AsRef) -> AppResult { + let path = db_path.as_ref(); + + // постоянно создаём новую бд для упрощения тестирования + fs::remove_file(path).ok(); + + let conn = Connection::open(path)?; + + conn.execute( + " + CREATE TABLE IF NOT EXISTS trades( + symbol TEXT NOT NULL, + amount TEXT NOT NULL, + taker_side TEXT NOT NULL, + quantity TEXT NOT NULL, + create_time INT NOT NULL, + price TEXT NOT NULL, + id TEXT NOT NULL, + ts INT NOT NULL + ); + ", + [], + )?; + conn.execute( + " + CREATE TABLE IF NOT EXISTS candles( + low TEXT NOT NULL, + high TEXT NOT NULL, + open TEXT NOT NULL, + close TEXT NOT NULL, + amount TEXT NOT NULL, + quantity TEXT NOT NULL, + buy_taker_amount TEXT NOT NULL, + buy_taker_quantity TEXT NOT NULL, + trade_count INT NOT NULL, + ts INT NOT NULL, + weighted_average TEXT NOT NULL, + interval TEXT NOT NULL, + start_time INT NOT NULL, + close_time INT NOT NULL + ); + ", + [], + )?; + + Ok(Self { conn }) + } + + pub fn insert_candle(&self, candle: &Candle) -> AppResult { + let q = " + INSERT INTO candles( + low, + high, + open, + close, + amount, + quantity, + buy_taker_amount, + buy_taker_quantity, + trade_count, + ts, + weighted_average, + interval, + start_time, + close_time + ) VALUES ( + ?1, + ?2, + ?3, + ?4, + ?5, + ?6, + ?7, + ?8, + ?9, + ?10, + ?11, + ?12, + ?13, + ?14 + ) + "; + self.conn + .execute( + q, + params![ + &candle.low, + &candle.high, + &candle.open, + &candle.close, + &candle.amount, + &candle.quantity, + &candle.buy_taker_amount, + &candle.buy_taker_quantity, + &candle.trade_count, + &candle.ts.and_utc().timestamp_millis(), + &candle.weighted_average, + &candle.interval, + &candle.start_time.and_utc().timestamp_millis(), + &candle.close_time.and_utc().timestamp_millis(), + ], + ) + .map_err(AppError::from) + } + + pub fn insert_trade(&self, trade: &Trade) -> AppResult { + let q = " + INSERT INTO trades( + symbol, + amount, + taker_side, + quantity, + create_time, + price, + id, + ts + ) VALUES ( + ?1, + ?2, + ?3, + ?4, + ?5, + ?6, + ?7, + ?8 + ); + "; + + self.conn + .execute( + &q, + params![ + &trade.symbol, + &trade.amount, + &trade.taker_side, + &trade.quantity, + &trade.create_time.and_utc().timestamp_millis(), + &trade.price, + &trade.id, + &trade.ts.and_utc().timestamp_millis() + ], + ) + .map_err(AppError::from) + } +}