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pub mod orderbook {
tonic::include_proto!("orderbook");
}
use common::{bid_ask_spread, wrap_result, Book, Context, WorkerContext, L2};
use futures_util::Stream;
use orderbook::{
orderbook_aggregator_server as obs, BookRequest, Empty, Level, ServiceInfo, Summary,
};
use rust_decimal::prelude::*;
use slog::info;
use std::collections::HashMap;
use std::{net::ToSocketAddrs, pin::Pin};
use tokio::sync::mpsc;
use tokio_stream::{wrappers::ReceiverStream, StreamExt};
use tonic::{transport::Server, Request, Response, Status};
pub type AssetBooks = HashMap<String, Book>;
type GrpcResult<T> = Result<Response<T>, Status>;
type GrpcContext = Context<(String, Summary)>;
#[derive(Clone)]
pub struct OrderbookAggregator {
pub context: GrpcContext,
pairs: Vec<String>,
max_depth: usize,
}
pub fn serve_grpc(server: OrderbookAggregator, context: &WorkerContext) {
let ctx = context.clone();
tokio::spawn(async move {
let host: String = server
.context
.get_or("app_grpc_host", "[::1]".to_owned())
.expect("GRPC host");
let port: u16 = server
.context
.get_or("app_grpc_port", 50060)
.expect("GRPC port");
let addr = format!("{}:{}", host, port)
.to_socket_addrs()
.unwrap()
.next()
.unwrap();
info!(server.context.logger, "start the GRPC server {}", addr);
let result = Server::builder()
.accept_http1(true)
.add_service(obs::OrderbookAggregatorServer::new(server))
.serve(addr)
.await
.map_err(anyhow::Error::new);
wrap_result(&ctx, result).await;
});
}
pub fn book_summary(asset_books: &AssetBooks) -> Summary {
let mut summary = Summary::default();
let mut best_ask: Option<Decimal> = None;
let mut best_bid: Option<Decimal> = None;
for (exchange, book) in asset_books.iter() {
best_ask = update_summary_side(&mut summary.asks, &book.asks, exchange, best_ask);
best_bid = update_summary_side(&mut summary.bids, &book.bids, exchange, best_bid);
}
summary
.asks
.sort_by(|a, b| a.price.partial_cmp(&b.price).unwrap());
summary
.bids
.sort_by(|a, b| b.price.partial_cmp(&a.price).unwrap());
summary.spread = bid_ask_spread(best_bid, best_ask)
.unwrap_or(Decimal::ZERO)
.to_f64()
.unwrap();
summary
}
fn update_summary_side(
levels: &mut Vec<Level>,
book_side: &L2,
exchange: &str,
best_price: Option<Decimal>,
) -> Option<Decimal> {
for (price, volume) in book_side.iter() {
levels.push(Level {
exchange: exchange.to_owned(),
price: price.to_f64().unwrap(),
amount: volume.to_f64().unwrap(),
});
}
book_side.best_of(best_price)
}
impl OrderbookAggregator {
pub fn new(pairs: &[String], max_depth: usize) -> Self {
Self {
context: GrpcContext::new("grpc", None),
pairs: pairs.to_owned(),
max_depth,
}
}
}
#[tonic::async_trait]
impl obs::OrderbookAggregator for OrderbookAggregator {
type BookSummaryStream = Pin<Box<dyn Stream<Item = Result<Summary, Status>> + Send>>;
async fn book_summary(
&self,
request: Request<BookRequest>,
) -> GrpcResult<Self::BookSummaryStream> {
let mut context = self.context.clone();
let pair = request.get_ref().pair.to_owned();
info!(context.logger, "new connection for pair {}", pair);
let (tx, rx) = mpsc::channel(128);
tokio::spawn(async move {
while let Some((asset, message)) = context.receiver.next().await {
if pair == asset {
match tx.send(Result::<_, Status>::Ok(message)).await {
Ok(_) => {
}
Err(_item) => {
break;
}
}
}
}
info!(context.logger, "client disconnected from pair {}", pair);
});
let output_stream = ReceiverStream::new(rx);
Ok(Response::new(
Box::pin(output_stream) as Self::BookSummaryStream
))
}
async fn info(&self, _request: Request<Empty>) -> GrpcResult<ServiceInfo> {
let reply = ServiceInfo {
max_depth: self.max_depth.to_u64().unwrap(),
pairs: self.pairs.to_owned(),
};
Ok(Response::new(reply))
}
}