Module core 

Sans-io cores: frames in, normalized events out. No sockets, timers or tasks here.

A stream task reads gRPC messages and wraps them into frames (MdFrame, UdFrame). The core turns a frame into events of brokapi-core (order books, quotes, orders…) and keeps the state that needs memory: the local order book, the M10 candle being built, the id of seen trades, the order lifecycle. Because the core does no input and output, tests drive it with plain values and a fixed clock.

Examples

A quote subscription walked through by hand: no network, no clock besides Instant::now().

use std::time::Instant;
use brokapi_core::{Event, SubscriptionId};
use brokapi_finam::core::{MdCore, MdEvent, MdFrame, SubStatus};
use brokapi_finam::util::instrument_from_symbol;
use brokapi_sansio::{BrokerCore, DesiredSubscription, EventSink, SubscriptionKind, SubscriptionSet};
use brokapi_finam_protocol::pb::google::r#type::Decimal;
use brokapi_finam_protocol::pb::grpc::tradeapi::v1::marketdata as pb;

let sub = SubscriptionId::new(1);
let sber = instrument_from_symbol("SBER@MISX");
let mut core = MdCore::new();
core.apply(&SubscriptionSet::with_subscriptions(vec![DesiredSubscription {
    id: sub,
    kind: SubscriptionKind::Quotes { instrument: sber },
}]));
assert_eq!(core.status(sub), Some(SubStatus::Connecting));

let mut out = EventSink::new();
core.on_frame(MdFrame { sub, event: MdEvent::Connected }, Instant::now(), &mut out);
assert_eq!(core.status(sub), Some(SubStatus::Active));

let price = |v: &str| Some(Decimal { value: v.into() });
let quote = pb::Quote { symbol: "SBER@MISX".into(), bid: price("250.1"), ask: price("250.2"), ..Default::default() };
let message = pb::SubscribeQuoteResponse { quote: vec![quote], error: None };
core.on_frame(MdFrame { sub, event: MdEvent::Quotes(message) }, Instant::now(), &mut out);

let events = out.drain();
assert!(matches!(events[0].payload, Event::Quote(_)));

Modules

md

Market-data core: books rebuilt from action rows, quotes, trades, bars.

ud

User-data core: order state, own trades, account (portfolio) updates.

Structs

MdCore

Market data core: turns stream frames into events and keeps the state behind them.

MdFrame

One stream event of one subscription.

UdCore

User data core: turns stream frames into order, execution and portfolio events.

UdFrame

One stream event of one subscription.

Enums

MdEvent

What arrived on a market-data stream.

StreamEvent

What a stream task reports about its stream (before it is wrapped into a core frame).

SubStatus

State of one subscription as seen by the core.

UdEvent

What arrived on a user data stream.