Struct MarketDataSubscribe

Source

pub struct MarketDataSubscribe {
    pub subscribe_type: u8,
    pub data_type: u8,
    pub instruments: Vec<InstrumentKey>,
    pub depth: Option<u32>,
    pub time_frame: Option<String>,
}

Expand description

A subscribe or unsubscribe command for the market data channel (client to server).

Build it with the constructors: MarketDataSubscribe::quotes, MarketDataSubscribe::order_book, MarketDataSubscribe::last_trades, MarketDataSubscribe::last_candle and the unsubscribe_* forms. subscribe_type and data_type are numbers on the wire, as in the broker docs. The broker allows 100 instruments per connection and 10 client messages per second.

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let sub = MarketDataSubscribe::order_book(vec![InstrumentKey::new("SBER", "TQBR")], 20);
assert_eq!(
    serde_json::to_value(&sub)?,
    serde_json::json!({
        "subscribeType": 0,
        "dataType": 0,
        "instruments": [{ "ticker": "SBER", "classCode": "TQBR" }],
        "depth": 20
    })
);

Fields§

§subscribe_type: u8

0 subscribe, 1 unsubscribe.

§data_type: u8

What to subscribe to: 0 order book, 1 last candle, 2 anonymous trades, 3 quotes.

§instruments: Vec<InstrumentKey>

The instruments the command is about.

§depth: Option<u32>

Order book depth, 1 to 20 by the broker docs (default 20). Sent only for the order book. Not checked here.

§time_frame: Option<String>

Candle time frame: M1 M5 M15 M30 H1 H4 D W MN. Sent only for the last candle. Not checked here.

Implementations§

Source §

impl MarketDataSubscribe

Source

pub fn into_unsubscribe(self) -> Self

Turns a subscribe command into the matching unsubscribe: the same data type, instruments, depth and time frame, with subscribe_type set to 1.

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let sub = MarketDataSubscribe::order_book(vec![InstrumentKey::new("SBER", "TQBR")], 10);
let unsub = sub.clone().into_unsubscribe();
assert_eq!((sub.subscribe_type, unsub.subscribe_type), (0, 1));
assert_eq!(unsub.depth, Some(10));

Source

pub fn quotes(instruments: Vec<InstrumentKey>) -> Self

Subscribes to quotes (dataType 3).

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let sub = MarketDataSubscribe::quotes(vec![InstrumentKey::new("SBER", "TQBR")]);
assert_eq!((sub.subscribe_type, sub.data_type), (0, 3));

Source

pub fn unsubscribe_quotes(instruments: Vec<InstrumentKey>) -> Self

Unsubscribes from quotes (dataType 3, subscribeType 1).

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let cmd = MarketDataSubscribe::unsubscribe_quotes(vec![InstrumentKey::new("SBER", "TQBR")]);
assert_eq!((cmd.subscribe_type, cmd.data_type), (1, 3));

Source

pub fn order_book(instruments: Vec<InstrumentKey>, depth: u32) -> Self

Subscribes to the order book (dataType 0) with depth levels per side.

The broker docs allow 1 to 20 and default to 20. The depth is not checked here. The broker computes the volumes in the answers over the levels within depth.

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let sub = MarketDataSubscribe::order_book(vec![InstrumentKey::new("SBER", "TQBR")], 5);
assert_eq!((sub.data_type, sub.depth), (0, Some(5)));

Source

pub fn unsubscribe_order_book( instruments: Vec<InstrumentKey>, depth: u32, ) -> Self

Unsubscribes from the order book (dataType 0, subscribeType 1). Pass the same depth as at subscribe if you compare it with the restore list of a session.

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let cmd = MarketDataSubscribe::unsubscribe_order_book(vec![InstrumentKey::new("SBER", "TQBR")], 5);
assert_eq!((cmd.subscribe_type, cmd.data_type), (1, 0));

Source

pub fn last_trades(instruments: Vec<InstrumentKey>) -> Self

Subscribes to the anonymous trades tape (dataType 2).

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let sub = MarketDataSubscribe::last_trades(vec![InstrumentKey::new("SBER", "TQBR")]);
assert_eq!(sub.data_type, 2);

Source

pub fn unsubscribe_last_trades(instruments: Vec<InstrumentKey>) -> Self

Unsubscribes from the anonymous trades tape (dataType 2, subscribeType 1).

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let cmd = MarketDataSubscribe::unsubscribe_last_trades(vec![InstrumentKey::new("SBER", "TQBR")]);
assert_eq!((cmd.subscribe_type, cmd.data_type), (1, 2));

Source

pub fn last_candle(instruments: Vec<InstrumentKey>, time_frame: &str) -> Self

Subscribes to the last candle (dataType 1) for a time frame.

time_frame is one of M1 M5 M15 M30 H1 H4 D W MN (broker docs). It is not checked here.

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let sub = MarketDataSubscribe::last_candle(vec![InstrumentKey::new("SBER", "TQBR")], "M5");
assert_eq!((sub.data_type, sub.time_frame.as_deref()), (1, Some("M5")));

Source

pub fn unsubscribe_last_candle( instruments: Vec<InstrumentKey>, time_frame: &str, ) -> Self

Unsubscribes from the last candle (dataType 1, subscribeType 1) for a time frame.

§Examples

use brokapi_bcs_protocol::models::instrument::InstrumentKey;
use brokapi_bcs_protocol::ws::models::MarketDataSubscribe;

let cmd = MarketDataSubscribe::unsubscribe_last_candle(vec![InstrumentKey::new("SBER", "TQBR")], "M5");
assert_eq!(cmd.subscribe_type, 1);