StockFighter

Complete Rust API for StockFighter

Find it here: https://crates.io/crates/stockfighter

Use latest nightly: multirust run nightly cargo build

Make sure to set $STOCKFIGHTER_API_KEY.

Intro

Simple to get started:

extern crate stockfighter;

use stockfighter::*;

fn main() {
    let sf = StockFighter::new();
    println!("{:#?}",sf.venue_heartbeat(Venue("TESTEX".to_string())));
}

Fully asynchronous and non-blocking example with WS and carboxyl FRP library!:

#[macro_use] extern crate stockfighter;
             extern crate serde_json;
             extern crate ws;
             extern crate carboxyl;

use std::io::prelude::*;
use std::fs::{File,OpenOptions};
use std::thread;
use std::sync::mpsc::channel;
use std::sync::mpsc::Sender as MPSCSender;
use ws::{connect,CloseCode,Handler,Message,Handshake,Result,Error,ErrorKind};
use carboxyl::{Sink,Stream};

use stockfighter::*;

enum SFTTEvent { Connect(Stream<QuoteM>), Disconnect }

struct SFTT { tt_sender: MPSCSender<SFTTEvent>, tt_sink: Sink<QuoteM>, f: File }

impl Handler for SFTT {
  fn on_open(&mut self, _: Handshake) -> Result<()> {
    println!("{}","SFTT connected!");
    self.tt_sender.send(SFTTEvent::Connect(self.tt_sink.stream())).map_err(|err| Error::new(
      ErrorKind::Internal, format!("Unable to communicate between threads: {:?}.", err))) }

  fn on_message(&mut self, msg: Message) -> Result<()> {
    if let Err(e) = self.f.write(&msg.clone().into_data()) { println!("{}", e); }
    match serde_json::from_str::<QuoteWS>(&msg.into_text().unwrap()) {
      Ok(o) => { Ok(self.tt_sink.send_async(quote_ws_to_quote_m(o))) },
      Err(e) => { Err(Error::new(ErrorKind::Internal, format!("SFTT on_message: {:?}.", e))) }}}

  fn on_close(&mut self, code: CloseCode, reason: &str) { }

  fn on_error(&mut self, err: Error) {  }}

fn main() {
  let sf = StockFighter::new();
  let acc   = "";
  let venue = "";
  let stock = "";

  let tt_url = format!("wss://api.stockfighter.io/ob/api/ws/{}/venues/{}/tickertape/stocks/{}",acc,venue,stock);

  let (tt_tx, tt_rx) = channel();

  let _ = thread::Builder::new().name("sf_tt".to_owned()).spawn(move || {
    connect(tt_url, |_| { SFTT { tt_sender: tt_tx.clone(),
                                 tt_sink: Sink::new(),
                                 f: OpenOptions::new().write(true).append(true).open("data/orders.txt").unwrap()
    }}).unwrap(); });

  let tt_stream = match tt_rx.recv() { Ok(SFTTEvent::Connect(stream)) => stream, _ => panic!("tt_sink") };

  let _ = thread::Builder::new().name("trade".to_owned()).spawn(move || {
    for event in tt_stream.events() {
      if let Ok(SFTTEvent::Disconnect) = tt_rx.try_recv() { break }
      /* trade! */ }}).unwrap(); }

Functions, types, and interfaces

// Internal Structs and Funcs

pub struct HyperResult<T>(pub Result<Result<T,hyper::status::StatusCode>,hyper::error::Error>);

impl<T> HyperResult<T> {

  pub fn all_ok(self) -> T {..} }


pub struct StockFighter { api_key: String, client: Client }

impl StockFighter {

  pub fn new() -> StockFighter {..}

  pub fn api_heartbeat(&self) -> HyperResult<ApiHeartbeat> {..}

  pub fn venue_heartbeat(&self, venue: Venue) -> HyperResult<VenueHeartbeat> {..}

  pub fn stocks_on_venue(&self, venue: Venue) -> HyperResult<StocksOnVenue> {..}

  pub fn orderbook(&self, venue: Venue, stock: Symbol) -> HyperResult<OrderbookForAStock> {..}

  pub fn new_order(&self, acc: Account, venue: Venue, stock: Symbol,
                   price: Price, qty: Qty, dir: Direction, order_type: OrderType)
                   -> HyperResult<NewOrderForAStock> {..}

  pub fn quote(&self, venue: Venue, stock: Symbol) -> HyperResult<QuoteForAStock> {..}

  pub fn status_for_existing_order(&self, id: OrderId, venue: Venue, stock: Symbol)
                                   -> HyperResult<StatusForAnExistingOrder> {..}

  pub fn cancel_order(&self, venue: Venue, stock: Symbol, order: OrderId)
                      -> HyperResult<CancelAnOrder> {..}

  pub fn status_for_all_orders(&self, venue: Venue, acc: Account)
                              -> HyperResult<StatusForAllOrders> {..}

  pub fn status_for_all_orders_in_a_stock(&self, venue: Venue, acc: Account, stock: Symbol)
                                          -> HyperResult<StatusForAllOrdersInAStock> {..} }

pub fn quote_to_quote_m(q: Quote) -> QuoteM {..}

pub fn quote_ws_to_quote_m(q: QuoteWS) -> QuoteM {..}


// Enums

pub enum VenueHeartbeat { R200(VenueOk), R500(ErrMsg), R404(ErrMsg) }

pub enum StocksOnVenue              { R200(Stocks),    R404(ErrMsg) }
pub enum OrderbookForAStock         { R200(Orderbook), R404(ErrMsg) }
pub enum NewOrderForAStock          { R200(Order),     R404(ErrMsg), R200Err(ErrMsg) }
pub enum QuoteForAStock             { R200(QuoteM),     R404(ErrMsg) }

pub enum StatusForAnExistingOrder   { R200(Order),     R401(ErrMsg) }
pub enum CancelAnOrder              { R200(Order),     R401(ErrMsg) }
pub enum StatusForAllOrders         { R200(Status),    R401(ErrMsg) }
pub enum StatusForAllOrdersInAStock { R200(Status),    R401(ErrMsg) }

pub enum Direction { Buy, Sell }

pub enum OrderType { Limit, Market, FillOrKill, ImmediateOrCancel }


// API Structs

pub struct ApiHeartbeat(pub ErrMsg);

pub struct ErrMsg { pub ok: bool, pub error: String }

pub struct VenueOk { ok: bool, venue: Venue }


pub struct   Qty(pub usize);
pub struct Price(pub usize);

pub struct   Venue(pub String);
pub struct  Symbol(pub String);
pub struct Account(pub String);

pub struct DTUTC(pub DateTime<UTC>);


pub struct Stocks { pub ok: bool, pub symbols: Vec<SymbolName> }

pub struct SymbolName { pub name: String, pub symbol: Symbol }


pub struct Orderbook {
  pub ok:     bool,
  pub venue:  Venue,
  pub symbol: Symbol,
  pub bids:   Bids,
  pub asks:   Asks,
  pub ts:     DTUTC }

pub struct Bids(pub Vec<Position>);
pub struct Asks(pub Vec<Position>);

pub struct Position {
  pub price:  Price,
  pub qty:    Qty,
  pub is_buy: IsBuy }

pub struct IsBuy(pub bool);


pub struct Order {
  pub ok:           bool,
  pub symbol:       Symbol,
  pub venue:        Venue,
  pub direction:    Direction,
  pub original_qty: OriginalQty,
  pub qty:          Qty,
  pub price:        Price,
  pub order_type:   OrderType,
  pub id:           OrderId,
  pub account:      Account,
  pub ts:           DTUTC,
  pub fills:        Vec<Fill>,
  pub total_filled: TotalFilled,
  pub open:         OrderOpen }

pub struct OriginalQty(pub usize);
pub struct     OrderId(pub usize);
pub struct TotalFilled(pub usize);

pub struct OrderOpen(pub bool);

pub struct Fill { pub price: Price, pub qty: Qty, pub ts: DTUTC }


pub struct NewOrder {
  pub account:    Account,
  pub venue:      Venue,
  pub stock:      Symbol,
  pub qty:        Qty,
  pub price:      Price,
  pub direction:  Direction,
  pub order_type: OrderType }


pub struct Quote {
  pub ok:         Option<bool>,
  pub symbol:     Symbol,
  pub venue:      Venue,
  pub bid:        Option<Bid>,
  pub ask:        Option<Ask>,
  pub bid_size:   Option<BidSize>,
  pub ask_size:   Option<AskSize>,
  pub bid_depth:  Option<BidDepth>,
  pub ask_depth:  Option<AskDepth>,
  pub last_size:  Option<LastSize>,
  pub last_trade: Option<DTUTC>,
  pub quote_time: Option<DTUTC> }

pub struct QuoteM {
  pub symbol:       Symbol,
  pub venue:        Venue,
  pub these_quotes: TheseQuotes,
  pub last:         Last,
  pub last_size:    LastSize,
  pub last_trade:   DTUTC,
  pub quote_time:   DTUTC }

pub enum TheseQuotes { ThisBid(BidStruct), ThatAsk(AskStruct), TheseQuotes(BidStruct,AskStruct), Empty }

pub struct BidStruct { bid: Bid, bid_size: BidSize, bid_depth: BidDepth }

pub struct AskStruct { ask: Ask, ask_size: AskSize, ask_depth: AskDepth }


pub struct      Bid(pub usize);
pub struct      Ask(pub usize);
pub struct  BidSize(pub usize);
pub struct  AskSize(pub usize);
pub struct BidDepth(pub usize);
pub struct AskDepth(pub usize);
pub struct     Last(pub usize);
pub struct LastSize(pub usize);


pub struct Status {
  pub ok:     bool,
  pub venue:  Venue,
  pub orders: Vec<Order> }


pub struct QuoteWS { pub ok: bool, pub quote: Quote }

pub struct FillsWS {
  pub ok:                bool,
  pub account:           Account,
  pub venue:             Venue,
  pub symbol:            Symbol,
  pub order:             Order,
  pub standing_id:       StandingId,
  pub incoming_id:       IncomingId,
  pub price:             Price,
  pub filled:            Filled,
  pub filled_at:         DTUTC,
  pub standing_complete: StandingComplete,
  pub incoming_complete: IncomingComplete }

pub struct StandingId(pub usize);
pub struct IncomingId(pub usize);

pub struct Filled(pub usize);

pub struct StandingComplete(pub bool);
pub struct IncomingComplete(pub bool);

Newtypes

All types that have a similar underlying representation but are semantically distinct are wrapped in newtypes.

Newtypes are erased at compile time and exist solely to prevent the library user from accidentally passing incorrect arguments, such as passing an OrderId into a Price argument.

All newtypes also implement Deref, DerefMut, From, and Into.

Newtypes 2

They also prevent operations between non-similar types, such as multiplying a Price and a Qty.

If you are sure that is what you want to do, you can simply access the underlying data with tuple syntax.

For example:

let price_times_qty = price.0 * qty.0;

Newtypes 3

All of the newtypes also implement operator overloading where applicable, so you do not have to unwrap and rewrap newtypes to do operations on their underlying values.

For example:

let multiplied_prices = Price(3241) * Price(1748);

Response Type

All requests return a HyperRequest (if everything goes well) which is constructed with two Oks, which is defined by this type:

pub type HyperResult<T> = Result<Result<T,hyper::status::StatusCode>,hyper::error::Error>;

The reason for this Ok(Ok(T)) type is that the first layer is for the request itself and if something goes wrong with the request itself and an Err(hyper::error::Error) will be returned.

If the request goes fine, but the API returns a status that is not anticipated, then it will return the unexpected status code: Ok(Err(hyper::status::StatusCode))

Most of the time both of these will go just fine and it will return Ok(Ok(RX0X(T))), where RX0X is some status code, usually R200 for success, or R401, R404, or R500 for some error case. If your program expects a certain respect to work every time, you can simply unwrap both Oks with .all_ok().

Response Type 2

The main types that are returned as responses are VenueOk, ErrMsg, Stocks, Orderbook, Order, Quote, and Status.

The Websocket response types are QuoteWS and FillsWS.

Here's a full example of a response:

Ok(
    Ok(
        R200(
            Order {
                ok: true,
                symbol: Symbol(
                    "CWI"
                ),
                venue: Venue(
                    "CSJBEX"
                ),
                direction: Sell,
                original_qty: OriginalQty(
                    10
                ),
                qty: Qty(
                    0
                ),
                price: Price(
                    6000
                ),
                order_type: Limit,
                id: OrderId(
                    1834
                ),
                account: Account(
                    "BFB42332882"
                ),
                ts: DTUTC(
                    "2016-04-14T14:18:28.579888777Z"
                ),
                fills: [
                    Fill {
                        price: Price(
                            6120
                        ),
                        qty: Qty(
                            10
                        ),
                        ts: DTUTC(
                            "2016-04-14T14:18:28.579891467Z"
                        )
                    }
                ],
                total_filled: TotalFilled(
                    10
                ),
                open: OrderOpen(
                    false
                )
            }
        )
    )
)

Response Type 3

The raw quote struct (either Quote or QuoteWS) is further parsed into a QuoteM. This struct uses a These like structure.

If you are not familiar with These, the original Haskell library and in particular the definition is here: https://hackage.haskell.org/package/these-0.6.2.1/docs/Data-These.html

For simplicity's sake I have copied the definition of QuoteM below:

pub struct QuoteM {
  pub symbol:       Symbol,
  pub venue:        Venue,
  pub these_quotes: TheseQuotes,
  pub last:         Last,
  pub last_size:    LastSize,
  pub last_trade:   DTUTC,
  pub quote_time:   DTUTC }

pub enum TheseQuotes { ThisBid(BidStruct), ThatAsk(AskStruct), TheseQuotes(BidStruct,AskStruct), Empty }

pub struct BidStruct { bid: Bid, bid_size: BidSize, bid_depth: BidDepth }

pub struct AskStruct { ask: Ask, ask_size: AskSize, ask_depth: AskDepth }

You may have noticed that TheseQuotes is not exactly like These, indeed, there is an Empty case to account for when the Orderbook is empty. In other words, TheseQuotes models the four possible states the Orderbook can be in, Empty, with some Bids, with some Asks, or with both Bids and Asks.