fix: expose book snapshot clocks

This commit is contained in:
floor-licker
2026-06-22 21:06:37 -04:00
parent 6d90790d02
commit 8385922990
4 changed files with 72 additions and 2 deletions
+7
View File
@@ -460,6 +460,8 @@ impl OrderBook {
bids: self.bids(None), // Get all bids (up to max_depth)
asks: self.asks(None), // Get all asks (up to max_depth)
sequence: self.last_delta_sequence,
last_delta_sequence: self.last_delta_sequence,
last_snapshot_timestamp_ms: self.last_snapshot_timestamp_ms,
}
}
@@ -1526,6 +1528,11 @@ mod tests {
assert_eq!(book.last_snapshot_timestamp_ms, 1_000);
assert_eq!(book.best_bid().unwrap().price, dec!(0.50));
assert_eq!(book.best_ask().unwrap().price, dec!(0.60));
let snapshot = book.snapshot();
assert_eq!(snapshot.sequence, 10_000);
assert_eq!(snapshot.last_delta_sequence, 10_000);
assert_eq!(snapshot.last_snapshot_timestamp_ms, 1_000);
}
#[test]
+2
View File
@@ -341,6 +341,8 @@ impl Decoder<OrderBook> for RawOrderBookResponse {
bids,
asks,
sequence: 0, // TODO: Get from response if available
last_delta_sequence: 0,
last_snapshot_timestamp_ms: 0,
})
}
}
+57 -2
View File
@@ -358,7 +358,7 @@ impl FastBookLevel {
}
/// Full order book state
#[derive(Debug, Clone, Serialize, Deserialize)]
#[derive(Debug, Clone, Serialize)]
pub struct OrderBook {
/// Token ID
pub token_id: String,
@@ -368,8 +368,47 @@ pub struct OrderBook {
pub bids: Vec<BookLevel>,
/// Ask orders
pub asks: Vec<BookLevel>,
/// Sequence number
/// Legacy/incremental delta sequence number.
///
/// This is kept for compatibility. For snapshots produced by this client,
/// it is equivalent to [`Self::last_delta_sequence`]. WebSocket snapshot
/// timestamps are exposed separately in [`Self::last_snapshot_timestamp_ms`].
pub sequence: u64,
/// Last accepted legacy/incremental delta sequence number.
pub last_delta_sequence: u64,
/// Last accepted full-book snapshot timestamp in milliseconds.
pub last_snapshot_timestamp_ms: u64,
}
impl<'de> Deserialize<'de> for OrderBook {
fn deserialize<D>(deserializer: D) -> std::result::Result<Self, D::Error>
where
D: serde::Deserializer<'de>,
{
#[derive(Deserialize)]
struct WireOrderBook {
token_id: String,
timestamp: DateTime<Utc>,
bids: Vec<BookLevel>,
asks: Vec<BookLevel>,
sequence: u64,
#[serde(default)]
last_delta_sequence: Option<u64>,
#[serde(default)]
last_snapshot_timestamp_ms: Option<u64>,
}
let wire = WireOrderBook::deserialize(deserializer)?;
Ok(Self {
token_id: wire.token_id,
timestamp: wire.timestamp,
bids: wire.bids,
asks: wire.asks,
sequence: wire.sequence,
last_delta_sequence: wire.last_delta_sequence.unwrap_or(wire.sequence),
last_snapshot_timestamp_ms: wire.last_snapshot_timestamp_ms.unwrap_or_default(),
})
}
}
/// Order book delta for streaming updates - EXTERNAL API VERSION
@@ -1922,4 +1961,20 @@ mod tests {
Decimal::from_str("0.00005").unwrap()
));
}
#[test]
fn order_book_snapshot_clocks_default_for_legacy_payloads() {
let json = r#"{
"token_id":"test_token",
"timestamp":"2026-06-23T00:00:00Z",
"bids":[],
"asks":[],
"sequence":42
}"#;
let book: OrderBook = serde_json::from_str(json).unwrap();
assert_eq!(book.sequence, 42);
assert_eq!(book.last_delta_sequence, 42);
assert_eq!(book.last_snapshot_timestamp_ms, 0);
}
}
+6
View File
@@ -371,6 +371,8 @@ mod tests {
let snapshot = books.get_book("test_asset_id").unwrap();
assert_eq!(snapshot.sequence, 0);
assert_eq!(snapshot.last_delta_sequence, 0);
assert_eq!(snapshot.last_snapshot_timestamp_ms, 1000);
assert_eq!(snapshot.timestamp.timestamp_millis(), 1000);
assert_eq!(snapshot.bids.len(), 1);
assert_eq!(snapshot.asks.len(), 1);
@@ -409,6 +411,8 @@ mod tests {
let snapshot = books.get_book("test_asset_id").unwrap();
assert_eq!(snapshot.sequence, 0);
assert_eq!(snapshot.last_delta_sequence, 0);
assert_eq!(snapshot.last_snapshot_timestamp_ms, 1000);
assert_eq!(snapshot.timestamp.timestamp_millis(), 1000);
assert_eq!(snapshot.bids.len(), 1);
assert_eq!(snapshot.asks.len(), 1);
@@ -436,6 +440,8 @@ mod tests {
let snapshot = books.get_book("test_asset_id").unwrap();
assert_eq!(snapshot.sequence, 0);
assert_eq!(snapshot.last_delta_sequence, 0);
assert_eq!(snapshot.last_snapshot_timestamp_ms, 1000);
assert_eq!(snapshot.timestamp.timestamp_millis(), 1000);
assert_eq!(snapshot.bids[0].price, dec!(0.51));
assert_eq!(snapshot.bids[0].size, dec!(11));