fix(rust): Added parsing for TRADE_LITE message; but, no actual fun…

…ctionality has been implemented. (#172)
nkaz001 · Jan 14, 2025 · cc1fc2f · cc1fc2f
1 parent 0e3f799
commit cc1fc2f
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diff --git a/connector/src/binancefutures/msg/stream.rs b/connector/src/binancefutures/msg/stream.rs
@@ -26,6 +26,8 @@ pub enum EventStream {
     Trade(Trade),
     #[serde(rename = "ORDER_TRADE_UPDATE")]
     OrderTradeUpdate(OrderTradeUpdate),
+    #[serde(rename = "TRADE_LITE")]
+    TradeLite(TradeLite),
     #[serde(rename = "ACCOUNT_UPDATE")]
     AccountUpdate(AccountUpdate),
     #[serde(rename = "listenKeyExpired")]
@@ -77,6 +79,40 @@ pub struct Trade {
     pub is_the_buyer_the_market_maker: bool,
 }
 
+#[derive(Deserialize, Debug)]
+pub struct TradeLite {
+    #[serde(rename = "E")]
+    pub event_time: i64,
+    #[serde(rename = "T")]
+    pub transaction_time: i64,
+    #[serde(rename = "s")]
+    #[serde(deserialize_with = "to_lowercase")]
+    pub symbol: String,
+    #[serde(rename = "q")]
+    #[serde(deserialize_with = "from_str_to_f64")]
+    pub qty: f64,
+    #[serde(rename = "p")]
+    #[serde(deserialize_with = "from_str_to_f64")]
+    pub price: f64,
+    #[serde(rename = "m")]
+    pub is_this_trade_the_market_maker: bool,
+    #[serde(rename = "c")]
+    pub client_order_id: String,
+    #[serde(rename = "S")]
+    #[serde(deserialize_with = "from_str_to_side")]
+    pub side: Side,
+    #[serde(rename = "L")]
+    #[serde(deserialize_with = "from_str_to_f64")]
+    pub last_filled_price: f64,
+    #[serde(rename = "l")]
+    #[serde(deserialize_with = "from_str_to_f64")]
+    pub last_filled_qty: f64,
+    #[serde(rename = "t")]
+    pub trade_id: i64,
+    #[serde(rename = "i")]
+    pub order_id: i64,
+}
+
 #[derive(Deserialize, Debug)]
 pub struct AccountUpdate {
     #[serde(rename = "E")]

diff --git a/connector/src/binancefutures/user_data_stream.rs b/connector/src/binancefutures/user_data_stream.rs
@@ -98,6 +98,13 @@ impl UserDataStream {
                     }
                 }
             }
+            EventStream::TradeLite(_data) => {
+                // Since this message does not include the order status, additional logic is
+                // required to fully utilize it. To reduce latency— which first needs to be
+                // measured—a new logic must be implemented to reconstruct the order status and open
+                // position by using the last filled quantity and reconciling it with data from the
+                // ORDER_TRADE_UPDATE message.
+            }
         }
         Ok(())
     }