feat: data: lsr

Author: valeratrades

Cargo.lock

@@ -1,4 +1,4 @@
-use v_exchanges::bitmex::Bitmex;
+use v_exchanges::{binance::Binance, bitmex::Bitmex};
 
 #[tokio::main]
 async fn main() {
@@ -7,4 +7,8 @@ async fn main() {
 	let bm = Bitmex::default();
 	let bvol = bm.bvol(2).await.unwrap();
 	dbg!(&bvol);
+
+	let bn = Binance::default();
+	let lsr = bn.global_lsr_account(("BTC", "USDT").into(), "5m".into(), 24 * 12 + 1, "Global".into()).await.unwrap();
+	dbg!(&lsr[..2]);
 }

examples/data.rs

@@ -0,0 +1,78 @@
+use adapters::binance::{BinanceHttpUrl, BinanceOption};
+use chrono::{DateTime, Utc};
+use derive_more::{Display, FromStr};
+use eyre::Result;
+use serde::Deserialize;
+use serde_json::json;
+use v_utils::{
+	Percent,
+	trades::{Pair, Timeframe},
+};
+
+use super::Binance;
+
+#[derive(Clone, Debug, Display, FromStr)]
+pub enum LsrWho {
+	Global,
+	Top,
+}
+impl From<&str> for LsrWho {
+	fn from(s: &str) -> Self {
+		Self::from_str(s).unwrap()
+	}
+}
+
+impl Binance {
+	pub async fn global_lsr_account(&self, pair: Pair, tf: Timeframe, limit: u32, who: LsrWho) -> Result<Vec<Lsr>> {
+		let allowed_range = 1..=500;
+		//TODO!!: add a `limit outside of range` error, generic for all exchanges
+		assert!(allowed_range.contains(&limit));
+
+		let ending = match who {
+			LsrWho::Global => "globalLongShortAccountRatio",
+			LsrWho::Top => "topLongShortPositionRatio",
+		};
+		let params = json!({
+			"symbol": pair.to_string(),
+			"period": tf.format_binance()?,
+			"limit": limit,
+		});
+		let r: serde_json::Value = self
+			.0
+			.get(&format!("/futures/data/{ending}"), &params, [BinanceOption::HttpUrl(BinanceHttpUrl::FuturesUsdM)])
+			.await?;
+		let r: Vec<LsrResponse> = serde_json::from_value(r).unwrap();
+		Ok(r.into_iter().map(|r| r.into()).collect())
+	}
+}
+#[derive(Clone, Debug, Default, Deserialize)]
+#[serde(rename_all = "camelCase")]
+pub struct LsrResponse {
+	pub symbol: String,
+	pub long_account: String,
+	pub long_short_ratio: String,
+	pub short_account: String,
+	pub timestamp: i64,
+}
+#[derive(Clone, Debug, Default, Copy)]
+pub struct Lsr {
+	pub time: DateTime<Utc>,
+	pub pair: Pair,
+	pub long: Percent,
+	pub short: Percent,
+}
+impl Lsr {
+	pub fn ratio(&self) -> f64 {
+		*self.long / *self.short
+	}
+}
+impl From<LsrResponse> for Lsr {
+	fn from(r: LsrResponse) -> Self {
+		Self {
+			time: DateTime::from_timestamp_millis(r.timestamp).unwrap(),
+			pair: Pair::from_str(&r.symbol).unwrap(),
+			long: Percent::from_str(&r.long_account).unwrap(),
+			short: Percent::from_str(&r.short_account).unwrap(),
+		}
+	}
+}

v_exchanges/src/binance/data.rs

@@ -1,3 +1,4 @@
+mod data;
 mod futures;
 mod market;
 mod spot;