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Latest trade data #43

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41 changes: 41 additions & 0 deletions examples/latest-quote-and-trade.rs
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Original file line number Diff line number Diff line change
@@ -0,0 +1,41 @@
// Copyright (C) 2020-2022 The apca Developers
// SPDX-License-Identifier: GPL-3.0-or-later

use apca::data::v2::{last_quote, last_trade};
use apca::ApiInfo;
use apca::Client;

#[tokio::main]
async fn main() {
// Requires the following environment variables to be present:
// - APCA_API_KEY_ID -> your API key
// - APCA_API_SECRET_KEY -> your secret key
//
// Optionally, the following variable is honored:
// - APCA_API_BASE_URL -> the API base URL to use (set to
// https://api.alpaca.markets for live trading)
let api_info = ApiInfo::from_env().unwrap();
let client = Client::new(api_info);

let quote_req = last_quote::LastQuoteReq::new(vec!["AAPL".to_string(), "MSFT".to_string()]);
let quotes = client.issue::<last_quote::Get>(&quote_req).await.unwrap();
quotes.iter().for_each(|q| {
println!(
"Latest quote for {}: Ask {}/{} Bid {}/{}",
q.symbol, q.ask_price, q.ask_size, q.bid_price, q.bid_size
)
});

let trade_req = last_trade::LastTradeRequest::new(vec![
"SPY".to_string(),
"QQQ".to_string(),
"IWM".to_string(),
]);
let trades = client.issue::<last_trade::Get>(&trade_req).await.unwrap();
trades.iter().for_each(|trade| {
println!(
"Latest trade for {}: {} @ {}",
trade.symbol, trade.size, trade.price
);
});
}
219 changes: 134 additions & 85 deletions src/data/v2/last_quote.rs
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Expand Up @@ -10,77 +10,101 @@ use serde::Deserialize;
use serde::Serialize;
use serde_json::from_slice as from_json;
use serde_urlencoded::to_string as to_query;
use std::collections::HashMap;

use crate::data::v2::Feed;
use crate::data::DATA_BASE_URL;
use crate::Str;


/// A GET request to be made to the /v2/stocks/{symbol}/quotes/latest endpoint.
#[derive(Clone, Debug, Eq, PartialEq, Serialize)]
/// A GET request to be made to the /v2/stocks/quotes/latest endpoint.
#[derive(Clone, Serialize, Eq, PartialEq, Debug)]
pub struct LastQuoteReq {
/// The symbol to retrieve the last quote for.
#[serde(skip)]
pub symbol: String,
/// Comma-separated list of symbols to retrieve the last quote for.
pub symbols: String,
/// The data feed to use.
#[serde(rename = "feed")]
pub feed: Option<Feed>,
}


/// A helper for initializing [`LastQuoteReq`] objects.
#[derive(Clone, Debug, Default, Eq, PartialEq)]
#[allow(missing_copy_implementations)]
pub struct LastQuoteReqInit {
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I don't see a good reason why this type is being removed?

/// See `LastQuoteReq::feed`.
pub feed: Option<Feed>,
#[doc(hidden)]
pub _non_exhaustive: (),
}

impl LastQuoteReqInit {
/// Create a [`LastQuoteReq`] from a `LastQuoteReqInit`.
#[inline]
pub fn init<S>(self, symbol: S) -> LastQuoteReq
where
S: Into<String>,
{
LastQuoteReq {
symbol: symbol.into(),
feed: self.feed,
impl LastQuoteReq {
/// Create a new LastQuoteReq with the given symbols.
pub fn new(symbols: Vec<String>) -> Self {
Self {
symbols: symbols.join(",").into(),
feed: None,
}
}
/// Set the data feed to use.
pub fn with_feed(mut self, feed: Feed) -> Self {
self.feed = Some(feed);
self
}
}


/// A quote bar as returned by the /v2/stocks/<symbol>/quotes/latest endpoint.
/// A quote bar as returned by the /v2/stocks/quotes/latest endpoint.
/// See
/// https://alpaca.markets/docs/api-references/market-data-api/stock-pricing-data/historical/#latest-multi-quotes
// TODO: Not all fields are hooked up.
#[derive(Clone, Debug, Deserialize, Eq, PartialEq)]
#[derive(Clone, Debug, Serialize, Deserialize, Eq, PartialEq)]
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Why is this change necessary?

#[non_exhaustive]
pub struct Quote {
/// The time stamp of this quote.
#[serde(rename = "t")]
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Why are these renames being removed?

pub time: DateTime<Utc>,
/// The ask price.
#[serde(rename = "ap")]
pub ask_price: Num,
/// The ask size.
#[serde(rename = "as")]
pub ask_size: u64,
/// The bid price.
#[serde(rename = "bp")]
pub bid_price: Num,
/// The bid size.
#[serde(rename = "bs")]
pub bid_size: u64,
/// Symbol of this quote
pub symbol: String,
}

impl Quote {
fn from(symbol: &str, point: QuoteDataPoint) -> Self {
Self {
time: point.t,
ask_price: point.ap.clone(),
ask_size: point.r#as,
bid_price: point.bp.clone(),
bid_size: point.bs,
symbol: symbol.to_string(),
}
}

fn parse(body: &[u8]) -> Result<Vec<Quote>, serde_json::Error> {
from_json::<LastQuoteResponse>(body).map(|response| {
response
.quotes
.into_iter()
.map(|(sym, point)| Quote::from(&sym, point))
.collect()
})
}
}

/// fields for individual data points in the response JSON
#[derive(Clone, Debug, Deserialize)]
pub struct QuoteDataPoint {
t: DateTime<Utc>,
ap: Num,
r#as: u64,
bp: Num,
bs: u64,
}

/// A representation of the JSON data in the response
#[derive(Debug, Deserialize)]
pub struct LastQuoteResponse {
quotes: HashMap<String, QuoteDataPoint>,
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Why a HashMap repesentation? We should likely expose what we get.

}

EndpointNoParse! {
/// The representation of a GET request to the
/// /v2/stocks/<symbol>/quotes/latest endpoint.
/// /v2/stocks/quotes/latest endpoint.
pub Get(LastQuoteReq),
Ok => Quote, [
Ok => Vec<Quote>, [
/// The last quote was retrieved successfully.
/* 200 */ OK,
],
Expand All @@ -94,38 +118,23 @@ EndpointNoParse! {
Some(DATA_BASE_URL.into())
}

fn path(input: &Self::Input) -> Str {
format!("/v2/stocks/{}/quotes/latest", input.symbol).into()
fn path(_input: &Self::Input) -> Str {
format!("/v2/stocks/quotes/latest").into()
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Don't need to format if you are not formatting.

}

fn query(input: &Self::Input) -> Result<Option<Str>, Self::ConversionError> {
Ok(Some(to_query(input)?.into()))
}

fn parse(body: &[u8]) -> Result<Self::Output, Self::ConversionError> {
/// A helper object for parsing the response to a `Get` request.
#[derive(Deserialize)]
struct Response {
/// The symbol for which the quote was reported.
#[allow(unused)]
symbol: String,
/// The quote belonging to the provided symbol.
quote: Quote,
}

// We are not interested in the actual `Response` object. Clients
// can keep track of what symbol they requested a quote for.
from_json::<Response>(body)
.map(|response| response.quote)
.map_err(Self::ConversionError::from)
Quote::parse(body).map_err(Self::ConversionError::from)
}

fn parse_err(body: &[u8]) -> Result<Self::ApiError, Vec<u8>> {
from_json::<Self::ApiError>(body).map_err(|_| body.to_vec())
}
}


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Keep needless useless changes to a minimum?

#[cfg(test)]
mod tests {
use super::*;
Expand All @@ -138,33 +147,49 @@ mod tests {
use crate::Client;
use crate::RequestError;


/// Check that we can parse the reference quote from the
/// documentation.
#[test]
fn parse_reference_quote() {
let response = br#"{
"t": "2021-02-06T13:35:08.946977536Z",
"ax": "C",
"ap": 387.7,
"as": 1,
"bx": "N",
"bp": 387.67,
"bs": 1,
"c": [
"R"
]
}"#;

let quote = from_json::<Quote>(response).unwrap();
"quotes": {
"TSLA": {
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Please no tabs in code using spaces?

"t": "2022-04-12T17:26:45.009288296Z",
"ax": "V",
"ap": 1020,
"as": 3,
"bx": "V",
"bp": 990,
"bs": 5,
"c": ["R"],
"z": "C"
},
"AAPL": {
"t": "2022-04-12T17:26:44.962998616Z",
"ax": "V",
"ap": 170,
"as": 1,
"bx": "V",
"bp": 168.03,
"bs": 1,
"c": ["R"],
"z": "C"
}
}
}"#;

let mut result = Quote::parse(response).unwrap();
result.sort_by_key(|t| t.time);
assert_eq!(result.len(), 2);
assert_eq!(result[1].ask_price, Num::new(1020, 1));
assert_eq!(result[1].ask_size, 3);
assert_eq!(result[1].bid_price, Num::new(990, 1));
assert_eq!(result[1].bid_size, 5);
assert_eq!(result[1].symbol, "TSLA".to_string());
assert_eq!(
quote.time,
DateTime::parse_from_rfc3339("2021-02-06T13:35:08.946977536Z").unwrap()
result[1].time,
DateTime::parse_from_rfc3339("2022-04-12T17:26:45.009288296Z").unwrap()
);
assert_eq!(quote.ask_price, Num::new(3877, 10));
assert_eq!(quote.ask_size, 1);
assert_eq!(quote.bid_price, Num::new(38767, 100));
assert_eq!(quote.bid_size, 1);
}

/// Verify that we can retrieve the last quote for an asset.
Expand All @@ -173,12 +198,28 @@ mod tests {
let api_info = ApiInfo::from_env().unwrap();
let client = Client::new(api_info);

let req = LastQuoteReqInit::default().init("SPY");
let quote = client.issue::<Get>(&req).await.unwrap();
let req = LastQuoteReq::new(vec!["SPY".to_string()]);
let quotes = client.issue::<Get>(&req).await.unwrap();
// Just as a rough sanity check, we require that the reported time
// is some time after two weeks before today. That should safely
// account for any combination of holidays, weekends, etc.
assert!(quote.time >= Utc::now() - Duration::weeks(2));
assert!(quotes[0].time >= Utc::now() - Duration::weeks(2));
}

/// Retrieve multiple symbols at once.
#[test(tokio::test)]
async fn request_last_quotes_multi() {
let api_info = ApiInfo::from_env().unwrap();
let client = Client::new(api_info);

let req = LastQuoteReq::new(vec![
"SPY".to_string(),
"QQQ".to_string(),
"MSFT".to_string(),
]);
let quotes = client.issue::<Get>(&req).await.unwrap();
assert_eq!(quotes.len(), 3);
assert!(quotes[0].time >= Utc::now() - Duration::weeks(2));
}

/// Verify that we can specify the SIP feed as the data source to use.
Expand All @@ -187,10 +228,7 @@ mod tests {
let api_info = ApiInfo::from_env().unwrap();
let client = Client::new(api_info);

let req = LastQuoteReq {
symbol: "SPY".to_string(),
feed: Some(Feed::SIP),
};
let req = LastQuoteReq::new(vec!["SPY".to_string()]).with_feed(Feed::SIP);

let result = client.issue::<Get>(&req).await;
// Unfortunately we can't really know whether the user has the
Expand All @@ -202,13 +240,24 @@ mod tests {
}
}

/// Verify that we can properly parse a reference bar response.
/// Non-existent symbol is skipped in the result.
#[test(tokio::test)]
async fn nonexistent_symbol() {
let api_info = ApiInfo::from_env().unwrap();
let client = Client::new(api_info);

let req = LastQuoteReqInit::default().init("ABC123");
let req = LastQuoteReq::new(vec!["SPY".to_string(), "NOSUCHSYMBOL".to_string()]);
let quotes = client.issue::<Get>(&req).await.unwrap();
assert_eq!(quotes.len(), 1);
}

/// Symbol with characters outside A-Z results in an error response from the server.
#[test(tokio::test)]
async fn bad_symbol() {
let api_info = ApiInfo::from_env().unwrap();
let client = Client::new(api_info);

let req = LastQuoteReq::new(vec!["ABC123".to_string()]);
let err = client.issue::<Get>(&req).await.unwrap_err();
match err {
RequestError::Endpoint(GetError::InvalidInput(_)) => (),
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