Market Feeds

The mercury-market crate manages all inbound market data.

FeedManager

FeedManager owns one or more WebSocket connections and routes parsed messages onto the EventBus. It handles reconnection automatically on disconnect.

Implementing a new feed

Implement the FeedParser trait:

#![allow(unused)]
fn main() {
pub trait FeedParser: Send + Sync {
    /// Return the WebSocket URL for this exchange/symbol.
    fn ws_url(&self, symbol: &Symbol) -> String;

    /// Return the JSON subscription message to send after connecting.
    fn subscribe_message(&self, symbol: &Symbol) -> String;

    /// Parse a raw WebSocket message into zero or more events.
    fn parse(&self, msg: &str) -> Vec<EventPayload>;
}
}

Once implemented, register your parser with FeedManager::add_feed.

Supported feeds

BookBuilder

BookBuilder maintains a full L2 order book from incremental BookUpdate events. It applies sequence-numbered deltas and publishes a fresh Arc<BookUpdate> snapshot after each delta is applied.