I'm trying to build the example https://github.com/barter-rs/barter-rs#example and I'm getting a build error:

   Compiling barter-data v0.5.7
error[E0599]: no variant named `Serde` found for enum `SocketError`
  --> /Users/dave/.cargo/registry/src/github.com-1ecc6299db9ec823/barter-data-0.5.7/src/exchange/kraken/model.rs:65:43
   |
65 |             .map_err(|error| SocketError::Serde {
   |                                           ^^^^^ variant not found in `SocketError`

For more information about this error, try `rustc --explain E0599`.
error: could not compile `barter-data` due to previous error
warning: build failed, waiting for other jobs to finish...```

Hi! I am running this example:
https://github.com/barter-rs/barter-data-rs/blob/develop/examples/public_trades_streams.rs

Unfortunately I have rather doubtful results

MarketEvent<OrderBookL1>: MarketEvent { exchange_time: 2023-02-06T17:52:17.056798Z, received_time: 2023-02-06T17:52:17.056798Z, exchange: binance_futures_usd, instrument: Instrument { base: btc, quote: usdt, kind: FuturePerpetual }, kind: OrderBookL1 { last_update_time: 2023-02-06T17:52:17.056798Z, best_bid: Level { price: 23041.9, amount: 0.205 }, best_ask: Level { price: 23042.0, amount: 17.663 } } }

Exchange and receive time are the same, I doubt that it is due to hyper fast benefits of this lib, any suggestions? Is this a bug?

It'd be neat to be able to use Metatrader, because they are broker independant. They already have a ton of implementations for other exchanges, which would make this very useful.

Backtrader already implemented this here by using the MQL5-JSON-API.

Hi, dear maintainers. Thanks for the great project! I think I have found some problem in the implementation of mid_price and volume_weighed_mid_price, but I am new to rust, please correct me if I am wrong.

  pub fn mid_price(&self) -> f64 {
        match (self.bids.levels.first(), self.asks.levels.first()) {
            (Some(best_bid), Some(best_ask)) => mid_price(best_bid.price, best_ask.price),
            (Some(best_bid), None) => best_bid.price,
            (None, Some(best_bid)) => best_bid.price,
            (None, None) => 0.0,
        }

Firstly, IIUC, the third arm in the match block, (None, Some(best_bid)), is intended to match the case where only best ask is available and no bids. The matched value should be named best_ask instead of best_bid. The whole arm should be (None, Some(best_ask)) => best_ask.price,

Secondly, for the (None, None) case. It may not be a good idea to use 0.0 as a default value. price = 0.0 has its meaning in trading: the instrument is for free. In practical use cases, the mid price of order book is typically used to indicate the "fair price" for the associated instrument. There are no quoting does not necessarily mean the instrument has zero price. Moreover, it is dangerous to set an instrument's price as 0.0, especially when some selling signal is generated based on this price, which results in extremely low price as the order price, and may lead to trading loss.

From my experience, I would rather use nan as mid price in the empty order book case. But I don't know whether rust supports nan. Another option is to use None, but that requires changing the return type to Option<f64>

hi, thanks for the crate!

it seems like the exchange_time field of MarketEvent is not set to the exchange given timestamp when using Binance L2 orderbook subscriptions.

book.last_update_time is set here to Utc::now()

I'm interested in the exchange given timestamp to check latency between my service and the exchange feed

Would it be better to use u64 datatype for timestamps because of better performance when serde deserializes it?

Candle uses DateTime<Utc> for start_time and end_time for now.

Add support for streaming market data from ByBit

Similar implementations include vnpy, which supports many exchanges, as well as China's futures market and stock market. Unfortunately, the efficiency of the Python based framework is not very satisfactory.
I have been looking for a Rust based framework. I was lucky to find Barter, but only support crypto exchanges.

Development Documentation：CTP Client Development Guide.pdf
CTP_Client_Development_Guide.pdf

c++ code & dll is:v6.6.8_traderapi.zip
(I found the trust encapsulation of the ctp interface, but I don't know how to combine it with barter:https://github.com/WiSaGaN/ctp-rs)

test account is :https://www.simnow.com.cn/ (MarketPrice not need account)

As part of Barter feature request (barter-rs/barter-rs#21) to implement strategies utilising multiple timeframes, a precursor to a possible implementation of this is to add a time frame element to the Candle struct so you can determine to what period the OHLCV apply to.

This will allow for verification of incoming pull requests and promote testing code

Relevant actions:
https://github.com/marketplace/actions/rust-cargo
https://github.com/marketplace/actions/rust-toolchain

Under the current structure, implementing a new exchange requires merging new codes into the codebase, such as creating a new crate in the exchange, adding a new variant to the ExchangeId enum.

But there are cases where users may want to implement some exotic exchanges that are not interested to other users. I hope we can have a better way to factor out exchange specific codes, so users can implement whatever exotic exchanges as they like, without affecting the whole project.