binance: port `stream_messages()` to use `match:` and a new `L1` struct

piker/brokers/binance.py

@@ -176,6 +176,18 @@ class OHLC(Struct):
     bar_wap: float = 0.0
 
 
+class L1(Struct):
+    # https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
+
+    update_id: int
+    sym: str
+
+    bid: float
+    bsize: float
+    ask: float
+    asize: float
+
+
 # convert datetime obj timestamp to unixtime in milliseconds
 def binance_timestamp(
     when: datetime
@@ -363,45 +375,85 @@ async def stream_messages(
 ) -> AsyncGenerator[NoBsWs, dict]:
 
     # TODO: match syntax here!
+    msg: dict[str, Any]
     async for msg in ws:
-
+        match msg:
             # for l1 streams binance doesn't add an event type field so
             # identify those messages by matching keys
             # https://binance-docs.github.io/apidocs/spot/en/#individual-symbol-book-ticker-streams
-        if msg.get('u'):
+            case {
-            sym = msg['s']
+                # NOTE: this is never an old value it seems, so
-            bid = float(msg['b'])
+                # they are always sending real L1 spread updates.
-            bsize = float(msg['B'])
+                'u': upid,  # update id
-            ask = float(msg['a'])
+                's': sym,
-            asize = float(msg['A'])
+                'b': bid,
+                'B': bsize,
+                'a': ask,
+                'A': asize,
+            }:
+                # TODO: it would be super nice to have a `L1` piker type
+                # which "renders" incremental tick updates from a packed
+                # msg-struct:
+                # - backend msgs after packed into the type such that we
+                #   can reduce IPC usage but without each backend having
+                #   to do that incremental update logic manually B)
+                # - would it maybe be more efficient to use this instead?
+                #   https://binance-docs.github.io/apidocs/spot/en/#diff-depth-stream
+                l1 = L1(
+                    update_id=upid,
+                    sym=sym,
+                    bid=bid,
+                    bsize=bsize,
+                    ask=ask,
+                    asize=asize,
+                )
+                l1.typecast()
 
+                # repack into piker's tick-quote format
                 yield 'l1', {
-                'symbol': sym,
+                    'symbol': l1.sym,
                     'ticks': [
-                    {'type': 'bid', 'price': bid, 'size': bsize},
+                        {
-                    {'type': 'bsize', 'price': bid, 'size': bsize},
+                            'type': 'bid',
-                    {'type': 'ask', 'price': ask, 'size': asize},
+                            'price': l1.bid,
-                    {'type': 'asize', 'price': ask, 'size': asize}
+                            'size': l1.bsize,
+                        },
+                        {
+                            'type': 'bsize',
+                            'price': l1.bid,
+                            'size': l1.bsize,
+                        },
+                        {
+                            'type': 'ask',
+                            'price': l1.ask,
+                            'size': l1.asize,
+                        },
+                        {
+                            'type': 'asize',
+                            'price': l1.ask,
+                            'size': l1.asize,
+                        }
                     ]
                 }
 
-        elif msg.get('e') == 'aggTrade':
+            # https://binance-docs.github.io/apidocs/spot/en/#aggregate-trade-streams
-
+            case {
-            # NOTE: this is purely for a definition, ``msgspec.Struct``
+                'e': 'aggTrade',
-            # does not runtime-validate until you decode/encode.
+            }:
-            # see: https://jcristharif.com/msgspec/structs.html#type-validation
+                # NOTE: this is purely for a definition,
+                # ``msgspec.Struct`` does not runtime-validate until you
+                # decode/encode, see:
+                # https://jcristharif.com/msgspec/structs.html#type-validation
                 msg = AggTrade(**msg)
-
+                msg.typecast()
-            # TODO: type out and require this quote format
-            # from all backends!
                 yield 'trade', {
                     'symbol': msg.s,
                     'last': msg.p,
                     'brokerd_ts': time.time(),
                     'ticks': [{
                         'type': 'trade',
-                    'price': float(msg.p),
+                        'price': msg.p,
-                    'size': float(msg.q),
+                        'size': msg.q,
                         'broker_ts': msg.T,
                     }],
                 }