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local exchange_time is used for orderbook subscription #37

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jordy25519 opened this issue Jul 17, 2023 · 0 comments · May be fixed by #38
Open

local exchange_time is used for orderbook subscription #37

jordy25519 opened this issue Jul 17, 2023 · 0 comments · May be fixed by #38

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@jordy25519
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jordy25519 commented Jul 17, 2023 •
edited

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.

barter-data-rs/src/subscription/book.rs

Lines 278 to 280 in a6abe29

Self(vec![Ok(MarketEvent {
exchange_time: book.last_update_time,
received_time: Utc::now(),

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

barter-data-rs/src/transformer/book.rs

Lines 141 to 144 in a6abe29

match updater.update(book, update) {
Ok(Some(book)) => {
MarketIter::<OrderBook>::from((Exchange::ID, instrument.clone(), book)).0
}

I'm interested in the exchange given timestamp to check latency between my service and the exchange feed
@jordy25519 jordy25519 linked a pull request Jul 17, 2023 that will close this issue
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Fix/37 circuit-research/barter-data-rs
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@jordy25519