Convert bitmex product types

apps/tai/lib/tai/venue_adapters/bitmex/product.ex

@@ -5,7 +5,7 @@ defmodule Tai.VenueAdapters.Bitmex.Product do
 
   def build(instrument, venue_id) do
     symbol = instrument.symbol |> downcase_and_atom
-    type = instrument.expiry |> type()
+    type = Tai.VenueAdapters.Bitmex.ProductType.normalize(instrument.typ)
     status = Tai.VenueAdapters.Bitmex.ProductStatus.normalize(instrument.state)
     listing = instrument.listing && Timex.parse!(instrument.listing, @format)
     expiry = instrument.expiry && Timex.parse!(instrument.expiry, @format)
@@ -45,7 +45,4 @@ defmodule Tai.VenueAdapters.Bitmex.Product do
   end
 
   def downcase_and_atom(str), do: str |> String.downcase() |> String.to_atom()
-
-  defp type(nil), do: :swap
-  defp type(_), do: :future
 end

apps/tai/lib/tai/venue_adapters/bitmex/product_type.ex

@@ -0,0 +1,31 @@
+defmodule Tai.VenueAdapters.Bitmex.ProductType do
+  @type type :: Tai.Venues.Product.type()
+
+  @doc """
+  Maps Bitmex product types to Tai product types.
+
+  https://www.bitmex.com/api/explorer/#!/Instrument/Instrument_get
+
+  Perpetual Contracts - FFWCSX
+  Perpetual Contracts (FX underliers) - FFWCSF
+  Spot - IFXXXP
+  Futures - FFCCSX
+  BitMEX Basket Index - MRBXXX
+  BitMEX Crypto Index - MRCXXX
+  BitMEX FX Index - MRFXXX
+  BitMEX Lending/Premium Index - MRRXXX
+  BitMEX Volatility Index - MRIXXX
+
+  ## Examples
+
+      iex> Tai.VenueAdapters.Bitmex.ProductType.normalize("FFWCSX")
+      :swap
+
+  """
+
+  @spec normalize(bitmex_product_type :: String.t()) :: type
+  def normalize("FFWCS" <> _), do: :swap # FFWCSX, FFWCSF
+  def normalize("FFCCS" <> _), do: :future # FFCCSX
+  def normalize("IF" <> _), do: :spot # IFXXXP
+  def normalize(_), do: :future
+end

apps/tai/test/tai/venue_adapters/bitmex/product_test.exs

@@ -17,7 +17,8 @@ defmodule Tai.VenuesAdapters.Bitmex.ProductTest do
       quote_currency: "USD",
       state: "Open",
       lot_size: 1,
-      tick_size: 0.5
+      tick_size: 0.5,
+      typ: "FFWCSX"
     }
 
     test "returns a product struct from a venue instrument" do
@@ -28,28 +29,13 @@ defmodule Tai.VenuesAdapters.Bitmex.ProductTest do
       assert product.symbol == :xbtusd
       assert product.venue_symbol == "XBTUSD"
       assert product.status == :trading
+      assert product.type == :swap
       assert product.price_increment == Decimal.new("0.5")
       assert product.min_price == Decimal.new("0.5")
       assert product.size_increment == Decimal.new(1)
       assert product.value == Decimal.new(1)
     end
 
-    test "type is :future when there is an expiry" do
-      attrs = Map.merge(@base_attrs, %{expiry: "2020-06-26T12:00:00.000Z"})
-      instrument = struct(ExBitmex.Instrument, attrs)
-
-      product = Tai.VenueAdapters.Bitmex.Product.build(instrument, :venue_a)
-      assert product.type == :future
-    end
-
-    test "type is :swap when there is no expiry" do
-      attrs = Map.merge(@base_attrs, %{expiry: nil})
-      instrument = struct(ExBitmex.Instrument, attrs)
-
-      product = Tai.VenueAdapters.Bitmex.Product.build(instrument, :venue_a)
-      assert product.type == :swap
-    end
-
     test "assigns maker/taker fee when present" do
       attrs = Map.merge(@base_attrs, %{maker_fee: "-0.025", taker_fee: "0.05"})
       instrument = struct(ExBitmex.Instrument, attrs)

apps/tai/test/tai/venue_adapters/bitmex/product_type_test.exs

@@ -0,0 +1,13 @@
+defmodule Tai.VenueAdapters.Bitmex.ProductTypeTest do
+  use ExUnit.Case, async: true
+  alias Tai.VenueAdapters.Bitmex
+
+  test ".normalize/1 converts product type" do
+    assert Bitmex.ProductType.normalize("FFWCSX") == :swap
+    assert Bitmex.ProductType.normalize("FFWCSF") == :swap
+    assert Bitmex.ProductType.normalize("IFXXXP") == :spot
+    assert Bitmex.ProductType.normalize("FFCCSX") == :future
+
+    assert Bitmex.ProductType.normalize("XXXXXX") == :future, "fallback to future"
+  end
+end

apps/tai/test/tai/venues/adapters/products_test.exs

@@ -30,6 +30,7 @@ defmodule Tai.Venues.Adapters.ProductsTest do
         assert product.venue_id == @venue.id
         assert product.symbol != nil
         assert product.status != nil
+        assert product.type != nil
         assert %Decimal{} = product.min_size
         assert %Decimal{} = product.min_price
         assert %Decimal{} = product.size_increment
@@ -50,6 +51,7 @@ defmodule Tai.Venues.Adapters.ProductsTest do
           min_price: Decimal.new("0.01"),
           size_increment: Decimal.new("0.001"),
           price_increment: Decimal.new("0.01"),
+          type: :spot
         },
         %{
           symbol: :ltc_usd,
@@ -59,6 +61,7 @@ defmodule Tai.Venues.Adapters.ProductsTest do
           min_price: Decimal.new("0.01"),
           size_increment: Decimal.new("0.001"),
           price_increment: Decimal.new("0.01"),
+          type: :spot
         }
       ]
     )