nautilus-binance 0.61.0

// -------------------------------------------------------------------------------------------------
//  Copyright (C) 2015-2026 Nautech Systems Pty Ltd. All rights reserved.
//  https://nautechsystems.io
//
//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
//  You may not use this file except in compliance with the License.
//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
//  Unless required by applicable law or agreed to in writing, software
//  distributed under the License is distributed on an "AS IS" BASIS,
//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
//  See the License for the specific language governing permissions and
//  limitations under the License.
// -------------------------------------------------------------------------------------------------

//! Live market data client implementation for the Binance Futures adapter.

use std::{
    str::FromStr,
    sync::{
        Arc, RwLock,
        atomic::{AtomicBool, AtomicU32, Ordering},
    },
    time::Duration,
};

use ahash::AHashMap;
use anyhow::Context;
use futures_util::{StreamExt, pin_mut};
use nautilus_common::{
    clients::DataClient,
    live::{runner::get_data_event_sender, runtime::get_runtime},
    messages::{
        DataEvent,
        data::{
            BarsResponse, BookResponse, CustomDataResponse, DataResponse, FundingRatesResponse,
            InstrumentResponse, InstrumentsResponse, RequestBars, RequestBookSnapshot,
            RequestCustomData, RequestFundingRates, RequestInstrument, RequestInstruments,
            RequestTrades, SubscribeBars, SubscribeBookDeltas, SubscribeCustomData,
            SubscribeFundingRates, SubscribeIndexPrices, SubscribeInstrument, SubscribeInstruments,
            SubscribeMarkPrices, SubscribeQuotes, SubscribeTrades, TradesResponse, UnsubscribeBars,
            UnsubscribeBookDeltas, UnsubscribeCustomData, UnsubscribeFundingRates,
            UnsubscribeIndexPrices, UnsubscribeMarkPrices, UnsubscribeQuotes, UnsubscribeTrades,
            subscribe::SubscribeInstrumentStatus, unsubscribe::UnsubscribeInstrumentStatus,
        },
    },
};
use nautilus_core::{
    AtomicMap, MUTEX_POISONED, Params,
    datetime::datetime_to_unix_nanos,
    nanos::UnixNanos,
    time::{AtomicTime, get_atomic_clock_realtime},
};
use nautilus_model::{
    data::{
        BookOrder, CustomData, Data, DataType, OrderBookDelta, OrderBookDeltas,
        OrderBookDeltas_API, QuoteTick,
    },
    enums::{
        AggregationSource, BookAction, BookType, MarketStatusAction, OrderSide, PriceType,
        RecordFlag,
    },
    identifiers::{ClientId, InstrumentId, Venue},
    instruments::{Instrument, InstrumentAny},
    types::{Price, Quantity},
};
use rust_decimal::Decimal;
use tokio::task::JoinHandle;
use tokio_util::sync::CancellationToken;
use ustr::Ustr;

use crate::{
    common::{
        bar::{binance_bar_data_type, parse_binance_bar_type},
        consts::{BINANCE_BOOK_DEPTHS, BINANCE_VENUE},
        enums::{BinanceEnvironment, BinanceProductType},
        parse::{
            bar_spec_to_binance_interval, parse_millis, parse_millis_or_init,
            parse_price_at_precision, parse_quantity_at_precision,
            parse_required_price_at_precision, parse_required_quantity_at_precision,
            quote_to_l1_deltas,
        },
        status::diff_and_emit_statuses,
        symbol::{format_binance_stream_symbol, format_binance_symbol},
        urls::{get_usdm_ws_route_base_url, get_ws_public_base_url},
    },
    config::BinanceDataClientConfig,
    data_types::{
        BinanceFuturesLiquidation, BinanceFuturesOpenInterest, BinanceFuturesOpenInterestHist,
        BinanceFuturesOpenInterestHistPoint, register_binance_custom_data,
    },
    futures::{
        http::{
            client::{BinanceFuturesHttpClient, BinanceFuturesInstrument},
            models::BinanceOrderBook,
            query::{BinanceDepthParams, BinanceOpenInterestHistParams, BinanceOpenInterestParams},
        },
        websocket::streams::{
            client::BinanceFuturesWebSocketClient,
            messages::BinanceFuturesWsStreamsMessage,
            parse_data::{
                parse_agg_trade, parse_book_ticker, parse_depth_update, parse_kline,
                parse_mark_price, parse_ticker, parse_trade,
            },
        },
    },
};

const MAX_SNAPSHOT_RETRIES: u32 = 5;
const MAX_BUFFERED_DEPTH_UPDATES: usize = 10_000;
const SNAPSHOT_RETRY_BACKOFF_BASE_MS: u64 = 250;
const SNAPSHOT_RETRY_BACKOFF_CAP_MS: u64 = 3_000;

#[derive(Debug, Clone)]
struct BufferedDepthUpdate {
    deltas: OrderBookDeltas,
    first_update_id: u64,
    final_update_id: u64,
    prev_final_update_id: u64,
}

#[derive(Debug, Clone)]
struct BookBuffer {
    updates: Vec<BufferedDepthUpdate>,
    epoch: u64,
}

impl BookBuffer {
    fn new(epoch: u64) -> Self {
        Self {
            updates: Vec::new(),
            epoch,
        }
    }
}

/// Binance Futures data client for USD-M and COIN-M markets.
#[derive(Debug)]
pub struct BinanceFuturesDataClient {
    clock: &'static AtomicTime,
    client_id: ClientId,
    config: BinanceDataClientConfig,
    product_type: BinanceProductType,
    http_client: BinanceFuturesHttpClient,
    ws_client: BinanceFuturesWebSocketClient,
    ws_public_client: BinanceFuturesWebSocketClient,
    data_sender: tokio::sync::mpsc::UnboundedSender<DataEvent>,
    is_connected: AtomicBool,
    cancellation_token: CancellationToken,
    tasks: Vec<JoinHandle<()>>,
    instruments: Arc<AtomicMap<InstrumentId, InstrumentAny>>,
    status_cache: Arc<AtomicMap<InstrumentId, MarketStatusAction>>,
    book_buffers: Arc<AtomicMap<InstrumentId, BookBuffer>>,
    book_subscriptions: Arc<AtomicMap<InstrumentId, u32>>,
    l1_book_subscriptions: Arc<AtomicMap<InstrumentId, u32>>,
    quote_refs: Arc<AtomicMap<InstrumentId, u32>>,
    mark_price_refs: Arc<AtomicMap<InstrumentId, u32>>,
    ticker_refs: Arc<AtomicMap<InstrumentId, u32>>,
    force_order_refs: Arc<AtomicMap<InstrumentId, u32>>,
    force_order_all_market_refs: Arc<AtomicU32>,
    force_order_all_market_stream_active: Arc<AtomicBool>,
    force_order_ws_lock: Arc<tokio::sync::Mutex<()>>,
    book_epoch: Arc<RwLock<u64>>,
}

impl BinanceFuturesDataClient {
    /// Creates a new [`BinanceFuturesDataClient`] instance.
    ///
    /// # Errors
    ///
    /// Returns an error if the client fails to initialize or if the product type
    /// is not a futures type (UsdM or CoinM).
    pub fn new(
        client_id: ClientId,
        config: BinanceDataClientConfig,
        product_type: BinanceProductType,
    ) -> anyhow::Result<Self> {
        config.validate()?;

        match product_type {
            BinanceProductType::UsdM | BinanceProductType::CoinM => {}
            _ => {
                anyhow::bail!(
                    "BinanceFuturesDataClient requires UsdM or CoinM product type, was {product_type:?}"
                );
            }
        }

        let clock = get_atomic_clock_realtime();
        let data_sender = get_data_event_sender();

        let http_client = BinanceFuturesHttpClient::new(
            product_type,
            config.environment,
            clock,
            config.api_key.clone(),
            config.api_secret.clone(),
            config.base_url_http.clone(),
            Some(config.recv_window_ms),
            None, // timeout_secs
            config.proxy_url.clone(),
            false, // treat_expired_as_canceled
        )?;

        let market_url = config.base_url_ws.clone().map(|url| {
            if product_type == BinanceProductType::UsdM
                && config.environment == BinanceEnvironment::Live
            {
                get_usdm_ws_route_base_url(&url, "market")
            } else {
                url
            }
        });

        let ws_client = BinanceFuturesWebSocketClient::new(
            product_type,
            config.environment,
            config.api_key.clone(),
            config.api_secret.clone(),
            market_url,
            Some(20), // Heartbeat interval
            config.transport_backend,
        )?
        .with_proxy(config.proxy_url.clone());

        let public_url = config.base_url_ws.clone().map_or_else(
            || get_ws_public_base_url(product_type, config.environment).to_string(),
            |url| {
                if product_type == BinanceProductType::UsdM
                    && config.environment == BinanceEnvironment::Live
                {
                    get_usdm_ws_route_base_url(&url, "public")
                } else {
                    url
                }
            },
        );
        let ws_public_client = BinanceFuturesWebSocketClient::new(
            product_type,
            config.environment,
            None,
            None,
            Some(public_url),
            Some(20),
            config.transport_backend,
        )?
        .with_proxy(config.proxy_url.clone());

        Ok(Self {
            clock,
            client_id,
            config,
            product_type,
            http_client,
            ws_client,
            ws_public_client,
            data_sender,
            is_connected: AtomicBool::new(false),
            cancellation_token: CancellationToken::new(),
            tasks: Vec::new(),
            instruments: Arc::new(AtomicMap::new()),
            status_cache: Arc::new(AtomicMap::new()),
            book_buffers: Arc::new(AtomicMap::new()),
            book_subscriptions: Arc::new(AtomicMap::new()),
            l1_book_subscriptions: Arc::new(AtomicMap::new()),
            quote_refs: Arc::new(AtomicMap::new()),
            mark_price_refs: Arc::new(AtomicMap::new()),
            ticker_refs: Arc::new(AtomicMap::new()),
            force_order_refs: Arc::new(AtomicMap::new()),
            force_order_all_market_refs: Arc::new(AtomicU32::new(0)),
            force_order_all_market_stream_active: Arc::new(AtomicBool::new(false)),
            force_order_ws_lock: Arc::new(tokio::sync::Mutex::new(())),
            book_epoch: Arc::new(RwLock::new(0)),
        })
    }

    fn venue(&self) -> Venue {
        *BINANCE_VENUE
    }

    fn send_data(sender: &tokio::sync::mpsc::UnboundedSender<DataEvent>, data: Data) {
        if let Err(e) = sender.send(DataEvent::Data(data)) {
            log::error!("Failed to emit data event: {e}");
        }
    }

    fn spawn_ws<F>(&self, fut: F, context: &'static str)
    where
        F: Future<Output = anyhow::Result<()>> + Send + 'static,
    {
        get_runtime().spawn(async move {
            if let Err(e) = fut.await {
                log::error!("{context}: {e:?}");
            }
        });
    }

    #[expect(clippy::too_many_arguments)]
    async fn refresh_instrument_catalogue(
        http: &BinanceFuturesHttpClient,
        provider: &crate::config::BinanceInstrumentProviderConfig,
        instruments_cache: &Arc<AtomicMap<InstrumentId, InstrumentAny>>,
        status_cache: &Arc<AtomicMap<InstrumentId, MarketStatusAction>>,
        ws: &BinanceFuturesWebSocketClient,
        ws_public: &BinanceFuturesWebSocketClient,
        sender: &tokio::sync::mpsc::UnboundedSender<DataEvent>,
        clock: &'static AtomicTime,
        emit_status_changes: bool,
    ) -> anyhow::Result<Vec<InstrumentAny>> {
        let instruments = http
            .request_instruments_with_config(provider)
            .await
            .context("failed to request Binance Futures instruments")?;
        let venue_statuses = http
            .request_symbol_statuses()
            .await
            .context("failed to request Binance Futures instrument statuses")?;

        let instrument_map = instruments
            .iter()
            .map(|instrument| (instrument.id(), instrument.clone()))
            .collect::<AHashMap<_, _>>();
        let raw_to_id = instrument_map
            .values()
            .map(|instrument| (instrument.raw_symbol().inner(), instrument.id()))
            .collect::<AHashMap<_, _>>();
        let status_map = venue_statuses
            .into_iter()
            .filter_map(|(symbol, action)| {
                raw_to_id
                    .get(&symbol)
                    .copied()
                    .map(|instrument_id| (instrument_id, action))
            })
            .collect::<AHashMap<_, _>>();

        instruments_cache.store(instrument_map);
        ws.replace_instruments(&instruments);
        ws_public.replace_instruments(&instruments);

        if emit_status_changes {
            let mut cached_statuses = (**status_cache.load()).clone();
            let ts = clock.get_time_ns();
            diff_and_emit_statuses(&status_map, &mut cached_statuses, sender, ts, ts);
            status_cache.store(cached_statuses);
        } else {
            status_cache.store(status_map);
        }

        for instrument in &instruments {
            if let Err(e) = sender.send(DataEvent::Instrument(instrument.clone())) {
                log::warn!("Failed to send refreshed Binance Futures instrument: {e}");
            }
        }

        Ok(instruments)
    }

    fn custom_liquidation_instrument_id(
        data_type: &DataType,
    ) -> anyhow::Result<Option<InstrumentId>> {
        let Some(raw_instrument_id) = data_type
            .metadata()
            .as_ref()
            .and_then(|m| m.get("instrument_id"))
            .and_then(|v| v.as_str())
            .map(str::trim)
            .filter(|value| !value.is_empty())
        else {
            return Ok(None);
        };

        let instrument_id = InstrumentId::from_str(raw_instrument_id)
            .with_context(|| format!("invalid instrument_id metadata `{raw_instrument_id}`"))?;

        Ok(Some(instrument_id))
    }

    fn required_instrument_id_metadata(data_type: &DataType) -> anyhow::Result<InstrumentId> {
        let Some(raw_instrument_id) = data_type
            .metadata()
            .as_ref()
            .and_then(|m| m.get("instrument_id"))
            .and_then(|v| v.as_str())
            .map(str::trim)
            .filter(|value| !value.is_empty())
        else {
            anyhow::bail!("custom data request requires `instrument_id` metadata");
        };

        InstrumentId::from_str(raw_instrument_id)
            .with_context(|| format!("invalid instrument_id metadata `{raw_instrument_id}`"))
    }

    fn required_period_metadata(data_type: &DataType) -> anyhow::Result<String> {
        let Some(period) = data_type
            .metadata()
            .as_ref()
            .and_then(|m| m.get("period"))
            .and_then(|v| v.as_str())
            .map(str::trim)
            .filter(|value| !value.is_empty())
        else {
            anyhow::bail!("historical open interest request requires `period` metadata");
        };

        Ok(period.to_string())
    }

    fn coinm_open_interest_hist_params(
        http: &BinanceFuturesHttpClient,
        instrument_id: &InstrumentId,
    ) -> anyhow::Result<(String, String)> {
        let symbol = format_binance_symbol(instrument_id);
        if let Some(pair) = symbol.strip_suffix("_PERP") {
            return Ok((pair.to_string(), "PERPETUAL".to_string()));
        }

        let cache = http.instruments_cache();
        let definition = cache
            .get(&Ustr::from(symbol.as_str()))
            .with_context(|| format!("missing COIN-M definition for {instrument_id}"))?;
        let BinanceFuturesInstrument::CoinM(definition) = definition.value() else {
            anyhow::bail!("expected a COIN-M definition for {instrument_id}");
        };

        Ok((
            definition.pair.to_string(),
            definition.contract_type.clone(),
        ))
    }

    fn parse_open_interest_decimal(field: &str, value: &str) -> anyhow::Result<Decimal> {
        Decimal::from_str_exact(value)
            .with_context(|| format!("invalid Binance open interest `{field}` value `{value}`"))
    }

    fn liquidation_data_type(instrument_id: InstrumentId) -> DataType {
        let mut metadata = Params::new();
        metadata.insert(
            "instrument_id".to_string(),
            serde_json::Value::String(instrument_id.to_string()),
        );
        DataType::new(
            "BinanceFuturesLiquidation",
            Some(metadata),
            Some(instrument_id.to_string()),
        )
    }

    fn liquidation_stream(instrument_id: &InstrumentId) -> String {
        format!("{}@forceOrder", format_binance_stream_symbol(instrument_id))
    }

    fn spawn_liquidation_stream_reconcile(&self, context: &'static str) {
        let ws = self.ws_client.clone();
        let refs = self.force_order_refs.clone();
        let all_market_refs = self.force_order_all_market_refs.clone();
        let all_market_stream_active = self.force_order_all_market_stream_active.clone();
        let ws_lock = self.force_order_ws_lock.clone();

        self.spawn_ws(
            async move {
                let _guard = ws_lock.lock().await;
                let wants_all_market = all_market_refs.load(Ordering::Relaxed) > 0;
                let all_market_active = all_market_stream_active.load(Ordering::Acquire);

                if wants_all_market {
                    if all_market_active {
                        return Ok(());
                    }

                    let specific_streams = refs
                        .load()
                        .keys()
                        .map(Self::liquidation_stream)
                        .collect::<Vec<_>>();

                    if !specific_streams.is_empty() {
                        ws.unsubscribe(specific_streams).await.context(
                            "specific forceOrder unsubscribe while enabling all-market",
                        )?;
                    }

                    if all_market_refs.load(Ordering::Relaxed) == 0 {
                        let restored_streams = refs
                            .load()
                            .keys()
                            .map(Self::liquidation_stream)
                            .collect::<Vec<_>>();

                        if !restored_streams.is_empty() {
                            ws.subscribe(restored_streams).await.context(
                                "specific forceOrder restore after canceled all-market subscription",
                            )?;
                        }
                        all_market_stream_active.store(false, Ordering::Release);
                        return Ok(());
                    }

                    all_market_stream_active.store(true, Ordering::Release);

                    if let Err(e) = ws
                        .subscribe(vec!["!forceOrder@arr".to_string()])
                        .await
                        .context("all-market forceOrder subscription")
                    {
                        all_market_stream_active.store(false, Ordering::Release);
                        return Err(e);
                    }
                } else {
                    if !all_market_active {
                        return Ok(());
                    }

                    ws.unsubscribe(vec!["!forceOrder@arr".to_string()])
                        .await
                        .context("all-market forceOrder unsubscribe")?;

                    let specific_streams = refs
                        .load()
                        .keys()
                        .map(Self::liquidation_stream)
                        .collect::<Vec<_>>();

                    if !specific_streams.is_empty() {
                        ws.subscribe(specific_streams).await.context(
                            "specific forceOrder resubscribe after all-market unsubscribe",
                        )?;
                    }
                    all_market_stream_active.store(false, Ordering::Release);
                }

                Ok(())
            },
            context,
        );
    }

    #[expect(clippy::too_many_arguments)]
    fn handle_ws_message(
        msg: BinanceFuturesWsStreamsMessage,
        data_sender: &tokio::sync::mpsc::UnboundedSender<DataEvent>,
        instruments: &Arc<AtomicMap<InstrumentId, InstrumentAny>>,
        ws_instruments: &Arc<AtomicMap<Ustr, InstrumentAny>>,
        book_buffers: &Arc<AtomicMap<InstrumentId, BookBuffer>>,
        book_subscriptions: &Arc<AtomicMap<InstrumentId, u32>>,
        l1_book_subscriptions: &Arc<AtomicMap<InstrumentId, u32>>,
        force_order_refs: &Arc<AtomicMap<InstrumentId, u32>>,
        ticker_refs: &Arc<AtomicMap<InstrumentId, u32>>,
        force_order_all_market_refs: &Arc<AtomicU32>,
        force_order_all_market_stream_active: &Arc<AtomicBool>,
        book_epoch: &Arc<RwLock<u64>>,
        http_client: &BinanceFuturesHttpClient,
        clock: &'static AtomicTime,
    ) {
        let ts_init = clock.get_time_ns();
        let cache = ws_instruments.load();

        match msg {
            BinanceFuturesWsStreamsMessage::AggTrade(ref trade_msg) => {
                if let Some(instrument) = cache.get(&trade_msg.symbol) {
                    match parse_agg_trade(trade_msg, instrument, ts_init) {
                        Ok(trade) => Self::send_data(data_sender, Data::Trade(trade)),
                        Err(e) => log::warn!("Failed to parse aggregate trade: {e}"),
                    }
                }
            }
            BinanceFuturesWsStreamsMessage::Trade(ref trade_msg) => {
                if let Some(instrument) = cache.get(&trade_msg.symbol) {
                    match parse_trade(trade_msg, instrument, ts_init) {
                        Ok(trade) => Self::send_data(data_sender, Data::Trade(trade)),
                        Err(e) => log::warn!("Failed to parse trade: {e}"),
                    }
                }
            }
            BinanceFuturesWsStreamsMessage::BookTicker(ref ticker_msg) => {
                if let Some(instrument) = cache.get(&ticker_msg.symbol) {
                    match parse_book_ticker(ticker_msg, instrument, ts_init) {
                        Ok(quote) => Self::send_top_of_book(
                            data_sender,
                            l1_book_subscriptions,
                            quote,
                            ticker_msg.update_id,
                        ),
                        Err(e) => log::warn!("Failed to parse book ticker: {e}"),
                    }
                }
            }
            BinanceFuturesWsStreamsMessage::DepthUpdate(ref depth_msg) => {
                if let Some(instrument) = cache.get(&depth_msg.symbol) {
                    match parse_depth_update(depth_msg, instrument, ts_init) {
                        Ok(deltas) => {
                            let instrument_id = deltas.instrument_id;
                            let final_update_id = deltas.sequence;
                            let first_update_id = depth_msg.first_update_id;
                            let prev_final_update_id = depth_msg.prev_final_update_id;

                            if book_buffers.contains_key(&instrument_id) {
                                let mut was_buffered = false;
                                book_buffers.rcu(|m| {
                                    was_buffered = false;

                                    if let Some(buffer) = m.get_mut(&instrument_id) {
                                        buffer.updates.push(BufferedDepthUpdate {
                                            deltas: deltas.clone(),
                                            first_update_id,
                                            final_update_id,
                                            prev_final_update_id,
                                        });
                                        trim_buffered_depth_updates(&mut buffer.updates);
                                        was_buffered = true;
                                    }
                                });

                                if was_buffered {
                                    return;
                                }
                            }

                            Self::send_data(
                                data_sender,
                                Data::Deltas(OrderBookDeltas_API::new(deltas)),
                            );
                        }
                        Err(e) => log::warn!("Failed to parse depth update: {e}"),
                    }
                }
            }
            BinanceFuturesWsStreamsMessage::MarkPrice(ref mark_msg) => {
                if let Some(instrument) = cache.get(&mark_msg.symbol) {
                    match parse_mark_price(mark_msg, instrument, ts_init) {
                        Ok((mark_update, index_update, funding_update, custom_update)) => {
                            Self::send_data(data_sender, Data::MarkPriceUpdate(mark_update));
                            Self::send_data(data_sender, Data::IndexPriceUpdate(index_update));
                            if let Err(e) = data_sender.send(DataEvent::FundingRate(funding_update))
                            {
                                log::error!("Failed to emit funding rate: {e}");
                            }
                            let data_type = mark_price_data_type(instrument.id());
                            Self::send_data(
                                data_sender,
                                Data::Custom(CustomData::new(Arc::new(custom_update), data_type)),
                            );
                        }
                        Err(e) => log::warn!("Failed to parse mark price: {e}"),
                    }
                }
            }
            BinanceFuturesWsStreamsMessage::Kline(ref kline_msg) => {
                if let Some(instrument) = cache.get(&kline_msg.symbol) {
                    match parse_kline(kline_msg, instrument, ts_init) {
                        Ok(Some(bar)) => {
                            Self::send_data(data_sender, Data::Bar(bar.bar()));
                            let data_type = binance_bar_data_type(bar.bar_type);
                            Self::send_data(
                                data_sender,
                                Data::Custom(CustomData::new(Arc::new(bar), data_type)),
                            );
                        }
                        Ok(None) => {} // Kline not closed yet
                        Err(e) => log::warn!("Failed to parse kline: {e}"),
                    }
                }
            }
            BinanceFuturesWsStreamsMessage::ForceOrder(ref liq_msg) => {
                if let Some(instrument) = cache.get(&liq_msg.order.symbol) {
                    let ts_event = parse_millis_or_init(
                        liq_msg.event_time,
                        "Futures liquidation event time",
                        ts_init,
                    );
                    let parse_price = |value: &str, field: &str| -> anyhow::Result<Price> {
                        parse_required_price_at_precision(
                            value,
                            instrument.price_precision(),
                            field,
                        )
                    };

                    let parse_quantity = |value: &str, field: &str| -> anyhow::Result<Quantity> {
                        parse_required_quantity_at_precision(
                            value,
                            instrument.size_precision(),
                            field,
                        )
                    };

                    match (
                        parse_price(&liq_msg.order.price, "price"),
                        parse_price(&liq_msg.order.average_price, "average_price"),
                        parse_quantity(&liq_msg.order.last_filled_qty, "last_filled_qty"),
                        parse_quantity(&liq_msg.order.accumulated_qty, "accumulated_qty"),
                    ) {
                        (
                            Ok(price),
                            Ok(average_price),
                            Ok(last_filled_qty),
                            Ok(accumulated_qty),
                        ) => {
                            let liquidation = Arc::new(BinanceFuturesLiquidation::new(
                                instrument.id(),
                                OrderSide::from(liq_msg.order.side),
                                price,
                                average_price,
                                last_filled_qty,
                                accumulated_qty,
                                ts_event,
                                ts_init,
                            ));

                            let has_all_market_subscription =
                                force_order_all_market_refs.load(Ordering::Relaxed) > 0;
                            let has_all_market_stream =
                                force_order_all_market_stream_active.load(Ordering::Acquire);
                            let has_specific_subscription =
                                force_order_refs.load().contains_key(&instrument.id());

                            if has_all_market_subscription || has_all_market_stream {
                                let data_type =
                                    DataType::new("BinanceFuturesLiquidation", None, None);
                                Self::send_data(
                                    data_sender,
                                    Data::Custom(CustomData::new(liquidation, data_type)),
                                );
                            } else if has_specific_subscription {
                                let data_type = Self::liquidation_data_type(instrument.id());
                                Self::send_data(
                                    data_sender,
                                    Data::Custom(CustomData::new(liquidation, data_type)),
                                );
                            }
                        }
                        (p, ap, lq, aq) => {
                            log::warn!(
                                "Failed to parse Binance liquidation {}: price={:?} avg={:?} \
                                last_qty={:?} accumulated_qty={:?}",
                                liq_msg.order.symbol,
                                p.err(),
                                ap.err(),
                                lq.err(),
                                aq.err(),
                            );
                        }
                    }
                } else {
                    log::warn!(
                        "Received Binance liquidation for uncached symbol {}",
                        liq_msg.order.symbol
                    );
                }
            }
            BinanceFuturesWsStreamsMessage::Ticker(ref ticker_msg) => {
                if let Some(instrument) = cache.get(&ticker_msg.symbol) {
                    let instrument_id = instrument.id();
                    if !ticker_refs.load().contains_key(&instrument_id) {
                        return;
                    }

                    match parse_ticker(ticker_msg, instrument, ts_init) {
                        Ok(ticker) => {
                            let data_type = ticker_data_type(instrument_id);
                            Self::send_data(
                                data_sender,
                                Data::Custom(CustomData::new(Arc::new(ticker), data_type)),
                            );
                        }
                        Err(e) => log::warn!("Failed to parse ticker: {e}"),
                    }
                }
            }
            // Execution messages ignored by data client
            BinanceFuturesWsStreamsMessage::AccountUpdate(_)
            | BinanceFuturesWsStreamsMessage::OrderUpdate(_)
            | BinanceFuturesWsStreamsMessage::TradeLite(_)
            | BinanceFuturesWsStreamsMessage::AlgoUpdate(_)
            | BinanceFuturesWsStreamsMessage::MarginCall(_)
            | BinanceFuturesWsStreamsMessage::AccountConfigUpdate(_)
            | BinanceFuturesWsStreamsMessage::ListenKeyExpired => {}
            BinanceFuturesWsStreamsMessage::Error(e) => {
                log::warn!(
                    "Binance Futures WebSocket error: code={}, msg={}",
                    e.code,
                    e.msg
                );
            }
            BinanceFuturesWsStreamsMessage::Reconnected => {
                log::info!("WebSocket reconnected, rebuilding order book snapshots");

                let epoch = {
                    let mut guard = book_epoch.write().expect(MUTEX_POISONED);
                    *guard = guard.wrapping_add(1);
                    *guard
                };

                let subs: Vec<(InstrumentId, u32)> = {
                    let guard = book_subscriptions.load();
                    guard.iter().map(|(k, v)| (*k, *v)).collect()
                };

                for (instrument_id, depth) in subs {
                    book_buffers.insert(instrument_id, BookBuffer::new(epoch));

                    log::debug!(
                        "OrderBook snapshot rebuild for {instrument_id} @ depth {depth} \
                        starting (reconnect, epoch={epoch})"
                    );

                    let http = http_client.clone();
                    let sender = data_sender.clone();
                    let buffers = book_buffers.clone();
                    let insts = instruments.clone();

                    get_runtime().spawn(async move {
                        Self::fetch_and_emit_snapshot(
                            http,
                            sender,
                            buffers,
                            insts,
                            instrument_id,
                            depth,
                            epoch,
                            clock,
                        )
                        .await;
                    });
                }
            }
        }
    }

    fn send_top_of_book(
        data_sender: &tokio::sync::mpsc::UnboundedSender<DataEvent>,
        l1_book_subscriptions: &Arc<AtomicMap<InstrumentId, u32>>,
        quote: QuoteTick,
        sequence: u64,
    ) {
        Self::send_data(data_sender, Data::Quote(quote));
        if l1_book_subscriptions.contains_key(&quote.instrument_id) {
            let deltas = quote_to_l1_deltas(quote, sequence);
            Self::send_data(data_sender, Data::Deltas(OrderBookDeltas_API::new(deltas)));
        }
    }

    #[expect(clippy::too_many_arguments)]
    async fn fetch_and_emit_snapshot(
        http: BinanceFuturesHttpClient,
        sender: tokio::sync::mpsc::UnboundedSender<DataEvent>,
        buffers: Arc<AtomicMap<InstrumentId, BookBuffer>>,
        instruments: Arc<AtomicMap<InstrumentId, InstrumentAny>>,
        instrument_id: InstrumentId,
        depth: u32,
        epoch: u64,
        clock: &'static AtomicTime,
    ) {
        Self::fetch_and_emit_snapshot_inner(
            http,
            sender,
            buffers,
            instruments,
            instrument_id,
            depth,
            epoch,
            clock,
            0,
        )
        .await;
    }

    #[expect(clippy::too_many_arguments)]
    async fn fetch_and_emit_snapshot_inner(
        http: BinanceFuturesHttpClient,
        sender: tokio::sync::mpsc::UnboundedSender<DataEvent>,
        buffers: Arc<AtomicMap<InstrumentId, BookBuffer>>,
        instruments: Arc<AtomicMap<InstrumentId, InstrumentAny>>,
        instrument_id: InstrumentId,
        depth: u32,
        epoch: u64,
        clock: &'static AtomicTime,
        retry_count: u32,
    ) {
        if wait_for_buffered_update(&buffers, instrument_id, epoch)
            .await
            .is_none()
        {
            return;
        }

        let symbol = format_binance_stream_symbol(&instrument_id).to_uppercase();
        let params = BinanceDepthParams {
            symbol,
            limit: Some(depth),
        };

        match http.depth(&params).await {
            Ok(order_book) => {
                let ts_init = clock.get_time_ns();
                let last_update_id = order_book.last_update_id as u64;

                // Check if subscription was cancelled or epoch changed
                {
                    let guard = buffers.load();
                    match guard.get(&instrument_id) {
                        None => {
                            log::debug!(
                                "OrderBook subscription for {instrument_id} was cancelled, \
                                discarding snapshot"
                            );
                            return;
                        }
                        Some(buffer) if buffer.epoch != epoch => {
                            log::debug!(
                                "OrderBook snapshot for {instrument_id} is stale \
                                (epoch {epoch} != {}), discarding",
                                buffer.epoch
                            );
                            return;
                        }
                        _ => {}
                    }
                }

                // Get instrument for precision
                let (price_precision, size_precision) = {
                    let guard = instruments.load();
                    match guard.get(&instrument_id) {
                        Some(inst) => (inst.price_precision(), inst.size_precision()),
                        None => {
                            log::error!("No instrument in cache for snapshot: {instrument_id}");
                            buffers.remove(&instrument_id);
                            return;
                        }
                    }
                };

                let Some(first) = wait_for_first_applicable_update(
                    &buffers,
                    instrument_id,
                    epoch,
                    last_update_id,
                )
                .await
                else {
                    return;
                };

                // Validate first applicable update per Binance Futures spec:
                // First update must satisfy: U <= lastUpdateId AND u >= lastUpdateId
                let target = last_update_id;
                let valid_overlap =
                    first.first_update_id <= target && first.final_update_id >= target;

                if !valid_overlap {
                    if retry_count < MAX_SNAPSHOT_RETRIES {
                        log::warn!(
                            "OrderBook overlap validation failed for {instrument_id}: \
                            lastUpdateId={last_update_id}, first_update_id={}, \
                            final_update_id={} (need U <= {} <= u), \
                            retrying snapshot (attempt {}/{})",
                            first.first_update_id,
                            first.final_update_id,
                            target,
                            retry_count + 1,
                            MAX_SNAPSHOT_RETRIES
                        );

                        tokio::time::sleep(futures_snapshot_retry_backoff(retry_count)).await;

                        Box::pin(Self::fetch_and_emit_snapshot_inner(
                            http,
                            sender,
                            buffers,
                            instruments,
                            instrument_id,
                            depth,
                            epoch,
                            clock,
                            retry_count + 1,
                        ))
                        .await;
                        return;
                    }
                    log::error!(
                        "OrderBook overlap validation failed for {instrument_id} after \
                        {MAX_SNAPSHOT_RETRIES} retries; book may be inconsistent"
                    );
                }

                let snapshot_deltas = parse_order_book_snapshot(
                    &order_book,
                    instrument_id,
                    price_precision,
                    size_precision,
                    ts_init,
                );

                // Take buffered updates but keep buffer entry during replay
                let buffered = {
                    let mut taken = Vec::new();
                    let mut should_return = false;
                    buffers.rcu(|m| {
                        taken = Vec::new();
                        should_return = false;

                        match m.get_mut(&instrument_id) {
                            Some(buffer) if buffer.epoch == epoch => {
                                taken = std::mem::take(&mut buffer.updates);
                            }
                            _ => should_return = true,
                        }
                    });

                    if should_return {
                        return;
                    }
                    taken
                };

                // Replay buffered updates with continuity validation
                let mut replayed = 0;
                let mut last_final_update_id = last_update_id;
                let mut is_first = true;
                let mut replay_ready = Vec::with_capacity(buffered.len());

                for update in buffered {
                    if update.final_update_id < last_update_id {
                        continue;
                    }

                    if update.final_update_id == last_update_id {
                        last_final_update_id = update.final_update_id;
                        is_first = false;
                        continue;
                    }

                    // The first diff is anchored by the snapshot overlap check. After that,
                    // Binance Futures requires each diff's pu to match the previous diff's u.
                    if !is_first && update.prev_final_update_id != last_final_update_id {
                        if retry_count < MAX_SNAPSHOT_RETRIES {
                            log::warn!(
                                "OrderBook continuity break for {instrument_id}: \
                                expected pu={last_final_update_id}, was pu={}, \
                                triggering resync (attempt {}/{})",
                                update.prev_final_update_id,
                                retry_count + 1,
                                MAX_SNAPSHOT_RETRIES
                            );

                            reset_book_sync_buffer(&buffers, instrument_id, epoch);
                            tokio::time::sleep(futures_snapshot_retry_backoff(retry_count)).await;

                            Box::pin(Self::fetch_and_emit_snapshot_inner(
                                http,
                                sender,
                                buffers,
                                instruments,
                                instrument_id,
                                depth,
                                epoch,
                                clock,
                                retry_count + 1,
                            ))
                            .await;
                            return;
                        }
                        log::error!(
                            "OrderBook continuity break for {instrument_id} after \
                            {MAX_SNAPSHOT_RETRIES} retries: expected pu={last_final_update_id}, \
                            was pu={}; book may be inconsistent",
                            update.prev_final_update_id
                        );
                    }

                    last_final_update_id = update.final_update_id;
                    is_first = false;
                    replayed += 1;
                    replay_ready.push(update);
                }

                if let Err(e) = sender.send(DataEvent::Data(Data::Deltas(
                    OrderBookDeltas_API::new(snapshot_deltas),
                ))) {
                    log::error!("Failed to send snapshot: {e}");
                }

                for update in replay_ready {
                    if let Err(e) = sender.send(DataEvent::Data(Data::Deltas(
                        OrderBookDeltas_API::new(update.deltas),
                    ))) {
                        log::error!("Failed to send replayed deltas: {e}");
                    }
                }

                // Drain any updates that arrived during replay
                loop {
                    let more = {
                        let mut taken = Vec::new();
                        let mut should_break = false;
                        buffers.rcu(|m| {
                            taken = Vec::new();
                            should_break = false;

                            match m.get_mut(&instrument_id) {
                                Some(buffer) if buffer.epoch == epoch => {
                                    if buffer.updates.is_empty() {
                                        m.remove(&instrument_id);
                                        should_break = true;
                                    } else {
                                        taken = std::mem::take(&mut buffer.updates);
                                    }
                                }
                                _ => should_break = true,
                            }
                        });

                        if should_break {
                            break;
                        }
                        taken
                    };

                    for update in more {
                        if update.final_update_id <= last_update_id {
                            continue;
                        }

                        if update.prev_final_update_id != last_final_update_id {
                            if retry_count < MAX_SNAPSHOT_RETRIES {
                                log::warn!(
                                    "OrderBook continuity break for {instrument_id}: \
                                    expected pu={last_final_update_id}, was pu={}, \
                                    triggering resync (attempt {}/{})",
                                    update.prev_final_update_id,
                                    retry_count + 1,
                                    MAX_SNAPSHOT_RETRIES
                                );

                                reset_book_sync_buffer(&buffers, instrument_id, epoch);
                                tokio::time::sleep(futures_snapshot_retry_backoff(retry_count))
                                    .await;

                                Box::pin(Self::fetch_and_emit_snapshot_inner(
                                    http,
                                    sender,
                                    buffers,
                                    instruments,
                                    instrument_id,
                                    depth,
                                    epoch,
                                    clock,
                                    retry_count + 1,
                                ))
                                .await;
                                return;
                            }
                            log::error!(
                                "OrderBook continuity break for {instrument_id} after \
                                {MAX_SNAPSHOT_RETRIES} retries; book may be inconsistent"
                            );
                        }

                        last_final_update_id = update.final_update_id;
                        replayed += 1;

                        if let Err(e) = sender.send(DataEvent::Data(Data::Deltas(
                            OrderBookDeltas_API::new(update.deltas),
                        ))) {
                            log::error!("Failed to send replayed deltas: {e}");
                        }
                    }
                }

                log::debug!(
                    "OrderBook snapshot rebuild for {instrument_id} completed \
                    (lastUpdateId={last_update_id}, replayed={replayed})"
                );
            }
            Err(e) => {
                if retry_count < MAX_SNAPSHOT_RETRIES {
                    log::warn!(
                        "Failed to request order book snapshot for {instrument_id}: {e}; \
                        retrying snapshot (attempt {}/{})",
                        retry_count + 1,
                        MAX_SNAPSHOT_RETRIES
                    );

                    tokio::time::sleep(futures_snapshot_retry_backoff(retry_count)).await;

                    Box::pin(Self::fetch_and_emit_snapshot_inner(
                        http,
                        sender,
                        buffers,
                        instruments,
                        instrument_id,
                        depth,
                        epoch,
                        clock,
                        retry_count + 1,
                    ))
                    .await;
                    return;
                }

                log::error!(
                    "Failed to request order book snapshot for {instrument_id} after \
                    {MAX_SNAPSHOT_RETRIES} retries: {e}"
                );
                buffers.remove(&instrument_id);
            }
        }
    }
}

fn upsert_instrument(
    cache: &Arc<AtomicMap<InstrumentId, InstrumentAny>>,
    instrument: InstrumentAny,
) {
    cache.insert(instrument.id(), instrument);
}

fn reset_book_sync_buffer(
    buffers: &Arc<AtomicMap<InstrumentId, BookBuffer>>,
    instrument_id: InstrumentId,
    epoch: u64,
) {
    buffers.rcu(|m| {
        if let Some(buffer) = m.get_mut(&instrument_id)
            && buffer.epoch == epoch
        {
            buffer.updates.clear();
        }
    });
}

fn trim_buffered_depth_updates(updates: &mut Vec<BufferedDepthUpdate>) {
    let excess = updates.len().saturating_sub(MAX_BUFFERED_DEPTH_UPDATES);
    if excess > 0 {
        updates.drain(..excess);
    }
}

async fn wait_for_buffered_update(
    buffers: &Arc<AtomicMap<InstrumentId, BookBuffer>>,
    instrument_id: InstrumentId,
    epoch: u64,
) -> Option<()> {
    loop {
        let guard = buffers.load();
        match guard.get(&instrument_id) {
            Some(buffer) if buffer.epoch == epoch && !buffer.updates.is_empty() => return Some(()),
            Some(buffer) if buffer.epoch == epoch => {}
            _ => return None,
        }

        drop(guard);
        tokio::time::sleep(Duration::from_millis(100)).await;
    }
}

async fn wait_for_first_applicable_update(
    buffers: &Arc<AtomicMap<InstrumentId, BookBuffer>>,
    instrument_id: InstrumentId,
    epoch: u64,
    last_update_id: u64,
) -> Option<BufferedDepthUpdate> {
    loop {
        let mut first = None;
        let mut waiting = false;
        buffers.rcu(|m| {
            first = None;
            waiting = false;

            if let Some(buffer) = m.get_mut(&instrument_id)
                && buffer.epoch == epoch
            {
                buffer
                    .updates
                    .retain(|update| update.final_update_id >= last_update_id);
                first = buffer
                    .updates
                    .iter()
                    .find(|update| update.final_update_id >= last_update_id)
                    .cloned();
                waiting = first.is_none();
            }
        });

        if first.is_some() {
            return first;
        }

        if !waiting {
            return None;
        }

        tokio::time::sleep(Duration::from_millis(100)).await;
    }
}

fn futures_snapshot_retry_backoff(retry_count: u32) -> Duration {
    let multiplier = 1_u64 << retry_count.min(4);
    let millis = SNAPSHOT_RETRY_BACKOFF_BASE_MS
        .saturating_mul(multiplier)
        .min(SNAPSHOT_RETRY_BACKOFF_CAP_MS);
    Duration::from_millis(millis)
}

fn parse_order_book_snapshot(
    order_book: &BinanceOrderBook,
    instrument_id: InstrumentId,
    price_precision: u8,
    size_precision: u8,
    ts_init: UnixNanos,
) -> OrderBookDeltas {
    let sequence = order_book.last_update_id as u64;
    let ts_event = order_book.transaction_time.map_or(ts_init, |value| {
        parse_millis_or_init(
            value,
            "Futures order book snapshot transaction time",
            ts_init,
        )
    });

    let total_levels = order_book.bids.len() + order_book.asks.len();
    let mut deltas = Vec::with_capacity(total_levels + 1);

    // First delta is CLEAR to reset the book
    deltas.push(OrderBookDelta::clear(
        instrument_id,
        sequence,
        ts_event,
        ts_init,
    ));

    for (price_str, qty_str) in &order_book.bids {
        let Some(price) = parse_price_at_precision(price_str, price_precision) else {
            log::warn!(
                "Skipping Futures order book bid level for {instrument_id}: invalid or \
                non-positive price='{price_str}'"
            );
            continue;
        };
        let Some(size) = parse_quantity_at_precision(qty_str, size_precision) else {
            log::warn!(
                "Skipping Futures order book bid level for {instrument_id}: invalid or \
                non-positive quantity='{qty_str}'"
            );
            continue;
        };

        let order = BookOrder::new(OrderSide::Buy, price, size, 0);

        deltas.push(OrderBookDelta::new(
            instrument_id,
            BookAction::Add,
            order,
            0,
            sequence,
            ts_event,
            ts_init,
        ));
    }

    for (price_str, qty_str) in &order_book.asks {
        let Some(price) = parse_price_at_precision(price_str, price_precision) else {
            log::warn!(
                "Skipping Futures order book ask level for {instrument_id}: invalid or \
                non-positive price='{price_str}'"
            );
            continue;
        };
        let Some(size) = parse_quantity_at_precision(qty_str, size_precision) else {
            log::warn!(
                "Skipping Futures order book ask level for {instrument_id}: invalid or \
                non-positive quantity='{qty_str}'"
            );
            continue;
        };

        let order = BookOrder::new(OrderSide::Sell, price, size, 0);

        deltas.push(OrderBookDelta::new(
            instrument_id,
            BookAction::Add,
            order,
            0,
            sequence,
            ts_event,
            ts_init,
        ));
    }

    if let Some(delta) = deltas.last_mut() {
        delta.flags |= RecordFlag::F_LAST as u8;
    }

    OrderBookDeltas::new(instrument_id, deltas)
}

#[async_trait::async_trait(?Send)]
impl DataClient for BinanceFuturesDataClient {
    fn client_id(&self) -> ClientId {
        self.client_id
    }

    fn venue(&self) -> Option<Venue> {
        Some(self.venue())
    }

    fn start(&mut self) -> anyhow::Result<()> {
        log::info!(
            "Started: client_id={}, product_type={:?}, environment={:?}",
            self.client_id,
            self.product_type,
            self.config.environment,
        );
        Ok(())
    }

    fn stop(&mut self) -> anyhow::Result<()> {
        log::info!("Stopping {id}", id = self.client_id);
        self.cancellation_token.cancel();
        self.is_connected.store(false, Ordering::Relaxed);
        Ok(())
    }

    fn reset(&mut self) -> anyhow::Result<()> {
        log::debug!("Resetting {id}", id = self.client_id);

        self.cancellation_token.cancel();

        for task in self.tasks.drain(..) {
            task.abort();
        }

        let mut ws = self.ws_client.clone();
        let mut ws_public = self.ws_public_client.clone();

        get_runtime().spawn(async move {
            let _ = ws.close().await;
            let _ = ws_public.close().await;
        });

        // Clear subscription state so resubscribes issue fresh WS subscribes
        self.mark_price_refs.store(AHashMap::new());
        self.ticker_refs.store(AHashMap::new());
        self.force_order_refs.store(AHashMap::new());
        self.force_order_all_market_refs.store(0, Ordering::Relaxed);
        self.force_order_all_market_stream_active
            .store(false, Ordering::Release);
        self.book_subscriptions.store(AHashMap::new());
        self.l1_book_subscriptions.store(AHashMap::new());
        self.quote_refs.store(AHashMap::new());
        self.book_buffers.store(AHashMap::new());

        self.is_connected.store(false, Ordering::Relaxed);
        self.cancellation_token = CancellationToken::new();
        Ok(())
    }

    fn dispose(&mut self) -> anyhow::Result<()> {
        log::debug!("Disposing {id}", id = self.client_id);
        self.stop()
    }

    async fn connect(&mut self) -> anyhow::Result<()> {
        if self.is_connected() {
            return Ok(());
        }

        register_binance_custom_data();

        // Reinitialize token in case of reconnection after disconnect
        self.cancellation_token = CancellationToken::new();

        Self::refresh_instrument_catalogue(
            &self.http_client,
            &self.config.instrument_provider,
            &self.instruments,
            &self.status_cache,
            &self.ws_client,
            &self.ws_public_client,
            &self.data_sender,
            self.clock,
            false,
        )
        .await?;

        log::info!("Connecting to Binance Futures market WebSocket...");
        self.ws_client.connect().await.map_err(|e| {
            log::error!("Binance Futures market WebSocket connection failed: {e:?}");
            anyhow::anyhow!("failed to connect Binance Futures market WebSocket: {e}")
        })?;
        log::info!("Binance Futures market WebSocket connected");

        log::info!("Connecting to Binance Futures public WebSocket...");
        self.ws_public_client.connect().await.map_err(|e| {
            log::error!("Binance Futures public WebSocket connection failed: {e:?}");
            anyhow::anyhow!("failed to connect Binance Futures public WebSocket: {e}")
        })?;
        log::info!("Binance Futures public WebSocket connected");

        // Spawn market stream handler
        let stream = self.ws_client.stream();
        let sender = self.data_sender.clone();
        let insts = self.instruments.clone();
        let ws_insts = self.ws_client.instruments_cache();
        let buffers = self.book_buffers.clone();
        let book_subs = self.book_subscriptions.clone();
        let l1_book_subs = self.l1_book_subscriptions.clone();
        let force_order_refs = self.force_order_refs.clone();
        let ticker_refs = self.ticker_refs.clone();
        let force_order_all_market_refs = self.force_order_all_market_refs.clone();
        let force_order_all_market_stream_active =
            self.force_order_all_market_stream_active.clone();
        let book_epoch = self.book_epoch.clone();
        let http = self.http_client.clone();
        let clock = self.clock;
        let cancel = self.cancellation_token.clone();

        let handle = get_runtime().spawn(async move {
            pin_mut!(stream);

            loop {
                tokio::select! {
                    Some(message) = stream.next() => {
                        Self::handle_ws_message(
                            message,
                            &sender,
                            &insts,
                            &ws_insts,
                            &buffers,
                            &book_subs,
                            &l1_book_subs,
                            &force_order_refs,
                            &ticker_refs,
                            &force_order_all_market_refs,
                            &force_order_all_market_stream_active,
                            &book_epoch,
                            &http,
                            clock,
                        );
                    }
                    () = cancel.cancelled() => {
                        log::debug!("Market WebSocket stream task cancelled");
                        break;
                    }
                }
            }
        });
        self.tasks.push(handle);

        // Spawn public stream handler (book data)
        let pub_stream = self.ws_public_client.stream();
        let pub_sender = self.data_sender.clone();
        let pub_insts = self.instruments.clone();
        let pub_ws_insts = self.ws_public_client.instruments_cache();
        let pub_buffers = self.book_buffers.clone();
        let pub_book_subs = self.book_subscriptions.clone();
        let pub_l1_book_subs = self.l1_book_subscriptions.clone();
        let pub_force_order_refs = self.force_order_refs.clone();
        let pub_ticker_refs = self.ticker_refs.clone();
        let pub_force_order_all_market_refs = self.force_order_all_market_refs.clone();
        let pub_force_order_all_market_stream_active =
            self.force_order_all_market_stream_active.clone();
        let pub_book_epoch = self.book_epoch.clone();
        let pub_http = self.http_client.clone();
        let pub_cancel = self.cancellation_token.clone();

        let pub_handle = get_runtime().spawn(async move {
            pin_mut!(pub_stream);

            loop {
                tokio::select! {
                    Some(message) = pub_stream.next() => {
                        Self::handle_ws_message(
                            message,
                            &pub_sender,
                            &pub_insts,
                            &pub_ws_insts,
                            &pub_buffers,
                            &pub_book_subs,
                            &pub_l1_book_subs,
                            &pub_force_order_refs,
                            &pub_ticker_refs,
                            &pub_force_order_all_market_refs,
                            &pub_force_order_all_market_stream_active,
                            &pub_book_epoch,
                            &pub_http,
                            clock,
                        );
                    }
                    () = pub_cancel.cancelled() => {
                        log::debug!("Public WebSocket stream task cancelled");
                        break;
                    }
                }
            }
        });
        self.tasks.push(pub_handle);

        // Spawn instrument status polling task
        let poll_secs = self.config.instrument_status_poll_secs;
        if poll_secs > 0 {
            let poll_http = self.http_client.clone();
            let poll_sender = self.data_sender.clone();
            let poll_instruments = self.instruments.clone();
            let poll_status_cache = self.status_cache.clone();
            let poll_cancel = self.cancellation_token.clone();
            let poll_clock = self.clock;

            let poll_handle = get_runtime().spawn(async move {
                let mut interval =
                    tokio::time::interval(tokio::time::Duration::from_secs(poll_secs));
                interval.tick().await; // Skip first immediate tick

                loop {
                    tokio::select! {
                        _ = interval.tick() => {
                            match poll_http.request_symbol_statuses().await {
                                Ok(symbol_statuses) => {
                                    let ts = poll_clock.get_time_ns();
                                    let inst_guard = poll_instruments.load();

                                    // Build raw_symbol -> InstrumentId lookup
                                    let raw_to_id: AHashMap<Ustr, InstrumentId> = inst_guard
                                        .values()
                                        .map(|inst| (inst.raw_symbol().inner(), inst.id()))
                                        .collect();

                                    let mut new_statuses = AHashMap::new();

                                    for (raw_symbol, action) in &symbol_statuses {
                                        if let Some(&id) = raw_to_id.get(raw_symbol) {
                                            new_statuses.insert(id, *action);
                                        }
                                    }
                                    drop(inst_guard);

                                    let mut cache = (**poll_status_cache.load()).clone();
                                    diff_and_emit_statuses(
                                        &new_statuses, &mut cache, &poll_sender, ts, ts,
                                    );
                                    poll_status_cache.store(cache);
                                }
                                Err(e) => {
                                    log::warn!("Futures instrument status poll failed: {e}");
                                }
                            }
                        }
                        () = poll_cancel.cancelled() => {
                            log::debug!("Futures instrument status polling task cancelled");
                            break;
                        }
                    }
                }
            });
            self.tasks.push(poll_handle);
            log::debug!("Futures instrument status polling started: interval={poll_secs}s");
        }

        let refresh_secs = self.config.instrument_refresh_interval_secs;
        if refresh_secs > 0 {
            let http = self.http_client.clone();
            let provider = self.config.instrument_provider.clone();
            let instruments = self.instruments.clone();
            let statuses = self.status_cache.clone();
            let ws = self.ws_client.clone();
            let ws_public = self.ws_public_client.clone();
            let sender = self.data_sender.clone();
            let clock = self.clock;
            let cancel = self.cancellation_token.clone();

            let refresh_handle = get_runtime().spawn(async move {
                let mut interval = tokio::time::interval(Duration::from_secs(refresh_secs));
                interval.tick().await;

                loop {
                    tokio::select! {
                        _ = interval.tick() => {
                            if let Err(e) = Self::refresh_instrument_catalogue(
                                &http,
                                &provider,
                                &instruments,
                                &statuses,
                                &ws,
                                &ws_public,
                                &sender,
                                clock,
                                true,
                            ).await {
                                log::warn!("Binance Futures instrument refresh failed: {e}");
                            }
                        }
                        () = cancel.cancelled() => {
                            log::debug!("Binance Futures instrument refresh task cancelled");
                            break;
                        }
                    }
                }
            });
            self.tasks.push(refresh_handle);
            log::debug!("Futures instrument refresh started: interval={refresh_secs}s");
        }

        self.is_connected.store(true, Ordering::Release);
        log::info!("Connected: client_id={}", self.client_id);
        Ok(())
    }

    async fn disconnect(&mut self) -> anyhow::Result<()> {
        if self.is_disconnected() {
            return Ok(());
        }

        self.cancellation_token.cancel();

        let _ = self.ws_client.close().await;
        let _ = self.ws_public_client.close().await;

        let handles: Vec<_> = std::mem::take(&mut self.tasks);
        for handle in handles {
            if let Err(e) = handle.await {
                log::error!("Error joining WebSocket task: {e}");
            }
        }

        // Clear subscription state so resubscribes issue fresh WS subscribes
        self.mark_price_refs.store(AHashMap::new());
        self.ticker_refs.store(AHashMap::new());
        self.force_order_refs.store(AHashMap::new());
        self.force_order_all_market_refs.store(0, Ordering::Relaxed);
        self.force_order_all_market_stream_active
            .store(false, Ordering::Release);
        self.book_subscriptions.store(AHashMap::new());
        self.l1_book_subscriptions.store(AHashMap::new());
        self.quote_refs.store(AHashMap::new());
        self.book_buffers.store(AHashMap::new());

        self.is_connected.store(false, Ordering::Release);
        log::info!("Disconnected: client_id={}", self.client_id);
        Ok(())
    }

    fn is_connected(&self) -> bool {
        self.is_connected.load(Ordering::Relaxed)
    }

    fn is_disconnected(&self) -> bool {
        !self.is_connected()
    }

    fn subscribe(&mut self, cmd: SubscribeCustomData) -> anyhow::Result<()> {
        let data_type = cmd.data_type.type_name();
        if data_type == "BinanceFuturesTicker" {
            return subscribe_ticker(self, &cmd.data_type);
        }

        if data_type == "BinanceFuturesMarkPriceUpdate" {
            let instrument_id = Self::required_instrument_id_metadata(&cmd.data_type)?;
            anyhow::ensure!(
                instrument_id.venue == self.venue(),
                "Futures mark price requires a BINANCE instrument"
            );
            let should_subscribe = {
                let previous = self
                    .mark_price_refs
                    .load()
                    .get(&instrument_id)
                    .copied()
                    .unwrap_or(0);
                self.mark_price_refs
                    .rcu(|refs| *refs.entry(instrument_id).or_insert(0) += 1);
                previous == 0
            };

            if should_subscribe {
                let ws = self.ws_client.clone();
                let stream = format!(
                    "{}@markPrice@1s",
                    format_binance_stream_symbol(&instrument_id)
                );
                self.spawn_ws(
                    async move {
                        ws.subscribe(vec![stream])
                            .await
                            .context("mark price custom subscription")
                    },
                    "mark price custom subscription",
                );
            }
            return Ok(());
        }

        if data_type != "BinanceFuturesLiquidation" {
            log::warn!("Unsupported custom data subscription: {data_type}");
            return Ok(());
        }

        let instrument_id = Self::custom_liquidation_instrument_id(&cmd.data_type)?;
        if let Some(instrument_id) = instrument_id {
            if instrument_id.venue != self.venue() {
                anyhow::bail!(
                    "Binance liquidation custom data requires BINANCE venue instrument, received {instrument_id}"
                );
            }

            let should_subscribe = {
                let prev = self
                    .force_order_refs
                    .load()
                    .get(&instrument_id)
                    .copied()
                    .unwrap_or(0);
                self.force_order_refs.rcu(|m| {
                    let count = m.entry(instrument_id).or_insert(0);
                    *count += 1;
                });
                prev == 0
            };

            let has_all_market_subscription =
                self.force_order_all_market_refs.load(Ordering::Relaxed) > 0;
            let has_all_market_stream = self
                .force_order_all_market_stream_active
                .load(Ordering::Acquire);

            if should_subscribe && !has_all_market_subscription && !has_all_market_stream {
                let ws = self.ws_client.clone();
                let stream = Self::liquidation_stream(&instrument_id);
                self.spawn_ws(
                    async move {
                        ws.subscribe(vec![stream])
                            .await
                            .context("forceOrder subscription")
                    },
                    "forceOrder subscription",
                );
            } else if should_subscribe && !has_all_market_subscription {
                self.spawn_liquidation_stream_reconcile("forceOrder subscription restore");
            }

            return Ok(());
        }

        let should_subscribe = self
            .force_order_all_market_refs
            .fetch_add(1, Ordering::Relaxed)
            == 0;

        if should_subscribe {
            self.spawn_liquidation_stream_reconcile("all-market forceOrder subscription");
        }

        Ok(())
    }

    fn subscribe_instruments(&mut self, _cmd: SubscribeInstruments) -> anyhow::Result<()> {
        log::debug!(
            "subscribe_instruments: Binance Futures instruments are fetched via HTTP on connect"
        );
        Ok(())
    }

    fn subscribe_instrument(&mut self, _cmd: SubscribeInstrument) -> anyhow::Result<()> {
        log::debug!(
            "subscribe_instrument: Binance Futures instruments are fetched via HTTP on connect"
        );
        Ok(())
    }

    fn subscribe_book_deltas(&mut self, cmd: SubscribeBookDeltas) -> anyhow::Result<()> {
        if cmd.book_type == BookType::L1_MBP {
            anyhow::ensure!(
                cmd.depth.is_none_or(|depth| depth.get() == 1),
                "Binance Futures L1_MBP supports depth 1 only"
            );
            anyhow::ensure!(
                !self.book_subscriptions.contains_key(&cmd.instrument_id),
                "cannot subscribe L1_MBP and L2_MBP for the same Binance Futures instrument"
            );
            self.l1_book_subscriptions.rcu(|subscriptions| {
                *subscriptions.entry(cmd.instrument_id).or_insert(0) += 1;
            });
            self.subscribe_top_of_book(cmd.instrument_id);
            return Ok(());
        }

        if cmd.book_type != BookType::L2_MBP {
            anyhow::bail!("Binance Futures supports L1_MBP and L2_MBP order book subscriptions");
        }
        anyhow::ensure!(
            !self.l1_book_subscriptions.contains_key(&cmd.instrument_id),
            "cannot subscribe L1_MBP and L2_MBP for the same Binance Futures instrument"
        );

        let instrument_id = cmd.instrument_id;
        let depth = cmd.depth.map_or(1000, |d| d.get() as u32);

        if !BINANCE_BOOK_DEPTHS.contains(&depth) {
            anyhow::bail!(
                "Invalid depth {depth} for Binance Futures order book. \
                Valid values: {BINANCE_BOOK_DEPTHS:?}"
            );
        }

        // Track subscription for reconnect handling
        self.book_subscriptions.insert(instrument_id, depth);

        // Bump epoch to invalidate any in-flight snapshot from a prior subscription
        let epoch = {
            let mut guard = self.book_epoch.write().expect(MUTEX_POISONED);
            *guard = guard.wrapping_add(1);
            *guard
        };

        // Start buffering deltas for this instrument
        self.book_buffers
            .insert(instrument_id, BookBuffer::new(epoch));

        log::debug!("OrderBook snapshot rebuild for {instrument_id} @ depth {depth} starting");

        // Subscribe to the unthrottled diff depth stream for Futures.
        let ws = self.ws_public_client.clone();
        let stream = format!("{}@depth@0ms", format_binance_stream_symbol(&instrument_id));

        self.spawn_ws(
            async move {
                ws.subscribe(vec![stream])
                    .await
                    .context("book deltas subscription")
            },
            "order book subscription",
        );

        // Spawn task to fetch HTTP snapshot and replay buffered deltas
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let buffers = self.book_buffers.clone();
        let instruments = self.instruments.clone();
        let clock = self.clock;

        get_runtime().spawn(async move {
            Self::fetch_and_emit_snapshot(
                http,
                sender,
                buffers,
                instruments,
                instrument_id,
                depth,
                epoch,
                clock,
            )
            .await;
        });

        Ok(())
    }

    fn subscribe_quotes(&mut self, cmd: SubscribeQuotes) -> anyhow::Result<()> {
        self.subscribe_top_of_book(cmd.instrument_id);
        Ok(())
    }

    fn subscribe_trades(&mut self, cmd: SubscribeTrades) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client.clone();

        // Binance Futures uses aggTrade for aggregate trades
        let stream = format!("{}@aggTrade", format_binance_stream_symbol(&instrument_id));

        self.spawn_ws(
            async move {
                ws.subscribe(vec![stream])
                    .await
                    .context("trades subscription")
            },
            "trade subscription",
        );
        Ok(())
    }

    fn subscribe_bars(&mut self, cmd: SubscribeBars) -> anyhow::Result<()> {
        let bar_type = cmd.bar_type;
        let ws = self.ws_client.clone();
        let interval = bar_spec_to_binance_interval(bar_type.spec())?;
        anyhow::ensure!(
            interval != crate::common::enums::BinanceKlineInterval::Second1,
            "Binance Futures does not support second-level kline intervals"
        );

        let stream = format!(
            "{}@kline_{}",
            format_binance_stream_symbol(&bar_type.instrument_id()),
            interval.as_str()
        );

        self.spawn_ws(
            async move {
                ws.subscribe(vec![stream])
                    .await
                    .context("bars subscription")
            },
            "bar subscription",
        );
        Ok(())
    }

    fn subscribe_mark_prices(&mut self, cmd: SubscribeMarkPrices) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;

        // Mark/index/funding share the same stream - use ref counting
        let should_subscribe = {
            let prev = self
                .mark_price_refs
                .load()
                .get(&instrument_id)
                .copied()
                .unwrap_or(0);
            self.mark_price_refs.rcu(|m| {
                let count = m.entry(instrument_id).or_insert(0);
                *count += 1;
            });
            prev == 0
        };

        if should_subscribe {
            let ws = self.ws_client.clone();
            let stream = format!(
                "{}@markPrice@1s",
                format_binance_stream_symbol(&instrument_id)
            );

            self.spawn_ws(
                async move {
                    ws.subscribe(vec![stream])
                        .await
                        .context("mark prices subscription")
                },
                "mark prices subscription",
            );
        }
        Ok(())
    }

    fn subscribe_index_prices(&mut self, cmd: SubscribeIndexPrices) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;

        // Mark/index/funding share the same stream - use ref counting
        let should_subscribe = {
            let prev = self
                .mark_price_refs
                .load()
                .get(&instrument_id)
                .copied()
                .unwrap_or(0);
            self.mark_price_refs.rcu(|m| {
                let count = m.entry(instrument_id).or_insert(0);
                *count += 1;
            });
            prev == 0
        };

        if should_subscribe {
            let ws = self.ws_client.clone();
            let stream = format!(
                "{}@markPrice@1s",
                format_binance_stream_symbol(&instrument_id)
            );

            self.spawn_ws(
                async move {
                    ws.subscribe(vec![stream])
                        .await
                        .context("index prices subscription")
                },
                "index prices subscription",
            );
        }
        Ok(())
    }

    fn subscribe_funding_rates(&mut self, cmd: SubscribeFundingRates) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;

        let should_subscribe = {
            let prev = self
                .mark_price_refs
                .load()
                .get(&instrument_id)
                .copied()
                .unwrap_or(0);
            self.mark_price_refs.rcu(|m| {
                let count = m.entry(instrument_id).or_insert(0);
                *count += 1;
            });
            prev == 0
        };

        if should_subscribe {
            let ws = self.ws_client.clone();
            let stream = format!(
                "{}@markPrice@1s",
                format_binance_stream_symbol(&instrument_id)
            );

            self.spawn_ws(
                async move {
                    ws.subscribe(vec![stream])
                        .await
                        .context("funding rates subscription")
                },
                "funding rates subscription",
            );
        }
        Ok(())
    }

    fn subscribe_instrument_status(
        &mut self,
        cmd: SubscribeInstrumentStatus,
    ) -> anyhow::Result<()> {
        log::debug!(
            "subscribe_instrument_status: {id} (status changes detected via periodic exchange info polling)",
            id = cmd.instrument_id,
        );
        Ok(())
    }

    fn unsubscribe_book_deltas(&mut self, cmd: &UnsubscribeBookDeltas) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;

        if let Some(count) = self
            .l1_book_subscriptions
            .load()
            .get(&instrument_id)
            .copied()
        {
            if count == 1 {
                self.l1_book_subscriptions.remove(&instrument_id);
            } else {
                self.l1_book_subscriptions.rcu(|subscriptions| {
                    if let Some(existing) = subscriptions.get_mut(&instrument_id) {
                        *existing -= 1;
                    }
                });
            }
            self.unsubscribe_top_of_book(instrument_id);
            return Ok(());
        }
        let ws = self.ws_public_client.clone();

        // Remove subscription tracking
        self.book_subscriptions.remove(&instrument_id);

        // Remove buffer to prevent snapshot task from emitting after unsubscribe
        self.book_buffers.remove(&instrument_id);

        let symbol_lower = format_binance_stream_symbol(&instrument_id);
        let streams = vec![
            format!("{symbol_lower}@depth"),
            format!("{symbol_lower}@depth@0ms"),
            format!("{symbol_lower}@depth@100ms"),
            format!("{symbol_lower}@depth@500ms"),
        ];

        self.spawn_ws(
            async move {
                ws.unsubscribe(streams)
                    .await
                    .context("book deltas unsubscribe")
            },
            "order book unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_quotes(&mut self, cmd: &UnsubscribeQuotes) -> anyhow::Result<()> {
        self.unsubscribe_top_of_book(cmd.instrument_id);
        Ok(())
    }

    fn unsubscribe_trades(&mut self, cmd: &UnsubscribeTrades) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;
        let ws = self.ws_client.clone();

        let stream = format!("{}@aggTrade", format_binance_stream_symbol(&instrument_id));

        self.spawn_ws(
            async move {
                ws.unsubscribe(vec![stream])
                    .await
                    .context("trades unsubscribe")
            },
            "trade unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe(&mut self, cmd: &UnsubscribeCustomData) -> anyhow::Result<()> {
        let data_type = cmd.data_type.type_name();
        if data_type == "BinanceFuturesTicker" {
            return unsubscribe_ticker(self, &cmd.data_type);
        }

        if data_type == "BinanceFuturesMarkPriceUpdate" {
            let instrument_id = Self::required_instrument_id_metadata(&cmd.data_type)?;
            let should_unsubscribe = match self.mark_price_refs.load().get(&instrument_id).copied()
            {
                Some(1) => {
                    self.mark_price_refs.remove(&instrument_id);
                    true
                }
                Some(count) if count > 1 => {
                    self.mark_price_refs.rcu(|refs| {
                        if let Some(existing) = refs.get_mut(&instrument_id) {
                            *existing -= 1;
                        }
                    });
                    false
                }
                _ => false,
            };

            if should_unsubscribe {
                let ws = self.ws_client.clone();
                let stream = format!(
                    "{}@markPrice@1s",
                    format_binance_stream_symbol(&instrument_id)
                );
                self.spawn_ws(
                    async move {
                        ws.unsubscribe(vec![stream])
                            .await
                            .context("mark price custom unsubscribe")
                    },
                    "mark price custom unsubscribe",
                );
            }
            return Ok(());
        }

        if data_type != "BinanceFuturesLiquidation" {
            log::warn!("Unsupported custom data unsubscription: {data_type}");
            return Ok(());
        }

        let instrument_id = Self::custom_liquidation_instrument_id(&cmd.data_type)?;
        if let Some(instrument_id) = instrument_id {
            if instrument_id.venue != self.venue() {
                anyhow::bail!(
                    "Binance liquidation custom data requires BINANCE venue instrument, received {instrument_id}"
                );
            }

            let should_unsubscribe = {
                let prev = self.force_order_refs.load().get(&instrument_id).copied();
                match prev {
                    Some(1) => {
                        self.force_order_refs.remove(&instrument_id);
                        true
                    }
                    Some(count) if count > 1 => {
                        self.force_order_refs.rcu(|m| {
                            if let Some(existing) = m.get_mut(&instrument_id) {
                                *existing -= 1;
                            }
                        });
                        false
                    }
                    _ => false,
                }
            };

            let has_all_market_subscription =
                self.force_order_all_market_refs.load(Ordering::Relaxed) > 0;
            let has_all_market_stream = self
                .force_order_all_market_stream_active
                .load(Ordering::Acquire);

            if should_unsubscribe && !has_all_market_subscription {
                let ws = self.ws_client.clone();
                let stream = Self::liquidation_stream(&instrument_id);
                let ws_lock = self.force_order_ws_lock.clone();
                self.spawn_ws(
                    async move {
                        let _guard = if has_all_market_stream {
                            Some(ws_lock.lock().await)
                        } else {
                            None
                        };
                        ws.unsubscribe(vec![stream])
                            .await
                            .context("forceOrder unsubscribe")
                    },
                    "forceOrder unsubscribe",
                );
            }

            return Ok(());
        }

        let should_unsubscribe = self
            .force_order_all_market_refs
            .try_update(Ordering::Relaxed, Ordering::Relaxed, |current| {
                if current == 0 {
                    None
                } else {
                    Some(current - 1)
                }
            })
            .is_ok_and(|prev| prev == 1);

        if should_unsubscribe {
            self.spawn_liquidation_stream_reconcile("all-market forceOrder unsubscribe");
        }

        Ok(())
    }

    fn unsubscribe_bars(&mut self, cmd: &UnsubscribeBars) -> anyhow::Result<()> {
        let bar_type = cmd.bar_type;
        let ws = self.ws_client.clone();
        let interval = bar_spec_to_binance_interval(bar_type.spec())?;

        let stream = format!(
            "{}@kline_{}",
            format_binance_stream_symbol(&bar_type.instrument_id()),
            interval.as_str()
        );

        self.spawn_ws(
            async move {
                ws.unsubscribe(vec![stream])
                    .await
                    .context("bars unsubscribe")
            },
            "bar unsubscribe",
        );
        Ok(())
    }

    fn unsubscribe_mark_prices(&mut self, cmd: &UnsubscribeMarkPrices) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;

        // Mark/index/funding share the same stream - use ref counting
        let should_unsubscribe = {
            let prev = self.mark_price_refs.load().get(&instrument_id).copied();
            match prev {
                Some(count) if count <= 1 => {
                    self.mark_price_refs.remove(&instrument_id);
                    true
                }
                Some(_) => {
                    self.mark_price_refs.rcu(|m| {
                        if let Some(count) = m.get_mut(&instrument_id) {
                            *count = count.saturating_sub(1);
                        }
                    });
                    false
                }
                None => false,
            }
        };

        if should_unsubscribe {
            let ws = self.ws_client.clone();
            let symbol_lower = format_binance_stream_symbol(&instrument_id);
            let streams = vec![
                format!("{symbol_lower}@markPrice"),
                format!("{symbol_lower}@markPrice@1s"),
                format!("{symbol_lower}@markPrice@3s"),
            ];

            self.spawn_ws(
                async move {
                    ws.unsubscribe(streams)
                        .await
                        .context("mark prices unsubscribe")
                },
                "mark prices unsubscribe",
            );
        }
        Ok(())
    }

    fn unsubscribe_index_prices(&mut self, cmd: &UnsubscribeIndexPrices) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;

        // Mark/index/funding share the same stream - use ref counting
        let should_unsubscribe = {
            let prev = self.mark_price_refs.load().get(&instrument_id).copied();
            match prev {
                Some(count) if count <= 1 => {
                    self.mark_price_refs.remove(&instrument_id);
                    true
                }
                Some(_) => {
                    self.mark_price_refs.rcu(|m| {
                        if let Some(count) = m.get_mut(&instrument_id) {
                            *count = count.saturating_sub(1);
                        }
                    });
                    false
                }
                None => false,
            }
        };

        if should_unsubscribe {
            let ws = self.ws_client.clone();
            let symbol_lower = format_binance_stream_symbol(&instrument_id);
            let streams = vec![
                format!("{symbol_lower}@markPrice"),
                format!("{symbol_lower}@markPrice@1s"),
                format!("{symbol_lower}@markPrice@3s"),
            ];

            self.spawn_ws(
                async move {
                    ws.unsubscribe(streams)
                        .await
                        .context("index prices unsubscribe")
                },
                "index prices unsubscribe",
            );
        }
        Ok(())
    }

    fn unsubscribe_funding_rates(&mut self, cmd: &UnsubscribeFundingRates) -> anyhow::Result<()> {
        let instrument_id = cmd.instrument_id;

        let should_unsubscribe = {
            let prev = self.mark_price_refs.load().get(&instrument_id).copied();
            match prev {
                Some(count) if count <= 1 => {
                    self.mark_price_refs.remove(&instrument_id);
                    true
                }
                Some(_) => {
                    self.mark_price_refs.rcu(|m| {
                        if let Some(count) = m.get_mut(&instrument_id) {
                            *count = count.saturating_sub(1);
                        }
                    });
                    false
                }
                None => false,
            }
        };

        if should_unsubscribe {
            let ws = self.ws_client.clone();
            let symbol_lower = format_binance_stream_symbol(&instrument_id);
            let streams = vec![
                format!("{symbol_lower}@markPrice"),
                format!("{symbol_lower}@markPrice@1s"),
                format!("{symbol_lower}@markPrice@3s"),
            ];

            self.spawn_ws(
                async move {
                    ws.unsubscribe(streams)
                        .await
                        .context("funding rates unsubscribe")
                },
                "funding rates unsubscribe",
            );
        }
        Ok(())
    }

    fn unsubscribe_instrument_status(
        &mut self,
        cmd: &UnsubscribeInstrumentStatus,
    ) -> anyhow::Result<()> {
        log::debug!(
            "unsubscribe_instrument_status: {id}",
            id = cmd.instrument_id,
        );
        Ok(())
    }

    fn request_instruments(&self, request: RequestInstruments) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instruments_cache = self.instruments.clone();
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let venue = self.venue();
        let start = request.start;
        let end = request.end;
        let params = request.params;
        let clock = self.clock;
        let provider = self.config.instrument_provider.clone();
        let start_nanos = datetime_to_unix_nanos(start);
        let end_nanos = datetime_to_unix_nanos(end);

        get_runtime().spawn(async move {
            match http.request_instruments_with_config(&provider).await {
                Ok(instruments) => {
                    for instrument in &instruments {
                        upsert_instrument(&instruments_cache, instrument.clone());
                    }

                    let response = DataResponse::Instruments(InstrumentsResponse::new(
                        request_id,
                        client_id,
                        venue,
                        instruments,
                        start_nanos,
                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send instruments response: {e}");
                    }
                }
                Err(e) => log::error!("Instruments request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_instrument(&self, request: RequestInstrument) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instruments = self.instruments.clone();
        let instrument_id = request.instrument_id;
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let start = request.start;
        let end = request.end;
        let params = request.params;
        let clock = self.clock;
        let provider = self.config.instrument_provider.clone();
        let start_nanos = datetime_to_unix_nanos(start);
        let end_nanos = datetime_to_unix_nanos(end);

        get_runtime().spawn(async move {
            match http.request_instruments_with_config(&provider).await {
                Ok(all_instruments) => {
                    for instrument in &all_instruments {
                        upsert_instrument(&instruments, instrument.clone());
                    }

                    let instrument = all_instruments
                        .into_iter()
                        .find(|i| i.id() == instrument_id);

                    if let Some(instrument) = instrument {
                        let response = DataResponse::Instrument(Box::new(InstrumentResponse::new(
                            request_id,
                            client_id,
                            instrument.id(),
                            instrument,
                            start_nanos,
                            end_nanos,
                            clock.get_time_ns(),
                            params,
                        )));

                        if let Err(e) = sender.send(DataEvent::Response(response)) {
                            log::error!("Failed to send instrument response: {e}");
                        }
                    } else {
                        log::error!("Instrument not found: {instrument_id}");
                    }
                }
                Err(e) => log::error!("Instrument request failed: {e:?}"),
            }
        });

        Ok(())
    }

    /// Requests Binance futures custom data.
    ///
    /// Spawned fetch failures are logged and no response is emitted, matching
    /// the existing request-path behavior for other Binance adapter requests.
    fn request_data(&self, request: RequestCustomData) -> anyhow::Result<()> {
        let data_type = request.data_type.clone();
        let data_type_name = data_type.type_name().to_string();

        if data_type_name == "BinanceBar" {
            let bar_type = parse_binance_bar_type(&data_type)?;
            anyhow::ensure!(
                bar_type.aggregation_source() == AggregationSource::External,
                "historical BinanceBar requests require EXTERNAL aggregation"
            );
            anyhow::ensure!(
                bar_type.spec().price_type == PriceType::Last,
                "historical BinanceBar requests require LAST price type"
            );
            anyhow::ensure!(
                bar_type.spec().is_time_aggregated(),
                "historical BinanceBar requests require time aggregation"
            );
            let http = self.http_client.clone();
            let sender = self.data_sender.clone();
            let request_id = request.request_id;
            let client_id = request.client_id;
            let start = request.start;
            let end = request.end;
            let limit = request.limit.map(|value| value.get() as u32);
            let params = request.params;
            let clock = self.clock;
            let venue = self.venue();
            let start_nanos = datetime_to_unix_nanos(start);
            let end_nanos = datetime_to_unix_nanos(end);
            get_runtime().spawn(async move {
                match http.request_binance_bars(bar_type, start, end, limit).await {
                    Ok(bars) => {
                        let response = DataResponse::Data(CustomDataResponse::new(
                            request_id,
                            client_id,
                            Some(venue),
                            data_type,
                            bars,
                            start_nanos,
                            end_nanos,
                            clock.get_time_ns(),
                            params,
                        ));

                        if let Err(e) = sender.send(DataEvent::Response(response)) {
                            log::error!("Failed to send BinanceBar response: {e}");
                        }
                    }
                    Err(e) => log::error!("BinanceBar request failed for {bar_type}: {e:?}"),
                }
            });
            return Ok(());
        }

        if data_type_name != "BinanceFuturesOpenInterest"
            && data_type_name != "BinanceFuturesOpenInterestHist"
        {
            log::warn!("Unsupported custom data request: {data_type_name}");
            return Ok(());
        }

        let instrument_id = Self::required_instrument_id_metadata(&data_type)?;

        if instrument_id.venue != self.venue() {
            anyhow::bail!(
                "Binance Futures custom data requires BINANCE venue instrument, received {instrument_id}"
            );
        }

        let period = if data_type_name == "BinanceFuturesOpenInterestHist" {
            Some(Self::required_period_metadata(&data_type)?)
        } else {
            None
        };

        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let request_id = request.request_id;
        let client_id = request.client_id;
        let params = request.params;
        let clock = self.clock;
        let venue = self.venue();
        let limit = request.limit.map(|n| n.get() as u32);
        let start_nanos = datetime_to_unix_nanos(request.start);
        let end_nanos = datetime_to_unix_nanos(request.end);
        let start_ms = request.start.map(|dt| dt.timestamp_millis());
        let end_ms = request.end.map(|dt| dt.timestamp_millis());

        get_runtime().spawn(async move {
            let response = if data_type_name == "BinanceFuturesOpenInterest" {
                let response_data_type = data_type.clone();
                let query = BinanceOpenInterestParams {
                    symbol: format_binance_symbol(&instrument_id),
                };

                match http
                    .open_interest(&query)
                    .await
                    .context("failed to request current open interest from Binance Futures")
                {
                    Ok(open_interest) => {
                        let ts_init = clock.get_time_ns();
                        let open_interest_value = match Self::parse_open_interest_decimal(
                            "open_interest",
                            &open_interest.open_interest,
                        ) {
                            Ok(value) => value,
                            Err(e) => {
                                log::error!(
                                    "Current open interest request failed for {instrument_id}: {e:?}"
                                );
                                return;
                            }
                        };
                        let ts_event = match parse_millis(
                            open_interest.time,
                            "Futures open interest time",
                        ) {
                                Ok(value) => value,
                                Err(e) => {
                                    log::error!(
                                        "Current open interest request failed for {instrument_id}: {e:?}"
                                    );
                                    return;
                                }
                            };
                        let payload = Arc::new(BinanceFuturesOpenInterest::new(
                            instrument_id,
                            open_interest_value,
                            ts_event,
                            ts_init,
                        ));
                        let custom = CustomData::new(payload, response_data_type.clone());

                        Some(DataResponse::Data(CustomDataResponse::new(
                            request_id,
                            client_id,
                            Some(venue),
                            response_data_type,
                            custom,
                            start_nanos,
                            end_nanos,
                            ts_init,
                            params,
                        )))
                    }
                    Err(e) => {
                        log::error!("Current open interest request failed for {instrument_id}: {e:?}");
                        None
                    }
                }
            } else {
                let response_data_type = data_type.clone();
                let period = period.expect("period required for historical open interest");
                let query = match http.product_type() {
                    BinanceProductType::UsdM => BinanceOpenInterestHistParams {
                        symbol: Some(format_binance_symbol(&instrument_id)),
                        pair: None,
                        contract_type: None,
                        period: period.clone(),
                        start_time: start_ms,
                        end_time: end_ms,
                        limit,
                    },
                    BinanceProductType::CoinM => {
                        let (pair, contract_type) =
                            match Self::coinm_open_interest_hist_params(&http, &instrument_id) {
                                Ok(values) => values,
                                Err(e) => {
                                    log::error!(
                                        "Historical open interest request failed for {instrument_id}: {e:?}"
                                    );
                                    return;
                                }
                            };
                        BinanceOpenInterestHistParams {
                            symbol: None,
                            pair: Some(pair),
                            contract_type: Some(contract_type),
                            period: period.clone(),
                            start_time: start_ms,
                            end_time: end_ms,
                            limit,
                        }
                    }
                    product_type => {
                        log::error!(
                            "Historical open interest request failed for {instrument_id}: unsupported product type {product_type:?}"
                        );
                        return;
                    }
                };

                match http
                    .open_interest_hist(&query)
                    .await
                    .context("failed to request historical open interest from Binance Futures")
                {
                    Ok(history) => {
                        let ts_init = clock.get_time_ns();
                        let points: Vec<BinanceFuturesOpenInterestHistPoint> = match history
                            .into_iter()
                            .map(|point| -> anyhow::Result<_> {
                                Ok(BinanceFuturesOpenInterestHistPoint::new(
                                    Self::parse_open_interest_decimal(
                                        "sum_open_interest",
                                        &point.sum_open_interest,
                                    )?,
                                    Self::parse_open_interest_decimal(
                                        "sum_open_interest_value",
                                        &point.sum_open_interest_value,
                                    )?,
                                    parse_millis(
                                        point.timestamp,
                                        "Futures historical open interest timestamp",
                                    )?,
                                ))
                            })
                            .collect()
                        {
                            Ok(points) => points,
                            Err(e) => {
                                log::error!(
                                    "Historical open interest request failed for {instrument_id}: {e:?}"
                                );
                                return;
                            }
                        };
                        let ts_event = points.last().map_or(ts_init, |point| point.ts_event);
                        let payload = Arc::new(BinanceFuturesOpenInterestHist::new(
                            instrument_id,
                            period,
                            points,
                            ts_event,
                            ts_init,
                        ));
                        let custom = CustomData::new(payload, response_data_type.clone());

                        Some(DataResponse::Data(CustomDataResponse::new(
                            request_id,
                            client_id,
                            Some(venue),
                            response_data_type,
                            custom,
                            start_nanos,
                            end_nanos,
                            ts_init,
                            params,
                        )))
                    }
                    Err(e) => {
                        log::error!(
                            "Historical open interest request failed for {instrument_id}: {e:?}"
                        );
                        None
                    }
                }
            };

            if let Some(response) = response
                && let Err(e) = sender.send(DataEvent::Response(response))
            {
                log::error!("Failed to send custom data response: {e}");
            }
        });

        Ok(())
    }

    fn request_trades(&self, request: RequestTrades) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instrument_id = request.instrument_id;
        let limit = request.limit.map(|n| n.get() as u32);
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;
        let start_nanos = datetime_to_unix_nanos(request.start);
        let end_nanos = datetime_to_unix_nanos(request.end);
        let start = request.start;
        let end = request.end;
        anyhow::ensure!(
            limit.is_none_or(|value| value <= 1000),
            "Binance Futures trade limit must not exceed 1000"
        );

        get_runtime().spawn(async move {
            let result = if start.is_some() || end.is_some() {
                http.request_agg_trades(instrument_id, start, end, limit)
                    .await
            } else {
                http.request_trades(instrument_id, limit).await
            };

            match result.context("failed to request trades from Binance Futures") {
                Ok(trades) => {
                    let response = DataResponse::Trades(TradesResponse::new(
                        request_id,
                        client_id,
                        instrument_id,
                        trades,
                        start_nanos,
                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send trades response: {e}");
                    }
                }
                Err(e) => log::error!("Trade request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_funding_rates(&self, request: RequestFundingRates) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instrument_id = request.instrument_id;
        let start = request.start;
        let end = request.end;
        let limit = request.limit.map(|n| n.get() as u32);
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;
        let start_nanos = datetime_to_unix_nanos(start);
        let end_nanos = datetime_to_unix_nanos(end);

        get_runtime().spawn(async move {
            match http
                .request_funding_rates(instrument_id, start, end, limit)
                .await
                .context("failed to request funding rates from Binance Futures")
            {
                Ok(funding_rates) => {
                    let response = DataResponse::FundingRates(FundingRatesResponse::new(
                        request_id,
                        client_id,
                        instrument_id,
                        funding_rates,
                        start_nanos,
                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send funding rates response: {e}");
                    }
                }
                Err(e) => log::error!("Funding rates request failed for {instrument_id}: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_bars(&self, request: RequestBars) -> anyhow::Result<()> {
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let bar_type = request.bar_type;
        let start = request.start;
        let end = request.end;
        let limit = request.limit.map(|n| n.get() as u32);
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;
        let start_nanos = datetime_to_unix_nanos(start);
        let end_nanos = datetime_to_unix_nanos(end);
        anyhow::ensure!(
            bar_type.aggregation_source() == AggregationSource::External,
            "Binance historical bars require EXTERNAL aggregation"
        );
        anyhow::ensure!(
            bar_type.spec().price_type == PriceType::Last,
            "Binance historical bars require LAST price type"
        );
        anyhow::ensure!(
            bar_type.spec().is_time_aggregated(),
            "Binance historical bars require time aggregation"
        );

        get_runtime().spawn(async move {
            let result = http.request_bars(bar_type, start, end, limit).await;

            match result.context("failed to request bars from Binance Futures") {
                Ok(bars) => {
                    let response = DataResponse::Bars(BarsResponse::new(
                        request_id,
                        client_id,
                        bar_type,
                        bars,
                        start_nanos,
                        end_nanos,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send bars response: {e}");
                    }
                }
                Err(e) => log::error!("Bar request failed: {e:?}"),
            }
        });

        Ok(())
    }

    fn request_book_snapshot(&self, request: RequestBookSnapshot) -> anyhow::Result<()> {
        let depth = request.depth.map_or(1000, |value| value.get() as u32);
        anyhow::ensure!(
            BINANCE_BOOK_DEPTHS.contains(&depth),
            "invalid Binance Futures order-book depth {depth}; valid values are {BINANCE_BOOK_DEPTHS:?}"
        );
        let http = self.http_client.clone();
        let sender = self.data_sender.clone();
        let instrument_id = request.instrument_id;
        let request_id = request.request_id;
        let client_id = request.client_id.unwrap_or(self.client_id);
        let params = request.params;
        let clock = self.clock;

        get_runtime().spawn(async move {
            match http.request_book_snapshot(instrument_id, Some(depth)).await {
                Ok(book) => {
                    let response = DataResponse::Book(BookResponse::new(
                        request_id,
                        client_id,
                        instrument_id,
                        book,
                        None,
                        None,
                        clock.get_time_ns(),
                        params,
                    ));

                    if let Err(e) = sender.send(DataEvent::Response(response)) {
                        log::error!("Failed to send book snapshot response: {e}");
                    }
                }
                Err(e) => log::error!("Book snapshot request failed for {instrument_id}: {e:?}"),
            }
        });
        Ok(())
    }
}

impl BinanceFuturesDataClient {
    fn subscribe_top_of_book(&self, instrument_id: InstrumentId) {
        let should_subscribe = {
            let previous = self
                .quote_refs
                .load()
                .get(&instrument_id)
                .copied()
                .unwrap_or(0);
            self.quote_refs
                .rcu(|refs| *refs.entry(instrument_id).or_insert(0) += 1);
            previous == 0
        };

        if should_subscribe {
            let ws = self.ws_public_client.clone();
            let stream = format!(
                "{}@bookTicker",
                format_binance_stream_symbol(&instrument_id)
            );
            self.spawn_ws(
                async move {
                    ws.subscribe(vec![stream])
                        .await
                        .context("top-of-book subscription")
                },
                "top-of-book subscription",
            );
        }
    }

    fn unsubscribe_top_of_book(&self, instrument_id: InstrumentId) {
        let should_unsubscribe = match self.quote_refs.load().get(&instrument_id).copied() {
            Some(1) => {
                self.quote_refs.remove(&instrument_id);
                true
            }
            Some(count) if count > 1 => {
                self.quote_refs.rcu(|refs| {
                    if let Some(existing) = refs.get_mut(&instrument_id) {
                        *existing -= 1;
                    }
                });
                false
            }
            _ => false,
        };

        if should_unsubscribe {
            let ws = self.ws_public_client.clone();
            let stream = format!(
                "{}@bookTicker",
                format_binance_stream_symbol(&instrument_id)
            );
            self.spawn_ws(
                async move {
                    ws.unsubscribe(vec![stream])
                        .await
                        .context("top-of-book unsubscribe")
                },
                "top-of-book unsubscribe",
            );
        }
    }
}

fn subscribe_ticker(client: &BinanceFuturesDataClient, data_type: &DataType) -> anyhow::Result<()> {
    let instrument_id = BinanceFuturesDataClient::required_instrument_id_metadata(data_type)?;
    if instrument_id.venue != client.venue() {
        anyhow::bail!(
            "Binance Futures ticker custom data requires BINANCE venue instrument, received {instrument_id}"
        );
    }

    let should_subscribe = {
        let prev = client
            .ticker_refs
            .load()
            .get(&instrument_id)
            .copied()
            .unwrap_or(0);
        client.ticker_refs.rcu(|m| {
            let count = m.entry(instrument_id).or_insert(0);
            *count += 1;
        });
        prev == 0
    };

    if should_subscribe {
        let ws = client.ws_client.clone();
        let stream = ticker_stream(&instrument_id);
        client.spawn_ws(
            async move {
                ws.subscribe(vec![stream])
                    .await
                    .context("ticker subscription")
            },
            "ticker subscription",
        );
    }

    Ok(())
}

fn unsubscribe_ticker(
    client: &BinanceFuturesDataClient,
    data_type: &DataType,
) -> anyhow::Result<()> {
    let instrument_id = BinanceFuturesDataClient::required_instrument_id_metadata(data_type)?;
    if instrument_id.venue != client.venue() {
        anyhow::bail!(
            "Binance Futures ticker custom data requires BINANCE venue instrument, received {instrument_id}"
        );
    }

    let should_unsubscribe = {
        let prev = client.ticker_refs.load().get(&instrument_id).copied();
        match prev {
            Some(count) if count <= 1 => {
                client.ticker_refs.remove(&instrument_id);
                true
            }
            Some(_) => {
                client.ticker_refs.rcu(|m| {
                    if let Some(count) = m.get_mut(&instrument_id) {
                        *count = count.saturating_sub(1);
                    }
                });
                false
            }
            None => false,
        }
    };

    if should_unsubscribe {
        let ws = client.ws_client.clone();
        let stream = ticker_stream(&instrument_id);
        client.spawn_ws(
            async move {
                ws.unsubscribe(vec![stream])
                    .await
                    .context("ticker unsubscribe")
            },
            "ticker unsubscribe",
        );
    }

    Ok(())
}

fn ticker_data_type(instrument_id: InstrumentId) -> DataType {
    let mut metadata = Params::new();
    metadata.insert(
        "instrument_id".to_string(),
        serde_json::Value::String(instrument_id.to_string()),
    );
    DataType::new(
        "BinanceFuturesTicker",
        Some(metadata),
        Some(instrument_id.to_string()),
    )
}

fn mark_price_data_type(instrument_id: InstrumentId) -> DataType {
    let mut metadata = Params::new();
    metadata.insert(
        "instrument_id".to_string(),
        serde_json::Value::String(instrument_id.to_string()),
    );
    DataType::new(
        "BinanceFuturesMarkPriceUpdate",
        Some(metadata),
        Some(instrument_id.to_string()),
    )
}

fn ticker_stream(instrument_id: &InstrumentId) -> String {
    format!("{}@ticker", format_binance_stream_symbol(instrument_id))
}

#[cfg(test)]
mod tests {
    use rstest::rstest;
    use rust_decimal_macros::dec;

    use super::*;

    #[rstest]
    #[case(0, 250)]
    #[case(1, 500)]
    #[case(2, 1_000)]
    #[case(3, 2_000)]
    #[case(4, 3_000)]
    #[case(5, 3_000)]
    fn test_snapshot_retry_backoff_exponentially_increases_then_caps(
        #[case] retry_count: u32,
        #[case] expected_ms: u64,
    ) {
        assert_eq!(
            futures_snapshot_retry_backoff(retry_count),
            Duration::from_millis(expected_ms)
        );
    }

    #[rstest]
    fn test_parse_order_book_snapshot_skips_invalid_levels() {
        let instrument_id = InstrumentId::from("BTCUSDT-PERP.BINANCE");
        let order_book = BinanceOrderBook {
            last_update_id: 10,
            bids: vec![
                ("not-a-price".to_string(), "1.0".to_string()),
                ("100.00".to_string(), "0.5".to_string()),
            ],
            asks: vec![
                ("101.00".to_string(), "not-a-quantity".to_string()),
                ("102.00".to_string(), "0.7".to_string()),
            ],
            event_time: None,
            transaction_time: None,
        };

        let deltas =
            parse_order_book_snapshot(&order_book, instrument_id, 2, 3, UnixNanos::from(1));

        assert_eq!(deltas.deltas.len(), 3);
        assert_eq!(deltas.deltas[1].order.side, OrderSide::Buy);
        assert_eq!(deltas.deltas[1].order.price.as_decimal(), dec!(100.00));
        assert_eq!(deltas.deltas[1].order.size.as_decimal(), dec!(0.500));
        assert_eq!(deltas.deltas[2].order.side, OrderSide::Sell);
        assert_eq!(deltas.deltas[2].order.price.as_decimal(), dec!(102.00));
        assert_eq!(deltas.deltas[2].order.size.as_decimal(), dec!(0.700));
        assert_eq!(deltas.deltas[2].flags, RecordFlag::F_LAST as u8);
        assert_eq!(deltas.ts_event, UnixNanos::from(1));
        assert_eq!(deltas.ts_init, UnixNanos::from(1));
    }

    #[rstest]
    #[case::negative(-1)]
    #[case::overflow(i64::MAX)]
    fn test_parse_order_book_snapshot_falls_back_for_invalid_timestamp(
        #[case] transaction_time: i64,
    ) {
        let order_book = BinanceOrderBook {
            last_update_id: 10,
            bids: vec![],
            asks: vec![],
            event_time: None,
            transaction_time: Some(transaction_time),
        };

        let ts_init = UnixNanos::from(1);
        let deltas = parse_order_book_snapshot(
            &order_book,
            InstrumentId::from("BTCUSDT-PERP.BINANCE"),
            2,
            3,
            ts_init,
        );

        assert_eq!(deltas.ts_event, ts_init);
        assert_eq!(deltas.ts_init, ts_init);
    }

    #[rstest]
    fn test_parse_order_book_snapshot_all_invalid_levels_marks_clear_last() {
        let instrument_id = InstrumentId::from("BTCUSDT-PERP.BINANCE");
        let order_book = BinanceOrderBook {
            last_update_id: 10,
            bids: vec![("not-a-price".to_string(), "1.0".to_string())],
            asks: vec![("101.00".to_string(), "not-a-quantity".to_string())],
            event_time: None,
            transaction_time: None,
        };

        let deltas =
            parse_order_book_snapshot(&order_book, instrument_id, 2, 3, UnixNanos::from(1));

        assert_eq!(deltas.deltas.len(), 1);
        assert_eq!(deltas.deltas[0].action, BookAction::Clear);
        assert_eq!(
            deltas.deltas[0].flags,
            RecordFlag::F_SNAPSHOT as u8 | RecordFlag::F_LAST as u8
        );
    }
}