nautilus-coinbase 0.56.0

Coinbase Advanced Trade integration adapter for the Nautilus trading engine
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117

// -------------------------------------------------------------------------------------------------
//  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.
// -------------------------------------------------------------------------------------------------

use std::{sync::LazyLock, time::Duration};

use nautilus_model::identifiers::Venue;
use ustr::Ustr;

pub const COINBASE: &str = "COINBASE";

pub static COINBASE_VENUE: LazyLock<Venue> = LazyLock::new(|| Venue::new(Ustr::from(COINBASE)));

pub const REST_URL: &str = "https://api.coinbase.com";
pub const REST_API_PATH: &str = "/api/v3/brokerage";
pub const WS_URL: &str = "wss://advanced-trade-ws.coinbase.com";
pub const WS_USER_URL: &str = "wss://advanced-trade-ws-user.coinbase.com";

pub const REST_URL_SANDBOX: &str = "https://api-sandbox.coinbase.com";
pub const WS_URL_SANDBOX: &str = "wss://advanced-trade-ws-sandbox.coinbase.com";
pub const WS_USER_URL_SANDBOX: &str = "wss://advanced-trade-ws-user-sandbox.coinbase.com";

pub const JWT_ISSUER: &str = "cdp";

/// Coinbase requires JWT regeneration within 2 minutes
pub const JWT_EXPIRY_SECS: u64 = 120;

pub const ORDER_CONFIG_MARKET_IOC: &str = "market_market_ioc";
pub const ORDER_CONFIG_LIMIT_GTC: &str = "limit_limit_gtc";
pub const ORDER_CONFIG_LIMIT_GTD: &str = "limit_limit_gtd";
pub const ORDER_CONFIG_LIMIT_FOK: &str = "limit_limit_fok";
pub const ORDER_CONFIG_STOP_LIMIT_GTC: &str = "stop_limit_stop_limit_gtc";
pub const ORDER_CONFIG_STOP_LIMIT_GTD: &str = "stop_limit_stop_limit_gtd";
pub const ORDER_CONFIG_BASE_SIZE: &str = "base_size";
pub const ORDER_CONFIG_QUOTE_SIZE: &str = "quote_size";
pub const ORDER_CONFIG_LIMIT_PRICE: &str = "limit_price";
pub const ORDER_CONFIG_STOP_PRICE: &str = "stop_price";
pub const ORDER_CONFIG_POST_ONLY: &str = "post_only";
pub const ORDER_CONFIG_END_TIME: &str = "end_time";

/// Maximum page size accepted by Coinbase's `/accounts` endpoint.
pub const ACCOUNTS_PAGE_LIMIT: &str = "250";

/// `order_status` filter value for Coinbase's `/orders/historical/batch`
/// endpoint; selects orders the venue considers `OPEN`.
pub const ORDER_STATUS_OPEN: &str = "OPEN";

pub const HTTP_TIMEOUT: Duration = Duration::from_secs(10);

/// WebSocket control-frame ping interval, in seconds.
pub const WS_HEARTBEAT_SECS: u64 = 30;

pub const RECONNECT_BASE_BACKOFF: Duration = Duration::from_millis(250);
pub const RECONNECT_MAX_BACKOFF: Duration = Duration::from_secs(30);
pub const RECONNECT_JITTER_MS: u64 = 200;
pub const RECONNECT_BACKOFF_FACTOR: f64 = 2.0;
pub const RECONNECT_TIMEOUT: Duration = Duration::from_secs(15);

/// Maximum time the client waits for the feed handler task to drain on
/// disconnect before forcibly aborting.
pub const WS_DISCONNECT_TIMEOUT: Duration = Duration::from_secs(5);

/// Coinbase disconnects if no subscription within 5 seconds
pub const WS_SUBSCRIBE_DEADLINE: Duration = Duration::from_secs(5);

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

    use super::*;

    #[rstest]
    fn test_venue_constant() {
        assert_eq!(COINBASE_VENUE.as_str(), COINBASE);
    }

    #[rstest]
    fn test_url_constants() {
        assert!(REST_URL.starts_with("https://"));
        assert!(WS_URL.starts_with("wss://"));
        assert!(WS_USER_URL.starts_with("wss://"));
    }

    #[rstest]
    fn test_timeout_constants() {
        assert_eq!(HTTP_TIMEOUT, Duration::from_secs(10));
        assert_eq!(WS_HEARTBEAT_SECS, 30);
        assert_eq!(WS_SUBSCRIBE_DEADLINE, Duration::from_secs(5));
    }

    #[rstest]
    fn test_order_configuration_constants() {
        assert_eq!(ORDER_CONFIG_MARKET_IOC, "market_market_ioc");
        assert_eq!(ORDER_CONFIG_LIMIT_GTC, "limit_limit_gtc");
        assert_eq!(ORDER_CONFIG_LIMIT_GTD, "limit_limit_gtd");
        assert_eq!(ORDER_CONFIG_LIMIT_FOK, "limit_limit_fok");
        assert_eq!(ORDER_CONFIG_STOP_LIMIT_GTC, "stop_limit_stop_limit_gtc");
        assert_eq!(ORDER_CONFIG_STOP_LIMIT_GTD, "stop_limit_stop_limit_gtd");
        assert_eq!(ORDER_CONFIG_BASE_SIZE, "base_size");
        assert_eq!(ORDER_CONFIG_QUOTE_SIZE, "quote_size");
        assert_eq!(ORDER_CONFIG_LIMIT_PRICE, "limit_price");
        assert_eq!(ORDER_CONFIG_STOP_PRICE, "stop_price");
        assert_eq!(ORDER_CONFIG_POST_ONLY, "post_only");
        assert_eq!(ORDER_CONFIG_END_TIME, "end_time");
    }
}