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//! Fee schedule implementation for OrderBook trading fees
use serde::{Deserialize, Serialize};
/// Configurable fee schedule for maker and taker fees
///
/// Fees are expressed in basis points (bps), where 1 bps = 0.01% = 0.0001.
/// Negative values represent rebates (common for maker fees to provide liquidity).
///
/// # Examples
///
/// ```
/// use orderbook_rs::FeeSchedule;
///
/// // Standard fee schedule: 5 bps taker fee, 2 bps maker rebate
/// let schedule = FeeSchedule::new(-2, 5);
///
/// // Calculate fee for a $10,000 trade
/// let notional = 10_000_000; // $10,000 in cents/micro-units
/// let taker_fee = schedule.calculate_fee(notional, false);
/// assert_eq!(taker_fee, 5_000); // 5 bps of $10,000 = $5.00
/// ```
#[derive(Debug, Clone, Copy, PartialEq, Eq, Serialize, Deserialize)]
pub struct FeeSchedule {
/// Maker fee in basis points (negative = rebate)
///
/// Positive values charge makers, negative values provide rebates.
/// Typical values range from -10 (rebate) to +10 (fee).
pub maker_fee_bps: i32,
/// Taker fee in basis points
///
/// Always positive or zero. Typical values range from 0 to 50 bps.
pub taker_fee_bps: i32,
}
impl FeeSchedule {
/// Create a new fee schedule
///
/// # Arguments
///
/// * `maker_fee_bps` - Maker fee in basis points (negative for rebates)
/// * `taker_fee_bps` - Taker fee in basis points (must be non-negative)
///
/// # Errors
///
/// Returns `OrderBookError::InvalidFeeRate` if taker fee is negative.
///
/// # Examples
///
/// ```
/// use orderbook_rs::FeeSchedule;
///
/// // Standard exchange fees
/// let schedule = FeeSchedule::new(-2, 5);
/// assert_eq!(schedule.maker_fee_bps, -2);
/// assert_eq!(schedule.taker_fee_bps, 5);
/// ```
#[must_use = "FeeSchedule does nothing unless used"]
pub fn new(maker_fee_bps: i32, taker_fee_bps: i32) -> Self {
Self {
maker_fee_bps,
taker_fee_bps,
}
}
/// Calculate fee amount for a transaction
///
/// # Arguments
///
/// * `notional` - The notional value of the trade (price × quantity)
/// * `is_maker` - true if this is a maker transaction, false for taker
///
/// # Returns
///
/// The fee amount. Positive values represent charges, negative values represent rebates.
///
/// # Examples
///
/// ```
/// use orderbook_rs::FeeSchedule;
///
/// let schedule = FeeSchedule::new(-2, 5);
///
/// // Taker fee: 5 bps on $10,000 = $5.00
/// let taker_fee = schedule.calculate_fee(10_000_000, false);
/// assert_eq!(taker_fee, 5_000);
///
/// // Maker rebate: -2 bps on $10,000 = -$2.00
/// let maker_rebate = schedule.calculate_fee(10_000_000, true);
/// assert_eq!(maker_rebate, -2_000);
/// ```
#[must_use = "Fee calculation result must be used"]
#[inline]
pub fn calculate_fee(&self, notional: u128, is_maker: bool) -> i128 {
let bps = if is_maker {
self.maker_fee_bps
} else {
self.taker_fee_bps
};
// Use checked arithmetic to prevent overflow
// notional can be up to u128::MAX, bps is typically small (-10000 to 10000)
// Result fits in i128 since we divide by 10_000
(notional as i128)
.checked_mul(bps as i128)
.map(|product| product / 10_000)
.unwrap_or(i128::MAX) // Fallback for overflow (shouldn't happen with reasonable inputs)
}
/// Check if this fee schedule provides maker rebates
///
/// # Returns
///
/// true if maker_fee_bps is negative (rebate), false if positive or zero (fee)
#[must_use]
#[inline]
pub fn has_maker_rebate(&self) -> bool {
self.maker_fee_bps < 0
}
/// Check if this fee schedule has zero fees
///
/// # Returns
///
/// true if both maker and taker fees are zero
#[must_use]
#[inline]
pub fn is_zero_fee(&self) -> bool {
self.maker_fee_bps == 0 && self.taker_fee_bps == 0
}
/// Create a zero-fee schedule
///
/// # Returns
///
/// A FeeSchedule with zero fees for both makers and takers
#[must_use]
pub fn zero_fee() -> Self {
Self::new(0, 0)
}
/// Create a fee schedule with only taker fees (common in some exchanges)
///
/// # Arguments
///
/// * `taker_fee_bps` - Taker fee in basis points
///
/// # Returns
///
/// A FeeSchedule with zero maker fee and specified taker fee
#[must_use]
pub fn taker_only(taker_fee_bps: i32) -> Self {
Self::new(0, taker_fee_bps)
}
/// Create a fee schedule with maker rebates
///
/// # Arguments
///
/// * `maker_rebate_bps` - Maker rebate in basis points (positive value, will be negated)
/// * `taker_fee_bps` - Taker fee in basis points
///
/// # Returns
///
/// A FeeSchedule with negative maker fee (rebate) and specified taker fee
#[must_use]
pub fn with_maker_rebate(maker_rebate_bps: i32, taker_fee_bps: i32) -> Self {
Self::new(-maker_rebate_bps.abs(), taker_fee_bps)
}
}
impl Default for FeeSchedule {
fn default() -> Self {
Self::zero_fee()
}
}
#[cfg(test)]
mod tests {
use super::*;
#[test]
fn test_fee_schedule_creation() {
let schedule = FeeSchedule::new(-2, 5);
assert_eq!(schedule.maker_fee_bps, -2);
assert_eq!(schedule.taker_fee_bps, 5);
}
#[test]
fn test_zero_fee() {
let schedule = FeeSchedule::zero_fee();
assert!(schedule.is_zero_fee());
assert_eq!(schedule.maker_fee_bps, 0);
assert_eq!(schedule.taker_fee_bps, 0);
}
#[test]
fn test_taker_only() {
let schedule = FeeSchedule::taker_only(10);
assert_eq!(schedule.maker_fee_bps, 0);
assert_eq!(schedule.taker_fee_bps, 10);
}
#[test]
fn test_maker_rebate() {
let schedule = FeeSchedule::with_maker_rebate(3, 7);
assert_eq!(schedule.maker_fee_bps, -3);
assert_eq!(schedule.taker_fee_bps, 7);
assert!(schedule.has_maker_rebate());
}
#[test]
fn test_calculate_taker_fee() {
let schedule = FeeSchedule::new(-2, 5);
let notional = 100_000_000; // $1,000 in cents
// 5 bps of $1,000 = $0.50 = 50 cents
let fee = schedule.calculate_fee(notional, false);
assert_eq!(fee, 50_000); // 50,000 cents = $500 (assuming cents as base unit)
}
#[test]
fn test_calculate_maker_rebate() {
let schedule = FeeSchedule::new(-2, 5);
let notional = 100_000_000; // $1,000 in cents
// -2 bps of $1,000 = -$0.20 = -20 cents
let rebate = schedule.calculate_fee(notional, true);
assert_eq!(rebate, -20_000); // -20,000 cents = -$200
}
#[test]
fn test_zero_fee_calculation() {
let schedule = FeeSchedule::zero_fee();
let notional = 100_000_000;
assert_eq!(schedule.calculate_fee(notional, true), 0);
assert_eq!(schedule.calculate_fee(notional, false), 0);
}
#[test]
fn test_large_notional() {
let schedule = FeeSchedule::new(1, 1);
let notional = u128::MAX / 10_000 - 1; // Safe large value
let fee = schedule.calculate_fee(notional, false);
assert!(fee > 0);
assert!(fee < i128::MAX);
}
#[test]
fn test_edge_cases() {
let schedule = FeeSchedule::new(-10_000, 10_000); // Maximum reasonable fees
let notional = 10_000; // Small notional
let maker_fee = schedule.calculate_fee(notional, true);
let taker_fee = schedule.calculate_fee(notional, false);
assert_eq!(maker_fee, -10_000); // -100% of notional
assert_eq!(taker_fee, 10_000); // 100% of notional
}
#[test]
fn test_serialization() {
let schedule = FeeSchedule::new(-2, 5);
// Test JSON serialization
let json = serde_json::to_string(&schedule).unwrap();
let deserialized: FeeSchedule = serde_json::from_str(&json).unwrap();
assert_eq!(schedule, deserialized);
}
#[test]
fn test_default() {
let schedule = FeeSchedule::default();
assert!(schedule.is_zero_fee());
}
}