Skip to main content

rustrade_execution/
lib.rs

1#![forbid(unsafe_code)]
2#![deny(
3    clippy::unwrap_used,
4    clippy::expect_used,
5    clippy::cast_possible_truncation,
6    clippy::cast_sign_loss
7)]
8#![warn(
9    unused,
10    clippy::cognitive_complexity,
11    unused_crate_dependencies,
12    unused_extern_crates,
13    clippy::unused_self,
14    clippy::useless_let_if_seq,
15    missing_debug_implementations,
16    rust_2018_idioms
17)]
18// Inherited from the barter-rs upstream: the generic, trait-heavy public API legitimately produces
19// complex nested types and many-argument constructors, and `type_alias_bounds` fires on
20// documentation-bearing alias bounds kept intentionally. Denying these adds churn without improving
21// the API.
22#![allow(clippy::type_complexity, clippy::too_many_arguments, type_alias_bounds)]
23// Clippy 1.99 checks each field's span rather than the whole expression's, so the
24// `Self { field: field }` that `derive_more::Constructor` expands to is reported at our own
25// field declarations. Remove once rust-lang/rust-clippy#17525 is fixed in a stable release.
26#![allow(clippy::redundant_field_names)]
27
28//! # Barter-Execution
29//! Stream private account data from financial venues, and execute (live or mock) orders. Also provides
30//! a feature rich MockExchange and MockExecutionClient to assist with backtesting and paper-trading.
31//!
32//! **It is:**
33//! * **Easy**: ExecutionClient trait provides a unified and simple language for interacting with exchanges.
34//! * **Normalised**: Allow your strategy to communicate with every real or MockExchange using the same interface.
35//! * **Extensible**: Barter-Execution is highly extensible, making it easy to contribute by adding new exchange integrations!
36//!
37//! See `README.md` for more information and examples.
38
39// Silence unused_crate_dependencies for dev-dependencies used only in tests
40#[cfg(test)]
41use serial_test as _;
42#[cfg(test)]
43use temp_env as _;
44#[cfg(test)]
45use tokio_tungstenite as _;
46#[cfg(test)]
47use tracing_subscriber as _;
48#[cfg(test)]
49use wiremock as _;
50
51use crate::{
52    balance::{AssetBalance, AssetBalanceUpdate},
53    error::StreamTerminationReason,
54    order::{Order, OrderSnapshot, request::OrderResponseCancel},
55    position::PositionReport,
56    trade::Trade,
57};
58use chrono::{DateTime, Utc};
59use derive_more::{Constructor, From};
60use order::state::OrderState;
61use rust_decimal::Decimal;
62use rustrade_instrument::{
63    asset::{AssetIndex, name::AssetNameExchange},
64    exchange::{ExchangeId, ExchangeIndex},
65    instrument::{InstrumentIndex, name::InstrumentNameExchange},
66};
67use rustrade_integration::collection::snapshot::Snapshot;
68use serde::{Deserialize, Serialize};
69// Only `emit_stream_terminated` (and its tests) name `mpsc`, both gated to the venue features —
70// gate the import the same way so the default-empty feature set does not warn it as unused.
71#[cfg(any(
72    feature = "alpaca",
73    feature = "binance",
74    feature = "ibkr",
75    feature = "hyperliquid"
76))]
77use tokio::sync::mpsc;
78
79pub mod balance;
80pub mod borrow_capacity;
81pub use borrow_capacity::BorrowCapacity;
82pub mod cash_flow;
83pub use cash_flow::{CashFlow, CashFlowId, CashFlowKind, CashFlowsRead, InterestTiming};
84pub mod client;
85pub mod error;
86pub mod exchange;
87pub mod fee;
88pub use fee::{
89    FeeAssetConfig, FeeAssetConfigError, FeeModel, FeeModelConfig, Liquidity, PerContractFeeModel,
90    PercentageFeeModel, SpotFeeAsset, ZeroFeeModel,
91};
92pub mod fill;
93pub use fill::{
94    BidAskFillModel, FillContext, FillModel, LastPriceFillModel, MarketOrderTiming,
95    MidpointFillModel, NextBarPrice, SimFillConfig,
96};
97pub mod fill_recovery;
98pub use fill_recovery::{FillRecoveryFailure, FillRecoveryGap, FillRecoveryScope};
99pub mod holding_cost;
100pub use holding_cost::{
101    AccrualDays, BorrowFeeModel, DailyAccrual, DayCount, FinancingModel, FinancingRates,
102    FundingModel, HeldPosition, HoldingCharge, HoldingCostModel, HolidayCalendar, RateSeries,
103    RateSeriesUnsorted, SettlementCalendar, WeekendsOnly,
104};
105pub mod indexer;
106pub mod map;
107pub mod margin;
108pub use margin::{
109    InterestCharge, InterestDue, InterestSchedule, MarginEffect, MarginInterestModel,
110    PeriodicMarginInterest, SpotMarginConfig, SpotMarginConfigError,
111};
112pub mod market;
113pub use market::{MarketBar, MarketDepth, MarketObservation, MarketSnapshot};
114pub mod notice;
115pub use notice::{AccountNotice, NoticeKind};
116pub mod order;
117pub mod position;
118pub mod reduce_only;
119pub mod rules;
120pub use rules::{OrderRules, PreSendRules, ValueRule};
121pub mod shortability;
122pub mod slippage;
123pub use shortability::{Shortability, ShortabilityProvider, ShortabilityTable};
124pub use slippage::{SlippageConfig, SlippageConfigError};
125pub mod trade;
126
127/// Convenient type alias for an [`AccountEvent`] keyed with [`ExchangeId`],
128/// [`AssetNameExchange`], and [`InstrumentNameExchange`].
129pub type UnindexedAccountEvent =
130    AccountEvent<ExchangeId, AssetNameExchange, InstrumentNameExchange>;
131
132/// Convenient type alias for an [`AccountSnapshot`] keyed with [`ExchangeId`],
133/// [`AssetNameExchange`], and [`InstrumentNameExchange`].
134pub type UnindexedAccountSnapshot =
135    AccountSnapshot<ExchangeId, AssetNameExchange, InstrumentNameExchange>;
136
137#[derive(Debug, Clone, PartialEq, Deserialize, Serialize)]
138pub struct AccountEvent<
139    ExchangeKey = ExchangeIndex,
140    AssetKey = AssetIndex,
141    InstrumentKey = InstrumentIndex,
142> {
143    pub exchange: ExchangeKey,
144    pub kind: AccountEventKind<ExchangeKey, AssetKey, InstrumentKey>,
145}
146
147impl<ExchangeKey, AssetKey, InstrumentKey> AccountEvent<ExchangeKey, AssetKey, InstrumentKey> {
148    pub fn new<K>(exchange: ExchangeKey, kind: K) -> Self
149    where
150        K: Into<AccountEventKind<ExchangeKey, AssetKey, InstrumentKey>>,
151    {
152        Self {
153            exchange,
154            kind: kind.into(),
155        }
156    }
157
158    /// Named constructor for the terminal [`StreamTerminated`](AccountEventKind::StreamTerminated)
159    /// event carrying the given [`StreamTerminationReason`].
160    pub(crate) fn stream_terminated(
161        exchange: ExchangeKey,
162        reason: StreamTerminationReason,
163    ) -> Self {
164        Self {
165            exchange,
166            kind: AccountEventKind::StreamTerminated(reason),
167        }
168    }
169}
170
171/// Best-effort in-band emit of a terminal
172/// [`StreamTerminated`](AccountEventKind::StreamTerminated) on the account-event channel, sent just
173/// before a venue's stream task exits so stream death is delivered in-band rather than inferred from
174/// channel EOF.
175///
176/// Shared by the channel-based venue connectors (Binance spot/margin, Alpaca, IBKR, Hyperliquid)
177/// so the single send of the terminal event lives in one place, at the abstraction level where
178/// [`AccountEvent`] is defined rather than inside any one vendor module. (The Mock client yields
179/// into a `Stream` rather than an mpsc channel, so it builds the terminal event via
180/// `UnindexedAccountEvent::stream_terminated` directly and does not funnel through this helper.)
181/// The send is best-effort: if the consumer already dropped the receiver it is a silent no-op —
182/// which is the consumer-initiated-drop case, deliberately *not* signalled (there is no one left
183/// to deliver to).
184//
185// Gated to the venues that send terminal events through an mpsc channel from a spawned stream task,
186// so the crate's default-empty feature set does not warn this as unused (mirrors `parse_env_bool`
187// below). The Mock client is always compiled but is excluded by design — see the note above.
188#[cfg(any(
189    feature = "alpaca",
190    feature = "binance",
191    feature = "ibkr",
192    feature = "hyperliquid"
193))]
194pub(crate) fn emit_stream_terminated(
195    tx: &mpsc::UnboundedSender<UnindexedAccountEvent>,
196    exchange: ExchangeId,
197    reason: StreamTerminationReason,
198) {
199    let _ = tx.send(UnindexedAccountEvent::stream_terminated(exchange, reason));
200}
201
202/// Parse a boolean environment-variable value using the single cross-venue policy.
203///
204/// Accepts only `"true"` / `"false"` (case-insensitive, surrounding whitespace trimmed); every other
205/// value returns `None` so the caller can surface an explicit "must be true or false" error rather
206/// than silently coercing. Deliberately does **not** accept `"1"`/`"0"` or other truthy spellings —
207/// one strict, unambiguous spelling shared by every venue's `from_env` (Alpaca `ALPACA_PAPER`,
208/// Binance `BINANCE_TESTNET`, Hyperliquid `HYPERLIQUID_TESTNET`) keeps the network-selection toggle
209/// impossible to misread.
210//
211// Gated to the venues that read env-bool toggles so the crate's default-empty feature set does not
212// warn this as unused.
213#[cfg(any(feature = "alpaca", feature = "binance", feature = "hyperliquid"))]
214pub(crate) fn parse_env_bool(value: &str) -> Option<bool> {
215    let trimmed = value.trim();
216    if trimmed.eq_ignore_ascii_case("true") {
217        Some(true)
218    } else if trimmed.eq_ignore_ascii_case("false") {
219        Some(false)
220    } else {
221        None
222    }
223}
224
225#[derive(Debug, Clone, PartialEq, Deserialize, Serialize, From)]
226#[non_exhaustive]
227pub enum AccountEventKind<ExchangeKey, AssetKey, InstrumentKey> {
228    /// Full [`AccountSnapshot`] - replaces all existing state.
229    Snapshot(AccountSnapshot<ExchangeKey, AssetKey, InstrumentKey>),
230
231    /// Single [`AssetBalance`] snapshot - replaces existing balance state.
232    ///
233    /// Sourced from a REST account snapshot: carries the **full** balance including any per-asset
234    /// margin debt (`borrowed`/`interest`). This is the authoritative source for debt totals.
235    BalanceSnapshot(Snapshot<AssetBalance<AssetKey>>),
236
237    /// Single [`AssetBalanceUpdate`] - applies a WS partial (`free`/`locked` only).
238    ///
239    /// Sourced from an exchange WS user-data stream (e.g. Binance `outboundAccountPosition`). It
240    /// carries **no** margin debt, so applying it updates `free`/`locked` while **preserving** any
241    /// existing [`MarginDetails`](balance::MarginDetails) — debt cannot be silently clobbered by a
242    /// stream update. Debt totals remain as fresh as the last [`BalanceSnapshot`](Self::BalanceSnapshot).
243    BalanceStreamUpdate(Snapshot<AssetBalanceUpdate<AssetKey>>),
244
245    /// Live per-instrument isolated-margin balance update (`free`/`locked` of one asset of a pair).
246    ///
247    /// The stream counterpart of [`InstrumentAccountSnapshot::isolated`] for venues with per-pair
248    /// isolated sub-accounts (e.g. Binance isolated margin). Carries a point-in-time `free`/`locked`
249    /// **snapshot** of one of the pair's assets — NOT a delta — keyed by instrument as well as
250    /// asset, because isolated balances are per-`(pair, asset)` and cannot be folded into the
251    /// asset-keyed balance state without collision (see [`InstrumentBalanceUpdate`]).
252    ///
253    /// The engine deliberately does **not** store this (the per-asset balance state is informational
254    /// only and the engine never reads it for sizing/gating); a consumer reads it off the account
255    /// event feed. Debt totals stay as fresh as the last
256    /// [`BalanceSnapshot`](Self::BalanceSnapshot) per the debt-freshness contract.
257    InstrumentBalanceUpdate(InstrumentBalanceUpdate<AssetKey, InstrumentKey>),
258
259    /// Single [`Order`] snapshot - used to upsert existing order state if it's more recent.
260    ///
261    /// This variant covers general order updates, and open order responses.
262    OrderSnapshot(Snapshot<Order<ExchangeKey, InstrumentKey, OrderState<AssetKey, InstrumentKey>>>),
263
264    /// Response to an [`OrderRequestCancel<ExchangeKey, InstrumentKey>`](order::request::OrderRequestOpen).
265    OrderCancelled(OrderResponseCancel<ExchangeKey, AssetKey, InstrumentKey>),
266
267    /// [`Order<ExchangeKey, InstrumentKey, Open>`] partial or full-fill.
268    ///
269    /// The fee asset (`AssetKey`) may be the quote asset, base asset, or a third-party
270    /// asset (e.g., BNB on Binance). Use `fees.fees_quote` for quote-equivalent value
271    /// when available.
272    Trade(Trade<AssetKey, InstrumentKey>),
273
274    /// The account event stream has ended; no further events will arrive on it.
275    ///
276    /// This is the in-band, programmatic signal that a stream died — delivered on the **same**
277    /// account feed as every other event rather than being inferred from channel EOF or read from
278    /// logs. The [`StreamTerminationReason`] distinguishes a venue that exhausted its reconnect
279    /// budget from an unrecoverable error, so the consumer can apply its own recovery policy
280    /// (re-establish the stream, re-sync via REST, halt trading). The library reports *that* and
281    /// *why* the stream ended; it does not prescribe the response.
282    ///
283    /// Only terminations deliverable while the consumer is still listening are signalled: a
284    /// consumer-initiated drop closes the receiver, so there is no one left to deliver to (see
285    /// [`StreamTerminationReason`] for the deliverable-only rationale).
286    StreamTerminated(StreamTerminationReason),
287
288    /// Fill recovery gave up on a span of fills: fills in it may not have been delivered.
289    ///
290    /// Sent by venues that recover missed fills after a reconnect (Binance Spot and Margin,
291    /// Alpaca) when a recovery read fails for good, once per failed read. The stream carries on.
292    /// The engine logs it and changes no state; reconciling is the consumer's policy. See
293    /// [`FillRecoveryGap`] for what the span covers and how to read it again.
294    FillRecoveryGaveUp(FillRecoveryGap<InstrumentKey>),
295
296    /// A trade delivered earlier was busted or corrected by the venue.
297    ///
298    /// The earlier [`Trade`](Self::Trade) is not withdrawn, so state built on it is wrong until
299    /// the consumer applies this. The engine logs it and changes no state; reversing the trade is
300    /// the consumer's policy. See [`TradeAmendment`](trade::TradeAmendment).
301    TradeAmended(trade::TradeAmendment<AssetKey, InstrumentKey>),
302
303    /// An attempt to re-initialise the account stream after it ended failed. Attempts continue
304    /// with backoff.
305    ///
306    /// Sent by a consumer that re-initialises the account stream itself, such as the `rustrade`
307    /// crate's `ExecutionManager`, once per failed attempt and in order with the other account
308    /// events. It reports that the account link is still down, so it is not evidence the link is
309    /// up. The engine logs it and changes no state. How long to keep waiting, and whether to halt
310    /// or alert, is the consumer's policy. See [`AccountReinitFailure`](error::AccountReinitFailure).
311    ReinitFailed(error::AccountReinitFailure<AssetKey, InstrumentKey>),
312
313    /// Cash moved into or out of the account other than by a trade: funding, interest, a borrow
314    /// fee or a rebate, as the venue posted it.
315    ///
316    /// A flow is a delta, signed positive when the account received it. The engine adds a flow
317    /// attributed to an instrument to the `carry` of that instrument's open position (see
318    /// `Position::carry` in `rustrade`), and applies none to balances: the venue's balances already
319    /// include what it has posted. See [`CashFlow`] for which venues send it.
320    CashFlow(cash_flow::CashFlow<AssetKey, InstrumentKey>),
321
322    /// The venue reported a change in the account's margin or liquidation state: a margin call, a
323    /// liquidation warning, a liquidation under way, or that one of those no longer holds.
324    ///
325    /// A notice changes no balance or position. The engine logs it, at `warn` when
326    /// [`NoticeKind::is_escalation`] and at `info` otherwise, and changes no state; what to do
327    /// about it is the consumer's policy. A notice sent while the stream was disconnected is not
328    /// recovered. See [`AccountNotice`] for which venues send it.
329    Notice(notice::AccountNotice<InstrumentKey>),
330}
331
332impl<ExchangeKey, AssetKey, InstrumentKey> AccountEvent<ExchangeKey, AssetKey, InstrumentKey>
333where
334    AssetKey: Eq,
335    InstrumentKey: Eq,
336{
337    pub fn snapshot(self) -> Option<AccountSnapshot<ExchangeKey, AssetKey, InstrumentKey>> {
338        match self.kind {
339            AccountEventKind::Snapshot(snapshot) => Some(snapshot),
340            _ => None,
341        }
342    }
343}
344
345#[derive(
346    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
347)]
348pub struct AccountSnapshot<
349    ExchangeKey = ExchangeIndex,
350    AssetKey = AssetIndex,
351    InstrumentKey = InstrumentIndex,
352> {
353    pub exchange: ExchangeKey,
354    pub balances: Vec<AssetBalance<AssetKey>>,
355    pub instruments: Vec<InstrumentAccountSnapshot<ExchangeKey, AssetKey, InstrumentKey>>,
356}
357
358/// serde `default` for an `Option` field whose inner type is generic — returns `None` without
359/// requiring the inner type to be `Default` (see the `isolated` field below).
360fn none_option<T>() -> Option<T> {
361    None
362}
363
364/// One instrument's slice of an [`AccountSnapshot`]: its orders, and its position or isolated
365/// balances where the venue has them.
366#[derive(
367    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
368)]
369pub struct InstrumentAccountSnapshot<
370    ExchangeKey = ExchangeIndex,
371    AssetKey = AssetIndex,
372    InstrumentKey = InstrumentIndex,
373> {
374    pub instrument: InstrumentKey,
375    /// Orders the venue reported for this instrument, keyed by the `ClientOrderId` the order was
376    /// placed with where the venue reports it.
377    ///
378    /// Whether this is **every** order open at the venue is stated by
379    /// [`orders_complete`](Self::orders_complete), not implied by the list.
380    #[serde(default = "Vec::new")]
381    pub orders: Vec<OrderSnapshot<ExchangeKey, AssetKey, InstrumentKey>>,
382    /// `true` only when [`orders`](Self::orders) lists every order open at the venue for this
383    /// instrument when it was read, each under the `ClientOrderId` it was placed with.
384    ///
385    /// A consumer may then read an order's **absence** as "no longer open": it filled, was
386    /// cancelled or expired. The engine does exactly that, retiring a tracked order a complete
387    /// list omits. A wrong `true` therefore retires live orders, so a client sets it only when
388    /// nothing can be missing:
389    /// - the read covered every open order, with no page cap or partial result;
390    /// - no open order was dropped on conversion;
391    /// - each order carries the id it was placed with, so a tracked order can be found in it.
392    ///
393    /// `false` claims nothing about absent orders, and is the default for a snapshot that does not
394    /// say.
395    #[serde(default)]
396    pub orders_complete: bool,
397    /// The venue's position in this instrument, for any instrument whose holding the venue
398    /// tracks separately from cash balances: perpetuals, futures, options, and equities (e.g.
399    /// Alpaca).
400    ///
401    /// [`PositionReport::Unreported`] when the venue does not report positions, for holdings
402    /// reported as asset balances instead, such as spot crypto, and when the read could not
403    /// establish the position. [`PositionReport::Flat`] is a claim that the venue holds none, so
404    /// a client reports it only when it read every position the venue has for the instrument. See
405    /// each client's `account_snapshot` for what it reports.
406    ///
407    /// A client that reports positions lists each instrument it was asked for whose position it
408    /// can establish, flat ones included. An instrument it leaves out, like one it reports as
409    /// `Unreported`, is unknown, never flat: a client can be unable to establish a position (see
410    /// its `account_snapshot`). Asked for all instruments (an empty list), it may list only those
411    /// with something to report.
412    #[serde(default, skip_serializing_if = "PositionReport::is_unreported")]
413    pub position: PositionReport,
414    /// Per-pair isolated-margin balances and risk, for venues with isolated sub-accounts
415    /// (e.g. Binance isolated margin). `None` for cross margin, spot, and all other contexts.
416    ///
417    /// Surfaced here — attached to the instrument — rather than folded into the asset-keyed
418    /// [`AccountSnapshot::balances`] because isolated sub-accounts are per-`(pair, asset)`: the same
419    /// asset (e.g. `USDT`) in two isolated pairs is a separate pool, which the asset-keyed balance
420    /// model cannot represent without collision. The engine does not store this; a consumer reads
421    /// it off the snapshot to compose per-pair risk. See [`IsolatedInstrumentState`].
422    ///
423    // `default = "none_option"` (not a bare `#[serde(default)]`) avoids serde inferring a spurious
424    // `AssetKey: Default` bound: a bare default on a generic-typed field conservatively requires the
425    // field type to be `Default` (the `position` field escapes this only because `PositionReport` is
426    // concrete). Naming a function makes serde *call* it instead, requiring only `AssetKey: Deserialize`.
427    #[serde(default = "none_option", skip_serializing_if = "Option::is_none")]
428    pub isolated: Option<IsolatedInstrumentState<AssetKey>>,
429}
430
431/// Per-pair isolated-margin state attached to an [`InstrumentAccountSnapshot`].
432///
433/// Binance isolated margin (and other CEX isolated/per-pair sub-accounts) hold balances
434/// per-`(pair, asset)`, not per-asset, so they are surfaced attached to the instrument rather than
435/// in the asset-keyed [`AccountSnapshot::balances`]. A consumer composes per-pair risk from `base`,
436/// `quote`, and `risk`.
437#[derive(
438    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
439)]
440pub struct IsolatedInstrumentState<AssetKey = AssetIndex> {
441    /// Base-asset balance of the pair's isolated sub-account (carries per-asset debt).
442    pub base: AssetBalance<AssetKey>,
443    /// Quote-asset balance of the pair's isolated sub-account (carries per-asset debt).
444    pub quote: AssetBalance<AssetKey>,
445    /// Per-pair risk metrics — snapshot-fresh, not live (see [`IsolatedMarginRisk`]).
446    pub risk: IsolatedMarginRisk,
447}
448
449/// Per-pair isolated-margin risk metrics, surfaced on [`IsolatedInstrumentState`].
450///
451/// Every field is `Option` — a venue may omit any given metric, and a missing metric must not
452/// drop the surrounding balance snapshot.
453///
454/// # Freshness
455/// These are **snapshot-only**: authoritative as of the last `account_snapshot` and refreshed on
456/// snapshot. Unlike balances, there is **no live-stream twin** — the WS `outboundAccountPosition`
457/// frame carries no margin-level / liquidation data. The live signal for risk crossing a threshold
458/// is the venue's `MARGIN_LEVEL_STATUS_CHANGE` event (surfaced observably, not accumulated here).
459#[derive(
460    Debug,
461    Copy,
462    Clone,
463    PartialEq,
464    Eq,
465    PartialOrd,
466    Ord,
467    Hash,
468    Default,
469    Deserialize,
470    Serialize,
471    Constructor,
472)]
473pub struct IsolatedMarginRisk {
474    /// Margin level of the isolated pair (collateral-to-debt ratio); higher is safer.
475    pub margin_level: Option<Decimal>,
476    /// Margin ratio of the isolated pair.
477    pub margin_ratio: Option<Decimal>,
478    /// Estimated liquidation price for the isolated pair.
479    pub liquidation_price: Option<Decimal>,
480}
481
482/// Live per-instrument isolated-margin balance update payload (the
483/// [`AccountEventKind::InstrumentBalanceUpdate`] counterpart of [`IsolatedInstrumentState`]).
484///
485/// Carries a point-in-time `free`/`locked` **snapshot** of one asset (the pair's base or its
486/// quote) in the pair's isolated sub-account — NOT a delta. It is the per-instrument counterpart of
487/// [`AccountEventKind::BalanceStreamUpdate`]: one event per asset, so a venue frame that lists only
488/// the asset that changed yields one event, and a frame listing both yields two. Apply each one
489/// to the `(instrument, asset)` it names and leave the pair's other asset as it was. Which side
490/// it is follows from comparing [`AssetBalanceUpdate::asset`] with the instrument's base and
491/// quote. The two events from one frame share a `time_exchange` but arrive separately, so a
492/// consumer can see one side updated before the other.
493///
494/// It carries no debt, so applying it keeps `free`/`locked` live while preserving any known
495/// per-asset debt (use [`Balance::apply_stream_update`](balance::Balance::apply_stream_update)).
496#[derive(
497    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
498)]
499pub struct InstrumentBalanceUpdate<AssetKey = AssetIndex, InstrumentKey = InstrumentIndex> {
500    /// Instrument (isolated pair) the update applies to.
501    pub instrument: InstrumentKey,
502    /// `free`/`locked` of one of the pair's assets in its isolated sub-account.
503    pub balance: AssetBalanceUpdate<AssetKey>,
504}
505
506impl<ExchangeKey, AssetKey, InstrumentKey> AccountSnapshot<ExchangeKey, AssetKey, InstrumentKey> {
507    pub fn time_most_recent(&self) -> Option<DateTime<Utc>> {
508        let order_times = self.instruments.iter().flat_map(|instrument| {
509            instrument
510                .orders
511                .iter()
512                .filter_map(|order| order.state.time_exchange())
513        });
514        let balance_times = self.balances.iter().map(|balance| balance.time_exchange);
515
516        order_times.chain(balance_times).max()
517    }
518
519    pub fn assets(&self) -> impl Iterator<Item = &AssetKey> {
520        self.balances.iter().map(|balance| &balance.asset)
521    }
522
523    pub fn instruments(&self) -> impl Iterator<Item = &InstrumentKey> {
524        self.instruments.iter().map(|snapshot| &snapshot.instrument)
525    }
526}
527
528// Both tests exercise the feature-gated `emit_stream_terminated`, so this module compiles under the
529// same venue features — no feature → no function → no test for it.
530#[cfg(all(
531    test,
532    any(
533        feature = "alpaca",
534        feature = "binance",
535        feature = "ibkr",
536        feature = "hyperliquid"
537    )
538))]
539#[allow(clippy::unwrap_used, clippy::expect_used)] // Test code: panics on bad input are acceptable
540mod tests {
541    use super::*;
542
543    /// The shared terminal-emit helper every venue connector funnels through must deliver an
544    /// in-band [`AccountEventKind::StreamTerminated`] carrying the given exchange and reason.
545    #[test]
546    fn emit_stream_terminated_delivers_event_in_band() {
547        let (tx, mut rx) = mpsc::unbounded_channel::<UnindexedAccountEvent>();
548        let reason = StreamTerminationReason::ReconnectBudgetExhausted {
549            attempts: 7,
550            last_error: "socket reset".to_string(),
551        };
552
553        emit_stream_terminated(&tx, ExchangeId::BinanceSpot, reason.clone());
554
555        let event = rx.try_recv().expect("expected a terminal event");
556        assert_eq!(event.exchange, ExchangeId::BinanceSpot);
557        assert!(
558            matches!(event.kind, AccountEventKind::StreamTerminated(r) if r == reason),
559            "expected StreamTerminated carrying the supplied reason",
560        );
561    }
562
563    /// A failed re-init survives a serde round trip, so audit and replay keep it, error and all.
564    #[test]
565    fn a_reinit_failure_round_trips_through_serde() {
566        use crate::error::{
567            AccountReinitFailure, AccountStreamInitError, ClientError, ConnectivityError,
568        };
569
570        let event = AccountEvent::new(
571            ExchangeIndex::new(0),
572            AccountEventKind::ReinitFailed(AccountReinitFailure::new(
573                3,
574                AccountStreamInitError::Client(ClientError::Connectivity(
575                    ConnectivityError::Timeout,
576                )),
577            )),
578        );
579
580        let json = serde_json::to_string(&event).unwrap();
581        let decoded: AccountEvent = serde_json::from_str(&json).unwrap();
582
583        assert_eq!(decoded, event);
584    }
585
586    /// Per the D6 consumer-drop decision, emitting after the consumer dropped the receiver is a
587    /// best-effort silent no-op — it must not panic (there is no one left to deliver to).
588    #[test]
589    fn emit_stream_terminated_is_noop_when_receiver_dropped() {
590        let (tx, rx) = mpsc::unbounded_channel::<UnindexedAccountEvent>();
591        drop(rx);
592
593        // Must not panic even though the send is dropped on the floor.
594        emit_stream_terminated(
595            &tx,
596            ExchangeId::HyperliquidPerp,
597            StreamTerminationReason::Error("stream closed".to_string()),
598        );
599    }
600}