rustrade-execution 0.20.0

//! The simulated venue's state machine, independent of any transport that drives it.

use crate::{
    AccountEventKind, InstrumentAccountSnapshot, UnindexedAccountEvent, UnindexedAccountSnapshot,
    balance::{AssetBalance, MarginDetails},
    borrow_capacity::BorrowCapacity,
    cash_flow::{CashFlow, CashFlowId, CashFlowKind, InterestTiming},
    client::mock::MockExecutionConfig,
    error::{ApiError, BorrowReject, BorrowRejectReason, UnindexedApiError, UnindexedOrderError},
    exchange::mock::{
        account::{AccountState, BalanceInsufficient, Committed, Credit, Debit, Delivery, Lending},
        orders::{AlreadyResting, OpenOrder, Reservation, RestingOrder},
    },
    fee::{FeeAssetConfig, FeeModel, FeeModelConfig, Liquidity, SpotFeeAsset},
    fill::{FillContext, FillModel, MarketOrderTiming, NextBarPrice, StaleMarketPolicy},
    holding_cost::{HeldPosition, HoldingCostModel},
    margin::{InterestDue, MarginEffect, MarginInterestModel, SpotMarginConfig},
    margin_debt::{MarginDebtKind, MarginDebtUpdate},
    market::{MarketBar, MarketDepth, MarketObservation, MarketSnapshot},
    order::{
        Order, OrderKind, TimeInForce, UnindexedInactiveOrder, UnindexedOrder, UnindexedOrderKey,
        id::{ClientOrderId, OrderId, VenueOrderId},
        request::{OrderRequestCancel, OrderRequestOpen, UnindexedOrderResponseCancel},
        state::{Cancelled, Expired, Filled, Open, OrderState, UnindexedOrderState},
    },
    position::{Position, PositionReport},
    shortability::ShortabilityProvider,
    slippage::Slippage,
    trade::{AssetFees, TimeSource, Trade, TradeId, TradeOrigin},
};
use chrono::{DateTime, Utc};
use fnv::{FnvHashMap, FnvHashSet};
use itertools::Itertools;
use rust_decimal::Decimal;
use rustrade_instrument::{
    Side, Underlying,
    asset::name::AssetNameExchange,
    exchange::ExchangeId,
    instrument::{Instrument, kind::InstrumentKind, name::InstrumentNameExchange},
};
use rustrade_integration::collection::snapshot::Snapshot;
use smol_str::ToSmolStr;
use std::{sync::Arc, time::Duration};
use tracing::warn;

mod liquidation;
mod spot_pairs;

use spot_pairs::{SpotPair, SpotPairs};

/// Everything one request obliges a driver to deliver, in the order it must deliver it.
///
/// # Ordering obligation
/// Every event in `events` must reach the client **before** `response`, and in the order given. A
/// [`SimulatedVenue`] balance is an absolute restatement, not a delta: successive fills report
/// `9_999_500`, then `9_999_000`, then `9_998_500`. Delivering two of them out of order therefore
/// does not merely reorder history, it leaves the client holding the wrong balance.
#[derive(Debug)]
pub struct VenueOutcome<Response> {
    /// Account events this request produced, in the order they must be delivered.
    pub events: Vec<UnindexedAccountEvent>,
    /// The response owed to whoever made the request.
    pub response: Response,
}

/// Response type of [`SimulatedVenue::open_order`].
pub type OpenOutcome = VenueOutcome<Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>>;

/// Response type of [`SimulatedVenue::cancel_order`].
pub type CancelOutcome = VenueOutcome<UnindexedOrderResponseCancel>;

/// A venue's view of one instrument: what it is worth, how much of it is left to take, and when
/// that view was last replaced.
///
/// The instant is carried alongside the prices rather than inside them because a
/// [`MarketSnapshot`] says what the market is, not when it was observed — and a matching engine
/// needs both: an order resting since `T` may only be matched against a market at or after `T`.
/// The remaining depth is here for the same reason and one more: it is not even a property of the
/// market, but of what this account has already taken out of it.
#[derive(Debug, Clone, Copy, PartialEq, Eq, Default)]
pub struct VenueInstrumentMarket {
    /// Prices as of [`time_exchange`](Self::time_exchange).
    pub snapshot: MarketSnapshot,

    /// What is **left** of the size reported with [`snapshot`](Self::snapshot), after every taker
    /// fill this venue has struck against it.
    ///
    /// Reset wholesale by [`apply_market`](SimulatedVenue::apply_market), because a new
    /// observation is a new statement of what is on offer rather than an increment to the old
    /// one. Between two such observations it only ever falls, which is what stops two market
    /// orders arriving in the same tick from each taking the whole of a size that was only ever
    /// displayed once. Reading a size does not consume it; filling against it does.
    pub depth: MarketDepth,

    /// When this view was last replaced.
    pub time_exchange: DateTime<Utc>,

    /// The most recent bar this instrument was fed, or `None` if it was never fed one.
    ///
    /// Replaced only by an observation that carries a bar, so a tick between two bars leaves it
    /// standing. What [`MarketOrderTiming::NextBar`] needs to have seen before it accepts a market
    /// order to hold for the next one.
    pub bar: Option<MarketBar>,

    /// When this instrument was last observed [`fresh`](MarketObservation::fresh), or `None` if it
    /// never was.
    ///
    /// Moved only by a fresh observation, so a bar carrying a price forward with zero volume leaves
    /// it standing while it replaces [`snapshot`](Self::snapshot). What
    /// [`StaleMarketPolicy::Wait`] measures a market's age from.
    pub fresh_at: Option<DateTime<Utc>>,
}

/// Which price source a [`SimulatedVenue`] has, and therefore which orders it can accept.
///
/// A venue's regime is fixed at construction and is the gate on [`OrderKind::Limit`]. Without it a
/// limit order placed through a driver with no market feed would be accepted and then rest forever
/// with nothing that could ever match it — accepted-and-silently-never-filled, which is worse than
/// a flat rejection naming the reason.
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
pub enum VenueRegime {
    /// No market feed: a market order is priced from the snapshot its own request carries, and
    /// nothing can rest, so [`OrderKind::Limit`] is rejected.
    ///
    /// The regime of [`SimulatedVenue::new`], and what [`MockExchange::new`](super::MockExchange::new)
    /// drives.
    RequestPriced,

    /// A driver feeds [`apply_market`](SimulatedVenue::apply_market), so an order can rest and be
    /// matched against that feed later — and **every** fill, market orders included, is priced
    /// from that feed rather than from the snapshot a request carried.
    ///
    /// The regime of [`SimulatedVenue::new_market_driven`], and what `SimRunner` and
    /// [`MockExchange::new_market_driven`](super::MockExchange::new_market_driven) drive.
    MarketDriven,
}

/// Simulated venue state machine: synchronous, transport-free and latency-free.
///
/// Fills every market order immediately, rests limit orders that the market has not reached, and
/// keeps its own balance ledger. It has no channels and never sleeps, so a driver decides *when*
/// its output reaches a client while the venue decides *what* that output is and in which order it
/// must arrive — see [`VenueOutcome`].
///
/// # Which [`InstrumentKind`]s it accounts for
/// [`Spot`](InstrumentKind::Spot) and [`Cfd`](InstrumentKind::Cfd). A spot fill exchanges the two
/// underlying assets; a CFD fill is cash-settled in the quote asset in both directions, since there
/// is nothing to deliver and a short is a margin position rather than a stock loan — see
/// `# How a CFD is accounted`. Both carry the instrument's `contract_size` into the notional and
/// the fee, so this ledger and the engine's position accounting cannot disagree by that multiplier.
///
/// # How a spot fill is accounted
/// A spot fill exchanges the two assets. Which asset its fee is charged in is
/// [`spot_fee_asset`](Self::spot_fee_asset), a [`SpotFeeAsset`] rule; the amount comes from
/// [`fee_model`](Self::fee_model), priced in quote. Under the default,
/// [`SpotFeeAsset::Quote`], the fee is charged in quote on both sides:
/// - **A buy** pays `price × quantity` plus the fee in quote, and receives `quantity` of base.
/// - **A sell** delivers `quantity` of base, and receives `price × quantity` less the fee in quote.
///
/// Under [`SpotFeeAsset::Received`], a sell is the same, and **a buy** pays `price × quantity` in
/// quote and receives `quantity` less the fee in base, the quote fee divided by the price. A fill
/// at a price that is not positive cannot be converted, so its fee is in quote.
///
/// A fill whose fee exceeds what it receives, which only a flat per-unit fee on a near-worthless
/// fill can produce, takes the excess from the balance of the asset it receives, and is refused
/// if that cannot cover it.
///
/// With [`MockExecutionConfig::fee_asset`], a fill instead pays its fee, discounted, in a third
/// asset such as BNB, out of that asset's free balance and apart from what it exchanges: a buy
/// pays `price × quantity` in quote and receives `quantity` of base, and a sell delivers
/// `quantity` of base and receives `price × quantity`. It falls back to the rule above when that
/// balance is short, the asset has no price, or the instrument trades the asset itself. See
/// [`FeeAssetConfig`]. A fill paying in the fee asset restates that balance after the two it
/// exchanged.
///
/// The fee the fill reports in [`Trade::fees`] is the one the ledger charged, in the asset it
/// charged. So the base a fill moves is its quantity less any fee it reports in base, and the
/// engine's position, which nets a base fee from a spot quantity, agrees with this ledger's base
/// balance. A fill restates both balances it moved, the one it paid with first, before the
/// [`Trade`].
///
/// # Spot margin
/// By default this venue is a cash account: a spot order must be paid for with what the account
/// holds, so a sell of base it lacks is refused. Configured with
/// [`MockExecutionConfig::spot_margin`], it is a cross margin account instead. An order's
/// [`MarginEffect`] (its request's, else the configuration's) decides what it does to the loans: a
/// `Borrow` is lent the shortfall of the asset it pays with when the venue accepts it, or that
/// asset's configured minimum borrow if it is more, and the venue holds the loan against it and
/// repays it if the order ends unfilled; a `Repay` repays
/// loans, interest first, from what its fill delivers; a `NoSideEffect` does neither. Every
/// balance then reports its loan in [`Balance::margin`], and the account's
/// holding of an asset is its `total` less what it owes. See
/// [`SpotMarginConfig`] for how much it lends and what it does not model.
///
/// A restatement whose loan differs from the one last reported for its asset is followed at once
/// by an [`AccountEventKind::MarginDebt`] stating the new debt, at the restatement's time, as a
/// live margin venue streams one: [`MarginDebtKind::Borrow`] when principal rose,
/// [`MarginDebtKind::Repay`] when principal or interest fell, and
/// [`MarginDebtKind::Interest`] when only interest rose. The loans a configuration seeds are the
/// debt it starts from, and are not reported.
///
/// Its loans are free unless it is given a [`MarginInterestModel`] through
/// [`with_margin_interest`](Self::with_margin_interest). Then each loan is charged when it is
/// taken, and at each of the model's boundaries while principal is owed in its asset:
/// - **At borrow**, on the amount lent, when the order that borrows is accepted. The balance the
///   order restates includes the interest. The [`AccountEventKind::CashFlow`] reporting it comes
///   after the trade the loan pays for, once the position it funds exists, so that a consumer
///   attributing the charge to that position (see `CashFlowAttributionStrategy` in the `rustrade`
///   crate) finds it: `[balance.., trade, cash flow]`. An order that borrows when it rests on the
///   book, or is held for a later bar or a fresh market, has traded nothing yet, so its cash flow
///   waits: it is reported after the order's first fill, or with the order's end if it never fills
///   (a cancel, an expiry, or a release it cannot afford). It is stamped at that instant, not at
///   the charge, since a consumer applies no flow stamped before the position it belongs to.
/// - **At a boundary**, on the principal owed when it falls, as `[balance, cash flow]` stamped at the
///   boundary, when a driver moves the clock to or past it, as for holding costs (see
///   `# Holding costs`). A loan taken at a boundary's instant is charged at borrow, not again at
///   that boundary.
///
/// The interest is added to the loan, so `total` and `free` are unchanged and what a fill
/// delivers repays it first. Each cash flow is a
/// [`CashFlowKind::MarginInterest`], in the borrowed asset, negative, with no instrument, since a
/// cross margin loan belongs to the account rather than to a position. A charge on a new loan
/// carries [`InterestTiming::OnBorrow`] and one at a boundary [`InterestTiming::Periodic`]. A venue that books such
/// interest at the start of its hour stamps it earlier than this venue does.
///
/// It liquidates the account only when the configuration says so, with
/// [`SpotMarginConfig::with_liquidation`]: then, after each input, an account whose margin level
/// has fallen to the configured level has its open orders cancelled and every debt closed by
/// forced trades, reported as [`TradeOrigin::Liquidation`] fills, and is charged a fee. See
/// [`SpotMarginLiquidation`](crate::margin::SpotMarginLiquidation).
///
/// [`Balance::margin`]: crate::balance::Balance::margin
///
/// # How a CFD is accounted
/// This venue keeps one net position per CFD instrument, in contracts, and splits every fill
/// against it: the part that opposes the position **closes** it, and the rest **opens** one. A
/// single fill can do both, flipping a long into a short.
/// - **Opening** posts the full notional, `price × quantity × contract_size`, as margin. This
///   venue models no leverage, so that is the conservative reading, and the requirement a spot buy
///   already carries.
/// - **Closing** pays back the margin of the quantity closed at its average entry, together with
///   the realised PnL: `closed × contract_size × (price − entry)` for a long, and the negative of
///   that for a short. The proceeds count towards what the same fill must pay, so a flip is funded
///   by the position it closes, and an account that opened with its whole balance can close.
/// - **The fee** is charged on the whole quantity.
///
/// Over a round trip the balance therefore moves by the realised PnL less the fees, as the
/// engine's own `Position` books it. The entry averages as the engine's does: an increase moves
/// it to the volume-weighted average, a reduction keeps it, and a flip enters at the fill price.
/// The position is reported by [`account_snapshot`](Self::account_snapshot), and a position that
/// a configured `initial_state` reports for a CFD is where this venue starts.
///
/// Not modelled: liquidation of a CFD position, even on a venue that liquidates its spot margin
/// account. A short closed at more than twice its entry has lost more than its margin, and pays
/// the shortfall as a debit. Carry is charged only when configured: see
/// `# Holding costs`.
///
/// [`Perpetual`](InstrumentKind::Perpetual), [`Future`](InstrumentKind::Future) and
/// [`Option`](InstrumentKind::Option) need funding, margin and expiry settlement, none of which this
/// venue models. They are **rejected at [`open_order`](Self::open_order)** with
/// [`ApiError::InstrumentInvalid`] rather than filled. The check lives here, not only in the
/// `rustrade` builder, because this type and its constructors are public: a consumer that
/// constructs one directly bypasses every upstream gate, and the alternative to
/// rejecting is filling a derivative as if it were deliverable stock.
///
/// # Holding costs
/// By default this venue charges no carrying cost, so a CFD position is held for free and the
/// balances and PnL of a run leave carry out. Configured with
/// [`with_holding_costs`](Self::with_holding_costs), it charges each CFD position what its
/// [`HoldingCostModel`]s say holding it costs: funding, a borrow fee, overnight financing.
/// - **When.** At each model's boundaries, as the clock reaches them. This venue has no timer, so
///   a boundary is charged when a driver next moves the clock to or past it, through
///   [`advance_time`](Self::advance_time) or [`apply_market`](Self::apply_market). Several
///   boundaries passed at once are each charged once, in time order, however far the clock
///   jumped, and a clock moved back charges nothing (see [`advance_time`](Self::advance_time)). A
///   driver that moves the clock to [`next_deadline`](Self::next_deadline) charges each one when
///   it falls, as `SimRunner` does.
///   Charging starts at the instant the clock first moves, so a position a configured
///   `initial_state` seeds is charged from there, and never for the time before the run.
/// - **What.** The position held across the boundary, valued at the mid of this venue's market,
///   else its last price, else its entry price where there is no market, which is warned of
///   once. A position opened at a boundary's instant is not charged for it; one closed at that
///   instant is. Nothing is charged for part of a period: a position opened and closed between
///   two boundaries pays nothing, as one held past no venue cutoff would.
/// - **How.** Each charge moves the instrument's quote asset and is reported as
///   `[balance, cash flow]`: the restated balance, then an
///   [`AccountEventKind::CashFlow`] attributed to the instrument, both stamped at the boundary,
///   with a [`CashFlowId`] from this venue's own sequence. The engine adds the flow to the
///   position's `carry`, as it does a live venue's. A charge the account cannot cover is still
///   made, and takes `free` below zero, with a WARN on the charge that does so, since this venue
///   liquidates no CFD position.
///
/// # Locates and the short-sale restriction
/// This venue lends no stock: a spot sell delivers base the account must hold, so a short sale of
/// a spot instrument is refused with [`ApiError::BalanceInsufficient`].
///
/// A CFD short is allowed without limit by default. Configured with
/// [`with_shortability`](Self::with_shortability), this venue asks its [`ShortabilityProvider`]
/// about every order that would open or increase one, at the venue's clock, and refuses it with
/// [`ApiError::BorrowRejected`] for the first of these that applies:
/// - [`NotShortable`](BorrowRejectReason::NotShortable): the provider says the instrument is not
///   shortable, or that it is delisted at or before the venue's clock
///   ([`Shortability::delisting_at`](crate::shortability::Shortability::delisting_at)).
/// - [`InventoryUnavailable`](BorrowRejectReason::InventoryUnavailable): the short would exceed
///   what the provider says is available. That is the lender's total, so the account's own short
///   counts against it, and so does every resting sell, as if it had filled. The refusal carries
///   what is left in [`BorrowReject::available`].
/// - [`ShortSaleRestricted`](BorrowRejectReason::ShortSaleRestricted): a short-sale restriction
///   is in effect and the order is marketable: a market order, or a sell limit at or below the
///   best bid (the last price, on a feed with no book). A limit above the bid rests, and so does
///   any sell limit when there is neither a bid nor a last price. A market order the
///   [`FillModel`] cannot price, such as one against a bid-only book under
///   [`MidpointFillModel`](crate::fill::MidpointFillModel), is refused as unpriceable, as it would
///   be unrestricted.
///
/// Only the short part of an order is gated: a flip from a long is measured by the short it
/// opens, and a buy, or a sell that only reduces a long once every resting sell has filled, is
/// never refused. Unknown values allow
/// the short. An order is checked once, on arrival: a resting order fills whatever the provider
/// says later, and the easy-to-borrow flag and fee rate are not read here, since a borrow fee is
/// charged by a [`HoldingCostModel`].
///
/// # ⚠️ Caller obligations and known limitations
/// - **Fund the quote asset of every instrument traded.** Every debit is quote-denominated except a
///   spot sell, which debits base, and the excess fee of a fill whose fee exceeds what it receives
///   (see `# How a spot fill is accounted`). A missing balance to debit is a **panic**, not an error: the
///   balances are this venue's own fixture, so an absent one is a mis-specified test rather than a
///   runtime condition. A margin account that lends the debit is the exception: it opens the
///   balance with the loan (see `# Spot margin`). A CFD settling in an account currency that is
///   not the quote asset still needs the **quote** asset funded — see below.
/// - **`CfdContract::settlement_asset` is not settled in.** A CFD routinely cash-settles in an
///   account currency that is not the quote asset (a GBP account trading a USD-quoted index), which
///   requires a quote→settlement conversion rate. This venue has no rate source and will not invent
///   one, so it debits and credits the quote asset and leaves the currency dimension unmodelled. The
///   field is carried on the instrument so its description stays faithful, and the engine's own
///   `InstrumentKind` — not this copy — drives PnL. A backtest whose result depends on the
///   settlement currency needs a real execution client.
/// - **The asset a spot fill receives is created at zero if the account never held it,** so only
///   the paying asset of a first order needs funding. A sell of base the account holds none of is
///   still a missing balance, since it is a debit.
/// - **Which order kinds are accepted depends on the [`VenueRegime`].** [`OrderKind::Market`]
///   always; [`OrderKind::Limit`] only on a [`MarketDriven`](VenueRegime::MarketDriven) venue;
///   every other kind never.
/// - **A resting order seeded by `initial_state` reserves nothing, because this venue never took
///   it.** An account snapshot says an order is resting and says what the balances are, but not
///   which order any held portion belongs to. Such an order still matches, and its fill debits the
///   ledger then — so the seeded balances must cover it, exactly as they must cover a market order.
///   They cannot? For spot that is a mis-specified fixture, and it **panics**, in the same class
///   as an absent balance; a CFD order is instead cancelled at fill, as described under the
///   reserved balances below. Cancelling one releases nothing and restates no balance, and neither does
///   retiring one at its deadline. Such an order may also arrive **part-filled**, carrying an
///   [`Open::filled_quantity`] this venue did not produce: only the remainder ever trades here,
///   and a fill that completes it reports no `avg_price`, because the price of the part that
///   traded elsewhere is not something this venue can know. An order **this** venue part-filled
///   before resting is the same shape, and reports no `avg_price` for the same reason — the two
///   fills were struck at different prices and this state carries one of them.
/// - **A CFD position seeded by `initial_state` is where the venue's ledger starts, and must carry
///   an entry price.** Closing it credits the margin and realised PnL measured from that price, so
///   a position with `entry_price: None` is a mis-specified fixture, and construction **panics**.
///
/// # How an order is priced
///
/// Every fill is priced from **one** market, and which market that is depends only on the
/// [`VenueRegime`]: this venue's own on a [`MarketDriven`](VenueRegime::MarketDriven) one, and the
/// snapshot the request carried
/// ([`RequestOpen::market`](crate::order::request::RequestOpen::market)) on a
/// [`RequestPriced`](VenueRegime::RequestPriced) one. A limit order is only ever accepted on a
/// `MarketDriven` venue, so it is always priced from the venue's own market; a market order follows
/// the regime.
///
/// That a `MarketDriven` venue prices a market order from its own book — rather than from the
/// sender's view at decision time — is what makes a driver's request latency price-relevant instead
/// of a pure delivery delay. The market may move between an order being decided and arriving, and a
/// fill is struck against the book it arrives to. `RequestOpen::market` is then decision-time
/// provenance and nothing else, which is what it is documented to be, and the difference between it
/// and the fill is implementation shortfall — a quantity that is identically zero when the two are
/// the same snapshot.
///
/// A `MarketDriven` venue that has not been fed an instrument **rejects** a market order in it as
/// unpriceable rather than falling back to the requester's snapshot: a venue with no market for an
/// instrument cannot fill a market order in it, and saying so is the observable failure. Silently
/// pricing from the requester's view would make the fill depend on which of the two happened to
/// hold a price, and would re-admit the very `RequestPriced` behaviour the regime exists to
/// distinguish.
///
/// Given that market, the three cases are:
/// - **A market order**, and **a limit order marketable on arrival** — priced by the [`FillModel`],
///   then moved against the order by the configured
///   [`slippage`](crate::client::mock::MockExecutionConfig::slippage). A limit order is then
///   *clamped* to its own limit: a buy never fills above it, a sell never below. Both are charged
///   [`Liquidity::Taker`].
/// - **A resting limit order** — fills at its own limit price exactly, and never reaches the
///   [`FillModel`] or the slippage. Deriving a better price from the book would credit price
///   improvement no resting order can obtain: a maker is paid the price it quoted, and improvement
///   accrues to the aggressor that crossed it. Charged [`Liquidity::Maker`].
/// - **A market order held for the next bar**, under
///   [`MarketOrderTiming::NextBar`] — priced like a market order, but from the next bar's
///   reference price rather than the market it arrived to: the [`FillModel`] is handed that price
///   as the only one there is, and the slippage moves it. Charged [`Liquidity::Taker`].
/// - **An order held on a stale market**, under
///   [`StaleMarketPolicy::Wait`] — priced as if it arrived just after the fresh observation that
///   releases it, by the rules above: a market order as a market order, a limit order as one
///   marketable on arrival if that market crosses it and as a resting one if not.
///
/// The marketable and resting rules agree exactly at the crossing point — an order arriving when
/// `best_ask == limit` fills at the limit either way — and diverge only where the order genuinely
/// is, or is not, marketable. Marketability is judged on `best_ask`/`best_bid`, falling back to
/// `last_price` when the feed supplies no book: with the default `LastPriceFillModel` and a
/// trades-only feed there is no book at all, so a book-only rule would never match anything.
///
/// # What matching does not model
/// - **No queue position.** Nothing rests ahead of this account's orders. [`OpenOrders`] ranks
///   them by price then arrival, so *which* of them fills first is reproducible, but they are
///   matched against a book with no other participants in it — an order that crosses is never
///   waiting behind anyone.
/// - **Only a taker is capped by size.** An order aggressing on arrival fills at most what
///   [`VenueInstrumentMarket::depth`] says is on offer, and draws that down as it takes it. A
///   **resting** order is not capped: when the market reaches it, it fills its whole remaining
///   quantity at its limit however little traded there. Capping it honestly would need the volume
///   that actually printed through the limit, which this venue's feed does not carry — a
///   [`MarketSnapshot`] is a view of the market, not a record of what traded — and capping it by
///   the size on the *opposite* side would be a number shaped like a cap that measures nothing a
///   cap should.
/// - **A capped taker's remainder is a maker, and makers are not capped.** So an order the book
///   could only partly fill rests the rest, and the very next tick that still crosses it fills
///   that remainder in full. The cap bounds what one order takes from one observation; it does not
///   make liquidity scarce for longer than that.
/// - **Absent size means unlimited, not unfillable.** A feed with no sizes — trades only, candles,
///   a price-only export, or a [`RequestPriced`](VenueRegime::RequestPriced) venue, which has no
///   market at all — caps nothing. See [`MarketDepth`].
/// - **Depth is this account's own bound, not the market's.** It is reset by each
///   [`apply_market`](Self::apply_market) rather than accumulated, so it stops two of this
///   account's orders double-spending one observation's size and claims nothing about anyone
///   else's.
///
/// # Which [`TimeInForce`] this venue honours
/// An unsupported one is **rejected**, never quietly treated as good-until-cancelled: that would
/// leave an order working that its sender asked to have cancelled.
///
/// | [`TimeInForce`] | [`OrderKind::Limit`] | [`OrderKind::Market`] |
/// |---|---|---|
/// | `GoodUntilCancelled { post_only: false }` | rests, or fills if marketable | fills |
/// | `GoodUntilCancelled { post_only: true }` | rests, or **cancels** if marketable | **rejected** |
/// | `ImmediateOrCancel` / `FillOrKill` | fills if marketable, else **cancels** | fills |
/// | `GoodTillDate { expiry }` | rests until `expiry`, then **expires** | fills |
/// | `GoodUntilEndOfDay` | **rejected** | fills |
/// | `AtOpen` / `AtClose` | **rejected** | **rejected** |
///
/// A market order works only on arrival, which honours every time in force that bounds *how long*
/// an order works — so most of the table is moot for one. (It fills in full wherever the book has
/// the size; what it cannot fill is cancelled, since it has no limit price to rest at.) The two
/// exceptions are real:
/// `post_only` on a market order is a promise never to take liquidity, which is all a market order
/// does; and `AtOpen`/`AtClose` say *when* an order executes rather than how long it lasts, so
/// honouring them needs a session calendar this venue has not got. Filling one on arrival would be
/// a wrong fill rather than an ignored flag.
///
/// ## A deadline is swept, not scheduled
/// This venue has no timer. A [`GoodTillDate`](TimeInForce::GoodTillDate) order is retired when a
/// driver next calls [`advance_time`](Self::advance_time) or [`apply_market`](Self::apply_market),
/// whichever comes first, and the sweep spans every instrument rather than only the one that
/// ticked. A deadline falling after the last such call is never reached at all — see
/// [`advance_time`](Self::advance_time) for what that means for a caller. A driver that keeps a
/// timeline of its own can advance the clock to each [`next_deadline`](Self::next_deadline) as it
/// falls, as `SimRunner` does, so that a deadline is reached at its own instant.
///
/// A deadline is an unconditional cutoff. An order reaching it is retired even if the very tick
/// that reached it would have crossed it, and an order that arrives already past its deadline is
/// retired without resting and without trading — otherwise whether an expired order traded would
/// depend on where the book happened to be.
///
/// # A client order id names one working order at a time
/// An open request whose [`ClientOrderId`] already names an order resting here is **rejected** with
/// [`ApiError::DuplicateClientOrderId`], whatever its kind, and the resting order is untouched: its
/// price, queue position, deadline and reservation stay as they were. Only an order that rests
/// holds its id; one that fills or is cancelled on arrival never does.
///
/// Once an order has ended its id is free, and the next order under it replaces what this venue
/// remembers of the earlier one. [`orders_ended`](Self::orders_ended), the rejection of a cancel
/// and [`account_snapshot`](Self::account_snapshot) therefore report the latest order under each
/// id.
///
/// The check follows the static ones on kind, time in force and instrument, so a malformed request
/// is reported as malformed, and comes before anything that touches the ledger.
///
/// [`OpenOrders`]: super::orders::OpenOrders
///
/// # Reserved balances
/// The ledger distinguishes held from spendable: `free` is what an order may draw on, `total` is
/// what the account holds, and the difference is held against something. An `initial_state` copied
/// from a live account with margin reserved is therefore usable as configured — it was rejected
/// outright while every order filled on arrival and the ledger could not represent the state.
///
/// Every arrival is **one** commitment against the ledger ([`AccountState::commit`]) and therefore
/// **one** balance restatement, whichever of the three shapes it has: an order that fills outright
/// settles and holds nothing; one that rests holds and settles nothing; one the book fills in part
/// does both at once, settling what traded and holding against the remainder it leaves resting. An
/// order that rests emits one more restatement later, when the market reaches it and the hold is
/// settled — never an intermediate balance the account did not hold. A configured reservation is
/// carried through untouched: settling lowers `total` by the settled amount and leaves the rest
/// held.
///
/// **An order is funded whole or refused whole.** The two legs of a part-filled arrival are asked
/// for together, so an account that cannot cover both has the order rejected with nothing moved.
/// It is not filled for the part it could afford: choosing that would be this venue substituting a
/// disposition for the one the sender asked for. Note the consequence, which is easy to be
/// surprised by — a capped order costs *more* than the same order filling outright, because its
/// remainder is held at the order's own limit while the fill struck a better price, so an order
/// can be refused for a size the book was willing to sell it.
///
/// For spot, the reservation is **exactly** what the fill will settle, not a conservative
/// over-estimate: both come from one computation at the order's own limit and its own liquidity
/// side. A conservative reservation would have to be released and re-debited on the fill,
/// producing two or three restatements for one fill and reporting balances the account never
/// held, while [`Balance::used`](crate::balance::Balance::used) misreported for the order's whole
/// life.
///
/// A resting CFD order holds only what its fill would cost **net of what the fill pays back**,
/// computed against the position when it rests. An order that only reduces a position therefore
/// holds nothing. The position can move before the order fills — another order may close what this
/// one was going to — so a CFD fill is costed again when it fills: its hold is released and the
/// fill settled afresh, still as one balance restatement. If the account can no longer afford it,
/// the order is **cancelled** rather than filled, as a venue re-checking margin at fill time would
/// cancel it. That includes an order a configured `initial_state` seeded, which for an ordinary
/// spot order would be a panic.
///
/// A resting spot order holds what it pays with, and nothing for a fee that comes out of what it
/// receives. A fill whose fee exceeds what it receives takes the excess from the asset it receives,
/// so it is costed afresh when it fills, as a CFD order is, and cancelled, seeded or not, if that
/// asset cannot cover the excess.
///
/// [`AccountState::commit`]: crate::exchange::mock::account::AccountState::commit
#[derive(Debug)]
pub struct SimulatedVenue {
    pub exchange: ExchangeId,
    pub fee_model: FeeModelConfig,
    /// Which asset a spot fill's fee is charged in. See `# How a spot fill is accounted`.
    pub spot_fee_asset: SpotFeeAsset,
    /// Prices each taker fill. Built from the configuration's
    /// [`fill_model`](MockExecutionConfig::fill_model) unless replaced by
    /// [`with_fill_model`](Self::with_fill_model).
    fill_model: Arc<dyn FillModel>,
    /// Moves each taker fill against the order, from its own seeded stream. Private: the stream's
    /// position is what makes a run reproducible from its seed, so nothing else may draw from it.
    slippage: Slippage,
    /// Every instrument this venue trades, as constructed. Private, and never changed after
    /// construction: [`spot_pairs`](Self::spot_pairs) indexes it, and resting orders were accepted
    /// against it. Read through [`instruments`](Self::instruments).
    instruments: FnvHashMap<InstrumentNameExchange, Instrument<ExchangeId, AssetNameExchange>>,
    /// The spot instruments of [`instruments`](Self::instruments), by the two assets each pairs.
    /// What values an account and picks a liquidation's legs without scanning every instrument.
    spot_pairs: SpotPairs,
    pub account: AccountState,
    /// This venue's own view of each instrument it trades, as of the last
    /// [`apply_market`](Self::apply_market).
    ///
    /// Empty unless a driver feeds it — see [`apply_market`](Self::apply_market) for which drivers
    /// do. Read through [`market`](Self::market).
    market: FnvHashMap<InstrumentNameExchange, VenueInstrumentMarket>,
    /// The net position of each cash-settled instrument this account holds one in.
    ///
    /// What decides how much of a CFD fill closes a position, returning its margin and realising
    /// its PnL, rather than posting new margin. Flat instruments have no entry. Private: the
    /// ledger's credits are computed from it, so editing it would pay out margin that was never
    /// posted. Reported through [`account_snapshot`](Self::account_snapshot).
    positions: FnvHashMap<InstrumentNameExchange, NetPosition>,
    /// Monotone `OrderId` source. Private: resetting it mints duplicate ids, which a consumer
    /// keying a position on an order would silently merge.
    ///
    /// Counts every order this venue booked, including those that retired without trading, so it
    /// is also what [`order_sequence`](Self::order_sequence) reports.
    order_sequence: u64,
    /// The `OrderId` the first booked order is minted with; each later one counts up from it.
    ///
    /// Zero, unless the seeded account state already carries a decimal id, in which case it is one
    /// past the highest such id, so no minted id can repeat a seeded one. A seeded id that is not
    /// decimal can never equal a minted one, so it is left out. `u128` so that one past a seeded
    /// `u64::MAX`, and every id counted up from it, stays representable.
    order_id_start: u128,
    /// Monotone `TradeId` source, independent of [`order_sequence`](Self::order_sequence).
    ///
    /// Separate because one order can print more than once — a taker the book fills in part rests
    /// the remainder and prints again when it is crossed — so an id derived from the order's would
    /// collide between the two. A real venue mints trade ids independently for the same reason;
    /// the link back to the order is [`Trade::order_id`], which is typed rather than parsed.
    trade_sequence: u64,
    /// Read via [`time_exchange`](Self::time_exchange), and set only by
    /// [`advance_time`](Self::advance_time), which never sets it below
    /// [`accrued_through`](Self::accrued_through). An [`apply_market`](Self::apply_market) since
    /// can have raised that mark past it, until the next `advance_time` catches up.
    time_exchange_latest: DateTime<Utc>,
    /// Which price source this venue has. Private: it is fixed at construction, and a consumer
    /// flipping it on a venue already holding resting orders would leave them unmatchable with no
    /// way to find out. Read through [`regime`](Self::regime).
    regime: VenueRegime,
    /// What holding a position costs over time. Empty unless set by
    /// [`with_holding_costs`](Self::with_holding_costs), and then fixed: swapping a model under
    /// a position mid-run would leave its charges to date priced by one and the rest by another.
    holding_costs: Vec<Arc<dyn HoldingCostModel>>,
    /// The instant up to which every holding-cost and interest boundary has been charged, or
    /// `None` before this venue's clock first moved.
    ///
    /// A boundary is charged when the clock first reaches it and never again, which is what makes
    /// a charge idempotent however often the clock is moved to one instant. It starts unset
    /// rather than at the epoch, so a venue charges from the first instant it is driven to, not
    /// for every boundary since 1970.
    ///
    /// Both inputs raise it and nothing lowers it, so it is also the latest instant this venue's
    /// clock has reached, which both inputs hold the instant they are given to — see
    /// [`not_before_reached`](Self::not_before_reached).
    accrued_through: Option<DateTime<Utc>>,
    /// The earliest holding-cost boundary after [`accrued_through`](Self::accrued_through) of any
    /// position held, or `None` if there is none.
    ///
    /// Cached because both [`accrue`](Self::accrue), on every input, and
    /// [`next_deadline`](Self::next_deadline) need it, and asking every model for its next
    /// boundary — a time-zone conversion for a daily cutoff — on every market tick would cost a
    /// long backtest real time. It can change only when a position does or a boundary is charged,
    /// so those are where it is recomputed.
    next_charge: Option<DateTime<Utc>>,
    /// Monotone [`CashFlowId`] source for the charges this venue posts.
    cash_flow_sequence: u64,
    /// Whether a holding cost has already been valued at a position's entry price for want of a
    /// market, which is warned of once per venue rather than at every boundary.
    valued_at_entry: bool,
    /// What this venue may lend for a CFD short, or `None` to lend without limit. Set by
    /// [`with_shortability`](Self::with_shortability).
    shortability: Option<Arc<dyn ShortabilityProvider>>,
    /// When a market order fills: on arrival, or held for its instrument's next bar. Fixed at
    /// construction from [`MockExecutionConfig::market_order_timing`]: switching it while orders
    /// are held would leave them waiting for a bar that no longer releases them.
    market_order_timing: MarketOrderTiming,
    /// What an order does on a stale market. Fixed at construction from
    /// [`MockExecutionConfig::stale_market`], for the same reason as
    /// [`market_order_timing`](Self::market_order_timing).
    stale_market: StaleMarketPolicy,
    /// What this venue lends a spot order, or `None` for a cash account. Fixed at construction
    /// from [`MockExecutionConfig::spot_margin`]: turning it off would strand the loans it made.
    spot_margin: Option<SpotMarginConfig>,
    /// The third asset this venue charges spot fees in, or `None` to charge every fee under
    /// [`spot_fee_asset`](Self::spot_fee_asset). Fixed at construction from
    /// [`MockExecutionConfig::fee_asset`].
    fee_asset: Option<FeeAssetConfig>,
    /// What this venue's loans cost in interest. `None` unless set by
    /// [`with_margin_interest`](Self::with_margin_interest), and then fixed, for the same reason
    /// as [`holding_costs`](Self::holding_costs).
    margin_interest: Option<Arc<dyn MarginInterestModel>>,
    /// The earliest interest boundary after [`accrued_through`](Self::accrued_through) of any
    /// asset the account owes principal in, or `None` if there is none.
    ///
    /// Cached, like [`next_charge`](Self::next_charge), and recomputed when a boundary is charged
    /// or when [`AccountState::loans_changed`] says which assets owe principal may have changed.
    next_interest: Option<DateTime<Utc>>,
    /// The [`AccountState::loans_changed`] count [`next_interest`](Self::next_interest) was
    /// computed at.
    next_interest_loans: u64,
    /// The debt last reported for each asset of a spot-margin account, so that a balance
    /// restatement whose debt differs is followed by an [`AccountEventKind::MarginDebt`]. Seeded
    /// with the debt the account starts with.
    reported_debt: FnvHashMap<AssetNameExchange, MarginDetails>,
    /// Where a spot margin account stands against its configured
    /// [`SpotMarginLiquidation`](crate::margin::SpotMarginLiquidation): whether a liquidation is
    /// under way, and whether a margin call is outstanding.
    liquidation: liquidation::LiquidationState,
}

impl SimulatedVenue {
    /// A venue with no market feed, which prices each market order from the snapshot its own
    /// request carries and accepts no [`OrderKind::Limit`].
    ///
    /// See [`VenueRegime::RequestPriced`], and [`new_market_driven`](Self::new_market_driven) for
    /// the regime that accepts limits.
    ///
    /// # Panics
    /// - If `initial_state` holds an open CFD position with no entry price: see the caller
    ///   obligations on [`SimulatedVenue`].
    /// - If `initial_state` lists one client order id more than once among its open and cancelled
    ///   orders: see [`DuplicateSeededOrder`](super::account::DuplicateSeededOrder).
    pub fn new(
        config: &MockExecutionConfig,
        instruments: FnvHashMap<InstrumentNameExchange, Instrument<ExchangeId, AssetNameExchange>>,
    ) -> Self {
        Self::with_regime(config, instruments, VenueRegime::RequestPriced)
    }

    /// A venue whose driver feeds [`apply_market`](Self::apply_market), so limit orders are
    /// accepted and a resting one is matched against that feed.
    ///
    /// Constructing one and then never calling `apply_market` produces a venue that accepts limit
    /// orders and can never match them, which is the state the regime exists to prevent — so this
    /// constructor is a driver's assertion that it will feed the venue, not a configuration knob.
    ///
    /// See [`VenueRegime::MarketDriven`].
    ///
    /// # Panics
    /// - If `initial_state` holds an open CFD position with no entry price: see the caller
    ///   obligations on [`SimulatedVenue`].
    /// - If `initial_state` lists one client order id more than once among its open and cancelled
    ///   orders: see [`DuplicateSeededOrder`](super::account::DuplicateSeededOrder).
    pub fn new_market_driven(
        config: &MockExecutionConfig,
        instruments: FnvHashMap<InstrumentNameExchange, Instrument<ExchangeId, AssetNameExchange>>,
    ) -> Self {
        Self::with_regime(config, instruments, VenueRegime::MarketDriven)
    }

    fn with_regime(
        config: &MockExecutionConfig,
        instruments: FnvHashMap<InstrumentNameExchange, Instrument<ExchangeId, AssetNameExchange>>,
        regime: VenueRegime,
    ) -> Self {
        let positions = seeded_positions(&config.initial_state, &instruments);
        let mut account = match AccountState::try_from(config.initial_state.clone()) {
            Ok(account) => account,
            Err(error) => panic!("invalid MockExecutionConfig::initial_state: {error}"),
        };
        if config.spot_margin.is_some() {
            account.enable_margin();
        }
        let order_id_start = first_unseeded_order_id(&account);
        let reported_debt = account
            .balances()
            .filter_map(|balance| Some((balance.asset.clone(), balance.balance.margin?)))
            .collect();

        Self {
            exchange: config.mocked_exchange,
            fee_model: config.fee_model,
            spot_fee_asset: config.spot_fee_asset,
            fill_model: Arc::new(config.fill_model),
            slippage: Slippage::new(config.slippage),
            spot_pairs: SpotPairs::new(&instruments),
            instruments,
            account,
            market: FnvHashMap::default(),
            positions,
            order_sequence: 0,
            order_id_start,
            trade_sequence: 0,
            time_exchange_latest: Default::default(),
            regime,
            holding_costs: Vec::new(),
            accrued_through: None,
            next_charge: None,
            cash_flow_sequence: 0,
            valued_at_entry: false,
            shortability: None,
            market_order_timing: config.market_order_timing,
            stale_market: config.stale_market,
            spot_margin: config.spot_margin.clone(),
            fee_asset: config.fee_asset.clone(),
            margin_interest: None,
            next_interest: None,
            next_interest_loans: 0,
            reported_debt,
            liquidation: Default::default(),
        }
    }

    /// This venue, charging each open position what `models` say holding it costs.
    ///
    /// Each model is asked for its boundaries on every instrument this venue holds a position in,
    /// and charges the position held across each one, as described on [`HoldingCostModel`]. Only
    /// a cash-settled position is charged: a spot holding is a balance on this venue, not a
    /// position. See the type's `# Holding costs` for when a charge is made and how it is
    /// reported.
    #[must_use]
    pub fn with_holding_costs(mut self, models: Vec<Arc<dyn HoldingCostModel>>) -> Self {
        self.holding_costs = models;
        self.refresh_next_charge();
        self
    }

    /// This venue, charging interest on its spot margin loans as `model` says.
    ///
    /// Each loan is charged when it is taken, on the amount lent, and at each of the model's
    /// boundaries while the account owes principal in its asset, on that principal, as described
    /// on [`MarginInterestModel`]. See the type's `# Spot margin` for how a charge is reported.
    ///
    /// # Panics
    /// If this venue has no [`MockExecutionConfig::spot_margin`]: a cash account takes no loans,
    /// so a model given to one would silently charge nothing. Or if `model` breaks its contract
    /// with a boundary not after the instant it was asked from, for a loan the account already
    /// owes.
    #[must_use]
    pub fn with_margin_interest(mut self, model: Arc<dyn MarginInterestModel>) -> Self {
        assert!(
            self.spot_margin.is_some(),
            "SimulatedVenue given a margin interest model without MockExecutionConfig::spot_margin: \
             a cash account takes no loans to charge"
        );
        self.margin_interest = Some(model);
        self.refresh_next_interest();
        self
    }

    /// This venue, pricing each taker fill with `model` rather than the configured
    /// [`fill_model`](MockExecutionConfig::fill_model).
    ///
    /// The way to plug in a model of your own, such as a size-aware impact model reading
    /// [`FillContext::quantity`]. The configured
    /// [`slippage`](MockExecutionConfig::slippage) still applies to whatever price it returns. See
    /// [`FillModel`] for what an implementation must uphold.
    ///
    /// The model is not part of the configuration, so a serialised configuration no longer says
    /// what priced the fills: its `fill_model` is unused. A venue that
    /// [`MockExchange::new`](super::MockExchange::new) drives is built from its configuration
    /// alone, so it takes no custom model.
    #[must_use]
    pub fn with_fill_model(mut self, model: Arc<dyn FillModel>) -> Self {
        self.fill_model = model;
        self
    }

    /// This venue, refusing a CFD short that `provider` does not allow.
    ///
    /// Asked on the arrival of every order that would open or increase a short, as described in
    /// the type's `# Locates and the short-sale restriction`.
    #[must_use]
    pub fn with_shortability(mut self, provider: Arc<dyn ShortabilityProvider>) -> Self {
        self.shortability = Some(provider);
        self
    }

    /// The next instant at which this venue has something to do of its own accord: an open order
    /// reaching its deadline, a holding-cost boundary of a position it holds, or an interest
    /// boundary of a loan it made.
    ///
    /// For a driver with a timeline of its own, such as `SimRunner`, which moves the clock to this
    /// instant so that an expiry or a charge happens when it is due rather than when the next
    /// market event or request happens to arrive. `None` when nothing is due.
    ///
    /// Recompute it after anything that moves this venue: an order, a fill, or the clock. A
    /// holding-cost or interest boundary is reported only once the venue's clock has first moved,
    /// since that is where charging starts.
    pub fn next_deadline(&self) -> Option<DateTime<Utc>> {
        let expiry = self.account.orders().next_expiry();
        expiry
            .into_iter()
            .chain(self.next_charge)
            .chain(self.next_interest)
            .min()
    }

    /// Recomputes [`next_charge`](Self::next_charge) from the positions held now.
    fn refresh_next_charge(&mut self) {
        self.next_charge = self.accrued_through.and_then(|after| {
            self.positions
                .keys()
                .flat_map(|instrument| {
                    self.holding_costs
                        .iter()
                        .filter_map(move |model| next_boundary(model.as_ref(), instrument, after))
                })
                .min()
        });
    }

    /// Recomputes [`next_interest`](Self::next_interest) from the loans owed now.
    fn refresh_next_interest(&mut self) {
        self.next_interest_loans = self.account.loans_changed();
        let Some(model) = self.margin_interest.as_deref() else {
            return;
        };
        self.next_interest = self.accrued_through.and_then(|after| {
            self.account
                .loans()
                .filter_map(|(asset, _)| next_interest_boundary(model, asset, after))
                .min()
        });
    }

    /// Recomputes [`next_interest`](Self::next_interest) if the assets owing principal may have
    /// changed since it was last computed. Called at the end of every input that can lend or
    /// repay.
    fn refresh_next_interest_if_loans_changed(&mut self) {
        if self.account.loans_changed() != self.next_interest_loans {
            self.refresh_next_interest();
        }
    }

    /// Which price source this venue has, and so which order kinds it accepts.
    pub fn regime(&self) -> VenueRegime {
        self.regime
    }

    /// Sets the instant this venue stamps on everything it produces from now on, retiring any
    /// order whose deadline that instant has reached.
    ///
    /// The caller owns the latency model: a driver simulating a network delay passes an instant
    /// already offset by it. The venue itself models no delay.
    ///
    /// # Deadlines are swept from here and from [`apply_market`](Self::apply_market), never on a
    /// clock of their own
    /// A [`TimeInForce::GoodTillDate`] order must stop working at the instant it says, not at
    /// whenever the next market tick happens to arrive -- otherwise a cancel sent after the
    /// nominal deadline would succeed against an order that should already have been retired, and
    /// an instrument that stops ticking would hold its expired orders open indefinitely. So both
    /// of this venue's inputs sweep.
    ///
    /// The sweep is **not** scoped to any instrument: a deadline is a property of the clock, not of
    /// a book. An order on a quiet instrument is retired by activity anywhere on the venue.
    ///
    /// ## The residual limitation, stated plainly
    /// This venue has no timer. Nothing retires an order until a driver next advances the clock or
    /// feeds a market, so a deadline falling after the last such call is never reached at all. A
    /// driver that stops driving leaves orders working past their deadline, and that is a property
    /// of the simulation rather than something a caller can configure away. A driver that wants
    /// each deadline reached at its own instant advances the clock to
    /// [`next_deadline`](Self::next_deadline).
    ///
    /// # Returns the expiries it caused, which a driver must deliver
    /// Per retired order the events are `[balance, order]` -- the released reservation, then the
    /// terminal [`Expired`] snapshot -- or `[order]` alone for an order this venue never took a
    /// reservation for, exactly as [`cancel_order`](Self::cancel_order) reports one.
    ///
    /// `#[must_use]` because a driver that advances the clock and drops the result has silently
    /// eaten the expiries, leaving its client holding orders the venue no longer has and a balance
    /// it has already released.
    ///
    /// # And the holding costs and interest it reached
    /// Every holding-cost and interest boundary between the previous instant and this one is
    /// charged first, in time order, each as `[balance, cash flow]` stamped at its boundary — see
    /// the type's `# Holding costs` and `# Spot margin`. They precede the expiries, which are
    /// stamped at `time_exchange`.
    ///
    /// # And the liquidation it caused
    /// Last, a spot margin account configured with a
    /// [`SpotMarginLiquidation`](crate::margin::SpotMarginLiquidation) is checked at
    /// `time_exchange`, and the notices, cancels, forced trades and fee that check causes follow
    /// everything else, stamped there too.
    ///
    /// # The clock never moves back
    /// An instant earlier than the latest this venue has reached, through this call or through
    /// [`apply_market`](Self::apply_market), is taken as that latest instant. It charges nothing
    /// again, and the balances it restamps and whatever a request after it produces are stamped no
    /// earlier than what this venue has already reported. A consumer keeping the latest stamp of
    /// each balance would otherwise drop such a restatement as older than one it holds.
    ///
    /// The venue clamps the instant itself, so this holds whichever driver calls it, including one
    /// stamping requests from a wall clock that stepped back. A request that arrives behind a later
    /// market tick is therefore stamped at that tick. [`apply_market`](Self::apply_market) clamps
    /// its tick the same way.
    ///
    /// # A forward jump charges every boundary it crosses
    /// However far one call moves the clock, each boundary in between is charged once, at its own
    /// stamp, on what was held and owed across it: a live paper venue whose host resumes after
    /// hours asleep charges every hour it slept through. That is what a venue that kept running
    /// would have charged, since funding and interest fall due at a boundary whether or not anyone
    /// is watching. Each is valued at the market as it stood before the jump, since this venue saw
    /// none in between.
    ///
    /// # Panics
    /// If a configured [`HoldingCostModel`] or [`MarginInterestModel`] breaks its contract: a
    /// boundary not after the instant it was asked from, or a negative interest.
    #[must_use]
    pub fn advance_time(&mut self, time_exchange: DateTime<Utc>) -> Vec<UnindexedAccountEvent> {
        let time_exchange = self.not_before_reached(time_exchange);
        // Charged before the balances are restamped, so each restatement it emits keeps its own
        // boundary's stamp and the ledger still ends stamped at `time_exchange`.
        let mut events = self.accrue(time_exchange);
        self.time_exchange_latest = time_exchange;
        self.account.update_time_exchange(time_exchange);
        events.append(&mut self.sweep_expired(time_exchange));
        self.check_margin(time_exchange, &mut events);
        self.refresh_next_interest_if_loans_changed();
        self.report_debt_changes(&mut events);
        events
    }

    /// `time_exchange`, or the latest instant this venue has reached if that is later, which is
    /// how both inputs keep the clock from moving back. See `advance_time`'s
    /// `# The clock never moves back`.
    fn not_before_reached(&self, time_exchange: DateTime<Utc>) -> DateTime<Utc> {
        self.accrued_through
            .map_or(time_exchange, |reached| reached.max(time_exchange))
    }

    /// Charges every holding-cost and interest boundary in `(accrued_through, now]`, the first
    /// against the position held across it and the second against the principal owed when it falls,
    /// returning `[balance, cash flow]` per charge. In boundary order, and at one boundary the
    /// holding costs, by instrument then model, before the interest, by asset.
    ///
    /// The positions and the principal owed cannot have changed since `accrued_through`: this
    /// venue's state moves only on its inputs, and each input charges what is due before it fills
    /// anything. So what is held and owed now is what was held and owed across every boundary
    /// being charged, and a gap of several boundaries is caught up exactly. Interest charged at
    /// one boundary is not principal, so it does not change what the next one charges.
    ///
    /// # Panics
    /// If a model returns a boundary that is not after the instant it was asked from, or a
    /// negative interest — see the contracts of [`HoldingCostModel`] and [`MarginInterestModel`].
    fn accrue(&mut self, now: DateTime<Utc>) -> Vec<UnindexedAccountEvent> {
        let after = match self.accrued_through {
            // The clock's first move: charging starts here.
            None => {
                self.accrued_through = Some(now);
                self.refresh_next_charge();
                self.refresh_next_interest();
                return Vec::new();
            }
            Some(after) if now <= after => return Vec::new(),
            Some(after) => after,
        };
        // Every input refreshes this as it ends, but the ledger is public, so one changed since is
        // caught here, while the cache is still computed from `after`.
        self.refresh_next_interest_if_loans_changed();
        self.accrued_through = Some(now);

        // Nothing falls in `(after, now]`, so the first boundary after `now` is still the first
        // after `after`, and the caches stay right.
        let falls = |next: Option<DateTime<Utc>>| next.is_some_and(|due| due <= now);
        if !falls(self.next_charge) && !falls(self.next_interest) {
            return Vec::new();
        }

        let mut due = Vec::new();
        for instrument in self.positions.keys() {
            for (index, model) in self.holding_costs.iter().enumerate() {
                let boundaries = boundaries_through(after, now, |from| {
                    next_boundary(model.as_ref(), instrument, from)
                });
                due.extend(
                    boundaries.map(|boundary| (boundary, Due::Holding(instrument.clone(), index))),
                );
            }
        }
        if let Some(model) = self.margin_interest.as_deref() {
            for (asset, principal) in self.account.loans() {
                let boundaries = boundaries_through(after, now, |from| {
                    next_interest_boundary(model, asset, from)
                });
                due.extend(
                    boundaries.map(|boundary| (boundary, Due::Interest(asset.clone(), principal))),
                );
            }
        }
        // Positions and balances are hashed, so their iteration order is arbitrary: sorted, so
        // one run's charges arrive in the same order as another's.
        due.sort_unstable();

        let mut events = Vec::with_capacity(due.len() * 2);
        for (boundary, due) in due {
            match due {
                Due::Holding(instrument, index) => {
                    self.charge_holding_cost(boundary, &instrument, index, &mut events);
                }
                Due::Interest(asset, principal) => {
                    self.charge_interest_boundary(boundary, &asset, principal, &mut events);
                }
            }
        }
        self.refresh_next_charge();
        self.refresh_next_interest();
        events
    }

    /// Charges the interest on `principal` of `asset`, owed when `boundary` falls, pushing
    /// `[balance, cash flow]` onto `events`, or nothing if the model charges nothing.
    fn charge_interest_boundary(
        &mut self,
        boundary: DateTime<Utc>,
        asset: &AssetNameExchange,
        principal: Decimal,
        events: &mut Vec<UnindexedAccountEvent>,
    ) {
        if let Some((balance, flow)) =
            self.charge_interest(asset, principal, InterestDue::Boundary(boundary))
        {
            events.push(self.build_account_event(Snapshot(balance)));
            events.push(self.build_account_event(AccountEventKind::CashFlow(flow)));
        }
    }

    /// Charges a loan of `principal` of `asset` what the interest model says is `due`, returning
    /// the restated balance and the cash flow that reports the charge, stamped when it was due.
    /// `None` when there is no model, or it charges nothing.
    ///
    /// # Panics
    /// If the model charges a negative interest — see [`MarginInterestModel`]'s contract.
    fn charge_interest(
        &mut self,
        asset: &AssetNameExchange,
        principal: Decimal,
        due: InterestDue,
    ) -> Option<(
        AssetBalance<AssetNameExchange>,
        CashFlow<AssetNameExchange, InstrumentNameExchange>,
    )> {
        let model = self.margin_interest.as_deref()?;
        let charge = model.charge(asset, principal, due)?;
        assert!(
            charge.interest >= Decimal::ZERO,
            "MarginInterestModel {model:?} charged negative interest {} on {principal} {asset} \
             due {due:?}",
            charge.interest
        );
        if charge.interest.is_zero() {
            return None;
        }

        let time = due.time();
        let balance = self.account.charge_interest(asset, charge.interest, time);
        let id = CashFlowId::new(self.cash_flow_sequence.to_smolstr());
        self.cash_flow_sequence += 1;

        let flow = CashFlow::new(
            CashFlowKind::MarginInterest {
                rate: charge.rate,
                principal: Some(principal),
                timing: Some(match due {
                    InterestDue::Borrow(_) => InterestTiming::OnBorrow,
                    InterestDue::Boundary(_) => InterestTiming::Periodic,
                }),
            },
            asset.clone(),
            -charge.interest,
            None,
            time,
            Some(id),
        );
        Some((balance, flow))
    }

    /// Charges one model's cost of the position in `instrument` at `boundary`, pushing
    /// `[balance, cash flow]` onto `events`, or nothing if the model charges nothing.
    fn charge_holding_cost(
        &mut self,
        boundary: DateTime<Utc>,
        instrument: &InstrumentNameExchange,
        model: usize,
        events: &mut Vec<UnindexedAccountEvent>,
    ) {
        let (Some(position), Some(terms)) = (
            self.positions.get(instrument).copied(),
            self.instruments.get(instrument),
        ) else {
            return;
        };
        let quote = terms.underlying.quote.clone();
        let contract_size = terms.kind.contract_size();
        let price = self.valuation(instrument, position);

        let held = HeldPosition::new(
            instrument,
            position.quantity,
            contract_size,
            position.entry,
            price,
        );
        let Some(charge) = self.holding_costs[model].charge(&held, boundary) else {
            return;
        };
        if charge.amount.is_zero() {
            return;
        }

        let balance = self.account.charge(&quote, charge.amount, boundary);
        // Warned when `free` goes negative, not at every charge while it stays there: an
        // underwater account charged hourly would otherwise warn every simulated hour. Each charge
        // is still reported as a cash flow.
        let free = balance.balance.free;
        if free.is_sign_negative() && !(free - charge.amount).is_sign_negative() {
            warn!(
                exchange = %self.exchange,
                %instrument,
                asset = %quote,
                amount = %charge.amount,
                free = %balance.balance.free,
                %boundary,
                "SimulatedVenue charged a holding cost the account could not cover: free balance \
                 is negative, and this venue liquidates no CFD position"
            );
        }

        let id = CashFlowId::new(self.cash_flow_sequence.to_smolstr());
        self.cash_flow_sequence += 1;

        events.push(self.build_account_event(Snapshot(balance)));
        events.push(
            self.build_account_event(AccountEventKind::CashFlow(CashFlow::new(
                charge.kind,
                quote,
                charge.amount,
                Some(instrument.clone()),
                boundary,
                Some(id),
            ))),
        );
    }

    /// The price a holding cost values `position` in `instrument` at: the mid of this venue's
    /// market, else its last price, else the position's entry price.
    ///
    /// The entry price is a degraded valuation, used only where this venue has no market for the
    /// instrument, as on a [`RequestPriced`](VenueRegime::RequestPriced) venue. It is warned of
    /// once.
    fn valuation(&mut self, instrument: &InstrumentNameExchange, position: NetPosition) -> Decimal {
        let price = self
            .market(instrument)
            .and_then(|market| mid_or_last(&market.snapshot));

        price.unwrap_or_else(|| {
            if !self.valued_at_entry {
                self.valued_at_entry = true;
                warn!(
                    exchange = %self.exchange,
                    %instrument,
                    entry = %position.entry,
                    "SimulatedVenue has no market price to value a holding cost at, so values it \
                     at the position's entry price; warned once per venue"
                );
            }
            position.entry
        })
    }

    /// The [`MarginEffect`] an order takes: `requested`, else the spot margin configuration's
    /// default, and [`NoSideEffect`](MarginEffect::NoSideEffect) on a cash account, which neither
    /// borrows nor repays.
    fn margin_effect(&self, requested: Option<MarginEffect>) -> MarginEffect {
        match &self.spot_margin {
            Some(config) => requested.unwrap_or(config.margin_effect()),
            None => MarginEffect::NoSideEffect,
        }
    }

    /// Why an order carrying `requested` must be refused unsent, or `None` if this venue honours
    /// it: a CFD never borrows or repays, so with spot margin on it takes `NoSideEffect` alone, and
    /// a cash account takes `NoSideEffect` alone for the same reason.
    fn refused_margin_effect(
        &self,
        requested: Option<MarginEffect>,
        terms: &InstrumentTerms,
    ) -> Option<MarginEffect> {
        let borrows_here = self.spot_margin.is_some() && !terms.cash_settled;
        requested.filter(|effect| !borrows_here && *effect != MarginEffect::NoSideEffect)
    }

    /// Gives `reservation` back to `free`, repaying the loan its order took when it was placed if
    /// the spot margin configuration repays at cancel, and hands back the interest that loan was
    /// charged, for the order's end to report. See [`AccountState::release_reservation`].
    fn release_reservation(
        &mut self,
        reservation: Reservation,
        time_exchange: DateTime<Utc>,
    ) -> Released {
        let repays = self.repays_at_cancel();
        let balance = self
            .account
            .release_reservation(&reservation, repays, time_exchange);
        Released {
            balance,
            interest: reservation.unreported_interest,
        }
    }

    /// Whether a loan its order no longer needs is repaid: the spot margin configuration's
    /// [`auto_repay_at_cancel`](SpotMarginConfig::auto_repay_at_cancel).
    fn repays_at_cancel(&self) -> bool {
        self.spot_margin
            .as_ref()
            .is_some_and(SpotMarginConfig::auto_repay_at_cancel)
    }

    /// The most a margin account may borrow of the asset `debit` pays with, for an arrival on an
    /// instrument with `terms`: see [`SpotMarginConfig`]'s `# How much it lends`.
    ///
    /// Zero unless spot margin lends, the order's `effect` is [`Borrow`](MarginEffect::Borrow),
    /// the instrument is spot, no liquidation is under way, and `free` falls short of the debit,
    /// so a venue that lends nothing, or an order that needs no loan, values nothing.
    /// `market` is the snapshot the order is priced from, used to value an asset on an instrument
    /// this venue holds no market for, as on a [`RequestPriced`](VenueRegime::RequestPriced)
    /// venue.
    fn borrowable(
        &self,
        debit: &Debit,
        effect: MarginEffect,
        terms: &InstrumentTerms,
        market: Option<&MarketSnapshot>,
    ) -> Decimal {
        let Some(config) = self.spot_margin.as_ref() else {
            return Decimal::ZERO;
        };
        if effect != MarginEffect::Borrow
            || terms.cash_settled
            || self.liquidation.under_way()
            || self.account.free(&debit.asset) >= debit.settled + debit.reserved
        {
            return Decimal::ZERO;
        }

        let priced = market.map(|market| (&terms.underlying, market));
        // A debt this venue cannot value could be any size, so it lends nothing more.
        self.leverage_room(config, &debit.asset, priced)
            .unwrap_or(Decimal::ZERO)
    }

    /// How much more of `asset` the leverage limit of `config` lets this account borrow, whatever
    /// order would borrow it: `(max_leverage − 1) · equity − debt`, never negative, in units of
    /// `asset`. See [`SpotMarginConfig`]'s `# How much it lends`.
    ///
    /// `None` if this venue cannot value `asset`, or a debt the account owes. `priced` is as for
    /// [`price_in`](Self::price_in). Shared by an order's [`borrowable`](Self::borrowable) and the
    /// [`borrow_capacity`](Self::borrow_capacity) query, so the two agree.
    fn leverage_room(
        &self,
        config: &SpotMarginConfig,
        asset: &AssetNameExchange,
        priced: Option<(&Underlying<AssetNameExchange>, &MarketSnapshot)>,
    ) -> Option<Decimal> {
        let asset_price = self.price_in(asset, config.valuation_asset(), priced)?;
        let Valued { equity, debt } = self.valued(config, MarginCheck::Borrow, priced)?;

        let headroom = (config.max_leverage() - Decimal::ONE) * equity - debt;
        // `price_in` never values an asset at zero, so the division is safe.
        Some(headroom.max(Decimal::ZERO) / asset_price)
    }

    /// The rejection for an arrival the account refused, an order on `side`.
    ///
    /// [`ApiError::BorrowRejected`] with [`BorrowRejectReason::BorrowLimitExceeded`] when the
    /// asset's borrow cap is the limit that refused ([`BalanceInsufficient::max_borrow`]), as a
    /// live Binance margin client reports Binance's `-3006`; [`ApiError::BalanceInsufficient`]
    /// otherwise. Both messages say how much the venue would lend, and name the minimum borrow and
    /// the cap when they are why. A sell borrows the base asset, the units its order is sized in,
    /// so its [`BorrowReject::available`] is what the cap left, or zero when that is below the
    /// asset's minimum borrow, which no loan may be under. A buy borrows the quote asset, and
    /// leaves it unset.
    fn insufficient_error(
        &self,
        insufficient: BalanceInsufficient,
        side: Side,
    ) -> UnindexedApiError {
        let BalanceInsufficient {
            asset,
            free,
            required,
            borrowable,
            min_borrow,
            max_borrow,
        } = insufficient;
        let mut message =
            format!("Available Balance: {free}, Required Balance inc. fees: {required}");
        if let Some(borrowable) = borrowable {
            message.push_str(&format!(", Borrowable: {borrowable}"));
        }
        if let Some(min_borrow) = min_borrow {
            message.push_str(&format!(", Minimum Borrow: {min_borrow}"));
        }
        let Some(max_borrow) = max_borrow else {
            return ApiError::BalanceInsufficient(Some(asset), message);
        };

        let message = format!("{asset} borrow exceeds Max Borrow: {max_borrow}; {message}");
        let reject = BorrowReject::new(BorrowRejectReason::BorrowLimitExceeded, None, message);
        let reject = match (side, borrowable) {
            (Side::Sell, Some(left)) => {
                let least = self
                    .spot_margin
                    .as_ref()
                    .map_or(Decimal::ZERO, |config| config.min_borrow(&asset));
                reject.with_available(if left < least { Decimal::ZERO } else { left })
            }
            _ => reject,
        };
        ApiError::BorrowRejected(reject)
    }

    /// The account's equity and debt, valued in `config`'s valuation asset as
    /// [`SpotMarginConfig`]'s `# How much it lends` says, with each asset's positive net weighted
    /// by its collateral ratio for `check`, or `None` if it owes an asset this venue cannot value.
    ///
    /// `priced` is as for [`price_in`](Self::price_in). Shared by the leverage limit and the
    /// liquidation check, so the two value an account alike but for the ratios.
    fn valued(
        &self,
        config: &SpotMarginConfig,
        check: MarginCheck,
        priced: Option<(&Underlying<AssetNameExchange>, &MarketSnapshot)>,
    ) -> Option<Valued> {
        let mut valued = Valued::default();
        for balance in self.account.balances() {
            let owed = owed(balance);
            let Some(price) = self.price_in(&balance.asset, config.valuation_asset(), priced)
            else {
                if owed > Decimal::ZERO {
                    return None;
                }
                continue;
            };
            let net = balance.balance.net_asset();
            // Only what the account holds beyond what it owes is weighted: the rest counts in
            // full, as does the net of an asset it owes more of than it holds.
            let ratio = match net > Decimal::ZERO {
                true => check.collateral_ratio(config, &balance.asset),
                false => Decimal::ONE,
            };
            valued.equity += net * ratio * price;
            valued.debt += owed * price;
        }
        Some(valued)
    }

    /// What one unit of `asset` is worth in `valuation`: one for `valuation` itself, else the mid
    /// or last price of a spot instrument pairing the two, in either direction. `None` if no
    /// instrument this venue trades has a positive price for the pair.
    ///
    /// `priced` is a pair with its snapshot, used when this venue holds no market for it. Of
    /// several instruments pairing the two, the one first by name is used, so a run values the
    /// same way every time.
    fn price_in(
        &self,
        asset: &AssetNameExchange,
        valuation: &AssetNameExchange,
        priced: Option<(&Underlying<AssetNameExchange>, &MarketSnapshot)>,
    ) -> Option<Decimal> {
        if asset == valuation {
            return Some(Decimal::ONE);
        }

        // `priced` applies to an instrument whose underlying it names: `asset`/`valuation`, or the
        // reverse for an inverse pair.
        let snapshot_of = |pair: &SpotPair| {
            self.market(&pair.instrument)
                .map(|market| market.snapshot)
                .or_else(|| {
                    let (underlying, snapshot) = priced?;
                    let (base, quote) = match pair.inverse {
                        true => (valuation, asset),
                        false => (asset, valuation),
                    };
                    (underlying.base == *base && underlying.quote == *quote).then_some(*snapshot)
                })
        };

        // Ordered by name, so the first that prices is the one first by name.
        self.spot_pairs
            .between(asset, valuation)
            .iter()
            .find_map(|pair| {
                let price = mid_or_last(&snapshot_of(pair)?)?;
                // A price of zero values nothing, and the inverse would divide by it.
                if price <= Decimal::ZERO {
                    return None;
                }
                Some(match pair.inverse {
                    true => Decimal::ONE / price,
                    false => price,
                })
            })
    }

    /// Retires every order whose deadline `time_exchange` has reached, releasing what it held.
    ///
    /// Shared by this venue's two inputs so that a deadline means the same thing whichever one
    /// reaches it first -- see [`advance_time`](Self::advance_time).
    ///
    /// Deadlines are collected before anything is retired, because retiring removes from the very
    /// index the sweep walks. [`OpenOrders::expired_as_of`] yields them by deadline then
    /// [`ClientOrderId`], so the events are in the same order on every run.
    ///
    /// [`OpenOrders::expired_as_of`]: super::orders::OpenOrders::expired_as_of
    fn sweep_expired(&mut self, time_exchange: DateTime<Utc>) -> Vec<UnindexedAccountEvent> {
        let expired = self.account.orders().expired_as_of(time_exchange);

        if expired.is_empty() {
            return Vec::new();
        }

        let mut events = Vec::with_capacity(expired.len() * 2);

        for cid in expired {
            // Collected from this same index with nothing in between, so this always finds it.
            if let Some(resting) = self.account.remove_order(&cid) {
                events.extend(self.retire_expired(resting, time_exchange));
            }
        }

        events
    }

    /// Retires an order already taken off the book as expired, returning `[balance, order]`, or
    /// `[order]` for one the venue took no reservation for. A margin order that borrowed when it
    /// rested reports the interest it was charged after the balance, as `[balance, cash flow..,
    /// order]`: it never traded, so this is the last chance to report it.
    fn retire_expired(
        &mut self,
        RestingOrder { order, reservation }: RestingOrder,
        time_exchange: DateTime<Utc>,
    ) -> Vec<UnindexedAccountEvent> {
        let flows = reservation
            .as_ref()
            .map_or(0, |reservation| reservation.unreported_interest.len());
        let mut events = Vec::with_capacity(2 + flows);

        // Released before the terminal snapshot, so a consumer applying them in order never sees
        // an order retired against a balance that still holds its reservation. An order the venue
        // took nothing for releases nothing -- see `OpenOrders`.
        if let Some(reservation) = reservation {
            let Released { balance, interest } =
                self.release_reservation(reservation, time_exchange);
            events.push(self.build_account_event(Snapshot(balance)));
            self.push_interest(&mut events, interest, time_exchange);
        }

        let expired_id = order.state.id.or_client_id(&order.key.cid);
        let expired_order = Order {
            key: order.key,
            side: order.side,
            price: order.price,
            quantity: order.quantity,
            kind: order.kind,
            time_in_force: order.time_in_force,
            state: Expired {
                id: expired_id,
                time_exchange,
                filled_quantity: Some(order.state.filled_quantity),
            },
        };

        self.account.ack_expired(expired_order.clone());

        events.push(self.build_account_event(Snapshot(UnindexedOrder::from(expired_order))));
        events
    }

    /// The instant [`advance_time`](Self::advance_time) last set, which stamps what a request
    /// produces. The Unix epoch until `advance_time` is first called.
    pub fn time_exchange(&self) -> DateTime<Utc> {
        self.time_exchange_latest
    }

    /// Records this venue's own view of `instrument` as of `time_exchange`, from `observation`.
    ///
    /// Its [`snapshot`](MarketObservation::snapshot) **replaces** whatever was held: it is a
    /// complete view of the instrument, not a partial update, so a field that is `None` means the
    /// feed supplies no such price rather than "unchanged". Whoever calls this owns the state
    /// machine that folds a stream of market events into that view.
    ///
    /// # The [`depth`](MarketObservation::depth) replaces what is left, it does not add to it
    /// [`MarketDepth`] is the size on offer as of this observation, and it is stored as the size
    /// still *available* — drawn down by every taker fill struck against it until the next call
    /// replaces it. That is the only thing that stops two market orders arriving between two
    /// observations from each taking the whole of a size that was displayed once: reading a
    /// stored size does not consume it, so without the draw-down both would see it undiminished.
    ///
    /// It bounds this account's own aggression within one observation and claims nothing more. It
    /// is not queue position against the rest of the market, which stays unmodelled — see the
    /// type's `# What matching does not model`.
    ///
    /// A feed with no sizes passes [`MarketDepth::UNKNOWN`], which caps nothing. See
    /// [`MarketDepth`] for why that, and not "nothing is available", is what absent size means.
    ///
    /// # Not every driver supplies this
    /// A venue only has market state if something feeds it one. `SimRunner` does, routing each
    /// source market event to the venues trading that instrument before the `Engine` sees it, and
    /// so does [`MockExchange::new_market_driven`](super::MockExchange::new_market_driven), from a
    /// live feed. A request-priced venue, which [`MockExchange::new`](super::MockExchange::new)
    /// drives, is fed nothing, since a backtest feeding it the market alongside requests would
    /// re-create the look-ahead hazard that motivated the split, so it reports
    /// [`market`](Self::market) as `None` forever. That difference is a property of the regime,
    /// not an accident of wiring.
    ///
    /// # What it prices
    /// Everything this venue fills. It is the market a **resting** order is matched against, the
    /// one a limit order's marketability is judged on, and — on a
    /// [`MarketDriven`](VenueRegime::MarketDriven) venue, which is the only kind that has one — the
    /// one a **market** order is priced from. See the type's `# How an order is priced`.
    ///
    /// So feeding this is not optional for a `MarketDriven` venue: an instrument it has never been
    /// fed cannot fill a market order, and says so rather than reaching for the requester's
    /// snapshot.
    ///
    /// # Returns the fills it caused, which a driver must deliver
    /// Applying a market is what makes a resting order fill, so this returns every account event
    /// those fills produced, in the order they must be delivered — the same obligation
    /// [`VenueOutcome`] carries for a request. Per filled order the events are
    /// `[balance, trade, order]`: the trade precedes the terminal order snapshot, because a
    /// consumer routing a fill to a position needs the order still to be live when the trade
    /// arrives.
    ///
    /// They are preceded by the holding costs of every boundary since the clock last moved and the
    /// expiries this tick reached, exactly as [`advance_time`](Self::advance_time) reports them.
    /// The costs are valued at the market as it stood before this tick replaced it. They are
    /// followed by what the margin check at the end of the tick causes, as for `advance_time`,
    /// valued at the market this tick set.
    ///
    /// # A bar releases the orders held for it
    /// Under [`MarketOrderTiming::NextBar`], an observation carrying a
    /// [`bar`](MarketObservation::bar) releases every order held on `instrument`, earliest first,
    /// stamped `time_exchange`: each market order filled at the bar's reference price as a taker,
    /// and each limit order held on a stale market decided as if it arrived to that price. Their
    /// events follow the expiries and precede the resting fills, since a held order trades at the
    /// start of the bar and a resting one is crossed during it.
    /// [`fills_ahead_of`](Self::fills_ahead_of) says beforehand whether an observation will
    /// release anything this way.
    ///
    /// Under [`StaleMarketPolicy::Wait`], a bar that is not [`fresh`](MarketObservation::fresh)
    /// releases nothing, and cancels the immediate-or-cancel and fill-or-kill orders held for it.
    ///
    /// # A fresh observation releases the orders waiting for one
    /// Under [`StaleMarketPolicy::Wait`] with [`MarketOrderTiming::OnArrival`], a
    /// [`fresh`](MarketObservation::fresh) observation releases every order that arrived on a
    /// stale `instrument`, earliest first, each decided as if it had arrived just after this
    /// observation, stamped `time_exchange`: a market order fills, and a limit order trades what
    /// the market crosses and rests the rest at its limit. Their events follow the resting fills,
    /// which the observation crossed first, so a limit order resting on release is not crossed by
    /// the observation that released it.
    ///
    /// # An observation that is not fresh crosses no resting order
    /// Under [`StaleMarketPolicy::Wait`], an observation that is not
    /// [`fresh`](MarketObservation::fresh) still moves the price the venue holds, but fills no
    /// resting order, however far it moves: it is not evidence that anything traded there.
    ///
    /// `#[must_use]` because a driver that applies the market and drops the result has silently
    /// eaten the fills, leaving its client holding an order the venue no longer has.
    ///
    /// # The clock never moves back
    /// A `time_exchange` earlier than the latest instant this venue has reached, through this call
    /// or through [`advance_time`](Self::advance_time), is taken as that latest instant, as
    /// `advance_time` takes one. It charges nothing again, and everything the tick stamps is
    /// stamped no earlier than what this venue has already reported: the market it stores, the
    /// instant it counts as [`fresh`](MarketObservation::fresh) from, the expiries it sweeps, and
    /// the fills it causes with the balances they restate. A consumer keeping the latest stamp of
    /// each balance would otherwise drop a fill's restatement as older than one it holds.
    ///
    /// The venue clamps the instant itself, so this holds whichever driver calls it. A driver that
    /// feeds its ticks in order, never behind an instant it has already advanced to, sees no
    /// difference.
    ///
    /// # Panics
    /// If a configured [`HoldingCostModel`] or [`MarginInterestModel`] breaks its contract: a
    /// boundary not after the instant it was asked from, or a negative interest.
    #[must_use]
    pub fn apply_market(
        &mut self,
        instrument: &InstrumentNameExchange,
        observation: MarketObservation,
        time_exchange: DateTime<Utc>,
    ) -> Vec<UnindexedAccountEvent> {
        let time_exchange = self.not_before_reached(time_exchange);
        // Charged before the snapshot is replaced, so a boundary this tick passed is valued at the
        // market as of that boundary rather than at a price observed after it.
        let mut events = self.accrue(time_exchange);

        let MarketObservation {
            snapshot,
            depth,
            bar,
            fresh,
        } = observation;
        let entry = self.market.entry(instrument.clone()).or_default();
        entry.snapshot = snapshot;
        entry.depth = depth;
        entry.time_exchange = time_exchange;
        if bar.is_some() {
            entry.bar = bar;
        }
        if fresh {
            entry.fresh_at = Some(time_exchange);
        }

        // Swept before matching, so an order whose deadline this tick has reached cannot trade on
        // the very tick that retires it -- see `advance_time`.
        events.append(&mut self.sweep_expired(time_exchange));
        // Under `Wait`, an observation that shows nothing trading moves the price but fills no one.
        let crosses_resting = fresh || !matches!(self.stale_market, StaleMarketPolicy::Wait { .. });
        match self.market_order_timing {
            MarketOrderTiming::NextBar(price) => {
                if let Some(bar) = bar {
                    if self.bar_releases(&observation) {
                        events.append(&mut self.release(
                            instrument,
                            Release::Bar(&bar, price),
                            time_exchange,
                        ));
                    } else {
                        events.append(&mut self.cancel_held_immediate(instrument, time_exchange));
                    }
                }
                if crosses_resting {
                    events.append(&mut self.match_resting(instrument, snapshot, time_exchange));
                }
            }
            MarketOrderTiming::OnArrival => {
                if crosses_resting {
                    events.append(&mut self.match_resting(instrument, snapshot, time_exchange));
                }
                // Only `Wait` holds an order under `OnArrival`, so no other policy has one to look
                // up.
                if fresh && matches!(self.stale_market, StaleMarketPolicy::Wait { .. }) {
                    events.append(&mut self.release(
                        instrument,
                        Release::Market(&snapshot),
                        time_exchange,
                    ));
                }
            }
        }
        self.check_margin(time_exchange, &mut events);
        self.refresh_next_interest_if_loans_changed();
        self.report_debt_changes(&mut events);
        events
    }

    /// Whether applying `observation` to `instrument` releases orders held for its bar,
    /// whose fills a driver must deliver **ahead of** the observation itself — see
    /// [`MarketOrderTiming::NextBar`].
    ///
    /// Asked before [`apply_market`](Self::apply_market), since applying the observation is what
    /// empties the hold. `false` for a fill released by a fresh observation under
    /// [`StaleMarketPolicy::Wait`] alone, which follows its observation as a resting fill does.
    pub fn fills_ahead_of(
        &self,
        instrument: &InstrumentNameExchange,
        observation: &MarketObservation,
    ) -> bool {
        matches!(self.market_order_timing, MarketOrderTiming::NextBar(_))
            && self.bar_releases(observation)
            && self.account.orders().holds(instrument)
    }

    /// Whether `observation` carries a bar that releases the orders held for one: any bar,
    /// unless [`StaleMarketPolicy::Wait`] asks for one something traded in.
    fn bar_releases(&self, observation: &MarketObservation) -> bool {
        observation.bar.is_some()
            && (observation.fresh || !matches!(self.stale_market, StaleMarketPolicy::Wait { .. }))
    }

    /// Retires every order still held as expired, filled nothing, stamped `time_exchange`:
    /// the data has ended before the bar or the fresh observation it was waiting for.
    ///
    /// For a driver at the end of its data, so that no order it accepted is left unanswered. Per
    /// order the events are `[balance, order]`, the released hold then the terminal [`Expired`]
    /// snapshot, as [`advance_time`](Self::advance_time) reports a deadline it reached. Pass the
    /// last instant of the run: this moves no clock and charges no holding cost.
    ///
    /// # Panics
    /// If the configured [`MarginInterestModel`] breaks its contract with a boundary not after the
    /// instant it was asked from, when the venue next looks for one after a loan is repaid.
    #[must_use]
    pub fn expire_held(&mut self, time_exchange: DateTime<Utc>) -> Vec<UnindexedAccountEvent> {
        let held = self.account.orders().held();
        let mut events = Vec::with_capacity(held.len() * 2);
        for cid in held {
            // Collected from this same index with nothing in between, so this always finds it.
            if let Some(resting) = self.account.remove_order(&cid) {
                events.extend(self.retire_expired(resting, time_exchange));
            }
        }
        self.refresh_next_interest_if_loans_changed();
        self.report_debt_changes(&mut events);
        events
    }

    /// Fills every resting order on `instrument` that `snapshot` has moved to or through.
    ///
    /// Walks each side best-first and stops at the first order that does not cross, which
    /// [`OpenOrders::resting`]'s price-time ordering makes correct: the crossing test is monotone
    /// in price down a side, so the first order that fails it is followed only by worse ones.
    ///
    /// # What crosses is the remainder
    /// A crossing order fills what is **left** of it: its quantity less whatever
    /// [`Open::filled_quantity`] says has already traded. That is its whole quantity for every
    /// order this venue books itself, which fills nothing before it rests -- but not for one a
    /// configured `initial_state` seeds, which may arrive carrying a live account's partial fill.
    /// Settling and printing the whole quantity of such an order would double-count the part that
    /// traded elsewhere, in the balance ledger and in the trade ledger alike.
    ///
    /// [`OpenOrders::resting`]: super::orders::OpenOrders::resting
    fn match_resting(
        &mut self,
        instrument: &InstrumentNameExchange,
        snapshot: MarketSnapshot,
        time_exchange: DateTime<Utc>,
    ) -> Vec<UnindexedAccountEvent> {
        // Collected before anything is filled: matching removes from the very book it walks, and
        // each entry carries its own limit so the fill loop never re-reads an order it just took
        // off the book. `resting` only yields queued orders, and only a priced order is queued.
        let mut crossing: Vec<(ClientOrderId, Decimal)> = Vec::new();
        for side in [Side::Buy, Side::Sell] {
            crossing.extend(
                self.account
                    .orders()
                    .resting(instrument, side)
                    .take_while(|order| {
                        order
                            .price
                            .is_some_and(|limit| crosses(side, limit, &snapshot))
                    })
                    .filter_map(|order| Some((order.key.cid.clone(), order.price?))),
            );
        }

        if crossing.is_empty() {
            return Vec::new();
        }

        // One lookup for the whole instrument: every crossing order is on it by construction.
        let terms = match self.instrument_terms(instrument) {
            Ok(terms) => terms,
            // Unreachable: an order cannot rest on an instrument this venue rejected at open, and
            // the instruments never change after construction. Should that ever break, dropping
            // the fills silently is the one thing this method must not do.
            Err(error) => panic!(
                "SimulatedVenue holds resting orders on an instrument it cannot price: {error}"
            ),
        };

        let mut events = Vec::with_capacity(crossing.len() * 4);

        for (cid, limit) in crossing {
            // Collected from this same book with nothing in between, so this always finds it.
            let Some(RestingOrder { order, reservation }) = self.account.remove_order(&cid) else {
                continue;
            };

            // Only what has not already traded crosses. An order can reach this book carrying a
            // filled quantity -- a configured `initial_state` seeds one straight out of a live
            // account -- and settling or printing the whole of it again would charge the ledger a
            // second time for a portion that traded before this venue ever held the order.
            let remaining = order.state.quantity_remaining(order.quantity);

            debug_assert!(
                remaining > Decimal::ZERO,
                "resting order {cid} arrived with {} of {} already filled, so crossing it trades \
                 nothing: an order with no quantity left to trade does not belong on the book",
                order.state.filled_quantity,
                order.quantity
            );

            // A resting order fills at its own limit, never at a price derived from the book --
            // see the type's `# How an order is priced` -- and takes no liquidity, so it is
            // charged the maker rate. A cash-settled one is priced against the position as it
            // stands now, which may not be the one it rested against.
            let settlement = self.fill_settlement(
                &terms,
                self.net_position(&terms, instrument),
                order.side,
                remaining,
                limit,
                Liquidity::Maker,
            );

            let mut committed = match self.settle_resting(
                &order,
                &terms,
                reservation,
                &settlement,
                time_exchange,
            ) {
                RestingSettlement::Settled(committed) => committed,
                RestingSettlement::Unaffordable { released } => {
                    events.extend(self.cancel_unfilled(order, released, time_exchange));
                    continue;
                }
            };
            self.take_fee_apart(&settlement, &mut committed, time_exchange);

            let trade = self.print_fill(
                &terms,
                &order,
                Fill {
                    quantity: remaining,
                    price: limit,
                },
                settlement.fees,
                time_exchange,
            );
            let order_id = trade.order_id.clone();

            // The order is terminal, and says so as `Inactive(FullyFilled)` rather than as an
            // `Open` carrying a complete fill. Both denote the same fact, but only this one can
            // carry the price it filled at.
            //
            // `filled_quantity` is the order's whole quantity -- what it has done in total, not
            // what this cross did -- while `avg_price` is reported only when this venue struck
            // every fill behind it, which is exactly an order that reached the book with nothing
            // done. An order that arrived part-filled took that part at a price this venue never
            // saw, so it reports no average rather than passing one fill's price off as the mean
            // of two. That is what `Filled::avg_price` being optional is for.
            let filled = Order {
                key: order.key,
                side: order.side,
                price: order.price,
                quantity: order.quantity,
                kind: order.kind,
                time_in_force: order.time_in_force,
                state: Filled::new(
                    order_id,
                    time_exchange,
                    order.quantity,
                    order.state.filled_quantity.is_zero().then_some(limit),
                ),
            };
            self.account.ack_filled(filled.clone());
            let filled = filled.map_state(OrderState::fully_filled);

            self.push_committed(&mut events, committed, Some(trade));
            events.push(self.build_account_event(Snapshot(filled)));
        }

        events
    }

    /// Releases every order held on `instrument`, earliest arrival first, priced from `release`:
    /// the bar it was held for under [`MarketOrderTiming::NextBar`], or the market a fresh
    /// observation left under [`StaleMarketPolicy::Wait`]. A market order fills, and a limit order
    /// is decided as if it arrived to that market — see
    /// [`release_held_limit`](Self::release_held_limit).
    fn release(
        &mut self,
        instrument: &InstrumentNameExchange,
        release: Release<'_>,
        time_exchange: DateTime<Utc>,
    ) -> Vec<UnindexedAccountEvent> {
        let held = self.account.take_held(instrument);
        if held.is_empty() {
            return Vec::new();
        }

        let terms = match self.instrument_terms(instrument) {
            Ok(terms) => terms,
            // Unreachable, as in `match_resting`: an order is held only on an instrument this
            // venue accepted it for.
            Err(error) => {
                panic!("SimulatedVenue holds orders on an instrument it cannot price: {error}")
            }
        };

        let mut events = Vec::with_capacity(held.len() * 4);
        for cid in held {
            // Handed out by the held index with nothing in between, so this always finds it.
            let Some(resting) = self.account.remove_order(&cid) else {
                continue;
            };
            // Only a limit order is held with a price: `hold_on_arrival` drops a market order's.
            debug_assert_eq!(
                resting.order.kind == OrderKind::Limit,
                resting.order.price.is_some(),
                "SimulatedVenue held {} as {:?} with price {:?}: only a limit order is held with \
                 a price",
                resting.order.key.cid,
                resting.order.kind,
                resting.order.price
            );
            events.extend(match resting.order.price {
                Some(limit) => {
                    self.release_held_limit(resting, limit, release, &terms, time_exchange)
                }
                None => self.fill_held(resting, release, &terms, time_exchange),
            });
        }
        events
    }

    /// Cancels every immediate-or-cancel and fill-or-kill market order held on `instrument` for a
    /// bar that has arrived with nothing traded in it, leaving the rest held for the next one — see
    /// [`StaleMarketPolicy::Wait`]. Per order the events are `[balance, cash flow.., order]`, the
    /// cash flows reporting the interest its hold was charged, if it borrowed — see
    /// [`cancel_unfilled`](Self::cancel_unfilled).
    fn cancel_held_immediate(
        &mut self,
        instrument: &InstrumentNameExchange,
        time_exchange: DateTime<Utc>,
    ) -> Vec<UnindexedAccountEvent> {
        let orders = self.account.orders();
        let immediate = orders
            .held_on(instrument)
            .iter()
            .filter(|cid| {
                orders.get(cid).is_some_and(|order| {
                    matches!(
                        order.time_in_force,
                        TimeInForce::ImmediateOrCancel | TimeInForce::FillOrKill
                    )
                })
            })
            .cloned()
            .collect::<Vec<_>>();

        let mut events = Vec::with_capacity(immediate.len() * 2);
        for cid in immediate {
            // Collected from this same index with nothing in between, so this always finds it.
            if let Some(RestingOrder { order, reservation }) = self.account.remove_order(&cid) {
                let released = reservation
                    .map(|reservation| self.release_reservation(reservation, time_exchange));
                events.extend(self.cancel_unfilled(order, released, time_exchange));
            }
        }
        events
    }

    /// Fills one held market order, as a taker arriving at the price `release` gives it, and
    /// returns `[balance.., trade, cash flow.., order]`, or `[balance, cash flow.., order]` for one
    /// it cancels, the cash flows reporting the interest its loans were charged, if any.
    ///
    /// What the order would cost was held when it arrived, at the price the venue held then. The
    /// release's price is another, so the hold is released and the fill costed afresh, as a
    /// resting CFD fill is, and an order the account can no longer afford is cancelled — see
    /// [`settle_resting`](Self::settle_resting). So is one the release's market cannot price.
    fn fill_held(
        &mut self,
        RestingOrder { order, reservation }: RestingOrder,
        release: Release<'_>,
        terms: &InstrumentTerms,
        time_exchange: DateTime<Utc>,
    ) -> Vec<UnindexedAccountEvent> {
        let side = order.side;
        let quantity = order.state.quantity_remaining(order.quantity);

        let reference = match release {
            Release::Bar(bar, price) => {
                // The bar's price is handed to the model as the only price there is, so a model
                // reading the last price prices from it, and the configured slippage moves it, as
                // for any taker. A model that needs a book cannot price from it and is given the
                // reference itself.
                let reference = price.reference(side, bar);
                let at_reference = MarketSnapshot::from_last_price(Some(reference));
                Some(
                    self.fill_model
                        .fill_price(&FillContext::new(side, quantity, &at_reference))
                        .unwrap_or(reference),
                )
            }
            // Priced exactly as an order arriving now would be.
            Release::Market(market) => self
                .fill_model
                .fill_price(&FillContext::new(side, quantity, market)),
        };
        // A fresh observation leaving a market the model cannot price for this side: a quote with
        // only the other side of the book, say. On arrival that order would be refused as
        // unpriceable; having been accepted, it is cancelled.
        let Some(reference) = reference else {
            let released =
                reservation.map(|reservation| self.release_reservation(reservation, time_exchange));
            return self.cancel_unfilled(order, released, time_exchange);
        };

        // What the releasing observation has to give this order, which is all of it wherever no
        // size is known -- as on every candle feed.
        let filled_quantity = match self.depth_available(&order.key.instrument, side) {
            Some(available) => quantity.min(available),
            None => quantity,
        };
        // Its time in force decides what becomes of a part the observation cannot fill, as on
        // arrival: a deadline already reached was swept before it released anything.
        let kill = order.time_in_force == TimeInForce::FillOrKill;
        if filled_quantity <= Decimal::ZERO || (filled_quantity < quantity && kill) {
            let released =
                reservation.map(|reservation| self.release_reservation(reservation, time_exchange));
            return self.cancel_unfilled(order, released, time_exchange);
        }

        // Drawn only now that the order is known to trade, and handed back if the ledger refuses
        // it, as in `fill_on_arrival`.
        let slippage_before = self.slippage.clone();
        let fill_price = self.slippage.apply(side, reference);

        let settlement = self.fill_settlement(
            terms,
            self.net_position(terms, &order.key.instrument),
            side,
            filled_quantity,
            fill_price,
            Liquidity::Taker,
        );

        let mut committed =
            match self.settle_resting_afresh(terms, reservation, &settlement, time_exchange) {
                RestingSettlement::Settled(committed) => committed,
                RestingSettlement::Unaffordable { released } => {
                    self.slippage = slippage_before;
                    return self.cancel_unfilled(order, released, time_exchange);
                }
            };
        self.take_fee_apart(&settlement, &mut committed, time_exchange);

        self.consume_depth(&order.key.instrument, side, filled_quantity);
        let fill = Fill {
            quantity: filled_quantity,
            price: fill_price,
        };
        let trade = self.print_fill(terms, &order, fill, settlement.fees, time_exchange);

        // Filled outright, or cancelled carrying what the observation's size allowed: a market
        // order has no limit to rest a remainder at, as on arrival.
        let terminal = if filled_quantity == quantity {
            let filled = Order {
                key: order.key,
                side,
                price: order.price,
                quantity: order.quantity,
                kind: order.kind,
                time_in_force: order.time_in_force,
                state: Filled::new(
                    trade.order_id.clone(),
                    time_exchange,
                    order.quantity,
                    Some(fill_price),
                ),
            };
            self.account.ack_filled(filled.clone());
            filled.map_state(OrderState::fully_filled)
        } else {
            let cancelled = Order {
                key: order.key,
                side,
                price: order.price,
                quantity: order.quantity,
                kind: order.kind,
                time_in_force: order.time_in_force,
                state: Cancelled {
                    id: trade.order_id.clone(),
                    time_exchange,
                    filled_quantity: Some(filled_quantity),
                },
            };
            self.account.ack_cancelled(cancelled.clone());
            UnindexedOrder::from(cancelled)
        };

        let mut events = Vec::with_capacity(4);
        self.push_committed(&mut events, committed, Some(trade));
        events.push(self.build_account_event(Snapshot(terminal)));
        events
    }

    /// Releases one limit order held on a stale market, as if it had arrived to the market
    /// `release` gives it, and returns `[balance.., trade, cash flow.., order]` for one that
    /// trades, `[balance, order]` for one that joins the book whole, and `[balance, cash flow..,
    /// order]` for one it cancels. The cash flows report the interest its loans were charged, if
    /// any. One that joins the book whole has traded nothing, so its reservation keeps them.
    ///
    /// Decided against that market as an arriving limit order is decided against the market it
    /// arrives to:
    /// - one the market crosses trades as a taker, priced by the venue's [`FillModel`], moved by
    ///   its slippage and capped at its limit, up to the size the market has, and what is left of
    ///   it joins the book at its limit;
    /// - one the market does not cross joins the book whole, at its limit;
    /// - a post-only one the market crosses is cancelled, having traded nothing.
    ///
    /// A bar's reference price is handed over as the only price there is, as for a held market
    /// order — see [`fill_held`](Self::fill_held).
    ///
    /// What the order would cost was held when it arrived, at the market the venue held then. The
    /// hold is released and the order costed afresh, its fill and what it rests as one
    /// requirement, as on arrival, so an order the account can no longer afford is cancelled.
    /// Whatever joins the book is stamped `time_exchange`, which is when it joined the queue.
    fn release_held_limit(
        &mut self,
        RestingOrder { order, reservation }: RestingOrder,
        limit: Decimal,
        release: Release<'_>,
        terms: &InstrumentTerms,
        time_exchange: DateTime<Utc>,
    ) -> Vec<UnindexedAccountEvent> {
        let side = order.side;
        let quantity = order.state.quantity_remaining(order.quantity);

        let (market, reference) = match release {
            Release::Bar(bar, price) => {
                let reference = price.reference(side, bar);
                (
                    MarketSnapshot::from_last_price(Some(reference)),
                    Some(reference),
                )
            }
            Release::Market(market) => (*market, None),
        };

        let marketable = crosses(side, limit, &market);
        let post_only = matches!(
            order.time_in_force,
            TimeInForce::GoodUntilCancelled { post_only: true }
        );
        if marketable && post_only {
            let released =
                reservation.map(|reservation| self.release_reservation(reservation, time_exchange));
            return self.cancel_unfilled(order, released, time_exchange);
        }

        // What the market has to give this order: nothing if it does not cross, and all of it
        // wherever no size is known.
        let filled_quantity = match self.depth_available(&order.key.instrument, side) {
            _ if !marketable => Decimal::ZERO,
            Some(available) => quantity.min(available),
            None => quantity,
        };
        let unfilled = quantity - filled_quantity;

        // Drawn only if the order trades, and handed back if the ledger refuses it, as in
        // `fill_on_arrival`.
        let slippage_before = self.slippage.clone();
        let position = self.net_position(terms, &order.key.instrument);
        let fill = (filled_quantity > Decimal::ZERO).then(|| {
            // A crossed market prices it, but a model that needs more of a book than the market
            // has falls back to the bar's reference price, or to the limit, as on arrival.
            let price = self
                .fill_model
                .fill_price(&FillContext::new(side, quantity, &market))
                .or(reference)
                .unwrap_or(limit);
            let price = clamp_to_limit(side, self.slippage.apply(side, price), limit);
            let settlement = self.fill_settlement(
                terms,
                position,
                side,
                filled_quantity,
                price,
                Liquidity::Taker,
            );
            (price, settlement)
        });

        // What resting the rest will cost, priced as the fill that settles it will be: at the
        // limit, as the maker, against the position the fill leaves.
        let held = (unfilled > Decimal::ZERO).then(|| {
            let position = match &fill {
                Some((price, _)) => position.after(side, filled_quantity, *price),
                None => position,
            };
            self.settlement(terms, position, side, unfilled, limit, Liquidity::Maker)
        });

        let (debit, credit) = match (&fill, &held) {
            (Some((_, fill)), Some(held)) => (fill.settled_holding(held), Some(&fill.credit)),
            (Some((_, fill)), None) => (fill.settled(), Some(&fill.credit)),
            (None, Some(held)) => (held.reserved(), None),
            (None, None) => unreachable!(
                "SimulatedVenue released {} with nothing to trade or rest: it holds only an order \
                 with a positive quantity, which `open_order_inner` checks, and such an order \
                 either trades or rests some of it",
                order.key.cid
            ),
        };
        let effect = reservation.as_ref().map_or_else(
            || self.margin_effect(None),
            |reservation| reservation.effect,
        );
        let (mut committed, loan, excess_borrowed) =
            match self.commit_afresh(terms, reservation, &debit, credit, time_exchange) {
                Recommitted::Committed {
                    commitment,
                    loan,
                    excess_borrowed,
                } => (commitment, loan, excess_borrowed),
                Recommitted::Unaffordable { released } => {
                    self.slippage = slippage_before;
                    return self.cancel_unfilled(order, released, time_exchange);
                }
            };

        let mut events = Vec::with_capacity(4);
        let mut filled_total = order.state.filled_quantity;
        let mut trade = None;
        if let Some((price, settlement)) = fill {
            self.take_fee_apart(&settlement, &mut committed, time_exchange);
            self.consume_depth(&order.key.instrument, side, filled_quantity);
            let fill = Fill {
                quantity: filled_quantity,
                price,
            };
            trade = Some(self.print_fill(terms, &order, fill, settlement.fees, time_exchange));
            filled_total += filled_quantity;
        }

        let terminal = match held {
            // What is left joins the book, carrying what has already traded, holding the loan
            // this release left the order with, as a remainder rested on arrival does.
            Some(held) => {
                let open = Open::new(order.state.id.clone(), time_exchange, filled_total);
                let rested = Order {
                    key: order.key,
                    side,
                    price: order.price,
                    quantity: order.quantity,
                    kind: order.kind,
                    time_in_force: order.time_in_force,
                    state: open,
                };
                // A release that traded reports every charge after its trade. One that did not
                // leaves them with no position to belong to, so they wait with the remainder, as
                // on arrival.
                let unreported_interest = match trade {
                    Some(_) => Vec::new(),
                    None => {
                        let mut held = std::mem::take(&mut committed.held_interest);
                        held.extend(committed.interest.take().map(|flow| *flow));
                        held
                    }
                };
                self.book_rested(
                    rested.clone(),
                    Reservation {
                        borrowed: loan.min(held.requirement()),
                        excess_borrowed,
                        amount: held.requirement(),
                        asset: held.asset,
                        effect,
                        unreported_interest,
                    },
                );
                rested.map_state(OrderState::active)
            }
            // Filled outright by this one trade, which carries the order's id: a held order has
            // traded nothing before its release, so the trade's price is the mean of its fills.
            None => {
                let Some(trade) = &trade else {
                    unreachable!("an order with nothing left to rest has traded");
                };
                let filled = Order {
                    key: order.key,
                    side,
                    price: order.price,
                    quantity: order.quantity,
                    kind: order.kind,
                    time_in_force: order.time_in_force,
                    state: Filled::new(
                        trade.order_id.clone(),
                        time_exchange,
                        order.quantity,
                        Some(trade.price),
                    ),
                };
                self.account.ack_filled(filled.clone());
                filled.map_state(OrderState::fully_filled)
            }
        };

        self.push_committed(&mut events, committed, trade);
        events.push(self.build_account_event(Snapshot(terminal)));
        events
    }

    /// Records `fill` of `order`, an order this venue already holds, and returns the trade it
    /// printed, acknowledged in the ledger.
    ///
    /// The trade's cumulative is everything the order had already done plus `fill`.
    fn print_fill(
        &mut self,
        terms: &InstrumentTerms,
        order: &OpenOrder,
        fill: Fill,
        fees: AssetFees<AssetNameExchange>,
        time_exchange: DateTime<Utc>,
    ) -> Trade<AssetNameExchange, InstrumentNameExchange> {
        let Fill { quantity, price } = fill;
        self.record_fill(terms, &order.key.instrument, order.side, fill);

        let trade = Trade {
            id: self.trade_id_sequence_fetch_add(),
            order_id: order.state.id.or_client_id(&order.key.cid),
            instrument: order.key.instrument.clone(),
            strategy: order.key.strategy.clone(),
            time_exchange,
            side: order.side,
            price,
            quantity,
            order_filled_quantity: Some(order.state.filled_quantity + quantity),
            fees,
            origin: TradeOrigin::Order,
            position_side: None,
            client_order_id: Some(order.key.cid.clone()),
            time_source: TimeSource::Venue,
        };

        self.account.ack_trade(trade.clone());
        trade
    }

    /// Moves the balances one resting fill pays with and receives, and returns the restatements it
    /// owes.
    ///
    /// # A cash-settled fill is costed again when it fills
    /// What a CFD order holds was computed against the position when it rested, and the position
    /// may have moved since: another order may have closed what this one was going to close, so
    /// this one now opens a position instead. Its hold is therefore released and the fill costed
    /// afresh, as one ledger move with one restatement. If the account can no longer afford it,
    /// the result is [`RestingSettlement::Unaffordable`] and the order is cancelled, as a venue
    /// re-checking margin at fill time would cancel it, rather than filled with balance the account
    /// does not have. A spot fill whose fee exceeds what it receives is the same: its hold covers
    /// what it pays with, not the excess fee taken from the asset it receives, so it is checked
    /// afresh.
    ///
    /// # Panics
    /// Panics if a spot order the venue holds nothing against cannot be afforded when it fills —
    /// see this type's caller obligations on `initial_state` — unless its fee exceeds what it
    /// receives, which is checked afresh and cancelled like a CFD order.
    fn settle_resting(
        &mut self,
        order: &OpenOrder,
        terms: &InstrumentTerms,
        reservation: Option<Reservation>,
        settlement: &Settlement,
        time_exchange: DateTime<Utc>,
    ) -> RestingSettlement {
        let delivery = match &settlement.credit {
            // A fill whose fee is taken apart costs less than its order holds, the cost of its
            // fee falling back, whenever that fee would have been on top of what it pays with.
            _ if settlement.fee_apart => {
                return self.settle_resting_afresh(terms, reservation, settlement, time_exchange);
            }
            Credit::Delivery(delivery) if !delivery.amount.is_sign_negative() => delivery,
            // A cash-settled fill, or a spot fill whose fee exceeds what it receives.
            Credit::PaidBack(_) | Credit::Delivery(_) => {
                return self.settle_resting_afresh(terms, reservation, settlement, time_exchange);
            }
        };

        // An order seeded by `initial_state` holds nothing, and takes the venue's default effect.
        let effect = reservation.as_ref().map_or_else(
            || self.margin_effect(None),
            |reservation| reservation.effect,
        );
        let Some(Reservation {
            asset,
            amount,
            unreported_interest,
            ..
        }) = reservation
        else {
            // Seeded by a configured `initial_state`, so nothing is held against it and the fill
            // debits now. An account that cannot cover it is a mis-specified fixture, in the same
            // class as an absent balance, and gets the same treatment, unless a margin account
            // lends what it lacks.
            let debit = settlement.settled();
            return RestingSettlement::Settled(
                self.commit(
                    &debit,
                    Some(&settlement.credit),
                    effect,
                    terms,
                    None,
                    time_exchange,
                )
                .unwrap_or_else(|insufficient| {
                    panic!(
                        "SimulatedVenue cannot afford the fill of resting order {}, which was \
                             seeded by `initial_state` and so reserved nothing: {} of {} free, {} \
                             required",
                        order.key.cid, insufficient.free, insufficient.asset, insufficient.required
                    )
                }),
            );
        };

        // Reserve exactly what will be settled, then settle exactly what was reserved: the client
        // sees one balance restatement per asset, and never a balance the account did not hold.
        // Both sides are the unfilled remainder, priced at the order's own limit as the maker --
        // `rest_order` holds for it and this settles it, so the two agree by construction rather
        // than by two formulas coinciding. Only spot reaches this: what a spot fill costs does not
        // depend on a position, so nothing can have moved it since the order rested.
        debug_assert!(
            asset == settlement.asset && amount == settlement.amount,
            "resting order {} reserved {amount} of {asset} but its fill settles {} of {}: the \
             reservation and the fill disagree, so a balance the account never held would be \
             reported",
            order.key.cid,
            settlement.amount,
            settlement.asset
        );

        // A loan taken when the order was placed stays owed: it paid for this fill, and the
        // interest it was charged is reported after it.
        let paid = self.account.settle(&asset, amount, time_exchange);
        let received = self.account.deliver(delivery, effect, time_exchange);
        RestingSettlement::Settled(Commitment {
            held_interest: unreported_interest,
            ..Commitment::from(Committed {
                paid,
                received: Some(received),
                borrowed: Decimal::ZERO,
                excess_borrowed: Decimal::ZERO,
            })
        })
    }

    /// Releases a resting fill's hold and settles the fill afresh, restating each asset it moved
    /// once, or reports it unaffordable. See [`settle_resting`](Self::settle_resting).
    ///
    /// On a margin account, a loan the order took when it was placed stays owed while the fill is
    /// costed afresh, which may borrow more. A fill that costs less than was held repays the part
    /// of the loan it no longer needs, and an order that turns out unaffordable repays all of it,
    /// as a cancelled order does.
    fn settle_resting_afresh(
        &mut self,
        terms: &InstrumentTerms,
        reservation: Option<Reservation>,
        settlement: &Settlement,
        time_exchange: DateTime<Utc>,
    ) -> RestingSettlement {
        match self.commit_afresh(
            terms,
            reservation,
            &settlement.settled(),
            Some(&settlement.credit),
            time_exchange,
        ) {
            Recommitted::Committed { commitment, .. } => RestingSettlement::Settled(commitment),
            Recommitted::Unaffordable { released } => RestingSettlement::Unaffordable { released },
        }
    }

    /// Releases an order's hold and commits `debit` and `credit` afresh in its place, restating
    /// each asset it moved once, or reports the account cannot cover them. See
    /// [`settle_resting_afresh`](Self::settle_resting_afresh) and [`Recommitted`].
    fn commit_afresh(
        &mut self,
        terms: &InstrumentTerms,
        mut reservation: Option<Reservation>,
        debit: &Debit,
        credit: Option<&Credit>,
        time_exchange: DateTime<Utc>,
    ) -> Recommitted {
        // Reported after the fill this commits, or with the cancel if the account cannot cover
        // it: either way the order's hold is done with.
        let held_interest = reservation
            .as_mut()
            .map(|reservation| std::mem::take(&mut reservation.unreported_interest))
            .unwrap_or_default();
        let effect = reservation.as_ref().map_or_else(
            || self.margin_effect(None),
            |reservation| reservation.effect,
        );
        let released = reservation.map(|reservation| {
            let balance =
                self.account
                    .release(&reservation.asset, reservation.amount, time_exchange);
            (reservation, balance)
        });

        let repays_at_cancel = self.repays_at_cancel();
        match self.commit(debit, credit, effect, terms, None, time_exchange) {
            Ok(mut commitment) => {
                let mut loan = commitment.committed.shortfall_borrowed();
                let mut excess_borrowed = commitment.committed.excess_borrowed;
                if let Some((reservation, _)) = &released {
                    loan += reservation.borrowed;
                    excess_borrowed += reservation.excess_borrowed;
                }
                // A fill that cost less than was held needs less of the loan; the account's own
                // funds pay first, so the unused loan is the smaller of the loan and the surplus.
                // It is repaid only if the venue repays what its orders no longer need.
                if let Some((reservation, _)) = released.filter(|_| repays_at_cancel) {
                    let surplus = reservation.amount - (debit.settled + debit.reserved);
                    let unused = reservation.borrowed.min(surplus);
                    if unused > Decimal::ZERO {
                        debug_assert_eq!(commitment.committed.paid.asset, reservation.asset);
                        commitment.committed.paid =
                            self.account
                                .repay_loan(&reservation.asset, unused, time_exchange);
                        loan -= unused;
                    }
                }
                commitment.held_interest = held_interest;
                Recommitted::Committed {
                    commitment,
                    loan,
                    excess_borrowed,
                }
            }
            Err(_) => Recommitted::Unaffordable {
                released: released.map(|(reservation, balance)| Released {
                    balance: match !repays_at_cancel || reservation.loan().is_zero() {
                        true => balance,
                        false => self.account.repay_loan(
                            &reservation.asset,
                            reservation.loan(),
                            time_exchange,
                        ),
                    },
                    interest: held_interest,
                }),
            },
        }
    }

    /// Appends the balances one commitment restated, the asset paid with first, then `trade`, the
    /// fill they paid for, then the cash flows reporting the interest its loans were charged: what
    /// the order's hold was charged, then what this commitment borrowed.
    ///
    /// The balances come before the fill that spent them, and the interest after it, once the
    /// position the loan funds exists, so a consumer attributing the interest to that position
    /// finds it. The balances already include the interest, so a consumer applying the events in
    /// order never holds more than the account does. With no `trade` the interest follows the
    /// balances, so nothing a caller left in `commitment` goes unreported.
    fn push_committed(
        &self,
        events: &mut Vec<UnindexedAccountEvent>,
        commitment: Commitment,
        trade: Option<Trade<AssetNameExchange, InstrumentNameExchange>>,
    ) {
        let Commitment {
            committed: Committed { paid, received, .. },
            interest,
            held_interest,
            fee,
        } = commitment;
        // The instant the interest is reported: the fill's, or with no fill the restatement's.
        let reported_at = trade
            .as_ref()
            .map_or(paid.time_exchange, |trade| trade.time_exchange);
        events.push(self.build_account_event(Snapshot(paid)));
        if let Some(received) = received {
            events.push(self.build_account_event(Snapshot(received)));
        }
        if let Some(fee) = fee {
            events.push(self.build_account_event(Snapshot(*fee)));
        }
        if let Some(trade) = trade {
            events.push(self.build_account_event(trade));
        }
        self.push_interest(
            events,
            held_interest.into_iter().chain(interest.map(|flow| *flow)),
            reported_at,
        );
    }

    /// Appends the cash flows reporting `interest` a loan was charged, each stamped
    /// `time_exchange`, the instant it is reported. See [`Reservation::unreported_interest`] for
    /// why a charge can be reported later than it was made.
    fn push_interest(
        &self,
        events: &mut Vec<UnindexedAccountEvent>,
        interest: impl IntoIterator<Item = CashFlow<AssetNameExchange, InstrumentNameExchange>>,
        time_exchange: DateTime<Utc>,
    ) {
        events.extend(interest.into_iter().map(|mut flow| {
            flow.time_exchange = time_exchange;
            self.build_account_event(AccountEventKind::CashFlow(flow))
        }));
    }

    /// Takes a fill's fee out of its asset's free balance when `settlement` says it is
    /// [taken apart](Settlement::fee_apart), adding that balance's restatement to `commitment`.
    fn take_fee_apart(
        &mut self,
        settlement: &Settlement,
        commitment: &mut Commitment,
        time_exchange: DateTime<Utc>,
    ) {
        // A fee discounted to nothing takes nothing, from a balance the account may never have
        // held.
        if !settlement.fee_apart || settlement.fees.fees.is_zero() {
            return;
        }
        // `fee_in_fee_asset` saw the free balance cover the fee before the fill moved anything,
        // and the fill exchanges neither its base nor its quote for the fee asset, nor lends it,
        // so the balance still covers it.
        commitment.fee = Some(Box::new(self.account.charge(
            &settlement.fees.asset,
            -settlement.fees.fees,
            time_exchange,
        )));
    }

    /// Commits one arrival's whole ledger effect through [`AccountState::commit`], lending what
    /// [`borrowable`](Self::borrowable) and the asset's borrow cap allow, and at least the asset's
    /// minimum borrow, to an order whose `effect` borrows, then charges interest on whatever it
    /// lent.
    ///
    /// The interest is charged at `time_exchange` on the amount lent, so the restated
    /// [`Committed::paid`] includes it, and [`Commitment::interest`] reports it.
    ///
    /// # Errors
    /// As [`AccountState::commit`]: the ledger is left untouched and nothing is charged.
    fn commit(
        &mut self,
        debit: &Debit,
        credit: Option<&Credit>,
        effect: MarginEffect,
        terms: &InstrumentTerms,
        market: Option<&MarketSnapshot>,
        time_exchange: DateTime<Utc>,
    ) -> Result<Commitment, BalanceInsufficient> {
        let lending = Lending {
            borrowable: self.borrowable(debit, effect, terms, market),
            min_borrow: self
                .spot_margin
                .as_ref()
                .map_or(Decimal::ZERO, |config| config.min_borrow(&debit.asset)),
            max_borrow: self
                .spot_margin
                .as_ref()
                .and_then(|config| config.max_borrow(&debit.asset)),
        };
        let mut committed = self
            .account
            .commit(debit, credit, effect, lending, time_exchange)?;

        let interest = match committed.borrowed > Decimal::ZERO {
            true => self
                .charge_interest(
                    &debit.asset,
                    committed.borrowed,
                    InterestDue::Borrow(time_exchange),
                )
                .map(|(balance, flow)| {
                    committed.paid = balance;
                    Box::new(flow)
                }),
            false => None,
        };
        Ok(Commitment {
            interest,
            ..Commitment::from(committed)
        })
    }

    /// Cancels an order the venue held and will not fill, and reports it: a resting order whose
    /// fill the account can no longer afford, or a held market order its bar could not fill.
    ///
    /// The released hold restates first, so a consumer applying the events in order never sees the
    /// order retired against a balance that still holds its reservation. Interest a loan for the
    /// order was charged when it was placed follows it, reported now since the order never traded:
    /// `[balance, cash flow.., order]`.
    fn cancel_unfilled(
        &mut self,
        order: OpenOrder,
        released: Option<Released>,
        time_exchange: DateTime<Utc>,
    ) -> Vec<UnindexedAccountEvent> {
        let flows = released
            .as_ref()
            .map_or(0, |released| released.interest.len());
        let mut events = Vec::with_capacity(2 + flows);
        if let Some(Released { balance, interest }) = released {
            events.push(self.build_account_event(Snapshot(balance)));
            self.push_interest(&mut events, interest, time_exchange);
        }

        let id = order.state.id.or_client_id(&order.key.cid);
        let cancelled = Order {
            key: order.key,
            side: order.side,
            price: order.price,
            quantity: order.quantity,
            kind: order.kind,
            time_in_force: order.time_in_force,
            state: Cancelled {
                id,
                time_exchange,
                filled_quantity: Some(order.state.filled_quantity),
            },
        };
        self.account.ack_cancelled(cancelled.clone());
        events.push(self.build_account_event(Snapshot(UnindexedOrder::from(cancelled))));

        events
    }

    /// Every instrument this venue trades, keyed by its exchange name, exactly as it was
    /// constructed with.
    ///
    /// Read only: the set of instruments is fixed for the venue's life. To trade a different set,
    /// construct a new venue.
    pub fn instruments(
        &self,
    ) -> &FnvHashMap<InstrumentNameExchange, Instrument<ExchangeId, AssetNameExchange>> {
        &self.instruments
    }

    /// The instrument this venue trades under `name`, or `None` if it trades none by that name.
    pub fn instrument(
        &self,
        name: &InstrumentNameExchange,
    ) -> Option<&Instrument<ExchangeId, AssetNameExchange>> {
        self.instruments.get(name)
    }

    /// This venue's view of `instrument`, or `None` if nothing has fed it one.
    pub fn market(&self, instrument: &InstrumentNameExchange) -> Option<&VenueInstrumentMarket> {
        self.market.get(instrument)
    }

    /// Number of orders this venue has booked.
    ///
    /// Also how far the next `OrderId` is past the first one this venue minted, which is `0` unless
    /// the seeded account state carried a decimal id: then the first is one past the highest such
    /// id, so a minted id never repeats a seeded one.
    ///
    /// Counts every order it gave an id to, including those that retired without ever trading. It
    /// is **not** a count of trades — one order can print more than once, and trade ids are minted
    /// from a sequence of their own.
    pub fn order_sequence(&self) -> u64 {
        self.order_sequence
    }

    pub fn balances(&self, assets: &[AssetNameExchange]) -> Vec<AssetBalance<AssetNameExchange>> {
        // Empty slice means "return all" (consistent with account_snapshot behavior).
        self.account
            .balances()
            .filter(|balance| assets.is_empty() || assets.contains(&balance.asset))
            .cloned()
            .collect()
    }

    /// How much more this account can borrow now for an order on `instrument` on `side`: what
    /// [`BorrowCapacityClient::fetch_borrow_capacity`] asks a simulated venue.
    ///
    /// A sell borrows `instrument`'s base asset, a buy its quote asset, which the result names.
    /// [`borrowable_now`](BorrowCapacity::borrowable_now) is the lesser of what the leverage limit
    /// and the asset's borrow cap leave, as [`SpotMarginConfig`]'s `# How much it lends` says.
    /// It is zero when that is below the asset's minimum borrow, which no loan may be under, and
    /// while a liquidation is under way, when this venue lends nothing.
    /// [`account_limit`](BorrowCapacity::account_limit) is the asset's cap, unset when it has none.
    ///
    /// It is the room to borrow alone. The account's free balance of the asset is not added,
    /// though an order spends that before it borrows. Resting orders need no adjustment: what they
    /// borrowed when placed is in the debt, and what they hold is still in the equity.
    ///
    /// # Valued without an order's market
    /// The query carries no market snapshot, so only the markets this venue holds value the
    /// account. When they cannot value the asset, or any balance the account holds or owes,
    /// `borrowable_now` is `None`, unknown, where an order, which brings its own market, may still
    /// be lent. A cap that leaves nothing, or less than the minimum borrow, still makes it zero.
    /// A [`RequestPriced`](VenueRegime::RequestPriced) venue holds no market, so it can answer
    /// only for an account holding nothing but its valuation asset, asked about that asset.
    ///
    /// # Errors
    /// [`ApiError::InstrumentInvalid`] for an instrument this venue does not trade, and for one it
    /// never lends against: every instrument on a cash account (no spot margin configuration),
    /// and a cash-settled one on a margin account.
    ///
    /// [`BorrowCapacityClient::fetch_borrow_capacity`]: crate::client::BorrowCapacityClient::fetch_borrow_capacity
    pub fn borrow_capacity(
        &self,
        instrument: &InstrumentNameExchange,
        side: Side,
    ) -> Result<BorrowCapacity, UnindexedApiError> {
        let terms = self.instrument_terms(instrument)?;
        let config = match &self.spot_margin {
            Some(config) if !terms.cash_settled => config,
            Some(_) => {
                return Err(ApiError::InstrumentInvalid(
                    instrument.clone(),
                    format!(
                        "SimulatedVenue lends nothing against {instrument}: it is cash-settled"
                    ),
                ));
            }
            None => {
                return Err(ApiError::InstrumentInvalid(
                    instrument.clone(),
                    format!(
                        "SimulatedVenue lends nothing against {instrument}: it has no spot margin \
                         configuration"
                    ),
                ));
            }
        };
        let asset = match side {
            Side::Buy => &terms.underlying.quote,
            Side::Sell => &terms.underlying.base,
        };

        let mut capacity = BorrowCapacity::new(asset.clone());
        let cap = config.max_borrow(asset);
        if let Some(cap) = cap {
            capacity = capacity.with_account_limit(cap);
        }
        let cap_room = cap.map(|cap| self.account.cap_room(asset, cap));
        let min_borrow = config.min_borrow(asset);

        // The cap alone rules a loan out when it leaves none, or less than the least that may be
        // lent, whatever the leverage limit would leave.
        let ruled_out = self.liquidation.under_way()
            || cap_room.is_some_and(|room| room.is_zero() || room < min_borrow);
        let room = match ruled_out {
            true => Some(Decimal::ZERO),
            false => self
                .values_every_holding(config.valuation_asset())
                .then(|| self.leverage_room(config, asset, None))
                .flatten()
                .map(|room| cap_room.map_or(room, |cap_room| cap_room.min(room))),
        };
        if let Some(room) = room {
            capacity = capacity.with_borrowable_now(match room < min_borrow {
                true => Decimal::ZERO,
                false => room,
            });
        }
        Ok(capacity)
    }

    /// Whether the markets this venue holds value, in `valuation`, every asset the account holds
    /// any of. The leverage limit leaves a holding it cannot value out of the equity, which
    /// understates what an order may borrow, but a query that cannot value one does not know.
    /// A debt it cannot value already stops [`leverage_room`](Self::leverage_room).
    fn values_every_holding(&self, valuation: &AssetNameExchange) -> bool {
        self.account.balances().all(|balance| {
            balance.balance.total.is_zero()
                || self.price_in(&balance.asset, valuation, None).is_some()
        })
    }

    pub fn orders_open(
        &self,
        instruments: &[InstrumentNameExchange],
    ) -> Vec<Order<ExchangeId, InstrumentNameExchange, Open>> {
        // Empty slice means "return all" (consistent with account_snapshot behavior).
        self.account
            .orders_open()
            .filter(|order| instruments.is_empty() || instruments.contains(&order.key.instrument))
            .cloned()
            .collect()
    }

    /// How each of `orders` ended, for those that have: filled, cancelled (including the
    /// unfilled remainder of a market order) or expired at its own deadline.
    ///
    /// An order still open is omitted, and so is one this venue never held, including one it
    /// rejected on arrival, whose rejection was the answer to its open request. An empty `orders`
    /// returns nothing, not every ended order.
    ///
    /// Each order is found by its client order id, which this venue keys every order on, and is
    /// returned under the key it was asked for. A key naming a different instrument from the one
    /// the order traded is treated as unknown, and an id asked about more than once is reported
    /// once, under the first key that finds it.
    pub fn orders_ended(&self, orders: &[UnindexedOrderKey]) -> Vec<UnindexedInactiveOrder> {
        let mut reported = FnvHashSet::default();
        orders
            .iter()
            .filter_map(|key| {
                let order = self
                    .account
                    .order_ended(&key.cid)
                    .filter(|order| order.key.instrument == key.instrument)?;
                reported.insert(&key.cid).then(|| Order {
                    key: key.clone(),
                    ..order
                })
            })
            .collect()
    }

    pub fn trades(
        &self,
        time_since: DateTime<Utc>,
    ) -> Vec<Trade<AssetNameExchange, InstrumentNameExchange>> {
        self.account.trades(time_since).cloned().collect()
    }

    /// Books an open against the ledger and reports everything it owes the client.
    ///
    /// The venue books its own fill: the `Trade` is acknowledged into the ledger here, so a driver
    /// cannot forget to. A filled open reports `[balance, trade]` -- `[paid, received, trade]` for
    /// spot, which moves two assets -- mirroring a real venue where the trade is booked before the
    /// order can be reported `FullyFilled`; an open that rests reports `[balance]` alone -- the
    /// reservation now held against it -- and no trade, because nothing traded.
    ///
    /// A Market order has no limit price, and any price it carries is ignored, so the venue prices
    /// it from whichever market its [`VenueRegime`] gives it -- its own on a
    /// [`MarketDriven`](VenueRegime::MarketDriven) venue, and
    /// [`RequestOpen::market`](crate::order::request::RequestOpen::market) on a
    /// [`RequestPriced`](VenueRegime::RequestPriced) one. A Limit order is always judged and priced
    /// against this venue's own market; see the type's `# How an order is priced`.
    ///
    /// An order whose quantity is zero or negative is rejected, moving nothing, whatever the
    /// market: with an [`ApiError::OrderRejected`] naming the quantity, unless its kind or time in
    /// force is refused first.
    ///
    /// # Panics
    /// If a configured [`HoldingCostModel`] or [`MarginInterestModel`] breaks its contract: a
    /// boundary not after the instant it was asked from, or a negative interest.
    pub fn open_order(
        &mut self,
        request: OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
    ) -> OpenOutcome {
        // Chosen here so one path holds one snapshot: threading both through would allow two copies
        // to disagree, with nothing to arbitrate.
        let market = self.pricing_market(&request);
        let (response, notifications) = self.open_order_inner(request, market);

        // Everything is already committed -- the trade acknowledged, the order recorded or booked,
        // the ledger moved. All that is left is to package it in the order a driver must deliver
        // it: the balance that pays for a fill before the fill that spent it, and the interest a
        // loan for it was charged after it, once the position it funds exists.
        let mut events = match notifications {
            Some(OpenOrderNotifications::Filled { commitment, trade }) => {
                let mut events = Vec::with_capacity(3);
                self.push_committed(&mut events, commitment, Some(trade));
                events
            }
            // Already on the book: `open_order_inner` put it there, holding the reservation this
            // balance restates.
            // Any interest a loan for it was charged waits in its reservation until it trades or
            // ends: see `Reservation::unreported_interest`.
            Some(OpenOrderNotifications::Rested { balance }) => {
                vec![self.build_account_event(balance)]
            }
            None => Vec::new(),
        };
        self.refresh_next_interest_if_loans_changed();
        self.report_debt_changes(&mut events);

        VenueOutcome { events, response }
    }

    /// Takes a resting order off the book, releasing whatever is held against it.
    ///
    /// Returns `[balance]` and a [`Cancelled`] carrying the quantity filled before the cancel
    /// arrived -- which is whatever the order had done: nothing for one that rested untouched, the
    /// taker part for one the book could only partly fill on arrival, and whatever a configured
    /// `initial_state` seeded, carried through rather than added to. An order the venue holds
    /// nothing against releases nothing and reports no balance; see this type's note on
    /// `initial_state`.
    ///
    /// # A cancel that finds nothing says which nothing it found
    /// A cancel racing its own order's fill is the reason this distinguishes three cases rather
    /// than rejecting flatly. With a non-zero `to_venue` latency the fill can win, and
    /// [`ApiError::OrderAlreadyFullyFilled`] is what tells the caller to reconcile against the fill
    /// rather than retry. An order cancelled twice gets [`ApiError::OrderAlreadyCancelled`], and
    /// only an id this venue has never booked is rejected as unknown.
    ///
    /// # Panics
    /// If the configured [`MarginInterestModel`] breaks its contract with a boundary not after the
    /// instant it was asked from, when the venue next looks for one after a loan is repaid.
    pub fn cancel_order(
        &mut self,
        request: OrderRequestCancel<ExchangeId, InstrumentNameExchange>,
    ) -> CancelOutcome {
        let time_exchange = self.time_exchange();

        let Some(RestingOrder { order, reservation }) = self.account.remove_order(&request.key.cid)
        else {
            return VenueOutcome {
                events: Vec::new(),
                response: UnindexedOrderResponseCancel {
                    state: Err(self.cancel_missing_reason(&request.key.cid)),
                    key: request.key,
                },
            };
        };

        // Released before the response is built, so a request arriving after this one sees the
        // freed balance regardless of when a driver delivers the restatement.
        // Interest a loan for it was charged when it was placed is reported now, since it never
        // traded.
        let mut events = match reservation {
            Some(reservation) => {
                let Released { balance, interest } =
                    self.release_reservation(reservation, time_exchange);
                let mut events = vec![self.build_account_event(Snapshot(balance))];
                self.push_interest(&mut events, interest, time_exchange);
                events
            }
            None => Vec::new(),
        };
        self.refresh_next_interest_if_loans_changed();
        self.report_debt_changes(&mut events);

        let cancelled = Cancelled {
            id: order.state.id.or_client_id(&order.key.cid),
            time_exchange,
            filled_quantity: Some(order.state.filled_quantity),
        };

        self.account.ack_cancelled(Order {
            key: order.key,
            side: order.side,
            price: order.price,
            quantity: order.quantity,
            kind: order.kind,
            time_in_force: order.time_in_force,
            state: cancelled.clone(),
        });

        VenueOutcome {
            events,
            response: UnindexedOrderResponseCancel {
                key: request.key,
                state: Ok(cancelled),
            },
        }
    }

    /// Follows each balance restatement in `events` whose debt differs from the debt last reported
    /// for its asset with an [`AccountEventKind::MarginDebt`] stating the new debt, at the
    /// restatement's time. Nothing on an account that is not a spot-margin one.
    ///
    /// The debt is read off the restatements this venue already emits, so every path that moves a
    /// loan reports it without each one doing so itself. What changed is read from how: principal
    /// that rose is a borrow, principal or interest that fell a repay, and interest that rose
    /// alone an interest charge.
    fn report_debt_changes(&mut self, events: &mut Vec<UnindexedAccountEvent>) {
        if self.spot_margin.is_none() {
            return;
        }
        let mut index = 0;
        while index < events.len() {
            index += 1;
            let AccountEventKind::BalanceSnapshot(Snapshot(balance)) = &events[index - 1].kind
            else {
                continue;
            };
            let Some(debt) = balance.balance.margin else {
                continue;
            };
            let before = self
                .reported_debt
                .insert(balance.asset.clone(), debt)
                .unwrap_or_default();
            if before == debt {
                continue;
            }
            let kind = if debt.borrowed > before.borrowed {
                MarginDebtKind::Borrow
            } else if debt.borrowed < before.borrowed || debt.interest < before.interest {
                MarginDebtKind::Repay
            } else {
                MarginDebtKind::Interest
            };
            let update = MarginDebtUpdate::new(
                balance.asset.clone(),
                None,
                debt,
                kind,
                kind.to_smolstr(),
                balance.time_exchange,
            );
            events.insert(
                index,
                self.build_account_event(AccountEventKind::MarginDebt(update)),
            );
        }
    }

    /// Why a cancel found no resting order under `cid`.
    fn cancel_missing_reason(&self, cid: &ClientOrderId) -> UnindexedOrderError {
        if self.account.is_filled(cid) {
            ApiError::OrderAlreadyFullyFilled.into()
        } else if self.account.is_cancelled(cid) {
            ApiError::OrderAlreadyCancelled.into()
        } else if self.account.is_expired(cid) {
            ApiError::OrderAlreadyExpired.into()
        } else {
            UnindexedOrderError::Rejected(ApiError::OrderRejected(format!(
                "SimulatedVenue is not holding an open order with {cid}"
            )))
        }
    }

    pub fn account_snapshot(&self) -> UnindexedAccountSnapshot {
        let balances = self.account.balances().cloned().collect();

        let orders_open = self
            .account
            .orders_open()
            .cloned()
            .map(UnindexedOrder::from);

        let orders_cancelled = self
            .account
            .orders_cancelled()
            .cloned()
            .map(UnindexedOrder::from);

        let orders_expired = self
            .account
            .orders_expired()
            .cloned()
            .map(UnindexedOrder::from);

        let orders_all = orders_open.chain(orders_cancelled).chain(orders_expired);
        // Sorted on `(instrument, cid)` rather than `instrument` alone: the sort is unstable, so a
        // key shared by several orders leaves their relative order unspecified, and a snapshot that
        // lists the same account's orders in a different order on each run is not comparable
        // between runs. `cid` is unique per order, so the extended key is total.
        let orders_all = orders_all
            .sorted_unstable_by_key(|order| (order.key.instrument.clone(), order.key.cid.clone()));
        let orders_by_instrument = orders_all.chunk_by(|order| order.key.instrument.clone());

        let mut orders_by_instrument: FnvHashMap<_, Vec<_>> = orders_by_instrument
            .into_iter()
            .map(|(instrument, orders)| (instrument, orders.collect()))
            .collect();

        // Every instrument with an order, and every cash-settled instrument whether or not it has
        // one: a CFD's position is reported even while it is flat, which is what lets a consumer
        // tell "holds none" from "not reported".
        let mut instruments: Vec<_> = self
            .instruments
            .iter()
            .filter_map(|(name, instrument)| {
                let orders = orders_by_instrument.remove(name);
                let position = self.position_report(name, instrument);
                if orders.is_none() && position == PositionReport::Unreported {
                    return None;
                }
                Some(InstrumentAccountSnapshot {
                    instrument: name.clone(),
                    orders: orders.unwrap_or_default(),
                    // Read from the venue's own book, so every open order is here under the id it
                    // was placed with. Cancelled and expired orders are listed too, which only adds
                    // to what a consumer can see.
                    orders_complete: true,
                    position,
                    isolated: None,
                })
            })
            .collect();

        // Orders a configured `initial_state` seeded on an instrument this venue does not trade,
        // which it still holds and so still reports.
        instruments.extend(
            orders_by_instrument
                .into_iter()
                .map(|(instrument, orders)| InstrumentAccountSnapshot {
                    instrument,
                    orders,
                    orders_complete: true,
                    position: PositionReport::Unreported,
                    isolated: None,
                }),
        );
        instruments.sort_unstable_by(|a, b| a.instrument.cmp(&b.instrument));

        UnindexedAccountSnapshot {
            exchange: self.exchange,
            balances,
            instruments,
        }
    }

    /// The position this venue reports for `instrument`.
    ///
    /// A cash-settled instrument reports its net position, [`Flat`](PositionReport::Flat) when it
    /// holds none. A spot holding is an asset balance on this venue rather than a position, so a
    /// spot instrument reports [`Unreported`](PositionReport::Unreported).
    fn position_report(
        &self,
        name: &InstrumentNameExchange,
        instrument: &Instrument<ExchangeId, AssetNameExchange>,
    ) -> PositionReport {
        if !matches!(instrument.kind, InstrumentKind::Cfd(_)) {
            return PositionReport::Unreported;
        }

        let position = self.positions.get(name).copied().unwrap_or_default();
        PositionReport::from_position(Position::new(
            position.quantity,
            (!position.quantity.is_zero()).then_some(position.entry),
            None,
            None,
            None,
            None,
            None,
            self.time_exchange(),
        ))
    }

    /// Decides one open's fate, moves the balance it pays with, and commits nothing else.
    ///
    /// Kept separate from [`open_order`](Self::open_order) rather than inlined: this body has
    /// several early returns, and the ordering contract -- emit the balance before the trade it
    /// paid for -- is the part a reader needs to find. Splitting keeps that contract in a short
    /// caller instead of at the end of a long one.
    ///
    /// Everything an arrival commits is committed *here*, by whichever function decides the
    /// order's fate: [`fill_on_arrival`](Self::fill_on_arrival) acknowledges its own trade and
    /// records what the order became, exactly as [`cancel_on_arrival`](Self::cancel_on_arrival),
    /// [`expire_on_arrival`](Self::expire_on_arrival) and [`rest_order`](Self::rest_order) already
    /// do. The caller is left owning event order and nothing else.
    ///
    /// `market` is the snapshot the request carried, and is used only by an order that is priced
    /// from it -- see the type's `# How an order is priced`.
    /// The market an arriving order is priced against, which is the venue's own wherever it has
    /// one.
    ///
    /// # Why the regime decides, and why there is no fallback
    /// A [`MarketDriven`](VenueRegime::MarketDriven) venue owns a book, and a fill is priced from
    /// the book the order reaches -- that is what a venue *is*. Its driver routes each market event
    /// to it before the client that will react sees it, and books the request at the instant it
    /// arrives, so this snapshot is the market as of that arrival: neither stale, nor from a future
    /// the sender could not have seen.
    ///
    /// [`RequestPriced`](VenueRegime::RequestPriced) has no book at all, so the snapshot the
    /// request carried is its only price source. That is the whole of the difference, and it is why
    /// a request-priced `MockExchange`'s results do not move.
    ///
    /// A `MarketDriven` venue that has not been fed this instrument answers `None` rather than
    /// falling back to the request's snapshot. A venue with no market for an instrument cannot fill
    /// a market order in it, and saying so is the observable failure; silently pricing from the
    /// requester's view would make the fill depend on which of the two happened to hold a price,
    /// and would re-admit exactly the request-priced behaviour the regime exists to distinguish.
    /// [`fill_on_arrival`](Self::fill_on_arrival) reports it as an unpriceable order, naming the
    /// absent snapshot.
    fn pricing_market(
        &self,
        request: &OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
    ) -> Option<MarketSnapshot> {
        match self.regime {
            VenueRegime::RequestPriced => request.state.market,
            // `VenueInstrumentMarket` is `Copy`, so this leaves no borrow outstanding.
            VenueRegime::MarketDriven => self
                .market(&request.key.instrument)
                .map(|market| market.snapshot),
        }
    }

    fn open_order_inner(
        &mut self,
        request: OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
        market: Option<MarketSnapshot>,
    ) -> (
        Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>,
        Option<OpenOrderNotifications>,
    ) {
        if let Err(error) = self.validate_order_kind_supported(request.state.kind) {
            return (build_open_order_err_response(request, error), None);
        }

        if let Err(error) =
            validate_time_in_force_supported(request.state.kind, request.state.time_in_force)
        {
            return (build_open_order_err_response(request, error), None);
        }

        // An order for nothing, or for less than nothing, is refused as a venue refuses it. Every
        // path below takes the quantity as positive: a held order, for one, is released only to
        // trade or rest some of it.
        if request.state.quantity <= Decimal::ZERO {
            let reason = format!(
                "cannot open {} for {}: quantity {} is not positive",
                request.key.instrument, request.key.exchange, request.state.quantity
            );
            return (
                build_open_order_err_response(
                    request,
                    UnindexedOrderError::Rejected(ApiError::OrderRejected(reason)),
                ),
                None,
            );
        }

        // Read out before the `&mut self` balance borrows below.
        let terms = match self.instrument_terms(&request.key.instrument) {
            Ok(terms) => terms,
            Err(error) => return (build_open_order_err_response(request, error), None),
        };

        // Before anything touches the ledger: an effect this venue cannot honour is refused rather
        // than placed without it, which would borrow, or not repay, against the caller's intent.
        if let Some(effect) = self.refused_margin_effect(request.state.margin_effect, &terms) {
            return (
                build_open_order_err_response(
                    request,
                    UnindexedOrderError::UnsupportedMarginEffect(effect),
                ),
                None,
            );
        }

        // Before anything touches the ledger, and for every kind: see the type's note on client
        // order ids. It is also what makes a refused booking in `book_rested` unreachable.
        if self.account.orders().contains(&request.key.cid) {
            let reason = format!(
                "{} already names an order resting on {}",
                request.key.cid, request.key.exchange
            );
            return (
                build_open_order_err_response(request, ApiError::DuplicateClientOrderId(reason)),
                None,
            );
        }

        // Before anything touches the ledger: a refused short leaves no trace on it.
        if let Err(error) = self.check_shortability(&request, &terms, market.as_ref()) {
            return (build_open_order_err_response(request, error), None);
        }

        let now = self.time_exchange();

        // Only a limit order's price is a limit, and a limit order without one has nothing to rest
        // at or bound a fill by. Refused before the stale-market gate below, so that the gate
        // never holds an order this venue would refuse anyway.
        let limit = match request.state.kind {
            OrderKind::Limit => match request.state.price {
                Some(limit) => Some(limit),
                None => {
                    let reason = format!(
                        "cannot open {} for {}: OrderKind::Limit carries no limit price",
                        request.key.instrument, request.key.exchange
                    );
                    return (
                        build_open_order_err_response(
                            request,
                            UnindexedOrderError::Rejected(ApiError::OrderRejected(reason)),
                        ),
                        None,
                    );
                }
            },
            _ => None,
        };

        // Under `StaleMarketPolicy::Wait`, an order arriving on a stale market is handled as if it
        // arrived just after the instrument's next fresh observation: held until then, or refused
        // if its time in force will not wait. An order already past its own deadline is not asked,
        // since it expires below whatever the market is doing.
        if let StaleMarketPolicy::Wait { max_age } = self.stale_market
            && !matches!(
                request.state.time_in_force,
                TimeInForce::GoodTillDate { expiry } if now >= expiry
            )
        {
            match self.market_age(&request.key.instrument, max_age, now) {
                MarketAge::NoFeed => {
                    let reason = format!(
                        "cannot accept {} on {}: StaleMarketPolicy::Wait needs a market feed to \
                         measure {}'s age from, and this venue has none",
                        request.key.cid, request.key.exchange, request.key.instrument
                    );
                    return (
                        build_open_order_err_response(
                            request,
                            UnindexedOrderError::Rejected(ApiError::OrderRejected(reason)),
                        ),
                        None,
                    );
                }
                MarketAge::Stale { fresh_at } => {
                    if matches!(
                        request.state.time_in_force,
                        TimeInForce::ImmediateOrCancel | TimeInForce::FillOrKill
                    ) {
                        let last = fresh_at.map_or_else(
                            || "never observed fresh".to_owned(),
                            |fresh_at| format!("last observed fresh at {fresh_at}"),
                        );
                        let reason = format!(
                            "cannot fill {} on {}: {}'s market is stale under \
                             StaleMarketPolicy::Wait (max_age {max_age:?}; {last}), and \
                             TimeInForce::{} does not wait for a fresh observation",
                            request.key.cid,
                            request.key.exchange,
                            request.key.instrument,
                            request.state.time_in_force
                        );
                        return (
                            build_open_order_err_response(
                                request,
                                UnindexedOrderError::Rejected(ApiError::OrderRejected(reason)),
                            ),
                            None,
                        );
                    }
                    return self.hold_on_arrival(request, market, &terms);
                }
                MarketAge::Fresh | MarketAge::Unpriced => {}
            }
        }

        // `None` for every kind but a limit order, each of which is marketable on arrival by
        // definition.
        let Some(limit) = limit else {
            // Only the two aggressing arms an order with no limit price can reach, and `Expire`,
            // are reachable: `Rest` and `FillAndRest` need somewhere to rest, which such an order
            // has not got, and `CancelUnfilled` needs `post_only`, which the static gate already
            // refused on a market order. The remaining arms retire the order unfilled rather than
            // asserting, because filling an order this function could not account for is the one
            // wrong answer.
            //
            // The two aggressing arms differ in what becomes of a remainder the book could not
            // fill: `ImmediateOrCancel` keeps what it got and retires the rest, `FillOrKill`
            // would rather trade nothing -- see `Remainder`.
            //
            // Under `MarketOrderTiming::NextBar`, both aggressing arms wait for the bar instead,
            // and their time in force is applied when it fills them.
            return match disposition(request.state.kind, request.state.time_in_force, true, now) {
                Disposition::FillAndCancel | Disposition::FillOrNothing
                    if matches!(self.market_order_timing, MarketOrderTiming::NextBar(_)) =>
                {
                    self.hold_on_arrival(request, market, &terms)
                }
                Disposition::FillAndCancel => {
                    self.fill_on_arrival(request, market, &terms, Remainder::Cancel)
                }
                Disposition::FillOrNothing => {
                    self.fill_on_arrival(request, market, &terms, Remainder::Kill)
                }
                Disposition::Expire => self.expire_on_arrival(request, now),
                Disposition::FillAndRest | Disposition::CancelUnfilled | Disposition::Rest => {
                    self.cancel_on_arrival(request, now)
                }
            };
        };

        // The same snapshot the order will be priced from, so marketability and price cannot be
        // decided against two different views of the book. `validate_order_kind_supported` has
        // already refused a limit order on a `RequestPriced` venue, so on this path
        // `pricing_market` is this venue's own market by construction.
        let marketable = market.is_some_and(|market| crosses(request.state.side, limit, &market));

        match disposition(
            request.state.kind,
            request.state.time_in_force,
            marketable,
            now,
        ) {
            // The three differ only in what becomes of a remainder the book could not fill, which
            // is exactly what they are asked here -- see `Remainder`.
            Disposition::FillAndRest => {
                self.fill_on_arrival(request, market, &terms, Remainder::Rest { limit })
            }
            Disposition::FillAndCancel => {
                self.fill_on_arrival(request, market, &terms, Remainder::Cancel)
            }
            Disposition::FillOrNothing => {
                self.fill_on_arrival(request, market, &terms, Remainder::Kill)
            }
            // Nothing has traded, so the whole quantity is what rests.
            Disposition::Rest => self.rest_order(request, limit, &terms, Decimal::ZERO),
            Disposition::CancelUnfilled => self.cancel_on_arrival(request, now),
            Disposition::Expire => self.expire_on_arrival(request, now),
        }
    }

    /// How old `instrument`'s market is at `now`, measured against `max_age` — see
    /// [`StaleMarketPolicy::Wait`].
    fn market_age(
        &self,
        instrument: &InstrumentNameExchange,
        max_age: Duration,
        now: DateTime<Utc>,
    ) -> MarketAge {
        if self.regime == VenueRegime::RequestPriced {
            return MarketAge::NoFeed;
        }
        let Some(market) = self
            .market(instrument)
            .filter(|market| !market.snapshot.is_empty())
        else {
            return MarketAge::Unpriced;
        };
        let Some(fresh_at) = market.fresh_at else {
            return MarketAge::Stale { fresh_at: None };
        };
        // A `max_age` too long for a `TimeDelta` is longer than any run, so nothing is stale.
        let stale = chrono::TimeDelta::from_std(max_age)
            .is_ok_and(|max_age| now.signed_duration_since(fresh_at) > max_age);
        if stale {
            MarketAge::Stale {
                fresh_at: Some(fresh_at),
            }
        } else {
            MarketAge::Fresh
        }
    }

    /// Accepts an order to fill later, holding what it would cost at the venue's current market:
    /// a market order on its instrument's next bar under [`MarketOrderTiming::NextBar`], and any
    /// order arriving on a stale market on its next fresh observation under
    /// [`StaleMarketPolicy::Wait`] (or, combined with `NextBar`, its next fresh bar).
    ///
    /// What it would cost is what it would cost arriving now: a market order, or a limit order the
    /// market crosses, as a taker at the price the [`FillModel`] gives, capped at a limit order's
    /// limit; a limit order the market does not cross, or a post-only one, at its limit as the
    /// maker it would rest as.
    ///
    /// Refused instead, with nothing moved, when the order waits for a bar and the instrument has
    /// never been fed one (there is no next bar this venue can know to wait for), when the current
    /// market prices nothing for a market order, and when the account cannot cover the hold. The
    /// last two are what an arriving order would be refused for too, so a strategy is refused the
    /// same orders whether or not they wait.
    fn hold_on_arrival(
        &mut self,
        request: OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
        market: Option<MarketSnapshot>,
        terms: &InstrumentTerms,
    ) -> (
        Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>,
        Option<OpenOrderNotifications>,
    ) {
        if matches!(self.market_order_timing, MarketOrderTiming::NextBar(_))
            && self
                .market(&request.key.instrument)
                .and_then(|market| market.bar)
                .is_none()
        {
            let reason = format!(
                "cannot hold {} on {} for {}'s next bar: MarketOrderTiming::NextBar holds it for \
                 one and needs a bar feed, and this venue has been fed no bar for it",
                request.key.cid, request.key.exchange, request.key.instrument
            );
            return (
                build_open_order_err_response(
                    request,
                    UnindexedOrderError::Rejected(ApiError::OrderRejected(reason)),
                ),
                None,
            );
        }

        let side = request.state.side;
        let limit = match request.state.kind {
            OrderKind::Limit => request.state.price,
            _ => None,
        };
        let post_only = matches!(
            request.state.time_in_force,
            TimeInForce::GoodUntilCancelled { post_only: true }
        );

        // The price the order would fill at now, unslipped: the hold is an estimate, released and
        // costed afresh when the order is released, so it takes no draw from the slippage stream.
        let taker_estimate = || {
            market.and_then(|market| {
                self.fill_model
                    .fill_price(&FillContext::new(side, request.state.quantity, &market))
            })
        };
        let (estimate, liquidity) = match limit {
            Some(limit)
                if !post_only && market.is_some_and(|market| crosses(side, limit, &market)) =>
            {
                // A crossed market prices it, but a model that needs more of a book than the
                // market has falls back to the limit, as on arrival.
                let estimate = taker_estimate().unwrap_or(limit);
                (
                    Some(clamp_to_limit(side, estimate, limit)),
                    Liquidity::Taker,
                )
            }
            Some(limit) => (Some(limit), Liquidity::Maker),
            None => (taker_estimate(), Liquidity::Taker),
        };
        let Some(estimate) = estimate else {
            let reason = format!(
                "cannot price {} for {}: no market price available yet and OrderKind::{:?} carries \
                 no limit price",
                request.key.instrument, request.key.exchange, request.state.kind
            );
            return (
                build_open_order_err_response(
                    request,
                    UnindexedOrderError::Rejected(ApiError::OrderRejected(reason)),
                ),
                None,
            );
        };

        let time_exchange = self.time_exchange();
        let settlement = self.settlement(
            terms,
            self.net_position(terms, &request.key.instrument),
            side,
            request.state.quantity,
            estimate,
            liquidity,
        );

        let debit = settlement.reserved();
        let effect = self.margin_effect(request.state.margin_effect);
        let (committed, interest) =
            match self.commit(&debit, None, effect, terms, market.as_ref(), time_exchange) {
                // A fresh commitment holds no earlier order's interest, so `held_interest` is
                // empty.
                Ok(Commitment {
                    committed,
                    interest,
                    ..
                }) => (committed, interest),
                Err(insufficient) => {
                    return (
                        build_open_order_err_response(
                            request,
                            self.insufficient_error(insufficient, side),
                        ),
                        None,
                    );
                }
            };

        let open = Open::new(
            VenueOrderId::Assigned(self.order_id_sequence_fetch_add()),
            time_exchange,
            Decimal::ZERO,
        );
        // A market order is held with no price whatever the request carried, since a price on one
        // is ignored, and a limit order with its limit, which it rests at once released.
        let order = Order {
            key: request.key,
            side,
            price: limit,
            quantity: request.state.quantity,
            kind: request.state.kind,
            time_in_force: request.state.time_in_force,
            state: open,
        };

        // Nothing traded, so the shortfall it was lent is all held against the order, and the
        // interest that loan was charged waits with it for a position to belong to.
        let reservation = Reservation {
            amount: settlement.requirement(),
            asset: settlement.asset,
            borrowed: committed.shortfall_borrowed(),
            excess_borrowed: committed.excess_borrowed,
            effect,
            unreported_interest: interest.map(|flow| vec![*flow]).unwrap_or_default(),
        };
        if let Err(AlreadyResting(refused)) = self.account.hold(order.clone(), Some(reservation)) {
            unreachable!(
                "SimulatedVenue held {} over a resting order: open_order_inner checks first",
                refused.order.key.cid
            );
        }

        (
            order.map_state(OrderState::active),
            Some(OpenOrderNotifications::Rested {
                balance: Snapshot(committed.paid),
            }),
        )
    }

    /// Refuses an order that would open or increase a CFD short which the configured
    /// [`ShortabilityProvider`] does not allow; see the type's
    /// `# Locates and the short-sale restriction`.
    ///
    /// The short an order opens is measured as if every resting sell on the instrument filled
    /// first, so that a short this venue has already accepted on the book counts against what is
    /// left to lend, and an order whose short part is nothing — a buy, or a sell that only reduces
    /// a long — passes untouched. `market` is the snapshot the order will be priced from, so
    /// whether it is marketable is judged against the book it would fill on.
    fn check_shortability(
        &self,
        request: &OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
        terms: &InstrumentTerms,
        market: Option<&MarketSnapshot>,
    ) -> Result<(), UnindexedApiError> {
        let Some(provider) = &self.shortability else {
            return Ok(());
        };
        if !terms.cash_settled || request.state.side != Side::Sell {
            return Ok(());
        }

        let instrument = &request.key.instrument;
        let resting_sells: Decimal = self
            .account
            .orders_open()
            .filter(|order| order.key.instrument == *instrument && order.side == Side::Sell)
            .map(|order| order.state.quantity_remaining(order.quantity))
            .sum();
        // The position left if every resting sell fills, before and after this order does too.
        let committed = self.net_position(terms, instrument).quantity - resting_sells;
        let short_before = (-committed).max(Decimal::ZERO);
        let short_after = (request.state.quantity - committed).max(Decimal::ZERO);
        if short_after <= short_before {
            return Ok(());
        }

        let now = self.time_exchange();
        let exchange = request.key.exchange;
        let shortability = provider.shortability(instrument, now);

        if let Some(delisting_at) = shortability.delisting_at
            && delisting_at <= now
        {
            return Err(ApiError::BorrowRejected(BorrowReject::new(
                BorrowRejectReason::NotShortable,
                None,
                format!(
                    "{instrument} cannot be sold short on {exchange} at {now}: it is delisted at \
                     {delisting_at}"
                ),
            )));
        }
        if shortability.shortable == Some(false) {
            return Err(ApiError::BorrowRejected(BorrowReject::new(
                BorrowRejectReason::NotShortable,
                None,
                format!("{instrument} cannot be sold short on {exchange} at {now}"),
            )));
        }

        if let Some(available) = shortability.available
            && short_after > available
        {
            let message = format!(
                "selling {} {instrument} on {exchange} would take its short, resting sells \
                 included, to {short_after}, past the {available} there is to borrow at {now}",
                request.state.quantity
            );
            let left = (available - short_before).max(Decimal::ZERO);
            return Err(ApiError::BorrowRejected(
                BorrowReject::new(BorrowRejectReason::InventoryUnavailable, None, message)
                    .with_available(left),
            ));
        }

        // A limit is judged against what a sell trades against, the bid, else the last price, as
        // `crosses` judges it. Every other kind this venue accepts takes whatever the book offers,
        // at the price the fill model gives it. When there is nothing to judge against, an order
        // that would take from the book is refused as unpriceable instead, which names the real
        // cause.
        let marketable = || {
            market.is_some_and(|market| match request.state.kind {
                OrderKind::Limit => request
                    .state
                    .price
                    .is_some_and(|limit| crosses(Side::Sell, limit, market)),
                _ => self
                    .fill_model
                    .fill_price(&FillContext::new(
                        Side::Sell,
                        request.state.quantity,
                        market,
                    ))
                    .is_some(),
            })
        };
        if provider.short_sale_restricted(instrument, now) && marketable() {
            return Err(ApiError::BorrowRejected(BorrowReject::new(
                BorrowRejectReason::ShortSaleRestricted,
                None,
                format!(
                    "{instrument} is under a short-sale restriction on {exchange} at {now}: a \
                     short sale must be priced above the best bid"
                ),
            )));
        }

        Ok(())
    }

    /// Retires an order that asked to work only on arrival and could not, having traded nothing.
    ///
    /// Reached by a non-marketable [`TimeInForce::ImmediateOrCancel`] or
    /// [`TimeInForce::FillOrKill`], and by a `post_only` order that would have taken liquidity.
    /// Nothing was reserved and nothing traded, so this owes no balance restatement -- only the
    /// terminal response.
    fn cancel_on_arrival(
        &mut self,
        request: OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
        now: DateTime<Utc>,
    ) -> (
        Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>,
        Option<OpenOrderNotifications>,
    ) {
        let cancelled = Cancelled {
            id: self.order_id_sequence_fetch_add(),
            time_exchange: now,
            filled_quantity: Some(Decimal::ZERO),
        };

        self.account.ack_cancelled(Order {
            key: request.key.clone(),
            side: request.state.side,
            price: request.state.price,
            quantity: request.state.quantity,
            kind: request.state.kind,
            time_in_force: request.state.time_in_force,
            state: cancelled.clone(),
        });

        (
            Order {
                key: request.key,
                side: request.state.side,
                price: request.state.price,
                quantity: request.state.quantity,
                kind: request.state.kind,
                time_in_force: request.state.time_in_force,
                state: OrderState::inactive(cancelled),
            },
            None,
        )
    }

    /// Retires an order whose [`TimeInForce::GoodTillDate`] deadline had already passed when it
    /// arrived.
    ///
    /// Such an order is never rested, and never traded -- not even when the book would have filled
    /// it, since an order past its deadline has stopped working and whether it *could* have traded
    /// is not a question this venue asks. With no independent clock, deadlines are swept only when
    /// a driver advances it or feeds it a market, so an order accepted past its own deadline would
    /// work until something else happened to touch the venue -- and if nothing did, for the rest of
    /// the run. Retiring it here makes the deadline mean what it says.
    ///
    /// Reported as expired rather than rejected because nothing was wrong with the request: its
    /// price, size and funding were never examined, and calling it a rejection would tell a
    /// consumer's statistics the venue refused an order it merely found too late.
    fn expire_on_arrival(
        &mut self,
        request: OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
        now: DateTime<Utc>,
    ) -> (
        Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>,
        Option<OpenOrderNotifications>,
    ) {
        let expired = Expired {
            id: self.order_id_sequence_fetch_add(),
            time_exchange: now,
            filled_quantity: Some(Decimal::ZERO),
        };

        self.account.ack_expired(Order {
            key: request.key.clone(),
            side: request.state.side,
            price: request.state.price,
            quantity: request.state.quantity,
            kind: request.state.kind,
            time_in_force: request.state.time_in_force,
            state: expired.clone(),
        });

        (
            Order {
                key: request.key,
                side: request.state.side,
                price: request.state.price,
                quantity: request.state.quantity,
                kind: request.state.kind,
                time_in_force: request.state.time_in_force,
                state: OrderState::expired(expired),
            },
            None,
        )
    }

    /// Trades an order against the book the moment it arrives, for as much of it as the book has.
    ///
    /// # What the book has is what it fills
    /// The fill is capped at the size on offer to this side
    /// ([`VenueInstrumentMarket::depth`]), and that size is drawn down by what this fill takes, so
    /// a second order arriving before the next [`apply_market`](Self::apply_market) sees only what
    /// the first left. A feed supplying no size caps nothing — see [`MarketDepth`].
    ///
    /// `remainder` decides what becomes of the quantity the book could not fill, and it is the
    /// order's own time in force that chose it — see [`Remainder`] and [`Disposition`].
    ///
    /// # An order is funded whole or refused whole
    /// An order that fills in part and rests the rest owes the ledger two things at one instant: a
    /// settlement for what traded and a hold against what did not. They are asked for as one
    /// requirement ([`AccountState::commit`]), so an account that cannot cover both has the order
    /// refused with nothing moved — rather than filled for the part it could afford, which would
    /// be this venue choosing a disposition the sender did not ask for.
    ///
    /// That makes a capped order *dearer* than the same order filling outright, because the
    /// remainder is held at the order's own limit while the fill struck a better price. An order
    /// can therefore be refused for a size the book was willing to sell it.
    ///
    /// [`VenueInstrumentMarket::depth`]: VenueInstrumentMarket::depth
    /// [`AccountState::commit`]: crate::exchange::mock::account::AccountState::commit
    fn fill_on_arrival(
        &mut self,
        request: OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
        market: Option<MarketSnapshot>,
        terms: &InstrumentTerms,
        remainder: Remainder,
    ) -> (
        Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>,
        Option<OpenOrderNotifications>,
    ) {
        let market_supplied = market.is_some();
        let market = market.unwrap_or_default();

        // Only a limit order's price is a limit. Any other kind's is ignored, as the live clients
        // ignore a price sent with a market order: it neither prices the fill nor bounds it.
        let limit = match request.state.kind {
            OrderKind::Limit => request.state.price,
            _ => None,
        };

        // The order's own price is deliberately NOT handed to the model. A limit constrains the
        // result, not the pricing: a model reads the book and returns where a taker prints, and
        // this venue is what bounds that by the order's terms. See `FillModel`'s contract.
        let maybe_reference = self
            .fill_model
            .fill_price(&FillContext::new(
                request.state.side,
                request.state.quantity,
                &market,
            ))
            // For a market order this is `.or(None)`, whatever price it carries. For a marketable
            // limit it is the last resort that makes the rejection below unreachable: an order
            // whose limit the market crossed necessarily has one.
            .or(limit);

        // No price anywhere. Ordinary user data -- a cold start, a thin instrument, a subscription
        // that was never made, or a caller that supplied no snapshot at all -- not a violated
        // internal invariant, so it is rejected rather than panicked on.
        //
        // A panic here is also strictly less informative. The async driver runs as a spawned task:
        // killing it drops the request receiver, every later order comes back as
        // `ConnectivityError::ExchangeOffline`, and the run completes over the whole dataset
        // having filled nothing, reporting only a `JoinError` at teardown.
        //
        // The two causes get different messages because they have different fixes: an absent
        // snapshot is a wiring problem in the caller, an empty one is a timing problem in the data.
        let Some(reference) = maybe_reference else {
            let cause = if market_supplied {
                "no market price available yet"
            } else {
                "the request carried no market snapshot (RequestOpen::market was None)"
            };
            let reason = format!(
                "cannot price {} for {}: {cause} and OrderKind::{:?} carries no limit price",
                request.key.instrument, request.key.exchange, request.state.kind
            );
            return (
                build_open_order_err_response(
                    request,
                    UnindexedOrderError::Rejected(ApiError::OrderRejected(reason)),
                ),
                None,
            );
        };

        let time_exchange = self.time_exchange();
        let side = request.state.side;

        // What the book has to give this order, which is all of it wherever no size is known.
        let filled_quantity = match self.depth_available(&request.key.instrument, side) {
            Some(available) => request.state.quantity.min(available),
            None => request.state.quantity,
        };
        let unfilled = request.state.quantity - filled_quantity;

        // Nothing trades: either the book has no size left to give, or the order would rather
        // trade nothing than trade in part. `FillOrKill` is the second case and the only one --
        // this is where it stops coinciding with `ImmediateOrCancel`, which takes what it can get.
        // The whole order then meets the fate its remainder would have.
        if filled_quantity <= Decimal::ZERO || (unfilled > Decimal::ZERO && remainder.is_kill()) {
            return match remainder {
                // Nothing has traded, so the whole quantity is what rests.
                Remainder::Rest { limit } => self.rest_order(request, limit, terms, Decimal::ZERO),
                Remainder::Cancel | Remainder::Kill => {
                    self.cancel_on_arrival(request, time_exchange)
                }
            };
        }

        // Slipped only now that the order is known to trade, so the stream advances exactly once
        // per fill, and an order that is cancelled or rests whole takes no draw. One the ledger
        // refuses below hands its draw back, which needs the stream as it was.
        let slippage_before = self.slippage.clone();
        let fill_price = self.slippage.apply(side, reference);

        // The clamp, and the only place a limit price bounds a fill. A taker crossing the spread
        // can be filled better than its limit but never worse, so a buy never prints above it and
        // a sell never below. Applied here rather than inside the model because it is a property of
        // the order's terms, not of how the market is read, and after the slippage so that no
        // rate, however large, fills an order past its limit.
        let fill_price = match limit {
            Some(limit) => clamp_to_limit(side, fill_price, limit),
            None => fill_price,
        };

        // Marketable on arrival, so this fill takes liquidity and is charged the taker rate.
        let position = self.net_position(terms, &request.key.instrument);
        let fill = self.fill_settlement(
            terms,
            position,
            side,
            filled_quantity,
            fill_price,
            Liquidity::Taker,
        );

        // What holding the remainder will cost, priced exactly as the fill that settles it will be
        // -- the unfilled quantity, at the order's own limit, as the maker, against the position
        // this fill leaves. Computed before anything moves, so both legs are asked of the ledger as
        // one requirement.
        let held = match remainder {
            Remainder::Rest { limit } if unfilled > Decimal::ZERO => Some(self.settlement(
                terms,
                position.after(side, filled_quantity, fill_price),
                side,
                unfilled,
                limit,
                Liquidity::Maker,
            )),
            _ => None,
        };

        // One commitment for the whole arrival. A configured `total != free` (an `initial_state`
        // copied from a live account with margin reserved) is carried through untouched rather
        // than rejected: the ledger represents a held amount, so there is nothing left to refuse.
        let debit = match &held {
            Some(held) => fill.settled_holding(held),
            None => fill.settled(),
        };

        let effect = self.margin_effect(request.state.margin_effect);
        let mut commitment = match self.commit(
            &debit,
            Some(&fill.credit),
            effect,
            terms,
            Some(&market),
            time_exchange,
        ) {
            Ok(commitment) => commitment,
            Err(insufficient) => {
                // Refused, so it never traded: the next fill draws the rate it would have drawn had
                // this order never been sent.
                self.slippage = slippage_before;
                return (
                    build_open_order_err_response(
                        request,
                        self.insufficient_error(insufficient, side),
                    ),
                    None,
                );
            }
        };

        self.take_fee_apart(&fill, &mut commitment, time_exchange);

        // Taken off the book only now that it is paid for, so a refused order consumes nothing.
        self.consume_depth(&request.key.instrument, side, filled_quantity);
        self.record_fill(
            terms,
            &request.key.instrument,
            side,
            Fill {
                quantity: filled_quantity,
                price: fill_price,
            },
        );

        let order_id = self.order_id_sequence_fetch_add();
        let trade = Trade {
            id: self.trade_id_sequence_fetch_add(),
            order_id: order_id.clone(),
            instrument: request.key.instrument.clone(),
            strategy: request.key.strategy.clone(),
            time_exchange,
            side,
            price: fill_price,
            quantity: filled_quantity,
            // An arriving order that aggresses has no prior executions, so this fill is its
            // whole cumulative.
            order_filled_quantity: Some(filled_quantity),
            fees: fill.fees,
            origin: TradeOrigin::Order,
            position_side: None,
            client_order_id: Some(request.key.cid.clone()),
            time_source: TimeSource::Venue,
        };

        // Booked here rather than by the caller, so that whatever this order became is decided in
        // one place: every other arrival already acknowledges its own outcome.
        self.account.ack_trade(trade.clone());

        let state = self.retire_filled(
            &request,
            order_id,
            Fill {
                quantity: filled_quantity,
                price: fill_price,
            },
            held,
            &commitment.committed,
            time_exchange,
        );

        (
            Order {
                key: request.key,
                side,
                price: request.state.price,
                quantity: request.state.quantity,
                kind: request.state.kind,
                time_in_force: request.state.time_in_force,
                state,
            },
            Some(OpenOrderNotifications::Filled { commitment, trade }),
        )
    }

    /// Records what an order that traded on arrival became, and reports the state it answers with.
    ///
    /// The three outcomes are the three things a taker fill can leave behind: nothing, a remainder
    /// with nowhere to wait, or a remainder on the book. `committed` says what a margin account
    /// lent the arrival, part of which a remainder on the book holds.
    fn retire_filled(
        &mut self,
        request: &OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
        order_id: OrderId,
        fill: Fill,
        held: Option<Settlement>,
        committed: &Committed,
        time_exchange: DateTime<Utc>,
    ) -> UnindexedOrderState {
        // Spelled out per arm rather than shared: a closure would be monomorphic in the state
        // type, and the two arms that record an order record two different ones.
        match held {
            // The book could not fill all of it and the remainder waits at the order's own limit,
            // carrying what has already traded so `Open::quantity_remaining` stays true for the
            // rest of its life -- which is what `match_resting` settles and prints.
            Some(held) => {
                let open = Open::new(
                    VenueOrderId::Assigned(order_id),
                    time_exchange,
                    fill.quantity,
                );
                self.book_rested(
                    Order {
                        key: request.key.clone(),
                        side: request.state.side,
                        price: request.state.price,
                        quantity: request.state.quantity,
                        kind: request.state.kind,
                        time_in_force: request.state.time_in_force,
                        state: open.clone(),
                    },
                    Reservation {
                        // The fill spent the account's own balance first, so whatever was lent of
                        // the shortfall is held against the remainder.
                        borrowed: committed.shortfall_borrowed().min(held.requirement()),
                        excess_borrowed: committed.excess_borrowed,
                        amount: held.requirement(),
                        asset: held.asset,
                        effect: self.margin_effect(request.state.margin_effect),
                        // The arrival traded, so the interest its loan was charged is reported
                        // after that trade, the remainder's share with it.
                        unreported_interest: Vec::new(),
                    },
                );

                OrderState::active(open)
            }

            // Either it filled outright, or what is left has nowhere to wait.
            None if fill.quantity == request.state.quantity => {
                // One fill is the whole of this order, so its price is also the mean of every
                // fill behind the total -- which is exactly when `avg_price` may be reported.
                let filled = Filled::new(
                    order_id,
                    time_exchange,
                    request.state.quantity,
                    Some(fill.price),
                );
                self.account.ack_filled(Order {
                    key: request.key.clone(),
                    side: request.state.side,
                    price: request.state.price,
                    quantity: request.state.quantity,
                    kind: request.state.kind,
                    time_in_force: request.state.time_in_force,
                    state: filled.clone(),
                });

                OrderState::fully_filled(filled)
            }

            // A market order has no limit price, so its remainder has nothing to rest at and
            // retires carrying what did trade -- which is what `Cancelled::filled_quantity` is for,
            // and the first time this venue makes it non-zero.
            None => {
                let cancelled = Cancelled {
                    id: order_id,
                    time_exchange,
                    filled_quantity: Some(fill.quantity),
                };
                self.account.ack_cancelled(Order {
                    key: request.key.clone(),
                    side: request.state.side,
                    price: request.state.price,
                    quantity: request.state.quantity,
                    kind: request.state.kind,
                    time_in_force: request.state.time_in_force,
                    state: cancelled.clone(),
                });

                OrderState::inactive(cancelled)
            }
        }
    }

    /// What is left to take at the best price on the far side of `side`, where a feed says.
    fn depth_available(&self, instrument: &InstrumentNameExchange, side: Side) -> Option<Decimal> {
        self.market
            .get(instrument)
            .and_then(|market| market.depth.available_to(side))
    }

    /// Draws down what an aggressor on `side` can still take, by what this one just took.
    fn consume_depth(
        &mut self,
        instrument: &InstrumentNameExchange,
        side: Side,
        quantity: Decimal,
    ) {
        if let Some(market) = self.market.get_mut(instrument) {
            market.depth.consume(side, quantity);
        }
    }

    /// Puts `order` on the book holding `reservation`.
    ///
    /// # Panics
    /// If an order is already resting under its id. `open_order_inner` refuses such an open before
    /// anything else, under the same `&mut self`, so the book is vacant under this id by
    /// construction, and a refusal here would be a bug in this venue with no correct reply left
    /// to give.
    fn book_rested(&mut self, order: OpenOrder, reservation: Reservation) {
        if let Err(AlreadyResting(refused)) = self.account.book(order, Some(reservation)) {
            unreachable!(
                "SimulatedVenue booked {} over a resting order: open_order_inner checks first",
                refused.order.key.cid
            );
        }
    }

    /// Puts what is left of an order onto the book, holding what that remainder's fill will cost.
    ///
    /// `filled_quantity` is how much of `request` has already traded, and everything here is
    /// computed from what is **left** of it: the reservation covers the unfilled remainder alone,
    /// and the [`Open`] state carries the filled part so that [`Open::quantity_remaining`] stays
    /// true for the rest of the order's life -- which is what
    /// [`match_resting`](Self::match_resting) settles and prints when the book reaches it.
    /// Reserving for the whole quantity would hold balance against a portion that has already
    /// settled, and the fill that eventually released it would settle less than was held.
    ///
    /// The reservation is what the fill will settle, computed once here and settled unchanged --
    /// never a conservative over-estimate. A conservative reservation would have to be released and
    /// re-debited on the fill, and [`AccountState::commit`]'s contract is that an arrival restates
    /// each asset it moves exactly **once**; the extra restatements would report balances the
    /// account never held, and [`Balance::used`](crate::balance::Balance::used) would misreport
    /// for the order's whole life.
    ///
    /// [`AccountState::commit`]: crate::exchange::mock::account::AccountState::commit
    fn rest_order(
        &mut self,
        request: OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
        limit: Decimal,
        terms: &InstrumentTerms,
        filled_quantity: Decimal,
    ) -> (
        Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>,
        Option<OpenOrderNotifications>,
    ) {
        let time_exchange = self.time_exchange();

        // Priced and charged exactly as the fill will be: the unfilled remainder, at the order's
        // own limit, as the maker, against the position as it stands now.
        let settlement = self.settlement(
            terms,
            self.net_position(terms, &request.key.instrument),
            request.state.side,
            request.state.quantity - filled_quantity,
            limit,
            Liquidity::Maker,
        );

        let debit = settlement.reserved();
        let market = self
            .market(&request.key.instrument)
            .map(|market| market.snapshot);
        let effect = self.margin_effect(request.state.margin_effect);
        let (committed, interest) =
            match self.commit(&debit, None, effect, terms, market.as_ref(), time_exchange) {
                // Nothing traded, so nothing is delivered: the one balance is the hold. A fresh
                // commitment holds no earlier order's interest, so `held_interest` is empty.
                Ok(Commitment {
                    committed,
                    interest,
                    ..
                }) => (committed, interest),
                Err(insufficient) => {
                    let error = self.insufficient_error(insufficient, request.state.side);
                    return (build_open_order_err_response(request, error), None);
                }
            };

        // The order rests carrying whatever it has already done, so the book, the client and this
        // venue's own later arithmetic all read the same remainder off it.
        let open = Open::new(
            VenueOrderId::Assigned(self.order_id_sequence_fetch_add()),
            time_exchange,
            filled_quantity,
        );

        self.book_rested(
            Order {
                key: request.key.clone(),
                side: request.state.side,
                price: request.state.price,
                quantity: request.state.quantity,
                kind: request.state.kind,
                time_in_force: request.state.time_in_force,
                state: open.clone(),
            },
            Reservation {
                amount: settlement.requirement(),
                asset: settlement.asset,
                borrowed: committed.shortfall_borrowed(),
                excess_borrowed: committed.excess_borrowed,
                effect,
                // Nothing traded: the interest waits for a position to belong to.
                unreported_interest: interest.map(|flow| vec![*flow]).unwrap_or_default(),
            },
        );

        let order_response = Order {
            key: request.key,
            side: request.state.side,
            price: request.state.price,
            quantity: request.state.quantity,
            kind: request.state.kind,
            time_in_force: request.state.time_in_force,
            state: OrderState::active(open),
        };

        (
            order_response,
            Some(OpenOrderNotifications::Rested {
                balance: Snapshot(committed.paid),
            }),
        )
    }

    /// The instrument facts one order's settlement is computed from, read out once.
    fn instrument_terms(
        &self,
        instrument: &InstrumentNameExchange,
    ) -> Result<InstrumentTerms, UnindexedApiError> {
        let instrument = self.find_instrument_data(instrument)?;
        let cash_settled = Self::settlement_of_supported_kind(instrument)?;

        Ok(InstrumentTerms {
            underlying: instrument.underlying.clone(),
            contract_size: instrument.kind.contract_size(),
            cash_settled,
        })
    }

    /// The net position an order on `instrument` trades against. Flat for a cash-settled
    /// instrument this account holds no position in, and for every spot instrument, which skips
    /// the lookup: a spot settlement never reads it.
    fn net_position(
        &self,
        terms: &InstrumentTerms,
        instrument: &InstrumentNameExchange,
    ) -> NetPosition {
        if !terms.cash_settled {
            return NetPosition::default();
        }
        self.positions.get(instrument).copied().unwrap_or_default()
    }

    /// Moves `instrument`'s net position by a fill, if it is cash-settled. A spot fill moves the
    /// ledger's balances and nothing here.
    fn record_fill(
        &mut self,
        terms: &InstrumentTerms,
        instrument: &InstrumentNameExchange,
        side: Side,
        fill: Fill,
    ) {
        if !terms.cash_settled {
            return;
        }

        // One lookup for a position already held, and the name cloned only to open one.
        let opened_or_closed = match self.positions.get_mut(instrument) {
            Some(position) => {
                *position = position.after(side, fill.quantity, fill.price);
                let closed = position.quantity.is_zero();
                if closed {
                    self.positions.remove(instrument);
                }
                closed
            }
            None => {
                let position = NetPosition::default().after(side, fill.quantity, fill.price);
                let opened = !position.quantity.is_zero();
                if opened {
                    self.positions.insert(instrument.clone(), position);
                }
                opened
            }
        };

        // A position opened or closed has boundaries of its own, or no longer has any. One that
        // only changed size keeps its boundaries, which depend on the instrument alone.
        if opened_or_closed && !self.holding_costs.is_empty() {
            self.refresh_next_charge();
        }
    }

    /// What one order pays with at `price`, how much of it including the fee, and what it pays
    /// back.
    ///
    /// The single place this venue decides an order's cost. A reservation and the fill that settles
    /// it both come from here, with the same `price` and `liquidity`, which is what makes "reserve
    /// exactly what will be settled" true by construction rather than by two formulas agreeing.
    /// For a cash-settled instrument the cost also depends on `position`, the net position the
    /// order trades against, which can change between an order resting and filling; see
    /// [`settle_resting`](Self::settle_resting).
    ///
    /// Both the notional and the fee carry the instrument's `contract_size` multiplier, which is
    /// `Decimal::ONE` for `Spot` and a real per-point multiplier for a `Cfd`. Dropping it here while
    /// the engine applies it to PnL and fees (`InstrumentState::update_from_trade`) would make this
    /// ledger and the engine's position accounting disagree by exactly that factor -- balances
    /// moving 1x while PnL moves 25x, silently, with every balance-derived return, drawdown and
    /// Sharpe wrong by the same factor. Which models actually consult the multiplier is theirs to
    /// decide -- `PercentageFeeModel` scales by it, `PerContractFeeModel` deliberately does not --
    /// and passing it is what keeps that decision in the models rather than making this a second
    /// place the multiplier can be lost.
    fn settlement(
        &self,
        terms: &InstrumentTerms,
        position: NetPosition,
        side: Side,
        quantity: Decimal,
        price: Decimal,
        liquidity: Liquidity,
    ) -> Settlement {
        let fees_quote =
            self.fee_model
                .compute_fee(price, quantity.abs(), terms.contract_size, liquidity);
        self.settlement_with_fee(terms, position, side, quantity, price, fees_quote)
    }

    /// The settlement of a fill, as [`settlement`](Self::settlement) gives it, unless its fee is
    /// charged in the [`FeeAssetConfig`] asset: then the fill exchanges its two assets free of fee,
    /// and its fee, in that asset, is [taken apart](Settlement::fee_apart) when it settles.
    ///
    /// Only a fill uses this. What an order holds while it works is its
    /// [`settlement`](Self::settlement), which is what its fill costs when the fee falls back, and
    /// never less than when it does not.
    fn fill_settlement(
        &self,
        terms: &InstrumentTerms,
        position: NetPosition,
        side: Side,
        quantity: Decimal,
        price: Decimal,
        liquidity: Liquidity,
    ) -> Settlement {
        let settlement = self.settlement(terms, position, side, quantity, price, liquidity);
        match self.fee_in_fee_asset(terms, &settlement.fees) {
            Some(fees) => Settlement {
                fees,
                fee_apart: true,
                ..self.settlement_with_fee(terms, position, side, quantity, price, Decimal::ZERO)
            },
            None => settlement,
        }
    }

    /// `fees`, a fill's fee in quote, as the [`FeeAssetConfig`] asset charges it: discounted, and
    /// converted at this venue's price for that asset in the fill's quote. `None` when the fill
    /// falls back to the [`SpotFeeAsset`] rule, as `FeeAssetConfig`'s `# When it falls back`
    /// lists, including when the asset's free balance is short of the fee.
    fn fee_in_fee_asset(
        &self,
        terms: &InstrumentTerms,
        fees: &AssetFees<AssetNameExchange>,
    ) -> Option<AssetFees<AssetNameExchange>> {
        let config = self.fee_asset.as_ref()?;
        let asset = config.asset();
        let underlying = &terms.underlying;
        let fees_quote = fees.fees_quote?;
        if terms.cash_settled
            || *asset == underlying.base
            || *asset == underlying.quote
            || fees_quote <= Decimal::ZERO
        {
            return None;
        }

        let price = self.price_in(asset, &underlying.quote, None)?;
        let fees_quote = fees_quote * (Decimal::ONE - config.discount());
        let fee = fees_quote.checked_div(price)?;
        (self.account.free(asset) >= fee)
            .then(|| AssetFees::new(asset.clone(), fee, Some(fees_quote)))
    }

    /// [`settlement`](Self::settlement), with its fee already computed: `fees_quote`, in quote.
    fn settlement_with_fee(
        &self,
        terms: &InstrumentTerms,
        position: NetPosition,
        side: Side,
        quantity: Decimal,
        price: Decimal,
        fees_quote: Decimal,
    ) -> Settlement {
        let quantity = quantity.abs();
        let fees = AssetFees::new(terms.underlying.quote.clone(), fees_quote, Some(fees_quote));

        if terms.cash_settled {
            // A CFD is a cash-settled position on a price, not an exchange of the two underlying
            // assets: there is nothing to deliver in either direction, so both directions post
            // and receive quote. A CFD short is a margin position rather than a stock loan, so --
            // unlike a spot sell -- it requires no base inventory, which would otherwise force the
            // caller to fund a phantom balance in an index or a commodity to open one.
            //
            // The fill first closes whatever of `position` it opposes, and opens a position with
            // the rest. This venue models no leverage, so opening posts the full notional as
            // margin -- the conservative reading, and the requirement a spot buy already carries.
            // Closing pays that margin back together with the realised PnL, which for a closed
            // quantity `c` against an average entry `e` is `c * cs * (price - e)` for a long and
            // `c * cs * (e - price)` for a short. The fee is charged on the whole quantity.
            let closing = position.closing(side, quantity);
            let opening = quantity - closing;
            let open_margin = price * opening * terms.contract_size;
            let close_proceeds = closing
                * terms.contract_size
                * match position.is_long() {
                    true => price,
                    false => position.entry + position.entry - price,
                };

            // A short closed at more than twice its entry has lost more than its margin. There is
            // no liquidation here to have stopped it, so the shortfall is paid like any other
            // debit rather than credited as a negative amount.
            let (credit, shortfall) = match close_proceeds.is_sign_negative() {
                true => (Decimal::ZERO, -close_proceeds),
                false => (close_proceeds, Decimal::ZERO),
            };

            return Settlement {
                asset: terms.underlying.quote.clone(),
                amount: open_margin + fees_quote + shortfall,
                credit: Credit::PaidBack(credit),
                fees,
                fee_apart: false,
            };
        }

        // A spot fill exchanges the two assets. Its fee comes out of what a sell receives, in quote,
        // and under `SpotFeeAsset::Quote` on top of what a buy pays, so the base it moves is exactly
        // its quantity. Under `Received` a buy's fee comes out of the base it receives instead,
        // converted at the fill price. That base fee is what the engine nets from its position, so
        // the two still agree. The fee each fill reports is the one charged, in the asset charged.
        let notional = price * quantity * terms.contract_size;
        match side {
            Side::Buy
                if self.spot_fee_asset == SpotFeeAsset::Received
                    && price > Decimal::ZERO
                    && !fees_quote.is_zero() =>
            {
                let fee_base = fees_quote / price;
                Settlement {
                    asset: terms.underlying.quote.clone(),
                    amount: notional,
                    credit: Credit::Delivery(Delivery {
                        asset: terms.underlying.base.clone(),
                        amount: quantity - fee_base,
                    }),
                    fees: AssetFees::new(terms.underlying.base.clone(), fee_base, Some(fees_quote)),
                    fee_apart: false,
                }
            }
            Side::Buy => Settlement {
                asset: terms.underlying.quote.clone(),
                amount: notional + fees_quote,
                credit: Credit::Delivery(Delivery {
                    asset: terms.underlying.base.clone(),
                    amount: quantity,
                }),
                fees,
                fee_apart: false,
            },
            Side::Sell => Settlement {
                asset: terms.underlying.base.clone(),
                amount: quantity,
                credit: Credit::Delivery(Delivery {
                    asset: terms.underlying.quote.clone(),
                    amount: notional - fees_quote,
                }),
                fees,
                fee_apart: false,
            },
        }
    }

    /// Whether this venue accepts `order_kind`, which depends on its [`VenueRegime`].
    ///
    /// [`OrderKind::Market`] is always accepted. [`OrderKind::Limit`] needs somewhere to rest and
    /// something to be matched against, so it is accepted only by a
    /// [`MarketDriven`](VenueRegime::MarketDriven) venue. Every other kind is rejected outright.
    ///
    /// # Errors
    /// Returns [`ApiError::OrderRejected`] naming the kind, and -- for a limit order refused by the
    /// regime -- why the venue cannot hold one.
    pub fn validate_order_kind_supported(
        &self,
        order_kind: OrderKind,
    ) -> Result<(), UnindexedOrderError> {
        let reason = match (order_kind, self.regime) {
            (OrderKind::Market, _) | (OrderKind::Limit, VenueRegime::MarketDriven) => return Ok(()),
            (OrderKind::Limit, VenueRegime::RequestPriced) => format!(
                "SimulatedVenue does not support OrderKind::{order_kind:?} in \
                 VenueRegime::RequestPriced: it has no market feed, so an order that rested could \
                 never be matched. Construct it with SimulatedVenue::new_market_driven, and feed \
                 it with apply_market"
            ),
            _ => format!("SimulatedVenue does not support OrderKind::{order_kind:?}"),
        };

        Err(UnindexedOrderError::Rejected(ApiError::OrderRejected(
            reason,
        )))
    }

    /// Returns whether `instrument` is cash-settled, rejecting kinds this venue cannot model.
    ///
    /// # Why this is enforced here and not only upstream
    /// This type and its constructors are public, so a consumer can construct one directly with
    /// any instruments and never pass through the `rustrade` builder that screens kinds
    /// today. Without this gate a [`InstrumentKind::Perpetual`], [`InstrumentKind::Future`] or
    /// [`InstrumentKind::Option`] falls to the physically-settled spot path and is filled as if it
    /// were deliverable stock — with its `contract_size` multiplier applied to a delivery that
    /// cannot happen, and with no funding, margin or expiry settlement anywhere. That is a wrong
    /// backtest, not a missing feature, and it is silent.
    ///
    /// # Errors
    /// Returns [`ApiError::InstrumentInvalid`] for any kind other than [`InstrumentKind::Spot`] or
    /// [`InstrumentKind::Cfd`].
    fn settlement_of_supported_kind(
        instrument: &Instrument<ExchangeId, AssetNameExchange>,
    ) -> Result<bool, UnindexedApiError> {
        match &instrument.kind {
            InstrumentKind::Spot => Ok(false),
            InstrumentKind::Cfd(_) => Ok(true),
            unsupported => Err(ApiError::InstrumentInvalid(
                instrument.name_exchange.clone(),
                format!(
                    "SimulatedVenue does not support {}; only Spot and Cfd are modelled",
                    match unsupported {
                        InstrumentKind::Perpetual(_) => "InstrumentKind::Perpetual",
                        InstrumentKind::Future(_) => "InstrumentKind::Future",
                        InstrumentKind::Option(_) => "InstrumentKind::Option",
                        // Unreachable: both are matched above. Spelled out rather than `_` so a new
                        // kind is a compile error here instead of a mislabelled rejection.
                        InstrumentKind::Spot | InstrumentKind::Cfd(_) => "InstrumentKind",
                    }
                ),
            )),
        }
    }

    pub fn find_instrument_data(
        &self,
        instrument: &InstrumentNameExchange,
    ) -> Result<&Instrument<ExchangeId, AssetNameExchange>, UnindexedApiError> {
        self.instruments.get(instrument).ok_or_else(|| {
            ApiError::InstrumentInvalid(
                instrument.clone(),
                format!("SimulatedVenue is not set-up for managing: {instrument}"),
            )
        })
    }

    fn order_id_sequence_fetch_add(&mut self) -> OrderId {
        let sequence = self.order_sequence;
        self.order_sequence += 1;
        OrderId((self.order_id_start + u128::from(sequence)).to_smolstr())
    }

    /// Mints the next `TradeId`, which no other trade from this venue instance carries.
    ///
    /// Not derived from the order's id: one order can print twice — filling in part on arrival and
    /// again when its remainder is crossed — and two trades under one id would be indistinguishable
    /// to anything reconciling them. See [`TradeId`] for what a consumer may assume of one.
    fn trade_id_sequence_fetch_add(&mut self) -> TradeId {
        let sequence = self.trade_sequence;
        self.trade_sequence += 1;
        TradeId(sequence.to_smolstr())
    }

    fn build_account_event<Kind>(&self, kind: Kind) -> UnindexedAccountEvent
    where
        Kind: Into<AccountEventKind<ExchangeId, AssetNameExchange, InstrumentNameExchange>>,
    {
        UnindexedAccountEvent {
            exchange: self.exchange,
            kind: kind.into(),
        }
    }
}

/// `model`'s first boundary for `instrument` after `after`, checked against its contract.
///
/// # Panics
/// If the boundary is not after `after`. Charging it would charge one instant forever, and a
/// driver waking the venue for it would wake it there forever, so it is refused at the first
/// read, wherever that is.
fn next_boundary(
    model: &dyn HoldingCostModel,
    instrument: &InstrumentNameExchange,
    after: DateTime<Utc>,
) -> Option<DateTime<Utc>> {
    let boundary = model.next_boundary(instrument, after)?;
    assert!(
        boundary > after,
        "HoldingCostModel {model:?} returned boundary {boundary} for {instrument}, which is not \
         after {after}"
    );
    Some(boundary)
}

/// `model`'s first interest boundary for `asset` after `after`, checked against its contract.
///
/// # Panics
/// If the boundary is not after `after` — see [`MarginInterestModel`]'s contract.
fn next_interest_boundary(
    model: &dyn MarginInterestModel,
    asset: &AssetNameExchange,
    after: DateTime<Utc>,
) -> Option<DateTime<Utc>> {
    let boundary = model.next_boundary(asset, after)?;
    assert!(
        boundary > after,
        "MarginInterestModel {model:?} returned boundary {boundary} for {asset}, which is not \
         after {after}"
    );
    Some(boundary)
}

/// Every boundary in `(after, through]`, each found from the one before by `next`.
fn boundaries_through(
    after: DateTime<Utc>,
    through: DateTime<Utc>,
    mut next: impl FnMut(DateTime<Utc>) -> Option<DateTime<Utc>>,
) -> impl Iterator<Item = DateTime<Utc>> {
    std::iter::successors(next(after), move |&boundary| next(boundary))
        .take_while(move |&boundary| boundary <= through)
}

/// One charge that falls due at a boundary, ordered so a run's charges at one instant arrive in
/// the same order every time: holding costs first, then interest.
#[derive(Debug, Clone, PartialEq, Eq, PartialOrd, Ord)]
enum Due {
    /// The holding cost of the position in an instrument, by the index of its model.
    Holding(InstrumentNameExchange, usize),
    /// The interest on the principal owed in an asset, with that principal: charging interest
    /// does not change it, so it holds for every boundary of one accrual.
    Interest(AssetNameExchange, Decimal),
}

/// The net positions an `initial_state` opens a venue with: one for each cash-settled instrument
/// the snapshot reports an open position in.
///
/// Its balances are taken as they are, so the margin such a position was opened with is treated as
/// already posted, and closing it pays that margin back. A position on a spot instrument is not
/// seeded: a spot holding is a balance, not a position, on this venue.
///
/// # Panics
/// Panics if a cash-settled position reports no entry price. Closing it credits margin and
/// realised PnL computed from the entry, so an absent one is a mis-specified fixture, in the same
/// class as an absent balance.
fn seeded_positions(
    initial_state: &UnindexedAccountSnapshot,
    instruments: &FnvHashMap<InstrumentNameExchange, Instrument<ExchangeId, AssetNameExchange>>,
) -> FnvHashMap<InstrumentNameExchange, NetPosition> {
    initial_state
        .instruments
        .iter()
        .filter(|snapshot| {
            instruments
                .get(&snapshot.instrument)
                .is_some_and(|instrument| matches!(instrument.kind, InstrumentKind::Cfd(_)))
        })
        .filter_map(|snapshot| {
            let position = snapshot.position.open()?;
            let Some(entry) = position.entry_price else {
                panic!(
                    "SimulatedVenue's initial_state reports an open position in {} with no entry \
                     price, so the margin and PnL its close would credit cannot be computed",
                    snapshot.instrument
                );
            };
            Some((
                snapshot.instrument.clone(),
                NetPosition {
                    quantity: position.quantity,
                    entry,
                },
            ))
        })
        .collect()
}

/// What `balance` owes: its loan and the interest on it, zero on a cash account.
fn owed(balance: &AssetBalance<AssetNameExchange>) -> Decimal {
    balance
        .balance
        .margin
        .map_or(Decimal::ZERO, |margin| margin.owed())
}

/// Which check a [`SimulatedVenue::valued`] call values the account for, and so which of
/// [`SpotMarginConfig`]'s collateral ratios weights its equity.
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
enum MarginCheck {
    /// The leverage limit: how much the venue lends.
    Borrow,
    /// The margin level a liquidation checks.
    Liquidation,
}

impl MarginCheck {
    /// The fraction of `asset`'s positive net that counts as equity for this check.
    fn collateral_ratio(self, config: &SpotMarginConfig, asset: &AssetNameExchange) -> Decimal {
        match self {
            Self::Borrow => config.borrow_collateral_ratio(asset),
            Self::Liquidation => config.liquidation_collateral_ratio(asset),
        }
    }
}

/// A margin account's equity and debt, in its valuation asset. See [`SimulatedVenue::valued`].
#[derive(Debug, Clone, Copy, Default)]
struct Valued {
    /// The value of what the account holds, net of what it owes, each asset's positive net
    /// weighted by its collateral ratio.
    equity: Decimal,
    /// The value of what it owes, loans plus interest.
    debt: Decimal,
}

/// The mid of `snapshot`'s best bid and ask, else its last price.
fn mid_or_last(snapshot: &MarketSnapshot) -> Option<Decimal> {
    match (snapshot.best_bid, snapshot.best_ask) {
        (Some(bid), Some(ask)) => Some((bid + ask) / Decimal::TWO),
        _ => snapshot.last_price,
    }
}

/// Whether the market has moved to or through `limit` for an order resting on `side`.
///
/// Judged on the far side of the book -- an offer for a buy, a bid for a sell -- because that is
/// what an order on this side trades against. A feed supplying no book at all falls back to
/// `last_price`, which is what makes a trades-only feed able to match anything; a feed that does
/// supply a book is never second-guessed by it, since a price *between* the two sides crosses
/// neither.
fn crosses(side: Side, limit: Decimal, market: &MarketSnapshot) -> bool {
    match side {
        Side::Buy => match market.best_ask {
            Some(best_ask) => best_ask <= limit,
            None => market.last_price.is_some_and(|last| last <= limit),
        },
        Side::Sell => match market.best_bid {
            Some(best_bid) => best_bid >= limit,
            None => market.last_price.is_some_and(|last| last >= limit),
        },
    }
}

/// `price` bounded by `limit` for an order on `side`: a buy never above it, a sell never below.
fn clamp_to_limit(side: Side, price: Decimal, limit: Decimal) -> Decimal {
    match side {
        Side::Buy => price.min(limit),
        Side::Sell => price.max(limit),
    }
}

/// Whether this venue can honour `time_in_force` for an order of `order_kind` **at all**.
///
/// This is the static half of the time-in-force decision: it asks only whether the pair could ever
/// be honoured, never what the order should then do. What a supported time in force *does* depends
/// on whether the order is marketable when it arrives, which is not known here -- see
/// [`Disposition`].
///
/// # Most of a time in force is moot for an order that works only on arrival
/// A [`OrderKind::Market`] order trades the instant it arrives and never afterwards, which
/// satisfies every time in force that governs *how long* an order works: there is no later instant
/// at which it could still be working, and a remainder the book could not fill has no limit price
/// to wait at, so it is cancelled rather than kept.
///
/// [`TimeInForce::AtOpen`] and [`TimeInForce::AtClose`] are not of that kind. They govern *when* an
/// order executes, not how long it lasts, and honouring them needs a session calendar this venue
/// has not got. Accepting one would fill it immediately, at a price that is not the auction it
/// asked for -- a wrong fill rather than an ignored flag. This library takes them seriously
/// elsewhere: its IBKR client turns them into real market-on-close and limit-on-close orders, which
/// is correct only because a real venue has the calendar. So they are refused here for the same
/// reason on both order kinds.
///
/// [`TimeInForce::GoodUntilCancelled`] with `post_only` is likewise refused on a market order, as
/// a promise never to take liquidity is one a market order cannot keep.
///
/// # Errors
/// Returns [`ApiError::OrderRejected`] naming what it would take to honour the pair. Rejecting is
/// the point: treating an unsupported time in force as `GoodUntilCancelled` would silently leave an
/// order working that its sender asked to have cancelled, and treating an unsupported one as
/// "fill now" answers a question the sender did not ask.
fn validate_time_in_force_supported(
    order_kind: OrderKind,
    time_in_force: TimeInForce,
) -> Result<(), UnindexedOrderError> {
    const NO_CALENDAR: &str = "a session calendar, which this venue does not have";

    let missing = match (order_kind, time_in_force) {
        // Governs *when* an order executes, not how long it works, whatever the kind.
        (_, TimeInForce::AtOpen | TimeInForce::AtClose) => NO_CALENDAR,

        // A market order takes liquidity by definition, so it cannot promise not to.
        (OrderKind::Market, TimeInForce::GoodUntilCancelled { post_only: true }) => {
            "an order that both takes liquidity and refuses to"
        }

        // Every other time in force bounds how long an order works, which is moot for one that
        // fills in full on arrival.
        (OrderKind::Market, _) => return Ok(()),

        (OrderKind::Limit, TimeInForce::GoodUntilEndOfDay) => NO_CALENDAR,

        // Honoured -- what each one then does is `Disposition`'s decision, not this one.
        (
            OrderKind::Limit,
            TimeInForce::GoodUntilCancelled { .. }
            | TimeInForce::ImmediateOrCancel
            | TimeInForce::FillOrKill
            | TimeInForce::GoodTillDate { .. },
        ) => return Ok(()),

        // Every other kind is rejected before this gate is reached.
        (_, _) => return Ok(()),
    };

    Err(UnindexedOrderError::Rejected(ApiError::OrderRejected(
        format!(
            "SimulatedVenue does not support TimeInForce::{time_in_force} on \
             OrderKind::{order_kind:?}: it does not model {missing}"
        ),
    )))
}

/// What a supported time in force makes one arriving order do.
///
/// The marketability-dependent half of the time-in-force decision, split from
/// [`validate_time_in_force_supported`] because three of the four time in forces this venue
/// honours on a limit order need context that gate cannot see: `post_only`, `ImmediateOrCancel`
/// and `FillOrKill` all turn on whether the order is marketable when it arrives, and
/// `GoodTillDate` turns on the clock.
///
/// # Three ways to aggress, which differ only over a remainder
/// What an aggressing order's time in force really decides is the fate of the quantity the book
/// could not fill: it rests, or it retires, or -- for [`TimeInForce::FillOrKill`] -- nothing trades
/// at all. Which of them an order asked for is a property of the order rather than of what the
/// book happened to hold, so all three are decided here and the answer is handed to
/// [`fill_on_arrival`](SimulatedVenue::fill_on_arrival) as a [`Remainder`].
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
enum Disposition {
    /// Trade against the book now as the aggressor, resting whatever does not fill.
    FillAndRest,
    /// Trade against the book now as the aggressor, retiring whatever does not fill.
    FillAndCancel,
    /// Trade against the book now as the aggressor, but only if it fills in full: an order that
    /// could fill only in part trades nothing at all.
    FillOrNothing,
    /// Join the book and wait to be crossed.
    Rest,
    /// Retire immediately having traded nothing, because the order asked to work only now and
    /// could not: a non-marketable `ImmediateOrCancel` or `FillOrKill`, or a `post_only` order
    /// that would have taken liquidity.
    CancelUnfilled,
    /// Retire immediately having traded nothing, because the order's own deadline has passed.
    Expire,
}

/// Decide what one order does, given whether it is marketable and what time it is.
///
/// `marketable` is [`crosses`] for a limit order, and `true` for every other kind this venue
/// accepts -- each of those is marketable on arrival by definition, which is what lets one function
/// answer for both.
///
/// `order_kind` decides one thing only: whether an unfilled remainder has anywhere to go. An order
/// carrying no limit price has nothing to wait at, so a market order aggresses and retires whatever
/// is left of it, whichever time in force it carries.
///
/// # Immediate-or-cancel and fill-or-kill differ only when the book is too thin
/// Both aggress on arrival and neither waits, so while the book can fill an order whole they are
/// the same instruction. They part exactly where a fill is capped by the size on offer:
/// [`Disposition::FillAndCancel`] takes what there is and retires the rest, while
/// [`Disposition::FillOrNothing`] would rather trade nothing than trade in part, and so trades
/// nothing. Which one an order gets is decided here; what they then do with the remainder is
/// [`Remainder`]'s.
fn disposition(
    order_kind: OrderKind,
    time_in_force: TimeInForce,
    marketable: bool,
    now: DateTime<Utc>,
) -> Disposition {
    match time_in_force {
        // Post-only means "never take liquidity", so being marketable is what disqualifies it.
        TimeInForce::GoodUntilCancelled { post_only: true } if marketable => {
            Disposition::CancelUnfilled
        }

        // A deadline already reached retires the order whatever the book is doing. Checked before
        // marketability so that a deadline is an unconditional cutoff rather than one an order can
        // trade its way past at the very instant it expires.
        TimeInForce::GoodTillDate { expiry } if now >= expiry => Disposition::Expire,

        // The one time in force that would rather trade nothing than trade in part, whatever the
        // order kind.
        TimeInForce::FillOrKill if marketable => Disposition::FillOrNothing,

        // Every other aggressing order keeps what it could not fill only if it has somewhere to
        // keep it: a limit price to wait at, and a time in force that asked to wait. `post_only`
        // is not among them here -- a marketable one was disqualified above.
        _ if marketable => match (order_kind, time_in_force) {
            (
                OrderKind::Limit,
                TimeInForce::GoodUntilCancelled { .. } | TimeInForce::GoodTillDate { .. },
            ) => Disposition::FillAndRest,
            _ => Disposition::FillAndCancel,
        },

        TimeInForce::ImmediateOrCancel | TimeInForce::FillOrKill => Disposition::CancelUnfilled,

        _ => Disposition::Rest,
    }
}

/// How old an instrument's market is when an order arrives — see
/// [`StaleMarketPolicy::Wait`].
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
enum MarketAge {
    /// The venue has no market feed, so no age to measure.
    NoFeed,
    /// The venue holds no price for the instrument: not stale, but unpriceable, which the order's
    /// usual path reports.
    Unpriced,
    /// Observed fresh within the policy's `max_age`.
    Fresh,
    /// Priced, but last observed fresh at `fresh_at`, longer ago than the policy's `max_age`, or
    /// never.
    Stale { fresh_at: Option<DateTime<Utc>> },
}

/// What a held order is priced from when it is released.
#[derive(Debug, Clone, Copy)]
enum Release<'a> {
    /// The bar it was held for, at the reference price its [`MarketOrderTiming::NextBar`] picks.
    Bar(&'a MarketBar, NextBarPrice),
    /// The market a fresh observation left, which it was waiting for under
    /// [`StaleMarketPolicy::Wait`].
    Market(&'a MarketSnapshot),
}

/// What becomes of the quantity an arriving order's book could not fill.
///
/// The half of a [`Disposition`] that [`fill_on_arrival`](SimulatedVenue::fill_on_arrival) needs,
/// derived at the two call sites that can reach it. Carrying the limit price *here* rather than
/// re-reading [`RequestOpen::price`](crate::order::request::RequestOpen::price) is what makes
/// "rest what is left" unrepresentable for an order that has nowhere to rest it: a market order
/// has no limit price, so it cannot construct [`Rest`](Self::Rest) at all.
#[derive(Debug, Clone, Copy, PartialEq, Eq)]
enum Remainder {
    /// Joins the book at this limit and waits to be crossed.
    Rest { limit: Decimal },
    /// Retires as [`Cancelled`], carrying whatever did trade.
    Cancel,
    /// Nothing trades at all. An order that cannot be filled in full would rather be filled not at
    /// all, so there is never a remainder for this arm to dispose of -- only a whole order to
    /// retire untouched.
    Kill,
}

impl Remainder {
    /// Whether a remainder is refused rather than disposed of, which is what makes
    /// [`TimeInForce::FillOrKill`] differ from [`TimeInForce::ImmediateOrCancel`].
    fn is_kill(self) -> bool {
        matches!(self, Self::Kill)
    }
}

fn build_open_order_err_response<E>(
    request: OrderRequestOpen<ExchangeId, InstrumentNameExchange>,
    error: E,
) -> Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>
where
    E: Into<UnindexedOrderError>,
{
    Order {
        key: request.key,
        side: request.state.side,
        price: request.state.price,
        quantity: request.state.quantity,
        kind: request.state.kind,
        time_in_force: request.state.time_in_force,
        state: OrderState::inactive(error.into()),
    }
}

/// What one open owes the client, before it is committed and packaged into events.
///
/// Internal to [`SimulatedVenue::open_order`]: it exists only to keep the ordering contract --
/// emit the balance before the trade it paid for -- visible in one short place rather than at the
/// end of the pricing body. Nothing here is uncommitted; it is what to *say*, not what to do.
///
/// An enum rather than an optional trade because the two outcomes owe different things and a
/// missing trade is not an absent field: a rested open has a balance and *no* trade, and nothing
/// about it is incomplete.
///
/// # One arrival restates each asset once
/// Including the arrival that both settles a fill and holds against the remainder it leaves
/// resting. Those are one event at the venue and one commitment in the ledger
/// ([`AccountState::commit`]), so they restate the asset paid with once, and a spot fill the asset
/// it received once more — see that method for why an intermediate would report a balance the
/// account never held.
///
/// [`AccountState::commit`]: crate::exchange::mock::account::AccountState::commit
// `large_enum_variant`: boxing the `Trade` would trade one move of ~300 bytes for a heap
// allocation on every fill, which is the wrong way round for a backtest that does millions of
// them. The value is built once per order and destructured immediately, and the struct this
// replaced moved the same bytes on both paths -- the enum only makes the rested one smaller.
#[allow(clippy::large_enum_variant)]
#[derive(Debug)]
enum OpenOrderNotifications {
    /// The open filled on arrival: the balances it moved, and the trade it printed.
    Filled {
        commitment: Commitment,
        trade: Trade<AssetNameExchange, InstrumentNameExchange>,
    },
    /// The open rests on the book, or is held for its bar: the balance now held against it, and
    /// nothing traded. Interest charged on what a margin account lent it is held back in its
    /// [`Reservation::unreported_interest`], since no position exists yet for it to belong to.
    Rested {
        balance: Snapshot<AssetBalance<AssetNameExchange>>,
    },
}

/// What one arrival committed on this venue: the balances the ledger restated, and the interest
/// charged on what a margin account lent it, if any.
#[derive(Debug)]
struct Commitment {
    committed: Committed,
    /// The cash flow reporting the interest charged on [`Committed::borrowed`] when it was lent,
    /// which [`Committed::paid`] already includes.
    ///
    /// Boxed because only a borrowing arrival on a margin account charges one: an unboxed flow
    /// would more than double every commitment, and every [`RestingSettlement`] carrying one, to
    /// serve the rare arrival that has it.
    interest: Option<Box<CashFlow<AssetNameExchange, InstrumentNameExchange>>>,
    /// The interest a resting or held order's loan was charged when the order was placed, which
    /// its hold's balance already included, handed over from its
    /// [`Reservation::unreported_interest`] to be reported after the fill.
    held_interest: Vec<CashFlow<AssetNameExchange, InstrumentNameExchange>>,
    /// The fee asset's balance, restated when a fill's fee was
    /// [taken apart](Settlement::fee_apart) from it.
    ///
    /// Boxed for the reason [`interest`](Self::interest) is: only a fill charged in a configured
    /// fee asset restates one.
    fee: Option<Box<AssetBalance<AssetNameExchange>>>,
}

impl From<Committed> for Commitment {
    fn from(committed: Committed) -> Self {
        Self {
            committed,
            interest: None,
            held_interest: Vec::new(),
            fee: None,
        }
    }
}

/// What releasing an order's hold restated, and the interest its loan was charged when the order
/// was placed, which the order's end now reports.
#[derive(Debug)]
#[must_use = "its interest must be reported, or carried into the order's next reservation"]
struct Released {
    balance: AssetBalance<AssetNameExchange>,
    /// See [`Reservation::unreported_interest`].
    interest: Vec<CashFlow<AssetNameExchange, InstrumentNameExchange>>,
}

/// The instrument facts one order's settlement is computed from.
///
/// Read out of [`SimulatedVenue::instruments`] once per request, before any `&mut self` borrow of
/// the ledger, so pricing never holds a borrow the balance moves need.
#[derive(Debug, Clone)]
struct InstrumentTerms {
    underlying: Underlying<AssetNameExchange>,
    contract_size: Decimal,
    cash_settled: bool,
}

/// What settling one resting fill came to.
#[derive(Debug)]
enum RestingSettlement {
    /// The fill settled, restating these balances.
    Settled(Commitment),
    /// A fill the account can no longer afford, so the order is cancelled instead: a cash-settled
    /// one, or a spot fill whose fee exceeds what it receives by more than that asset's balance
    /// holds.
    /// Carries what its released hold restated, if it held anything.
    Unaffordable { released: Option<Released> },
}

/// What committing an order afresh, in place of the hold it was released from, came to — see
/// `SimulatedVenue::commit_afresh`.
// `large_enum_variant`: as for `OpenOrderNotifications`, boxing the `Commitment` would add a heap
// allocation to every fill costed afresh to save one move of a value that is returned once and
// destructured at once.
#[allow(clippy::large_enum_variant)]
enum Recommitted {
    /// Committed, restating these balances. `loan` is how much of the account's loans the order
    /// accounts for afterwards: what its hold had borrowed, less what this repaid, plus what this
    /// borrowed of its shortfall. A caller holding part of what it committed against a remainder
    /// holds that loan against it, so a later cancel repays it. `excess_borrowed` is what minimum
    /// borrows lent the order beyond its shortfalls, its hold's and this one's, which a remainder
    /// carries too.
    Committed {
        commitment: Commitment,
        loan: Decimal,
        excess_borrowed: Decimal,
    },
    /// The account cannot cover it. Carries what the released hold restated, if it held anything.
    Unaffordable { released: Option<Released> },
}

/// How much of an arriving order traded, and at what price.
///
/// One value because the two are decided together and used together: the quantity is what the
/// book had to give, and the price is what it gave it at.
#[derive(Debug, Clone, Copy)]
struct Fill {
    quantity: Decimal,
    price: Decimal,
}

/// What one order pays with, how much of it, the fee charged, and what the fill gives back.
#[derive(Debug, Clone)]
struct Settlement {
    /// Quote for a buy or a CFD, base for a spot sell.
    asset: AssetNameExchange,
    /// Denominated in [`asset`](Self::asset), inclusive of any fee charged in it.
    amount: Decimal,
    /// What the fill gives the account. For a CFD, the margin and realised PnL of the part that
    /// closes a position, [paid back](Credit::PaidBack) into [`asset`](Self::asset). For spot, a
    /// [delivery](Credit::Delivery) in the other asset: the base a buy receives, or the quote a
    /// sell receives, net of any fee charged in it.
    credit: Credit,
    /// In the asset the fee is charged in: quote, base for a buy under
    /// [`SpotFeeAsset::Received`], or the [`FeeAssetConfig`] asset. Its `fees_quote` is always the
    /// quote fee charged, after any discount.
    fees: AssetFees<AssetNameExchange>,
    /// Whether [`fees`](Self::fees) is taken apart from the fill: out of its own asset's free
    /// balance when the fill settles, and in neither [`amount`](Self::amount) nor
    /// [`credit`](Self::credit). Only a fill charged in the [`FeeAssetConfig`] asset, which is
    /// neither of the two assets it exchanges.
    fee_apart: bool,
}

impl Settlement {
    /// What must be held for this settlement while the order it belongs to is still working.
    ///
    /// The amount net of what the fill will pay back into the asset held, and never negative. An
    /// order that only reduces a CFD position is paid more by its fill than it costs, so it holds
    /// nothing: the account that opened a position with all of its balance can still close it. A
    /// spot fill pays back in the other asset, which funds nothing, so this is its whole amount.
    fn requirement(&self) -> Decimal {
        match &self.credit {
            Credit::PaidBack(credit) => (self.amount - credit).max(Decimal::ZERO),
            Credit::Delivery(_) => self.amount,
        }
    }

    /// The whole of this settlement leaves the account, because the whole of it traded.
    fn settled(&self) -> Debit {
        Debit {
            asset: self.asset.clone(),
            settled: self.amount,
            reserved: Decimal::ZERO,
        }
    }

    /// The whole of this settlement's [`requirement`](Self::requirement) is held, because the
    /// order it belongs to is still working.
    fn reserved(&self) -> Debit {
        Debit {
            asset: self.asset.clone(),
            settled: Decimal::ZERO,
            reserved: self.requirement(),
        }
    }

    /// This settlement traded and `remainder`'s [`requirement`](Self::requirement) is held
    /// against what is still working: one order that the book filled in part and that rested the
    /// rest.
    ///
    /// # Panics
    /// Debug-asserts that both settlements pay with the same asset. They come from one order, so
    /// they share its side and its instrument, and [`SimulatedVenue::settlement`] decides the
    /// asset from nothing else — a disagreement would mean one order paying with two assets.
    fn settled_holding(&self, remainder: &Settlement) -> Debit {
        debug_assert!(
            self.asset == remainder.asset,
            "one order settled {} of {} and reserved {} of {}: an order pays with one asset, so \
             two settlements of it cannot name two",
            self.amount,
            self.asset,
            remainder.amount,
            remainder.asset
        );

        Debit {
            asset: self.asset.clone(),
            settled: self.amount,
            reserved: remainder.requirement(),
        }
    }
}

/// A cash-settled instrument's net position on this venue: what a CFD fill closes before it
/// opens anything.
///
/// Kept per instrument, in contracts, whatever position mode the client keeps its own book in. A
/// CFD venue nets one account's trades in one instrument, which is what decides how much of a fill
/// returns margin and realises PnL rather than posting new margin.
#[derive(Debug, Clone, Copy, Default, PartialEq, Eq)]
struct NetPosition {
    /// Signed quantity in contracts: positive long, negative short, zero flat.
    quantity: Decimal,
    /// Volume-weighted average price the open `quantity` was entered at. Zero while flat.
    ///
    /// Rounded to `Decimal` precision when an average does not terminate, so a later close can
    /// return a margin that differs from the one posted in the last of its 28 digits.
    entry: Decimal,
}

impl NetPosition {
    fn is_long(&self) -> bool {
        self.quantity.is_sign_positive() && !self.quantity.is_zero()
    }

    /// How much of a fill of `quantity` on `side` closes this position. The rest of it opens one.
    fn closing(&self, side: Side, quantity: Decimal) -> Decimal {
        let opposes = match side {
            Side::Buy => self.quantity.is_sign_negative() && !self.quantity.is_zero(),
            Side::Sell => self.is_long(),
        };
        match opposes {
            true => quantity.min(self.quantity.abs()),
            false => Decimal::ZERO,
        }
    }

    /// This position after a fill of `quantity` on `side` at `price`.
    ///
    /// Averaged as the `rustrade` engine averages its own `Position`: an increase moves the entry
    /// to the volume-weighted average, a reduction keeps it, and a fill that opens from flat or
    /// flips through zero enters what is left at the fill price.
    fn after(self, side: Side, quantity: Decimal, price: Decimal) -> Self {
        let signed = match side {
            Side::Buy => quantity,
            Side::Sell => -quantity,
        };
        let next = self.quantity + signed;

        let entry = if next.is_zero() {
            Decimal::ZERO
        } else if self.quantity.is_zero()
            || next.is_sign_negative() != self.quantity.is_sign_negative()
        {
            price
        } else if signed.is_sign_negative() == self.quantity.is_sign_negative() {
            (self.entry * self.quantity.abs() + price * quantity) / next.abs()
        } else {
            self.entry
        };

        Self {
            quantity: next,
            entry,
        }
    }
}

/// The id a venue seeded with `account` mints its first order with: one past the highest decimal
/// `OrderId` among the seeded orders, or `0` if none carries one.
///
/// Open and cancelled orders both count, which is everything an account snapshot seeds. Each was
/// given its id by the venue the state describes, so reusing one would make two orders
/// indistinguishable to anything keyed on it.
fn first_unseeded_order_id(account: &AccountState) -> u128 {
    let open = account
        .orders_open()
        .filter_map(|order| match &order.state.id {
            VenueOrderId::Assigned(id) => Some(id),
            VenueOrderId::ClientAssigned => None,
        });
    let cancelled = account.orders_cancelled().map(|order| &order.state.id);

    open.chain(cancelled)
        .filter_map(|id| id.0.parse::<u64>().ok())
        .max()
        .map_or(0, |highest| u128::from(highest) + 1)
}

#[cfg(test)]
#[allow(clippy::unwrap_used, clippy::expect_used)] // Test code: panics on bad input are acceptable
mod tests {
    use super::*;
    use crate::{
        balance::{Balance, MarginDetails},
        cash_flow::CashFlowKind,
        error::OrderError,
        exchange::mock::{
            fixtures::*,
            orders::{OpenOrders, as_open},
        },
        fee::{PerContractFeeModel, PercentageFeeModel},
        fill::{BidAskFillModel, NextBarPrice, SimFillConfig},
        holding_cost::{
            AccrualDays, BorrowFeeModel, DailyAccrual, DayCount, FinancingModel, FinancingRates,
            FundingModel, HoldingCharge, RateSeries, WeekendsOnly,
        },
        margin::{InterestCharge, InterestSchedule, MarginEffect, PeriodicMarginInterest},
        order::{
            OrderEvent, OrderKey, TimeInForce,
            id::{ClientOrderId, StrategyId},
            request::RequestCancel,
            state::{ActiveOrderState, InactiveOrderState},
        },
        shortability::{Shortability, ShortabilityTable},
        slippage::SlippageConfig,
    };
    use chrono::{NaiveTime, TimeDelta};
    use rustrade_instrument::{
        Underlying,
        instrument::{
            kind::cfd::CfdContract, name::InstrumentNameInternal, quote::InstrumentQuoteAsset,
        },
    };

    fn make_venue(btc: &str, usdt: &str) -> SimulatedVenue {
        make_venue_with_fee(btc, usdt, FeeModelConfig::default())
    }

    fn make_venue_with_fee(btc: &str, usdt: &str, fee_model: FeeModelConfig) -> SimulatedVenue {
        SimulatedVenue::new(&spot_config(btc, usdt, fee_model), spot_instruments())
    }

    /// Maker 2bp against taker 10bp, so a fill charged the wrong side is off by 5x rather than by a
    /// rounding difference.
    fn maker_taker_fee() -> FeeModelConfig {
        FeeModelConfig::Percentage(PercentageFeeModel::maker_taker(d("0.0002"), d("0.001")))
    }

    /// A venue fed by a driver, and so the only regime that accepts limit orders.
    fn make_market_venue(btc: &str, usdt: &str) -> SimulatedVenue {
        make_market_venue_with(btc, usdt, maker_taker_fee(), SimFillConfig::default())
    }

    fn make_market_venue_with(
        btc: &str,
        usdt: &str,
        fee_model: FeeModelConfig,
        fill_model: SimFillConfig,
    ) -> SimulatedVenue {
        SimulatedVenue::new_market_driven(
            &spot_config_with_fill(btc, usdt, fee_model, fill_model),
            spot_instruments(),
        )
    }

    /// `events` without the margin debt updates a spot-margin venue follows a restatement with,
    /// for a test about the other events and their order.
    fn sans_debt(events: &[UnindexedAccountEvent]) -> Vec<&UnindexedAccountEvent> {
        events
            .iter()
            .filter(|event| !matches!(event.kind, AccountEventKind::MarginDebt(_)))
            .collect()
    }

    /// The balance restatement a venue owes, read off the event it emitted.
    fn balance_of(event: &UnindexedAccountEvent) -> &AssetBalance<AssetNameExchange> {
        match &event.kind {
            AccountEventKind::BalanceSnapshot(balance) => &balance.0,
            other => panic!("expected a balance restatement, got: {other:?}"),
        }
    }

    fn trade_of(
        event: &UnindexedAccountEvent,
    ) -> &Trade<AssetNameExchange, InstrumentNameExchange> {
        match &event.kind {
            AccountEventKind::Trade(trade) => trade,
            other => panic!("expected a trade, got: {other:?}"),
        }
    }

    fn order_of(
        event: &UnindexedAccountEvent,
    ) -> &Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState> {
        match &event.kind {
            AccountEventKind::OrderSnapshot(order) => &order.0,
            other => panic!("expected an order snapshot, got: {other:?}"),
        }
    }

    /// The `Open` a rested order reports, or a panic naming what it reported instead.
    fn rested_open(outcome: &OpenOutcome) -> &Open {
        match &outcome.response.state {
            OrderState::Active(ActiveOrderState::Open(open)) => open,
            other => panic!("expected a resting open order, got: {other:?}"),
        }
    }

    /// The price a filled order reports having filled at.
    fn filled_price(
        order: &Order<ExchangeId, InstrumentNameExchange, UnindexedOrderState>,
    ) -> Decimal {
        match &order.state {
            OrderState::Inactive(InactiveOrderState::FullyFilled(filled)) => filled
                .avg_price
                .expect("a filled order reports the price it filled at"),
            other => panic!("expected a fully filled order, got: {other:?}"),
        }
    }

    /// Rests one buy limit, returning the venue holding it and what it told its client.
    ///
    /// The market is set first and does not cross the order, which is what makes it rest rather
    /// than fill on arrival.
    fn venue_resting_one_buy(limit: &str) -> (SimulatedVenue, OpenOutcome) {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty(),
            "an empty book fills nothing"
        );

        let outcome = venue.open_order(limit_request("resting", Side::Buy, "1", limit, gtc()));
        assert_eq!(
            outcome.events.len(),
            1,
            "a rested order restates one balance and books no trade"
        );

        (venue, outcome)
    }

    /// Advances `venue`, asserting the advance retired nothing.
    ///
    /// Every existing test predates deadlines and holds only `GoodUntilCancelled` orders, so a
    /// sweep that produced anything would mean an order retired that nothing asked to expire.
    /// Asserting that beats discarding the value: it is the same one line, and it pins the
    /// property instead of hiding it.
    fn advance(venue: &mut SimulatedVenue, time_exchange: DateTime<Utc>) {
        assert!(
            venue.advance_time(time_exchange).is_empty(),
            "advancing to {time_exchange} retired an order this test never gave a deadline"
        );
    }

    fn time(seconds: i64) -> DateTime<Utc> {
        DateTime::<Utc>::from_timestamp(1_700_000_000 + seconds, 0).expect("representable instant")
    }

    /// The balance snapshot a filled open owes its client, read back off the venue's own output.
    ///
    /// The assertions below go through [`VenueOutcome::events`] rather than any internal, so they
    /// pin what a driver actually delivers — and, by indexing, the order it must deliver it in.
    fn filled_balance(outcome: &OpenOutcome) -> &AssetBalance<AssetNameExchange> {
        match sans_debt(&outcome.events).first().map(|event| &event.kind) {
            Some(AccountEventKind::BalanceSnapshot(balance)) => &balance.0,
            other => panic!("a filled open must emit its balance first, got: {other:?}"),
        }
    }

    /// The balance a filled spot open received, which follows the one it paid with.
    fn filled_received(outcome: &OpenOutcome) -> &AssetBalance<AssetNameExchange> {
        match sans_debt(&outcome.events).get(1).map(|event| &event.kind) {
            Some(AccountEventKind::BalanceSnapshot(balance)) => &balance.0,
            other => panic!("a filled spot open must emit what it received second, got: {other:?}"),
        }
    }

    /// The trade a filled open owes its client, which must follow every balance it moved, and the
    /// interest charged on what it borrowed.
    fn filled_trade(outcome: &OpenOutcome) -> &Trade<AssetNameExchange, InstrumentNameExchange> {
        let Some(at) = outcome
            .events
            .iter()
            .position(|event| matches!(event.kind, AccountEventKind::Trade(_)))
        else {
            panic!(
                "a filled open must emit its trade, got: {:?}",
                outcome.events
            );
        };
        assert!(
            at > 0
                && outcome.events[..at].iter().all(|event| matches!(
                    event.kind,
                    AccountEventKind::BalanceSnapshot(_)
                        | AccountEventKind::CashFlow(_)
                        | AccountEventKind::MarginDebt(_)
                )),
            "a filled open must emit its balances before its trade, got: {:?}",
            outcome.events
        );
        trade_of(&outcome.events[at])
    }

    /// The venue's ordering obligation, asserted without any transport in the way.
    ///
    /// Two separate claims, because a driver needs both: each fill reports its balances before its
    /// trade, and successive fills report strictly decreasing balances. A balance here is an
    /// absolute restatement rather than a delta, so a driver that reorders them does not merely
    /// reorder history — it leaves the client holding the wrong number.
    #[test]
    fn a_filled_open_reports_its_balance_before_its_trade_and_debits_monotonically() {
        const FILLS: usize = 4;

        let mut venue = make_venue("100", "10000000");
        let mut balances = Vec::with_capacity(FILLS);

        for _ in 0..FILLS {
            let outcome = venue.open_order(buy_request("0.01", market_prices("50000")));

            assert_eq!(
                outcome.events.len(),
                3,
                "a spot fill owes the balance it paid with, the one it received, and one trade"
            );
            // The accessors assert their own positions, so reaching here is the order assertion.
            let balance = filled_balance(&outcome);
            let received = filled_received(&outcome);
            let trade = filled_trade(&outcome);

            assert_eq!(balance.asset, quote(), "a spot buy debits quote");
            assert_eq!(received.asset, base(), "and credits base");
            assert_eq!(trade.price, d("50000"));
            balances.push(balance.balance.total);
        }

        // 0.01 * 50 000 = 500 per fill, from a 10 000 000 start.
        let expected = (1..=FILLS)
            .map(|nth| d("10000000") - d("500") * Decimal::from(nth))
            .collect::<Vec<_>>();
        assert_eq!(
            balances, expected,
            "successive fills must restate a strictly decreasing balance"
        );
    }

    /// The fill is in the ledger the moment `open_order` returns, not when its events are delivered.
    ///
    /// The venue acknowledges its own trade, so the ledger cannot disagree with the events a driver
    /// is still holding: a later request sees the fill regardless of when the driver gets around to
    /// emitting it. Splitting that across the seam — book here, acknowledge in the driver — is what
    /// let one driver forget.
    #[test]
    fn a_filled_open_is_in_the_ledger_before_its_events_are_delivered() {
        let mut venue = make_venue("100", "10000000");
        let before = venue.time_exchange();

        let outcome = venue.open_order(buy_request("0.01", market_prices("50000")));
        assert_eq!(outcome.events.len(), 3, "the fill must owe events");

        // Nothing has delivered `outcome`, yet the ledger already reflects it.
        let trades = venue.trades(before);
        assert_eq!(trades.len(), 1, "the venue must acknowledge its own trade");
        assert_eq!(trades[0].price, d("50000"));
    }

    /// `advance_time` sets the instant everything a request produces after it is stamped with.
    #[test]
    fn a_fill_is_stamped_with_the_instant_the_venue_was_last_advanced() {
        let mut venue = make_venue("100", "10000000");
        let time_exchange = "2025-01-01T00:00:00Z".parse::<DateTime<Utc>>().unwrap();

        advance(&mut venue, time_exchange);
        assert_eq!(venue.time_exchange(), time_exchange);

        let outcome = venue.open_order(buy_request("0.01", market_prices("50000")));
        assert_eq!(filled_trade(&outcome).time_exchange, time_exchange);
        assert_eq!(filled_balance(&outcome).time_exchange, time_exchange);
    }

    /// A run may start before 1970: the first instant is taken as given, not held at the epoch
    /// the clock reads before it first moves.
    #[test]
    fn the_first_instant_may_precede_the_epoch() {
        let mut venue = make_venue("100", "10000000");
        let start = "1965-03-01T00:00:00Z".parse::<DateTime<Utc>>().unwrap();

        advance(&mut venue, start);

        assert_eq!(venue.time_exchange(), start);
    }

    /// A request arriving behind a market tick the venue has already applied is stamped at the
    /// tick, so nothing it reports is older than what the tick could have reported.
    #[test]
    fn a_request_behind_a_later_market_tick_is_stamped_at_the_tick() {
        let mut venue = make_cfd_venue_charging("200000", Vec::new());
        let tick = time(10);
        let fills = venue.apply_market(
            &cfd_instrument_name(),
            MarketObservation::new(MarketSnapshot {
                best_bid: Some(d("5000")),
                best_ask: Some(d("5000")),
                last_price: Some(d("5000")),
            }),
            tick,
        );
        assert!(fills.is_empty());

        assert!(venue.advance_time(time(5)).is_empty());
        assert_eq!(venue.time_exchange(), tick, "the clock is held at the tick");

        let outcome = venue.open_order(cfd_request(Side::Buy, "1", None));
        assert_eq!(filled_trade(&outcome).time_exchange, tick);
        assert_eq!(filled_balance(&outcome).time_exchange, tick);
    }

    /// A market tick behind an instant the venue has already reached is applied at that instant,
    /// so the fill it causes, the balances it restates and the market it stores are stamped no
    /// earlier than what the venue has already reported.
    #[test]
    fn a_market_tick_behind_the_clock_is_applied_at_the_clock() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        let reached = time(10);
        advance(&mut venue, reached);

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(5),
        );

        assert_eq!(
            events.len(),
            4,
            "the tick still crosses the resting order: two balances, a trade, an order"
        );
        assert_eq!(balance_of(&events[0]).time_exchange, reached);
        assert_eq!(balance_of(&events[1]).time_exchange, reached);
        assert_eq!(trade_of(&events[2]).time_exchange, reached);
        assert!(
            venue
                .account
                .balances()
                .all(|balance| balance.time_exchange == reached),
            "no balance is restamped earlier than the venue has reported"
        );
        let market = venue.market(&instrument_name()).unwrap();
        assert_eq!(market.time_exchange, reached);
        assert_eq!(market.fresh_at, Some(reached));
        assert_eq!(venue.time_exchange(), reached);
    }

    /// A resting order's arrival stamp survives the clock moving past it.
    ///
    /// `advance_time` used to rewrite `time_exchange` on every open order. Nothing rested, so the
    /// only orders it could reach were those an `initial_state` seeded — and it moved them to
    /// whenever the clock last ticked. Arrival order is half of price-time priority, so an order
    /// whose arrival instant is rewritten on every event has no arrival instant at all.
    #[test]
    fn advancing_the_clock_does_not_restamp_a_resting_order() {
        let arrived = "2025-01-01T00:00:00Z".parse::<DateTime<Utc>>().unwrap();
        let much_later = "2025-06-01T00:00:00Z".parse::<DateTime<Utc>>().unwrap();

        let mut venue = make_venue("100", "10000000");
        venue.account = AccountState::new(
            venue
                .account
                .balances()
                .cloned()
                .map(|balance| (balance.asset.clone(), balance))
                .collect(),
            {
                let mut book = OpenOrders::default();
                book.insert(
                    Order {
                        key: OrderKey {
                            exchange: EXCHANGE,
                            instrument: instrument_name(),
                            strategy: StrategyId::new("test"),
                            cid: ClientOrderId::new("resting"),
                        },
                        side: Side::Buy,
                        price: Some(d("50000")),
                        quantity: d("1"),
                        kind: OrderKind::Limit,
                        time_in_force: TimeInForce::GoodUntilCancelled { post_only: false },
                        state: Open {
                            id: VenueOrderId::Assigned(OrderId::new("resting")),
                            time_exchange: arrived,
                            filled_quantity: Decimal::ZERO,
                        },
                    },
                    None,
                )
                .unwrap();
                book
            },
            Default::default(),
            Vec::new(),
        );

        advance(&mut venue, much_later);

        let resting = venue.orders_open(&[]);
        assert_eq!(resting.len(), 1, "the seeded order must still be open");
        assert_eq!(
            resting[0].state.time_exchange, arrived,
            "an order does not become a different order because time passed"
        );

        // Balances do move: a venue restates them as of now, and they carry no ordering role.
        let usdt = venue.balances(&[quote()]);
        assert_eq!(usdt[0].time_exchange, much_later);
    }

    /// A cancel for an id the venue never booked is rejected as unknown, and the rejection is the
    /// venue's rather than any driver's.
    ///
    /// Answering here — rather than in each driver — is what stops two drivers from carrying two
    /// copies of the same policy, and the response is the one the request's channel asks for.
    #[test]
    fn a_cancel_for_an_unknown_order_is_rejected_as_unknown() {
        let mut venue = make_venue("100", "10000000");
        let key = buy_request("1", market_prices("50000")).key;

        let outcome = venue.cancel_order(OrderEvent {
            key: key.clone(),
            state: RequestCancel { id: None },
        });

        assert!(
            outcome.events.is_empty(),
            "a rejected cancel moves nothing, so it owes no events"
        );
        assert_eq!(
            outcome.response.key, key,
            "the response must name its request"
        );
        match outcome.response.state {
            Err(OrderError::Rejected(ApiError::OrderRejected(ref reason))) => {
                assert!(
                    reason.contains("test-cid"),
                    "the rejection must name the order it could not find, got: {reason}"
                );
            }
            ref other => panic!("expected a rejected cancel, got: {other:?}"),
        }

        // Nothing was cancelled, so nothing may appear in the ledger either.
        assert!(
            venue.account_snapshot().instruments.is_empty(),
            "a rejected cancel must not enter the ledger"
        );
    }

    /// `contract_size` of the CFD fixture below, as a per-point multiplier a real index CFD carries.
    const CFD_CONTRACT_SIZE: &str = "25";

    fn cfd_instrument_name() -> InstrumentNameExchange {
        InstrumentNameExchange::new("spx500_usd")
    }

    /// A USD-quoted index CFD settling in **GBP** — the case that makes the settlement asset differ
    /// from the quote asset — with **only the quote asset funded** and no `spx500` balance at all.
    /// An index is not deliverable, so requiring base inventory to short one would be unfundable.
    fn make_cfd_venue(usd: &str, fee_model: FeeModelConfig) -> SimulatedVenue {
        make_cfd_venue_with_balances(
            vec![funded(AssetNameExchange::new("usd"), d(usd))],
            fee_model,
        )
    }

    fn make_cfd_venue_with_balances(
        balances: Vec<AssetBalance<AssetNameExchange>>,
        fee_model: FeeModelConfig,
    ) -> SimulatedVenue {
        SimulatedVenue::new(
            &config_from_balances(balances, fee_model),
            instruments_of(cfd_instrument()),
        )
    }

    fn cfd_instrument() -> Instrument<ExchangeId, AssetNameExchange> {
        Instrument {
            exchange: EXCHANGE,
            name_internal: InstrumentNameInternal::new("spx500_usd"),
            name_exchange: cfd_instrument_name(),
            underlying: Underlying {
                base: AssetNameExchange::new("spx500"),
                quote: AssetNameExchange::new("usd"),
            },
            quote: InstrumentQuoteAsset::UnderlyingQuote,
            kind: InstrumentKind::Cfd(CfdContract {
                contract_size: d(CFD_CONTRACT_SIZE),
                settlement_asset: AssetNameExchange::new("gbp"),
            }),
            spec: None,
            data_venue: None,
        }
    }

    fn cfd_request(
        side: Side,
        quantity: &str,
        market: Option<MarketSnapshot>,
    ) -> OrderRequestOpen<ExchangeId, InstrumentNameExchange> {
        request(cfd_instrument_name(), side, quantity, market)
    }

    /// The multiplier must reach the ledger, or balances move 1x while the engine's PnL moves
    /// `contract_size`x — the same fill accounted two different ways.
    #[test]
    fn cfd_buy_debits_the_contract_size_scaled_notional() {
        let mut venue = make_cfd_venue("200000", FeeModelConfig::default());

        let outcome = venue.open_order(cfd_request(Side::Buy, "1", market_prices("5000")));

        assert!(
            outcome.response.state.is_accepted(),
            "cfd buy should fill: {:?}",
            outcome.response.state
        );
        assert_eq!(outcome.events.len(), 2);

        // 1 contract * 5000 * 25 = 125,000 of true notional, not the unmultiplied 5,000.
        let usd = venue
            .account
            .balance_mut(&AssetNameExchange::new("usd"))
            .unwrap();
        assert_eq!(usd.balance.free, d("200000") - d("125000"));
        assert_eq!(usd.balance.total, usd.balance.free);
    }

    /// A CFD short is a margin position, not a stock loan: it must not require inventory in an
    /// index that cannot be held. This fixture funds no `spx500` balance at all, so a base debit
    /// would panic on the missing balance rather than merely reject.
    #[test]
    fn cfd_sell_needs_no_base_inventory_and_debits_quote() {
        let mut venue = make_cfd_venue("200000", FeeModelConfig::default());

        let outcome = venue.open_order(cfd_request(Side::Sell, "1", market_prices("5000")));

        assert!(
            outcome.response.state.is_accepted(),
            "cfd short should fill without base inventory: {:?}",
            outcome.response.state
        );
        let balance = filled_balance(&outcome);
        assert_eq!(
            balance.asset,
            AssetNameExchange::new("usd"),
            "a cash-settled short debits quote, not base"
        );
        assert_eq!(balance.balance.free, d("75000"));
    }

    /// The scaled notional is what the balance check tests, so an account that could fund the
    /// unmultiplied order must still be rejected.
    #[test]
    fn cfd_buy_is_rejected_when_only_the_unscaled_notional_is_funded() {
        let mut venue = make_cfd_venue("10000", FeeModelConfig::default());

        let outcome = venue.open_order(cfd_request(Side::Buy, "1", market_prices("5000")));

        assert!(outcome.events.is_empty());
        match outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::BalanceInsufficient(Some(ref asset), _),
            ))) => {
                assert_eq!(*asset, AssetNameExchange::new("usd"));
            }
            other => panic!("expected BalanceInsufficient, got: {other:?}"),
        }
    }

    /// Fees stay quote-denominated on both sides of a CFD, are computed on the `contract_size`
    /// scaled notional, and are debited on top of it.
    ///
    /// Every amount below is hard-coded rather than read back from the event: an assertion that
    /// subtracts the reported fee from its own expected balance is satisfied by *any* fee,
    /// including the unscaled one this exists to rule out.
    #[test]
    fn cfd_fee_is_quote_denominated_on_both_sides() {
        for side in [Side::Buy, Side::Sell] {
            let mut venue = make_cfd_venue(
                "200000",
                // 0.1% of the scaled notional.
                FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001"))),
            );

            let outcome = venue.open_order(cfd_request(side, "1", market_prices("5000")));

            assert!(
                outcome.response.state.is_accepted(),
                "{side:?} should fill: {:?}",
                outcome.response.state
            );
            assert_eq!(
                filled_trade(&outcome).fees.asset,
                AssetNameExchange::new("usd"),
                "{side:?} fee asset"
            );

            // 0.001 * 5000 * 1 * 25. The unscaled answer is 5, so this pins the multiplier.
            assert_eq!(
                filled_trade(&outcome).fees.fees,
                d("125"),
                "{side:?} fee must be 0.1% of the contract_size-scaled notional"
            );
            assert_eq!(
                filled_balance(&outcome).balance.free,
                d("200000") - d("125000") - d("125"),
                "{side:?} debit must be notional + fee"
            );
        }
    }

    /// The documented caller obligation: the **quote** asset must be funded, even when the CFD
    /// settles in another currency. This mock has no conversion rate, so it cannot fall back to the
    /// settlement asset, and an unfunded quote balance is a mis-specified fixture rather than a
    /// runtime condition.
    #[test]
    #[should_panic(expected = "SimulatedVenue has Balance for all configured Instrument assets")]
    fn cfd_panics_when_the_quote_asset_is_unfunded() {
        // A realistically funded GBP account: the settlement asset is present, the quote asset is
        // not. The mock cannot convert between them, so this is a mis-specified fixture.
        let mut venue = make_cfd_venue_with_balances(
            vec![funded(AssetNameExchange::new("gbp"), d("200000"))],
            FeeModelConfig::default(),
        );

        let _ = venue.open_order(cfd_request(Side::Buy, "1", market_prices("5000")));
    }

    // --- A CFD is a net position: closing pays back what opening posted -----------------------

    fn usd() -> AssetNameExchange {
        AssetNameExchange::new("usd")
    }

    fn free_usd(venue: &SimulatedVenue) -> Decimal {
        venue.balances(&[usd()]).remove(0).balance.free
    }

    fn total_usd(venue: &SimulatedVenue) -> Decimal {
        venue.balances(&[usd()]).remove(0).balance.total
    }

    /// Fills a CFD market order at `price`, asserting it was accepted.
    fn cfd_fill(
        venue: &mut SimulatedVenue,
        side: Side,
        quantity: &str,
        price: &str,
    ) -> OpenOutcome {
        let outcome = venue.open_order(cfd_request(side, quantity, market_prices(price)));
        assert!(
            outcome.response.state.is_accepted(),
            "{side:?} {quantity} @ {price} should fill: {:?}",
            outcome.response.state
        );
        outcome
    }

    /// The venue's reported CFD position as `(quantity, entry)`, or `None` while flat.
    fn cfd_position(venue: &SimulatedVenue) -> Option<(Decimal, Option<Decimal>)> {
        let snapshot = venue.account_snapshot();
        let Some(instrument) = snapshot
            .instruments
            .iter()
            .find(|instrument| instrument.instrument == cfd_instrument_name())
        else {
            panic!("a CFD instrument is always in the snapshot, flat or not");
        };
        match &instrument.position {
            PositionReport::Open(position) => Some((position.quantity, position.entry_price)),
            PositionReport::Flat => None,
            PositionReport::Unreported => panic!("a CFD position is reported, not Unreported"),
        }
    }

    /// The bug this ledger fixes: an account that opens with most of its balance can close, and a
    /// round trip moves the balance by the realised PnL alone. 1 contract × 25 × the price move.
    #[test]
    fn a_cfd_round_trip_returns_the_margin_and_settles_the_pnl() {
        // (opening side, open price, close price, balance after the round trip)
        for (side, open, close, end) in [
            (Side::Buy, "5000", "5100", "152500"),  // long that wins 2,500
            (Side::Sell, "5000", "4900", "152500"), // short that wins 2,500
            (Side::Sell, "5000", "5200", "145000"), // short that loses 5,000
        ] {
            let mut venue = make_cfd_venue("150000", FeeModelConfig::default());

            cfd_fill(&mut venue, side, "1", open);
            assert_eq!(
                free_usd(&venue),
                d("25000"),
                "{side:?}: opening posts 125,000"
            );

            let closing = match side {
                Side::Buy => Side::Sell,
                Side::Sell => Side::Buy,
            };
            let outcome = cfd_fill(&mut venue, closing, "1", close);

            assert_eq!(
                filled_balance(&outcome).balance.free,
                d(end),
                "{side:?} @ {close}"
            );
            assert_eq!(total_usd(&venue), d(end), "{side:?}: nothing is left held");
            assert_eq!(
                cfd_position(&venue),
                None,
                "{side:?}: the round trip is flat"
            );
        }
    }

    /// One sell of 3 against a long of 1 closes the long and opens a short of 2, and the long it
    /// closes helps fund the short it opens.
    #[test]
    fn a_cfd_flip_closes_the_position_and_opens_the_rest_in_one_fill() {
        let mut venue = make_cfd_venue("300000", FeeModelConfig::default());
        cfd_fill(&mut venue, Side::Buy, "1", "5000");
        assert_eq!(free_usd(&venue), d("175000"));

        // Closing 1 pays back 1 × 25 × 5100 = 127,500; opening 2 posts 2 × 25 × 5100 = 255,000.
        // 175,000 alone could not post 255,000, so the close is what funds it.
        cfd_fill(&mut venue, Side::Sell, "3", "5100");

        assert_eq!(free_usd(&venue), d("175000") + d("127500") - d("255000"));
        assert_eq!(cfd_position(&venue), Some((d("-2"), Some(d("5100")))));
    }

    #[test]
    fn a_partial_cfd_reduce_keeps_the_entry_and_pays_back_its_share() {
        let mut venue = make_cfd_venue("300000", FeeModelConfig::default());
        cfd_fill(&mut venue, Side::Buy, "2", "5000");
        assert_eq!(free_usd(&venue), d("50000"));

        cfd_fill(&mut venue, Side::Sell, "1", "5200");

        // 1 × 25 × 5200: the 125,000 posted for it plus 5,000 of PnL.
        assert_eq!(free_usd(&venue), d("180000"));
        assert_eq!(
            cfd_position(&venue),
            Some((d("2") - d("1"), Some(d("5000"))))
        );
    }

    #[test]
    fn increasing_a_cfd_position_averages_its_entry() {
        let mut venue = make_cfd_venue("300000", FeeModelConfig::default());
        cfd_fill(&mut venue, Side::Buy, "1", "5000");
        cfd_fill(&mut venue, Side::Buy, "1", "5200");

        assert_eq!(free_usd(&venue), d("300000") - d("125000") - d("130000"));
        assert_eq!(cfd_position(&venue), Some((d("2"), Some(d("5100")))));
    }

    /// Fees stay on the whole quantity whichever way it splits, so a round trip costs the PnL and
    /// both fees and nothing else.
    #[test]
    fn a_cfd_close_is_charged_its_fee_on_top_of_the_proceeds() {
        let mut venue = make_cfd_venue(
            "200000",
            FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001"))),
        );
        cfd_fill(&mut venue, Side::Buy, "1", "5000"); // fee 125
        let outcome = cfd_fill(&mut venue, Side::Sell, "1", "5100"); // fee 127.5

        assert_eq!(filled_trade(&outcome).fees.fees, d("127.5"));
        assert_eq!(
            free_usd(&venue),
            d("200000") + d("2500") - d("125") - d("127.5")
        );
    }

    /// A short that more than doubles has lost more than its margin. Nothing liquidated it, so the
    /// shortfall is paid rather than credited as a negative amount.
    #[test]
    fn a_cfd_short_that_loses_more_than_its_margin_pays_the_shortfall() {
        let mut venue = make_cfd_venue("200000", FeeModelConfig::default());
        cfd_fill(&mut venue, Side::Sell, "1", "1000"); // posts 25,000
        cfd_fill(&mut venue, Side::Buy, "1", "2500"); // loses 37,500

        assert_eq!(free_usd(&venue), d("200000") - d("37500"));
        assert_eq!(cfd_position(&venue), None);
    }

    #[test]
    fn a_spot_instrument_still_reports_no_position() {
        let mut venue = make_venue("10", "1000000");
        let _ = venue.open_order(request(
            instrument_name(),
            Side::Buy,
            "1",
            market_prices("50000"),
        ));

        let snapshot = venue.account_snapshot();
        assert!(
            snapshot
                .instruments
                .iter()
                .all(|instrument| instrument.position == PositionReport::Unreported),
            "a spot holding is a balance, not a position"
        );
    }

    #[test]
    fn a_cfd_position_in_the_initial_state_is_where_the_venue_starts() {
        let config = MockExecutionConfig::new(
            EXCHANGE,
            UnindexedAccountSnapshot {
                exchange: EXCHANGE,
                balances: vec![funded(usd(), d("10000"))],
                instruments: vec![InstrumentAccountSnapshot {
                    instrument: cfd_instrument_name(),
                    orders: vec![],
                    orders_complete: true,
                    position: PositionReport::from_position(Position::new(
                        d("-1"),
                        Some(d("5000")),
                        None,
                        None,
                        None,
                        None,
                        None,
                        time(0),
                    )),
                    isolated: None,
                }],
            },
            0,
            FeeModelConfig::default(),
            SimFillConfig::default(),
            SpotFeeAsset::default(),
            crate::slippage::SlippageConfig::default(),
            crate::fill::MarketOrderTiming::default(),
            crate::fill::StaleMarketPolicy::default(),
            None,
            None,
        );
        let mut venue = SimulatedVenue::new(&config, instruments_of(cfd_instrument()));
        assert_eq!(cfd_position(&venue), Some((d("-1"), Some(d("5000")))));

        // Its margin counts as posted, so closing it pays that back: 25 × (2 × 5000 − 4800).
        cfd_fill(&mut venue, Side::Buy, "1", "4800");
        assert_eq!(free_usd(&venue), d("10000") + d("130000"));
    }

    #[test]
    #[should_panic(expected = "no entry price")]
    fn a_cfd_position_in_the_initial_state_without_an_entry_price_panics() {
        let config = MockExecutionConfig::new(
            EXCHANGE,
            UnindexedAccountSnapshot {
                exchange: EXCHANGE,
                balances: vec![funded(usd(), d("10000"))],
                instruments: vec![InstrumentAccountSnapshot {
                    instrument: cfd_instrument_name(),
                    orders: vec![],
                    orders_complete: true,
                    position: PositionReport::from_position(Position::new(
                        d("-1"),
                        None,
                        None,
                        None,
                        None,
                        None,
                        None,
                        time(0),
                    )),
                    isolated: None,
                }],
            },
            0,
            FeeModelConfig::default(),
            SimFillConfig::default(),
            SpotFeeAsset::default(),
            crate::slippage::SlippageConfig::default(),
            crate::fill::MarketOrderTiming::default(),
            crate::fill::StaleMarketPolicy::default(),
            None,
            None,
        );
        let _ = SimulatedVenue::new(&config, instruments_of(cfd_instrument()));
    }

    // --- A resting CFD order holds only what it opens ------------------------------------------

    fn make_cfd_market_venue(usd: &str) -> SimulatedVenue {
        let mut venue = SimulatedVenue::new_market_driven(
            &config_from_balances(vec![funded(self::usd(), d(usd))], FeeModelConfig::default()),
            instruments_of(cfd_instrument()),
        );
        advance(&mut venue, time(1));
        venue
    }

    fn cfd_limit(
        cid: &str,
        side: Side,
        quantity: &str,
        price: &str,
    ) -> OrderRequestOpen<ExchangeId, InstrumentNameExchange> {
        let mut request = limit_request(cid, side, quantity, price, gtc());
        request.key.instrument = cfd_instrument_name();
        request
    }

    /// Feeds the CFD a market with a book and a trade price, returning whatever it filled.
    fn cfd_market(
        venue: &mut SimulatedVenue,
        bid: &str,
        ask: &str,
        last: &str,
    ) -> Vec<UnindexedAccountEvent> {
        let time_exchange = venue.time_exchange();
        venue.apply_market(
            &cfd_instrument_name(),
            MarketObservation::new(MarketSnapshot {
                best_bid: Some(d(bid)),
                best_ask: Some(d(ask)),
                last_price: Some(d(last)),
            }),
            time_exchange,
        )
    }

    fn cfd_market_fill(venue: &mut SimulatedVenue, side: Side, quantity: &str) {
        let outcome = venue.open_order(cfd_request(side, quantity, None));
        assert!(
            outcome.response.state.is_accepted(),
            "{side:?} {quantity} should fill: {:?}",
            outcome.response.state
        );
    }

    /// An account fully deployed in a long can still rest the order that closes it, which holds
    /// nothing, and the close pays the margin back when it fills.
    #[test]
    fn a_resting_order_that_only_reduces_a_cfd_position_holds_nothing() {
        let mut venue = make_cfd_market_venue("125000");
        assert!(cfd_market(&mut venue, "4990", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");
        assert_eq!(
            free_usd(&venue),
            Decimal::ZERO,
            "the long took the whole balance"
        );

        let outcome = venue.open_order(cfd_limit("close", Side::Sell, "1", "5200"));
        assert!(rested_open(&outcome).filled_quantity.is_zero());
        assert_eq!(
            total_usd(&venue) - free_usd(&venue),
            Decimal::ZERO,
            "nothing is held"
        );

        let events = cfd_market(&mut venue, "5200", "5210", "5200");
        assert_eq!(balance_of(&events[0]).balance.free, d("130000"));
        assert_eq!(filled_price(order_of(&events[2])), d("5200"));
        assert_eq!(cfd_position(&venue), None);
    }

    #[test]
    fn a_resting_order_that_opens_a_cfd_position_holds_its_margin_until_cancelled() {
        let mut venue = make_cfd_market_venue("200000");
        assert!(cfd_market(&mut venue, "4990", "5000", "5000").is_empty());

        let _ = venue.open_order(cfd_limit("open", Side::Buy, "1", "4800"));
        assert_eq!(free_usd(&venue), d("200000") - d("120000"));
        assert_eq!(total_usd(&venue), d("200000"));

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: cfd_limit("open", Side::Buy, "1", "4800").key,
            state: RequestCancel { id: None },
        });
        assert!(cancelled.response.state.is_ok());
        assert_eq!(free_usd(&venue), d("200000"));
    }

    /// The position a resting order was costed against can be gone by the time it fills: here a
    /// market sell closes the long the resting sell was going to close, so the resting sell now
    /// opens a short. It is costed again at the fill and posts that short's margin.
    #[test]
    fn a_resting_cfd_order_is_costed_against_the_position_when_it_fills() {
        let mut venue = make_cfd_market_venue("300000");
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1"); // posts 125,000

        let _ = venue.open_order(cfd_limit("close", Side::Sell, "1", "5200"));
        assert_eq!(
            free_usd(&venue),
            d("175000"),
            "a reducing order holds nothing"
        );

        cfd_market_fill(&mut venue, Side::Sell, "1"); // closes the long at 5,000
        assert_eq!(free_usd(&venue), d("300000"));
        assert_eq!(cfd_position(&venue), None);

        let events = cfd_market(&mut venue, "5200", "5210", "5200");
        assert_eq!(
            balance_of(&events[0]).balance.free,
            d("300000") - d("130000"),
            "the resting sell now opens a short of 1 at 5,200"
        );
        assert_eq!(cfd_position(&venue), Some((d("-1"), Some(d("5200")))));
    }

    /// The same, for an account that cannot afford the short the order now opens. It is cancelled
    /// rather than filled with balance the account does not have.
    #[test]
    fn a_resting_cfd_order_the_account_can_no_longer_afford_is_cancelled() {
        let mut venue = make_cfd_market_venue("126000");
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");
        let _ = venue.open_order(cfd_limit("close", Side::Sell, "1", "5200"));
        cfd_market_fill(&mut venue, Side::Sell, "1");
        assert_eq!(free_usd(&venue), d("126000"));

        let events = cfd_market(&mut venue, "5200", "5210", "5200");

        // Its released hold (nothing, since it only reduced when it rested) restates first, and
        // the cancelled order comes last.
        let Some((last, released)) = events.split_last() else {
            panic!("an unaffordable fill reports its cancelled order");
        };
        assert!(
            matches!(
                order_of(last).state,
                OrderState::Inactive(InactiveOrderState::Cancelled(_))
            ),
            "{:?}",
            order_of(last).state
        );
        assert!(
            released
                .iter()
                .all(|event| balance_of(event).balance.free == d("126000")),
            "no balance moved"
        );
        assert_eq!(free_usd(&venue), d("126000"), "nothing moved");
        assert_eq!(cfd_position(&venue), None);
        assert!(venue.account.is_cancelled(&ClientOrderId::new("close")));
    }

    /// The same, for an order that holds something: its hold is given back before the order is
    /// cancelled, and nothing else moves. The resting sell of 3 closes the long of 1 and opens a
    /// short of 2, so it holds the 2's margin net of the 1's proceeds. Once a market sell has
    /// closed the long, its fill would open a short of 3, which the account cannot cover.
    #[test]
    fn a_resting_cfd_order_cancelled_as_unaffordable_releases_its_hold() {
        let mut venue = make_cfd_market_venue("260000");
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1"); // posts 125,000

        let _ = venue.open_order(cfd_limit("flip", Side::Sell, "3", "5200"));
        assert_eq!(
            free_usd(&venue),
            d("260000") - d("125000") - (d("260000") - d("130000")),
            "holds the short's 260,000 net of the long's 130,000"
        );

        cfd_market_fill(&mut venue, Side::Sell, "1"); // closes the long at 5,000
        assert_eq!(free_usd(&venue), d("130000"));
        assert_eq!(total_usd(&venue), d("260000"));

        let events = cfd_market(&mut venue, "5200", "5210", "5200");

        let Some((last, released)) = events.split_last() else {
            panic!("an unaffordable fill reports its cancelled order");
        };
        assert!(
            matches!(
                order_of(last).state,
                OrderState::Inactive(InactiveOrderState::Cancelled(_))
            ),
            "{:?}",
            order_of(last).state
        );
        let [released] = released else {
            panic!("exactly the released hold restates: {released:?}");
        };
        assert_eq!(
            balance_of(released).balance.free,
            d("260000"),
            "the hold is given back"
        );
        assert_eq!(free_usd(&venue), d("260000"));
        assert_eq!(total_usd(&venue), d("260000"), "nothing settled");
        assert_eq!(cfd_position(&venue), None);
        assert!(venue.account.is_cancelled(&ClientOrderId::new("flip")));
    }

    #[test]
    fn sell_order_decrements_base_and_credits_quote_proceeds() {
        let mut venue = make_venue("1.0", "10000");
        let initial_usdt = d("10000");

        let outcome = venue.open_order(sell_request("0.5", market_prices("50000")));

        assert!(
            outcome.response.state.is_accepted(),
            "sell should succeed: {:?}",
            outcome.response.state
        );
        assert_eq!(outcome.events.len(), 3, "a successful sell must notify");
        assert_eq!(
            filled_balance(&outcome).asset,
            base(),
            "a sell pays with base"
        );
        assert_eq!(
            filled_received(&outcome).asset,
            quote(),
            "and receives quote"
        );

        // Base (BTC) must be decremented by the quantity sold.
        let btc = venue.account.balance_mut(&base()).unwrap();
        assert_eq!(
            btc.balance.free,
            d("0.5"),
            "base balance should decrease by quantity sold"
        );

        // Quote (USDT) is credited the proceeds: 0.5 * 50000, with no fee in this test.
        let usdt = venue.account.balance_mut(&quote()).unwrap();
        assert_eq!(
            usdt.balance.free,
            initial_usdt + d("25000"),
            "quote balance should rise by the proceeds"
        );
    }

    /// A derivative must be rejected, not filled down the physically-settled spot path.
    ///
    /// The venue is constructed directly with the derivative on purpose: that is exactly the route
    /// a consumer takes when it builds a venue itself rather than through the `rustrade` builder,
    /// and it is the route that had no gate on it.
    #[test]
    fn unsupported_instrument_kinds_are_rejected_rather_than_filled_as_spot() {
        use rustrade_instrument::instrument::kind::{
            future::FutureContract,
            option::{OptionContract, OptionExercise, OptionKind},
            perpetual::PerpetualContract,
        };

        let settlement = AssetNameExchange::new("USDT");
        let expiry = Utc::now();

        let unsupported = [
            InstrumentKind::Perpetual(PerpetualContract {
                contract_size: d("10"),
                settlement_asset: settlement.clone(),
            }),
            InstrumentKind::Future(FutureContract {
                contract_size: d("10"),
                settlement_asset: settlement.clone(),
                expiry,
            }),
            InstrumentKind::Option(OptionContract {
                contract_size: d("10"),
                settlement_asset: settlement.clone(),
                kind: OptionKind::Call,
                exercise: OptionExercise::European,
                expiry,
                strike: d("50000"),
            }),
        ];

        for kind in unsupported {
            // Amply funded: the rejection must come from the kind, not from a balance shortfall.
            let mut instruments = spot_instruments();
            instruments.get_mut(&instrument_name()).unwrap().kind = kind.clone();
            let config = spot_config("10", "10000000", FeeModelConfig::default());
            let mut venue = SimulatedVenue::new(&config, instruments);

            let outcome = venue.open_order(buy_request("1.0", market_prices("50000")));

            assert!(
                outcome.events.is_empty(),
                "{kind:?} must produce no account events"
            );
            assert!(
                matches!(
                    outcome.response.state,
                    OrderState::Inactive(InactiveOrderState::OpenFailed(
                        UnindexedOrderError::Connectivity(_) | UnindexedOrderError::Rejected(_)
                    ))
                ),
                "{kind:?} must be rejected, got {:?}",
                outcome.response.state
            );

            // And the ledger must be untouched -- a rejected order that still moved cash would be
            // worse than one that filled.
            let usdt = venue.account.balance_mut(&quote()).unwrap();
            assert_eq!(
                usdt.balance.free,
                d("10000000"),
                "{kind:?} must not move the quote balance"
            );
        }
    }

    #[test]
    fn sell_order_insufficient_balance_names_base_asset() {
        // Regression guard for a sell-side balance bug: previously `balance_mut(&underlying.quote)`
        // was called for sells, so BalanceInsufficient would name the quote asset (USDT) instead of
        // the base (BTC).
        let mut venue = make_venue("0.1", "10000");

        // Selling 1 BTC but only 0.1 available.
        let outcome = venue.open_order(sell_request("1.0", market_prices("50000")));

        assert!(
            outcome.events.is_empty(),
            "failed order must produce no account events"
        );
        match outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::BalanceInsufficient(Some(ref asset), _),
            ))) => {
                assert_eq!(
                    *asset,
                    base(),
                    "BalanceInsufficient must name the base asset (BTC), not the quote (USDT)"
                );
            }
            other => panic!("expected BalanceInsufficient, got: {other:?}"),
        }
    }

    #[test]
    fn bid_ask_fill_model_fills_at_ask_price_and_deducts_correct_balance() {
        let mut venue = make_venue("0", "10000"); // 0 BTC, 10 000 USDT
        venue.fill_model = Arc::new(SimFillConfig::BidAsk(BidAskFillModel));

        let market = Some(MarketSnapshot {
            best_bid: Some(d("99.5")),
            best_ask: Some(d("100.5")),
            last_price: Some(d("100.0")),
        });

        // Market buy of 1 BTC; last_price 100 is only a fallback for when the fill model returns
        // None — BidAsk returns best_ask, so it is not used.
        let outcome = venue.open_order(buy_request("1", market));

        assert!(
            outcome.response.state.is_accepted(),
            "buy should succeed: {:?}",
            outcome.response.state
        );

        // BidAskFillModel: market buy fills at best_ask = 100.5, not last_price 100.0.
        assert_eq!(
            filled_trade(&outcome).price,
            d("100.5"),
            "fill price must be best_ask"
        );

        // Balance deduction: 1 * 100.5 = 100.5 USDT; fee_model = Zero.
        let usdt = venue.account.balance_mut(&quote()).unwrap();
        assert_eq!(
            usdt.balance.free,
            d("9899.5"),
            "quote balance must decrease by fill_price * qty"
        );
    }

    // --- Slippage ---

    /// A funded spot config moving every taker fill by `slippage`.
    fn slipped_config(slippage: SlippageConfig) -> MockExecutionConfig {
        MockExecutionConfig {
            slippage,
            ..spot_config("10", "1000000", FeeModelConfig::default())
        }
    }

    fn last(price: &str) -> Option<MarketSnapshot> {
        Some(MarketSnapshot {
            last_price: Some(d(price)),
            ..MarketSnapshot::default()
        })
    }

    fn uniform(seed: u64) -> SlippageConfig {
        SlippageConfig::uniform(d("0.01"), d("0.025"), seed).unwrap()
    }

    #[test]
    fn a_fixed_slippage_moves_a_market_fill_against_the_order_and_settles_that_price() {
        let config = slipped_config(SlippageConfig::fixed(d("0.01")).unwrap());
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let bought = venue.open_order(buy_request("2", last("100")));
        assert_eq!(filled_trade(&bought).price, d("101"), "a buy pays 1% above");
        assert_eq!(
            venue.account.balance_mut(&quote()).unwrap().balance.free,
            d("999798"),
            "the quote debited is the slipped price times the quantity"
        );

        let sold = venue.open_order(sell_request("2", last("100")));
        assert_eq!(
            filled_trade(&sold).price,
            d("99"),
            "a sell receives 1% below"
        );
        assert_eq!(
            venue.account.balance_mut(&quote()).unwrap().balance.free,
            d("999996"),
            "the round trip cost the 1% on each side"
        );
    }

    /// The clamp comes after the slippage, so no rate fills a limit order past its own limit.
    #[test]
    fn a_slipped_marketable_limit_never_fills_past_its_limit() {
        let fill = |rate: &str, side: Side, limit: &str| {
            let config = slipped_config(SlippageConfig::fixed(d(rate)).unwrap());
            let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
            advance(&mut venue, time(1));
            let fed = venue.apply_market(
                &instrument_name(),
                MarketObservation::new(book("49000", "49100")),
                time(1),
            );
            assert!(fed.is_empty(), "an empty book fills nothing");
            let outcome = venue.open_order(limit_request("cid", side, "1", limit, gtc()));
            filled_trade(&outcome).price
        };

        assert_eq!(
            fill("0.01", Side::Buy, "49200"),
            d("49200"),
            "49591 slipped, clamped to the limit"
        );
        assert_eq!(
            fill("0.01", Side::Sell, "48800"),
            d("48800"),
            "48510 slipped, clamped to the limit"
        );
        assert_eq!(
            fill("0.001", Side::Buy, "49200"),
            d("49149.1"),
            "inside the limit, the slipped price stands"
        );
    }

    /// A resting order is the maker, so it fills at its own limit and leaves the stream alone.
    #[test]
    fn a_resting_fill_is_not_slipped_and_takes_no_draw() {
        let config = MockExecutionConfig {
            slippage: uniform(5),
            ..spot_config("10", "1000000", maker_taker_fee())
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        let fed = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("49000", "49100")),
            time(1),
        );
        assert!(fed.is_empty(), "an empty book fills nothing");
        let rested = venue.open_order(limit_request("resting", Side::Buy, "1", "48000", gtc()));
        rested_open(&rested);
        assert_eq!(
            venue.slippage,
            Slippage::new(config.slippage),
            "resting drew nothing"
        );

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );
        assert_eq!(trade_of(&events[2]).price, d("48000"));
        assert_eq!(
            venue.slippage,
            Slippage::new(config.slippage),
            "the maker's fill drew nothing"
        );
    }

    /// A marketable order the book has no size for trades nothing, whether it then rests or is
    /// cancelled, so it takes no draw.
    #[test]
    fn an_order_the_book_cannot_fill_takes_no_draw() {
        let config = slipped_config(uniform(3));
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        let fed = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900"))
                .with_depth(MarketDepth::new(Some(d("1")), Some(Decimal::ZERO))),
            time(1),
        );
        assert!(fed.is_empty(), "an empty book fills nothing");

        let rested = venue.open_order(limit_request("rests", Side::Buy, "1", "48000", gtc()));
        assert_eq!(rested_open(&rested).filled_quantity, Decimal::ZERO);
        let cancelled = venue.open_order(limit_request(
            "cancels",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::ImmediateOrCancel,
        ));
        assert!(
            matches!(
                cancelled.response.state,
                OrderState::Inactive(InactiveOrderState::Cancelled(_))
            ),
            "{:?}",
            cancelled.response.state
        );

        assert_eq!(venue.slippage, Slippage::new(config.slippage));
    }

    /// A funded spot venue on a book offering `depth`, moving every taker fill by `slippage`.
    fn slipped_venue_offering(
        usdt: &str,
        slippage: SlippageConfig,
        depth: MarketDepth,
    ) -> SimulatedVenue {
        let config = MockExecutionConfig {
            slippage,
            ..spot_config("10", usdt, FeeModelConfig::default())
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        let fed = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")).with_depth(depth),
            time(1),
        );
        assert!(fed.is_empty(), "an empty book fills nothing");
        venue
    }

    /// The book fills 1 of 3: that fill is slipped, with one draw, and the remainder rests at the
    /// order's own limit.
    #[test]
    fn a_part_filled_order_is_slipped_once_and_rests_the_rest_at_its_limit() {
        let mut venue = slipped_venue_offering("1000000", uniform(8), sized("1"));
        let mut expected = Slippage::new(uniform(8));
        let price = expected.apply(Side::Buy, d("47900"));

        let outcome = venue.open_order(limit_request("part", Side::Buy, "3", "50000", gtc()));
        let trade = filled_trade(&outcome);
        assert_eq!((trade.quantity, trade.price), (d("1"), price));
        assert_eq!(rested_open(&outcome).filled_quantity, d("1"));
        assert_eq!(venue.slippage, expected, "one fill, one draw");
        assert_eq!(
            venue
                .account
                .orders()
                .resting(&instrument_name(), Side::Buy)
                .map(|order| order.price)
                .collect::<Vec<_>>(),
            vec![Some(d("50000"))],
            "the remainder rests at its limit, unslipped"
        );
    }

    /// A fill-or-kill the book can only part fill trades nothing, so it takes no draw.
    #[test]
    fn a_killed_order_takes_no_draw() {
        let mut venue = slipped_venue_offering("1000000", uniform(8), sized("1"));
        let outcome = venue.open_order(limit_request(
            "kill",
            Side::Buy,
            "3",
            "50000",
            TimeInForce::FillOrKill,
        ));
        assert!(
            matches!(
                outcome.response.state,
                OrderState::Inactive(InactiveOrderState::Cancelled(_))
            ),
            "{:?}",
            outcome.response.state
        );
        assert_eq!(venue.slippage, Slippage::new(uniform(8)));
    }

    /// The fill is affordable, its remainder's hold is not: refused whole, and the draw handed back.
    #[test]
    fn a_part_filled_order_refused_for_its_hold_hands_back_its_draw() {
        let mut venue = slipped_venue_offering("60000", uniform(8), sized("1"));
        let outcome = venue.open_order(limit_request("split", Side::Buy, "3", "50000", gtc()));
        assert!(
            matches!(
                outcome.response.state,
                OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                    ApiError::BalanceInsufficient(..)
                )))
            ),
            "{:?}",
            outcome.response.state
        );
        assert_eq!(venue.slippage, Slippage::new(uniform(8)));
    }

    /// An order the ledger refuses never traded, so the next fill gets the rate it would have got
    /// had the refused order never been sent.
    #[test]
    fn a_refused_order_hands_back_its_draw() {
        let config = slipped_config(uniform(11));
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let refused = venue.open_order(buy_request("1000000", last("100")));
        assert!(
            matches!(
                refused.response.state,
                OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                    ApiError::BalanceInsufficient(..)
                )))
            ),
            "{:?}",
            refused.response.state
        );
        assert_eq!(venue.slippage, Slippage::new(config.slippage));

        let mut fresh = SimulatedVenue::new(&config, spot_instruments());
        assert_eq!(
            filled_trade(&venue.open_order(buy_request("1", last("100")))).price,
            filled_trade(&fresh.open_order(buy_request("1", last("100")))).price,
        );
    }

    /// The prices of a sequence of fills, alternating buys and sells, on a venue built from
    /// `config`.
    fn slipped_prices(config: &MockExecutionConfig) -> Vec<Decimal> {
        let mut venue = SimulatedVenue::new(config, spot_instruments());
        (0..20)
            .map(|i| {
                let request = if i % 2 == 0 {
                    buy_request("0.1", last("100"))
                } else {
                    sell_request("0.1", last("100"))
                };
                filled_trade(&venue.open_order(request)).price
            })
            .collect()
    }

    #[test]
    fn a_seeded_venue_reproduces_its_prices_within_the_range() {
        let prices = slipped_prices(&slipped_config(uniform(42)));
        assert_eq!(prices, slipped_prices(&slipped_config(uniform(42))));
        assert_ne!(prices, slipped_prices(&slipped_config(uniform(43))));

        for (i, price) in prices.iter().enumerate() {
            // Buys pay 1% to 2.5% above 100, sells receive 1% to 2.5% below.
            let (low, high) = if i % 2 == 0 {
                (d("101"), d("102.5"))
            } else {
                (d("97.5"), d("99"))
            };
            assert!(
                low <= *price && *price <= high,
                "fill {i} at {price} outside [{low}, {high}]"
            );
        }
    }

    /// A zero rate never draws and never multiplies, so it is the unslipped price exactly, scale
    /// included.
    #[test]
    fn a_zero_rate_is_identical_to_no_slippage() {
        let none = slipped_prices(&slipped_config(SlippageConfig::none()));
        let zero = slipped_prices(&slipped_config(
            SlippageConfig::uniform(Decimal::ZERO, Decimal::ZERO, 42).unwrap(),
        ));
        assert_eq!(
            none.iter().map(Decimal::to_string).collect::<Vec<_>>(),
            zero.iter().map(Decimal::to_string).collect::<Vec<_>>()
        );
    }

    /// Prices a fill one unit of price above the last trade for each unit of quantity.
    #[derive(Debug)]
    struct SizeImpact;

    impl FillModel for SizeImpact {
        fn fill_price(&self, fill: &FillContext<'_>) -> Option<Decimal> {
            fill.market.last_price.map(|last| last + fill.quantity)
        }
    }

    /// A custom model prices from the order's quantity, and the configured slippage still
    /// applies to what it returns.
    #[test]
    fn a_custom_fill_model_sees_the_quantity_and_is_still_slipped() {
        let config = slipped_config(SlippageConfig::fixed(d("0.01")).unwrap());
        let mut venue =
            SimulatedVenue::new(&config, spot_instruments()).with_fill_model(Arc::new(SizeImpact));

        let outcome = venue.open_order(buy_request("3", last("100")));
        assert_eq!(
            filled_trade(&outcome).price,
            d("104.03"),
            "(100 + 3) x 1.01"
        );
    }

    #[test]
    fn percentage_fee_model_deducts_correct_fee_on_buy() {
        // 0.1% fee rate
        let fee_model = FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001")));
        let mut venue = make_venue_with_fee("0", "10000", fee_model);

        // Buy 10 BTC at price 100 USDT each
        // Notional = 10 * 100 = 1000 USDT
        // Fee = 1000 * 0.001 = 1 USDT
        // Total deducted = 1000 + 1 = 1001 USDT
        let outcome = venue.open_order(buy_request("10", market_prices("100")));

        assert!(
            outcome.response.state.is_accepted(),
            "buy should succeed: {:?}",
            outcome.response.state
        );

        // Trade must report fee in quote denomination
        assert_eq!(
            filled_trade(&outcome).fees.fees,
            d("1"),
            "trade fee must be 1 USDT"
        );

        // Quote balance: 10000 - 1001 = 8999
        let usdt = venue.account.balance_mut(&quote()).unwrap();
        assert_eq!(
            usdt.balance.free,
            d("8999"),
            "quote balance must decrease by notional + fee"
        );
    }

    #[test]
    fn percentage_fee_model_deducts_correct_fee_on_sell() {
        // 0.1% fee rate
        let fee_model = FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001")));
        let mut venue = make_venue_with_fee("10", "0", fee_model);

        // Sell 1 BTC at price 100 USDT
        // Notional = 1 * 100 = 100 USDT
        // Fee (quote) = 100 * 0.001 = 0.1 USDT, out of the proceeds
        // Base deducted = 1 BTC; quote credited = 100 - 0.1 = 99.9 USDT
        let outcome = venue.open_order(sell_request("1", market_prices("100")));

        assert!(
            outcome.response.state.is_accepted(),
            "sell should succeed: {:?}",
            outcome.response.state
        );

        // Trade must report fee in quote denomination
        assert_eq!(
            filled_trade(&outcome).fees.fees,
            d("0.1"),
            "trade fee must be 0.1 USDT"
        );

        // Base balance: 10 - 1 = 9, so the base moved equals the quantity the engine counts
        let btc = venue.account.balance_mut(&base()).unwrap();
        assert_eq!(
            btc.balance.free,
            d("9"),
            "base balance must decrease by the quantity alone"
        );

        // Quote balance: 0 + 100 - 0.1 = 99.9, so the fee charged is the fee reported
        let usdt = venue.account.balance_mut(&quote()).unwrap();
        assert_eq!(
            usdt.balance.free,
            d("99.9"),
            "quote balance must rise by the proceeds less the fee"
        );
    }

    /// A spot fill exchanges the two assets: a round trip gives back the base it bought, and the
    /// quote moves by the price difference less both fees, which is what the engine books as
    /// realised PnL. Before a spot fill credited what it received, the base never arrived and the
    /// sell's proceeds never left.
    #[test]
    fn a_spot_round_trip_returns_the_base_and_moves_quote_by_pnl_less_fees() {
        // 0.1% fee rate
        let fee_model = FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001")));
        let mut venue = make_venue_with_fee("0", "1000", fee_model);

        let buy = venue.open_order(buy_request("1", market_prices("100")));
        // 1000 - (100 + 0.1 fee)
        assert_eq!(
            filled_balance(&buy).balance,
            Balance::new(d("899.9"), d("899.9"))
        );
        assert_eq!(filled_received(&buy).balance, Balance::new(d("1"), d("1")));

        let sell = venue.open_order(sell_request("1", market_prices("110")));
        assert_eq!(filled_balance(&sell).balance, Balance::new(d("0"), d("0")));
        // 899.9 + (110 - 0.11 fee)
        assert_eq!(
            filled_received(&sell).balance,
            Balance::new(d("1009.79"), d("1009.79"))
        );

        let fees = filled_trade(&buy).fees.fees + filled_trade(&sell).fees.fees;
        assert_eq!(
            d("1009.79") - d("1000"),
            d("10") - fees,
            "quote moves by the realised PnL less the fees the trades report"
        );
    }

    /// The asset a fill receives is created at zero if the account never held it, so a backtest
    /// funds only what its first order pays with.
    #[test]
    fn a_buy_creates_the_base_balance_the_account_never_held() {
        let mut venue = SimulatedVenue::new(
            &config_from_balances(vec![funded(quote(), d("1000"))], FeeModelConfig::default()),
            spot_instruments(),
        );

        let buy = venue.open_order(buy_request("2", market_prices("100")));
        let received = filled_received(&buy);
        assert_eq!(received.asset, base());
        assert_eq!(received.balance, Balance::new(d("2"), d("2")));

        let sell = venue.open_order(sell_request("2", market_prices("100")));
        assert!(
            sell.response.state.is_accepted(),
            "the base the buy received can be sold: {:?}",
            sell.response.state
        );
        assert_eq!(filled_balance(&sell).balance, Balance::new(d("0"), d("0")));
        assert_eq!(
            filled_received(&sell).balance,
            Balance::new(d("1000"), d("1000"))
        );
    }

    /// A per-unit commission, as a broker charges on shares, is a quote amount, so a sell pays it
    /// out of its proceeds rather than in base converted at the price.
    #[test]
    fn a_per_unit_commission_on_a_spot_sell_comes_out_of_the_proceeds() {
        let fee_model = FeeModelConfig::PerContract(PerContractFeeModel {
            commission_per_contract: d("0.5"),
        });
        let mut venue = make_venue_with_fee("10", "0", fee_model);

        let sell = venue.open_order(sell_request("2", market_prices("100")));

        assert_eq!(filled_trade(&sell).fees.fees, d("1"));
        assert_eq!(filled_balance(&sell).balance, Balance::new(d("8"), d("8")));
        assert_eq!(
            filled_received(&sell).balance,
            Balance::new(d("199"), d("199"))
        );
    }

    /// A sell whose fee exceeds its proceeds takes the excess from quote, and is refused with
    /// nothing moved when quote cannot cover it.
    #[test]
    fn a_sell_whose_fee_exceeds_its_proceeds_needs_the_excess_in_quote() {
        let fee_model = FeeModelConfig::PerContract(PerContractFeeModel {
            commission_per_contract: d("2"),
        });

        // Proceeds 1 * 1 = 1, fee 2: the sell owes 1 quote on top of the base it delivers.
        let mut short_of_quote = make_venue_with_fee("10", "0", fee_model);
        let refused = short_of_quote.open_order(sell_request("1", market_prices("1")));
        match refused.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::BalanceInsufficient(Some(asset), _),
            ))) => assert_eq!(asset, quote(), "the asset short is quote, not base"),
            other => panic!("expected BalanceInsufficient, got: {other:?}"),
        }
        assert!(refused.events.is_empty(), "a refusal moves nothing");
        assert_eq!(
            short_of_quote.account.balance_mut(&base()).unwrap().balance,
            Balance::new(d("10"), d("10"))
        );

        let mut covered = make_venue_with_fee("10", "5", fee_model);
        let filled = covered.open_order(sell_request("1", market_prices("1")));
        assert_eq!(
            filled_balance(&filled).balance,
            Balance::new(d("9"), d("9"))
        );
        assert_eq!(
            filled_received(&filled).balance,
            Balance::new(d("4"), d("4"))
        );
    }

    /// The same sell resting: its hold is the base it delivers, so when it crosses with quote
    /// unable to cover the excess fee it is cancelled, releasing the base, rather than filled.
    #[test]
    fn a_resting_sell_whose_fee_exceeds_its_proceeds_is_cancelled_when_quote_cannot_cover() {
        let fee_model = FeeModelConfig::PerContract(PerContractFeeModel {
            commission_per_contract: d("2"),
        });
        let mut venue = make_market_venue_with("10", "0", fee_model, SimFillConfig::default());
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("0.5", "0.6")),
                    time(1)
                )
                .is_empty()
        );

        let rested = venue.open_order(limit_request("s", Side::Sell, "1", "1", gtc()));
        assert_eq!(rested.events.len(), 1, "a 0.5 bid does not reach 1");
        assert_eq!(
            balance_of(&rested.events[0]).balance,
            Balance::new(d("10"), d("9"))
        );

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("1.1", "1.2")),
            time(2),
        );

        let [released, cancelled] = events.as_slice() else {
            panic!("expected the released hold, then the cancel: {events:?}");
        };
        assert_eq!(balance_of(released).balance, Balance::new(d("10"), d("10")));
        assert!(
            matches!(
                order_of(cancelled).state,
                OrderState::Inactive(InactiveOrderState::Cancelled(_))
            ),
            "{:?}",
            order_of(cancelled).state
        );
        assert!(venue.trades(time(0)).is_empty(), "nothing traded");
    }

    /// When quote can cover the excess fee, the same resting sell fills: its base hold is released
    /// and the fill settled afresh, still restating each asset once.
    #[test]
    fn a_resting_sell_whose_fee_exceeds_its_proceeds_fills_when_quote_covers_it() {
        let fee_model = FeeModelConfig::PerContract(PerContractFeeModel {
            commission_per_contract: d("2"),
        });
        let mut venue = make_market_venue_with("10", "5", fee_model, SimFillConfig::default());
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("0.5", "0.6")),
                    time(1)
                )
                .is_empty()
        );
        let rested = venue.open_order(limit_request("s", Side::Sell, "1", "1", gtc()));
        assert_eq!(rested.events.len(), 1, "a 0.5 bid does not reach 1");

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("1.1", "1.2")),
            time(2),
        );

        assert_eq!(
            events.len(),
            4,
            "the base paid, the quote received, the trade, then the terminal order"
        );
        assert_eq!(balance_of(&events[0]).balance, Balance::new(d("9"), d("9")));
        // 5 + proceeds of 1 - the fee of 2.
        assert_eq!(balance_of(&events[1]).balance, Balance::new(d("4"), d("4")));
        assert_eq!(trade_of(&events[2]).fees.fees, d("2"));
        assert!(
            matches!(
                order_of(&events[3]).state,
                OrderState::Inactive(InactiveOrderState::FullyFilled(_))
            ),
            "{:?}",
            order_of(&events[3]).state
        );
    }

    // --- SpotFeeAsset::Received: a buy's fee comes out of the base it receives -----------------

    fn received(mut venue: SimulatedVenue) -> SimulatedVenue {
        venue.spot_fee_asset = SpotFeeAsset::Received;
        venue
    }

    /// A buy pays its notional alone, and receives its quantity less the fee converted to base at
    /// the fill price. The fill reports that base fee, with the quote fee it came from.
    #[test]
    fn received_takes_a_buys_fee_from_the_base_it_receives() {
        let fee_model = FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001")));
        let mut venue = received(make_venue_with_fee("0", "10000", fee_model));

        // Notional 10 * 100 = 1000, fee 1 quote = 0.01 base.
        let outcome = venue.open_order(buy_request("10", market_prices("100")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new(d("9000"), d("9000"))
        );
        assert_eq!(filled_received(&outcome).asset, base());
        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new(d("9.99"), d("9.99"))
        );
        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(base(), d("0.01"), Some(d("1")))
        );
    }

    /// A sell's fee is in quote, out of its proceeds, under either rule.
    #[test]
    fn received_takes_a_sells_fee_from_its_proceeds() {
        let fee_model = FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001")));
        let mut venue = received(make_venue_with_fee("10", "0", fee_model));

        let outcome = venue.open_order(sell_request("1", market_prices("100")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new(d("9"), d("9"))
        );
        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new(d("99.9"), d("99.9"))
        );
        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(quote(), d("0.1"), Some(d("0.1")))
        );
    }

    /// A buy whose base fee exceeds its quantity takes the excess from base, and is refused with
    /// nothing moved when base cannot cover it.
    #[test]
    fn a_received_buy_whose_fee_exceeds_its_quantity_needs_the_excess_in_base() {
        let fee_model = FeeModelConfig::PerContract(PerContractFeeModel {
            commission_per_contract: d("2"),
        });

        // Notional 1 * 1 = 1, fee 2 quote = 2 base: the buy owes 1 base on top of the 1 it receives.
        let mut short_of_base = received(make_venue_with_fee("0", "10", fee_model));
        let refused = short_of_base.open_order(buy_request("1", market_prices("1")));
        match refused.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::BalanceInsufficient(Some(asset), _),
            ))) => assert_eq!(asset, base(), "the asset short is base, not quote"),
            other => panic!("expected BalanceInsufficient, got: {other:?}"),
        }
        assert!(refused.events.is_empty(), "a refusal moves nothing");
        assert_eq!(
            short_of_base.account.balance_mut(&quote()).unwrap().balance,
            Balance::new(d("10"), d("10"))
        );

        let mut covered = received(make_venue_with_fee("5", "10", fee_model));
        let filled = covered.open_order(buy_request("1", market_prices("1")));
        assert_eq!(
            filled_balance(&filled).balance,
            Balance::new(d("9"), d("9"))
        );
        assert_eq!(
            filled_received(&filled).balance,
            Balance::new(d("4"), d("4"))
        );
    }

    /// A resting buy holds its notional alone, since its fee comes out of the base it receives,
    /// and its fill settles exactly what it held.
    #[test]
    fn a_resting_received_buy_holds_only_its_notional() {
        let fee_model = FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001")));
        let mut venue = received(make_market_venue_with(
            "0",
            "10000",
            fee_model,
            SimFillConfig::default(),
        ));
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("101", "102")),
                    time(1)
                )
                .is_empty()
        );

        let rested = venue.open_order(limit_request("b", Side::Buy, "10", "100", gtc()));
        assert_eq!(rested.events.len(), 1, "a 102 ask does not reach 100");
        assert_eq!(
            balance_of(&rested.events[0]).balance,
            Balance::new(d("10000"), d("9000"))
        );

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("98", "99")),
            time(2),
        );

        assert_eq!(
            events.len(),
            4,
            "the quote paid, the base received, the trade, then the terminal order"
        );
        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new(d("9000"), d("9000"))
        );
        assert_eq!(
            balance_of(&events[1]).balance,
            Balance::new(d("9.99"), d("9.99"))
        );
        assert_eq!(
            trade_of(&events[2]).fees,
            AssetFees::new(base(), d("0.01"), Some(d("1")))
        );
    }

    /// A fee cannot be converted to base at a price that is not positive, so such a buy is
    /// charged in quote, as under the default rule.
    #[test]
    fn a_received_buy_at_a_zero_price_is_charged_in_quote() {
        let fee_model = FeeModelConfig::PerContract(PerContractFeeModel {
            commission_per_contract: d("1"),
        });
        let mut venue = received(make_venue_with_fee("0", "10", fee_model));

        let outcome = venue.open_order(buy_request("1", market_prices("0")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new(d("9"), d("9"))
        );
        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new(d("1"), d("1"))
        );
        assert_eq!(filled_trade(&outcome).fees.asset, quote());
    }

    #[test]
    fn percentage_fee_with_zero_price_returns_zero_fee() {
        // Edge case: if fill_price is zero, fee computation must not divide by zero
        let fee_model = FeeModelConfig::Percentage(PercentageFeeModel::new(d("0.001")));
        let mut venue = make_venue_with_fee("10", "0", fee_model);

        // Sell 1 BTC at price 0 (degenerate case)
        // Fee (quote) = 0 * 0.001 * 1 = 0
        // Fee (base) = guarded by is_zero() check, returns 0
        let outcome = venue.open_order(sell_request("1", market_prices("0")));

        assert!(
            outcome.response.state.is_accepted(),
            "sell at zero price should succeed: {:?}",
            outcome.response.state
        );

        // Fee must be zero (not NaN or panic from division by zero)
        assert_eq!(
            filled_trade(&outcome).fees.fees,
            Decimal::ZERO,
            "fee must be zero when price is zero"
        );

        // Base balance: 10 - 1 = 9 (no fee deducted)
        let btc = venue.account.balance_mut(&base()).unwrap();
        assert_eq!(
            btc.balance.free,
            d("9"),
            "base balance must decrease by quantity only"
        );
    }

    /// A Market order the venue cannot price is rejected, not panicked on.
    ///
    /// A Market order has no limit price of its own to fall back on, so with no usable
    /// snapshot there is no price anywhere. This used to hit an `expect`. Because the async driver
    /// runs as a spawned task, that killed the exchange, dropped the request receiver, and turned
    /// every later order into `ExchangeOffline` -- so a backtest ran to completion over the whole
    /// dataset having filled nothing and surfaced only a `JoinError` at teardown.
    ///
    /// Both unpriceable cases are covered, because they mean different things: `None` is a caller
    /// that sampled no snapshot at all, `Some(empty)` is a cold start where one was sampled and the
    /// instrument had no price yet.
    #[test]
    fn a_market_order_that_cannot_be_priced_is_rejected_rather_than_panicking() {
        for market in [None, Some(MarketSnapshot::default())] {
            let mut venue = make_venue("10", "10000000");

            let outcome = venue.open_order(buy_request("1.0", market));

            assert!(
                outcome.events.is_empty(),
                "a rejected order must not notify a fill (market={market:?})"
            );
            assert!(
                matches!(
                    outcome.response.state,
                    OrderState::Inactive(InactiveOrderState::OpenFailed(
                        UnindexedOrderError::Rejected(_)
                    ))
                ),
                "expected a rejection, got {:?} (market={market:?})",
                outcome.response.state
            );

            let usd = venue.account.balance_mut(&quote()).unwrap();
            assert_eq!(
                usd.balance.free,
                d("10000000"),
                "a rejected order must not move the balance (market={market:?})"
            );
        }
    }

    /// A market order carrying a price, as `RequestOpen::price` documents it should not.
    fn priced_market_order(
        side: Side,
        price: &str,
        market: Option<MarketSnapshot>,
    ) -> OrderRequestOpen<ExchangeId, InstrumentNameExchange> {
        let mut request = request(instrument_name(), side, "1", market);
        request.state.price = Some(d(price));
        request
    }

    /// A price on a market order is ignored, as the live clients ignore it, so it is no fallback:
    /// with nothing to price from, the order is still unpriceable rather than filled at the price
    /// its sender happened to stamp.
    ///
    /// Both regimes can reach the fallback: a request-priced venue sent no usable snapshot, and a
    /// market-driven venue never fed the instrument.
    #[test]
    fn a_market_order_is_never_filled_at_a_price_it_carries() {
        let mut market_driven = make_market_venue("10", "10000000");
        advance(&mut market_driven, time(1));

        let cases = [
            ("request-priced", make_venue("10", "10000000"), None),
            (
                "request-priced",
                make_venue("10", "10000000"),
                Some(MarketSnapshot::default()),
            ),
            ("market-driven", market_driven, None),
        ];

        for (regime, mut venue, market) in cases {
            let outcome = venue.open_order(priced_market_order(Side::Buy, "1", market));

            assert!(
                matches!(
                    outcome.response.state,
                    OrderState::Inactive(InactiveOrderState::OpenFailed(
                        UnindexedOrderError::Rejected(ApiError::OrderRejected(_))
                    ))
                ),
                "expected the unpriceable rejection, got {:?} ({regime}, market={market:?})",
                outcome.response.state
            );
            assert!(
                outcome.events.is_empty(),
                "nothing filled ({regime}, market={market:?})"
            );
        }
    }

    /// Nor does a price on a market order bound its fill, as a limit would.
    #[test]
    fn a_market_order_is_not_clamped_by_a_price_it_carries() {
        for (side, stray) in [(Side::Buy, "90"), (Side::Sell, "110")] {
            let mut venue = make_venue("10", "10000000");
            let market = Some(MarketSnapshot {
                last_price: Some(d("100")),
                ..MarketSnapshot::default()
            });

            let outcome = venue.open_order(priced_market_order(side, stray, market));

            assert_eq!(
                filled_trade(&outcome).price,
                d("100"),
                "a {side:?} fills at the market, not clamped to its stray {stray}"
            );
        }
    }

    /// The rejection names which of the two unpriceable causes occurred, because their fixes
    /// differ: an absent snapshot is a wiring problem in the caller, an empty one is a timing
    /// problem in the data.
    #[test]
    fn an_unpriceable_rejection_distinguishes_an_absent_snapshot_from_an_empty_one() {
        let reason_of = |market| {
            let mut venue = make_venue("10", "10000000");
            match venue.open_order(buy_request("1.0", market)).response.state {
                OrderState::Inactive(InactiveOrderState::OpenFailed(
                    UnindexedOrderError::Rejected(ApiError::OrderRejected(reason)),
                )) => reason,
                other => panic!("expected an OrderRejected, got {other:?}"),
            }
        };

        assert!(
            reason_of(None).contains("no market snapshot"),
            "an absent snapshot must be named as such, got: {}",
            reason_of(None)
        );
        assert!(
            reason_of(Some(MarketSnapshot::default())).contains("no market price available yet"),
            "an empty snapshot must read as a cold start, got: {}",
            reason_of(Some(MarketSnapshot::default()))
        );
    }

    /// A Market order fills at the snapshot the request carried, and at nothing else.
    ///
    /// With the default `LastPriceFillModel` the fill price is the snapshot's `last_price`, so this
    /// pins that a market order priced purely from `RequestOpen::market` both fills and fills at
    /// the right price.
    #[test]
    fn a_market_order_fills_at_the_price_its_snapshot_carried() {
        let mut venue = make_venue("0", "10000");

        let outcome = venue.open_order(buy_request(
            "1.0",
            Some(MarketSnapshot::from_last_price(Some(d("100")))),
        ));

        let OrderState::Inactive(InactiveOrderState::FullyFilled(ref filled)) =
            outcome.response.state
        else {
            panic!("expected a filled order, got {:?}", outcome.response.state)
        };
        assert_eq!(
            filled.avg_price,
            Some(d("100")),
            "a market order must fill at its snapshot's last price"
        );
        assert_eq!(filled.filled_quantity, d("1.0"));

        assert_eq!(filled_trade(&outcome).price, d("100"));

        let usd = venue.account.balance_mut(&quote()).unwrap();
        assert_eq!(
            usd.balance.free,
            d("9900"),
            "a 1 BTC buy at 100 must debit 100 quote"
        );
    }

    /// A configured reservation is honoured, not refused.
    ///
    /// `total != free` is ordinary user configuration -- an `initial_state` copied from a live
    /// account with margin reserved. It was once an `assert_eq!` that panicked the exchange task on
    /// the first order, then a rejection, because a ledger where every order filled on arrival had
    /// no way to represent an amount held back. It has one now: the order draws on `free`, and the
    /// held amount is still held afterwards.
    #[test]
    fn a_configured_quote_reservation_survives_a_fill() {
        let mut venue = make_venue("10", "10000000");
        venue.account.balance_mut(&quote()).unwrap().balance.total = d("20000000");

        let outcome = venue.open_order(buy_request("1.0", market_prices("50000")));

        assert!(
            matches!(outcome.response.state, OrderState::Inactive(_)),
            "a market order fills on arrival, got {:?}",
            outcome.response.state
        );

        let usdt = venue.account.balance_mut(&quote()).unwrap().balance;
        assert_eq!(
            usdt.free,
            d("10000000") - d("50000"),
            "the fill draws the notional from the spendable side"
        );
        assert_eq!(
            usdt.total - usdt.free,
            d("10000000"),
            "the configured reservation must be untouched by an unrelated fill"
        );
    }

    /// The sell path debits the base asset, so the reservation must survive there too.
    #[test]
    fn a_configured_base_reservation_survives_a_fill() {
        let mut venue = make_venue("10", "10000000");
        venue.account.balance_mut(&base()).unwrap().balance.total = d("20");

        let outcome = venue.open_order(sell_request("1.0", market_prices("50000")));

        assert!(
            matches!(outcome.response.state, OrderState::Inactive(_)),
            "a market order fills on arrival, got {:?}",
            outcome.response.state
        );

        let btc = venue.account.balance_mut(&base()).unwrap().balance;
        assert_eq!(
            btc.free,
            d("10") - d("1"),
            "the fill delivers one base unit from the spendable side"
        );
        assert_eq!(
            btc.total - btc.free,
            d("10"),
            "the configured reservation must be untouched by an unrelated fill"
        );
    }

    /// An order larger than `free` is refused even when `total` would cover it.
    ///
    /// The whole point of a reservation is that the held portion is not spendable. Sizing against
    /// `total` would let one order spend what another is already holding.
    #[test]
    fn a_reservation_is_not_spendable() {
        let mut venue = make_venue("10", "100");
        // free 100, total 10_000_000: only 100 may be spent.
        venue.account.balance_mut(&quote()).unwrap().balance.total = d("10000000");

        let outcome = venue.open_order(buy_request("1.0", market_prices("50000")));

        assert!(
            matches!(
                outcome.response.state,
                OrderState::Inactive(InactiveOrderState::OpenFailed(
                    UnindexedOrderError::Rejected(ApiError::BalanceInsufficient(_, _))
                ))
            ),
            "expected an insufficient-balance rejection, got {:?}",
            outcome.response.state
        );
        assert!(
            outcome.events.is_empty(),
            "a refused order moves nothing, so it restates nothing"
        );

        let usdt = venue.account.balance_mut(&quote()).unwrap().balance;
        assert_eq!(usdt.free, d("100"), "a refused reserve must not move free");
        assert_eq!(
            usdt.total,
            d("10000000"),
            "a refused reserve must not move total"
        );
    }

    /// Orders come back in a total order, so two runs of one backtest produce one snapshot.
    ///
    /// The snapshot sorts with an *unstable* sort over a `FnvHashMap`'s values. Keyed on
    /// `instrument` alone every order on one instrument ties, leaving their relative order
    /// unspecified -- so a golden hash over the snapshot is a flake, and comparing two runs of the
    /// same backtest compares two different orderings. `cid` is unique per order, which makes the
    /// key total.
    #[test]
    fn an_account_snapshot_orders_one_instruments_orders_deterministically() {
        // Enough orders that a hash map's own iteration order is vanishingly unlikely to be sorted
        // by accident -- with three, a passing assertion would say nothing.
        const CIDS: [&str; 8] = ["h", "d", "a", "g", "c", "f", "b", "e"];

        let resting = |cid: &str| UnindexedOrder {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new(cid),
            },
            side: Side::Buy,
            price: Some(d("50000")),
            quantity: d("1"),
            kind: OrderKind::Limit,
            time_in_force: TimeInForce::GoodUntilCancelled { post_only: false },
            state: OrderState::active(Open {
                id: VenueOrderId::Assigned(OrderId::new(cid)),
                time_exchange: Default::default(),
                filled_quantity: Decimal::ZERO,
            }),
        };

        let mut config = spot_config("10", "10000000", FeeModelConfig::default());
        config.initial_state.instruments = vec![InstrumentAccountSnapshot {
            instrument: instrument_name(),
            orders: CIDS.into_iter().map(resting).collect(),
            orders_complete: true,
            position: PositionReport::Unreported,
            isolated: None,
        }];

        let venue = SimulatedVenue::new(&config, spot_instruments());

        let cids = venue
            .account_snapshot()
            .instruments
            .into_iter()
            .flat_map(|instrument| instrument.orders)
            .map(|order| order.key.cid)
            .collect::<Vec<_>>();

        let mut expected = CIDS.map(ClientOrderId::new).to_vec();
        expected.sort();
        assert_eq!(
            cids, expected,
            "orders on one instrument must be ordered by a key no two of them share"
        );
    }

    /// A venue seeded with orders carrying decimal ids mints its own past the highest of them, so
    /// no minted id repeats a seeded one. Anything keyed on the id alone — a position under
    /// `OmsMode::Hedging`, say — would otherwise merge the two orders.
    #[test]
    fn minted_order_ids_start_past_the_highest_decimal_id_seeded() {
        let resting = |cid: &str, id: &str| UnindexedOrder {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new(cid),
            },
            side: Side::Buy,
            price: Some(d("50000")),
            quantity: d("1"),
            kind: OrderKind::Limit,
            time_in_force: TimeInForce::GoodUntilCancelled { post_only: false },
            state: OrderState::active(Open {
                id: VenueOrderId::Assigned(OrderId::new(id)),
                time_exchange: Default::default(),
                filled_quantity: Decimal::ZERO,
            }),
        };

        let seeded_venue = |orders| {
            let mut config = spot_config("10", "10000000", FeeModelConfig::default());
            config.initial_state.instruments = vec![InstrumentAccountSnapshot {
                instrument: instrument_name(),
                orders,
                orders_complete: true,
                position: PositionReport::Unreported,
                isolated: None,
            }];
            SimulatedVenue::new(&config, spot_instruments())
        };

        // A non-decimal id can never equal a minted one, however it sorts.
        let mut venue = seeded_venue(vec![
            resting("a", "3"),
            resting("b", "1"),
            resting("c", "zzz"),
        ]);
        assert_eq!(venue.order_id_sequence_fetch_add(), OrderId::new("4"));
        assert_eq!(venue.order_id_sequence_fetch_add(), OrderId::new("5"));
        // Still a count of the orders this venue booked, not an id.
        assert_eq!(venue.order_sequence(), 2);

        // A seeded cancelled order's id is the venue's too, and counts the same way.
        let mut cancelled = resting("d", "9");
        cancelled.state = OrderState::inactive(Cancelled::new(
            OrderId::new("9"),
            Default::default(),
            Some(Decimal::ZERO),
        ));
        let mut venue = seeded_venue(vec![resting("a", "3"), cancelled]);
        assert_eq!(venue.order_id_sequence_fetch_add(), OrderId::new("10"));

        // With only a non-decimal id seeded, ids count from zero as they always have.
        let mut venue = seeded_venue(vec![resting("c", "zzz")]);
        assert_eq!(venue.order_id_sequence_fetch_add(), OrderId::new("0"));
    }

    /// With nothing seeded, ids count from zero as they always have.
    #[test]
    fn minted_order_ids_start_at_zero_when_nothing_is_seeded() {
        let config = spot_config("10", "10000000", FeeModelConfig::default());
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        assert_eq!(venue.order_id_sequence_fetch_add(), OrderId::new("0"));
    }

    /// A seeded `u64::MAX` leaves the next id one past it, rather than overflowing.
    #[test]
    fn a_seeded_u64_max_order_id_does_not_overflow_the_next() {
        let mut account = AccountState::try_from(
            spot_config("10", "10000000", FeeModelConfig::default()).initial_state,
        )
        .unwrap();
        let mut seeded = seeded_part_filled("48000", "1", "0");
        seeded.state.id = VenueOrderId::Assigned(OrderId::new(u64::MAX.to_string()));
        assert!(
            account.book(seeded, None).is_ok(),
            "the book is vacant under this id"
        );

        assert_eq!(first_unseeded_order_id(&account), u128::from(u64::MAX) + 1);
    }

    #[test]
    fn an_order_for_a_quantity_that_is_not_positive_is_rejected_before_the_ledger_moves() {
        for request in [
            buy_request("0", market_prices("50000")),
            sell_request("-1", market_prices("50000")),
        ] {
            let mut venue = make_venue("100", "10000000");
            let quantity = request.state.quantity;

            let outcome = venue.open_order(request);

            assert_eq!(
                rejection_reason(&outcome),
                format!(
                    "cannot open {} for {EXCHANGE}: quantity {quantity} is not positive",
                    instrument_name()
                )
            );
            assert!(outcome.events.is_empty(), "a refused order moves nothing");
            assert!(venue.trades(time(0)).is_empty(), "and nothing traded");
            assert!(venue.orders_open(&[]).is_empty(), "or rests");
            assert_eq!(free_quote(&venue), d("10000000"));
            assert_eq!(total_base(&venue), d("100"));
        }

        // Its kind is refused first: this venue holds no limit order, whatever its quantity.
        let mut venue = make_venue("100", "10000000");
        let outcome = venue.open_order(limit_request("limit", Side::Buy, "0", "50000", gtc()));
        let reason = rejection_reason(&outcome);
        assert!(
            reason.contains("does not support OrderKind::Limit"),
            "{reason}"
        );
    }

    /// A [`RequestPriced`](VenueRegime::RequestPriced) venue rejects a limit order on its kind,
    /// before any fill model is consulted.
    ///
    /// The clamp that bounds a fill by the order's own terms lives on the market-driven path, so
    /// this venue must never reach a pricing decision for an order it cannot hold. The snapshot is
    /// chosen so a lapse would be unmistakable: `MidpointFillModel` would price this buy at 50,000
    /// against a limit of 40,000 — a fill 25% above the order's own limit — so a `Filled` response
    /// here means the gate stopped holding, not merely that a rejection message changed.
    #[test]
    fn a_limit_order_is_rejected_before_a_fill_model_is_consulted() {
        let mut venue = make_venue("100", "10000000");
        venue.fill_model = Arc::new(SimFillConfig::Midpoint(crate::fill::MidpointFillModel));

        let mut request = buy_request("1", market_prices("50000"));
        request.state.kind = OrderKind::Limit;
        request.state.price = Some(d("40000"));

        let outcome = venue.open_order(request);

        assert!(
            outcome.events.is_empty(),
            "a rejected order moves no balance and books no trade"
        );
        match outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::OrderRejected(ref reason),
            ))) => assert!(
                reason.contains("does not support OrderKind::Limit"),
                "the rejection must name the unsupported kind, got: {reason}"
            ),
            other => panic!("a limit order must be rejected by kind, got: {other:?}"),
        }
    }

    // --- Stage 3b: limit orders -------------------------------------------------------------

    /// The regime gate, and the reason it exists: a venue with no feed could never match a resting
    /// order, so accepting one would be accepted-and-silently-never-filled.
    #[test]
    fn a_request_priced_venue_rejects_a_limit_order_and_says_what_would_accept_one() {
        let mut venue = make_venue("10", "1000000");
        assert_eq!(venue.regime(), VenueRegime::RequestPriced);

        let outcome = venue.open_order(limit_request("a", Side::Buy, "1", "48000", gtc()));

        assert!(
            outcome.events.is_empty(),
            "a rejected order moves no balance"
        );
        match outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::OrderRejected(ref reason),
            ))) => {
                assert!(
                    reason.contains("new_market_driven"),
                    "the rejection must name the constructor that would accept it, got: {reason}"
                );
            }
            ref other => panic!("a limit order must be rejected by the regime, got: {other:?}"),
        }
    }

    /// A limit order that the market has not reached rests, and the venue holds exactly what its
    /// fill will cost — no more, so no release-and-re-debit is ever needed.
    #[test]
    fn a_limit_order_that_does_not_cross_rests_and_reserves_what_its_fill_will_cost() {
        let (venue, rested) = venue_resting_one_buy("48000");

        // 48000 notional + 2bp maker fee on it.
        let reserved = d("48009.6");

        let balance = venue.balances(&[quote()]).remove(0);
        assert_eq!(
            balance.balance.total,
            d("1000000"),
            "resting an order spends nothing: `total` moves only on a fill"
        );
        assert_eq!(
            balance.balance.free,
            d("1000000") - reserved,
            "`free` falls by the notional plus the MAKER fee the fill will charge"
        );
        assert_eq!(
            balance.balance.used(),
            reserved,
            "the held portion is what a client sees as committed to the order"
        );

        assert_eq!(
            rested_open(&rested).filled_quantity,
            Decimal::ZERO,
            "the client is told an order is working with none of its quantity done"
        );

        let open = venue
            .orders_open(&[instrument_name()])
            .pop()
            .expect("the order is on the book");
        assert_eq!(open.price, Some(d("48000")));
        assert_eq!(
            open.state,
            *rested_open(&rested),
            "the book and the response describe the same order"
        );
    }

    /// A resting order is the passive side, so it is paid the price it quoted. Price improvement
    /// accrues to the aggressor that crossed it, never to the maker.
    #[test]
    fn a_resting_order_fills_at_its_own_limit_and_is_never_improved_by_the_book() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        advance(&mut venue, time(2));

        // Straight through the limit: the offer is 100 better than the order asked for.
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );

        assert_eq!(
            events.len(),
            4,
            "one filled spot order owes two balances, a trade and a terminal order snapshot"
        );

        let trade = trade_of(&events[2]);
        assert_eq!(
            trade.price,
            d("48000"),
            "a resting order fills at its own limit; 47900 would credit it improvement no maker \
             can obtain"
        );
        assert_eq!(
            trade.fees.fees,
            d("9.6"),
            "2bp MAKER on 48000, not 10bp taker: the resting side supplied liquidity"
        );

        assert_eq!(
            filled_price(order_of(&events[3])),
            d("48000"),
            "the terminal snapshot reports the same price as the trade"
        );
    }

    /// The trade precedes the terminal order snapshot, which is not merely cosmetic: a consumer
    /// routing a fill to a position needs the order still to be live when the trade arrives.
    #[test]
    fn a_resting_fill_reports_its_trade_before_the_order_that_produced_it() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        advance(&mut venue, time(2));

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );

        assert_eq!(
            balance_of(&events[0]).asset,
            quote(),
            "the balance the fill paid with comes first"
        );
        assert_eq!(
            balance_of(&events[1]).asset,
            base(),
            "then the balance it received"
        );
        assert!(
            matches!(events[2].kind, AccountEventKind::Trade(_)),
            "then the trade, got: {:?}",
            events[2].kind
        );
        assert!(
            matches!(events[3].kind, AccountEventKind::OrderSnapshot(_)),
            "and only then the order it terminated, got: {:?}",
            events[3].kind
        );
    }

    /// A completed order is reported as `Inactive(FullyFilled)` rather than as an `Open` carrying a
    /// complete fill. Both denote the same fact; only this one can carry the price it filled at.
    #[test]
    fn a_resting_fill_reports_its_order_as_terminal_rather_than_as_a_complete_open() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        advance(&mut venue, time(2));

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );

        assert!(
            matches!(
                order_of(&events[3]).state,
                OrderState::Inactive(InactiveOrderState::FullyFilled(_))
            ),
            "got: {:?}",
            order_of(&events[3]).state
        );
        assert!(
            venue.orders_open(&[]).is_empty(),
            "a filled order leaves the book"
        );
    }

    /// Reserve exactly what will be settled: the client sees one restatement per asset a fill
    /// moves, and never a balance the account did not hold.
    #[test]
    fn a_resting_order_settles_exactly_what_it_reserved() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        advance(&mut venue, time(2));

        let reserved = d("48009.6");
        let free_while_resting = venue.balances(&[quote()]).remove(0).balance.free;

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );

        let balance = balance_of(&events[0]);
        assert_eq!(
            balance.balance.total,
            d("1000000") - reserved,
            "`total` falls by exactly what was held"
        );
        assert_eq!(
            balance.balance.free, free_while_resting,
            "`free` was already reduced when the order rested, so the fill does not move it again"
        );
        assert_eq!(
            balance.balance.used(),
            Decimal::ZERO,
            "nothing is held any more: the order that held it is gone"
        );
    }

    // --- An order trades only what is left of it ---------------------------------------------

    /// An open buy at `price` that reached the book with `filled` of `quantity` already done, as a
    /// configured `initial_state` copied from a live account may seed one.
    fn seeded_part_filled(price: &str, quantity: &str, filled: &str) -> OpenOrder {
        as_open(Order {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new("part_filled"),
            },
            side: Side::Buy,
            price: Some(d(price)),
            quantity: d(quantity),
            kind: OrderKind::Limit,
            time_in_force: gtc(),
            state: OrderState::active(Open::new(
                VenueOrderId::Assigned(OrderId::new("part_filled")),
                time(1),
                d(filled),
            )),
        })
        .expect("the seeded order is Open")
    }

    /// A seeded order holds nothing, so an account that cannot pay for its fill is a mis-specified
    /// fixture, and the venue says so rather than cancelling the order as unaffordable.
    #[test]
    #[should_panic(expected = "cannot afford the fill of resting order part_filled")]
    fn a_seeded_order_the_account_cannot_afford_panics_when_it_fills() {
        let mut venue = make_market_venue("10", "100");
        advance(&mut venue, time(1));
        assert!(
            venue
                .account
                .book(seeded_part_filled("48000", "1", "0"), None)
                .is_ok()
        );

        advance(&mut venue, time(2));
        let _ = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );
    }

    /// An order that reached the book part-filled trades only the rest of it.
    ///
    /// Settling and printing its whole quantity would charge the ledger a second time for a
    /// portion that traded before this venue ever held the order, and report a trade of a size
    /// that never happened. The two readings are far enough apart to be unmistakable: the whole
    /// order costs 48,009.6 of quote and its remainder 28,805.76.
    #[test]
    fn a_part_filled_order_on_the_book_settles_and_prints_only_its_remainder() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        assert!(
            venue
                .account
                .book(
                    seeded_part_filled("48000", "1", "0.4"),
                    // As `initial_state` seeds one: the venue never took anything for it.
                    None,
                )
                .is_ok(),
            "the book is vacant under this id"
        );

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );

        assert_eq!(
            events.len(),
            4,
            "one filled spot order owes two balances, a trade and a terminal order snapshot"
        );

        let trade = trade_of(&events[2]);
        assert_eq!(
            trade.quantity,
            d("0.6"),
            "0.6 is what was left to trade; printing 1 would report a fill that did not happen"
        );
        assert_eq!(
            trade.fees.fees,
            d("5.76"),
            "2bp maker on 0.6 at 48000, not on the whole quantity"
        );
        assert_eq!(
            trade.order_filled_quantity,
            Some(d("1")),
            "the order's cumulative is the 0.4 it arrived with plus the 0.6 this cross traded"
        );

        assert_eq!(
            balance_of(&events[0]).balance.total,
            d("1000000") - d("28805.76"),
            "the fill costs what the remainder costs; 48009.6 would pay a second time for the 0.4 \
             that traded elsewhere"
        );
    }

    /// A fill that completes a part-filled order reports no average price.
    ///
    /// This venue struck one of the two fills behind it and never saw the other, so the limit it
    /// filled at is this fill's price rather than the mean of both — and
    /// [`Filled::avg_price`](crate::order::state::Filled::avg_price) is optional for exactly that.
    /// A consumer needing the mean has the trades to compute it from. An order that reached the
    /// book with nothing done still reports the price it filled at, which
    /// `a_resting_order_fills_at_its_own_limit_and_is_never_improved_by_the_book` pins.
    #[test]
    fn a_fill_completing_a_part_filled_order_reports_no_average_price() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        assert!(
            venue
                .account
                .book(seeded_part_filled("48000", "1", "0.4"), None)
                .is_ok(),
            "the book is vacant under this id"
        );

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );

        let filled = match &order_of(&events[3]).state {
            OrderState::Inactive(InactiveOrderState::FullyFilled(filled)) => filled,
            other => panic!("expected a fully filled order, got: {other:?}"),
        };

        assert_eq!(
            filled.filled_quantity,
            d("1"),
            "the order has now done its whole quantity, which is what this field reports"
        );
        assert_eq!(
            filled.avg_price, None,
            "48000 is one of the two prices behind that quantity, not their mean"
        );
    }

    /// Resting the remainder of a part-filled order holds what is left of it, and the cross that
    /// completes it settles exactly that.
    ///
    /// `rest_order` is reached directly because nothing routes a part-filled order to it yet: this
    /// venue caps no fill, so an order that aggresses on arrival fills in full and never rests a
    /// remainder. The arithmetic is pinned all the same, because the two halves have to agree —
    /// holding against the whole quantity would reserve balance for a portion that has already
    /// settled, and the fill that released it would then settle less than was held.
    #[test]
    fn resting_a_part_filled_order_reserves_and_settles_exactly_its_remainder() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let terms = venue
            .instrument_terms(&instrument_name())
            .expect("the spot fixture is priceable");

        let (response, notifications) = venue.rest_order(
            limit_request("part_filled", Side::Buy, "1", "48000", gtc()),
            d("48000"),
            &terms,
            d("0.4"),
        );

        match &response.state {
            OrderState::Active(ActiveOrderState::Open(open)) => assert_eq!(
                open.filled_quantity,
                d("0.4"),
                "the order rests carrying what it has already done"
            ),
            other => panic!("expected a resting open order, got: {other:?}"),
        }

        match notifications {
            Some(OpenOrderNotifications::Rested { balance, .. }) => assert_eq!(
                balance.0.balance.free,
                d("1000000") - d("28805.76"),
                "0.6 at 48000 plus 2bp maker is held; 48009.6 would hold against the 0.4 that has \
                 already settled"
            ),
            other => panic!("a rested order restates one balance, got: {other:?}"),
        }

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );

        assert_eq!(events.len(), 4);
        assert_eq!(
            trade_of(&events[2]).quantity,
            d("0.6"),
            "the cross prints the remainder that was held for"
        );
        assert_eq!(
            balance_of(&events[0]).balance.total,
            d("1000000") - d("28805.76"),
            "and settles exactly that: one restatement, with nothing left over to release"
        );
        assert_eq!(
            balance_of(&events[0]).balance.used(),
            Decimal::ZERO,
            "nothing is held any more: the order that held it is gone"
        );
    }

    /// Which of the three ways to aggress an order's terms asked for.
    ///
    /// Asserted on [`Disposition`] directly because nothing observable separates them yet: this
    /// venue caps no fill, so every arm below fills in full and leaves no remainder to dispose of.
    /// What an order asked for is a property of the order rather than of what the book held, and a
    /// size cap is what would make the difference visible — fill-or-kill refusing the partial fill
    /// immediate-or-cancel accepts, and a good-until-cancelled limit resting what neither keeps.
    #[test]
    fn a_marketable_order_aggresses_the_way_its_own_terms_asked_for() {
        let now = time(1);
        let gtd = TimeInForce::GoodTillDate { expiry: time(9) };

        assert_eq!(
            disposition(OrderKind::Limit, gtc(), true, now),
            Disposition::FillAndRest,
            "a limit order with somewhere to wait keeps whatever it could not fill"
        );
        assert_eq!(
            disposition(OrderKind::Limit, gtd, true, now),
            Disposition::FillAndRest,
            "a deadline it has not reached is still somewhere to wait"
        );
        assert_eq!(
            disposition(OrderKind::Limit, TimeInForce::ImmediateOrCancel, true, now),
            Disposition::FillAndCancel,
            "immediate-or-cancel asked not to wait"
        );
        assert_eq!(
            disposition(OrderKind::Limit, TimeInForce::FillOrKill, true, now),
            Disposition::FillOrNothing,
            "fill-or-kill would rather trade nothing than trade in part"
        );
        assert_eq!(
            disposition(OrderKind::Market, gtc(), true, now),
            Disposition::FillAndCancel,
            "an order carrying no limit price has nothing to wait at, whatever its time in force"
        );
        assert_eq!(
            disposition(OrderKind::Market, gtd, true, now),
            Disposition::FillAndCancel,
            "including one whose deadline is still ahead of it"
        );
        assert_eq!(
            disposition(OrderKind::Market, TimeInForce::FillOrKill, true, now),
            Disposition::FillOrNothing,
            "and all-or-nothing stays all-or-nothing whatever the kind"
        );
    }

    /// A limit order the market has already reached is the aggressor, so it takes the book's price
    /// bounded by its own limit, and pays the taker rate.
    #[test]
    fn a_marketable_limit_order_fills_on_arrival_at_the_book_bounded_by_its_limit() {
        let mut venue = make_market_venue_with(
            "10",
            "1000000",
            maker_taker_fee(),
            SimFillConfig::BidAsk(BidAskFillModel),
        );
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("47800", "47900")),
                    time(1)
                )
                .is_empty()
        );

        // Willing to pay 48000; the offer is 47900, so it prints at the offer.
        let outcome = venue.open_order(limit_request("taker", Side::Buy, "1", "48000", gtc()));

        assert_eq!(
            outcome.events.len(),
            3,
            "a filled open owes both balances, then the trade"
        );
        let trade = filled_trade(&outcome);
        assert_eq!(
            trade.price,
            d("47900"),
            "the aggressor takes the offer, which is better than its limit"
        );
        assert_eq!(
            trade.fees.fees,
            d("47.9"),
            "10bp TAKER on 47900: it crossed the spread rather than resting"
        );
        assert!(
            venue.orders_open(&[]).is_empty(),
            "it filled on arrival, so it never rested"
        );
    }

    /// The clamp, on the **default** fill model. Marketability is judged on the book while the
    /// price comes from the model, and the two are separate readings of a sampled snapshot — so the
    /// model can return a price the order never agreed to pay. The order's own terms bound it.
    ///
    /// A clamp against [`MidpointFillModel`] or [`BidAskFillModel`] would be vacuous: both derive
    /// the price from the very side of the book that decided the order was marketable, so neither
    /// can exceed the limit that side already crossed.
    #[test]
    fn a_marketable_limit_order_never_fills_worse_than_its_limit() {
        let mut venue = make_market_venue_with(
            "10",
            "1000000",
            FeeModelConfig::default(),
            // `LastPriceFillModel`, which reads `last_price` and never consults the book.
            SimFillConfig::default(),
        );
        advance(&mut venue, time(1));

        // The offer is inside the limit, so the order is marketable -- but the trade price the
        // model reads is well above it.
        let stale = MarketSnapshot {
            best_bid: Some(d("46900")),
            best_ask: Some(d("47000")),
            last_price: Some(d("48000")),
        };
        assert!(
            venue
                .apply_market(&instrument_name(), MarketObservation::new(stale), time(1))
                .is_empty()
        );

        let outcome = venue.open_order(limit_request("clamped", Side::Buy, "1", "47100", gtc()));

        assert_eq!(
            filled_trade(&outcome).price,
            d("47100"),
            "the model priced it at 48000, which the order never agreed to pay"
        );
    }

    /// The two pricing rules are different rules, and this is the one point at which they must give
    /// the same answer. If they diverge here, one of them is wrong.
    #[test]
    fn the_two_pricing_rules_agree_where_the_book_meets_the_limit() {
        let limit = "48000";
        let touching = || book("47900", "48000");

        // Rule 1: marketable on arrival. The book is already at the limit when the order arrives.
        let mut aggressor = make_market_venue_with(
            "10",
            "1000000",
            maker_taker_fee(),
            SimFillConfig::BidAsk(BidAskFillModel),
        );
        advance(&mut aggressor, time(1));
        assert!(
            aggressor
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(touching()),
                    time(1)
                )
                .is_empty()
        );
        let on_arrival = aggressor.open_order(limit_request("a", Side::Buy, "1", limit, gtc()));
        let arrival_price = filled_trade(&on_arrival).price;

        // Rule 2: rested first, crossed later by a book that reaches exactly the same price.
        let mut maker = make_market_venue_with(
            "10",
            "1000000",
            maker_taker_fee(),
            SimFillConfig::BidAsk(BidAskFillModel),
        );
        advance(&mut maker, time(1));
        assert!(
            maker
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );
        let rested = maker.open_order(limit_request("b", Side::Buy, "1", limit, gtc()));
        assert_eq!(rested.events.len(), 1, "it rested rather than filling");
        advance(&mut maker, time(2));
        let resting_events = maker.apply_market(
            &instrument_name(),
            MarketObservation::new(touching()),
            time(2),
        );
        let resting_price = trade_of(&resting_events[2]).price;

        assert_eq!(
            arrival_price,
            d(limit),
            "an order arriving when the book is at its limit fills at the limit"
        );
        assert_eq!(
            resting_price, arrival_price,
            "the two pricing rules must agree exactly at the crossing point; they may differ only \
             where the order genuinely is, or is not, marketable"
        );
    }

    /// Matching takes orders in the order the book holds them and stops at the first that does not
    /// cross — not at the first it happens to iterate over.
    #[test]
    fn matching_fills_in_price_time_order_and_stops_at_the_first_order_that_does_not_cross() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );

        // Best bid last, to prove the fill order is the book's rather than the insertion order.
        for (cid, price) in [("worst", "47000"), ("mid", "48000"), ("best", "48500")] {
            let outcome = venue.open_order(limit_request(cid, Side::Buy, "1", price, gtc()));
            assert_eq!(outcome.events.len(), 1, "{cid} must rest");
        }

        advance(&mut venue, time(2));
        // Crosses `best` and `mid`, leaves `worst` alone.
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47900", "48000")),
            time(2),
        );

        let filled: Vec<_> = events
            .iter()
            .filter_map(|event| match &event.kind {
                AccountEventKind::Trade(trade) => Some(trade.price),
                _ => None,
            })
            .collect();

        assert_eq!(
            filled,
            vec![d("48500"), d("48000")],
            "best bid first, and each at its own limit"
        );
        assert_eq!(
            venue
                .orders_open(&[])
                .into_iter()
                .map(|order| order.key.cid)
                .collect::<Vec<_>>(),
            vec![ClientOrderId::new("worst")],
            "the order the market did not reach is untouched"
        );
    }

    /// A trades-only feed has no book at all, so marketability falls back to the trade price. A
    /// book-only rule would never match anything on such a feed.
    #[test]
    fn a_feed_with_no_book_matches_on_the_trade_price() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(traded("49000")),
                    time(1)
                )
                .is_empty()
        );

        let outcome = venue.open_order(limit_request("t", Side::Buy, "1", "48000", gtc()));
        assert_eq!(outcome.events.len(), 1, "49000 traded does not reach 48000");

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(traded("47500")),
            time(2),
        );

        assert_eq!(events.len(), 4, "a print through the limit fills it");
        assert_eq!(trade_of(&events[2]).price, d("48000"));
    }

    /// A price between the two sides of a book crosses neither, so a supplied book is never
    /// second-guessed by `last_price`.
    #[test]
    fn a_price_inside_the_spread_does_not_cross_a_resting_order() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        advance(&mut venue, time(2));

        // The microprice sits inside the spread and below the limit; the offer does not.
        let inside = MarketSnapshot {
            best_bid: Some(d("47900")),
            best_ask: Some(d("48100")),
            last_price: Some(d("47950")),
        };

        assert!(
            venue
                .apply_market(&instrument_name(), MarketObservation::new(inside), time(2))
                .is_empty(),
            "the offer is 48100, so a 48000 bid is not crossed however the trade price reads"
        );
        assert_eq!(
            venue.orders_open(&[]).len(),
            1,
            "the order is still resting"
        );
    }

    /// A sell rests against the bid, pays with base, and settles the base it committed.
    #[test]
    fn a_resting_sell_reserves_base_and_settles_it() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("47000", "47100")),
                    time(1)
                )
                .is_empty()
        );

        let outcome = venue.open_order(limit_request("s", Side::Sell, "1", "48000", gtc()));
        assert_eq!(outcome.events.len(), 1, "47000 bid does not reach 48000");
        assert_eq!(
            balance_of(&outcome.events[0]).asset,
            base(),
            "a spot sell delivers the base asset, so that is what is held"
        );

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("48100", "48200")),
            time(2),
        );

        assert_eq!(trade_of(&events[2]).price, d("48000"), "at its own limit");
        let balance = balance_of(&events[0]);
        assert_eq!(balance.asset, base());
        // 1 BTC delivered, and nothing more: the fee is charged in quote.
        assert_eq!(balance.balance.total, d("10") - d("1"));
        let received = balance_of(&events[1]);
        assert_eq!(received.asset, quote());
        // 1 BTC at its 48000 limit, less the 2bp maker fee of 9.6.
        assert_eq!(received.balance.total, d("1000000") + d("48000") - d("9.6"));
    }

    /// A maker rebate is a negative fee, so the amount held is less than the notional and settling
    /// it leaves more behind than the notional alone would.
    #[test]
    fn a_maker_rebate_is_held_and_settled_as_a_smaller_amount_than_the_notional() {
        let rebate =
            FeeModelConfig::Percentage(PercentageFeeModel::maker_taker(d("-0.0001"), d("0.001")));
        let mut venue = make_market_venue_with("10", "1000000", rebate, SimFillConfig::default());
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );

        let outcome = venue.open_order(limit_request("r", Side::Buy, "1", "48000", gtc()));

        // 48000 notional less a 1bp rebate on it.
        let held = d("48000") - d("4.8");
        assert_eq!(
            balance_of(&outcome.events[0]).balance.used(),
            held,
            "a rebate means less is held than the notional"
        );

        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );

        assert_eq!(
            balance_of(&events[0]).balance.total,
            d("1000000") - held,
            "and exactly that less is settled, so the rebate is kept"
        );
        assert_eq!(trade_of(&events[2]).fees.fees, d("-4.8"));
    }

    /// An order the account cannot afford never reaches the book, and the ledger is untouched.
    #[test]
    fn a_limit_order_that_cannot_be_afforded_is_rejected_without_resting() {
        let mut venue = make_market_venue("10", "1000");
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );

        let outcome = venue.open_order(limit_request("poor", Side::Buy, "1", "48000", gtc()));

        assert!(
            outcome.events.is_empty(),
            "a refused reservation moves nothing"
        );
        assert!(matches!(
            outcome.response.state,
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::BalanceInsufficient(..)
            )))
        ));
        assert!(venue.orders_open(&[]).is_empty(), "it never rested");
        assert_eq!(
            venue.balances(&[quote()]).remove(0).balance.free,
            d("1000"),
            "the ledger is left exactly as it was"
        );
    }

    // --- Stage 3b: cancel -------------------------------------------------------------------

    /// Cancelling gives the held balance back and reports the quantity done, which this venue can
    /// only ever report as zero because it models no partial fills.
    #[test]
    fn a_cancel_releases_the_reservation_and_restates_the_balance() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        advance(&mut venue, time(2));

        let outcome = venue.cancel_order(OrderEvent {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new("resting"),
            },
            state: RequestCancel { id: None },
        });

        assert_eq!(outcome.events.len(), 1, "a cancel restates one balance");
        let balance = balance_of(&outcome.events[0]);
        assert_eq!(
            balance.balance.free,
            d("1000000"),
            "everything held against the order is spendable again"
        );
        assert_eq!(
            balance.balance.total,
            d("1000000"),
            "nothing ever left the account, so `total` never moved"
        );

        let cancelled = outcome.response.state.expect("the order was on the book");
        assert_eq!(cancelled.filled_quantity, Some(Decimal::ZERO));
        assert_eq!(cancelled.time_exchange, time(2));
        assert!(venue.orders_open(&[]).is_empty());
    }

    /// The cancel-vs-fill race, which a non-zero `to_venue` latency makes reachable. The caller is
    /// told to reconcile against the fill rather than to retry.
    #[test]
    fn a_cancel_that_loses_the_race_to_its_own_fill_reports_the_fill() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );
        assert_eq!(events.len(), 4, "the order filled first");

        let outcome = venue.cancel_order(OrderEvent {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new("resting"),
            },
            state: RequestCancel { id: None },
        });

        assert!(outcome.events.is_empty(), "a failed cancel moves nothing");
        assert!(
            matches!(
                outcome.response.state,
                Err(OrderError::Rejected(ApiError::OrderAlreadyFullyFilled))
            ),
            "got: {:?}",
            outcome.response.state
        );
    }

    /// A second cancel is a state conflict rather than an unknown order, and says so.
    #[test]
    fn a_second_cancel_reports_the_order_as_already_cancelled() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        let cancel = || OrderEvent {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new("resting"),
            },
            state: RequestCancel { id: None },
        };

        assert!(venue.cancel_order(cancel()).response.state.is_ok());
        let second = venue.cancel_order(cancel());

        assert!(
            matches!(
                second.response.state,
                Err(OrderError::Rejected(ApiError::OrderAlreadyCancelled))
            ),
            "got: {:?}",
            second.response.state
        );
    }

    /// A cancelled order is reported by a later snapshot, so a client reconciling against the venue
    /// sees the terminal state rather than an order that merely vanished.
    #[test]
    fn a_cancelled_order_enters_the_account_snapshot() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        venue.cancel_order(OrderEvent {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new("resting"),
            },
            state: RequestCancel { id: None },
        });

        let snapshot = venue.account_snapshot();
        let orders = &snapshot.instruments[0].orders;
        assert_eq!(orders.len(), 1);
        assert!(matches!(
            orders[0].state,
            OrderState::Inactive(InactiveOrderState::Cancelled(_))
        ));
    }

    // --- Stage 3b: time in force ------------------------------------------------------------

    /// Every time in force this venue cannot honour is rejected rather than treated as
    /// `GoodUntilCancelled`, which would silently leave an order working that its sender asked to
    /// have cancelled.
    #[test]
    fn a_limit_order_is_rejected_for_every_time_in_force_this_venue_cannot_honour() {
        let unsupported = [
            TimeInForce::GoodUntilEndOfDay,
            TimeInForce::AtOpen,
            TimeInForce::AtClose,
        ];

        for time_in_force in unsupported {
            let mut venue = make_market_venue("10", "1000000");
            advance(&mut venue, time(1));
            assert!(
                venue
                    .apply_market(
                        &instrument_name(),
                        MarketObservation::new(book("49000", "49100")),
                        time(1)
                    )
                    .is_empty()
            );

            let outcome =
                venue.open_order(limit_request("tif", Side::Buy, "1", "48000", time_in_force));

            assert!(
                outcome.events.is_empty(),
                "{time_in_force} must move no balance"
            );
            assert!(
                venue.orders_open(&[]).is_empty(),
                "{time_in_force} must not rest"
            );
            match outcome.response.state {
                OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                    ApiError::OrderRejected(ref reason),
                ))) => assert!(
                    reason.contains("does not model"),
                    "the rejection must say what is missing, got: {reason}"
                ),
                ref other => panic!("{time_in_force} must be rejected, got: {other:?}"),
            }
        }
    }

    /// A time in force that only bounds *how long* an order works is moot for one that fills in
    /// full on arrival, and must not stop a market order filling.
    #[test]
    fn a_market_order_is_accepted_for_every_time_in_force_that_only_bounds_how_long_it_works() {
        for time_in_force in [
            TimeInForce::GoodUntilCancelled { post_only: false },
            TimeInForce::ImmediateOrCancel,
            TimeInForce::FillOrKill,
            TimeInForce::GoodTillDate { expiry: time(9) },
            TimeInForce::GoodUntilEndOfDay,
        ] {
            let mut venue = make_venue("10", "1000000");
            let mut request = buy_request("1", market_prices("48000"));
            request.state.time_in_force = time_in_force;

            let outcome = venue.open_order(request);

            assert!(
                matches!(
                    outcome.response.state,
                    OrderState::Inactive(InactiveOrderState::FullyFilled(_))
                ),
                "{time_in_force} on a market order must still fill, got: {:?}",
                outcome.response.state
            );
        }
    }

    /// The two kinds of time in force a market order cannot keep, as opposed to the many it makes
    /// moot.
    ///
    /// `AtOpen` and `AtClose` say *when* an order executes rather than how long it works, and
    /// honouring them needs a session calendar. Filling one on arrival would answer a question its
    /// sender did not ask, at a price that is not the auction it wanted — this library's own IBKR
    /// client turns them into real market-on-close orders, so they are not a flag to be ignored.
    /// `post_only` is refused because a market order takes liquidity by definition.
    #[test]
    fn a_market_order_is_rejected_for_a_time_in_force_it_cannot_keep() {
        for time_in_force in [
            TimeInForce::GoodUntilCancelled { post_only: true },
            TimeInForce::AtOpen,
            TimeInForce::AtClose,
        ] {
            let mut venue = make_venue("10", "1000000");
            let mut request = buy_request("1", market_prices("48000"));
            request.state.time_in_force = time_in_force;

            let outcome = venue.open_order(request);

            assert!(
                outcome.events.is_empty(),
                "{time_in_force} must move no balance"
            );
            match outcome.response.state {
                OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                    ApiError::OrderRejected(ref reason),
                ))) => assert!(
                    reason.contains("does not model"),
                    "the rejection must say what is missing, got: {reason}"
                ),
                ref other => panic!("{time_in_force} must be rejected, got: {other:?}"),
            }
        }
    }

    // --- Stage 3b-ii: post-only -------------------------------------------------------------

    /// Post-only means "never take liquidity", so being marketable is what disqualifies the order.
    ///
    /// It retires having traded nothing rather than being rejected: the request was valid, and the
    /// venue did exactly what `post_only` asked of it.
    #[test]
    fn a_post_only_order_that_would_take_liquidity_is_cancelled_having_traded_nothing() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );

        // Buying at 50000 crosses an ask of 49100, so this order would be the aggressor.
        let outcome = venue.open_order(limit_request(
            "post",
            Side::Buy,
            "1",
            "50000",
            TimeInForce::GoodUntilCancelled { post_only: true },
        ));

        assert!(outcome.events.is_empty(), "nothing was reserved or traded");
        assert!(venue.orders_open(&[]).is_empty(), "it must not rest");
        assert!(venue.trades(time(0)).is_empty(), "it must not trade");

        match outcome.response.state {
            OrderState::Inactive(InactiveOrderState::Cancelled(ref cancelled)) => {
                assert_eq!(cancelled.filled_quantity, Some(Decimal::ZERO))
            }
            ref other => panic!("a marketable post-only order must be cancelled, got: {other:?}"),
        }
    }

    /// The same order that does *not* cross is exactly what post-only is for, and rests normally.
    #[test]
    fn a_post_only_order_that_would_rest_is_accepted_and_reserves() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );

        let outcome = venue.open_order(limit_request(
            "post",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodUntilCancelled { post_only: true },
        ));

        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
        assert_eq!(venue.orders_open(&[]).len(), 1);
        assert_eq!(
            balance_of(&outcome.events[0]).balance.free,
            d("1000000") - d("48000") - d("9.6"),
            "resting post-only reserves the notional plus the 2bp maker fee its fill will charge"
        );
    }

    // --- Stage 3b-ii: immediate-or-cancel and fill-or-kill -----------------------------------

    /// Both retire unfilled when the book is not there to trade against, and neither rests.
    ///
    /// They coincide because this venue models no order size — see `disposition`.
    #[test]
    fn a_non_marketable_immediate_order_is_cancelled_having_traded_nothing() {
        for time_in_force in [TimeInForce::ImmediateOrCancel, TimeInForce::FillOrKill] {
            let mut venue = make_market_venue("10", "1000000");
            advance(&mut venue, time(1));
            assert!(
                venue
                    .apply_market(
                        &instrument_name(),
                        MarketObservation::new(book("49000", "49100")),
                        time(1)
                    )
                    .is_empty()
            );

            let outcome =
                venue.open_order(limit_request("ioc", Side::Buy, "1", "48000", time_in_force));

            assert!(
                outcome.events.is_empty(),
                "{time_in_force} must move no balance"
            );
            assert!(
                venue.orders_open(&[]).is_empty(),
                "{time_in_force} must not rest"
            );
            match outcome.response.state {
                OrderState::Inactive(InactiveOrderState::Cancelled(ref cancelled)) => assert_eq!(
                    cancelled.filled_quantity,
                    Some(Decimal::ZERO),
                    "{time_in_force} traded nothing"
                ),
                ref other => panic!("{time_in_force} must be cancelled, got: {other:?}"),
            }
        }
    }

    /// Marketable, and both fill in full against the book as the aggressor.
    #[test]
    fn a_marketable_immediate_order_fills_in_full() {
        for time_in_force in [TimeInForce::ImmediateOrCancel, TimeInForce::FillOrKill] {
            let mut venue = make_market_venue("10", "1000000");
            advance(&mut venue, time(1));
            assert!(
                venue
                    .apply_market(
                        &instrument_name(),
                        MarketObservation::new(traded("49000")),
                        time(1)
                    )
                    .is_empty()
            );

            let outcome =
                venue.open_order(limit_request("ioc", Side::Buy, "1", "50000", time_in_force));

            assert!(
                matches!(
                    outcome.response.state,
                    OrderState::Inactive(InactiveOrderState::FullyFilled(_))
                ),
                "{time_in_force} must fill, got: {:?}",
                outcome.response.state
            );
        }
    }

    // --- Stage 3b-ii: deadlines -------------------------------------------------------------

    /// A deadline in the future rests like any other order, and nothing retires it early.
    #[test]
    fn a_good_till_date_order_rests_until_its_deadline() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let outcome = venue.open_order(limit_request(
            "gtd",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(9) },
        ));

        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);

        // Short of the deadline, so the sweep must find nothing.
        advance(&mut venue, time(8));
        assert_eq!(venue.orders_open(&[]).len(), 1, "still working at time(8)");
    }

    /// Advancing to the deadline retires the order, releases what it held, and says so in order.
    #[test]
    fn advancing_to_a_deadline_releases_the_reservation_then_reports_the_order() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let outcome = venue.open_order(limit_request(
            "gtd",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(9) },
        ));
        let reserved = balance_of(&outcome.events[0]).balance.free;

        let events = venue.advance_time(time(9));

        assert_eq!(events.len(), 2, "one release and one terminal snapshot");
        assert_eq!(
            balance_of(&events[0]).balance.free,
            reserved + d("48000") + d("9.6"),
            "the release restates exactly what resting took"
        );

        let order = order_of(&events[1]);
        match order.state {
            OrderState::Inactive(InactiveOrderState::Expired(ref expired)) => {
                assert_eq!(expired.time_exchange, time(9));
                assert_eq!(expired.filled_quantity, Some(Decimal::ZERO));
            }
            ref other => panic!("the order must be reported expired, got: {other:?}"),
        }

        assert!(venue.orders_open(&[]).is_empty(), "it must leave the book");
    }

    /// The deadline is reached *at* its instant, not after it.
    ///
    /// The boundary is the whole contract: a caller reading "good till `T`" must be able to say
    /// whether the order is working at `T`, and this pins the answer to "no".
    #[test]
    fn a_deadline_is_reached_at_its_instant_not_after_it() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let _ = venue.open_order(limit_request(
            "gtd",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(5) },
        ));

        // One second short: still working.
        advance(&mut venue, time(4));
        assert_eq!(venue.orders_open(&[]).len(), 1);

        // Exactly the stated instant: retired.
        assert_eq!(venue.advance_time(time(5)).len(), 2);
        assert!(venue.orders_open(&[]).is_empty());
    }

    /// A tick that both reaches a deadline and crosses the order retires it rather than filling it.
    ///
    /// The deadline is an unconditional cutoff: whether an order trades at the very instant it
    /// expires must not depend on whether the market happened to cross there.
    #[test]
    fn a_deadline_is_swept_before_the_tick_that_would_have_filled_it() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let _ = venue.open_order(limit_request(
            "gtd",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(5) },
        ));

        // An ask of 47000 crosses a limit of 48000, so this tick would have filled the order — but
        // it also reaches the deadline.
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("46900", "47000")),
            time(5),
        );

        assert_eq!(events.len(), 2, "a release and an expiry, not a fill");
        assert!(
            venue.trades(time(0)).is_empty(),
            "an expired order must not trade on the tick that retired it"
        );
        assert!(matches!(
            order_of(&events[1]).state,
            OrderState::Inactive(InactiveOrderState::Expired(_))
        ));
    }

    /// An order whose deadline has already passed on arrival never reaches the book.
    ///
    /// With no independent clock, an order accepted past its own deadline would work until
    /// something else happened to touch the venue — and if nothing did, for the rest of the run.
    #[test]
    fn a_good_till_date_order_that_has_already_expired_is_never_rested() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(9));

        let outcome = venue.open_order(limit_request(
            "stale",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(5) },
        ));

        assert!(outcome.events.is_empty(), "nothing was reserved");
        assert!(venue.orders_open(&[]).is_empty(), "it must not rest");
        match outcome.response.state {
            OrderState::Inactive(InactiveOrderState::Expired(ref expired)) => {
                assert_eq!(expired.time_exchange, time(9), "stamped when it was found");
                assert_eq!(expired.filled_quantity, Some(Decimal::ZERO));
            }
            ref other => panic!("a stale deadline must expire, not {other:?}"),
        }
    }

    /// A stale deadline retires the order even when the book would have filled it.
    ///
    /// The same unconditional cutoff as on the tick path: an order whose deadline has elapsed has
    /// stopped working, so whether it *could* have traded is not a question the venue asks. The
    /// alternative would execute an order its sender had already asked to be finished with, and
    /// make the outcome depend on where the book happened to be.
    #[test]
    fn a_stale_deadline_retires_an_order_the_book_would_have_filled() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(9));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(traded("47000")),
                    time(9)
                )
                .is_empty()
        );

        let outcome = venue.open_order(limit_request(
            "stale",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(5) },
        ));

        assert!(
            matches!(
                outcome.response.state,
                OrderState::Inactive(InactiveOrderState::Expired(_))
            ),
            "a marketable order past its deadline must expire, not fill: {:?}",
            outcome.response.state
        );
        assert!(
            venue.trades(time(0)).is_empty(),
            "it must not trade on its way out"
        );
    }

    /// A cancel arriving after its order's deadline is told *why* it found nothing.
    #[test]
    fn a_cancel_after_a_deadline_is_answered_already_expired() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let _ = venue.open_order(limit_request(
            "gtd",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(5) },
        ));
        assert_eq!(venue.advance_time(time(6)).len(), 2);

        let outcome = venue.cancel_order(OrderEvent {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new("gtd"),
            },
            state: RequestCancel { id: None },
        });

        assert_eq!(
            outcome.response.state,
            Err(OrderError::Rejected(ApiError::OrderAlreadyExpired)),
            "a cancel that lost to a deadline must not read as an unknown order"
        );
    }

    /// An expired order is still part of the account, and a later snapshot reports it.
    #[test]
    fn an_expired_order_enters_the_account_snapshot() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let _ = venue.open_order(limit_request(
            "gtd",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(5) },
        ));
        assert_eq!(venue.advance_time(time(5)).len(), 2);

        let snapshot = venue.account_snapshot();
        let orders = &snapshot.instruments[0].orders;
        assert_eq!(orders.len(), 1);
        assert!(matches!(
            orders[0].state,
            OrderState::Inactive(InactiveOrderState::Expired(_))
        ));
    }

    /// Deadlines are swept in deadline order, so a run's events do not depend on map iteration.
    #[test]
    fn deadlines_are_swept_earliest_first() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        // Booked latest-deadline first, so insertion order is the opposite of sweep order.
        for (cid, expiry) in [("late", time(7)), ("early", time(5)), ("middle", time(6))] {
            let _ = venue.open_order(limit_request(
                cid,
                Side::Buy,
                "1",
                "48000",
                TimeInForce::GoodTillDate { expiry },
            ));
        }

        let events = venue.advance_time(time(9));

        // Each retirement is a release then a snapshot, so the orders are at the odd indices.
        let swept: Vec<_> = events
            .iter()
            .skip(1)
            .step_by(2)
            .map(|event| order_of(event).key.cid.0.to_string())
            .collect();

        assert_eq!(swept, ["early", "middle", "late"]);
    }

    /// A deadline is a property of the clock, not of a book: an order on an instrument that never
    /// ticks again is still retired by activity elsewhere on the venue.
    #[test]
    fn a_deadline_on_a_quiet_instrument_is_swept_by_a_tick_on_another() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let _ = venue.open_order(limit_request(
            "gtd",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::GoodTillDate { expiry: time(5) },
        ));

        // A market for an instrument this venue holds no order on.
        let elsewhere = InstrumentNameExchange::new("eth_usdt");
        let events = venue.apply_market(
            &elsewhere,
            MarketObservation::new(book("2000", "2001")),
            time(6),
        );

        assert_eq!(
            events.len(),
            2,
            "the quiet instrument's order still retires"
        );
        assert!(venue.orders_open(&[]).is_empty());
    }

    /// An order the venue took nothing for releases nothing, exactly as cancelling one does.
    #[test]
    fn expiring_an_order_seeded_with_no_reservation_restates_no_balance() {
        let expiry = time(5);
        let seeded = Order {
            key: OrderKey {
                exchange: EXCHANGE,
                instrument: instrument_name(),
                strategy: StrategyId::new("test"),
                cid: ClientOrderId::new("seeded"),
            },
            side: Side::Buy,
            price: Some(d("48000")),
            quantity: d("1"),
            kind: OrderKind::Limit,
            time_in_force: TimeInForce::GoodTillDate { expiry },
            state: OrderState::active(Open::new(
                VenueOrderId::Assigned(OrderId::new("seeded")),
                time(1),
                Decimal::ZERO,
            )),
        };

        let mut venue = make_market_venue("10", "1000000");
        assert!(
            venue
                .account
                .book(
                    as_open(seeded).expect("the seeded order is Open"),
                    // As `initial_state` seeds one: the venue never took anything for it.
                    None,
                )
                .is_ok(),
            "the book is vacant under this id"
        );

        let events = venue.advance_time(expiry);

        assert_eq!(events.len(), 1, "the terminal snapshot alone, no release");
        assert!(matches!(
            order_of(&events[0]).state,
            OrderState::Inactive(InactiveOrderState::Expired(_))
        ));
    }

    // --- Stage 4: market orders are priced from the book they arrive to ---------------------

    /// A market-driven venue prices a market order from its own book, ignoring the requester's.
    ///
    /// The request carries a deliberately different snapshot, so a fill at the venue's price can
    /// only have come from the venue's own market — the two are far enough apart that no fill
    /// model or rounding could confuse them.
    #[test]
    fn a_market_driven_venue_prices_a_market_order_from_its_own_book() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(traded("49000")),
                    time(1)
                )
                .is_empty()
        );

        // What the sender was looking at when it decided, which is not what the venue holds.
        let outcome = venue.open_order(buy_request("1.0", Some(traded("40000"))));

        assert_eq!(
            filled_price(&outcome.response),
            d("49000"),
            "the fill is struck against the venue's book, not the snapshot the request carried"
        );
    }

    /// The same request on a request-priced venue still fills at the snapshot it carried.
    ///
    /// The regime is the whole of the difference, which is why `MockExchange`'s results do not
    /// move: it drives a `RequestPriced` venue and reads `market()` as `None` forever.
    #[test]
    fn a_request_priced_venue_still_prices_a_market_order_from_the_request() {
        let mut venue = make_venue("10", "1000000");

        let outcome = venue.open_order(buy_request("1.0", Some(traded("40000"))));

        assert_eq!(
            filled_price(&outcome.response),
            d("40000"),
            "with no book of its own, the request's snapshot is still the only price source"
        );
    }

    /// A market-driven venue that has never been fed an instrument rejects a market order in it
    /// rather than reaching for the requester's snapshot.
    ///
    /// Falling back would make the fill depend on which of the two happened to hold a price, and
    /// would re-admit the request-priced behaviour the regime exists to distinguish. The request
    /// here carries a perfectly good snapshot, and is refused anyway.
    #[test]
    fn a_market_driven_venue_with_no_book_rejects_a_market_order_rather_than_using_the_request() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));

        let outcome = venue.open_order(buy_request("1.0", Some(traded("49000"))));

        assert!(outcome.events.is_empty(), "nothing was debited or traded");
        match outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(
                UnindexedOrderError::Rejected(ApiError::OrderRejected(ref reason)),
            )) => assert!(
                reason.contains("no market snapshot"),
                "the rejection must name the venue's absent market, got: {reason}"
            ),
            ref other => panic!("an unpriceable market order must be rejected, got: {other:?}"),
        }
    }

    // ---------------------------------------------------------------------------------------
    // A taker takes only what is on offer.
    // ---------------------------------------------------------------------------------------

    /// The same size on both sides, so a test need only say how much.
    fn sized(amount: &str) -> MarketDepth {
        MarketDepth::new(Some(d(amount)), Some(d(amount)))
    }

    /// A venue fed one book carrying `depth`, priced off that book rather than off a last trade.
    ///
    /// The offer is 47900 throughout, so a buy limited at 48000 is marketable and prints at 47900.
    fn venue_offering(depth: MarketDepth) -> SimulatedVenue {
        venue_offering_funded("1000000", depth)
    }

    fn venue_offering_funded(usdt: &str, depth: MarketDepth) -> SimulatedVenue {
        let mut venue = make_market_venue_with(
            "10",
            usdt,
            maker_taker_fee(),
            SimFillConfig::BidAsk(BidAskFillModel),
        );
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("47800", "47900")).with_depth(depth),
                    time(1)
                )
                .is_empty(),
            "an empty book fills nothing"
        );
        venue
    }

    fn free_quote(venue: &SimulatedVenue) -> Decimal {
        venue.balances(&[quote()])[0].balance.free
    }

    fn total_quote(venue: &SimulatedVenue) -> Decimal {
        venue.balances(&[quote()])[0].balance.total
    }

    /// A market order has no limit price, so what the book could not fill has nowhere to wait.
    #[test]
    fn a_market_order_fills_what_the_book_has_and_cancels_what_it_has_not() {
        let mut venue = venue_offering(sized("0.4"));

        let outcome = venue.open_order(buy_request("1", None));

        assert_eq!(
            outcome.events.len(),
            3,
            "a fill owes both balances, then the trade"
        );
        let trade = filled_trade(&outcome);
        assert_eq!(
            trade.quantity,
            d("0.4"),
            "it took the whole offer and no more"
        );
        assert_eq!(trade.price, d("47900"));

        match &outcome.response.state {
            OrderState::Inactive(InactiveOrderState::Cancelled(cancelled)) => assert_eq!(
                cancelled.filled_quantity,
                Some(d("0.4")),
                "the remainder retires carrying what did trade"
            ),
            other => panic!("a market order's unfillable remainder is cancelled, got: {other:?}"),
        }
        assert!(
            venue.orders_open(&[]).is_empty(),
            "a market order has no price to rest the remainder at"
        );
    }

    /// The condition under which the two coincided has expired, which is this test.
    #[test]
    fn fill_or_kill_refuses_the_partial_fill_immediate_or_cancel_accepts() {
        // One book, one size, one order -- only the time in force differs.
        let mut immediate = venue_offering(sized("0.4"));
        let mut all_or_nothing = venue_offering(sized("0.4"));

        let ioc = immediate.open_order(limit_request(
            "ioc",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::ImmediateOrCancel,
        ));
        let fok = all_or_nothing.open_order(limit_request(
            "fok",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::FillOrKill,
        ));

        assert_eq!(
            filled_trade(&ioc).quantity,
            d("0.4"),
            "immediate-or-cancel keeps what the book could give it"
        );

        assert!(
            fok.events.is_empty(),
            "fill-or-kill would rather trade nothing than trade in part"
        );
        assert!(
            all_or_nothing.trades(time(0)).is_empty(),
            "and nothing reached the ledger either"
        );
        assert_eq!(
            free_quote(&all_or_nothing),
            d("1000000"),
            "a killed order moves no balance"
        );
    }

    /// One arrival, one balance -- whatever it did with the part the book could not fill.
    #[test]
    fn a_capped_limit_order_fills_what_it_can_and_rests_the_remainder() {
        let mut venue = venue_offering(sized("0.4"));

        let outcome = venue.open_order(limit_request("split", Side::Buy, "1", "48000", gtc()));

        assert_eq!(
            outcome.events.len(),
            3,
            "one arrival restates each asset once and prints one trade, even settling and holding \
             at once"
        );
        let trade = filled_trade(&outcome);
        assert_eq!(trade.quantity, d("0.4"));
        assert_eq!(
            trade.price,
            d("47900"),
            "the part that traded took the offer"
        );

        let open = rested_open(&outcome);
        assert_eq!(
            open.filled_quantity,
            d("0.4"),
            "the remainder rests carrying what has already traded"
        );
        assert_eq!(open.quantity_remaining(d("1")), d("0.6"));
        assert_eq!(venue.orders_open(&[]).len(), 1);

        // Settled the taker leg, still holding the maker one: 19179.16 spent, 28805.76 held.
        assert_eq!(total_quote(&venue), d("1000000") - d("19179.16"));
        assert_eq!(
            free_quote(&venue),
            d("1000000") - d("19179.16") - d("28805.76")
        );
    }

    /// The sell side of the same arrival: it pays with base and receives quote, so the base it
    /// settles and the base it holds for the remainder are one commitment, and the quote it
    /// receives for the part that traded funds neither.
    #[test]
    fn a_capped_spot_sell_settles_and_holds_base_and_receives_quote_for_what_traded() {
        let mut venue = venue_offering(sized("0.4"));

        let outcome = venue.open_order(limit_request("split", Side::Sell, "1", "47700", gtc()));

        assert_eq!(
            outcome.events.len(),
            3,
            "the base paid, the quote received, then the trade"
        );
        let trade = filled_trade(&outcome);
        assert_eq!(trade.quantity, d("0.4"));
        assert_eq!(trade.price, d("47800"), "the part that traded took the bid");

        // 0.4 delivered, 0.6 held for the remainder resting at its 47700 limit.
        let paid = filled_balance(&outcome);
        assert_eq!(paid.asset, base());
        assert_eq!(paid.balance, Balance::new(d("9.6"), d("9")));

        // 0.4 at 47800 is 19120, less the 10bp taker fee of 19.12.
        let received = filled_received(&outcome);
        assert_eq!(received.asset, quote());
        assert_eq!(
            received.balance,
            Balance::new(d("1019100.88"), d("1019100.88"))
        );
        assert_eq!(rested_open(&outcome).quantity_remaining(d("1")), d("0.6"));
    }

    /// An order that fills in part, rests, and is later crossed settles exactly the remainder --
    /// twice in total, summing to the original, with no third restatement.
    #[test]
    fn an_order_filled_in_part_then_crossed_settles_the_remainder_and_no_more() {
        let mut venue = venue_offering(sized("0.4"));

        let arrival = venue.open_order(limit_request("split", Side::Buy, "1", "48000", gtc()));
        let taker = filled_trade(&arrival).clone();

        // The market reaches what is resting.
        let fills = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("48000", "48000")),
            time(2),
        );
        assert_eq!(
            fills.len(),
            4,
            "a resting fill owes both balances, the trade, the order"
        );
        let maker = trade_of(&fills[2]);

        assert_eq!(maker.quantity, d("0.6"), "only the remainder crosses");
        assert_eq!(
            maker.price,
            d("48000"),
            "a maker is paid the price it quoted, not the one the book moved to"
        );
        assert_eq!(
            taker.quantity + maker.quantity,
            d("1"),
            "the two fills are the whole order, and no more than it"
        );

        assert_ne!(
            taker.id, maker.id,
            "one order printing twice must print two distinguishable trades"
        );
        assert_eq!(
            taker.order_id, maker.order_id,
            "and both must still say which order they belong to"
        );

        // 0.4 taken at 47900 plus 10bp, then 0.6 quoted at 48000 plus 2bp. Nothing else moved.
        let spent = d("19179.16") + d("28805.76");
        assert_eq!(total_quote(&venue), d("1000000") - spent);
        assert_eq!(
            free_quote(&venue),
            d("1000000") - spent,
            "the order is done, so nothing is still held against it"
        );
    }

    /// Reading a stored size does not consume it -- only filling against it does.
    #[test]
    fn a_second_order_on_one_observation_sees_only_what_the_first_left() {
        let mut venue = venue_offering(sized("1"));

        let first = venue.open_order(limit_request(
            "first",
            Side::Buy,
            "0.6",
            "48000",
            TimeInForce::ImmediateOrCancel,
        ));
        assert_eq!(filled_trade(&first).quantity, d("0.6"));

        let second = venue.open_order(limit_request(
            "second",
            Side::Buy,
            "0.6",
            "48000",
            TimeInForce::ImmediateOrCancel,
        ));
        assert_eq!(
            filled_trade(&second).quantity,
            d("0.4"),
            "the offer was displayed once, so the two of them share it"
        );

        let third = venue.open_order(limit_request(
            "third",
            Side::Buy,
            "0.6",
            "48000",
            TimeInForce::ImmediateOrCancel,
        ));
        assert!(
            third.events.is_empty(),
            "the offer is exhausted until the next observation replaces it"
        );
    }

    /// A new observation states what is on offer now; it is not an increment on what was.
    #[test]
    fn a_new_observation_replaces_the_remaining_size_rather_than_adding_to_it() {
        let mut venue = venue_offering(sized("1"));

        let taken = venue.open_order(limit_request(
            "first",
            Side::Buy,
            "0.6",
            "48000",
            TimeInForce::ImmediateOrCancel,
        ));
        assert_eq!(filled_trade(&taken).quantity, d("0.6"));

        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("47800", "47900")).with_depth(sized("1")),
                    time(2)
                )
                .is_empty()
        );

        let after = venue.open_order(limit_request(
            "second",
            Side::Buy,
            "1",
            "48000",
            TimeInForce::ImmediateOrCancel,
        ));
        assert_eq!(
            filled_trade(&after).quantity,
            d("1"),
            "the fresh observation offers a whole unit again"
        );
    }

    /// No size information is not no size. A price-only feed must keep filling exactly as it did.
    #[test]
    fn a_feed_supplying_no_size_caps_nothing() {
        let mut venue = venue_offering(MarketDepth::UNKNOWN);

        let outcome = venue.open_order(limit_request(
            "uncapped",
            Side::Buy,
            "5",
            "48000",
            TimeInForce::ImmediateOrCancel,
        ));

        assert_eq!(
            filled_trade(&outcome).quantity,
            d("5"),
            "an absent size caps nothing, however large the order"
        );
    }

    /// A reported *absence* of size is the other thing, and it does stop a fill.
    #[test]
    fn a_marketable_order_with_nothing_on_offer_rests_rather_than_filling() {
        let mut venue = venue_offering(MarketDepth::new(Some(d("1")), Some(Decimal::ZERO)));

        let outcome = venue.open_order(limit_request("nothing", Side::Buy, "1", "48000", gtc()));

        assert_eq!(
            outcome.events.len(),
            1,
            "nothing traded, so it owes only the hold it took"
        );
        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
    }

    /// A capped order costs **more** than the same order filling outright: its remainder is held at
    /// the order's own limit while the fill struck a better price. So an account can afford the
    /// whole order and still not afford the split -- and it is refused whole rather than filled for
    /// the part it could pay for, which would be this venue choosing a disposition nobody asked for.
    #[test]
    fn an_order_that_cannot_fund_both_legs_is_refused_with_nothing_moved() {
        // 47947.90 buys the whole of it at the offer; the split wants 47984.92.
        const FUNDED: &str = "47950";

        let mut uncapped = venue_offering_funded(FUNDED, MarketDepth::UNKNOWN);
        let affordable =
            uncapped.open_order(limit_request("whole", Side::Buy, "1", "48000", gtc()));
        assert_eq!(
            filled_trade(&affordable).quantity,
            d("1"),
            "uncapped, this very order is affordable and fills outright"
        );

        let mut venue = venue_offering_funded(FUNDED, sized("0.4"));
        let outcome = venue.open_order(limit_request("split", Side::Buy, "1", "48000", gtc()));

        assert!(outcome.events.is_empty(), "a refused order moves nothing");
        assert!(
            matches!(
                outcome.response.state,
                OrderState::Inactive(InactiveOrderState::OpenFailed(_))
            ),
            "and says so, rather than filling the part it could afford: {:?}",
            outcome.response.state
        );
        assert_eq!(free_quote(&venue), d(FUNDED), "the ledger is as it was");
        assert_eq!(total_quote(&venue), d(FUNDED));
        assert!(venue.trades(time(0)).is_empty(), "and nothing traded");
        assert!(venue.orders_open(&[]).is_empty());
    }

    fn is_duplicate_cid(state: &UnindexedOrderState) -> bool {
        matches!(
            state,
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::DuplicateClientOrderId(_)
            )))
        )
    }

    /// An open under the id of a resting order is rejected, and the resting order keeps its size,
    /// its place and what is held against it.
    #[test]
    fn an_open_under_a_resting_id_is_rejected_and_the_resting_order_is_untouched() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        let free = free_quote(&venue);

        // Same cid, a different size and price.
        let second = venue.open_order(limit_request("resting", Side::Buy, "0.5", "47000", gtc()));

        assert!(
            is_duplicate_cid(&second.response.state),
            "rejected as a duplicate: {:?}",
            second.response.state
        );
        assert!(second.events.is_empty(), "a rejection moves nothing");
        let [resting] = &venue.orders_open(&[])[..] else {
            panic!("one cid, one resting order");
        };
        assert_eq!(
            (resting.quantity, resting.price),
            (d("1"), Some(d("48000"))),
            "the resting order is the first one"
        );
        assert_eq!(
            free_quote(&venue),
            free,
            "its hold is still held, and only its"
        );
        assert_eq!(total_quote(&venue), d("1000000"));
    }

    /// The check covers every kind: a market order under a resting id is rejected before it can
    /// trade, although it would never have rested itself.
    #[test]
    fn a_market_order_under_a_resting_id_is_rejected_before_it_trades() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        let mut market = buy_request("0.1", None);
        market.key.cid = ClientOrderId::new("resting");

        let outcome = venue.open_order(market);

        assert!(
            is_duplicate_cid(&outcome.response.state),
            "rejected as a duplicate: {:?}",
            outcome.response.state
        );
        assert!(venue.trades(time(0)).is_empty(), "nothing traded");
        assert_eq!(venue.orders_open(&[]).len(), 1);
    }

    /// A malformed request is reported as malformed, even under a resting id.
    #[test]
    fn a_malformed_open_under_a_resting_id_is_rejected_as_malformed() {
        let (mut venue, _) = venue_resting_one_buy("48000");

        let outcome = venue.open_order(limit_request(
            "resting",
            Side::Buy,
            "1",
            "47000",
            TimeInForce::AtOpen,
        ));

        assert!(
            matches!(
                outcome.response.state,
                OrderState::Inactive(InactiveOrderState::OpenFailed(_))
            ) && !is_duplicate_cid(&outcome.response.state),
            "rejected on its time in force: {:?}",
            outcome.response.state
        );
    }

    /// Once an order is cancelled its id is free, and what the venue reports under the id is the
    /// latest order: still working while it rests, cancelled once it is.
    #[test]
    fn a_cancelled_orders_id_is_free_again_and_the_latest_order_is_reported() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        let cancel = |venue: &mut SimulatedVenue| {
            venue.cancel_order(OrderRequestCancel {
                key: limit_request("resting", Side::Buy, "1", "48000", gtc()).key,
                state: RequestCancel { id: None },
            })
        };
        assert!(cancel(&mut venue).response.state.is_ok());

        let second = venue.open_order(limit_request("resting", Side::Buy, "0.5", "47000", gtc()));

        assert!(
            matches!(
                second.response.state,
                OrderState::Active(ActiveOrderState::Open(_))
            ),
            "the id is free again: {:?}",
            second.response.state
        );
        assert!(
            venue.orders_ended(&[key_of("resting")]).is_empty(),
            "the order under the id is working, whatever became of the one before it"
        );
        let snapshot = venue.account_snapshot();
        let listed = snapshot
            .instruments
            .iter()
            .flat_map(|instrument| &instrument.orders)
            .filter(|order| order.key.cid == ClientOrderId::new("resting"))
            .count();
        assert_eq!(
            listed, 1,
            "a snapshot lists the id once, as the working order"
        );

        assert!(
            cancel(&mut venue).response.state.is_ok(),
            "and the cancel reaches it"
        );
        let [ended] = &venue.orders_ended(&[key_of("resting")])[..] else {
            panic!("the second order has ended");
        };
        assert_eq!(ended.quantity, d("0.5"), "the latest order under the id");
    }

    /// Once an order fills its id is free: an order under it rests, and a cancel reaches that
    /// order instead of being refused as "already filled".
    #[test]
    fn a_filled_orders_id_is_free_again() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        let filled = venue.open_order(limit_request("reused", Side::Buy, "1", "49100", gtc()));
        assert!(
            matches!(
                filled.response.state,
                OrderState::Inactive(InactiveOrderState::FullyFilled(_))
            ),
            "crosses the ask, so fills on arrival"
        );

        let second = venue.open_order(limit_request("reused", Side::Buy, "1", "47000", gtc()));
        assert!(
            matches!(
                second.response.state,
                OrderState::Active(ActiveOrderState::Open(_))
            ),
            "the id is free again: {:?}",
            second.response.state
        );

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: limit_request("reused", Side::Buy, "1", "47000", gtc()).key,
            state: RequestCancel { id: None },
        });
        assert!(
            cancelled.response.state.is_ok(),
            "the cancel reaches the working order: {:?}",
            cancelled.response.state
        );
    }

    // --- How an order ended -------------------------------------------------------------------

    fn key_of(cid: &str) -> UnindexedOrderKey {
        OrderKey {
            exchange: EXCHANGE,
            instrument: instrument_name(),
            strategy: StrategyId::new("asker"),
            cid: ClientOrderId::new(cid),
        }
    }

    /// Every way an order can end on this venue is reported, under the key it was asked for, and
    /// an order still working or never held is left out.
    #[test]
    fn orders_ended_reports_each_ended_order_and_omits_the_rest() {
        let mut venue = make_market_venue("10", "1000000");
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );

        let filled = venue.open_order(limit_request("filled", Side::Buy, "1", "49100", gtc()));
        assert!(
            matches!(
                filled.response.state,
                OrderState::Inactive(InactiveOrderState::FullyFilled(_))
            ),
            "crosses the ask, so fills on arrival"
        );
        let _ = venue.open_order(limit_request("working", Side::Buy, "1", "48000", gtc()));
        let _ = venue.open_order(limit_request("cancelled", Side::Buy, "1", "47500", gtc()));
        let _ = venue.cancel_order(OrderEvent {
            key: key_of("cancelled"),
            state: RequestCancel { id: None },
        });
        let _ = venue.open_order(limit_request(
            "expired",
            Side::Buy,
            "1",
            "47000",
            TimeInForce::GoodTillDate { expiry: time(9) },
        ));
        assert_eq!(
            venue.advance_time(time(9)).len(),
            2,
            "the deadline retires it"
        );

        let asked = ["filled", "working", "cancelled", "expired", "unknown"].map(key_of);
        let ended = venue.orders_ended(&asked);

        assert_eq!(ended.len(), 3, "exactly the three ended orders: {ended:?}");
        assert!(
            ended
                .iter()
                .all(|order| order.key.strategy == StrategyId::new("asker")),
            "each comes back under the key it was asked for"
        );
        let ended_as = |cid: &str| {
            let Some(order) = ended
                .iter()
                .find(|order| order.key.cid == ClientOrderId::new(cid))
            else {
                panic!("{cid} is reported: {ended:?}");
            };
            order
        };
        let (filled, cancelled, expired) = (
            ended_as("filled"),
            ended_as("cancelled"),
            ended_as("expired"),
        );
        match &filled.state {
            InactiveOrderState::FullyFilled(state) => {
                assert_eq!(state.filled_quantity, d("1"));
                assert_eq!(state.avg_price, Some(d("49100")));
            }
            other => panic!("filled, got {other:?}"),
        }
        match &cancelled.state {
            InactiveOrderState::Cancelled(state) => {
                assert_eq!(state.filled_quantity, Some(Decimal::ZERO))
            }
            other => panic!("cancelled, got {other:?}"),
        }
        match &expired.state {
            InactiveOrderState::Expired(state) => assert_eq!(state.time_exchange, time(9)),
            other => panic!("expired, got {other:?}"),
        }

        assert!(
            venue.orders_ended(&[]).is_empty(),
            "an empty request asks about nothing, not about everything"
        );
    }

    /// A market order's unfillable remainder retires as a cancel carrying what did trade, and a
    /// lookup reports it so.
    #[test]
    fn orders_ended_reports_a_market_remainder_as_cancelled_with_its_fill() {
        let mut venue = venue_offering(sized("0.4"));
        let outcome = venue.open_order(buy_request("1", None));

        let ended = venue.orders_ended(std::slice::from_ref(&outcome.response.key));

        let [order] = ended.as_slice() else {
            panic!("the remainder's order is reported: {ended:?}");
        };
        match &order.state {
            InactiveOrderState::Cancelled(state) => {
                assert_eq!(state.filled_quantity, Some(d("0.4")))
            }
            other => panic!("cancelled carrying its fill, got {other:?}"),
        }
    }

    /// A resting order filled from the book is reported with the price it filled at, and one that
    /// reached the book part-filled with no average, as its own fill reported.
    #[test]
    fn orders_ended_reports_a_resting_fill_and_its_average_price_as_the_fill_did() {
        let (mut venue, _) = venue_resting_one_buy("48000");
        assert!(
            venue
                .account
                .book(seeded_part_filled("48000", "1", "0.4"), None)
                .is_ok(),
            "the book is vacant under this id"
        );
        advance(&mut venue, time(2));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("47800", "47900")),
            time(2),
        );
        assert_eq!(
            events.len(),
            8,
            "two fills, each two balances, a trade and an order"
        );

        let ended = venue.orders_ended(&[key_of("resting"), key_of("part_filled")]);

        let avg_price_of = |cid: &str| {
            let Some(order) = ended
                .iter()
                .find(|order| order.key.cid == ClientOrderId::new(cid))
            else {
                panic!("{cid} is reported: {ended:?}");
            };
            match &order.state {
                InactiveOrderState::FullyFilled(filled) => {
                    assert_eq!(filled.filled_quantity, d("1"));
                    filled.avg_price
                }
                other => panic!("{cid} filled, got {other:?}"),
            }
        };
        assert_eq!(avg_price_of("resting"), Some(d("48000")));
        assert_eq!(
            avg_price_of("part_filled"),
            None,
            "this venue saw only one of the two fills behind it"
        );
    }

    /// An order the configured `initial_state` reports as cancelled is reported as such.
    #[test]
    fn orders_ended_reports_an_order_the_initial_state_seeded_as_cancelled() {
        let seeded = Order {
            key: key_of("seeded"),
            side: Side::Buy,
            price: Some(d("48000")),
            quantity: d("1"),
            kind: OrderKind::Limit,
            time_in_force: gtc(),
            state: OrderState::inactive(Cancelled {
                id: OrderId::new("seeded"),
                time_exchange: time(0),
                filled_quantity: Some(d("0.25")),
            }),
        };
        let venue = SimulatedVenue::new(
            &spot_config_holding("10", "1000000", seeded),
            spot_instruments(),
        );

        let ended = venue.orders_ended(&[key_of("seeded")]);

        let [order] = ended.as_slice() else {
            panic!("the seeded cancel is reported: {ended:?}");
        };
        match &order.state {
            InactiveOrderState::Cancelled(cancelled) => {
                assert_eq!(cancelled.filled_quantity, Some(d("0.25")))
            }
            other => panic!("cancelled, got {other:?}"),
        }
    }

    /// An id asked about twice is reported once, under the first key that finds it, and a key
    /// naming another instrument does not find the order or stop a later key from finding it.
    #[test]
    fn orders_ended_reports_an_id_once_and_only_for_its_own_instrument() {
        let mut venue = venue_offering(sized("0.4"));
        let outcome = venue.open_order(buy_request("1", None));
        let key = outcome.response.key.clone();
        let other_instrument = OrderKey {
            instrument: InstrumentNameExchange::new("ETHUSDT"),
            ..key.clone()
        };
        let second_ask = OrderKey {
            strategy: StrategyId::new("second"),
            ..key.clone()
        };

        let ended = venue.orders_ended(&[key.clone(), second_ask]);
        let [order] = ended.as_slice() else {
            panic!("one entry for one id: {ended:?}");
        };
        assert_eq!(order.key, key, "the first key that finds it");

        let ended = venue.orders_ended(&[other_instrument.clone(), key.clone()]);
        let [order] = ended.as_slice() else {
            panic!("a key that finds nothing does not stop a later one: {ended:?}");
        };
        assert_eq!(order.key, key);

        assert!(
            venue.orders_ended(&[other_instrument]).is_empty(),
            "a key for another instrument does not find it"
        );
    }

    // --- Holding costs: charged at each boundary the clock reaches -----------------------------

    /// Hourly funding on the CFD at `rate` per hour, so a boundary falls on every whole hour.
    fn hourly_funding(rate: &str) -> Arc<dyn HoldingCostModel> {
        Arc::new(
            FundingModel::new(TimeDelta::hours(1))
                .with_rates(cfd_instrument_name(), RateSeries::constant(d(rate))),
        )
    }

    /// The `n`th whole hour after `time(0)`: `time(0)` is 2023-11-14T22:13:20Z.
    fn boundary(n: i64) -> DateTime<Utc> {
        time(2800 + 3600 * n)
    }

    /// A market-driven CFD venue charging `models`, its clock first moved to `time(1)`.
    fn make_cfd_venue_charging(
        usd: &str,
        models: Vec<Arc<dyn HoldingCostModel>>,
    ) -> SimulatedVenue {
        let mut venue = SimulatedVenue::new_market_driven(
            &config_from_balances(vec![funded(self::usd(), d(usd))], FeeModelConfig::default()),
            instruments_of(cfd_instrument()),
        )
        .with_holding_costs(models);
        advance(&mut venue, time(1));
        venue
    }

    /// The cash flows among `events`, each with the balance restated just before it.
    fn charges(
        events: &[UnindexedAccountEvent],
    ) -> Vec<(
        &AssetBalance<AssetNameExchange>,
        &CashFlow<AssetNameExchange, InstrumentNameExchange>,
    )> {
        sans_debt(events)
            .chunks(2)
            .map(
                |pair| match (&pair[0].kind, pair.get(1).map(|event| &event.kind)) {
                    (
                        AccountEventKind::BalanceSnapshot(balance),
                        Some(AccountEventKind::CashFlow(flow)),
                    ) => (&balance.0, flow),
                    other => panic!("a charge is [balance, cash flow], got: {other:?}"),
                },
            )
            .collect()
    }

    /// The position is valued at the mid (5000), not the last trade (4000) it filled at: a long
    /// of 1 contract × 25 × 5000 pays 0.0001 of it, 12.5, as one restatement and one cash flow,
    /// both stamped at the boundary.
    #[test]
    fn a_position_held_across_a_boundary_is_charged_there_as_balance_then_cash_flow() {
        let mut venue = make_cfd_venue_charging("200000", vec![hourly_funding("0.0001")]);
        assert!(cfd_market(&mut venue, "4990", "5010", "4000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");
        assert_eq!(free_usd(&venue), d("100000"));

        let events = venue.advance_time(boundary(0));
        let charged = charges(&events);

        assert_eq!(charged.len(), 1);
        let (balance, flow) = charged[0];
        assert_eq!(balance.asset, usd());
        assert_eq!(balance.balance, Balance::new(d("99987.5"), d("99987.5")));
        assert_eq!(balance.time_exchange, boundary(0));
        assert_eq!(
            *flow,
            CashFlow::new(
                CashFlowKind::Funding {
                    rate: Some(d("0.0001")),
                    position_quantity: Some(d("1")),
                },
                usd(),
                d("-12.5"),
                Some(cfd_instrument_name()),
                boundary(0),
                Some(CashFlowId::new("0")),
            )
        );
        assert_eq!(total_usd(&venue), d("99987.5"));
    }

    /// A clock that jumps over several boundaries charges each one, in time order and at its own
    /// stamp, and a clock moved to an instant already charged charges nothing again.
    #[test]
    fn a_gap_of_several_boundaries_is_caught_up_once_each() {
        let mut venue = make_cfd_venue_charging("200000", vec![hourly_funding("0.0001")]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Sell, "1");

        let events = venue.advance_time(boundary(2) + TimeDelta::seconds(1));
        let charged = charges(&events);

        let stamps: Vec<_> = charged.iter().map(|(_, flow)| flow.time_exchange).collect();
        assert_eq!(stamps, vec![boundary(0), boundary(1), boundary(2)]);
        let ids: Vec<_> = charged.iter().map(|(_, flow)| flow.id.clone()).collect();
        assert_eq!(
            ids,
            ["0", "1", "2"].map(|id| Some(CashFlowId::new(id))).to_vec()
        );
        assert!(
            charged.iter().all(|(_, flow)| flow.amount == d("12.5")),
            "a short receives a positive funding rate"
        );
        assert_eq!(free_usd(&venue), d("75000") + d("37.5"));

        assert!(
            venue
                .advance_time(boundary(2) + TimeDelta::seconds(1))
                .is_empty()
        );
        assert!(
            venue.advance_time(boundary(1)).is_empty(),
            "the clock moving back"
        );
        assert_eq!(free_usd(&venue), d("75000") + d("37.5"));
    }

    /// An earlier instant is held at the latest one: it charges nothing, the balances keep their
    /// stamp, and the next boundary is charged once, as if the earlier instant had never come.
    #[test]
    fn an_earlier_instant_moves_neither_the_clock_nor_the_accrual_back() {
        let mut venue = make_cfd_venue_charging("200000", vec![hourly_funding("0.0001")]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Sell, "1");
        let reached = boundary(1) + TimeDelta::seconds(1);
        assert_eq!(charges(&venue.advance_time(reached)).len(), 2);
        let free = free_usd(&venue);

        assert!(
            venue.advance_time(boundary(0)).is_empty(),
            "nothing is charged again"
        );
        assert_eq!(venue.time_exchange(), reached);
        assert!(
            venue
                .account
                .balances()
                .all(|balance| balance.time_exchange == reached),
            "no balance is restamped earlier than the venue has reported"
        );
        assert_eq!(free_usd(&venue), free);

        let events = venue.advance_time(boundary(2));
        let stamps: Vec<_> = charges(&events)
            .iter()
            .map(|(_, flow)| flow.time_exchange)
            .collect();
        assert_eq!(stamps, vec![boundary(2)]);
    }

    /// Charging starts where the clock first moves, not at the epoch the clock starts at. A venue
    /// with no market values the position at its entry price.
    #[test]
    fn charging_starts_at_the_first_clock_move_and_values_at_entry_without_a_market() {
        let mut venue = make_cfd_venue("200000", FeeModelConfig::default())
            .with_holding_costs(vec![hourly_funding("0.0001")]);
        cfd_fill(&mut venue, Side::Buy, "1", "4000");

        assert!(
            venue
                .advance_time(boundary(0) + TimeDelta::seconds(1))
                .is_empty(),
            "the first move charges nothing before it"
        );

        let events = venue.advance_time(boundary(1));
        let charged = charges(&events);
        assert_eq!(charged.len(), 1);
        // 1 × 25 × 4000 × 0.0001, at the entry price.
        assert_eq!(charged[0].1.amount, d("-10"));
    }

    /// At a boundary's instant the venue charges before it fills: a position opened there is not
    /// charged for it, and one closed there is.
    #[test]
    fn a_position_opened_at_a_boundary_is_not_charged_for_it_and_one_closed_there_is() {
        let mut venue = make_cfd_venue_charging("200000", vec![hourly_funding("0.0001")]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());

        assert!(venue.advance_time(boundary(0)).is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");

        let events = venue.advance_time(boundary(1));
        let stamps: Vec<_> = charges(&events)
            .iter()
            .map(|(_, flow)| flow.time_exchange)
            .collect();
        assert_eq!(stamps, vec![boundary(1)]);

        cfd_market_fill(&mut venue, Side::Sell, "1");
        assert!(venue.advance_time(boundary(3)).is_empty(), "flat");
    }

    /// A tick that passes a boundary charges it at the market as it stood before the tick.
    #[test]
    fn a_market_tick_past_a_boundary_charges_it_at_the_market_before_the_tick() {
        let mut venue = make_cfd_venue_charging("200000", vec![hourly_funding("0.0001")]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");

        let six_thousand = MarketSnapshot {
            best_bid: Some(d("6000")),
            best_ask: Some(d("6000")),
            last_price: Some(d("6000")),
        };
        let events = venue.apply_market(
            &cfd_instrument_name(),
            MarketObservation::new(six_thousand),
            boundary(0) + TimeDelta::seconds(1),
        );

        let charged = charges(&events);
        assert_eq!(charged.len(), 1);
        assert_eq!(charged[0].1.amount, d("-12.5"), "valued at 5000, not 6000");
    }

    /// A charge the account cannot cover is still made: this venue models no liquidation to stop
    /// it, and leaving it out would understate the cost.
    #[test]
    fn a_charge_the_account_cannot_cover_takes_free_below_zero() {
        let mut venue = make_cfd_venue_charging("125000", vec![hourly_funding("0.0001")]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");
        assert_eq!(free_usd(&venue), Decimal::ZERO);

        let events = venue.advance_time(boundary(0));

        assert_eq!(
            charges(&events)[0].0.balance,
            Balance::new(d("-12.5"), d("-12.5"))
        );
    }

    /// Run `f`, returning its value and the message of every WARN it logged on this thread.
    fn warnings<T>(f: impl FnOnce() -> T) -> (T, Vec<String>) {
        let (value, events) = rustrade_instrument::test_utils::logs::capture(f);
        let warnings = events
            .iter()
            .filter(|event| event.level == tracing::Level::WARN)
            .map(|event| event.message().to_owned())
            .collect();
        (value, warnings)
    }

    /// An account charged into a negative balance is warned once, on the charge that took it
    /// there, not again for each charge while it stays negative, nor for a credit.
    #[test]
    fn a_negative_balance_is_warned_of_on_the_charge_that_crosses_zero() {
        // Paid for three hours, then received while the balance is still below zero.
        let rates = RateSeries::new(vec![
            (DateTime::<Utc>::MIN_UTC, d("0.0001")),
            (boundary(3), d("-0.00001")),
        ])
        .unwrap();
        let funding =
            FundingModel::new(TimeDelta::hours(1)).with_rates(cfd_instrument_name(), rates);
        let mut venue = make_cfd_venue_charging("125000", vec![Arc::new(funding)]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");

        let (events, logged) = warnings(|| venue.advance_time(boundary(2)));
        assert_eq!(charges(&events).len(), 3, "three charges, all below zero");
        assert_eq!(logged.len(), 1, "{logged:?}");
        assert!(logged[0].contains("could not cover"), "{logged:?}");

        let (events, logged) = warnings(|| venue.advance_time(boundary(3)));
        assert_eq!(charges(&events)[0].1.amount, d("1.25"), "the long receives");
        assert_eq!(free_usd(&venue), d("-36.25"));
        assert!(logged.is_empty(), "a credit is not warned of: {logged:?}");
    }

    /// A charge of zero is not reported: there is nothing to apply.
    #[test]
    fn a_zero_charge_is_not_reported() {
        let mut venue = make_cfd_venue_charging("200000", vec![hourly_funding("0")]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");

        assert!(venue.advance_time(boundary(1)).is_empty());
    }

    /// The next deadline is the earlier of an order's expiry and a held position's boundary, and
    /// a flat venue with no expiring order has none.
    #[test]
    fn the_next_deadline_is_the_earliest_expiry_or_boundary() {
        let mut venue = make_cfd_venue_charging("200000", vec![hourly_funding("0.0001")]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        assert_eq!(venue.next_deadline(), None, "flat, no orders");

        cfd_market_fill(&mut venue, Side::Buy, "1");
        assert_eq!(venue.next_deadline(), Some(boundary(0)));

        // Rests without crossing, and holds nothing, since it only reduces the long.
        let expiry = boundary(0) - TimeDelta::seconds(60);
        let mut gtd = limit_request(
            "gtd",
            Side::Sell,
            "1",
            "6000",
            TimeInForce::GoodTillDate { expiry },
        );
        gtd.key.instrument = cfd_instrument_name();
        assert!(venue.open_order(gtd).response.state.is_accepted());
        assert_eq!(venue.next_deadline(), Some(expiry));

        let events = venue.advance_time(expiry);
        assert!(!events.is_empty(), "the order expired");
        assert_eq!(venue.next_deadline(), Some(boundary(0)));
    }

    /// A borrow fee on settlement days and financing on calendar days, both at 21:00 UTC, on a
    /// short. `time(1)` is Tuesday 2023-11-14 22:13:21Z, so the first cutoffs are Wednesday's
    /// and Thursday's. With T+1, Wednesday's borrow fee covers one day and Thursday's three; the
    /// short receives its negative financing rate once a day. At one boundary the models charge
    /// in the order they were given.
    #[test]
    fn a_short_pays_its_borrow_by_settlement_day_and_receives_its_financing() {
        let cutoff = NaiveTime::from_hms_opt(21, 0, 0).unwrap();
        let borrow = BorrowFeeModel::new(DailyAccrual::new(
            cutoff,
            Utc,
            AccrualDays::Settlement {
                calendar: Arc::new(WeekendsOnly),
                lag: 1,
            },
            DayCount::Act360,
        ))
        .with_rates(cfd_instrument_name(), RateSeries::constant(d("0.36")));
        let financing = FinancingModel::new(DailyAccrual::new(
            cutoff,
            Utc,
            AccrualDays::Calendar,
            DayCount::Act365,
        ))
        .with_rates(
            cfd_instrument_name(),
            FinancingRates::new(
                RateSeries::constant(d("0.073")),
                RateSeries::constant(d("-0.0365")),
            ),
        );
        let mut venue =
            make_cfd_venue_charging("200000", vec![Arc::new(borrow), Arc::new(financing)]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Sell, "1");

        let friday = DateTime::parse_from_rfc3339("2023-11-17T00:00:00Z")
            .unwrap()
            .to_utc();
        let events = venue.advance_time(friday);
        let charged: Vec<_> = charges(&events)
            .iter()
            .map(|(_, flow)| (flow.time_exchange, flow.kind.clone(), flow.amount))
            .collect();

        let wednesday = DateTime::parse_from_rfc3339("2023-11-15T21:00:00Z")
            .unwrap()
            .to_utc();
        let thursday = wednesday + TimeDelta::days(1);
        let borrow_fee = CashFlowKind::BorrowFee {
            rate: Some(d("0.36")),
            quantity: Some(d("25")),
        };
        let financed = CashFlowKind::Financing {
            rate: Some(d("-0.0365")),
            notional: Some(d("125000")),
        };
        // 125,000 notional: 36% / 360 a day is 125, and 3.65% / 365 a day is 12.5.
        assert_eq!(
            charged,
            vec![
                (wednesday, borrow_fee.clone(), d("-125")),
                (wednesday, financed.clone(), d("12.5")),
                (thursday, borrow_fee, d("-375")),
                (thursday, financed, d("12.5")),
            ]
        );
    }

    /// Instruments charged at one boundary are charged in instrument order, whichever order the
    /// venue's positions happen to hash in.
    #[test]
    fn positions_charged_at_one_boundary_are_charged_in_instrument_order() {
        let nas = InstrumentNameExchange::new("nas100_usd");
        let dax = InstrumentNameExchange::new("dax40_usd");
        let mut instruments = instruments_of(cfd_instrument());
        let mut funding = FundingModel::new(TimeDelta::hours(1))
            .with_rates(cfd_instrument_name(), RateSeries::constant(d("0.0001")));
        for name in [&nas, &dax] {
            let mut other = cfd_instrument();
            other.name_exchange = name.clone();
            instruments.insert(name.clone(), other);
            funding = funding.with_rates(name.clone(), RateSeries::constant(d("0.0001")));
        }
        let mut venue = SimulatedVenue::new_market_driven(
            &config_from_balances(vec![funded(usd(), d("1000000"))], FeeModelConfig::default()),
            instruments,
        )
        .with_holding_costs(vec![Arc::new(funding)]);
        advance(&mut venue, time(1));

        for name in [cfd_instrument_name(), nas.clone(), dax.clone()] {
            let fills = venue.apply_market(
                &name,
                MarketObservation::new(market_prices("5000").unwrap()),
                time(1),
            );
            assert!(fills.is_empty());
            let outcome = venue.open_order(request(name, Side::Buy, "1", None));
            assert!(outcome.response.state.is_accepted());
        }

        let events = venue.advance_time(boundary(0));
        let order: Vec<_> = charges(&events)
            .iter()
            .map(|(_, flow)| flow.instrument.clone().unwrap())
            .collect();
        assert_eq!(order, vec![dax, nas, cfd_instrument_name()]);
    }

    /// A long flipped to a short before a boundary is charged there as the short it is.
    #[test]
    fn a_position_flipped_before_a_boundary_is_charged_as_what_it_became() {
        let mut venue = make_cfd_venue_charging("400000", vec![hourly_funding("0.0001")]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");
        cfd_market_fill(&mut venue, Side::Sell, "2");

        let events = venue.advance_time(boundary(0));
        let charged = charges(&events);
        assert_eq!(charged.len(), 1);
        assert_eq!(
            charged[0].1.amount,
            d("12.5"),
            "a short receives a positive rate"
        );
    }

    /// A model breaking its contract is caught at the first read of its boundary, here the cache
    /// refresh on opening a position, before any driver could wake the venue for it forever.
    #[test]
    #[should_panic(expected = "which is not after")]
    fn a_model_whose_boundary_does_not_advance_panics_rather_than_charging_forever() {
        #[derive(Debug)]
        struct Stuck;
        impl HoldingCostModel for Stuck {
            fn next_boundary(
                &self,
                _: &InstrumentNameExchange,
                after: DateTime<Utc>,
            ) -> Option<DateTime<Utc>> {
                Some(after)
            }
            fn charge(&self, _: &HeldPosition<'_>, _: DateTime<Utc>) -> Option<HoldingCharge> {
                None
            }
        }

        let mut venue = make_cfd_venue_charging("200000", vec![Arc::new(Stuck)]);
        assert!(cfd_market(&mut venue, "5000", "5000", "5000").is_empty());
        cfd_market_fill(&mut venue, Side::Buy, "1");
        let _ = venue.advance_time(time(2));
    }

    // --- Locates and the short-sale restriction ------------------------------------------------

    /// A market-driven CFD venue lending as `table` says, its clock at `time(1)` and its book
    /// 4990 / 5000.
    fn make_cfd_venue_lending(table: ShortabilityTable) -> SimulatedVenue {
        let mut venue = SimulatedVenue::new_market_driven(
            &config_from_balances(
                vec![funded(self::usd(), d("10000000"))],
                FeeModelConfig::default(),
            ),
            instruments_of(cfd_instrument()),
        )
        .with_shortability(Arc::new(table));
        advance(&mut venue, time(1));
        assert!(cfd_market(&mut venue, "4990", "5000", "5000").is_empty());
        venue
    }

    fn lending(shortability: Shortability) -> ShortabilityTable {
        ShortabilityTable::new().with_shortability(cfd_instrument_name(), time(0), shortability)
    }

    /// The refusal an open was answered with, having moved nothing.
    fn borrow_rejection(outcome: &OpenOutcome) -> &BorrowReject {
        assert!(
            outcome.events.is_empty(),
            "a refused short moves nothing, so it owes no events"
        );
        match &outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::BorrowRejected(reject),
            ))) => reject,
            other => panic!("expected BorrowRejected, got: {other:?}"),
        }
    }

    fn open_cfd(venue: &mut SimulatedVenue, side: Side, quantity: &str) -> OpenOutcome {
        venue.open_order(cfd_request(side, quantity, None))
    }

    #[test]
    fn a_short_of_an_instrument_that_is_not_shortable_is_refused_before_the_ledger_moves() {
        let mut venue = make_cfd_venue_lending(lending(Shortability::new().with_shortable(false)));

        let outcome = open_cfd(&mut venue, Side::Sell, "1");

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::NotShortable);
        assert_eq!(reject.venue_code, None);
        assert_eq!(reject.available, None);
        assert!(reject.message.contains("spx500_usd"), "{}", reject.message);
        assert_eq!(free_usd(&venue), d("10000000"));
        assert_eq!(cfd_position(&venue), None);
        assert!(venue.orders_open(&[]).is_empty());
    }

    /// A delisting time at or before the clock refuses the short even when the provider still
    /// calls the instrument shortable; one still ahead does not.
    #[test]
    fn a_short_at_or_after_the_delisting_time_is_refused_and_one_before_it_is_not() {
        let delisted = Shortability::new()
            .with_shortable(true)
            .with_delisting_at(time(1));
        let mut venue = make_cfd_venue_lending(lending(delisted));

        let outcome = open_cfd(&mut venue, Side::Sell, "1");

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::NotShortable);
        assert!(reject.message.contains("delisted"), "{}", reject.message);
        assert_eq!(cfd_position(&venue), None);

        let ahead = Shortability::new()
            .with_shortable(true)
            .with_delisting_at(time(2));
        let mut venue = make_cfd_venue_lending(lending(ahead));
        cfd_market_fill(&mut venue, Side::Sell, "1");
        assert!(cfd_position(&venue).is_some(), "not delisted yet");
    }

    #[test]
    fn a_buy_and_a_sell_that_only_reduces_a_long_are_never_refused() {
        let mut venue = make_cfd_venue_lending(lending(Shortability::new().with_shortable(false)));

        cfd_market_fill(&mut venue, Side::Buy, "2");
        cfd_market_fill(&mut venue, Side::Sell, "1");
        cfd_market_fill(&mut venue, Side::Sell, "1");
        assert_eq!(cfd_position(&venue), None);

        let outcome = open_cfd(&mut venue, Side::Sell, "1");
        assert_eq!(
            borrow_rejection(&outcome).reason,
            BorrowRejectReason::NotShortable,
            "once flat, the next sell opens a short"
        );
    }

    #[test]
    fn a_sell_reducing_a_long_that_resting_sells_already_close_opens_a_short() {
        let mut venue = make_cfd_venue_lending(lending(Shortability::new().with_shortable(false)));
        cfd_market_fill(&mut venue, Side::Buy, "2");
        let rested = venue.open_order(cfd_limit("close", Side::Sell, "2", "5200"));
        assert!(rested_open(&rested).filled_quantity.is_zero());

        let outcome = open_cfd(&mut venue, Side::Sell, "1");

        assert_eq!(
            borrow_rejection(&outcome).reason,
            BorrowRejectReason::NotShortable
        );
    }

    /// The lender has 5 in total. The account's own short of 2 and its resting sell of 2 leave 1,
    /// so a sell of 2 is refused saying so, and a sell of 1 is not.
    #[test]
    fn a_short_past_what_is_available_net_of_the_own_short_and_resting_sells_is_refused() {
        let mut venue = make_cfd_venue_lending(lending(
            Shortability::new()
                .with_shortable(true)
                .with_available(d("5")),
        ));
        cfd_market_fill(&mut venue, Side::Sell, "2");
        let rested = venue.open_order(cfd_limit("rest", Side::Sell, "2", "5200"));
        assert!(rested_open(&rested).filled_quantity.is_zero());
        let free = free_usd(&venue);

        let outcome = open_cfd(&mut venue, Side::Sell, "2");

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::InventoryUnavailable);
        assert_eq!(reject.available, Some(d("1")));
        assert_eq!(free_usd(&venue), free);
        assert_eq!(
            cfd_position(&venue).map(|(quantity, _)| quantity),
            Some(d("-2"))
        );

        cfd_market_fill(&mut venue, Side::Sell, "1");
        assert_eq!(
            cfd_position(&venue).map(|(quantity, _)| quantity),
            Some(d("-3"))
        );
    }

    #[test]
    fn what_is_available_is_never_reported_below_zero() {
        let mut venue = make_cfd_venue_lending(
            ShortabilityTable::new()
                .with_shortability(cfd_instrument_name(), time(0), Shortability::new())
                .with_shortability(
                    cfd_instrument_name(),
                    time(2),
                    Shortability::new().with_available(d("1")),
                ),
        );
        cfd_market_fill(&mut venue, Side::Sell, "3");
        advance(&mut venue, time(2));

        let outcome = open_cfd(&mut venue, Side::Sell, "1");

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::InventoryUnavailable);
        assert_eq!(reject.available, Some(Decimal::ZERO));
    }

    /// From a long of 5, a sell of 9 opens a short of 4 and a sell of 8 one of 3: only the short
    /// part is measured against the 3 available.
    #[test]
    fn a_flip_is_gated_on_the_short_it_opens_only() {
        let mut venue = make_cfd_venue_lending(lending(Shortability::new().with_available(d("3"))));
        cfd_market_fill(&mut venue, Side::Buy, "5");

        let outcome = open_cfd(&mut venue, Side::Sell, "9");
        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::InventoryUnavailable);
        assert_eq!(reject.available, Some(d("3")));
        assert_eq!(
            cfd_position(&venue).map(|(quantity, _)| quantity),
            Some(d("5"))
        );

        cfd_market_fill(&mut venue, Side::Sell, "8");
        assert_eq!(
            cfd_position(&venue).map(|(quantity, _)| quantity),
            Some(d("-3"))
        );
    }

    #[test]
    fn a_short_sale_restriction_refuses_a_marketable_short_and_lets_one_above_the_bid_rest() {
        let mut venue =
            make_cfd_venue_lending(ShortabilityTable::new().with_short_sale_restriction(
                cfd_instrument_name(),
                time(0),
                time(10),
            ));

        // Reducing a long is not a short sale.
        cfd_market_fill(&mut venue, Side::Buy, "1");
        cfd_market_fill(&mut venue, Side::Sell, "1");

        let market = open_cfd(&mut venue, Side::Sell, "1");
        assert_eq!(
            borrow_rejection(&market).reason,
            BorrowRejectReason::ShortSaleRestricted
        );
        for (cid, limit) in [("at-bid", "4990"), ("below-bid", "4980")] {
            let outcome = venue.open_order(cfd_limit(cid, Side::Sell, "1", limit));
            assert_eq!(
                borrow_rejection(&outcome).reason,
                BorrowRejectReason::ShortSaleRestricted,
                "a sell limit at {limit} crosses the 4990 bid"
            );
        }

        let above = venue.open_order(cfd_limit("above-bid", Side::Sell, "1", "4995"));
        assert!(rested_open(&above).filled_quantity.is_zero());
        assert_eq!(cfd_position(&venue), None);

        // The restriction is read at the venue's clock, so it lifts when its window ends.
        advance(&mut venue, time(10));
        cfd_market_fill(&mut venue, Side::Sell, "1");
        assert_eq!(
            cfd_position(&venue).map(|(quantity, _)| quantity),
            Some(d("-1"))
        );
    }

    /// Whether a market sell is marketable is the fill model's to say, and one that can price it
    /// is refused for the restriction.
    #[test]
    fn a_restricted_market_short_the_fill_model_can_price_is_refused_for_the_restriction() {
        let mut venue =
            make_cfd_venue_lending(ShortabilityTable::new().with_short_sale_restriction(
                cfd_instrument_name(),
                time(0),
                time(10),
            ));
        venue.fill_model = Arc::new(SimFillConfig::Midpoint(crate::fill::MidpointFillModel));

        let outcome = open_cfd(&mut venue, Side::Sell, "1");

        assert_eq!(
            borrow_rejection(&outcome).reason,
            BorrowRejectReason::ShortSaleRestricted
        );
    }

    #[test]
    fn missing_shortability_data_allows_the_short() {
        let mut venue = make_cfd_venue_lending(
            ShortabilityTable::new()
                .with_shortability(
                    cfd_instrument_name(),
                    time(100),
                    Shortability::new().with_shortable(false),
                )
                .with_shortability(
                    InstrumentNameExchange::new("other"),
                    time(0),
                    Shortability::new().with_shortable(false),
                ),
        );

        cfd_market_fill(&mut venue, Side::Sell, "1");

        assert_eq!(
            cfd_position(&venue).map(|(quantity, _)| quantity),
            Some(d("-1"))
        );
    }

    /// Spot lends nothing either way: a sell of base the account does not hold is short of
    /// balance, whatever the provider says about lending.
    #[test]
    fn a_spot_short_is_refused_for_its_balance_not_by_the_provider() {
        let table = ShortabilityTable::new().with_shortability(
            instrument_name(),
            time(0),
            Shortability::new().with_shortable(false),
        );
        let mut venue = make_venue("0", "10000").with_shortability(Arc::new(table));

        let outcome = venue.open_order(sell_request("1", market_prices("50000")));

        match outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::BalanceInsufficient(..),
            ))) => {}
            other => panic!("expected BalanceInsufficient, got: {other:?}"),
        }
    }

    /// With no price to fill at, a restricted market sell is refused for what it is, unpriceable,
    /// naming which of the two unpriceable causes occurred, rather than for a restriction that
    /// judges a bid it could not fill against.
    #[test]
    fn a_restricted_short_with_no_price_is_refused_as_unpriceable() {
        let reason_of = |fill_model: SimFillConfig, market| {
            let mut venue = make_cfd_venue("10000000", FeeModelConfig::default())
                .with_shortability(Arc::new(
                    ShortabilityTable::new().with_short_sale_restriction(
                        cfd_instrument_name(),
                        time(0),
                        time(10),
                    ),
                ));
            venue.fill_model = Arc::new(fill_model);
            advance(&mut venue, time(1));
            match venue
                .open_order(cfd_request(Side::Sell, "1", market))
                .response
                .state
            {
                OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                    ApiError::OrderRejected(reason),
                ))) => reason,
                other => panic!("expected the unpriceable OrderRejected, got: {other:?}"),
            }
        };

        let absent = reason_of(SimFillConfig::default(), None);
        assert!(absent.contains("no market snapshot"), "{absent}");
        let empty = reason_of(SimFillConfig::default(), Some(MarketSnapshot::default()));
        assert!(empty.contains("no market price available yet"), "{empty}");

        // A bid alone has no midpoint, so `MidpointFillModel` cannot price the sell.
        let bid_only = MarketSnapshot {
            best_bid: Some(d("4990")),
            ..MarketSnapshot::default()
        };
        let midpoint = reason_of(
            SimFillConfig::Midpoint(crate::fill::MidpointFillModel),
            Some(bid_only),
        );
        assert!(
            midpoint.contains("no market price available yet"),
            "{midpoint}"
        );
    }

    /// The checks apply in their documented order: not shortable before too little to lend,
    /// and too little to lend before the restriction.
    #[test]
    fn the_first_refusal_that_applies_is_the_one_reported() {
        let restricted = |shortability| {
            lending(shortability).with_short_sale_restriction(
                cfd_instrument_name(),
                time(0),
                time(10),
            )
        };

        let mut venue = make_cfd_venue_lending(restricted(
            Shortability::new()
                .with_shortable(false)
                .with_available(Decimal::ZERO),
        ));
        let outcome = open_cfd(&mut venue, Side::Sell, "1");
        assert_eq!(
            borrow_rejection(&outcome).reason,
            BorrowRejectReason::NotShortable
        );

        let mut venue = make_cfd_venue_lending(restricted(
            Shortability::new().with_available(Decimal::ZERO),
        ));
        let outcome = open_cfd(&mut venue, Side::Sell, "1");
        assert_eq!(
            borrow_rejection(&outcome).reason,
            BorrowRejectReason::InventoryUnavailable
        );
    }

    /// A flip from a long opens a short, so a restriction refuses it when it is marketable, while
    /// the sell that only closes the same long goes through.
    #[test]
    fn a_short_sale_restriction_refuses_a_marketable_flip_but_not_a_close() {
        let mut venue =
            make_cfd_venue_lending(ShortabilityTable::new().with_short_sale_restriction(
                cfd_instrument_name(),
                time(0),
                time(10),
            ));
        cfd_market_fill(&mut venue, Side::Buy, "2");

        let outcome = open_cfd(&mut venue, Side::Sell, "3");
        assert_eq!(
            borrow_rejection(&outcome).reason,
            BorrowRejectReason::ShortSaleRestricted
        );
        assert_eq!(
            cfd_position(&venue).map(|(quantity, _)| quantity),
            Some(d("2"))
        );

        cfd_market_fill(&mut venue, Side::Sell, "2");
        assert_eq!(cfd_position(&venue), None);
    }

    // ---------------------------------------------------------------------------------------
    // Market orders held for their instrument's next bar.
    // ---------------------------------------------------------------------------------------

    fn next_bar_config(usdt: &str, price: NextBarPrice) -> MockExecutionConfig {
        MockExecutionConfig {
            market_order_timing: MarketOrderTiming::NextBar(price),
            ..spot_config("10", usdt, FeeModelConfig::default())
        }
    }

    fn ohlc(open: &str, high: &str, low: &str, close: &str) -> MarketBar {
        MarketBar::new(d(open), d(high), d(low), d(close))
    }

    /// Feeds `bar` at `time(seconds)` as a candle feed does: a last price at its close, no size.
    fn feed_bar(
        venue: &mut SimulatedVenue,
        seconds: i64,
        bar: MarketBar,
    ) -> Vec<UnindexedAccountEvent> {
        feed_bar_sized(venue, seconds, bar, MarketDepth::UNKNOWN)
    }

    fn feed_bar_sized(
        venue: &mut SimulatedVenue,
        seconds: i64,
        bar: MarketBar,
        depth: MarketDepth,
    ) -> Vec<UnindexedAccountEvent> {
        let snapshot = MarketSnapshot::from_last_price(Some(bar.close));
        venue.apply_market(
            &instrument_name(),
            MarketObservation::new(snapshot)
                .with_depth(depth)
                .with_bar(Some(bar)),
            time(seconds),
        )
    }

    /// A venue holding market orders for the next bar, fed one bar at `time(1)` that closed at 100.
    fn venue_holding(price: NextBarPrice, usdt: &str) -> SimulatedVenue {
        let mut venue =
            SimulatedVenue::new_market_driven(&next_bar_config(usdt, price), spot_instruments());
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        venue
    }

    fn market_order(
        cid: &str,
        side: Side,
        quantity: &str,
        time_in_force: TimeInForce,
    ) -> OrderRequestOpen<ExchangeId, InstrumentNameExchange> {
        let mut request = request(instrument_name(), side, quantity, None);
        request.key.cid = ClientOrderId::new(cid);
        request.state.time_in_force = time_in_force;
        request
    }

    fn ioc_buy(cid: &str, quantity: &str) -> OrderRequestOpen<ExchangeId, InstrumentNameExchange> {
        market_order(cid, Side::Buy, quantity, TimeInForce::ImmediateOrCancel)
    }

    fn total_base(venue: &SimulatedVenue) -> Decimal {
        venue.balances(&[base()])[0].balance.total
    }

    fn rejection_reason(outcome: &OpenOutcome) -> &str {
        match &outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::OrderRejected(reason),
            ))) => reason,
            other => panic!("expected an OrderRejected, got: {other:?}"),
        }
    }

    #[test]
    fn a_market_order_held_for_the_next_bar_is_open_and_holds_its_cost_at_the_current_price() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");

        let outcome = venue.open_order(ioc_buy("held", "1"));

        assert_eq!(
            rested_open(&outcome).filled_quantity,
            Decimal::ZERO,
            "accepted as open, with nothing traded yet"
        );
        assert_eq!(
            outcome.events.len(),
            1,
            "it owes the one balance its hold restates"
        );
        assert_eq!(
            balance_of(&outcome.events[0]).balance.free,
            d("9900"),
            "held at the close the order arrived on"
        );
        assert_eq!(total_quote(&venue), d("10000"), "and nothing paid yet");
        assert!(venue.trades(time(0)).is_empty());
        assert_eq!(venue.orders_open(&[]).len(), 1);
        assert!(venue.account.orders().holds(&instrument_name()));
    }

    #[test]
    fn the_next_bar_fills_a_held_order_at_its_open_and_settles_that_price() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let _ = venue.open_order(ioc_buy("held", "1"));

        let events = feed_bar(&mut venue, 2, ohlc("102", "110", "98", "108"));

        assert_eq!(
            events.len(),
            4,
            "the balance paid, the one received, the trade, then the order: {events:?}"
        );
        let paid = balance_of(&events[0]);
        assert_eq!(paid.asset, quote());
        assert_eq!(
            (paid.balance.total, paid.balance.free),
            (d("9898"), d("9898")),
            "the hold is released and the fill settled at the open, not the close it was held at"
        );
        assert_eq!(balance_of(&events[1]).asset, base());

        let trade = trade_of(&events[2]);
        assert_eq!(
            (trade.price, trade.quantity, trade.time_exchange),
            (d("102"), d("1"), time(2)),
            "filled at the bar's open, stamped at the bar"
        );
        assert!(
            matches!(
                order_of(&events[3]).state,
                OrderState::Inactive(InactiveOrderState::FullyFilled(_))
            ),
            "{:?}",
            order_of(&events[3]).state
        );

        assert!(venue.orders_open(&[]).is_empty());
        assert!(!venue.account.orders().holds(&instrument_name()));
        assert_eq!(total_base(&venue), d("11"));
        assert_eq!(free_quote(&venue), d("9898"));
    }

    #[test]
    fn adverse_extreme_fills_a_held_buy_at_the_bar_high_and_a_sell_at_its_low() {
        for (side, expected) in [(Side::Buy, "110"), (Side::Sell, "98")] {
            let mut venue = venue_holding(NextBarPrice::AdverseExtreme, "10000");
            let _ = venue.open_order(market_order(
                "held",
                side,
                "1",
                TimeInForce::ImmediateOrCancel,
            ));

            let events = feed_bar(&mut venue, 2, ohlc("102", "110", "98", "108"));

            assert_eq!(trade_of(&events[2]).price, d(expected), "a {side:?}");
        }
    }

    #[test]
    fn a_tick_between_bars_does_not_release_a_held_order() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let _ = venue.open_order(ioc_buy("held", "1"));

        let ticked = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(traded("101")),
            time(2),
        );

        assert!(ticked.is_empty(), "a tick is not a bar: {ticked:?}");
        assert!(venue.account.orders().holds(&instrument_name()));

        let events = feed_bar(&mut venue, 3, ohlc("103", "104", "102", "103"));
        assert_eq!(
            trade_of(&events[2]).price,
            d("103"),
            "the next bar fills it"
        );
    }

    #[test]
    fn a_held_order_fills_at_the_bar_price_moved_by_the_configured_slippage() {
        let config = MockExecutionConfig {
            slippage: SlippageConfig::fixed(d("0.01")).unwrap(),
            ..next_bar_config("10000", NextBarPrice::Open)
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        let _ = venue.open_order(ioc_buy("held", "1"));

        let events = feed_bar(&mut venue, 2, ohlc("102", "110", "98", "108"));

        assert_eq!(
            trade_of(&events[2]).price,
            d("103.02"),
            "the open, 1% against the buy"
        );
    }

    #[test]
    fn a_market_order_with_no_bar_to_wait_for_is_rejected_naming_the_setting() {
        // Fed ticks but never a bar: there is no next bar this venue could know to wait for.
        let mut ticked = SimulatedVenue::new_market_driven(
            &next_bar_config("10000", NextBarPrice::Open),
            spot_instruments(),
        );
        advance(&mut ticked, time(1));
        assert!(
            ticked
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(traded("100")),
                    time(1)
                )
                .is_empty()
        );
        // No feed at all.
        let mut request_priced = SimulatedVenue::new(
            &next_bar_config("10000", NextBarPrice::Open),
            spot_instruments(),
        );

        for (venue, request) in [
            (&mut ticked, ioc_buy("held", "1")),
            (&mut request_priced, buy_request("1", market_prices("100"))),
        ] {
            let outcome = venue.open_order(request);

            assert!(outcome.events.is_empty());
            assert!(
                rejection_reason(&outcome).contains("MarketOrderTiming::NextBar"),
                "{}",
                rejection_reason(&outcome)
            );
            assert_eq!(
                free_quote(venue),
                d("10000"),
                "a refused order holds nothing"
            );
        }
    }

    #[test]
    fn a_held_order_the_account_cannot_cover_is_refused_on_arrival() {
        let mut venue = venue_holding(NextBarPrice::Open, "99");

        let outcome = venue.open_order(ioc_buy("held", "1"));

        assert!(
            matches!(
                outcome.response.state,
                OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                    ApiError::BalanceInsufficient(..)
                )))
            ),
            "{:?}",
            outcome.response.state
        );
        assert!(!venue.account.orders().holds(&instrument_name()));
    }

    #[test]
    fn a_held_order_is_cancelled_like_a_resting_one_and_releases_its_hold() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let request = ioc_buy("held", "1");
        let key = request.key.clone();
        let _ = venue.open_order(request);

        let cancelled = venue.cancel_order(OrderEvent {
            key,
            state: RequestCancel { id: None },
        });

        assert!(cancelled.response.state.is_ok());
        assert_eq!(free_quote(&venue), d("10000"));
        assert!(!venue.account.orders().holds(&instrument_name()));
        assert!(
            feed_bar(&mut venue, 2, ohlc("102", "110", "98", "108")).is_empty(),
            "the next bar has nothing left to fill"
        );
    }

    /// A price on a held market order is ignored, as on arrival: the order is held priceless, so
    /// a tick through that price cannot match it as a limit, and a cancel leaves nothing held.
    #[test]
    fn a_held_market_order_carrying_a_price_is_held_without_it() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let request = priced_market_order(Side::Buy, "200", None);
        let key = request.key.clone();

        let outcome = venue.open_order(request);
        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
        assert_eq!(outcome.response.price, None, "reported as it is held");
        assert_eq!(venue.orders_open(&[])[0].price, None);

        let ticked = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(traded("150")),
            time(2),
        );
        assert!(
            ticked.is_empty(),
            "a tick below the stray price matches nothing: {ticked:?}"
        );

        let cancelled = venue.cancel_order(OrderEvent {
            key,
            state: RequestCancel { id: None },
        });
        assert!(cancelled.response.state.is_ok());
        assert!(!venue.account.orders().holds(&instrument_name()));
    }

    /// A held order whose deadline the bar reaches is retired by the sweep before the bar can
    /// release it, and leaves the held index with it.
    #[test]
    fn a_held_order_whose_deadline_the_bar_reaches_expires_unfilled() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let _ = venue.open_order(market_order(
            "gtd",
            Side::Buy,
            "1",
            TimeInForce::GoodTillDate { expiry: time(2) },
        ));

        let events = feed_bar(&mut venue, 2, ohlc("102", "110", "98", "108"));

        assert_eq!(
            events.len(),
            2,
            "the released hold, then the order: {events:?}"
        );
        assert!(
            matches!(
                order_of(&events[1]).state,
                OrderState::Inactive(InactiveOrderState::Expired(_))
            ),
            "{:?}",
            order_of(&events[1]).state
        );
        assert!(venue.trades(time(0)).is_empty());
        assert_eq!(free_quote(&venue), d("10000"));
        assert!(!venue.account.orders().holds(&instrument_name()));
    }

    /// A held spot sell holds the base it would deliver, and the bar settles exactly that.
    #[test]
    fn a_held_spot_sell_holds_the_base_it_would_deliver() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let free_base = |venue: &SimulatedVenue| venue.balances(&[base()])[0].balance.free;

        let _ = venue.open_order(market_order(
            "sell",
            Side::Sell,
            "1",
            TimeInForce::ImmediateOrCancel,
        ));
        assert_eq!(free_base(&venue), d("9"));
        assert_eq!(total_base(&venue), d("10"), "and nothing delivered yet");

        let events = feed_bar(&mut venue, 2, ohlc("102", "110", "98", "108"));

        assert_eq!(trade_of(&events[2]).price, d("102"));
        assert_eq!(total_base(&venue), d("9"));
        assert_eq!(free_base(&venue), d("9"));
    }

    #[test]
    fn a_held_order_the_account_can_no_longer_afford_at_the_bar_is_cancelled() {
        // 100 is held at the close the order arrived on, and the bar opens at 110.
        let mut venue = venue_holding(NextBarPrice::Open, "105");
        let _ = venue.open_order(ioc_buy("held", "1"));
        assert_eq!(free_quote(&venue), d("5"));

        let events = feed_bar(&mut venue, 2, ohlc("110", "112", "108", "111"));

        assert_eq!(
            events.len(),
            2,
            "the released hold, then the order: {events:?}"
        );
        assert_eq!(balance_of(&events[0]).balance.free, d("105"));
        assert!(
            matches!(
                &order_of(&events[1]).state,
                OrderState::Inactive(InactiveOrderState::Cancelled(cancelled))
                    if cancelled.filled_quantity == Some(Decimal::ZERO)
            ),
            "{:?}",
            order_of(&events[1]).state
        );
        assert!(venue.trades(time(0)).is_empty());
        assert_eq!(free_quote(&venue), d("105"));
    }

    #[test]
    fn a_bar_with_less_size_than_a_held_order_fills_immediate_or_cancel_in_part_and_kills_fill_or_kill()
     {
        let bar = ohlc("102", "110", "98", "108");

        let mut immediate = venue_holding(NextBarPrice::Open, "10000");
        let _ = immediate.open_order(ioc_buy("ioc", "1"));
        let events = feed_bar_sized(&mut immediate, 2, bar, sized("0.4"));
        assert_eq!(trade_of(&events[2]).quantity, d("0.4"));
        assert!(
            matches!(
                &order_of(&events[3]).state,
                OrderState::Inactive(InactiveOrderState::Cancelled(cancelled))
                    if cancelled.filled_quantity == Some(d("0.4"))
            ),
            "immediate-or-cancel keeps what the bar gave it: {:?}",
            order_of(&events[3]).state
        );
        assert_eq!(free_quote(&immediate), d("10000") - d("40.8"));

        let mut all_or_nothing = venue_holding(NextBarPrice::Open, "10000");
        let _ =
            all_or_nothing.open_order(market_order("fok", Side::Buy, "1", TimeInForce::FillOrKill));
        let events = feed_bar_sized(&mut all_or_nothing, 2, bar, sized("0.4"));
        assert_eq!(
            events.len(),
            2,
            "the released hold, then the order: {events:?}"
        );
        assert!(all_or_nothing.trades(time(0)).is_empty());
        assert_eq!(free_quote(&all_or_nothing), d("10000"));
    }

    /// Fill-or-kill kills only a part: a bar with size for the whole held order fills it.
    #[test]
    fn a_bar_with_size_for_the_whole_held_order_fills_fill_or_kill() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let _ = venue.open_order(market_order("fok", Side::Buy, "1", TimeInForce::FillOrKill));

        let events = feed_bar_sized(&mut venue, 2, ohlc("102", "110", "98", "108"), sized("1"));

        assert_eq!(trade_of(&events[2]).quantity, d("1"));
        assert!(
            matches!(
                order_of(&events[3]).state,
                OrderState::Inactive(InactiveOrderState::FullyFilled(_))
            ),
            "{:?}",
            order_of(&events[3]).state
        );
    }

    #[test]
    fn orders_held_on_one_instrument_fill_in_arrival_order_against_one_size() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let _ = venue.open_order(ioc_buy("first", "1"));
        let _ = venue.open_order(ioc_buy("second", "1"));

        let events = feed_bar_sized(&mut venue, 2, ohlc("102", "110", "98", "108"), sized("1.5"));

        let fills = events
            .iter()
            .filter_map(|event| match &event.kind {
                AccountEventKind::Trade(trade) => Some((
                    trade.client_order_id.clone().unwrap().0.to_string(),
                    trade.quantity,
                )),
                _ => None,
            })
            .collect::<Vec<_>>();
        assert_eq!(
            fills,
            [
                ("first".to_string(), d("1")),
                ("second".to_string(), d("0.5"))
            ],
            "earliest first, and the second gets what the first left"
        );
    }

    #[test]
    fn expiring_the_held_orders_retires_each_as_expired_and_releases_its_hold() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");
        let _ = venue.open_order(ioc_buy("held", "1"));

        let events = venue.expire_held(time(5));

        assert_eq!(
            events.len(),
            2,
            "the released hold, then the order: {events:?}"
        );
        assert_eq!(balance_of(&events[0]).balance.free, d("10000"));
        let order = order_of(&events[1]);
        assert!(
            matches!(
                &order.state,
                OrderState::Inactive(InactiveOrderState::Expired(expired))
                    if expired.filled_quantity == Some(Decimal::ZERO)
                        && expired.time_exchange == time(5)
            ),
            "{:?}",
            order.state
        );
        assert!(venue.orders_open(&[]).is_empty());
        assert!(
            venue.expire_held(time(6)).is_empty(),
            "nothing is held twice"
        );
        assert!(feed_bar(&mut venue, 7, ohlc("102", "110", "98", "108")).is_empty());
    }

    #[test]
    fn a_limit_order_is_not_held_for_the_next_bar() {
        let mut venue = venue_holding(NextBarPrice::Open, "10000");

        let outcome = venue.open_order(limit_request("limit", Side::Buy, "1", "101", gtc()));

        assert_eq!(
            filled_trade(&outcome).price,
            d("100"),
            "a marketable limit still fills on arrival"
        );
        assert!(!venue.account.orders().holds(&instrument_name()));
    }

    // ---------------------------------------------------------------------------------------
    // Market orders on a stale market.
    // ---------------------------------------------------------------------------------------

    fn stale_config(max_age: Duration) -> MockExecutionConfig {
        MockExecutionConfig {
            stale_market: StaleMarketPolicy::Wait { max_age },
            ..spot_config("10", "10000", FeeModelConfig::default())
        }
    }

    /// Ten seconds: a market last observed fresh at `time(1)` is stale from `time(12)`.
    const MAX_AGE: Duration = Duration::from_secs(10);

    /// A venue waiting out markets more than [`MAX_AGE`] old, fed a trade at 100 at `time(1)`.
    fn venue_waiting() -> SimulatedVenue {
        let mut venue =
            SimulatedVenue::new_market_driven(&stale_config(MAX_AGE), spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        venue
    }

    /// Feeds a fresh observation of `snapshot` at `time(seconds)`.
    fn observe(
        venue: &mut SimulatedVenue,
        seconds: i64,
        snapshot: MarketSnapshot,
    ) -> Vec<UnindexedAccountEvent> {
        venue.apply_market(
            &instrument_name(),
            MarketObservation::new(snapshot),
            time(seconds),
        )
    }

    /// Feeds an observation of `snapshot` at `time(seconds)` that carries its price forward
    /// without anything having traded, as a zero-volume bar does.
    fn observe_idle(
        venue: &mut SimulatedVenue,
        seconds: i64,
        snapshot: MarketSnapshot,
    ) -> Vec<UnindexedAccountEvent> {
        venue.apply_market(
            &instrument_name(),
            MarketObservation::new(snapshot).with_fresh(false),
            time(seconds),
        )
    }

    fn gtc_buy(cid: &str, quantity: &str) -> OrderRequestOpen<ExchangeId, InstrumentNameExchange> {
        market_order(cid, Side::Buy, quantity, gtc())
    }

    fn trades_in(
        events: &[UnindexedAccountEvent],
    ) -> Vec<&Trade<AssetNameExchange, InstrumentNameExchange>> {
        events
            .iter()
            .filter_map(|event| match &event.kind {
                AccountEventKind::Trade(trade) => Some(trade),
                _ => None,
            })
            .collect()
    }

    #[test]
    fn a_market_observed_fresh_within_the_max_age_fills_on_arrival() {
        let mut venue = venue_waiting();
        // Exactly `MAX_AGE` old is still fresh.
        advance(&mut venue, time(11));

        let outcome = venue.open_order(gtc_buy("fresh", "1"));

        assert_eq!(filled_trade(&outcome).price, d("100"));
        assert!(!venue.account.orders().holds(&instrument_name()));
    }

    #[test]
    fn a_market_order_on_a_stale_market_waits_open_holding_its_cost() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));

        let outcome = venue.open_order(gtc_buy("waiting", "1"));

        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
        assert_eq!(
            outcome.events.len(),
            1,
            "it owes the one balance its hold restates"
        );
        assert_eq!(
            balance_of(&outcome.events[0]).balance.free,
            d("9900"),
            "held at the stale price it arrived on"
        );
        assert!(venue.trades(time(0)).is_empty());
        assert!(venue.account.orders().holds(&instrument_name()));
    }

    #[test]
    fn the_next_fresh_observation_fills_a_waiting_order_at_its_price() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_buy("waiting", "1"));

        let events = observe(&mut venue, 20, traded("105"));

        assert_eq!(
            events.len(),
            4,
            "the balance paid, the one received, the trade, then the order: {events:?}"
        );
        assert_eq!(
            balance_of(&events[0]).balance.free,
            d("9895"),
            "the hold is released and the fill settled at the fresh price"
        );
        let trade = trade_of(&events[2]);
        assert_eq!(
            (trade.price, trade.quantity, trade.time_exchange),
            (d("105"), d("1"), time(20)),
            "filled at the observation's price, stamped at it"
        );
        assert!(matches!(
            order_of(&events[3]).state,
            OrderState::Inactive(InactiveOrderState::FullyFilled(_))
        ));
        assert!(!venue.account.orders().holds(&instrument_name()));
        assert_eq!(total_base(&venue), d("11"));
    }

    #[test]
    fn a_waiting_order_fills_after_the_resting_orders_its_observation_crosses() {
        let mut venue = venue_waiting();
        let _ = venue.open_order(limit_request("resting", Side::Buy, "1", "99", gtc()));
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_buy("waiting", "1"));

        let events = observe(&mut venue, 20, traded("98"));

        let prices = trades_in(&events)
            .iter()
            .map(|trade| (trade.client_order_id.clone(), trade.price))
            .collect::<Vec<_>>();
        assert_eq!(
            prices,
            vec![
                (Some(ClientOrderId::new("resting")), d("99")),
                (Some(ClientOrderId::new("waiting")), d("98")),
            ],
            "the resting order was crossed by the observation, the waiting one arrived after it"
        );
    }

    #[test]
    fn an_observation_that_is_not_fresh_neither_refreshes_the_market_nor_releases_an_order() {
        let mut venue = venue_waiting();
        // Carries a price forward at `time(5)`, but the market was last fresh at `time(1)`.
        assert!(observe_idle(&mut venue, 5, traded("101")).is_empty());
        advance(&mut venue, time(12));

        let outcome = venue.open_order(gtc_buy("waiting", "1"));
        assert_eq!(
            balance_of(&outcome.events[0]).balance.free,
            d("9899"),
            "it waits, holding the price the idle observation carried"
        );

        assert!(observe_idle(&mut venue, 13, traded("102")).is_empty());
        assert!(venue.account.orders().holds(&instrument_name()));

        let events = observe(&mut venue, 14, traded("103"));
        assert_eq!(trade_of(&events[2]).price, d("103"));
    }

    #[test]
    fn a_market_never_observed_fresh_is_stale() {
        let mut venue =
            SimulatedVenue::new_market_driven(&stale_config(MAX_AGE), spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe_idle(&mut venue, 1, traded("100")).is_empty());

        let outcome = venue.open_order(ioc_buy("immediate", "1"));
        let reason = rejection_reason(&outcome);
        assert!(reason.contains("never observed fresh"), "{reason}");

        let outcome = venue.open_order(gtc_buy("waiting", "1"));
        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
    }

    #[test]
    fn an_immediate_or_cancel_or_fill_or_kill_order_on_a_stale_market_is_rejected_naming_the_policy()
     {
        for time_in_force in [TimeInForce::ImmediateOrCancel, TimeInForce::FillOrKill] {
            let mut venue = venue_waiting();
            advance(&mut venue, time(12));

            let outcome = venue.open_order(market_order("now", Side::Buy, "1", time_in_force));

            assert!(outcome.events.is_empty());
            let reason = rejection_reason(&outcome);
            assert!(
                reason.contains("StaleMarketPolicy::Wait")
                    && reason.contains(&time(1).to_string())
                    && reason.contains(&time_in_force.to_string()),
                "{reason}"
            );
            assert_eq!(
                free_quote(&venue),
                d("10000"),
                "a refused order holds nothing"
            );
            assert!(!venue.account.orders().holds(&instrument_name()));
        }
    }

    #[test]
    fn a_market_order_on_an_unpriced_instrument_is_rejected_as_unpriceable_not_as_stale() {
        let mut venue =
            SimulatedVenue::new_market_driven(&stale_config(MAX_AGE), spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, MarketSnapshot::default()).is_empty());

        for request in [gtc_buy("waiting", "1"), ioc_buy("immediate", "1")] {
            let outcome = venue.open_order(request);

            let reason = rejection_reason(&outcome);
            assert!(
                reason.contains("cannot price") && !reason.contains("StaleMarketPolicy"),
                "{reason}"
            );
        }
    }

    #[test]
    fn a_venue_with_no_market_feed_rejects_market_orders_naming_the_policy() {
        let mut venue = SimulatedVenue::new(&stale_config(MAX_AGE), spot_instruments());

        let outcome = venue.open_order(buy_request("1", market_prices("100")));

        assert!(
            rejection_reason(&outcome).contains("StaleMarketPolicy::Wait needs a market feed"),
            "{}",
            rejection_reason(&outcome)
        );
        assert_eq!(free_quote(&venue), d("10000"));
    }

    #[test]
    fn a_max_age_longer_than_any_run_never_makes_a_market_stale() {
        let mut venue =
            SimulatedVenue::new_market_driven(&stale_config(Duration::MAX), spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        advance(&mut venue, time(1_000_000));

        let outcome = venue.open_order(ioc_buy("immediate", "1"));

        assert_eq!(filled_trade(&outcome).price, d("100"));
    }

    #[test]
    fn a_waiting_order_the_fresh_market_cannot_price_is_cancelled_and_releases_its_hold() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_buy("waiting", "1"));

        // A bid alone: nothing a buy can be priced from.
        let events = observe(
            &mut venue,
            20,
            MarketSnapshot::new(Some(d("99")), None, None),
        );

        assert_eq!(
            events.len(),
            2,
            "the released hold, then the order: {events:?}"
        );
        assert_eq!(balance_of(&events[0]).balance.free, d("10000"));
        assert!(matches!(
            &order_of(&events[1]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(cancelled))
                if cancelled.filled_quantity == Some(Decimal::ZERO)
        ));
        assert!(!venue.account.orders().holds(&instrument_name()));
    }

    #[test]
    fn only_a_fresh_observation_releases_a_waiting_order_never_the_clock() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_buy("waiting", "1"));

        advance(&mut venue, time(1_000));

        assert!(venue.account.orders().holds(&instrument_name()));
        assert!(venue.trades(time(0)).is_empty());
    }

    #[test]
    fn a_waiting_order_still_waiting_at_the_end_of_the_data_expires() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_buy("waiting", "1"));

        let events = venue.expire_held(time(30));

        assert_eq!(events.len(), 2, "{events:?}");
        assert_eq!(balance_of(&events[0]).balance.free, d("10000"));
        assert!(matches!(
            order_of(&events[1]).state,
            OrderState::Inactive(InactiveOrderState::Expired(_))
        ));
    }

    #[test]
    fn only_a_bar_released_under_next_bar_fills_ahead_of_its_observation() {
        let bar = ohlc("102", "110", "98", "108");
        let fresh_bar = MarketObservation::new(traded("108")).with_bar(Some(bar));
        let idle_bar = fresh_bar.with_fresh(false);
        let tick = MarketObservation::new(traded("108"));

        // Waiting for a fresh observation, which it follows as a resting fill does.
        let mut waiting = venue_waiting();
        advance(&mut waiting, time(12));
        let _ = waiting.open_order(gtc_buy("waiting", "1"));
        assert!(waiting.account.orders().holds(&instrument_name()));
        assert!(!waiting.fills_ahead_of(&instrument_name(), &fresh_bar));

        // Held for the next bar: any bar releases it, but nothing else does.
        let mut held = venue_holding(NextBarPrice::Open, "10000");
        assert!(
            !held.fills_ahead_of(&instrument_name(), &fresh_bar),
            "nothing held yet"
        );
        let _ = held.open_order(ioc_buy("held", "1"));
        assert!(held.fills_ahead_of(&instrument_name(), &fresh_bar));
        assert!(held.fills_ahead_of(&instrument_name(), &idle_bar));
        assert!(!held.fills_ahead_of(&instrument_name(), &tick));

        // Both: only a bar something traded in releases it.
        let mut both = venue_holding_fresh_bars();
        let _ = both.open_order(gtc_buy("held", "1"));
        assert!(both.fills_ahead_of(&instrument_name(), &fresh_bar));
        assert!(!both.fills_ahead_of(&instrument_name(), &idle_bar));
    }

    /// A venue holding market orders for the next bar something traded in, fed one at `time(1)`
    /// that closed at 100.
    fn venue_holding_fresh_bars() -> SimulatedVenue {
        let config = MockExecutionConfig {
            stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
            ..next_bar_config("10000", NextBarPrice::Open)
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        venue
    }

    #[test]
    fn under_next_bar_an_idle_bar_cancels_held_immediate_orders_and_leaves_the_rest_held() {
        let mut venue = venue_holding_fresh_bars();
        let _ = venue.open_order(ioc_buy("immediate", "1"));
        let _ = venue.open_order(market_order("all", Side::Buy, "1", TimeInForce::FillOrKill));
        let _ = venue.open_order(gtc_buy("patient", "1"));

        let bar = ohlc("100", "100", "100", "100");
        let snapshot = MarketSnapshot::from_last_price(Some(bar.close));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(snapshot)
                .with_bar(Some(bar))
                .with_fresh(false),
            time(2),
        );

        assert_eq!(
            events.len(),
            4,
            "a released hold and a cancel for each: {events:?}"
        );
        for (order, cid) in [(&events[1], "immediate"), (&events[3], "all")] {
            let order = order_of(order);
            assert_eq!(order.key.cid, ClientOrderId::new(cid));
            assert!(matches!(
                &order.state,
                OrderState::Inactive(InactiveOrderState::Cancelled(cancelled))
                    if cancelled.filled_quantity == Some(Decimal::ZERO)
            ));
        }
        assert_eq!(
            free_quote(&venue),
            d("9900"),
            "only the patient order's hold remains"
        );
        assert_eq!(
            venue.account.orders().held_on(&instrument_name()),
            [ClientOrderId::new("patient")]
        );

        let events = feed_bar(&mut venue, 3, ohlc("103", "104", "102", "103"));
        assert_eq!(
            trade_of(&events[2]).price,
            d("103"),
            "the next bar something traded in fills it at its open"
        );
    }

    #[test]
    fn under_next_bar_an_immediate_order_on_a_stale_market_is_rejected_and_a_patient_one_held() {
        let mut venue = venue_holding_fresh_bars();
        advance(&mut venue, time(12));

        let outcome = venue.open_order(ioc_buy("immediate", "1"));
        assert!(
            rejection_reason(&outcome).contains("StaleMarketPolicy::Wait"),
            "{}",
            rejection_reason(&outcome)
        );

        let outcome = venue.open_order(gtc_buy("patient", "1"));
        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
        assert!(venue.account.orders().holds(&instrument_name()));
    }

    // ---------------------------------------------------------------------------------------
    // Limit orders on a stale market.
    // ---------------------------------------------------------------------------------------

    fn gtc_limit(
        cid: &str,
        side: Side,
        quantity: &str,
        limit: &str,
    ) -> OrderRequestOpen<ExchangeId, InstrumentNameExchange> {
        limit_request(cid, side, quantity, limit, gtc())
    }

    fn post_only() -> TimeInForce {
        TimeInForce::GoodUntilCancelled { post_only: true }
    }

    /// The orders resting on the book for matching on `side`, best first.
    fn resting_on(venue: &SimulatedVenue, side: Side) -> Vec<ClientOrderId> {
        venue
            .account
            .orders()
            .resting(&instrument_name(), side)
            .map(|order| order.key.cid.clone())
            .collect()
    }

    #[test]
    fn a_limit_order_on_a_stale_market_waits_open_holding_what_it_would_cost_arriving_now() {
        // The stale market is 100: a buy at 105 would take it, capped at the limit, and a buy at
        // 95 would rest at its limit.
        for (limit, free) in [("105", "9900"), ("95", "9905")] {
            let mut venue = venue_waiting();
            advance(&mut venue, time(12));

            let outcome = venue.open_order(gtc_limit("waiting", Side::Buy, "1", limit));

            assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
            assert_eq!(outcome.events.len(), 1, "{:?}", outcome.events);
            assert_eq!(balance_of(&outcome.events[0]).balance.free, d(free));
            assert!(venue.trades(time(0)).is_empty());
            assert!(venue.account.orders().holds(&instrument_name()));
            assert!(
                resting_on(&venue, Side::Buy).is_empty(),
                "held, so nothing matches it"
            );
            assert_eq!(
                venue
                    .account
                    .orders()
                    .get(&ClientOrderId::new("waiting"))
                    .unwrap()
                    .price,
                Some(d(limit)),
                "held with its limit"
            );
        }
    }

    #[test]
    fn a_held_limit_order_the_fresh_market_crosses_fills_as_a_taker_at_the_fresh_price() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("waiting", Side::Buy, "1", "105"));

        let events = observe(&mut venue, 20, traded("102"));

        assert_eq!(events.len(), 4, "{events:?}");
        assert_eq!(balance_of(&events[0]).balance.free, d("9898"));
        let trade = trade_of(&events[2]);
        assert_eq!(
            (trade.price, trade.quantity, trade.time_exchange),
            (d("102"), d("1"), time(20)),
            "at the fresh market, better than its limit, stamped at the observation"
        );
        assert!(matches!(
            &order_of(&events[3]).state,
            OrderState::Inactive(InactiveOrderState::FullyFilled(filled))
                if filled.avg_price == Some(d("102"))
        ));
        assert!(!venue.account.orders().holds(&instrument_name()));
        assert!(venue.account.orders().is_empty());
        assert_eq!(total_base(&venue), d("11"));
    }

    #[test]
    fn a_held_limit_order_is_capped_at_its_limit_however_far_the_slippage_moves_it() {
        let config = MockExecutionConfig {
            slippage: SlippageConfig::fixed(d("0.1")).unwrap(),
            ..stale_config(MAX_AGE)
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("waiting", Side::Buy, "1", "105"));

        // 102 slipped by 10% is 112.2, over the limit.
        let events = observe(&mut venue, 20, traded("102"));

        assert_eq!(trade_of(&events[2]).price, d("105"));
    }

    #[test]
    fn a_held_limit_order_the_fresh_market_does_not_cross_joins_the_book_at_its_limit() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("waiting", Side::Buy, "1", "105"));

        let events = observe(&mut venue, 20, traded("110"));

        assert_eq!(
            events.len(),
            2,
            "the hold restated, then the order: {events:?}"
        );
        assert_eq!(
            balance_of(&events[0]).balance.free,
            d("9895"),
            "now held at its limit, as the maker it rests as"
        );
        let order = order_of(&events[1]);
        assert!(matches!(
            &order.state,
            OrderState::Active(ActiveOrderState::Open(open))
                if open.time_exchange == time(20) && open.filled_quantity.is_zero()
        ));
        assert!(!venue.account.orders().holds(&instrument_name()));
        assert_eq!(
            resting_on(&venue, Side::Buy),
            [ClientOrderId::new("waiting")]
        );

        let events = observe(&mut venue, 21, traded("104"));
        assert_eq!(
            trade_of(&events[2]).price,
            d("105"),
            "resting, it fills at its limit"
        );
    }

    #[test]
    fn a_limit_order_on_a_stale_market_is_decided_by_the_fresh_market_not_the_stale_one() {
        // At the stale 100 a buy at 101 crosses and a buy at 99 does not. The fresh 95 crosses
        // both, and both are filled at it: the one that looked passive is not filled worse.
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("crossing", Side::Buy, "1", "101"));
        let _ = venue.open_order(gtc_limit("passive", Side::Buy, "1", "99"));

        let events = observe(&mut venue, 20, traded("95"));

        let prices = trades_in(&events)
            .iter()
            .map(|trade| (trade.client_order_id.clone(), trade.price))
            .collect::<Vec<_>>();
        assert_eq!(
            prices,
            vec![
                (Some(ClientOrderId::new("crossing")), d("95")),
                (Some(ClientOrderId::new("passive")), d("95")),
            ],
            "earliest arrival first"
        );
    }

    #[test]
    fn a_held_limit_order_the_fresh_size_cannot_fill_rests_the_rest_at_its_limit() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("waiting", Side::Buy, "1", "105"));

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("101", "102"))
                .with_depth(MarketDepth::new(Some(d("1")), Some(d("0.4")))),
            time(20),
        );

        assert_eq!(events.len(), 4, "{events:?}");
        assert_eq!(
            balance_of(&events[0]).balance.free,
            d("9896.20"),
            "0.4 paid at 102 and 0.6 held at 105: 10000 - 40.8 - 63"
        );
        let trade = trade_of(&events[2]);
        assert_eq!(
            (trade.price, trade.quantity, trade.order_filled_quantity),
            (d("102"), d("0.4"), Some(d("0.4")))
        );
        assert!(matches!(
            &order_of(&events[3]).state,
            OrderState::Active(ActiveOrderState::Open(open)) if open.filled_quantity == d("0.4")
        ));
        assert_eq!(
            resting_on(&venue, Side::Buy),
            [ClientOrderId::new("waiting")]
        );

        let events = observe(&mut venue, 21, traded("104"));
        let trade = trade_of(&events[2]);
        assert_eq!(
            (trade.price, trade.quantity, trade.order_filled_quantity),
            (d("105"), d("0.6"), Some(d("1"))),
            "the remainder fills at its limit, as the maker"
        );
        assert_eq!(free_quote(&venue), d("9896.20"));
    }

    #[test]
    fn a_held_post_only_order_the_fresh_market_crosses_is_cancelled_and_one_it_does_not_rests() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let outcome = venue.open_order(limit_request("maker", Side::Buy, "1", "105", post_only()));
        assert_eq!(
            balance_of(&outcome.events[0]).balance.free,
            d("9895"),
            "held at its limit, as the maker it promises to be"
        );

        let events = observe(&mut venue, 20, traded("104"));

        assert_eq!(events.len(), 2, "{events:?}");
        assert_eq!(balance_of(&events[0]).balance.free, d("10000"));
        assert!(matches!(
            &order_of(&events[1]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(cancelled))
                if cancelled.filled_quantity == Some(Decimal::ZERO)
        ));

        advance(&mut venue, time(40));
        let _ = venue.open_order(limit_request("passive", Side::Buy, "1", "100", post_only()));
        let events = observe(&mut venue, 41, traded("104"));
        assert!(matches!(
            &order_of(&events[1]).state,
            OrderState::Active(ActiveOrderState::Open(_))
        ));
        assert_eq!(
            resting_on(&venue, Side::Buy),
            [ClientOrderId::new("passive")]
        );
    }

    #[test]
    fn an_immediate_or_cancel_or_fill_or_kill_limit_on_a_stale_market_is_rejected_whether_or_not_it_crosses()
     {
        for (time_in_force, limit) in [
            (TimeInForce::ImmediateOrCancel, "105"),
            (TimeInForce::ImmediateOrCancel, "95"),
            (TimeInForce::FillOrKill, "105"),
            (TimeInForce::FillOrKill, "95"),
        ] {
            let mut venue = venue_waiting();
            advance(&mut venue, time(12));

            let outcome =
                venue.open_order(limit_request("now", Side::Buy, "1", limit, time_in_force));

            assert!(outcome.events.is_empty());
            let reason = rejection_reason(&outcome);
            assert!(
                reason.contains("StaleMarketPolicy::Wait")
                    && reason.contains(&time_in_force.to_string()),
                "{reason}"
            );
            assert!(venue.account.orders().is_empty());
        }
    }

    #[test]
    fn a_limit_order_past_its_deadline_on_a_stale_market_expires_rather_than_waits() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));

        let outcome = venue.open_order(limit_request(
            "late",
            Side::Buy,
            "1",
            "105",
            TimeInForce::GoodTillDate { expiry: time(12) },
        ));

        assert!(matches!(
            outcome.response.state,
            OrderState::Inactive(InactiveOrderState::Expired(_))
        ));
        assert!(venue.account.orders().is_empty());
    }

    #[test]
    fn a_held_limit_order_reaching_its_deadline_expires_and_releases_its_hold() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(limit_request(
            "dated",
            Side::Buy,
            "1",
            "105",
            TimeInForce::GoodTillDate { expiry: time(15) },
        ));

        let events = observe(&mut venue, 15, traded("102"));

        assert!(trades_in(&events).is_empty(), "{events:?}");
        assert!(events.iter().any(|event| matches!(
            &event.kind,
            AccountEventKind::OrderSnapshot(order)
                if matches!(order.0.state, OrderState::Inactive(InactiveOrderState::Expired(_)))
        )));
        assert_eq!(free_quote(&venue), d("10000"));
        assert!(venue.account.orders().is_empty());
    }

    #[test]
    fn a_held_limit_order_can_be_cancelled_and_one_still_held_at_the_end_of_the_data_expires() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("cancelled", Side::Buy, "1", "105"));
        let _ = venue.open_order(gtc_limit("expired", Side::Buy, "1", "95"));

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: gtc_limit("cancelled", Side::Buy, "1", "105").key,
            state: RequestCancel { id: None },
        });
        assert!(cancelled.response.state.is_ok());
        assert_eq!(free_quote(&venue), d("9905"));
        assert_eq!(
            venue.account.orders().held_on(&instrument_name()),
            [ClientOrderId::new("expired")]
        );

        let events = venue.expire_held(time(30));
        assert_eq!(events.len(), 2, "{events:?}");
        assert_eq!(balance_of(&events[0]).balance.free, d("10000"));
        assert!(matches!(
            order_of(&events[1]).state,
            OrderState::Inactive(InactiveOrderState::Expired(_))
        ));
        assert!(venue.account.orders().is_empty());
    }

    #[test]
    fn a_limit_order_on_an_unpriced_instrument_rests_as_it_does_without_the_policy() {
        let mut venue =
            SimulatedVenue::new_market_driven(&stale_config(MAX_AGE), spot_instruments());
        advance(&mut venue, time(12));

        let outcome = venue.open_order(gtc_limit("resting", Side::Buy, "1", "100"));

        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
        assert!(!venue.account.orders().holds(&instrument_name()));
        assert_eq!(
            resting_on(&venue, Side::Buy),
            [ClientOrderId::new("resting")]
        );
    }

    /// On a fresh market, and on a stale one, where it is refused rather than held for a release
    /// with nothing to trade.
    #[test]
    fn an_order_for_a_quantity_that_is_not_positive_is_refused_rather_than_held() {
        for (now, quantity) in [(1, "0"), (1, "-1"), (12, "0"), (12, "-1")] {
            for request in [
                gtc_limit("limit", Side::Buy, quantity, "105"),
                gtc_buy("market", quantity),
            ] {
                let mut venue = venue_waiting();
                advance(&mut venue, time(now));

                let outcome = venue.open_order(request);

                assert_eq!(
                    rejection_reason(&outcome),
                    format!(
                        "cannot open {} for {EXCHANGE}: quantity {quantity} is not positive",
                        instrument_name()
                    )
                );
                assert!(outcome.events.is_empty(), "a refused order moves nothing");
                assert!(
                    venue.account.orders().is_empty(),
                    "and is neither held nor rested"
                );
                assert_eq!(free_quote(&venue), d("10000"));
                assert!(
                    observe(&mut venue, 20, traded("102")).is_empty(),
                    "so a fresh observation has nothing to release"
                );
            }
        }
    }

    #[test]
    fn a_held_limit_order_the_account_can_no_longer_afford_is_cancelled_and_hands_back_its_draw() {
        let config = MockExecutionConfig {
            slippage: uniform(5),
            ..MockExecutionConfig {
                stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
                ..spot_config("10", "100", FeeModelConfig::default())
            }
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        advance(&mut venue, time(12));
        // Held at the stale 100: the account's whole balance.
        let outcome = venue.open_order(gtc_limit("waiting", Side::Buy, "1", "105"));
        assert_eq!(balance_of(&outcome.events[0]).balance.free, Decimal::ZERO);

        let events = observe(&mut venue, 20, traded("104"));

        assert_eq!(
            events.len(),
            2,
            "the released hold, then the order: {events:?}"
        );
        assert_eq!(balance_of(&events[0]).balance.free, d("100"));
        assert!(matches!(
            &order_of(&events[1]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(cancelled))
                if cancelled.filled_quantity == Some(Decimal::ZERO)
        ));
        assert!(venue.account.orders().is_empty());
        assert_eq!(venue.slippage, Slippage::new(uniform(5)));
    }

    #[test]
    fn a_held_sell_limit_order_fills_at_the_fresh_price_or_rests_at_its_limit() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        // Both cross the stale 100; the fresh 97 crosses only the first.
        let _ = venue.open_order(gtc_limit("crossed", Side::Sell, "1", "95"));
        let _ = venue.open_order(gtc_limit("passive", Side::Sell, "1", "99"));

        let events = observe(&mut venue, 20, traded("97"));

        let prices = trades_in(&events)
            .iter()
            .map(|trade| (trade.client_order_id.clone(), trade.price))
            .collect::<Vec<_>>();
        assert_eq!(
            prices,
            vec![(Some(ClientOrderId::new("crossed")), d("97"))],
            "above its limit, at the fresh price"
        );
        assert_eq!(
            resting_on(&venue, Side::Sell),
            [ClientOrderId::new("passive")]
        );
        assert_eq!(total_base(&venue), d("9"));
    }

    #[test]
    fn a_held_limit_order_paying_its_fee_in_a_third_asset_takes_the_fee_apart_at_its_release() {
        let config = MockExecutionConfig {
            stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
            ..fee_asset_config("10")
        };
        let mut venue = fee_asset_venue_from(&config, true);
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("waiting", Side::Buy, "1", "51000"));

        let events = observe(&mut venue, 20, traded("50000"));

        assert_eq!(
            restated(&events)
                .iter()
                .map(|(asset, _)| asset.clone())
                .collect::<Vec<_>>(),
            [quote(), base(), bnb()],
            "paid, received, then the fee: {events:?}"
        );
        let trade = trades_in(&events)[0];
        assert_eq!(trade.price, d("50000"));
        // 10bp of 50,000 is 50 USDT, a quarter off in BNB at 600.
        assert_eq!(
            restated(&events)[2].1.free,
            d("10") - d("50") * d("0.75") / d("600")
        );
        assert_eq!(restated(&events)[0].1.total, d("50000"), "no fee in USDT");
    }

    fn cfd_venue_with(usd: &str, stale_market: StaleMarketPolicy) -> SimulatedVenue {
        let config = MockExecutionConfig {
            stale_market,
            ..config_from_balances(vec![funded(self::usd(), d(usd))], FeeModelConfig::default())
        };
        let mut venue =
            SimulatedVenue::new_market_driven(&config, instruments_of(cfd_instrument()));
        advance(&mut venue, time(1));
        venue
    }

    /// A released CFD order settles exactly as the same order arriving to the market that released
    /// it: against the position as it stands then, closing the long and opening a short, with the
    /// remainder the size there cannot fill held against the position the fill leaves.
    #[test]
    fn a_held_cfd_limit_order_settles_against_the_position_at_its_release_as_on_arrival() {
        let fresh = MarketObservation::new(MarketSnapshot {
            best_bid: Some(d("4950")),
            best_ask: Some(d("4960")),
            last_price: Some(d("4950")),
        });
        for depth in [MarketDepth::UNKNOWN, MarketDepth::new(Some(d("1.5")), None)] {
            let observation = fresh.with_depth(depth);

            let mut held = cfd_venue_with(
                "400000",
                StaleMarketPolicy::Wait {
                    max_age: Duration::from_secs(10),
                },
            );
            assert!(cfd_market(&mut held, "5000", "5000", "5000").is_empty());
            cfd_market_fill(&mut held, Side::Buy, "1");
            advance(&mut held, time(12));
            let outcome = held.open_order(cfd_limit("flip", Side::Sell, "2", "4900"));
            assert!(outcome.response.state.is_accepted());
            assert!(held.account.orders().holds(&cfd_instrument_name()));
            let released = held.apply_market(&cfd_instrument_name(), observation, time(12));
            assert!(!trades_in(&released).is_empty(), "{released:?}");

            let mut arriving = cfd_venue_with("400000", StaleMarketPolicy::Off);
            assert!(cfd_market(&mut arriving, "5000", "5000", "5000").is_empty());
            cfd_market_fill(&mut arriving, Side::Buy, "1");
            advance(&mut arriving, time(12));
            assert!(
                arriving
                    .apply_market(&cfd_instrument_name(), observation, time(12))
                    .is_empty()
            );
            let _ = arriving.open_order(cfd_limit("flip", Side::Sell, "2", "4900"));

            assert_eq!(
                (free_usd(&held), total_usd(&held), cfd_position(&held)),
                (
                    free_usd(&arriving),
                    total_usd(&arriving),
                    cfd_position(&arriving)
                ),
                "depth {depth:?}"
            );
            assert_eq!(
                resting_count(&held),
                resting_count(&arriving),
                "depth {depth:?}"
            );
        }
    }

    fn resting_count(venue: &SimulatedVenue) -> usize {
        venue
            .account
            .orders()
            .resting(&cfd_instrument_name(), Side::Sell)
            .count()
    }

    #[test]
    fn under_wait_an_observation_that_is_not_fresh_crosses_no_resting_order() {
        let mut venue = venue_waiting();
        let _ = venue.open_order(gtc_limit("resting", Side::Buy, "1", "99"));
        let _ = venue.open_order(gtc_limit("selling", Side::Sell, "1", "101"));

        assert!(observe_idle(&mut venue, 5, traded("95")).is_empty());
        assert!(observe_idle(&mut venue, 6, traded("105")).is_empty());
        assert_eq!(
            resting_on(&venue, Side::Buy),
            [ClientOrderId::new("resting")]
        );
        assert_eq!(
            resting_on(&venue, Side::Sell),
            [ClientOrderId::new("selling")]
        );

        let events = observe(&mut venue, 7, traded("98"));
        assert_eq!(
            trade_of(&events[2]).price,
            d("99"),
            "a fresh observation crosses it"
        );
    }

    #[test]
    fn without_the_policy_an_observation_that_is_not_fresh_still_crosses_a_resting_order() {
        let mut venue = SimulatedVenue::new_market_driven(
            &spot_config("10", "10000", FeeModelConfig::default()),
            spot_instruments(),
        );
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        let _ = venue.open_order(gtc_limit("resting", Side::Buy, "1", "99"));

        let events = observe_idle(&mut venue, 5, traded("95"));

        assert_eq!(trade_of(&events[2]).price, d("99"));
    }

    #[test]
    fn a_held_limit_order_is_not_released_by_an_observation_that_is_not_fresh() {
        let mut venue = venue_waiting();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("waiting", Side::Buy, "1", "105"));

        assert!(observe_idle(&mut venue, 13, traded("90")).is_empty());
        assert!(venue.account.orders().holds(&instrument_name()));

        let events = observe(&mut venue, 14, traded("103"));
        assert_eq!(trade_of(&events[2]).price, d("103"));
    }

    #[test]
    fn under_next_bar_a_limit_order_on_a_stale_market_is_decided_against_the_next_fresh_bar() {
        let mut venue = venue_holding_fresh_bars();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("crossed", Side::Buy, "1", "104"));
        let _ = venue.open_order(gtc_limit("passive", Side::Buy, "1", "101"));
        let bar = ohlc("102", "106", "101", "105");
        assert!(venue.fills_ahead_of(
            &instrument_name(),
            &MarketObservation::new(traded("105")).with_bar(Some(bar))
        ));

        let events = feed_bar(&mut venue, 13, bar);

        let prices = trades_in(&events)
            .iter()
            .map(|trade| (trade.client_order_id.clone(), trade.price))
            .collect::<Vec<_>>();
        assert_eq!(
            prices,
            vec![(Some(ClientOrderId::new("crossed")), d("102"))],
            "the open crosses 104 and fills it there; it does not cross 101, which rests"
        );
        assert_eq!(
            resting_on(&venue, Side::Buy),
            [ClientOrderId::new("passive")]
        );
    }

    #[test]
    fn under_next_bar_a_held_limit_order_its_open_does_not_cross_can_be_crossed_by_its_close() {
        let mut venue = venue_holding_fresh_bars();
        advance(&mut venue, time(12));
        let _ = venue.open_order(gtc_limit("waiting", Side::Buy, "1", "101"));

        let events = feed_bar(&mut venue, 13, ohlc("102", "103", "99", "100"));

        let trades = trades_in(&events);
        assert_eq!(trades.len(), 1, "{events:?}");
        assert_eq!(
            trades[0].price,
            d("101"),
            "rested at its limit when the open did not reach it, then crossed by the close"
        );
        assert!(venue.account.orders().is_empty());
    }

    #[test]
    fn under_next_bar_a_limit_order_on_a_fresh_market_is_decided_on_arrival() {
        let mut venue = venue_holding_fresh_bars();

        let outcome = venue.open_order(gtc_limit("crossing", Side::Buy, "1", "104"));

        assert_eq!(filled_trade(&outcome).price, d("100"));
    }

    #[test]
    fn a_held_limit_buy_that_rests_a_remainder_holds_the_loan_left_against_it() {
        let config = MockExecutionConfig {
            stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
            ..margin_config("0", "100", "2")
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        advance(&mut venue, time(12));
        // 1.5 at the stale 100 needs 150 of the 100 held: 50 is lent.
        let outcome = venue.open_order(gtc_limit("waiting", Side::Buy, "1.5", "100"));
        assert_eq!(
            balance_of(sans_debt(&outcome.events)[0]).balance,
            Balance::new_margin(d("150"), Decimal::ZERO, d("50"), Decimal::ZERO)
        );

        // 0.5 at 80 and 1 held at 100 need 140: 40 of the loan is still used, 10 is repaid.
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("79", "80"))
                .with_depth(MarketDepth::new(Some(d("1")), Some(d("0.5")))),
            time(20),
        );
        assert_eq!(
            balance_of(sans_debt(&events)[0]).balance,
            Balance::new_margin(d("100"), Decimal::ZERO, d("40"), Decimal::ZERO)
        );
        assert_eq!(trade_of(sans_debt(&events)[2]).quantity, d("0.5"));

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: gtc_limit("waiting", Side::Buy, "1.5", "100").key,
            state: RequestCancel { id: None },
        });
        assert!(cancelled.response.state.is_ok());
        assert_eq!(
            venue.balances(&[quote()])[0].balance,
            Balance::new_margin(d("60"), d("60"), Decimal::ZERO, Decimal::ZERO),
            "cancelling the remainder repays the 40 it held"
        );
    }

    #[test]
    fn cancelling_a_released_remainder_repays_only_its_own_loan_and_not_one_already_owed() {
        // Owing 20 USDT already, the account has 100 of its own and 120 to spend.
        let config = MockExecutionConfig {
            stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("2"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(
                vec![
                    funded(base(), Decimal::ZERO),
                    AssetBalance::new(
                        quote(),
                        Balance::new_margin(d("120"), d("120"), d("20"), Decimal::ZERO),
                        Utc::now(),
                    ),
                ],
                FeeModelConfig::default(),
            )
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        advance(&mut venue, time(12));
        // 150 at the stale 100 lends 30 more.
        let _ = venue.open_order(gtc_limit("waiting", Side::Buy, "1.5", "100"));

        // 0.5 at 80 and 1 held at 100 need 140: 10 of the 30 is repaid, 20 still used.
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("79", "80"))
                .with_depth(MarketDepth::new(Some(d("1")), Some(d("0.5")))),
            time(20),
        );
        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("100"), Decimal::ZERO, d("40"), Decimal::ZERO)
        );

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: gtc_limit("waiting", Side::Buy, "1.5", "100").key,
            state: RequestCancel { id: None },
        });
        assert!(cancelled.response.state.is_ok());
        assert_eq!(
            venue.balances(&[quote()])[0].balance,
            Balance::new_margin(d("80"), d("80"), d("20"), Decimal::ZERO),
            "the remainder repays the 20 it borrowed, and the 20 owed before stays owed"
        );
    }

    // ---------------------------------------------------------------------------------------
    // Spot margin: what the venue lends, holds and repays.
    // ---------------------------------------------------------------------------------------

    fn margin_config(btc: &str, usdt: &str, max_leverage: &str) -> MockExecutionConfig {
        MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d(max_leverage), MarginEffect::Borrow).unwrap(),
            ),
            ..spot_config(btc, usdt, FeeModelConfig::default())
        }
    }

    /// A venue with no feed of its own, pricing each order from its request.
    fn margin_venue(btc: &str, usdt: &str, max_leverage: &str) -> SimulatedVenue {
        SimulatedVenue::new(&margin_config(btc, usdt, max_leverage), spot_instruments())
    }

    /// A fed venue, its book at 49,000 / 49,100, so a sell limit above the bid rests.
    fn margin_market_venue(btc: &str, usdt: &str) -> SimulatedVenue {
        let mut venue =
            SimulatedVenue::new_market_driven(&margin_config(btc, usdt, "3"), spot_instruments());
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );
        venue
    }

    /// `asset`'s balance as the venue reports it now.
    fn balance_now(venue: &SimulatedVenue, asset: AssetNameExchange) -> Balance {
        venue.balances(&[asset])[0].balance
    }

    /// The reason a rejection for an unaffordable order gives.
    fn insufficient_reason(outcome: &OpenOutcome) -> &str {
        match &outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(OrderError::Rejected(
                ApiError::BalanceInsufficient(_, reason),
            ))) => reason,
            other => panic!("expected BalanceInsufficient, got: {other:?}"),
        }
    }

    #[test]
    fn a_cash_venue_reports_no_loans_and_refuses_a_sell_of_base_it_lacks() {
        let mut venue = make_venue("0.25", "100000");

        let outcome = venue.open_order(sell_request("1", market_prices("50000")));

        assert!(
            !insufficient_reason(&outcome).contains("Borrowable"),
            "{}",
            insufficient_reason(&outcome)
        );
        assert_eq!(
            balance_now(&venue, base()),
            Balance::new(d("0.25"), d("0.25"))
        );
    }

    #[test]
    fn a_margin_sell_borrows_only_the_shortfall_of_base() {
        let mut venue = margin_venue("0.25", "100000", "3");

        let outcome = venue.open_order(sell_request("1", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.75"), Decimal::ZERO),
            "the sell delivers all the base it borrowed and what the account held"
        );
        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new_margin(d("150000"), d("150000"), Decimal::ZERO, Decimal::ZERO)
        );
        assert_eq!(filled_trade(&outcome).quantity, d("1"));
    }

    #[test]
    fn a_margin_sell_of_base_the_account_never_held_borrows_it() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(vec![funded(quote(), d("10000"))], FeeModelConfig::default())
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.1"), Decimal::ZERO),
            "the sell opens a base balance with the loan, and delivers what it borrowed"
        );
    }

    #[test]
    fn a_margin_buy_borrows_quote_valued_through_the_inverse_of_its_pair() {
        // Valued in BTC, so a USDT loan is valued at the inverse of BTCUSDT's price.
        let config = MockExecutionConfig {
            spot_margin: Some(SpotMarginConfig::new(base(), d("2"), MarginEffect::Borrow).unwrap()),
            ..spot_config("1", "0", FeeModelConfig::default())
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        // Equity of 1 BTC at leverage 2 lends up to 1 BTC's worth: 50,000 USDT.
        let outcome = venue.open_order(buy_request("1.5", market_prices("50000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 50000"),
            "{}",
            insufficient_reason(&outcome)
        );

        let outcome = venue.open_order(buy_request("0.5", market_prices("50000")));
        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("25000"), Decimal::ZERO)
        );
        assert_eq!(balance_now(&venue, base()).total, d("1.5"));
    }

    #[test]
    fn a_request_snapshot_values_only_the_pair_it_names() {
        // Request-priced, so the venue holds no market and values from the request's snapshot.
        let venue = SimulatedVenue::new(
            &spot_config("1", "0", FeeModelConfig::default()),
            spot_instruments(),
        );
        let snapshot = market_prices("50000").unwrap();
        let eth = || AssetNameExchange::new("ETH");
        let price_in = |asset: AssetNameExchange,
                        valuation: AssetNameExchange,
                        priced: Underlying<AssetNameExchange>| {
            venue.price_in(&asset, &valuation, Some((&priced, &snapshot)))
        };

        assert_eq!(
            price_in(base(), quote(), Underlying::new(base(), quote())),
            Some(d("50000"))
        );
        assert_eq!(
            price_in(quote(), base(), Underlying::new(base(), quote())),
            Some(d("0.00002")),
            "valued through the inverse of the pair the snapshot names"
        );
        assert_eq!(
            price_in(base(), quote(), Underlying::new(base(), eth())),
            None,
            "a snapshot of another pair sharing the base prices nothing"
        );
        assert_eq!(
            price_in(base(), quote(), Underlying::new(eth(), quote())),
            None,
            "a snapshot of another pair sharing the quote prices nothing"
        );
    }

    #[test]
    fn a_venue_reads_back_the_instruments_it_was_constructed_with() {
        let instruments = fee_asset_instruments();
        let venue = SimulatedVenue::new(
            &spot_config("1", "0", FeeModelConfig::default()),
            instruments.clone(),
        );

        assert_eq!(venue.instruments(), &instruments);
        assert_eq!(
            venue.instrument(&instrument_name()),
            instruments.get(&instrument_name())
        );
        assert!(venue.instrument(&instrument_name()).is_some());
        assert_eq!(
            venue.instrument(&InstrumentNameExchange::new("ETHUSDT")),
            None
        );
    }

    #[test]
    fn a_margin_buy_repays_interest_then_principal_and_frees_the_rest() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(
                vec![
                    AssetBalance::new(
                        base(),
                        Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.75"), d("0.01")),
                        Utc::now(),
                    ),
                    funded(quote(), d("100000")),
                ],
                FeeModelConfig::default(),
            )
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(with_effect(
            buy_request("1", market_prices("50000")),
            MarginEffect::Repay,
        ));

        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new_margin(d("0.24"), d("0.24"), Decimal::ZERO, Decimal::ZERO),
            "1 BTC repays 0.01 of interest and 0.75 of principal, leaving 0.24 free"
        );
    }

    #[test]
    fn a_buy_smaller_than_the_debt_repays_interest_before_principal() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(
                vec![
                    AssetBalance::new(
                        base(),
                        Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.75"), d("0.01")),
                        Utc::now(),
                    ),
                    funded(quote(), d("100000")),
                ],
                FeeModelConfig::default(),
            )
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(with_effect(
            buy_request("0.11", market_prices("50000")),
            MarginEffect::Repay,
        ));

        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.65"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_borrow_beyond_the_leverage_limit_is_refused_naming_what_would_be_lent() {
        // Equity of 10,000 USDT at leverage 2 lends up to 10,000 USDT's worth: 0.2 BTC.
        let mut venue = margin_venue("0", "10000", "2");

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.2"),
            "{}",
            insufficient_reason(&outcome)
        );
        assert_eq!(
            balance_now(&venue, base()),
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, Decimal::ZERO, Decimal::ZERO),
            "a refused order borrows nothing"
        );

        let outcome = venue.open_order(sell_request("0.2", market_prices("50000")));
        assert_eq!(filled_trade(&outcome).quantity, d("0.2"));
    }

    #[test]
    fn debt_already_owed_counts_against_what_the_venue_lends() {
        // Equity 10,000 at leverage 2 lends 10,000 USDT's worth in all.
        let mut venue = margin_venue("0", "10000", "2");
        let outcome = venue.open_order(sell_request("0.15", market_prices("50000")));
        assert_eq!(filled_trade(&outcome).quantity, d("0.15"));

        // 7,500 of the 10,000 is owed, so 2,500 is left: 0.05 BTC.
        let outcome = venue.open_order(sell_request("0.06", market_prices("50000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.05"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_leverage_of_one_lends_nothing_but_every_balance_reports_its_loan() {
        let mut venue = margin_venue("0", "10000", "1");

        for balance in venue.balances(&[base(), quote()]) {
            assert_eq!(
                balance.balance.margin,
                Some(MarginDetails::default()),
                "{balance:?}"
            );
        }

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn no_side_effect_lends_nothing_and_repays_nothing() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::NoSideEffect).unwrap(),
            ),
            ..config_from_balances(
                vec![
                    AssetBalance::new(
                        base(),
                        Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.5"), Decimal::ZERO),
                        Utc::now(),
                    ),
                    funded(quote(), d("100000")),
                ],
                FeeModelConfig::default(),
            )
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));
        assert!(
            !insufficient_reason(&outcome).contains("Borrowable"),
            "{}",
            insufficient_reason(&outcome)
        );

        let outcome = venue.open_order(buy_request("1", market_prices("50000")));
        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new_margin(d("1"), d("1"), d("0.5"), Decimal::ZERO),
            "the bought base is free; the loan is left as it was"
        );
    }

    #[test]
    fn an_asset_the_venue_cannot_value_is_not_lent() {
        // No instrument pairs BTC with EUR, so a BTC loan cannot be valued.
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(AssetNameExchange::new("EUR"), d("3"), MarginEffect::Borrow)
                    .unwrap(),
            ),
            ..spot_config("0", "100000", FeeModelConfig::default())
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_cfd_order_is_not_lent_its_margin() {
        let config = MockExecutionConfig {
            spot_margin: Some(SpotMarginConfig::new(usd(), d("3"), MarginEffect::Borrow).unwrap()),
            ..config_from_balances(vec![funded(usd(), d("1000"))], FeeModelConfig::default())
        };
        let mut venue = SimulatedVenue::new(&config, instruments_of(cfd_instrument()));

        let outcome = venue.open_order(cfd_request(Side::Sell, "1", market_prices("5000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0"),
            "{}",
            insufficient_reason(&outcome)
        );
        assert_eq!(
            balance_now(&venue, usd()),
            Balance::new_margin(d("1000"), d("1000"), Decimal::ZERO, Decimal::ZERO)
        );
    }

    /// The error an order was refused with.
    fn open_error(outcome: &OpenOutcome) -> &UnindexedOrderError {
        match &outcome.response.state {
            OrderState::Inactive(InactiveOrderState::OpenFailed(error)) => error,
            other => panic!("expected the order to be refused, got: {other:?}"),
        }
    }

    /// A margin account owing 0.75 BTC and 0.01 of interest on it, with `effect` as its default.
    fn config_owing_base(effect: MarginEffect) -> MockExecutionConfig {
        MockExecutionConfig {
            spot_margin: Some(SpotMarginConfig::new(quote(), d("3"), effect).unwrap()),
            ..config_from_balances(
                vec![
                    AssetBalance::new(
                        base(),
                        Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.75"), d("0.01")),
                        Utc::now(),
                    ),
                    funded(quote(), d("100000")),
                ],
                FeeModelConfig::default(),
            )
        }
    }

    /// A fed venue for `config`, its book at 49,000 / 49,100.
    fn market_venue_for(config: &MockExecutionConfig) -> SimulatedVenue {
        let mut venue = SimulatedVenue::new_market_driven(config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1),
                )
                .is_empty()
        );
        venue
    }

    #[test]
    fn a_borrow_order_repays_nothing_from_what_it_receives() {
        let mut venue =
            SimulatedVenue::new(&config_owing_base(MarginEffect::Borrow), spot_instruments());

        let outcome = venue.open_order(buy_request("1", market_prices("50000")));

        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new_margin(d("1"), d("1"), d("0.75"), d("0.01")),
            "the bought base is free and the loan, interest included, is left owed"
        );
    }

    #[test]
    fn a_request_effect_overrides_the_configured_default() {
        // A venue that borrows by default, told not to: the sell is refused as on a cash account.
        let mut venue = margin_venue("0", "100000", "3");
        let outcome = venue.open_order(with_effect(
            sell_request("1", market_prices("50000")),
            MarginEffect::NoSideEffect,
        ));
        assert!(
            !insufficient_reason(&outcome).contains("Borrowable"),
            "{}",
            insufficient_reason(&outcome)
        );

        // A venue that borrows nothing by default, told to: the same sell borrows its base.
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::NoSideEffect).unwrap(),
            ),
            ..spot_config("0", "100000", FeeModelConfig::default())
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());
        let outcome = venue.open_order(with_effect(
            sell_request("1", market_prices("50000")),
            MarginEffect::Borrow,
        ));
        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("1"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_repay_order_borrows_nothing() {
        let mut venue = margin_venue("0.25", "100000", "3");

        let outcome = venue.open_order(with_effect(
            sell_request("1", market_prices("50000")),
            MarginEffect::Repay,
        ));

        assert!(
            !insufficient_reason(&outcome).contains("Borrowable"),
            "{}",
            insufficient_reason(&outcome)
        );
        assert_eq!(
            balance_now(&venue, base()),
            Balance::new_margin(d("0.25"), d("0.25"), Decimal::ZERO, Decimal::ZERO),
            "a refused order borrows nothing"
        );
    }

    #[test]
    fn a_cfd_order_naming_a_borrow_or_repay_is_refused_unsent() {
        let config = MockExecutionConfig {
            spot_margin: Some(SpotMarginConfig::new(usd(), d("3"), MarginEffect::Borrow).unwrap()),
            ..config_from_balances(vec![funded(usd(), d("1000"))], FeeModelConfig::default())
        };
        let mut venue = SimulatedVenue::new(&config, instruments_of(cfd_instrument()));

        for effect in [MarginEffect::Borrow, MarginEffect::Repay] {
            let outcome = venue.open_order(with_effect(
                cfd_request(Side::Buy, "1", market_prices("5000")),
                effect,
            ));
            assert_eq!(
                open_error(&outcome),
                &UnindexedOrderError::UnsupportedMarginEffect(effect)
            );
        }
        assert_eq!(
            balance_now(&venue, usd()),
            Balance::new_margin(d("1000"), d("1000"), Decimal::ZERO, Decimal::ZERO),
            "a refused order touches nothing"
        );

        // `NoSideEffect` is honoured: a CFD never borrows, so it is not refused for its effect
        // whatever else the venue makes of it.
        let outcome = venue.open_order(with_effect(
            cfd_request(Side::Buy, "0.01", market_prices("5000")),
            MarginEffect::NoSideEffect,
        ));
        assert!(
            !matches!(
                &outcome.response.state,
                OrderState::Inactive(InactiveOrderState::OpenFailed(
                    UnindexedOrderError::UnsupportedMarginEffect(_)
                ))
            ),
            "{:?}",
            outcome.response.state
        );
    }

    #[test]
    fn a_cash_venue_takes_no_effect_but_no_side_effect() {
        let mut venue = make_venue("1", "100000");

        for effect in [MarginEffect::Borrow, MarginEffect::Repay] {
            let outcome = venue.open_order(with_effect(
                sell_request("0.1", market_prices("50000")),
                effect,
            ));
            assert_eq!(
                open_error(&outcome),
                &UnindexedOrderError::UnsupportedMarginEffect(effect)
            );
        }

        let outcome = venue.open_order(with_effect(
            sell_request("0.1", market_prices("50000")),
            MarginEffect::NoSideEffect,
        ));
        assert_eq!(filled_trade(&outcome).quantity, d("0.1"));
    }

    #[test]
    fn a_resting_order_repays_from_its_fill_as_it_was_placed_to() {
        // The venue borrows by default, but this buy was placed to repay: its effect rides on the
        // order, not on the configuration, so the fill that comes later repays the 0.76 owed.
        let mut venue = market_venue_for(&config_owing_base(MarginEffect::Borrow));
        let rested = venue.open_order(with_effect(
            limit_request("rest", Side::Buy, "1", "49050", gtc()),
            MarginEffect::Repay,
        ));
        assert_eq!(rested_open(&rested).filled_quantity, Decimal::ZERO);

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("48900", "49000")),
            time(2),
        );

        assert_eq!(
            balance_of(&events[1]).balance,
            Balance::new_margin(d("0.24"), d("0.24"), Decimal::ZERO, Decimal::ZERO),
            "1 BTC repays 0.01 of interest and 0.75 of principal, leaving 0.24 free"
        );
    }

    #[test]
    fn a_resting_order_placed_to_borrow_repays_nothing_from_its_fill() {
        let mut venue = market_venue_for(&config_owing_base(MarginEffect::Repay));
        venue.open_order(with_effect(
            limit_request("rest", Side::Buy, "1", "49050", gtc()),
            MarginEffect::Borrow,
        ));

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("48900", "49000")),
            time(2),
        );

        assert_eq!(
            balance_of(&events[1]).balance,
            Balance::new_margin(d("1"), d("1"), d("0.75"), d("0.01")),
            "the loan is left owed although the venue's default would have repaid it"
        );
    }

    #[test]
    fn without_auto_repay_at_cancel_a_cancelled_order_leaves_its_loan_owed() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::Borrow)
                    .unwrap()
                    .with_auto_repay_at_cancel(false),
            ),
            ..spot_config("0", "100000", FeeModelConfig::default())
        };
        let mut venue = market_venue_for(&config);
        venue.open_order(limit_request("rest", Side::Sell, "1", "50000", gtc()));

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: limit_request("rest", Side::Sell, "1", "50000", gtc()).key,
            state: RequestCancel { id: None },
        });

        assert!(cancelled.response.state.is_ok());
        assert_eq!(
            balance_of(&cancelled.events[0]).balance,
            Balance::new_margin(d("1"), d("1"), d("1"), Decimal::ZERO),
            "the released base is free again and the loan that paid for it stays owed"
        );
    }

    #[test]
    fn a_resting_sell_borrows_when_placed_and_a_cancel_repays_it() {
        let mut venue = margin_market_venue("0", "100000");

        let outcome = venue.open_order(limit_request("rest", Side::Sell, "1", "50000", gtc()));
        assert_eq!(rested_open(&outcome).filled_quantity, Decimal::ZERO);
        assert_eq!(
            balance_of(&outcome.events[0]).balance,
            Balance::new_margin(d("1"), Decimal::ZERO, d("1"), Decimal::ZERO),
            "the borrowed base is held against the order"
        );

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: limit_request("rest", Side::Sell, "1", "50000", gtc()).key,
            state: RequestCancel { id: None },
        });
        assert!(cancelled.response.state.is_ok());
        assert_eq!(
            balance_of(&cancelled.events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, Decimal::ZERO, Decimal::ZERO),
            "the cancel repays what the order borrowed"
        );
    }

    #[test]
    fn a_resting_sell_that_fills_keeps_its_loan() {
        let mut venue = margin_market_venue("0", "100000");
        venue.open_order(limit_request("rest", Side::Sell, "1", "50000", gtc()));

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("50100", "50200")),
            time(2),
        );

        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("1"), Decimal::ZERO)
        );
        assert_eq!(trade_of(&events[2]).quantity, d("1"));
    }

    #[test]
    fn a_partly_filled_sell_holds_its_loan_against_the_remainder() {
        let mut venue = margin_market_venue("0.4", "100000");
        // Only 0.5 bid at 49,000, so a marketable sell of 1 fills half and rests half.
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100"))
                        .with_depth(MarketDepth::new(Some(d("0.5")), None)),
                    time(2),
                )
                .is_empty()
        );

        let outcome = venue.open_order(limit_request("part", Side::Sell, "1", "49000", gtc()));
        assert_eq!(rested_open(&outcome).filled_quantity, d("0.5"));
        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(d("0.5"), Decimal::ZERO, d("0.6"), Decimal::ZERO),
            "0.4 held plus 0.6 borrowed: 0.5 sold and 0.5 held against the rest"
        );

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: limit_request("part", Side::Sell, "1", "49000", gtc()).key,
            state: RequestCancel { id: None },
        });
        assert_eq!(
            balance_of(&cancelled.events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.1"), Decimal::ZERO),
            "the fill spent the account's own 0.4 first, so the cancel repays 0.5 of the loan"
        );
    }

    #[test]
    fn a_held_market_sell_borrows_when_accepted_and_keeps_the_loan_when_its_bar_fills_it() {
        let config = MockExecutionConfig {
            market_order_timing: MarketOrderTiming::NextBar(NextBarPrice::Open),
            ..margin_config("0", "1000", "3")
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());

        let outcome = venue.open_order(market_order("held", Side::Sell, "2", gtc()));
        assert_eq!(
            balance_of(&outcome.events[0]).balance,
            Balance::new_margin(d("2"), Decimal::ZERO, d("2"), Decimal::ZERO)
        );

        let events = feed_bar(&mut venue, 2, ohlc("98", "99", "97", "98"));
        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("2"), Decimal::ZERO)
        );
        assert_eq!(trade_of(&events[2]).price, d("98"));
    }

    #[test]
    fn a_held_market_sell_that_expires_repays_its_loan() {
        let config = MockExecutionConfig {
            market_order_timing: MarketOrderTiming::NextBar(NextBarPrice::Open),
            ..margin_config("0", "1000", "3")
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        venue.open_order(market_order("held", Side::Sell, "2", gtc()));

        let events = venue.expire_held(time(2));

        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, Decimal::ZERO, Decimal::ZERO)
        );
    }

    /// A venue holding market orders for the next bar, on margin, with 100 USDT and no BTC, fed
    /// one bar that closed at 100.
    fn margin_venue_holding() -> SimulatedVenue {
        let config = MockExecutionConfig {
            market_order_timing: MarketOrderTiming::NextBar(NextBarPrice::Open),
            ..margin_config("0", "100", "2")
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        venue
    }

    #[test]
    fn a_held_buy_costed_higher_at_its_bar_borrows_the_difference() {
        let mut venue = margin_venue_holding();
        // 150 at the close of 100: 50 borrowed of the 100 equity allows.
        let outcome = venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));
        assert_eq!(
            balance_of(sans_debt(&outcome.events)[0]).balance,
            Balance::new_margin(d("150"), Decimal::ZERO, d("50"), Decimal::ZERO)
        );

        // 180 at an open of 120: 30 more borrowed, within the 50 left.
        let events = feed_bar(&mut venue, 2, ohlc("120", "121", "119", "120"));
        assert_eq!(
            balance_of(sans_debt(&events)[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("80"), Decimal::ZERO)
        );
        assert_eq!(trade_of(sans_debt(&events)[2]).price, d("120"));
    }

    #[test]
    fn a_held_buy_costed_lower_at_its_bar_repays_the_loan_it_no_longer_needs() {
        let mut venue = margin_venue_holding();
        // 150 at the close of 100: 50 borrowed.
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));

        // 120 at an open of 80: the 100 the account had pays first, so 20 of the loan is used
        // and the other 30 is repaid.
        let events = feed_bar(&mut venue, 2, ohlc("80", "81", "79", "80"));
        assert_eq!(
            balance_of(sans_debt(&events)[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("20"), Decimal::ZERO)
        );
        assert_eq!(
            balance_of(sans_debt(&events)[1]).balance,
            Balance::new_margin(d("1.5"), d("1.5"), Decimal::ZERO, Decimal::ZERO)
        );
        assert_eq!(trade_of(sans_debt(&events)[2]).price, d("80"));
    }

    #[test]
    fn a_held_buy_unaffordable_at_its_bar_is_cancelled_and_repays_its_loan() {
        let mut venue = margin_venue_holding();
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));

        // 375 at an open of 250 needs 225 more than the 150 held, and only 50 more may be lent.
        let events = feed_bar(&mut venue, 2, ohlc("250", "251", "249", "250"));

        assert_eq!(
            balance_of(sans_debt(&events)[0]).balance,
            Balance::new_margin(d("100"), d("100"), Decimal::ZERO, Decimal::ZERO),
            "the cancel repays the 50 the order borrowed when it was accepted"
        );
        assert!(matches!(
            order_of(sans_debt(&events)[1]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(_))
        ));
    }

    /// [`margin_venue_holding`], with `config` adjusted by `adjust`.
    fn margin_venue_holding_with(
        adjust: impl FnOnce(SpotMarginConfig) -> SpotMarginConfig,
        effect: MarginEffect,
    ) -> SimulatedVenue {
        let mut config = MockExecutionConfig {
            market_order_timing: MarketOrderTiming::NextBar(NextBarPrice::Open),
            ..margin_config("0", "100", "2")
        };
        config.spot_margin = Some(adjust(
            SpotMarginConfig::new(quote(), d("2"), effect).unwrap(),
        ));
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        venue
    }

    #[test]
    fn without_auto_repay_at_cancel_a_held_buy_costed_lower_keeps_the_loan_it_no_longer_needs() {
        let mut venue = margin_venue_holding_with(
            |config| config.with_auto_repay_at_cancel(false),
            MarginEffect::Borrow,
        );
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));

        // 120 at an open of 80: 20 of the 50 loan is used, and the other 30 stays owed.
        let events = feed_bar(&mut venue, 2, ohlc("80", "81", "79", "80"));

        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("30"), d("30"), d("50"), Decimal::ZERO)
        );
    }

    #[test]
    fn without_auto_repay_at_cancel_a_held_buy_unaffordable_at_its_bar_keeps_its_loan() {
        let mut venue = margin_venue_holding_with(
            |config| config.with_auto_repay_at_cancel(false),
            MarginEffect::Borrow,
        );
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));

        let events = feed_bar(&mut venue, 2, ohlc("250", "251", "249", "250"));

        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("150"), d("150"), d("50"), Decimal::ZERO),
            "the cancel gives the hold back and leaves the 50 the order borrowed owed"
        );
        assert!(matches!(
            order_of(&events[1]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(_))
        ));
    }

    #[test]
    fn without_auto_repay_at_cancel_a_held_sell_that_expires_keeps_its_loan() {
        let mut venue = margin_venue_holding_with(
            |config| config.with_auto_repay_at_cancel(false),
            MarginEffect::Borrow,
        );
        venue.open_order(market_order("held", Side::Sell, "1", gtc()));

        let events = venue.expire_held(time(2));

        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("1"), d("1"), d("1"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_held_buy_costed_afresh_at_its_bar_borrows_as_it_was_placed_to() {
        // The venue borrows nothing by default, but this buy was placed to borrow: at its bar
        // the fill is costed afresh, and the 30 more it needs is lent because of the effect it
        // was placed with, not the configuration's.
        let mut venue = margin_venue_holding_with(|config| config, MarginEffect::NoSideEffect);
        let mut request = market_order("held", Side::Buy, "1.5", gtc());
        request.state = request.state.with_margin_effect(MarginEffect::Borrow);
        venue.open_order(request);

        let events = feed_bar(&mut venue, 2, ohlc("120", "121", "119", "120"));

        assert_eq!(
            balance_of(sans_debt(&events)[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("80"), Decimal::ZERO)
        );
        assert_eq!(trade_of(sans_debt(&events)[2]).price, d("120"));
    }

    // ---------------------------------------------------------------------------------------
    // Spot margin: an asset's minimum borrow.
    // ---------------------------------------------------------------------------------------

    /// `config`, its spot margin lending no less than `min_borrow` of `asset`.
    fn with_min_borrow(
        mut config: MockExecutionConfig,
        asset: AssetNameExchange,
        min_borrow: &str,
    ) -> MockExecutionConfig {
        config.spot_margin = config
            .spot_margin
            .map(|margin| margin.with_min_borrow(asset, d(min_borrow)).unwrap());
        config
    }

    #[test]
    fn a_shortfall_below_the_minimum_borrows_the_minimum_and_the_rest_stays_free() {
        let config = with_min_borrow(margin_config("0.25", "100000", "3"), base(), "0.5");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        // 0.3 of the 0.25 held lacks 0.05, so the minimum 0.5 is lent.
        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(d("0.45"), d("0.45"), d("0.5"), Decimal::ZERO),
            "0.25 + 0.5 lent − 0.3 sold, and what the sell did not spend is free"
        );
        assert_eq!(filled_trade(&outcome).quantity, d("0.3"));
    }

    #[test]
    fn interest_is_charged_on_the_whole_minimum_lent() {
        let config = with_min_borrow(margin_config("0.25", "100000", "3"), base(), "0.5");
        let mut venue = SimulatedVenue::new(&config, spot_instruments())
            .with_margin_interest(Arc::new(hourly_interest(base())));
        advance(&mut venue, time(1));

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(d("0.45"), d("0.45"), d("0.5"), d("0.00005"))
        );
        assert_eq!(
            *cash_flow_of(sans_debt(&outcome.events)[3]),
            interest_flow(
                base(),
                "0.5",
                "0.00005",
                time(1),
                InterestTiming::OnBorrow,
                "0"
            ),
        );
    }

    #[test]
    fn a_shortfall_above_the_minimum_borrows_only_the_shortfall() {
        let config = with_min_borrow(margin_config("0.25", "100000", "3"), base(), "0.5");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("1", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.75"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_minimum_on_another_asset_lends_only_the_shortfall() {
        let config = with_min_borrow(margin_config("0.25", "100000", "3"), quote(), "1000");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.05"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_minimum_borrow_beyond_what_the_venue_lends_refuses_the_order() {
        // Equity of 10,000 USDT at leverage 2 lends up to 0.2 BTC.
        let config = with_min_borrow(margin_config("0", "10000", "2"), base(), "0.21");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));

        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.2")
                && insufficient_reason(&outcome).ends_with("Minimum Borrow: 0.21"),
            "the reason names what the venue would lend and the minimum it would not: {}",
            insufficient_reason(&outcome)
        );
        assert_eq!(
            balance_now(&venue, base()),
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, Decimal::ZERO, Decimal::ZERO),
            "a refused order borrows nothing"
        );
    }

    #[test]
    fn a_shortfall_above_the_minimum_refused_by_the_leverage_limit_names_no_minimum() {
        let config = with_min_borrow(margin_config("0", "10000", "2"), base(), "0.05");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));

        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.2")
                && !insufficient_reason(&outcome).contains("Minimum Borrow"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_shortfall_beyond_what_the_venue_lends_names_no_minimum() {
        // 0.3 lacks more than the 0.2 the venue lends, so the 0.5 minimum is not why it is refused.
        let config = with_min_borrow(margin_config("0", "10000", "2"), base(), "0.5");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));

        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.2")
                && !insufficient_reason(&outcome).contains("Minimum Borrow"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_shortfall_of_exactly_what_the_venue_lends_names_the_minimum_that_refused_it() {
        // 0.2 is exactly what the venue lends, so the shortfall alone would have been lent.
        let config = with_min_borrow(margin_config("0", "10000", "2"), base(), "0.5");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.2", market_prices("50000")));

        assert!(
            insufficient_reason(&outcome).ends_with("Minimum Borrow: 0.5"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_minimum_borrow_of_exactly_what_the_venue_lends_is_lent() {
        let config = with_min_borrow(margin_config("0", "10000", "2"), base(), "0.2");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(d("0.1"), d("0.1"), d("0.2"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_resting_sell_lent_the_minimum_holds_its_shortfall_and_a_cancel_repays_the_whole_loan() {
        let config = with_min_borrow(margin_config("0", "100000", "3"), base(), "0.5");
        let mut venue = market_venue_for(&config);

        let outcome = venue.open_order(limit_request("rest", Side::Sell, "0.1", "50000", gtc()));
        assert_eq!(
            balance_of(&outcome.events[0]).balance,
            Balance::new_margin(d("0.5"), d("0.4"), d("0.5"), Decimal::ZERO),
            "0.1 is held against the order, and the 0.4 lent beyond it is free"
        );

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: limit_request("rest", Side::Sell, "0.1", "50000", gtc()).key,
            state: RequestCancel { id: None },
        });
        assert!(cancelled.response.state.is_ok());
        assert_eq!(
            balance_of(&cancelled.events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, Decimal::ZERO, Decimal::ZERO),
            "the cancel repays all 0.5 the order borrowed"
        );
    }

    #[test]
    fn without_auto_repay_at_cancel_a_cancel_leaves_the_whole_minimum_owed() {
        let mut config = with_min_borrow(margin_config("0", "100000", "3"), base(), "0.5");
        config.spot_margin = config
            .spot_margin
            .map(|margin| margin.with_auto_repay_at_cancel(false));
        let mut venue = market_venue_for(&config);
        venue.open_order(limit_request("rest", Side::Sell, "0.1", "50000", gtc()));

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: limit_request("rest", Side::Sell, "0.1", "50000", gtc()).key,
            state: RequestCancel { id: None },
        });

        assert_eq!(
            balance_of(&cancelled.events[0]).balance,
            Balance::new_margin(d("0.5"), d("0.5"), d("0.5"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_resting_sell_lent_the_minimum_that_fills_keeps_the_whole_loan() {
        let config = with_min_borrow(margin_config("0", "100000", "3"), base(), "0.5");
        let mut venue = market_venue_for(&config);
        venue.open_order(limit_request("rest", Side::Sell, "0.1", "50000", gtc()));

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("50100", "50200")),
            time(2),
        );

        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("0.4"), d("0.4"), d("0.5"), Decimal::ZERO),
            "the filled order's loan stays owed, the part it did not spend included"
        );
        assert_eq!(trade_of(&events[2]).quantity, d("0.1"));
    }

    #[test]
    fn a_partly_filled_sell_lent_the_minimum_repays_the_unspent_loan_at_cancel() {
        let config = with_min_borrow(margin_config("0.4", "100000", "3"), base(), "0.8");
        let mut venue = market_venue_for(&config);
        // Only 0.5 bid at 49,000, so a marketable sell of 1 fills half and rests half.
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100"))
                        .with_depth(MarketDepth::new(Some(d("0.5")), None)),
                    time(2),
                )
                .is_empty()
        );

        // 1 of the 0.4 held lacks 0.6, so the minimum 0.8 is lent.
        let outcome = venue.open_order(limit_request("part", Side::Sell, "1", "49000", gtc()));
        assert_eq!(rested_open(&outcome).filled_quantity, d("0.5"));
        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(d("0.7"), d("0.2"), d("0.8"), Decimal::ZERO),
            "0.4 + 0.8 lent − 0.5 sold; 0.5 held against the rest and 0.2 free"
        );

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: limit_request("part", Side::Sell, "1", "49000", gtc()).key,
            state: RequestCancel { id: None },
        });
        assert_eq!(
            balance_of(&cancelled.events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.1"), Decimal::ZERO),
            "the 0.5 held against the rest and the 0.2 lent beyond the shortfall are repaid"
        );
    }

    #[test]
    fn a_held_market_sell_lent_the_minimum_that_expires_repays_the_whole_loan() {
        let config = with_min_borrow(
            MockExecutionConfig {
                market_order_timing: MarketOrderTiming::NextBar(NextBarPrice::Open),
                ..margin_config("0", "1000", "3")
            },
            base(),
            "3",
        );
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        let outcome = venue.open_order(market_order("held", Side::Sell, "2", gtc()));
        assert_eq!(
            balance_of(&outcome.events[0]).balance,
            Balance::new_margin(d("3"), d("1"), d("3"), Decimal::ZERO)
        );

        let events = venue.expire_held(time(2));

        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, Decimal::ZERO, Decimal::ZERO)
        );
    }

    #[test]
    fn a_held_buy_lent_the_minimum_and_costed_lower_repays_only_the_held_loan_it_does_not_need() {
        let mut venue = margin_venue_holding_with(
            |config| config.with_min_borrow(quote(), d("80")).unwrap(),
            MarginEffect::Borrow,
        );
        // 150 at the close of 100 lacks 50, so the minimum 80 is lent: 30 of it free.
        let outcome = venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));
        assert_eq!(
            balance_of(&outcome.events[0]).balance,
            Balance::new_margin(d("180"), d("30"), d("80"), Decimal::ZERO)
        );

        // 120 at an open of 80: of the 50 held on loan, 30 is not needed and is repaid; the 30
        // lent beyond the shortfall stays owed, since the order filled.
        let events = feed_bar(&mut venue, 2, ohlc("80", "81", "79", "80"));
        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("30"), d("30"), d("50"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_held_buy_lent_the_minimum_that_needs_none_of_its_loan_keeps_only_the_excess_owed() {
        let mut venue = margin_venue_holding_with(
            |config| config.with_min_borrow(quote(), d("80")).unwrap(),
            MarginEffect::Borrow,
        );
        // 150 at the close of 100 lacks 50, so the minimum 80 is lent: 30 of it free.
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));

        // 30 at an open of 20 is paid from the account's own 100, so all 50 held on loan is
        // repaid, and only the 30 lent beyond the shortfall stays owed.
        let events = feed_bar(&mut venue, 2, ohlc("20", "21", "19", "20"));
        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("100"), d("100"), d("30"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_held_buy_costed_higher_at_its_bar_borrows_at_least_the_minimum_more() {
        let mut venue = margin_venue_holding_with(
            |config| config.with_min_borrow(quote(), d("40")).unwrap(),
            MarginEffect::Borrow,
        );
        // 150 at the close of 100 lacks 50, above the minimum, so 50 is lent.
        let outcome = venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));
        assert_eq!(
            balance_of(&outcome.events[0]).balance,
            Balance::new_margin(d("150"), Decimal::ZERO, d("50"), Decimal::ZERO)
        );

        // 180 at an open of 120 lacks 30 more, below the minimum, so 40 is lent.
        let events = feed_bar(&mut venue, 2, ohlc("120", "121", "119", "120"));
        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("10"), d("10"), d("90"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_held_buy_lent_the_minimum_and_unaffordable_at_its_bar_repays_the_whole_loan() {
        let mut venue = margin_venue_holding_with(
            |config| config.with_min_borrow(quote(), d("80")).unwrap(),
            MarginEffect::Borrow,
        );
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));

        // 375 at an open of 250 is more than the venue lends.
        let events = feed_bar(&mut venue, 2, ohlc("250", "251", "249", "250"));

        assert_eq!(
            balance_of(sans_debt(&events)[0]).balance,
            Balance::new_margin(d("100"), d("100"), Decimal::ZERO, Decimal::ZERO),
            "the cancel repays all 80 the order borrowed"
        );
        assert!(matches!(
            order_of(sans_debt(&events)[1]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(_))
        ));
    }

    #[test]
    fn a_held_limit_buy_lent_the_minimum_carries_it_to_the_remainder_it_rests() {
        let config = with_min_borrow(
            MockExecutionConfig {
                stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
                ..margin_config("0", "100", "2")
            },
            quote(),
            "80",
        );
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments());
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        advance(&mut venue, time(12));
        // 1.5 at the stale 100 lacks 50 of the 150, so the minimum 80 is lent: 30 of it free.
        let outcome = venue.open_order(gtc_limit("waiting", Side::Buy, "1.5", "100"));
        assert_eq!(
            balance_of(&outcome.events[0]).balance,
            Balance::new_margin(d("180"), d("30"), d("80"), Decimal::ZERO)
        );

        // 0.5 at 80 and 1 held at 100 need 140: 10 of the held loan is repaid.
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("79", "80"))
                .with_depth(MarketDepth::new(Some(d("1")), Some(d("0.5")))),
            time(20),
        );
        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("130"), d("30"), d("70"), Decimal::ZERO)
        );

        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: gtc_limit("waiting", Side::Buy, "1.5", "100").key,
            state: RequestCancel { id: None },
        });
        assert!(cancelled.response.state.is_ok());
        assert_eq!(
            venue.balances(&[quote()])[0].balance,
            Balance::new_margin(d("60"), d("60"), Decimal::ZERO, Decimal::ZERO),
            "cancelling the remainder repays the 40 it held and the 30 lent beyond the shortfall"
        );
    }

    #[test]
    fn a_held_limit_that_rests_untraded_at_its_release_keeps_its_interest_until_its_end() {
        let config = MockExecutionConfig {
            stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
            ..margin_config("0", "100", "2")
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments())
            .with_margin_interest(Arc::new(hourly_interest(quote())));
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        advance(&mut venue, time(12));
        // 1.5 at the stale 100 lacks 50 of the 150, which is lent and charged 0.005.
        let outcome = venue.open_order(gtc_limit("waiting", Side::Buy, "1.5", "100"));
        assert_eq!(sans_debt(&outcome.events).len(), 1, "{:?}", outcome.events);

        // A fresh market it does not cross: it joins the book whole, having traded nothing.
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("101", "102")),
            time(20),
        );
        assert!(
            !events
                .iter()
                .any(|event| matches!(event.kind, AccountEventKind::CashFlow(_))),
            "still no position for the charge: {events:?}"
        );

        advance(&mut venue, time(30));
        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: gtc_limit("waiting", Side::Buy, "1.5", "100").key,
            state: RequestCancel { id: None },
        });
        assert_eq!(
            *cash_flow_of(sans_debt(&cancelled.events)[1]),
            interest_flow(
                quote(),
                "50",
                "0.005",
                time(30),
                InterestTiming::OnBorrow,
                "0"
            ),
            "carried to the book, and reported at the order's end"
        );
    }

    #[test]
    fn a_held_limit_that_trades_in_part_at_its_release_reports_its_interest_once_after_the_trade() {
        let config = MockExecutionConfig {
            stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
            ..margin_config("0", "100", "2")
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments())
            .with_margin_interest(Arc::new(hourly_interest(quote())));
        advance(&mut venue, time(1));
        assert!(observe(&mut venue, 1, traded("100")).is_empty());
        advance(&mut venue, time(12));
        // 1.5 at the stale 100 lacks 50 of the 150, which is lent and charged 0.005.
        let outcome = venue.open_order(gtc_limit("partial", Side::Buy, "1.5", "100"));
        assert_eq!(sans_debt(&outcome.events).len(), 1, "{:?}", outcome.events);

        // A fresh market offering 0.5 under the limit: 0.5 trades and the other 1 joins the book.
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("98", "99")).with_depth(sized("0.5")),
            time(20),
        );
        let events = sans_debt(&events);
        let traded_at = events
            .iter()
            .position(|event| matches!(event.kind, AccountEventKind::Trade(_)))
            .unwrap_or_else(|| panic!("a trade: {events:?}"));
        assert_eq!(trade_of(events[traded_at]).quantity, d("0.5"));
        assert_eq!(
            *cash_flow_of(events[traded_at + 1]),
            interest_flow(
                quote(),
                "50",
                "0.005",
                time(20),
                InterestTiming::OnBorrow,
                "0"
            ),
            "the hold's charge after the trade, stamped at it: {events:?}"
        );
        assert_eq!(
            events
                .iter()
                .filter(|event| matches!(event.kind, AccountEventKind::CashFlow(_)))
                .count(),
            1,
            "reported once: {events:?}"
        );

        advance(&mut venue, time(30));
        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: gtc_limit("partial", Side::Buy, "1.5", "100").key,
            state: RequestCancel { id: None },
        });
        assert!(
            !cancelled
                .events
                .iter()
                .any(|event| matches!(event.kind, AccountEventKind::CashFlow(_))),
            "the remainder carries no charge already reported: {:?}",
            cancelled.events
        );
    }

    #[test]
    fn a_held_immediate_order_an_idle_bar_cancels_reports_its_interest_with_its_cancel() {
        let config = MockExecutionConfig {
            market_order_timing: MarketOrderTiming::NextBar(NextBarPrice::Open),
            stale_market: StaleMarketPolicy::Wait { max_age: MAX_AGE },
            ..margin_config("0", "100", "2")
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, spot_instruments())
            .with_margin_interest(Arc::new(hourly_interest(quote())));
        advance(&mut venue, time(1));
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        // 150 at the close of 100: 50 borrowed, charged 0.005, held for the next bar.
        let outcome = venue.open_order(market_order(
            "immediate",
            Side::Buy,
            "1.5",
            TimeInForce::ImmediateOrCancel,
        ));
        assert_eq!(sans_debt(&outcome.events).len(), 1, "{:?}", outcome.events);

        let bar = ohlc("100", "100", "100", "100");
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(MarketSnapshot::from_last_price(Some(bar.close)))
                .with_bar(Some(bar))
                .with_fresh(false),
            time(2),
        );
        let events = sans_debt(&events);

        assert_eq!(events.len(), 3, "{events:?}");
        assert_eq!(
            *cash_flow_of(events[1]),
            interest_flow(
                quote(),
                "50",
                "0.005",
                time(2),
                InterestTiming::OnBorrow,
                "0"
            ),
            "the order never traded, so its cancel reports the charge, stamped then"
        );
        assert!(matches!(
            order_of(events[2]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(_))
        ));
    }

    /// A margin venue also holding `eth`, which no instrument values, owing `eth_owed` of it.
    fn margin_venue_with_eth(eth: &str, eth_owed: &str) -> SimulatedVenue {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("2"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(
                vec![
                    funded(base(), Decimal::ZERO),
                    funded(quote(), d("10000")),
                    AssetBalance::new(
                        AssetNameExchange::new("ETH"),
                        Balance::new_margin(d(eth), d(eth), d(eth_owed), Decimal::ZERO),
                        Utc::now(),
                    ),
                ],
                FeeModelConfig::default(),
            )
        };
        SimulatedVenue::new(&config, spot_instruments())
    }

    #[test]
    fn an_asset_the_venue_cannot_value_counts_as_no_equity() {
        // 5 ETH the venue cannot value adds nothing: 10,000 USDT at leverage 2 lends 0.2 BTC.
        let mut venue = margin_venue_with_eth("5", "0");

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.2"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_debt_the_venue_cannot_value_stops_it_lending() {
        let mut venue = margin_venue_with_eth("5", "1");

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn interest_owed_counts_as_debt_against_what_the_venue_lends() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("2"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(
                vec![
                    AssetBalance::new(
                        base(),
                        Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.05"), d("0.01")),
                        Utc::now(),
                    ),
                    funded(quote(), d("20000")),
                ],
                FeeModelConfig::default(),
            )
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        // 0.06 BTC owed is 3,000: equity 17,000 at leverage 2 lends 17,000, less the 3,000
        // already owed, leaving 14,000: 0.28 BTC.
        let outcome = venue.open_order(sell_request("1", market_prices("50000")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.28"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn an_asset_a_margin_account_first_receives_reports_its_loan() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(
                vec![funded(quote(), d("100000"))],
                FeeModelConfig::default(),
            )
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(buy_request("1", market_prices("50000")));

        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new_margin(d("1"), d("1"), Decimal::ZERO, Decimal::ZERO)
        );
    }

    #[test]
    fn an_asset_priced_at_zero_is_not_lent() {
        let mut venue = margin_venue("0", "10000", "2");

        let outcome = venue.open_order(sell_request("0.1", market_prices("0")));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_pair_quoting_the_asset_in_another_does_not_value_it() {
        // AAVEBTC prices BTC in AAVE, not in the valuation asset, though it sorts first by name.
        let mut instruments = spot_instruments();
        let aave_btc = Instrument {
            exchange: EXCHANGE,
            name_internal: InstrumentNameInternal::new("aavebtc"),
            name_exchange: InstrumentNameExchange::new("AAVEBTC"),
            underlying: Underlying {
                base: AssetNameExchange::new("AAVE"),
                quote: base(),
            },
            quote: InstrumentQuoteAsset::UnderlyingQuote,
            kind: InstrumentKind::Spot,
            spec: None,
            data_venue: None,
        };
        instruments.insert(aave_btc.name_exchange.clone(), aave_btc);
        let mut venue =
            SimulatedVenue::new_market_driven(&margin_config("0", "10000", "2"), instruments);
        advance(&mut venue, time(1));
        for (name, snapshot) in [
            (instrument_name(), book("50000", "50000")),
            (InstrumentNameExchange::new("AAVEBTC"), book("0.05", "0.05")),
        ] {
            assert!(
                venue
                    .apply_market(&name, MarketObservation::new(snapshot), time(1))
                    .is_empty()
            );
        }

        // Valued at 50,000 through BTCUSDT: equity 10,000 at leverage 2 lends 0.2 BTC.
        let outcome = venue.open_order(market_order(
            "sell",
            Side::Sell,
            "0.3",
            TimeInForce::ImmediateOrCancel,
        ));
        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.2"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    // ---------------------------------------------------------------------------------------
    // Spot margin: an asset's borrow cap.
    // ---------------------------------------------------------------------------------------

    /// `config`, its spot margin letting the account owe no more than `max_borrow` of `asset`.
    fn with_max_borrow(
        mut config: MockExecutionConfig,
        asset: AssetNameExchange,
        max_borrow: &str,
    ) -> MockExecutionConfig {
        config.spot_margin = config
            .spot_margin
            .map(|margin| margin.with_max_borrow(asset, d(max_borrow)).unwrap());
        config
    }

    /// A venue holding 10,000 USDT and no BTC, at leverage 3: the leverage limit lends up to 0.4
    /// BTC at 50,000, and `cap` caps BTC below that.
    fn capped_venue(cap: &str) -> SimulatedVenue {
        let config = with_max_borrow(margin_config("0", "10000", "3"), base(), cap);
        SimulatedVenue::new(&config, spot_instruments())
    }

    #[test]
    fn a_borrow_of_exactly_what_the_cap_leaves_is_lent() {
        let mut venue = capped_venue("0.3");

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.3"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_borrow_past_a_cap_tighter_than_the_leverage_limit_is_rejected_as_over_the_limit() {
        let mut venue = capped_venue("0.3");

        let outcome = venue.open_order(sell_request("0.31", market_prices("50000")));

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::BorrowLimitExceeded);
        assert_eq!(reject.venue_code, None);
        assert_eq!(
            reject.available,
            Some(d("0.3")),
            "a smaller sell could still borrow what the cap leaves"
        );
        assert!(
            reject
                .message
                .starts_with("BTC borrow exceeds Max Borrow: 0.3;")
                && reject.message.ends_with("Borrowable: 0.3"),
            "the reason names the cap and what it leaves: {}",
            reject.message
        );
        assert_eq!(
            balance_now(&venue, base()),
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, Decimal::ZERO, Decimal::ZERO),
            "a refused order borrows nothing"
        );
    }

    #[test]
    fn a_leverage_limit_tighter_than_the_cap_rejects_as_unaffordable_naming_no_cap() {
        let mut venue = capped_venue("1");

        let outcome = venue.open_order(sell_request("0.5", market_prices("50000")));

        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.4")
                && !insufficient_reason(&outcome).contains("Max Borrow"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_cap_leaving_exactly_what_the_leverage_limit_does_leaves_the_leverage_limit_deciding() {
        let mut venue = capped_venue("0.4");

        let outcome = venue.open_order(sell_request("0.5", market_prices("50000")));

        assert!(
            insufficient_reason(&outcome).contains("Borrowable: 0.4")
                && !insufficient_reason(&outcome).contains("Max Borrow"),
            "{}",
            insufficient_reason(&outcome)
        );
    }

    #[test]
    fn a_cap_on_another_asset_does_not_limit_this_one() {
        let config = with_max_borrow(margin_config("0", "10000", "3"), quote(), "0");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.3"), Decimal::ZERO)
        );
    }

    #[test]
    fn a_cap_of_zero_lends_none_of_the_asset() {
        let mut venue = capped_venue("0");

        let outcome = venue.open_order(sell_request("0.01", market_prices("50000")));

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::BorrowLimitExceeded);
        assert_eq!(reject.available, Some(Decimal::ZERO));
    }

    #[test]
    fn the_cap_counts_what_is_already_owed_interest_included() {
        let config = with_max_borrow(margin_config("0", "10000", "3"), base(), "0.3");
        let mut venue = SimulatedVenue::new(&config, spot_instruments())
            .with_margin_interest(Arc::new(hourly_interest(base())));
        advance(&mut venue, time(1));
        // Owes 0.2 lent plus 0.00002 interest charged on it, leaving 0.09998 under the cap.
        venue.open_order(sell_request("0.2", market_prices("50000")));

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));
        assert_eq!(borrow_rejection(&outcome).available, Some(d("0.09998")));

        let outcome = venue.open_order(sell_request("0.09998", market_prices("50000")));
        assert_eq!(
            filled_balance(&outcome).balance.margin,
            Some(MarginDetails::new(d("0.29998"), d("0.00003"))),
            "0.00002 on the first loan, and 0.000009998 on the second, rounded up to 0.00001"
        );
    }

    #[test]
    fn the_interest_a_new_loan_is_charged_when_made_is_not_counted_against_the_cap() {
        let config = with_max_borrow(margin_config("0", "10000", "3"), base(), "0.3");
        let mut venue = SimulatedVenue::new(&config, spot_instruments())
            .with_margin_interest(Arc::new(hourly_interest(base())));
        advance(&mut venue, time(1));

        let outcome = venue.open_order(sell_request("0.3", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance.margin,
            Some(MarginDetails::new(d("0.3"), d("0.00003"))),
            "lent the whole 0.3 the cap leaves, its first charge taking the debt past the cap"
        );

        let outcome = venue.open_order(sell_request("0.01", market_prices("50000")));
        let reject = borrow_rejection(&outcome);
        assert_eq!(
            reject.available,
            Some(Decimal::ZERO),
            "a debt past the cap leaves nothing to lend"
        );
        assert!(
            reject.message.ends_with("Borrowable: 0"),
            "{}",
            reject.message
        );
    }

    #[test]
    fn a_minimum_borrow_past_what_the_cap_leaves_is_refused_with_nothing_available() {
        let config = with_min_borrow(
            with_max_borrow(margin_config("0", "10000", "3"), base(), "0.3"),
            base(),
            "0.5",
        );
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        // The 0.1 shortfall fits under the cap, but the loan is raised to the 0.5 minimum.
        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));
        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::BorrowLimitExceeded);
        assert_eq!(
            reject.available,
            Some(Decimal::ZERO),
            "no loan can both reach the minimum and stay under the cap"
        );
        assert!(
            reject
                .message
                .ends_with("Borrowable: 0.3, Minimum Borrow: 0.5"),
            "{}",
            reject.message
        );

        // A 0.35 shortfall is past the cap by itself, so the minimum is not named, but still
        // leaves nothing a smaller sell could borrow.
        let outcome = venue.open_order(sell_request("0.35", market_prices("50000")));
        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.available, Some(Decimal::ZERO));
        assert!(
            !reject.message.contains("Minimum Borrow"),
            "{}",
            reject.message
        );
    }

    #[test]
    fn a_minimum_borrow_within_what_the_cap_leaves_keeps_what_it_leaves_available() {
        let config = with_min_borrow(
            with_max_borrow(margin_config("0", "10000", "3"), base(), "0.3"),
            base(),
            "0.3",
        );
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(sell_request("0.35", market_prices("50000")));

        assert_eq!(borrow_rejection(&outcome).available, Some(d("0.3")));
    }

    #[test]
    fn a_buy_past_the_cap_on_its_quote_is_rejected_with_no_available_in_base() {
        // 1 BTC at 50,000 at leverage 3 lends up to 100,000 USDT; the cap allows 5,000.
        let config = with_max_borrow(margin_config("1", "0", "3"), quote(), "5000");
        let mut venue = SimulatedVenue::new(&config, spot_instruments());

        let outcome = venue.open_order(buy_request("0.2", market_prices("50000")));

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::BorrowLimitExceeded);
        assert_eq!(
            reject.available, None,
            "the loan is in USDT, and the order is sized in BTC"
        );
        assert!(
            reject
                .message
                .starts_with("USDT borrow exceeds Max Borrow: 5000;"),
            "{}",
            reject.message
        );
    }

    #[test]
    fn a_resting_sell_past_the_cap_is_rejected_as_over_the_limit() {
        let config = with_max_borrow(margin_config("0", "100000", "3"), base(), "0.3");
        let mut venue = market_venue_for(&config);

        let outcome = venue.open_order(limit_request("rest", Side::Sell, "0.4", "50000", gtc()));

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::BorrowLimitExceeded);
        assert_eq!(reject.available, Some(d("0.3")));
    }

    #[test]
    fn a_held_sell_past_the_cap_is_rejected_on_arrival_as_over_the_limit() {
        // 100 USDT at leverage 2 lends up to 1 BTC at the close of 100; the cap allows 0.5.
        let mut venue = margin_venue_holding_with(
            |config| config.with_max_borrow(base(), d("0.5")).unwrap(),
            MarginEffect::Borrow,
        );

        let outcome = venue.open_order(market_order("held", Side::Sell, "0.6", gtc()));

        let reject = borrow_rejection(&outcome);
        assert_eq!(reject.reason, BorrowRejectReason::BorrowLimitExceeded);
        assert_eq!(reject.available, Some(d("0.5")));
    }

    #[test]
    fn a_held_sell_lent_the_whole_cap_fills_at_its_bar_though_interest_took_the_debt_past_it() {
        let mut venue = margin_venue_holding_with(
            |config| config.with_max_borrow(base(), d("0.5")).unwrap(),
            MarginEffect::Borrow,
        )
        .with_margin_interest(Arc::new(hourly_interest(base())));
        let outcome = venue.open_order(market_order("held", Side::Sell, "0.5", gtc()));
        assert_eq!(
            balance_of(sans_debt(&outcome.events)[0]).balance.margin,
            Some(MarginDetails::new(d("0.5"), d("0.00005"))),
            "the loan's first charge takes what is owed past the 0.5 cap"
        );

        // The loan is already held against the order, so its fill borrows nothing more.
        let events = feed_bar(&mut venue, 2, ohlc("98", "99", "97", "98"));

        let trade = events
            .iter()
            .find_map(|event| match &event.kind {
                AccountEventKind::Trade(trade) => Some(trade),
                _ => None,
            })
            .expect("the held sell fills at its bar");
        assert_eq!(trade.quantity, d("0.5"));
    }

    #[test]
    fn a_held_buy_whose_bar_needs_a_loan_past_the_cap_is_cancelled() {
        // 150 at the close of 100 borrows 50 USDT, all the cap allows.
        let mut venue = margin_venue_holding_with(
            |config| config.with_max_borrow(quote(), d("50")).unwrap(),
            MarginEffect::Borrow,
        );
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));

        // 180 at an open of 120 would borrow 30 more, which the leverage limit allows and the cap
        // does not.
        let events = feed_bar(&mut venue, 2, ohlc("120", "121", "119", "120"));

        assert_eq!(
            balance_of(sans_debt(&events)[0]).balance,
            Balance::new_margin(d("100"), d("100"), Decimal::ZERO, Decimal::ZERO),
            "the cancel repays the 50 the order borrowed when it was accepted"
        );
        assert!(matches!(
            order_of(sans_debt(&events)[1]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(_))
        ));
    }

    // ---------------------------------------------------------------------------------------
    // Margin interest: charged when a loan is taken, then at each boundary while it is open.
    // ---------------------------------------------------------------------------------------

    /// 87.6% a year on the Act365 basis is exactly 0.01% an hour.
    const HOURLY_BASIS_POINT: &str = "0.876";

    /// Hourly interest on loans of `asset` at [`HOURLY_BASIS_POINT`].
    fn hourly_interest(asset: AssetNameExchange) -> PeriodicMarginInterest {
        PeriodicMarginInterest::new(TimeDelta::hours(1), DayCount::Act365)
            .with_rates(asset, RateSeries::constant(d(HOURLY_BASIS_POINT)))
    }

    /// The cash flow reporting `interest` charged on `principal` of `asset` at `time`.
    fn interest_flow(
        asset: AssetNameExchange,
        principal: &str,
        interest: &str,
        time: DateTime<Utc>,
        timing: InterestTiming,
        id: &str,
    ) -> CashFlow<AssetNameExchange, InstrumentNameExchange> {
        CashFlow::new(
            CashFlowKind::MarginInterest {
                rate: Some(d(HOURLY_BASIS_POINT)),
                principal: Some(d(principal)),
                timing: Some(timing),
            },
            asset,
            -d(interest),
            None,
            time,
            Some(CashFlowId::new(id)),
        )
    }

    fn cash_flow_of(
        event: &UnindexedAccountEvent,
    ) -> &CashFlow<AssetNameExchange, InstrumentNameExchange> {
        match &event.kind {
            AccountEventKind::CashFlow(flow) => flow,
            other => panic!("expected a cash flow, got: {other:?}"),
        }
    }

    /// A request-priced margin venue holding 0.25 BTC, charged hourly on BTC loans, which has
    /// just sold 1 BTC at 50,000, borrowing 0.75, at `time(1)`.
    fn margin_venue_short_btc() -> SimulatedVenue {
        let mut venue = margin_venue("0.25", "100000", "3")
            .with_margin_interest(Arc::new(hourly_interest(base())));
        advance(&mut venue, time(1));
        venue.open_order(sell_request("1", market_prices("50000")));
        venue
    }

    #[test]
    fn a_sell_that_borrows_is_charged_a_period_of_interest_reported_after_its_trade() {
        let mut venue = margin_venue("0.25", "100000", "3")
            .with_margin_interest(Arc::new(hourly_interest(base())));
        advance(&mut venue, time(1));

        let outcome = venue.open_order(sell_request("1", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.75"), d("0.000075")),
            "the interest is added to the loan, leaving total and free as they were"
        );
        assert_eq!(trade_of(sans_debt(&outcome.events)[2]).quantity, d("1"));
        assert_eq!(
            *cash_flow_of(sans_debt(&outcome.events)[3]),
            interest_flow(
                base(),
                "0.75",
                "0.000075",
                time(1),
                InterestTiming::OnBorrow,
                "0"
            ),
            "charged on the amount lent, stamped at the borrow, after the trade that opened the \
             short, so the position it belongs to exists when it is read"
        );
    }

    #[test]
    fn a_loan_is_charged_on_its_principal_at_each_boundary_and_never_on_its_interest() {
        let mut venue = margin_venue_short_btc();
        assert_eq!(venue.next_deadline(), Some(boundary(0)));

        let events = venue.advance_time(boundary(1) + TimeDelta::seconds(1));
        let charged = charges(&events);

        assert_eq!(charged.len(), 2);
        assert_eq!(
            charged[0].0.balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.75"), d("0.00015"))
        );
        assert_eq!(charged[0].0.time_exchange, boundary(0));
        assert_eq!(
            *charged[0].1,
            interest_flow(
                base(),
                "0.75",
                "0.000075",
                boundary(0),
                InterestTiming::Periodic,
                "1"
            )
        );
        assert_eq!(
            charged[1].0.balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.75"), d("0.000225"))
        );
        assert_eq!(
            *charged[1].1,
            interest_flow(
                base(),
                "0.75",
                "0.000075",
                boundary(1),
                InterestTiming::Periodic,
                "2"
            )
        );
        assert_eq!(venue.next_deadline(), Some(boundary(2)));
    }

    /// Each margin debt update among `events`, checked to follow the restatement of its asset and
    /// to state that restatement's debt at its time, as `(asset, kind, debt)`.
    fn debt_updates(
        events: &[UnindexedAccountEvent],
    ) -> Vec<(AssetNameExchange, MarginDebtKind, MarginDetails)> {
        events
            .iter()
            .enumerate()
            .filter_map(|(at, event)| {
                let AccountEventKind::MarginDebt(update) = &event.kind else {
                    return None;
                };
                let restated = at
                    .checked_sub(1)
                    .map(|before| balance_of(&events[before]))
                    .expect("a debt update follows a restatement");
                assert_eq!(update.asset, restated.asset);
                assert_eq!(Some(update.debt), restated.balance.margin);
                assert_eq!(update.time_exchange, restated.time_exchange);
                assert_eq!(update.instrument, None);
                assert_eq!(update.venue_kind, update.kind.to_smolstr());
                Some((update.asset.clone(), update.kind, update.debt))
            })
            .collect()
    }

    /// A spot-margin venue states the debt after each change, following the restatement that
    /// moved it: a sell that borrows, the interest charged at a boundary, and the buy that repays.
    #[test]
    fn a_margin_venue_reports_each_debt_change_after_its_restatement() {
        let mut venue = margin_venue("0.25", "100000", "3")
            .with_margin_interest(Arc::new(hourly_interest(base())));
        advance(&mut venue, time(1));

        let sold = venue.open_order(sell_request("1", market_prices("50000")));
        assert_eq!(
            debt_updates(&sold.events),
            [(
                base(),
                MarginDebtKind::Borrow,
                MarginDetails::new(d("0.75"), d("0.000075"))
            )]
        );

        let charged = venue.advance_time(boundary(0));
        assert_eq!(
            debt_updates(&charged),
            [(
                base(),
                MarginDebtKind::Interest,
                MarginDetails::new(d("0.75"), d("0.00015"))
            )]
        );

        let repaid = venue.open_order(with_effect(
            buy_request("1", market_prices("50000")),
            MarginEffect::Repay,
        ));
        assert_eq!(
            debt_updates(&repaid.events),
            [(base(), MarginDebtKind::Repay, MarginDetails::default())]
        );

        // Nothing moved the loan since: a restatement with the same debt reports none.
        let traded = venue.open_order(sell_request("0.1", market_prices("50000")));
        assert!(debt_updates(&traded.events).is_empty(), "{traded:?}");
    }

    /// A repay is told apart from an interest charge by either part of the debt falling: interest
    /// alone, with the principal left as it was, or principal alone, with no interest owed.
    #[test]
    fn a_repay_of_either_part_of_the_debt_reports_a_repay() {
        // 0.00005 BTC repays part of the 0.000075 interest, and none of the 0.75 principal.
        let mut venue = margin_venue_short_btc();
        let repaid = venue.open_order(with_effect(
            buy_request("0.00005", market_prices("50000")),
            MarginEffect::Repay,
        ));
        assert_eq!(
            debt_updates(&repaid.events),
            [(
                base(),
                MarginDebtKind::Repay,
                MarginDetails::new(d("0.75"), d("0.000025"))
            )]
        );

        // With no interest model, the loan owes no interest, so a repay lowers the principal alone.
        let mut venue = margin_venue("0.25", "100000", "3");
        advance(&mut venue, time(1));
        venue.open_order(sell_request("1", market_prices("50000")));
        let repaid = venue.open_order(with_effect(
            buy_request("0.5", market_prices("50000")),
            MarginEffect::Repay,
        ));
        assert_eq!(
            debt_updates(&repaid.events),
            [(
                base(),
                MarginDebtKind::Repay,
                MarginDetails::new(d("0.25"), Decimal::ZERO)
            )]
        );
    }

    /// A seeded loan is the debt the venue starts from, so it is not reported as a change, and a
    /// venue that is not a margin one reports no debt at all.
    #[test]
    fn only_a_change_on_a_margin_venue_reports_debt() {
        let config = config_owing_base(MarginEffect::Borrow);
        let mut venue = market_venue_for(&config);
        let bought = venue.open_order(market_order("buy", Side::Buy, "0.1", gtc()));
        assert!(debt_updates(&bought.events).is_empty(), "{bought:?}");

        let mut venue = make_venue("10", "1000000");
        let sold = venue.open_order(sell_request("1", market_prices("50000")));
        assert!(
            !sold
                .events
                .iter()
                .any(|event| matches!(event.kind, AccountEventKind::MarginDebt(_))),
            "{sold:?}"
        );
    }

    #[test]
    fn a_loan_repaid_before_a_boundary_is_not_charged_there() {
        let mut venue = margin_venue_short_btc();

        // 0.76 BTC repays the 0.000075 interest, then the 0.75 principal, leaving 0.009925 free.
        let outcome = venue.open_order(with_effect(
            buy_request("0.76", market_prices("50000")),
            MarginEffect::Repay,
        ));
        assert_eq!(
            filled_received(&outcome).balance,
            Balance::new_margin(d("0.009925"), d("0.009925"), Decimal::ZERO, Decimal::ZERO)
        );

        assert_eq!(venue.next_deadline(), None);
        assert!(venue.advance_time(boundary(1)).is_empty());
    }

    #[test]
    fn a_boundary_charges_the_principal_left_after_a_partial_repay() {
        let mut venue = margin_venue_short_btc();

        // 0.5 BTC repays the 0.000075 interest, then 0.499925 of the 0.75 principal.
        venue.open_order(with_effect(
            buy_request("0.5", market_prices("50000")),
            MarginEffect::Repay,
        ));

        let events = venue.advance_time(boundary(0));
        assert_eq!(
            *charges(&events)[0].1,
            interest_flow(
                base(),
                "0.250075",
                "0.00002501",
                boundary(0),
                InterestTiming::Periodic,
                "1"
            ),
            "0.250075 at 0.01% is 0.0000250075, rounded up to the satoshi"
        );
    }

    #[test]
    fn a_loan_taken_at_a_boundary_s_instant_is_charged_there_only_at_borrow() {
        let mut venue = margin_venue("0.25", "100000", "3")
            .with_margin_interest(Arc::new(hourly_interest(base())));
        advance(&mut venue, time(1));
        advance(&mut venue, boundary(0));

        let outcome = venue.open_order(sell_request("1", market_prices("50000")));
        assert_eq!(
            *cash_flow_of(sans_debt(&outcome.events)[3]),
            interest_flow(
                base(),
                "0.75",
                "0.000075",
                boundary(0),
                InterestTiming::OnBorrow,
                "0"
            )
        );

        assert!(
            venue
                .advance_time(boundary(0) + TimeDelta::seconds(1))
                .is_empty()
        );
        assert_eq!(venue.next_deadline(), Some(boundary(1)));
    }

    #[test]
    fn a_resting_sell_is_charged_when_placed_reported_at_its_cancel_which_repays_interest_first() {
        let mut venue = margin_market_venue("0", "100000")
            .with_margin_interest(Arc::new(hourly_interest(base())));

        let outcome = venue.open_order(limit_request("rest", Side::Sell, "1", "50000", gtc()));
        assert_eq!(
            sans_debt(&outcome.events).len(),
            1,
            "the hold's balance alone: nothing traded, so the interest has no position to belong \
             to yet: {:?}",
            outcome.events
        );
        assert_eq!(
            balance_of(sans_debt(&outcome.events)[0]).balance,
            Balance::new_margin(d("1"), Decimal::ZERO, d("1"), d("0.0001")),
            "the balance already carries the charge"
        );

        advance(&mut venue, time(5));
        let cancelled = venue.cancel_order(OrderRequestCancel {
            key: limit_request("rest", Side::Sell, "1", "50000", gtc()).key,
            state: RequestCancel { id: None },
        });
        assert_eq!(
            balance_of(sans_debt(&cancelled.events)[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("0.0001"), Decimal::ZERO),
            "the released base repays the interest first, so as much principal stays owed"
        );
        assert_eq!(
            *cash_flow_of(sans_debt(&cancelled.events)[1]),
            interest_flow(
                base(),
                "1",
                "0.0001",
                time(5),
                InterestTiming::OnBorrow,
                "0"
            ),
            "reported with the cancel, the order's end, stamped then"
        );
        assert_eq!(sans_debt(&cancelled.events).len(), 2);
        assert_eq!(venue.next_deadline(), Some(boundary(0)));
    }

    #[test]
    fn a_held_buy_reports_the_interest_of_its_hold_and_of_its_bar_after_its_fill() {
        let mut venue =
            margin_venue_holding().with_margin_interest(Arc::new(hourly_interest(quote())));

        // 150 at the close of 100: 50 borrowed, charged 0.005.
        let outcome = venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));
        assert_eq!(
            sans_debt(&outcome.events).len(),
            1,
            "the hold's balance alone: the interest waits for the fill: {:?}",
            outcome.events
        );
        assert_eq!(
            balance_of(sans_debt(&outcome.events)[0]).balance,
            Balance::new_margin(d("150"), Decimal::ZERO, d("50"), d("0.005"))
        );

        // 180 at an open of 120: 30 more borrowed, charged 0.003.
        let events = feed_bar(&mut venue, 2, ohlc("120", "121", "119", "120"));
        let events = sans_debt(&events);
        assert_eq!(
            balance_of(events[0]).balance,
            Balance::new_margin(Decimal::ZERO, Decimal::ZERO, d("80"), d("0.008"))
        );
        assert_eq!(trade_of(events[2]).price, d("120"));
        assert_eq!(
            *cash_flow_of(events[3]),
            interest_flow(
                quote(),
                "50",
                "0.005",
                time(2),
                InterestTiming::OnBorrow,
                "0"
            ),
            "the hold's charge after the fill, stamped at the fill, so a position entered then \
             takes it"
        );
        assert_eq!(
            cash_flow_of(events[4]).amount,
            d("-0.003"),
            "then what the bar borrowed"
        );
        assert_eq!(cash_flow_of(events[4]).time_exchange, time(2));
        assert_eq!(events.len(), 6, "and the filled order last: {events:?}");
    }

    #[test]
    fn a_resting_sell_that_borrowed_reports_its_interest_after_its_fill() {
        let mut venue = margin_market_venue("0", "100000")
            .with_margin_interest(Arc::new(hourly_interest(base())));
        venue.open_order(limit_request("rest", Side::Sell, "1", "50000", gtc()));

        advance(&mut venue, time(7));
        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("50100", "50200")),
            time(7),
        );
        let events = sans_debt(&events);

        assert_eq!(trade_of(events[2]).quantity, d("1"));
        assert_eq!(
            *cash_flow_of(events[3]),
            interest_flow(
                base(),
                "1",
                "0.0001",
                time(7),
                InterestTiming::OnBorrow,
                "0"
            ),
            "after the fill that opened the short, stamped at it"
        );
        assert_eq!(events.len(), 5, "and the filled order last: {events:?}");
    }

    #[test]
    fn a_held_buy_unaffordable_at_its_bar_reports_its_interest_with_its_cancel() {
        let mut venue =
            margin_venue_holding().with_margin_interest(Arc::new(hourly_interest(quote())));
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));

        // 375 at an open of 250 is more than the venue lends.
        let events = feed_bar(&mut venue, 2, ohlc("250", "251", "249", "250"));
        let events = sans_debt(&events);

        assert_eq!(
            *cash_flow_of(events[1]),
            interest_flow(
                quote(),
                "50",
                "0.005",
                time(2),
                InterestTiming::OnBorrow,
                "0"
            ),
            "the order never traded, so its end reports the charge, stamped then"
        );
        assert!(matches!(
            order_of(events[2]).state,
            OrderState::Inactive(InactiveOrderState::Cancelled(_))
        ));
    }

    #[test]
    fn a_held_sell_that_expires_reports_its_interest_before_its_end() {
        let mut venue = margin_venue_holding_with(|config| config, MarginEffect::Borrow)
            .with_margin_interest(Arc::new(hourly_interest(base())));
        venue.open_order(market_order("held", Side::Sell, "1", gtc()));

        let events = venue.expire_held(time(2));
        let events = sans_debt(&events);

        assert_eq!(
            *cash_flow_of(events[1]),
            interest_flow(
                base(),
                "1",
                "0.0001",
                time(2),
                InterestTiming::OnBorrow,
                "0"
            )
        );
        assert!(matches!(
            order_of(events[2]).state,
            OrderState::Inactive(InactiveOrderState::Expired(_))
        ));
    }

    #[test]
    fn a_held_buy_whose_bar_repays_its_whole_loan_owes_no_more_boundaries() {
        // A zero rate charges nothing at the borrow, so the loan is exactly what was lent.
        let free_loans = PeriodicMarginInterest::new(TimeDelta::hours(1), DayCount::Act365)
            .with_rates(quote(), RateSeries::constant(Decimal::ZERO));
        let mut venue = margin_venue_holding().with_margin_interest(Arc::new(free_loans));

        // 150 at the close of 100: 50 borrowed.
        venue.open_order(market_order("held", Side::Buy, "1.5", gtc()));
        assert_eq!(venue.next_deadline(), Some(boundary(0)));

        // 90 at an open of 60: the 100 the account had pays for all of it, so all 50 is repaid.
        let events = feed_bar(&mut venue, 2, ohlc("60", "61", "59", "60"));
        assert_eq!(
            balance_of(&events[0]).balance,
            Balance::new_margin(d("10"), d("10"), Decimal::ZERO, Decimal::ZERO)
        );
        assert_eq!(venue.next_deadline(), None);
    }

    #[test]
    fn a_seeded_loan_is_charged_at_boundaries_from_the_clock_s_first_move_only() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(
                vec![
                    AssetBalance::new(
                        base(),
                        Balance::new_margin(d("0.5"), d("0.5"), d("0.5"), Decimal::ZERO),
                        Utc::now(),
                    ),
                    funded(quote(), d("100000")),
                ],
                FeeModelConfig::default(),
            )
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments())
            .with_margin_interest(Arc::new(hourly_interest(base())));
        assert_eq!(
            venue.next_deadline(),
            None,
            "charging starts when the clock moves"
        );

        advance(&mut venue, time(1));
        assert_eq!(venue.next_deadline(), Some(boundary(0)));

        let events = venue.advance_time(boundary(0));
        assert_eq!(
            *charges(&events)[0].1,
            interest_flow(
                base(),
                "0.5",
                "0.00005",
                boundary(0),
                InterestTiming::Periodic,
                "0"
            )
        );
    }

    #[test]
    fn at_borrow_only_charges_the_borrow_and_no_boundary() {
        let mut venue = margin_venue("0.25", "100000", "3").with_margin_interest(Arc::new(
            hourly_interest(base()).with_schedule(InterestSchedule::AtBorrowOnly),
        ));
        advance(&mut venue, time(1));

        let outcome = venue.open_order(sell_request("1", market_prices("50000")));

        assert_eq!(
            filled_balance(&outcome).balance.margin.unwrap().interest,
            d("0.000075")
        );
        assert_eq!(venue.next_deadline(), None);
        assert!(venue.advance_time(boundary(3)).is_empty());
    }

    #[test]
    #[should_panic(expected = "without MockExecutionConfig::spot_margin")]
    fn a_cash_venue_given_an_interest_model_panics() {
        let _ = make_venue("1", "100000").with_margin_interest(Arc::new(hourly_interest(base())));
    }

    /// A model that breaks its contract: `boundary` returns the instant it is asked from, and
    /// `charge` refunds a satoshi.
    #[derive(Debug)]
    struct Misbehaving;

    impl MarginInterestModel for Misbehaving {
        fn next_boundary(
            &self,
            _: &AssetNameExchange,
            after: DateTime<Utc>,
        ) -> Option<DateTime<Utc>> {
            Some(after)
        }

        fn charge(
            &self,
            _: &AssetNameExchange,
            _: Decimal,
            _: InterestDue,
        ) -> Option<InterestCharge> {
            Some(InterestCharge::new(d("-0.00000001"), None))
        }
    }

    /// A model charging a satoshi at every borrow, whatever was lent, and at no boundary.
    #[derive(Debug)]
    struct FlatAtBorrow;

    impl MarginInterestModel for FlatAtBorrow {
        fn next_boundary(&self, _: &AssetNameExchange, _: DateTime<Utc>) -> Option<DateTime<Utc>> {
            None
        }

        fn charge(
            &self,
            _: &AssetNameExchange,
            _: Decimal,
            due: InterestDue,
        ) -> Option<InterestCharge> {
            matches!(due, InterestDue::Borrow(_))
                .then(|| InterestCharge::new(d("0.00000001"), None))
        }
    }

    #[test]
    fn an_order_that_borrows_nothing_is_not_asked_about_interest() {
        let mut venue =
            margin_venue("0.25", "100000", "3").with_margin_interest(Arc::new(FlatAtBorrow));
        advance(&mut venue, time(1));

        let outcome = venue.open_order(sell_request("0.1", market_prices("50000")));

        assert_eq!(filled_trade(&outcome).quantity, d("0.1"));
        assert!(
            !outcome
                .events
                .iter()
                .any(|event| matches!(event.kind, AccountEventKind::CashFlow(_))),
            "0.1 of the 0.25 held lends nothing, so nothing is charged"
        );
    }

    #[test]
    #[should_panic(expected = "charged negative interest")]
    fn a_model_charging_negative_interest_panics() {
        let mut venue =
            margin_venue("0.25", "100000", "3").with_margin_interest(Arc::new(Misbehaving));
        advance(&mut venue, time(1));

        let _ = venue.open_order(sell_request("1", market_prices("50000")));
    }

    #[test]
    #[should_panic(expected = "which is not after")]
    fn a_model_whose_boundary_is_not_after_the_instant_asked_panics() {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::Borrow).unwrap(),
            ),
            ..config_from_balances(
                vec![
                    AssetBalance::new(
                        base(),
                        Balance::new_margin(d("0.5"), d("0.5"), d("0.5"), Decimal::ZERO),
                        Utc::now(),
                    ),
                    funded(quote(), d("100000")),
                ],
                FeeModelConfig::default(),
            )
        };
        let mut venue = SimulatedVenue::new(&config, spot_instruments())
            .with_margin_interest(Arc::new(Misbehaving));

        let _ = venue.advance_time(time(1));
    }

    // ---------------------------------------------------------------------------------------
    // Fees charged in a third asset (`FeeAssetConfig`).
    // ---------------------------------------------------------------------------------------

    fn bnb() -> AssetNameExchange {
        AssetNameExchange::new("BNB")
    }

    fn spot_instrument(
        name: &str,
        base: &str,
        quote: &str,
    ) -> Instrument<ExchangeId, AssetNameExchange> {
        Instrument {
            exchange: EXCHANGE,
            name_internal: InstrumentNameInternal::new(name.to_lowercase()),
            name_exchange: InstrumentNameExchange::new(name),
            underlying: Underlying {
                base: AssetNameExchange::new(base),
                quote: AssetNameExchange::new(quote),
            },
            quote: InstrumentQuoteAsset::UnderlyingQuote,
            kind: InstrumentKind::Spot,
            spec: None,
            data_venue: None,
        }
    }

    /// `BTCUSDT` as `spot_instruments` gives it, and `BNBUSDT`, which prices the fee asset.
    fn fee_asset_instruments()
    -> FnvHashMap<InstrumentNameExchange, Instrument<ExchangeId, AssetNameExchange>> {
        let mut instruments = spot_instruments();
        let bnb_usdt = spot_instrument("BNBUSDT", "BNB", "USDT");
        instruments.insert(bnb_usdt.name_exchange.clone(), bnb_usdt);
        instruments
    }

    /// 10 BTC, 100,000 USDT and `bnb` BNB, maker 2bp against taker 10bp, and fees in BNB at a
    /// quarter off.
    fn fee_asset_config(bnb: &str) -> MockExecutionConfig {
        MockExecutionConfig {
            fee_asset: Some(FeeAssetConfig::new(self::bnb(), d("0.25")).unwrap()),
            ..config_from_balances(
                vec![
                    funded(base(), d("10")),
                    funded(quote(), d("100000")),
                    funded(self::bnb(), d(bnb)),
                ],
                maker_taker_fee(),
            )
        }
    }

    /// A fed venue for `config`, `BTCUSDT` last traded at 50,000, and `BNBUSDT` at a 599 / 601
    /// book, a mid of 600, when `priced`.
    fn fee_asset_venue_from(config: &MockExecutionConfig, priced: bool) -> SimulatedVenue {
        let mut venue = SimulatedVenue::new_market_driven(config, fee_asset_instruments());
        advance(&mut venue, time(1));
        if priced {
            assert!(
                venue
                    .apply_market(
                        &InstrumentNameExchange::new("BNBUSDT"),
                        MarketObservation::new(book("599", "601")),
                        time(1)
                    )
                    .is_empty()
            );
        }
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(traded("50000")),
                    time(1)
                )
                .is_empty()
        );
        venue
    }

    fn fee_asset_venue(bnb: &str) -> SimulatedVenue {
        fee_asset_venue_from(&fee_asset_config(bnb), true)
    }

    /// The balance restatements an outcome's events carry, by asset.
    fn restated(events: &[UnindexedAccountEvent]) -> Vec<(AssetNameExchange, Balance)> {
        events
            .iter()
            .filter_map(|event| match &event.kind {
                AccountEventKind::BalanceSnapshot(balance) => {
                    Some((balance.0.asset.clone(), balance.0.balance))
                }
                _ => None,
            })
            .collect()
    }

    /// A taker buy of 1 BTC at 50,000 pays the 50 USDT fee as 37.50 at a quarter off, which is
    /// 0.0625 BNB at 600, out of the BNB balance, and exchanges its two assets free of fee.
    #[test]
    fn a_fill_pays_its_fee_in_the_fee_asset_at_a_discount() {
        let mut venue = fee_asset_venue("1");

        let outcome = venue.open_order(buy_request("1", None));

        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(bnb(), d("0.0625"), Some(d("37.5")))
        );
        assert_eq!(
            restated(&outcome.events),
            vec![
                (quote(), Balance::new(d("50000"), d("50000"))),
                (base(), Balance::new(d("11"), d("11"))),
                (bnb(), Balance::new(d("0.9375"), d("0.9375"))),
            ]
        );
    }

    #[test]
    fn a_sell_receives_its_whole_proceeds_and_pays_its_fee_in_the_fee_asset() {
        let mut venue = fee_asset_venue("1");

        let outcome = venue.open_order(sell_request("1", None));

        assert_eq!(filled_trade(&outcome).fees.asset, bnb());
        assert_eq!(
            restated(&outcome.events),
            vec![
                (base(), Balance::new(d("9"), d("9"))),
                (quote(), Balance::new(d("150000"), d("150000"))),
                (bnb(), Balance::new(d("0.9375"), d("0.9375"))),
            ]
        );
    }

    /// With less of the fee asset than the fee, the whole fee is charged undiscounted in quote,
    /// none of it split, and the fee asset is untouched.
    #[test]
    fn a_fee_asset_balance_short_of_the_fee_falls_back_whole() {
        for bnb in ["0.0624", "0"] {
            let mut venue = fee_asset_venue(bnb);

            let outcome = venue.open_order(buy_request("1", None));

            assert_eq!(
                filled_trade(&outcome).fees,
                AssetFees::new(quote(), d("50"), Some(d("50"))),
                "{bnb} BNB"
            );
            assert_eq!(
                restated(&outcome.events),
                vec![
                    (quote(), Balance::new(d("49950"), d("49950"))),
                    (base(), Balance::new(d("11"), d("11"))),
                ],
                "{bnb} BNB"
            );
        }
    }

    /// Exactly the fee is enough.
    #[test]
    fn a_fee_asset_balance_of_exactly_the_fee_pays_it() {
        let mut venue = fee_asset_venue("0.0625");

        let outcome = venue.open_order(buy_request("1", None));

        assert_eq!(filled_trade(&outcome).fees.asset, bnb());
        assert_eq!(balance_now(&venue, bnb()), Balance::new(d("0"), d("0")));
    }

    #[test]
    fn a_fee_asset_the_venue_cannot_price_falls_back() {
        let mut venue = fee_asset_venue_from(&fee_asset_config("1"), false);

        let outcome = venue.open_order(buy_request("1", None));

        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(quote(), d("50"), Some(d("50")))
        );
        assert_eq!(balance_now(&venue, bnb()), Balance::new(d("1"), d("1")));
    }

    /// On the fee asset's own instrument the venue charges as without the setting.
    #[test]
    fn a_fill_on_the_fee_assets_own_instrument_falls_back() {
        let mut venue = fee_asset_venue("1");
        assert!(
            venue
                .apply_market(
                    &InstrumentNameExchange::new("BNBUSDT"),
                    MarketObservation::new(traded("600")),
                    time(1)
                )
                .is_empty()
        );
        let mut request = buy_request("1", None);
        request.key.instrument = InstrumentNameExchange::new("BNBUSDT");

        let outcome = venue.open_order(request);

        // 600 × 10bp in quote, undiscounted.
        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(quote(), d("0.6"), Some(d("0.6")))
        );
        assert_eq!(balance_now(&venue, bnb()), Balance::new(d("2"), d("2")));
    }

    /// A resting buy holds its fee as the fallback would charge it, in quote. When it fills with
    /// the fee paid in BNB, that part of the hold comes back.
    #[test]
    fn a_resting_fill_paid_in_the_fee_asset_releases_the_fee_it_held() {
        let mut venue = fee_asset_venue("1");
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );
        let outcome = venue.open_order(limit_request("resting", Side::Buy, "1", "49000", gtc()));
        // 49,000 plus the maker fee of 9.80 is held.
        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new(d("100000"), d("50990.2"))
        );

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("48900", "48950")),
            time(2),
        );

        // The maker fee of 9.80, a quarter off, at 600: 0.01225 BNB.
        let trade = events
            .iter()
            .find_map(|event| match &event.kind {
                AccountEventKind::Trade(trade) => Some(trade),
                _ => None,
            })
            .unwrap();
        assert_eq!(
            trade.fees,
            AssetFees::new(bnb(), d("0.01225"), Some(d("7.35")))
        );
        assert_eq!(
            restated(&events),
            vec![
                (quote(), Balance::new(d("51000"), d("51000"))),
                (base(), Balance::new(d("11"), d("11"))),
                (bnb(), Balance::new(d("0.98775"), d("0.98775"))),
            ]
        );
    }

    /// Under `Received`, a buy paying its fee in BNB receives its whole quantity.
    #[test]
    fn under_received_a_buy_paying_in_the_fee_asset_receives_its_whole_quantity() {
        let config = MockExecutionConfig {
            spot_fee_asset: SpotFeeAsset::Received,
            ..fee_asset_config("1")
        };
        let mut venue = fee_asset_venue_from(&config, true);

        let outcome = venue.open_order(buy_request("1", None));

        assert_eq!(filled_trade(&outcome).fees.asset, bnb());
        assert_eq!(balance_now(&venue, base()).total, d("11"));
        assert_eq!(balance_now(&venue, quote()).total, d("50000"));
    }

    #[test]
    fn a_zero_fee_is_charged_without_the_fee_asset() {
        let config = MockExecutionConfig {
            fee_model: FeeModelConfig::default(),
            ..fee_asset_config("1")
        };
        let mut venue = fee_asset_venue_from(&config, true);

        let outcome = venue.open_order(buy_request("1", None));

        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(quote(), Decimal::ZERO, Some(Decimal::ZERO))
        );
        assert_eq!(balance_now(&venue, bnb()), Balance::new(d("1"), d("1")));
    }

    /// A discount of one charges nothing, even to an account that has never held the fee asset.
    #[test]
    fn a_full_discount_charges_nothing_and_needs_no_fee_asset_balance() {
        let config = MockExecutionConfig {
            fee_asset: Some(FeeAssetConfig::new(bnb(), Decimal::ONE).unwrap()),
            ..config_from_balances(
                vec![funded(base(), d("10")), funded(quote(), d("100000"))],
                maker_taker_fee(),
            )
        };
        let mut venue = fee_asset_venue_from(&config, true);

        let outcome = venue.open_order(buy_request("1", None));

        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(bnb(), Decimal::ZERO, Some(Decimal::ZERO))
        );
        assert_eq!(
            restated(&outcome.events),
            vec![
                (quote(), Balance::new(d("50000"), d("50000"))),
                (base(), Balance::new(d("11"), d("11"))),
            ]
        );
    }

    /// A market order held for its next bar pays its fee in BNB when the bar fills it.
    #[test]
    fn a_held_market_order_pays_its_fee_in_the_fee_asset() {
        let config = MockExecutionConfig {
            market_order_timing: MarketOrderTiming::NextBar(NextBarPrice::Open),
            ..fee_asset_config("1")
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, fee_asset_instruments());
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &InstrumentNameExchange::new("BNBUSDT"),
                    MarketObservation::new(book("599", "601")),
                    time(1)
                )
                .is_empty()
        );
        assert!(feed_bar(&mut venue, 1, ohlc("95", "105", "90", "100")).is_empty());
        let held = venue.open_order(ioc_buy("held", "1"));
        assert!(held.response.state.is_accepted());

        advance(&mut venue, time(2));
        let events = feed_bar(&mut venue, 2, ohlc("200", "210", "190", "205"));

        // 200 × 10bp, a quarter off, at 600: 0.00025 BNB.
        assert_eq!(
            restated(&events),
            vec![
                (quote(), Balance::new(d("99800"), d("99800"))),
                (base(), Balance::new(d("11"), d("11"))),
                (bnb(), Balance::new(d("0.99975"), d("0.99975"))),
            ]
        );
    }

    /// On an instrument quoting in the fee asset the venue charges as without the setting too:
    /// the fee is undiscounted, in quote, which is the fee asset, under the `SpotFeeAsset` rule.
    #[test]
    fn a_fill_on_an_instrument_quoted_in_the_fee_asset_falls_back() {
        let mut instruments = fee_asset_instruments();
        let eth_bnb = spot_instrument("ETHBNB", "ETH", "BNB");
        instruments.insert(eth_bnb.name_exchange.clone(), eth_bnb);
        let eth = || AssetNameExchange::new("ETH");
        let config = MockExecutionConfig {
            fee_asset: Some(FeeAssetConfig::new(bnb(), d("0.25")).unwrap()),
            ..config_from_balances(
                vec![
                    funded(base(), d("10")),
                    funded(quote(), d("100000")),
                    funded(bnb(), d("10")),
                    funded(eth(), d("1")),
                ],
                maker_taker_fee(),
            )
        };

        for (side, eth_after, bnb_after) in [
            // 0.5 BNB plus 0.0005 on top.
            (Side::Buy, "2", "9.4995"),
            // 0.5 BNB less 0.0005 out of it.
            (Side::Sell, "0", "10.4995"),
        ] {
            let mut venue = SimulatedVenue::new_market_driven(&config, instruments.clone());
            advance(&mut venue, time(1));
            assert!(
                venue
                    .apply_market(
                        &InstrumentNameExchange::new("ETHBNB"),
                        MarketObservation::new(traded("0.5")),
                        time(1)
                    )
                    .is_empty()
            );
            let mut request = match side {
                Side::Buy => buy_request("1", None),
                Side::Sell => sell_request("1", None),
            };
            request.key.instrument = InstrumentNameExchange::new("ETHBNB");

            let outcome = venue.open_order(request);

            // 0.5 × 10bp, undiscounted.
            assert_eq!(
                filled_trade(&outcome).fees,
                AssetFees::new(bnb(), d("0.0005"), Some(d("0.0005"))),
                "{side:?}"
            );
            assert_eq!(balance_now(&venue, eth()).total, d(eth_after), "{side:?}");
            assert_eq!(balance_now(&venue, bnb()).total, d(bnb_after), "{side:?}");
        }
    }

    /// A maker rebate is a negative fee, which stays in quote: the venue pays no rebate in the
    /// fee asset.
    #[test]
    fn a_negative_fee_is_paid_without_the_fee_asset() {
        let rebate =
            FeeModelConfig::Percentage(PercentageFeeModel::maker_taker(d("-0.0001"), d("-0.0001")));
        let config = MockExecutionConfig {
            fee_model: rebate,
            ..fee_asset_config("1")
        };
        let mut venue = fee_asset_venue_from(&config, true);

        let outcome = venue.open_order(buy_request("1", None));

        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(quote(), d("-5"), Some(d("-5")))
        );
        assert_eq!(balance_now(&venue, quote()).total, d("50005"));
        assert_eq!(balance_now(&venue, bnb()), Balance::new(d("1"), d("1")));
    }

    /// `USDTBNB` at a last price of 0.0016 prices BNB at its reciprocal, 625, and of two pairs
    /// pricing it, the one first by name is used.
    #[test]
    fn the_fee_asset_is_priced_by_a_reciprocal_pair_or_the_pair_first_by_name() {
        let usdt_bnb = spot_instrument("USDTBNB", "USDT", "BNB");
        let feed = |venue: &mut SimulatedVenue, name: &str, price: &str| {
            assert!(
                venue
                    .apply_market(
                        &InstrumentNameExchange::new(name),
                        MarketObservation::new(traded(price)),
                        time(1)
                    )
                    .is_empty()
            );
        };

        // Only `USDTBNB`: 37.50 at 625 is 0.06 BNB.
        let mut instruments = spot_instruments();
        instruments.insert(usdt_bnb.name_exchange.clone(), usdt_bnb.clone());
        let mut venue = SimulatedVenue::new_market_driven(&fee_asset_config("1"), instruments);
        advance(&mut venue, time(1));
        feed(&mut venue, "USDTBNB", "0.0016");
        feed(&mut venue, "BTCUSDT", "50000");
        let outcome = venue.open_order(buy_request("1", None));
        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(bnb(), d("0.06"), Some(d("37.5")))
        );

        // Both: `BNBUSDT`, at a last price of 600, is first by name though fed first. 0.0625 BNB.
        let mut instruments = fee_asset_instruments();
        instruments.insert(usdt_bnb.name_exchange.clone(), usdt_bnb);
        let mut venue = SimulatedVenue::new_market_driven(&fee_asset_config("1"), instruments);
        advance(&mut venue, time(1));
        feed(&mut venue, "BNBUSDT", "600");
        feed(&mut venue, "USDTBNB", "0.0016");
        feed(&mut venue, "BTCUSDT", "50000");
        let outcome = venue.open_order(buy_request("1", None));
        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(bnb(), d("0.0625"), Some(d("37.5")))
        );
    }

    /// A marketable buy that fills half against the offer and rests the rest pays the filled
    /// half's fee in BNB, and holds the resting half's fee as the fallback would charge it.
    #[test]
    fn a_partly_filled_order_pays_its_fill_in_the_fee_asset_and_holds_the_rest_in_quote() {
        let mut venue = fee_asset_venue("1");
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100"))
                        .with_depth(MarketDepth::new(None, Some(d("0.5")))),
                    time(1),
                )
                .is_empty()
        );

        let outcome = venue.open_order(limit_request("part", Side::Buy, "1", "49100", gtc()));

        assert_eq!(rested_open(&outcome).filled_quantity, d("0.5"));
        // 24,550 × 10bp, a quarter off, at 600.
        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(bnb(), d("0.0306875"), Some(d("18.4125")))
        );
        // 24,550 paid, and 24,550 plus the maker fee of 4.91 held for the resting half.
        assert_eq!(
            balance_now(&venue, quote()),
            Balance::new(d("75450"), d("50895.09"))
        );
        assert_eq!(
            balance_now(&venue, bnb()),
            Balance::new(d("0.9693125"), d("0.9693125"))
        );
    }

    /// 10,000 USDT on a 3× margin account, BTC flat, paying fees in BNB and charged hourly on
    /// USDT loans, `BTCUSDT` at 50,000 and BNB at 600.
    fn fee_asset_margin_venue(bnb: &str) -> SimulatedVenue {
        let config = MockExecutionConfig {
            spot_margin: Some(
                SpotMarginConfig::new(quote(), d("3"), MarginEffect::Borrow).unwrap(),
            ),
            fee_asset: Some(FeeAssetConfig::new(self::bnb(), d("0.25")).unwrap()),
            ..config_from_balances(
                vec![
                    funded(base(), Decimal::ZERO),
                    funded(quote(), d("10000")),
                    funded(self::bnb(), d(bnb)),
                ],
                maker_taker_fee(),
            )
        };
        fee_asset_venue_from(&config, true).with_margin_interest(Arc::new(hourly_interest(quote())))
    }

    /// A buy of 0.3 BTC borrows the 5,000 USDT it pays beyond the account's own, and no more,
    /// since its fee is paid in BNB. The BNB restates after the fill's own balances, and the
    /// interest on the loan is reported after all three.
    #[test]
    fn a_margin_buy_paying_in_the_fee_asset_borrows_only_its_notional() {
        let mut venue = fee_asset_margin_venue("1");

        let outcome = venue.open_order(buy_request("0.3", None));

        // 15,000 × 10bp, a quarter off, at 600.
        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(bnb(), d("0.01875"), Some(d("11.25")))
        );
        let paid = balance_of(sans_debt(&outcome.events)[0]);
        assert_eq!(paid.asset, quote());
        assert_eq!(
            paid.balance.margin.map(|margin| margin.borrowed),
            Some(d("5000"))
        );
        assert_eq!(balance_of(sans_debt(&outcome.events)[1]).asset, base());
        assert_eq!(
            *balance_of(sans_debt(&outcome.events)[2]),
            AssetBalance::new(
                bnb(),
                Balance::new_margin(d("0.98125"), d("0.98125"), d("0"), d("0")),
                time(1)
            )
        );
        assert_eq!(trade_of(sans_debt(&outcome.events)[3]).quantity, d("0.3"));
        // 5,000 at 0.01% for the hour, after the trade the loan paid for.
        assert_eq!(
            *cash_flow_of(sans_debt(&outcome.events)[4]),
            interest_flow(
                quote(),
                "5000",
                "0.5",
                time(1),
                InterestTiming::OnBorrow,
                "0"
            )
        );
    }

    /// With no BNB, the fee falls back to quote, which the venue lends with the notional; it
    /// never lends BNB for a fee.
    #[test]
    fn a_margin_account_short_of_the_fee_asset_borrows_the_fallback_fee_not_the_fee_asset() {
        let mut venue = fee_asset_margin_venue("0");

        let outcome = venue.open_order(buy_request("0.3", None));

        assert_eq!(
            filled_trade(&outcome).fees,
            AssetFees::new(quote(), d("15"), Some(d("15")))
        );
        assert_eq!(
            balance_now(&venue, quote())
                .margin
                .map(|margin| margin.borrowed),
            Some(d("5015"))
        );
        assert_eq!(
            balance_now(&venue, bnb()),
            Balance::new_margin(d("0"), d("0"), d("0"), d("0"))
        );
    }

    /// A resting buy borrows for its notional and its fallback fee. Filled with the fee paid in
    /// BNB, it repays the part of the loan the fee no longer needs, interest first.
    #[test]
    fn a_resting_margin_fill_paying_in_the_fee_asset_repays_the_fee_it_borrowed() {
        let mut venue = fee_asset_margin_venue("1");
        assert!(
            venue
                .apply_market(
                    &instrument_name(),
                    MarketObservation::new(book("49000", "49100")),
                    time(1)
                )
                .is_empty()
        );
        let outcome = venue.open_order(limit_request("resting", Side::Buy, "0.3", "49000", gtc()));
        // 14,700 plus the maker fee of 2.94, beyond the 10,000 held, and an hour's interest on it.
        assert_eq!(
            filled_balance(&outcome).balance,
            Balance::new_margin(d("14702.94"), d("0"), d("4702.94"), d("0.470294"))
        );

        let events = venue.apply_market(
            &instrument_name(),
            MarketObservation::new(book("48900", "48950")),
            time(2),
        );

        // 2.94, a quarter off, at 600.
        let trade = events
            .iter()
            .find_map(|event| match &event.kind {
                AccountEventKind::Trade(trade) => Some(trade),
                _ => None,
            })
            .unwrap();
        assert_eq!(
            trade.fees,
            AssetFees::new(bnb(), d("0.003675"), Some(d("2.205")))
        );
        // The 2.94 no longer needed repays the 0.470294 of interest, then 2.469706 of the loan.
        assert_eq!(
            balance_now(&venue, quote()),
            Balance::new_margin(d("0"), d("0"), d("4700.470294"), d("0"))
        );
        assert_eq!(balance_now(&venue, bnb()).total, d("0.996325"));
    }

    /// A CFD fill is cash-settled, so its fee stays in quote even with the fee asset priced.
    #[test]
    fn a_cfd_fill_is_charged_without_the_fee_asset() {
        let mut instruments = instruments_of(cfd_instrument());
        let bnb_usd = spot_instrument("BNBUSD", "BNB", "usd");
        instruments.insert(bnb_usd.name_exchange.clone(), bnb_usd);
        let config = MockExecutionConfig {
            fee_asset: Some(FeeAssetConfig::new(bnb(), d("0.25")).unwrap()),
            ..config_from_balances(
                vec![funded(usd(), d("1000000")), funded(bnb(), d("10"))],
                maker_taker_fee(),
            )
        };
        let mut venue = SimulatedVenue::new_market_driven(&config, instruments);
        advance(&mut venue, time(1));
        assert!(
            venue
                .apply_market(
                    &InstrumentNameExchange::new("BNBUSD"),
                    MarketObservation::new(traded("600")),
                    time(1)
                )
                .is_empty()
        );
        assert!(cfd_market(&mut venue, "4999", "5001", "5000").is_empty());

        let outcome = venue.open_order(cfd_request(Side::Buy, "1", None));

        assert_eq!(filled_trade(&outcome).fees.asset, usd());
        assert_eq!(balance_now(&venue, bnb()).total, d("10"));
    }

    fn eth() -> AssetNameExchange {
        AssetNameExchange::new("ETH")
    }

    fn eth_instrument_name() -> InstrumentNameExchange {
        InstrumentNameExchange::new("ETHUSDT")
    }

    /// BTCUSDT and ETHUSDT.
    fn btc_and_eth_instruments()
    -> FnvHashMap<InstrumentNameExchange, Instrument<ExchangeId, AssetNameExchange>> {
        let mut instruments = spot_instruments();
        instruments.insert(
            eth_instrument_name(),
            Instrument {
                exchange: EXCHANGE,
                name_internal: InstrumentNameInternal::new("ethusdt"),
                name_exchange: eth_instrument_name(),
                underlying: Underlying {
                    base: eth(),
                    quote: quote(),
                },
                quote: InstrumentQuoteAsset::UnderlyingQuote,
                kind: InstrumentKind::Spot,
                spec: None,
                data_venue: None,
            },
        );
        instruments
    }

    mod borrow_capacity;
    mod collateral_ratio;
    mod liquidation;
}