rustrade_execution/

balance.rs

use chrono::{DateTime, Utc};
use derive_more::Constructor;
use rust_decimal::Decimal;
use serde::{Deserialize, Serialize};

#[derive(
    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
)]
pub struct AssetBalance<AssetKey> {
    pub asset: AssetKey,
    pub balance: Balance,
    /// A time no later than when the venue's account held this balance.
    ///
    /// Balance state is ordered by it: a balance replaces one held only if it is at least as
    /// recent, and a stream update older than the balance held is dropped. So it errs early,
    /// never late. A balance read over REST is stamped no later than the moment its request was
    /// sent, less how far the venue's REST view can trail its stream (see
    /// [`ExecutionClient::fetch_balances`](crate::client::ExecutionClient::fetch_balances)): its
    /// state can be older than the read, never newer. Erring early costs little: a stream event
    /// from between the stamp and the read that arrives after the balance applies over it, and
    /// restates what the balance already held, or older holdings until the next event.
    pub time_exchange: DateTime<Utc>,
}

/// Per-asset margin debt detail for venues that report borrowing on a per-asset basis
/// (the CEX per-asset-margin class — Binance / Kraken / Bitfinex / dYdX).
///
/// `borrowed` and `interest` are always co-reported by such venues' REST snapshots, so they
/// are modelled as a single `Option`-of-struct on [`Balance`] rather than two loose `Option`s —
/// this keeps them co-present and preserves `Balance`'s `Copy`/`Eq`/`Ord`/`Hash`/`Default`.
///
/// Account-level-margin venues (e.g. IBKR, which reports only aggregate `EquityWithLoanValue` /
/// `MaintMarginReq`, never per-asset `borrowed`/`interest`) legitimately leave [`Balance::margin`]
/// as `None`.
///
/// Futures/perps *position* margin (maintenance margin, unrealised PnL) is a different model and
/// is intentionally **not** represented here.
#[derive(
    Debug,
    Copy,
    Clone,
    PartialEq,
    Eq,
    PartialOrd,
    Ord,
    Hash,
    Default,
    Deserialize,
    Serialize,
    Constructor,
)]
pub struct MarginDetails {
    /// Outstanding borrowed principal for the asset.
    pub borrowed: Decimal,
    /// Accrued, unpaid interest on the borrowed principal.
    pub interest: Decimal,
}

impl MarginDetails {
    /// What is owed of the asset: [`borrowed`](Self::borrowed) plus [`interest`](Self::interest).
    pub fn owed(&self) -> Decimal {
        self.borrowed + self.interest
    }
}

/// Per-asset balance: gross holdings, the freely-tradable portion, optional margin debt and
/// optional accrued carry.
///
/// Construct via [`Balance::new`] (cash) or [`Balance::new_margin`] (per-asset debt), then
/// [`Balance::with_accrued`] where the venue reports an accrual. The struct is
/// `#[non_exhaustive]`, so code outside this crate builds it only through those, and later fields
/// are additive. `total` is gross holdings and `free` the freely-tradable portion; the remainder
/// (`total - free`, exposed by [`Balance::used`]) is reserved against resting orders. Producers
/// keep `free <= total`.
///
/// `margin: None` denotes a cash / no-debt context, **not** "unknown debt" — see [`Balance::margin`]
/// and [`Balance::net_asset`].
///
/// `Ord`/`PartialOrd` are derived and compare lexicographically over
/// `(total, free, margin, accrued)` (`None` sorts before `Some`); they exist for use as collection
/// keys and generic bounds, not as a financial ranking. Use [`Balance::net_asset`] for value
/// comparisons that account for debt.
#[derive(
    Debug, Copy, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Default, Deserialize, Serialize,
)]
#[non_exhaustive]
pub struct Balance {
    /// Gross holdings of the asset (`free + locked`). Unaffected by any borrowing — debt is
    /// carried separately in [`Balance::margin`].
    ///
    /// Exception: a venue whose margin is account-level (Alpaca, IBKR) reports only the account's
    /// cash here, which is negative while the account borrows, with `margin` left `None`. See
    /// the client's `account_snapshot`.
    ///
    /// A carrying cost (funding, margin interest, a borrow fee) reaches `total` only once the venue
    /// posts it to the account, hourly at some venues and monthly at others. Until then `total`
    /// leaves it out. A venue that reports the pending amount puts it in [`Balance::accrued`], or,
    /// for interest on a loan, in [`MarginDetails::interest`]. Each client's rustdoc says what its
    /// venue posts and when.
    pub total: Decimal,
    /// Portion of `total` available to trade (not reserved against resting orders).
    pub free: Decimal,
    /// Per-asset margin debt, present only for venues that report it (see [`MarginDetails`]).
    ///
    /// `None` means a cash / no-debt context — **not** "unknown debt". The REST account snapshot
    /// always populates this for a margin account, and the WS partial update ([`BalanceUpdate`])
    /// structurally cannot clear it, so `None` reliably denotes "no margin facility for this
    /// asset". See [`Balance::net_asset`].
    #[serde(default, skip_serializing_if = "Option::is_none")]
    pub margin: Option<MarginDetails>,
    /// Carry accrued to date and not yet posted to `total`: interest earned or charged, and
    /// whatever else the venue accrues the same way. Signed: positive is an amount the account
    /// will receive, negative one it will pay.
    ///
    /// The cash the account holds once the accrual posts is `total + accrued`. The venue resets
    /// the accrual as it posts it, so the two never count the same amount twice. `None` means the
    /// venue does not report one, not that nothing has accrued.
    ///
    /// This differs from [`MarginDetails::interest`], which is interest owed on a loan of the
    /// asset and is paid out of a later repayment, not added to cash.
    ///
    /// It is only as fresh as the last
    /// [`BalanceSnapshot`](crate::AccountEventKind::BalanceSnapshot) for the asset: a
    /// [`BalanceUpdate`] carries none, and [`Balance::apply_stream_update`] keeps the prior value.
    #[serde(default, skip_serializing_if = "Option::is_none")]
    pub accrued: Option<Decimal>,
}

impl Balance {
    /// Construct a cash [`Balance`] with no margin debt (`margin: None`).
    pub const fn new(total: Decimal, free: Decimal) -> Self {
        Self {
            total,
            free,
            margin: None,
            accrued: None,
        }
    }

    /// Construct a margin [`Balance`] carrying per-asset `borrowed`/`interest` debt.
    pub const fn new_margin(
        total: Decimal,
        free: Decimal,
        borrowed: Decimal,
        interest: Decimal,
    ) -> Self {
        Self {
            total,
            free,
            margin: Some(MarginDetails { borrowed, interest }),
            accrued: None,
        }
    }

    /// Set [`Balance::accrued`], the carry accrued and not yet posted to `total`.
    #[must_use]
    pub const fn with_accrued(mut self, accrued: Decimal) -> Self {
        self.accrued = Some(accrued);
        self
    }

    /// Portion of `total` reserved against resting orders (`total - free`).
    pub fn used(&self) -> Decimal {
        self.total - self.free
    }

    /// Net asset value: gross holdings less everything owed on the asset's loan.
    ///
    /// Returns `total` when [`Balance::margin`] is `None` and `total - borrowed - interest` when
    /// `Some`, as Binance defines its margin accounts' `netAsset`. The result can be
    /// **negative**: a short position is a negative net holding in the borrowed (base) asset.
    ///
    /// `None` is a cash / no-debt context, where net asset is simply the gross holding, except on
    /// a venue whose margin is account-level (Alpaca, IBKR): there `total` is already the
    /// account's cash, negative while it borrows (see [`Balance::total`]), and the result is that
    /// figure, with no loan or interest itemised.
    ///
    /// Accrued [`MarginDetails::interest`] is owed as the principal is, so it is deducted once
    /// the venue reports it accrued, not when it is repaid. Repaying the loan out of the asset's
    /// holdings leaves the result unchanged, since `total` falls by what the debt does. For the
    /// principal alone, read [`MarginDetails::borrowed`].
    ///
    /// [`Balance::accrued`] is not counted: it is carry the venue posts to `total` later, not a
    /// debt of the loan.
    ///
    /// # Freshness
    /// The returned value reflects debt only as fresh as the last
    /// [`BalanceSnapshot`](crate::AccountEventKind::BalanceSnapshot) or
    /// [`MarginDebt`](crate::AccountEventKind::MarginDebt) for this asset. WS partial updates keep
    /// `free`/`locked` live but never carry debt, so on a venue that streams no debt changes a
    /// position **borrowed since the last snapshot** reads as zero-debt (`net_asset == total`)
    /// until the next snapshot. Interest is likewise held at its last reported total: it falls in
    /// steps as snapshots or debt events report it, not continuously as the venue accrues it.
    /// Each venue client says whether it streams debt changes.
    pub fn net_asset(&self) -> Decimal {
        match self.margin {
            Some(margin) => self.total - margin.owed(),
            None => self.total,
        }
    }

    /// Merge a WS partial [`BalanceUpdate`] onto an optional prior [`Balance`], preserving debt.
    ///
    /// Applies the stream's live `free`/`locked` (recomputing `total = free + locked`) while
    /// carrying forward any [`MarginDetails`] and [`Balance::accrued`] from `prior` — a partial
    /// update carries neither, so this is the single-sourced "debt and accruals fresh as of last
    /// snapshot, `free`/`locked` live over the stream" merge. On a cold start (`prior = None`) the
    /// result has `margin: None` and `accrued: None`.
    ///
    /// This is the same no-clobber merge the engine applies internally for asset-keyed balances. It
    /// is exposed so consumers applying per-instrument
    /// [`InstrumentBalanceUpdate`](crate::InstrumentBalanceUpdate) frames — which the engine does
    /// not store — can reuse it rather than re-implement the contract.
    pub fn apply_stream_update(prior: Option<Balance>, update: &BalanceUpdate) -> Balance {
        Balance {
            total: update.total(),
            free: update.free,
            margin: prior.and_then(|b| b.margin),
            accrued: prior.and_then(|b| b.accrued),
        }
    }
}

/// Partial balance update carrying only `free`/`locked` — the shape delivered by exchange WS
/// user-data streams (e.g. Binance `outboundAccountPosition`, which reports `a`/`f`/`l` only).
///
/// Deliberately has **no** `margin` field: applying a `BalanceUpdate` therefore *structurally
/// cannot* clobber known per-asset debt. `borrowed`/`interest` totals arrive via the REST
/// [`BalanceSnapshot`](crate::AccountEventKind::BalanceSnapshot), and from a venue that streams
/// them, via [`MarginDebt`](crate::AccountEventKind::MarginDebt).
#[derive(
    Debug,
    Copy,
    Clone,
    PartialEq,
    Eq,
    PartialOrd,
    Ord,
    Hash,
    Default,
    Deserialize,
    Serialize,
    Constructor,
)]
pub struct BalanceUpdate {
    /// Portion of holdings available to trade.
    pub free: Decimal,
    /// Portion of holdings reserved against resting orders.
    pub locked: Decimal,
}

impl BalanceUpdate {
    /// Gross holdings of the asset (`free + locked`).
    pub fn total(&self) -> Decimal {
        self.free + self.locked
    }
}

/// Per-asset WS partial balance update (the [`BalanceUpdate`] counterpart of [`AssetBalance`]).
#[derive(
    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
)]
pub struct AssetBalanceUpdate<AssetKey> {
    /// Asset the update applies to (exchange-native name or resolved index).
    pub asset: AssetKey,
    /// Partial `free`/`locked` payload delivered by the WS stream.
    pub update: BalanceUpdate,
    /// Exchange-reported timestamp of the update.
    pub time_exchange: DateTime<Utc>,
}

#[cfg(test)]
#[allow(clippy::unwrap_used)] // Test code: panics on bad input are acceptable
mod tests {
    use super::*;
    use rust_decimal_macros::dec;

    #[test]
    fn net_asset_cash_returns_total() {
        // No margin facility → net asset is simply the gross holding.
        let balance = Balance::new(dec!(100), dec!(80));
        assert_eq!(balance.net_asset(), dec!(100));
        assert_eq!(balance.used(), dec!(20));
    }

    #[test]
    fn net_asset_margin_deducts_borrowed_and_interest() {
        // total - borrowed - interest.
        let balance = Balance::new_margin(dec!(100), dec!(100), dec!(30), dec!(2));
        assert_eq!(balance.net_asset(), dec!(68));
    }

    #[test]
    fn net_asset_short_is_negative() {
        // A short borrows the base asset and sells it: holdings are ~0 but debt remains, so net
        // asset is negative.
        let balance = Balance::new_margin(dec!(0), dec!(0), dec!(1.5), dec!(0.001));
        assert_eq!(balance.net_asset(), dec!(-1.501));
    }

    #[test]
    fn net_asset_is_unchanged_by_a_repayment_and_ignores_accrued() {
        // 100 held, 30 borrowed, 2 interest: repaying all 32 out of holdings leaves 68 either way.
        let owing = Balance::new_margin(dec!(100), dec!(100), dec!(30), dec!(2));
        let repaid = Balance::new_margin(dec!(68), dec!(68), dec!(0), dec!(0));
        assert_eq!(owing.net_asset(), repaid.net_asset());

        // Accrued carry posts to `total` later; it is not a debt of the loan.
        assert_eq!(owing.with_accrued(dec!(-5)).net_asset(), dec!(68));
    }

    #[test]
    fn balance_update_total() {
        let update = BalanceUpdate::new(dec!(1.5), dec!(0.5));
        assert_eq!(update.total(), dec!(2.0));
        assert_eq!(update.locked, dec!(0.5));
    }

    #[test]
    fn balance_default_has_no_margin() {
        assert_eq!(Balance::default().margin, None);
    }

    #[test]
    fn balance_serde_omits_margin_when_none() {
        let json = serde_json::to_string(&Balance::new(dec!(1), dec!(1))).unwrap();
        assert!(
            !json.contains("margin"),
            "cash balance must not serialise a margin field"
        );

        let margin = Balance::new_margin(dec!(1), dec!(1), dec!(0.5), dec!(0));
        let round_trip: Balance =
            serde_json::from_str(&serde_json::to_string(&margin).unwrap()).unwrap();
        assert_eq!(round_trip, margin);
    }

    #[test]
    fn balance_serde_accrued_is_optional() {
        let json = serde_json::to_string(&Balance::new(dec!(1), dec!(1))).unwrap();
        assert!(
            !json.contains("accrued"),
            "a balance without an accrual must not serialise the field"
        );
        // A balance stored before the field existed still loads.
        let stored: Balance = serde_json::from_str(r#"{"total":"1","free":"1"}"#).unwrap();
        assert_eq!(stored.accrued, None);

        let accrued = Balance::new(dec!(1), dec!(1)).with_accrued(dec!(-0.25));
        let round_trip: Balance =
            serde_json::from_str(&serde_json::to_string(&accrued).unwrap()).unwrap();
        assert_eq!(round_trip, accrued);
        assert_eq!(round_trip.accrued, Some(dec!(-0.25)));
    }

    #[test]
    fn apply_stream_update_keeps_debt_and_accrual() {
        let prior =
            Balance::new_margin(dec!(10), dec!(10), dec!(3), dec!(0.1)).with_accrued(dec!(1.5));
        let merged =
            Balance::apply_stream_update(Some(prior), &BalanceUpdate::new(dec!(4), dec!(2)));
        assert_eq!(merged.total, dec!(6));
        assert_eq!(merged.free, dec!(4));
        assert_eq!(merged.margin, prior.margin);
        assert_eq!(merged.accrued, Some(dec!(1.5)));

        let cold = Balance::apply_stream_update(None, &BalanceUpdate::new(dec!(4), dec!(2)));
        assert_eq!((cold.margin, cold.accrued), (None, None));
    }
}