sandbox-quant 1.0.10

Exchange-truth trading core for Binance Spot and Futures
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164

use std::sync::{Arc, Mutex};

use sandbox_quant::domain::instrument::Instrument;
use sandbox_quant::domain::market::Market;
use sandbox_quant::domain::order_type::OrderType;
use sandbox_quant::domain::position::Side;
use sandbox_quant::error::exchange_error::ExchangeError;
use sandbox_quant::exchange::binance::account::{RawAccountState, RawBalance, RawPosition};
use sandbox_quant::exchange::binance::client::{BinanceExchange, BinanceTransport};
use sandbox_quant::exchange::binance::orders::{
    RawCloseOrderAck, RawCloseOrderRequest, RawSymbolRules,
};
use sandbox_quant::exchange::facade::ExchangeFacade;
use sandbox_quant::exchange::types::CloseOrderRequest;

#[derive(Default)]
struct StubTransport {
    close_requests: Mutex<Vec<RawCloseOrderRequest>>,
}

impl StubTransport {
    fn close_requests(&self) -> Vec<RawCloseOrderRequest> {
        self.close_requests
            .lock()
            .expect("lock close_requests")
            .clone()
    }
}

impl BinanceTransport for StubTransport {
    fn load_account_state(&self, market: Market) -> Result<RawAccountState, ExchangeError> {
        match market {
            Market::Spot => Ok(RawAccountState {
                balances: vec![RawBalance {
                    asset: "USDT".to_string(),
                    free: 1000.0,
                    locked: 0.0,
                }],
                positions: vec![],
                open_orders: vec![],
            }),
            Market::Futures => Ok(RawAccountState {
                balances: vec![RawBalance {
                    asset: "USDT".to_string(),
                    free: 500.0,
                    locked: 0.0,
                }],
                positions: vec![RawPosition {
                    symbol: "BTCUSDT".to_string(),
                    signed_qty: -0.25,
                    entry_price: Some(65000.0),
                }],
                open_orders: vec![],
            }),
            Market::Options => Ok(RawAccountState {
                balances: vec![],
                positions: vec![],
                open_orders: vec![],
            }),
        }
    }

    fn load_last_price(&self, _symbol: &str, market: Market) -> Result<f64, ExchangeError> {
        match market {
            Market::Spot => Ok(50000.0),
            Market::Futures => Ok(65000.0),
            Market::Options => Ok(5.0),
        }
    }

    fn load_symbol_rules(
        &self,
        _symbol: &str,
        _market: Market,
    ) -> Result<RawSymbolRules, ExchangeError> {
        Ok(RawSymbolRules {
            min_qty: 0.001,
            max_qty: 100.0,
            step_size: 0.001,
        })
    }

    fn load_option_symbols(&self) -> Result<Vec<String>, ExchangeError> {
        Ok(vec!["BTC-260327-200000-C".to_string()])
    }

    fn submit_close_order(
        &self,
        request: RawCloseOrderRequest,
    ) -> Result<RawCloseOrderAck, ExchangeError> {
        self.close_requests
            .lock()
            .expect("lock close_requests")
            .push(request);
        Ok(RawCloseOrderAck {
            remote_order_id: "binance-close-1".to_string(),
        })
    }

    fn load_today_realized_pnl_usdt(&self) -> Result<f64, ExchangeError> {
        Ok(12.34)
    }

    fn load_today_funding_pnl_usdt(&self) -> Result<f64, ExchangeError> {
        Ok(5.67)
    }

    fn load_margin_ratio(&self) -> Result<Option<f64>, ExchangeError> {
        Ok(Some(0.1234))
    }
}

#[test]
fn binance_exchange_maps_spot_and_futures_account_state_into_authoritative_snapshot() {
    let exchange = BinanceExchange::new(Arc::new(StubTransport::default()));

    let snapshot = exchange
        .load_authoritative_snapshot()
        .expect("snapshot load should succeed");

    assert_eq!(snapshot.balances.len(), 2);
    assert_eq!(snapshot.positions.len(), 1);
    assert_eq!(snapshot.positions[0].instrument, Instrument::new("BTCUSDT"));
    assert_eq!(snapshot.positions[0].side(), Some(Side::Sell));
}

#[test]
fn binance_exchange_routes_close_submit_through_raw_transport_shape() {
    let transport = Arc::new(StubTransport::default());
    let exchange = BinanceExchange::new(transport.clone());

    let accepted = exchange
        .submit_close_order(CloseOrderRequest {
            instrument: Instrument::new("BTCUSDT"),
            market: Market::Futures,
            side: Side::Buy,
            qty: 0.25,
            qty_text: "0.25".to_string(),
            order_type: OrderType::Limit { price: 65000.0 },
            reduce_only: true,
        })
        .expect("close submit should succeed");

    assert_eq!(accepted.remote_order_id, "binance-close-1");
    let requests = transport.close_requests();
    assert_eq!(requests.len(), 1);
    assert_eq!(requests[0].symbol, "BTCUSDT");
    assert_eq!(requests[0].side, "BUY");
    assert_eq!(requests[0].market, Market::Futures);
    assert_eq!(requests[0].qty, "0.25");
    assert_eq!(requests[0].order_type, OrderType::Limit { price: 65000.0 });
    assert!(requests[0].reduce_only);
}

#[test]
fn binance_exchange_loads_last_price_through_transport() {
    let exchange = BinanceExchange::new(Arc::new(StubTransport::default()));

    let price = exchange
        .load_last_price(&Instrument::new("BTCUSDT"), Market::Futures)
        .expect("last price should load");

    assert_eq!(price, 65000.0);
}