rustrade_execution/

lib.rs

#![forbid(unsafe_code)]
#![deny(
    clippy::unwrap_used,
    clippy::expect_used,
    clippy::cast_possible_truncation,
    clippy::cast_sign_loss
)]
#![warn(
    unused,
    clippy::cognitive_complexity,
    unused_crate_dependencies,
    unused_extern_crates,
    clippy::unused_self,
    clippy::useless_let_if_seq,
    missing_debug_implementations,
    rust_2018_idioms
)]
// Inherited from the barter-rs upstream: the generic, trait-heavy public API legitimately produces
// complex nested types and many-argument constructors, and `type_alias_bounds` fires on
// documentation-bearing alias bounds kept intentionally. Denying these adds churn without improving
// the API.
#![allow(clippy::type_complexity, clippy::too_many_arguments, type_alias_bounds)]

//! # Barter-Execution
//! Stream private account data from financial venues, and execute (live or mock) orders. Also provides
//! a feature rich MockExchange and MockExecutionClient to assist with backtesting and paper-trading.
//!
//! **It is:**
//! * **Easy**: ExecutionClient trait provides a unified and simple language for interacting with exchanges.
//! * **Normalised**: Allow your strategy to communicate with every real or MockExchange using the same interface.
//! * **Extensible**: Barter-Execution is highly extensible, making it easy to contribute by adding new exchange integrations!
//!
//! See `README.md` for more information and examples.

// Silence unused_crate_dependencies for dev-dependencies used only in tests
#[cfg(test)]
use serial_test as _;
#[cfg(test)]
use temp_env as _;
#[cfg(test)]
use tracing_subscriber as _;
#[cfg(test)]
use wiremock as _;

use crate::{
    balance::{AssetBalance, AssetBalanceUpdate},
    error::StreamTerminationReason,
    order::{Order, OrderSnapshot, request::OrderResponseCancel},
    position::PositionReport,
    trade::Trade,
};
use chrono::{DateTime, Utc};
use derive_more::{Constructor, From};
use order::state::OrderState;
use rust_decimal::Decimal;
use rustrade_instrument::{
    asset::{AssetIndex, name::AssetNameExchange},
    exchange::{ExchangeId, ExchangeIndex},
    instrument::{InstrumentIndex, name::InstrumentNameExchange},
};
use rustrade_integration::collection::snapshot::Snapshot;
use serde::{Deserialize, Serialize};
// Only `emit_stream_terminated` (and its tests) name `mpsc`, both gated to the venue features —
// gate the import the same way so the default-empty feature set does not warn it as unused.
#[cfg(any(
    feature = "alpaca",
    feature = "binance",
    feature = "ibkr",
    feature = "hyperliquid"
))]
use tokio::sync::mpsc;

pub mod balance;
pub mod client;
pub mod error;
pub mod exchange;
pub mod fee;
pub use fee::{
    FeeModel, FeeModelConfig, Liquidity, PerContractFeeModel, PercentageFeeModel, ZeroFeeModel,
};
pub mod fill;
pub use fill::{
    BidAskFillModel, FillContext, FillModel, LastPriceFillModel, MidpointFillModel, SimFillConfig,
};
pub mod indexer;
pub mod map;
pub mod market;
pub use market::{MarketDepth, MarketSnapshot};
pub mod order;
pub mod position;
pub mod trade;

/// Convenient type alias for an [`AccountEvent`] keyed with [`ExchangeId`],
/// [`AssetNameExchange`], and [`InstrumentNameExchange`].
pub type UnindexedAccountEvent =
    AccountEvent<ExchangeId, AssetNameExchange, InstrumentNameExchange>;

/// Convenient type alias for an [`AccountSnapshot`] keyed with [`ExchangeId`],
/// [`AssetNameExchange`], and [`InstrumentNameExchange`].
pub type UnindexedAccountSnapshot =
    AccountSnapshot<ExchangeId, AssetNameExchange, InstrumentNameExchange>;

#[derive(Debug, Clone, PartialEq, Deserialize, Serialize)]
pub struct AccountEvent<
    ExchangeKey = ExchangeIndex,
    AssetKey = AssetIndex,
    InstrumentKey = InstrumentIndex,
> {
    pub exchange: ExchangeKey,
    pub kind: AccountEventKind<ExchangeKey, AssetKey, InstrumentKey>,
}

impl<ExchangeKey, AssetKey, InstrumentKey> AccountEvent<ExchangeKey, AssetKey, InstrumentKey> {
    pub fn new<K>(exchange: ExchangeKey, kind: K) -> Self
    where
        K: Into<AccountEventKind<ExchangeKey, AssetKey, InstrumentKey>>,
    {
        Self {
            exchange,
            kind: kind.into(),
        }
    }

    /// Named constructor for the terminal [`StreamTerminated`](AccountEventKind::StreamTerminated)
    /// event carrying the given [`StreamTerminationReason`].
    pub(crate) fn stream_terminated(
        exchange: ExchangeKey,
        reason: StreamTerminationReason,
    ) -> Self {
        Self {
            exchange,
            kind: AccountEventKind::StreamTerminated(reason),
        }
    }
}

/// Best-effort in-band emit of a terminal
/// [`StreamTerminated`](AccountEventKind::StreamTerminated) on the account-event channel, sent just
/// before a venue's stream task exits so stream death is delivered in-band rather than inferred from
/// channel EOF.
///
/// Shared by the channel-based venue connectors (Binance spot/margin, Alpaca, IBKR, Hyperliquid)
/// so the single send of the terminal event lives in one place, at the abstraction level where
/// [`AccountEvent`] is defined rather than inside any one vendor module. (The Mock client yields
/// into a `Stream` rather than an mpsc channel, so it builds the terminal event via
/// `UnindexedAccountEvent::stream_terminated` directly and does not funnel through this helper.)
/// The send is best-effort: if the consumer already dropped the receiver it is a silent no-op —
/// which is the consumer-initiated-drop case, deliberately *not* signalled (there is no one left
/// to deliver to).
//
// Gated to the venues that send terminal events through an mpsc channel from a spawned stream task,
// so the crate's default-empty feature set does not warn this as unused (mirrors `parse_env_bool`
// below). The Mock client is always compiled but is excluded by design — see the note above.
#[cfg(any(
    feature = "alpaca",
    feature = "binance",
    feature = "ibkr",
    feature = "hyperliquid"
))]
pub(crate) fn emit_stream_terminated(
    tx: &mpsc::UnboundedSender<UnindexedAccountEvent>,
    exchange: ExchangeId,
    reason: StreamTerminationReason,
) {
    let _ = tx.send(UnindexedAccountEvent::stream_terminated(exchange, reason));
}

/// Parse a boolean environment-variable value using the single cross-venue policy.
///
/// Accepts only `"true"` / `"false"` (case-insensitive, surrounding whitespace trimmed); every other
/// value returns `None` so the caller can surface an explicit "must be true or false" error rather
/// than silently coercing. Deliberately does **not** accept `"1"`/`"0"` or other truthy spellings —
/// one strict, unambiguous spelling shared by every venue's `from_env` (Alpaca `ALPACA_PAPER`,
/// Binance `BINANCE_TESTNET`, Hyperliquid `HYPERLIQUID_TESTNET`) keeps the network-selection toggle
/// impossible to misread.
//
// Gated to the venues that read env-bool toggles so the crate's default-empty feature set does not
// warn this as unused.
#[cfg(any(feature = "alpaca", feature = "binance", feature = "hyperliquid"))]
pub(crate) fn parse_env_bool(value: &str) -> Option<bool> {
    let trimmed = value.trim();
    if trimmed.eq_ignore_ascii_case("true") {
        Some(true)
    } else if trimmed.eq_ignore_ascii_case("false") {
        Some(false)
    } else {
        None
    }
}

#[derive(Debug, Clone, PartialEq, Deserialize, Serialize, From)]
#[non_exhaustive]
pub enum AccountEventKind<ExchangeKey, AssetKey, InstrumentKey> {
    /// Full [`AccountSnapshot`] - replaces all existing state.
    Snapshot(AccountSnapshot<ExchangeKey, AssetKey, InstrumentKey>),

    /// Single [`AssetBalance`] snapshot - replaces existing balance state.
    ///
    /// Sourced from a REST account snapshot: carries the **full** balance including any per-asset
    /// margin debt (`borrowed`/`interest`). This is the authoritative source for debt totals.
    BalanceSnapshot(Snapshot<AssetBalance<AssetKey>>),

    /// Single [`AssetBalanceUpdate`] - applies a WS partial (`free`/`locked` only).
    ///
    /// Sourced from an exchange WS user-data stream (e.g. Binance `outboundAccountPosition`). It
    /// carries **no** margin debt, so applying it updates `free`/`locked` while **preserving** any
    /// existing [`MarginDetails`](balance::MarginDetails) — debt cannot be silently clobbered by a
    /// stream update. Debt totals remain as fresh as the last [`BalanceSnapshot`](Self::BalanceSnapshot).
    BalanceStreamUpdate(Snapshot<AssetBalanceUpdate<AssetKey>>),

    /// Live per-instrument isolated-margin balance update (`free`/`locked` per side).
    ///
    /// The stream counterpart of [`InstrumentAccountSnapshot::isolated`] for venues with per-pair
    /// isolated sub-accounts (e.g. Binance isolated margin). Carries a point-in-time `free`/`locked`
    /// **snapshot** for the pair's `base` and `quote` assets — NOT a delta — keyed by instrument
    /// rather than asset, because isolated balances are per-`(pair, asset)` and cannot be folded
    /// into the asset-keyed balance state without collision (see [`InstrumentBalanceUpdate`]).
    ///
    /// The engine deliberately does **not** store this (the per-asset balance state is informational
    /// only and the engine never reads it for sizing/gating); a consumer reads it off the account
    /// event feed. Debt totals stay as fresh as the last
    /// [`BalanceSnapshot`](Self::BalanceSnapshot) per the debt-freshness contract.
    InstrumentBalanceUpdate(InstrumentBalanceUpdate<AssetKey, InstrumentKey>),

    /// Single [`Order`] snapshot - used to upsert existing order state if it's more recent.
    ///
    /// This variant covers general order updates, and open order responses.
    OrderSnapshot(Snapshot<Order<ExchangeKey, InstrumentKey, OrderState<AssetKey, InstrumentKey>>>),

    /// Response to an [`OrderRequestCancel<ExchangeKey, InstrumentKey>`](order::request::OrderRequestOpen).
    OrderCancelled(OrderResponseCancel<ExchangeKey, AssetKey, InstrumentKey>),

    /// [`Order<ExchangeKey, InstrumentKey, Open>`] partial or full-fill.
    ///
    /// The fee asset (`AssetKey`) may be the quote asset, base asset, or a third-party
    /// asset (e.g., BNB on Binance). Use `fees.fees_quote` for quote-equivalent value
    /// when available.
    Trade(Trade<AssetKey, InstrumentKey>),

    /// The account event stream has ended; no further events will arrive on it.
    ///
    /// This is the in-band, programmatic signal that a stream died — delivered on the **same**
    /// account feed as every other event rather than being inferred from channel EOF or read from
    /// logs. The [`StreamTerminationReason`] distinguishes a venue that exhausted its reconnect
    /// budget from an unrecoverable error, so the consumer can apply its own recovery policy
    /// (re-establish the stream, re-sync via REST, halt trading). The library reports *that* and
    /// *why* the stream ended; it does not prescribe the response.
    ///
    /// Only terminations deliverable while the consumer is still listening are signalled: a
    /// consumer-initiated drop closes the receiver, so there is no one left to deliver to (see
    /// [`StreamTerminationReason`] for the deliverable-only rationale).
    StreamTerminated(StreamTerminationReason),
}

impl<ExchangeKey, AssetKey, InstrumentKey> AccountEvent<ExchangeKey, AssetKey, InstrumentKey>
where
    AssetKey: Eq,
    InstrumentKey: Eq,
{
    pub fn snapshot(self) -> Option<AccountSnapshot<ExchangeKey, AssetKey, InstrumentKey>> {
        match self.kind {
            AccountEventKind::Snapshot(snapshot) => Some(snapshot),
            _ => None,
        }
    }
}

#[derive(
    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
)]
pub struct AccountSnapshot<
    ExchangeKey = ExchangeIndex,
    AssetKey = AssetIndex,
    InstrumentKey = InstrumentIndex,
> {
    pub exchange: ExchangeKey,
    pub balances: Vec<AssetBalance<AssetKey>>,
    pub instruments: Vec<InstrumentAccountSnapshot<ExchangeKey, AssetKey, InstrumentKey>>,
}

/// serde `default` for an `Option` field whose inner type is generic — returns `None` without
/// requiring the inner type to be `Default` (see the `isolated` field below).
fn none_option<T>() -> Option<T> {
    None
}

/// One instrument's slice of an [`AccountSnapshot`]: its orders, and its position or isolated
/// balances where the venue has them.
#[derive(
    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
)]
pub struct InstrumentAccountSnapshot<
    ExchangeKey = ExchangeIndex,
    AssetKey = AssetIndex,
    InstrumentKey = InstrumentIndex,
> {
    pub instrument: InstrumentKey,
    /// Orders the venue reported for this instrument, keyed by the `ClientOrderId` the order was
    /// placed with where the venue reports it.
    ///
    /// Whether this is **every** order open at the venue is stated by
    /// [`orders_complete`](Self::orders_complete), not implied by the list.
    #[serde(default = "Vec::new")]
    pub orders: Vec<OrderSnapshot<ExchangeKey, AssetKey, InstrumentKey>>,
    /// `true` only when [`orders`](Self::orders) lists every order open at the venue for this
    /// instrument when it was read, each under the `ClientOrderId` it was placed with.
    ///
    /// A consumer may then read an order's **absence** as "no longer open": it filled, was
    /// cancelled or expired. The engine does exactly that, retiring a tracked order a complete
    /// list omits. A wrong `true` therefore retires live orders, so a client sets it only when
    /// nothing can be missing:
    /// - the read covered every open order, with no page cap or partial result;
    /// - no open order was dropped on conversion;
    /// - each order carries the id it was placed with, so a tracked order can be found in it.
    ///
    /// `false` claims nothing about absent orders, and is the default for a snapshot that does not
    /// say.
    #[serde(default)]
    pub orders_complete: bool,
    /// The venue's position in this instrument, for any instrument whose holding the venue
    /// tracks separately from cash balances: perpetuals, futures, options, and equities (e.g.
    /// Alpaca).
    ///
    /// [`PositionReport::Unreported`] when the venue does not report positions, for holdings
    /// reported as asset balances instead, such as spot crypto, and when the read could not
    /// establish the position. [`PositionReport::Flat`] is a claim that the venue holds none, so
    /// a client reports it only when it read every position the venue has for the instrument. See
    /// each client's `account_snapshot` for what it reports.
    ///
    /// A client that reports positions lists each instrument it was asked for whose position it
    /// can establish, flat ones included. An instrument it leaves out, like one it reports as
    /// `Unreported`, is unknown, never flat: a client can be unable to establish a position (see
    /// its `account_snapshot`). Asked for all instruments (an empty list), it may list only those
    /// with something to report.
    #[serde(default, skip_serializing_if = "PositionReport::is_unreported")]
    pub position: PositionReport,
    /// Per-pair isolated-margin balances and risk, for venues with isolated sub-accounts
    /// (e.g. Binance isolated margin). `None` for cross margin, spot, and all other contexts.
    ///
    /// Surfaced here — attached to the instrument — rather than folded into the asset-keyed
    /// [`AccountSnapshot::balances`] because isolated sub-accounts are per-`(pair, asset)`: the same
    /// asset (e.g. `USDT`) in two isolated pairs is a separate pool, which the asset-keyed balance
    /// model cannot represent without collision. The engine does not store this; a consumer reads
    /// it off the snapshot to compose per-pair risk. See [`IsolatedInstrumentState`].
    ///
    // `default = "none_option"` (not a bare `#[serde(default)]`) avoids serde inferring a spurious
    // `AssetKey: Default` bound: a bare default on a generic-typed field conservatively requires the
    // field type to be `Default` (the `position` field escapes this only because `PositionReport` is
    // concrete). Naming a function makes serde *call* it instead, requiring only `AssetKey: Deserialize`.
    #[serde(default = "none_option", skip_serializing_if = "Option::is_none")]
    pub isolated: Option<IsolatedInstrumentState<AssetKey>>,
}

/// Per-pair isolated-margin state attached to an [`InstrumentAccountSnapshot`].
///
/// Binance isolated margin (and other CEX isolated/per-pair sub-accounts) hold balances
/// per-`(pair, asset)`, not per-asset, so they are surfaced attached to the instrument rather than
/// in the asset-keyed [`AccountSnapshot::balances`]. A consumer composes per-pair risk from `base`,
/// `quote`, and `risk`.
#[derive(
    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
)]
pub struct IsolatedInstrumentState<AssetKey = AssetIndex> {
    /// Base-asset balance of the pair's isolated sub-account (carries per-asset debt).
    pub base: AssetBalance<AssetKey>,
    /// Quote-asset balance of the pair's isolated sub-account (carries per-asset debt).
    pub quote: AssetBalance<AssetKey>,
    /// Per-pair risk metrics — snapshot-fresh, not live (see [`IsolatedMarginRisk`]).
    pub risk: IsolatedMarginRisk,
}

/// Per-pair isolated-margin risk metrics, surfaced on [`IsolatedInstrumentState`].
///
/// Every field is `Option` — a venue may omit any given metric, and a missing metric must not
/// drop the surrounding balance snapshot.
///
/// # Freshness
/// These are **snapshot-only**: authoritative as of the last `account_snapshot` and refreshed on
/// snapshot. Unlike balances, there is **no live-stream twin** — the WS `outboundAccountPosition`
/// frame carries no margin-level / liquidation data. The live signal for risk crossing a threshold
/// is the venue's `marginLevelStatusChange` event (surfaced observably, not accumulated here).
#[derive(
    Debug,
    Copy,
    Clone,
    PartialEq,
    Eq,
    PartialOrd,
    Ord,
    Hash,
    Default,
    Deserialize,
    Serialize,
    Constructor,
)]
pub struct IsolatedMarginRisk {
    /// Margin level of the isolated pair (collateral-to-debt ratio); higher is safer.
    pub margin_level: Option<Decimal>,
    /// Margin ratio of the isolated pair.
    pub margin_ratio: Option<Decimal>,
    /// Estimated liquidation price for the isolated pair.
    pub liquidation_price: Option<Decimal>,
}

/// Live per-instrument isolated-margin balance update payload (the
/// [`AccountEventKind::InstrumentBalanceUpdate`] counterpart of [`IsolatedInstrumentState`]).
///
/// Carries a point-in-time `free`/`locked` **snapshot** for the pair's `base` and `quote` assets —
/// NOT a delta — keyed by instrument. Structurally analogous to [`AssetBalanceUpdate`] but
/// per-instrument: it carries no debt, so applying it keeps `free`/`locked` live while preserving
/// any known per-asset debt (use [`Balance::apply_stream_update`](balance::Balance::apply_stream_update)).
#[derive(
    Debug, Clone, PartialEq, Eq, PartialOrd, Ord, Hash, Deserialize, Serialize, Constructor,
)]
pub struct InstrumentBalanceUpdate<AssetKey = AssetIndex, InstrumentKey = InstrumentIndex> {
    /// Instrument (isolated pair) the update applies to.
    pub instrument: InstrumentKey,
    /// Base-asset `free`/`locked` update for the pair's isolated sub-account.
    pub base: AssetBalanceUpdate<AssetKey>,
    /// Quote-asset `free`/`locked` update for the pair's isolated sub-account.
    pub quote: AssetBalanceUpdate<AssetKey>,
}

impl<ExchangeKey, AssetKey, InstrumentKey> AccountSnapshot<ExchangeKey, AssetKey, InstrumentKey> {
    pub fn time_most_recent(&self) -> Option<DateTime<Utc>> {
        let order_times = self.instruments.iter().flat_map(|instrument| {
            instrument
                .orders
                .iter()
                .filter_map(|order| order.state.time_exchange())
        });
        let balance_times = self.balances.iter().map(|balance| balance.time_exchange);

        order_times.chain(balance_times).max()
    }

    pub fn assets(&self) -> impl Iterator<Item = &AssetKey> {
        self.balances.iter().map(|balance| &balance.asset)
    }

    pub fn instruments(&self) -> impl Iterator<Item = &InstrumentKey> {
        self.instruments.iter().map(|snapshot| &snapshot.instrument)
    }
}

// Both tests exercise the feature-gated `emit_stream_terminated`, so this module compiles under the
// same venue features — no feature → no function → no test for it.
#[cfg(all(
    test,
    any(
        feature = "alpaca",
        feature = "binance",
        feature = "ibkr",
        feature = "hyperliquid"
    )
))]
#[allow(clippy::unwrap_used, clippy::expect_used)] // Test code: panics on bad input are acceptable
mod tests {
    use super::*;

    /// The shared terminal-emit helper every venue connector funnels through must deliver an
    /// in-band [`AccountEventKind::StreamTerminated`] carrying the given exchange and reason.
    #[test]
    fn emit_stream_terminated_delivers_event_in_band() {
        let (tx, mut rx) = mpsc::unbounded_channel::<UnindexedAccountEvent>();
        let reason = StreamTerminationReason::ReconnectBudgetExhausted {
            attempts: 7,
            last_error: "socket reset".to_string(),
        };

        emit_stream_terminated(&tx, ExchangeId::BinanceSpot, reason.clone());

        let event = rx.try_recv().expect("expected a terminal event");
        assert_eq!(event.exchange, ExchangeId::BinanceSpot);
        assert!(
            matches!(event.kind, AccountEventKind::StreamTerminated(r) if r == reason),
            "expected StreamTerminated carrying the supplied reason",
        );
    }

    /// Per the D6 consumer-drop decision, emitting after the consumer dropped the receiver is a
    /// best-effort silent no-op — it must not panic (there is no one left to deliver to).
    #[test]
    fn emit_stream_terminated_is_noop_when_receiver_dropped() {
        let (tx, rx) = mpsc::unbounded_channel::<UnindexedAccountEvent>();
        drop(rx);

        // Must not panic even though the send is dropped on the floor.
        emit_stream_terminated(
            &tx,
            ExchangeId::HyperliquidPerp,
            StreamTerminationReason::Error("stream closed".to_string()),
        );
    }
}