nautilus_bitmex/common/
parse.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16//! Shared parsing helpers that transform BitMEX payloads into Nautilus types.
17
18use chrono::{DateTime, Utc};
19use nautilus_core::{nanos::UnixNanos, uuid::UUID4};
20use nautilus_model::{
21    data::bar::BarType,
22    enums::{AccountType, AggressorSide, CurrencyType, LiquiditySide, PositionSide},
23    events::AccountState,
24    identifiers::{AccountId, InstrumentId, Symbol},
25    instruments::{Instrument, InstrumentAny},
26    types::{
27        AccountBalance, Currency, Money, Price, Quantity,
28        quantity::{QUANTITY_RAW_MAX, QuantityRaw},
29    },
30};
31use rust_decimal::{Decimal, RoundingStrategy, prelude::ToPrimitive};
32use ustr::Ustr;
33
34use crate::{
35    common::{
36        consts::BITMEX_VENUE,
37        enums::{BitmexLiquidityIndicator, BitmexSide},
38    },
39    websocket::messages::BitmexMarginMsg,
40};
41
42/// Strip NautilusTrader identifier from BitMEX rejection/cancellation reasons.
43///
44/// BitMEX appends our `text` field as `\nNautilusTrader` to their messages.
45#[must_use]
46pub fn clean_reason(reason: &str) -> String {
47    reason.replace("\nNautilusTrader", "").trim().to_string()
48}
49
50/// Parses a Nautilus instrument ID from the given BitMEX `symbol` value.
51#[must_use]
52pub fn parse_instrument_id(symbol: Ustr) -> InstrumentId {
53    InstrumentId::new(Symbol::from_ustr_unchecked(symbol), *BITMEX_VENUE)
54}
55
56/// Safely converts a `Quantity` into the integer units expected by the BitMEX REST API.
57///
58/// The API expects whole-number "contract" counts which vary per instrument. We always use the
59/// instrument size increment (sourced from BitMEX `underlyingToPositionMultiplier`) to translate
60/// Nautilus quantities back to venue units, so each instrument can have its own contract multiplier.
61/// Values are rounded to the nearest whole contract (midpoint rounds away from zero) and clamped
62/// to `u32::MAX` when necessary.
63#[must_use]
64pub fn quantity_to_u32(quantity: &Quantity, instrument: &InstrumentAny) -> u32 {
65    let size_increment = instrument.size_increment();
66    let step_decimal = size_increment.as_decimal();
67
68    if step_decimal.is_zero() {
69        let value = quantity.as_f64();
70        if value > u32::MAX as f64 {
71            tracing::warn!(
72                "Quantity {value} exceeds u32::MAX without instrument increment, clamping",
73            );
74            return u32::MAX;
75        }
76        return value.max(0.0) as u32;
77    }
78
79    let units_decimal = quantity.as_decimal() / step_decimal;
80    let rounded_units =
81        units_decimal.round_dp_with_strategy(0, RoundingStrategy::MidpointAwayFromZero);
82
83    match rounded_units.to_u128() {
84        Some(units) if units <= u32::MAX as u128 => units as u32,
85        Some(units) => {
86            tracing::warn!(
87                "Quantity {} converts to {units} contracts which exceeds u32::MAX, clamping",
88                quantity.as_f64(),
89            );
90            u32::MAX
91        }
92        None => {
93            tracing::warn!(
94                "Failed to convert quantity {} to venue units, defaulting to 0",
95                quantity.as_f64(),
96            );
97            0
98        }
99    }
100}
101
102/// Converts a BitMEX contracts value into a Nautilus quantity using instrument precision.
103#[must_use]
104pub fn parse_contracts_quantity(value: u64, instrument: &InstrumentAny) -> Quantity {
105    let size_increment = instrument.size_increment();
106    let precision = instrument.size_precision();
107
108    let increment_raw: QuantityRaw = (&size_increment).into();
109    let value_raw = QuantityRaw::from(value);
110
111    let mut raw = increment_raw.saturating_mul(value_raw);
112    if raw > QUANTITY_RAW_MAX {
113        tracing::warn!(
114            "Quantity value {value} exceeds QUANTITY_RAW_MAX {}, clamping",
115            QUANTITY_RAW_MAX,
116        );
117        raw = QUANTITY_RAW_MAX;
118    }
119
120    Quantity::from_raw(raw, precision)
121}
122
123/// Converts the BitMEX `underlyingToPositionMultiplier` into a normalized contract size and
124/// size increment for Nautilus instruments.
125///
126/// The returned decimal retains BitMEX precision (clamped to `max_scale`) so downstream
127/// quantity conversions stay lossless.
128///
129/// # Errors
130///
131/// Returns an error when the multiplier cannot be represented with the configured precision.
132pub fn derive_contract_decimal_and_increment(
133    multiplier: Option<f64>,
134    max_scale: u32,
135) -> anyhow::Result<(Decimal, Quantity)> {
136    let raw_multiplier = multiplier.unwrap_or(1.0);
137    let contract_size = if raw_multiplier > 0.0 {
138        1.0 / raw_multiplier
139    } else {
140        1.0
141    };
142
143    let mut contract_decimal = Decimal::from_f64_retain(contract_size)
144        .ok_or_else(|| anyhow::anyhow!("Invalid contract size {contract_size}"))?;
145    if contract_decimal.scale() > max_scale {
146        contract_decimal = contract_decimal
147            .round_dp_with_strategy(max_scale, RoundingStrategy::MidpointAwayFromZero);
148    }
149    contract_decimal = contract_decimal.normalize();
150    let contract_precision = contract_decimal.scale() as u8;
151    let size_increment = Quantity::from_decimal(contract_decimal, contract_precision)?;
152
153    Ok((contract_decimal, size_increment))
154}
155
156/// Converts an optional contract-count field (e.g. `lotSize`, `maxOrderQty`) into a Nautilus
157/// quantity using the previously derived contract size.
158///
159/// # Errors
160///
161/// Returns an error when the raw value cannot be represented with the available precision.
162pub fn convert_contract_quantity(
163    value: Option<f64>,
164    contract_decimal: Decimal,
165    max_scale: u32,
166    field_name: &str,
167) -> anyhow::Result<Option<Quantity>> {
168    value
169        .map(|raw| {
170            let mut decimal = Decimal::from_f64_retain(raw)
171                .ok_or_else(|| anyhow::anyhow!("Invalid {field_name} value"))?
172                * contract_decimal;
173            let scale = decimal.scale();
174            if scale > max_scale {
175                decimal = decimal
176                    .round_dp_with_strategy(max_scale, RoundingStrategy::MidpointAwayFromZero);
177            }
178            let decimal = decimal.normalize();
179            let precision = decimal.scale() as u8;
180            Quantity::from_decimal(decimal, precision)
181        })
182        .transpose()
183}
184
185/// Converts a signed BitMEX contracts value into a Nautilus quantity using instrument precision.
186#[must_use]
187pub fn parse_signed_contracts_quantity(value: i64, instrument: &InstrumentAny) -> Quantity {
188    let abs_value = value.checked_abs().unwrap_or_else(|| {
189        tracing::warn!("Quantity value {value} overflowed when taking absolute value");
190        i64::MAX
191    }) as u64;
192    parse_contracts_quantity(abs_value, instrument)
193}
194
195/// Converts a fractional size into a quantity honoring the instrument precision.
196#[must_use]
197pub fn parse_fractional_quantity(value: f64, instrument: &InstrumentAny) -> Quantity {
198    if value < 0.0 {
199        tracing::warn!("Received negative fractional quantity {value}, defaulting to 0.0");
200        return instrument.make_qty(0.0, None);
201    }
202
203    instrument.try_make_qty(value, None).unwrap_or_else(|err| {
204        tracing::warn!(
205            "Failed to convert fractional quantity {value} with precision {}: {err}",
206            instrument.size_precision(),
207        );
208        instrument.make_qty(0.0, None)
209    })
210}
211
212/// Normalizes the OHLC values reported by BitMEX trade bins to ensure `high >= max(open, close)`
213/// and `low <= min(open, close)`.
214///
215/// # Panics
216///
217/// Panics if the price array is empty. This should never occur because the caller always supplies
218/// four price values (open/high/low/close).
219#[must_use]
220pub fn normalize_trade_bin_prices(
221    open: Price,
222    mut high: Price,
223    mut low: Price,
224    close: Price,
225    symbol: &Ustr,
226    bar_type: Option<&BarType>,
227) -> (Price, Price, Price, Price) {
228    let price_extremes = [open, high, low, close];
229    let max_price = *price_extremes
230        .iter()
231        .max()
232        .expect("Price array contains values");
233    let min_price = *price_extremes
234        .iter()
235        .min()
236        .expect("Price array contains values");
237
238    if high < max_price || low > min_price {
239        match bar_type {
240            Some(bt) => {
241                tracing::warn!(symbol = %symbol, ?bt, "Adjusting BitMEX trade bin extremes")
242            }
243            None => tracing::warn!(symbol = %symbol, "Adjusting BitMEX trade bin extremes"),
244        }
245        high = max_price;
246        low = min_price;
247    }
248
249    (open, high, low, close)
250}
251
252/// Normalizes the volume reported by BitMEX trade bins, defaulting to zero when the exchange
253/// returns negative or missing values.
254#[must_use]
255pub fn normalize_trade_bin_volume(volume: Option<i64>, symbol: &Ustr) -> u64 {
256    match volume {
257        Some(v) if v >= 0 => v as u64,
258        Some(v) => {
259            tracing::warn!(symbol = %symbol, volume = v, "Received negative volume in BitMEX trade bin");
260            0
261        }
262        None => {
263            tracing::warn!(symbol = %symbol, "Trade bin missing volume, defaulting to 0");
264            0
265        }
266    }
267}
268
269/// Parses the given datetime (UTC) into a `UnixNanos` timestamp.
270/// If `value` is `None`, then defaults to the UNIX epoch (0 nanoseconds).
271///
272/// Returns epoch (0) for invalid timestamps that cannot be converted to nanoseconds.
273#[must_use]
274pub fn parse_optional_datetime_to_unix_nanos(
275    value: &Option<DateTime<Utc>>,
276    field: &str,
277) -> UnixNanos {
278    value
279        .map(|dt| {
280            UnixNanos::from(dt.timestamp_nanos_opt().unwrap_or_else(|| {
281                tracing::error!(field = field, timestamp = ?dt, "Invalid timestamp - out of range");
282                0
283            }) as u64)
284        })
285        .unwrap_or_default()
286}
287
288/// Maps an optional BitMEX side to the corresponding Nautilus aggressor side.
289#[must_use]
290pub const fn parse_aggressor_side(side: &Option<BitmexSide>) -> AggressorSide {
291    match side {
292        Some(BitmexSide::Buy) => AggressorSide::Buyer,
293        Some(BitmexSide::Sell) => AggressorSide::Seller,
294        None => AggressorSide::NoAggressor,
295    }
296}
297
298/// Maps BitMEX liquidity indicators onto Nautilus liquidity sides.
299#[must_use]
300pub fn parse_liquidity_side(liquidity: &Option<BitmexLiquidityIndicator>) -> LiquiditySide {
301    liquidity
302        .map(std::convert::Into::into)
303        .unwrap_or(LiquiditySide::NoLiquiditySide)
304}
305
306/// Derives a Nautilus position side from the BitMEX `currentQty` value.
307#[must_use]
308pub const fn parse_position_side(current_qty: Option<i64>) -> PositionSide {
309    match current_qty {
310        Some(qty) if qty > 0 => PositionSide::Long,
311        Some(qty) if qty < 0 => PositionSide::Short,
312        _ => PositionSide::Flat,
313    }
314}
315
316/// Maps BitMEX currency codes to standard Nautilus currency codes.
317///
318/// BitMEX uses some non-standard currency codes:
319/// - "XBt" -> "XBT" (Bitcoin)
320/// - "USDt" -> "USDT" (Tether)
321/// - "LAMp" -> "USDT" (Test currency, mapped to USDT)
322/// - "RLUSd" -> "RLUSD" (Ripple USD stablecoin)
323/// - "MAMUSd" -> "MAMUSD" (Unknown stablecoin)
324///
325/// For other currencies, converts to uppercase.
326#[must_use]
327pub fn map_bitmex_currency(bitmex_currency: &str) -> String {
328    match bitmex_currency {
329        "XBt" => "XBT".to_string(),
330        "USDt" => "USDT".to_string(),
331        "LAMp" => "USDT".to_string(), // Map test currency to USDT
332        "RLUSd" => "RLUSD".to_string(),
333        "MAMUSd" => "MAMUSD".to_string(),
334        other => other.to_uppercase(),
335    }
336}
337
338/// Parses a BitMEX margin message into a Nautilus account state.
339///
340/// # Errors
341///
342/// Returns an error if the margin data cannot be parsed into valid balance values.
343pub fn parse_account_state(
344    margin: &BitmexMarginMsg,
345    account_id: AccountId,
346    ts_init: UnixNanos,
347) -> anyhow::Result<AccountState> {
348    tracing::debug!(
349        "Parsing margin: currency={}, wallet_balance={:?}, available_margin={:?}, init_margin={:?}, maint_margin={:?}, foreign_margin_balance={:?}, foreign_requirement={:?}",
350        margin.currency,
351        margin.wallet_balance,
352        margin.available_margin,
353        margin.init_margin,
354        margin.maint_margin,
355        margin.foreign_margin_balance,
356        margin.foreign_requirement
357    );
358
359    let currency_str = map_bitmex_currency(&margin.currency);
360
361    let currency = match Currency::try_from_str(&currency_str) {
362        Some(c) => c,
363        None => {
364            // Create a default crypto currency for unknown codes to avoid disrupting flows
365            tracing::warn!(
366                "Unknown currency '{currency_str}' in margin message, creating default crypto currency"
367            );
368            Currency::new(&currency_str, 8, 0, &currency_str, CurrencyType::Crypto)
369        }
370    };
371
372    // BitMEX returns values in satoshis for BTC (XBt) or microunits for USDT/LAMp
373    let divisor = if margin.currency == "XBt" {
374        100_000_000.0 // Satoshis to BTC
375    } else if margin.currency == "USDt" || margin.currency == "LAMp" {
376        1_000_000.0 // Microunits to units
377    } else {
378        1.0
379    };
380
381    // Wallet balance is the actual asset amount
382    let total = if let Some(wallet_balance) = margin.wallet_balance {
383        Money::new(wallet_balance as f64 / divisor, currency)
384    } else if let Some(margin_balance) = margin.margin_balance {
385        Money::new(margin_balance as f64 / divisor, currency)
386    } else if let Some(available) = margin.available_margin {
387        // Fallback when only available_margin is provided
388        Money::new(available as f64 / divisor, currency)
389    } else {
390        Money::new(0.0, currency)
391    };
392
393    // Calculate how much is locked for margin requirements
394    let margin_used = if let Some(init_margin) = margin.init_margin {
395        Money::new(init_margin as f64 / divisor, currency)
396    } else {
397        Money::new(0.0, currency)
398    };
399
400    // Free balance: prefer withdrawable_margin, then available_margin, then calculate
401    let free = if let Some(withdrawable) = margin.withdrawable_margin {
402        Money::new(withdrawable as f64 / divisor, currency)
403    } else if let Some(available) = margin.available_margin {
404        // Available margin already accounts for orders and positions
405        let available_money = Money::new(available as f64 / divisor, currency);
406        // Ensure it doesn't exceed total (can happen with unrealized PnL)
407        if available_money > total {
408            total
409        } else {
410            available_money
411        }
412    } else {
413        // Fallback: free = total - init_margin
414        let calculated_free = total - margin_used;
415        if calculated_free < Money::new(0.0, currency) {
416            Money::new(0.0, currency)
417        } else {
418            calculated_free
419        }
420    };
421
422    // Locked is what's being used for margin
423    let locked = total - free;
424
425    let balance = AccountBalance::new(total, locked, free);
426    let balances = vec![balance];
427
428    // Skip margin details - BitMEX uses account-level cross-margin which doesn't map
429    // well to Nautilus's per-instrument margin model, we track balances only.
430    let margins = Vec::new();
431
432    let account_type = AccountType::Margin;
433    let is_reported = true;
434    let event_id = UUID4::new();
435    let ts_event =
436        UnixNanos::from(margin.timestamp.timestamp_nanos_opt().unwrap_or_default() as u64);
437
438    Ok(AccountState::new(
439        account_id,
440        account_type,
441        balances,
442        margins,
443        is_reported,
444        event_id,
445        ts_event,
446        ts_init,
447        None,
448    ))
449}
450
451////////////////////////////////////////////////////////////////////////////////
452// Tests
453////////////////////////////////////////////////////////////////////////////////
454
455#[cfg(test)]
456mod tests {
457    use chrono::TimeZone;
458    use nautilus_model::{instruments::CurrencyPair, types::fixed::FIXED_PRECISION};
459    use rstest::rstest;
460    use ustr::Ustr;
461
462    use super::*;
463
464    #[rstest]
465    fn test_clean_reason_strips_nautilus_trader() {
466        assert_eq!(
467            clean_reason(
468                "Canceled: Order had execInst of ParticipateDoNotInitiate\nNautilusTrader"
469            ),
470            "Canceled: Order had execInst of ParticipateDoNotInitiate"
471        );
472
473        assert_eq!(clean_reason("Some error\nNautilusTrader"), "Some error");
474        assert_eq!(
475            clean_reason("Multiple lines\nSome content\nNautilusTrader"),
476            "Multiple lines\nSome content"
477        );
478        assert_eq!(clean_reason("No identifier here"), "No identifier here");
479        assert_eq!(clean_reason("  \nNautilusTrader  "), "");
480    }
481
482    fn make_test_spot_instrument(size_increment: f64, size_precision: u8) -> InstrumentAny {
483        let instrument_id = InstrumentId::from("SOLUSDT.BITMEX");
484        let raw_symbol = Symbol::from("SOLUSDT");
485        let base_currency = Currency::from("SOL");
486        let quote_currency = Currency::from("USDT");
487        let price_precision = 2;
488        let price_increment = Price::new(0.01, price_precision);
489        let size_increment = Quantity::new(size_increment, size_precision);
490        let instrument = CurrencyPair::new(
491            instrument_id,
492            raw_symbol,
493            base_currency,
494            quote_currency,
495            price_precision,
496            size_precision,
497            price_increment,
498            size_increment,
499            None, // multiplier
500            None, // lot_size
501            None, // max_quantity
502            None, // min_quantity
503            None, // max_notional
504            None, // min_notional
505            None, // max_price
506            None, // min_price
507            None, // margin_init
508            None, // margin_maint
509            None, // maker_fee
510            None, // taker_fee
511            UnixNanos::from(0),
512            UnixNanos::from(0),
513        );
514        InstrumentAny::CurrencyPair(instrument)
515    }
516
517    #[rstest]
518    fn test_quantity_to_u32_scaled() {
519        let instrument = make_test_spot_instrument(0.0001, 4);
520        let qty = Quantity::new(0.1, 4);
521        assert_eq!(quantity_to_u32(&qty, &instrument), 1_000);
522    }
523
524    #[rstest]
525    fn test_parse_contracts_quantity_scaled() {
526        let instrument = make_test_spot_instrument(0.0001, 4);
527        let qty = parse_contracts_quantity(1_000, &instrument);
528        assert!((qty.as_f64() - 0.1).abs() < 1e-9);
529        assert_eq!(qty.precision, 4);
530    }
531
532    #[rstest]
533    fn test_convert_contract_quantity_scaling() {
534        let max_scale = FIXED_PRECISION as u32;
535        let (contract_decimal, size_increment) =
536            derive_contract_decimal_and_increment(Some(10_000.0), max_scale).unwrap();
537        assert!((size_increment.as_f64() - 0.0001).abs() < 1e-12);
538
539        let lot_qty =
540            convert_contract_quantity(Some(1_000.0), contract_decimal, max_scale, "lot size")
541                .unwrap()
542                .unwrap();
543        assert!((lot_qty.as_f64() - 0.1).abs() < 1e-9);
544        assert_eq!(lot_qty.precision, 1);
545    }
546
547    #[rstest]
548    fn test_derive_contract_decimal_defaults_to_one() {
549        let max_scale = FIXED_PRECISION as u32;
550        let (contract_decimal, size_increment) =
551            derive_contract_decimal_and_increment(Some(0.0), max_scale).unwrap();
552        assert_eq!(contract_decimal, Decimal::ONE);
553        assert_eq!(size_increment.as_f64(), 1.0);
554    }
555
556    #[rstest]
557    fn test_parse_account_state() {
558        let margin_msg = BitmexMarginMsg {
559            account: 123456,
560            currency: Ustr::from("XBt"),
561            risk_limit: Some(1000000000),
562            amount: Some(5000000),
563            prev_realised_pnl: Some(100000),
564            gross_comm: Some(1000),
565            gross_open_cost: Some(200000),
566            gross_open_premium: None,
567            gross_exec_cost: None,
568            gross_mark_value: Some(210000),
569            risk_value: Some(50000),
570            init_margin: Some(20000),
571            maint_margin: Some(10000),
572            target_excess_margin: Some(5000),
573            realised_pnl: Some(100000),
574            unrealised_pnl: Some(10000),
575            wallet_balance: Some(5000000),
576            margin_balance: Some(5010000),
577            margin_leverage: Some(2.5),
578            margin_used_pcnt: Some(0.25),
579            excess_margin: Some(4990000),
580            available_margin: Some(4980000),
581            withdrawable_margin: Some(4900000),
582            maker_fee_discount: Some(0.1),
583            taker_fee_discount: Some(0.05),
584            timestamp: chrono::Utc.with_ymd_and_hms(2024, 1, 1, 12, 0, 0).unwrap(),
585            foreign_margin_balance: None,
586            foreign_requirement: None,
587        };
588
589        let account_id = AccountId::new("BITMEX-001");
590        let ts_init = UnixNanos::from(1_000_000_000);
591
592        let account_state = parse_account_state(&margin_msg, account_id, ts_init).unwrap();
593
594        assert_eq!(account_state.account_id, account_id);
595        assert_eq!(account_state.account_type, AccountType::Margin);
596        assert_eq!(account_state.balances.len(), 1);
597        assert_eq!(account_state.margins.len(), 0); // No margins tracked
598        assert!(account_state.is_reported);
599
600        let xbt_balance = &account_state.balances[0];
601        assert_eq!(xbt_balance.currency, Currency::from("XBT"));
602        assert_eq!(xbt_balance.total.as_f64(), 0.05); // 5000000 satoshis = 0.05 XBT wallet balance
603        assert_eq!(xbt_balance.free.as_f64(), 0.049); // 4900000 satoshis = 0.049 XBT withdrawable
604        assert_eq!(xbt_balance.locked.as_f64(), 0.001); // 100000 satoshis locked
605    }
606
607    #[rstest]
608    fn test_parse_account_state_usdt() {
609        let margin_msg = BitmexMarginMsg {
610            account: 123456,
611            currency: Ustr::from("USDt"),
612            risk_limit: Some(1000000000),
613            amount: Some(10000000000), // 10000 USDT in microunits
614            prev_realised_pnl: None,
615            gross_comm: None,
616            gross_open_cost: None,
617            gross_open_premium: None,
618            gross_exec_cost: None,
619            gross_mark_value: None,
620            risk_value: None,
621            init_margin: Some(500000),  // 0.5 USDT in microunits
622            maint_margin: Some(250000), // 0.25 USDT in microunits
623            target_excess_margin: None,
624            realised_pnl: None,
625            unrealised_pnl: None,
626            wallet_balance: Some(10000000000),
627            margin_balance: Some(10000000000),
628            margin_leverage: None,
629            margin_used_pcnt: None,
630            excess_margin: None,
631            available_margin: Some(9500000000), // 9500 USDT available
632            withdrawable_margin: None,
633            maker_fee_discount: None,
634            taker_fee_discount: None,
635            timestamp: chrono::Utc.with_ymd_and_hms(2024, 1, 1, 12, 0, 0).unwrap(),
636            foreign_margin_balance: None,
637            foreign_requirement: None,
638        };
639
640        let account_id = AccountId::new("BITMEX-001");
641        let ts_init = UnixNanos::from(1_000_000_000);
642
643        let account_state = parse_account_state(&margin_msg, account_id, ts_init).unwrap();
644
645        let usdt_balance = &account_state.balances[0];
646        assert_eq!(usdt_balance.currency, Currency::USDT());
647        assert_eq!(usdt_balance.total.as_f64(), 10000.0);
648        assert_eq!(usdt_balance.free.as_f64(), 9500.0);
649        assert_eq!(usdt_balance.locked.as_f64(), 500.0);
650
651        assert_eq!(account_state.margins.len(), 0); // No margins tracked
652    }
653
654    #[rstest]
655    fn test_parse_margin_message_with_missing_fields() {
656        // Create a margin message with missing optional fields
657        let margin_msg = BitmexMarginMsg {
658            account: 123456,
659            currency: Ustr::from("XBt"),
660            risk_limit: None,
661            amount: None,
662            prev_realised_pnl: None,
663            gross_comm: None,
664            gross_open_cost: None,
665            gross_open_premium: None,
666            gross_exec_cost: None,
667            gross_mark_value: None,
668            risk_value: None,
669            init_margin: None,  // Missing
670            maint_margin: None, // Missing
671            target_excess_margin: None,
672            realised_pnl: None,
673            unrealised_pnl: None,
674            wallet_balance: Some(100000),
675            margin_balance: None,
676            margin_leverage: None,
677            margin_used_pcnt: None,
678            excess_margin: None,
679            available_margin: Some(95000),
680            withdrawable_margin: None,
681            maker_fee_discount: None,
682            taker_fee_discount: None,
683            timestamp: chrono::Utc::now(),
684            foreign_margin_balance: None,
685            foreign_requirement: None,
686        };
687
688        let account_id = AccountId::new("BITMEX-123456");
689        let ts_init = UnixNanos::from(1_000_000_000);
690
691        let account_state = parse_account_state(&margin_msg, account_id, ts_init)
692            .expect("Should parse even with missing margin fields");
693
694        // Should have balance but no margins
695        assert_eq!(account_state.balances.len(), 1);
696        assert_eq!(account_state.margins.len(), 0); // No margins tracked
697    }
698
699    #[rstest]
700    fn test_parse_margin_message_with_only_available_margin() {
701        // This is the case we saw in the logs - only available_margin is populated
702        let margin_msg = BitmexMarginMsg {
703            account: 1667725,
704            currency: Ustr::from("USDt"),
705            risk_limit: None,
706            amount: None,
707            prev_realised_pnl: None,
708            gross_comm: None,
709            gross_open_cost: None,
710            gross_open_premium: None,
711            gross_exec_cost: None,
712            gross_mark_value: None,
713            risk_value: None,
714            init_margin: None,
715            maint_margin: None,
716            target_excess_margin: None,
717            realised_pnl: None,
718            unrealised_pnl: None,
719            wallet_balance: None, // None
720            margin_balance: None, // None
721            margin_leverage: None,
722            margin_used_pcnt: None,
723            excess_margin: None,
724            available_margin: Some(107859036), // Only this is populated
725            withdrawable_margin: None,
726            maker_fee_discount: None,
727            taker_fee_discount: None,
728            timestamp: chrono::Utc::now(),
729            foreign_margin_balance: None,
730            foreign_requirement: None,
731        };
732
733        let account_id = AccountId::new("BITMEX-1667725");
734        let ts_init = UnixNanos::from(1_000_000_000);
735
736        let account_state = parse_account_state(&margin_msg, account_id, ts_init)
737            .expect("Should handle case with only available_margin");
738
739        // Check the balance accounting equation holds
740        let balance = &account_state.balances[0];
741        assert_eq!(balance.currency, Currency::USDT());
742        assert_eq!(balance.total.as_f64(), 107.859036); // Total should equal free when only available_margin is present
743        assert_eq!(balance.free.as_f64(), 107.859036);
744        assert_eq!(balance.locked.as_f64(), 0.0);
745
746        // Verify the accounting equation: total = locked + free
747        assert_eq!(balance.total, balance.locked + balance.free);
748    }
749
750    #[rstest]
751    fn test_parse_margin_available_exceeds_wallet() {
752        // Test case where available margin exceeds wallet balance (bonus margin scenario)
753        let margin_msg = BitmexMarginMsg {
754            account: 123456,
755            currency: Ustr::from("XBt"),
756            risk_limit: None,
757            amount: Some(70772),
758            prev_realised_pnl: None,
759            gross_comm: None,
760            gross_open_cost: None,
761            gross_open_premium: None,
762            gross_exec_cost: None,
763            gross_mark_value: None,
764            risk_value: None,
765            init_margin: Some(0),
766            maint_margin: Some(0),
767            target_excess_margin: None,
768            realised_pnl: None,
769            unrealised_pnl: None,
770            wallet_balance: Some(70772), // 0.00070772 BTC
771            margin_balance: None,
772            margin_leverage: None,
773            margin_used_pcnt: None,
774            excess_margin: None,
775            available_margin: Some(94381), // 0.00094381 BTC - exceeds wallet!
776            withdrawable_margin: None,
777            maker_fee_discount: None,
778            taker_fee_discount: None,
779            timestamp: chrono::Utc::now(),
780            foreign_margin_balance: None,
781            foreign_requirement: None,
782        };
783
784        let account_id = AccountId::new("BITMEX-123456");
785        let ts_init = UnixNanos::from(1_000_000_000);
786
787        let account_state = parse_account_state(&margin_msg, account_id, ts_init)
788            .expect("Should handle available > wallet case");
789
790        // Wallet balance is the actual asset amount, not available margin
791        let balance = &account_state.balances[0];
792        assert_eq!(balance.currency, Currency::from("XBT"));
793        assert_eq!(balance.total.as_f64(), 0.00070772); // Wallet balance (actual assets)
794        assert_eq!(balance.free.as_f64(), 0.00070772); // All free since no margin locked
795        assert_eq!(balance.locked.as_f64(), 0.0);
796
797        // Verify the accounting equation: total = locked + free
798        assert_eq!(balance.total, balance.locked + balance.free);
799    }
800
801    #[rstest]
802    fn test_parse_margin_message_with_foreign_requirements() {
803        // Test case where trading USDT-settled contracts with XBT margin
804        let margin_msg = BitmexMarginMsg {
805            account: 123456,
806            currency: Ustr::from("XBt"),
807            risk_limit: Some(1000000000),
808            amount: Some(100000000), // 1 BTC
809            prev_realised_pnl: None,
810            gross_comm: None,
811            gross_open_cost: None,
812            gross_open_premium: None,
813            gross_exec_cost: None,
814            gross_mark_value: None,
815            risk_value: None,
816            init_margin: None,  // No direct margin in XBT
817            maint_margin: None, // No direct margin in XBT
818            target_excess_margin: None,
819            realised_pnl: None,
820            unrealised_pnl: None,
821            wallet_balance: Some(100000000),
822            margin_balance: Some(100000000),
823            margin_leverage: None,
824            margin_used_pcnt: None,
825            excess_margin: None,
826            available_margin: Some(95000000), // 0.95 BTC available
827            withdrawable_margin: None,
828            maker_fee_discount: None,
829            taker_fee_discount: None,
830            timestamp: chrono::Utc::now(),
831            foreign_margin_balance: Some(100000000), // Foreign margin balance in satoshis
832            foreign_requirement: Some(5000000),      // 0.05 BTC required for USDT positions
833        };
834
835        let account_id = AccountId::new("BITMEX-123456");
836        let ts_init = UnixNanos::from(1_000_000_000);
837
838        let account_state = parse_account_state(&margin_msg, account_id, ts_init)
839            .expect("Failed to parse account state with foreign requirements");
840
841        // Check balance
842        let balance = &account_state.balances[0];
843        assert_eq!(balance.currency, Currency::from("XBT"));
844        assert_eq!(balance.total.as_f64(), 1.0);
845        assert_eq!(balance.free.as_f64(), 0.95);
846        assert_eq!(balance.locked.as_f64(), 0.05);
847
848        // No margins tracked
849        assert_eq!(account_state.margins.len(), 0);
850    }
851
852    #[rstest]
853    fn test_parse_margin_message_with_both_standard_and_foreign() {
854        // Test case with both standard and foreign margin requirements
855        let margin_msg = BitmexMarginMsg {
856            account: 123456,
857            currency: Ustr::from("XBt"),
858            risk_limit: Some(1000000000),
859            amount: Some(100000000), // 1 BTC
860            prev_realised_pnl: None,
861            gross_comm: None,
862            gross_open_cost: None,
863            gross_open_premium: None,
864            gross_exec_cost: None,
865            gross_mark_value: None,
866            risk_value: None,
867            init_margin: Some(2000000),  // 0.02 BTC for XBT positions
868            maint_margin: Some(1000000), // 0.01 BTC for XBT positions
869            target_excess_margin: None,
870            realised_pnl: None,
871            unrealised_pnl: None,
872            wallet_balance: Some(100000000),
873            margin_balance: Some(100000000),
874            margin_leverage: None,
875            margin_used_pcnt: None,
876            excess_margin: None,
877            available_margin: Some(93000000), // 0.93 BTC available
878            withdrawable_margin: None,
879            maker_fee_discount: None,
880            taker_fee_discount: None,
881            timestamp: chrono::Utc::now(),
882            foreign_margin_balance: Some(100000000),
883            foreign_requirement: Some(5000000), // 0.05 BTC for USDT positions
884        };
885
886        let account_id = AccountId::new("BITMEX-123456");
887        let ts_init = UnixNanos::from(1_000_000_000);
888
889        let account_state = parse_account_state(&margin_msg, account_id, ts_init)
890            .expect("Failed to parse account state with both margins");
891
892        // Check balance
893        let balance = &account_state.balances[0];
894        assert_eq!(balance.currency, Currency::from("XBT"));
895        assert_eq!(balance.total.as_f64(), 1.0);
896        assert_eq!(balance.free.as_f64(), 0.93);
897        assert_eq!(balance.locked.as_f64(), 0.07); // 0.02 + 0.05 = 0.07 total margin
898
899        // No margins tracked
900        assert_eq!(account_state.margins.len(), 0);
901    }
902}
nautilus_bitmex/common/parse.rs

nautilus_bitmex/common/
parse.rs
